<PAGE>
As filed with the Securities and Exchange Commission on January 12, 1996
File No. 33-12113, 811-5028
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-1A
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933 [X]
Post-Effective Amendment No. 27 [X]
and/or
REGISTRATION STATEMENT UNDER THE INVESTMENT
COMPANY ACT OF 1940 [X]
Amendment No. 31 [X]
PIMCO Funds
(Exact Name of Registrant as Specified in Charter)
840 Newport Center Drive
Newport Beach, California 92660
(Address of Principal Executive Offices) (Zip Code)
Registrant's Telephone Number, including Area Code:
(714) 640-3031
Robert W. Helm, Esq. R. Wesley Burns
Dechert Price & Rhoads Pacific Investment Management Company
1500 K Street, N.W. 840 Newport Center Drive
Washington, D.C. 20005 Newport Beach, California 92660
(Name and Address of Agent for Service)
It is proposed that this filing will become effective (check appropriate
box):
[ ] immediately upon filing pursuant to paragraph (b)
[ ] on (date) pursuant to paragraph (b)
[ ] 60 days after filing pursuant to paragraph (a)
[X] on April 1, 1996 pursuant to paragraph (a)(2) of Rule 485
<PAGE>
CALCULATION OF REGISTRATION FEE UNDER THE SECURITIES ACT OF 1933
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------
Proposed Maximum
Offering
Title of Number Price per Proposed Amount of
Securities of Shares Share (within Maximum Registration
Being Being 15 days of Offering Fee
Registered Registered filing) Price
- -------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares of Indefinite* N/A N/A N/A
Beneficial
Interest,
Par Value
$.0001
</TABLE>
* Registrant has elected to register an indefinite number of shares of
beneficial interest pursuant to Rule 24f-2 under the Investment Company Act of
1940. Registrant filed the Notice required by Rule 24f-2 on May 31, 1995.
<PAGE>
CROSS-REFERENCE SHEET
REQUIRED BY RULE 495
UNDER THE SECURITIES ACT OF 1933
The enclosed Prospectus, Statement of Additional Information, and Part C
relate to PIMCO Funds (the "Trust"), an investment company currently consisting
of 19 separate series (the "Funds").
PART A
Information Required in Prospectus
----------------------------------
<TABLE>
<CAPTION>
Item Number Heading
- ----------- -------
<S> <C>
1 Cover Page
2 Prospectus Summary, Expense Information
3 Financial Highlights
4 Investment Objectives and Policies;
Characteristics and Risks of Securities and
Investment Techniques; Other Information
5 Management of the Trust
5A Information Contained in Registrant's Annual Report
6 Dividends, Distributions and Taxes; Other Information
7 Purchase of Shares; Net Asset Value
8 Redemption of Shares
9 Not Applicable
</TABLE>
<PAGE>
PART B
Information Required in Statement of Additional Information
-----------------------------------------------------------
<TABLE>
<CAPTION>
Item Number Heading
- ----------- -------
<S> <C>
10 Cover Page
11 Table of Contents
12 Not Applicable
13 Investment Objectives and Policies; Investment
Restrictions
14 Trustees and Officers
15 Voting Rights
16 Management of the Trust; Distribution of Trust
Shares; Custodian, Transfer Agent and Dividend
Disbursing Agent
17 Portfolio Transactions and Brokerage
18 Other Information
19 Distribution of Trust Shares; Net Asset Value
20 Taxation
21 Distribution of Trust Shares
22 Performance Information
23 Financial Statements
</TABLE>
<PAGE>
[LOGO of PIMCO]
PIMCO FUNDS
FIXED INCOME FUNDS
Money Market Fund
Short-Term Fund
Low Duration Fund
Low Duration Fund II
Low Duration Fund III
Moderate Duration Fund
High Yield Fund
Total Return Fund
Total Return Fund II
Total Return Fund III
Commercial Mortgage Securities Fund
Long-Term U.S. Government Fund
Foreign Fund
Global Fund
International Fund
EQUITY FUNDS
StocksPLUS Fund
StocksPLUS Short Strategy Fund
Growth Stock Fund
VersaSTYLE Equity Fund
PROSPECTUS
- --------------------------------------------------------------------------------
April 1, 1996
<PAGE>
PIMCO FUNDS
PROSPECTUS
April 1, 1996
PIMCO Funds (the "Trust") is a no-load, open-end management investment
company ("mutual fund") consisting of nineteen separate investment portfolios
(the "Funds"). Each Fund has its own investment objective and policies. The
Trust is designed to provide access to the professional investment management
services offered by Pacific Investment Management Company ("PIMCO"), which
serves as investment adviser to the Funds.
The PIMCO Funds described in this Prospectus are as follows:
FIXED INCOME FUNDS EQUITY FUNDS
Money Market Fund* StocksPLUS Fund
Short-Term Fund
Low Duration Fund StocksPLUS Short Strategy Fund
Low Duration Fund II Growth Stock Fund
Low Duration Fund III VersaSTYLE Equity Fund
Moderate Duration Fund
High Yield Fund
Total Return Fund
Total Return Fund II
Total Return Fund III
Commercial Mortgage Securities Fund
Long-Term U.S. Government Fund
Foreign Fund
Global Fund
International Fund
Information about the investment objective of each Fund, along with a
detailed description of the types of securities in which each Fund may invest,
and of investment policies and restrictions applicable to each Fund, are set
forth in this Prospectus. There can be no assurance that the investment
objective of any Fund will be achieved. Because the market value of the Funds'
investments will change, the investment returns and net asset value per share
of each Fund also will vary.
Each Fund offers two classes of shares: the "Institutional Class" and the
"Administrative Class." Shares of the Institutional Class are offered
primarily for direct investment by investors such as pension and profit
sharing plans, employee benefit trusts, endowments, foundations, corporations,
other institutions, and high net worth individuals. They also are offered
through certain financial intermediaries that charge their customers
transaction or other fees with respect to the customers' investment in the
Funds. Shares of the Administrative Class are offered primarily through
brokers, retirement plan administrators, and other financial intermediaries.
Administrative Class shares pay service fees to such entities for services
they provide to shareholders of that class. Shares of each class of the Funds
are offered for sale at the relevant next determined net asset value for that
class with no sales charge. Shares of the PIMCO International Fund are offered
only to private account clients of PIMCO.
THE PIMCO HIGH YIELD FUND INVESTS PRIMARILY, AND THE PIMCO COMMERCIAL
MORTGAGE SECURITIES FUND INVESTS UP TO 35% OF ITS ASSETS, IN JUNK BONDS, WHICH
ARE SUBJECT TO HIGH RISK, AND SPECULATIVE WITH REGARD TO PAYMENT OF INTEREST
AND RETURN OF PRINCIPAL. INVESTORS SHOULD CAREFULLY CONSIDER THESE RISKS
BEFORE INVESTING IN THESE FUNDS.
Each of the Funds, except the PIMCO Money Market Fund, may invest all of its
assets in derivative instruments, some of which may be particularly sensitive
to changes in prevailing interest rates. Unexpected changes in interest rates
may adversely affect the value of a Fund's investments in particular
derivative instruments.
This Prospectus sets forth concisely the information a prospective investor
should know before investing in the Funds. It should be read and retained for
ready reference to information about the Funds. A Statement of Additional
Information, dated April 1, 1996, as supplemented from time to time,
containing additional and more detailed information about the Funds, has been
filed with the Securities and Exchange Commission and is hereby incorporated
by reference into this Prospectus. It is available without charge and may be
obtained by writing or calling:
PIMCO Funds
840 Newport Center Drive, Suite 360
Newport Beach, CA 92660
Telephone: (800) 927-4648 (Current Shareholders)
(800) 800-0952 (New Accounts)
* INVESTMENT IN THE PIMCO MONEY MARKET FUND (OR IN ANY OTHER FUND) IS NEITHER
INSURED NOR GUARANTEED BY THE U.S. GOVERNMENT. THERE CAN BE NO ASSURANCE
THAT THE MONEY MARKET FUND WILL BE ABLE TO MAINTAIN A STABLE NET ASSET VALUE
OF $1.00 PER SHARE.
SHARES OF THE FUNDS ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR
ENDORSED BY, ANY FINANCIAL INSTITUTION, AND THE SHARES ARE NOT FEDERALLY
INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION, THE FEDERAL RESERVE
BOARD, OR ANY OTHER AGENCY.
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES
AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION, NOR HAS THE
SECURITIES AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION
PASSED UPON THE ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY
REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
Prospectus Summary...................................................... 3
Expense Information..................................................... 6
Financial Highlights.................................................... 8
Investment Objectives and Policies...................................... 12
Investment Restrictions................................................. 20
Characteristics and Risks of Securities and Investment Techniques....... 23
Management of the Trust................................................. 33
Purchase of Shares...................................................... 36
Redemption of Shares.................................................... 38
Portfolio Transactions.................................................. 39
Net Asset Value......................................................... 40
Dividends, Distributions and Taxes...................................... 40
Other Information....................................................... 41
Appendix A--Description of Securities Ratings........................... A-1
</TABLE>
<PAGE>
PIMCO FUNDS
PROSPECTUS SUMMARY
PIMCO Funds (the "Trust") is a no-load, open-end management investment
company ("mutual fund"), organized as a Massachusetts business trust on
February 19, 1987. The Trust consists of nineteen separate investment
portfolios (the "Funds"). The investment objective of each of the PIMCO Money
Market Fund and PIMCO Short-Term Fund is to seek to obtain maximum current
income consistent with preservation of capital and daily liquidity. The
investment objective of each of the remaining 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. The investment objective of
both the PIMCO StocksPLUS Fund and the PIMCO VersaSTYLE Equity Fund is to seek
to achieve a total return which exceeds the total return performance of the
Standard & Poor's Composite Stock Price Index ("S&P 500"). The investment
objective of the PIMCO StocksPLUS Short Strategy Fund is to seek total return
through the implementation of short investment positions on the S&P 500 Index.
COMPARISON OF PIMCO FUNDS
The following chart provides general information about each of the PIMCO
Funds. It is qualified in its entirety by the more complete descriptions of the
Funds appearing elsewhere in this Prospectus.
<TABLE>
<CAPTION>
FIXED INCOME FUNDS PRIMARY INVESTMENTS DURATION CREDIT QUALITY/1/ FOREIGN/2/
- ------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
Money Market Money market instruments Greater Greater
than or than or
less than less than
90 days Min 95% Aaa or 0%
dollar- Prime 1; Greater
weighted than or less than
average 5% Aa
maturity or Prime 2
- ------------------------------------------------------------------------------------------
Short-Term Money market instruments 0-1 yr B to Aaa; max 0-5%
and short maturity 10% below Baa
fixed income securities
- ------------------------------------------------------------------------------------------
Low Duration Short and intermediate 1-3 yrs B to Aaa; max 0-20%
maturity fixed income 10% below Baa
securities
- ------------------------------------------------------------------------------------------
Low Duration II Same as Low Duration 1-3 yrs A to Aaa 0%
Fund, with quality and
foreign issuer
restrictions
- ------------------------------------------------------------------------------------------
Low Duration III Same as Low Duration 1-3 yrs B to Aaa; max 0-20%
Fund, with prohibitions 10% below Baa
on firms engaged in
socially sensitive
practices
- ------------------------------------------------------------------------------------------
Moderate Duration Short and intermediate 2-4 yrs B to Aaa; max 0-20%
maturity fixed income 10% below Baa
securities
- ------------------------------------------------------------------------------------------
High Yield Higher yielding fixed 2-6 yrs B to Aaa; min 0%
income securities 65% below Baa
- ------------------------------------------------------------------------------------------
Total Return Intermediate maturity 3-6 yrs B to Aaa; max 0-20%
fixed income securities 10% below Baa
- ------------------------------------------------------------------------------------------
Total Return II Same as Total Return 3-6 yrs Baa to Aaa 0%
Fund, with quality and
foreign issuer
restrictions
- ------------------------------------------------------------------------------------------
Total Return III Same as Total Return 3-6 yrs B to Aaa; max 0-20%
Fund, with prohibitions 10% below Baa
on
firms engaged in
socially sensitive
practices
- ------------------------------------------------------------------------------------------
Commercial Mortgage Commercial mortgage- 3-8 yrs B to Aaa; max 0%
Securities backed securities 35% below Baa
- ------------------------------------------------------------------------------------------
Long-Term U.S. Long-term maturity fixed Greater than A to Aaa 0%
Government income securities or less than
8 yrs
- ------------------------------------------------------------------------------------------
Foreign Intermediate maturity 3-6 yrs B to Aaa; max Greater than
foreign fixed income 10% below Baa or less than
securities 85%
- ------------------------------------------------------------------------------------------
Global Intermediate maturity 3-8 yrs B to Aaa; max 25-75%
U.S. and foreign fixed 10% below Baa
income securities
- ------------------------------------------------------------------------------------------
International Foreign fixed income 0-8 yrs Baa to Aaa Greater than
securities (Fund offered or less than
only to PIMCO private 65%
account clients)
- ------------------------------------------------------------------------------------------
<CAPTION>
FOREIGN/2/
EQUITY FUNDS PRIMARY INVESTMENTS DURATION CREDIT QUALITY/1/
- ------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
StocksPLUS S&P 500 stock index 0-1 yr B to Aaa; max 0-20%
derivatives backed by a 10% below Baa
portfolio of short-term
fixed income securities
- ------------------------------------------------------------------------------------------
StocksPLUS Short Inversely correlated S&P 0-1 yr B to Aaa; max 0-20%
Strategy 500 derivatives backed 10% below Baa
by
a portfolio of short-
term fixed income
securities
- ------------------------------------------------------------------------------------------
Growth Stock Common stocks believed n/a n/a 0-25%
to have above-market
appreciation potential
over full market cycle
- ------------------------------------------------------------------------------------------
VersaSTYLE Equity Common stocks invested n/a n/a 0-25%
according to PIMCO's
investment style
rotation strategy
- ------------------------------------------------------------------------------------------
</TABLE>
/1/ As rated by Moody's Investors Services, Inc., or if unrated, determined to
be of comparable quality.
/2/ Percentage limitations relate to foreign currency-denominated securities for
all Funds except the PIMCO Foreign, Global and International Funds.
Percentage limitations for these three Funds relate to securities of foreign
issuers, denominated in any currency. Each Fund (except the Low Duration II
and Total Return II Funds) may invest beyond these limits in U.S. dollar-
denominated securities of foreign issuers. Neither the Low Duration Fund II
nor the Total Return Fund II may invest in any securities of foreign
issuers.
3
<PAGE>
INVESTMENT RISKS AND CONSIDERATIONS
The following are some of the primary risks relevant to an investment in the
Funds and to the securities in which the Funds invest. Investors should read
the Prospectus carefully for a more complete discussion of the risks relating
to an investment in the Funds. The value of all securities and other
instruments held by the Funds will vary from time to time in response to a wide
variety of market factors. Consequently, the net asset value per share of each
Fund will vary, except that the PIMCO Money Market Fund shall attempt to
maintain a net asset value of $1.00 per share, although there can be no
assurance that the Fund will be successful in doing so. The net asset value per
share of any Fund may be less at the time of redemption than it was at the time
of investment. The value of fixed income securities can be expected to vary
inversely with changes in prevailing interest rates, i.e., as interest rates
rise, market value tends to decrease, and vice versa. In addition, certain of
the Funds may invest in securities rated lower than Baa by Moody's Investors
Service, Inc. ("Moody's") or BBB by Standard & Poor's Corporation ("S&P"). Such
securities carry a high degree of credit risk and are considered speculative by
the major rating agencies.
Certain Funds may invest in securities of foreign issuers, which may be
subject to additional risk factors, including foreign currency and political
risks, not applicable to securities of U.S. issuers. Certain of the Funds'
investment techniques may involve a form of borrowing, which may tend to
exaggerate the effect on net asset value of any increase or decrease in the
market value of a Fund's portfolio and may require liquidation of portfolio
positions when it is not advantageous to do so. Certain Funds may sell
securities short, which exposes the Fund to a risk of loss if the value of the
security sold short should increase.
All Funds, except the PIMCO Money Market Fund, may use derivative
instruments, consisting of futures, options, options on futures, and swap
agreements, for hedging purposes or as part of their investment strategies. Use
of these instruments may involve certain costs and risks, including the risk
that a Fund could not close out a position when it would be most advantageous
to do so, the risk of an imperfect correlation between the value of the
securities being hedged and the value of the particular derivative instrument,
and the risk that unexpected changes in interest rates may adversely affect the
value of a Fund's investments in particular derivative instruments.
The PIMCO Commercial Mortgage Securities, Foreign, Global and International
Funds are "non-diversified" for purposes of the Investment Company Act of 1940,
meaning that they may invest a greater percentage of their assets in the
securities of one issuer than the other Funds. As "non-diversified" portfolios,
these Funds may be more susceptible to risks associated with a single economic,
political or regulatory occurrence than a diversified portfolio might be. See
"Investment Objectives and Policies" and "Characteristics and Risks of
Securities and Investment Techniques" for additional information.
INVESTMENT ADVISER AND FUND ADMINISTRATOR
Pacific Investment Management Company ("PIMCO") serves as investment adviser
("Adviser") to the Trust, and also serves as the Trust's administrator. The
Adviser is an investment management firm established in 1971 that had over $75
billion of assets under management as of November 30, 1995. The Adviser is a
subsidiary of PIMCO Advisors L.P. ("PIMCO Advisors"), which had over $94
billion of assets under management as of November 30, 1995. See "Management of
the Trust."
PURCHASE OF SHARES
Each Fund offers two classes of shares: the "Institutional Class" and the
"Administrative Class." Shares of the Institutional Class are offered primarily
for direct investment by institutional investors and high net worth
individuals. They also are offered through certain financial intermediaries
that charge their customers transaction or other fees with respect to the
customers' investment in the Funds. Shares of the Administrative Class are
offered primarily through brokers, retirement plan administrators and other
financial intermediaries. Administrative Class shares pay service fees to such
entities for services they provide to shareholders of that class.
Shares of each class of the Funds are offered at the relevant next determined
net asset value with no sales charge. The minimum initial investment for shares
of either class is $1,000,000. Shares of the PIMCO International Fund are
offered only to private account clients of PIMCO. See "Purchase of Shares."
4
<PAGE>
PIMCO FUNDS
REDEMPTIONS AND EXCHANGES
Shares of each class of each Fund may be redeemed without cost at the
relevant net asset value per share of the class of that Fund next determined
after receipt of the redemption request. The PIMCO StocksPLUS Short Strategy
Fund imposes a redemption fee, payable to the Fund, of 1% on all shares of the
Fund held for less than three months. The redemption price may be more or less
than the purchase price.
Shares of a class of any Fund may be exchanged for shares of the same class
of any other Fund of the Trust offered generally to the public on the basis of
relative net asset values, except that only private account clients of PIMCO
may purchase shares of the PIMCO International Fund. Shares of a Fund may also
be exchanged for shares of the same class of a series of the PIMCO Funds:
Equity Advisors Series, an affiliated no-load mutual fund family, comprised
primarily of equity portfolios managed by the subsidiary partnerships of PIMCO
Advisors. See "Redemption of Shares."
DIVIDENDS AND DISTRIBUTIONS
Each Fund will distribute dividends from net investment income at least
monthly (quarterly in the case of the PIMCO International Fund and Equity
Funds), and any net realized capital gains at least annually. All dividends and
distributions will be reinvested automatically at net asset value in additional
shares of the same class of the same Fund, unless cash payment is requested.
Dividends from net investment income with respect to Administrative Class
shares will be lower than those paid with respect to Institutional Class
shares, reflecting the payment of service fees by that class. See "Dividends,
Distributions and Taxes."
5
<PAGE>
EXPENSE INFORMATION
SHAREHOLDER TRANSACTION EXPENSES (EACH CLASS):
<TABLE>
<S> <C>
Sales Load Imposed on Purchases.......................................... None
Sales Load Imposed on Reinvested Dividends............................... None
Redemption Fee:
StocksPLUS Short Strategy Fund......................................... 1%*
All Other Funds........................................................ None
Exchange Fee............................................................. None
</TABLE>
*On shares held less than 3 months.
ANNUAL FUND OPERATING EXPENSES (AS A PERCENTAGE OF AVERAGE DAILY NET ASSETS):
<TABLE>
<CAPTION>
ADVISORY ADMINISTRATIVE TOTAL
INSTITUTIONAL CLASS SHARES FEE FEE EXPENSES
-------------------------------------------- -------- -------------- --------
<S> <C> <C> <C>
Money Market Fund........................... 0.15% 0.20% 0.35%
Short-Term Fund............................. 0.25 0.20 0.45
Low Duration Fund........................... 0.25 0.18 0.43
Low Duration Fund II........................ 0.25 0.25 0.50
Low Duration Fund III....................... 0.25 0.25 0.50
Moderate Duration Fund...................... 0.25 0.25 0.50
High Yield Fund............................. 0.25 0.25 0.50
Total Return Fund........................... 0.25 0.18 0.43
Total Return Fund II........................ 0.25 0.25 0.50
Total Return Fund III....................... 0.25 0.25 0.50
Commercial Mortgage Securities Fund......... 0.40 0.25 0.65
Long-Term U.S. Government Fund.............. 0.25 0.25 0.50
Foreign Fund................................ 0.25 0.25 0.50
Global Fund................................. 0.25 0.30 0.55
International Fund.......................... 0.25 0.25 0.50
StocksPLUS Fund............................. 0.40 0.25 0.65
StocksPLUS Short Strategy Fund.............. 0.40 0.25 0.65
Growth Stock Fund........................... 0.25 0.25 0.50
VersaSTYLE Equity Fund...................... 0.40 0.25 0.65
</TABLE>
<TABLE>
<CAPTION>
ADVISORY ADMINISTRATIVE SERVICE TOTAL
ADMINISTRATIVE CLASS SHARES FEE FEE FEE EXPENSES
----------------------------------- -------- -------------- ------- --------
<S> <C> <C> <C> <C>
Money Market Fund.................. 0.15% 0.20% 0.25% 0.60%
Short-Term Fund.................... 0.25 0.20 0.25 0.70
Low Duration Fund.................. 0.25 0.18 0.25 0.68
Low Duration Fund II............... 0.25 0.25 0.25 0.75
Low Duration Fund III.............. 0.25 0.25 0.25 0.75
Moderate Duration Fund............. 0.25 0.25 0.25 0.75
High Yield Fund.................... 0.25 0.25 0.25 0.75
Total Return Fund.................. 0.25 0.18 0.25 0.68
Total Return Fund II............... 0.25 0.25 0.25 0.75
Total Return Fund III.............. 0.25 0.25 0.25 0.75
Commercial Mortgage Securities
Fund.............................. 0.40 0.25 0.25 0.90
Long-Term U.S. Government Fund..... 0.25 0.25 0.25 0.75
Foreign Fund....................... 0.25 0.25 0.25 0.75
Global Fund........................ 0.25 0.30 0.25 0.80
International Fund................. 0.25 0.25 0.25 0.75
StocksPLUS Fund.................... 0.40 0.25 0.25 0.90
StocksPLUS Short Strategy Fund..... 0.40 0.25 0.25 0.90
Growth Stock Fund.................. 0.25 0.25 0.25 0.75
VersaSTYLE Equity Fund............. 0.40 0.25 0.25 0.90
</TABLE>
6
<PAGE>
PIMCO FUNDS
For a more detailed discussion of the Funds' fees and expenses, see "Fund
Administrator," "Advisory and Administrative Fees," and "Service Fees" under
the caption "Management of the Trust."
EXAMPLE OF FUND EXPENSES:
An investor would pay the following expenses on a $1,000 investment, assuming
(1) a hypothetical 5% annual return and (2) redemption at the end of each time
period:
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS SHARES 1 YEAR 3 YEARS 5 YEARS 10 YEARS
--------------------------------------------- ------ ------- ------- --------
<S> <C> <C> <C> <C>
Money Market Fund............................ $4 $11 $20 $ 44
Short-Term Fund.............................. $ 5 $14 $25 $ 57
Low Duration Fund............................ $ 4 $14 $24 $ 54
Low Duration Fund II......................... $ 5 $16 $28 $ 63
Low Duration Fund III........................ $ 5 $16 $-- $ --
Moderate Duration Fund....................... $ 5 $16 $-- $ --
High Yield Fund.............................. $ 5 $16 $28 $ 63
Total Return Fund............................ $ 4 $14 $24 $ 54
Total Return Fund II......................... $ 5 $16 $28 $ 63
Total Return Fund III........................ $ 5 $16 $28 $ 63
Commercial Mortgage Securities Fund.......... $ 7 $21 $-- $ --
Long-Term U.S. Government Fund............... $ 5 $16 $28 $ 63
Foreign Fund................................. $ 5 $16 $28 $ 63
Global Fund.................................. $ 6 $18 $31 $ 69
International Fund........................... $ 5 $16 $28 $ 63
StocksPLUS Fund.............................. $ 7 $21 $36 $ 81
StocksPLUS Short Strategy Fund............... $7 $21 $-- $ --
Growth Stock Fund............................ $ 5 $16 $28 $ 63
VersaSTYLE Equity Fund....................... $ 7 $21 $36 $ 81
<CAPTION>
ADMINISTRATIVE CLASS SHARES 1 YEAR 3 YEARS 5 YEARS 10 YEARS
--------------------------------------------- ------ ------- ------- --------
<S> <C> <C> <C> <C>
Money Market Fund............................ $6 $19 $33 $ 75
Short-Term Fund.............................. $7 $22 $39 $87
Low Duration Fund............................ $7 $22 $38 $85
Low Duration Fund II......................... $8 $24 $42 $93
Low Duration Fund III........................ $8 $24 $-- $ --
Moderate Duration Fund....................... $8 $24 $-- $ --
High Yield Fund.............................. $ 8 $24 $42 $ 93
Total Return Fund............................ $7 $22 $38 $85
Total Return Fund II......................... $8 $24 $42 $93
Total Return Fund III........................ $8 $24 $42 $93
Commercial Mortgage Securities Fund.......... $9 $29 $-- $ --
Long-Term U.S. Government Fund............... $8 $24 $42 $93
Foreign Fund ................................ $8 $24 $42 $93
Global Fund.................................. $8 $26 $44 $99
International Fund........................... $8 $24 $42 $93
StocksPLUS Fund.............................. $9 $29 $50 $111
StocksPLUS Short Strategy Fund............... $9 $29 $-- $ --
Growth Stock Fund............................ $ 8 $24 $42 $ 93
VersaSTYLE Equity Fund....................... $9 $29 $50 $111
</TABLE>
The above tables are provided to assist investors in understanding the
various expenses which may be borne directly or indirectly in connection with
an investment in the Funds. This example should not be considered a
representation of past or future expenses or performance. Actual expenses may
be higher or lower than those shown. Examples of Fund Expenses for five and ten
year periods are only presented for those Funds with greater than ten months'
operational results.
7
<PAGE>
FINANCIAL HIGHLIGHTS
The following information regarding selected per share data and ratios for
shares of each Fund except the PIMCO Money Market Fund and PIMCO Total Return
Fund II are part of the Trust's financial statements which are included in the
Trust's Annual Report dated March 31, 1995, and Semi-Annual Report dated
September 30, 1995, and incorporated by reference in the Statement of
Additional Information. The Trust's audited financial statements and selected
per share data and ratios appearing under the heading "Financial Highlights"
have been examined by Price Waterhouse LLP, independent accountants, whose
opinion thereon is also included in the Annual Report. Information contained in
the Trust's Semi-Annual Report is unaudited. Information is presented for each
Fund, and Class thereof, of the Trust which had investment operations during
the reporting periods. Information regarding the PIMCO Money Market Fund and
PIMCO Total Return Fund II reflects the operational history of the Money Market
Fund and PIMCO Managed Bond and Income Fund, two series of PIMCO Advisors
Institutional Funds, which were reorganized as series of the Trust as of
November 1, 1995. On that date, the investment advisory responsibilities of
Pacific Mutual Life Insurance Company with respect to the Money Market Fund
were assumed by PIMCO. Information for these Funds is included in the Annual
Report dated October 31, 1995, of PIMCO Advisors Institutional Funds, which is
incorporated by reference in the Statement of Additional Information. The
financial information for these Funds as of October 31, 1995, has been audited
by Deloitte & Touche LLP, independent accountants, whose opinion thereon is
included in the Annual Report.
Selected data for a share outstanding throughout each period:
<TABLE>
<CAPTION>
NET ASSET NET REALIZED TOTAL INCOME DIVIDENDS DISTRIBUTIONS
YEAR OR VALUE NET AND UNREALIZED (LOSS) FROM FROM NET FROM NET DISTRIBUTIONS
PERIOD BEGINNING INVESTMENT GAIN (LOSS) ON INVESTMENT INVESTMENT REALIZED FROM RETURN TOTAL
ENDED OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME CAPITAL GAINS OF CAPITAL DISTRIBUTIONS
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
MONEY MARKET FUND
Institutional
Class
10/31/95 $ 1.00 $.06 $ .06 $(.06) $(.06)
10/31/94 1.00 .03 .03 (.03) (.03)
10/31/93 1.00 .03 .03 (.03) (.03)
10/31/92 1.00 .04 .04 (.04) (.04)
10/31/91(a) 1.00 .04 .04 (.04) (.04)
Administrative
Class
10/31/95(b) 1.00 .05 .05 (.05) (.05)
SHORT-TERM FUND
Institutional
Class
9/30/95* $ 9.79 $.36 $.09 $ .45 $(.36) $(.36)
3/31/95 9.92 .56 (.13) .43 (.56)(1) (.56)
3/31/94 10.03 .48 (.12) .36 (.47) (.47)
3/31/93 10.01 .37 .02 .39 (.37) (.37)
3/31/92 10.02 .55 .55 (.55) $(.01) (.56)
3/31/91 9.99 .77 .04 .81 (.78) (.78)
3/31/90 10.00 .86 (.01) .85 (.86) (.86)
3/31/89 10.00 .81 (.01) .80 (.80) (.80)
3/31/88(c) 10.00 .33 .33 (.33) (.33)
LOW DURATION FUND
Institutional
Class
9/30/95* $ 9.76 $.34 $.21 $ .55 $(.34) $(.34)
3/31/95 10.04 .65 (.30) .35 (.54) $(.09) (.63)
3/31/94 10.30 .62 (.16) .46 (.67)(2) $(.05) (.72)
3/31/93 10.20 .75 .22 .97 (.74) (.13) (.87)
3/31/92 10.02 .83 .25 1.08 (.82) (.08) (.90)
3/31/91 9.89 .89 .12 1.01 (.88) (.88)
3/31/90 9.70 .88 .20 1.08 (.88) (.01) (.89)
3/31/89 9.99 .89 (.25) .64 (.90) (.03) (.93)
3/31/88(d) 10.00 .74 (.01) .73 (.74) (.74)
Administrative
Class
9/30/95* 9.76 .38 .16 .54 (.33) (.33)
3/31/95(e) 9.67 .18 .07 .25 (.14) (.02) (.16)
LOW DURATION FUND
II
Institutional
Class
9/30/95* $ 9.77 $.34 $.09 $ .43 $(.33) $(.33)
3/31/95 9.94 .62 (.16) .46 (.61)(2) $(.02) (.63)
3/31/94 10.25 .60 (.28) .32 (.58) $(.05) (.63)
3/31/93 10.04 .63 .25 .88 (.64) (.03) (.67)
3/31/92(f) 10.00 .28 .03 .31 (.27) (.27)
HIGH YIELD FUND
Institutional
Class
9/30/95* $10.42 $.51 $.49 $ 1.00 $(.51) $(.51)
3/31/95 10.52 .99 (.12) .87 (.95)(3) (.02) (.97)
3/31/94 10.41 .90 .18 1.08 (.90) (.07) (.97)
3/31/93(g) 10.00 .24 .41 .65 (.24) (.24)
Administrative
Class
9/30/95* 10.41 .53 .47 1.00 (.50) (.50)
3/31/95(h) 10.14 .23 .25 .48 (.21) (.21)
TOTAL RETURN FUND
Institutional
Class
9/30/95* $10.02 $.38 $.41 $ .79 $(.36) $(.36)
3/31/95 10.25 .64 (.24) .40 (.61)(4) $(.02) (.63)
3/31/94 10.91 .68 (.16) .52 (.86)(5) (.32)(6) (1.18)
3/31/93 10.46 .76 .76 1.52 (.76) (.31) (1.07)
3/31/92 10.15 .86 .60 1.46 (.86) (.29) (1.15)
3/31/91 9.77 .90 .39 1.29 (.90) (.01) (.91)
3/31/90 9.62 .87 .21 1.08 (.87) (.06) (.93)
3/31/89 10.04 .90 (.23) .67 (.91) (.18) (1.09)
3/31/88(d) 10.00 .67 .04 .71 (.67) (.67)
Administrative
Class
9/30/95* 10.01 .38 .39 .77 (.34) (.34)
3/31/95(i) 10.00 .31 (.06) .37 (.35)(2) (.01) (.36)
</TABLE>
- -------
(1) Including dividend in excess
of $0.01. (4) Including dividend in excess
(2) Including dividend in excess
of $0.03. (5) Including dividend in excess
of $0.15.
(3) Including dividend in excess (6) Including distribution in
of $0.02. excess of $0.02.
* Unaudited.
8
<PAGE>
PIMCO FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share outstanding throughout each period:
<TABLE>
<CAPTION>
RATIO OF NET
NET ASSET NET ASSETS RATIO OF INVESTMENT
YEAR OR VALUE END EXPENSES TO INCOME TO PORTFOLIO
PERIOD END TOTAL OF PERIOD AVERAGE AVERAGE TURNOVER
ENDED OF PERIOD RETURN (000'S) NET ASSETS NET ASSETS RATE
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
MONEY MARKET
FUND
Institutional
Class
10/31/95 $ 1.00 5.67% $ 7,741 0.40% 5.53% N/A
10/31/94 1.00 3.53 7,454 0.40 3.52 N/A
10/31/93 1.00 2.83 5,836 0.40 2.78 N/A
10/31/92 1.00 3.85 7,817 0.40 4.02 N/A
10/31/91(a) 1.00 3.78 45,406 0.53+ 5.20 N/A
Administrative
Class
10/31/95(b) 1.00 4.21 10 0.68+ 5.94+ N/A
SHORT-TERM FUND
Institutional
Class
9/30/95* $ 9.88 4.64% $ 94,074 0.68%+(+) 7.32%+ 93.46%
3/31/95 9.79 4.46 90,114 0.50 5.67 79.30
3/31/94 9.92 3.66 73,176 0.50 4.87 45.81
3/31/93 10.03 3.94 46,905 0.50 3.67 54.50
3/31/92 10.01 5.66 44,172 0.50 5.52 94.62
3/31/91 10.02 8.44 44,820 0.50 7.83 115.26
3/31/90 9.99 8.86 13,649 0.50 8.61 140.28
3/31/89 10.00 8.29 14,401 0.50 8.57 178.21
3/31/88(c) 10.00 7.17+ 5,546 0.50+ 6.99+ 11.57
LOW DURATION
FUND
Institutional
Class
9/30/95* $ 9.97 5.75% $2,435,058 0.40%+ 7.02%+ 68.67%
3/31/95 9.76 3.60 2,332,032 0.41 6.46 77.14
3/31/94 10.04 4.56 2,298,255 0.43 6.05 42.69
3/31/93 10.30 9.91 1,403,594 0.45 7.21 67.51
3/31/92 10.20 11.30 906,650 0.50 8.08 37.21
3/31/91 10.02 10.60 516,325 0.57 8.97 44.31
3/31/90 9.89 11.36 317,425 0.60 8.83 161.91
3/31/89 9.70 6.49 172,046 0.60 8.83 56.23
3/31/88(d) 9.99 8.64+ 115,865 0.60+ 8.85+ 77.88
Administrative
Class
9/30/95* 9.97 5.59 1,083 0.64+ 6.68+ 68.67
3/31/95(e) 9.76 2.53+ 771 0.66+ 6.93+ 77.14
LOW DURATION
FUND II
Institutional
Class
9/30/95* $ 9.87 4.47% $ 194,533 0.46%+ 6.86%+ 65.24%
3/31/95 9.77 4.80 170,866 0.47 6.35 102.43
3/31/94 9.94 3.15 141,411 0.50 5.73 53.78
3/31/93 10.25 8.95 101,025 0.50 6.16 95.33
3/31/92(f) 10.04 7.72+ 31,027 0.51+ 6.80+ 12.57
HIGH YIELD FUND
Institutional
Class
9/30/95* $10.91 9.77% $ 470,510 0.44%+ 9.58%+ 35.92%
3/31/95 10.42 8.81 336,310 0.48 9.37 77.60
3/31/94 10.52 10.65 219,976 0.50 8.40 112.40
3/31/93(g) 10.41 24.43+ 24,069 0.50+ 8.24+ 29.74
Administrative
Class
9/30/95* 10.91 9.75 31 0.42+ 9.70+ 35.92
3/31/95(h) 10.41 4.66 41 0.73+ 10.12+ 77.60
TOTAL RETURN
FUND
Institutional
Class
9/30/95* $10.45 7.94% $9,126,049 0.40%+ 6.96%+ 104.35%
3/31/95 10.02 4.22 7,239,735 0.41 6.72 98.48
3/31/94 10.25 4.55 5,008,160 0.41 6.27 176.74
3/31/93 10.91 15.29 3,155,441 0.43 7.07 89.95
3/31/92 10.46 14.90 1,813,935 0.46 8.18 110.46
3/31/91 10.15 13.74 975,619 0.49 9.10 98.68
3/31/90 9.77 11.36 659,663 0.60 8.60 109.90
3/31/89 9.62 5.96 192,613 0.60 8.53 195.26
3/31/88(d) 10.04 8.31+ 45,172 0.60+ 7.66+ 75.34
Administrative
Class
9/30/95* 10.44 7.81 58,779 0.68+ 6.86+ 104.35
3/31/95(i) 10.01 3.76+ 9,037 0.66+ 6.54+ 98.48
</TABLE>
- -------
(a) From commencement of (f) From commencement of
operations, March 1, 1991. operations, November 1,
(b) From commencement of 1991.
operations, January 24, (g) From commencement of
1995. operations, December 16,
(c) From commencement of 1992.
operations, October 7, 1987. (h) From commencement of
(d) From commencement of operations, January 16,
operations, May 11, 1987. 1995.
+ Annualized.
(e) From commencement of (i) From commencement of
operations, December 31, operations, September 7,
1994. 1994.
+ Ratio includes interest expense incurred due to temporary borrowing under
reverse repurchase agreements.
9
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share outstanding throughout each period:
<TABLE>
<CAPTION>
NET ASSET NET REALIZED TOTAL INCOME DIVIDENDS DISTRIBUTIONS
YEAR OR VALUE NET AND UNREALIZED (LOSS) FROM FROM NET FROM NET DISTRIBUTIONS
PERIOD BEGINNING INVESTMENT GAIN (LOSS) ON INVESTMENT INVESTMENT REALIZED FROM RETURN TOTAL
ENDED OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME CAPITAL GAINS OF CAPITAL DISTRIBUTIONS
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
TOTAL RETURN
FUND II
Institutional
Class
10/31/95 $ 9.39 $ .69 $ .76 $ 1.45 $ (.62) $ (.01) $ (.63)
10/31/94 10.38 .51 (.88) (.37) (.51) (.05) $(.06) (.62)
10/31/93 9.99 .61 .74 1.35 (.61) (.35) (.96)
10/31/92(j) 10.00 .49 .23 .72 (.49) (.24) (.73)
Administrative
Class
10/31/95(k) 9.34 .56 .88 1.44 (.55) (.01) (.56)
TOTAL RETURN
FUND III
Institutional
Class
9/30/95* $ 8.99 $ .33 $ .33 $ .66 $ (.32) $ (.32)
3/31/95 9.18 .59 (.16) .43 (.54)(3) $(.08) (.62)
3/31/94 9.81 .59 (.03) .56 (.78)(7) $ (.41)(8) (1.19)
3/31/93 10.31 .64 .75 1.39 (.64) (1.25) (1.89)
3/31/92(l) 10.00 .63 .58 1.21 (.63) (.27) (.90)
LONG-TERM U.S. GOV'T FUND
Institutional
Class
9/30/95* $ 9.85 $ .37 $ .97 $ 1.34 $ (.36) $ (.36)
3/31/95 9.96 .60 (.09) .51 (.62)(3) (.62)
3/31/94 11.36 .62 (.06) .56 (1.09)(9) $ (.87)(10) (1.96)
3/31/93 10.82 .70 1.66 2.36 (.70) (1.12) (1.82)
3/31/92(m) 10.00 .64 .85 1.49 (.64) (.03) (.67)
FOREIGN FUND
Institutional
Class
9/30/95* $ 9.38 $ .31 $ .74 $ 1.05 $ (.33) $ (.33)
3/31/95 10.18 .38 (.57) (.19) $(.61) (.61)
3/31/94 10.34 .55 .27 .82 (.55) $ (.43)(11) (.98)
3/31/93(n) 10.00 .16 .34 0.50 (.16) (.16)
GLOBAL FUND
Institutional
Class
9/30/95* $ 9.87 $ .29 $ .32 $ .61 $ (.32) $ (.32)
3/31/95 9.85 .69 (.14) .55 (.53)(12) (.53)
3/31/94(o) 10.00 .16 (.15) .01 (.16) (.16)
INTERNATIONAL
FUND
Institutional
Class
9/30/95* $ 7.44 $ .18 $ .33 $ .51
3/31/95 9.93 2.18 (2.41) (0.23) $ (2.26) $(2.26)
3/31/94 10.53 .47 .24 .71 (.96) $ (.35) (1.31)
3/31/93 10.02 .62 .42 1.04 (.48) (.05) (.53)
3/31/92 9.94 .79 .27 1.06 (.78) (.20) (.98)
3/31/91 9.78 .79 .30 1.09 (.83) (.10)++ (.93)
3/31/90(p) 10.00 .15 (.27) (.12) (.10) (.10)
STOCKSPLUS FUND
Institutional
Class
9/30/95* $10.48 $ .87 $ 1.15 $ 2.02 $ (.44) $ (.44)
3/31/95 9.52 1.03 .69 1.72 (.76) (.76)
3/31/94(q) 10.00 .34 .10 .44 (.35)(1) $ (.57)(13) (.92)
GROWTH STOCK
FUND
Institutional
Class
9/30/95* $13.71 $ .09 $ 2.30 $ 2.39 $ (.09) $ (.09)
3/31/95 13.51 .20 1.15 1.35 (.20) $ (.95) (1.15)
3/31/94 14.35 .19 (.11) .08 (.19) (.73) (.92)
3/31/93 13.21 .20 1.31 1.51 (.20) (.17) (.37)
3/31/92 11.93 .23 1.28 1.51 (.23) (.23)
3/31/91 10.47 .31 1.45 1.76 (.30) (.30)
3/31/90 9.10 .36 1.39 1.75 (.38) (.38)
3/31/89 8.60 .33 .50 .83 (.33) (.33)
3/31/88(r) 10.00 .18 (1.40) (1.22) (.18) (.18)
VERSASTYLE EQUITY FUND
Institutional
Class
9/30/95* $10.22 $ .10 $ 1.82 $ 1.92 $ (.10) $ (.10)
3/31/95(s) 10.00 .12 .22 .34 (.12) (.12)
</TABLE>
- -------
(7) Including dividend in excess (10) Including distribution in
of $0.12. excess of $0.17.
(8) Including distribution in (11) Including distribution in
excess of $0.21. excess of $0.37.
(9) Including dividend in excess (12) Including dividend in
of $0.04. excess of $0.24.
* Unaudited. (13) Including distribution in
excess of $0.47.
++ Gain distribution includes $0.14 per share characterized for tax purposes as
distributions from ordinary income.
10
<PAGE>
PIMCO FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share outstanding throughout each period:
<TABLE>
<CAPTION>
RATIO OF NET
NET ASSET NET ASSETS RATIO OF INVESTMENT
YEAR OR VALUE END EXPENSES TO INCOME TO PORTFOLIO
PERIOD END TOTAL OF PERIOD AVERAGE AVERAGE TURNOVER
ENDED OF PERIOD RETURN (000'S) NET ASSETS NET ASSETS RATE
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
TOTAL RETURN
FUND II
Institutional
Class
10/31/95 $10.21 15.96% $ 442,091 0.50% 6.47% 41.05%
10/31/94 9.39 (3.58) 357,900 0.50 5.22 99.46
10/31/93 10.38 13.79 371,260 0.50 5.38 49.71
10/31/92(j) 9.99 7.52 287,113 0.50+ 5.83+ 133.61
Administrative
Class
10/31/95(k) 10.22 15.92 3,163 0.76+ 6.22+ 40.91
TOTAL RETURN
FUND III
Institutional
Class
9/30/95* $ 9.33 7.43% $ 115,717 0.50%+ 7.04%+ 90.00%
3/31/95 8.99 4.92 99,497 0.50 6.95 145.98
3/31/94 9.18 5.64 97,522 0.50 6.00 95.21
3/31/93 9.81 14.47 65,349 0.51 6.06 161.38
3/31/92(l) 10.31 13.61+ 47,908 0.60+ 6.75+ 521.14
LONG-TERM U.S.
GOV'T FUND
Institutional
Class
9/30/95* $10.83 13.71% $ 44,397 0.50%+ 6.76%+ 67.41%
3/31/95 9.85 5.50 32,349 0.50 6.62 88.92
3/31/94 9.96 4.13 25,978 0.50 5.37 97.67
3/31/93 11.36 23.42 22,946 0.50 6.16 320.08
3/31/92(m) 10.82 20.57+ 15,900 0.50+ 7.91+ 427.81
FOREIGN FUND
Institutional
Class
9/30/95* $10.10 11.47% $ 233,296 0.54%+ 6.87%+ 477.49%
3/31/95 9.38 (1.85) 232,700 0.47 6.44 299.45
3/31/94 10.18 7.79 498,521 0.54 5.12 260.34
3/31/93(n) 10.34 16.23+ 178,895 0.65+ 4.97+ 122.55
GLOBAL FUND
Institutional
Class
9/30/95* $10.16 6.23% $ 98,073 0.65%+ 6.27%+ 462.39%
3/31/95 9.87 10.35 76,476 0.64 5.59 461.46
3/31/94(o) 9.85 0.08 40,485 0.50+ 4.55+ 132.41
INTERNATIONAL
FUND
Institutional
Class
9/30/95* $7.95 6.85% $2,195,889 0.46%+ 6.92%+ 627.00%
3/31/95 7.44 (1.27) 45,950 0.43 5.90 674.00
3/31/94 9.93 6.54 2,296,978 0.43 5.51 370.00
3/31/93 10.53 10.61 2,589,677 0.46 6.67 301.00
3/31/92 10.02 10.97 1,314,661 0.51 8.24 201.00
3/31/91 9.94 11.55 609,660 0.55 8.23 202.00
3/31/90(p) 9.78 (4.18)+ 407,210 0.75+ 7.94+ 49.00
STOCKSPLUS FUND
Institutional
Class
9/30/95* $12.06 19.42% $ 73,687 0.65%+ 18.76%+ 70.65%
3/31/95 10.48 18.64 46,498 0.50 11.89 176.98
3/31/94(q) 9.52 1.55 14,330 0.50+ 4.00+ 33.29
GROWTH STOCK
FUND
Institutional
Class
9/30/95* $16.01 17.44% $ 11,180 0.50%+ 1.08%+ 28.78%
3/31/95 13.71 10.65 15,429 0.50 1.43 89.98
3/31/94 13.51 0.48 22,513 0.50 1.39 81.36
3/31/93 14.35 11.51 22,907 0.53 1.53 63.91
3/31/92 13.21 12.87 15,590 0.60 2.02 64.63
3/31/91 11.93 17.14 4,550 0.60 2.93 93.22
3/31/90 10.47 19.28 3,882 0.60 3.53 106.37
3/31/89 9.10 9.76 3,077 0.60 3.42 45.09
3/31/88(r) 8.60 (15.89)+ 4,447 0.60+ 2.87+ 49.72
VERSASTYLE EQUITY FUND
Institutional
Class
9/30/95* $12.04 18.89% $ 6,150 0.65%+ 1.88%+ 91.00%
3/31/95(s) 10.22 3.44 5,171 0.65+ 2.45+ 160.00
</TABLE>
- --------
(j) From commencement of (o) From commencement of
operations, December 30, 1991. operations, November 23, 1993.
(k) From commencement of (p) From commencement of
operations, November 30, 1994. operations, December 13, 1989.
(l) From commencement of (q) From commencement of
operations, May 1, 1991. operations, May 14, 1993.
(m) From commencement of (r) From commencement of
operations, July 1, 1991. operations, June 29, 1987.
(n) From commencement of (s) From commencement of
operations, December 3, 1992. operations, September 30, 1994.
+ Annualized.
11
<PAGE>
INVESTMENT OBJECTIVES AND POLICIES
The investment objective and general investment policies of each Fund are
described below. There can be no assurance that the investment objective of
any Fund will be achieved. Because the market value of each Fund's investments
will change, the net asset value per share of each Fund, except the PIMCO
Money Market Fund, also will vary. Specific portfolio securities eligible for
purchase by the Funds, investment techniques that may be used by the Funds,
and the risks associated with these securities and techniques are described
more fully under "Characteristics and Risks of Securities and Investment
Techniques" in the Prospectus and "Investment Objectives and Policies" in the
Statement of Additional Information.
FIXED INCOME FUNDS
Each of the Fixed Income Funds differs from the others primarily in the
length of the Fund's duration or the proportion of its investments in certain
types of fixed income securities. For a discussion of the concept of duration,
see "Duration" below.
The investment objective of the PIMCO Money Market Fund and PIMCO Short-Term
Fund is to seek to obtain maximum current income consistent with preservation
of capital and daily liquidity. The PIMCO Money Market Fund also attempts to
maintain a stable net asset value of $1.00 per share, although there can be no
assurance that it will be successful in doing so. Each of the remaining Fixed
Income Funds seeks to maximize total return, consistent with preservation of
capital and prudent investment management.
In selecting securities for each Fixed Income Fund, the Adviser utilizes
economic forecasting, interest rate anticipation, credit and call risk
analysis, foreign currency exchange rate forecasting, and other security
selection techniques. The proportion of each Fund's assets committed to
investment in securities with particular characteristics (such as maturity,
type and coupon rate) will vary based on the Adviser's outlook for the U.S.
and foreign economies, the financial markets, and other factors.
Each of the Fixed Income Funds will invest at least 65% of its assets in the
following types of securities, which, unless specifically provided otherwise
in the description of the Funds that follows, may be issued by domestic or
foreign entities and denominated in U.S. dollars or foreign currencies:
securities issued or guaranteed by the U.S. Government, its agencies or
instrumentalities ("U.S. Government securities"); corporate debt securities,
including convertible securities and corporate commercial paper; mortgage-
backed and other asset-backed securities; structured notes and loan
participations; bank certificates of deposit, fixed time deposits and bankers'
acceptances; repurchase agreements and reverse repurchase agreements;
obligations of foreign governments or their subdivisions, agencies and
instrumentalities; and obligations of international agencies or supranational
entities. Fixed income securities may have fixed, variable, or floating rates
of interest, including rates of interest that vary inversely at a multiple of
a designated or floating rate, or that vary according to changes in relative
values of currencies. Each of the Fixed Income Funds may hold different
percentages of its assets in these various types of securities, and each Fund,
except the PIMCO Money Market Fund, may invest all of its assets in derivative
instruments or in mortgage- or asset-backed securities.
The compositions of the Fixed Income Funds differ as follows:
PIMCO Money Market Fund seeks maximum current income consistent with the
preservation of capital and daily liquidity. It attempts to achieve this
objective by investing at least 95% of its total assets, measured at the time
of investment, in a diversified portfolio of highest quality money market
securities. The Fund may also invest up to 5% of its total assets, measured at
the time of investment, in money market securities that are in the second-
highest rating category for short-term obligations. The Fund's investments in
securities will be limited to U.S. dollar-denominated securities that mature
in 13 months or less from the date of purchase. The Fund may invest in the
following: obligations of the U.S. Government (including its agencies and
instrumentalities); short-term corporate debt securities from domestic and
foreign corporations; obligations of domestic and foreign commercial banks,
savings banks, and savings and loan associations; and commercial paper. The
Fund may invest more than 25% of its total assets in securities or obligations
issued by U.S. banks. The dollar-weighted average portfolio maturity of the
Fund will not exceed 90 days.
12
<PAGE>
PIMCO FUNDS
The PIMCO Money Market Fund may invest only in U.S. dollar-denominated money
market instruments that present minimal credit risk and, with respect to at
least 95% of its total assets, measured at the time of investment, that are of
the highest quality. The Adviser will make a determination as to whether a
security presents minimal credit risk under procedures adopted by the Board of
Trustees. A money market instrument will be considered to be highest quality
(1) if rated in the highest rating category (i) by any two nationally
recognized statistical rating organizations ("NRSROs") (e.g., Aaa or Prime-1
by Moody's, AAA or A-1 by S&P, or, (ii) if rated by only one NRSRO, by that
NRSRO, and whose acquisition is approved or ratified by the Board of Trustees;
(2) if unrated but issued by an issuer that has short-term debt obligations of
comparable maturity, priority, and security, and that are rated in the highest
rating category by (i) any two NRSROs or, (ii) if rated by only one NRSRO, by
that NRSRO, and whose acquisition is approved or ratified by the Board of
Trustees; or (3) an unrated security that is of comparable quality to a
security rated in the highest rating category as determined by the Adviser and
whose acquisition is approved or ratified by the Board of Trustees. With
respect to no more than 5% of its total assets, measured at the time of
investment, the Fund may also invest in money market instruments that are in
the second-highest rating category for short-term debt obligations (e.g.,
rated Aa or Prime-2 by Moody's or AA or A-2 by S&P). A money market instrument
will be considered to be in the second-highest rating category under the
criteria described above with respect to instruments considered highest
quality, as applied to instruments in the second-highest rating category.
The PIMCO Money Market Fund may not invest more than 5% of its total assets,
measured at the time of investment, in securities of any one issuer that are
of the highest quality, except that (1) the Fund may invest more than 5% of
its total assets in the securities of a single issuer if rated in the highest
rating category for a period of up to three business days after purchase,
provided that the Fund may not make more than one investment at a time in
accordance with this exception, and (2) this limitation shall not apply to
U.S. Government securities and repurchase agreements with respect thereto. The
Fund may not invest more than the greater of 1% of its total assets or
$1,000,000, measured at the time of investment, in securities of any one
issuer that are in the second-highest rating category, except that this
limitation shall not apply to U.S. Government securities. In the event that an
instrument acquired by the Fund is downgraded or otherwise ceases to be of the
quality that is required for securities purchased by the Fund, the Adviser,
under procedures approved by the Board of Trustees (or the Board of Trustees
itself if the Adviser becomes aware an unrated security is downgraded below
high quality and the Adviser does not dispose of the security or such security
does not mature within five business days) shall promptly reassess whether
such security presents minimal credit risk and determine whether to retain the
instrument.
PIMCO Short-Term Fund invests in a diversified portfolio of fixed income
securities of varying maturities with a maximum portfolio duration of one
year. The Fund may invest up to 10% of its assets in fixed income securities
that are rated below investment grade (rated below Baa by Moody's or BBB by
S&P) but rated B or higher by Moody's or S&P (or, if unrated, determined by
the Adviser to be of comparable quality). Securities rated below investment
grade may be referred to colloquially as "junk bonds." For information on the
risks associated with investments in securities rated below investment grade,
see "Credit and Quality Standards." The Fund may invest up to 5% of its assets
in securities denominated in foreign currencies, and may invest beyond this
limit in U.S. dollar-denominated securities of foreign issuers.
PIMCO Low Duration Fund invests in a diversified portfolio of fixed income
securities of varying maturities with a portfolio duration of from one to
three years. The Fund may invest up to 10% of its assets in fixed income
securities that are rated below investment grade but rated B or higher by
Moody's or S&P (or, if unrated, determined by the Adviser to be of comparable
quality). For information on the risks associated with investments in
securities rated below investment grade, see "Credit and Quality Standards."
The Fund may invest up to 20% of its assets in securities denominated in
foreign currencies, and may invest beyond this limit in U.S. dollar-
denominated securities of foreign issuers. The total rate of return for this
Fund is expected to exhibit less volatility than that of the PIMCO Moderate
Duration Fund or the PIMCO Total Return Fund because its duration will be
shorter.
PIMCO Low Duration Fund II has the same policies as the PIMCO Low Duration
Fund, except that its investments in fixed income securities are limited to
those of domestic (U.S.) issuers that are rated at least A by Moody's or S&P
(or, if unrated, determined by the Adviser to be of comparable quality).
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PIMCO Low Duration Fund III has the same policies as the PIMCO Low Duration
Fund, except that it limits its investments with respect to certain socially
sensitive issues. As a matter of non-fundamental policy, the Fund will not
invest in the securities of any issuer determined by the Adviser to be engaged
principally in the provision of healthcare services, the manufacture of
alcoholic beverages, tobacco products, pharmaceuticals or military equipment,
or the operation of gambling casinos. The Fund will also avoid, to the extent
possible on the basis of information available to the Adviser, the purchase of
securities of issuers engaged in the production or trade of pornographic
materials. An issuer will be deemed to be principally engaged in an activity
if it derives more than 10% of its gross revenues from such activities.
PIMCO Moderate Duration Fund invests in a diversified portfolio of fixed
income securities of varying maturities with a portfolio duration range of two
to four years. The Fund may invest up to 10% of its assets in fixed income
securities that are rated below investment grade but rated B or higher by
Moody's or S&P (or, if unrated, determined by the Adviser to be of comparable
quality). For information on the risks associated with investments in
securities rated below investment grade, see "Credit and Quality Standards."
The Fund may invest up to 20% of its assets in securities denominated in
foreign currencies, and may invest beyond this limit in U.S. dollar-
denominated securities of foreign issuers. The total rate of return for this
Fund is expected to exhibit less volatility than that of the PIMCO Total
Return Fund because its duration will normally be shorter. However, the total
rate of return for this Fund is expected to exhibit more volatility than that
of the PIMCO Low Duration Fund because its duration will normally be longer.
PIMCO High Yield Fund invests under normal circumstances at least 65% of its
assets in a diversified portfolio of fixed income securities rated lower than
Baa by Moody's or lower than BBB by S&P but rated at least B by Moody's or S&P
(or, in either case, if unrated, deemed by the Adviser to be of comparable
quality). Such securities are colloquially referred to as "junk bonds." The
remainder of the Fund's assets may be invested in investment grade fixed
income securities (i.e., securities rated at least Baa by Moody's or BBB by
S&P, or, if unrated, deemed by the Adviser to be of comparable quality). The
portfolio duration of the PIMCO High Yield Fund will vary within a range of
from two to six years, depending on the Adviser's view of the potential for
total return offered by a particular duration strategy. The Fund may invest in
securities of foreign issuers, but only those that are U.S. dollar-
denominated. The Fund may also engage in hedging strategies involving equity
options.
Investments in high yield securities, while generally providing greater
potential opportunity for capital appreciation and higher yields than
investments in higher rated securities, also entail greater risk, including
the possibility of default or bankruptcy of the issuer of such securities.
Risk of default or bankruptcy may be greater in periods of economic
uncertainty or recession, as the issuers of high yield securities may be less
able to withstand general economic downturns. The Adviser seeks to reduce risk
through diversification, credit analysis and attention to current developments
and trends in both the economy and financial markets. The value of all fixed
income securities, including those held by the Fund, can be expected to change
inversely with interest rates. For a further discussion of the special risks
of investing in lower rated securities, see "Characteristics and Risks of
Securities and Investment Techniques--High Yield Securities."
PIMCO Total Return Fund invests under normal circumstances at least 65% of
its assets in a diversified portfolio of fixed income securities of varying
maturities with a portfolio duration range of three to six years. The duration
of this Fund will vary within the three- to six-year timeframe based on the
Adviser's forecast for interest rates, but under current conditions is
expected to stay within one year of what the Adviser believes to be the
average duration of the bond market as a whole. The Fund may invest up to 10%
of its assets in fixed income securities that are rated below investment grade
but rated B or higher by Moody's or S&P (or, if unrated, determined by the
Adviser to be of comparable quality). For information on the risks associated
with investments in securities rated below investment grade, see "Credit and
Quality Standards." The Fund may also invest up to 20% of its assets in
securities denominated in foreign currencies, and may invest beyond this limit
in U.S. dollar-denominated securities of foreign issuers. Portfolio holdings
will be concentrated in areas of the bond market (based on quality, sector,
coupon or maturity) which the Adviser believes to be relatively undervalued.
The total rate of return for this Fund is expected to exhibit less volatility
than that of the PIMCO Long-Term U.S. Government Fund because its duration
will normally be shorter.
PIMCO Total Return Fund II has the same policies as the PIMCO Total Return
Fund, except that its investments in fixed income securities are limited to
those of domestic (U.S.) issuers that are rated at least Baa by Moody's or BBB
by S&P (or, if unrated, determined by the Adviser to be of comparable
quality.)
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PIMCO FUNDS
PIMCO Total Return Fund III has the same policies as the PIMCO Total Return
Fund, except that it limits its investments with respect to certain socially
sensitive issues in the same manner as the PIMCO Low Duration Fund III.
PIMCO Commercial Mortgage Securities Fund invests at least 65% of its assets
in commercial mortgage-backed securities rated at least Baa by Moody's or BBB
by S&P (or, if unrated, determined by the Adviser to be of comparable
quality). The Fund also may invest up to 35% of its assets in lower-rated
securities (but rated at least B, or, if unrated, determined by the Adviser to
be of comparable quality) if such securities are considered by the Adviser to
have attractive investment characteristics. For information on the risks
associated with investments in securities rated below investment grade, see
"Credit and Quality Standards." The portfolio duration of this Fund will vary
within a range of from three to eight years, depending on the Adviser's view
of the potential for total return offered by a particular duration strategy.
The Fund may invest in securities of foreign issuers, but only those that are
U.S. dollar-denominated.
PIMCO Long-Term U.S. Government Fund invests in a diversified portfolio of
primarily U.S. Government securities, which may be represented by futures
contracts (including related options) with respect to such securities, and
options on such securities, when the Adviser deems it appropriate to do so.
The Fund will have a minimum portfolio duration of eight years. For point of
reference, the dollar-weighted average portfolio maturity of the Fund is
expected to be more than ten years. The total rate of return is expected to
exhibit more volatility than that of the other Fixed Income Funds due to the
greater investment risk normally associated with longer duration investments.
The PIMCO Long-Term U.S. Government Fund's investments in fixed income
securities are limited to those of U.S. dollar-denominated securities of
domestic and foreign issuers that are rated at least A by Moody's or S&P (or,
if unrated, determined by the Adviser to be of comparable quality). In
addition, the Fund will not acquire a security if, as a result, more than 10%
of the Fund's total assets would be invested in securities rated below Aa by
Moody's or below AA by S&P, or if more than 25% of the Fund's total assets
would be invested in securities rated Aa by Moody's or AA by S&P.
PIMCO Foreign Fund invests in a portfolio of fixed income securities
primarily denominated in major foreign currencies and baskets of foreign
currencies (such as the European Currency Unit, or "ECU"). The Adviser will
invest the assets of the Fund in a number of international bond markets so
that, under normal circumstances, the Fund will invest at least 85% of its
assets in securities of issuers located outside the United States,
representing at least three foreign countries, which may be represented by
futures contracts (including related options) with respect to such securities,
and options on such securities, when the Adviser deems it appropriate to do
so. The Fund may invest up to 10% of its assets in fixed income securities
that are rated below investment grade but rated B or higher by Moody's or S&P
(or, if unrated, determined by the Adviser to be of comparable quality). For
information on the risks associated with investments in securities rated below
investment grade, see "Credit and Quality Standards." The portfolio duration
of the Fund will vary from three to six years.
PIMCO Global Fund invests in a portfolio of fixed income securities
denominated in major foreign currencies, baskets of foreign currencies (such
as the ECU), and the U.S. dollar. Under normal circumstances, at least 65% of
its assets will be invested in fixed income securities of issuers located in
at least three countries (one of which may be the United States), which may be
represented by futures contracts (including related options) with respect to
such securities, and options on such securities, when the Adviser deems it
appropriate to do so. Depending on the Adviser's current opinion as to the
proper allocation of assets among domestic and foreign issuers, investments in
the securities of issuers located outside the United States will normally vary
between 25% and 75% of the Fund's assets. The Fund may invest up to 10% of its
assets in fixed income securities that are rated below investment grade but
rated B or higher by Moody's or S&P (or, if unrated, determined by the Adviser
to be of comparable quality). For information on the risks associated with
investments in securities rated below investment grade, see "Credit and
Quality Standards." The portfolio duration of the Fund will vary from three to
eight years.
The PIMCO Foreign and Global Funds differ primarily in the extent to which
assets are invested in the securities of issuers located outside the United
States. The Adviser will select the PIMCO Foreign and Global Funds' foreign
country and currency compositions based on an evaluation of relative interest
rates, exchange rates, monetary and fiscal policies, trade and current account
balances, and any other specific factors the Adviser believes to be relevant.
PIMCO International Fund invests in a portfolio of fixed income securities
denominated in major foreign currencies, baskets of foreign currencies, and
the U.S. dollar. The PIMCO International Fund is available only
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to private account clients of PIMCO. The Adviser will invest the assets of the
Fund in a number of international bond markets so that, under normal
conditions, the Fund will invest at least 65% of its assets in fixed income
securities of foreign issuers representing at least three foreign countries or
currencies, which may be represented by futures contracts (including related
options) with respect to such securities, and options on such securities, when
the Adviser deems it appropriate to do so. The PIMCO International Fund will
invest only in investment grade securities, i.e., in securities rated at least
Baa by Moody's or BBB by S&P (or, if unrated, deemed by the Adviser to be of
comparable quality). The portfolio duration of the PIMCO International Fund
will vary based on the strategy currently being used by the Adviser in
managing the assets of the Fund within the overall PIMCO private account
management program, but is not expected to exceed eight years. The Adviser
will select the Fund's foreign country and currency composition based on its
evaluation of relative interest rates, inflation rates, exchange rates,
monetary and fiscal policies, trade and current account balances, and any
other specific factors the Adviser believes to be relevant.
As a non-fundamental, operating policy, the Adviser intends to use foreign
currency-related derivative instruments (currency futures and related options,
currency options, forward contracts and swap agreements) in an effort to hedge
foreign currency risk with respect to at least 75% of the assets of the Fixed
Income Funds (other than the Global Fund) denominated in currencies other than
the U.S. dollar. There can be no assurance that the Adviser will be successful
in doing so. The active use of currency derivatives involves transaction costs
which may adversely effect yield and return.
The PIMCO Commercial Mortgage Securities, Foreign, Global and International
Funds are "non-diversified" for purposes of the Investment Company Act of 1940
("1940 Act"), meaning that they may invest a greater percentage of their
assets in the securities of one issuer than the other Funds. As "non-
diversified" portfolios, these Funds may be more susceptible to risks
associated with a single economic, political or regulatory occurrence than a
diversified portfolio might be.
INVESTMENT TECHNIQUES USED BY THE FIXED INCOME FUNDS
The Fixed Income Funds, except the PIMCO Money Market Fund, may buy or sell
interest rate futures contracts, options on interest rate futures contracts
and options on fixed income securities for the purpose of hedging against
changes in the value of securities which a Fund owns or anticipates purchasing
due to anticipated changes in interest rates. All of the Fixed Income Funds
that may invest in securities denominated in foreign currencies also may
engage in foreign currency exchange transactions by means of buying or selling
foreign currencies on a spot basis, entering into foreign currency forward
contracts, and buying and selling foreign currency options, foreign currency
futures, and options on foreign currency futures. Foreign currency exchange
transactions may be entered into for the purpose of hedging against foreign
currency exchange risk arising from a Fund's investment or anticipated
investment in securities denominated in foreign currencies. The Fixed Income
Funds that may invest in securities denominated in foreign currencies also may
enter into foreign currency forward contracts and buy or sell foreign
currencies or foreign currency options for purposes of increasing exposure to
a particular foreign currency or to shift exposure to foreign currency
fluctuations from one country to another. The Fixed Income Funds, except the
PIMCO Money Market Fund, may enter into swap agreements for purposes of
attempting to obtain a particular investment return at a lower cost to the
Fund than if the Fund had invested directly in an instrument that provided
that desired return. In addition, the Fixed Income Funds may purchase and sell
securities on a when-issued or delayed-delivery basis, sell securities short
(except the PIMCO High Yield and Total Return III Funds), enter into forward
commitments to purchase securities and lend their securities to brokers,
dealers and other financial institutions to earn income. See "Characteristics
and Risks of Securities and Investment Techniques" for a description of
securities and investment techniques listed above and restrictions generally
applicable to a Fund's investment in or use of them.
CREDIT AND QUALITY STANDARDS
Each of the PIMCO Short-Term, Low Duration, Low Duration III, Moderate
Duration, Total Return, Total Return III, Foreign, Global, StocksPLUS and
StocksPLUS Short Strategy Funds may invest up to 10% of its assets in fixed
income securities that are rated below "investment grade," i.e., rated below
Baa by Moody's or BBB by S&P, but at least B (or, if unrated, determined by
the Adviser to be of comparable quality). The PIMCO Commercial Mortgage
Securities Fund may invest up to 35% of its assets in such securities.
Securities rated below investment grade are described as "speculative" by both
Moody's and S&P. Securities rated B are judged
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PIMCO FUNDS
to be predominately speculative with respect to their capacity to pay interest
and repay principal in accordance with the terms of the obligations. The
Adviser seeks to reduce the risks associated with investing in such securities
by limiting the Fund's holdings in such securities and by the depth of its own
credit analysis. The PIMCO High Yield Fund's investments in high yield
securities are discussed separately under "Characteristics of Securities and
Investment Techinques--High Yield Securities."
Certain of the Funds make use of average portfolio credit quality standards
to assist institutional investors whose own investment guidelines limit their
investments accordingly. In determining a Fund's overall dollar-weighted
average quality, unrated securities are treated as if rated, based on the
Adviser's view of their comparability to rated securities. A Fund's use of
average quality criteria is intended to be a guide for those institutional
investors whose investment guidelines require that assets be invested
according to comparable criteria. Reference to an overall average quality
rating for a Fund does not mean that all securities held by the Fund will be
rated in that category or higher. A Fund's investments may range in quality
from securities rated in the lowest category in which the Fund is permitted to
invest to securities rated in the highest category (as rated by Moody's or S&P
or, if unrated, determined by the Adviser to be of comparable quality). The
percentage of a Fund's assets invested in securities in a particular rating
category will vary. See "Appendix A--Description of Securities Ratings," for a
description of Moody's and S&P's ratings applicable to fixed income
securities.
TOTAL RETURN
The "total return" sought by certain of the Fixed Income Funds will consist
of interest and dividends from underlying securities, capital appreciation
reflected in unrealized increases in value of portfolio securities (realized
by the shareholder only upon selling shares), or realized from the purchase
and sale of securities and use of futures and options, or gains from favorable
changes in foreign currency exchange rates. Generally, over the long term, the
total return obtained by a portfolio investing primarily in fixed income
securities is not expected to be as great as that obtained by a portfolio that
invests primarily in equity securities. At the same time, the market risk and
price volatility of a fixed income portfolio is expected to be less than that
of an equity portfolio, so that a fixed income portfolio is generally
considered to be a more conservative investment. The change in market value of
fixed income securities (and therefore their capital appreciation or
depreciation) is largely a function of changes in the current level of
interest rates. When interest rates are falling, a portfolio with a shorter
duration generally will not generate as high a level of total return as a
portfolio with a longer duration. Conversely, when interest rates are rising,
a portfolio with a shorter duration will generally outperform longer duration
portfolios. When interest rates are flat, shorter duration portfolios
generally will not generate as high a level of total return as longer duration
portfolios (assuming that long-term interest rates are higher than short-term
rates, which is commonly the case). With respect to the composition of any
fixed income portfolio, the longer the duration of the portfolio, the greater
the anticipated potential for total return, with, however, greater attendant
market risk and price volatility than for a portfolio with a shorter duration.
The market value of securities denominated in currencies other than the U.S.
dollar also may be affected by movements in foreign currency exchange rates.
DURATION
Duration is a measure of the expected life of a fixed income security that
was developed as a more precise alternative to the concept of "term to
maturity." Duration incorporates a bond's yield, coupon interest payments,
final maturity and call features into one measure. Duration is one of the
fundamental tools used by the Adviser in portfolio selection for the Fixed
Income Funds.
Traditionally, a fixed income security's "term to maturity" has been used as
a proxy for the sensitivity of the security's price to changes in interest
rates (which is the "interest rate risk" or "volatility" of the security).
However, "term to maturity" measures only the time until a fixed income
security provides its final payment, taking no account of the pattern of the
security's payments prior to maturity. Duration is a measure of the expected
life of a fixed income security on a present value basis. Duration takes the
length of the time intervals between the present time and the time that the
interest and principal payments are scheduled or, in the case of a callable
bond, expected to be received, and weights them by the present values of the
cash to be received at each future point in time. For any fixed income
security with interest payments occurring prior to the payment of principal,
duration is always less than maturity. In general, all other things being
equal, the lower the stated or
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coupon rate of interest of a fixed income security, the longer the duration of
the security; conversely, the higher the stated or coupon rate of interest of
a fixed income security, the shorter the duration of the security.
Futures, options and options on futures have durations which, in general,
are closely related to the duration of the securities which underlie them.
Holding long futures or call option positions (backed by a segregated account
of cash and cash equivalents) will lengthen a Fund's duration by approximately
the same amount that holding an equivalent amount of the underlying securities
would.
Short futures or put option positions have durations roughly equal to the
negative duration of the securities that underlie these positions, and have
the effect of reducing portfolio duration by approximately the same amount
that selling an equivalent amount of the underlying securities would.
There are some situations where even the standard duration calculation does
not properly reflect the interest rate exposure of a security. For example,
floating and variable rate securities often have final maturities of ten or
more years; however, their interest rate exposure corresponds to the frequency
of the coupon reset. Another example where the interest rate exposure is not
properly captured by duration is the case of mortgage pass-through securities.
The stated final maturity of such securities is generally 30 years, but
current prepayment rates are more critical in determining the securities'
interest rate exposure. In these and other similar situations, the Adviser
will use more sophisticated analytical techniques that incorporate the
economic life of a security into the determination of its interest rate
exposure.
EQUITY FUNDS
The Equity Funds are the PIMCO StocksPLUS Fund, the PIMCO StocksPLUS Short
Strategy Fund, the PIMCO Growth Stock Fund, and the PIMCO VersaSTYLE Equity
Fund. The investment objective of the PIMCO Growth Stock Fund is to seek long-
term growth of capital. The investment objective of both the PIMCO StocksPLUS
and the PIMCO VersaSTYLE Equity Funds is to seek to achieve a total return
which exceeds the total return performance of the Standard and Poor's 500
Composite Stock Price Index ("S&P 500"). The investment objective of the PIMCO
StocksPLUS Short Strategy Fund is to seek total return through the
implementation of short investment positions on the S&P 500 Index.
Each of the Equity Funds invests in common stocks, options, futures, options
on futures and swaps consistent with its portfolio management strategy as set
forth below. Assets not invested in equity securities may be invested in
securities eligible for purchase by the Fixed Income Funds. In addition, each
of the Funds may lend its portfolio securities to brokers, dealers and other
financial institutions in order to earn income. Each of the Equity Funds may
invest all of its assets in derivative instruments, as described below and
under "Characteristics of Securities and Investment Techniques--Derivative
Instruments."
Each of the PIMCO Growth Stock and PIMCO VersaSTYLE Equity Funds may invest
in other equity securities, including securities convertible into common
stocks and warrants, may invest up to 25% of its assets in the securities of
foreign issuers, primarily in the form of American Depositary Receipts
("ADRs,") European Depositary Receipts ("EDRs,") or Global Depositary Receipts
("GDRs,") and may purchase and sell options and futures on foreign currencies
and enter into forward currency contracts.
The Equity Funds differ in composition or strategy as follows:
PIMCO StocksPLUS Fund invests only in common stocks that are represented in
the S&P 500 ("S&P 500 stocks"), stock index futures, options on stock indexes,
and options on stock index futures that are based on the S&P 500 and swap
agreements with respect to the S&P 500 ("S&P 500 derivatives"). StocksPLUS is
the name of a proprietary portfolio management strategy which utilizes S&P 500
derivatives in addition to or in place of S&P 500 stocks to equal or exceed
the performance of the S&P 500. The Fund will seek to remain invested in S&P
500 stocks and S&P 500 derivatives even when the S&P 500 is declining.
The percentage of the PIMCO StocksPLUS Fund's assets invested directly in
S&P 500 stocks will vary depending primarily on whether S&P 500 derivatives
appear, in the Adviser's opinion, overvalued or undervalued with respect to
the stocks underlying the S&P 500. The Fund may invest up to 100% of its
assets in S&P 500 derivatives. The Fund will maintain a segregated account
consisting of liquid assets, such as cash, U.S.
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PIMCO FUNDS
Government securities, or high grade debt obligations or otherwise maintain
offsetting positions to cover its open positions in S&P 500 derivatives.
The S&P 500 is composed of 500 selected common stocks, most of which are
listed on the New York Stock Exchange. Standard and Poor's Corporation ("S&P")
chooses the stocks to be included in the S&P 500 solely on a statistical
basis. The weightings of stocks in the index are based on each stock's
relative total market value, that is, its market price per share times the
number of shares outstanding. Stocks represented currently in the S&P 500
represent approximately two-thirds of the total market value of all U.S.
common stocks. The Fund is neither sponsored by nor affiliated with S&P.
When S&P 500 derivatives appear to be overvalued relative to the S&P 500,
the Fund may invest up to 100% of its assets in a "basket" of S&P 500 stocks.
The composition of this basket will be determined by standard statistical
techniques that analyze the historical correlation between the return of every
stock currently in the S&P 500 and the return on the S&P 500 itself. The
Adviser may employ fundamental stock analysis only to choose among stocks that
have already satisfied the statistical correlation tests. Stocks chosen for
the Fund are not limited to those with any particular weighting in the S&P
500.
Positions in S&P 500 futures and options on futures will be entered into
only to the extent they constitute permissible positions for the Fund
according to applicable rules of the Commodity Futures Trading Commission
("CFTC"). From time to time, the Adviser may be constrained in its ability to
use S&P 500 derivatives either by requirements of the Internal Revenue Code or
by an unanticipated inability to close out positions when it would be most
advantageous to do so. A large number of investors use S&P derivatives for
both hedging and speculative purposes, and although generally this helps
guarantee a liquid market in those instruments, at times liquidity may be
limited. For more information about S&P 500 derivatives, see "Characteristics
and Risks of Securities and Investment Techniques--Derivative Instruments."
PIMCO StocksPLUS Short Strategy Fund invests primarily in S&P 500 short
positions such that the Fund's net asset value is generally expected to vary
inversely to the value of the S&P 500. The Fund is designed for investors
seeking to take advantage of declines in the value of the S&P 500, or
investors wishing to hedge existing long equity positions. The Fund will
generally realize gains only when the price of the S&P 500 Index is declining.
When the S&P is rising, the Fund will generally incur a loss.
The Fund will maintain short positions through the use of a combination of
S&P 500 derivatives, including options, futures and swap agreements. All S&P
500 derivatives will be covered by the maintenance of a segregated account
consisting of liquid assets, such as cash, U.S. Government securities or other
high grade liquid debt obligations, or through the maintenance of offsetting
positions. It is anticipated that the Fund will generally remain fully
invested in S&P 500 short positions at all times, even during periods when the
S&P 500 Index is rising. However, the Fund intends to purchase call options on
S&P 500 futures contracts in an effort to limit the total potential decline in
the Fund's net asset value at any one time to approximately 50%. There can be
no assurance that the use of such call options would be effective in limiting
the potential decline in net asset value of the Fund.
PIMCO will actively manage the fixed income portion of the Fund's investment
portfolio that is used as coverage for the S&P 500 derivatives, in an attempt
to provide incremental returns. Thus, there will not be a perfect inverse
correlation between the performance of the S&P 500 and the performance of the
Fund. A perfect inverse correlation would exist if the net asset value of the
Fund, including the value of its dividend and capital gains distributions,
increased in exact proportion to decreases in the S&P 500 (or decreased in
exact proportion to increases in the S&P 500). Rather, because of PIMCO's
management of the fixed income securities that are held by the Fund as cover
for the Fund's short positions, it is expected that, if the value of the S&P
500 were to decrease by 10%, for example, the amount by which the Fund's net
asset value would increase would be an amount slightly in excess of 10%.
Conversely, an increase in the S&P 500 of 10% would result in a loss to the
Fund of slightly less than this amount.
PIMCO Growth Stock Fund invests primarily in a diversified, actively managed
portfolio of common stocks of domestic and foreign issuers. The Fund may
invest up to 25% of its assets in securities denominated in foreign
currencies. The Adviser's methodology of stock selection utilizes quantitative
and fundamental equity analysis to identify stocks which it believes to have
above-average market appreciation potential over a full
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market cycle. Such potential may be due, for example, to superior underlying
growth rates of earnings, undervaluation of share prices, or technological
advances that have not been recognized by the market.
The Adviser selects stocks from a universe of primarily growth and cyclical
growth stocks. New issues may occasionally be purchased, but generally only if
the issuer has a sufficient existing operating history to provide a basis for
the Adviser's quantitative analysis. The PIMCO Growth Stock Fund will normally
be fully invested in equity securities, although the Adviser will vary the
percentage of assets committed to the equity market based on economic and
market conditions.
The PIMCO Growth Stock Fund may purchase and sell options on equity
securities, stock indexes, and foreign currencies, and for hedging purposes,
the Fund may purchase and sell stock index and foreign currency futures and
related options and enter into forward contracts for foreign currencies. See
"Characteristics and Risks of Securities and Investment Techniques" for more
details on investment practices.
PIMCO VersaSTYLE Equity Fund invests primarily in common stocks of domestic
and foreign issuers. The Fund may invest up to 25% of its assets in securities
denominated in foreign currencies. Although the Adviser will vary the
percentage of assets committed to the equity market based on economic or
market conditions, the PIMCO VersaSTYLE Equity Fund will normally be fully
invested in equity securities or equity derivatives.
VersaSTYLE is a proprietary portfolio management strategy that seeks to
identify the investment style or styles such as "small capitalization,"
"growth," or "value investing" that the Adviser believes are most likely to
provide superior total return at a given time. The Adviser then tailors the
Fund's investment strategy and changes the Fund's holdings in a manner
consistent with the strategy's outlook. The Adviser's methodology of stock
selection utilizes economic and other data in seeking to identify appropriate
investment styles and to select individual securities. "Small capitalization"
investing involves the purchase of securities of relatively small issuers with
little equity and few shares of common stock outstanding, which the Adviser
believes may present the potential for significant growth. Small-
capitalization stocks tend to be subject to large price fluctuations, and
therefore the potential for short-term gains and losses is greater. "Growth"
investing involves the purchase of securities of issuers characterized as
having relatively low ratios of book to market value that are expected to have
above-average increases in revenues and earnings. These firms normally retain
most earnings for reinvestment and therefore pay small dividends, emphasizing
growth of capital over time as opposed to current yield or income. "Value"
investing involves the purchase of securities based more upon the value of the
issuer's assets than upon projected earnings. "Value" firms are characterized
as having relatively higher ratios of book to market value. For example, such
an issuer's current assets may exceed its total liabilities on a per share
basis by more than the market price of the stock.
The Fund may take positions in individual equity and index options, index
futures and options on index futures. The Fund may purchase and sell options
and futures on foreign currencies, and may enter into forward currency
contracts. Additionally, the Fund may enter into certain over-the-counter
transactions, including swap agreements. The primary purpose of futures and
derivative positions is to hedge risks arising from current or anticipated
equity positions, or to tailor the Fund's risk profile or to achieve exposure
to particular market sectors in a manner more cost-effective than undertaking
transactions in individual equity securities. See "Characteristics and Risks
of Securities and Investment Techniques" for more details on investment
practices.
INVESTMENT RESTRICTIONS
Each Fund's investment objective, as set forth under "Investment Objectives
and Policies," and the investment restrictions set forth below are fundamental
policies of the Fund and may not be changed with respect to a Fund without
shareholder approval by vote of a majority of the outstanding shares of that
Fund. Under these restrictions, a Fund may not:
(1) invest in a security if, as a result of such investment, more than
25% of its total assets (taken at market value at the time of such
investment) would be invested in the securities of issuers in any
particular industry, except that this restriction does not apply (a) to
securities issued or guaranteed by the U.S. Government or its agencies or
instrumentalities (or repurchase agreements with respect thereto) and
(b) with respect to the Money Market Fund, to securities or obligations
issued by U.S. banks;
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PIMCO FUNDS
(2) with respect to 75% of its assets, invest in a security if, as a
result of such investment, more than 5% of its total assets (taken at
market value at the time of such investment) would be invested in the
securities of any one issuer, except that this restriction does not apply
to securities issued or guaranteed by the U.S. Government or its agencies
or instrumentalities (This investment restriction is not applicable to the
Commercial Mortgage Securities Fund, the Foreign Fund, the Global Fund or
the International Fund.);
(3) with respect to 75% of its assets, invest in a security if, as a
result of such investment, it would hold more than 10% (taken at the time
of such investment) of the outstanding voting securities of any one issuer
(This restriction is not applicable to the Commercial Mortgage Securities
Fund, the Foreign Fund, the Global Fund or the International Fund.);
(4) purchase or sell real estate, although it may purchase securities
secured by real estate or interests therein, or securities issued by
companies which invest in real estate or interests therein;
(5) purchase or sell commodities or commodities contracts or oil, gas or
mineral programs. This restriction shall not prohibit a Fund, subject to
restrictions described in this Prospectus and in the Statement of
Additional Information, from purchasing, selling or entering into futures
contracts, options on futures contracts, foreign currency forward
contracts, foreign currency options, or any interest rate, securities-
related or foreign currency-related hedging instrument, including swap
agreements and other derivative instruments, subject to compliance with any
applicable provisions of the federal securities or commodities laws;
(6) for the High Yield, Total Return III, International and StocksPLUS
Funds: purchase securities on margin, except for use of short-term credit
necessary for clearance of purchases and sales of portfolio securities, but
it may make margin deposits in connection with transactions in options,
futures, and options on futures;
(7) borrow money, issue senior securities, or pledge, mortgage or
hypothecate its assets, except that a Fund may (i) borrow from banks or
enter into reverse repurchase agreements, or employ similar investment
techniques, and pledge its assets in connection therewith, but only if
immediately after each borrowing there is asset coverage of 300% and (ii)
enter into transactions in options, futures, options on futures, and other
derivative instruments as described in this Prospectus and in the Statement
of Additional Information (the deposit of assets in escrow in connection
with the writing of covered put and call options and the purchase of
securities on a when-issued or delayed delivery basis, collateral
arrangements with respect to initial or variation margin deposits for
futures contracts, and commitments entered into under swap agreements or
other derivative instruments will not be deemed to be pledges of a Fund's
assets);
(8) lend any funds or other assets, except that a Fund may, consistent
with its investment objective and policies: (a) invest in debt obligations,
including bonds, debentures, or other debt securities, bankers' acceptances
and commercial paper, even though the purchase of such obligations may be
deemed to be the making of loans, (b) enter into repurchase agreements, and
(c) lend its portfolio securities in an amount not to exceed one-third of
the value of its total assets, provided such loans are made in accordance
with applicable guidelines established by the Securities and Exchange
Commission and the Trustees of the Trust;
(9) act as an underwriter of securities of other issuers, except to the
extent that in connection with the disposition of portfolio securities, it
may be deemed to be an underwriter under the federal securities laws; or
(10)(a) for the High Yield, Total Return III, and StocksPLUS Funds:
maintain a short position, or purchase, write or sell puts, calls,
straddles, spreads or combinations thereof, except as set forth in this
Prospectus and in the Statement of Additional Information for transactions
in options, futures, options on futures, and transactions arising under
swap agreements or other derivative instruments;
(b) for the Money Market, Short-Term, Low Duration, Low Duration II, Low
Duration III, Moderate Duration, Total Return, Total Return II, Commercial
Mortgage Securities, Long-Term U.S. Government, Foreign, Global,
International, StocksPLUS Short Strategy, Growth Stock and VersaSTYLE
Equity Funds: maintain a short position, or purchase, write or sell puts,
calls, straddles, spreads or combinations thereof, except on such
conditions as may be set forth in this Prospectus and in the Statement of
Additional Information.
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Each Fund is also subject to the following non-fundamental restrictions and
policies (which may be changed without shareholder approval) relating to the
investment of its assets and activities. Unless otherwise indicated, a Fund
may not:
(A) invest for the purpose of exercising control or management;
(B) purchase securities of other investment companies, except that a Fund
may, for temporary purposes, purchase shares of money market mutual funds,
subject to such restrictions as may be imposed by the Investment Company
Act of 1940 and rules thereunder, or by any State in which shares of the
Fund are registered (collateral arrangements with respect to securities on
loan from a Fund are not considered to involve the purchase of securities
by the Fund and are not subject to this restriction);
(C) invest more than 15% of the net assets of a Fund (10% in the case of
the PIMCO Money Market Fund) (taken at market value at the time of the
investment) in "illiquid securities," illiquid securities being defined to
include securities subject to legal or contractual restrictions on resale
(which may include private placements) repurchase agreements maturing in
more than seven days, certain loan participation interests, fixed time
deposits which are not subject to prepayment or provide for withdrawal
penalties upon prepayment (other than overnight deposits), certain options
traded over the counter that a Fund has purchased, and securities and other
liquid assets being used to cover such options a Fund has written,
securities for which market quotations are not readily available, or other
securities which legally or in the Adviser's opinion may be deemed illiquid
(other than securities issued pursuant to Rule 144A under the Securities
Act of 1933 and certain commercial paper that PIMCO has determined to be
liquid under procedures approved by the Board of Trustees);
(D) invest in a security if, as a result of such investment, more than 5%
of its total assets (taken at market value at the time of such investment)
would be invested in securities of issuers (other than issuers of Federal
agency obligations) having a record, together with predecessors or
unconditional guarantors, of less than three years of continuous operation;
(E) purchase of retain securities of any issuer if 5% of the securities
of such issuer are owned by those officers and Directors of Trustees of the
Trust or of the Adviser who each own beneficially more than one-half of 1%
of its securities;
(F) purchase securities for the Fund from, or sell portfolio securities
to, any of the officers and Directors or Trustees of the Trust or of the
Adviser;
(G) for the PIMCO Money Market, Short-Term, Low Duration, Low Duration
II, Low Duration III, Moderate Duration, Total Return, Total Return II,
Commercial Mortgage Securities, Long-Term U.S. Government, Foreign, Global,
StocksPLUS Short Strategy, Growth Stock and VersaSTYLE Equity Funds:
purchase securities on margin, except for use of short-term credit
necessary for clearance of purchases and sales of portfolio securities, but
it may make margin deposits in connection with covered transactions in
options, futures, options on futures and short positions;
(H) invest more than 5% of the assets of a Fund (taken at market value at
the time of investment) in any combination of interest only, principal
only, or inverse floating rate securities;
(I) borrow money (excluding dollar rolls and reverse repurchase
agreements, which are subject to the Fund's fundamental borrowing
restriction), except for temporary administrative purposes; or
(J)(a) for the PIMCO Short-Term, Low Duration and Low Duration III Funds,
invest greater than 5% of its assets in the securities of issuers based in
Newly Industrialized Countries ("NICs"); and
(b) for the remaining Fixed Income Funds, invest greater than 10% of its
assets in the securities of issuers based in NICs.
In addition, the Trust has adopted a non-fundamental policy pursuant to
which each Fund that may invest in securities denominated in foreign
currencies, except the PIMCO Global Fund, will hedge at least 75% of its
exposure to foreign currency using the techniques described in this
Prospectus. There can be no assurance that currency hedging techniques will be
successful.
Unless otherwise indicated, all limitations applicable to Fund investments
apply only at the time a transaction is entered into. Any subsequent change in
a rating assigned by any rating service to a security (or, if
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PIMCO FUNDS
unrated, deemed to be of comparable quality), or change in the percentage of
Fund assets invested in certain securities or other instruments resulting from
market fluctuations or other changes in a Fund's total assets will not require
a Fund to dispose of an investment until the Adviser determines that it is
practicable to sell or close out the investment without undue market or tax
consequences to the Fund. In the event that ratings services assign different
ratings to the same security, the Adviser will determine which rating it
believes best reflects the security's quality and risk at that time, which may
be the higher of the several assigned ratings.
CHARACTERISTICS AND RISKS OF SECURITIES AND INVESTMENT TECHNIQUES
The following describes in greater detail different types of securities and
investment techniques used by the individual Funds, and discusses certain
concepts relevant to the investment policies of the Funds. Additional
information about the Funds' investments and investment practices may be found
in the Statement of Additional Information.
U.S. GOVERNMENT SECURITIES
U.S. Government securities are obligations of, or guaranteed by, the U.S.
Government, its agencies or instrumentalities. The U.S. Government does not
guarantee the net asset value of the Funds' shares. Some U.S. Government
securities, such as Treasury bills, notes and bonds, and securities guaranteed
by the Government National Mortgage Association ("GNMA"), are supported by the
full faith and credit of the United States; others, such as those of the
Federal Home Loan Banks, are supported by the right of the issuer to borrow
from the U.S. Treasury; others, such as those of the Federal National Mortgage
Association ("FNMA"), are supported by the discretionary authority of the U.S.
Government to purchase the agency's obligations; and still others, such as
those of the Student Loan Marketing Association, are supported only by the
credit of the instrumentality. U.S. Government securities include securities
that have no coupons, or have been stripped of their unmatured interest
coupons, individual interest coupons from such securities that trade
separately, and evidences of receipt of such securities. Such securities may
pay no cash income, and are purchased at a deep discount from their value at
maturity. Because interest on zero coupon securities is not distributed on a
current basis but is, in effect, compounded, zero coupon securities tend to be
subject to greater market risk than interest-paying securities of similar
maturities. Custodial receipts issued in connection with so-called trademark
zero coupon securities, such as CATs and TIGRs, are not issued by the U.S.
Treasury, and are therefore not U.S. Government securities, although the
underlying bond represented by such receipt is a debt obligation of the U.S.
Treasury. Other zero coupon Treasury securities (STRIPs and CUBEs) are direct
obligations of the U.S. Government.
CORPORATE DEBT SECURITIES
Corporate debt securities include corporate bonds, debentures, notes and
other similar corporate debt instruments, including convertible securities.
Debt securities may be acquired with warrants attached. Corporate income-
producing securities may also include forms of preferred or preference stock.
The rate of interest on a corporate debt security may be fixed, floating or
variable, and may vary inversely with respect to a reference rate. See
"Variable and Floating Rate Securities." The rate of return or return of
principal on some debt obligations may be linked or indexed to the level of
exchange rates between the U.S. dollar and a foreign currency or currencies.
Investments in corporate debt securities that are below investment grade
(rated below Baa (Moody's) or BBB (S&P)) are described as "speculative" both
by Moody's and S&P. Such securities are sometimes referred to as "junk bonds,"
and may be subject to greater market fluctuations, less liquidity and greater
risk of loss of income or principal, including a greater possibility of
default or bankruptcy of the issuer of such securities, than are more highly
rated debt securities. Moody's also describes securities rated Baa as having
speculative characteristics. The Adviser seeks to minimize these risks through
diversification, in-depth credit analysis and attention to current
developments in interest rates and market conditions. See "Appendix A--
Description of Securities Ratings." Investments in high yield securities are
discussed separately below, see "High Yield Securities."
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VARIABLE AND FLOATING RATE SECURITIES
Variable and floating rate securities provide for a periodic adjustment in
the interest rate paid on the obligations. The terms of such obligations must
provide that interest rates are adjusted periodically based upon an interest
rate adjustment index as provided in the respective obligations. The
adjustment intervals may be regular, and range from daily up to annually, or
may be event based, such as based on a change in the prime rate.
Each of the Fixed Income Funds may invest in floating rate debt instruments
("floaters"). The interest rate on a floater is a variable rate which is tied
to another interest rate, such as a money-market index or Treasury bill rate.
The interest rate on a floater resets periodically, typically every six
months. While, because of the interest rate reset feature, floaters provide a
Fund with a certain degree of protection against rises in interest rates, a
Fund will participate in any declines in interest rates as well.
Each of the Fixed Income Funds, except the PIMCO Money Market Fund, may also
invest in inverse floating rate debt instruments ("inverse floaters"). The
interest rate on an inverse floater resets in the opposite direction from the
market rate of interest to which the inverse floater is indexed. An inverse
floating rate security may exhibit greater price volatility than a fixed rate
obligation of similar credit quality. The Funds have adopted a policy under
which no Fund will invest more than 5% of its net assets in any combination of
inverse floater, interest only ("IO"), or principal only ("PO") securities.
See "Mortgage-Related and Other Asset-Backed Securities" for a discussion of
IOs and POs.
MORTGAGE-RELATED AND OTHER ASSET-BACKED SECURITIES
Each Fund, except the PIMCO Money Market Fund, may invest all of its assets
in mortgage- or asset-backed securities. The value of some mortgage- or asset-
backed securities in which the Funds invest may be particularly sensitive to
changes in prevailing interest rates, and, like the other investments of the
Funds, the ability of a Fund to successfully utilize these instruments may
depend in part upon the ability of the Adviser to forecast interest rates and
other economic factors correctly.
Mortgage Pass-Through Securities are securities representing interests in
"pools" of mortgage loans secured by residential or commercial real property
in which payments of both interest and principal on the securities are
generally made monthly, in effect "passing through" monthly payments made by
the individual borrowers on the mortgage loans which underlie the securities
(net of fees paid to the issuer or guarantor of the securities). Early
repayment of principal on some mortgage-related securities (arising from
prepayments of principal due to sale of the underlying property, refinancing,
or foreclosure, net of fees and costs which may be incurred) may expose a Fund
to a lower rate of return upon reinvestment of principal. Also, if a security
subject to prepayment has been purchased at a premium, the value of the
premium would be lost in the event of prepayment. Like other fixed income
securities, when interest rates rise, the value of a mortgage-related security
generally will decline; however, when interest rates are declining, the value
of mortgage-related securities with prepayment features may not increase as
much as other fixed income securities.
Payment of principal and interest on some mortgage pass-through securities
(but not the market value of the securities themselves) may be guaranteed by
the full faith and credit of the U.S. Government (in the case of securities
guaranteed by GNMA); or guaranteed by agencies or instrumentalities of the
U.S. Government (in the case of securities guaranteed by FNMA or the Federal
Home Loan Mortgage Corporation ("FHLMC") which are supported only by the
discretionary authority of the U.S. Government to purchase the agency's
obligations). Mortgage-related securities created by non-governmental issuers
(such as commercial banks, savings and loan institutions, private mortgage
insurance companies, mortgage bankers and other secondary market issuers) may
be supported by various forms of insurance or guarantees, including individual
loan, title, pool and hazard insurance and letters of credit, which may be
issued by governmental entities, private insurers or the mortgage poolers.
Collateralized Mortgage Obligations ("CMOs") are hybrid mortgage-related
instruments. Similar to a bond, interest and pre-paid principal on a CMO are
paid, in most cases, semi-annually. CMOs may be collateralized by whole
mortgage loans but are more typically collateralized by portfolios of mortgage
pass-
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PIMCO FUNDS
through securities guaranteed by GNMA, FHLMC, or FNMA. CMOs are structured
into multiple classes, with each class bearing a different stated maturity.
Monthly payments of principal, including prepayments, are first returned to
investors holding the shortest maturity class; investors holding the longer
maturity classes receive principal only after the first class has been
retired. CMOs that are issued or guaranteed by the U.S. Government or by any
of its agencies or instrumentalities will be considered U.S. Government
securities by the Funds, while other CMOs, even if collateralized by U.S.
Government securities, will have the same status as other privately issued
securities for purposes of applying a Fund's diversification tests.
Commercial Mortgage-Backed Securities include securities that reflect an
interest in, and are secured by, mortgage loans on commercial real property.
The market for commercial mortgage-backed securities developed more recently
and in terms of total outstanding principal amount of issues is relatively
small compared to the market for residential single-family mortgage-backed
securities. Many of the risks of investing in commercial mortgage-backed
securities reflect the risks of investing in the real estate securing the
underlying mortgage loans. These risks reflect the effects of local and other
economic conditions on real estate markets, the ability of tenants to make
loan payments, and the ability of a property to attract and retain tenants.
Commercial mortgage-backed securities may be less liquid and exhibit greater
price volatility than other types of mortgage- or asset-backed securities.
Mortgage-Related Securities include securities other than those described
above that directly or indirectly represent a participation in, or are secured
by and payable from, mortgage loans on real property, such as CMO residuals or
stripped mortgage-backed securities ("SMBS"), and may be structured in classes
with rights to receive varying proportions of principal and interest.
A common type of SMBS will have one class receiving some of the interest and
most of the principal from the mortgage assets, while the other class will
receive most of the interest and the remainder of the principal. In the most
extreme case, one class will receive all of the interest (the "IO" class),
while the other class will receive all of the principal (the principal-only,
or "PO" class). The yield to maturity on an IO class is extremely sensitive to
the rate of principal payments (including prepayments) on the related
underlying mortgage assets, and a rapid rate of principal payments may have a
material adverse effect on a Fund's yield to maturity from these securities.
The Funds have adopted a policy under which no Fund will invest more than 5%
of its net assets in any combination of IO, PO, or inverse floater securities.
The Funds may invest in other asset-backed securities that have been offered
to investors. For a discussion of the characteristics of some of these
instruments, see the Statement of Additional Information.
REPURCHASE AGREEMENTS
For the purpose of achieving income, each Fund may enter into repurchase
agreements, which entail the purchase of a portfolio eligible security from a
bank or broker-dealer that agrees to repurchase the security at the Fund's
cost plus interest within a specified time (normally one day). If the party
agreeing to repurchase should default, as a result of bankruptcy or otherwise,
the Fund will seek to sell the securities which it holds, which action could
involve procedural costs or delays in addition to a loss on the securities if
their value should fall below their repurchase price. No Fund will invest more
than 15% of its net assets (taken at current market value) in repurchase
agreements maturing in more than seven days.
REVERSE REPURCHASE AGREEMENTS, DOLLAR ROLLS, AND OTHER BORROWINGS
A reverse repurchase agreement is a form of leverage that involves the sale
of a security by a Fund and its agreement to repurchase the instrument at a
specified time and price. The Fund will maintain a segregated account
consisting of liquid assets, such as cash, U.S. Government securities or high-
grade debt obligations, maturing not later than the expiration of the reverse
repurchase agreement, to cover its obligations under reverse repurchase
agreements.
A Fund may enter into dollar rolls, in which the Fund sells mortgage-backed
or other securities for delivery in the current month and simultaneously
contracts to purchase substantially similar securities on a specified future
date. In the case of dollar rolls involving mortgage-backed securities, the
mortgage-backed securities that are purchased will be of the same type and
will have the same interest rate as those sold, but will be supported by
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different pools of mortgages. The Fund forgoes principal and interest paid
during the roll period on the securities sold in a dollar roll, but the Fund
is compensated by the difference between the current sales price and the lower
price for the future purchase as well as by any interest earned on the
proceeds of the securities sold. The Fund also could be compensated through
the receipt of fee income equivalent to a lower forward price. The Fund will
maintain a segregated account consisting of liquid assets, such as cash, U.S.
Government securities or high-grade debt obligations, to cover its obligations
under dollar rolls.
Dollar rolls and reverse repurchase agreements will be subject to the Funds'
limitations on borrowings, which will restrict the aggregate of such
transactions (plus any other borrowings) to 33 1/3% of a Fund's total assets.
Apart from transactions involving reverse repurchase agreements and dollar
rolls, a Fund will not borrow money, except for temporary administrative
purposes.
LOANS OF PORTFOLIO SECURITIES
For the purpose of achieving income, the Funds may lend their portfolio
securities, provided: (i) the loan is secured continuously by collateral
consisting of U.S. Government securities, cash or cash equivalents (negotiable
certificates of deposit, bankers' acceptances or letters of credit) maintained
on a daily mark-to-market basis in an amount at least equal to the current
market value of the securities loaned; (ii) the Fund may at any time call the
loan and obtain the return of the securities loaned; (iii) the Fund will
receive any interest or dividends paid on the loaned securities; and (iv) the
aggregate market value of securities loaned will not at any time exceed 33
1/3% of the total assets of the Fund.
DELAYED DELIVERY TRANSACTIONS
A Fund may purchase or sell securities on a when-issued or delayed delivery
basis. These transactions involve a commitment by the Fund to purchase or sell
securities for a predetermined price or yield, with payment and delivery
taking place more than seven days in the future, or after a period longer than
the customary settlement period for that type of security. When delayed
delivery purchases are outstanding, the Fund will set aside and maintain until
the settlement date in a segregated account, liquid assets, such as cash, U.S.
Government securities or high grade debt obligations in an amount sufficient
to meet the purchase price. Typically, no income accrues on securities
purchased on a delayed delivery basis prior to the time delivery of the
securities is made, although a Fund may earn income on securities it has
deposited in a segregated account. When purchasing a security on a delayed
delivery basis, the 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. Because the
Fund is not required to pay for the security until the delivery date, these
risks are in addition to the risks associated with the Fund's other
investments. If the Fund remains substantially fully invested at a time when
delayed delivery purchases are outstanding, the delayed delivery purchases may
result in a form of leverage. When the Fund has sold a security on a delayed
delivery basis, the Fund does not participate in future gains or losses with
respect to the security. If the other party to a delayed delivery transaction
fails to deliver or pay for the securities, the Fund could miss a favorable
price or yield opportunity or could suffer a loss. 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. There is no percentage limitation on the extent to which
the Funds may purchase or sell securities on a delayed-delivery basis.
SHORT SALES
Certain Funds, particularly the PIMCO StocksPLUS Short Strategy Fund, may
from time to time effect short sales as part of their overall portfolio
management strategies, including the use of derivative instruments, or to
offset potential declines in value of long positions in similar securities as
those sold short. A short sale (other than a short sale against the box) is a
transaction in which a Fund sells a security it does not own at the time of
the sale in anticipation that the market price of that security will decline.
To the extent that a Fund engages in short sales, it must (except in the case
of short sales "against the box") maintain asset coverage in the form of
liquid assets, such as cash, U.S. Government securities or high grade debt
obligations in a segregated account, or otherwise cover its position in a
permissible manner. A short sale is "against the box" to the extent that the
Fund contemporaneously owns, or has the right to obtain at no added cost,
securities identical to those sold short.
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PIMCO FUNDS
FOREIGN SECURITIES
Each of the Fixed Income Funds (except the PIMCO Low Duration II and Total
Return II Funds) may invest directly in fixed income securities of non-U.S.
issuers. The PIMCO Money Market, High Yield, Commercial Mortgage Securities
and Long-Term U.S. Government Funds may only invest in U.S. dollar-denominated
fixed income securities of non-U.S. issuers. The PIMCO Growth Stock and
VersaSTYLE Equity Funds may invest directly in foreign equity securities and
in securities represented by EDRs, ADRs or GDRs. ADRs are dollar-denominated
receipts issued generally by domestic banks and representing the deposit with
the bank of a security of a foreign issuer, and are publicly traded on
exchanges or over-the-counter in the United States. EDRs are receipts similar
to ADRs and are issued and traded in Europe. GDRs may be offered privately in
the United States and also trade in public or private markets in other
countries.
Each Fund (except the PIMCO VersaSTYLE Equity Fund) will limit its foreign
investments to securities of issuers based in developed countries (including
Newly Industrialized Countries ("NICs"), such as Taiwan, South Korea and
Mexico). The PIMCO Short-Term, Low Duration and Low Duration III Funds limit
their investments in securities of issuers based in NICs to 5% of their net
assets, and the remaining Fixed Income Funds limit their investments in
securities of issuers based in NICs to 10% of their net assets. Investing in
the securities of issuers in any foreign country involves special risks and
considerations not typically associated with investing in U.S. companies.
Shareholders should consider carefully the substantial risks involved in
investing in securities issued by companies and governments of foreign
nations. These risks include: differences in accounting, auditing and
financial reporting standards; generally higher commission rates on foreign
portfolio transactions; the possibility of nationalization, expropriation or
confiscatory taxation; adverse changes in investment or exchange control
regulations (which may include suspension of the ability to transfer currency
from a country); and political instability which could affect U.S. investments
in foreign countries. Additionally, foreign securities and dividends and
interest payable on those securities may be subject to foreign taxes,
including taxes withheld from payments on those securities. Foreign securities
often trade with less frequency and volume than domestic securities and
therefore may exhibit greater price volatility. Additional costs associated
with an investment in foreign securities may include higher custodial fees
than apply to domestic custodial arrangements and transaction costs of foreign
currency conversions. Changes in foreign exchange rates also will affect the
value of securities denominated or quoted in currencies other than the U.S.
dollar.
The PIMCO VersaSTYLE Equity Fund may invest in the securities of issuers
based in countries with developing economies. Investing in developing
countries involves certain risks not typically associated with investing in
U.S. securities, and imposes risks greater than, or in addition to, risks of
investing in foreign, developed countries. These risks include: greater risk
of nationalization or expropriation of assets or confiscatory taxation;
currency devaluations and other currency exchange rate fluctuations; greater
social, economic and political uncertainty and instability (including the risk
of war); more substantial government involvement in the economy; higher rates
of inflation; less government supervision and regulation of the securities
markets and participants in those markets; controls on foreign investment and
limitations on repatriation of invested capital and on the Fund's ability to
exchange local currencies for U.S. dollars; unavailability of currency hedging
techniques in certain developing countries; the fact that companies in
developing countries may be smaller, less seasoned and newly organized
companies; the difference in, or lack of, auditing and financial reporting
standards, which may result in unavailability of material information about
issuers; the risk that it may be more difficult to obtain and/or enforce a
judgment in a court outside the United States; and greater price volatility,
substantially less liquidity and significantly smaller market capitalization
of securities markets.
Each of the Fixed Income Funds (except the PIMCO Low Duration II and Total
Return II Funds) may invest in Brady Bonds. Brady Bonds are securities created
through the exchange of existing commercial bank loans to sovereign entities
for new obligations in connection with debt restructurings under a debt
restructuring plan introduced by former U.S. Secretary of the Treasury,
Nicholas F. Brady. Brady Bonds have been issued only recently, and for that
reason do not have a long payment history. Brady Bonds may be collateralized
or uncollateralized, are issued in various currencies (but primarily the U.S.
dollar), and are actively traded in the over-the-counter secondary market.
Brady Bonds are not considered to be U.S. Government securities. In light of
the residual risk of Brady Bonds and, among other factors, the history of
defaults with respect to commercial bank loans by public and private entities
in countries issuing Brady Bonds, investments in Brady Bonds may be viewed as
speculative. There can be no assurance that Brady Bonds acquired by a Fund
will not be subject to
27
<PAGE>
restructuring arrangements or to requests for new credit, which may cause the
Fund to suffer a loss of interest or principal on any of its holdings. For
further information, see the Statement of Additional Information.
FOREIGN CURRENCY TRANSACTIONS
Foreign currency exchange rates may fluctuate significantly over short
periods of time. They generally are determined by the forces of supply and
demand in the foreign exchange markets and the relative merits of investments
in different countries, actual or perceived changes in interest rates and
other complex factors, as seen from an international perspective. Currency
exchange rates also can be affected unpredictably by intervention (or the
failure to intervene) by U.S. or foreign governments or central banks, by
currency controls or political developments in the U.S. or abroad. Currencies
in which the Funds' assets are denominated may be devalued against the U.S.
dollar, resulting in a loss to the Funds.
All Funds that may invest in securities denominated in foreign currencies
may, in addition to buying and selling foreign currency futures contracts and
options on foreign currencies and foreign currency futures, enter into forward
foreign currency exchange contracts to reduce the risks of adverse changes in
foreign exchange rates. A forward foreign currency exchange contract involves
an obligation to purchase or sell a specific currency at a future date, which
may be any fixed number of days from the date of the contract agreed upon by
the parties, at a price set at the time of the contract. By entering into a
forward foreign currency contract, the Fund "locks in" the exchange rate
between the currency it will deliver and the currency it will receive for the
duration of the contract. As a result, a Fund reduces its exposure to changes
in the value of the currency it will deliver and increases its exposure to
changes in the value of the currency it will exchange into. The effect on the
value of a Fund is similar to selling securities denominated in one currency
and purchasing securities denominated in another. Contracts to sell foreign
currency would limit any potential gain which might be realized by a Fund if
the value of the hedged currency increases. A Fund may enter into these
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. A Fund also may enter into these contracts for purposes
of increasing exposure to a foreign currency or to shift exposure to foreign
currency fluctuations from one country to another. A Fund may use one currency
(or a basket of currencies) to hedge against adverse changes in the value of
another currency (or a basket of currencies) when exchange rates between the
two currencies are positively correlated. Each Fund that may invest in
securities denominated in foreign currencies, except the PIMCO Global Fund,
will use these techniques to hedge at least 75% of its exposure to foreign
currency. A Fund will segregate liquid assets, such as cash or high grade debt
obligations, in a segregated account to cover forward currency contracts
entered into for non-hedging purposes.
The Funds also may invest in foreign currency exchange-related securities,
such as foreign currency warrants and other instruments whose return is linked
to foreign currency exchange rates. For a description of these instruments,
see the Statement of Additional Information.
HIGH YIELD SECURITIES ("JUNK BONDS")
The PIMCO High Yield Fund invests at least 65% of its assets, and the PIMCO
Commercial Mortgage Securities Fund may invest up to 35% of its assets, in
fixed income securities rated lower than Baa by Moody's or lower than BBB by
S&P but rated at least B by Moody's or S&P (or, if not rated, of comparable
quality). In addition, each of the PIMCO Short-Term, Low Duration, Low
Duration III, Moderate Duration, Total Return, Total Return III, Foreign,
Global, StocksPLUS and StocksPLUS Short Strategy Funds may invest up to 10% of
its assets in such securities. Securities rated lower than Baa by Moody's or
lower than BBB by S&P are sometimes referred to as "high yield" or "junk"
bonds. Securities rated Baa are considered by Moody's to have some speculative
characteristics. Investors should consider the following risks associated with
high yield securities before investing in these Funds.
Investing in high yield securities involves special risks in addition to the
risks associated with investments in higher rated fixed income securities.
High yield securities may be regarded as predominately speculative with
respect to the issuer's continuing ability to meet principal and interest
payments. Analysis of the creditworthiness of issuers of high yield securities
may be more complex than for issuers of higher quality debt securities, and
the
28
<PAGE>
PIMCO FUNDS
ability of a Fund to achieve its investment objective may, to the extent of
its investments in high yield securities, be more dependent upon such
creditworthiness analysis than would be the case if the Fund were investing in
higher quality securities.
High yield securities may be more susceptible to real or perceived adverse
economic and competitive industry conditions than higher grade securities. The
prices of high yield securities have been found to be less sensitive to
interest rate changes than more highly rated investments, but more sensitive
to adverse economic downturns or individual corporate developments. A
projection of an economic downturn or of a period of rising interest rates,
for example, could cause a decline in high yield security prices because the
advent of a recession could lessen the ability of a highly leveraged company
to make principal and interest payments on its debt securities. If the issuer
of high yield securities defaults, a Fund may incur additional expenses to
seek recovery. In the case of high yield securities structured as zero coupon
or payment-in-kind securities, the market prices of such securities are
affected to a greater extent by interest rate changes, and therefore tend to
be more volatile than securities which pay interest periodically and in cash.
The secondary markets on which high yield securities are traded may be less
liquid than the market for higher grade securities. Less liquidity in the
secondary trading markets could adversely affect and cause large fluctuations
in the daily net asset value of a Fund's shares. Adverse publicity and
investor perceptions, whether or not based on fundamental analysis, may
decrease the values and liquidity of high yield securities, especially in a
thinly traded market.
There may be special tax considerations associated with investing in high
yield securities structured as zero coupon or payment-in-kind securities. Each
Fund records the interest on these securities as income even though it
receives no cash interest until the security's maturity or payment date. The
Funds will be required to distribute all or substantially all such amounts
annually and may have to obtain the cash to do so by selling securities which
otherwise would continue to be held. Shareholders generally will be taxed on
these distributions.
The use of credit ratings as the sole method of evaluating high yield
securities can involve certain risks. For example, credit ratings evaluate the
safety of principal and interest payments, not the market value risk of high
yield securities. Also, credit rating agencies may fail to change credit
ratings in a timely fashion to reflect events since the security was last
rated. The Adviser does not rely solely on credit ratings when selecting
securities for the Funds, and develops its own independent analysis of issuer
credit quality. If a credit rating agency changes the rating of a portfolio
security held by a Fund, the Fund may retain the portfolio security if the
Adviser deems it in the best interest of shareholders.
During the year ended March 31, 1995, based upon the dollar-weighted average
ratings of the Funds' portfolio holdings at the end of each month in the
Funds' fiscal year, each Fund that may invest greater than 5% of its assets in
securities rated below investment grade had the following percentages of its
net assets invested in securities rated in the categories indicated as rated
by Moody's (or, if unrated, determined by the Adviser to be of comparable
quality). See "Appendix A--Description of Securities Ratings," for further
information.
<TABLE>
<CAPTION>
RATING
--------------------------------------------
BELOW
FUND PRIME 1 AAA AA A PRIME 1 BAA BA B
- ---- ------- --- --- --- ------- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Short-Term 1% 53% 0% 10% 6% 21% 8% 1%
Low Duration 3 47 3 11 1 29 6 0
High Yield 5 5 0 0 1 8 48 33
Total Return 3 47 6 12 3 22 7 0
Total Return III 28 42 7 3 4 8 8 0
Foreign 30 28 10 12 1 8 0 0
Global 30 42 7 9 3 6 0 0
StocksPLUS 19 42 5 8 6 13 0 0
</TABLE>
These figures are intended solely to provide disclosure about each Fund's
asset composition during its fiscal year ended March 31, 1995. The asset
composition after this time may or may not be approximately the same as
29
<PAGE>
represented by such figures. In addition, the categories reflect ratings by
Moody's, and ratings assigned by S&P may not be consistent with ratings
assigned by Moody's or other credit ratings services, and PIMCO may not
necessarily agree with a rating assigned by any credit rating agency.
DERIVATIVE INSTRUMENTS
To the extent permitted by the investment objectives and policies of the
Funds, the Funds may, except the PIMCO Money Market Fund, purchase and write
call and put options on securities, securities indexes and foreign currencies,
and enter into futures contracts and use options on futures contracts as
further described below. The Funds also may enter into swap agreements with
respect to foreign currencies, interest rates, and securities indexes. The
Funds may use these techniques to hedge against changes in interest rates,
foreign currency exchange rates or securities prices or as part of their
overall investment strategies. The Funds may also purchase and sell options
relating to foreign currencies for purposes of increasing exposure to a
foreign currency or to shift exposure to foreign currency fluctuations from
one country to another. Each Fund will maintain segregated accounts consisting
of liquid assets, such as cash, U.S. Government securities, or other high
grade debt obligations (or, as permitted by applicable regulation, enter into
certain offsetting positions) to cover its obligations under options, futures,
and swaps to avoid leveraging of the Fund.
The Funds consider derivative instruments to consist of securities or other
instruments whose value is derived from or related to the value of some other
instrument or asset, and not to include those securities whose payment of
principal and/or interest depend upon cash flows from underlying assets, such
as mortgage- or asset-backed securities. Each Fund, except the PIMCO Money
Market Fund, may invest all of its assets in derivative instruments, subject
only to the Fund's investment objective and policies. The value of some
derivative instruments in which the Funds invest may be particularly sensitive
to changes in prevailing interest rates, and, like the other investments of
the Funds, the ability of a Fund to successfully utilize these instruments may
depend in part upon the ability of the Adviser to forecast interest rates and
other economic factors correctly. If the Adviser incorrectly forecasts such
factors and has taken positions in derivative instruments contrary to
prevailing market trends, the Funds could be exposed to the risk of loss.
The Funds might not employ any of the strategies described below, and no
assurance can be given that any strategy used will succeed. If the Adviser
incorrectly forecasts interest rates, market values or other economic factors
in utilizing a derivatives strategy for a Fund, the Fund might have been in a
better position if it had not entered into the transaction at all. The use of
these strategies involves certain special risks, including a possible
imperfect correlation, or even no correlation, between price movements of
derivative instruments and price movements of related investments. While some
strategies involving derivative instruments can reduce the risk of loss, they
can also reduce the opportunity for gain or even result in losses by
offsetting favorable price movements in related investments, or due to the
possible inability of a Fund to purchase or sell a portfolio security at a
time that otherwise would be favorable for it to do so, or the possible need
for a Fund to sell a portfolio security at a disadvantageous time, because the
Fund is required to maintain asset coverage or offsetting positions in
connection with transactions in derivative instruments and the possible
inability of a Fund to close out or to liquidate its derivatives positions.
Options on Securities, Securities Indexes, and Currencies A Fund may
purchase put options on securities. One purpose of purchasing put options is
to protect holdings in an underlying or related security against a substantial
decline in market value. A Fund may also purchase call options on securities.
One purpose of purchasing call options is to protect against substantial
increases in prices of securities the Fund intends to purchase pending its
ability to invest in such securities in an orderly manner. A Fund may sell put
or call options it has previously purchased, which could result in a net gain
or loss depending on whether the amount realized on the sale is more or less
than the premium and other transaction costs paid on the put or call option
which is sold. A Fund may write a call or put option only if the option is
"covered" by the Fund holding a position in the underlying securities or by
other means which would permit immediate satisfaction of the Fund's obligation
as writer of the option. Prior to exercise or expiration, an option may be
closed out by an offsetting purchase or sale of an option of the same series.
30
<PAGE>
PIMCO FUNDS
The Funds may write covered straddles consisting of a combination of a call
and a put written on the same underlying security. A straddle will be covered
when sufficient assets are deposited to meet the Funds' immediate obligations.
The Funds may use the same liquid assets to cover both the call and put
options where the exercise price of the call and put are the same, or the
exercise price of the call is higher than that of the put. In such cases, the
Funds will also segregate liquid assets equivalent to the amount, if any, by
which the put is "in the money."
The purchase and writing of options involves certain risks. During the
option period, the covered call writer has, in return for the premium on the
option, given up the opportunity to profit from a price increase in the
underlying securities above the exercise price, but, as long as its obligation
as a writer continues, has retained the risk of loss should the price of the
underlying security decline. The writer of an option has no control over the
time when it may be required to fulfill its obligation as a writer of the
option. Once an option writer has received an exercise notice, it cannot
effect a closing purchase transaction in order to terminate its obligation
under the option and must deliver the underlying securities at the exercise
price. If a put or call option purchased by the Fund is not sold when it has
remaining value, and if the market price of the underlying security remains
equal to or greater than the exercise price (in the case of a put), or remains
less than or equal to the exercise price (in the case of a call), the Fund
will lose its entire investment in the option. Also, where a put or call
option on a particular security is purchased to hedge against price movements
in a related security, the price of the put or call option may move more or
less than the price of the related security. There can be no assurance that a
liquid market will exist when a Fund seeks to close out an option position.
Furthermore, if trading restrictions or suspensions are imposed on the options
markets, a Fund may be unable to close out a position.
Funds that invest in foreign currency-denominated securities may buy or sell
put and call options on foreign currencies. Currency options traded on U.S. or
other exchanges may be subject to position limits which may limit the ability
of a Fund to reduce foreign currency risk using such options. Over-the-counter
options differ from traded options in that they are two-party contracts with
price and other terms negotiated between buyer and seller and generally do not
have as much market liquidity as exchange-traded options. The Funds may be
required to treat as illiquid over-the-counter options purchased and
securities being used to cover certain written over-the-counter options.
Swap Agreements The Funds may enter into interest rate, index, equity and
currency exchange rate swap agreements. These transactions would be entered
into in an attempt to obtain a particular return when it is considered
desirable to do so, possibly at a lower cost to the Fund than if the Fund had
invested directly in the asset that yielded the desired return. Swap
agreements are two-party contracts entered into primarily by institutional
investors for periods ranging from a few weeks to more than one year. In a
standard swap transaction, two parties agree to exchange the returns (or
differentials in rates of return) earned or realized on particular
predetermined investments or instruments, which may be adjusted for an
interest factor. The gross returns to be exchanged or "swapped" between the
parties are generally calculated with respect to a "notional amount," i.e.,
the return on or increase in value of a particular dollar amount invested at a
particular interest rate, in a particular foreign currency, or in a "basket"
of securities representing a particular index. Forms of swap agreements
include interest rate caps, under which, in return for a premium, one party
agrees to make payments to the other to the extent that interest rates exceed
a specified rate, or "cap"; interest rate floors, under which, in return for a
premium, one party agrees to make payments to the other to the extent that
interest rates fall below a specified level, or "floor"; and interest rate
collars, under which a party sells a cap and purchases a floor or vice versa
in an attempt to protect itself against interest rate movements exceeding
given minimum or maximum levels.
Most swap agreements entered into by the Funds would calculate the
obligations of the parties to the agreement on a "net basis." Consequently, a
Fund's current obligations (or rights) under a swap agreement will generally
be equal only to the net amount to be paid or received under the agreement
based on the relative values of the positions held by each party to the
agreement (the "net amount"). A Fund's current obligations under a swap
agreement will be accrued daily (offset against amounts owed to the Fund), and
any accrued but unpaid net amounts owed to a swap counterparty will be covered
by the maintenance of a segregated account consisting of liquid assets such as
cash, U.S. Government securities, or high grade debt obligations, to avoid any
potential leveraging of the Fund's portfolio. Obligations under swap
agreements so covered will not be construed to be
31
<PAGE>
"senior securities" for purposes of the Funds' investment restriction
concerning senior securities. A Fund will not enter into a swap agreement with
any single party if the net amount owed or to be received under existing
contracts with that party would exceed 5% of the Fund's assets.
Whether a Fund's use of swap agreements will be successful in furthering its
investment objective will depend on the Adviser's ability to predict correctly
whether certain types of investments are likely to produce greater returns
than other investments. Because they are two-party contracts and because they
may have terms of greater than seven days, swap agreements may be considered
to be illiquid investments. Moreover, a Fund bears the risk of loss of the
amount expected to be received under a swap agreement in the event of the
default or bankruptcy of a swap agreement counterparty. The Funds will enter
into swap agreements only with counterparties that meet certain standards for
creditworthiness (generally, such counterparties would have to be eligible
counterparties under the terms of the Funds' repurchase agreement guidelines).
Certain restrictions imposed on the Funds by the Internal Revenue Code may
limit the Funds' ability to use swap agreements. The swaps market is a
relatively new market and is largely unregulated. It is possible that
developments in the swaps market, including potential government regulation,
could adversely affect a Fund's ability to terminate existing swap agreements
or to realize amounts to be received under such agreements.
Futures Contracts and Options on Futures Contracts The Funds may invest, as
set forth under "Investment Objectives and Policies," in interest rate futures
contracts, stock index futures contracts and foreign currency futures
contracts and options thereon ("futures options") that are traded on a U.S. or
foreign exchange or board of trade.
There are several risks associated with the use of futures and futures
options for hedging purposes. There can be no guarantee that there will be a
correlation between price movements in the hedging vehicle and in the
portfolio securities being hedged. An incorrect correlation could result in a
loss on both the hedged securities in a Fund and the hedging vehicle so that
the portfolio return might have been greater had hedging not been attempted.
There can be no assurance that a liquid market will exist at a time when a
Fund seeks to close out a futures contract or a futures option position. Most
futures exchanges and boards of trade limit the amount of fluctuation
permitted in futures contract prices during a single day; once the daily limit
has been reached on a particular contract, no trades may be made that day at a
price beyond that limit. In addition, certain of these instruments are
relatively new and without a significant trading history. As a result, there
is no assurance that an active secondary market will develop or continue to
exist. Lack of a liquid market for any reason may prevent a Fund from
liquidating an unfavorable position, and the Fund would remain obligated to
meet margin requirements until the position is closed.
The Funds may write covered straddles consisting of a call and a put written
on the same underlying futures contract. A straddle will be covered when
sufficient assets are deposited to meet the Funds' immediate obligations. A
Fund may use the same liquid assets to cover both the call and put options
where the exercise price of the call and put are the same, or the exercise
price of the call is higher than that of the put. In such cases, the Funds
will also segregate liquid assets equivalent to the amount, if any, by which
the put is "in the money."
The Funds will only enter into futures contracts or futures options which
are standardized and traded on a U.S. or foreign exchange or board of trade,
or similar entity, or quoted on an automated quotation system. Each Fund will
use financial futures contracts and related options only for "bona fide
hedging" purposes, as such term is defined in applicable regulations of the
Commodity Futures Trading Commission ("CFTC"), or, with respect to positions
in financial futures and related options that do not qualify as "bona fide
hedging" positions, will enter such positions only to the extent that
aggregate initial margin deposits plus premiums paid by it for open futures
option positions, less the amount by which any such positions are "in-the-
money," would not exceed 5% of the Fund's net assets.
ILLIQUID SECURITIES
The Funds may invest up to 15% of their net assets in illiquid securities
(10% in the case of the PIMCO Money Market Fund). The term "illiquid
securities" for this purpose means securities that cannot be disposed
32
<PAGE>
PIMCO FUNDS
of within seven days in the ordinary course of business at approximately the
amount at which a Fund has valued the securities. Illiquid securities are
considered to include, among other things, written over-the-counter options,
securities or other liquid assets being used as cover for such options,
repurchase agreements with maturities in excess of seven days, certain loan
participation interests, fixed time deposits which are not subject to
prepayment or provide for withdrawal penalties upon prepayment (other than
overnight deposits), securities that are subject to legal or contractual
restrictions on resale (such as privately placed debt securities) and other
securities whose disposition is restricted under the federal securities laws
(other than securities issued pursuant to Rule 144A under the Securities Act
of 1933 and certain commercial paper that PIMCO has determined to be liquid
under procedures approved by the Board of Trustees).
MANAGEMENT OF THE TRUST
The business affairs of the Trust are managed under the direction of the
Board of Trustees. The Trustees are Guilford C. Babcock, Thomas P. Kemp, Brent
R. Harris, Vern O. Curtis, and William J. Popejoy. Additional information
about the Trustees and the Trust's executive officers may be found in the
Statement of Additional Information under the heading "Management--Trustees
and Officers."
INVESTMENT ADVISER
Pacific Investment Management Company ("PIMCO") serves as investment adviser
("Adviser") to the Funds pursuant to an investment advisory contract. The
Adviser is an investment counseling firm founded in 1971, and had over $75
billion in assets under management as of November 30, 1995. PIMCO is a
subsidiary partnership of PIMCO Advisors L.P. ("PIMCO Advisors"). A majority
interest in PIMCO Advisors is held by PIMCO Partners, G.P., a general
partnership between Pacific Investment Management Company, a California
corporation and indirect wholly owned subsidiary of Pacific Mutual Life
Insurance Company ("Pacific Mutual"), and PIMCO Partners, LLC, a limited
liability company controlled by the PIMCO Managing Directors. PIMCO's address
is 840 Newport Center Drive, Suite 360, Newport Beach, California 92660. PIMCO
is registered as an investment adviser with the Securities and Exchange
Commission and as a commodity trading advisor with the CFTC.
The Adviser manages the investment and reinvestment of the assets of each
Fund. The Adviser is responsible for placing orders for the purchase and sale
of each Fund's investments directly with brokers or dealers selected by it in
its discretion. See "Portfolio Transactions."
33
<PAGE>
Information about the individual portfolio managers responsible for
management of the Trust's currently operational Funds, including their
occupations for the past five years, is provided below.
<TABLE>
<CAPTION>
PORTFOLIO MANAGER AND BUSINESS EXPERIENCE (PAST
FUND FIVE YEARS)
---- -----------------------------------------------
<C> <S>
Money Market Fund Leslie Barbi, Vice President, PIMCO. A Fixed
Income Portfolio Manager, Ms. Barbi has managed
the PIMCO Money Market Fund since November 1,
1995. Ms. Barbi was previously associated with
Soloman Brothers as a proprietary Portfolio
Manager.
Short-Term Fund David H. Edington, Managing Director, PIMCO. A
Fixed Income Portfolio Manager, Mr. Edington
has managed the PIMCO Short-Term Fund since its
inception, October 7, 1987.
Low Duration Fund William H. Gross, Managing Director, PIMCO. A
Fixed Income Portfolio Manager, Mr. Gross has
managed the PIMCO Low Duration Fund since its
inception, May 11, 1987.
Low Duration Fund II William H. Gross, Managing Director, PIMCO. A
Fixed Income Portfolio Manager, Mr. Gross has
managed the PIMCO Low Duration Fund II since
its inception, November 1, 1991.
High Yield Fund Benjamin Trosky, Executive Vice President,
PIMCO. A Fixed Income Portfolio Manager, Mr.
Trosky has managed the PIMCO High Yield Fund
since its inception, December 16, 1992.
Total Return Fund William H. Gross, Managing Director, PIMCO. A
Fixed Income Portfolio Manager, Mr. Gross has
managed the PIMCO Total Return Fund since its
inception, May 11, 1987.
Total Return Fund II William H. Gross, Managing Director, PIMCO. A
Fixed Income Portfolio Manager, Mr. Gross has
managed the PIMCO Total Return Fund II since
its inception, December 30, 1991.
Total Return Fund III William H. Gross, Managing Director, PIMCO. A
Fixed Income Portfolio Manager, Mr. Gross has
managed the PIMCO Total Return Fund III since
its inception, May 1, 1991.
Long-Term U.S. Government Fund Frank B. Rabinovitch, Managing Director, PIMCO.
A Fixed Income Portfolio Manager, Mr.
Rabinovitch has managed the PIMCO Long-Term
U.S. Government Fund since its inception, July
1, 1991.
Foreign Fund Lee R. Thomas, III, Vice President and Senior
International Portfolio Manager, PIMCO and John
L. Hague, Managing Director, PIMCO. Fixed
Income Portfolio Managers, Messrs. Hague and
Thomas have co-managed the PIMCO Foreign Fund
since July 13, 1995. Previously, Mr. Hague had
sole responsibility for managing the Fund from
its inception, December 3, 1992. Prior to
joining PIMCO, Mr. Thomas was associated with
Investcorp as a member of the management
committee responsible for global securities and
foreign exchange trading. Prior to Investcorp,
he was associated with Goldman Sachs as an
Executive Director in foreign fixed income.
Global Fund Lee R. Thomas, III, Vice President and Senior
International Portfolio Manager, PIMCO and John
L. Hague, Managing Director, PIMCO. Fixed
Income Portfolio Managers, Messrs. Hague and
Thomas have co-managed the PIMCO Global Fund
since July 13, 1995. Previously, Mr. Hague had
sole responsibility for managing the Fund from
its inception, November 23, 1993.
International Fund Lee R. Thomas, III, Vice President and Senior
International Portfolio Manager, PIMCO and John
L. Hague, Managing Director, PIMCO. Fixed
Income Portfolio Managers, Messrs. Hague and
Thomas have co-managed the PIMCO International
Fund since July 13, 1995. Previously, Mr. Hague
had sole responsibility for managing the Fund
from its inception, December 13, 1989.
StocksPLUS Fund David H. Edington, Managing Director, PIMCO. A
Fixed Income Portfolio Manager, Mr. Edington
has managed the PIMCO StocksPLUS Fund since its
inception, May 14, 1993.
StocksPLUS Short Strategy Fund David H. Edington, Managing Director, PIMCO. A
Fixed Income Portfolio Manager, Mr. Edington
has managed the PIMCO StocksPLUS Short Strategy
Fund since its inception, April 1, 1996.
Growth Stock Fund A. Benjamin Ehlert, Executive Vice President,
PIMCO. An Equity Portfolio Manager, Mr. Ehlert
has managed the PIMCO Growth Stock Fund since
its inception, June 29, 1987.
VersaSTYLE Equity Fund A. Benjamin Ehlert, Executive Vice President,
PIMCO and Robert S. Venable, Portfolio Manager,
PIMCO. Equity Portfolio Managers, Messrs.
Ehlert and Venable have co-managed the PIMCO
VersaSTYLE Equity Fund since January 17, 1995.
Mr. Venable was previously associated with the
Hewlett Packard Company as an engineer and the
Franklin Mint as a financial analyst.
</TABLE>
34
<PAGE>
PIMCO FUNDS
FUND ADMINISTRATOR
PIMCO also serves as administrator to the Funds pursuant to an
administration agreement. PIMCO provides administrative services to the Funds,
which include clerical help and accounting, bookkeeping, internal audit
services, and certain other services required by the Funds, preparation of
reports to the Funds' shareholders and regulatory filings. In addition, PIMCO,
at its own expense, arranges for the provision of legal, audit, custody,
transfer agency and other services for the Funds, and is responsible for the
costs of registration of the Trust's shares and the printing of prospectuses
and shareholder reports for current shareholders.
The Trust is responsible for the following expenses: (i) salaries and other
compensation of any of the Trust's executive officers and employees who are
not officers, directors, stockholders or employees of PIMCO or its
subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage
fees and commissions and other portfolio transaction expenses; (iv) the costs
of borrowing money, including interest expenses; (v) fees and expenses of the
Trustees who are not "interested persons" of PIMCO or the Trust, and any
counsel retained exclusively for their benefit; (vi) extraordinary expenses,
including costs of litigation and indemnification expenses; (vii) expenses,
such as organizational expenses, which are capitalized in accordance with
generally accepted accounting principles; and (viii) any expenses allocated or
allocable to a specific class of shares, which include service fees payable
with respect to the Administrative Class shares and may include certain other
expenses as permitted by the Trust's Dual Class Plan adopted pursuant to Rule
18f-3 under the 1940 Act and subject to review and approval by the Trustees.
ADVISORY AND ADMINISTRATIVE FEES
The PIMCO Funds feature fixed advisory and administrative fee rates. For
providing investment advisory and administrative services to the Funds as
described above, PIMCO receives monthly fees from each Fund at an annual rate
based on the average daily net assets of the Funds as follows:
<TABLE>
<CAPTION>
ADVISORY
FUND FEE RATE
---- ------------
<S> <C>
Money Market Fund.............................................. 0.15%
Commercial Mortgage Securities, StocksPLUS, StocksPLUS Short
Strategy and VersaSTYLE Equity Funds.......................... 0.40%
All other Funds................................................ 0.25%
</TABLE>
<TABLE>
<CAPTION>
ADMINISTRATIVE
FUND FEE RATE
---- --------------
<S> <C>
Money Market Fund and Short-Term Fund......................... 0.20%
Low Duration Fund and Total Return Fund....................... 0.18%
Global Fund................................................... 0.30%
All other Funds............................................... 0.25%
</TABLE>
Both the investment advisory contract and administration agreement for the
Funds may be terminated by the Trustees at any time on 60 days' written
notice. The investment advisory contract may be terminated by PIMCO on 60
days' written notice. Following the expiration of the two-year period
commencing with the effectiveness of the administration agreement, it may be
terminated by PIMCO on 60 days' written notice. Following their initial two-
year terms, the investment advisory contract and administration agreement will
continue from year to year if approved by the Trustees.
SERVICE FEES
The Trust has adopted an Administrative Services Plan and a Distribution
Plan (the "Plans") with respect to the Administrative Class shares of each
Fund. Under the terms of each Plan, the Trust is permitted to reimburse, out
of the Administrative Class assets of each Fund, in an amount up to 0.25% on
an annual basis of the average daily net assets of that class, financial
intermediaries that provide services in connection with the distribution of
shares or administration of plans or programs that use Fund shares as their
funding medium, and to reimburse certain other distribution-related expenses.
The same entity may not receive both distribution and
35
<PAGE>
administrative services fees with respect to the same assets but may with
respect to separate assets receive fees under both a Distribution Plan and
Administrative Services Plan. Fees paid pursuant to either type of Plan may be
paid for shareholder service and the maintenance of accounts and therefore may
constitute "service fees" for purposes of applicable rules of the National
Association of Securities Dealers, Inc. Each Plan has been adopted in
accordance with the requirements of Rule 12b-1 under the 1940 Act and will be
administered in accordance with the provisions of that rule, except that
shareholders will not have the voting rights set forth in Rule 12b-1 with
respect to the Administrative Services Plan that they will have with respect
to the Distribution Plan. For more complete disclosure regarding the Plans and
their terms, see the Statement of Additional Information.
Institutional Class shares of the Trust may also be offered through certain
brokers and financial intermediaries ("service agents") that have established
a shareholder servicing relationship with the Trust on behalf of their
customers. The Trust pays no compensation to such entities. Service agents may
impose additional or different conditions on the purchase or redemption of
Trust shares by their customers and may charge their customers transaction or
other account fees on the purchase and redemption of Trust shares. Each
service agent is responsible for transmitting to its customers a schedule of
any such fees and information regarding any additional or different conditions
regarding purchases and redemptions. Shareholders who are customers of service
agents should consult their service agent for information regarding these fees
and conditions.
DISTRIBUTOR
Shares of the Trust are distributed through PIMCO Advisors Distribution
Company (the "Distributor"), an indirect wholly owned subsidiary of PIMCO
Advisors. The Distributor is a broker-dealer registered with the SEC.
PURCHASE OF SHARES
Each Fund offers its shares in two classes: the "Institutional Class" and
the "Administrative Class." Shares of the Institutional Class are offered
primarily for direct investment by institutional investors and high net worth
individuals. They also are offered through certain financial intermediaries
that charge their customers transaction or other fees with respect to their
customers' investment in the Funds. Shares of the Administrative Class are
offered primarily through broker-dealers, retirement plan administrators and
other financial intermediaries. Administrative Class shares pay service fees
to such entities for services they provide to shareholders of that class.
Shares of either class of the Funds may be purchased at the relevant net
asset value of that class without a sales charge. The minimum initial
investment for shares of either class is $1,000,000. Shares of the PIMCO
International Fund are offered only to clients of PIMCO who maintain
separately managed private accounts.
INITIAL INVESTMENT
An account may be opened by completing and signing a Client Registration
Application and mailing it to PIMCO Funds at the following address: 840
Newport Center Drive, Suite 360, Newport Beach, California 92660.
Purchases of shares can only be made by wiring federal funds to Investors
Fiduciary Trust Company (the "Transfer Agent"). Before wiring federal funds,
the investor must first telephone the Trust at (800) 927-4648 to receive
instructions for wire transfer, and the following information will be
requested: name of authorized person; shareholder name; shareholder account
number; name of Fund and share class; amount being wired; and wiring bank
name.
All purchase orders are effected at the relevant net asset value for that
class next determined after receipt of the purchase order. A purchase order,
together with payment in proper form, received by the Transfer Agent prior to
the close of business (4:00 p.m., Eastern time; 3:00 p.m., Eastern time for
the PIMCO StocksPLUS and StocksPLUS Short Strategy Funds) on a day the Trust
is open for business will be effected at that day's net asset value; an order
received after the close of business will be effected at the net asset value
determined on the next business day. The Trust is "open for business" on each
day the New York Stock Exchange is open for trading,
36
<PAGE>
PIMCO FUNDS
which excludes the following holidays: New Year's Day, Presidents' Day, Good
Friday, Memorial Day, Independence Day, Labor Day, Thanksgiving Day and
Christmas Day. Purchase orders will be accepted only on days on which the
Trust is open for business.
With respect to the Funds whose policy is to declare dividends daily (i.e.,
each of the Fixed Income Funds except the PIMCO International Fund), if a
purchase order for shares is received prior to 12:00 noon, Eastern time, and
payment in federal funds is received by the Transfer Agent by the close of the
federal funds wire on the day the purchase order is received, dividends will
accrue starting that day. If a purchase order is received after 12:00 noon,
Eastern time, and payment in federal funds is received by the Transfer Agent
by the close of the federal funds wire on the day the purchase order is
received, or as otherwise agreed to by the Trust, the order will be effected
that day as of 4:00 p.m., Eastern time, but dividends will not begin to accrue
until the following business day.
ADDITIONAL INVESTMENTS
Additional investments may be made at any time at the relevant net asset
value for that class by calling the Trust and wiring federal funds to the
Transfer Agent as outlined above.
OTHER PURCHASE INFORMATION
Purchases of a Fund's shares will be made in full and fractional shares. In
the interest of economy and convenience, certificates for shares will not be
issued.
The Trust and the Distributor each reserves the right, in its sole
discretion, to suspend the offering of shares of the Funds or to reject any
purchase order, in whole or in part, when, in the judgment of management, such
suspension or rejection is in the best interests of the Trust; to waive the
minimum initial investment for certain investors; and to redeem shares if
information provided in the Client Registration Application should prove to be
incorrect in any manner judged by the Trust to be material (e.g., in a manner
such as to render the shareholder ineligible to purchase shares of the Trust).
Shares of the Trust are not qualified or registered for sale in all states.
Prospective investors should inquire as to whether shares of a particular Fund
are available for offer and sale in their state of residence. Shares of the
Trust may not be offered or sold in any state unless registered or qualified
in that jurisdiction or unless an exemption from registration or qualification
is available.
Investors may, subject to the approval of the Trust, purchase shares of a
Fund with liquid securities that are eligible for purchase by the Fund
(consistent with such Fund's investment policies and restrictions) and that
have a value that is readily ascertainable in accordance with the Trust's
valuation policies. These transactions will be effected only if the Adviser
intends to retain the security in the Fund as an investment. Assets so
purchased by a Fund will be valued in generally the same manner as they would
be valued for purposes of pricing the Fund's shares, if such assets were
included in the Fund's assets at the time of purchase. The Trust reserves the
right to amend or terminate this practice at any time.
RETIREMENT PLANS
Shares of the Funds are available for purchase by retirement plans,
including Keogh plans, 401(k) plans, 403(b) plans and Individual Retirement
Accounts. Investors who purchase shares through retirement plans should be
aware that plan administrators may aggregate purchase and redemption orders
for participants in the plan. Therefore, there may be a delay between the time
the investor places his order with the plan administrator, and the time the
order is forwarded to the Transfer Agent for execution.
37
<PAGE>
REDEMPTION OF SHARES
REDEMPTIONS BY MAIL
Shares may be redeemed by submitting a written request to PIMCO Funds, 840
Newport Center Drive, Suite 360, Newport Beach, California 92660, stating the
Fund from which the shares are to be redeemed, the class of shares, the number
or dollar amount of the shares to be redeemed and the account number. The
request must be signed exactly as the names of the registered owners appear on
the Trust's account records, and the request must be signed by the minimum
number of persons designated on the Client Registration Application that are
required to effect a redemption. In order to discourage short-term trading,
the PIMCO StocksPLUS Short Strategy Fund imposes a redemption fee, payable to
the Fund, of 1% on all shares of the Fund held for less than three months.
REDEMPTIONS BY TELEPHONE OR OTHER WIRE COMMUNICATION
If an election is made on the Client Registration Application (or
subsequently in writing), redemptions of shares may be requested by calling
the Trust at (800) 927-4648, by sending a facsimile to (714) 760-4456, or by
other means of wire communication. Investors should state the Fund and class
from which the shares are to be redeemed, the number or dollar amount of the
shares to be redeemed and the account number. Redemption requests of an amount
of $10,000,000 or more may be initiated by telephone, but must be confirmed in
writing by an authorized party prior to processing.
In electing a telephone redemption, the investor authorizes PIMCO and the
Transfer Agent to act on telephone instructions from any person representing
himself to be the investor, and reasonably believed by PIMCO and the Transfer
Agent to be genuine. Neither the Trust nor its Transfer Agent will be liable
for any loss, cost or expense for acting on instructions (whether in writing
or by telephone) believed by the party receiving such instructions to be
genuine and in accordance with the procedures described in this Prospectus.
Shareholders should realize that by electing the telephone or wire redemption
option, they may be giving up a measure of security that they might have if
they were to redeem their shares in writing. Furthermore, interruptions in
telephone service may mean that a shareholder will be unable to effect a
redemption by telephone when desired. The Transfer Agent provides written
confirmation of transactions initiated by telephone as a procedure designed to
confirm that telephone instructions are genuine (written confirmation is also
provided for redemption requests received in writing). All redemptions,
whether initiated by letter or telephone, will be processed in a timely manner
and proceeds will be forwarded by wire in accordance with the redemption
policies of the Trust detailed below. See "Redemption of Shares--Other
Redemption Information."
Shareholders may decline telephone exchange or redemption privileges after
an account is opened by instructing the Transfer Agent in writing at least
seven business days prior to the date the instruction is to be effective.
Shareholders may experience delays in exercising telephone redemption
privileges during periods of abnormal market activity. During periods of
volatile economic or market conditions, shareholders may wish to consider
transmitting redemption orders by telegram, facsimile or overnight courier.
OTHER REDEMPTION INFORMATION
Payment of the redemption price will ordinarily be wired to the investor's
bank one business day after the tender request in the case of the Fixed Income
Funds, and three business days after the tender request in the case of the
Equity Funds, but may take up to seven business days. Redemption proceeds will
be sent by wire only to the bank name designated on the Client Registration
Application. The Trust may suspend the right of redemption or postpone the
payment date at times when the New York Stock Exchange is closed, or during
certain other periods as permitted under the federal securities laws.
For shareholder protection, a request to change information contained in an
account registration (for example, a request to change the bank designated to
receive wire redemption proceeds) must be received in writing, signed by the
minimum number of persons designated on the Client Registration Application
that are required to effect a redemption, and accompanied by a signature
guarantee from any eligible guarantor institution, as determined in accordance
with the Trust's procedures. Shareholders should inquire as to whether a
particular institution is an eligible guarantor institution. A signature
guarantee cannot be provided by a notary
38
<PAGE>
PIMCO FUNDS
public. In addition, corporations, trusts and other institutional
organizations are required to furnish evidence of the authority of the persons
designated on the Client Registration Application to effect transactions for
the organization.
Due to the relatively high cost of maintaining small accounts, the Trust
reserves the right to redeem shares in any account for their then-current
value (which will be promptly paid to the investor) if at any time, due to
redemption by the investor, the shares in the account do not have a value of
at least $100,000 ($10,000 with respect to accounts opened before January 1,
1995). A shareholder will receive advance notice of a mandatory redemption and
will be given at least 30 days to bring the value of its account up to at
least $100,000, or $10,000, as the case may be.
The Trust agrees to redeem shares of each Fund solely in cash up to the
lesser of $250,000 or 1% of the net assets during any 90-day period for any
one shareholder. In consideration of the best interests of the remaining
shareholders, the Trust reserves the right to pay any redemption proceeds
exceeding this amount in whole or in part by a distribution in kind of
securities held by a Fund in lieu of cash. It is highly unlikely that shares
would ever be redeemed in kind. If shares are redeemed in kind, however, the
redeeming shareholder should expect to incur transaction costs upon the
disposition of the securities received in the distribution.
EXCHANGE PRIVILEGE
Shares of a Fund may be exchanged for shares of the same class of any other
Fund based on the respective net asset values of the shares involved, except
that shares of the PIMCO International Fund are available only to private
account clients of PIMCO. An exchange may be made by following the redemption
procedure described above under "Redemptions by Mail" or, if the telephone
redemption option has been elected, by calling the Trust at (800) 927-4648.
Shares of a Fund may also be exchanged for shares of the same class of a
series of the PIMCO Funds: Equity Advisors Series, an affiliated mutual fund
family, comprised primarily of equity portfolios managed by the subsidiary
partnerships of PIMCO Advisors. Shareholders interested in such an exchange
may request a prospectus for these funds by contacting the PIMCO Funds at the
same address and telephone number as the Trust.
Exchanges may be made only with respect to Funds, or PIMCO Funds: Equity
Advisors Series, registered in the state of residence of the investor or where
an exemption from registration is available. An exchange order is treated the
same as a redemption followed by a purchase and may result in a capital gain
or loss for tax purposes, and special rules may apply in computing tax basis
when determining gain or loss. See "Taxation" in the Statement of Additional
Information.
PORTFOLIO TRANSACTIONS
Pursuant to the advisory contract, the Adviser places orders for the
purchase and sale of portfolio investments for the Funds' accounts with
brokers or dealers selected by it in its discretion. In effecting purchases
and sales of portfolio securities for the account of the Funds, the Adviser
will seek the best price and execution of the Funds' orders. In doing so, a
Fund may pay higher commission rates than the lowest available when the
Adviser believes it is reasonable to do so in light of the value of the
brokerage and research services provided by the broker effecting the
transaction. The Adviser also may consider sales of shares of the Trust as a
factor in the selection of broker-dealers to execute portfolio transactions
for the Trust.
The Adviser manages the Funds without regard generally to restrictions on
portfolio turnover, except those imposed on its ability to engage in short-
term trading by provisions of the federal tax laws. The use of futures
contracts and other derivative instruments with relatively short maturities
may tend to exaggerate the portfolio turnover rate for some of the Funds.
Trading in fixed income securities does not generally involve the payment of
brokerage commissions, but does involve indirect transaction costs. The use of
futures contracts may involve the payment of commissions to futures commission
merchants. The higher the rate of portfolio turnover of a Fund, the higher all
these transaction costs borne by the Fund generally will be.
39
<PAGE>
Some securities considered for investment by the Funds may also be
appropriate for other clients served by the Adviser. If a purchase or sale of
securities consistent with the investment policies of a Fund and one or more
of these clients served by the Adviser is considered at or about the same
time, transactions in such securities will be allocated among the Fund and
clients in a manner deemed fair and reasonable by the Adviser.
NET ASSET VALUE
The net asset value per share of each class of each Fund is determined as of
the close of trading on the New York Stock Exchange (currently 4:00 p.m.,
Eastern time) by dividing the total market value of a Fund's portfolio
investments and other assets attributable to that class, less any liabilities,
by the number of total outstanding shares of that class. The net asset values
of the Institutional Class and Administrative Class of a Fund may diverge due
to the effect of rounding at the time net asset value is calculated. Net asset
value will not be determined on days on which the New York Stock Exchange is
closed.
The PIMCO Money Market Fund's securities are normally valued using the
amortized cost method of valuation. This involves valuing a security at cost
on the date of acquisition and thereafter assuming a constant accretion of a
discount or amortization of a premium to maturity. See the Statement of
Additional Information for a description of certain conditions and procedures
followed by the PIMCO Money Market Fund in connection with amortized cost
valuation. For all other Funds, portfolio securities and other assets for
which market quotations are readily available are stated at market value.
Market value is determined on the basis of last reported sales prices, or if
no sales are reported, as is the case for most securities traded over-the-
counter, at 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 (other than obligations having a maturity of 60 days or less), are
normally valued on the basis of quotations obtained from brokers and dealers
or pricing services, which take into account appropriate factors such as
institutional-sized trading in similar groups of securities, yield, quality,
coupon rate, maturity, type of issue, trading characteristics, and other
market data. Quotations of foreign securities in foreign currency are
converted to U.S. dollar equivalents using foreign exchange quotations
received from independent dealers. Short-term investments having a maturity of
60 days or less are valued at amortized cost, when the Board of Trustees
determines that amortized cost is their fair 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
and whose durations are comparable to the securities being valued. Subject to
the foregoing, other securities for which market quotations are not readily
available are valued at fair value as determined in good faith by the Board of
Trustees.
DIVIDENDS, DISTRIBUTIONS AND TAXES
Shares begin earning dividends on the effective date of purchase, provided
notification deadlines are met. See "Purchase of Shares." For the Fixed Income
Funds (other than the PIMCO International Fund), dividends are declared daily
from net investment income to shareholders of record at the close of the
previous business day, and distributed to shareholders monthly. The PIMCO
International and Equity Funds intend to declare and pay as a dividend
substantially all of their net investment income on a quarterly basis. Any net
realized capital gains from the sale of portfolio securities will be
distributed no less frequently than once yearly. Dividend and capital gain
distributions of a Fund will be reinvested in additional shares of that Fund
unless the shareholder elects to have them paid in cash. Dividends from net
investment income with respect to Administrative Class shares will be lower
than those paid with respect to Institutional Class shares, reflecting the
payment of service fees by that class.
Each Fund intends to qualify as a regulated investment company annually and
to elect to be treated as a regulated investment company under the Internal
Revenue Code of 1986, as amended. As such, a Fund generally will not pay
federal income tax on the income and gains it pays as dividends to its
shareholders. In order to avoid a 4% federal excise tax, each Fund intends to
distribute each year substantially all of its net income and gains.
40
<PAGE>
PIMCO FUNDS
Distributions received by tax-exempt shareholders will not be subject to
federal income tax to the extent permitted under applicable tax law. To the
extent that a shareholder is not exempt from tax on Fund distributions, such
shareholder will be subject to tax on dividends received from a Fund,
regardless of whether received in cash or reinvested in additional shares.
Shareholders must treat dividends, other than capital gain dividends or
dividends that represent a return of capital to shareholders, as ordinary
income. Dividends designated by a Fund as capital gain dividends are taxable
to shareholders as long-term capital gain except as provided by an applicable
tax exemption. Any distributions that are not from a Fund's net investment
income or net capital gain may be characterized as a return of capital to
shareholders or, in some cases, as capital gain. Certain dividends declared in
October, November or December of a calendar year are taxable to shareholders
(who otherwise are subject to tax on dividends) as though received on December
31 of that year if paid to shareholders during January of the following
calendar year. For state income tax purposes, interest on some Federal
obligations generally is not exempt from taxation, whether received directly
by a shareholder or through distributions of investment company taxable income
(for example, interest on FNMA and GNMA Certificates). Each Fund will advise
shareholders annually of the amount and nature of the dividends paid to them.
The preceding discussion relates only to federal income tax; the
consequences under other tax laws may differ. For additional information
relating to the tax aspects of investing in a Fund, see the Statement of
Additional Information.
OTHER INFORMATION
CAPITALIZATION
The Trust was organized as a Massachusetts business trust on February 19,
1987. The Board of Trustees may establish additional portfolios in the future.
The capitalization of the Trust consists solely of an unlimited number of
shares of beneficial interest with a par value of $0.0001 each. When issued,
shares of the Trust are fully paid, non-assessable and freely transferable.
Under Massachusetts law, shareholders could, under certain circumstances, be
held personally liable for the obligations of the Trust. However, the
Declaration of Trust disclaims liability of the shareholders, Trustees or
officers of the Trust for acts or obligations of the Trust, which are binding
only on the assets and property of the Trust, and requires that notice of the
disclaimer be given in each contract or obligation entered into or executed by
the Trust or the Trustees. The Declaration of Trust provides for
indemnification out of Trust property for all loss and expense of any
shareholder held personally liable for the obligations of the Trust. The risk
of a shareholder incurring financial loss on account of shareholder liability
is limited to circumstances in which the Trust itself would be unable to meet
its obligations, and thus should be considered remote.
VOTING
Shareholders have the right to vote on the election of Trustees and on any
and all matters on which the law or the Declaration of Trust states they may
be entitled to vote. The Trust is not required to hold regular annual meetings
of Trust shareholders and does not intend to do so. Shareholders of a class of
shares have separate voting rights with respect to matters that only affect
that class. See "Other Information--Voting Rights" in the Statement of
Additional Information.
The Declaration of Trust provides that the holders of not less than two-
thirds of the outstanding shares of the Trust may remove a person serving as
Trustee either by declaration in writing or at a meeting called for such
purpose. The Trustees are required to call a meeting for the purpose of
considering the removal of a person serving as Trustee if requested in writing
to do so by the holders of not less than 10% of the outstanding shares of the
Trust.
Shares entitle their holders to one vote per share (with proportionate
voting for fractional shares). As of January 3, 1996, St. Johns Hospital
(Santa Monica, California) and PIMCO Advisors L.P. (Newport Beach, California)
owned controlling interests (as that term is defined in the 1940 Act) of the
PIMCO Money Market
41
<PAGE>
Fund; Pacific Mutual Life Insurance Company (Newport Beach, California), owned
a controlling interest of the PIMCO Total Return Fund II; Archdiocese of Los
Angeles (Los Angeles, California) owned a controlling interest of the PIMCO
Total Return Fund III; Southern California Edison (Rosemead, California) and
Charles Schwab & Co., Inc. (San Francisco, California) owned controlling
interests of the PIMCO Foreign Fund; California Hardware c/o Pacific Mutual
(Newport Beach, California) owned a controlling interest of the PIMCO Growth
Stock Fund; and Pacific Mutual Life Insurance Company (Newport Beach,
California) owned a controlling interest of the PIMCO VersaSTYLE Equity Fund.
As used in this Prospectus, the phrase "vote of a majority of the outstanding
shares" of a Fund (or the Trust) means the vote of the lesser of: (1) 67% of
the shares of the Fund (or the Trust) present at a meeting, if the holders of
more than 50% of the outstanding shares are present in person or by proxy; or
(2) more than 50% of the outstanding shares of the Fund (or the Trust).
PERFORMANCE INFORMATION
The Trust may, from time to time, include the yield and total return for
each class of shares of its Funds in advertisements or reports to shareholders
or prospective investors. Yield quotations for the PIMCO Money Market Fund may
include current yield and effective yield. Current yield will be based on
income received by a hypothetical investment over a given seven-day period
(less expenses accrued during the period) and "annualized" (i.e., assuming
that the seven-day yield would be received for 52 weeks, stated in the terms
of an annual percentage return on the investment). Effective yield for the
Fund is calculated in the manner similar to that used to calculate current
yield, but reflects the compounding effect on earnings of reinvested
dividends. For the remaining Funds, quotations of yield for a Fund or class
will be based on the investment income per share (as defined by the SEC)
during a particular 30-day (or one-month) period (including dividends and
interest), less expenses accrued during the period ("net investment income"),
and will be computed by dividing net investment income by the maximum public
offering price per share on the last day of the period. Quotations of average
annual total return for a Fund or class will be expressed in terms of the
average annual compounded rate of return of a hypothetical investment in the
Fund or class over periods of one, five and ten years (up to the life of the
Fund), reflect the deduction of a proportional share of Fund or class expenses
(on an annual basis), and assume that all dividends and distributions are
reinvested when paid.
The Trust also may provide current distribution information to its
shareholders in shareholder reports or other shareholder communications, or in
certain types of sales literature provided to prospective investors. Current
distribution information for a particular class of a Fund will be based on
distributions for a specified period (i.e., total dividends from net
investment income), divided by the relevant class net asset value per share on
the last day of the period and annualized. The rate of current distributions
does not reflect deductions for unrealized losses from transactions in
derivative instruments such as options and futures, which may reduce total
return. Current distribution rates differ from standardized yield rates in
that they represent what a class of a Fund has declared and paid to
shareholders as of the end of a specified period rather than the Fund's actual
net investment income for that period.
Performance information for the Trust may also be compared to various
unmanaged indices, such as the Standard & Poor's 500 Stock Index, the
S&P/BARRA Growth Index, the Lehman Brothers Aggregate Bond Index, the Donoghue
Money Market Institutional Averages, the Merrill Lynch 1 to 3 Year Treasury
Index, the Salomon Brothers World Government Benchmark Bond Index, indices
prepared by Lipper Analytical Services, and other entities or organizations
which track the performance of investment companies or investment advisers.
Unmanaged indexes (i.e., other than Lipper) generally do not reflect
deductions for administrative and management costs and expenses. PIMCO may
also report to shareholders or to the public in advertisements concerning the
performance of PIMCO as adviser to clients other than the Trust, and on the
comparative performance or standing of PIMCO in relation to other money
managers. Such comparative information may be compiled or provided by
independent ratings services or by news organizations. Any performance
information, whether related to the Funds or to the Adviser, should be
considered in light of a Fund's investment objectives and policies,
characteristics and quality of the portfolio, and the market conditions during
the time period indicated, and should not be considered to be representative
of what may be achieved in the future. For a description of the methods used
to determine yield and total return for the Funds, see the Statement of
Additional Information.
<PAGE>
PIMCO FUNDS
Investment results of the Funds will fluctuate over time, and any
presentation of the Funds' total return or yield for any prior period should
not be considered as a representation of what an investor's total return or
yield may be in any future period. The Trust's Annual Report contains
additional performance information for the Funds and is available upon
request, without charge, by calling (800) 927-4648 (Current Shareholders), or
(800) 800-0952 (New Accounts).
43
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PIMCO FUNDS
APPENDIX A
DESCRIPTION OF SECURITIES RATINGS
MOODY'S INVESTORS SERVICE, INC.
CORPORATE AND MUNICIPAL BOND RATINGS
Aaa: Bonds that are rated Aaa are judged to be of the best quality. They
carry the smallest degree of investment risk and are generally referred to as
"gilt edge." Interest payments are protected by a large or by an exceptionally
stable margin and principal is secure. While the various protective elements
are likely to change, such changes as can be visualized are most unlikely to
impair the fundamentally strong position of such issues.
Aa: Bonds that are rated Aa are judged to be of high quality by all
standards. Together with the Aaa group they comprise what are generally known
as high grade bonds. They are rated lower than the best bonds because margins
of protection may not be as large as in Aaa securities or fluctuation of
protective elements may be of greater amplitude or there may be other elements
present that make the long-term risks appear somewhat larger than with Aaa
securities.
A: Bonds that are rated A possess many favorable investment attributes and
are to be considered as upper medium grade obligations. Factors giving
security to principal and interest are considered adequate but elements may be
present that suggest a susceptibility to impairment sometime in the future.
Baa: Bonds that are rated Baa are considered as medium grade obligations,
i.e., they are neither highly protected nor poorly secured. Interest payments
and principal security appear adequate for the present but certain protective
elements may be lacking or may be characteristically unreliable over any great
length of time. Such bonds lack outstanding investment characteristics and in
fact have speculative characteristics as well.
Ba: Bonds that are rated Ba are judged to have speculative elements; their
future cannot be considered as well assured. Often the protection of interest
and principal payments may be very moderate and thereby not well safeguarded
during both good and bad times over the future. Uncertainty of position
characterizes bonds in this class.
B: Bonds that are rated B generally lack characteristics of the desirable
investment. Assurance of interest and principal payments or of maintenance of
other terms of the contract over any long period of time may be small.
Caa: Bonds that are rated Caa are of poor standing. Such issues may be in
default or there may be present elements of danger with respect to principal
or interest.
Ca: Bonds that are rated Ca represent obligations which are speculative in a
high degree. Such issues are often in default or have other marked
shortcomings.
C: Bonds that are rated C are the lowest rated class of bonds and issues so
rated can be regarded as having extremely poor prospects of ever attaining any
real investment standing.
Moody's applies numerical modifiers, 1, 2, and 3 in each generic rating
classified from Aa through B in its corporate bond rating system. The modifier
1 indicates that the security ranks in the higher end of its generic rating
category; the modifier 2 indicates a mid-range ranking; and the modifier 3
indicates that the issue ranks in the lower end of its generic rating
category.
CORPORATE SHORT-TERM DEBT RATINGS
Moody's short-term debt ratings are opinions of the ability of issuers to
repay punctually senior debt obligations which have an original maturity not
exceeding one year. Obligations relying upon support mechanisms such as
letters of credit and bonds of indemnity are excluded unless explicitly rated.
A-1
<PAGE>
Moody's employs the following three designations, all judged to be
investment grade, to indicate the relative repayment ability of rated issuers:
PRIME-1: Issuers rated Prime 1 (or supporting institutions) have a superior
ability for repayment of senior short-term debt obligations. Prime-1 repayment
ability will often be evidenced by many of the following characteristics:
leading market positions in well-established industries; high rates of return
on funds employed; conservative capitalization structure with moderate
reliance on debt and ample asset protection; broad margins in earnings
coverage of fixed financial charges and high internal cash generation; and
well-established access to a range of financial markets and assured sources of
alternate liquidity.
PRIME-2: Issuers rated Prime-2 (or supporting institutions) have a strong
ability for repayment of senior short-term debt obligations. This will
normally be evidenced by many of the characteristics cited above but to a
lesser degree. Earnings trends and coverage ratios, while sound, may be more
subject to variation. Capitalization characteristics, while still appropriate,
may be more affected by external conditions. Ample alternate liquidity is
maintained.
PRIME-3: Issuers rated Prime-3 (or supporting institutions) have an
acceptable ability for repayment of senior short-term obligations. The effect
of industry characteristics and market compositions may be more pronounced.
Variability in earnings and profitability may result in changes in the level
of debt protection measurements and may require relatively high financial
leverage. Adequate alternate liquidity is maintained.
NOT PRIME: Issuers rated Not Prime do not fall within any of the Prime
rating categories.
STANDARD & POOR'S CORPORATION
CORPORATE AND MUNICIPAL BOND RATINGS
Investment Grade
AAA: Debt rated AAA has the highest rating assigned by Standard & Poor's.
Capacity to pay interest and repay principal is extremely strong.
AA: Debt rated AA has a very strong capacity to pay interest and repay
principal and differs from the highest rated issues only in small degree.
A: Debt rated A has a strong capacity to pay interest and repay principal
although it is somewhat more susceptible to the adverse effects of changes in
circumstances and economic conditions than debt in higher-rated categories.
BBB: Debt rated BBB is regarded as having an adequate capacity to pay
interest and repay principal. Whereas it normally exhibits adequate protection
parameters, adverse economic conditions, or changing circumstances are more
likely to lead to a weakened capacity to pay interest and repay principal for
debt in this category than in higher-rated categories.
Speculative Grade
Debt rated BB, B, CCC, CC, and C is regarded as having predominantly
speculative characteristics with respect to capacity to pay interest and repay
principal. BB indicates the lease degree of speculation and C the highest.
While such debt will likely have some quality and protective characteristics,
these are outweighed by large uncertainties or major exposures to adverse
conditions.
BB: Debt rated BB has less near-term vulnerability to default than other
speculative issues. However, it faces major ongoing uncertainties or exposure
to adverse business, financial, or economic conditions which could lead to
inadequate capacity to meet timely interest and principal payments. The BB
rating category is also used for debt subordinated to senior debt that is
assigned an actual or implied BBB- rating.
A-2
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PIMCO FUNDS
B: Debt rated B has a greater vulnerability to default but currently has the
capacity to meet interest payments and principal repayments. Adverse business,
financial, or economic conditions will likely impair capacity or willingness
to pay interest and repay principal. The B rating category is also used for
debt subordinated to senior debt that is assigned an actual or implied BB or
BB- rating.
CCC: Debt rated CCC has a currently identifiable vulnerability to default
and is dependent upon favorable business, financial, and economic conditions
to meet timely payment of interest and repayment of principal. In the event of
adverse business, financial or economic conditions, it is not likely to have
the capacity to pay interest and repay principal. The CCC rating category is
also used for debt subordinated to senior debt that is assigned an actual or
implied B or B- rating.
CC: The rating CC is typically applied to debt subordinated to senior debt
that is assigned an actual or implied CCC rating.
C: The rating C is typically applied to debt subordinated to senior debt
that is assigned an actual or implied CCC- debt rating. The C rating may be
used to cover a situation where a bankruptcy petition has been filed, but debt
service payments are continued.
C1: The rating C1 is reserved for income bonds on which no interest is being
paid.
D: Debt rated D is in payment default. The D rating category is used when
interest payments or principal payments are not made on the date due even if
the applicable grace period has not expired, unless S&P believes that such
payments will be made during such grace period. The D rating will also be used
upon the filing of a bankruptcy petition if debt service payments are
jeopardized.
Plus (+) or Minus (-): The ratings from AA to CCC may be modified by the
addition of a plus or minus sign to show relative standing within the major
rating categories.
Provisional ratings: The letter "p" indicates that the rating is
provisional. A provisional rating assumes the successful completion of the
project being financed by the debt being rated and indicates that payment of
debt service requirements is largely or entirely dependent upon the successful
and timely completion of the project. This rating, however, while addressing
credit quality subsequent to completion of the project, makes no comment on
the likelihood of, or the risk of default upon failure of, such completion.
The investor should exercise his own judgment with respect to such likelihood
and risk.
r: The "r" is attached to highlight derivative, hybrid, and certain other
obligations that S&P believes may experience high volatility or high
variability in expected returns due to non-credit risks. Examples of such
obligations are: securities whose principal or interest return is indexed to
equities, commodities, or currencies; certain swaps and options; and interest
only and principal only mortgage securities.
N.R.: Not rated.
Debt obligations of issuers outside the United States and its territories
are rated on the same basis as domestic corporate and municipal issues. The
ratings measure the creditworthiness of the obligor but do not take into
account currency exchange and related uncertainties.
COMMERCIAL PAPER RATING DEFINITIONS
A Standard & Poor's commercial paper rating is a current assessment of the
likelihood of timely payment of debt having an original maturity of no more
than 365 days. Ratings are graded into several categories, ranging from A for
the highest quality obligations to D for the lowest. These categories are as
follows:
A-1: This highest category indicates that the degree of safety regarding
timely payment is strong. Those issues determined to possess extremely strong
safety characteristics are denoted with a plus sign (+) designation.
A-3
<PAGE>
A-2: Capacity for timely payment on issues with this designation is
satisfactory. However, the relative degree of safety is not as high as for
issues designated A-1.
A-3: Issues carrying this designation have adequate capacity for timely
payment. They are, however, more vulnerable to the adverse effects of changes
in circumstances than obligations carrying the higher designations.
B: Issues rated B are regarded as having only speculative capacity for
timely payment.
C: This rating is assigned to short-term debt obligations with a doubtful
capacity for payment.
D: Debt rated D is in payment default. The D rating category is used when
interest payments or principal payments are not made on the date due, even if
the applicable grace period has not expired, unless S&P believes that such
payments will be made during such grace period.
A commercial paper rating is not a recommendation to purchase or sell a
security. The ratings are based on current information furnished to Standard &
Poor's by the issuer or obtained from other sources it considers reliable. The
ratings may be changed, suspended, or withdrawn as a result of changes in or
unavailability of such information.
A-4
<PAGE>
[LOGO of PIMCO]
PIMCO Funds
INVESTMENT ADVISER AND ADMINISTRATOR
Pacific Investment Management Company
840 Newport Center Drive, Suite 360
Newport Beach, CA 92660
CUSTODIAN AND TRANSFER AGENT
Investors Fiduciary Trust Company
127 West 10th Street
Kansas City, MO 64105
ACCOUNTANTS
Price Waterhouse LLP
1055 Broadway
Kansas City, MO 64105
COUNSEL
Dechert Price & Rhoads
1500 K Street, N.W., Suite 500
Washington, DC 20005
- --------------------------------------------------------------------------------
Prospectus / April 1, 1996
<PAGE>
PIMCO FUNDS
STATEMENT OF ADDITIONAL INFORMATION
PIMCO Funds (the "Trust") is a no-load, open-end management investment
company ("mutual fund") currently consisting of nineteen separate investment
portfolios (the "Funds"): the PIMCO MONEY MARKET FUND; the PIMCO SHORT-TERM
FUND; the PIMCO LOW DURATION FUND; the PIMCO LOW DURATION FUND II; the PIMCO LOW
DURATION FUND III; the PIMCO MODERATE DURATION FUND; the PIMCO HIGH YIELD FUND;
the PIMCO TOTAL RETURN FUND; the PIMCO TOTAL RETURN FUND II; the PIMCO TOTAL
RETURN FUND III; the PIMCO COMMERCIAL MORTGAGE SECURITIES FUND; the PIMCO LONG-
TERM U.S. GOVERNMENT FUND; the PIMCO FOREIGN FUND; the PIMCO GLOBAL FUND; the
PIMCO INTERNATIONAL FUND; the PIMCO STOCKSPLUS FUND; the PIMCO STOCKSPLUS SHORT
STRATEGY FUND; the PIMCO GROWTH STOCK FUND; and the PIMCO VERSASTYLE EQUITY
FUND. Shares of the Pimco International Fund are offered only to clients of
PIMCO who maintain separately managed private accounts.
The Trust's investment adviser is Pacific Investment Management Company
("PIMCO" or the "Adviser"), 840 Newport Center Drive, Suite 360, Newport Beach,
California 92660. PIMCO is a subsidiary partnership of PIMCO Advisors L.P.
("PIMCO Advisors").
This Statement of Additional Information is not a Prospectus, and should be
used in conjunction with the Prospectus for the Trust dated April 1, 1996. A
copy of the Prospectus may be obtained free of charge from the Trust at the
address and telephone number listed below.
PIMCO Funds
840 Newport Center Drive
Suite 360
Newport Beach, California 92660
Telephone: (800) 927-4648
April 1, 1996
1
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TABLE OF CONTENTS
<TABLE>
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Page
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<S> <C>
INVESTMENT OBJECTIVES AND POLICIES............................ 1
Borrowing................................................... 1
Corporate Debt Securities................................... 2
Participation on Creditors Committees....................... 3
Mortgage-Related and Other Asset-Backed Securities.......... 3
Foreign Securities.......................................... 8
Foreign Currency Exchange-Related Securities................ 10
Bank Obligations............................................ 11
Loan Participations......................................... 12
Short Sales................................................. 14
Derivative Instruments...................................... 14
Warrants to Purchase Securities............................. 21
Illiquid Securities......................................... 21
Social Investment Policies.................................. 22
INVESTMENT RESTRICTIONS....................................... 22
MANAGEMENT OF THE TRUST....................................... 26
Trustees and Officers....................................... 26
Compensation Table.......................................... 29
Investment Adviser.......................................... 29
Fund Administrator.......................................... 32
Expense Limitations......................................... 34
Distribution of Trust Shares................................ 34
Service Fees................................................ 35
The Reorganization.......................................... 36
Purchases and Redemptions................................... 36
PORTFOLIO TRANSACTIONS AND BROKERAGE.......................... 37
Investment Decisions........................................ 37
Brokerage and Research Services............................. 38
NET ASSET VALUE............................................... 39
TAXATION...................................................... 40
Distributions............................................... 41
Sales of Shares............................................. 41
Backup Withholding.......................................... 41
Options, Futures and Forward Contracts, and Swap Agreements. 41
Short Sales................................................. 42
Passive Foreign Investment Companies........................ 42
Foreign Currency Transactions............................... 43
Foreign Taxation............................................ 43
Original Issue Discount..................................... 44
Other Taxation.............................................. 44
OTHER INFORMATION............................................. 45
Capitalization.............................................. 45
</TABLE>
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<TABLE>
<S> <C>
Performance Information..................................... 45
Voting Rights............................................... 51
Code of Ethics.............................................. 57
Custodian, Transfer Agent and Dividend Disbursing Agent..... 57
Independent Accountants..................................... 57
Counsel..................................................... 57
Registration Statement...................................... 57
Financial Statements........................................ 58
</TABLE>
3
<PAGE>
INVESTMENT OBJECTIVES AND POLICIES
The investment objectives and general investment policies of each Fund are
described in the Prospectus. Additional information concerning the
characteristics of certain of the Funds' investments are set forth below.
BORROWING
A Fund may borrow for temporary administrative purposes. This borrowing may
be unsecured. Provisions of the Investment Company Act of 1940 ("1940 Act")
require a Fund to maintain continuous asset coverage (that is, total assets
including borrowings, less liabilities exclusive of borrowings) of 300% of the
amount borrowed, with an exception for borrowings not in excess of 5% of the
Funds total assets made for temporary administrative purposes. Any borrowings
for temporary administrative purposes in excess of 5% of the Funds total assets
must maintain continuous asset coverage. If the 300% asset coverage should
decline as a result of market fluctuations or other reasons, a Fund may be
required to sell some of its portfolio holdings within three days to reduce the
debt and restore the 300% asset coverage, even though it may be disadvantageous
from an investment standpoint to sell securities at that time. Borrowing will
tend to exaggerate the effect on net asset value of any increase or decrease in
the market value of a Fund's portfolio. Money borrowed will be subject to
interest costs which may or may not be recovered by appreciation of the
securities purchased. A Fund also may be required to maintain minimum average
balances in connection with such borrowing or to pay a commitment or other fee
to maintain a line of credit; either of these requirements would increase the
cost of borrowing over the stated interest rate.
In addition to borrowing for temporary purposes, a Fund may enter into
reverse repurchase agreements and mortgage dollar rolls. A reverse repurchase
agreement involves the sale of a portfolio-eligible security by a Fund, coupled
with its agreement to repurchase the instrument at a specified time and price.
The Fund will maintain a segregated account with its custodian consisting of
liquid assets, such as cash, U.S. Government securities or high quality debt
securities equal (on a daily mark-to-market basis) to its obligations under
reverse repurchase agreements with broker-dealers (but not banks). However,
reverse repurchase agreements involve the risk that the market value of
securities retained by the Fund may decline below the repurchase price of the
securities sold by the Fund which it is obligated to repurchase. Reverse
repurchase agreements will be subject to the Funds limitations on borrowings,
which will restrict the aggregate of such transactions (plus any other
borrowings) to 33 1/3% of a Funds total assets.
A "mortgage dollar roll," is similar to reverse repurchase agreements in
certain respects. In a "dollar roll" transaction a Fund sells a mortgage-related
security, such as a security issued by the Government National Mortgage
Association ("GNMA"), to a dealer and simultaneously agrees to repurchase a
similar security (but not the same security) in the future at a pre-determined
price. A "dollar roll" can be viewed, like a reverse repurchase agreement, as a
collateralized borrowing in which a Fund pledges a mortgage-related security to
a dealer to obtain cash. Unlike in the case of reverse repurchase agreements,
the dealer with which a Fund enters into a dollar roll transaction is not
obligated to return the same securities as those originally sold by the Fund,
but only securities which are "substantially identical." To be considered
"substantially identical," the securities returned to a Fund generally must: (1)
be collateralized by the same types of underlying mortgages; (2) be issued by
the same agency and be part of the same program; (3) have a similar original
stated maturity; (4) have identical net coupon rates; (5) have similar market
yields (and therefore price); and (6) satisfy "good delivery" requirements,
meaning that the aggregate principal amounts of the securities delivered and
received back must be within 2.5% of the initial amount delivered.
A Fund's obligations under a dollar roll agreement must be covered by
liquid assets, such as cash or high quality debt securities equal in value to
the securities subject to repurchase by the Fund, maintained in a segregated
account. Dollar rolls will be subject to the Funds limitations on borrowings,
which will restrict the aggregate of such transactions (plus any other
borrowings) to 33 1/3% of a Fund's total assets.
1
<PAGE>
Furthermore, because dollar roll transactions may be for terms ranging between
one and six months, dollar roll transactions may be deemed "illiquid" and
subject to a Fund's overall limitations on investments in illiquid securities.
CORPORATE DEBT SECURITIES
A Fund's investments in U.S. dollar or foreign currency-denominated
corporate debt securities of domestic or foreign issuers are limited to
corporate debt securities (corporate bonds, debentures, notes and other similar
corporate debt instruments, including convertible securities) which meet the
minimum ratings criteria set forth for the Fund, or, if unrated, are in the
Adviser's opinion comparable in quality to corporate debt securities in which
the Fund may invest. The rate of return or return of principal on some debt
obligations may be linked or indexed to the level of exchange rates between the
U.S. dollar and a foreign currency or currencies.
Among the corporate bonds in which the Funds may invest are convertible
securities. A convertible security is a bond, debenture, note, or other security
that entitles the holder to acquire common stock or other equity securities of
the same or a different issuer. A convertible security generally entitles the
holder to receive interest paid or accrued until the convertible security
matures or is redeemed, converted or exchanged. Before conversion, convertible
securities have characteristics similar to nonconvertible debt securities.
Convertible securities rank senior to common stock in a corporation's capital
structure and, therefore, generally entail less risk than the corporation's
common stock, although the extent to which such risk is reduced depends in large
measure upon the degree to which the convertible security sells above its value
as a fixed income security.
A convertible security may be subject to redemption at the option of the
issuer at a predetermined price. If a convertible security held by a Fund is
called for redemption, the Fund would be required to permit the issuer to redeem
the security and convert it to underlying common stock, or would sell the
convertible security to a third party. A Fund generally would invest in
convertible securities for their favorable price characteristics and total
return potential and would normally not exercise an option to convert.
Securities rated Baa and BBB are the lowest which are considered
"investment grade" obligations. Moody's Investor Services, Inc. ("Moody's")
describes securities rated Baa as "medium-grade" obligations; they are "neither
highly protected nor poorly secured...[i]nterest payments and principal security
appear adequate for the present but certain protective elements may be lacking
or may be characteristically unreliable over any great length of time. Such
bonds lack outstanding investment characteristics and in fact have speculative
characteristics as well." Standard & Poor's Corporation ("S&P") describes
securities rated BBB as "regarded as having an adequate capacity to pay interest
and repay principal...[w]hereas it normally exhibits adequate protection
parameters, adverse economic conditions or changing circumstances are more
likely to lead to a weakened capacity than in higher rated categories."
Investments in securities rated below investment grade that are eligible
for purchase by certain of the Funds (i.e., rated B or better by Moody's or
S&P), in particular, by the High Yield Fund, are described as "speculative" by
both Moody's and S&P. Investment in lower rated corporate debt securities ("high
yield securities") generally provides greater income and increased opportunity
for capital appreciation than investments in higher quality securities, but they
also typically entail greater price volatility and principal and income risk.
These high yield securities are regarded as predominantly speculative with
respect to the issuer's continuing ability to meet principal and interest
payments. The market for these securities is relatively new, and many of the
outstanding high yield securities have not endured a major business recession. A
long-term track record on default rates, such as that for investment grade
corporate bonds, does not exist for this market. Analysis of the
creditworthiness of issuers of debt securities that are high yield may be more
complex than for issuers of higher quality debt securities.
2
<PAGE>
High yield securities may be more susceptible to real or perceived adverse
economic and competitive industry conditions than investment grade securities.
The prices of high yield securities have been found to be less sensitive to
interest-rate changes than higher-rated investments, but more sensitive to
adverse economic downturns or individual corporate developments. A projection of
an economic downturn or of a period of rising interest rates, for example, could
cause a decline in high yield security prices because the advent of a recession
could lessen the ability of a highly leveraged company to make principal and
interest payments on its debt securities. If an issuer of high yield securities
defaults, in addition to risking payment of all or a portion of interest and
principal, the Funds may incur additional expenses to seek recovery. In the case
of high yield securities structured as zero-coupon or pay-in-kind securities,
their market prices are affected to a greater extent by interest rate changes,
and therefore tend to be more volatile than securities which pay interest
periodically and in cash.
The secondary market on which high yield securities are traded may be less
liquid than the market for higher grade securities. Less liquidity in the
secondary trading market could adversely affect the price at which the Funds
could sell a high yield security, and could adversely affect the daily net asset
value of the shares. Adverse publicity and investor perceptions, whether or not
based on fundamental analysis, may decrease the values and liquidity of high
yield securities especially in a thinly-traded market. When secondary markets
for high yield securities are less liquid than the market for higher grade
securities, it may be more difficult to value the securities because such
valuation may require more research, and elements of judgment may play a greater
role in the valuation because there is less reliable, objective data available.
The Adviser seeks to minimize the risks of investing in all securities through
diversification, in-depth credit analysis and attention to current developments
in interest rates and market conditions.
PARTICIPATION ON CREDITORS COMMITTEE
A Fund (in particular, the PIMCO High Yield Fund) may from time to time
participate on committees formed by creditors to negotiate with the management
of financially troubled issuers of securities held by the Fund. Such
participation may subject the Fund to expenses such as legal fees and may make
the Fund an "insider" of the issuer for purposes of the federal securities laws,
and therefore may restrict the Fund's ability to trade in or acquire additional
positions in a particular security when it might otherwise desire to do so.
Participation by the Fund on such committees also may expose the Fund to
potential liabilities under the federal bankruptcy laws or other laws governing
the rights of creditors and debtors. The Fund would participate on such
committees only when the Adviser believed that such participation was necessary
or desirable to enforce the Fund's rights as a creditor or to protect the value
of securities held by the Fund.
MORTGAGE-RELATED AND OTHER ASSET-BACKED SECURITIES
Mortgage-related securities are interests in pools of residential or
commercial mortgage loans, including mortgage loans made by savings and loan
institutions, mortgage bankers, commercial banks and others. Pools of mortgage
loans are assembled as securities for sale to investors by various governmental,
government-related and private organizations, see "Mortgage Pass-Through
Securities." The Funds may also invest in debt securities which are secured with
collateral consisting of mortgage-related securities, see "Collateralized
Mortgage Obligations," and in other types of mortgage-related securities.
MORTGAGE PASS-THROUGH SECURITIES. Interests in pools of mortgage-related
securities differ from other forms of debt securities, which normally provide
for periodic payment of interest in fixed amounts with principal payments at
maturity or specified call dates. Instead, these securities provide a monthly
payment which consists of both interest and principal payments. In effect, these
payments are a "pass-through" of the monthly payments made by the individual
borrowers on their residential or commercial mortgage loans, net of any fees
paid to the issuer or guarantor of such securities. Additional payments are
caused by repayments of principal resulting from the sale of the underlying
property, refinancing or
3
<PAGE>
foreclosure, net of fees or costs which may be incurred. Some mortgage-related
securities (such as securities issued by GNMA) are described as "modified pass-
through." These securities entitle the holder to receive all interest and
principal payments owed on the mortgage pool, net of certain fees, at the
scheduled payment dates regardless of whether or not the mortgagor actually
makes the payment.
The principal governmental guarantor of mortgage-related securities is
GNMA. GNMA is a wholly owned United States Government corporation within the
Department of Housing and Urban Development. GNMA is authorized to guarantee,
with the full faith and credit of the United States Government, the timely
payment of principal and interest on securities issued by institutions approved
by GNMA (such as savings and loan institutions, commercial banks and mortgage
bankers) and backed by pools of mortgages insured by the Federal Housing
Administration (the "FHA"), or guaranteed by the Department of Veterans Affairs
(the "VA").
Government-related guarantors (i.e., not backed by the full faith and
credit of the United States Government) include the Federal National Mortgage
Association ("FNMA") and the Federal Home Loan Mortgage Corporation ("FHLMC").
FNMA is a government-sponsored corporation owned entirely by private
stockholders. It is subject to general regulation by the Secretary of Housing
and Urban Development. FNMA purchases conventional (i.e., not insured or
guaranteed by any government agency) residential mortgages from a list of
approved seller/servicers which include state and federally chartered savings
and loan associations, mutual savings banks, commercial banks and credit unions
and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as
to timely payment of principal and interest by FNMA but are not backed by the
full faith and credit of the United States Government.
FHLMC was created by Congress in 1970 for the purpose of increasing the
availability of mortgage credit for residential housing. It is a government-
sponsored corporation formerly owned by the twelve Federal Home Loan Banks and
now owned entirely by private stockholders. FHLMC issues Participation
Certificates ("Pcs") which represent interests in conventional mortgages from
FHLMC's national portfolio. FHLMC guarantees the timely payment of interest and
ultimate collection of principal, but Pcs are not backed by the full faith and
credit of the United States Government.
Commercial banks, savings and loan institutions, private mortgage insurance
companies, mortgage bankers and other secondary market issuers also create pass-
through pools of conventional residential mortgage loans. Such issuers may, in
addition, be the originators and/or servicers of the underlying mortgage loans
as well as the guarantors of the mortgage-related securities. Pools created by
such non-governmental issuers generally offer a higher rate of interest than
government and government-related pools because there are no direct or indirect
government or agency guarantees of payments in the former pools. However, timely
payment of interest and principal of these pools may be supported by various
forms of insurance or guarantees, including individual loan, title, pool and
hazard insurance and letters of credit. The insurance and guarantees are issued
by governmental entities, private insurers and the mortgage poolers. Such
insurance and guarantees and the creditworthiness of the issuers thereof will be
considered in determining whether a mortgage-related security meets the Trust's
investment quality standards. There can be no assurance that the private
insurers or guarantors can meet their obligations under the insurance policies
or guarantee arrangements. The Funds may buy mortgage-related securities without
insurance or guarantees if, through an examination of the loan experience and
practices of the originator/servicers and poolers, the Adviser determines that
the securities meet the Trust's quality standards. Although the market for such
securities is becoming increasingly liquid, securities issued by certain private
organizations may not be readily marketable. No Fund will purchase mortgage-
related securities or any other assets which in the Adviser's opinion are
illiquid if, as a result, more than 15% of the value of the Fund's net assets
will be illiquid (10% in the case of the PIMCO Money Market Fund.)
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Mortgage-backed securities that are issued or guaranteed by the U.S.
Government, its agencies or instrumentalities, are not subject to the Funds'
industry concentration restrictions, set forth below under "Investment
Restrictions," by virtue of the exclusion from that test available to all U.S.
Government securities. In the case of privately issued mortgage-related
securities, the Funds take the position that mortgage-related securities do not
represent interests in any particular "industry" or group of industries. The
assets underlying such securities may be represented by a portfolio of first
lien residential mortgages (including both whole mortgage loans and mortgage
participation interests) or portfolios of mortgage pass-through securities
issued or guaranteed by GNMA, FNMA or FHLMC. Mortgage loans underlying a
mortgage-related security may in turn be insured or guaranteed by the FHA or the
VA. In the case of private issue mortgage-related securities whose underlying
assets are neither U.S. Government securities nor U.S. Government-insured
mortgages, to the extent that real properties securing such assets may be
located in the same geographical region, the security may be subject to a
greater risk of default than other comparable securities in the event of adverse
economic, political or business developments that may affect such region and,
ultimately, the ability of residential homeowners to make payments of principal
and interest on the underlying mortgages.
COLLATERALIZED MORTGAGE OBLIGATIONS (CMOS). A CMO is a hybrid between a
mortgage-backed bond and a mortgage pass-through security. Similar to a bond,
interest and prepaid principal is paid, in most cases, semi-annually. CMOs may
be collateralized by whole mortgage loans, but are more typically collateralized
by portfolios of mortgage pass-through securities guaranteed by GNMA, FHLMC, or
FNMA, and their income streams.
CMOs are structured into multiple classes, each bearing a different stated
maturity. Actual maturity and average life will depend upon the prepayment
experience of the collateral. CMOs provide for a modified form of call
protection through a de facto breakdown of the underlying pool of mortgages
--------
according to how quickly the loans are repaid. Monthly payment of principal
received from the pool of underlying mortgages, including prepayments, is first
returned to investors holding the shortest maturity class. Investors holding the
longer maturity classes receive principal only after the first class has been
retired. An investor is partially guarded against a sooner than desired return
of principal because of the sequential payments.
In a typical CMO transaction, a corporation ("issuer") issues multiple
series (e.g., A, B, C, Z) of CMO bonds ("Bonds"). Proceeds of the Bond offering
are used to purchase mortgages or mortgage pass-through certificates
("Collateral"). The Collateral is pledged to a third party trustee as security
for the Bonds. Principal and interest payments from the Collateral are used to
pay principal on the Bonds in the order A, B, C, Z. The Series A, B, and C Bonds
all bear current interest. Interest on the Series Z Bond is accrued and added to
principal and a like amount is paid as principal on the Series A, B, or C Bond
currently being paid off. When the Series A, B, and C Bonds are paid in full,
interest and principal on the Series Z Bond begins to be paid currently. With
some CMOs, the issuer serves as a conduit to allow loan originators (primarily
builders or savings and loan associations) to borrow against their loan
portfolios.
FHLMC COLLATERALIZED MORTGAGE OBLIGATIONS. FHLMC CMOs are debt obligations
of FHLMC issued in multiple classes having different maturity dates which are
secured by the pledge of a pool of conventional mortgage loans purchased by
FHLMC. Unlike FHLMC Pcs, payments of principal and interest on the CMOs are made
semi-annually, as opposed to monthly. The amount of principal payable on each
semiannual payment date is determined in accordance with FHLMC's mandatory
sinking fund schedule, which, in turn, is equal to approximately 100% of FHA
prepayment experience applied to the mortgage collateral pool. All sinking fund
payments in the CMOs are allocated to the retirement of the individual classes
of bonds in the order of their stated maturities. Payment of principal on the
mortgage loans in the collateral pool in excess of the amount of FHLMC's minimum
sinking fund obligation for any
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payment date are paid to the holders of the CMOs as additional sinking fund
payments. Because of the "pass-through" nature of all principal payments
received on the collateral pool in excess of FHLMC's minimum sinking fund
requirement, the rate at which principal of the CMOs is actually repaid is
likely to be such that each class of bonds will be retired in advance of its
scheduled maturity date.
If collection of principal (including prepayments) on the mortgage loans
during any semi-annual payment period is not sufficient to meet FHLMC's minimum
sinking fund obligation on the next sinking fund payment date, FHLMC agrees to
make up the deficiency from its general funds.
Criteria for the mortgage loans in the pool backing the FHLMC CMOs are
identical to those of FHLMC Pcs. FHLMC has the right to substitute collateral in
the event of delinquencies and/or defaults.
COMMERCIAL MORTGAGE-BACKED SECURITIES include securities that reflect an
interest in, and are secured by, mortgage loans on commercial real property. The
market for commercial mortgage-backed securities developed more recently and in
terms of total outstanding principal amount of issues is relatively small
compared to the market for residential single-family mortgage-backed securities.
Many of the risks of investing in commercial mortgage-backed securities reflect
the risks of investing in the real estate securing the underlying mortgage
loans. These risks reflect the effects of local and other economic conditions on
real estate markets, the ability of tenants to make loan payments, and the
ability of a property to attract and retain tenants. Commercial mortgage-backed
securities may be less liquid and exhibit greater price volatility than other
types of mortgage- or asset-backed securities.
OTHER MORTGAGE-RELATED SECURITIES. Other mortgage-related securities
include securities other than those described above that directly or indirectly
represent a participation in, or are secured by and payable from, mortgage loans
on real property, including CMO residuals or stripped mortgage-backed
securities. Other mortgage-related securities may be equity or debt securities
issued by agencies or instrumentalities of the U.S. Government or by private
originators of, or investors in, mortgage loans, including savings and loan
associations, homebuilders, mortgage banks, commercial banks, investment banks,
partnerships, trusts and special purpose entities of the foregoing.
CMO Residuals. CMO residuals are mortgage securities issued by agencies or
instrumentalities of the U.S. Government or by private originators of, or
investors in, mortgage loans, including savings and loan associations,
homebuilders, mortgage banks, commercial banks, investment banks and special
purpose entities of the foregoing.
The cash flow generated by the mortgage assets underlying a series of CMOs
is applied first to make required payments of principal and interest on the CMOs
and second to pay the related administrative expenses of the issuer. The
residual in a CMO structure generally represents the interest in any excess cash
flow remaining after making the foregoing payments. Each payment of such excess
cash flow to a holder of the related CMO residual represents income and/or a
return of capital. The amount of residual cash flow resulting from a CMO will
depend on, among other things, the characteristics of the mortgage assets, the
coupon rate of each class of CMO, prevailing interest rates, the amount of
administrative expenses and the prepayment experience on the mortgage assets. In
particular, the yield to maturity on CMO residuals is extremely sensitive to
prepayments on the related underlying mortgage assets, in the same manner as an
interest-only ("IO") class of stripped mortgage-backed securities. See "Other
Mortgage-Related Securities--Stripped Mortgage-Backed Securities." In addition,
if a series of a CMO includes a class that bears interest at an adjustable rate,
the yield to maturity on the related CMO residual will also be extremely
sensitive to changes in the level of the index upon which interest rate
adjustments are based. As described below with respect to stripped mortgage-
backed securities, in certain circumstances a Fund may fail to recoup fully its
initial investment in a CMO residual.
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CMO residuals are generally purchased and sold by institutional investors
through several investment banking firms acting as brokers or dealers. The CMO
residual market has only very recently developed and CMO residuals currently may
not have the liquidity of other more established securities trading in other
markets. Transactions in CMO residuals are generally completed only after
careful review of the characteristics of the securities in question. In
addition, CMO residuals may, or pursuant to an exemption therefrom, may not have
been registered under the Securities Act of 1933, as amended (the 1933 Act). CMO
residuals, whether or not registered under the 1933 Act, may be subject to
certain restrictions on transferability, and may be deemed "illiquid" and
subject to a Fund's limitations on investment in illiquid securities.
Stripped Mortgage-Backed Securities. Stripped mortgage-backed securities
("SMBS") are derivative multi-class mortgage securities. SMBS may be issued by
agencies or instrumentalities of the U.S. Government, or by private originators
of, or investors in, mortgage loans, including savings and loan associations,
mortgage banks, commercial banks, investment banks and special purpose entities
of the foregoing.
SMBS are usually structured with two classes that receive different
proportions of the interest and principal distributions on a pool of mortgage
assets. A common type of SMBS will have one class receiving some of the interest
and most of the principal from the mortgage assets, while the other class will
receive most of the interest and the remainder of the principal. In the most
extreme case, one class will receive all of the interest (the IO class), while
the other class will receive all of the principal (the principal-only or "PO"
class). The yield to maturity on an IO class is extremely sensitive to the rate
of principal payments (including prepayments) on the related underlying mortgage
assets, and a rapid rate of principal payments may have a material adverse
effect on a Fund's yield to maturity from these securities. If the underlying
mortgage assets experience greater than anticipated prepayments of principal, a
Fund may fail to fully recoup its initial investment in these securities even if
the security is in one of the highest rating categories.
Although SMBS are purchased and sold by institutional investors through
several investment banking firms acting as brokers or dealers, these securities
were only recently developed. As a result, established trading markets have not
yet developed and, accordingly, these securities may be deemed "illiquid" and
subject to a Fund's limitations on investment in illiquid securities.
OTHER ASSET-BACKED SECURITIES. Similarly, the Adviser expects that other
asset-backed securities (unrelated to mortgage loans) will be offered to
investors in the future. Several types of asset-backed securities have already
been offered to investors, including Certificates for Automobile
Receivables(SM)) ("CARS(SM)"). CARS(SM) represent undivided fractional interests
in a trust ("trust") whose assets consist of a pool of motor vehicle retail
installment sales contracts and security interests in the vehicles securing the
contracts. Payments of principal and interest on CARS(SM) are passed through
monthly to certificate holders, and are guaranteed up to certain amounts and for
a certain time period by a letter of credit issued by a financial institution
unaffiliated with the trustee or originator of the trust. An investor's return
on CARS(SM) may be affected by early prepayment of principal on the underlying
vehicle sales contracts. If the letter of credit is exhausted, the trust may be
prevented from realizing the full amount due on a sales contract because of
state law requirements and restrictions relating to foreclosure sales of
vehicles and the obtaining of deficiency judgments following such sales or
because of depreciation, damage or loss of a vehicle, the application of federal
and state bankruptcy and insolvency laws, or other factors. As a result,
certificate holders may experience delays in payments or losses if the letter of
credit is exhausted.
Consistent with a Fund's investment objectives and policies, the Adviser
also may invest in other types of asset-backed securities.
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FOREIGN SECURITIES
All Funds (except the PIMCO Low Duration II and Total Return II Funds) may
invest in U.S. dollar- or foreign currency-denominated corporate debt securities
of foreign issuers (including preferred or preference stock), certain foreign
bank obligations (see "Bank Obligations") and U.S. dollar-or foreign currency-
denominated obligations of foreign governments or their subdivisions, agencies
and instrumentalities, international agencies and supranational entities. The
PIMCO Money Market, High Yield, Commercial Mortgage Securities and Long-Term
U.S. Government Funds may invest in securities of foreign issuers only if they
are U.S. dollar-denominated. The PIMCO Growth Stock Fund and the PIMCO
VersaSTYLE Equity Fund may invest up to 25% of its total assets directly in
common stocks issued by foreign companies or in securities represented by
American Depositary Receipts ("ADRs"), European Depositary Receipts ("EDRs") or
Global Depositary Receipts ("GDRs"). Each of the Fixed Income Funds permitted to
invest in foreign securities, except the PIMCO Foreign, Global and International
Funds, will limit its investment in securities denominated in foreign currencies
to no more than 20% of the Fund's total assets. The PIMCO Short-Term Fund will
limit its investment in securities denominated in foreign currencies to no more
than 5% of the Fund's total assets. Each of the Funds, except the PIMCO
VersaSTYLE Equity Fund, will limit its foreign investments to securities of
issuers based in developed countries (which include Newly Industrialized
Countries ("NICs") such as Mexico, Taiwan and South Korea). The PIMCO Short-
Term, Low Duration and Low Duration III Funds limit their investments in
securities of issuers based in NICs to 5% of their assets, and the remaining
Fixed Income Funds limit their investments in securities of issuers based in
NICs to 10% of their assets.
Investing in the securities of foreign issuers involves special risks and
considerations not typically associated with investing in U.S. companies. These
include: differences in accounting, auditing and financial reporting standards,
generally higher commission rates on foreign portfolio transactions, the
possibility of expropriation or confiscatory taxation, adverse changes in
investment or exchange control regulations (which may include suspension of the
ability to transfer currency from a country), political instability which can
affect U.S. investments in foreign countries and potential restrictions on the
flow of international capital. In addition, foreign securities and dividends and
interest payable on those securities may be subject to foreign taxes, including
taxes withheld from payments on those securities. Foreign securities often trade
with less frequency and volume than domestic securities and therefore may
exhibit greater price volatility. Changes in foreign exchange rates will affect
the value of those securities which are denominated or quoted in currencies
other than the U.S. dollar.
The PIMCO VersaSTYLE Equity Fund may invest in the securities of issuers
based in developing countries. Investing in developing countries involves
certain risks not typically associated with investing in U.S. securities, and
imposes risks greater than, or in addition to, risks of investing in foreign,
developed countries. These risks include: greater risks of nationalization or
expropriation of assets or confiscatory taxation; currency devaluations and
other currency exchange rate fluctuations; greater social, economic and
political uncertainty and instability (including the risk of war); more
substantial government involvement in the economy; higher rates of inflation;
less government supervision and regulation of the securities markets and
participants in those markets; controls on foreign investment and limitations on
repatriation of invested capital and on the Fund's ability to exchange local
currencies for U.S. dollars; unavailability of currency hedging techniques in
certain developing countries; the fact that companies in developing countries
may be smaller, less seasoned and newly organized companies; the difference in,
or lack of, auditing and financial reporting standards, which may result in
unavailability of material information about issuers; the risk that it may be
more difficult to obtain and/or enforce a judgment in a court outside the United
States; and greater price volatility, substantially less liquidity and
significantly smaller market capitalization of securities markets.
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The PIMCO Growth Stock Fund and the PIMCO VersaSTYLE Equity Fund may invest
in securities represented by ADRs, EDRs or GDRs. ADRs are dollar-denominated
receipts issued generally by domestic banks and representing the deposit with
the bank of a security of a foreign issuer, and are publicly traded on exchanges
or over-the-counter in the United States. EDRs are receipts similar to ADRs and
are issued and traded in Europe. GDRs may be offered privately in the United
States and also trade in public or private markets in other countries. ADRs,
EDRs and GDRs may be issued as sponsored or unsponsored programs. In sponsored
programs, an issuer has made arrangements to have its securities trade in the
form of ADRs, EDRs or GDRs. In unsponsored programs, the issuer may not be
directly involved in the creation of the program. Although regulatory
requirements with respect to sponsored and unsponsored programs are generally
similar, in some cases it may be easier to obtain financial information from an
issuer that has participated in the creation of a sponsored program.
All Funds that may invest in foreign currency-denominated securities also
may purchase and sell foreign currency options and foreign currency futures
contracts and related options, see "Derivative Instruments," and enter into
forward foreign currency exchange contracts in order to protect against
uncertainty in the level of future foreign exchange rates in the purchase and
sale of securities. The Funds may also use foreign currency options and foreign
currency forward contracts to increase exposure to a foreign currency or to
shift exposure to foreign currency fluctuations from one country to another.
A forward foreign currency contract involves an obligation to purchase or
sell a specific currency at a future date, which may be any fixed number of days
from the date of the contract agreed upon by the parties, at a price set at the
time of the contract. These contracts may be bought or sold to protect a Fund
against a possible loss resulting from an adverse change in the relationship
between foreign currencies and the U.S. dollar or to increase exposure to a
particular foreign currency. Open positions in forward contracts used for non-
hedging purposes will be covered by the segregation with the Trust's custodian
of liquid assets, such as cash, U.S. Government securities and high quality
short-term investments and are marked to market daily. Although forward
contracts are intended to minimize the risk of loss due to a decline in the
value of the hedged currencies, at the same time, they tend to limit any
potential gain which might result should the value of such currencies increase.
Each of the Fixed Income Funds (except the PIMCO Low Duration II and Total
Return II Funds) may invest in Brady Bonds. Brady Bonds are securities created
through the exchange of existing commercial bank loans to sovereign entities for
new obligations in connection with debt restructurings under a debt
restructuring plan introduced by former U.S. Secretary of the Treasury, Nicholas
F. Brady (the "Brady Plan"). Brady Plan debt restructurings have been
implemented in several countries, including in Argentina, Bulgaria, Costa Rica,
the Dominican Republic, Jordan, Mexico, Nigeria, the Philippines, Uruguay, and
Venezuela. In addition, Brazil has concluded a Brady-like plan. Ecuador has
reached an agreement with its lending banks, but the full consummation of
Ecuador's Brady Plan is still pending. It is expected that other countries will
undertake a Brady Plan in the future, including Panama, Peru, and Poland.
Brady Bonds have been issued only recently, and accordingly do not have a
long payment history. Brady Bonds may be collateralized or uncollateralized, are
issued in various currencies (primarily the U.S. dollar) and are actively traded
in the over-the-counter secondary market.
U.S. dollar-denominated, collateralized Brady Bonds, which may be fixed
rate par bonds or floating rate discount bonds, are generally collateralized in
full as to principal by U.S. Treasury zero coupon bonds having the same maturity
as the Brady Bonds. Interest payments on these Brady Bonds generally are
collateralized on a one-year or longer rolling-forward basis by cash or
securities in an amount that, in the case of fixed rate bonds, is equal to at
least one year of interest payments or, in the case of floating rate bonds,
initially is equal to at least one year's interest payments based on the
applicable interest rate at that time and is adjusted at regular intervals
thereafter. Certain Brady Bonds are entitled to "value recovery payments" in
certain circumstances, which in effect constitute supplemental interest payments
but generally
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are not collateralized. Brady Bonds are often viewed as having three or four
valuation components: (i) the collateralized repayment of principal at final
maturity; (ii) the collateralized interest payments; (iii) the uncollateralized
interest payments; and (iv) any uncollateralized repayment of principal at
maturity (these uncollateralized amounts constitute the "residual risk").
Most Mexican Brady Bonds issued to date have principal repayments at final
maturity fully collateralized by U.S. Treasury zero coupon bonds (or comparable
collateral denominated in other currencies) and interest coupon payments
collateralized on an 18-month rolling-forward basis by funds held in escrow by
an agent for the bondholders. A significant portion of the Venezuelan Brady
Bonds and the Argentine Brady Bonds issued to date have principal repayments at
final maturity collateralized by U.S. Treasury zero coupon bonds (or comparable
collateral denominated in other currencies) and/or interest coupon payments
collateralized on a 14-month (for Venezuela) or 12-month (for Argentina)
rolling-forward basis by securities held by the Federal Reserve Bank of New York
as collateral agent.
Brady Bonds involve various risk factors including residual risk and the
history of defaults with respect to commercial bank loans by public and private
entities of countries issuing Brady Bonds. There can be no assurance that Brady
Bonds in which the Funds may invest will not be subject to restructuring
arrangements or to requests for new credit, which may cause the Funds to suffer
a loss of interest or principal on any of its holdings.
FOREIGN CURRENCY EXCHANGE-RELATED SECURITIES
FOREIGN CURRENCY WARRANTS. Foreign currency warrants such as Currency
Exchange Warrants(SM) ("CEWS(SM)") are warrants which entitle the holder to
receive from their issuer an amount of cash (generally, for warrants issued in
the United States, in U.S. dollars) which is calculated pursuant to a
predetermined formula and based on the exchange rate between a specified foreign
currency and the U.S. dollar as of the exercise date of the warrant. Foreign
currency warrants generally are exercisable upon their issuance and expire as of
a specified date and time. Foreign currency warrants have been issued in
connection with U.S. dollar-denominated debt offerings by major corporate
issuers in an attempt to reduce the foreign currency exchange risk which, from
the point of view of prospective purchasers of the securities, is inherent in
the international fixed-income marketplace. Foreign currency warrants may
attempt to reduce the foreign exchange risk assumed by purchasers of a security
by, for example, providing for a supplemental payment in the event that the U.S.
dollar depreciates against the value of a major foreign currency such as the
Japanese Yen or German Deutschmark. The formula used to determine the amount
payable upon exercise of a foreign currency warrant may make the warrant
worthless unless the applicable foreign currency exchange rate moves in a
particular direction (e.g., unless the U.S. dollar appreciates or depreciates
against the particular foreign currency to which the warrant is linked or
indexed). Foreign currency warrants are severable from the debt obligations with
which they may be offered, and may be listed on exchanges. Foreign currency
warrants may be exercisable only in certain minimum amounts, and an investor
wishing to exercise warrants who possesses less than the minimum number required
for exercise may be required either to sell the warrants or to purchase
additional warrants, thereby incurring additional transaction costs. In the case
of any exercise of warrants, there may be a time delay between the time a holder
of warrants gives instructions to exercise and the time the exchange rate
relating to exercise is determined, during which time the exchange rate could
change significantly, thereby affecting both the market and cash settlement
values of the warrants being exercised. The expiration date of the warrants may
be accelerated if the warrants should be delisted from an exchange or if their
trading should be suspended permanently, which would result in the loss of any
remaining "time value" of the warrants (i.e., the difference between the current
market value and the exercise value of the warrants), and, in the case the
warrants were "out-of-the-money," in a total loss of the purchase price of the
warrants. Warrants are generally unsecured obligations of their issuers and are
not standardized foreign currency options issued by the Options Clearing
Corporation ("OCC"). Unlike foreign currency options issued by OCC, the terms of
foreign exchange warrants generally will not be amended in the event of
governmental or regulatory actions affecting exchange rates or in the event of
the imposition of
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other regulatory controls affecting the international currency markets. The
initial public offering price of foreign currency warrants is generally
considerably in excess of the price that a commercial user of foreign currencies
might pay in the interbank market for a comparable option involving
significantly larger amounts of foreign currencies. Foreign currency warrants
are subject to significant foreign exchange risk, including risks arising from
complex political or economic factors.
PRINCIPAL EXCHANGE RATE LINKED SECURITIES. Principal exchange rate linked
securities ("PERLS(SM)") are debt obligations the principal on which is payable
at maturity in an amount that may vary based on the exchange rate between the
U.S. dollar and a particular foreign currency at or about that time. The return
on "standard" principal exchange rate linked securities is enhanced if the
foreign currency to which the security is linked appreciates against the U.S.
dollar, and is adversely affected by increases in the foreign exchange value of
the U.S. dollar; "reverse" principal exchange rate linked securities are like
the "standard" securities, except that their return is enhanced by increases in
the value of the U.S. dollar and adversely impacted by increases in the value of
foreign currency. Interest payments on the securities are generally made in U.S.
dollars at rates that reflect the degree of foreign currency risk assumed or
given up by the purchaser of the notes (i.e., at relatively higher interest
rates if the purchaser has assumed some of the foreign exchange risk, or
relatively lower interest rates if the issuer has assumed some of the foreign
exchange risk, based on the expectations of the current market). Principal
exchange rate linked securities may in limited cases be subject to acceleration
of maturity (generally, not without the consent of the holders of the
securities), which may have an adverse impact on the value of the principal
payment to be made at maturity.
PERFORMANCE INDEXED PAPER. Performance indexed paper ("PIPS(SM)") is U.S.
dollar-denominated commercial paper the yield of which is linked to certain
foreign exchange rate movements. The yield to the investor on performance
indexed paper is established at maturity as a function of spot exchange rates
between the U.S. dollar and a designated currency as of or about that time
(generally, the index maturity two days prior to maturity). The yield to the
investor will be within a range stipulated at the time of purchase of the
obligation, generally with a guaranteed minimum rate of return that is below,
and a potential maximum rate of return that is above, market yields on U.S.
dollar-denominated commercial paper, with both the minimum and maximum rates of
return on the investment corresponding to the minimum and maximum values of the
spot exchange rate two business days prior to maturity.
BANK OBLIGATIONS
Bank obligations in which the Funds invest include certificates of deposit,
bankers' acceptances, and fixed time deposits.
Certificates of deposit are negotiable certificates issued against funds
deposited in a commercial bank for a definite period of time and earning a
specified return. Bankers' acceptances are negotiable drafts or bills of
exchange, normally drawn by an importer or exporter to pay for specific
merchandise, which are "accepted" by a bank, meaning, in effect, that the bank
unconditionally agrees to pay the face value of the instrument on maturity.
Fixed time deposits are bank obligations payable at a stated maturity date and
bearing interest at a fixed rate. Fixed time deposits may be withdrawn on demand
by the investor, but may be subject to early withdrawal penalties which vary
depending upon market conditions and the remaining maturity of the obligation.
There are no contractual restrictions on the right to transfer a beneficial
interest in a fixed time deposit to a third party, although there is no market
for such deposits. A Fund will not invest in fixed time deposits which (1) are
not subject to prepayment or (2) provide for withdrawal penalties upon
prepayment (other than overnight deposits) if, in the aggregate, more than 15%
of its net assets (10% in the case of the PIMCO Money Market Fund) would be
invested in such deposits, repurchase agreements maturing in more than seven
days and other illiquid assets.
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Each Fund limits its investments in United States bank obligations to
obligations of United States banks (including foreign branches) which have more
than $1 billion in total assets at the time of investment and are members of the
Federal Reserve System or are examined by the Comptroller of the Currency or
whose deposits are insured by the Federal Deposit Insurance Corporation. A Fund
also may invest in certificates of deposit of savings and loan associations
(federally or state chartered and federally insured) having total assets in
excess of $1 billion.
Each Fund (except the PIMCO Money Market, High Yield, Commercial Mortgage
Securities and Long-Term U.S. Government Funds) limits its investments in
foreign bank obligations to United States dollar-or foreign currency-denominated
obligations of foreign banks (including United States branches of foreign banks)
which at the time of investment (i) have more than $10 billion, or the
equivalent in other currencies, in total assets; (ii) in terms of assets are
among the 75 largest foreign banks in the world; (iii) have branches or agencies
(limited purpose offices which do not offer all banking services) in the United
States; and (iv) in the opinion of the Adviser, are of an investment quality
comparable to obligations of United States banks in which the Funds may invest.
The PIMCO Money Market, High Yield, Commercial Mortgage Securities and Long-Term
U.S. Government Funds may invest in the same types of bank obligations as the
other Funds, but they must be U.S. dollar-denominated. Subject to the Trust's
limitation on concentration of no more than 25% of its assets in the securities
of issuers in a particular industry, there is no limitation on the amount of a
Fund's assets which may be invested in obligations of foreign banks which meet
the conditions set forth herein.
Obligations of foreign banks involve somewhat different investment risks
than those affecting obligations of United States banks, including the
possibilities that their liquidity could be impaired because of future political
and economic developments, that their obligations may be less marketable than
comparable obligations of United States banks, that a foreign jurisdiction might
impose withholding taxes on interest income payable on those obligations, that
foreign deposits may be seized or nationalized, that foreign governmental
restrictions such as exchange controls may be adopted which might adversely
affect the payment of principal and interest on those obligations and that the
selection of those obligations may be more difficult because there may be less
publicly available information concerning foreign banks or the accounting,
auditing and financial reporting standards, practices and requirements
applicable to foreign banks may differ from those applicable to United States
banks. Foreign banks are not generally subject to examination by any U.S.
Government agency or instrumentality.
LOAN PARTICIPATIONS
Each Fund may purchase participations in commercial loans. Such
indebtedness may be secured or unsecured. Loan participations typically
represent direct participation in a loan to a corporate borrower, and generally
are offered by banks or other financial institutions or lending syndicates. When
purchasing loan participations, a Fund assumes the credit risk associated with
the corporate borrower and may assume the credit risk associated with an
interposed bank or other financial intermediary. The participation interests in
which a Fund intends to invest may not be rated by any nationally recognized
rating service.
A loan is often administered by an agent bank acting as agent for all
holders. The agent bank administers the terms of the loan, as specified in the
loan agreement. In addition, the agent bank is normally responsible for the
collection of principal and interest payments from the corporate borrower and
the apportionment of these payments to the credit of all institutions which are
parties to the loan agreement. Unless, under the terms of the loan or other
indebtedness, a Fund has direct recourse against the corporate borrower, the
Fund may have to rely on the agent bank or other financial intermediary to apply
appropriate credit remedies against a corporate borrower.
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A financial institution's employment as agent bank might be terminated in
the event that it fails to observe a requisite standard of care or becomes
insolvent. A successor agent bank would generally be appointed to replace the
terminated agent bank, and assets held by the agent bank under the loan
agreement should remain available to holders of such indebtedness. However, if
assets held by the agent bank for the benefit of a Fund were determined to be
subject to the claims of the agent bank's general creditors, the Fund might
incur certain costs and delays in realizing payment on a loan or loan
participation and could suffer a loss of principal and/or interest. In
situations involving other interposed financial institutions (e.g., an insurance
company or governmental agency) similar risks may arise.
Purchasers of loans and other forms of direct indebtedness depend primarily
upon the creditworthiness of the corporate borrower for payment of principal and
interest. If a Fund does not receive scheduled interest or principal payments on
such indebtedness, the Fund's share price and yield could be adversely affected.
Loans that are fully secured offer a Fund more protection than an unsecured loan
in the event of non-payment of scheduled interest or principal. However, there
is no assurance that the liquidation of collateral from a secured loan would
satisfy the corporate borrower's obligation, or that the collateral can be
liquidated.
The Funds may invest in loan participations with credit quality comparable
to that of issuers of its securities investments. Indebtedness of companies
whose creditworthiness is poor involves substantially greater risks, and may be
highly speculative. Some companies may never pay off their indebtedness, or may
pay only a small fraction of the amount owed. Consequently, when investing in
indebtedness of companies with poor credit, a Fund bears a substantial risk of
losing the entire amount invested.
Each Fund limits the amount of its total assets that it will invest in any
one issuer or in issuers within the same industry (see "Investment
Restrictions"). For purposes of these limits, a Fund generally will treat the
corporate borrower as the "issuer" of indebtedness held by the Fund. In the case
of loan participations where a bank or other lending institution serves as a
financial intermediary between a Fund and the corporate borrower, if the
participation does not shift to the Fund the direct debtor-creditor relationship
with the corporate borrower, Securities and Exchange Commission ("SEC")
interpretations require the Fund to treat both the lending bank or other lending
institution and the corporate borrower as "issuers" for the purposes of
determining whether the Fund has invested more than 5% of its total assets in a
single issuer. Treating a financial intermediary as an issuer of indebtedness
may restrict a Funds' ability to invest in indebtedness related to a single
financial intermediary, or a group of intermediaries engaged in the same
industry, even if the underlying borrowers represent many different companies
and industries.
Loans and other types of direct indebtedness may not be readily marketable
and may be subject to restrictions on resale. In some cases, negotiations
involved in disposing of indebtedness may require weeks to complete.
Consequently, some indebtedness may be difficult or impossible to dispose of
readily at what the Adviser believes to be a fair price. In addition, valuation
of illiquid indebtedness involves a greater degree of judgment in determining a
Fund's net asset value than if that value were based on available market
quotations, and could result in significant variations in the Fund's daily share
price. At the same time, some loan interests are traded among certain financial
institutions and accordingly may be deemed liquid. As the market for different
types of indebtedness develops, the liquidity of these instruments is expected
to improve. In addition, the Funds currently intend to treat indebtedness for
which there is no readily available market as illiquid for purposes of the
Funds' limitation on illiquid investments.
Investments in loans through a direct assignment of the financial
institution's interests with respect to the loan may involve additional risks to
the Funds. For example, if a loan is foreclosed, a Fund could become part owner
of any collateral, and would bear the costs and liabilities associated with
owning and disposing of the collateral. In addition, it is conceivable that
under emerging legal theories of lender liability, a Fund could be held liable
as co-lender. It is unclear whether loans and other forms of direct indebtedness
offer securities law protections against fraud and misrepresentation. In the
absence of definitive
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regulatory guidance, the Funds rely on the Adviser's research in an attempt to
avoid situations where fraud or misrepresentation could adversely affect the
Funds.
SHORT SALES
Certain of the Funds, particularly the PIMCO StocksPLUS Short Strategy
Fund, may make short sales of securities as part of their overall portfolio
management strategies involving the use of derivative instruments and to offset
potential declines in long positions in similar securities. A short sale is a
transaction in which a Fund sells a security it does not own in anticipation
that the market price of that security will decline.
When a Fund makes a short sale, it must borrow the security sold short and
deliver it to the broker-dealer through which it made the short sale as
collateral for its obligation to deliver the security upon conclusion of the
sale. The Fund may have to pay a fee to borrow particular securities and is
often obligated to pay over any accrued interest on such borrowed securities.
If the price of the security sold short increases between the time of the
short sale and the time and the Fund replaces the borrowed security, the Fund
will incur a loss; conversely, if the price declines, the Fund will realize a
capital gain. Any gain will be decreased, and any loss increased, by the
transaction costs described above. The successful use of short selling may be
adversely affected by imperfect correlation between movements in the price of
the security sold short and the securities being hedged.
To the extent that a Fund engages in short sales, it will provide
collateral to the broker-dealer and (except in the case of short sales "against
the box") will maintain additional asset coverage in the form of liquid assets,
such as cash, U.S. Government securities or high grade debt obligations in a
segregated account. Each Fund, except the PIMCO StocksPLUS Short Strategy Fund,
does not intend to enter into short sales (other than those "against the box")
if immediately after such sale the aggregate of the value of all collateral plus
the amount in such segregated account exceeds one-third of the value of the
Fund's net assets. This percentage may be varied by action of the Trustees. A
short sale is "against the box" to the extent that the Fund contemporaneously
owns, or has the right to obtain at no added cost, securities identical to those
sold short. The Funds will engage in short selling to the extent permitted by
the 1940 Act and rules and interpretations thereunder.
With respect to each Fund, except the PIMCO StocksPLUS Short Strategy Fund,
the Trust has agreed with a state securities commission that as an operating
policy, the dollar amount of short sales (other than short sales against the
box) at any time shall not exceed 25% of the net equity of a Fund, and the value
of securities of any one issuer in which a Fund is short shall not exceed 2% of
the Fund's net assets or 2% of the securities of any class of any issuer.
DERIVATIVE INSTRUMENTS
In pursuing their individual objectives the Funds may, as described in the
Prospectus, purchase and sell (write) both put options and call options on
securities, securities indexes, and foreign currencies, and enter into interest
rate, foreign currency and index futures contracts and purchase and sell options
on such futures contracts ("futures options") for hedging purposes, except that
those Funds that may not invest in foreign currency-denominated securities may
not enter into transactions involving currency futures or options. The Funds
also may purchase and sell foreign currency options for purposes of increasing
exposure to a foreign currency or to shift exposure to foreign currency
fluctuations from one country to another. The Funds also may enter into swap
agreements with respect to foreign currencies, interest rates and indexes of
securities. The Funds may invest in structured notes. If other types of
financial instruments, including other types of options, futures contracts, or
futures options are traded in the future, a Fund may also use those instruments,
provided that the Trustees determine that their use is consistent with the
Fund's investment
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objective, and provided that their use is consistent with restrictions
applicable to options and futures contracts currently eligible for use by the
Trust (i.e., that written call or put options will be "covered" or "secured,"
and that futures and futures options will be used only for hedging purposes).
OPTIONS ON SECURITIES AND INDEXES. A Fund may, as specified for the Fund in
the Prospectus, purchase and sell both put and call options on fixed income or
other securities or indexes in standardized contracts traded on foreign or
domestic securities exchanges, boards of trade, or similar entities, or quoted
on NASDAQ or on a regulated foreign over-the-counter market, and agreements,
sometimes called cash puts, which may accompany the purchase of a new issue of
bonds from a dealer.
An option on a security (or index) is a contract that gives the holder of
the option, in return for a premium, the right to buy from (in the case of a
call) or sell to (in the case of a put) the writer of the option the security
underlying the option (or the cash value of the index) at a specified exercise
price at any time during the term of the option. The writer of an option on a
security has the obligation upon exercise of the option to deliver the
underlying security upon payment of the exercise price or to pay the exercise
price upon delivery of the underlying security. Upon exercise, the writer of an
option on an index is obligated to pay the difference between the cash value of
the index and the exercise price multiplied by the specified multiplier for the
index option. (An index is designed to reflect specified facets of a particular
financial or securities market, a specific group of financial instruments or
securities, or certain economic indicators.)
A Fund will write call options and put options only if they are "covered."
In the case of a call option on a security, the option is "covered" if the Fund
owns the security underlying the call or has an absolute and immediate right to
acquire that security without additional cash consideration (or, if additional
cash consideration is required, cash or other liquid assets such as U.S.
Government securities or high grade debt obligations in such amount are placed
in a segregated account by its custodian) upon conversion or exchange of other
securities held by the Fund. For a call option on an index, the option is
covered if the Fund maintains with its custodian liquid assets such as cash,
U.S. Government securities or high grade debt obligations in an amount equal to
the contract value of the index. A call option is also covered if the Fund holds
a call on the same security or index as the call written where the exercise
price of the call held is (i) equal to or less than the exercise price of the
call written, or (ii) greater than the exercise price of the call written,
provided the difference is maintained by the Fund in liquid assets such as cash,
U.S. Government securities or high grade debt obligations in a segregated
account with its custodian. A put option on a security or an index is "covered"
if the Fund maintains liquid assets such as cash, U.S. Government securities or
high grade debt obligations equal to the exercise price in a segregated account
with its custodian. A put option is also covered if the Fund holds a put on the
same security or index as the put written where the exercise price of the put
held is (i) equal to or greater than the exercise price of the put written, or
(ii) less than the exercise price of the put written, provided the difference is
maintained by the Fund in cash or cash equivalents in a segregated account with
its custodian.
If an option written by a Fund expires, the Fund realizes a capital gain
equal to the premium received at the time the option was written. If an option
purchased by a Fund expires unexercised, the Fund realizes a capital loss equal
to the premium paid. Prior to the earlier of exercise or expiration, an option
may be closed out by an offsetting purchase or sale of an option of the same
series (type, exchange, underlying security or index, exercise price, and
expiration). There can be no assurance, however, that a closing purchase or sale
transaction can be effected when the Fund desires.
A Fund will realize a capital gain from a closing purchase transaction if
the cost of the closing option is less than the premium received from writing
the option, or, if it is more, the Fund will realize a capital loss. If the
premium received from a closing sale transaction is more than the premium paid
to purchase the option, the Fund will realize a capital gain or, if it is less,
the Fund will realize a capital loss.
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The principal factors affecting the market value of a put or a call option
include supply and demand, interest rates, the current market price of the
underlying security or index in relation to the exercise price of the option,
the volatility of the underlying security or index, and the time remaining until
the expiration date.
The premium paid for a put or call option purchased by a Fund is an asset
of the Fund. The premium received for an option written by a Fund is recorded as
a deferred credit. The value of an option purchased or written is marked to
market daily and is valued at the closing price on the exchange on which it is
traded or, if not traded on an exchange or no closing price is available, at the
mean between the last bid and asked prices.
The Funds may write covered straddles consisting of a combination of a call
and a put written on the same underlying security. A straddle will be covered
when sufficient assets are deposited to meet the Funds' immediate obligations.
The Funds may use the same liquid assets to cover both the call and put options
where the exercise price of the call and put are the same, or the exercise price
of the call is higher than that of the put. In such cases, the Funds will also
segregate liquid assets equivalent to the amount, if any, by which the put is
"in the money."
RISKS ASSOCIATED WITH OPTIONS ON SECURITIES AND INDEXES. There are several
risks associated with transactions in options on securities and on indexes. For
example, there are significant differences between the securities and options
markets that could result in an imperfect correlation between these markets,
causing a given transaction not to achieve its objectives. A decision as to
whether, when and how to use options involves the exercise of skill and
judgment, and even a well-conceived transaction may be unsuccessful to some
degree because of market behavior or unexpected events.
There can be no assurance that a liquid market will exist when a Fund seeks
to close out an option position. If a Fund were unable to close out an option
that it had purchased on a security, it would have to exercise the option in
order to realize any profit or the option may expire worthless. If a Fund were
unable to close out a covered call option that it had written on a security, it
would not be able to sell the underlying security unless the option expired
without exercise. As the writer of a covered call option, a Fund forgoes, during
the option's life, the opportunity to profit from increases in the market value
of the security covering the call option above the sum of the premium and the
exercise price of the call.
If trading were suspended in an option purchased by a Fund, the Fund would
not be able to close out the option. If restrictions on exercise were imposed,
the Fund might be unable to exercise an option it has purchased. Except to the
extent that a call option on an index written by the Fund is covered by an
option on the same index purchased by the Fund, movements in the index may
result in a loss to the Fund; however, such losses may be mitigated by changes
in the value of the Fund's securities during the period the option was
outstanding.
FOREIGN CURRENCY OPTIONS. A Fund may buy or sell put and call options on
foreign currencies either on exchanges or in the over-the-counter market. A put
option on a foreign currency gives the purchaser of the option the right to sell
a foreign currency at the exercise price until the option expires. A call option
on a foreign currency gives the purchaser of the option the right to purchase
the currency at the exercise price until the option expires. Currency options
traded on U.S. or other exchanges may be subject to position limits which may
limit the ability of a Fund to reduce foreign currency risk using such options.
Over-the-counter options differ from traded options in that they are two-party
contracts with price and other terms negotiated between buyer and seller, and
generally do not have as much market liquidity as exchange-traded options.
FUTURES CONTRACTS AND OPTIONS ON FUTURES CONTRACTS. A Fund may use interest
rate, foreign currency or index futures contracts, as specified for that Fund in
the Prospectus. An interest rate, foreign currency or index futures contract
provides for the future sale by one party and purchase by another party of
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a specified quantity of a financial instrument, foreign currency or the cash
value of an index at a specified price and time. A futures contract on an index
is an agreement pursuant to which two parties agree to take or make delivery of
an amount of cash equal to the difference between the value of the index at the
close of the last trading day of the contract and the price at which the index
contract was originally written. Although the value of an index might be a
function of the value of certain specified securities, no physical delivery of
these securities is made. A public market exists in futures contracts covering a
number of indexes as well as financial instruments and foreign currencies,
including: the S&P 500; the S&P Midcap 400; the Nikkei 225; the NYSE composite;
U.S. Treasury bonds; U.S. Treasury notes; GNMA Certificates; three-month U.S.
Treasury bills; 90-day commercial paper; bank certificates of deposit;
Eurodollar certificates of deposit; the Australian dollar; the Canadian dollar;
the British pound; the German mark; the Japanese yen; the French franc; the
Swiss franc; the Mexican peso; and certain multinational currencies, such as the
European Currency Unit ("ECU"). It is expected that other futures contracts will
be developed and traded in the future.
A Fund may purchase and write call and put futures options. Futures options
possess many of the same characteristics as options on securities and indexes
(discussed above). A futures option gives the holder the right, in return for
the premium paid, to assume a long position (call) or short position (put) in a
futures contract at a specified exercise price at any time during the period of
the option. Upon exercise of a call option, the holder acquires a long position
in the futures contract and the writer is assigned the opposite short position.
In the case of a put option, the opposite is true.
To comply with applicable rules of the Commodity Futures Trading Commission
("CFTC") under which the Trust and the Funds avoid being deemed a "commodity
pool" or a "commodity pool operator," each Fund intends generally to limit its
use of futures contracts and futures options to "bona fide hedging"
transactions, as such term is defined in applicable regulations, interpretations
and practice. For example, a Fund might use futures contracts to hedge against
anticipated changes in interest rates that might adversely affect either the
value of the Fund's securities or the price of the securities which the Fund
intends to purchase. A Fund's hedging activities may include sales of futures
contracts as an offset against the effect of expected increases in interest
rates, and purchases of futures contracts as an offset against the effect of
expected declines in interest rates. Although other techniques could be used to
reduce that Fund's exposure to interest rate fluctuations, the Fund may be able
to hedge its exposure more effectively and perhaps at a lower cost by using
futures contracts and futures options.
A Fund will only enter into futures contracts and futures options which are
standardized and traded on a U.S. or foreign exchange, board of trade, or
similar entity, or quoted on an automated quotation system.
When a purchase or sale of a futures contract is made by a Fund, the Fund
is required to deposit with its custodian (or broker, if legally permitted) a
specified amount of liquid assets, such as cash, U.S. Government securities or
high grade debt obligations ("initial margin"). The margin required for a
futures contract is set by the exchange on which the contract is traded and may
be modified during the term of the contract. Margin requirements on foreign
exchanges may be different than U.S. exchanges. The initial margin is in the
nature of a performance bond or good faith deposit on the futures contract which
is returned to the Fund upon termination of the contract, assuming all
contractual obligations have been satisfied. Each Fund expects to earn interest
income on its initial margin deposits. A futures contract held by a Fund is
valued daily at the official settlement price of the exchange on which it is
traded. Each day the Fund pays or receives cash, called "variation margin,"
equal to the daily change in value of the futures contract. This process is
known as "marking to market." Variation margin does not represent a borrowing or
loan by a Fund but is instead a settlement between the Fund and the broker of
the amount one would owe the other if the futures contract expired. In computing
daily net asset value, each Fund will mark to market its open futures positions.
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A Fund is also required to deposit and maintain margin with respect to put
and call options on futures contracts written by it. Such margin deposits will
vary depending on the nature of the underlying futures contract (and the related
initial margin requirements), the current market value of the option, and other
futures positions held by the Fund.
Although some futures contracts call for making or taking delivery of the
underlying securities, generally these obligations are closed out prior to
delivery by offsetting purchases or sales of matching futures contracts (same
exchange, underlying security or index, and delivery month). If an offsetting
purchase price is less than the original sale price, the Fund realizes a capital
gain, or if it is more, the Fund realizes a capital loss. Conversely, if an
offsetting sale price is more than the original purchase price, the Fund
realizes a capital gain, or if it is less, the Fund realizes a capital loss. The
transaction costs must also be included in these calculations.
The Funds may write covered straddles consisting of a call and a put
written on the same underlying futures contract. A straddle will be covered when
sufficient assets are deposited to meet the Funds' immediate obligations. A Fund
may use the same liquid assets to cover both the call and put options where the
exercise price of the call and put are the same, or the exercise price of the
call is higher than that of the put. In such cases, the Funds will also
segregate liquid assets equivalent to the amount, if any, by which the put is
"in the money."
LIMITATIONS ON USE OF FUTURES AND FUTURES OPTIONS. In general, the Funds
intend to enter into positions in futures contracts and related options only for
"bona fide hedging" purposes. With respect to positions in futures and related
options that do not constitute bona fide hedging positions, a Fund will not
enter into a futures contract or futures option contract if, immediately
thereafter, the aggregate initial margin deposits relating to such positions
plus premiums paid by it for open futures option positions, less the amount by
which any such options are "in-the-money," would exceed 5% of the Fund's net
assets. A call option is "in-the-money" if the value of the futures contract
that is the subject of the option exceeds the exercise price. A put option is
"in-the-money" if the exercise price exceeds the value of the futures contract
that is the subject of the option.
When purchasing a futures contract, a Fund will maintain with its custodian
(and mark-to-market on a daily basis) liquid assets, such as cash, U.S.
Government securities, or other highly liquid debt securities that, when added
to the amounts deposited with a futures commission merchant as margin, are equal
to the market value of the futures contract. Alternatively, the Fund may "cover"
its position by purchasing a put option on the same futures contract with a
strike price as high or higher than the price of the contract held by the Fund.
When selling a futures contract, a Fund will maintain with its custodian
(and mark-to-market on a daily basis) liquid assets, such as cash, U.S.
Government securities or high grade debt obligations that are equal to the
market value of the instruments underlying the contract. Alternatively, the Fund
may "cover" its position by owning the instruments underlying the contract (or,
in the case of an index futures contract, a portfolio with a volatility
substantially similar to that of the index on which the futures contract is
based), or by holding a call option permitting the Fund to purchase the same
futures contract at a price no higher than the price of the contract written by
the Fund (or at a higher price if the difference is maintained in liquid assets
with the Trust's custodian).
When selling a call option on a futures contract, a Fund will maintain with
its custodian (and mark-to-market on a daily basis) liquid assets, such as cash,
U.S. Government securities, or other highly liquid debt securities that, when
added to the amounts deposited with a futures commission merchant as margin,
equal the total market value of the futures contract underlying the call option.
Alternatively, the Fund may cover its position by entering into a long position
in the same futures contract at a price no higher than the strike price of the
call option, by owning the instruments underlying the futures contract, or by
holding a
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separate call option permitting the Fund to purchase the same futures contract
at a price not higher than the strike price of the call option sold by the Fund.
When selling a put option on a futures contract, a Fund will maintain with
its custodian (and mark-to-market on a daily basis) cash, U.S. Government
securities, or other highly liquid debt securities that equal the purchase price
of the futures contract, less any margin on deposit. Alternatively, the Fund may
cover the position either by entering into a short position in the same futures
contract, or by owning a separate put option permitting it to sell the same
futures contract so long as the strike price of the purchased put option is the
same or higher than the strike price of the put option sold by the Fund.
The requirements for qualification as a regulated investment company also
may limit the extent to which a Fund may enter into futures, futures options or
forward contracts. See "Taxation".
RISKS ASSOCIATED WITH FUTURES AND FUTURES OPTIONS. There are several risks
associated with the use of futures contracts and futures options as hedging
techniques. A purchase or sale of a futures contract may result in losses in
excess of the amount invested in the futures contract. There can be no guarantee
that there will be a correlation between price movements in the hedging vehicle
and in the Fund securities being hedged. In addition, there are significant
differences between the securities and futures markets that could result in an
imperfect correlation between the markets, causing a given hedge not to achieve
its objectives. The degree of imperfection of correlation depends on
circumstances such as variations in speculative market demand for futures and
futures options on securities, including technical influences in futures trading
and futures options, and differences between the financial instruments being
hedged and the instruments underlying the standard contracts available for
trading in such respects as interest rate levels, maturities, and
creditworthiness of issuers. A decision as to whether, when and how to hedge
involves the exercise of skill and judgment, and even a well-conceived hedge may
be unsuccessful to some degree because of market behavior or unexpected interest
rate trends.
Futures exchanges may limit the amount of fluctuation permitted in certain
futures contract prices during a single trading day. The daily limit establishes
the maximum amount that the price of a futures contract may vary either up or
down from the previous day's settlement price at the end of the current trading
session. Once the daily limit has been reached in a futures contract subject to
the limit, no more trades may be made on that day at a price beyond that limit.
The daily limit governs only price movements during a particular trading day and
therefore does not limit potential losses because the limit may work to prevent
the liquidation of unfavorable positions. For example, futures prices have
occasionally moved to the daily limit for several consecutive trading days with
little or no trading, thereby preventing prompt liquidation of positions and
subjecting some holders of futures contracts to substantial losses.
There can be no assurance that a liquid market will exist at a time when a
Fund seeks to close out a futures or a futures option position, and that Fund
would remain obligated to meet margin requirements until the position is closed.
In addition, many of the contracts discussed above are relatively new
instruments without a significant trading history. As a result, there can be no
assurance that an active secondary market will develop or continue to exist.
ADDITIONAL RISKS OF OPTIONS ON SECURITIES, FUTURES CONTRACTS, OPTIONS ON
FUTURES CONTRACTS, AND FORWARD CURRENCY EXCHANGE CONTRACTS AND OPTIONS THEREON.
Options on securities, futures contracts, options on futures contracts, and
options on currencies may be traded on foreign exchanges. Such transactions may
not be regulated as effectively as similar transactions in the United States;
may not involve a clearing mechanism and related guarantees, and are subject to
the risk of governmental actions affecting trading in, or the prices of, foreign
securities. The value of such positions also could be adversely affected by (i)
other complex foreign political, legal and economic factors, (ii) lesser
availability than in the United States of data on which to make trading
decisions, (iii) delays in the Trust's ability to act upon economic events
occurring in foreign markets during non-business hours in the United States,
(iv) the imposition of
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different exercise and settlement terms and procedures and margin requirements
than in the United States, and (v) lesser trading volume.
SWAP AGREEMENTS. The Funds may enter into interest rate, index and currency
exchange rate swap agreements. These transactions are entered into in a attempt
to obtain a particular return when it is considered desirable to do so, possibly
at a lower cost to the fund than if the fund had invested directly in an
instrument that yielded that desired return. Swap agreements are two party
contracts entered into primarily by institutional investors for periods ranging
from a few weeks to more than one year. In a standard "swap" transaction, two
parties agree to exchange the returns (or differentials in rates of return)
earned or realized on particular predetermined investments or instruments, which
may be adjusted for an interest factor. The gross returns to be exchanged or
"swapped" between the parties are generally calculated with respect to a
"notional amount," i.e., the return on or increase in value of a particular
dollar amount invested at a particular interest rate, in a particular foreign
currency, or in a "basket" of securities representing a particular index. Forms
of swap agreements include interest rate caps, under which, in return for a
premium, one party agrees to make payments to the other to the extent that
interest rates exceed a specified rate, or cap; interest rate floors, under
which, in return for a premium, one party agrees to make payments to the other
to the extent that interest rates fall below a specified rate, or floor; and
interest rate collars, under which a party sells a cap and purchases a floor or
vice versa in an attempt to protect itself against interest rate movements
exceeding given minimum or maximum levels.
Most swap agreements entered into by the Funds would calculate the
obligations of the parties to the agreement on a net basis. Consequently, a
Fund's current obligations (or rights) under a swap agreement will generally be
equal only to the net amount to be paid or received under the agreement based on
the relative values of the positions held by each party to the agreement (the
"net amount"). A Fund's current obligations under a swap agreement will be
accrued daily (offset against any amounts owing to the Fund) and any accrued but
unpaid net amounts owed to a swap counterparty will be covered by the
maintenance of a segregated account consisting of liquid assets such as cash,
U.S. Government securities, or high grade debt obligations, to avoid any
potential leveraging of the Fund's portfolio. Obligations under swap agreements
so covered will not be construed to be senior securities for purposes of the
Funds investment restriction concerning senior securities. A Fund will not enter
into a swap agreement with any single party if the net amount owed or to be
received under existing contracts with that party would exceed 5% of the Fund's
assets.
Whether a Fund's use of swap agreements will be successful in furthering
its investment objective of total return will depend on the Adviser's ability to
predict correctly whether certain types of investments are likely to produce
greater returns than other investments. Because they are two party contracts and
because they may have terms of greater than seven days, swap agreements may be
considered to be illiquid. Moreover, a Fund bears the risk of loss of the amount
expected to be received under a swap agreement in the event of the default or
bankruptcy of a swap agreement counterparty. The Funds will enter into swap
agreements only with counterparties that meet certain standards for
creditworthiness (generally, such counterparties would have to be eligible
counterparties under the terms of the Funds' repurchase agreement guidelines).
Certain restrictions imposed on the Funds by the Internal Revenue Code may limit
the Funds' ability to use swap agreements. The swaps market is a relatively new
market and is largely unregulated. It is possible that developments in the swaps
market, including potential government regulation, could adversely affect a
Fund's ability to terminate existing swap agreements or to realize amounts to be
received under such agreements.
Certain swap agreements are exempt from most provisions of the Commodity
Exchange Act ("CEA") and, therefore, are not regulated as futures or commodity
option transactions under the CEA, pursuant to regulations approved by the CFTC
effective February 22, 1993. To qualify for this exemption, a swap agreement
must be entered into by "eligible participants," which includes the following,
provided the participants' total assets exceed established levels: a bank or
trust company, savings association or credit
20
<PAGE>
union, insurance company, investment company subject to regulation under the
1940 Act, commodity pool, corporation, partnership, proprietorship,
organization, trust or other entity, employee benefit plan, governmental entity,
broker-dealer, futures commission merchant, natural person, or regulated foreign
person. To be eligible, natural persons and most other entities must have total
assets exceeding $10 million; commodity pools and employee benefit plans must
have assets exceeding $5 million. In addition, an eligible swap transaction must
meet three conditions. First, the swap agreement may not be part of a fungible
class of agreements that are standardized as to their material economic terms.
Second, the creditworthiness of parties with actual or potential obligations
under the swap agreement must be a material consideration in entering into or
determining the terms of the swap agreement, including pricing, cost or credit
enhancement terms. Third, swap agreements may not be entered into and traded on
or through a multilateral transaction execution facility.
This exemption is not exclusive, and participants may continue to rely on
existing exclusions for swaps, such as the Policy Statement issued in July 1989
which recognized a safe harbor for swap transactions from regulation as futures
or commodity option transactions under the CEA or its regulations. The Policy
Statement applies to swap transactions settled in cash that (1) have
individually tailored terms, (2) lack exchange-style offset and the use of a
clearing organization or margin system, (3) are undertaken in conjunction with a
line of business, and (4) are not marketed to the public.
STRUCTURED NOTES. Structured notes are derivative debt securities, the
interest rate or principal of which is determined by an unrelated indicator.
Indexed securities include structured notes as well as securities other than
debt securities, the interest rate or principal of which is determined by an
unrelated indicator. Index securities may include a multiplier that multiplies
the indexed element by a specified factor and, therefore, the value of such
securities may be very volatile. To the extent a Fund invests in these
securities, however, PIMCO analyzes these securities in its overall assessment
of the effective duration of the Fund's portfolio in an effort to monitor the
Fund's interest rate risk.
WARRANTS TO PURCHASE SECURITIES
The Funds may invest in or acquire warrants to purchase equity or fixed
income securities. Bonds with warrants attached to purchase equity securities
have many characteristics of convertible bonds and their prices may, to some
degree, reflect the performance of the underlying stock. Bonds also may be
issued with warrants attached to purchase additional fixed income securities at
the same coupon rate. A decline in interest rates would permit a Fund to buy
additional bonds at the favorable rate or to sell the warrants at a profit. If
interest rates rise, the warrants would generally expire with no value.
A Fund will not invest more than 5% of its net assets, valued at the lower
of cost or market, in warrants to purchase securities. Included within that
amount, but not to exceed 2% of the Fund's net assets, may be warrants that are
not listed on the New York or American Stock Exchanges. Warrants acquired in
units or attached to securities will be deemed to be without value for purposes
of this restriction.
ILLIQUID SECURITIES
The Funds may invest up to 15% of their net assets in illiquid securities
(10% in the case of the PIMCO Money Market Fund). The term "illiquid securities"
for this purpose means securities that cannot be disposed of within seven days
in the ordinary course of business at approximately the amount at which a Fund
has valued the securities. Illiquid securities are considered to include, among
other things, written over-the-counter options, securities or other liquid
assets being used as cover for such options, repurchase agreements with
maturities in excess of seven days, certain loan participation interests, fixed
time deposits which are not subject to prepayment or provide for withdrawal
penalties upon prepayment (other than
21
<PAGE>
overnight deposits), and other securities whose disposition is restricted under
the federal securities laws (other than securities issued pursuant to Rule 144A
and certain commercial paper that PIMCO has determined to be liquid under
procedures approved by the Board of Trustees).
SOCIAL INVESTMENT POLICIES
The PIMCO Low Duration III and Total Return III Funds will not, as a matter
of non-fundamental operating policy, invest in the securities of any issuer
determined by the Adviser to be engaged principally in the provision of
healthcare services, the manufacture of alcoholic beverages, tobacco products,
pharmaceuticals, military equipment, or the operation of gambling casinos. The
Funds will also avoid, to the extent possible on the basis of information
available to the Adviser, the purchase of securities of issuers engaged in the
production or trade of pornographic materials. An issuer will be deemed to be
principally engaged in an activity if it derives more than 10% of its gross
revenues from such activities. Evaluation of any particular issuer with respect
to these criteria may involve the exercise of subjective judgment by the
Adviser. The Adviser's determination of issuers engaged in such activities at
any given time will, however, be based upon its good faith interpretation of
available information and its continuing and reasonable best efforts to obtain
and evaluate the most current information available, and to utilize such
information, as it becomes available, promptly and expeditiously in portfolio
management for the Funds. In making its analysis, the Adviser may rely, among
other things, upon information contained in such publications as those produced
by the Investor Responsibility Research Center, Inc.
INVESTMENT RESTRICTIONS
Each Fund's investment objective as set forth in the Prospectus under
"Investment Objectives and Policies," together with the investment restrictions
set forth below, are fundamental policies of the Fund and may not be changed
with respect to a Fund without the approval of a majority of the outstanding
voting shares of that Fund. Under these restrictions, a Fund may not:
(1) invest in a security if, as a result of such investment, more than 25%
of its total assets (taken at market value at the time of such investment) would
be invested in the securities of issuers in any particular industry, except that
this restriction does not apply (a) to securities issued or guaranteed by the
U.S. Government or its agencies or instrumentalities (or repurchase agreements
with respect thereto) and (b) with respect to the Money Market Fund, to
securities or obligations issued by U.S. banks;
(2) with respect to 75% of its assets, invest in a security if, as a result
of such investment, more than 5% of its total assets (taken at market value at
the time of such investment) would be invested in the securities of any one
issuer, except that this restriction does not apply to securities issued or
guaranteed by the U.S. Government or its agencies or instrumentalities (This
investment restriction is not applicable to the Commercial Mortgage Securities
Fund, the Foreign Fund, the Global Fund or the International Fund.);
(3) with respect to 75% of its assets, invest in a security if, as a result
of such investment, it would hold more than 10% (taken at the time of such
investment) of the outstanding voting securities of any one issuer (This
restriction is not applicable to the Commercial Mortgage Securities Fund, the
Foreign Fund, the Global Fund or the International Fund);
(4) purchase or sell real estate, although it may purchase securities
secured by real estate or interests therein, or securities issued by companies
which invest in real estate, or interests therein;
22
<PAGE>
(5) purchase or sell commodities or commodities contracts or oil, gas or
mineral programs. This restriction shall not prohibit a Fund, subject to
restrictions described in the Prospectus and elsewhere in this Statement of
Additional Information, from purchasing, selling or entering into futures
contracts, options on futures contracts, foreign currency forward contracts,
foreign currency options, or any interest rate, securities-related or foreign
currency-related hedging instrument, including swap agreements and other
derivative instruments, subject to compliance with any applicable provisions of
the federal securities or commodities laws;
(6) for the High Yield, Total Return III, International and StocksPLUS
Funds: purchase securities on margin, except for use of short-term credit
necessary for clearance of purchases and sales of portfolio securities, but it
may make margin deposits in connection with transactions in options, futures,
and options on futures;
(7) borrow money, issue senior securities, or pledge, mortgage or
hypothecate its assets, except that a Fund may (i) borrow from banks or enter
into reverse repurchase agreements, or employ similar investment techniques, and
pledge its assets in connection therewith, but only if immediately after each
borrowing there is asset coverage of 300% and (ii) enter into transactions in
options, futures, options on futures, and other derivative instruments as
described in the Prospectus and in this Statement of Additional Information (the
deposit of assets in escrow in connection with the writing of covered put and
call options and the purchase of securities on a when-issued or delayed delivery
basis, collateral arrangements with respect to initial or variation margin
deposits for futures contracts and commitments entered into under swap
agreements or other derivative instruments, will not be deemed to be pledges of
a Fund's assets);
(8) lend any funds or other assets, except that a Fund may, consistent with
its investment objective and policies: (a) invest in debt obligations, including
bonds, debentures, or other debt securities, bankers' acceptances and commercial
paper, even though the purchase of such obligations may be deemed to be the
making of loans, (b) enter into repurchase agreements, and (c) lend its
portfolio securities in an amount not to exceed one-third of the value of its
total assets, provided such loans are made in accordance with applicable
guidelines established by the Securities and Exchange Commission and the
Trustees of the Trust;
(9) act as an underwriter of securities of other issuers, except to the
extent that in connection with the disposition of portfolio securities, it may
be deemed to be an underwriter under the federal securities laws; or
(10) (a) for the High Yield, Total Return III, and StocksPLUS Funds:
maintain a short position, or purchase, write or sell puts, calls, straddles,
spreads or combinations thereof, except as set forth in the Prospectus and in
this Statement of Additional Information for transactions in options, futures,
options on futures, and transactions arising under swap agreements or other
derivative instruments;
(b) for the Money Market, Short-Term, Low Duration, Low Duration II,
Low Duration III, Moderate Duration, Total Return, Total Return II, Commercial
Mortgage Securities, Long-Term U.S. Government, Foreign, Global, International,
StocksPLUS Short Strategy, Growth Stock and VersaSTYLE Equity Funds: maintain a
short position, or purchase, write or sell puts, calls, straddles, spreads or
combinations thereof, except on such conditions as may be set forth in the
Prospectus and in this Statement of Additional Information.
Each Fund is also subject to the following non-fundamental restrictions and
policies (which may be changed without shareholder approval) relating to the
investment of its assets and activities. Unless otherwise indicated, a Fund may
not:
(A) invest for the purpose of exercising control or management;
23
<PAGE>
(B) purchase securities of other investment companies, except that a Fund
may, for temporary purposes, purchase shares of money market mutual funds,
subject to such restrictions as may be imposed by the Investment Company Act of
1940 and rules thereunder, or by any State in which shares of the Fund are
registered (collateral arrangements with respect to securities on loan from a
Fund are not considered to involve the purchase of securities by the Fund and
are not subject to this restriction);
(C) invest more than 15% of the net assets of a Fund (10% in the case of
the PIMCO Money Market Fund) (taken at market value at the time of the
investment) in "illiquid securities," illiquid securities being defined to
include securities subject to legal or contractual restrictions on resale (which
may include private placements), repurchase agreements maturing in more than
seven days, certain loan participation interests, fixed time deposits which are
not subject to prepayment or provide for withdrawal penalties upon prepayment
(other than overnight deposits), certain options traded over the counter that a
Fund has purchased, securities or other liquid assets being used to cover such
options a Fund has written, securities for which market quotations are not
readily available, or other securities which legally or in the Adviser's opinion
may be deemed illiquid (other than securities issued pursuant to Rule 144A under
the Securities Act of 1933 and certain commercial paper that PIMCO has
determined to be liquid under procedures approved by the Board of
Trustees);
(D) invest in a security if, as a result of such investment, more than 5%
of its total assets (taken at market value at the time of such investment) would
be invested in securities of issuers (other than issuers of Federal agency
obligations) having a record, together with predecessors or unconditional
guarantors, of less than three years of continuous operation;
(E) purchase or retain securities of any issuer if 5% of the securities of
such issuer are owned by those officers and directors or trustees of the Trust
or of the Adviser who each own beneficially more than one-half of 1% of its
securities;
(F) purchase securities for the Fund from, or sell portfolio securities to,
any of the officers and directors or trustees of the Trust or of the Adviser;
(G) for the PIMCO Money Market, Short-Term, Low Duration, Low Duration II,
Low Duration III, Moderate Duration, Total Return, Total Return II, Commercial
Mortgage Securities, Long-Term U.S. Government, Foreign, Global, StocksPLUS
Short Strategy, Growth Stock and VersaSTYLE Equity Funds: purchase securities on
margin, except for use of short-term credit necessary for clearance of purchases
and sales of portfolio securities, but it may make margin deposits in connection
with covered transactions in options, futures, options on futures and short
positions;
(H) invest more than 5% of the assets of a Fund (taken at market value at
the time of investment) in any combination of interest only, principal only, or
inverse floating rate securities;
(I) borrow money (excluding dollar rolls and reverse repurchase agreements,
which are subject to the Fund's fundamental borrowing restriction), except for
temporary administrative purposes; or
(J) (a) for the PIMCO Short-Term, Low Duration and Low Duration III Funds,
invest greater than 5% of its assets in the securities of issuers based in Newly
Industrialized Countries ("NICs"); and
(b) for the remaining Fixed Income Funds, invest greater than 10% of
its assets in the securities of issuers based in NICs.
24
<PAGE>
In addition, the Trust has adopted a non-fundamental policy pursuant to
which each Fund that may invest in securities denominated in foreign currencies,
except the PIMCO Global Fund, will hedge at least 75% of its exposure to foreign
currency using the techniques described in the Prospectus. There can be no
assurance that currency hedging techniques will be successful.
Under the 1940 Act, a senior security does not include any promissory note
or evidence of indebtedness where such loan is for temporary purposes only and
in an amount not exceeding 5% of the value of the total assets of the issuer at
the time the loan is made. A loan is presumed to be for temporary purposes if it
is repaid within sixty days and is not extended or renewed. Notwithstanding the
provisions of restriction number (7) above, a Fund may borrow money for
temporary administrative purposes. To the extent that borrowings for temporary
purposes exceed 5% of the total assets of a Fund, such excess shall be subject
to the 300% asset coverage requirement of that restriction.
The staff of the SEC has taken the position that purchased over-the-counter
("OTC") options and the assets used as cover for written OTC options are
illiquid securities. Therefore, the Funds have adopted an investment policy
pursuant to which a Fund will not purchase or sell OTC options if, as a result
of such transactions, the sum of the market value of OTC options currently
outstanding which are held by the Fund, the market value of the underlying
securities covered by OTC call options currently outstanding which were sold by
the Fund and margin deposits on the Fund's existing OTC options on futures
contracts exceeds 15% of the net assets of the Fund, taken at market value,
together with all other assets of the Fund which are illiquid or are otherwise
not readily marketable. However, if an OTC option is sold by the Fund to a
primary U.S. Government securities dealer recognized by the Federal Reserve Bank
of New York and if the Fund has the unconditional contractual right to
repurchase such OTC option from the dealer at a predetermined price, then the
Fund will treat as illiquid such amount of the underlying securities equal to
the repurchase price less the amount by which the option is "in-the-money"
(i.e., current market value of the underlying securities minus the option's
strike price). The repurchase price with the primary dealers is typically a
formula price which is generally based on a multiple of the premium received for
the option, plus the amount by which the option is "in-the-money." This policy
is not a fundamental policy of the Funds and may be amended by the Trustees
without the approval of shareholders. However, the Funds will not change or
modify this policy prior to the change or modification by the SEC staff of its
position.
Unless otherwise indicated, all percentage limitations listed above apply
to each Fund only at the time a transaction is entered into. Accordingly, if a
percentage restriction is adhered to at the time of investment, a later increase
or decrease in the percentage which results from a relative change in values or
from a change in a Fund's net assets will not be considered a violation.
The Trust has undertaken with a state securities commission that it will
interpret the provisions of investment restriction (5) to prohibit the Trust's
investment in oil, gas or other mineral leases and that it will interpret the
provisions of investment restriction (4) to prohibit the Trust's investment in
real estate limited partnerships.
With respect to each Fund, except the PIMCO StocksPLUS Short Strategy Fund,
the Trust has agreed with a state securities commission that as an operating
policy, the dollar amount of short sales (other than short sales against the
box) at any time shall not exceed 25% of the net equity of a Fund, and the value
of securities of any one issuer in which a Fund is short shall not exceed 2% of
the Fund's net assets or 2% of the securities of any class of any issuer.
The Trust has undertaken to a state securities commission that the
aggregate premiums paid on all options held at any time by the Trust will be
limited to 20% of the Trust's total net asset value, and that the Trust will
engage in writing options on securities only if such options are issued by the
Options Clearing
25
<PAGE>
Corporation or are written by the Trust with primary U.S. Government securities
dealers recognized by the Federal Reserve Bank of New York. Furthermore,
pursuant to a restriction imposed by a state securities commission, the Adviser
waives its fee on all Trust assets invested temporarily in shares of money
market mutual funds pursuant to restriction "B", above.
MANAGEMENT OF THE TRUST
TRUSTEES AND OFFICERS
The Trustees and Executive Officers of the Trust, their business address
and principal occupations during the past five years are as follows (unless
otherwise indicated, the address of all persons below is 840 Newport Center
Drive, Suite 360, Newport Beach, California 92660):
<TABLE>
<CAPTION>
POSITION WITH PRINCIPAL OCCUPATION(S)
NAME, ADDRESS AND AGE THE TRUST DURING THE PAST FIVE YEARS
- --------------------------------------------------------------------------------------
<S> <C> <C>
Brent R. Harris* Chairman of the Board Managing Director, PIMCO
Age 36 and Trustee (1993-present); formerly
Principal, Senior Vice
President and Vice President
of PIMCO; Director, Harris
Holdings (1992-present);
Chairman and Director, PIMCO
Commercial Mortgage Securities
Trust, Inc. (1993-present).
Thomas P. Kemp Trustee Co-Chairman, U.S. Committee to
3501 Jamboree Road Assist Russian Reform
Suite 300 (1992-present); Senior
Newport Beach, CA 92660 Consultant, World Cup 1994
Age 65 Organizing Committee
(1990-1994); Director, Union
Financial Corp. (1991-present);
Director, PIMCO Commercial
Mortgage Securities Trust, Inc.
(1993-present); formerly Senior
Vice President, Beatrice --
U.S. Food Corporation
(1984-1987); Director,
Financial Corporation of
Santa Barbara, Santa Barbara
Savings (1989-1990); Director,
Financial Corporation of
America, American Savings and
Loan (1984-1988).
William J. Popejoy Trustee Partner, Butler Popejoy Group
19700 Fairchild (1992-present); Director, PIMCO
Suite 210 Commercial Mortgage Securities
Irvine, California 92715 Trust, Inc. (1995 to Present);
Age 57 formerly Interim Chief
Administrative Officer,
Orange County, California
(February 1995-August 1995);
formerly Principal, Castine
Partners (1989-1992); Chief
Executive Officer, Financial
Corporation of America,
American Savings & Loan
(1984-1988).
</TABLE>
26
<PAGE>
<TABLE>
<CAPTION>
POSITION WITH PRINCIPAL OCCUPATION(S)
NAME, ADDRESS AND AGE THE TRUST DURING THE PAST FIVE YEARS
- --------------------------------------------------------------------------------------
<S> <C> <C>
Guilford C. Babcock Trustee Associate Professor of
School of Business Finance, University of
Administration, University Southern California
of Southern California, (1968-present); Director
Los Angeles, CA 90089-1421 PIMCO Commercial Mortgage
Age 64 Securities Trust, Inc.
(1993-present); formerly
Director, Western Federal
Savings & Loan Association
(1967-1988).
Vern O. Curtis Trustee Private Investor
15552 Northwest Melody Lane (1990-present);
Beaverton, OR 97006 Charitable work, The
Age 61 Church of Jesus Christ of
Latter Day Saints
(1992-1995); Director, PIMCO
Commercial Mortgage Securities
Trust, Inc. (1995-present);
Dean, School of Economics and
Business, Chapman College
(1987-1990).
R. Wesley Burns President Vice President, PIMCO.
Age 36
William H. Gross Senior Vice President Managing Director and
Age 51 Director, PIMCO.
James F. Muzzy Vice President Managing Director and
Age 56 Director, PIMCO.
Dean S. Meiling Vice President Managing Director, PIMCO.
Age 47
Margaret Isberg Vice President Executive Vice President,
Age 39 PIMCO.
William S. Thompson Vice President Chief Executive Officer,
Age 50 Managing Director and
Director, PIMCO; formerly
Managing Director, Salomon
Brothers.
Jeffrey M. Sargent Vice President Vice President and Manager of
Age 33 Client Services, PIMCO.
Teresa A. Wagner Vice President Vice President and Manager of
Age 33 Fund Administration, PIMCO.
Andrew C. Ward Vice President Vice President and Account
Age 35 Manager, PIMCO.
U. Teri Frisch Vice President Account Manager, PIMCO.
Age 42
</TABLE>
27
<PAGE>
<TABLE>
<CAPTION>
POSITION WITH PRINCIPAL OCCUPATION(S)
NAME, ADDRESS AND AGE THE TRUST DURING THE PAST FIVE YEARS
- --------------------------------------------------------------------------------------
<S> <C> <C>
Raymond C. Hayes Vice President Account Manager, PIMCO.
Age 51
Kristen M. Wilsey Vice President Account Manager, PIMCO.
Age 35
John P. Hardaway Treasurer Vice President and Manager of
Age 38 Fund Operations, PIMCO.
Garlin G. Flynn Secretary Senior Fund Administrator,
Age 49 PIMCO.
Michael J. Willemsen Assistant Secretary Shareholder Services
Age 35 Specialist, PIMCO.
Joseph D. Hattesohl Assistant Manager of Fund Taxation,
Age 32 Treasurer PIMCO; formerly Director of
Financial Reporting, Carl I.
Brown & Co.; formerly Tax
Manager, Price Waterhouse LLP.
</TABLE>
____________________
*Mr. Harris is an "interested person" of the Trust (as that term is defined in
the 1940 Act) because of his affiliations with PIMCO.
28
<PAGE>
COMPENSATION TABLE
The following table sets forth information regarding compensation received
by the Trustees for the year ended March 31, 1995.
<TABLE>
<CAPTION>
PENSION OR TOTAL
RETIREMENT COMPENSATION
BENEFITS ESTIMATED FROM TRUST
ACCRUED ANNUAL AND FUND
AGGREGATE AS PART BENEFITS COMPLEX
COMPENSATION OF TRUST UPON PAID TO
NAME AND POSITION FROM TRUST(1) EXPENSES RETIREMENT TRUSTEES(2)
- ----------------- ------------- -------- ---------- -----------
<S> <C> <C> <C> <C>
Brent R. Harris 0 0 0 0
Chairman and Trustee
Guilford C. Babcock $15,000 0 0 $25,000
Trustee
Vern O. Curtis 0(3) 0 0 0(3)
Trustee
Thomas P. Kemp $17,000 0 0 $27,000
Trustee
William J. Popejoy $14,417(4) 0 0 $22,917(4)
Trustee
</TABLE>
(1)Trustees other than those affiliated with the Adviser or Pacific Mutual
Life Insurance Company ("Pacific Mutual"), received an annual retainer of $7,000
plus $2,000 for each Board of Trustees meeting attended, plus reimbursement of
related expenses, for the fiscal year ended March 31, 1995.
(2)Each Trustee also serves as a Director of PIMCO Commercial Mortgage
Securities Trust, Inc., a registered closed-end management investment company.
For their services, Messrs. Babcock, Curtis Kemp and Popejoy, the Directors who
are unaffiliated with PIMCO or its affiliates, receive an annual retainer of
$6,000 plus $1,000 for each Board of Directors meeting attended, plus
reimbursement of related expenses.
(3)Mr. Curtis became a Trustee and Director in February, 1995, and thus did
not receive compensation during the period.
(4)Mr. Popejoy resigned his positions as Trustee and Director in February,
1995, and thus received a pro rata portion of his annual retainers. Mr. Popejoy
became a Trustee and Director again, in August, 1995.
INVESTMENT ADVISER
PIMCO serves as investment adviser to the Funds pursuant to an investment
advisory contract ("Advisory Contract") between PIMCO and the Trust. PIMCO is a
subsidiary partnership of PIMCO Advisors. A majority interest of PIMCO Advisors
is held by PIMCO Partners, G.P., a general partnership
29
<PAGE>
between Pacific Investment Management Company, a California corporation and
indirect wholly owned subsidiary of Pacific Mutual, and PIMCO Partners, LLC
("PIMCO Partners"), a limited liability company controlled by the PIMCO Managing
Directors. William H. Gross, a Managing Director of PIMCO, holds approximately
41.9% of the ownership interests in PIMCO Partners (representing an indirect
economic interest in approximately 15.6% of the partnership units of PIMCO
Advisors owned by PIMCO Partners, G.P., or approximately 12.5% of the
outstanding partnership units of PIMCO Advisors).
PIMCO is responsible for making investment decisions and placing orders for
the purchase and sale of the Trust's investments directly with the issuers or
with brokers or dealers selected by it in its discretion. See "Portfolio
Transactions." PIMCO also furnishes to the Board of Trustees, which has overall
responsibility for the business and affairs of the Trust, periodic reports on
the investment performance of each Fund.
Under the terms of the Advisory Contract, PIMCO is obligated to manage the
Funds in accordance with applicable laws and regulations. The investment
advisory services of PIMCO to the Trust are not exclusive under the terms of the
Advisory Contract. PIMCO is free to, and does, render investment advisory
services to others. The current Advisory Contract was approved by the Board of
Trustees, including a majority of the Trustees who are not parties to the
Advisory Contract or interested persons of such parties ("Independent
Trustees"), at a meeting held on May 31, 1994, as supplemented at a meeting held
on May 23, 1995 and was last approved by shareholders of all then-operational
Funds on October 17, 1994.
The Advisory Contract will continue in effect on a yearly basis provided
such continuance is approved annually (i) by the holders of a majority of the
outstanding voting securities of the Trust or by the Board of Trustees and (ii)
by a majority of the Independent Trustees. The Advisory Contract may be
terminated without penalty by vote of the Trustees or the shareholders of the
Trust, or by the Adviser, on 60 days' written notice by either party to the
contract and will terminate automatically if assigned.
The current Advisory Contract was executed in connection with the
consolidation of PIMCO, Pacific Investment Administrative Services Company
("PIASCo"), Thomson Advisory Group L.P. and certain other affiliated entities
(the "Consolidation"). Prior to the Consolidation, and since the inception of
each of the Funds, PIMCO had served as investment adviser to the Funds, pursuant
to an advisory contract, last approved by the Trustees April 14, 1993, and by
shareholders of the then-operational Funds on August 21, 1992 (the "Prior
Advisory Contract"). The terms and conditions of the Advisory Contract are
identical in all material respects to the Prior Advisory Contract, with the
exception of the identity of the service provider, its effective date and
termination date, and the amendment recently effected in connection with the
adoption of a new service and fee arrangement for the Funds.
The Adviser currently receives a monthly investment advisory fee from each
Fund at an annual rate based on average daily net assets of the Funds as
follows:
<TABLE>
<CAPTION>
ADVISORY
FUND FEE RATE
- ---- --------
<S> <C>
Money Market Fund.................................................. 0.15%
Commercial Mortgage Securities, VersaSTYLE Equity,
StocksPLUS and StocksPLUS Short Strategy Funds................... 0.40%
All other Funds.................................................... 0.25%
</TABLE>
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<PAGE>
For the fiscal years ended March 31, 1995, 1994, and 1993, the aggregate
amount of the advisory fees paid by each operational Fund was as follows:
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED YEAR ENDED
FUND 3/31/95 3/31/94 3/31/93
- ---- ----------- ----------- ----------
<S> <C> <C> <C>
Money Market* $ N/A $ N/A $ N/A
Short-Term Fund 383,063 158,599 186,401
Low Duration Fund 5,756,981 4,844,060 2,972,234
Low Duration Fund II 461,261 379,106 220,948
High Yield Fund 830,832 320,749 16,780
Total Return Fund 15,223,950 10,647,574 6,054,252
Total Return Fund II* N/A N/A N/A
Total Return Fund III 258,080 229,699 185,021
Long-Term U.S.
Government Fund 91,533 72,884 59,826
Foreign Fund 921,902 977,658 131,182
Global Fund 177,065 28,608 N/A
International Fund 1,142,716 6,831,045 5,714,438
StocksPLUS Fund 109,177 30,476 N/A
Growth Stock Fund 57,292 69,304 69,868
VersaSTYLE Equity Fund 11,112 N/A N/A
</TABLE>
*The PIMCO Money Market Fund, for the fiscal years ended October 31, 1995,
1994, and 1993, paid aggregate advisory fees in the amount of $14,500, $9,903
and $14,617, respectively. The PIMCO Total Return Fund II, for the fiscal years
ended October 31, 1995, 1994, and 1993, paid aggregate advisory fees in the
amount of $1,009,081, $907,044, and $812,208, respectively. See "The
Reorganization" for additional information.
In connection with the former expense limitation provision, PIMCO
reimbursed advisory fees for the fiscal years ended March 31, 1995, 1994, and
1993, in the following amounts:
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED YEAR ENDED
FUND 3/31/95 3/31/94 3/31/93
- ---- ---------- ---------- ----------
<S> <C> <C> <C>
Short-Term Fund $ 8,045 $ 24,770 $ 35,778
Low Duration Fund 0 0 0
High Yield Fund (42,986) 27,055 15,767
Low Duration Fund II (16,480) (20,008) 24,211
Total Return Fund 0 0 0
Total Return Fund III (633) 11,945 22,432
Long-Term U.S.
Government Fund 23,964 29,521 31,080
Foreign Fund 0 0 11,924
Global Fund (34,409) 40,281 N/A
International Fund 0 0 0
StocksPLUS Fund 53,148 43,574 N/A
Growth Stock Fund 14,079 13,595 12,695
VersaSTYLE Equity Fund 12,600 N/A N/A
</TABLE>
31
<PAGE>
FUND ADMINISTRATOR
PIMCO also serves as Administrator to the Funds pursuant to an
administration agreement (the Administration Agreement). PIMCO provides the
Funds with certain administrative and shareholder services necessary for Fund
operations and is responsible for the supervision of other Fund service
providers. The administrative services provided by PIMCO include but are not
limited to: (1) shareholder servicing functions, including preparation of
shareholder reports and communications, (2) regulatory compliance, such as
reports and filings with the SEC and state securities commissions, and (3)
general supervision of the operations of the Funds, including coordination of
the services performed by the Funds' transfer agent, custodian, legal counsel,
independent accountants, and others. PIMCO (or an affiliate of PIMCO) also
furnishes the Funds with office space facilities required for conducting the
business of the Funds, and pays the compensation of those officers, employees
and Trustees of the Trust affiliated with PIMCO. In addition, PIMCO, at its own
expense, arranges for the provision of legal, audit, custody, transfer agency
and other services for the Funds, and is responsible for the costs of
registration of the Trust's shares and the printing of prospectuses and
shareholder reports for current shareholders. PIMCO has contractually agreed to
provide these services, and to bear these expenses, at the following rates (each
expressed as a percentage of the Fund's average daily net assets on an annual
basis):
<TABLE>
<CAPTION>
ADMINISTRATIVE
FUND FEE RATE
- ---- --------
<S> <C>
Money Market Fund and Short Term Fund.............................. 0.20%
Low Duration Fund and Total Return Fund............................ 0.18%
Global Fund........................................................ 0.30%
All other Funds.................................................... 0.25%
</TABLE>
Except for the expenses paid by PIMCO, the Trust bears all costs of its
operations. The Funds are responsible for: (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) costs of borrowing
money, including interest expenses; (v) fees and expenses of the Trustees who
are not "interested persons" of PIMCO or the Trust, and any counsel retained
exclusively for their benefit; (vi) extraordinary expenses, including costs of
litigation and indemnification expenses; (vii) expenses, such as organizational
expenses, which are capitalized in accordance with generally accepted accounting
principles; and (viii) any expenses allocated or allocable to a specific class
of shares ("Class-specific expenses").
Class-specific expenses include service fees payable with respect to the
Administrative Class shares and may include certain other expenses as permitted
by the Trust's Dual Class Plan adopted pursuant to Rule 18f-3 under the 1940 Act
and subject to review and approval by the Trustees. It is not presently
anticipated that any expenses other than service fees will be allocated on a
class-specific basis.
The Administration Agreement for the Funds may be terminated by the
Trustees at any time on 60 days' written notice. Following the expiration of the
two-year period commencing with the effectiveness of the agreement, it may be
terminated by PIMCO, also on 60 days' written notice. Following its initial two-
year term, the agreement would continue from year to year if approved by the
Trustees.
The Administration Agreement is subject to annual approval by the Board,
including a majority of the Trust's Independent Trustees (as that term is
defined in the 1940 Act). The current Administration Agreement was approved by
the Board of Trustees, including all of the Independent Trustees at a meeting
held on August 22, 1995. In approving the Administration Agreement, the Trustees
determined that: (1) the Administration Agreement is in the best interests of
the Funds and their shareholders; (2) the services to be performed under the
Agreement are services required for the operation of the Funds; (3) PIMCO is
able
32
<PAGE>
to provide, or to procure, services for the Funds which are at least equal in
nature and quality to services that could be provided by others; and (4) the
fees to be charged pursuant to the Agreement are fair and reasonable in light of
the usual and customary charges made by others for services of the same nature
and quality. The preceding Administrative Services Contract between the Trust
and PIMCO was approved by the Trustees at their meeting held on May 31, 1994,
and was approved by shareholders of all then-operational Funds on October 17,
1994.
A previous Administrative Services Contract ("Prior Contact") between the
Trust and PIASCo was initially approved by the Trustees at a meeting held on
April 29, 1987 (and by the then-sole shareholder of the Trust at a meeting held
on April 30, 1987). The Prior Contract was last approved by the Board of
Trustees on February 23, 1993. PIASCo was a wholly owned subsidiary of the
predecessor of PIMCO. In connection with the Consolidation, PIMCO assumed the
duties of PIASCo as Administrator to the Funds. The terms and conditions of the
Administrative Services Contract are substantially identical in all material
respects to those of the Prior Contract, with the primary exception of the
identity of the service provider, its effective date and termination date, and
the amendment recently effected in connection with the adoption of a new service
and fee arrangement for the Funds.
For the fiscal years ended March 31, 1995, 1994, and 1993, the aggregate
amount of the administration fees paid by each operational Fund was as follows:
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED YEAR ENDED
FUND 3/31/95 3/31/94 3/31/93
- ---- ---------- ---------- ----------
<S> <C> <C> <C>
Money Market Fund* $ N/A $ N/A $ N/A
Short-Term Fund 129,554 52,866 57,085
Low Duration Fund 2,272,874 1,907,377 1,116,153
Low Duration Fund II 154,668 126,369 69,649
High Yield Fund 302,332 109,187 5,593
Total Return Fund 6,059,785 4,228,783 2,462,627
Total Return Fund II* N/A N/A N/A
Total Return Fund III 86,027 76,566 56,527
Long-Term U.S.
Government Fund 30,511 24,295 18,546
Foreign Fund 324,043 361,063 43,728
Global Fund 57,732 9,536 N/A
International Fund 440,899 2,702,418 2,255,775
StocksPLUS Fund 24,261 6,772 N/A
Growth Stock Fund 19,097 3,102 21,688
VersaSTYLE Equity Fund 2,569 N/A N/A
</TABLE>
*The PIMCO Money Market Fund, for the fiscal years ended October 31, 1995,
1994, and 1993, paid aggregate administration fees in the amount of $24,166,
$16,506, and $24,363, respectively. The PIMCO Total Return Fund II, for the
fiscal years ended October 31, 1995, 1994, and 1993, paid aggregate
administration fees in the amount of $1,009,081, $907,044, and $812,208,
respectively. See "The Reorganization" for additional information.
33
<PAGE>
In connection with the former expense limitation provision, the
Administrator reimbursed administration fees for the fiscal years ended March
31, 1995, 1994, and 1993, in the following amounts:
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED YEAR ENDED
FUND 3/31/95 3/31/94 3/31/93
- ---- ---------- ---------- ----------
<S> <C> <C> <C>
Short-Term Fund $ 2,295 $ 7,068 $ 10,209
Low Duration Fund 0 0 0
Low Duration Fund II (4,703) (5,709) 6,909
High Yield Fund (12,266) 7,720 4,499
Total Return Fund 0 0 0
Total Return Fund III (181) 3,408 6,401
Long-Term U.S.
Government Fund 6,838 8,424 8,869
Foreign Fund 0 0 3,402
Global Fund (9,818) 11,494 N/A
International Fund 0 0 0
StocksPLUS Fund 15,165 12,574 N/A
Growth Stock Fund 4,017 3,879 3,623
VersaSTYLE Equity Fund 3,595 N/A N/A
</TABLE>
EXPENSE LIMITATIONS
Certain of the states in which the shares of the Trust are qualified for
sale impose limitations on the expenses of the Trust. If, in any fiscal year,
the total expenses of the Trust (excluding taxes, interest, brokerage
commissions and other portfolio transaction expenses, other expenditures which
are capitalized in accordance with generally accepted accounting principles and
extraordinary expenses, but including the advisory and administrative fees)
exceed the expense limitations applicable to the Trust imposed by the securities
regulations of any state, PIMCO will reimburse the Trust for the excess.
Fees foregone or payments made by PIMCO with respect to a Fund pursuant to
the expense limitation are contingent liabilities of the Fund which are subject
to potential reimbursement by that Fund to PIMCO, provided the assets of the
Fund reach a sufficient size to permit such reimbursement to be made without
causing the covered expenses of the Fund to exceed the amount as may be imposed
by any state expense limit to which the Trust is subject, and provided such
reimbursement is made within four years of the recognition of the contingent
liability by the Fund. If a reimbursement appears probable, it will be accounted
for as an expense of the Fund regardless of the time period over which the
reimbursement may actually be paid by the Fund.
DISTRIBUTION OF TRUST SHARES
Each Fund offers two classes of shares: the "Institutional Class" and the
"Administrative Class." Shares of the Institutional Class are offered primarily
for direct investment by institutional investors and high net worth individuals.
They also are offered through certain financial intermediaries that charge their
customers transaction or other fees with respect to the customer's investment in
the Funds. Shares of the Administrative Class are offered primarily through
brokers, retirement plan administrators and other financial intermediaries.
Administrative Class shares pay service fees to such entities for services they
provide to shareholders of that class.
The Trust has adopted a Dual Class Plan pursuant to Rule 18f-3 under the
1940 Act. Under the Plan, shares of each class of a Fund represent an equal pro
rata interest in such Fund and, generally, have identical voting, dividend,
liquidation, and other rights, preferences, powers, restrictions, limitations,
qualifications and terms and conditions, except that: (a) each class has a
different designation; (b) each class of shares bears
34
<PAGE>
any class-specific expenses allocated to it; and (c) each class has exclusive
voting rights on any matter submitted to shareholders that relates solely to its
distribution or service arrangements, and each class has separate voting rights
on any matter submitted to shareholders in which the interests of one class
differ from the interests of any other class.
PIMCO Advisors Distribution Company ("PADCO" or the "Distributor") serves
as the Trust's Distributor pursuant to a distribution contract ("Distribution
Contract") dated November 22, 1994, which is subject to annual approval by the
Board. The Distributor is a wholly owned subsidiary of PIMCO Advisors. The
Distribution Contract is terminable with respect to a Fund without penalty, at
any time, by the Trust upon 60 days' written notice to the Distributor, or by
the Distributor upon 60 days' written notice to the Trust. The Distributor is
not obligated to sell any specific amount of Trust shares.
Prior to the Consolidation, Pacific Equities Network ("PEN"), an indirect
subsidiary of Pacific Mutual, served as the Trust's Distributor, pursuant to a
contract approved by the Board of Trustees, including a majority of the
Independent Trustees, at its meeting held on April 29, 1987 (and by the then-
sole shareholder of the Trust at a meeting held on April 30, 1987) (the "Prior
Distribution Contract"). The Prior Distribution Contract was approved with
respect to the PIMCO International Fund by the Board of Trustees (including a
majority of the Independent Trustees) at a meeting held on August 22, 1989, and
by the then-sole shareholder of the Fund at a meeting held on September 29,
1989. The Prior Distribution Contract was last approved by the Board of Trustees
on February 23, 1993 and by shareholders of the Trust on November 1, 1988. The
Prior Distribution Contract was approved with respect to the PIMCO Low Duration
III, Total Return III, Foreign, and Global Funds by the Trustees (including a
majority of the Independent Trustees) on August 28, 1990, and by the then-sole
shareholder of such Funds on September 28, 1990. The Prior Distribution Contract
was approved with respect to the PIMCO Low Duration II, Total Return II, and
High Yield Funds by the Board of Trustees on May 28, 1991, and by the then-sole
shareholder of these Funds on July 15, 1991.
SERVICE FEES
The Trust has adopted an Administrative Services Plan and a Distribution
Plan with respect to the Administrative Class shares of each Fund. Under the
terms of each Plan, the Trust is permitted to reimburse, out of the
Administrative Class assets of each Fund, in an amount up to 0.25% on an annual
basis of the average daily net assets of that class, financial intermediaries
that provide services in connection with the distribution of shares or
administration of plans or programs that use Fund shares as their funding
medium, and to reimburse certain other distribution related expenses. Under the
terms of the Distribution Plan, these services may include, but are not limited
to, the following functions: providing facilities to answer questions from
prospective investors about the Fund; receiving and answering correspondence,
including requests for prospectuses and statements of additional information;
preparing, printing and delivering prospectuses and shareholder reports to
prospective shareholders; complying with federal and state securities laws
pertaining to the sale of Administrative Class shares; and assisting investors
in completing application forms and selecting dividend and other account
options.
Under the terms of the Administrative Services Plan, the services may
include, but are not limited to, the following functions: receiving, aggregating
and processing shareholder orders; furnishing shareholder sub-accounting;
providing and maintaining elective shareholder services such as check writing
and wire transfer services; providing and maintaining pre-authorized investment
plans; communicating periodically with shareholders; acting as the sole
shareholder of record and nominee for shareholders; maintaining accounting
records for shareholders; answering questions and handling correspondence from
shareholders about their accounts; and performing similar account administrative
services.
The same entity may be the recipient of fees under both the Distribution
Plan and the Administrative Services Plan, but may not receive fees under both
plans with respect to the same assets.
35
<PAGE>
Each Plan provides that it may not be amended to materially increase the
costs which Administrative Class shareholders may bear under the Plan without
the approval of a majority of the outstanding voting securities of the class,
and by vote of a majority of both (i) the Trustees of the Trust and (ii) those
Trustees who are not "interested persons" of the Trust (as defined in the 1940
Act) and who have no direct or indirect financial interest in the operation of
the Plan or any agreements related to it (the "Plan Trustees"), cast in person
at a meeting called for the purpose of voting on the Plan and any related
amendments.
Each Plan provides that it may not take effect until approved by vote of a
majority of both (i) the Trustees of the Trust and (ii) the Plan Trustees. The
Distribution Plan further provides that it may not take effect unless approved
by the vote of a majority of the outstanding voting securities of the class. The
Plans were approved by the Trustees, including the Plan Trustees, at a meeting
held on May 31, 1994.
Each Plan provides that it shall continue in effect so long as such
continuance is specifically approved at least annually by the Trustees and the
Plan Trustees. Each Plan provides that any person authorized to direct the
disposition of monies paid or payable by a class pursuant to the Plan or any
related agreement shall provide to the Trustees, and the Board shall review at
least quarterly, a written report of the amounts so expended and the purposes
for which such expenditures were made.
Each Plan provides that expenses payable under the Plan may be carried
forward for reimbursement for up to twelve months beyond the date in which the
expense is incurred, subject to the limit that not more that 0.25% of the
average daily net assets of each class may be used in any month to pay expenses
under the Plan. Each Plan requires that Administrative Class shares will incur
no interest or carrying charges.
Rules of the National Association of Securities Dealers, Inc. (NASD) limit
the amount of distribution fees that may be paid by mutual funds. "Service
fees," defined to mean fees paid for providing shareholder services or the
maintenance of accounts (but not transfer agency services) are not subject to
the limits. The Trust believes that most, if not all, of the fees paid pursuant
to the Plan will qualify as "service fees" and therefore will not be limited by
NASD rules.
For the fiscal year ended March 31, 1995, the Administrative Class shares
of the PIMCO Low Duration, High Yield, and Total Return Funds paid aggregate
fees under the Distribution Plan to qualified service providers in the amount of
$445.29, $20.45, and $5,325.11, respectively. All of these amounts constituted
"service fees" under applicable NASD rules.
THE REORGANIZATION
On November 1, 1995, the Money Market Fund and the PIMCO Managed Bond and
Income Fund, two series of PIMCO Advisors Institutional Funds, were reorganized
as series of PIMCO Funds, and were renamed PIMCO Money Market Fund and PIMCO
Total Return Fund II, respectively. All information presented for these Funds
prior to this date represents their operational history as series of PIMCO
Advisors Institutional Funds.
PURCHASES AND REDEMPTIONS
Purchases and redemptions are discussed in the Prospectus under the
headings "Purchase of Shares," "Redemption of Shares," and "Net Asset Value,"
and that information is incorporated herein by reference.
Certain managed account clients of the Adviser may purchase shares of the
Trust. To avoid the imposition of duplicative fees, the Adviser may be required
to make adjustments in the management fees charged separately by the Adviser to
these clients to offset the generally higher level of management fees and
expenses resulting from a client's investment in the Trust.
36
<PAGE>
Certain clients of the Adviser whose assets would be eligible for purchase
by one or more of the Funds may purchase shares of the Trust with such assets.
Assets so purchased by a Fund will be valued in accordance with procedures
adopted by the Board of Trustees.
Shares of the Funds are not qualified or registered for sale in all states.
Prospective investors should inquire as to whether shares of a particular Fund
are available for offer and sale in their state of domicile or residence. Shares
of a Fund may not be offered or sold in any state unless registered or qualified
in that jurisdiction, unless an exemption from registration or qualification is
available.
Independent financial intermediaries unaffiliated with PIMCO may perform
shareholder servicing functions with respect to certain of their clients whose
assets may be invested in the Funds. These services, normally provided by PIMCO
directly to Trust shareholders, may include the provision of ongoing information
concerning the Funds and their investment performance, responding to shareholder
inquiries, assisting with purchases, redemptions and exchanges of Trust shares,
and other services. PIMCO may pay fees to such entities for the provision of
these services which PIMCO normally would perform, out of PIMCO's own resources.
The Trust reserves the right to suspend or postpone redemptions during any
period when: (a) trading on the New York Stock Exchange is restricted, as
determined by the SEC, or that Exchange is closed for other than customary
weekend and holiday closings; (b) the SEC has by order permitted such
suspension; or (c) an emergency, as determined by the SEC, exists, making
disposal of portfolio securities or valuation of net assets of the Fund not
reasonably practicable.
Due to the relatively high cost of maintaining smaller accounts, the Trust
reserves the right to redeem shares in any account for their then-current value
(which will be promptly paid to the investor) if at any time, due to shareholder
redemption, the shares in the account do not have a value of at least $100,000
($10,000 with respect to accounts opened before January 1, 1995). An investor
will be notified that the value of his account is less than the minimum and
allowed at least 30 days to bring the value of the account up to at least
$100,000 (or $10,000, as applicable) before the redemption is processed. The
Declaration of Trust also authorizes the Trust to redeem shares under certain
other circumstances as may be specified by the Board of Trustees.
PORTFOLIO TRANSACTIONS AND BROKERAGE
INVESTMENT DECISIONS
Investment decisions for the Trust and for the other investment advisory
clients of the Adviser are made with a view to achieving their respective
investment objectives. Investment decisions are the product of many factors in
addition to basic suitability for the particular client involved (including the
Trust). Thus, a particular security may be bought or sold for certain clients
even though it could have been bought or sold for other clients at the same
time. Likewise, a particular security may be bought for one or more clients when
one or more clients are selling the security. In some instances, one client may
sell a particular security to another client. It also sometimes happens that two
or more clients simultaneously purchase or sell the same security, in which
event each day's transactions in such security are, insofar as possible,
averaged as to price and allocated between such clients in a manner which in the
Adviser's opinion is equitable to each and in accordance with the amount being
purchased or sold by each. There may be circumstances when purchases or sales of
portfolio securities for one or more clients will have an adverse effect on
other clients.
37
<PAGE>
BROKERAGE AND RESEARCH SERVICES
There is generally no stated commission in the case of fixed income
securities, which are traded in the over-the-counter markets, but the price paid
by the Trust usually includes an undisclosed dealer commission or mark-up. In
underwritten offerings, the price paid by the Trust includes a disclosed, fixed
commission or discount retained by the underwriter or dealer. Transactions on
U.S. stock exchanges and other agency transactions involve the payment by the
Trust of negotiated brokerage commissions. Such commissions vary among different
brokers. Also, a particular broker may charge different commissions according to
such factors as the difficulty and size of the transaction. Transactions in
foreign securities generally involve the payment of fixed brokerage commissions,
which are generally higher than those in the United States.
The Adviser places all orders for the purchase and sale of portfolio
securities, options and futures contracts for the Trust and buys and sells such
securities, options and futures for the Trust through a substantial number of
brokers and dealers. In so doing, the Adviser uses its best efforts to obtain
for the Trust the most favorable price and execution available, except to the
extent it may be permitted to pay higher brokerage commissions as described
below. In seeking the most favorable price and execution, the Adviser, having in
mind the Trust's best interests, considers all factors it deems relevant,
including, by way of illustration, price, the size of the transaction, the
nature of the market for the security, the amount of the commission, the timing
of the transaction taking into account market prices and trends, the reputation,
experience and financial stability of the broker-dealer involved and the quality
of service rendered by the broker-dealer in other transactions. For the fiscal
years ended March 31, 1995, 1994, and 1993, the PIMCO Growth Stock Fund paid
brokerage commissions in the aggregate amounts of $52,379, $47,720, and $38,295,
respectively. The PIMCO VersaSTYLE Equity Fund paid brokerage commissions in the
aggregate amount of $23,037, for the fiscal year ended March 31, 1995. None of
these amounts were paid to an affiliate of the Trust, the Adviser, PADCO or PEN.
The Adviser manages the Funds without regard generally to restrictions on
portfolio turnover, except those imposed on its ability to engage in short-term
trading by provisions of the federal tax laws, see "Taxation." The use of
futures contracts and other derivative instruments with relatively short
maturities may tend to exaggerate the portfolio turnover rate for some of the
Funds. Trading in fixed income securities does not generally involve the payment
of brokerage commissions, but does involve indirect transaction costs. The use
of futures contracts may involve the payment of commissions to futures
commission merchants. The higher the rate of portfolio turnover of a Fund, the
higher these transaction costs borne by the Fund generally will be.
The portfolio turnover rate of a Fund is calculated by dividing (a) the
lesser of purchases or sales of portfolio securities for the particular fiscal
year by (b) the monthly average of the value of the portfolio securities owned
by the Fund during the particular fiscal year. In calculating the rate of
portfolio turnover, there is excluded from both (a) and (b) all securities,
including options, whose maturities or expiration dates at the time of
acquisition were one year or less. Proceeds from short sales and assets used to
cover short positions undertaken are included in the amounts of securities sold
and purchased, respectively, during the year.
It has for many years been a common practice in the investment advisory
business for advisers of investment companies and other institutional investors
to receive research services from broker-dealers which execute portfolio
transactions for the clients of such advisers. Consistent with this practice,
the Adviser receives research services from many broker-dealers with which the
Adviser places the Trust's portfolio transactions. These services, which in some
cases may also be purchased for cash, include such matters as general economic
and security market reviews, industry and company reviews, evaluations of
securities and recommendations as to the purchase and sale of securities. Some
of these services are of value to the Adviser in advising various of its clients
(including the Trust), although not all of these services are
38
<PAGE>
necessarily useful and of value in managing the Trust. The management fee paid
by the Trust is not reduced because the Adviser and its affiliates receive such
services.
As permitted by Section 28(e) of the Securities Exchange Act of 1934, the
Adviser may cause the Trust to pay a broker-dealer which provides "brokerage and
research services" (as defined in the Act) to the Adviser an amount of disclosed
commission for effecting a securities transaction for the Trust in excess of the
commission which another broker-dealer would have charged for effecting that
transaction.
Consistent with the Rules of Fair Practice of the National Association of
Securities Dealers, Inc. and subject to seeking the most favorable price and
execution available and such other policies as the Trustees may determine, the
Adviser may also consider sales of shares of the Trust as a factor in the
selection of broker-dealers to execute portfolio transactions for the Trust.
NET ASSET VALUE
As indicated under "Net Asset Value" in the Prospectus, the Trust's net
asset value per share for the purpose of pricing purchase and redemption orders
is determined at 4:00 p.m. (Eastern time) on each day the New York Stock
Exchange is open for trading. Net asset value will not be determined on the
following holidays: New Year's Day, President's Day, Good Friday, Memorial Day,
Independence Day, Labor Day, Thanksgiving Day, and Christmas Day.
The PIMCO Money Market Fund's securities are valued using the amortized
cost method of valuation. This involves valuing a security at cost on the date
of acquisition and thereafter assuming a constant accretion of a discount or
amortization of a premium to maturity, regardless of the impact of fluctuating
interest rates on the market value of the instrument. While this method provides
certainty in valuation, it may result in periods during which value, as
determined by amortized cost, is higher or lower than the price the Fund would
receive if it sold the instrument. During such periods the yield to investors in
the Fund may differ somewhat from that obtained in a similar investment company
which uses available market quotations to value all of its portfolio securities.
The SEC's regulations require the PIMCO Money Market Fund to adhere to
certain conditions. The Trustees, as part of their responsibility within the
overall duty of care owed to the shareholders, are required to establish
procedures reasonably designed, taking into account current market conditions
and the Fund's investment objective, to stabilize the net asset value per share
as computed for the purpose of distribution and redemption at $1.00 per share.
The Trustees' procedures include a requirement to periodically monitor, as
appropriate and at such intervals as are reasonable in light of current market
conditions, the relationship between the amortized cost value per share and the
net asset value per share based upon available indications of market value. The
Trustees will consider what steps should be taken, if any, in the event of a
difference of more than 1/2 of 1% between the two. The Trustees will take such
steps as they consider appropriate, (e.g., selling securities to shorten the
average portfolio maturity) to minimize any material dilution or other unfair
results which might arise from differences between the two. The Fund also is
required to maintain a dollar-weighted average portfolio maturity of 90 days or
less, to limit its investments to instruments having remaining maturities of 13
months or less (except securities held subject to repurchase agreements having
13 months or less maturity) and to invest only in securities determined by the
Adviser under procedures established by the Board of Trustees to be of high
quality with minimal credit risks.
39
<PAGE>
TAXATION
While the Adviser anticipates that many shareholders of the Trust will be
tax-exempt institutions, the following discussion may be of general interest to
these shareholders, as well as for those shareholders of the Trust who do not
have tax-exempt status. The following discussion is general in nature and should
not be regarded as an exhaustive presentation of all possible tax ramifications.
All shareholders should consult a qualified tax adviser regarding their
investment in a Fund.
Each Fund intends to qualify annually and elect to be treated as a
regulated investment company under the Internal Revenue Code of 1986, as amended
(the "Code"). To qualify as a regulated investment company, each Fund generally
must, among other things, (a) derive in each taxable year at least 90% of its
gross income from dividends, interest, payments with respect to securities
loans, and gains from the sale or other disposition of stock, securities or
foreign currencies, or other income derived with respect to its business of
investing in such stock, securities or currencies ("Qualifying Income Test");
(b) derive in each taxable year less than 30% of its gross income from the sale
or other disposition of certain assets held less than three months, namely (1)
stocks or securities, (2) options, futures, or forward contracts (other than
those on foreign currencies), and (3) foreign currencies (or options, futures,
and forward contracts on foreign currencies) not directly related to the Fund's
principal business of investing in stock or securities; (c) diversify its
holdings so that, at the end of each quarter of the taxable year, (i) at least
50% of the market value of the Fund's assets is represented by cash, U.S.
Government securities, the securities of other regulated investment companies
and other securities, with such other securities of any one issuer limited for
the purposes of this calculation to an amount not greater than 5% of the value
of the Fund's total assets and 10% of the outstanding voting securities of such
issuer, and (ii) not more than 25% of the value of its total assets is invested
in the securities of any one issuer (other than U.S. Government securities or
the securities of other regulated investment companies); and (d) distribute at
least 90% of its investment company taxable income (which includes dividends,
interest and net short-term capital gains in excess of any net long-term capital
losses) each taxable year. The Treasury Department is authorized to promulgate
regulations under which gains from foreign currencies (and options, futures, and
forward contracts on foreign currency) would constitute qualifying income for
purposes of the Qualifying Income Test only if such gains are directly relating
to investing in securities. To date, such regulations have not been issued.
As a regulated investment company, a Fund generally will not be subject to
U.S. federal income tax on its investment company taxable income and net capital
gains (any net long-term capital gains in excess of the sum of net short-term
capital losses and capital loss carryovers from prior years) designated by the
Fund as capital gain dividends, if any, that it distributes to shareholders on a
timely basis. Each Fund intends to distribute to its shareholders, at least
annually, substantially all of its investment company taxable income and any net
capital gains. In addition, amounts not distributed by a Fund on a timely basis
in accordance with a calendar year distribution requirement are subject to a
nondeductible 4% excise tax. To avoid the tax, a Fund must distribute during
each calendar year an amount equal to the sum of (1) at least 98% of its
ordinary income (not taking into account any capital gains or losses) for the
calendar year, (2) at least 98% of its capital gains in excess of its capital
losses (and adjusted for certain ordinary losses) for the twelve month period
ending on October 31 of the calendar year, and (3) all ordinary income and
capital gains for previous years that were not distributed during such years. A
distribution will be treated as paid on December 31 of the calendar year if it
is declared by a Fund in October, November, or December of that year to
shareholders of record on a date in such a month and paid by the Fund during
January of the following year. Such distributions will be taxable to
shareholders (other than those not subject to federal income tax) in the
calendar year in which the distributions are declared, rather than the calendar
year in which the distributions are received. To avoid application of the excise
tax, each Fund intends to make its distributions in accordance with the calendar
year distribution requirement.
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DISTRIBUTIONS
Dividends paid out of a Fund's investment company taxable income will be
taxable to a U.S. shareholder as ordinary income. Distributions received by tax-
exempt shareholders will not be subject to federal income tax to the extent
permitted under the applicable tax exemption.
A portion of the dividends paid by the PIMCO StocksPLUS, Growth Stock, and
VersaSTYLE Equity Funds may qualify for the deduction for dividends received by
corporations. Dividends paid by the other Funds generally are not expected to
qualify for the deduction for dividends received by corporations, although
certain distributions from the PIMCO High Yield Fund may qualify. Distributions
of net capital gains, if any, designated as capital gain dividends, are taxable
as long-term capital gains, regardless of how long the shareholder has held a
Fund's shares and are not eligible for the dividends received deduction. Any
distributions that are not from a Fund's investment company taxable income or
net realized capital gains may be characterized as a return of capital to
shareholders or, in some cases, as capital gain. The tax treatment of dividends
and distributions will be the same whether a shareholder reinvests them in
additional shares or elects to receive them in cash.
SALES OF SHARES
Upon the disposition of shares of a Fund (whether by redemption, sale or
exchange), a shareholder will realize a gain or loss. Such gain or loss will be
capital gain or loss if the shares are capital assets in the shareholder's
hands, and will be long-term or short-term generally depending upon the
shareholder's holding period for the shares. Any loss realized on a disposition
will be disallowed to the extent the shares disposed of are replaced within a
period of 61 days beginning 30 days before and ending 30 days after the shares
are disposed of. In such a case, the basis of the shares acquired will be
adjusted to reflect the disallowed loss. Any loss realized by a shareholder on a
disposition of shares held by the shareholder for six months or less will be
treated as a long-term capital loss to the extent of any distributions of
capital gain dividends received by the shareholder with respect to such shares.
BACKUP WITHHOLDING
A Fund may be required to withhold 31% of all taxable distributions payable
to shareholders who fail to provide the Fund with their correct taxpayer
identification number or to make required certifications, or who have been
notified by the Internal Revenue Service that they are subject to backup
withholding. Corporate shareholders and certain other shareholders specified in
the Code generally are exempt from such backup withholding. Backup withholding
is not an additional tax. Any amounts withheld may be credited against the
shareholder's U.S. federal tax liability.
OPTIONS, FUTURES AND FORWARD CONTRACTS, AND SWAP AGREEMENTS
Some of the options, futures contracts, forward contracts, and swap
agreements used by the Funds may be "section 1256 contracts." Any gains or
losses on section 1256 contracts are generally considered 60% long-term and 40%
short-term capital gains or losses ("60/40") although certain foreign currency
gains and losses from such contracts may be treated as ordinary in character.
Also, section 1256 contracts held by a Fund at the end of each taxable year
(and, for purposes of the 4% excise tax, on certain other dates as prescribed
under the Code) are "marked to market" with the result that unrealized gains or
losses are treated as though they were realized and the resulting gain or loss
is treated as ordinary or 60/40 gain or loss.
Generally, the hedging transactions and certain other transactions in
options, futures and forward contracts undertaken by a Fund, may result in
"straddles" for U.S. federal income tax purposes. In some cases, the straddle
rules also could apply in connection with swap agreements. The straddle rules
may affect the character of gains (or losses) realized by a Fund. In addition,
losses realized by a Fund on positions that
41
<PAGE>
are part of a straddle may be deferred under the straddle rules, rather than
being taken into account in calculating the taxable income for the taxable year
in which such losses are realized. Because only a few regulations implementing
the straddle rules have been promulgated, the tax consequences of transactions
in options, futures, forward contracts, and swap agreements to a Fund are not
entirely clear. The transactions may increase the amount of short-term capital
gain realized by a Fund which is taxed as ordinary income when distributed to
shareholders.
A Fund may make one or more of the elections available under the Code which
are applicable to straddles. If a Fund makes any of the elections, the amount,
character and timing of the recognition of gains or losses from the affected
straddle positions will be determined under rules that vary according to the
election(s) made. The rules applicable under certain of the elections operate to
accelerate the recognition of gains or losses from the affected straddle
positions.
Because application of the straddle rules may affect the character of gains
or losses, defer losses and/or accelerate the recognition of gains or losses
from the affected straddle positions, the amount which must be distributed to
shareholders, and which will be taxed to shareholders as ordinary income or
long-term capital gain, may be increased or decreased substantially as compared
to a fund that did not engage in such hedging transactions.
Rules governing the tax aspects of swap agreements are in a developing
stage and are not entirely clear in certain respects. Accordingly, while the
Funds intend to account for such transactions in a manner they deem to be
appropriate, the Internal Revenue Service might not accept such treatment. If it
did not, the status of a Fund as a regulated investment company might be
affected. The Funds intend to monitor developments in this area. Certain
requirements that must be met under the Code in order for a Fund to qualify as a
regulated investment company may limit the extent to which a Fund will be able
to engage in swap agreements.
The 30% limit on gains from the disposition of certain options, futures,
forward contracts, and swap agreements held less than three months and the
qualifying income and diversification requirements applicable to a Fund's assets
may limit the extent to which a Fund will be able to engage in transactions in
options, futures contracts, forward contracts, and swap agreements.
SHORT SALES
Certain Funds may make short sales of securities. Short sales may increase
the amount of short-term capital gain realized by a Fund, which is taxed as
ordinary income when distributed to shareholders. Moreover, the 30% limit on
gains from the disposition of securities held less than three months may limit
the extent to which a Fund will be able to engage in short sales.
PASSIVE FOREIGN INVESTMENT COMPANIES
Certain Funds may invest in the stock of foreign corporations which may be
classified under the Code as passive foreign investment companies ("PFICs"). In
general, a foreign corporation is classified as a PFIC for a taxable year if at
least one-half of its assets constitute investment-type assets or 75% or more of
its gross income is investment-type income. If a Fund receives a so-called
"excess distribution" with respect to PFIC stock, the Fund itself may be subject
to tax on a portion of the excess distribution, whether or not the corresponding
income is distributed by the Fund to stockholders. In general, under the PFIC
rules, an excess distribution is treated as having been realized ratably over
the period during which the Fund held the PFIC stock. A Fund itself will be
subject to tax on the portion, if any, of an excess distribution that is so
allocated to prior taxable years and an interest factor will be added to the
tax, as if the tax had been payable
42
<PAGE>
in such prior taxable years. Certain distributions from a PFIC as well as gain
from the sale of PFIC stock are treated as excess distributions. Excess
distributions are characterized as ordinary income even though, absent
application of the PFIC rules, certain excess distributions might have been
classified as capital gain.
A Fund may be eligible to elect alternative tax treatment with respect to
PFIC stock. Under an election that currently is available in some circumstances,
a Fund generally would be required to include in its gross income its share of
the earnings of a PFIC on a current basis, regardless of whether distributions
are received from the PFIC in a given year. If this election were made, the
special rules, discussed above, relating to the taxation of excess
distributions, would not apply. In addition, another election may be available
that would involve marking to market a Fund's PFIC shares at the end of each
taxable year (and on certain other dates prescribed in the Code), with the
result that unrealized gains are treated as though they were realized. If this
election were made, tax at the Fund level under the PFIC rules would generally
be eliminated, but the Fund could, in limited circumstances, incur nondeductible
interest charges. A Fund's intention to qualify annually as a regulated
investment company may limit its elections with respect to PFIC shares.
Because the application of the PFIC rules may affect, among other things,
the character of gains, the amount of gain or loss and the timing of the
recognition of income with respect to PFIC shares, as well as subject a Fund
itself to tax on certain income from PFIC shares, the amount that must be
distributed to shareholders, and which will be taxed to shareholders as ordinary
income or long-term capital gain, may be increased or decreased substantially as
compared to a fund that did not invest in PFIC shares.
FOREIGN CURRENCY TRANSACTIONS
Under the Code, gains or losses attributable to fluctuations in exchange
rates which occur between the time a Fund accrues income or other receivables or
accrues expenses or other liabilities denominated in a foreign currency and the
time the Fund actually collects such receivables or pays such liabilities
generally are treated as ordinary income or loss. Similarly, on disposition of
debt securities denominated in a foreign currency and on disposition of certain
other instruments, gains or losses attributable to fluctuations in the value of
the foreign currency between the date of acquisition of the security or contract
and the date of disposition also are treated as ordinary gain or loss. These
gains and losses, referred to under the Code as "section 988" gains or losses,
may increase or decrease the amount of a Fund's investment company taxable
income to be distributed to its shareholders as ordinary income.
FOREIGN TAXATION
Income received by the Funds from sources within foreign countries may be
subject to withholding and other taxes imposed by such countries. Tax
conventions between certain countries and the U.S. may reduce or eliminate such
taxes. In addition, the Adviser intends to manage the Funds with the intention
of minimizing foreign taxation in cases where it is deemed prudent to do so. If
more than 50% of the value of the PIMCO Foreign Fund's, the International
Fund's, or the PIMCO Global Fund's total assets at the close of their taxable
year consists of securities of foreign corporations, such Fund will be eligible
to elect to "pass-through" to the Fund's shareholders the amount of foreign
income and similar taxes paid by the Fund. If this election is made, a
shareholder generally subject to tax will be required to include in gross income
(in addition to taxable dividends actually received) his pro rata share of the
foreign taxes paid by the Fund, and may be entitled either to deduct (as an
itemized deduction) his or her pro rata share of foreign taxes in computing his
taxable income or to use it (subject to limitations) as a foreign tax credit
against his or her U.S. federal income tax liability. No deduction for foreign
taxes may be claimed by a shareholder who does not itemize deductions. Each
shareholder will be notified within 60 days after the close of the Fund's
taxable year whether the foreign taxes paid by the Fund will "pass-through" for
that year.
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Generally, a credit for foreign taxes is subject to the limitation that it
may not exceed the shareholder's U.S. tax attributable to his or her total
foreign source taxable income. For this purpose, if the pass-through election is
made, the source of the PIMCO International Fund's, the PIMCO Global Fund's, or
the PIMCO Foreign Fund's income will flow through to shareholders of the Trust.
With respect to such Funds, gains from the sale of securities will be treated as
derived from U.S. sources and certain currency fluctuation gains, including
fluctuation gains from foreign currency-denominated debt securities, receivables
and payables will be treated as ordinary income derived from U.S. sources. The
limitation on the foreign tax credit is applied separately to foreign source
passive income, and to certain other types of income. Shareholders may be unable
to claim a credit for the full amount of their proportionate share of the
foreign taxes paid by the Fund. The foreign tax credit can be used to offset
only 90% of the revised alternative minimum tax imposed on corporations and
individuals and foreign taxes generally are not deductible in computing
alternative minimum taxable income.
ORIGINAL ISSUE DISCOUNT
Some of the debt securities (with a fixed maturity date of more than one
year from the date of issuance) that may be acquired by a Fund may be treated as
debt securities that are issued originally at a discount. Generally, the amount
of the original issue discount ("OID") is treated as interest income and is
included in income over the term of the debt security, even though payment of
that amount is not received until a later time, usually when the debt security
matures. A portion of the OID includable in income with respect to certain high-
yield corporate debt securities may be treated as a dividend for Federal income
tax purposes.
Some of the debt securities (with a fixed maturity date of more than one
year from the date of issuance) that may be acquired by a Fund in the secondary
market may be treated as having market discount. Generally, any gain recognized
on the disposition of, and any partial payment of principal on, a debt security
having market discount is treated as ordinary income to the extent the gain, or
principal payment, does not exceed the "accrued market discount" on such debt
security. Market discount generally accrues in equal daily installments. A Fund
may make one or more of the elections applicable to debt securities having
market discount, which could affect the character and timing of recognition of
income.
Some debt securities (with a fixed maturity date of one year or less from
the date of issuance) that may be acquired by a Fund may be treated as having
acquisition discount, or OID in the case of certain types of debt securities.
Generally, the Fund will be required to include the acquisition discount, or
OID, in income over the term of the debt security, even though payment of that
amount is not received until a later time, usually when the debt security
matures. The Fund may make one or more of the elections applicable to debt
securities having acquisition discount, or OID, which could affect the character
and timing of recognition of income.
A Fund generally will be required to distribute dividends to shareholders
representing discount on debt securities that is currently includable in income,
even though cash representing such income may not have been received by the
Fund. Cash to pay such dividends may be obtained from sales proceeds of
securities held by the Fund.
OTHER TAXATION
Distributions also may be subject to additional state, local and foreign
taxes, depending on each shareholder's particular situation. Under the laws of
various states, distributions of investment company taxable income generally are
taxable to shareholders even though all or a substantial portion of such
distributions may be derived from interest on certain Federal obligations which,
if the interest were received directly by a resident of such state, would be
exempt from such state's income tax ("qualifying Federal obligations"). However,
some states may exempt all or a portion of such distributions from income tax to
44
<PAGE>
the extent the shareholder is able to establish that the distribution is derived
from qualifying Federal obligations. Moreover, for state income tax purposes,
interest on some Federal obligations generally is not exempt from taxation,
whether received directly by a shareholder or through distributions of
investment company taxable income (for example, interest on FNMA Certificates
and GNMA Certificates). Each Fund will provide information annually to
shareholders indicating the amount and percentage of a Fund's dividend
distribution which is attributable to interest on Federal obligations, and will
indicate to the extent possible from what types of Federal obligations such
dividends are derived. Shareholders are advised to consult their own tax
advisers with respect to the particular tax consequences to them of an
investment in a Fund.
OTHER INFORMATION
CAPITALIZATION
The Trust is a Massachusetts business trust established under a Declaration
of Trust dated February 19, 1987. The capitalization of the Trust consists
solely of an unlimited number of shares of beneficial interest with a par value
of $0.0001 each. The Board of Trustees may establish additional series (with
different investment objectives and fundamental policies) at any time in the
future. Establishment and offering of additional series will not alter the
rights of the Trust's shareholders. When issued, shares are fully paid, non-
assessable, redeemable and freely transferable. Shares do not have preemptive
rights or subscription rights. In liquidation of a Fund, each shareholder is
entitled to receive his pro rata share of the net assets of that Fund.
Expenses incurred by the Trust in connection with its organization and the
public offering of its shares aggregated approximately $75,971. These costs have
been deferred and amortized on a straight line basis over a period not less than
five years. Expenses incurred in the organization of subsequently offered Funds
are charged to those Funds and are being amortized on a straight line basis over
a period not less than five years.
PERFORMANCE INFORMATION
The Trust may, from time to time, include the yield and effective yield of
the PIMCO Money Market Fund, and the yield and total return for each class of
shares of all of the Funds, computed in accordance with SEC-prescribed formulas,
in advertisements or reports to shareholders or prospective investors. The Funds
also may compute current distribution rates and use this information in their
prospectuses and statement of additional information, in reports to current
shareholders, or in certain types of sales literature provided to prospective
investors.
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Current yield for the PIMCO Money Market Fund will be based on the change
in the value of hypothetical investment (exclusive of capital changes) over a
particular 7-day period less a pro-rata share of Fund expenses accrued over that
period (the "base period"), and stated as a percentage of the investment at the
start of the base period (the "base period return"). The base period return is
then annualized by multiplying by 365/7, with the resulting yield figure carried
to at least the nearest hundredth of one percent. "Effective yield" for the
PIMCO Money Market Fund assumes that all dividends received during an annual
period have been reinvested. Calculation of "effective yield" begins with the
same "base period return" used in the calculation of yield, which is then
annualized to reflect weekly compounding pursuant to the following formula:
Effective Yield = [(Base Period Return +1) 365/7 ] - 1
Quotations of yield for the remaining Funds will be based on all investment
income per share (as defined by the SEC) during a particular 30-day (or one
month) period (including dividends and interest), less expenses accrued during
the period ("net investment income"), and are computed by dividing net
investment income by the maximum offering price per share on the last day of the
period, according to the following formula:
YIELD = 2[(a - b + 1)/6/ - 1]
-----
cd
where a = dividends and interest earned during the period,
b = expenses accrued for the period (net of reimbursements),
c = the average daily number of shares outstanding during the
period that entitled to receive dividends, and
d = the maximum offering price per share on the last day of the
period.
Quotations of average annual total return for a Fund or class will be
expressed in terms of the average annual compounded rate of return of a
hypothetical investment in the Fund or class over periods of one, five and ten
years (up to the life of the Fund), calculated pursuant to the following
formula: P (1 + T)n = ERV (where P = a hypothetical initial payment of $1,000, T
= the average annual total return, n = the number of years, and ERV = the ending
redeemable value of a hypothetical $1,000 payment made at the beginning of the
period). All total return figures reflect the deduction of a proportional share
of Fund or class expenses on an annual basis, and assume that all dividends and
distributions are reinvested when paid. The Funds also may, with respect to
certain periods of less than one year, provide total return information for that
period that is unannualized. Any such information would be accomplished by
standardized total return information.
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For the one month period ended September 30, 1995, the yield of the Funds
(Institutional Class unless otherwise noted) was as follows (all numbers are
annualized):
<TABLE>
<CAPTION>
YIELD FOR PERIOD
FUND ENDED SEPTEMBER 30, 1995
---- ------------------------
<S> <C>
Money Market (Institutional Class)* N/A
Money Market (Administrative Class)* N/A
Short-Term 6.42%
Low Duration (Institutional Class ) 6.72%
Low Duration (Administrative Class) 6.48%
Low Duration II 6.34%
High Yield (Institutional Class) 9.11%
High Yield (Administrative Class) 8.84%
Total Return (Institutional Class) 6.59%
Total Return (Administrative Class) 6.34%
Total Return II (Institutional Class)* N/A
Total Return II (Administrative Class)* N/A
Total Return III 6.45%
Long-Term U.S. Government 5.95%
Foreign 6.59%
Global 5.88%
International 6.25%
StocksPLUS 6.96%
</TABLE>
*The yield of the PIMCO Money Market Fund for the one month period ended
October 31, 1995 was 5.30% for the Institutional Class and 5.05% for the
Administrative Class. The yield of the PIMCO Total Return Fund II for the one
month period ended October 31, 1995 was 6.45% for the Institutional Class and
6.20% for the Administrative Class. See "The reorganization" for additional
information.
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<PAGE>
For the period ended September 30, 1995, the total return of the Funds
(Institutional Class, unless otherwise noted) was as follows:
<TABLE>
<CAPTION>
TOTAL RETURN FOR PERIOD
ENDED SEPTEMBER 30, 1995
------------------------
SINCE
INCEPTION
FUND 1 YEAR 5 YEARS (ANNUALIZED)
- ---- ------ ------- ------------
<S> <C> <C> <C>
Money Market (Institutional Class)* N/A N/A N/A
Money Market (Administrative Class)* N/A N/A N/A
Short-Term 7.35% 5.34% 6.43%(1)
Low Duration (Institutional Class) 8.49% 8.18% 8.47%(2)
Low Duration (Administrative Class) N/A N/A 8.26%(3)
Low Duration II 9.21% N/A 6.27%(4)
High Yield (Institutional Class) 16.55% N/A 13.05%(5)
High Yield (Administrative Class) N/A N/A 14.86%(6)
Total Return (Institutional Class) 13.38% 11.32% 10.11%(2)
Total Return (Administrative Class) 13.11% N/A 11.16%(7)
Total Return II (Institutional Class)* N/A N/A N/A
Total Return II (Administrative Class)* N/A N/A N/A
Total Return III 13.33% N/A 10.14%(8)
Long-Term U.S. Government 23.74% N/A 14.44%(9)
Foreign 14.41% N/A 7.86%(10)
Global 15.73% N/A 9.01%(11)
International 13.35% 8.26% 7.48%(12)
StocksPLUS 31.43% N/A 17.75%(13)
Growth Stock 25.50% 15.93% 10.08%(14)
VersaSTYLE Equity 20.18% N/A 22.97%(15)
</TABLE>
1 From 10/07/87 (commencement of operations)
2 From 05/11/87 (commencement of operations)
3 Not Annualized. From 01/03/95 (commencement of operations)
4 From 11/01/91 (commencement of operations)
5 From 12/16/92 (commencement of operations)
6 Not Annualized. From 01/16/95 (commencement of operations)
7 From 09/07/94 (commencement of operations)
8 From 05/01/91 (commencement of operations)
9 From 07/01/91 (commencement of operations)
10 From 12/03/92 (commencement of operations)
11 From 11/23/93 (commencement of operations)
12 From 12/13/89 (commencement of operations)
13 From 05/14/93 (commencement of operations)
14 From 06/29/87 (commencement of operations)
15 From 09/30/94 (commencement of operations)
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*The total return of the PIMCO Money Market Fund Institutional Class for
the one year period ended October 31, 1995 was 5.67%, and was 4.21% since
inception (March 1, 1991). The total return for the PIMCO Money Market Fund
Administrative Class was 4.21% since inception (January 24, 1995). The total
return of the PIMCO Total Return Fund II Institutional Class for the one year
period ended October 31, 1995 was 15.96%, and was 8.51% since inception
(December 30, 1991). The total return of the PIMCO Total Return Fund II
Administrative Class was 15.92% since inception (November 30, 1994). See "The
Reorganization" for additional information.
Current distribution information for a Fund will be based on distributions
for a specified period (i.e., total dividends from net investment income),
divided by Fund net asset value per share on the last day of the period and
annualized according to the following formula:
DIVIDEND YIELD = (((a/b)*365)/c)
where a = actual dividends distributed for the calendar month in question,
b = number of days of dividend declaration in the month in
question, and
c = net asset value (NAV) calculated on the last business day of
the month in question.
The rate of current distributions does not reflect deductions for
unrealized losses from transactions in derivative instruments such as options
and futures, which may reduce total return. Current distribution rates differ
from standardized yield rates in that they represent what a Fund has declared
and paid to shareholders as of the end of a specified period rather than the
Fund's actual net investment income for that same period. Distribution rates
will exclude net realized short-term capital gains. The rate of current
distributions for a Fund should be evaluated in light of these differences and
in light of the Fund's total return figures, which will always accompany any
calculation of the rate of current distributions.
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<PAGE>
For the month ended September 30, 1995, the current distribution rates
(annualized) for the Funds (Institutional Class unless otherwise noted) were as
follows:
<TABLE>
<CAPTION>
FUND DISTRIBUTION RATE
---- -----------------
<S> <C>
Money Market Fund (Institutional Class)* N/A
Money Market Fund (Administrative Class)* N/A
Short-Term Fund 6.47%
Low Duration Fund (Institutional Class) 6.99%
Low Duration Fund (Administrative Class) 6.51%
Low Duration Fund II 6.64%
High Yield Fund (Institutional Class) 8.86%
High Yield Fund (Administrative Class) 8.61%
Total Return Fund (Institutional Class) 6.78%
Total Return Fund (Administrative Class) 6.53%
Total Return Fund II (Institutional Class)* N/A
Total Return Fund II (Administrative Class)* N/A
Total Return Fund III 6.74%
Long-Term U.S. Government Fund 6.51%
Foreign Fund 6.14%
Global Fund 5.50%
International Fund N/A
StocksPLUS Fund N/A
Growth Stock Fund N/A
VersaSTYLE Equity Fund N/A
</TABLE>
*For the one month period ended October 31, 1995, the current distribution
rate for the PIMCO Money Market Fund was 5.76% for the Institutional Class and
5.49% for the Administrative Class. For the one month period ended October 31,
1995, the current distribution rate for the PIMCO Total Return Fund II was 7.01%
for the Institutional Class and 6.73% for the Administrative Class. See "The
Reorganization" for additional information.
Performance information for a Fund may also be compared to various
unmanaged indexes, such as the Standard & Poor's 500 Stock Index, the S&P/BARRA
Growth Index, the Dow Jones Industrial Average, the Lehman Brothers Aggregate
Bond Index, the Merrill Lynch 1 to 3 Year Treasury Index, the Donoghue Money
Market Institutional Averages, indexes prepared by Lipper Analytical Services,
the Salomon Brothers World Government Benchmark Bond Index and the Salomon
Brothers Non-U.S. Dollar Government Bond Index. Unmanaged indexes (i.e., other
than Lipper) generally do not reflect deductions for administrative and
management costs and expenses. PIMCO may report to shareholders or to the public
in advertisements concerning the performance of PIMCO as adviser to clients
other than the Trust, or on the comparative performance or standing of PIMCO in
relation to other money managers. PIMCO also may provide current or prospective
private account clients, in connection with standardized performance information
for the Funds, performance information for the Funds gross of fees and expenses
for the purpose of assisting such clients in evaluating similar performance
information provided by other investment managers or institutions. Comparative
information may be compiled or provided by independent ratings services or by
news organizations. Any performance information, whether related to the Funds or
to the Adviser, should be considered in light of the Funds investment objectives
and policies, characteristics and quality of the Funds, and the market
conditions during the time period indicated, and should not be considered to be
representative of what may be achieved in the future.
50
<PAGE>
VOTING RIGHTS
Under the Declaration of Trust, the Trust is not required to hold annual
meetings of Trust shareholders to elect Trustees or for other purposes. It is
not anticipated that the Trust will hold shareholders' meetings unless required
by law or the Declaration of Trust. In this regard, the Trust will be required
to hold a meeting to elect Trustees to fill any existing vacancies on the Board
if, at any time, fewer than a majority of the Trustees have been elected by the
shareholders of the Trust. In addition, the Declaration of Trust provides that
the holders of not less than two-thirds of the outstanding shares of the Trust
may remove a person serving as Trustee either by declaration in writing or at a
meeting called for such purpose. The Trustees are required to call a meeting for
the purpose of considering the removal of a person serving as Trustee if
requested in writing to do so by the holders of not less than ten percent of the
outstanding shares of the Trust. In the event that such a request was made, the
Trust has represented that it would assist with any necessary shareholder
communications. Shareholders of a class of shares have different voting rights
with respect to matters that affect only that class.
The Trust's shares do not have cumulative voting rights, so that the holder
of more than 50% of the outstanding shares may elect the entire Board of
Trustees, in which case the holders of the remaining shares would not be able to
elect any Trustees of January 3, 1996, the following persons owned of record or
beneficially 5% or more of the shares of the following Funds:
<TABLE>
<CAPTION>
SHARES PERCENTAGE OF
BENEFICIALLY OUTSTANDING
OWNED SHARES OWNED
----- -------------
<S> <C> <C>
MONEY MARKET FUND
PIMCO Advisors L.P. 4,281,572 25.30%*
800 Newport Center Drive
Newport Beach, CA 92660
St. Johns Hospital 9,225,900 54.52%*
1328 22nd Street
Santa Monica, CA 90404
SHORT-TERM FUND
Boy Scouts of America, LA 887,697 9.52%
2333 Scout Way
Los Angeles, CA 90026
Charles Schwab & Co., Inc.** 872,533 9.36%
101 Montgomery Street
San Francisco, CA 94104
Hawaii Carpenters Health & Welfare 879,719 9.43%
615 Pilkoi Street
Honolulu, HI 96814
Denison University 551,496 5.91%
P.O. Box F
Granville, OH 43023
</TABLE>
51
<PAGE>
<TABLE>
<CAPTION>
SHARES PERCENTAGE OF
BENEFICIALLY OUTSTANDING
OWNED SHARES OWNED
----- -------------
<S> <C> <C>
Dillon Companies 1,128,329 12.10%
P.O. Box 1266
Hutchinson, KS 67504
LOW DURATION FUND
Charles Schwab & Co., Inc.** 23,982,150 9.67%
101 Montgomery Street
San Francisco, CA 94104
LOW DURATION FUND II
Health Cleveland 2,351,806 10.39%
18101 Lorain Avenue
Cleveland, OH 44111
Sprint 2,960,203 13.08%
c/o FMTC
82 Devonshire Street
Boston, MA 02109
A.M. Castle 1,669,590 7.38%
3400 North Wolf Road
Franklin Park, IL 60131
Salt River Project 1,992,371 8.80%
P.O. Box 52025
Phoenix, AZ 85072
Houston Carpenters 1,549,139 6.85%
4600 Gulf Freeway
Houston, TX 77023
Moses H. Cone Memorial Hospital 1,235,910 5.46%
1200 North Elm Street
Greensboro, NC 27401
University of Illinois 1,310,385 5.79%
1305 West Green Street
Urbana, IL 61801
Washington Teamsters 1,249,588 5.52%
2323 Eastlake Avenue, East
Seattle, WA 98102
HIGH YIELD FUND
Charles Schwab & Co., Inc. ** 8,033,834 17.92%
101 Montgomery Street
San Francisco, CA 94104
</TABLE>
52
<PAGE>
<TABLE>
<CAPTION>
SHARES PERCENTAGE OF
BENEFICIALLY OUTSTANDING
OWNED SHARES OWNED
----- -------------
<S> <C> <C>
Hewlett Packard Company 2,888,839 6.44%
3000 Hanover Street
Palo Alto, CA 94304
3M Company 2,822,529 6.30%
3M Center Building 224-5S-21
St. Paul, MN 55144
AT&T 1,950,970 4.35%
1 Oak Way
Berkeley Heights, NJ 07922
TOTAL RETURN FUND
Charles Schwab & Co., Inc.** 53,656,581 5.65%
101 Montgomery Street
San Francisco, CA 94104
TOTAL RETURN FUND II
Arco 2,616,283 5.65%
c/o State Street Bank
One Enterprise Drive
North Quincy, MA 02171
Pacific Mutual Life Insurance Company 28,729,103 62.05%*
700 Newport Center Drive
Newport Beach, CA 92660
TOTAL RETURN FUND III
Archdiocese of Los Angeles 7,017,440 49.44%*
1531 West 9th Street
Los Angeles, CA 90015
Holy Cross 1,895,069 13.35%
St. Mary's Lourdes Hall
Notre Dame, IN 46556
Catholic Diocese of Wilmington 1,491,753 10.51%
P.O. Box 2030
Wilmington, DE 19899
Society of Mount Carmel 1,187,926 8.37%
1317 Frontage Road
Darien, IL 60561
</TABLE>
53
<PAGE>
<TABLE>
<CAPTION>
SHARES PERCENTAGE OF
BENEFICIALLY OUTSTANDING
OWNED SHARES OWNED
----- -------------
<S> <C> <C>
LONG-TERM U.S. GOVERNMENT FUND
FTC & Co.** 192,397 5.38%
P.O. Box 173736
Denver, CO 80217
Orchestral Association 728,189 20.35%
220 South Michigan Avenue
Chicago, IL 60604
Firemans Fund Insurance 853,534 23.85%
One Wall St., 8th Floor
New York, NY 10286
Charles Schwab & Co. Inc. ** 556,113 15.54%
101 Montgomery Street
San Francisco, CA 94104
The J. Paul Getty Trust 215,912 6.03%
401 Wilshire Blvd., Suite 900
Santa Monica, CA 90401
FOREIGN FUND
Southern California Edison 12,720,708 52.72%*
2244 Walnut Grove Avenue
Rosemead, CA 91770
Charles Schwab & Co., Inc.** 6,463,123 26.78%*
101 Montgomery Street
San Francisco, CA 94104
Donaldson, Lufkin & Jennrette** 2,261,777 9.37%
1 Pershing Plaza, P.O. Box 2052
Jersey City, NJ 07399
GLOBAL FUND
Georgetown University 2,427,851 22.73%
3600 M Street, N.W.
Washington, DC 20007
Walker Art Center 2,640,434 24.72%
Vineland Place
Minneapolis, MN 55403
</TABLE>
54
<PAGE>
<TABLE>
<CAPTION>
SHARES PERCENTAGE OF
BENEFICIALLY OUTSTANDING
OWNED SHARES OWNED
----- -------------
<S> <C> <C>
Charles Schwab & Co., Inc. ** 1,612,750 15.10%
101 Montgomery Street
San Francisco, CA 94104
Sisters of Mercy 799,077 7.48%
2039 North Greyer Road
St. Louis, MO 63131
Worchester Polytechnic 803,666 7.52%
100 Institute Road
Worchester, MA 01609
Drury College 657,483 6.16%
900 North Benton
Springfield, MO 65802
INTERNATIONAL FUND
State University Retirement 20,071,578 6.68%
P.O. Box 2710, Station A
Champaign, IL 61825
STOCKSPLUS FUND
Southwestern Medical Foundation 544,959 5.93%
c/o NationsBank
P.O. Box 832222, 492-16
Dallas, TX 75283
Ziff Davis Publishing 592,947 6.46%
c/o Bank of New York
One Wall Street
New York, NY 10286
Ziff Communications 1,029,001 11.20%
c/o Bank of New York
One Wall Street, 7th Floor
New York, NY 10286
Iowa Methodist 1,132,185 12.33%
1200 Pleasant Street
Des Moines, IA 50309
Hugh J. Anderson Foundation 624,008 6.79%
287 Central Avenue
Bayport, MN 55003
</TABLE>
55
<PAGE>
<TABLE>
<CAPTION>
SHARES PERCENTAGE OF
BENEFICIALLY OUTSTANDING
OWNED SHARES OWNED
----- -------------
<S> <C> <C>
Iowa Lutheran Medical Center 497,323 5.41%
1200 Pleasent Street
Des Moines, LA 50309
USAir Shuttle 460,184 5.01%
P.O. Box 616, LaGuardia Airport
Flushing, NY 11371
Sisters of St. Benedict 1,834,983 19.98%
c/o Norwest Bank
Sixth & Marquette Avenue
Minneapolis, MN 55479
GROWTH STOCK FUND
California Hardware 384,096 57.64%*
c/o Pacific Mutual
700 Newport Center Drive
Newport Beach, CA 92660
Crisp County Power Commission 94,036 14.11%
201 South 7th Street
Cordele, GA 31015-1218
Source One Mortgage 111,000 16.66%
27555 Farmington Road
Farmington Hills, MI 48334
VERSASTYLE EQUITY FUND
Pacific Mutual Life Insurance Company 551,542 99.99%*
700 Newport Center Drive
Newport Beach, CA 92660
</TABLE>
*Entity owned 25% or more of the outstanding shares of beneficial interest
of the Fund, and therefore may be presumed to "control" the Fund, as that term
is defined in the 1940 Act.
**Shares are held only as nominee.
As of January 3, 1996, the Trustees and Officers of the Trust, as a group,
owned .005%, .039%, .165%, .098%, .103% and 1.704% of the outstanding shares of
the PIMCO Low Duration, High Yield, StocksPLUS, Total Return, Foreign, and
Global Funds, respectively.
56
<PAGE>
CODE OF ETHICS
The Trust and PIMCO have each adopted a Code of Ethics governing personal
trading activities of all Trustees and officers of the Trust, and Directors,
officers and employees of PIMCO who, in connection with their regular functions,
play a role in the recommendation of any purchase or sale of a security by the
Trust or obtain information pertaining to such purchase or sale or who have the
power to influence the management or policies of the Trust or PIMCO. Such
persons are required to preclear certain security transactions with PIMCO's
Compliance Officer or his designee and to report certain transactions on a
regular basis. PIMCO has developed procedures for administration of the Codes.
CUSTODIAN, TRANSFER AGENT AND DIVIDEND DISBURSING AGENT
Investors Fiduciary Trust Company ("IFTC") serves as custodian, transfer
agent and dividend disbursing agent for assets of all Funds.
Pursuant to rules adopted under the 1940 Act, the Trust may maintain
foreign securities and cash in the custody of certain eligible foreign banks and
securities depositories. Selection of these foreign custodial institutions is
made by the Board of Trustees following a consideration of a number of factors,
including (but not limited to) the reliability and financial stability of the
institution; the ability of the institution to perform capably custodial
services for the Trust; the reputation of the institution in its national
market; the political and economic stability of the country in which the
institution is located; and further risks of potential nationalization or
expropriation of Trust assets. The Board of Trustees reviews annually the
continuance of foreign custodial arrangements for the Trust. No assurance can
be given that the Trustees' appraisal of the risks in connection with foreign
custodial arrangements will always be correct or that expropriation,
nationalization, freezes, or confiscation of assets that would impact assets of
the Funds will not occur, and shareholders bear the risk of losses arising from
these or other events.
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP, 1055 Broadway, Kansas City, MO 64105, serves as
independent public accountants for all Funds. Price Waterhouse LLP provides
audit services, tax return preparation and assistance and consultation in
connection with review of Securities and Exchange Commission filings. Prior to
November 1, 1995, Deloitte & Touche LLP served as independent accountants for
the PIMCO Money Market Fund and PIMCO Total Return Fund II. See "The
Reorganization" for additional information.
COUNSEL
Dechert Price & Rhoads, 1500 K Street, N.W., Washington, D.C. 20005, passes
upon certain legal matters in connection with the shares offered by the Trust,
and also act as counsel to the Trust.
REGISTRATION STATEMENT
This Statement of Additional Information and the Prospectus do not contain
all of the information included in the Trust's registration statement filed with
the SEC under the 1933 Act with respect to the securities offered hereby,
certain portions of which have been omitted pursuant to the rules and
regulations of the SEC. The registration statement, including the exhibits
filed therewith, may be examined at the offices of the SEC in Washington, D.C.
Statements contained herein and in the Prospectus as to the contents of any
contract or other documents referred to are not necessarily complete, and, in
each instance, reference is made to the copy of such contract or other documents
filed as an exhibit to the registration statement, each such statement being
qualified in all respects by such reference.
57
<PAGE>
FINANCIAL STATEMENTS
Financial statements for the Trust, for all series except the PIMCO Money
Market Fund and PIMCO Total Return Fund II, as of March 31, 1995, for its fiscal
year then ended, including notes thereto, and the reports of Price Waterhouse
LLP thereon, dated May 12, 1995 are incorporated by reference from the Trust's
1995 Annual Report. Financial statements for all Funds except the PIMCO Money
Market Fund and PIMCO Total Return Fund II as of September 30, 1995, including
the notes thereto, are incorporated by reference from the 1995 Semi-Annual
Report. Financial statements for the PIMCO Money Market Fund and PIMCO Total
Return Fund II (prior to November 1, 1995, Money Market Fund and PIMCO Managed
Bond and Income Fund, two series of the PIMCO Advisors Institutional Funds) as
of October 31, 1995, for their fiscal year then ended, including the related
notes thereto, and the report of Deloitte & Touche LLP on the financial
statements of PIMCO Advisors Institutional Funds as of and for its fiscal year
then ended, dated December 15, 1995, are incorporated by reference from the 1995
Annual Report of PIMCO Advisors Institutional Funds. A copy of the Annual
Reports delivered with this Statement of Additional Information should be
retained for future reference.
58
<PAGE>
PIMCO FUNDS ANNUAL REPORT MARCH 31, 1995
PIMCO
- --------------------------------------------------------------------------------
Stocks PLUS
High Yield
TOTAL
RETURN
Low Duration II
SHORT-TERM
- --------------------------------------------------------------------------------
<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 $60 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
$75 billion. Widely recognized for providing consistent performance and high-
quality client service, the six affiliated firms are:
Pacific Investment Management Company/Newport Beach, California
Columbus Circle Investors/Stamford, Connecticut
Cadence Capital Management/Boston, Massachusetts
NFJ Investment Group/Dallas, Texas
Parametric Portfolio Associates/Seattle, Washington
Blairlogie Capital Management/Edinburgh, Scotland
Units of PIMCO Advisors L.P. trade on the New York Stock Exchange under the
ticker symbol "PA."
CONTENTS
Chairman's Message 1
About the PIMCO Funds 2
Portfolio Manager Interview 3
Investment Performance 5
Statement of Assets and Liabilities 10
Statement of Operations 12
Statement of Changes in Net Assets 14
Financial Highlights 18
Schedules of Investments
Total Return Fund 22
Total Return Fund III 32
Low Duration Fund 34
Low Duration Fund II 41
Short-Term Fund 43
Long-Term U.S.
Government Fund 45
Foreign Fund 47
Global Fund 50
High Yield Fund 52
Growth Stock Fund 54
StocksPLUS Fund 56
Notes to Financial Statements 58
<PAGE>
CHAIRMAN'S MESSAGE
Dear Client:
Having hunkered down during last year's tough investment climate, patient
investors were rewarded during the first quarter of 1995 with sharp increases
in stock and bond prices. The market rebound offset past declines to cap off
the PIMCO Funds' March 31st fiscal year-end with positive returns overall. An
analysis of the financial markets and PIMCO Funds performance, including an
interview with PIMCO portfolio manager Bill Gross, appears on the next
several pages.
This past year has been eventful not only because of financial market
activity, but also because of the following significant developments:
[ ] The PIMCO Funds experienced continued strong growth, surpassing the
$10 billion asset mark.
[ ] The PIMCO Funds overall achieved good relative investment returns and, as
detailed later in this report, six Funds received top honors from Lipper
Analytical and Morningstar, two leading mutual fund tracking organizations.
[ ] The Funds' Trustees approved a new class of shares, the "Administrative
Class," which is offered through financial intermediaries, such as
retirement plan administrators and brokerage firms, that receive a fee for
the additional services they provide to Administrative Class shareholders
(the "Institutional Class" continues to be offered directly to investors
without any sales charge, 12b-1 or other service fee).
[ ] With the objective of insuring our ability to continue to provide a high
level of service to our existing clients, the minimum initial investment
required to establish a shareholder account directly with the PIMCO Funds
was increased from $500,000 to $1,000,000. This increase will help limit the
number of future accounts maintained by the Funds.
[ ] Pacific Investment Management Company, the PIMCO Funds' advisor and
administrator, completed its consolidation with four affiliated investment
managers and Thomson Advisory Group L.P. to form "PIMCO Advisors L.P." With
combined assets under management currently in excess of $75 billion, PIMCO
Advisors L.P. is one of the nation's largest investment advisory firms.
Thank you for your investment in the PIMCO Funds. As always, please feel free to
call us at 1-800-927-4648 should you have any questions or if we may be of any
service.
Sincerely,
/s/ Brent R. Harris
BRENT R. HARRIS
Chairman of the Board
April 27, 1995
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 Fund 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 covered in this report. To receive additional information about the Funds,
including a prospectus, please call 1-800-927-4648.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
Fund Duration Credit Quality Primary Investments
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Total Return 3-6 years B to Aaa; max 10% Intermediate maturity fixed income
below Baa securities
- ----------------------------------------------------------------------------------------------------------
Total Return III 3-6 years B to Aaa; max 10% Same as Total Return Fund, with
below Baa prohibitions on firms engaged in
socially sensitive practices
- ----------------------------------------------------------------------------------------------------------
Low Duration 1-3 years B to Aaa; max 10% Short and intermediate maturity fixed
below Baa income securities
- ----------------------------------------------------------------------------------------------------------
Low Duration II 1-3 years A to Aaa Same as Low Duration Fund, with
quality and foreign issuer restrictions
- ----------------------------------------------------------------------------------------------------------
Short-Term 0-1 year B to Aaa; max 10% Money market instruments and short
below Baa maturity fixed income securities
- ----------------------------------------------------------------------------------------------------------
Long-Term U.S.
Government min 8 years A to Aaa Long-term maturity fixed income
securities
- ----------------------------------------------------------------------------------------------------------
Foreign 3-6 years B to Aaa; max 10% Intermediate maturity foreign fixed
below Baa income securities
- ----------------------------------------------------------------------------------------------------------
Global 3-8 years B to Aaa; max 10% Intermediate maturity U.S. and foreign
below Baa fixed income securities
- ----------------------------------------------------------------------------------------------------------
High Yield 2-6 years B to Aaa; min 65% High yield fixed income securities
below Baa ("junk bonds")
- ----------------------------------------------------------------------------------------------------------
Growth Stock n/a n/a Common stocks believed to have above-
market appreciation potential over full
market cycle
- ----------------------------------------------------------------------------------------------------------
StocksPLUS 0-1 year B to Aaa; max 10% S&P 500 stock index derivatives backed
below Baa by a portfolio of short-term fixed income
securities
- ----------------------------------------------------------------------------------------------------------
</TABLE>
2
<PAGE>
PORTFOLIO MANAGER INTERVIEW
[PHOTO APPEARS HERE]
WILLIAM H. GROSS
Managing Director
Managing the PIMCO Funds' investment portfolios requires a diverse group of
talented investment professionals. PIMCO's fixed income management team is
comprised of 10 portfolio managers and 7 analysts, and its equity team is
comprised of 2 portfolio managers and 1 analyst.
William H. Gross is a founding Managing Director of PIMCO and is the senior
member of our fixed income portfolio management group. Bill is responsible for
the management of the PIMCO Total Return and Low Duration Funds, and we recently
asked him the following questions:
How would you characterize your fixed income management philosophy?
Our fixed income philosophy starts with a top-down approach based on a long-term
secular view of economic and financial events. We manage our portfolios with a
three- to five-year outlook in mind that we forge annually at what we call our
"Secular Forum." Sticking to this system has produced successful results, first
because it provides the discipline to help us avoid psychological whipsaws as
new events unfold, secondly because it gives us a good framework for interest
rate management, and finally because it avoids a lot of unnecessary transaction
costs.
We also employ a shorter-term focus through our "Economics Forum", which we hold
on a quarterly basis to fine-tune our forecasts. On a day-to-day basis, the
selection of securities is in the hands of portfolio managers. In selecting
securities among the various sectors of the bond market, we utilize a high
degree of quantitative analysis, based to a large extent on computer programs
that have been developed internally.
So that's the top-down process -- the long-term secular outlook, the quarterly
forum adjustments, and then the daily selection of securities based upon
quantitative techniques and analysis.
What caused interest rates to increase so much in 1994, and how did this impact
the PIMCO Funds?
Last year was the worst bear market for bonds in over 50 years, and it came
about as a result of a confluence of events. It just so happened that at the
start of 1994, rates were exceedingly low: Fed funds were at 3% and long bonds
were around 6%. Then the Federal Reserve Bank began to raise interest rates in
order to reign in the economy. Economic growth was fairly strong and getting
stronger throughout 1994 and so the Fed raised rates by 300 basis points between
February and December. That action, in combination with fears of higher
inflation based upon the stronger economy, all produced a tremendous bear market
in bonds for 1994.
As would be expected, the PIMCO Funds were adversely affected by this market
with some negative returns during the calendar year. Still, we managed to stay
even with market averages, keeping our heads above water and looking for the
point in time when yields would come back down and prices would go up. And so
far prices have gone up in 1995 -- we have generally recouped 1994's losses and
have turned them into fairly strong gains as of the PIMCO Funds' March 31st
fiscal year-end. We expect to see continuing progress as we move into this new
fiscal year.
Which investment strategies worked well for the PIMCO Funds this past fiscal
year? Which strategies didn't work out as expected?
As interest rates rose dramatically in 1994, the rates that rose the most were
short and intermediate rates. It paid to avoid those particular areas of the
yield curve and to have
3
<PAGE>
PORTFOLIO MANAGER INTERVIEW (Cont.)
what we call a "barbell strategy", or a combination of a majority of cash and
long-term bonds, with very few investments in the middle of the curve. For
almost all of 1994 we had that particular strategy in place and the PIMCO Funds
benefitted substantially.
The strategy that didn't work out as planned was having our durations or average
maturities slightly greater than market averages throughout much of the year.
This caused our bond prices to fall further when interest rates rose than they
otherwise would have. So, the barbell strategy we employed saved some money but,
in retrospect, we could have saved more with shorter average durations.
There has been much recent discussion in the press about the use of derivatives.
How and why does PIMCO make use of derivatives in managing the PIMCO Funds?
Like anything else I suppose, there are both good and bad derivatives. Certain
derivatives can be dangerous because they change their character rapidly as
interest rates change. Bonds go up and down, and derivatives go up and down. The
point is that some derivatives, particularly those involving leverage, can go up
and down more than a typical bond, and this can get you into in big trouble in a
year like 1994.
Pacific Investment Management Company has used derivatives for many years now,
and we employ them in the PIMCO Funds. The overwhelming majority of derivatives
that we use in the PIMCO Funds are financial futures on Treasuries, which are
very conservative in terms of their behavior. Their prices don't gyrate wildly
when interest rates change, since they mimic the physical cash market for the
Treasury bonds that they represent. Financial futures have not been the culprit
in the market over the past several years, and they certainly haven't garnered
any headlines. In fact, they have added substantial value for the PIMCO Funds,
and we therefore plan to continue to use derivatives on a conservative,
unlevered basis.
What future trends do you think will influence fixed income investments?
The future as we see it is a narrow band for interest rate movements, in
contrast to the volatility we have seen over the past 10 to 20 years. Our sense
is that long-term Treasury rates will be locked within a range of 6-8% for some
time to come, and because of that, an entirely different style of money
management is required relative to the past. The emphasis in the future will be
more on yield, as opposed to trying to capture price movements. Therefore, an
investment will be made more for its ability to produce relatively high current
income than for its ability to produce a capital gain or to defend against a
capital loss.
We will also look to the international sector at various points in time over the
next several years. Opportunities will probably crop up in Europe and Japan, or
even in some NICs ("newly industrialized countries") where we would hope to
benefit from small, selective investments.
Finally, what makes for a good fixed income portfolio manager?
My idea of a good fixed income portfolio manager is someone who is one-third
economist, one-third mathematician, and one-third riverboat gambler. With those
elements you have the makings of someone who can walk into a trading room and
buy and sell bonds at a profit. Throw some experience into the mix, and you just
might have a great portfolio manager.
4
<PAGE>
INVESTMENT PERFORMANCE
The Federal Reserve Bank's action to tighten monetary policy and curb inflation
drove interest rates up sharply during calendar year 1994, causing the bond
market to have one of its worst years in history. Put into perspective, 1994 may
best be viewed as the year of correction for the strong bull market that had
been enjoyed by investors for several years running (the PIMCO Total Return
Fund, for example, achieved extraordinary double-digit returns for four fiscal
years in a row ending in 1993).
Fortunately, the painful declines of 1994 appear to be behind us as 1995 has
proven so far to be extremely positive. Continued but slowing economic growth,
moderate inflation and stable interest rates have all worked to the investor's
advantage. So much so, in fact, that this year's first quarter returns have
served to generally offset the previous three quarters' declines. As shown in
the following table, all PIMCO Funds except one had positive twelve-month
returns during the fiscal year ended March 31, 1995, and the Funds' returns
overall compared very favorably to the results of similarly structured
competitive funds:
<TABLE>
<CAPTION>
Total Return
Year Ended March 31, 1995
---------------------------------------
PIMCO Competitive
Category & Fund* Fund Fund Average Difference
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Intermediate Investment Grade Debt Funds
PIMCO Total Return Fund 4.22% 3.74% 0.48%
-----------------------------------------------------------------------------------------------------
PIMCO Total Return Fund III 4.92 3.74 1.18
-----------------------------------------------------------------------------------------------------
Short Investment Grade Debt Funds
PIMCO Low Duration Fund 3.60 3.35 0.25
-----------------------------------------------------------------------------------------------------
PIMCO Low Duration Fund II 4.80 3.35 1.45
-----------------------------------------------------------------------------------------------------
Ultra Short Obligations Funds
PIMCO Short-Term Fund 4.46 4.40 0.06
-----------------------------------------------------------------------------------------------------
General U.S. Government Funds
PIMCO Long-Term U.S. Government Fund 5.50 2.95 2.55
-----------------------------------------------------------------------------------------------------
General World Income Funds
PIMCO Foreign Fund (1.85) 2.41 (4.26)
-----------------------------------------------------------------------------------------------------
PIMCO Global Fund 10.35 2.41 7.94
-----------------------------------------------------------------------------------------------------
High Current Yield Funds
PIMCO High Yield Fund 8.81 1.55 7.26
-----------------------------------------------------------------------------------------------------
Capital Appreciation Funds
PIMCO Growth Stock Fund 10.65 6.77 3.88
-----------------------------------------------------------------------------------------------------
Growth and Income Funds
PIMCO StocksPLUS Fund 18.64 10.35 8.29
-----------------------------------------------------------------------------------------------------
</TABLE>
* as categorized by Lipper Analytical Services, Inc.
The competitive fund data shown above was compiled by Lipper Analytical
Services, Inc., a leading source of mutual fund performance rankings. In
addition, Lipper ranked the PIMCO Total Return Fund's five-year performance
record ended March 31, 1995 as #1 out of 35 intermediate investment grade debt
funds, and the Low Duration Fund's five-year record was ranked #1 out of 30
short investment grade debt funds. In addition, the one-year performance record
ended March 31, 1995 of the PIMCO High Yield Fund was ranked #1 out of 99 high
yield funds.
Several PIMCO Funds also received top marks from Morningstar**, a leading mutual
fund rating organization. Each of the PIMCO Total Return, Total Return III, Low
Duration, Low Duration II and Long-Term U.S. Government Funds have been
** Source: Morningstar, Inc. 3/31/95. Morningstar proprietary ratings reflect
historical risk-adjusted performance and are subject to change monthly. The
ratings are calculated from a fund's 3- and 5-year average annual returns in
excess of 90-day Treasury bill returns with appropriate fee adjustments and a
risk factor that reflects fund performance below 90-day T-bill returns. 10%
of the funds in an investment category receive 5 stars, 22.5% receive 4
stars, and 35% receive 3 stars. For the 3- and 5-year periods ended March 31,
1995, the Funds' ratings were: Total Return, 5-star/5-star; Total Return III
5-star/N/A; Low Duration, 5-star/5-star; Long-Term U.S. Government, 5-
star/N/A; Short-Term 4-star/4-star; and Growth Stock 3-star/3-star. There
were 541 and 371 bond funds rated for these periods, respectively, and 821
and 654 equity funds rated for these same periods, respectively.
5
<PAGE>
INVESTMENT PERFORMANCE (Cont.)
awarded the coveted 5-Star rating by Morningstar (the highest rating), while the
Short-Term and Growth Stock Funds earned a 4- and 3-Star rating, respectively
(the other PIMCO Funds have not been rated by Morningstar since they have not
been in operation for a period of at least three years).
A final look at the Funds' investment performance may be found in the following
charts, which show the cumulative investment performance since inception of each
PIMCO Fund as compared to the performance of a representative market index:
Annualized Returns Ended 3/31/95
<TABLE>
<CAPTION>
Since
1 Yr. 3 Yr. 5 Yr. Inception
<S> <C> <C> <C> <C>
Total Return Fund
Inst'l Class (%) 4.22 7.90 10.43 9.82
Admin. Class (%)/+/ n/a n/a n/a 3.76
Lehman
Aggregate 4.99 6.78 8.90 8.96
Index (%)
</TABLE>
/+/From commencement on 9/7/94 (unannualized)
- --------------------------------------------------------------------------------
Total Return Fund Through March 31, 1995
- --------------------------------------------------------------------------------
[CHART APPEARS HERE]
- --------------------------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the Fund's inception
in May 1987 and held through March 1995, compared to the Lehman Brothers
Aggregate Bond Index, an unmanaged market index. The performance of the
Administrative Class is lower than the performance of the Institutional Class
due to service fees paid by the Administrative Class in an amount not to exceed
0.25% on an annualized basis.
Annualized Returns Ended 3/31/95
<TABLE>
<CAPTION>
Since
1 Yr. 3 Yr. 5 Yr. Inception
<S> <C> <C> <C> <C>
Total Return
Fund III (%) 4.92 8.26 n/a 9.48
Lehman Aggregate
Index (%) 4.99 6.78 n/a 8.96
</TABLE>
- --------------------------------------------------------------------------------
Total Return Fund III Through March 31, 1995
- --------------------------------------------------------------------------------
[CHART APPEARS HERE]
- --------------------------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the Fund's inception
in May 1991 and held through March 1995, compared to the Lehman Brothers
Aggregate Bond Index, an unmanaged market index.
6
<PAGE>
INVESTMENT PERFORMANCE (Cont.)
Annualized Returns Ended 3/31/95
<TABLE>
<CAPTION>
Since
1 Yr. 3 Yr. 5 Yr. Inception
<S> <C> <C> <C> <C>
Low Duration Fund
Inst'l Class (%) 3.60 5.99 7.95 8.32
Admin. Class (%)/+/ n/a n/a n/a 2.53
Merrill Lynch
Index (%) 4.47 5.16 7.18 7.50
</TABLE>
/+/From commencement on 12/31/94 (unannualized)
- --------------------------------------------------------------------------------
Low Duration Fund Through March 31, 1995
- --------------------------------------------------------------------------------
[CHART APPEARS HERE]
- --------------------------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the Fund's inception
in May 1987 and held through March 1995, compared to the Merrill Lynch 1-3 Year
Treasury Index, an unmanaged market index. The performance of the Administrative
Class is lower than the performance of the Institutional Class due to service
fees paid by the Administrative Class in an amount not to exceed 0.25% on an
annualized basis.
Annualized Returns Ended 3/31/95
<TABLE>
<CAPTION>
Since
1 Yr. 3 Yr. 5 Yr. Inception
<S> <C> <C> <C> <C>
Low Duration
Fund II 4.80 5.61 n/a 5.86
Merrill Lynch
Index (%) 4.47 5.16 n/a 5.35
</TABLE>
- --------------------------------------------------------------------------------
Low Duration Fund II Through March 31, 1995
- --------------------------------------------------------------------------------
[CHART APPEARS HERE]
- --------------------------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the Fund's inception
in November 1991 and held through March 1995, compared to the Merrill Lynch 1-3
Year Treasury Index, an unmanaged market index.
Annualized Returns Ended 3/31/95
<TABLE>
<CAPTION>
Since
1 Yr. 3 Yr. 5 Yr. Inception
<S> <C> <C> <C> <C>
Short-Term
Fund (%) 4.46 4.02 5.22 6.22
Wiesenberger
Index (%) 4.57 3.42 4.52 5.58
</TABLE>
- --------------------------------------------------------------------------------
Short-Term Fund Through March 31, 1995
- --------------------------------------------------------------------------------
[CHART APPEARS HERE]
- --------------------------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the Fund's inception
in October 1987 and held through March 1995, compared to the Wiesenberger Money
Market Index, an index consisting of the average return of over 400 money market
funds. Whereas money market funds attempt to maintain a stable share price, the
Short-Term Fund's share price will fluctuate in response to market conditions.
7
<PAGE>
INVESTMENT PERFORMANCE (Cont.)
Annualized Returns Ended 3/31/95
<TABLE>
<CAPTION>
Since
1 Yr. 3 Yr. 5 Yr. Inception
<S> <C> <C> <C> <C>
Long-Term U.S.
Gov't Fund (%) 5.50 10.68 n/a 12.58
Lehman Blended
Treasury Index (%) 4.53 8.65 n/a 9.94
Lehman Aggregate
Index (%) 4.99 6.78 n/a 8.00
</TABLE>
- --------------------------------------------------------------------------------
Long-Term U.S. Government Fund Through March 31, 1995
- --------------------------------------------------------------------------------
[CHART APPEARS HERE]
- --------------------------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the Fund's inception
in July 1991 and held through March 1995, compared to a 10 year duration blend
of the Lehman Brothers Intermediate and 20+ Yr. Treasury Indices, each an
unmanaged market index.
Annualized Returns Ended 3/31/95
<TABLE>
<CAPTION>
Since
1 Yr. 3 Yr. 5 Yr. Inception
<S> <C> <C> <C> <C>
Foreign Fund (%) (1.85) 2.86 n/a 4.09
J.P. Morgan
Non-U.S. Index (%) 2.92 4.83 n/a 5.58
</TABLE>
- --------------------------------------------------------------------------------
Foreign Fund Through March 31, 1995
- --------------------------------------------------------------------------------
[CHART APPEARS HERE]
- --------------------------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the Fund's inception
in December 1992 and held through March 1995, compared to the J.P. Morgan Non-
U.S. Government Bond Index (Hedged), an unmanaged market index.
Annualized Returns Ended 3/31/95
<TABLE>
<CAPTION>
Since
1 Yr. 3 Yr. 5 Yr. Inception
<S> <C> <C> <C> <C>
Global Fund (%) 10.35 n/a n/a 7.38
J.P. Morgan
Global Index (%) 12.07 n/a n/a 9.25
</TABLE>
- --------------------------------------------------------------------------------
Global Fund Through March 31, 1995
- --------------------------------------------------------------------------------
[CHART APPEARS HERE]
- --------------------------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the Fund's inception
in November 1993 and held through March 1995, compared to the J.P. Morgan Global
Index, an unmanaged market index.
8
<PAGE>
INVESTMENT PERFORMANCE (Cont.)
Annualized Returns Ended 3/31/95
<TABLE>
<CAPTION>
Since
1 Yr. 2 Yr. 5 Yr. Inception
<S> <C> <C> <C> <C>
High Yield Fund
Inst'l Class (%) 8.81 9.73 n/a 11.60
Admin. Class (%)/+/ n/a n/a n/a 4.66
Lehman BB Corp.
Index (%) 8.26 7.99 n/a 9.34
</TABLE>
/+/From commencement on 1/16/95 (unannualized)
- --------------------------------------------------------------------------------
High Yield Fund Through March 31, 1995
- --------------------------------------------------------------------------------
[CHART APPEARS HERE]
- --------------------------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the Fund's inception
in December 1992 and held through March 1995, compared to the Lehman Brothers BB
Intermediate Corporate Index, an unmanaged market index. The performance of the
Administrative Class is lower than the performance of the Institutional Class
due to service fees paid by the Administrative Class in an amount not to exceed
0.25% on an annualized basis.
Annualized Returns Ended 3/31/95
<TABLE>
<CAPTION>
Since
1 Yr. 3 Yr. 5 Yr. Inception
<S> <C> <C> <C> <C>
Growth Stock
Fund (%) 10.65 7.43 10.39 8.63
S&P/BARRA
Index (%) 18.37 8.46 11.62 10.00
S&P 500
Index (%) 15.57 10.56 11.41 10.12
</TABLE>
- --------------------------------------------------------------------------------
Growth Stock Fund Through March 31, 1995
- --------------------------------------------------------------------------------
[CHART APPEARS HERE]
- --------------------------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the Fund's inception
in June 1987 and held through March 1995, compared to the Standard &
Poor's/BARRA Growth Index and the Standard & Poor's 500 Index, each an unmanaged
market index.
Annualized Returns Ended 3/31/95
<TABLE>
<CAPTION>
Since
1 Yr. 3 Yr. 5 Yr. Inception
<S> <C> <C> <C> <C>
StocksPLUS
Fund (%) 18.64 n/a n/a 10.70
S&P 500
Index 15.57 n/a n/a 8.97
</TABLE>
- --------------------------------------------------------------------------------
StocksPLUS Fund Through March 31, 1995
- --------------------------------------------------------------------------------
[CHART APPEARS HERE]
- --------------------------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the Fund's inception
in May 1993 and held through March 1995, compared to the Standard & Poor's 500
Index, an unmanaged market index.
9
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
March 31, 1995
<TABLE>
<CAPTION>
------------------------------------------------------------------
Amounts in thousands, except per share amounts Total Return Total Return III Low Duration Low Duration II
------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 7,333,496 $ 98,750 $ 2,439,273 $ 172,085
- -------------------------------------------------------------- ------------------------------------------------------------------
Cash and foreign currency 20,724 5 27 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Receivable for investments and foreign currency sold 8,676 10 59,633 160
- -------------------------------------------------------------- ------------------------------------------------------------------
Receivable for Fund shares sold 36,621 0 1,362 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Receivable from advisor 0 0 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Variation margin receivable 0 0 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Interest and dividends receivable 92,723 1,119 33,556 1,746
- -------------------------------------------------------------- ------------------------------------------------------------------
Other assets 76 6 28 5
- -------------------------------------------------------------- ------------------------------------------------------------------
7,492,316 99,890 2,533,879 173,996
- -------------------------------------------------------------- ------------------------------------------------------------------
Liabilities:
Payable for investments and foreign currency purchased 203,248 39 87,679 2,874
- -------------------------------------------------------------- ------------------------------------------------------------------
Written options outstanding 22,185 184 1,727 20
- -------------------------------------------------------------- ------------------------------------------------------------------
Payable for Fund shares redeemed 142 0 107,042 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Dividends payable 10,661 28 3,290 57
- -------------------------------------------------------------- ------------------------------------------------------------------
Accrued investment advisor's fee 1,713 28 623 38
- -------------------------------------------------------------- ------------------------------------------------------------------
Accrued administrator's fee 682 9 247 13
- -------------------------------------------------------------- ------------------------------------------------------------------
Payable to advisor 0 0 0 7
- -------------------------------------------------------------- ------------------------------------------------------------------
Accrued distribution fee 2 0 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Variation margin payable 3,838 76 144 16
- -------------------------------------------------------------- ------------------------------------------------------------------
Other accrued expenses and liabilities 1,073 29 324 105
- -------------------------------------------------------------- ------------------------------------------------------------------
243,544 393 201,076 3,130
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Assets $ 7,248,772 $ 99,497 $ 2,332,803 $ 170,866
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Assets Consist of:
Paid in capital $ 7,501,865 $ 103,069 $ 2,407,781 $ 175,789
- -------------------------------------------------------------- ------------------------------------------------------------------
Undistributed (overdistributed) net investment income (85,253) (1,212) 71 (1,081)
- -------------------------------------------------------------- ------------------------------------------------------------------
Accumulated undistributed net realized gain (loss) (64,793) (650) (21,592) (2,651)
- -------------------------------------------------------------- ------------------------------------------------------------------
Net unrealized appreciation (depreciation) (103,047) (1,710) (53,457) (1,191)
- -------------------------------------------------------------- ------------------------------------------------------------------
$ 7,248,772 $ 99,497 $ 2,332,803 $ 170,866
- -------------------------------------------------------------- ------------------------------------------------------------------
Shares Issued and Outstanding
Institutional Class 722,606 11,063 238,948 17,497
- -------------------------------------------------------------- ------------------------------------------------------------------
Administrative Class 903 0 79 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $10.02 $8.99 $9.76 $9.77
- -------------------------------------------------------------- ------------------------------------------------------------------
Administrative Class 10.01 0 9.76 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Cost of Investments Owned 7,476,805 100,954 2,494,393 173,482
- -------------------------------------------------------------- ------------------------------------------------------------------
Cost of Foreign Currency Held 0 0 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
10
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
March 31, 1995
<TABLE>
<CAPTION>
------------------------------------------------------------------
Long-Term
Amounts in thousands, except per share amounts Short-Term U.S. Gov't Foreign Global
------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 88,230 $ 32,160 $ 280,411 $ 80,823
- -------------------------------------------------------------- ------------------------------------------------------------------
Cash and foreign currency 3 3 5,372 929
- -------------------------------------------------------------- ------------------------------------------------------------------
Receivable for investments and foreign currency sold 1,046 340 11,606 7,416
- -------------------------------------------------------------- ------------------------------------------------------------------
Receivable for Fund shares sold 7 88 71 8
- -------------------------------------------------------------- ------------------------------------------------------------------
Receivable from advisor 1 0 0 2
- -------------------------------------------------------------- ------------------------------------------------------------------
Variation margin receivable 0 0 388 39
- -------------------------------------------------------------- ------------------------------------------------------------------
Interest and dividends receivable 1,258 202 4,698 886
- -------------------------------------------------------------- ------------------------------------------------------------------
Other assets 24 3 21 0
- -------------------------------------------------------------- ------------------------------------------------------------------
90,546 32,796 302,567 90,103
- -------------------------------------------------------------- ------------------------------------------------------------------
Liabilities:
Payable for investments and foreign currency purchased 0 323 68,454 13,319
- -------------------------------------------------------------- ------------------------------------------------------------------
Written options outstanding 46 43 1,000 198
- -------------------------------------------------------------- ------------------------------------------------------------------
Payable for Fund shares redeemed 209 4 50 45
- -------------------------------------------------------------- ------------------------------------------------------------------
Dividends payable 75 41 231 29
- -------------------------------------------------------------- ------------------------------------------------------------------
Accrued investment advisor's fee 26 10 105 22
- -------------------------------------------------------------- ------------------------------------------------------------------
Accrued administrator's fee 10 2 0 6
- -------------------------------------------------------------- ------------------------------------------------------------------
Payable to advisor 0 3 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Accrued distribution fee 0 0 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Variation margin payable 0 0 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Other accrued expenses and liabilities 66 21 27 8
- -------------------------------------------------------------- ------------------------------------------------------------------
432 447 69,867 3,627
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Assets $ 90,114 $ 32,349 $ 232,700 $ 76,476
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Assets Consist of: $ 92,087 $ 33,676 $ 259,346 $ 76,364
- -------------------------------------------------------------- ------------------------------------------------------------------
Paid in capital (261) (122) (5,995) (1,199)
- -------------------------------------------------------------- ------------------------------------------------------------------
Undistributed (overdistributed) net investment income (615) (1,841) (20,359) (2,563)
- -------------------------------------------------------------- ------------------------------------------------------------------
Accumulated undistributed net realized gain (loss) (1,097) 636 (292) 1,476
- -------------------------------------------------------------- ------------------------------------------------------------------
Net unrealized appreciation (depreciation) $ 90,114 $ 32,349 $ 232,700 $ 76,476
- -------------------------------------------------------------- ------------------------------------------------------------------
Shares Issued and Outstanding
Institutional Class 9,202 3,285 24,805 7,751
- -------------------------------------------------------------- ------------------------------------------------------------------
Administrative Class 0 0 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $9.79 $9.85 $9.38 $9.87
- -------------------------------------------------------------- ------------------------------------------------------------------
Administrative Class 0 0 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Cost of Investments Owned 89,420 31,894 280,167 80,454
- -------------------------------------------------------------- ------------------------------------------------------------------
Cost of Foreign Currency Held 0 0 5,102 900
- -------------------------------------------------------------- ------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------
High Yield Growth Stock StocksPLUS
------------------------------------------------------------------
<S> <C> <C> <C>
Assets:
Investments, at value $ 332,576 $ 15,639 $ 45,848
- -------------------------------------------------------------- ------------------------------------------------------------------
Cash and foreign currency 6 1 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Receivable for investments and foreign currency sold 1,804 2,363 4
- -------------------------------------------------------------- ------------------------------------------------------------------
Receivable for Fund shares sold 30 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Receivable from advisor 0 0 10
- -------------------------------------------------------------- ------------------------------------------------------------------
Variation margin receivable 0 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Interest and dividends receivable 7,501 19 562
- -------------------------------------------------------------- ------------------------------------------------------------------
Other assets 9 0 335
- -------------------------------------------------------------- ------------------------------------------------------------------
341,926 18,022 46,759
- -------------------------------------------------------------- ------------------------------------------------------------------
Liabilities:
Payable for investments and foreign currency purchased 4,810 2,564 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Written options outstanding 28 4 15
- -------------------------------------------------------------- ------------------------------------------------------------------
Payable for Fund shares redeemed 269 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Dividends payable 238 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Accrued investment advisor's fee 106 5 19
- -------------------------------------------------------------- ------------------------------------------------------------------
Accrued administrator's fee 32 2 4
- -------------------------------------------------------------- ------------------------------------------------------------------
Payable to advisor 5 2 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Accrued distribution fee 0 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Variation margin payable 0 0 136
- -------------------------------------------------------------- ------------------------------------------------------------------
Other accrued expenses and liabilities 87 16 87
- -------------------------------------------------------------- ------------------------------------------------------------------
5,575 2,593 261
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Assets $ 336,351 $ 15,429 $ 46,498
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Assets Consist of: $ 342,547 $ 13,551 $ 44,359
- -------------------------------------------------------------- ------------------------------------------------------------------
Paid in capital 1,534 0 1,176
- -------------------------------------------------------------- ------------------------------------------------------------------
Undistributed (overdistributed) net investment income (4,132) 319 22
- -------------------------------------------------------------- ------------------------------------------------------------------
Accumulated undistributed net realized gain (loss) (3,598) 1,559 941
- -------------------------------------------------------------- ------------------------------------------------------------------
Net unrealized appreciation (depreciation) $ 336,351 $ 15,429 $ 46,498
- -------------------------------------------------------------- ------------------------------------------------------------------
Shares Issued and Outstanding
Institutional Class 32,289 1,125 4,435
- -------------------------------------------------------------- ------------------------------------------------------------------
Administrative Class 4 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $10.42 $13.71 $10.48
- -------------------------------------------------------------- ------------------------------------------------------------------
Administrative Class 10.41 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Cost of Investments Owned 336,196 14,079 45,836
- -------------------------------------------------------------- ------------------------------------------------------------------
Cost of Foreign Currency Held 0 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
</TABLE>
11
<PAGE>
STATEMENT OF OPERATIONS
For the year ended March 31, 1995
<TABLE>
<CAPTION>
------------------------------------------------------------------
$ in thousands Total Return Total Return III Low Duration Low Duration II
------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 431,943 $ 6,364 $ 154,750 $ 10,691
- -------------------------------------------------------------- ------------------------------------------------------------------
Dividends 69 0 593 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Total income 432,012 6,364 155,343 10,691
- -------------------------------------------------------------- ------------------------------------------------------------------
Expenses:
Investment advisory fees 15,224 258 5,757 461
- -------------------------------------------------------------- ------------------------------------------------------------------
Administration fees 6,060 86 2,273 155
- -------------------------------------------------------------- ------------------------------------------------------------------
Custodian and transfer agent fees 1,846 37 739 57
- -------------------------------------------------------------- ------------------------------------------------------------------
Registration fees 885 16 159 12
- -------------------------------------------------------------- ------------------------------------------------------------------
Distribution fees - Administrative Class 5 0 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Audit fees 84 18 59 16
- -------------------------------------------------------------- ------------------------------------------------------------------
Legal fees 225 3 80 6
- -------------------------------------------------------------- ------------------------------------------------------------------
Trustees' fees 26 0 13 1
- -------------------------------------------------------------- ------------------------------------------------------------------
Amortization of organization costs 0 1 0 2
- -------------------------------------------------------------- ------------------------------------------------------------------
Miscellaneous 345 10 170 9
- -------------------------------------------------------------- ------------------------------------------------------------------
Reimbursement to (from) advisor and administrator 0 1 0 21
- -------------------------------------------------------------- ------------------------------------------------------------------
Total expenses 24,700 430 9,250 740
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Investment Income 407,312 5,934 146,093 9,951
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (94,108) (1,713) (36,529) (2,678)
- -------------------------------------------------------------- ------------------------------------------------------------------
Net realized gain (loss) on
futures contracts and written options (7,437) (52) 3,874 128
- -------------------------------------------------------------- ------------------------------------------------------------------
Net realized gain (loss) on foreign
currency transactions (9,075) 28 (4,015) 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) on investments (77,342) (850) (30,179) (157)
- -------------------------------------------------------------- ------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written
options 82,420 1,250 2,234 320
- -------------------------------------------------------------- ------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies 1,525 (73) (384) 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Net gain (loss) (104,017) (1,410) (64,999) (2,387)
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Increase (Decrease) in Assets
Resulting from Operations $303,295 $4,524 $81,094 $7,564
- -------------------------------------------------------------- ------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
12
<PAGE>
<TABLE>
<CAPTION>
------------------------------------------------------------------
Short-Term Long-Term Foreign Global
$ in thousands U.S. Gov't
------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 7,897 $ 2,150 $ 22,926 $ 3,609
- -------------------------------------------------------------- ------------------------------------------------------------------
Dividends 0 0 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Total income 7,897 2,150 22,926 3,609
- -------------------------------------------------------------- ------------------------------------------------------------------
Expenses:
Investment advisory fees 383 92 922 177
- -------------------------------------------------------------- ------------------------------------------------------------------
Administration fees 130 31 324 58
- -------------------------------------------------------------- ------------------------------------------------------------------
Custodian and transfer agent fees 59 21 195 41
- -------------------------------------------------------------- ------------------------------------------------------------------
Registration fees 44 20 9 24
- -------------------------------------------------------------- ------------------------------------------------------------------
Distribution fees - Administrative Class 0 0 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Audit fees 27 12 27 17
- -------------------------------------------------------------- ------------------------------------------------------------------
Legal fees 5 1 14 2
- -------------------------------------------------------------- ------------------------------------------------------------------
Trustees' fees 1 0 2 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Amortization of organization costs 0 2 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Miscellaneous 8 4 56 7
- -------------------------------------------------------------- ------------------------------------------------------------------
Reimbursement to (from) advisor and administrator (10) (31) 0 44
- -------------------------------------------------------------- ------------------------------------------------------------------
Total expenses 647 152 1,549 370
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Investment Income 7,250 1,998 21,377 3,239
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (799) (593) (19,127) (2,045)
- -------------------------------------------------------------- ------------------------------------------------------------------
Net realized gain (loss) on
futures contracts and written options 81 (1,011) (7,671) 259
- -------------------------------------------------------------- ------------------------------------------------------------------
Net realized gain (loss) on foreign
currency transactions (25) 0 (13,440) 3,280
- -------------------------------------------------------------- ------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) on investments (800) 244 (183) 524
- -------------------------------------------------------------- ------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written
options 93 1,086 3,847 692
- -------------------------------------------------------------- ------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies 0 0 1,404 604
- -------------------------------------------------------------- ------------------------------------------------------------------
Net gain (loss) (1,450) ( 274) (35,170) 3,314
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Increase (Decrease) in Assets
Resulting from Operations $ 5,800 $ 1,724 $ (13,793) $ 6,553
- -------------------------------------------------------------- ------------------------------------------------------------------
<CAPTION>
High Yield Growth Stock StocksPLUS
<S> <C> <C> <C>
Investment Income:
Interest $ 29,447 $ 37 $ 2,940
- -------------------------------------------------------------- ------------------------------------------------------------------
Dividends 0 328 22
- -------------------------------------------------------------- ------------------------------------------------------------------
Total income 29,447 365 2,962
- -------------------------------------------------------------- ------------------------------------------------------------------
Expenses:
Investment advisory fees 831 57 109
- -------------------------------------------------------------- ------------------------------------------------------------------
Administration fees 302 19 24
- -------------------------------------------------------------- ------------------------------------------------------------------
Custodian and transfer agent fees 93 17 15
- -------------------------------------------------------------- ------------------------------------------------------------------
Registration fees 91 3 24
- -------------------------------------------------------------- ------------------------------------------------------------------
Distribution fees - Administrative Class 0 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Audit fees 21 15 10
- -------------------------------------------------------------- ------------------------------------------------------------------
Legal fees 11 1 1
- -------------------------------------------------------------- ------------------------------------------------------------------
Trustees' fees 2 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Amortization of organization costs 2 0 2
- -------------------------------------------------------------- ------------------------------------------------------------------
Miscellaneous 24 1 3
- -------------------------------------------------------------- ------------------------------------------------------------------
Reimbursement to (from) advisor and administrator 55 (18) (68)
- -------------------------------------------------------------- ------------------------------------------------------------------
Total expenses 1,432 95 120
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Investment Income 28,015 270 2,842
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (4,049) 933 (48)
- -------------------------------------------------------------- ------------------------------------------------------------------
Net realized gain (loss) on
futures contracts and written options 0 5 910
- -------------------------------------------------------------- ------------------------------------------------------------------
Net realized gain (loss) on foreign
currency transactions 0 0 (4)
- -------------------------------------------------------------- ------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 2,745 600 65
- -------------------------------------------------------------- ------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written
options 22 27 1,397
- -------------------------------------------------------------- ------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies 0 0 0
- -------------------------------------------------------------- ------------------------------------------------------------------
Net gain (loss) (1,282) 1,565 2,320
- -------------------------------------------------------------- ------------------------------------------------------------------
Net Increase (Decrease) in Assets
Resulting from Operations $ 26,733 $ 1,835 $ 5,162
- -------------------------------------------------------------- ------------------------------------------------------------------
</TABLE>
13
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
$ in thousands
----------------------------------------------------------------------------
Total Return Total Return III
----------------------------------------------------------------------------
Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1995 March 31, 1994 March 31, 1995 March 31, 1994
<S> <C> <C> <C> <C>
Operations
Net investment income $ 407,312 $ 262,684 $ 5,934 $ 4,550
- ---------------------------------------------- ----------------------------------- -----------------------------------
Net realized gain (loss) (110,620) 38,898 (1,737) 91
- ---------------------------------------------- ----------------------------------- -----------------------------------
Net change in unrealized appreciation
(depreciation) on investments (77,343) (140,376) (850) (1,051)
- ---------------------------------------------- ----------------------------------- -----------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 82,421 (31,813) 1,250 (542)
- ---------------------------------------------- ----------------------------------- -----------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies 1,525 7,352 (73) 51
- ---------------------------------------------- ----------------------------------- -----------------------------------
Net increase (decrease) resulting from
operations 303,295 136,745 4,524 3,099
- ---------------------------------------------- ----------------------------------- -----------------------------------
Distributions to Shareholders
From net investment income
Institutional Class (347,782) (268,494) (5,003) (5,100)
- ---------------------------------------------- ----------------------------------- -----------------------------------
Administrative Class (126) 0 0 0
- ---------------------------------------------- ----------------------------------- -----------------------------------
In excess of net investment income
Institutional Class (30,707) (59,404) (147) (930)
- ---------------------------------------------- ----------------------------------- -----------------------------------
Administrative Class (11) 0 0 0
- ---------------------------------------------- ----------------------------------- -----------------------------------
From net realized capital gains
Institutional Class 0 (122,703) 0 (1,544)
- ---------------------------------------------- ----------------------------------- -----------------------------------
Administrative Class 0 0 0 0
- ---------------------------------------------- ----------------------------------- -----------------------------------
In excess of net realized capital gains
Institutional Class 0 (8,707) 0 0
- ---------------------------------------------- ----------------------------------- -----------------------------------
Administrative Class 0 0 0 0
- ---------------------------------------------- ----------------------------------- -----------------------------------
Tax basis return of capital
Institutional Class (13,786) 0 (784) (1,590)
- ---------------------------------------------- ----------------------------------- -----------------------------------
Administrative Class (5) 0 0 0
- ---------------------------------------------- ----------------------------------- -----------------------------------
Total Distributions (392,417) (459,308) (5,934) (9,164)
- ---------------------------------------------- ----------------------------------- -----------------------------------
Fund Share Transactions
Receipts for shares sold
Institutional Class 3,081,221 2,703,073 38,113 31,170
- ---------------------------------------------- ----------------------------------- -----------------------------------
Administrative Class 9,138 0 0 0
- ---------------------------------------------- ----------------------------------- -----------------------------------
Issued as reinvestment of distributions
Institutional Class 308,654 394,150 5,316 8,375
- ---------------------------------------------- ----------------------------------- -----------------------------------
Administrative Class 142 0 0 0
- ---------------------------------------------- ----------------------------------- -----------------------------------
Cost of shares redeemed
Institutional Class (1,069,020) (921,941) (40,044) (1,307)
- ---------------------------------------------- ----------------------------------- -----------------------------------
Administrative Class (401) 0 0 0
- ---------------------------------------------- ----------------------------------- -----------------------------------
Net increase (decrease) resulting
from Fund share transactions 2,329,734 2,175,282 3,385 38,238
- ---------------------------------------------- ----------------------------------- -----------------------------------
Total Increase (Decrease) in Net Assets 2,240,612 1,852,719 1,975 32,173
- ---------------------------------------------- ----------------------------------- -----------------------------------
Net Assets
Beginning of period 5,008,160 3,155,441 97,522 65,349
- ---------------------------------------------- ----------------------------------- -----------------------------------
End of period * $ 7,248,772 $ 5,008,160 $ 99,497 $ 97,522
- ---------------------------------------------- ----------------------------------- -----------------------------------
*Including net undistributed
(overdistributed) investment income of: $ (85,253) $ (59,404) $ (1,212) $ (930)
- ---------------------------------------------- ----------------------------------- -----------------------------------
</TABLE>
See Notes to Financial Statements
14
<PAGE>
<TABLE>
<CAPTION>
---------------------------------- ----------------------------------
Low Duration Low Duration II
---------------------------------- ----------------------------------
Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1995 March 31, 1994 March 31, 1995 March 31, 1994
<S> <C> <C> <C> <C>
Operations
Net investment income $ 146,094 $ 114,362 $ 9,951 $ 7,352
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net realized gain (loss) (36,670) 8,187 (2,550) (1,656)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on investments (30,178) (43,666) (157) (2,097)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 2,234 (263) 320 (168)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies (386) 159 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net increase (decrease) resulting from
operations 81,094 78,779 7,564 3,431
- ----------------------------------------------- ---------------------------------- ----------------------------------
Distributions to Shareholders
From net investment income
Institutional Class (125,715) (118,781) (9,191) (7,142)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class (10) 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
In excess of net investment income
Institutional Class 0 (4,880) (491) 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
From net realized capital gains
Institutional Class 0 (10,507) (4) (591)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
In excess of net realized capital gains
Institutional Class 0 (339) 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Tax basis return of capital
Institutional Class (20,045) 0 (276) 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class (2) 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Total Distributions (145,772) (134,507) (9,962) (7,733)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Fund Share Transactions
Receipts for shares sold
Institutional Class 1,378,448 1,709,431 77,909 70,250
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 768 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Issued as reinvestment of distributions
Institutional Class 115,466 108,876 8,742 6,648
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 12 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Cost of shares redeemed
Institutional Class (1,395,445) (867,918) (54,798) (32,210)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class (16) 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net increase (decrease) resulting
from Fund share transactions 99,233 950,389 31,853 44,688
- ----------------------------------------------- ---------------------------------- ----------------------------------
Total Increase (Decrease) in Net Assets 34,548 894,661 29,455 40,386
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net Assets
Beginning of period 2,298,255 1,403,594 141,411 101,025
- ----------------------------------------------- ---------------------------------- ----------------------------------
End of period * $ 2,332,803 $ 2,298,255 $ 170,866 $ 141,411
- ----------------------------------------------- ---------------------------------- ----------------------------------
*Including net undistributed
(overdistributed) investment income of: $ 71 $ (4,880) $ (1,081) $ (760)
- ----------------------------------------------- ---------------------------------- ----------------------------------
</TABLE>
<TABLE>
<CAPTION>
----------------------------------
Short-Term
----------------------------------
Year Ended
Increase (Decrease) in Net Assets from: March 31, 1995 March 31, 1994
<S> <C> <C>
Operations
Net investment income $ 7,250 $ 2,544
- ----------------------------------------------- ----------------------------------
Net realized gain (loss) (743) (253)
- ----------------------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on investments (800) (500)
- ----------------------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 93 0
- ----------------------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies 0 0
- ----------------------------------------------- ----------------------------------
Net increase (decrease) resulting from
operations 5,800 1,791
- ----------------------------------------------- ----------------------------------
Distributions to Shareholders
From net investment income
Institutional Class (7,075) (2,430)
- ----------------------------------------------- ----------------------------------
Administrative Class 0 0
- ----------------------------------------------- ----------------------------------
In excess of net investment income
Institutional Class (165) 0
- ----------------------------------------------- ----------------------------------
Administrative Class 0 0
- ----------------------------------------------- ----------------------------------
From net realized capital gains
Institutional Class 0 0
- ----------------------------------------------- ----------------------------------
Administrative Class 0 0
- ----------------------------------------------- ----------------------------------
In excess of net realized capital gains
Institutional Class 0 0
- ----------------------------------------------- ----------------------------------
Administrative Class 0 0
- ----------------------------------------------- ----------------------------------
Tax basis return of capital
Institutional Class 0 0
- ----------------------------------------------- ----------------------------------
Administrative Class 0 0
- ----------------------------------------------- ----------------------------------
Total Distributions (7,240) (2,430)
- ----------------------------------------------- ----------------------------------
Fund Share Transactions
Receipts for shares sold
Institutional Class 265,206 166,327
- ----------------------------------------------- ----------------------------------
Administrative Class 0 0
- ----------------------------------------------- ----------------------------------
Issued as reinvestment of distributions
Institutional Class 5,671 2,151
- ----------------------------------------------- ----------------------------------
Administrative Class 0 0
- ----------------------------------------------- ----------------------------------
Cost of shares redeemed
Institutional Class (252,499) (141,568)
- ----------------------------------------------- ----------------------------------
Administrative Class 0 0
- ----------------------------------------------- ----------------------------------
Net increase (decrease) resulting
from Fund share transactions 18,378 26,910
- ----------------------------------------------- ----------------------------------
Total Increase (Decrease) in Net Assets 16,938 26,271
- ----------------------------------------------- ----------------------------------
Net Assets
Beginning of period 73,176 46,905
- ----------------------------------------------- ----------------------------------
End of period * $ 90,114 $ 73,176
- ----------------------------------------------- ----------------------------------
*Including net undistributed
(overdistributed) investment income of: $ (261) $ (176)
- ----------------------------------------------- ----------------------------------
</TABLE>
15
<PAGE>
<TABLE>
<CAPTION>
---------------------------------- ----------------------------------
$ in thousands Long-Term U.S. Government Foreign
---------------------------------- ----------------------------------
Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1995 March 31, 1994 March 31, 1995 March 31, 1994
<S> <C> <C> <C> <C>
Operations
Net investment income $ 1,998 $ 1,293 $ 21,377 $ 18,888
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net realized gain (loss) (1,604) 950 (40,238) 1,136
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on investments 244 (758) (184) (1,691)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 1,086 (678) 3,854 (1,415)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies 0 0 1,398 (2,233)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net increase (decrease) resulting from
operations 1,724 807 (13,793) 14,685
- ----------------------------------------------- ---------------------------------- ----------------------------------
Distributions to Shareholders
From net investment income
Institutional Class (1,941) (2,169) 0 (18,751)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
In excess of net investment income
Institutional Class (57) (57) 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
From net realized capital gains
Institutional Class 0 (1,299) 0 (2,945)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
In excess of net realized capital gains
Institutional Class 0 (302) 0 (16,600)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Tax basis return of capital
Institutional Class 0 0 (20,915) 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Total Distributions (1,998) (3,827) (20,915) (38,296)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Fund Share Transactions
Receipts for shares sold
Institutional Class 21,532 8,042 60,501 435,636
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Issued as reinvestment of distributions
Institutional Class 1,200 2,769 17,186 34,479
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Cost of shares redeemed
Institutional Class (16,087) (4,759) (308,800) (126,878)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net increase (decrease) resulting
from Fund share transactions 6,645 6,052 (231,113) 343,237
- ----------------------------------------------- ---------------------------------- ----------------------------------
Total Increase (Decrease) in Net Assets 6,371 3,032 (265,821) 319,626
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net Assets
Beginning of period 25,978 22,946 498,521 178,895
- ----------------------------------------------- ---------------------------------- ----------------------------------
End of period * $ 32,349 $ 25,978 $ 232,700 $ 498,521
- ----------------------------------------------- ---------------------------------- ----------------------------------
*Including net undistributed
(overdistributed) investment income of: $ (122) $ (57) $ (5,995) $ 137
- ----------------------------------------------- ---------------------------------- ----------------------------------
</TABLE>
See Notes to Financial Statements
(a) From commencement on November 23, 1993
(b) From commencement on May 14, 1993
16
<PAGE>
<TABLE>
<CAPTION>
------------------------------------ ----------------------------------
$ in thousands Global High Yield
------------------------------------ ----------------------------------
Year or Period Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1995 March 31, 1994 (a) March 31, 1995 March 31, 1994
<S> <C> <C> <C> <C>
Operations
Net investment income $ 3,239 $ 450 $ 28,015 $ 9,032
- ----------------------------------------------- ------------------------------------ ----------------------------------
Net realized gain (loss) 1,494 (344) (4,049) 3,023
- ----------------------------------------------- ------------------------------------ ----------------------------------
Net change in unrealized appreciation
(depreciation) on investments 525 (155) 2,745 (7,022)
- ----------------------------------------------- ------------------------------------ ----------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 692 (168) 22 0
- ----------------------------------------------- ------------------------------------ ----------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies 603 (20) 0 0
- ----------------------------------------------- ------------------------------------ ----------------------------------
Net increase (decrease) resulting from
operations 6,553 (237) 26,733 5,033
- ----------------------------------------------- ------------------------------------ ----------------------------------
Distributions to Shareholders
From net investment income
Institutional Class (3,206) (450) (28,199) (8,847)
- ----------------------------------------------- ------------------------------------ ----------------------------------
Administrative Class 0 0 (1) 0
- ----------------------------------------------- ------------------------------------ ----------------------------------
In excess of net investment income
Institutional Class (2,548) 0 (530) 0
- ----------------------------------------------- ------------------------------------ ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ------------------------------------ ----------------------------------
From net realized capital gains
Institutional Class 0 0 0 (1,111)
- ----------------------------------------------- ------------------------------------ ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ------------------------------------ ----------------------------------
In excess of net realized capital gains
Institutional Class 0 0 (49) 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 (5,754) (450) (28,779) (9,958)
- ----------------------------------------------- ------------------------------------ ----------------------------------
Fund Share Transactions
Receipts for shares sold
Institutional Class 43,231 45,150 220,498 211,788
- ----------------------------------------------- ------------------------------------ ----------------------------------
Administrative Class 0 0 39 0
- ----------------------------------------------- ------------------------------------ ----------------------------------
Issued as reinvestment of distributions
Institutional Class 5,606 440 27,208 9,532
- ----------------------------------------------- ------------------------------------ ----------------------------------
Administrative Class 0 0 1 0
- ----------------------------------------------- ------------------------------------ ----------------------------------
Cost of shares redeemed
Institutional Class (13,645) (4,418) (129,324) (20,488)
- ----------------------------------------------- ------------------------------------ ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ------------------------------------ ----------------------------------
Net increase (decrease) resulting
from Fund share transactions 35,192 41,172 118,421 200,832
- ----------------------------------------------- ------------------------------------ ----------------------------------
Total Increase (Decrease) in Net Assets 35,991 40,485 116,375 195,907
- ----------------------------------------------- ------------------------------------ ----------------------------------
Net Assets
Beginning of period 40,485 0 219,976 24,069
- ----------------------------------------------- ------------------------------------ ----------------------------------
End of period * $ 76,476 $ 40,485 $ 336,351 $ 219,976
- ----------------------------------------------- ------------------------------------ ----------------------------------
*Including net undistributed
(overdistributed) investment income of: $ 1,199 $ (33) $ 1,534 $ 185
- ----------------------------------------------- ------------------------------------ ----------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------- ----------------------------------
$ in thousands Growth Stock StocksPLUS
---------------------------------- ----------------------------------
Year Ended Year or Period Ended
Increase (Decrease) in Net Assets from: March 31, 1995 March 31, 1994 March 31, 1995 March 31, 1994 (b)
<S> <C> <C> <C> <C>
Operations
Net investment income $ 270 $ 319 $ 2,841 $ 303
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net realized gain (loss) 938 1,028 858 49
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on investments 600 (1,194) 66 (53)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 27 (27) 1,397 (470)
- ----------------------------------------------- ---------------------------------- ----------------------------------
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 1,835 126 5,162 (171)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Distributions to Shareholders
From net investment income
Institutional Class (270) (319) (2,257) (303)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
In excess of net investment income
Institutional Class 0 0 0 (7)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
From net realized capital gains
Institutional Class (1,056) (1,175) 0 (49)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
In excess of net realized capital gains
Institutional Class 0 0 0 (237)
- ----------------------------------------------- ---------------------------------- ----------------------------------
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 (1,326) (1,494) (2,257) (596)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Fund Share Transactions
Receipts for shares sold
Institutional Class 954 2,055 28,147 19,771
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Issued as reinvestment of distributions
Institutional Class 1,314 1,493 2,257 590
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Cost of shares redeemed
Institutional Class (9,861) (2,574) (1,136) (5,269)
- ----------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net increase (decrease) resulting
from Fund share transactions (7,593) 974 29,268 15,092
- ----------------------------------------------- ---------------------------------- ----------------------------------
Total Increase (Decrease) in Net Assets (7,084) (394) 32,173 14,325
- ----------------------------------------------- ---------------------------------- ----------------------------------
Net Assets
Beginning of period 22,513 22,907 14,325 0
- ----------------------------------------------- ---------------------------------- ----------------------------------
End of period * $ 15,429 $ 22,513 $ 46,498 $ 14,325
- ----------------------------------------------- ---------------------------------- ----------------------------------
*Including net undistributed
(overdistributed) investment income of: $ 0 $ 0 $ 1,176 $ (7)
- ----------------------------------------------- ---------------------------------- ----------------------------------
</TABLE>
17
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
------------ ---------- -------------- ------------ ---------- ------------- -------------
Selected Per Share Data for Net Asset Net Realized Total Income Dividends Dividends in Distributions
the Year or Period Ended: Value Net and Unrealized from from Net Excess of Net from Net
Beginning of Investment Gain (Loss) on Investment Investment Investment Realized
Period Income Investments Operations Income Income Capital Gains
------------ ---------- -------------- ------------ ---------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Total Return Fund
Institutional Class
03/31/95 $ 10.25 $ 0.64 $ (0.24) $ 0.40 $ (0.56) $ (0.05) $ 0.00
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
03/31/94 10.91 0.68 (0.16) 0.52 (0.71) (0.15) (0.30)
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
03/31/93 10.46 0.76 0.76 1.52 (0.76) 0.00 (0.31)
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
03/31/92 10.15 0.86 0.60 1.46 (0.86) 0.00 (0.29)
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
03/31/91 9.77 0.90 0.39 1.29 (0.90) 0.00 (0.01)
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
Administrative Class
09/07/94 - 03/31/95 10.00 0.31 0.06 0.37 (0.32) (0.03) 0.00
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
Total Return Fund III
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
03/31/95 $ 10.04 $ 0.65 $ (0.30) $ 0.35 $ (0.54) $ 0.00 $ 0.00
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
03/31/94 10.30 0.62 (0.16) 0.46 (0.64) (0.03) (0.05)
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
03/31/93 10.20 0.75 0.22 0.97 (0.74) 0.00 (0.13)
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
03/31/92 10.02 0.83 0.25 1.08 (0.82) 0.00 (0.08)
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
03/31/91 9.89 0.89 0.12 1.01 (0.88) 0.00 0.00
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
Administrative Class
12/31/94 - 03/31/95 9.67 0.18 0.07 0.25 (0.14) 0.00 0.00
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
Low Duration Fund II
03/31/95 $ 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
03/31/95 $ 9.92 $ 0.56 $ (0.13) $ 0.43 $ (0.55) $ (0.01) $ 0.00
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
03/31/94 10.03 0.48 (0.12) 0.36 (0.47) 0.00 0.00
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
03/31/93 10.01 0.37 0.02 0.39 (0.37) 0.00 0.00
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
03/31/92 10.02 0.55 0.00 0.55 (0.55) 0.00 (0.01)
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
03/31/91 9.99 0.77 0.04 0.81 (0.78) 0.00 0.00
- ------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
</TABLE>
+ Annualized
See Notes to Financial Statements
18
<PAGE>
<TABLE>
<CAPTION>
-------------- ---------- -------------- ------------ ------------
Selected Per Share Data for Distributions
the Year or Period Ended: 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
03/31/95 $ 0.00 $ (0.02) $ (0.63) $ 10.02 4.22%
- ------------------------------- -------------- ---------- -------------- ------------ ------------
03/31/94 (0.02) 0.00 (1.18) 10.25 4.55
- ------------------------------- -------------- ---------- -------------- ------------ ------------
03/31/93 0.00 0.00 (1.07) 10.91 15.29
- ------------------------------- -------------- ---------- -------------- ------------ ------------
03/31/92 0.00 0.00 (1.15) 10.46 14.90
- ------------------------------- -------------- ---------- -------------- ------------ ------------
03/31/91 0.00 0.00 (0.91) 10.15 13.74
- ------------------------------- -------------- ---------- -------------- ------------ ------------
Administrative Class
09/07/94 - 03/31/95 0.00 (0.01) (0.36) 10.01 3.76
- ------------------------------- -------------- ---------- -------------- ------------ ------------
Total Return Fund III
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
03/31/95 $ 0.00 $ (0.09) $ (0.63) $ 9.76 3.60%
- ------------------------------- -------------- ---------- -------------- ------------ ------------
03/31/94 0.00 0.00 (0.72) 10.04 4.56
- ------------------------------- -------------- ---------- -------------- ------------ ------------
03/31/93 0.00 0.00 (0.87) 10.30 9.91
- ------------------------------- -------------- ---------- -------------- ------------ ------------
03/31/92 0.00 0.00 (0.90) 10.20 11.30
- ------------------------------- -------------- ---------- -------------- ------------ ------------
03/31/91 0.00 0.00 (0.88) 10.02 10.60
- ------------------------------- -------------- ---------- -------------- ------------ ------------
Administrative Class
12/31/94 - 03/31/95 0.00 (0.02) (0.16) 9.76 2.53
- ------------------------------- -------------- ---------- -------------- ------------ ------------
Low Duration Fund II
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
03/31/95 $ 0.00 $ 0.00 $ (0.56) $ 9.79 4.46%
- ------------------------------- -------------- ---------- -------------- ------------ ------------
03/31/94 0.00 0.00 (0.47) 9.92 3.66
- ------------------------------- -------------- ---------- -------------- ------------ ------------
03/31/93 0.00 0.00 (0.37) 10.03 3.94
- ------------------------------- -------------- ---------- -------------- ------------ ------------
03/31/92 0.00 0.00 (0.56) 10.01 5.66
- ------------------------------- -------------- ---------- -------------- ------------ ------------
03/31/91 0.00 0.00 (0.78) 10.02 8.44
- ------------------------------- -------------- ---------- -------------- ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
------------- ----------- ------------ ---------
Selected Per Share Data for Ratio of Net
the Year or Period Ended: Net Assets Ratio of Investment Portfolio
End of Period Expenses to Income to Turnover
(000's) Average Net Average Net Rate
Assets Assets
------------- ----------- ------------ ---------
<S> <C> <C> <C> <C>
Total Return Fund
Institutional Class
03/31/95 $ 7,239,735 0.41% 6.72% 98.48%
- ------------------------------- ------------- ----------- ------------ ---------
03/31/94 5,008,160 0.41 6.27 176.74
- ------------------------------- ------------- ----------- ------------ ---------
03/31/93 3,155,441 0.43 7.07 89.95
- ------------------------------- ------------- ----------- ------------ ---------
03/31/92 1,813,935 0.46 8.18 110.46
- ------------------------------- ------------- ----------- ------------ ---------
03/31/91 975,619 0.49 9.10 98.68
- ------------------------------- ------------- ----------- ------------ ---------
Administrative Class
09/07/94 - 03/31/95 9,037 0.66 + 6.54 + 98.48
- ------------------------------- ------------- ----------- ------------ ---------
Total Return Fund III
03/31/95 $ 99,497 0.50% 6.95% 156.22%
- ------------------------------- ------------- ----------- ------------ ---------
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
03/31/95 $ 2,332,032 0.41% 6.46% 77.14%
- ------------------------------- ------------- ----------- ------------ ---------
03/31/94 2,298,255 0.43 6.05 42.69
- ------------------------------- ------------- ----------- ------------ ---------
03/31/93 1,403,594 0.45 7.21 67.51
- ------------------------------- ------------- ----------- ------------ ---------
03/31/92 906,650 0.50 8.08 37.21
- ------------------------------- ------------- ----------- ------------ ---------
03/31/91 516,325 0.57 8.97 44.31
- ------------------------------- ------------- ----------- ------------ ---------
Administrative Class
12/31/94 - 03/31/95 771 0.66 + 6.93 + 77.14
- ------------------------------- ------------- ----------- ------------ ---------
Low Duration Fund II
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
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 4,172 0.50 5.52 94.62
- ------------------------------- ------------- ----------- ------------ ---------
03/31/91 44,820 0.50 7.83 115.26
- ------------------------------- ------------- ----------- ------------ ---------
</TABLE>
19
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
------------ ---------- -------------- ----------- ---------- ------------- ------------
Selected Per Share Data for Net Asset Net Realized Total Income Dividends Dividends in Distributions
the Year or Period Ended: Value Net and Unrealized from from Net Excess of Net from Net
Beginning of Investment Gain (Loss) on Investment Investment Investment Realized
Period Income Investments Operations Income Income Capital Gains
------------ ---------- -------------- ----------- ---------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Long-Term U.S. Gov't Fund
03/31/95 $ 9.96 $ 0.60 $ (0.09) $ 0.51 $ (0.60) $ (0.02) $ 0.00
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
03/31/94 11.36 0.62 (0.06) 0.56 (1.05) (0.04) (0.70)
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
03/31/93 10.82 0.70 1.66 2.36 (0.70) 0.00 (1.12)
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
07/01/91 - 03/31/92 10.00 0.64 0.85 1.49 (0.64) 0.00 (0.03)
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
Foreign Fund
03/31/95 $ 10.18 $ 0.38 $ (0.57) $ (0.19) $ (0.00) $ 0.00 $ 0.00
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
03/31/94 10.34 0.55 0.27 0.82 (0.55) 0.00 (0.06)
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
12/03/92 - 03/31/93 10.00 0.16 0.34 0.50 (0.16) 0.00 0.00
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
Global Fund
03/31/95 $ 9.85 $ 0.69 $ (0.14) $ 0.55 $ (0.29) $ (0.24) $ 0.00
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
11/23/93 - 03/31/94 10.00 0.16 (0.15) 0.01 (0.16) 0.00 0.00
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
High Yield Fund
Institutional Class
03/31/95 $ 10.52 $ 0.99 $ (0.12) $ 0.87 $ (0.95) $ (0.02) $ 0.00
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
03/31/94 10.41 0.90 0.18 1.08 (0.90) 0.00 (0.07)
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
12/16/92 - 03/31/93 10.00 0.24 0.41 0.65 (0.24) 0.00 0.00
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
Administrative Class
01/16/95 - 03/31/95 10.14 0.23 0.25 0.48 (0.21) 0.00 0.00
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
Growth Stock Fund
03/31/95 $ 13.51 $ 0.20 $ 1.14 $ 1.34 $ (0.23) $ 0.00 $ (0.91)
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
03/31/94 14.35 0.19 (0.11) 0.08 (0.19) 0.00 (0.73)
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
03/31/93 13.21 0.20 1.31 1.51 (0.20) 0.00 (0.17)
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
03/31/92 11.93 0.23 1.28 1.51 (0.23) 0.00 0.00
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
03/31/91 10.47 0.31 1.45 1.76 (0.30) 0.00 0.00
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
StocksPLUS Fund
03/31/95 $ 9.52 $ 1.03 $ 0.69 $ 1.72 $ (0.76) $ 0.00 $ 0.00
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
05/14/93 - 03/31/94 10.00 0.34 0.10 0.44 (0.34) (0.01) (0.10)
- --------------------------- ------------ ---------- -------------- ----------- ---------- ------------- ------------
</TABLE>
+ Annualized
See Notes to Financial Statements
20
<PAGE>
<TABLE>
<CAPTION>
------------ --------- ------------- ------------ ------------ -------------
Selected Per Share Data for Distributions
the Year or Period Ended: in Excess of Tax Basis Total Net Asset Net Assets
Net Realized Return of Distributions Value End of Total Return End of Period
Capital Gains Capital Period (000's)
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
Long-Term U.S. Gov't Fund
03/31/95 $ 0.00 $ 0.00 $ (0.62) $ 9.85 5.50% $ 32,349
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
03/31/94 (0.17) 0.00 (1.96) 9.96 4.13 25,978
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
03/31/93 0.00 0.00 (1.82) 11.36 23.42 22,946
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
07/01/91 - 03/31/92 0.00 0.00 (0.67) 10.82 20.57 + 15,900
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
Foreign Fund
03/31/95 $ 0.00 $ (0.61) $ (0.61) $ 9.38 (1.85)% $ 232,700
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
03/31/94 (0.37) 0.00 (0.98) 10.18 7.79 498,521
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
12/03/92 - 03/31/93 0.00 0.00 (0.16) 10.34 16.23 + 178,895
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
Global Fund
03/31/95 $ 0.00 $ 0.00 $ (0.53) $ 9.87 10.35% $ 76,476
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
11/23/93 - 03/31/94 0.00 0.00 (0.16) 9.85 0.08 40,485
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
High Yield Fund
Institutional Class
03/31/95 $ 0.00 $ 0.00 $ (0.97) $ 10.42 8.81% $ 336,310
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
03/31/94 0.00 0.00 (0.97) 10.52 10.65 219,976
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
12/16/92 - 03/31/93 0.00 0.00 (0.24) 10.41 24.43 + 24,069
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
Administrative Class
01/16/95 - 03/31/95 0.00 0.00 (0.21) 10.41 4.66 41
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
Growth Stock Fund
03/31/95 $ 0.00 $ 0.00 $ (1.14) $ 13.71 10.65% $ 15,429
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
03/31/94 0.00 0.00 (0.92) 13.51 (0.48) 22,513
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
03/31/93 0.00 0.00 (0.37) 14.35 11.51 22,907
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
03/31/92 0.00 0.00 (0.23) 13.21 12.87 15,590
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
03/31/91 0.00 0.00 (0.30) 11.93 17.14 4,550
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
StocksPLUS Fund
03/31/95 $ 0.00 $ 0.00 $ (0.76) $ 10.48 18.64% $ 46,498
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
05/14/93 - 03/31/94 (0.47) 0.00 (0.92) 9.52 1.55 14,330
- --------------------------- ------------ --------- ------------- ------------ ------------ -------------
</TABLE>
<TABLE>
<CAPTION>
----------- ------------ ---------
Selected Per Share Data for Ratio of Net
the Year or Period Ended: Ratio of Investment
Expenses to Income to Portfolio
Average Net Average Net Turnover
Assets Assets Rate
----------- ------------ ---------
<S> <C> <C> <C>
Long-Term U.S. Gov't Fund
03/31/95 0.50% 6.62% 88.92%
- --------------------------- ----------- ------------ ---------
03/31/94 0.50 5.37 97.67
- --------------------------- ----------- ------------ ---------
03/31/93 0.50 6.16 320.08
- --------------------------- ----------- ------------ ---------
07/01/91 - 03/31/92 0.50 + 7.91 + 427.81
- --------------------------- ----------- ------------ ---------
Foreign Fund
03/31/95 0.47% 6.44% 345.26%
- --------------------------- ----------- ------------ ---------
03/31/94 0.54 5.12 260.34
- --------------------------- ----------- ------------ ---------
12/03/92 - 03/31/93 0.65 + 4.97 + 122.55
- --------------------------- ----------- ------------ ---------
Global Fund
03/31/95 0.64% 5.59% 490.69%
- --------------------------- ----------- ------------ ---------
11/23/93 - 03/31/94 0.50 + 4.55 + 132.41
- --------------------------- ----------- ------------ ---------
High Yield Fund
Institutional Class
03/31/95 0.48% 9.37% 77.60%
- --------------------------- ----------- ------------ ---------
03/31/94 0.50 8.40 112.40
- --------------------------- ----------- ------------ ---------
12/16/92 - 03/31/93 0.50 + 8.24 + 29.74
- --------------------------- ----------- ------------ ---------
Administrative Class
01/16/95 - 03/31/95 0.73 + 10.12 + 77.60
- --------------------------- ----------- ------------ ---------
Growth Stock Fund
03/31/95 0.50% 1.43% 89.98%
- --------------------------- ----------- ------------ ---------
03/31/94 0.50 1.39 81.36
- --------------------------- ----------- ------------ ---------
03/31/93 0.53 1.53 63.91
- --------------------------- ----------- ------------ ---------
03/31/92 0.60 2.02 64.63
- --------------------------- ----------- ------------ ---------
03/31/91 0.60 2.93 93.22
- --------------------------- ----------- ------------ ---------
StocksPLUS Fund
03/31/95 0.50% 11.89% 176.98%
- --------------------------- ----------- ------------ ---------
05/14/93 - 03/31/94 0.50 + 4.00 + 33.29
- --------------------------- ----------- ------------ ---------
</TABLE>
21
<PAGE>
SCHEDULE OF INVESTMENTS
Total Return Fund
March 31, 1995
[PIE GRAPH APPEARS HERE]
U.S. Treasury Obligations 5.4%
Short-Term Instruments 7.2%
Mortgage-Backed Securities 48.5%
Corporate Bonds and Notes 37.0%
Other 3.1%
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- --------------------------------------------------------------------------------
Corporate Bonds and Notes - 37.0%
- --------------------------------------------------------------------------------
Banking and Finance - 17.8%
American General Financial Corp.
8.125% due 04/19/95 $ 500 $ 500
8.100% due 08/15/95 1,000 1,005
Associates Corp. of North America
4.500% due 02/15/96 250 245
6.875% due 01/15/97 1,000 994
6.125% due 02/01/98 300 291
8.800% due 08/01/98 400 416
AT&T Capital Corp.
6.300% due 07/30/96 17,500 17,399
6.990% due 10/04/96 5,000 5,012
Bancomer
8.000% due 07/07/98 3,000 2,029
8.000% due 07/07/98 4,000 2,705
Banesto
7.900% due 12/28/95 (d) 63,000 63,000
8.250% due 07/28/02 28,900 28,467
Bankers Trust
7.250% due 11/01/96 300 299
8.000% due 03/15/97 250 253
Banponce Corp.
8.170% due 12/09/96 25,000 25,311
6.688% due 03/19/97 (d) 25,000 25,001
8.040% due 11/24/97 9,000 9,079
Canadian Pacific Securities Ltd.
9.450% due 08/01/21 2,750 3,055
Capital One Bank
6.250% due 12/05/95 (d) 20,000 19,956
7.375% due 07/11/96 (d) 12,000 12,007
Chemical Banking Corp.
6.663% due 06/08/95 (d) 400 400
Chrysler Financial Corp.
8.300% due 10/04/95 20,625 20,741
8.125% due 12/15/96 13,000 13,176
10.340% due 05/15/08 1,000 1,033
5.330% due 08/01/08 (d) 8,875 8,831
Citicorp
5.700% due 02/12/96 5,100 5,047
8.750% due 11/01/96 5,000 5,074
6.875% due 07/10/97 (d) 6,000 5,720
8.750% due 02/15/98 9,000 9,290
6.375% due 05/29/98 (d) 21,600 21,357
6.500% due 05/01/04 (d) 3,938 3,940
Commercial Credit Group, Inc.
8.375% due 04/15/95 1,000 1,000
9.200% due 06/15/95 1,200 1,206
Continental Bank Corp.
9.875% due 06/15/96 6,000 6,165
Coso Funding
7.220% due 06/30/95 10,000 9,813
Discover Credit Corp.
6.526% due 06/05/95 (d) 2,500 2,502
6.526% due 06/30/95 (d) 2,500 2,502
6.526% due 07/10/95 (d) 4,000 4,005
6.576% due 07/24/95 (d) 2,000 2,001
8.940% due 06/27/96 4,500 4,586
8.730% due 08/15/96 22,110 22,538
Dow Capital
8.250% due 02/15/96 12,250 12,392
European Investment Bank
13.000% due 08/31/96 167 177
Farmers Group, Inc.
8.250% due 07/15/96 500 506
First Chicago Corp.
8.200% due 11/15/96 5,000 5,084
First Fidelity Bancorp
9.750% due 05/25/95 20,215 20,290
First Interstate Bancorp
12.750% due 05/01/97 1,250 1,368
6.813% due 06/25/97 (d) 5,000 5,013
First Security Bank
7.450% due 11/15/96 34,000 33,904
First Union Corp.
5.950% due 07/01/95 19,250 19,226
Ford Capital
9.125% due 04/08/96 3,250 3,315
Ford Motor Credit Co.
7.050% due 06/17/96 200 200
9.350% due 05/14/97 1,000 1,039
7.270% due 11/09/98 (d) 250 248
General Electric Capital Corp.
5.250% due 11/15/95 525 521
8.670% due 12/15/95 1,000 1,014
8.300% due 09/20/09 150 159
General Motors Acceptance Corp.
8.600% due 04/05/95 10,400 10,407
8.500% due 04/10/95 8,575 8,577
6.950% due 04/10/95 2,000 2,000
7.050% due 04/13/95 5,560 5,562
9.450% due 05/18/95 1,500 1,507
6.600% due 06/02/95 6,050 6,056
6.650% due 06/05/95 6,300 6,301
5.150% due 06/05/95 10,000 9,977
6.450% due 06/19/95 2,255 2,254
6.300% due 06/23/95 3,900 3,903
8.550% due 07/03/95 5,000 5,029
8.750% due 08/01/95 4,535 4,563
8.400% due 08/10/95 1,000 1,007
5.300% due 09/08/95 4,000 3,977
7.500% due 10/15/95 24,900 24,984
4.600% due 10/18/95 1,000 989
4.750% due 12/01/95 23,000 22,685
7.300% due 12/18/95 1,500 1,505
4.875% due 01/11/96 20,000 19,696
8.750% due 02/01/96 12,000 12,169
8.650% due 04/12/96 3,000 3,046
6.050% due 04/19/96 25,000 24,747
6.750% due 05/20/96 30,000 29,891
7.750% due 07/18/96 5,000 5,038
6.438% due 08/30/96 (d) 19,500 19,506
8.000% due 10/01/96 1,000 1,010
6.800% due 10/15/96 (d) 36,000 36,250
7.875% due 11/05/96 250 252
7.875% due 03/04/97 250 254
6.700% due 04/15/97 4,100 4,048
7.100% due 07/01/97 1,700 1,686
7.850% due 11/17/97 1,000 1,009
Georgia Pacific Credit Corp.
9.850% due 06/15/97 1,000 1,046
Goldman Sachs
5.000% due 08/23/96 2,000 1,944
Great Western Bank
8.625% due 12/01/98 3,000 3,067
10.500% due 05/30/00 500 538
10.250% due 06/15/00 5,500 5,922
Heller Financial
6.450% due 02/15/97 2,275 2,257
Home Savings of America
10.500% due 06/12/97 2,300 2,370
Huntington Bank
7.750% due 07/19/96 50,000 50,501
IBM Credit Corp.
4.700% due 08/01/95 1,035 1,029
</TABLE>
22
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Inter-American Development Bank
8.875% due 06/01/09 $ 200 $ 224
ITT Hartford
7.250% due 12/01/96 500 498
Japanese Finance Corp.
9.875% due 02/23/96 1,000 1,024
Keycorp
8.550% due 05/30/95 2,500 2,511
Manufacturer's Hanover Corp.
8.125% due 01/15/97 417 422
Maritrans Capital Corp.
9.250% due 04/01/07 1,000 853
Mellon Financial
6.125% due 11/15/95 20,000 19,946
Merrill Lynch & Co.
8.600% due 07/08/95 400 402
7.813% due 12/15/95 (d) 26,000 25,968
7.813% due 12/18/95 (d) 30,000 30,197
7.350% due 02/26/96 (d) 500 490
4.750% due 06/24/96 450 437
Morgan Guarantee
0.000% due 02/22/96 (f) 500 463
Morgan Stanley Group
7.790% due 02/03/97 21,000 21,146
Nationsbank Corp.
5.375% due 12/01/95 350 347
NCNB Corp.
8.500% due 11/01/96 1,000 1,018
10.500% due 03/15/99 5,000 5,157
Northern Trust
9.000% due 05/15/98 100 104
Norwest Financial, Inc.
7.250% due 11/01/95 600 602
4.970% due 10/29/96 300 290
6.500% due 11/15/97 1,500 1,473
PaineWebber, Inc.
9.625% due 05/01/95 48,315 48,366
Saferco
9.420% due 05/31/96 600 616
9.460% due 05/31/99 1,000 1,067
9.590% due 05/31/01 3,000 3,278
Salomon, Inc.
5.752% due 04/24/95 (d) 10,000 9,994
8.700% due 06/15/95 5,000 5,017
9.000% due 07/01/95 10,000 10,046
4.880% due 08/01/95 10,000 9,936
6.020% due 08/07/95 50,000 49,837
6.010% due 08/07/95 50,000 49,835
6.763% due 09/29/95 (d) 20,000 19,987
6.540% due 12/01/95 4,000 3,979
6.825% due 01/19/96 (d) 10,400 10,406
6.445% due 02/23/96 (d) 9,930 9,899
7.400% due 03/28/96 40,000 39,946
7.190% due 08/06/96 (d) 9,000 8,953
6.995% due 10/23/96 (d) 5,560 5,411
6.870% due 11/21/96 (d) 19,000 19,054
7.500% due 06/15/99 3,000 3,004
Security Pacific Corp.
6.188% due 08/15/96 (d) 4,500 4,478
Shearson Lehman
4.601% due 07/22/96 8,000 7,725
Signet Banking Corp.
9.625% due 06/01/99 6,500 6,878
6.438% due 05/15/97 (d) 1,000 1,008
6.438% due 04/15/98 (d) 1,000 1,000
SKW Realty L.P.
9.050% due 04/15/04 1,000 993
Tenneco Credit Corp.
9.250% due 11/01/96 4,500 4,623
Texaco Capital
7.875% due 05/01/95 400 401
Transamerica Financial
7.424% due 04/20/99 (d) 500 489
USLife Corp.
6.750% due 01/15/98 100 98
Wells Fargo & Co.
5.610% due 08/18/95 500 498
Xerox Credit Corp.
5.375% due 07/15/95 14,625 14,595
6.250% due 01/15/96 150 150
10.125% due 04/15/99 1,500 1,545
----------
1,287,650
----------
Industrials - 15.2%
American Airlines Equipment Trust
10.210% due 01/01/10 6,500 7,381
9.730% due 09/29/14 275 285
American Home Products
6.875% due 04/15/97 900 893
AMR Corp.
6.250% due 07/01/95 9,790 9,765
7.313% due 11/15/95 (d) 52,950 53,123
9.760% due 01/11/96 4,000 4,053
7.470% due 01/28/97 6,500 6,401
7.750% due 12/01/97 8,000 7,956
9.500% due 07/15/98 5,500 5,730
8.050% due 03/05/99 4,000 3,908
9.750% due 03/15/00 7,760 8,023
10.610% due 01/11/01 4,000 4,370
10.570% due 01/15/01 3,000 3,210
10.590% due 01/31/01 3,000 3,213
10.000% due 02/01/01 2,000 2,137
10.000% due 03/07/01 1,500 1,568
9.400% due 05/08/01 3,000 3,115
9.500% due 05/15/01 3,250 3,405
9.130% due 10/25/01 2,000 2,010
8.470% due 02/20/02 2,000 1,978
8.500% due 02/26/02 1,000 991
10.450% due 03/10/11 1,000 1,045
10.400% due 03/10/11 3,000 3,165
10.420% due 03/15/11 12,500 13,207
10.200% due 03/15/20 7,130 7,551
10.150% due 05/15/20 1,400 1,443
9.880% due 06/15/20 6,400 6,507
10.500% due 03/01/21 3,500 3,720
10.375% due 03/15/21 8,000 8,341
10.000% due 04/15/21 32,635 33,562
10.125% due 06/01/21 9,200 9,458
9.750% due 08/15/21 1,770 1,824
9.800% due 10/01/21 3,750 3,787
ANR Pipeline Co.
9.625% due 11/01/21 2,500 2,785
Arkla, Inc.
8.000% due 01/15/97 1,000 1,000
9.875% due 04/15/97 52,050 54,049
9.320% due 12/15/97 1,000 1,026
8.740% due 05/14/98 3,000 3,015
9.875% due 02/15/18 5,000 4,925
Coastal Corp.
8.750% due 05/15/99 4,000 4,071
9.750% due 08/01/03 1,000 1,079
11.750% due 06/15/06 42,050 45,204
Coca-Cola Co.
7.750% due 02/15/96 350 353
Columbia Healthcare
6.275% due 07/28/97 2,000 2,000
</TABLE>
23
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
March 31, 1995
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Deere & Co.
8.470% due 03/18/96 $ 400 $ 406
Delta Air Lines
8.250% due 05/15/96 6,000 6,033
7.730% due 05/14/97 8,800 8,740
9.875% due 05/15/00 3,250 3,463
8.250% due 12/27/07 500 500
9.750% due 05/15/21 500 507
Delta Air Lines Equipment Trust
10.500% due 01/02/07 8,848 9,210
9.550% due 01/02/08 7,773 7,822
10.000% due 06/05/13 10,828 11,050
Ford Motor Co.
8.180% due 06/30/96 2,829 2,958
General Motors Corp.
8.170% due 01/02/00 3,879 3,895
8.950% due 07/02/09 21,500 22,300
Georgia Gulf Co.
15.000% due 04/15/00 9,898 9,947
IBM Corp.
9.000% due 05/01/98 8,500 8,516
Maxus Energy Corp.
10.100% due 10/27/95 1,100 1,088
Mazda Manufacturing Corp.
10.500% due 07/01/08 152 182
10.500% due 07/01/08 365 437
10.500% due 07/01/08 31 37
10.500% due 07/01/08 1,432 1,714
McDermott, Inc.
9.375% due 03/15/02 1,000 1,059
Merck & Co.
7.750% due 05/01/96 1,000 1,011
News America Holdings Corp.
8.625% due 02/01/03 750 761
12.000% due 12/15/01 2,000 2,254
Occidental Petroleum
10.750% due 05/01/98 5,000 5,012
11.750% due 03/15/11 62,877 68,327
Oryx Energy Co.
10.375% due 09/15/18 7,370 7,296
Pepsico, Inc.
7.875% due 08/15/96 250 253
5.463% due 07/01/98 400 378
7.750% due 10/01/98 500 508
Philip Morris Co.
8.750% due 12/01/96 5,000 5,114
9.800% due 12/15/98 1,747 1,777
Portland General Corp.
8.880% due 11/28/95 6,500 6,588
RJR Nabisco
9.250% due 05/01/95 500 501
8.000% due 01/15/00 6,500 6,469
7.625% due 09/01/00 6,000 5,707
Sears Roebuck & Co.
6.490% due 06/12/95 6,000 6,007
8.570% due 07/10/95 10,000 10,038
8.800% due 01/15/96 20,000 20,225
6.580% due 07/23/97 150 147
0.000% due 07/12/98 610 463
System Energy Resources
10.500% due 09/01/96 44,700 46,318
7.430% due 01/15/11 5,500 5,143
Texas Instruments
9.000% due 07/15/99 14,500 14,804
Time Warner, Inc.
6.050% due 07/01/95 10,000 9,900
7.450% due 02/01/98 1,000 994
0.000% due 08/15/02 (f) 204,026 198,160
9.150% due 02/01/23 7,500 7,141
8.375% due 07/15/33 63,300 55,603
UAL Equipment Trust
10.360% due 11/13/12 7,000 7,591
10.020% due 03/22/14 4,500 4,797
10.125% due 03/22/15 14,300 14,349
9.060% due 06/17/15 5,000 4,952
9.210% due 01/21/17 2,000 1,998
Union Pacific Corp.
8.875% due 03/01/98 3,000 3,004
United Air Lines
6.750% due 12/01/97 11,400 10,890
10.670% due 05/01/04 16,050 17,405
10.250% due 07/15/21 24,050 24,458
9.750% due 08/15/21 10,550 10,273
USX Corp.
7.063% due 09/18/96 (d) 8,000 8,025
6.375% due 07/15/98 16,200 15,595
0.000% due 08/09/05 51,500 23,368
Varity Corp.
11.375% due 11/15/98 10,500 11,069
Vons
6.625% due 05/15/98 12,500 11,812
Wal-Mart Stores
8.000% due 05/01/96 100 101
----------
1,103,082
----------
Utilities - 4.0%
Arkansas Power & Light
10.370% due 12/22/97 3,000 3,160
Bell Atlantic Financial
6.625% due 11/30/97 400 392
Carolina Power & Light
7.900% due 12/27/96 11,000 11,144
5.375% due 07/01/98 100 94
Central Maine Power Co.
5.750% due 07/22/96 9,000 8,779
4.920% due 07/22/96 8,000 7,723
6.250% due 11/01/98 1,000 927
Chesapeake & Potomac Telephone
8.000% due 10/15/29 1,125 1,214
Cleveland Electric Illuminating Co.
9.800% due 05/15/95 11,000 11,023
9.550% due 06/01/95 4,000 4,009
9.050% due 08/14/95 2,000 2,011
9.375% due 03/01/17 3,000 2,675
CMS Energy
0.000% due 10/01/97 (f) 31,100 28,495
Commonwealth Edison
6.125% due 05/15/95 6,000 5,995
7.000% due 02/15/97 5,175 5,104
Consumers Power Co.
8.750% due 02/15/98 5,550 5,677
CTC Mansfield Funding
10.250% due 03/30/03 9,000 8,819
11.125% due 09/30/16 90,315 88,960
First PV Funding
8.950% due 01/15/97 373 375
10.300% due 01/15/14 984 984
10.150% due 01/15/16 14,360 14,073
Georgia Power
5.125% due 09/01/95 250 249
GTE California
7.750% due 12/01/98 1,800 1,801
GTE Northwest
9.750% due 10/15/30 1,000 1,073
Hydro-Quebec
10.750% due 06/15/10 900 942
9.400% due 02/01/21 500 541
</TABLE>
24
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
9.500% due 11/15/30 $ 2,370 $ 2,590
New England Power
6.140% due 02/02/98 500 488
Public Service of New Hampshire
15.230% due 07/01/00 3,550 4,131
Southern California Edison
6.125% due 07/15/97 500 489
5.450% due 06/15/98 400 377
Texas Gas Transmission Corp.
9.625% due 07/15/97 5,400 5,569
Texas-New Mexico Power
11.250% due 01/15/97 5,500 5,722
Toledo Edison Co.
6.125% due 08/01/97 200 188
8.180% due 07/30/02 1,400 1,236
8.700% due 09/01/02 10,000 8,668
7.850% due 03/31/03 7,000 5,956
7.875% due 08/01/04 500 424
Transco Energy
9.500% due 12/01/95 8,030 8,189
Transcontinental Gas Pipeline
6.210% due 05/15/00 (d) 1,000 989
Tucson Electric Power
8.500% due 10/01/09 1,000 921
United Telecommunications
10.450% due 01/01/96 25,000 26,148
Virginia Electric & Power Co.
4.500% due 05/01/95 797 796
9.375% due 06/01/98 500 528
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/13 991 909
----------
290,557
----------
Total Corporate Bonds and Notes 2,681,289
(Cost $2,718,833) ----------
- --------------------------------------------------------------------------------
U. S. Treasury Obligations - 5.4%
- --------------------------------------------------------------------------------
U. S. Treasury Bond - 0.0%
7.250% due 05/15/16 600 580
U. S. Treasury Notes - 5.4%
5.875% due 05/15/95 250 250
4.125% due 06/30/95 300 299
4.625% due 08/15/95 1,615 1,606
3.875% due 08/31/95 (c) 23,720 23,505
3.875% due 10/31/95 (c) 267,200 263,693
4.250% due 11/30/95 76,400 75,373
4.000% due 01/31/96 21,900 21,476
7.500% due 02/29/96 500 504
7.250% due 08/31/96 355 358
5.500% due 07/31/97 500 486
5.625% due 08/31/97 1,700 1,654
6.000% due 11/30/97 450 440
6.375% due 01/15/00 390 380
6.375% due 08/15/02 300 286
5.750% due 08/15/03 725 658
----------
390,968
----------
Total U. S. Treasury Obligations 391,548
(Cost $390,159) ----------
- --------------------------------------------------------------------------------
U. S. Government Agencies - 0.1%
- --------------------------------------------------------------------------------
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/08 1,485 1,508
Federal Home Loan Bank
10.300% due 07/25/95 500 506
5.375% due 11/27/95 500 497
4.410% due 07/08/96 400 386
8.250% due 11/25/96 800 817
6.320% due 12/04/97 1,500 1,478
Federal Home Loan Mortgage Corp.
8.550% due 03/15/96 8 8
8.125% due 09/30/96 1,000 1,019
9.000% due 09/15/08 67 67
10.250% due 03/15/09 44 46
Federal National Mortgage Assn.
8.000% due 07/10/96 50 51
----------
Total U. S. Government Agencies 6,383
(Cost $6,520) ----------
- --------------------------------------------------------------------------------
Mortgage-Backed Securities - 48.5%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation - 3.1%
5.250% due 12/01/98 94 91
5.375% due 04/01/17 99 97
5.805% due 10/01/23 (d) 3,933 3,935
6.106% due 10/01/23 (d) 4,284 4,285
5.500% due 07/01/00 - 03/01/10 (e) 260 253
5.790% due 11/01/23 (d) 3,350 3,352
5.546% due 10/01/23 (d) 7,773 7,614
6.502% due 09/01/23 (d) 7,114 7,062
5.702% due 12/01/23 (d) 15,358 15,262
5.600% due 11/01/23 (d) 4,059 4,041
5.613% due 11/01/23 (d) 2,489 2,478
6.473% due 09/01/23 (d) 10,113 10,097
5.671% due 10/01/23 (d) 13,341 13,088
5.827% due 08/01/23 (d) 8,029 8,091
5.913% due 08/01/23 4,495 4,497
5.891% due 09/01/23 12,355 12,393
5.929% due 01/01/24 (d) 11,963 11,941
5.984% due 07/01/23 3,530 3,569
6.057% due 10/01/24 (d) 41,901 42,176
6.000% due 12/01/98 81 79
6.153% due 08/01/24 (d) 7,460 7,484
6.138% due 09/01/23 18,081 18,271
6.250% due 06/01/17 68 68
6.426% due 08/01/24 (d) 16,090 16,135
6.500% due 04/01/08 - 01/01/09 (e) 335 320
6.629% due 07/01/23 (d) 7,245 7,250
7.000% due 12/01/03 - 06/01/10 (e) 173 168
7.500% due 05/01/99 - 01/01/17 (e) 1,452 1,422
7.625% due 01/01/19 30 30
7.750% due 04/01/07 131 131
8.000% due 10/01/07 - 05/01/17 (e) 6,232 6,183
8.250% due 08/01/07 - 02/01/08 (e) 232 232
8.500% due 09/01/01 - 06/01/17 (e) 2,328 2,349
8.750% due 02/01/01 - 09/01/10 (e) 1,359 1,388
9.000% due 01/01/02 - 05/01/17 (e) 2,493 2,551
9.250% due 06/01/09 - 08/01/09 (e) 303 313
9.500% due 06/01/02 - 06/01/21 (e) 7,362 7,661
10.000% due 06/01/04 - 12/01/05 (e) 2,340 2,443
11.000% due 12/01/99 - 07/01/19 (e) 2,850 3,080
11.250% due 10/01/09 - 09/01/15 (e) 269 291
11.500% due 03/01/00 25 27
12.500% due 07/01/99 25 27
13.250% due 10/01/13 88 99
14.000% due 04/01/16 64 71
15.500% due 08/01/11 - 11/01/11 (e) 40 46
16.250% due 05/01/11 12 14
----------
232,455
----------
Federal Housing Administration - 1.0%
5.250% due 02/01/03 403 364
7.211% due 12/01/21 4,426 4,427
7.375% due 03/01/19 - 07/01/21 (e) 5,561 5,458
7.399% due 02/01/21 2,904 2,862
</TABLE>
25
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
March 31, 1995
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
7.430% due 12/01/16 - 05/01/23 (e) $ 56,902 $ 56,214
7.650% due 11/01/18 431 422
----------
69,747
----------
Federal National Mortgage Association - 3.4%
3.239% due 07/25/23 (d) 95 32
4.336% due 06/01/24 (d) 28,926 27,611
4.496% due 09/01/24 (d) 8,434 8,149
4.628% due 05/01/24 (d) 14,966 14,494
4.750% due 01/01/96 8 8
5.356% due 07/01/24 (d) 55,573 55,695
5.372% due 10/01/24 (d) 9,845 9,641
5.531% due 12/01/23 (d) 14,807 14,858
5.581% due 12/01/23 (d) 7,818 7,741
5.683% due 01/01/24 (d) 16,600 16,325
6.000% due 03/01/18 (d) 85 85
5.912% due 06/01/24 (d) 5,310 5,382
5.930% due 09/01/23 (d) 13,760 13,900
6.000% due 03/01/24 2,761 2,442
6.207% due 01/01/24 (d) 3,606 3,590
6.300% due 10/01/19 3,765 3,818
6.500% due 10/01/05 - 04/01/08 (e) 688 670
6.862% due 10/01/23 (d) 8,675 8,840
6.750% due 08/01/03 1,261 1,232
6.952% due 08/01/23 (d) 5,005 5,119
7.000% due 04/01/04 - 03/01/08 (e) 1,257 1,228
7.177% due 05/01/22 2,547 2,589
7.250% due 05/01/02 - 01/01/23 (e) 12,568 12,076
7.750% due 06/01/09 296 291
8.000% due 09/01/01 - 04/01/18 (e) 3,374 3,390
8.250% due 11/01/04 - 02/01/17 (e) 1,923 1,938
8.500% due 07/01/99 - 09/01/18 (e) 12,331 12,603
9.000% due 01/01/99 - 04/01/17 (e) 4,885 5,054
9.100% due 02/25/02 2,301 2,353
9.500% due 03/01/16 84 88
9.750% due 11/01/08 242 256
10.500% due 12/01/16 - 04/01/22 (e) 2,039 2,206
13.000% due 09/01/13 110 124
13.250% due 09/01/11 36 41
14.500% due 09/01/11 - 01/01/13 (e) 129 146
14.750% due 08/01/12 - 11/01/14 (e) 289 333
15.500% due 10/01/12 45 51
15.750% due 12/01/11 - 08/01/12 (e) 130 149
16.000% due 09/01/12 45 51
----------
244,599
----------
Government National Mortgage Association - 9.0%
5.500% due 01/20/23 - 06/20/24 (e) 37,995 36,401
5.650% due 10/15/12 30 27
6.000% due 10/15/08 - 04/20/24 (e) 42,120 41,426
6.500% due 10/15/08 - 09/20/24 (e) 299,481 298,165
7.000% due 10/15/08 - 03/20/25 (e) 178,574 179,749
7.500% due 08/15/05 - 03/20/25 (e) 37,942 38,480
8.000% due 08/15/05 - 11/15/17 (e) 38,565 38,653
8.250% due 08/15/04 - 07/15/08 (e) 1,088 1,105
8.500% due 06/15/01 - 11/15/22 (e) 1,210 1,236
8.750% due 03/15/07 - 07/15/07 (e) 244 250
9.000% due 09/15/01 - 06/15/22 (e) 5,500 5,705
9.250% due 10/15/01 - 03/15/06 (e) 907 940
9.500% due 04/15/01 - 04/15/20 (e) 3,381 3,552
9.750% due 08/15/97 - 01/15/21 (e) 1,225 1,294
10.000% due 06/20/01 - 03/20/20 (e) 2,459 2,638
10.250% due 05/15/01 - 08/20/14 (e) 80 85
10.500% due 06/15/04 - 10/15/15 (e) 242 258
10.750% due 08/15/98 - 09/15/98 (e) 76 79
11.000% due 05/15/04 195 209
11.250% due 05/15/95 - 03/15/01 (e) 16 17
11.500% due 04/15/13 - 05/15/13 (e) 24 27
12.000% due 03/20/99 - 03/15/15 (e) 163 179
12.500% due 01/15/11 8 10
13.000% due 12/15/12 - 10/15/14 (e) 116 134
13.250% due 07/20/14 - 10/20/14 (e) 54 61
13.500% due 11/15/12 - 12/15/12 (e) 19 22
14.500% due 09/15/12 49 57
15.000% due 09/15/12 - 10/15/12 (e) 27 31
16.000% due 01/15/12 - 04/15/12 (e) 18 22
17.000% due 11/15/11 - 12/15/11 (e) 206 247
----------
651,059
----------
Collateralized Mortgage Obligations - 19.8%
American Housing
8.300% due 10/25/15 75 76
9.000% due 01/25/21 3,475 3,559
American Southwest Financial
12.250% due 11/01/14 138 154
9.450% due 03/01/15 2,209 2,256
12.000% due 05/01/15 2,717 3,038
11.400% due 09/01/15 1,807 1,885
10.500% due 11/20/15 2,788 2,819
Bankers Trust
8.625% due 04/01/18 314 320
Bear Stearns
9.200% due 11/01/18 91 94
7.500% due 09/20/20 7,605 7,152
6.813% due 10/25/23 (d) 13,228 13,236
10.000% due 08/25/24 15,018 17,127
Capstead
8.400% due 01/25/21 17,870 17,976
8.750% due 07/25/21 10,000 10,350
Centex Acceptance Corp.
11.000% due 11/01/15 531 563
Chase Mortgage Financial Corp.
7.500% due 10/01/23 127 126
9.500% due 04/25/24 3,390 3,450
7.000% due 07/25/24 253 251
7.750% due 01/25/25 629 630
Citicorp Mortgage
9.500% due 08/25/05 5,966 5,719
8.500% due 04/25/06 107 107
7.000% due 10/01/12 8 8
9.500% due 04/01/14 129 128
10.000% due 05/25/17 916 920
10.000% due 10/01/17 8,781 9,058
9.500% due 01/01/19 3,613 3,701
9.500% due 09/25/19 250 257
9.500% due 10/25/19 325 339
8.750% due 03/25/20 45 44
9.500% due 09/25/20 2,196 2,240
7.750% due 04/25/21 1,476 1,466
6.000% due 08/25/21 1,037 991
6.925% due 10/25/22 (d) 29,876 30,581
CMC Securities Corp.
6.345% due 09/25/23 (d) 30,895 30,788
CMO Trust
10.200% due 02/01/16 1,231 1,297
8.800% due 05/25/16 10,709 11,000
8.000% due 01/01/17 384 381
Collateralized Mortgage Securities Corp.
11.875% due 04/01/15 3,452 3,832
11.450% due 09/01/15 107 115
11.450% due 11/01/15 658 734
10.200% due 04/20/17 637 638
8.000% due 08/20/18 34 34
8.750% due 04/20/19 1,954 2,002
Drexel Mortgage Funding
9.500% due 11/20/17 2,170 2,245
</TABLE>
26
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Federal Home Loan Mortgage Corp.
8.500% due 03/15/97 $ 185 $ 185
7.000% due 06/15/97 800 797
4.500% due 11/15/04 6,396 6,352
10.750% due 11/30/05 2,732 2,873
6.500% due 08/15/06 710 667
4.750% due 09/15/09 500 487
4.750% due 07/15/10 400 391
4.750% due 03/15/12 500 477
11.000% due 11/30/15 8,389 9,364
6.210% due 08/15/17 345 325
6.250% due 10/25/17 (d) 22,291 22,458
9.500% due 01/15/19 2,359 2,425
6.500% due 05/15/19 615 573
8.250% due 05/15/19 9,529 9,608
8.500% due 10/15/19 3,239 3,305
9.000% due 11/15/19 701 707
8.500% due 01/15/20 7,330 7,428
8.500% due 03/15/20 3,000 3,067
9.000% due 05/15/20 662 671
9.125% due 06/15/20 7,369 7,587
7.800% due 09/15/20 13,426 13,241
9.000% due 09/15/20 250 259
5.500% due 10/15/20 200 169
8.750% due 10/15/20 500 508
9.000% due 10/15/20 9,072 9,374
9.500% due 11/15/20 20,426 20,984
8.750% due 12/15/20 1,265 1,304
6.000% due 12/15/20 400 342
9.000% due 12/15/20 1,317 1,385
9.000% due 12/15/20 6,953 7,216
8.000% due 03/15/21 16,398 16,254
8.500% due 06/15/21 27,477 27,995
9.000% due 07/15/21 4,029 4,234
9.500% due 07/15/21 5,530 6,171
6.950% due 07/15/21 700 648
6.950% due 08/15/21 185 163
8.000% due 08/15/21 23,472 23,245
9.000% due 11/15/21 4,938 5,045
7.500% due 11/15/21 3,500 3,413
6.850% due 01/15/22 700 638
7.000% due 07/15/22 361 271
7.250% due 10/25/23 (d) 23,738 24,065
Federal National Mortgage Assn.
8.136% due 08/25/07 (d) 126 82
7.000% due 02/25/08 1,189 1,104
10.500% due 08/25/08 7,146 8,291
6.400% due 09/25/14 1,243 1,212
8.500% due 10/25/14 366 370
10.000% due 12/25/14 3,297 3,435
7.000% due 04/25/15 2,621 2,579
7.500% due 08/25/16 11,900 11,898
8.350% due 09/25/16 99 99
9.670% due 01/25/17 1,312 1,360
9.200% due 12/25/17 3,370 3,474
9.300% due 05/25/18 3,714 3,880
9.500% due 06/25/18 1,734 1,829
5.500% due 07/25/18 220 203
8.500% due 07/25/18 700 712
9.500% due 11/25/18 10,624 11,705
7.500% due 01/25/19 6,001 6,000
9.500% due 06/25/19 7,482 7,855
6.625% due 06/25/19 153 149
8.000% due 10/25/19 15,550 15,248
8.800% due 12/25/19 9,321 9,374
7.500% due 12/25/19 200 191
9.000% due 12/25/19 17,613 18,197
8.500% due 01/25/20 140 141
7.500% due 05/25/20 8,000 7,640
10.000% due 06/25/20 3,210 3,461
8.000% due 07/25/20 350 352
9.000% due 09/25/20 5,988 6,251
8.000% due 12/25/20 400 397
8.750% due 01/25/21 9,131 9,268
7.500% due 02/25/21 23,951 23,113
7.500% due 03/25/21 20,919 20,267
7.250% due 04/25/21 8,960 8,330
7.500% due 06/25/21 320 309
8.000% due 10/25/21 22,430 22,642
6.000% due 12/25/21 200 172
8.000% due 01/25/22 21,700 21,293
8.000% due 03/25/22 954 959
8.000% due 07/25/22 2,474 2,324
7.000% due 07/25/22 8,016 7,025
6.750% due 10/25/23 413 310
First Boston Corp.
9.450% due 08/20/17 74 76
7.500% due 04/25/21 2,625 2,612
General Electric Capital Mortgage
9.500% due 04/25/21 609 609
6.500% due 01/25/24 8,367 8,252
Georgia Federal Mortgage
10.500% due 11/01/14 3,712 3,902
Greenwich
5.893% due 06/25/24 (d) 43,504 44,422
Independent National Mortgage Corp.
9.000% due 12/25/19 46,589 47,783
6.650% due 10/25/24 2,723 2,227
6.129% due 11/25/24 (d) 28,808 29,164
12.250% due 03/01/14 1,230 1,330
Kidder Peabody
8.390% due 05/20/18 731 735
6.012% due 03/25/24 (d) 65,966 64,966
Lomas Mortgage Funding Corp.
9.700% due 11/20/18 3,302 3,372
Marine Midland
8.000% due 09/25/22 350 331
8.000% due 04/25/23 206 200
Merrill Lynch Mortgage
9.250% due 12/15/09 123 128
J. P. Morgan & Co.
9.000% due 10/20/20 10,847 11,497
Morgan Stanley Mortgage
8.971% due 10/22/15 8,624 8,776
7.850% due 08/20/18 143 143
8.150% due 07/20/21 23 23
Mortgage Bankers
9.900% due 03/01/18 3,966 4,025
Norwest Mortgage
12.500% due 02/01/14 1,803 1,925
12.250% due 04/01/14 218 236
Oxford Acceptance Corp.
7.950% due 11/20/03 9,944 9,985
8.950% due 03/20/18 2,000 2,002
PaineWebber Mortgage
6.000% due 04/25/09 11,951 10,156
Prudential Bache
5.997% due 09/01/18 (d) 980 984
9.000% due 01/01/19 540 560
8.400% due 03/20/21 4,193 4,188
Prudential Home
7.000% due 04/25/99 575 565
7.500% due 05/25/08 5,380 5,371
6.900% due 03/25/23 2,000 1,979
7.000% due 04/25/23 11,504 11,396
7.550% due 03/25/24 142,177 134,009
7.425% due 04/25/24 67,274 64,418
</TABLE>
27
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
March 31, 1995
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Prudential Securities
7.500% due 03/25/19 $ 4,161 $ 4,157
PSB Financial Corp.
11.050% due 12/01/15 2,103 2,268
Residential Funding
8.083% due 02/25/07 228 229
6.500% due 09/25/08 7,000 6,205
9.000% due 01/01/20 4,307 4,370
8.500% due 02/25/21 9,354 9,373
8.000% due 01/25/23 10,000 9,897
10.000% due 09/25/23 2,510 2,623
Residential Mortgage Securities Trust
9.000% due 08/20/12 80 80
Resolution Trust Corp.
8.723% due 08/25/21 8,000 8,270
8.723% due 08/25/21 260 265
8.723% due 08/25/21 6,685 6,683
7.063% due 10/25/21 (d) 2,058 2,058
8.625% due 10/25/21 300 304
7.500% due 08/25/23 50 50
7.500% due 08/25/23 836 823
8.835% due 12/25/23 12,503 12,264
9.450% due 05/25/24 19,693 19,601
8.150% due 06/25/24 237 240
7.125% due 07/25/24 (d) 10,897 11,016
7.000% due 10/25/24 936 930
8.750% due 05/25/26 5,955 5,974
Ryan Acceptance Corp.
9.450% due 10/01/16 349 365
Ryland Acceptance Corp.
8.650% due 05/15/00 8,094 7,861
9.000% due 12/01/16 1,146 1,180
11.500% due 12/25/16 452 451
8.000% due 09/25/22 10,363 10,392
6.763% due 11/20/22 (d) 7,000 7,044
Salomon Mortgage
11.500% due 09/01/15 3,318 3,583
Santa Barbara Savings
9.500% due 11/20/18 9,120 9,361
Saxon
6.963% due 08/25/23 (d) 95,377 96,420
Sears Mortgage
12.000% due 02/25/14 2,583 2,837
9.250% due 12/01/16 4,850 5,031
UBS Mortgage
9.000% due 11/27/19 17,376 17,652
----------
1,436,063
----------
Other Mortgage-Backed Securities - 11.4%
Bank of America
8.375% due 05/01/07 6 6
9.000% due 03/01/08 163 168
9.000% due 04/05/08 49 50
9.000% due 05/01/08 13 14
9.500% due 07/01/08 76 74
Chase Mortgage Financial Corp.
8.000% due 06/25/24 1,538 1,537
Citicorp Mortgage
9.500% due 07/25/04 253 252
9.500% due 07/01/16 1,129 1,178
9.000% due 10/25/16 188 190
9.000% due 12/01/16 892 883
8.500% due 02/01/17 515 501
8.500% due 03/01/17 203 197
8.500% due 04/01/17 525 526
8.000% due 07/25/18 178 179
Countrywide
4.758% due 07/25/24 (d) 29,013 29,199
Daiwa Mortgage
7.813% due 09/25/06 (d) 4,827 4,886
Donaldson, Lufkin & Jenrette
6.895% due 08/01/21 (d) 12,852 12,963
Drexel Mortgage Funding
9.500% due 08/01/19 56 58
First Boston Mortgage Securities Corp.
8.000% due 12/01/00 172 172
First Commonwealth Savings & Loan
10.375% due 04/01/05 26 27
First Interstate
9.125% due 01/01/09 30 31
8.875% due 01/01/09 441 452
General Electric Credit Corp.
8.000% due 03/01/02 363 364
General Motors Acceptance Corp.
11.500% due 07/01/99 13 13
Glendale Federal Savings & Loan
6.744% due 03/01/28 (d) 17,155 17,200
Goldman Sachs Mortgage Corp.
6.000% due 12/31/07 12,931 10,805
Great Western
5.680% due 09/25/17 (d) 343 330
Greenwich
7.126% due 10/25/22 (d) 804 807
7.093% due 04/25/23 (d) 5,092 5,122
6.846% due 04/25/24 (d) 30,874 31,236
6.589% due 08/25/24 (d) 52,353 53,318
6.575% due 11/25/24 (d) 34,328 35,186
6.732% due 04/25/25 (d) 15,000 15,413
Guardian
5.877% due 11/30/18 (d) 1,063 957
7.371% due 02/01/19 (d) 1,218 1,097
7.536% due 05/01/19 (d) 144 129
Home Savings of America
5.354% due 05/25/27 (d) 301 288
Imperial Savings & Loan
10.000% due 09/01/16 452 475
8.800% due 01/25/17 257 263
9.800% due 07/25/17 903 927
Independent National Mortgage Corp.
7.725% due 05/30/25 (d) 72,213 73,454
Kearny St. Real Estate Co.
6.550% due 07/15/00 6,000 5,972
7.700% due 07/15/01 6,000 6,006
Kidder Peabody
6.012% due 03/25/24 (d) 20,000 19,491
LTC Commercial Corp.
7.100% due 11/28/12 6,432 6,180
MDC Mortgage Funding
6.091% due 01/25/25 (d) 27,943 28,593
Merrill Lynch Mortgage
8.159% due 04/25/23 (d) 25,775 26,137
Mid-State Trust
8.330% due 04/01/30 40,000 39,987
Olympia & York
7.739% due 03/20/99 (d) 11,268 7,099
OSCC Home Equity
6.950% due 05/15/07 270 261
PaineWebber Mortgage
6.348% due 11/25/23 (d) 5,113 5,192
Prudential Home
9.500% due 11/25/97 492 491
Residential Funding
7.000% due 08/25/08 27,501 26,575
8.500% due 05/01/17 288 289
10.000% due 07/01/17 118 124
Resolution Trust Corp.
6.788% due 12/15/04 (d) 1,615 1,619
</TABLE>
28
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
7.500% due 12/15/04 $ 3,000 $ 3,003
7.155% due 02/25/20 (d) 885 804
8.347% due 09/25/20 (d) 20,000 5,419
5.099% due 01/25/21 (d) 1,939 1,870
6.675% due 04/25/21 (d) 5,058 5,089
8.500% due 06/25/21 (d) 18,547 18,584
8.723% due 08/25/21 (d) 13,329 13,870
6.660% due 09/25/21 (d) 10,441 10,451
8.147% due 10/25/21 (d) 496 498
5.920% due 10/25/21 (d) 1,371 1,327
7.028% due 01/25/22 (d) 5,476 5,522
7.336% due 03/25/22 (d) 6,690 6,743
8.540% due 05/25/22 6,005 6,105
7.325% due 06/25/23 (d) 16,471 16,528
7.900% due 06/25/23 300 301
8.800% due 08/25/23 2,927 2,986
10.622% due 05/25/24 (d) 5,843 6,089
7.100% due 12/25/24 1,500 1,391
7.050% due 03/25/25 1,520 1,509
7.750% due 03/25/25 5,000 4,869
Rural Housing
3.330% due 04/01/26 1,056 804
Ryland Acceptance Corp.
7.184% due 07/25/22 (d) 42,000 42,315
7.855% due 08/25/22 (d) 6,429 6,545
8.200% due 09/25/22 100 103
6.806% due 08/25/29 (d) 17,512 17,761
14.000% due 11/25/31 3,643 4,039
Salomon Mortgage
7.188% due 11/25/22 (d) 4,128 4,140
6.355% due 07/01/24 (d) 52,958 54,266
Saxon
6.640% due 12/25/24 (d) 28,247 28,631
Sears Mortgage
6.993% due 06/25/22 (d) 1,866 1,860
7.613% due 10/25/22 (d) 11,241 11,849
8.719% due 05/25/32 (d) 28,824 29,283
Securitized Asset Sales, Inc.
6.790% due 10/25/23 (d) 20,934 21,098
Security Pacific Corp.
5.323% due 03/25/18 (d) 229 221
USGI Capital
8.500% due 11/25/07 12,890 12,584
Western Federal Savings & Loan
6.117% due 11/25/18 (d) 631 615
6.166% due 03/01/19 (d) 968 946
----------
824,961
----------
Stripped Mortgage-Backed Securities - 0.8%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 12/15/02 278 20
10.038% due 09/15/05 (d) 159 34
6.500% due 03/15/07 21,666 2,329
5.750% due 09/15/07 (d) 27,330 1,607
5.428% due 02/15/08 (d) 1,672 157
6.500% due 10/15/08 24,724 3,615
11.651% due 01/15/16 (d) 163 32
6.500% due 08/15/16 14,269 1,838
7.000% due 04/15/18 14,901 1,706
9.993% due 11/15/18 300 117
8.845% due 01/15/21 959 270
9.000% due 05/01/22 442 140
7.000% due 06/15/23 26,532 5,861
Federal National Mortgage Assn. (IO)
6.500% due 04/25/99 7,168 164
33.862% due 04/25/02 206 27
6.750% due 09/25/04 790 65
7.000% due 06/25/05 348 24
10.458% due 07/25/05 10,000 1,435
6.500% due 07/25/06 26,457 2,881
6.500% due 07/25/07 5,184 576
6.500% due 09/25/07 25,731 3,376
6.500% due 10/25/07 6,705 956
7.000% due 05/25/08 12,000 3,010
0.100% due 03/25/09 (d) 92,833 1,768
7.000% due 08/25/15 15,362 1,822
6.500% due 08/25/20 2,666 871
10.070% due 01/25/21 (d) 276 95
9.032% due 08/25/21 (d) 5,142 1,660
0.950% due 11/25/21 (d) 96,790 1,835
10.075% due 10/25/22 704 249
6.500% due 01/25/23 16,355 2,529
Federal National Mortgage Assn. (PO)
0.000% due 09/25/07 2,100 1,564
0.000% due 02/25/21 10,670 8,000
0.000% due 07/25/23 7,405 6,934
0.000% due 08/25/23 525 195
PaineWebber (IO)
13.595% due 08/01/19 594 239
----------
58,001
----------
Total Mortgage-Backed Securities 3,516,885
(Cost $3,554,026) ----------
- --------------------------------------------------------------------------------
Asset-Backed Securities - 0.0%
- --------------------------------------------------------------------------------
Discover Card Trust
7.300% due 05/21/99 200 200
National Credit Card Trust
9.450% due 12/31/97 400 410
----------
Total Asset-Backed Securities 610
(Cost $634) ----------
- --------------------------------------------------------------------------------
Sovereign Issues - 2.1%
- --------------------------------------------------------------------------------
Banco Nacional de Obra y Servicios
10.750% due 08/16/96 1,500 1,322
6.875% due 10/01/98 19,500 9,682
Cemex
8.875% due 06/10/98 5,000 3,369
Kingdom of Sweden
10.250% due 11/01/15 500 583
Petroleos Mexicanos
8.750% due 03/05/97 3,500 3,040
10.250% due 10/08/98 1,000 889
Province of British Columbia
13.750% due 12/01/05 1,305 1,470
Province of Newfoundland
9.000% due 06/01/19 500 537
Province of Nova Scotia
9.375% due 07/15/02 1,000 1,077
Province of Quebec
7.500% due 07/15/02 6,000 5,827
Province of Saskatchewan
9.125% due 02/15/21 3,000 3,259
Republic of Argentina
6.188% due 09/01/97 5,000 2,475
6.500% due 03/31/05 5,000 2,650
5.000% due 03/31/23 10,000 4,000
United Mexican States
6.063% due 12/31/19 2,000 1,160
7.250% due 12/31/19 59,000 34,220
6.688% due 12/31/19 30,000 17,400
6.250% due 12/31/19 2,500 1,169
6.250% due 12/31/19 126,500 59,139
----------
Total Sovereign Issues 153,268
(Cost $216,114) ----------
</TABLE>
29
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
March 31, 1995
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C> <C>
- --------------------------------------------------------------------------------
Foreign Currency-Denominated Issues (b)(h) - 0.9%
- --------------------------------------------------------------------------------
Banamex
33.500% due 08/03/95 MP 41,737 $ 4,538
Canadian National Railroad
13.000% due 11/15/04 C$ 15,112 12,029
12.250% due 05/01/05 37,120 29,016
City of Montreal
11.500% due 09/20/00 7,000 5,507
Credit Foncier
9.375% due 12/27/99 ECU 3,000 4,151
European Investment Bank
8.500% due 07/17/99 1,000 1,346
RJR Nabisco
6.875% due 11/22/00 DM 9,500 6,630
----------
Total Foreign Currency-
Denominated Issues 63,217
(Cost $65,672) ==========
- --------------------------------------------------------------------------------
OTC Interest Rate Caps - 0.0%
- --------------------------------------------------------------------------------
3 Month LIBOR
Strike @ 88 Exp. 09/20/95 $ 12,500,000 312
Strike @ 88 Exp. 09/20/95 3,500,000 13
Strike @ 88 Exp. 09/20/95 800,000 8
Strike @ 88 Exp. 12/20/95 4,550,000 57
Strike @ 88 Exp. 12/20/95 5,000,000 25
----------
Total OTC Interest Rate Caps 415
(Cost $415) ==========
- --------------------------------------------------------------------------------
Purchased CME Put Options - 0.0%
- --------------------------------------------------------------------------------
Eurodollar June Futures
Strike @ 92.50 Exp. 06/18/95 6,222,500 62
Strike @ 90.50 Exp. 06/18/95 277,500 3
Eurodollar September Futures
Strike @ 90.75 Exp. 09/18/95 4,640,000 47
Strike @ 90.25 Exp. 09/18/95 5,000,000 50
Eurodollar December Futures
Strike @ 92.25 Exp. 12/18/95 3,125,000 31
Strike @ 90.00 Exp. 12/18/95 1,625,000 16
----------
Total Purchased CME Put Options 209
(Cost $163) ==========
- --------------------------------------------------------------------------------
Preferred Stock - 0.0%
- --------------------------------------------------------------------------------
Shares
Cleveland Electric Illuminating Co.
9.125% 6 557
----------
Total Preferred Stock 557
(Cost $564) ==========
- --------------------------------------------------------------------------------
Short-Term Instruments - 7.2%
- --------------------------------------------------------------------------------
<CAPTION>
Principal
Amount
(000's)
<S> <C> <C> <C>
Certificate of Deposit - 0.2%
Bancomer
6.707% due 04/28/95 $ 15,000 14,930
Discount Notes - 6.0%
American Info Technology
6.400% due 07/28/95 500 490
AT&T Corp.
6.070% due 07/03/95 4,500 4,427
6.140% due 07/10/95 3,500 3,439
6.080% due 08/02/95 12,000 11,743
6.110% due 09/13/95 40,000 38,843
6.110% due 09/20/95 23,000 22,306
Canadian Wheat Board
5.980% due 04/12/95 600 599
6.070% due 06/02/95 2,800 2,769
6.100% due 08/21/95 9,100 8,874
Citizens Utilities
6.080% due 06/05/95 5,000 4,944
Federal Farm Credit Bank
5.950% due 04/24/95 640 638
Federal National Mortgage Assn.
6.120% due 07/25/95 1,840 1,803
Government of Germany
6.125% due 09/27/95 77,875 75,426
General Electric Capital Corp.
6.400% due 05/08/95 3,700 3,677
6.070% due 07/12/95 10,000 9,822
Government of Mexico
18.720% due 04/20/95 76,800 75,657
20.500% due 06/01/95 3,000 2,853
19.750% due 07/20/95 60,600 55,250
7.841% due 07/27/95 24,000 21,747
18.500% due 08/17/95 2,000 1,794
KFW International
5.960% due 04/07/95 300 300
Eli Lilly & Co.
6.380% due 05/05/95 4,400 4,375
National Rural Utilities Cooperative
6.020% due 05/15/95 3,000 2,979
6.000% due 05/23/95 200 198
New South Wales Treasury
6.080% due 06/14/95 4,500 4,443
Province of British Columbia
6.500% due 07/14/95 400 393
6.110% due 08/24/95 10,000 9,746
6.170% due 09/11/95 10,000 9,714
6.300% due 11/14/95 200 192
Province of Ontario
6.130% due 09/22/95 9,900 9,597
Rockwell International
6.200% due 09/06/95 10,000 9,723
Shell Oil
5.960% due 05/08/95 3,300 3,281
USX Corp.
6.440% due 04/04/95 30,000 29,994
Wisconsin Electric Power & Light
5.960% due 04/04/95 100 100
World Bank
6.070% due 11/06/95 1,600 1,538
----------
433,674
==========
Time Deposit - 0.5%
United Missouri Bank
5.069% due 04/03/95 36,067 36,067
U. S. Treasury Bills - 0.5%
5.713% due 04/06/95 (c) 6,100 6,097
5.824% due 07/27/95 (c) 15,500 15,216
6.020% due 09/21/95 (c) 120 117
6.303% due 11/16/95 (c) 13,520 13,014
----------
34,444
----------
Total Short-Term Instruments 519,115
(Cost $523,705) ==========
</TABLE>
30
<PAGE>
<TABLE>
<S> <C>
Total Investments (a) - 101.2% $7,333,496
(Cost $7,476,805)
Written Options (g) - (0.3%) (22,185)
(Premiums $41,662)
Other Assets and Liabilities (Net) - (0.9%) (62,539)
----------
Net Assets - 100.0% $7,248,772
==========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1995, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 44,270
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (187,680)
----------
Unrealized depreciation-net $ (143,410)
==========
(b) Foreign currency forward contracts outstanding at
March 31, 1995:
<TABLE>
<CAPTION>
Principal
Amount
Covered Expiration Unrealized
Type By Contract Month Depreciation
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell C$ 64,152 4/95 $ (585)
Sell DM 9,628 4/95 (126)
Sell ECU 4,416 4/95 (139)
---------
$ (850)
=========
</TABLE>
(c) Securities with an aggregate market value of $321,642 have been
segregated with the custodian to cover margin requirements for
the following open future contracts at March 31, 1995:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 30 Year Bond (6/95) 3,987 $ 5,042
U.S. Treasury 2 Year Note (6/95) 50 47
U.S. Treasury 5 Year Note (6/95) 10,524 5,232
U.S. Treasury 10 Year Note (6/95) 10,377 11,292
---------
$ 21,613
=========
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1995.
(e) Securities are grouped by coupon rate and represent a range
of maturities.
(f) Security becomes interest bearing at a future date.
(g) Premiums received on Written Options:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
CME Call Eurodollar June Futures
Strike @ 92.50 Exp. 05/12/95 $ 5,000,000 $ 1,595 $ 2,000
CME Call Eurodollar September Futures
Strike @ 93.00 Exp. 09/18/95 1,000,000 544 1,150
Strike @ 93.25 Exp. 09/18/95 1,000,000 319 800
Strike @ 93.50 Exp. 09/18/95 5,000,000 2,545 2,374
OTC Call United Mexican States 6.25% 12/31/19
Strike @ 54.875 Exp. 06/26/95 50,000 483 410
Strike @ 55.50 Exp. 09/11/95 10,000 150 125
CBOT Call U.S. Treasury Bond June Futures
Strike @ 106.00 Exp. 05/20/95 850,000 7,019 4,515
CME Put Eurodollar June Futures
Strike @ 93.50 Exp. 05/12/95 8,000,000 1,627 3,200
CME Put Eurodollar September Futures
Strike @ 91.25 Exp. 09/18/95 4,677,000 3,023 234
Strike @ 91.50 Exp. 09/18/95 4,500,000 2,681 338
Strike @ 91.75 Exp. 09/18/95 4,878,000 3,371 488
Strike @ 92.00 Exp. 09/18/95 1,700,000 996 213
Strike @ 92.25 Exp. 09/18/95 3,000,000 2,432 525
Strike @ 92.25 Exp. 09/18/95 1,000,000 1,569 800
Strike @ 92.50 Exp. 09/18/95 6,606,000 3,376 1,652
Strike @ 92.75 Exp. 09/18/95 2,300,000 1,274 920
CME Put Eurodollar December Futures
Strike @ 91.50 Exp. 12/18/95 2,551,000 2,613 638
Strike @ 92.00 Exp. 12/18/95 850,000 901 340
CBOT Put U.S. Treasury Bond June Futures
Strike @ 100.00 Exp. 05/20/95 447,000 3,892 1,257
Strike @ 98.00 Exp. 05/20/95 165,000 1,253 206
-------------------
$ 41,662 $ 22,185
===================
</TABLE>
(h) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
DM - German Mark
ECU - European Currency Unit
MP - Mexican Peso
See Notes to Financial Statements
31
<PAGE>
SCHEDULE OF INVESTMENTS
Total Return Fund III
March 31, 1995
[PIE GRAPH APPEARS HERE]
Other 7.2%
Corporate Bonds And Notes 13.8%
Mortgage-Backed Securities 45.6%
Short-Term Instruments 32.7%
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- --------------------------------------------------------------------------------
Corporate Bonds and Notes - 13.8%
- --------------------------------------------------------------------------------
Banking and Finance - 0.8%
Associates Corp. of North America
9.000% due 12/15/95 $ 500 $ 508
Norinchukin Bank
7.875% due 08/15/95 300 302
----------
810
----------
Industrials - 6.4%
Arkla, Inc.
9.875% due 02/15/18 500 493
Coastal Corp.
10.375% due 10/01/00 3,000 3,288
Time Warner, Inc.
8.375% due 07/15/33 3,000 2,635
----------
6,416
----------
Utilities - 6.6%
Cleveland Electric Illuminating Co.
8.750% due 11/15/05 3,500 3,293
North Atlantic Energy
9.050% due 06/01/02 1,000 989
Public Service of New Hampshire
15.230% due 07/01/00 1,500 1,746
Texas Gas Transmission Corp.
9.625% due 07/15/97 500 516
----------
6,544
----------
Total Corporate Bonds and Notes 13,770
(Cost $14,732) ----------
- --------------------------------------------------------------------------------
U.S. Treasury Notes - 2.5%
- --------------------------------------------------------------------------------
8.375% due 04/15/95 1,000 1,001
3.875% due 08/31/95 (c) 670 664
9.500% due 11/15/95 300 306
4.000% due 01/31/96 500 490
----------
Total U.S. Treasury Notes 2,461
(Cost $2,456) ----------
- --------------------------------------------------------------------------------
U.S. Government Agencies - 0.7%
- --------------------------------------------------------------------------------
Federal National Mortgage Assn.
9.150% due 04/10/98 300 315
Government Trust Certificate - Greece
8.000% due 05/15/98 327 333
----------
Total U. S. Government Agencies 648
(Cost $641) ----------
- --------------------------------------------------------------------------------
Mortgage-Backed Securities - 45.6%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation - 5.1%
7.500% due 04/15/19 3,974 3,963
8.000% due 05/15/00-01/15/20 (e) 1,147 1,150
----------
5,113
----------
Federal National Mortgage Association - 5.0%
9.000% due 07/01/05 85 88
8.500% due 02/01/07 1,442 1,476
5.830% due 07/01/17 (d) 144 144
8.250% due 07/01/17 245 248
7.750% due 07/25/19 569 569
6.860% due 07/01/23 (d) 2,149 2,198
5.840% due 02/01/27 (d) 48 48
5.872% due 08/01/29 (d) 155 155
----------
4,926
----------
Government National Mortgage Association - 5.1%
6.500% due 11/20/24 $ 5,134 $ 5,113
---------
Collateralized Mortgage Obligations - 24.7%
Chase Mortgage Financial Corp.
7.500% due 03/25/24 801 797
9.500% due 04/25/24 345 351
CMO Trust
8.000% due 01/01/17 5,654 5,597
Federal Home Loan Mortgage Corp.
8.000% due 02/15/15 2,133 2,100
Greenwich
6.575% due 11/25/24 (d) 4,756 4,875
PNC Mortgage Securities Corp.
7.500% due 06/25/10 1,791 1,785
Residential Funding
9.000% due 07/01/21 757 762
Resolution Trust Corp.
8.625% due 10/25/21 992 992
8.800% due 08/25/23 2,927 2,986
8.835% due 12/25/23 2,500 2,555
Sears Mortgage
8.719% due 05/25/32 1,754 1,782
----------
24,582
----------
Other Mortgage-Backed Securities - 1.7%
Guardian
6.868% due 07/25/20 2,001 1,642
Norwest Mortgage
12.125% due 05/01/99 2 2
----------
1,644
----------
Stripped Mortgage-Backed Securities - 4.0%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 04/15/22 10,000 1,834
Resolution Trust Corp. (PO)
0.000% due 09/25/00 2,424 2,113
----------
3,947
----------
Total Mortgage-Backed Securities 45,325
(Cost $46,156) ----------
- --------------------------------------------------------------------------------
Sovereign Issues - 1.0%
- --------------------------------------------------------------------------------
Province of Quebec
8.800% due 04/15/03 1,000 1,043
----------
Total Sovereign Issues 1,043
(Cost $1,040) ----------
- --------------------------------------------------------------------------------
Foreign Currency-Denominated Issues (b)(g) - 3.0%
- --------------------------------------------------------------------------------
Government of Canada
8.500% due 04/01/02 C$ 2,000 1,434
Province of Saskatchewan
11.000% due 01/09/01 2,000 1,572
----------
Total Foreign Currency-Denominated Issues 3,006
(Cost $3,275) ----------
- --------------------------------------------------------------------------------
OTC Interest Rate Cap - 0.0%
- --------------------------------------------------------------------------------
3 Month LIBOR
Strike @ 88.00 Exp. 9/18/95 $ 250,000 6
----------
Total Interest Rate Cap 6
(Cost $6) ----------
</TABLE>
32
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- --------------------------------------------------------------------------------
Short-Term Instruments - 32.7%
- --------------------------------------------------------------------------------
Discount Notes - 31.3%
Canadian Wheat Board
5.940% due 04/18/95 $ 300 $ 298
6.070% due 06/02/95 1,300 1,285
6.020% due 06/21/95 1,900 1,873
Federal Home Loan Mortgage Corp.
5.920% due 04/10/95 4,000 3,995
Government of Canada
5.940% due 04/10/95 3,800 3,796
6.020% due 06/13/95 1,000 988
Government of Mexico
19.750% due 07/20/95 4,300 3,920
KFW International Financial
5.970% due 04/19/95 3,000 2,992
6.000% due 05/24/95 1,000 991
National Rural Utilities Cooperative
5.980% due 04/24/95 3,300 3,288
Province of British Columbia
6.500% due 07/14/95 500 491
6.250% due 08/14/95 2,800 2,734
U.S. West Communications
6.000% due 04/10/95 300 300
5.960% due 04/26/95 800 797
5.970% due 04/26/95 600 598
6.000% due 05/10/95 400 398
6.040% due 06/29/95 1,500 1,477
Wisconsin Electric Power Co.
5.960% due 04/04/95 900 900
----------
31,121
==========
Time Deposit - 1.2%
United Missouri Bank
5.069% due 04/03/95 1,179 1,179
----------
U.S. Treasury Bill - 0.2%
5.750% due 07/27/95 (c) 195 191
----------
Total Short-Term Instruments 32,491
(Cost $32,648) ==========
Total Investments (a) - 99.3% $ 98,750
(Cost $100,954)
Written Options (f) - (0.2%) (184)
(Premiums $402)
Other Assets and Liabilities (Net) - 0.9% 931
----------
Net Assets - 100.0% $ 99,497
==========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1995, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 291
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (2,414)
-----------
Unrealized depreciation-net $ (2,123)
===========
(b) Foreign currency forward contracts outstanding at March 31, 1995:
<TABLE>
<CAPTION>
Principal
Amount
Covered Expiration Unrealized
Type By Contract Month Depreciation
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell C$ 4,325 4/95 $ (39)
</TABLE>
(c) Securities with an aggregate market value of $855 have been segregated
with the custodian to cover margin requirements for the following open
future contracts at March 31, 1995:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 5 Year Note (6/95) 210 $ 184
U.S. Treasury 10 Year Note (6/95) 197 132
-------
$ 316
-------
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1995.
(e) Securities are grouped by coupon and represent a range of maturities.
(f) Premiums received on Written Call and Put Options:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
CBOT Call U.S. T-Bond Futures
Strike @ 106.00 Exp. 05/20/95 $ 19,200 $ 131 $ 102
CBOT Put U.S. T-Bond Futures
Strike @ 100.00 Exp. 05/20/95 19,200 50 54
CME Put Eurodollar September Futures
Strike @ 91.50 Exp. 09/18/95 100,000 92 8
Strike @ 91.75 Exp. 09/18/95 200,000 129 20
------------------
$ 402 $ 184
------------------
</TABLE>
(g) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
See Notes to Financial Statements
33
<PAGE>
SCHEDULE OF INVESTMENTS
Low Duration Fund
March 31, 1995
[PIE GRAPH APPEARS HERE]
Corporate Bonds and Notes 41.2%
Mortgage-Backed Securities 53.9%
Other 9.5%
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Corporate Bonds and Notes - 41.2%
Banking and Finance - 19.6%
American Express Co.
8.750% due 06/15/96 $ 1,000 $ 1,021
American General Financial Corp.
6.000% due 02/23/98 1,000 963
Associates Corp. of North America
7.250% due 05/15/98 500 499
7.500% due 05/15/99 1,000 1,000
Banc One Corp.
7.250% due 08/01/02 500 481
Bancomer
8.000% due 07/07/98 4,000 2,705
BankAmerica Corp.
7.200% due 09/15/02 100 96
Bankers Trust
8.250% due 07/02/96 3,000 3,035
7.250% due 11/01/96 5,500 5,483
Banponce Corp.
6.750% due 01/27/97 (d) 5,000 4,989
Capital One Bank
6.250% due 12/05/95 (d) 20,000 19,956
7.300% due 07/26/96 (d) 15,000 14,991
Caterpillar Financial
7.140% due 04/10/95 3,000 3,000
Chrysler Financial Corp.
8.125% due 12/15/96 15,000 15,203
Citicorp
9.420% due 06/26/95 500 504
6.375% due 05/29/98 (d) 8,000 7,910
Commercial Credit
5.500% due 05/15/98 1,000 944
Continental Bank Corp.
9.875% due 06/15/96 6,000 6,165
Coso Funding
7.410% due 12/31/95 10,000 9,684
Den Danske Bank
7.063% due 06/23/00 (d) 1,000 1,009
Discover Credit Corp.
7.040% due 05/08/95 3,000 3,001
6.500% due 05/22/95 5,000 4,998
8.920% due 03/15/96 11,000 11,164
8.970% due 07/08/96 2,000 2,040
9.000% due 07/24/96 7,500 7,655
8.875% due 08/07/96 5,000 5,098
7.760% due 05/13/97 5,000 5,016
Ford Capital
9.000% due 06/01/96 4,800 4,907
Ford Motor Credit Corp.
7.875% due 01/15/97 700 707
6.800% due 08/15/97 500 494
6.520% due 02/03/98 1,000 977
General Electric Capital Corp.
9.110% due 06/01/95 100 101
General Motors Acceptance Corp.
5.150% due 06/05/95 5,000 4,988
6.650% due 06/05/95 2,500 2,500
6.450% due 06/19/95 3,000 2,999
8.750% due 08/01/95 1,340 1,348
9.000% due 12/27/95 1,000 1,014
4.875% due 01/11/96 20,000 19,696
9.000% due 01/16/96 1,000 1,016
8.950% due 02/05/96 750 762
6.050% due 04/19/96 35,000 34,646
8.600% due 05/10/96 1,050 1,067
6.700% due 05/20/96 10,000 9,958
8.800% due 07/03/96 1,500 1,530
8.800% due 07/08/96 1,850 1,888
6.400% due 07/19/96 (d) $ 12,500 $ 12,480
6.310% due 07/26/96 (d) 7,750 7,726
6.625% due 08/01/96 5,000 4,967
8.100% due 09/19/96 250 253
8.000% due 10/01/96 500 505
6.800% due 10/15/96 (d) 16,000 16,111
8.250% due 01/13/97 9,000 9,140
8.000% due 01/23/97 15,000 15,174
7.750% due 01/24/97 2,500 2,518
7.625% due 02/28/97 15,000 14,969
Goldman Sachs
5.000% due 08/23/96 17,455 16,964
Home Savings of America
10.500% due 06/12/97 4,000 4,122
Household Finance Corp.
9.000% due 09/01/95 12,375 12,491
ITT Financial
7.375% due 10/15/95 800 802
International Bank for Recon. & Dev.
8.625% due 10/01/95 500 505
Kansallis-Osake
8.438% due 09/30/43 (d) 13,500 13,584
Lehman Brothers, Inc.
7.000% due 05/15/97 500 488
7.375% due 08/15/97 500 490
Manufacturers Hanover Corp.
5.250% due 04/30/97 (d) 6,000 5,953
Marine Midland Bank
6.375% due 09/27/96 (d) 2,000 2,000
NCNB Corp.
10.500% due 03/15/99 9,000 9,282
SKW Realty L.P.
9.050% due 04/15/04 3,500 3,476
Salomon, Inc.
6.630% due 01/19/96 500 498
7.400% due 03/28/96 50,000 49,932
5.200% due 01/20/97 750 719
8.850% due 02/10/97 2,000 2,036
8.670% due 02/13/97 1,500 1,518
5.930% due 03/17/97 12,590 12,171
7.125% due 08/01/99 1,000 955
Security Pacific Corp.
6.188% due 08/15/96 (d) 2,500 2,487
Signet Banking Corp.
6.438% due 05/15/97 (d) 2,095 2,111
6.438% due 04/15/98 (d) 2,865 2,865
---------
458,500
=========
Industrials - 15.4%
AMR Corp.
6.250% due 07/01/95 3,000 2,992
9.720% due 01/09/96 5,000 5,089
9.160% due 02/14/96 1,000 1,015
9.130% due 02/20/96 400 406
8.730% due 08/19/96 1,000 1,015
7.600% due 01/27/97 2,000 1,998
6.500% due 03/15/97 4,920 4,845
9.500% due 07/15/98 1,000 1,042
8.100% due 11/01/98 2,000 2,000
8.730% due 11/02/98 3,000 3,063
9.910% due 03/01/01 2,500 2,603
10.000% due 03/07/01 4,000 4,181
9.440% due 05/15/01 5,000 5,099
9.125% due 10/24/01 1,000 1,005
Arkla, Inc.
9.450% due 10/15/95 3,000 3,030
8.780% due 07/19/96 9,500 9,577
</TABLE>
34
<PAGE>
<TABLE>
<S> <C> <C>
Borg Warner Corp.
8.000% due 04/01/96 $ 5,500 $ 5,363
Caterpillar, Inc.
5.400% due 08/21/95 5,000 4,977
Coastal Corp.
10.375% due 10/01/00 5,000 5,480
11.750% due 06/15/06 12,000 12,900
Consolidated Natural Gas Co.
8.750% due 06/01/99 400 418
Delta Airlines
8.250% due 05/15/96 5,000 5,027
7.790% due 12/01/98 4,449 4,370
E. I. Du Pont de Nemours
8.500% due 02/10/98 100 103
Ford Motor Co.
8.180% due 06/30/96 4,763 4,980
9.250% due 07/15/97 14,900 15,485
9.000% due 09/15/01 500 531
General Motors Corp.
9.750% due 05/15/99 2,300 2,363
Georgia Gulf Co.
15.000% due 04/15/00 1,000 1,005
Imperial Oil, Ltd.
9.750% due 09/15/09 57 58
Maxus Energy Corp.
10.100% due 10/18/95 800 805
Minnesota Mining & Manufacturing
6.250% due 03/29/99 200 192
News America Holdings Corp.
12.000% due 12/15/01 4,805 5,415
North Atlantic Energy
9.050% due 06/01/02 5,000 4,944
Pepsico
7.850% due 05/15/95 1,500 1,504
Pfizer, Inc.
6.500% due 02/01/97 500 496
Philip Morris Co.
8.750% due 12/01/96 8,250 8,438
7.500% due 03/15/97 250 250
9.800% due 12/15/98 14,375 14,623
RJR Nabisco
9.250% due 05/01/95 963 964
8.300% due 04/15/99 2,900 2,915
8.000% due 01/15/00 16,675 16,596
Sears Roebuck & Co.
7.040% due 04/03/95 2,000 2,001
9.360% due 06/12/96 500 515
9.000% due 09/15/96 1,500 1,537
9.250% due 04/15/98 5,750 6,026
Tenneco, Inc.
10.850% due 10/30/98 3,911 4,164
Time Warner, Inc.
0.000% due 08/15/02 (f) 133,750 129,905
USX Corp.
7.750% due 01/21/98 2,000 1,997
0.000% due 08/09/05 56,500 25,637
United Air Lines
6.750% due 12/01/97 11,875 11,343
Utilicorp United
9.300% due 12/01/95 1,000 1,010
Varity Corp.
11.375% due 11/15/98 4,650 4,902
--------
358,199
========
Utilities - 6.2%
Alabama Power
7.250% due 08/01/07 $ 100 $ 93
CTC Mansfield Funding
11.125% due 09/30/16 7,985 7,865
Carolina Power & Light
7.900% due 12/27/96 16,300 16,514
Centel Capital Corp.
9.875% due 10/01/98 3,650 3,695
Central Power & Light
6.625% due 01/01/98 100 98
Cleveland Electric Illuminating Co.
9.800% due 05/15/95 7,300 7,315
9.550% due 06/01/95 1,000 1,004
9.100% due 07/22/96 1,500 1,506
9.450% due 12/01/97 7,000 7,078
8.330% due 10/30/98 1,500 1,459
9.375% due 03/01/17 3,000 2,675
Commonwealth Edison Co.
5.500% due 07/15/95 7,450 7,419
8.130% due 08/15/96 5,000 5,045
5.750% due 12/01/96 2,000 1,943
8.875% due 05/15/97 7,000 7,166
Consumers Power Co.
8.750% due 02/15/98 5,000 5,115
Detroit Edison
6.000% due 12/01/96 4,040 3,960
Gulf States Utilities
6.670% due 11/01/96 2,500 2,473
Long Island Lighting Co.
8.750% due 05/01/96 10,000 10,137
7.300% due 07/15/99 3,000 2,815
Louisiana Power & Light Co.
10.300% due 01/02/05 2,999 3,079
New Orleans Public Service
10.950% due 05/01/97 6,300 6,562
Northern States Power Co.
5.875% due 10/01/97 100 97
Northern Telecom
8.250% due 06/13/96 1,000 1,015
Ohio Edison
8.500% due 05/01/96 3,200 3,249
Pennsylvania Power Co.
9.000% due 12/01/96 5,500 5,616
Public Service Electric & Gas
6.000% due 01/01/98 1,000 966
Public Service of New Hampshire
15.230% due 07/01/00 844 982
Tennessee Valley Authority
6.820% due 05/19/97 500 496
7.440% due 05/17/99 500 499
Texas Gas Transmission Corp.
9.625% due 07/15/97 3,000 3,094
Texas-New Mexico Power
11.250% due 01/15/97 2,500 2,601
Transcontinental Gas Pipeline
9.000% due 11/15/96 4,850 4,971
8.125% due 01/15/97 5,500 5,568
6.210% due 05/15/00 6,309 6,239
United Illuminating
9.760% due 01/02/06 3,368 3,546
---------
143,955
---------
Total Corporate Bonds and Notes 960,654
=========
(Cost $968,843)
</TABLE>
35
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund
March 31, 1995
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- --------------------------------------------------------------------------------
U. S. Treasury Obligations - 0.5%
- --------------------------------------------------------------------------------
U. S. Treasury Notes - 0.5%
5.875% due 05/15/95 $ 1,000 $ 1,000
10.500% due 08/15/95 450 457
3.875% due 08/31/95 (c) 720 713
7.875% due 07/15/96 500 507
4.375% due 11/15/96 2,525 2,435
7.500% due 12/31/96 250 253
6.750% due 02/28/97 500 500
8.500% due 07/15/97 450 466
8.625% due 08/15/97 300 312
8.750% due 10/15/97 200 209
5.625% due 01/31/98 600 580
4.750% due 10/31/98 310 288
6.375% due 01/15/99 750 735
6.875% due 07/31/99 300 298
8.500% due 02/15/00 500 529
8.000% due 05/15/01 500 521
6.375% due 08/15/02 360 343
6.250% due 02/15/03 675 636
7.250% due 05/15/04 420 420
--------
11,202
========
U.S. Treasury Strip - 0.0%
0.000% due 08/15/95 200 196
--------
Total U. S. Treasury Obligations 11,398
(Cost $11,413) ========
- --------------------------------------------------------------------------------
U. S. Government Agencies - 0.4%
- --------------------------------------------------------------------------------
Federal Farm Credit Bank
6.380% due 07/25/96 100 100
Federal Home Loan Bank
10.300% due 07/25/95 200 202
8.250% due 05/27/96 100 102
8.000% due 07/25/96 200 202
6.150% due 09/14/99 150 144
Federal Home Loan Mortgage Corp.
8.440% due 10/27/04 500 515
Federal National Mortgage Assn.
8.000% due 07/10/96 300 305
7.050% due 10/10/96 150 150
7.090% due 11/01/96 100 100
6.050% due 10/27/97 50 48
5.740% due 02/12/98 200 199
5.200% due 07/10/98 1,500 1,409
8.200% due 08/10/98 400 406
8.350% due 11/10/99 500 522
7.300% due 10/28/02 100 98
6.800% due 01/10/03 200 191
9.500% due 11/10/20 1,300 1,388
Small Business Administration
7.750% due 01/25/13 (d) 1,866 1,901
7.750% due 02/25/14 (d) 1,546 1,554
Student Loan Marketing Assn.
7.560% due 12/09/96 100 101
--------
Total U. S. Government Agencies 9,637
(Cost $9,696) ========
- --------------------------------------------------------------------------------
Mortgage-Backed Securities - 53.9%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation - 2.9%
5.338% due 04/01/24 (d) 14,735 14,625
5.000% due 05/01/98-08/01/98 (e) 105 102
5.500% due 05/01/98-04/01/07 (e) 899 773
5.671% due 10/01/23 (d) 8,696 8,531
5.686% due 11/01/23 (d) $ 6,623 $ 6,491
5.884% due 01/01/24 (d) 10,406 10,255
6.153% due 08/01/24 (d) 4,663 4,677
6.500% due 01/01/02 - 02/01/05 (e) 300 289
6.700% due 02/01/20 (d) 6,808 6,794
6.921% due 11/01/22 (d) 791 803
7.000% due 01/01/17 (d) 133 135
7.250% due 07/01/07 137 133
7.500% due 09/01/06 305 302
7.547% due 11/01/22 (d) 7,388 7,484
8.000% due 07/01/06 - 04/01/07 (e) 572 567
8.250% due 10/01/07 - 11/01/07 (e) 105 104
8.500% due 07/01/01 - 01/01/12 (e) 1,255 1,265
8.750% due 02/01/01 - 04/01/02 (e) 324 328
9.000% due 09/01/98 - 07/01/04 (e) 503 517
9.250% due 07/01/01 - 06/01/02 (e) 181 185
9.500% due 03/01/01 - 12/01/04 (e) 403 415
9.750% due 03/01/01 - 11/01/08 (e) 2,359 2,446
10.000% due 04/01/01 24 25
10.500% due 07/01/00 - 12/01/16 (e) 308 326
10.750% due 10/01/00 - 08/01/11 (e) 1,223 1,308
11.000% due 09/01/00 21 22
11.250% due 10/01/14 14 16
11.500% due 10/01/15 3 3
11.750% due 11/01/10 - 08/01/15 (e) 41 45
14.000% due 09/01/12 - 12/01/12 (e) 9 11
--------
68,977
========
Federal Housing Administration - 0.9%
6.950% due 04/01/14 1,907 1,910
7.430% due 10/01/19 4,662 4,545
7.491% due 11/01/19 (d) 1,168 1,168
7.430% due 05/01/20 - 12/01/21 (e) 10,709 10,615
9.750% due 02/01/24 4,132 4,520
--------
22,758
========
Federal National Mortgage Association - 2.6%
4.750% due 01/01/96 8 8
5.997% due 02/01/19 (d) 617 614
5.464% due 10/01/24 (d) 26,468 26,867
5.839% due 04/01/19 (d) 132 131
5.839% due 03/01/18 - 01/01/19 (d)(e) 433 431
6.500% due 06/01/08 62 57
6.862% due 10/01/23 (d) 11,523 11,710
6.769% due 07/01/23 (d) 8,127 8,304
7.000% due 12/01/06 - 09/01/07 (e) 146 137
8.000% due 03/01/04 378 377
8.319% due 05/01/97 (d) 576 595
8.500% due 03/01/08 - 02/01/17 (e) 842 853
9.000% due 05/01/97 - 08/01/98 (e) 1,732 1,778
10.000% due 02/01/04 - 06/01/19 (e) 5,620 5,965
10.500% due 06/01/05 - 11/01/05 (e) 706 758
11.000% due 10/01/98 - 09/01/00 (e) 85 90
11.250% due 12/01/10 - 10/01/15 (e) 452 491
12.000% due 01/01/15 - 10/01/15 (e) 24 27
12.750% due 02/01/14 - 11/01/14 (e) 178 201
13.000% due 07/01/15 10 11
13.250% due 09/01/11 39 44
13.500% due 04/01/14 10 11
14.000% due 11/01/14 16 18
15.500% due 10/01/12 - 12/01/12 (e) 104 120
15.750% due 12/01/11 86 98
16.000% due 09/01/12 - 12/01/12 (e) 46 53
--------
59,749
========
</TABLE>
36
<PAGE>
<TABLE>
<S> <C> <C>
Government National Mortgage Association - 15.0%
5.500% due 02/20/23 (d) $ 7,630 $ 7,584
6.000% due 05/20/22 (d) 7,798 7,672
6.500% due 05/20/22 - 06/22/25 (d)(e) 157,962 157,336
7.000% due 09/20/24 - 06/22/25 (d)(e) 126,804 127,911
7.500% due 02/20/25 - 06/22/25 (d)(e) 44,502 45,448
8.000% due 07/15/04 - 11/15/06 (e) 15 15
9.750% due 07/15/13 - 02/15/20 (e) 2,063 2,197
10.750% due 10/15/98 63 65
11.750% due 07/15/13 - 10/15/15 (e) 721 784
12.000% due 06/20/15 49 55
13.500% due 05/15/11 - 11/15/12 (e) 79 92
13.750% due 06/15/96 - 10/15/96 (e) 102 107
14.750% due 11/15/96 4 5
16.500% due 12/15/11 1 1
16.750% due 12/15/96 - 12/15/11 (e) 47 51
---------
349,323
=========
Collateralized Mortgage Obligations - 19.1%
American Southwest Financial
9.200% due 07/01/16 583 601
9.400% due 08/01/16 6,636 6,672
Bear Stearns
8.200% due 09/25/22 2,701 2,695
8.000% due 05/25/23 1,019 1,019
CMO Trust
9.500% due 06/25/20 862 918
6.500% due 01/20/03 (d) 58 58
Capstead
7.400% due 04/25/18 17,827 17,763
7.800% due 02/25/22 2,270 2,278
8.300% due 03/25/22 (d) 15,158 15,054
7.500% due 02/25/23 3,105 3,042
Chase Mortgage
10.000% due 11/25/09 2,260 2,357
7.500% due 10/01/23 127 126
Citicorp Mortgage Securities, Inc.
9.500% due 04/26/03 1,789 1,799
8.500% due 06/25/06 3,435 3,446
9.000% due 07/25/06 1,407 1,461
9.350% due 06/01/10 118 119
7.250% due 11/01/11 3,019 2,994
9.500% due 10/25/15 2,965 3,021
Collateralized Mortgage Securities Corp.
7.985% due 05/01/17 15,022 14,658
Conseco Commercial Mortgage
9.700% due 07/15/04 5,113 5,238
Countrywide
6.216% due 11/25/24 (d) 18,661 18,967
8.000% due 12/25/24 11,790 11,829
Donaldson, Lufkin & Jenrette
11.000% due 08/01/19 3,516 3,778
5.782% due 05/25/24 (d) 9,104 9,209
FBC Mortgage Securities
8.300% due 08/20/09 735 740
Federal Home Loan Mortgage Corp.
9.000% due 01/15/04 500 516
9.000% due 04/15/04 500 512
9.000% due 12/15/05 1,000 1,031
12.500% due 09/30/13 2,338 2,669
8.875% due 01/15/15 34 34
11.000% due 11/30/15 5,243 5,852
8.500% due 07/15/16 1,330 1,330
8.000% due 04/15/19 3,600 3,620
8.500% due 06/15/19 11,413 11,508
9.000% due 06/15/19 22 22
10.000% due 07/15/19 525 579
8.500% due 09/15/19 8,977 9,131
9.000% due 11/15/19 5,223 5,360
7.950% due 02/15/20 7,395 7,429
9.000% due 02/15/20 2,500 2,556
8.250% due 03/15/20 807 819
7.500% due 04/15/20 2,900 2,783
8.000% due 04/15/20 2,500 2,501
10.000% due 05/15/20 350 380
8.950% due 11/15/20 6,713 6,813
7.500% due 12/15/20 2,000 1,942
9.500% due 01/15/21 4,993 5,249
8.000% due 04/15/21 2,733 2,674
9.000% due 05/15/21 650 678
7.000% due 08/15/21 24,300 24,073
Federal National Mortgage Assn.
8.950% due 05/25/03 248 255
9.400% due 07/25/03 384 399
9.000% due 07/25/03 1,763 1,815
8.500% due 09/25/06 669 669
6.875% due 06/25/09 6,099 5,899
7.000% due 04/25/15 5,824 5,731
7.250% due 07/25/15 5,000 4,959
5.750% due 04/25/16 7,505 6,933
9.000% due 06/25/17 202 205
7.500% due 10/25/17 424 423
8.000% due 01/25/19 531 533
7.500% due 02/25/19 722 719
9.000% due 05/25/19 4,575 4,677
9.300% due 05/25/19 193 199
8.000% due 05/25/19 5,215 5,248
8.750% due 05/25/19 250 257
9.000% due 07/25/19 1,576 1,623
9.000% due 08/25/19 8,350 8,530
9.500% due 03/25/20 8,630 9,181
9.500% due 05/25/20 1,450 1,619
8.500% due 01/25/21 614 624
9.000% due 03/25/21 8,732 9,152
9.000% due 04/25/21 300 318
8.000% due 03/25/22 382 384
First Boston Mortgage Securities Corp.
7.500% due 07/25/19 4,616 4,607
7.050% due 07/25/23 1,246 1,238
General Homes Financial
11.500% due 06/01/15 56 56
Glendale Federal Savings & Loan
8.876% due 03/25/30 (d) 4,610 4,655
Guaranteed Mortgage Corp.
11.000% due 12/01/15 256 258
Holco Mortgage
8.430% due 12/01/03 167 168
Home MAC Mortgage Securities Corp.
8.550% due 07/01/08 93 93
Homestead Mortgage Acceptance Corp.
11.450% due 09/01/15 2,926 3,219
Independent National Mortgage Corp.
8.250% due 03/25/25 25,933 26,071
Merrill Lynch Mortgage
10.000% due 11/15/08 654 671
9.494% due 11/01/17 (d) 1,351 1,361
9.400% due 12/27/18 5,000 5,103
9.650% due 05/20/19 13,043 13,259
Norwest Mortgage
12.375% due 01/01/14 462 503
12.500% due 02/01/14 995 1,062
12.250% due 04/01/14 873 943
Oxford Acceptance Corp.
7.950% due 11/20/03 273 275
Prudential Bache
5.997% due 09/01/18 (d) 98 98
</TABLE>
37
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund
March 31, 1995
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
Prudential Home
6.500% due 04/25/00 $ 146 $ 142
7.500% due 09/25/07 878 848
7.000% due 11/25/07 4,512 4,439
7.000% due 06/25/23 3,014 2,706
7.425% due 04/25/24 946 906
Prudential Securities
8.000% due 12/25/20 2,000 2,005
Residential Funding
4.951% due 07/01/19 (d) 1,483 1,411
8.500% due 08/25/20 71 70
8.250% due 07/25/21 2,826 2,827
8.500% due 08/25/21 308 307
7.650% due 11/25/22 234 233
Resolution Trust Corp.
10.394% due 08/25/21 (d) 1,953 2,057
8.625% due 10/25/21 2,481 2,479
5.990% due 10/25/21 (d) 2,241 2,253
7.850% due 05/25/22 521 523
10.000% due 05/25/22 586 614
7.250% due 10/25/23 1,500 1,487
8.000% due 07/25/24 3,490 3,371
7.000% due 10/25/24 187 186
8.750% due 05/25/26 168 168
5.161% due 09/25/27 (d) 4,059 3,911
9.000% due 09/25/28 560 574
Ryland
8.900% due 12/01/08 132 133
8.000% due 03/01/18 3,029 2,923
9.500% due 07/01/18 2,149 2,204
6.763% due 11/20/22 (d) 10,068 10,131
Salomon Mortgage
12.000% due 05/01/15 1,204 1,235
11.500% due 09/01/15 1,659 1,792
Sears Mortgage
12.000% due 02/25/14 272 299
Shearson Lehman
9.600% due 03/25/21 2,413 2,471
UBS Mortgage
9.000% due 10/18/20 16,111 16,323
Westam Mortgage Financial Corp.
6.500% due 10/02/17 10,842 10,045
--------
444,968
========
Other Mortgage-Backed Securities - 9.8%
American Southwest Financial
5.100% due 06/02/99 17,805 16,164
Chase Mortgage
8.000% due 06/25/24 190 190
Citibank Mortgage
9.000% due 10/01/01 160 165
9.000% due 11/01/01 2,995 3,112
10.000% due 01/25/13 205 212
9.500% due 11/01/16 2,032 2,092
8.500% due 03/01/17 4,709 4,819
Citicorp Mortgage Securities, Inc.
8.000% due 05/25/00 128 128
Columbia Federal
7.548% due 12/01/17 (d) 53 52
Dime Savings
6.385% due 11/25/18 (d) 4,741 4,039
Donaldson, Lufkin & Jenrette
4.592% due 03/25/24 (d) 30,363 28,403
Federal Home Loan Mortgage Corp.
10.000% due 09/15/09 33 34
Fleet Finance, Inc.
5.450% due 03/20/23 128 125
Glendale Federal Savings & Loan
11.000% due 03/01/10 55 58
Great Western Savings & Loan
5.580% due 12/01/17 (d) 763 752
Greenwich
6.258% due 11/25/24 (d) 26,634 27,300
6.732% due 04/25/25 (d) 15,000 15,413
Guardian
5.625% due 07/25/18 (d) 131 117
7.536% due 05/01/19 (d) 1,393 1,246
6.841% due 12/25/19 (d) 3,030 2,425
6.832% due 12/25/19 (d) 586 469
7.018% due 02/25/20 (d) 2,821 2,258
6.856% due 07/25/20 (d) 2,728 2,238
Home Savings of America
5.354% due 05/25/27 (d) 3,330 3,185
5.628% due 09/25/28 (d) 2,166 2,061
Imperial Savings & Loan
9.800% due 07/25/17 (d) 126 129
9.900% due 02/25/18 (d) 922 958
MDC Mortgage Funding
6.091% due 01/25/25 (d) 29,283 29,965
Olympia & York
7.739% due 03/20/99 (d) 7,512 4,732
Residential Funding
8.500% due 04/01/02 72 73
9.250% due 11/01/02 1,017 1,045
7.085% due 09/25/19 (d) 621 610
Resolution Trust Corp.
6.000% due 01/15/04 4,594 4,597
6.678% due 05/25/19 (d) 15,224 14,694
6.670% due 08/25/19 (d) 10,427 10,388
5.945% due 09/25/19 (d) 5,174 5,082
5.099% due 01/25/21 (d) 388 374
6.863% due 07/25/21 (d) 138 139
9.500% due 05/25/24 961 924
Salomon Mortgage
7.690% due 12/25/17 (d) 906 902
7.031% due 12/25/17 (d) 3,894 3,886
5.786% due 01/25/18 (d) 204 202
9.500% due 10/25/18 (d) 8,077 8,511
5.959% due 03/25/24 (d) 12,017 11,760
Sears Mortgage
7.613% due 10/25/22 (d) 8,993 9,479
8.719% due 05/25/32 (d) 1,462 1,485
Security Pacific
7.850% due 05/15/98 33 33
Western Federal Savings & Loan
5.453% due 06/25/18 (d) 135 131
6.117% due 11/25/18 (d) 505 492
10.041% due 02/01/20 (d) 136 143
--------
227,791
========
Stripped Mortgage-Backed Securities - 3.6%
Federal Home Loan Mortgage Corp. (IO)
6.250% due 09/15/04 27,706 2,394
6.000% due 02/15/06 32,604 2,974
10.195% due 08/15/06 7,199 1,477
11.944% due 12/15/06 9,797 2,422
6.000% due 10/15/07 9,098 1,039
7.000% due 07/15/12 12,338 1,053
6.500% due 08/25/13 23,606 2,975
7.000% due 12/15/15 8,073 894
7.000% due 08/15/18 7,321 2,355
7.500% due 12/15/18 20,168 2,706
6.500% due 05/15/19 35,632 5,155
6.500% due 06/15/19 31,607 4,970
10.496% due 04/15/21 13,022 2,712
</TABLE>
38
<PAGE>
<TABLE>
<S> <C> <C>
6.500% due 04/15/22 $ 16,569 $ 3,039
4.000% due 03/25/23 (d) 30,000 1,733
7.000% due 05/15/23 1,837 328
4.000% due 01/15/24 20,919 6,911
4.000% due 03/15/24 (d) 22,949 7,443
Federal National Mortgage Assn. (IO)
6.000% due 07/25/05 (d) 7,116 1,029
7.272% due 09/25/06 6,500 1,973
6.500% due 03/25/09 7,705 2,255
0.100% due 03/25/09 62,198 1,184
6.500% due 03/25/09 (d) 7,928 1,371
9.987% due 12/25/18 12,125 1,669
7.500% due 03/25/19 18,474 3,048
7.500% due 05/25/20 14,317 1,944
7.000% due 05/25/21 34,148 5,528
8.598% due 02/25/22 5,000 1,714
4.875% due 03/25/24 (d) 20,291 1,155
Federal National Mortgage Assn. (PO)
0.000% due 01/25/20 8,500 7,249
0.000% due 09/25/22 159 128
Resolution Trust Corp. (PO)
0.000% due 09/25/00 2,424 2,113
84,940
----------
Total Mortgage-Backed Securities 1,258,506
(Cost $1,270,679) ==========
- --------------------------------------------------------------------------------
Asset-Backed Securities - 0.8%
- --------------------------------------------------------------------------------
Premier Auto Trust
7.350% due 05/04/97 18,000 18,114
SCFC Boat Loan Trust
7.050% due 04/15/07 149 145
----------
Total Asset-Backed Securities 18,259
(Cost $18,134) ==========
- --------------------------------------------------------------------------------
Sovereign Issues - 3.6%
- --------------------------------------------------------------------------------
Banco Nacional de Obra y Servicios
10.750% due 08/16/96 1,500 1,322
6.875% due 10/01/98 10,000 4,965
Cemex
10.000% due 11/15/96 4,400 3,682
8.875% due 06/10/98 2,000 1,348
Czech National Bank
7.000% due 04/06/96 5,000 4,973
Nacional Financiera
11.750% due 08/02/95 7,000 6,650
6.000% due 12/19/96 10,000 7,987
8.938% due 12/15/97 (d) 1,454 1,083
5.875% due 02/17/98 2,000 1,650
6.875% due 12/03/98 (d) 1,500 1,108
Petroleos Mexicanos
8.750% due 03/05/97 1,000 869
8.250% due 02/04/98 5,000 4,344
Province of Quebec
5.688% due 10/26/01 (d) 250 243
United Mexican States
5.820% due 06/28/01 5,000 2,250
6.688% due 12/31/19 (d) 30,000 17,400
7.250% due 12/31/19 (d) 30,000 17,400
6.063% due 12/31/19 (d) 10,000 5,800
----------
Total Sovereign Issues 83,074
(Cost $115,525) ==========
- --------------------------------------------------------------------------------
Foreign Currency-Denominated Issues (b)(g) - 1.0%
- --------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 3,500 $ 2,436
General Motors Acceptance Corp.
11.750% due 12/13/95 C$ 23,700 17,238
11.450% due 01/24/96 5,000 3,648
----------
Total Foreign Currency-Denominated Issues 23,322
(Cost $24,459) ==========
- --------------------------------------------------------------------------------
Purchased CME Put Option - 0.0%
- --------------------------------------------------------------------------------
Eurodollar September Futures $ 150,000 4
----------
Strike @ 90.25 Exp. 9/18/95
Total Purchased CME Put Option 4
(Cost $3) ==========
- --------------------------------------------------------------------------------
Interest Rate Cap - 0.0%
- --------------------------------------------------------------------------------
3 Month LIBOR 250,000 3
----------
Strike @ 88.00 Exp. 12/20/95
Total Interest Rate Cap 3
(Cost $3) ==========
- --------------------------------------------------------------------------------
Preferred Stock - 0.3%
- --------------------------------------------------------------------------------
Shares
Santander Overseas 25 662
Texas Utilities Electric 257 6,136
----------
Total Preferred Stock 6,798
(Cost $7,593) ==========
- --------------------------------------------------------------------------------
Short-Term Instruments - 2.9%
- --------------------------------------------------------------------------------
<CAPTION>
Principal
Amount
(000's)
<S> <C> <C>
Discount Notes - 1.6%
Coca-Cola Co.
6.000% due 06/22/95 $ 1,700 1,676
General Electric Capital Corp.
6.120% due 06/22/95 1,500 1,479
Government of Mexico
23.033% due 04/06/95 8,500 8,484
19.750% due 07/20/95 9,300 8,479
7.733% due 07/20/95 3,000 2,735
Province of British Columbia
6.525% due 07/13/95 2,600 2,553
USX Corp.
6.440% due 04/04/95 10,000 9,998
----------
35,404
==========
Repurchase Agreement - 0.9%
Daiwa Securities America, Inc.
6.250% due 04/03/95 21,000 21,000
----------
(Dated 3/31/95. Collateralized by
U.S Treasury Note 5.125% 03/31/98
valued at $21,521,894. Repurchase
proceeds are $21,010,938.)
Time Deposit - 0.2%
United Missouri Bank
5.069% due 04/03/95 5,736 5,736
----------
U. S. Treasury Bills - 0.2%
5.785% due 04/06/95 - 07/27/95 (c)(e) 5,550 5,478
----------
Total Short-Term Instruments 67,618
(Cost $68,045) ==========
</TABLE>
39
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund
March 31, 1995
<TABLE>
<S> <C>
Total Investments (a) - 104.6% $2,439,273
(Cost $2,494,393)
Written Options (h) - (0.1%) (1,727)
(Premiums $2,767)
Other Assets and Liabilities (Net) - (4.5%) (104,743)
----------
Net Assets - 100.0% $2,332,803
==========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 11,680
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (66,738)
----------
Unrealized depreciation-net $ (55,058)
==========
(b) Foreign currency forward contracts outstanding
at March 31, 1995:
<TABLE>
<CAPTION>
Principal
Amount
Covered Expiration Unrealized
Type By Contract Month Depreciation
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell C$ 29,561 4/95 $ (270)
Sell DM 3,544 4/95 (46)
----------
$ (316)
==========
</TABLE>
(c) Securities with an aggregate market value of $6,191 have
been segregated with the custodian to cover
margin requirements for the following open future
contracts at March 31, 1995:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 2 Year Note (6/95) 145 $ 136
U.S. Treasury 5 Year Note (6/95) 990 779
----------
$ 915
==========
</TABLE>
(d) Variable rate security. The rate listed is as of
March 31, 1995.
(e) Securities are grouped by coupon rate and represent a
range of maturities.
(f) Security becomes interest bearing at a future date.
(g) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
DM - German Mark
(h) Premiums received on Written CME Put Options:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Eurodollar September Futures
Strike @ 91.75 Exp. 9/18/95 $ 200,000 $ 129 $ 20
Strike @ 92.00 Exp. 9/18/95 700,000 346 87
Strike @ 92.75 Exp. 9/18/95 4,000,000 2,176 1,600
Eurodollar December Futures
Strike @ 91.00 Exp. 12/18/95 133,000 116 20
-------------------------
$ 2,767 $ 1,727
=========================
</TABLE>
See Notes to Financial Statements
40
<PAGE>
SCHEDULE OF INVESTMENTS
Low Duration Fund II
[PIE GRAPH APPEARS HERE]
Corporate Bonds and Notes 23.6%
U.S. Treasury Notes 8.1%
Short-Term Instruments 7.0%
Mortgage-Backed Securities 67.3%
Other 0.7%
<TABLE>
<CAPTION>
March 31, 1955
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Corporate Bonds and Notes - 23.6%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance - 20.2%
AT&T Capital Corp.
6.990% due 10/04/96 $ 5,000 $ 5,012
Chrysler Financial Corp.
8.220% due 12/27/96 2,000 2,032
CIT Group Holdings
5.875% due 12/01/95 500 497
Citicorp
9.900% due 03/14/96 4,000 4,104
Ford Motor Credit Co.
8.000% due 12/01/96 5,000 5,062
Golden West Financial Corp.
8.625% due 08/30/98 3,000 3,092
Household Financial Corp.
7.800% due 11/01/96 3,200 3,229
IBM Credit Corp.
4.840% due 03/04/96 6,000 5,891
Salomon, Inc.
4.630% due 07/26/95 2,700 2,680
8.550% due 02/17/97 1,900 1,925
Transamerica Financial
5.650% due 10/16/95 1,000 994
-------
34,518
=======
Industrials - 3.4%
Ford Motor Co.
8.180% due 06/30/96 2,598 2,717
General Motors Corp.
9.750% due 05/15/99 3,000 3,082
-------
5,799
-------
Total Corporate Bonds and Notes 40,317
(Cost $40,212) =======
- --------------------------------------------------------------------------------
U. S. Treasury Notes - 8.1%
- --------------------------------------------------------------------------------
4.000% due 01/31/96 4,000 3,922
5.500% due 04/30/96 10,000 9,891
-------
Total U. S. Treasury Notes 13,813
(Cost $13,761) -------
- --------------------------------------------------------------------------------
U. S. Government Agency - 0.7%
- --------------------------------------------------------------------------------
Government Trust Certificate - Israel
9.250% due 11/15/96 1,263 1,284
-------
Total U. S. Government Agency 1,284
(Cost $1,316) =======
- --------------------------------------------------------------------------------
Mortgage-Backed Securities - 61.3%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation - 0.3%
10.500% due 9/1/15-12/1/18 (e) 544 581
-------
Federal National Mortgage Association - 1.8%
8.500% due 02/01/98 - 06/01/98 (e) 169 173
9.000% due 06/01/98 230 236
10.500% due 05/01/12 2,524 2,733
-------
3,142
=======
Government National Mortgage Association - 14.5%
7.000% due 07/20/23 (c) 22,005 22,186
7.500% due 03/15/24 475 460
9.000% due 07/20/16 - 12/20/17 (e) 2,070 2,120
-------
24,766
=======
Collateralized Mortgage Obligations - 25.1%
American Housing
9.125% due 05/25/14 $ 3,767 $ 3,773
American Southwest Financial
7.500% due 10/01/18 1,000 941
Capstead
7.500% due 02/25/23 3,000 2,939
Citicorp Mortgage
9.500% due 10/25/15 2,224 2,266
CMO Trust
9.125% due 09/01/06 62 62
Collateralized Mortgage Securities Corp.
9.000% due 04/25/10 4,634 4,730
11.875% due 04/01/15 479 532
Donaldson, Lufkin & Jenrette
6.257% due 05/25/24 (c) 4,596 4,649
Federal Home Loan Mortgage Corp.
12.900% due 05/01/14 683 708
8.600% due 06/15/19 4,387 4,450
Federal National Mortgage Assn.
9.250% due 10/25/18 307 321
7.000% due 08/25/22 1,000 962
General Electric Capital Corp.
7.500% due 11/25/18 168 167
Lomas & Nettleton
12.000% due 03/17/14 335 353
Merrill Lynch Trust
9.100% due 04/20/00 6,000 6,104
Prudential Home
7.000% due 07/25/23 3,554 3,529
Residential Funding
7.500% due 10/25/22 2,067 1,944
Resolution Trust Corp.
8.625% due 10/25/21 1,489 1,488
6.139% due 10/25/21 (c) 560 563
Ryland
14.000% due 11/25/31 321 355
Salomon Mortgage
12.125% due 04/01/16 190 217
UBS Mortgage
8.000% due 07/25/20 1,763 1,758
-------
42,811
=======
Other Mortgage-Backed Securities - 19.6%
Citicorp Mortgage
9.500% due 09/25/02 2,491 2,549
Donaldson, Lufkin & Jenrette
6.496% due 03/25/23 (c) 2,120 2,123
Guardian
8.075% due 07/25/19 (c) 325 287
7.581% due 10/27/19 (c) 971 777
6.868% due 07/25/20 (c) 1,819 1,492
Kidder Peabody
7.150% due 04/25/25 2,946 2,787
Resolution Trust Corp.
6.938% due 05/25/19 (c) 3,310 3,194
Salomon Mortgage
7.188% due 11/25/22 (c) 6,606 6,624
Saxon Mortgage
6.908% due 09/25/22 (c) 6,083 6,199
Sears Mortgage
6.500% due 03/25/17 642 563
7.613% due 10/25/22 (c) 4,497 4,739
8.719% due 05/25/32 (c) 2,047 2,080
-------
33,414
-------
Total Mortgage-Backed Securities 104,714
=======
(Cost $106,261)
</TABLE>
41
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund II
March 31, 1995
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- --------------------------------------------------------------------------------
Short-Term Instruments - 7.0%
- --------------------------------------------------------------------------------
Discount Notes - 2.7%
Chevron Oil Finance Co.
5.970% due 05/01/95 $ 2,000 $ 1,991
National Rural Utilities Cooperative
6.000% due 05/23/95 400 397
Tampa Electric Co.
6.030% due 04/24/95 2,000 1,993
U. S. West Communications
6.040% due 06/29/95 300 295
--------
4,676
--------
Time Deposit - 0.5%
United Missouri Bank
5.069% due 04/03/95 832 832
--------
U. S. Treasury Bills - 3.8%
6.135% due 11/16/95 (b) 200 192
6.555% due 11/16/95 6,500 6,257
--------
6,449
--------
Total Short-Term Instruments 11,957
(Cost $11,932) ========
Total Investments (a) - 100.7% $172,085
(Cost $173,482)
Written Option (d) - 0.0% (20)
(Premium $129)
Other Assets and Liabilities (Net) - (0.7%) (1,199)
--------
Net Assets - 100.0% $170,866
========
</TABLE>
<TABLE>
<S> <C>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 1,047
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (2,783)
--------
Unrealized depreciation-net $ (1,736)
========
(b) Securities with an aggregate market value of $192
have been segregated with the custodian to cover
margin requirements for the following open future
contracts at March 31, 1995:
</TABLE>
<TABLE>
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 2 Year Note (6/95) 20 $ 19
---------
U.S. Treasury 5 Year Note (6/95) 100 78
---------
$ 97
=========
</TABLE>
(c) Variable rate security. The rate listed is as of
March 31, 1995.
(d) Premium received on CME Written Put Option:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Eurodollar September Futures
Strike @ 91.75 Exp. 9/18/95 $ 200 $ 129 $ 20
</TABLE>
(e) Securities are grouped by coupon rate and represent a range
of maturities.
See Notes to Financial Statements
42
<PAGE>
SCHEDULE OF INVESTMENTS
Short-Term Fund
March 31, 1995
[PIE GRAPH APPEARS HERE]
Corporate Bonds and Notes 34.1%
Short-Term Instruments 6.1%
Other 6.2%
Mortgage-Backed Securities 51.5%
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- --------------------------------------------------------------------------------
Corporate Bonds and Notes - 34.1%
- --------------------------------------------------------------------------------
Banking and Finance - 18.0%
Banesto
7.900% due 12/28/95 (b) $ 1,000 $ 1,000
Capital One Bank
7.375% due 07/11/96 (b) 2,200 2,201
7.280% due 07/30/96 (b) 1,000 999
Ford Motor Credit Co.
7.685% due 04/05/99 (b) 1,500 1,469
General Motors Acceptance Corp.
8.800% due 04/04/96 1,500 1,525
8.800% due 07/08/96 1,300 1,326
5.250% due 12/09/96 2,000 1,938
Household Finance Corp.
6.460% due 10/08/03 (b) 3 3
Kansallis-Osake
8.438% due 09/30/43 (b) 1,000 1,006
Salomon, Inc.
7.458% due 04/05/95 (b) 750 749
7.075% due 06/21/95 (b) 500 500
6.325% due 03/14/96 (b) 500 497
6.575% due 03/15/96 (b) 500 500
6.917% due 10/21/96 (b) 500 497
7.500% due 06/15/99 1,000 1,001
SKW Realty L.P.
9.050% due 04/15/04 1,000 993
-------
16,204
=======
Industrials - 11.0%
Avencor Ltd.
9.220% due 06/30/96 1,000 1,009
Chemical Waste Management
0.000% due 08/16/10 3,000 1,207
Delta Air Lines
9.875% due 01/01/98 1,000 1,040
Nafin Finance Trust
8.731% due 03/31/99 (b) 858 618
Time Warner, Inc.
0.000% due 08/15/02 (c) 1,290 1,253
Transco Energy
9.500% due 12/01/95 1,000 1,020
Triton Energy
0.000% due 11/01/97 1,500 1,185
WMX Technologies
0.000% due 04/13/12 7,000 2,520
-------
9,852
=======
Utilities - 5.1%
Cleveland Electric Illuminating Co.
8.950% due 07/28/95 1,200 1,203
CMS Energy
0.000% due 10/01/97 (c) 1,000 916
Commonwealth Edison Co.
6.125% due 05/15/95 2,500 2,498
-------
4,617
-------
Total Corporate Bonds and Notes 30,673
(Cost $31,006) =======
- --------------------------------------------------------------------------------
U.S. Treasury Note - 3.9%
- --------------------------------------------------------------------------------
4.000% due 01/31/96 3,600 3,530
-------
Total U.S. Treasury Note 3,530
(Cost $3,517) =======
- --------------------------------------------------------------------------------
Mortgage-Backed Securities - 51.5%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation - 1.8%
6.921% due 11/01/22 (b) 1,600 1,623
-------
Federal National Mortgage Association - 2.7%
6.300% due 10/01/19 (b) 269 273
6.724% due 09/01/23 (b) 2,181 2,167
-------
2,440
=======
Government National Mortgage Association -
10.7%
6.500% due 07/20/24 - 09/20/24 (b)(e) 9,650 9,612
-------
Collateralized Mortgage Obligations - 8.9%
Donaldson, Lufkin & Jenrette
7.750% due 10/17/20 (b) 2,669 2,695
GE Capital Mortgage Services, Inc.
6.500% due 01/25/24 1,330 1,312
Housing Securities, Inc.
6.750% due 05/25/20 825 814
JP Morgan Acceptance Corp.
9.000% due 10/20/07 953 969
Prudential Bache
5.997% due 09/01/18 (b) 98 98
Prudential Home
7.625% due 08/25/22 554 551
Resolution Trust Corp.
8.800% due 12/25/20 (b) 1,447 1,462
7.250% due 10/25/23 160 160
------
8,061
======
Other Mortgage-Backed Securities - 14.9%
BRW Real Estate
5.688% due 12/01/98 (b) 652 649
Dime Savings
6.385% due 11/25/18 (b) 739 629
Donaldson, Lufkin & Jenrette
7.807% due 09/01/21 (b) 182 181
6.532% due 04/25/22 (b) 981 983
7.131% due 02/25/23 (b) 1,008 1,009
6.579% due 05/25/23 (b) 1,430 1,446
6.862% due 12/25/23 (b) 591 594
First Nationwide
5.828% due 10/01/18 (b) 112 110
Greenwich
7.670% due 04/25/22 (b) 448 454
7.126% due 10/25/22 (b) 459 461
Guardian
6.841% due 12/25/19 (b) 567 453
7.018% due 02/25/20 (b) 781 625
7.429% due 02/25/20 (b) 910 728
Resolution Trust Corp.
6.000% due 01/15/04 1,531 1,532
6.176% due 07/25/19 (b) 528 532
6.675% due 04/25/21 (b) 126 127
6.863% due 07/25/21 (b) 69 70
6.419% due 06/25/24 (b) 1,053 1,061
Ryland
6.526% due 08/25/21 (b) 1,260 1,253
6.175% due 12/25/21 (b) 502 509
-------
13,406
=======
Stripped Mortgage-Backed Securities - 12.5%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 01/15/08 8,180 323
7.000% due 05/15/21 17,544 2,932
Federal National Mortgage Assn. (IO)
6.000% due 10/25/23 7,000 776
7.000% due 07/25/06 11,246 1,376
</TABLE>
43
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Short-Term Fund
March 31, 1995
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
6.500% due 12/25/06 $ 11,663 $ 1,669
7.000% due 05/25/13 6,000 688
6.500% due 06/25/17 8,984 1,523
6.500% due 10/25/23 4,895 984
L.F. Rothchild Mortgage (PO)
0.000% due 04/01/17 1,131 1,028
----------
11,299
----------
Total Mortgage-Backed Securities 46,441
(Cost $46,968) ==========
Sovereign Issues - 2.3%
Cemex
10.000% due 11/15/96 1,000 837
Government of Malaysia
6.500% due 10/19/05 (b) 1,250 1,250
----------
Total Sovereign Issues 2,087
(Cost $2,276) ==========
Short-Term Instruments - 6.1%
Discount Notes - 5.7%
AT&T Corp.
6.020% due 06/05/95 100 99
6.240% due 07/10/95 500 491
Government of Mexico
20.500% due 06/01/95 1,000 951
19.750% due 07/20/95 3,900 3,556
----------
5,097
==========
Time Deposit - 0.2%
United Missouri Bank
5.069% due 04/03/95 202 202
----------
U.S. Treasury Bill - 0.2%
5.550% due 04/06/95 200 200
----------
Total Short-Term Instruments 5,499
(Cost $5,653) ==========
Total Investments (a) - 97.9% $ 88,230
(Cost $89,420)
Written Option (d) - (0.1%) (46)
(Premium $139)
Other Assets and Liabilities (Net) - 2.2% 1,930
----------
Net Assets - 100.0% $ 90,114
==========
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation
for all investments in which there was an
excess of value over tax cost $ 141
Aggregate gross unrealized depreciation
for all investments in which there was an
excess of tax cost over value (1,342)
----------
Unrealized depreciation-net $ (1,201)
==========
</TABLE>
(b) Variable rate security. The rate listed is as of
March 31, 1995.
(c) Security becomes interest bearing at a future date.
(d) Premium received on CME Written Option:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Eurodollar December Futures
Strike @ 92.00 Exp. 12/18/95 $ 114,000 $ 139 $ 46
</TABLE>
(e) Securities are grouped by coupon rate and represent a range of
maturities.
See Notes to Financial Statements
44
<PAGE>
SCHEDULE OF INVESTMENTS
Long-Term U.S. Government Fund
March 31, 1995
[PIE GRAPH APPEARS HERE]
Short-Term Instruments 26.8%
Other 3.9%
Mortgage-Backed Securities 68.7%
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- --------------------------------------------------------------------------------
U.S. Treasury Notes - 3.9%
- --------------------------------------------------------------------------------
3.875% due 08/31/95 (c) $ 170 $ 168
4.000% due 01/31/96 1,100 1,079
---------
Total U.S. Treasury Notes 1,247
(Cost $1,243) =========
- --------------------------------------------------------------------------------
Mortgage-Backed Securities - 68.7%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation - 2.5%
6.921% due 11/01/22 (b) 791 803
---------
Federal Housing Administration - 0.8%
7.640% due 11/01/19 265 270
---------
Government National Mortgage Association - 7.1%
6.000% due 06/20/23 (b) 924 909
7.000% due 07/20/23 (b) 880 887
6.500% due 03/20/25 (b) 495 493
---------
2,289
=========
Collateralized Mortgage Obligations - 45.4%
Federal National Mortgage Assn.
6.900% due 06/25/13 2,604 2,591
8.000% due 01/25/19 531 533
8.750% due 08/25/20 500 514
8.500% due 01/25/21 614 624
8.000% due 11/25/21 1,287 1,193
8.000% due 03/25/22 95 96
7.800% due 10/25/22 603 570
6.250% due 08/17/24 1,556 1,037
Federal Home Loan Mortgage Corp.
9.500% due 01/15/05 236 246
8.000% due 03/15/05 425 426
8.600% due 03/15/16 154 155
6.500% due 03/25/24 2,077 1,566
6.750% due 04/25/24 1,315 1,093
6.000% due 07/17/24 1,301 859
Government National Mortgage Assn.
7.988% due 07/16/24 527 470
Prudential Home
6.500% due 01/25/24 1,000 819
7.550% due 03/25/24 925 872
Vendee Mortgage
6.500% due 06/15/24 1,575 1,037
---------
14,701
=========
Other Mortgage-Backed Securities - 9.5%
GE Capital Mortgage
7.500% due 03/25/19 272 271
Residential Funding
8.500% due 04/01/02 54 55
Resolution Trust Corp.
7.325% due 06/25/23 (b) 732 735
5.983% due 03/25/25 (b) 1,000 1,016
Ryland
6.763% due 11/20/22 (b) 1,000 1,006
---------
3,083
=========
Stripped Mortgage-Backed Securities - 3.4%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 10/15/06 1,602 182
6.500% due 11/15/06 1,607 206
6.000% due 10/15/07 1,781 194
Federal Home Loan Mortgage Corp. (IO)
2.675% due 12/15/08 4,338 154
Federal National Mortgage Assn. (IO)
6.500% due 02/25/07 $ 1,013 $ 123
6.500% due 08/25/20 1,000 227
---------
1,086
---------
Total Mortgage-Backed Securities 22,232
(Cost $21,988) ---------
- --------------------------------------------------------------------------------
Purchased CME Put Option - 0.0%
- --------------------------------------------------------------------------------
Eurodollar December Futures
Strike @ 90.00 Exp. 12/18/95 25,000 1
---------
Total Purchased CME Put Option 1
(Cost $ 6) =========
- --------------------------------------------------------------------------------
OTC Interest Rate Caps - 0.0%
- --------------------------------------------------------------------------------
3 Month LIBOR
Strike @ 87.25 Exp. 12/18/95 3,000 0
Strike @ 88.00 Exp. 09/18/95 25,000 1
---------
Total OTC Interest Rate Caps 1
(Cost $1) =========
- --------------------------------------------------------------------------------
Short-Term Instruments - 26.8%
- --------------------------------------------------------------------------------
Discount Notes - 12.2%
Federal National Mortgage Assn.
5.950% due 04/17/95 1,000 998
United Parcel Service Co.
5.990% due 04/17/95 500 499
Ameritech Corp.
6.400% due 07/28/95 1,500 1,469
National Rural Utilities Cooperative
6.020% due 05/25/95 1,000 991
---------
3,957
=========
Time Deposit - 0.4%
United Missouri Bank
5.069% due 04/03/95 140 140
---------
U.S. Treasury Bills - 14.2%
6.596% due 01/11/96 4,500 4,289
5.700% due 04/06/95 (c) 10 10
5.755% due 04/06/95 190 190
5.733% due 05/04/95 (c) 45 45
6.125% due 11/16/95 (c) 50 48
4,582
---------
Total Short-Term Instruments 8,679
(Cost $8,656) =========
Total Investments (a) - 99.4% $ 32,160
(Cost $31,894)
Written Options (d) - (0.1%) (43)
(Premiums $130)
Other Assets and Liabilities (Net) - 0.7% 232
---------
Net Assets - 100% $ 32,349
=========
45
</TABLE>
45
<PAGE>
Schedule Of Investments (Cont.)
Long-Term U.S. Government Fund
March 31, 1995
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1995, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost. $ 359
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value. (93)
----------
Unrealized appreciation-net $ 266
==========
</TABLE>
(b) Variable rate security. The rate listed is as of
March 31, 1995.
(c) Securities with an aggregate market value of $271
have been segregated with the custodian to cover
margin requirements for the following open future
contracts at March 31, 1995:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 30 Year Bond (6/95) 141 $ 283
</TABLE>
(d) Premiums received on CME Written Put Options:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Eurodollar September Futures
Strike @ 91.25 Exp. 9/18/95 $ 10,000 $ 7 $ 0
Strike @ 92.00 Exp. 9/18/95 15,000 19 2
Strike @ 92.50 Exp. 9/18/95 5,000 7 1
Eurodollar December Futures
Strike @ 91.00 Exp. 12/18/95 1,000 1 0
Strike @ 91.50 Exp. 12/18/95 30,000 32 8
Strike @ 92.00 Exp. 12/18/95 11,000 12 4
Strike @ 92.25 Exp. 12/18/95 6,000 9 3
Eurodollar March Futures
Strike @ 92.00 Exp. 3/18/96 10,000 12 7
Strike @ 92.25 Exp. 3/18/96 22,000 31 18
-------------------
$ 130 $ 43
===================
</TABLE>
See Notes to Financial Statements
46
<PAGE>
Schedule Of Investments
Foreign Fund
March 31, 1995
[PIE GRAPH APPEARS HERE]
Italy 7.4%
Other 9.8%
Mexico 10.9%
Netherlands 5.1%
United Kingdom 14.1%
Short-Term Instruments 30.1%
United States 31.6%
Germany 11.5%
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C> <C>
- --------------------------------------------------------------------------------
Belgium (c)(g) - 2.9%
- --------------------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/03 BF 180,000 $ 6,765
------------
Total Belgium 6,765
(Cost $5,924) ============
- --------------------------------------------------------------------------------
Canada (c)(g) - 1.8%
- --------------------------------------------------------------------------------
Hydro-Quebec
6.563% due 09/30/49 (d) $ 4,000 3,388
Sears Canada
11.700% due 07/10/00 C$ 1,000 780
------------
Total Canada 4,168
(Cost $4,346) ============
- --------------------------------------------------------------------------------
Denmark (c)(g) - 4.0%
- --------------------------------------------------------------------------------
Government of Denmark
6.125% due 04/15/98 DM 5,000 3,636
7.000% due 12/15/04 DK 35,000 5,645
------------
Total Denmark 9,281
(Cost $8,232) ============
- --------------------------------------------------------------------------------
Germany (c)(g) - 11.5%
- --------------------------------------------------------------------------------
German Unity Fund
8.000% due 01/21/02 DM 35,000 26,756
------------
Total Germany 26,756
(Cost $26,076) ============
- --------------------------------------------------------------------------------
Italy (c)(g) - 7.4%
- --------------------------------------------------------------------------------
Republic of Italy
8.500% due 08/01/04 IL 30,000,000 13,361
10.500% due 05/19/98 3,000,000 1,755
8.500% due 08/01/99 4,200,000 2,104
------------
Total Italy 17,220
(Cost $17,466) ============
- --------------------------------------------------------------------------------
Japan (c)(g)- 1.1%
- --------------------------------------------------------------------------------
Tokyo Electric Power
6.000% due 12/18/96 JY 200,000 2,454
------------
Total Japan 2,454
(Cost $1,644) ============
- --------------------------------------------------------------------------------
Mexico (c)(g) - 10.9%
- --------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 13,000 9,049
Banco Nacional de Obra y Servicios
10.750% due 08/16/96 $ 850 749
Bancomer
8.000% due 07/07/98 2,000 1,353
Nacional Financiera
11.750% due 08/02/95 4,480 4,256
6.000% due 12/19/96 1,000 799
8.938% due 12/15/97 1,018 758
Petroleos Mexicanos
7.750% due 09/30/98 FF 44,000 6,436
United Mexican States
5.820% due 06/28/01 $ 4,500 2,025
------------
Total Mexico 25,425
(Cost $28,549) ============
- --------------------------------------------------------------------------------
Netherlands (c)(g) - 5.1%
- --------------------------------------------------------------------------------
Government of Netherlands
5.750% due 01/15/04 NG 20,000 $ 11,761
------------
Total Netherlands 11,761
(Cost $10,489) ============
- --------------------------------------------------------------------------------
United Kingdom (c)(g) - 14.1%
- --------------------------------------------------------------------------------
United Kingdom Gilt
10.250% due 11/22/99 BP 12,400 21,472
13.500% due 03/26/08 50 104
9.750% due 08/27/02 6,500 11,196
------------
Total United Kingdom 32,772
(Cost $32,607) ============
- --------------------------------------------------------------------------------
United States - 31.6%
- --------------------------------------------------------------------------------
Corporate Bonds and Notes - 18.1%
Chrysler Financial Corp.
4.710% due 11/17/95 $ 3,000 2,964
General Motors Acceptance Corp.
7.125% due 05/23/97 3,000 2,979
7.850% due 11/17/97 9,000 9,079
Merrill Lynch & Co.
7.350% due 02/26/96 (d) 5,000 4,900
Salomon, Inc.
6.010% due 08/07/95 10,000 9,967
7.400% due 03/28/96 7,800 7,790
Time Warner, Inc.
0.000% due 08/15/02 (e) 3,500 3,399
Transcontinental Gas Pipeline
6.210% due 05/15/00 (d) 1,000 989
------------
42,067
============
Mortgage-Backed Securities - 13.5%
Chase Mortgage
7.500% due 11/25/23 984 978
Collateralized Mortgage Obligation Trust
9.000% due 05/01/14 128 133
Countrywide Mortgage Backed Securities, Inc.
6.487% due 11/25/24 (d) 933 948
Federal Home Loan Mortgage Corp.
4.750% due 02/15/04 3,987 3,945
9.050% due 06/15/19 271 281
9.000% due 11/15/19 147 148
Federal Home Loan Mortgage Corp. (IO)
6.500% due 01/15/19 35,787 4,361
Federal National Mortgage Assn.
9.050% due 12/25/18 2,725 2,850
Government National Mortgage Assn.
7.000% due 09/20/24 (d) 1,137 1,147
Merrill Lynch & Co.
11.450% due 10/01/15 1,057 1,063
Morgan Stanley Mortgage Trust
8.150% due 07/20/21 7 7
PaineWebber Mortgage
7.000% due 10/25/23 3,008 2,970
Resolution Trust Corp.
6.788% due 12/15/04 (d) 2,746 2,753
7.500% due 12/15/04 (d) 2,000 2,002
10.622% due 05/25/24 584 609
7.750% due 04/25/28 6,246 6,043
Sears Mortgage
7.382% due 06/25/22 (d) 373 372
8.250% due 09/25/31 1,100 1,120
-----------
31,730
-----------
Total United States 73,797
(Cost $74,488) ===========
</TABLE>
47
<PAGE>
Schedule Of Investments (Cont.)
Foreign Fund
March 31, 1995
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- --------------------------------------------------------------------------------
Purchased OTC Put Option (g) - 0.0%
- --------------------------------------------------------------------------------
Japanese Yen v. U.S. Dollar
Strike @ 100.00 Exp. 10/03/95 JY 600,000 $ 35
-----------
Total Purchased OTC Put Option 35
(Cost $160) ===========
- --------------------------------------------------------------------------------
Short-Term Instruments - 30.1%
- --------------------------------------------------------------------------------
Discount Notes - 28.8%
AT&T Corp.
6.020% due 06/05/95 $ 7,500 7,416
6.170% due 08/31/95 9,200 8,955
Ameritech Corp.
6.250% due 04/04/95 1,500 1,500
5.960% due 04/13/95 500 499
Federal National Mortgage Assn.
6.350% due 04/17/95 9,300 9,277
General Electric Capital Corp.
6.350% due 04/07/95 3,400 3,397
Government of Mexico
7.733% due 07/20/95 3,000 2,735
KFW International Finance
5.970% due 04/19/95 900 898
6.000% due 05/24/95 6,000 5,949
Kimberly Clark Corp.
5.960% due 04/24/95 2,900 2,890
National Rural Utilities Cooperative
5.970% due 04/13/95 4,800 4,792
5.970% due 04/20/95 5,000 4,986
Procter & Gamble Co.
5.970% due 04/07/95 4,000 3,997
Province of British Columbia
6.250% due 08/14/95 1,500 1,465
Wisconsin Electric Power & Light
5.960% due 04/17/95 8,100 8,081
-----------
66,837
===========
Time Deposit - 0.2%
United Missouri Bank
5.069% due 04/03/95 497 497
-----------
U.S. Treasury Bills - 1.1%
5.877% due 04/06/95 - 11/16/95 (b) (h) 2,700 2,643
-----------
Total Short-Term Instruments 69,977
(Cost $70,186) ===========
Total Investments (a) - 120.5% $ 280,411
(Cost $280,167)
Written Options (f) - (0.4%) (1,000)
(Premiums $373)
Other Assets and Liabilities (Net) - (20.1%) (46,711)
-----------
Net Assets - 100.0% $ 232,700
===========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
<TABLE>
<S> <C>
(a) At March 31, 1995, the net unrealized
appreciation (depreciation) of
investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 6,189
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (6,077)
-----------
Unrealized appreciation-net $ 112
===========
(b) Securities with an aggregate market value of $2,643
have been segregated with the custodian to cover
margin requirements for the following open future
contracts at March 31, 1995:
</TABLE>
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- -----------------------------------------------------------------------
<S> <C> <C>
Australian Gov't 10 Year Bond 20 $ 9
French Gov't 10 Year Bond 124 (54)
German Gov't 10 Year Bond 41 76
Italian Gov't 10 Year Bond 60 (46)
Japanese Gov't 10 Year Bond 47 2,834
---------
$ 2,819
=========
</TABLE>
(c) Forward currency contracts outstanding at
March 31, 1995:
<TABLE>
<CAPTION>
Unrealized
Expiration Appreciation/
Type Amount Month (Depreciation)
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell BF 16,200 4/95 $ (14)
Sell BF 194,017 4/95 (193)
Buy BP 6,800 4/95 (38)
Sell BP 21,097 4/95 (359)
Sell C$ 1,320 4/95 (12)
Sell DK 30,387 4/95 (260)
Sell DM 19,619 4/95 (256)
Buy FF 30,614 4/95 197
Sell FF 80,835 4/95 (711)
Sell IL 5,591,385 4/95 29
Sell JY 1,276,131 4/95 (639)
Sell NG 19,162 4/95 (289)
Sell SF 2 4/95 0
Buy SP 19,143 4/95 3
----------
$ (2,542)
==========
</TABLE>
(d) Variable rate security. The rate listed is as of
March 31, 1995.
(e) Security becomes interest bearing at a future date.
48
<PAGE>
(f) Premiums received on OTC Written Options:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Call German Mark v. U.S. Dollar
Strike @ 1.36 Exp. 4/18/95 DM 13,600 $ 92 $ 147
Call Japanese Yen v. U.S. Dollar
Strike @ 92.00 Exp. 10/03/95 JY 600,000 189 679
Strike @ 114.00 Exp. 5/31/95 962,000 41 165
Put Japanese Yen v. U.S. Dollar
Strike @ 108.00 Exp. 10/03/95 600,000 51 9
--------------------
$ 373 $1,000
====================
</TABLE>
(g) Principal amount denoted in indicated currency:
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
DK - Danish Kroner
DM - German Mark
FF - French Franc
IL - Italian Lira
JY - Japanese Yen
NG - Netherlands Guilder
SF - Swiss Franc
SP - Spanish Peseta
(h) Securities are grouped by coupon and represent a range
of maturities.
See Notes to Financial Statements
49
<PAGE>
SCHEDULE OF INVESTMENTS
Global Fund
March 31, 1995
[PIE GRAPH APPEARS HERE]
Germany 11.3%
United Kingdom 5.1%
Short-Term Instruments 32.7%
United States 46.7%
Other 9.9%
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- -------------------------------------------------------------------------------
Canada (b)(f) - 2.9%
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Government of Canada
9.000% due 12/01/04 C$ 3,000 $ 2,201
----------
Total Canada 2,201
(Cost $2,182) ==========
- -------------------------------------------------------------------------------
Denmark (f) - 1.5%
- -------------------------------------------------------------------------------
Government of Denmark
7.000% due 12/15/04 DK 7,000 1,129
----------
Total Denmark 1,129
(Cost $1,031) ==========
- -------------------------------------------------------------------------------
Germany (b)(f) - 11.3%
- -------------------------------------------------------------------------------
German Unity Fund
8.000% due 01/21/02 DM 8,500 6,497
Government of Germany
7.125% due 01/29/03 $ 2,900 2,110
----------
Total Germany 8,607
(Cost $8,133) ==========
- -------------------------------------------------------------------------------
Italy (b)(f) - 3.4%
- -------------------------------------------------------------------------------
Republic of Italy
7.438% due 08/01/04 IL 3,750,000 1,670
10.500% due 06/20/98 1,625,000 943
----------
Total Italy 2,613
(Cost $2,679) ==========
- -------------------------------------------------------------------------------
Mexico (b)(f) - 2.1%
- -------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 500 348
Banco Nacional de Obra y Servicios
10.750% due 08/16/96 $ 500 440
Cemex
10.000% due 11/15/96 1,000 837
----------
Total Mexico 1,625
(Cost $1,840) ==========
- -------------------------------------------------------------------------------
United Kingdom (b)(f) - 5.1%
- -------------------------------------------------------------------------------
United Kingdom Gilt
10.250% due 11/22/99 BP 2,250 3,896
----------
Total United Kingdom 3,896
(Cost $3,851) ==========
- -------------------------------------------------------------------------------
United States - 46.7%
- -------------------------------------------------------------------------------
Corporate Bonds and Notes - 16.7%
CTC Mansfield Funding
11.125% due 09/30/16 $ 700 690
General Motors Acceptance Corp.
6.250% due 11/20/95 2,000 1,993
6.750% due 05/20/96 1,000 996
Occidental Petroleum
11.750% due 03/15/11 1,000 1,087
PaineWebber, Inc.
8.875% due 03/15/05 2,500 2,494
Salomon, Inc.
6.010% due 08/07/95 2,000 1,993
7.400% due 03/28/96 3,000 2,996
United Air Lines
10.670% due 05/01/04 500 542
----------
12,791
==========
U. S. Treasury Notes - 2.7%
3.875% due 08/31/95 (c) $ 130 $ 129
4.250% due 12/31/95 2,000 1,969
----------
2,098
==========
Mortgage-Backed Securities - 27.3%
Countrywide
6.487% due 11/25/24 (d) 467 474
Federal Home Loan Mortgage Corp.
7.130% due 05/01/23 (d) 2,230 2,218
Federal Housing Administration
7.399% due 02/01/21 1,743 1,717
Federal National Mortgage Assn.
5.809% due 03/01/24 (d) 916 891
5.763% due 11/01/23 (d) 1,669 1,645
6.500% due 04/01/09 962 915
7.500% due 11/01/01-01/01/02 (g) 1,527 1,527
Government National Mortgage Assn.
6.500% due 07/20/22-06/20/23 (d)(g) 3,380 3,377
MDC Mortgage Funding
6.776% due 01/25/25 (d) 1,959 2,029
Residential Funding
5.983% due 03/25/25 (d) 5,000 5,080
Resolution Trust Corp.
8.000% due 04/25/25 1,000 984
----------
20,857
----------
Total United States 35,746
(Cost $35,652) ==========
- --------------------------------------------------------------------------------
Purchased OTC Put Option (f) - 0.0%
- -------------------------------------------------------------------------------
Japanese Yen v. U.S. Dollar
Strike @ 100.00 Exp. 10/03/95 JY 100,000 6
----------
Total Purchased OTC Put Option 6
(Cost $26) ==========
- -------------------------------------------------------------------------------
Short-Term Instruments - 32.7%
- -------------------------------------------------------------------------------
Discount Notes - 28.8%
Abbott Laboratories
5.950% due 04/11/95 $ 2,200 2,197
Ameritech
5.960% due 04/13/95 3,500 3,494
Canadian Wheat Board
5.940% due 04/18/95 700 698
Government of Mexico
28.000% due 07/27/95 963 873
19.750% due 07/20/95 1,300 1,185
Hewlett Packard
5.940% due 04/11/95 3,500 3,495
New South Wales Treasury
6.080% due 06/14/95 3,000 2,962
Procter & Gamble Co.
5.950% due 04/06/95 1,300 1,299
5.970% due 04/07/95 1,800 1,799
Province of Quebec
6.150% due 07/13/95 2,700 2,652
Rockwell International
6.000% due 05/09/95 1,100 1,093
U.S. West Communications
6.000% due 04/10/95 300 300
----------
22,047
==========
Time Deposit - 2.7%
United Missouri Bank
5.069% due 04/03/95 2,038 2,038
==========
</TABLE>
50
<PAGE>
<TABLE>
<S> <C> <C>
U. S. Treasury Bills - 1.2%
5.774% due 05/04/95-11/16/95 (c) (g) $ 545 $ 534
6.500% due 01/11/96 400 381
----------
915
----------
Total Short-Term Instruments 25,000
(Cost $25,060) ==========
Total Investments (a) - 105.7% $ 80,823
(Cost $80,454)
Written Options (e) - (0.3%) (198)
(Premiums $102)
Other Assets and Liabilities (Net) - (5.4%) (4,149)
----------
Net Assets - 100.0% $ 76,476
==========
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 914
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (545)
----------
Unrealized appreciation-net $ 369
==========
(b) Foreign currency forward contracts outstanding
at March 31, 1995:
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type By Contract Month (Depreciation)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy A$ 685 4/95 $ (6)
Buy BF 55,914 4/95 56
Buy BP 2,432 4/95 69
Sell BP 212 4/95 (6)
Sell BP 1,378 4/95 (41)
Buy C$ 683 4/95 6
Sell C$ 3,167 4/95 (33)
Buy DM 5,351 4/95 70
Buy FF 23,733 4/95 209
Buy IL 3,064,656 4/95 (16)
Buy JY 655,613 4/95 328
Buy NG 3,248 4/95 49
Buy SP 241,764 4/95 33
Buy SK 6,200 4/95 (11)
-----------
$ 707
===========
</TABLE>
(c) Securities with an aggregate market value of $663
have been segregated with the custodian to cover
margin requirements for the following open future
contracts at March 31, 1995:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- -------------------------------------------------------------------------------
<S> <C> <C>
French Gov't 10 Year Bond 46 $ 30
German Gov't 10 Year Bond 18 35
Japanese Gov't 10 Year Bond 8 452
U.S. Treasury 30 Year Bond (6/95) 20 (9)
U.S. Treasury 10 Year Note (6/95) 90 112
----------
$ 620
==========
</TABLE>
(d) Variable rate security. The rate listed is as of
March 31, 1995.
(e) Premiums received on OTC Written Options:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Call German Mark v. U.S. Dollar
Strike @ 1.36 Exp. 04/18/95 DM 4,080 $ 28 $ 44
Put German Mark v. U.S. Dollar
Strike @ 1.43 Exp. 04/18/95 4,283 28 12
Call Japanese Yen v. U.S. Dollar
Strike @ 92.00 Exp. 10/03/95 JY 100,000 31 113
Strike @ 114.00 Exp. 05/31/95 159,000 7 27
Put Japanese Yen v. U.S. Dollar
Strike @108.00 Exp. 10/03/95 100,000 8 2
-------------------------
$ 102 $ 198
=========================
</TABLE>
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
DK - Danish Kroner
DM - German Mark
FF - French Franc
IL - Italian Lira
JY - Japanese Yen
NG - Netherlands Guilder
SK - Swedish Krona
SP - Spanish Peseta
(g) Securities are grouped by coupon rate and
represent a range of maturities.
See Notes to Financial Statements
51
<PAGE>
SCHEDULE OF INVESTMENTS
High Yield Fund
March 31, 1995
[PIE GRAPH APPEARS HERE]
Mortgage-Backed Securities 10.0%
Short-Term Instruments 6.0%
Other 2.4%
Corporate Bonds and Notes 80.5%
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- -------------------------------------------------------------------------------
Corporate Bonds and Notes - 80.5%
- -------------------------------------------------------------------------------
Banking and Finance - 3.4%
Navistar Financial
8.875% due 11/15/98 $ 5,750 $ 5,592
Phoenix RE Corp.
9.750% due 08/15/03 5,550 5,661
----------
11,253
==========
Industrials - 68.3%
Abbey Healthcare Group
9.500% due 11/01/02 5,720 5,849
Act III Broadcasting
9.625% due 12/15/03 6,740 6,504
Alliant Techsystems, Inc.
11.750% due 03/01/03 3,500 3,528
American Airlines
10.610% due 03/04/10 650 710
American Standard
11.375% due 05/15/04 3,000 3,255
Ametek, Inc.
9.750% due 03/15/04 7,000 7,262
Bally's Grand
10.375% due 12/15/03 3,050 2,882
Benedek Broadcasting Corp.
11.875% due 03/01/05 3,500 3,487
Cablevision Systems
10.750% due 04/01/04 3,640 3,749
9.875% due 04/01/23 3,000 2,805
Century Communication
11.875% due 10/15/03 5,000 5,238
Continental Cablevision
11.000% due 06/01/07 3,810 4,039
9.500% due 08/01/13 1,000 965
Delta Air Lines
10.790% due 03/26/14 2,264 2,463
10.500% due 04/30/16 2,000 2,127
Doskocil Companies, Inc.
9.750% due 07/15/00 3,000 2,760
Embassy Suites
8.750% due 03/15/00 6,000 5,895
Ferrell Gas
10.000% due 08/01/01 5,350 5,484
Figgie International, Inc.
9.875% due 10/01/99 6,490 6,034
Fleming Companies, Inc.
10.625% due 12/15/01 1,750 1,772
Groupe Videotron
10.625% due 02/15/05 1,250 1,269
Gulf Canada Resources
9.250% due 01/15/04 7,750 7,363
J.Q. Hammons Hotels
8.875% due 02/15/04 4,500 4,208
HS Resources
9.875% due 12/01/03 6,000 5,760
Jones Intercable, Inc.
9.625% due 03/15/02 3,000 3,007
Nuevo Energy Co.
12.500% due 06/15/02 5,204 5,464
OSI Specialties, Inc.
9.250% due 10/01/03 6,500 6,048
Owens Illinois
11.000% due 12/01/03 6,000 6,435
Pathmark Stores, Inc.
9.625% due 05/01/03 7,000 6,580
0.000% due 11/01/03 (b) 3,000 1,620
Repap Wisconsin, Inc.
9.250% due 02/01/02 6,750 6,328
Revlon Consumer Products Corp.
9.500% due 06/01/99 3,500 3,290
RJR Nabisco
8.625% due 12/01/02 5,500 5,411
Rogers Cablesystems, Inc.
10.000% due 03/15/05 4,250 4,229
Rogers Cantel Mobile
10.750% due 11/01/01 6,430 6,575
Rykoff Sexton
8.875% due 11/01/03 5,000 4,725
Schuller International Group
10.875% due 12/15/04 4,000 4,220
SCI Television
11.000% due 06/30/05 6,175 6,314
Sequa Corp.
10.000% due 05/14/01 1,500 1,422
10.150% due 05/15/01 3,500 3,430
Showboat, Inc.
9.250% due 05/01/08 2,900 2,530
Stone Consolidated
10.250% due 12/15/00 5,500 5,555
Super Rite Foods
10.625% due 04/01/02 5,000 4,950
Sweetheart Cup Co.
9.625% due 09/01/00 6,500 6,289
Tenet Healthcare Corp.
10.125% due 03/01/05 2,500 2,581
9.625% due 09/01/02 3,500 3,596
TransTexas Gas
10.500% due 09/01/00 7,000 7,044
Triton Energy
0.000% due 11/01/97 8,450 6,675
United Air Lines
10.670% due 05/01/04 2,000 2,169
U.S. Gypsum Corp.
9.250% due 09/15/01 6,500 6,305
West Point Stevens
8.750% due 12/15/01 6,000 5,655
World Color Press, Inc.
9.125% due 03/15/03 6,185 5,845
-----------
229,700
===========
Utilities - 8.8%
AES Corp.
9.750% due 06/15/00 5,535 5,487
California Energy
0.000% due 01/15/04 (b) 9,490 7,165
CMS Energy
0.000% due 10/01/99 (b) 4,950 4,814
CTC Mansfield Funding
11.125% due 09/30/16 7,000 6,895
Long Island Lighting Co.
7.050% due 03/15/03 5,000 4,253
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/09 500 455
10.732% due 01/01/13 720 660
----------
29,729
----------
Total Corporate Bonds and Notes 270,682
(Cost $272,469) ==========
- -------------------------------------------------------------------------------
U.S. Treasury Note - 0.3%
- -------------------------------------------------------------------------------
4.000% due 01/31/96 900 883
----------
Total U.S. Treasury Note 883
(Cost $878) ==========
</TABLE>
52
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- -------------------------------------------------------------------------------
Mortgage-Backed Securities - 10.0%
- -------------------------------------------------------------------------------
Collateralized Mortgage Obligations - 3.2%
Resolution Trust Corp.
9.250% due 06/25/23 $ 3,682 $ 3,695
8.835% due 12/25/23 3,577 3,239
9.500% due 05/25/24 240 231
8.500% due 03/25/25 459 447
Structured Asset Securities Corp.
7.050% due 11/25/02 4,000 3,007
----------
10,619
==========
Other Mortgage-Backed Securities - 4.2%
Consumer Obligation Structured Trust
6.960% due 12/01/19 1,192 1,189
Kearny St. Real Estate Co.
9.560% due 07/15/03 1,000 1,004
Resolution Trust Corp.
10.500% due 01/15/04 5,000 5,002
SKW Realty L.P.
10.750% due 04/15/04 7,000 7,010
-----------
14,205
===========
Stripped Mortgage-Backed Securities - 2.6%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 10/15/08 1,566 229
6.500% due 04/15/22 6,300 1,159
7.000% due 12/15/23 2,750 942
Federal National Mortgage Assn. (IO)
6.000% due 07/25/05 5,500 796
7.000% due 11/25/06 6,107 746
7.000% due 07/25/08 10,000 1,734
6.500% due 06/25/17 5,000 845
Fund America (IO)
9.590% due 10/20/21 (d) 3,367 979
Prudential Home (IO)
0.251% due 05/25/24 (d) 121,881 1,369
-----------
8,799
----------
Total Mortgage-Backed Securities 33,623
(Cost $33,221) ==========
- -------------------------------------------------------------------------------
Sovereign Issues - 2.1%
- -------------------------------------------------------------------------------
First Mexican Acceptance Corp.
8.750% due 09/15/96 1,000 730
Republic of Argentina
6.500% due 03/31/05 5,000 2,650
4.250% due 03/31/23 2,000 800
Third Mexican Acceptance Corp.
7.370% due 03/15/98 1,000 640
United Mexican States
6.250% due 12/31/19 5,000 2,337
----------
Total Sovereign Issues 7,157
(Cost $9,259) ==========
- -------------------------------------------------------------------------------
Short-Term Instruments - 6.0%
- -------------------------------------------------------------------------------
Discount Notes - 5.5%
Abbott Laboratories
5.960% due 04/25/95 1,700 1,694
Campbell Soup Co.
6.520% due 10/26/95 5,200 5,009
Government of Canada
5.940% due 04/10/95 300 300
General Electric Capital Corp.
6.730% due 10/11/95 3,000 2,898
Government of Mexico
19.050% due 04/27/95 500 490
17.100% due 07/20/95 1,000 912
19.750% due 07/20/95 3,000 2,735
Kellogg Co.
5.950% due 04/03/95 1,000 1,000
Province of British Columbia
6.010% due 05/04/95 3,500 3,482
----------
18,520
==========
Time Deposit - 0.4%
United Missouri Bank
5.069% due 04/03/95 1,237 1,237
----------
U. S. Treasury Bill - 0.1%
6.310% due 02/08/96 500 474
----------
Total Short-Term Instruments 20,231
(Cost $20,369) ==========
Total Investments (a) - 98.9% $ 332,576
(Cost $336,196)
Written Option (c) - (0.0%) (28)
(Premium $50)
Other Assets and Liabilities (Net) - 1.1% 3,803
----------
Net Assets - 100.0% $ 336,351
==========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1995, the net unrealized appreciation
depreciation) of investments based on cost for
federal income tax purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 4,374
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (8,087)
----------
Unrealized depreciation-net $ (3,713)
==========
</TABLE>
(b) Security becomes interest bearing at a future date.
(c) Premium received on OTC Written Call Option:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Mexican Brady Par Bond
Strike @ 55.00 Exp. 6/12/95 $ 5,000 $ 50 $ 28
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1995.
See Notes to Financial Statements
53
<PAGE>
SCHEDULE OF INVESTMENTS
Growth Stock Fund
March 31, 1995
[PIE GRAPH APPEARS HERE]
16.5% Consumer Discretionary Consumer Staples 36.5%
11.1% Capital Goods Other 1.4%
2.6% Services Basic Materials 6.1%
8.6% Utilities/Telecommunications Technology 12.5%
2.4% Energy
3.6% Financial Services
<TABLE>
<CAPTION>
Value
Shares (000's)
<S> <C> <C>
- --------------------------------------------------------------------------------
Common Stocks - 99.9%
- --------------------------------------------------------------------------------
Energy - 2.4%
British Petroleum Co. PLC 1,100 $ 92
Coastal Corp. 2,600 75
Phillips Petroleum 2,900 106
Smith International, Inc. (b) 6,700 96
-------
369
=======
Technology - 12.5%
Adaptec, Inc. (b) 5,700 188
BMC Software, Inc. (b) 2,500 159
Cabletron Systems, Inc. (b) 1,400 63
Compaq Computer Corp. (b) 2,000 69
DSC Communications 1,000 32
Exabyte Corp. 8,000 139
Intel Corp. 1,800 153
Linear Technology Corp. 2,000 112
Microsoft Corp. (b) 3,200 228
Motorola, Inc. 7,800 426
Oracle Systems Corp. (b) 9,450 295
Sensormatic Electronics Corp. 2,200 62
-------
1,926
=======
Consumer Discretionary - 16.5%
A. H. Belo Corp. "A" 5,300 307
Chrysler Corp. 1,000 42
Danaher Corp. 4,800 137
Walt Disney Co. 9,700 518
Echlin, Inc. 2,900 112
Ford Motor Co. 1,500 40
Home Depot, Inc. 4,200 186
Magna International, Inc. "A" 1,100 42
Morrison Restaurants, Inc. 3,800 84
Newell Co. 11,800 301
Nike, Inc. "B" 1,300 97
Office Depot, Inc. 7,400 180
Pep Boys - Manny Moe & Jack 2,900 90
Shaw Industries, Inc. 8,000 106
Wal - Mart Stores, Inc. 8,900 227
Wellman, Inc. 3,200 81
-------
2,550
=======
Consumer Staples - 36.5%
Abbott Laboratories 10,300 367
Albertsons, Inc. 7,300 236
American Stores Co. 10,100 259
Amgen, Inc. 2,800 189
Campbell Soup Co. 10,600 513
Coca-Cola Co. 6,500 367
Colgate-Palmolive Co. 2,500 165
Columbia HCA Healthcare Corp. 1,400 60
Conagra, Inc. 4,400 146
Dentsply International, Inc. 1,100 38
Diagnostic Products Corp. 1,000 35
Flowers Industries, Inc. 9,900 178
Foundation Health Corp. (b) 1,200 39
IBP, Inc. 7,600 248
Johnson & Johnson Co. 9,600 571
Kroger Co. (b) 4,600 121
Merck & Co. 4,700 200
Pfizer, Inc. 5,000 429
The Procter & Gamble Co. 5,800 384
Sara Lee Corp. 7,800 204
Schering Plough Corp. 2,500 186
Sysco Corp. 8,300 218
Tecnol Medical Products, Inc. 2,000 37
U. S. Healthcare, Inc. 3,500 154
Unilever N.V. 2,100 276
-------
5,620
=======
Financial Services - 3.6%
AFLAC, Inc. 2,800 113
Advanta Corp. "A" 3,900 131
American International Group, Inc. 700 73
Federal National Mortgage Assn. 400 32
Finova Group, Inc. 2,900 96
First USA, Inc. 2,000 84
SunAmerica, Inc. 700 30
-------
559
=======
Utilities/Telecommunications - 8.6%
Ameritech Corp. 5,300 219
California Energy Co., Inc. 14,300 229
Century Telephone Enterprise 4,300 131
Enron Corp. 3,500 115
Frontier Corp. 14,400 326
Nova Corp. 6,300 55
Telephone & Data Systems, Inc. 2,000 79
Transco Energy Co. 1,597 30
Williams Companies, Inc. 4,900 150
-------
1,334
=======
Basic Materials - 6.1%
Bowater, Inc. 7,000 250
Monsanto Co. 500 40
Morton International, Inc. 12,200 354
Owens Illinois, Inc. (b) 3,600 41
Pentair, Inc. 900 38
Willamette Industries, Inc. 3,900 212
-------
935
=======
Capital Goods - 11.1%
Boeing Co. 800 43
Browning-Ferris Industries, Inc. 8,100 275
Donaldson Co., Inc. 5,500 138
Federal Signal Corp. 10,400 225
General Electric Co. 7,600 411
Georgia-Pacific Corp. 1,400 112
Lennar Corp. 10,600 171
Nordson Corp. 700 39
Thermo Electron Corp. (b) 3,900 198
Trimas Corp. 2,800 62
Wheelabrator Techology, Inc. 2,900 40
-------
1,714
=======
Services - 2.6%
Cintas Corp. 3,300 125
Pittston Services Group 5,400 149
Tyco International, Ltd. 2,500 132
-------
406
-------
Total Common Stocks 15,413
=======
(Cost $13,853)
</TABLE>
54
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- --------------------------------------------------------------------------------
Short-Term Instruments - 1.4%
- --------------------------------------------------------------------------------
Discount Note - 0.6%
Kimberly Clark Corp.
6.000% due 05/24/95 $ 100 $ 99
Time Deposit - 0.8%
United Missouri Bank
5.069% due 04/03/95 127 127
-------
Total Short-Term Instruments 226
(Cost $226) =======
Total Investments (a) - 101.3% $15,639
(Cost $14,079)
Written Options (c) - (0.0%) (4)
(Premium $4)
Other Assets and Liabilities (Net) - (1.3%) (206)
-------
Net Assets - 100.0% $15,429
=======
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1995, the net unrealized appreciation
depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 1,722
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (193)
-------
Unrealized appreciation-net $ 1,529
=======
</TABLE>
(b) Non-income producing security.
(c) Premiums received on AMEX Written Call Options:
<TABLE>
<CAPTION>
Premium Market
Type Shares Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Pfizer, Inc.
Strike @ 90.00 Exp. 5/20/95 2,500 $ 2 $ 2
Amgen, Inc.
Strike @ 70.00 Exp. 5/20/95 1,400 2 2
------------------
$ 4 $ 4
==================
</TABLE>
See Notes to Financial Statements
55
<PAGE>
Schedule Of Investments
StocksPLUS Fund
March 31, 1995
[PIE GRAPH APPEARS HERE]
Other 2.0%
Short-Term Instruments 26.9%
U.S. Treasury Notes 15.5%
Corporate Bonds and Notes 28.3%
Mortgage-Backed Securities 25.9%
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- --------------------------------------------------------------------------------
Corporate Bonds and Notes - 28.3%
- --------------------------------------------------------------------------------
Banking and Finance - 17.0%
Capital One Bank
7.375% due 07/11/96 (b) $ 600 $ 600
7.280% due 07/30/96 (b) 500 500
Den Danske Bank
5.250% due 06/30/00 (b) 450 454
Ford Motor Credit Co.
7.270% due 11/09/98 (b) 500 497
7.460% due 03/30/99 (b) 250 248
7.685% due 04/05/99 (b) 340 333
General Motors Acceptance Corp.
8.125% due 01/27/97 1,500 1,520
Home Savings of America
10.500% due 06/12/97 750 771
Kansallis-Osake
8.438% due 09/30/43 (b) 500 503
Salomon, Inc.
6.375% due 02/05/96 500 496
6.917% due 10/21/96 (b) 500 497
5.977% due 04/05/99 (b) 500 495
SKW Realty L.P.
9.050% due 04/15/04 1,000 993
-------
7,907
=======
Industrials - 7.9%
Avencor Ltd.
9.220% due 06/30/96 1,000 1,009
Chemical Waste Management
0.000% due 08/16/10 2,750 1,107
Occidental Petroleum
11.750% due 03/15/11 750 815
Time Warner, Inc.
0.000% due 08/15/02 (c) 750 728
-------
3,659
=======
Utilities - 3.4%
CMS Energy
0.000% due 10/01/97 (c) 250 229
Commonwealth Edison Co.
6.125% due 05/15/95 650 650
5.500% due 07/15/95 500 498
Transcontinental Gas Pipeline
9.000% due 11/15/96 200 205
-------
1,582
-------
Total Corporate Bonds and Notes 13,148
(Cost $13,181) =======
- --------------------------------------------------------------------------------
U.S. Treasury Notes - 15.5%
- --------------------------------------------------------------------------------
3.875% due 10/31/95 4,100 4,046
4.000% due 01/31/96 3,200 3,138
-------
Total U.S. Treasury Notes 7,184
(Cost $7,148) =======
- --------------------------------------------------------------------------------
Mortgage-Backed Securities - 25.9%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation - 0.9%
6.919% due 01/01/23 (b) 393 399
-------
Federal National Mortgage Association - 0.2%
9.000% due 01/01/99 113 116
-------
Government National Mortgage Association - 4.4%
6.500% due 07/20/24 - 08/20/24 (b) (e) 1,977 1,969
7.000% due 08/20/24 (b) 97 98
-------
2,067
=======
Collateralized Mortgage Obligations - 13.7%
Citicorp Mortgage Securities, Inc.
9.250% due 12/20/04 100 102
9.500% due 11/25/17 1,474 1,493
6.292% due 09/25/18 (b) 161 160
8.000% due 09/25/21 128 130
Donaldson, Lufkin & Jenrette
7.750% due 10/17/20 (b) 757 764
Federal Home Loan Mortgage Corp.
5.750% due 03/15/00 1,784 1,761
6.250% due 11/15/01 85 85
Federal National Mortgage Assn.
8.500% due 11/25/05 200 202
Resolution Trust Corp.
6.451% due 05/25/21 (b) 116 114
6.669% due 12/25/23 (b) 147 145
7.000% due 10/25/24 1,212 1,205
Salomon Mortgage
7.000% due 07/25/24 135 134
Sears Mortgage
8.719% due 05/25/32 (b) 70 71
-------
6,366
=======
Other Mortgage-Backed Securities - 1.9%
California Federal Savings & Loan
5.771% due 01/01/19 (b) 128 126
Fund America
7.211% due 06/25/23 (b) 337 343
Great Western Savings & Loan
5.629% due 01/25/18 (b) 156 153
Greenwich
7.406% due 10/25/22 (b) 115 115
Western Federal Savings & Loan
6.243% due 03/25/19 (b) 148 147
------
884
======
Stripped Mortgage-Backed Securities - 4.8%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 01/15/08 4,048 161
7.000% due 08/15/13 792 68
Federal National Mortgage Assn. (IO)
6.000% due 11/25/00 1,990 274
7.000% due 07/25/06 2,249 275
7.000% due 03/25/07 7,344 220
7.500% due 08/25/10 2,797 148
7.000% due 08/25/16 1,177 146
7.000% due 07/25/21 3,055 532
Prudential Home (IO)
4.299% due 02/25/22 (b) 73 206
Residential Funding (IO)
6.750% due 01/25/24 4,829 176
-------
2,206
-------
Total Mortgage-Backed Securities 12,038
(Cost $11,924) =======
- --------------------------------------------------------------------------------
Sovereign Issues - 1.3%
- --------------------------------------------------------------------------------
Nacional Financiera
11.750% due 08/02/95 650 617
-------
Total Sovereign Issues 617
(Cost $651) =======
- --------------------------------------------------------------------------------
OTC Interest Rate Cap - 0.0%
- --------------------------------------------------------------------------------
3 Month LIBOR
Strike @ 88.00 Exp. 9/20/95 37,000 1
-------
Total OTC Interest Rate Cap 1
(Cost $1) =======
</TABLE>
56
<PAGE>
<TABLE>
<CAPTION>
Value
Shares (000's)
<S> <C> <C>
- --------------------------------------------------------------------------------
Preferred Stock - 0.7%
- --------------------------------------------------------------------------------
Citicorp Convertible (h) 17 $ 331
-------
Total Preferred Stock 331
(Cost $338) =======
- --------------------------------------------------------------------------------
Short-Term Instruments - 26.9%
- --------------------------------------------------------------------------------
<CAPTION>
Principal
Amount
(000's)
<S> <C> <C>
Discount Notes - 22.1%
Abbott Laboratories
5.960% due 04/25/95 $ 900 897
AT&T Corp.
6.020% due 06/05/95 500 494
Campbell Soup Co.
6.000% due 04/25/95 1,000 996
Canadian Wheat Board
6.020% due 06/20/95 1,700 1,677
Federal Home Loan Mortgage Corp.
5.920% due 04/10/95 2,600 2,597
Government of Mexico
19.750% due 07/20/95 1,000 912
20.500% due 08/03/95 1,000 907
Shell Oil
5.960% due 05/08/95 900 895
U. S. West Communications
5.960% due 04/06/95 300 300
5.970% due 04/26/95 600 598
-------
10,273
=======
U.S. Treasury Bills - 3.2%
5.805% due 04/06/95 - 11/16/95 (d) (e) 1,535 1,513
Time Deposit - 1.6%
United Missouri Bank
5.069% due 04/03/95 743 743
-------
Total Short-Term Instruments 12,529
(Cost $12,593) =======
Total Investments (a) - 98.6% $45,848
(Cost $45,836)
Written Option (f) - (0.0%) (15)
(Premium $45)
Other Assets and Liabilities (Net) (g) - 1.4% 665
-------
Net Assets - 100.0% $46,498
=======
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1995, the net unrealized appreciation
depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 206
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (210)
-------
Unrealized depreciation-net $ (4)
=======
(b) Variable rate security. The rate listed is as of
March 31, 1995.
(c) Security becomes interest bearing at a future date.
(d) Securities with an aggregate market value of $1,513
have been segregated with the custodian to cover
margin requirements for the following open future
contracts at March 31, 1995:
</TABLE>
<TABLE>
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
S & P 500 Index (6/95) 118 $ 897
</TABLE>
(e) Securities are grouped by coupon rate and represent a range of Maturities.
(f) Premium received on CME Written Put Option:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
3 Month LIBOR
Strike @ 92.00 Exp. 12/18/95 $37,000 $ 45 $ 15
</TABLE>
(g) Swap agreements outstanding at March 31, 1995:
<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: Lehman Brothers Finance, S.A.
Exp. 6/30/95 $ 5,000 $ 129
Broker: Morgan Stanley Capital Services
Exp. 9/29/95 10,500 139
--------------------------------
$15,500 $ 268
================================
</TABLE>
(h) Non-income producing security.
See Notes to Financial Statements
57
<PAGE>
NOTES TO FINANCIAL STATEMENTS
March 31, 1995
1. Significant Accounting Policies
PIMCO Funds (the "Trust") was established as a Massachusetts business trust on
February 19, 1987. The Trust is registered under the Investment Company Act of
1940 (the "Act"), as amended, as a no-load, open-end investment management
company. The Trust currently consists of 19 separate investment funds (the
"Funds"): the Total Return Fund; the Total Return Fund II; the Total Return Fund
III; the Low Duration Fund; the Low Duration Fund II; the Low Duration Fund III;
the Short-Term Fund; the Long-Term U.S. Government Fund; the Foreign Fund; the
Global Fund; the High Yield Fund; the Growth Stock Fund; the StocksPLUS Fund;
the VersaSTYLE Equity Fund; the Moderate Duration Fund; the Commercial Mortgage
Securities Fund; the Income and Capital Preservation Fund; the Income and
Capital Preservation Fund II; and the International Fund (available only to
private account clients of PIMCO). The annual reports for the International,
VersaSTYLE Equity and Total Return II Funds are provided separately. The
Moderate Duration, Commercial Mortgage Securities, Low Duration III, and Income
and Capital Preservation Funds had not commenced operations as of March 31,
1995. The following is a summary of significant accounting policies consistently
followed by the Trust in preparation of its financial statements. These policies
are in conformity with generally accepted accounting principles.
Security Valuation. Portfolio securities and other assets for which market
quotations are readily available are stated at market value. Market value is
determined on the basis of last reported sales prices, or if no sales are
reported, as is the case for most securities traded over-the-counter, the mean
between representative bid and asked quotations obtained from a quotation
reporting system or from established market makers. Fixed income securities,
including those to be purchased under firm commitment agreements, are normally
valued on the basis of quotes obtained from brokers and dealers or pricing
services. Foreign currency amounts are converted to U.S. dollars using the net
foreign exchange quotation in effect at 1:30 p.m. E.S.T. Short-term investments
which mature in 60 days or less are valued at amortized cost, which approximates
market value. Certain fixed income securities for which daily market quotations
are not readily available may be valued, pursuant to guidelines established by
the Board of Trustees, with reference to fixed income securities whose prices
are more readily obtainable.
Securities Transactions and Investment Income. Securities transactions are
recorded as of the trade date. Securities purchased or sold on a when-issued or
delayed-delivery basis may be settled a month or more after the trade date.
Realized gains and losses from securities sold are recorded on the identified
cost basis. Dividend income is recorded on the ex-dividend date. Interest income
is recorded on the accrual basis and includes the accretion of discounts and
amortization of premiums.
Dividends and Distributions to Shareholders. Dividends from net investment
income of each Fund except the Growth Stock and StocksPLUS Funds are declared on
each day the Trust is open for business and are distributed to shareholders
monthly. Dividends from net investment income of the Growth Stock and StocksPLUS
Funds are declared and distributed to shareholders quarterly. Distributions, if
any, of any net long-term capital gains earned by a Fund 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.
58
<PAGE>
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 and capital loss
carryforwards.
Distributions reflected as tax basis return of capital in the Statement of
Changes in Net Assets and permanent differences between financial accounting and
tax amounts arising in the current year have been reclassified to paid in
capital. In addition, other amounts have been reclassified between undistributed
net investment income and undistributed realized capital 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 of which has equal
rights as to assets and voting privileges, while each has exclusive rights with
respect to its distribution plan. The Total Return, Low Duration and High Yield
Funds commenced multiclass operations on September 7, 1994, December 31, 1994
and January 16, 1995, respectively. None of the other PIMCO Funds had commenced
multiclass operations as of March 31, 1995.
Income and non-class specific expenses are allocated daily to each class of
shares based on the value of settled shares as of the beginning of each day.
Realized and unrealized capital gains and losses are allocated to each class of
shares based on net assets as of the beginning of each day adjusted for the
prior days capital share activity.
Federal Income Taxes. Each Fund intends to qualify as a regulated investment
company under the Internal Revenue Code and distribute all of its taxable income
and net realized gains, if applicable, to shareholders. Accordingly, no
provision for Federal income taxes has been made.
Futures and Options. Each Fund is authorized to enter into futures contracts and
options. The primary risks associated with the use of futures contracts and
options are imperfect correlation between the change in market value of the
securities held by a Fund and the prices of futures contracts and options, and
the possibility of an illiquid market. Futures contracts and purchased options
are valued based upon their quoted daily settlement prices. The premium received
for a written option is recorded as an asset with an equal liability which is
marked-to-market based on the option's quoted daily settlement price.
Fluctuations in value of such instruments are recorded as unrealized
appreciation (depreciation) until terminated at which time realized gains and
losses are recognized.
Forward Currency Contracts. Each Fund (except the Long-Term U.S. Government, Low
Duration II and High Yield Funds) is authorized to enter into forward foreign
exchange contracts for the purpose of hedging against foreign exchange risk
arising from the Fund's investment or anticipated investment in securities
denominated in foreign currencies. The aggregate principal amounts of the
contracts for which delivery is anticipated are recorded in the Fund's account,
while such amounts are not recorded if the Fund intends to settle the contracts
prior to delivery. All commitments are marked-to-market daily at the applicable
translation rates and any resulting unrealized gains or losses are recorded in
the Trust's financial statements. Each 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.
59
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
March 31, 1995
Swaps. Each Fund is authorized to enter into interest rate, index and currency
exchange swap agreements. PIMCO uses these agreements in order to obtain a
desired return at a lower cost to a 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 year end, 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, 1995, net
income of $1,008,450 was derived from the agreements and is included in interest
income of the Fund.
2. Fees, Expenses and Related Party Transactions
Investment Advisory Fee. Pacific Investment Management Company ("PIMCO") serves
as investment advisor (the "Advisor") to the Trust, pursuant to an investment
advisory contract. The Advisor receives a monthly fee from each Fund at an
annual rate based on average daily net assets of the Fund as follows: 0.30% of
the first $150 million, and 0.25% thereafter (0.45% and 0.40%, respectively, for
the StocksPLUS Fund).
Administration Fee. PIMCO also serves as administrator and provides
administrative services to the Trust for which it receives from each Fund a
monthly administrative fee at the annual rate of 0.10% of the Fund's average
daily net assets.
Expenses. The Trust bears all costs of its operations. Expenses directly
attributable to a Fund are charged to that Fund; other expenses are allocated
proportionately among all the Funds in relation to the net assets of each Fund.
The costs associated with a Fund's organization are capitalized and amortized on
a straight-line basis over a period of five years from the commencement of a
Fund's operations. Each unaffiliated Trustee received an annual retainer of
$7,000, plus $2,000 for each Board of Trustees meeting attended, plus
reimbursement of related expenses. These expenses are allocated to the Funds
according to their respective net assets.
Custodian and Transfer Agent Fee. Custodian and transfer agent fees for the
Total Return, Total Return III, Low Duration, Low Duration II, Short-Term, Long-
Term U.S. Government, Foreign, Global, High Yield, Growth Stock and StocksPLUS
Funds are net of earnings credits of $60,218, $1,868, $34,886, $2,217, $5,420,
$546, $4,802, $1,020, $2,237, $621, $1,152, respectively, for the year ended
March 31, 1995.
Expense Limitation. The Advisor and the Administrator, in the interest of
limiting expenses of the Trust, have jointly agreed to limit the expenses of
each Fund (before allocable class-specific expenses), including the advisory and
administrative fees, to 0.50% of its average net assets on an annual basis
(except the Foreign, Global and StocksPLUS Funds which have an expense limit of
0.65%).
Reimbursement of the Advisor or Administrator for fees foregone or other
expenses paid by them pursuant to the expense limitation may be made at a later
date when a Fund has reached a sufficient asset size; however, no such later
payment will be made if that payment would cause the annual expense ratio of a
Fund to exceed the amount of the relevant expense limitation. Additionally, no
reimbursement of any amount will be made more than four years after a
recognition of the reimbursable amount as a contingent liability of a Fund. As
of March 31, 1995, all amounts previously
60
<PAGE>
foregone by the Advisor 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 $62,566, $8,191, $142,696,
$138,965, $7,548, $85,548 and $124,461, respectively, at March 31, 1995.
Related Party Transactions. PIMCO Advisors Distribution Company ("PADCO"), an
indirect wholly-owned subsidiary of PIMCO Advisors L.P., serves as the
distributor of the Trust's shares. Under the contract, all expenses relating to
the distribution of Trust shares will be paid by the Advisor, the Administrator
or PADCO out of past profits and resources which may include fees received by
the Advisor or Administrator.
3. Purchases and Sales of Securities
Purchases and sales of securities (excluding short-term investments) for the
year ended March 31, 1995 were as follows ($ in thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
----------------------------------------------------------
Purchases Sales Purchases Sales
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Return Fund $4,933,642 $4,005,601 $4,091,843 $2,048,262
Total Return Fund III 96,528 80,232 30,322 39,310
Low Duration Fund 1,077,932 822,652 1,239,002 1,069,116
Low Duration Fund II 146,908 121,395 68,943 45,830
Short-Term Fund 25,897 13,446 93,425 66,182
Long-Term U.S. Gov't Fund 15,875 17,632 12,499 710
Foreign Fund 60,697 19,490 840,110 1,123,395
Global Fund 74,786 52,132 145,134 125,823
High Yield Fund 2,639 - 329,294 218,077
Growth Stock Fund 10 10 16,374 24,120
StocksPLUS Fund 39,493 27,699 20,091 5,154
</TABLE>
4. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows ($ in thousands):
<TABLE>
<CAPTION>
Total Total Low Low Short-
Return Return III Duration Duration II Term
- ------------------------------------------------------------------------------------------------
------------------------ Premium -------------------------
<S> <C> <C> <C> <C> <C>
Balance at 3/31/94 $ 7,262 $ 76 - - -
Sales 69,904 1,173 $ 6,699 $ 478 $ 220
Closing buys (10,716) (271) (3,413) (265) (81)
Expirations (8,125) (207) (518) - -
Exercised (16,664) (369) (1) (84) -
----------------------------------------------------------
Balance at 3/31/95 $41,661 $ 402 $ 2,767 $ 129 $ 139
==========================================================
</TABLE>
<TABLE>
<CAPTION>
Long-Term High Growth
U.S. Gov't Foreign Yield Global Stock StocksPLUS
- ----------------------------------------------------------------------------------------------------------
----------------------------- Premium ---------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balance at 3/31/94 $ 21 $ 263 - - - -
Sales 216 573 $ 131 $ 50 $ 28 $ 66
Closing buys (49) (263) - - (24) (21)
Expirations (39) (200) (29) - - -
Exercised (19) - - - - -
------------------------------------------------------------------
Balance at 3/31/95 $ 130 $ 373 $ 102 $ 50 $ 4 $ 45
==================================================================
</TABLE>
61
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
March 31, 1995
5. Shares of Beneficial Interest
The Trust may issue an unlimited number of shares of beneficial interest with a
$.0001 par value. Changes in shares of beneficial interest were as follows
(shares in thousands):
<TABLE>
<CAPTION>
Total Total Low Low
Year or Period Return Return Total Duration Duration Low
Ended March 31, 1995 Inst'l Admin. (a) Return III Inst'l Admin. (b) Duration II
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 311,014 929 4,327 140,563 79 8,010
Issued as reinvestment
of dividends 31,143 15 599 11,769 1 900
Shares redeemed (108,135) (41) (4,489) (142,193) (1) (5,641)
----------------------------------------------------------------------------------
Net increase 234,022 903 437 10,139 79 3,269
==================================================================================
<CAPTION>
High High
Year or Period Long-Term Yield Yield
Ended March 31, 1995 Short-Term U.S. Gov't Foreign Global Inst'l Admin.(c)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 26,893 2,260 6,263 4,460 21,402 4
Issued as reinvestment
of dividends 576 125 1,796 590 2,648 -
Shares redeemed (25,641) (1,708) (32,201) (1,408) (12,668) -
----------------------------------------------------------------------------------
Net increase (decrease) 1,828 677 (24,142) 3,642 11,382 4
==================================================================================
</TABLE>
<TABLE>
<CAPTION>
Year Growth
Ended March 31, 1995 Stock StocksPLUS
- ----------------------------------------------------------
<S> <C> <C>
Shares sold 69 2,821
Issued as reinvestment
of dividends 102 222
Shares redeemed (713) (113)
---------------------
Net increase (decrease) (542) 2,930
=====================
</TABLE>
<TABLE>
<CAPTION>
Year Total Total LowLow
Ended March 31, 1994 Return Return III Duration Duration II Short-Term
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Shares sold 247,045 3,194 166,553 6,886 16,650
Issued as reinvestment
of dividends 36,529 902 10,634 654 215
Shares redeemed (84,090) (134) (84,694) (3,166) (14,169)
---------------------------------------------------------------------
Net increase 199,484 3,962 92,493 4,374 2,696
=====================================================================
</TABLE>
<TABLE>
<CAPTION>
Year or Period Long-Term Growth
Ended March 31, 1994 U.S Gov't Foreign Global(d) High Yield Stock StocksPLUS(e)
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 726 40,828 4,521 19,600 144 1,967
Issued as reinvestment
of dividends 257 3,310 44 884 109 60
Shares redeemed (395) (12,491) (456) (1,890) (182) (522)
-------------------------------------------------------------------------------
Net increase 588 31,647 4,109 18,594 71 1,505
===============================================================================
</TABLE>
(a) From commencement on September 7, 1994
(b) From commencement on December 31, 1994
(c) From commencement on January 16, 1995
(d) From commencement on November 23, 1993
(e) From commencement on May 14, 1993
62
<PAGE>
6. Federal Income Tax Matters
For the year ended March 31, 1995, 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, and High Yield Fund realized capital losses of
$22,717,117, $116,492, $18,252,912, $2,106,567, $300,795, $1,429,127,
$17,122,918, $1,995,721 and $1,542,222, respectively, for Federal income tax
purposes.
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.
63
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
March 31, 1995
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 (constituting the PIMCO Funds currently available for
sale to the public, hereafter referred to as the "Funds") at March 31, 1995, the
results of each of their operations, the changes in each of their net assets and
the financial highlights for the periods indicated, in conformity with generally
accepted accounting principles. These financial statements and 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, 1995 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.
PRICE WATERHOUSE LLP
Kansas City, Missouri
May 12, 1995
64
<PAGE>
Trustees and Officers
Brent R. Harris Chairman and Trustee
Guilford C. Babcock Trustee
Vern O. Curtis Trustee
Thomas P. Kemp Trustee
R. Wesley Burns President
Jeffrey M. Sargent Secretary
John P. Hardaway Treasurer
Investment Advisor and Administrator
Pacific Investment Management Company
840 Newport Center Drive, Suite 360
Newport Beach, California 92660
Transfer Agent and Custodian
Investors Fiduciary Trust Company
127 West 10th Street
Kansas City, Missouri 64105
Counsel
Dechert Price & Rhoads
1500 K Street N.W.
Washington, D.C. 20005
Independent Accountants
Price Waterhouse LLP
1055 Broadway
Kansas City, MO 64105
<PAGE>
P I M C O
840 Newport Center Drive, Suite 360
Newport Beach, CA 92660
(800) 927-4648
This report is submitted for the general information of the shareholders of the
PIMCO Funds. It is not authorized for distribution to prospective investors
unless accompanied or preceded by an effective Prospectus for the PIMCO Funds,
which contains information covering its investment policies as well as other
pertinent information.
- --------------------------------------------------------------------------------
LOW DURATION
GLOBAL
Foreign
Long-Term
U.S Government
Total Return III
- --------------------------------------------------------------------------------
<PAGE>
ANNUAL REPORT MARCH 31, 1995
P I M C O
INTERNATIONAL FUND
<PAGE>
CONTENTS
Chairman's Message 1
Statement of Assets and Liabilities 2
Statement of Operations 3
Statement of Changes in Net Assets 4
Financial Highlights 5
Schedule of Investments 6
Notes to Financial Statements 8
<PAGE>
CHAIRMAN'S MESSAGE
Dear Client:
We are pleased to present the annual report for the
PIMCO International Fund for the fiscal year ended
March 31, 1995. The International Fund is offered
exclusively to our separate account clients in order
to provide an efficient vehicle for investment in
foreign fixed income markets.
PIMCO scaled back client holdings in the International
Fund in June of 1994, when PIMCO turned bearish in its
outlook for foreign bonds. Investments in the Fund
were reduced from approximately $2.5 billion to less
than $50 million through the remainder of the fiscal
year.
Our outlook for foreign bond sectors has recently
brightened, particularly for certain European markets.
This spring's bond rally in the United States has
outstripped the bond performance of most major
European countries, but we view this as only a matter
of timing. We anticipate interest rates in Europe will
soon fall, especially in light of continuing signs of
a soft landing for the U.S. economy. Accordingly,
we have boosted separate account holdings of the
International Fund to nearly $700 million.
Below is a summary of the International Fund's total
return performance compared to relevant market
indices. Performance is net of fees and reflects the
reinvestment of dividends.
[CHART APPEARS HERE]
Thank you for permitting us to invest on your behalf
in the International Fund. As always, we welcome your
questions and comments.
Sincerely,
[SIGNATURE APPEARS HERE]
BRENT R. HARRIS
Chairman of the Board
May 19, 1995
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
March 31, 1995
<TABLE>
<CAPTION>
Amounts in thousands, except per share amounts
<S> <C>
Assets:
Investments, at value $ 51,750
Cash and foreign currency 1,597
Receivable for investments and foreign currency sold 4,299
Variation margin receivable 90
Interest and dividends receivable 446
Other assets 4
--------
58,186
========
Liabilities:
Payable for investments purchased 12,078
Written options outstanding 142
Accrued investment advisor's fee 3
Accrued administrator's fee 12
Other accrued expenses and liabilities 1
12,236
--------
Net Assets $ 45,950
========
Net Assets Consist of:
Paid in capital $130,307
Over distributed net investment income (44)
Accumulated undistributed net realized loss (84,950)
Net unrealized appreciation 637
--------
$ 45,950
========
Shares Issued and Outstanding 6,179
Net Asset Value, Offering and Redemption Price Per Share
(Net Assets Per Share Outstanding) $ 7.44
Cost of Investments Owned 51,713
Cost of Foreign Currency Held 1,509
========
</TABLE>
See Notes to Financial Statements
<PAGE>
STATEMENT OF OPERATIONS
For the year ended March 31, 1995
<TABLE>
<CAPTION>
$ in thousands
<S> <C>
Investment Income:
Interest $ 27,824
========
Expenses:
Investment advisory fees 1,143
Administration fees 441
Custodian and transfer agent fees 271
Audit fees 5
Legal fees 1
Trustees' fees 2
Amortization of organization costs 6
Miscellaneous 14
--------
1,883
========
Net Investment Income 25,941
========
Net Realized and Unrealized Gain (Loss)
Net realized loss on investments (64,110)
Net realized loss on futures contracts and written options (27,176)
Net realized loss on foreign currency transactions (17,674)
Net change in unrealized depreciation on investments (11,534)
Net change in unrealized depreciation on futures
contracts and written options (1,272)
Net change in unrealized appreciation on translation of
assets and liabilities denominated in foreign currencies 22,486
--------
Net loss (99,280)
========
Net Decrease in Assets Resulting from Operations $(73,339)
========
</TABLE>
See Notes to Financial Statements
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Year Ended
March 31, 1995 March 31, 1994
-------------- --------------
$ in thousands
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net investment income $ 25,941 $ 146,212
Net realized gain (loss) (108,960) 90,893
Net change in unrealized appreciation 9,680 4,922
----------- -----------
Net increase (decrease) resulting from
operations (73,339) 242,027
=========== ===========
Distribution to Shareholders
From net investment income (35,032) (261,238)
From net realized capital gains 0 (95,912)
----------- -----------
Total distributions (35,032) (357,150)
=========== ===========
Fund Share Transactions
Receipts for shares sold 50,047 2,304,400
Issued as reinvestment of distributions 33,847 351,980
Cost of shares redeemed (2,226,551) (2,883,956)
Net decrease resulting from Fund share
transactions (2,142,657) (177,576)
----------- -----------
Total Decrease in Net Assets (2,251,028) (292,699)
=========== ===========
Net Assets
Beginning of period 2,296,978 2,589,677
End of period* $ 45,950 $ 2,296,978
----------- -----------
*Including over distributed net investment
income of: $ (44) $ 17,280
=========== ===========
</TABLE>
See Notes to Financial Statements
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Year Ended Year Ended
March 31, 1995 March 31, 1994 March 31, 1993 March 31, 1992 March 31, 1991
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Selected Per Share Data for the Year Ended:
Net asset value beginning of period $ 9.93 $ 10.53 $ 10.02 $ 9.94 $ 9.78
Net investment income 2.18 0.47 0.62 0.79 0.79
Net realized and unrealized gain (loss) (2.41) 0.24 0.42 0.27 0.30
Total income from investment operations (0.23) 0.71 1.04 1.06 1.09
Dividends from net investment income (2.26) (0.96) (0.48) (0.78) (0.83)
Distributions from net realized capital gains 0.00 (0.35) (0.05) (0.20)+ (0.10)
Total distributions (2.26) (1.31) (0.53) (0.98) (0.93)
Net asset value end of period 7.44 9.93 10.53 10.02 9.94
Total return (%) (1.27) 6.54 10.61 10.97 11.55
Net assets end of period (000's) $45,950 $2,296,978 $2,589,677 $1,314,661 $609,660
Ratio of expenses to average net assets (%) 0.43 0.43 0.46 0.51 0.55
Ratio of net investment income to average net
assets (%) 5.90 5.51 6.67 8.24 8.23
Portfolio turnover rate (%) 674 370 301 201 202
</TABLE>
+ Gain distribution includes $0.14 per share characterized for tax purposes as
distributions from ordinary income.
See Notes to Financial Statements
<PAGE>
SCHEDULE OF INVESTMENTS
March 31, 1995
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
Canada (c)(e)-4.0%
Government of Canada 9.000% due 12/01/04 C$ 2,500 $ 1,834
-------
Total Canada 1,834
(Cost $1,820) =======
Germany (c)(e)-6.7%
German Unity Fund 8.000% due 01/21/02 DM 4,000 3,058
-------
Total Germany 3,058
(Cost $2,980) =======
United Kingdom (c)(e)-18.7%
United Kingdom Gilt 10.250% due 11/22/99 BP 4,950 8,571
-------
Total United Kingdom 8,571
(Cost $8,521) =======
United States-6.2%
Occidental Petroleum 11.750% due 03/15/11 $ 250 272
U.S. Treasury Notes
3.875% due 10/31/95 2,000 1,974
4.000% due 01/31/96 600 588
-------
Total United States 2,834
(Cost $2,840) =======
Purchased OTC Put Option (e)-0.0%
Japanese Yen v. U.S. Dollar
Strike @ 100.00 Exp. 10/03/95 JY 100,000 6
-------
Total Purchased OTC Put Option 6
(Cost $27) =======
Short-Term Instruments-77.0%
Discount Notes-73.2%
Abbott Laboratories
5.950% due 04/12/95 $ 1,400 1,398
5.960% due 04/25/95 300 299
AT&T Corp.
6.060% due 06/20/95 2,000 1,973
Ameritech Corp.
6.400% due 07/28/95 500 490
Associates Corp. of North America
6.030% due 06/21/95 500 493
Bellsouth Telecommunications
5.950% due 04/05/95 2,000 1,999
Canadian Wheat Board
5.940% due 04/18/95 2,000 1,995
Federal Home Loan Mortgage Corp.
5.900% due 04/03/95 500 500
Federal National Mortgage Assn.
6.350% due 04/17/95 2,600 2,592
General Electric Capital Corp.
6.350% due 04/10/95 2,000 1,998
Government of France
5.930% due 04/04/95 2,000 2,000
Government of Mexico
19.750% due 07/20/95 2,200 2,006
Kimberly Clark Corp.
5.960% due 04/24/95 2,000 1,993
Eli Lilly & Co.
6.270% due 11/28/95 700 670
Minnesota Mining & Manufacturing
6.020% due 05/22/95 2,000 1,984
National Rural Utilities Cooperative
5.970% due 04/06/95 2,000 1,999
Procter & Gamble Co.
5.920% due 04/03/95 1,000 1,000
5.970% due 04/07/95 400 400
Province of British Columbia
6.500% due 07/14/95 500 491
Shell Oil
5.960% due 05/08/95 2,000 1,988
United Parcel Service Co.
5.990% due 04/17/95 1,400 1,397
U.S. West Communications
6.000% due 04/03/95 2,000 2,000
Wisconsin Electric Power Company
5.960% due 04/04/95 2,000 2,000
-------
33,665
=======
Time Deposit-1.2%
United Missouri Bank
5.069% due 04/03/95 592 592
=======
U.S. Treasury Bills-2.6%
5.843% due 04/06/95-11/16/95(b)(f) 1,205 1,190
-------
Total Short-Term Instruments 35,447
(Cost $35,525) =======
Total Investments (a)-112.6% $51,750
(Cost $51,713)
Written Options (d)-(0.3%)
(Premiums $46) (142)
Other Assets and Liabilities (Net)-(12.3%) (5,658)
-------
Net Assets-100.0% $45,950
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS):
(a) At March 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 157
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (120)
-------
Unrealized appreciation-net $ 37
=======
<PAGE>
(b) Securities with an aggregate market value of $1,190 have been segregated
with the custodian to cover margin requirements for the following open
future contracts at March 31, 1995:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Appreciation
- ------------------------------------------------------------------------
<S> <C> <C>
French Gov't 10 Year Bond (6/95) 25 $ 16
German Gov't 10 Year Bond (6/95) 50 60
Japanese Gov't 10 Year Bond (6/95) 15 755
----
$831
====
</TABLE>
(c) Forward currency contracts outstanding at March 31, 1995:
<TABLE>
<CAPTION>
Unrealized
Expiration Appreciation/
Type Amount Month (Depreciation)
- --------------------------------------------------------------------
<S> <C> <C> <C>
Buy BP 2,700 4/95 $ (15)
Sell 2,227 4/95 (66)
Sell 424 4/95 (13)
Sell 2,700 4/95 24
Sell C$ 2,626 4/95 (21)
Sell DM 664 4/95 (9)
-----
$(100)
=====
</TABLE>
(d) Premiums received on OTC Written Options:
<TABLE>
<CAPTION>
Premium Market
Par Received Value
- ------------------------------------------------------------------------
<S> <C> <C> <C>
Call Japanese Yen June Futures
Strike @ 114.00 Exp. 05/31/95 JY 159,000 $ 7 $ 27
Call Japanese Yen v. U.S. Dollar
Strike @ 92.00 Exp. 10/03/95 100,000 31 113
Put Japanese Yen v. U.S. Dollar
Strike @ 108.00 Exp. 10/03/95 100,000 8 2
--- ----
$46 $142
=== ====
</TABLE>
(e) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
JY - Japanese Yen
(f) Securities are grouped by coupon rate and represent a range of maturities.
See Notes to Financial Statements
<PAGE>
NOTES TO FINANCIAL STATEMENTS
March 31, 1995
1. Significant Accounting Policies
The International Fund (the "Fund"), which commenced operations on December 13,
1989, is a series of the PIMCO Funds (the "Trust"). The Trust was organized
under the laws of the Commonwealth of Massachusetts on February 19, 1987, and is
registered under the Investment Company Act of 1940, as amended, as a no-load,
open-end management investment company. The following is a summary of
significant accounting policies followed in the preparation of the Fund's
financial statements. The policies are in conformity with generally accepted
accounting principles.
Security Valuation. Portfolio securities and other assets for which market
quotations are readily available are stated at market value. Market value is
determined on the basis of last reported sales prices, or if no sales are
reported, as is the case for most securities traded over-the-counter, the mean
between representative bid and asked quotations obtained from a quotation
reporting system or from established market makers. Fixed income securities,
including those to be purchased under firm commitment agreements, are normally
valued on the basis of quotes obtained from brokers and dealers or pricing
services. Foreign currency amounts are converted to U.S. dollar equivalents
using foreign exchange quotations from independent dealers. Short-term
investments which mature in 60 days or less are valued at amortized cost, which
approximates market value. Certain fixed income securities for which daily
market quotations are not readily available may be valued, pursuant to
guidelines established by the Board of Trustees, with reference to fixed income
securities whose prices are more readily obtainable.
Securities Transactions and Investment Income. Securities transactions are
recorded as of the trade date. Securities purchased or sold on a when-issued or
delayed-delivery basis may be settled a month or more after the trade date.
Realized gains and losses from securities sold are recorded on the identified
cost basis. Dividend income is recorded on the ex-dividend date. Interest income
is recorded on the accrual basis and includes the accretion of discounts and
amortization of premiums.
Dividends and Distributions to Shareholders. Dividends from net investment
income of the Fund are declared and distributed to shareholders quarterly.
Distributions, if any, of any net long-term capital gains earned by the Fund
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 and capital loss
carryforwards.
Federal Income Taxes. The Fund intends to qualify as a regulated investment
company under the Internal Revenue Code 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.
<PAGE>
Futures and Options. The 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 the Fund and the prices of futures contracts and options, and
the possibility of an illiquid market. Futures contracts and purchased options
are valued based upon their quoted daily settlement prices. The premium received
for a written option is recorded as an asset with an equal liability which is
marked-to-market based on the option's quoted daily settlement price.
Fluctuations in value of such instruments are recorded as unrealized
appreciation (depreciation) until terminated at which time realized gains and
losses are recognized.
Forward Currency Contracts. The Fund 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.
2. Fees, Expenses and Related Party Transactions
Investment Advisory Fee. Pacific Investment Management Company ("PIMCO") serves
as investment advisor (the "Advisor") to the Fund, pursuant to an investment
advisory contract. The Advisor receives a monthly fee from the Fund at an annual
rate based on average daily net assets of the Fund as follows: 0.30% of the
first $150 million, and 0.25% thereafter.
Administration Fee. PIMCO also serves as administrator (the "Administrator") and
provides administrative services to the Fund for which it receives a monthly
administrative fee at the annual rate of 0.10% of the Fund's average daily net
assets.
Expenses. The Fund bears all costs of its operations. Expenses directly
attributable to the Fund are charged to the Fund; other expenses are allocated
proportionately among all the Funds of the Trust in relation to the net assets.
The costs associated with the Fund's organization are capitalized and amortized
on a straight-line basis over a period of five years from the commencement of
the Fund's operations. Each unaffiliated Trustee received an annual retainer of
$7,000, plus $2,000 for each Board of Trustees meeting attended, plus
reimbursement of related expenses. These expenses are allocated to the Funds of
the Trust according to their respective net assets.
Custodian and Transfer Agent Fee. Custodian and transfer agent fees for the Fund
is net of earnings credits of $19,602 for the year ended March 31, 1995.
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
March 31, 1995
Expense Limitation. The Advisor and the Administrator, in the interest of
limiting expenses of the Fund, have agreed to limit the expenses of the Fund,
including the advisory and administrative fees, to 0.65% of its average net
assets on an annual basis.
Related Party Transactions. PIMCO Advisors Distribution Company ("PADCO"), an
indirect wholly-owned subsidiary of PIMCO Advisors L.P., serves as the
distributor of the Fund's shares. Under the contract, all expenses relating to
the distribution of Fund shares will be paid by the Advisor, the Administrator
or PADCO out of past profits and resources which may include fees received by
the Advisor or Administrator.
3. Purchases and Sales of Securities
Purchases and sales of investment securities (excluding short-term instruments)
for the Fund for the year ended March 31, 1995 were as follows ($ in thousands):
Purchases Sales
-------------------------------- -------------------------------
U.S. Government Other U.S. Government Other
--------------- ---------- --------------- ----------
$433,822 $2,450,064 $534,289 $4,063,867
4. Transactions In Written Call and Put Options
Transactions in written call and put options were as follows ($ in thousands):
Premiums
--------
Balance at March 31, 1994 $ 1,020
Sales 121
Closing buys (1,021)
Expirations (74)
Exercised --
-------
Balance at March 31, 1995 $ 46
=======
5. Shares of Beneficial Interest
The Fund 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):
Year Ended Year Ended
March 31, 1995 March 31, 1994
-------------- --------------
Shares sold 5,258 221,245
Shares redeemed (234,125) (269,403)
Issued as reinvestment of dividends 3,820 33,447
-------- --------
Net decrease (225,047) (14,711)
======== =======
<PAGE>
6. Federal Income Tax Matters
For the year ended March 31, 1995, the Fund realized capital losses of
$84,949,928 for Federal income tax purposes.
These capital losses are available to offset future realized capital gains
through March 31, 2003. The Fund will resume capital gains distributions in the
future to the extent gains are realized in excess of the available
carryforwards.
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
March 31, 1995
To the Trustees and Shareholders of International Fund (a series of PIMCO Funds)
In our opinion, the accompanying statement of assets and liabilities, including
the schedule 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 International Fund (the "Fund")
at March 31, 1995, the results of its operations, the changes in its net assets
and the financial highlights for the periods indicated, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's 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, 1995 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.
PRICE WATERHOUSE LLP
Kansas City, Missouri
May 12, 1995
<PAGE>
Trustees and Officers
Brent R. Harris Chairman and Trustee
Guilford C. Babcock Trustee
Vern O. Curtis Trustee
Thomas P. Kemp Trustee
R. Wesley Burns President
Jeffrey M. Sargent Secretary
John P. Hardaway Treasurer
Investment Advisor and Administrator
Pacific Investment Management Company
840 Newport Center Drive, Suite 360
Newport Beach, California 92660
Transfer Agent and Custodian
Investors Fiduciary Trust Company
127 West 10th Street
Kansas City, Missouri 64105
Counsel
Dechert Price & Rhoads
1500 K Street N.W.
Washington, D.C. 20005
Independent Accountants
Price Waterhouse LLP
1055 Broadway
Kansas City, MO 64105
<PAGE>
P I M C O
840 Newport Center Drive, Suite 360
Newport Beach, CA 92660
(800) 927-4648
This report is submitted for the general information of the shareholders of the
PIMCO Funds. It is not authorized for distribution to prospective investors
unless accompanied or preceded by an effective Prospectus for the PIMCO Funds,
which contains information covering its investment policies as well as other
pertinent information.
<PAGE>
ANNUAL REPORT MARCH 31, 1995
P I M C O
VERSASTYLE EQUITY FUND
<PAGE>
INVESTMENT PERFORMANCE
The VersaSTYLE Equity Fund underperformed the S & P 500 Index for the six months
ending March 31, 1995. Our research and analysis of the market suggested that
small capitalization issues and stocks with low sensitivity to the market (low
beta stocks) would do well. The booming equity market, especially in larger
capitalization stocks, proved disadvantageous to the portfolio's relative
returns. We also positioned the portfolio to take advantage of the "January
effect" when small capitalization issues historically and consistently
outperform. This year's January effect failed to materialize.
VersaSTYLE Equity Fund Through March 31, 1995
[CHART APPEARS HERE]
The line graph depicts the value of $1,000,000 invested at the Fund's inception
in September 1994 and held through March 1995, compared to the S&P 500 Index, an
unmanaged market index.
<TABLE>
<CAPTION>
Since
Cumulative Returns Ended 3/31/95 3 Mos. 1 Yr. 5 Yrs. Inception
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
VersaSTYLE Equity Fund (%) 5.02 n.a. n.a. 3.44
S&P 500 Index (%) 9.74 n.a. n.a. 9.72
</TABLE>
1
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
March 31, 1995
Amounts in thousands, except per share amounts
<TABLE>
<CAPTION>
Assets:
<S> <C>
Investments, at value $5,154
Receivable for investments sold 176
Receivable from advisor 9
Interest and dividends receivable 12
Other assets 2
------
5,353
------
Liabilities:
Payable for investments purchased 176
Accrued investment advisor's fee 2
Accrued administrator's fee 1
Other accrued expenses and liabilities 3
------
182
------
Net Assets $5,171
------
Net Assets Consist of:
Paid in capital $5,060
Undistributed net investment income 0
Accumulated undistributed net realized loss (143)
Net unrealized appreciation 254
------
$5,171
------
Shares Issued and Outstanding 506
------
Net Asset Value, Offering and Redemption
Price Per Share (Net Assets Per Share
Outstanding) $10.22
------
Cost of Investments Owned 4,900
------
</TABLE>
See Notes to Financial Statements
2
<PAGE>
STATEMENT OF OPERATIONS
For the period September 30, 1994 through March 31, 1995
$ in thousands
<TABLE>
<CAPTION>
Investment Income:
<S> <C>
Dividends $ 70
Interest 6
-----
Total Investment Income 76
-----
Expenses:
Investment advisory fees 11
Administration fees 3
Custodian and transfer agent fees 13
Registration fees 2
Audit fees 3
Reimbursement from advisor (16)
-----
16
-----
Net Investment Income 60
-----
Net Realized and Unrealized Gain (Loss)
Net realized loss on investments (143)
Net change in unrealized appreciation on
investments 254
-----
Net gain 111
-----
Net Increase in Assets Resulting from
Operations $ 171
-----
</TABLE>
See Notes to Financial Statements
3
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
March 31, 1995
<TABLE>
<CAPTION>
Period Ended
March 31, 1995(a)
<S> <C>
$ in thousands
Increase (decrease) in Net Assets from:
Operations
Net investment income $ 60
Net realized loss (143)
Net change in unrealized appreciation 254
------
Net increase resulting from operations 171
------
Distributions to Shareholders
From net investment income (60)
From net realized capital gains 0
------
Total distributions (60)
------
Fund Share Transactions
Receipts for shares sold 5,000
Issued as reinvestment of distributions 60
Cost of shares redeemed 0
------
Net increase resulting from Fund share transactions 5,060
------
Total Increase in Net Assets 5,171
------
Net Assets
Beginning of period 0
End of period* $5,171
*Including undistributed net investment income of: $ 0
</TABLE>
(a) From commencement on September 30, 1994
See Notes to Financial Statements
4
<PAGE>
FINANCIAL HIGHLIGHTS
March 31 1995
<TABLE>
<CAPTION>
March 31, 1995(a)
<S> <C>
Selected Per Share Data For The Period Ended:
Net asset value beginning of period $10.00
Net investment income 0.12
Net realized and unrealized gain 0.22
Total income from investment operations 0.34
Dividends from net investment income (0.12)
Distributions from net realized capital gains 0.00
Total distributions (0.12)
Net asset value end of period 10.22
Total return (%) 3.44
Net assets end of period (000's) $5,171
Ratio of expenses to average net assets (%) 0.65 +
Ratio of net investment income to average net assets (%) 2.45 +
Portfolio turnover rate (%) 159
</TABLE>
(a) From commencement on September 30, 1994
+ Annualized
See Notes to Financial Statements
5
<PAGE>
SCHEDULE OF INVESTMENTS
March 31, 1995
<TABLE>
<CAPTION>
Value
Shares (000's)
<S> <C> <C>
Common Stocks - 99.5%
Energy Producers - 2.4%
Amoco Corp. 100 $ 6
Atlantic Richfield Co. 100 12
Broken Hill Proprietary Ltd. 1,600 84
Union Texas Petroleum Holdings, Ltd. 300 7
Varco International, Inc. (b) 1,500 12
----
121
----
Energy Refiners - 5.3%
British Petroleum Co. PLC 400 34
Chevron Corp. 500 24
Exxon Corp. 800 53
Mobil Corp. 200 19
Royal Dutch Petroleum Co. 1,200 144
----
274
----
Technology - 10.0%
Automatic Data Processing, Inc. (b) 400 25
Cabletron Systems, Inc. (b) 400 18
Cadence Design Systems, Inc. 700 19
Comdisco, Inc. 800 21
Dallas Semiconductor Corp. 1,200 22
EMC Corp. (b) 1,100 18
Ericsson LM Telefonaktiebolaget 800 50
Fuji Photo Film Co. Ltd. 200 9
Kent Electronics Corp. (b) 1,050 31
Kulicke & Soffa Industries, Inc. (b) 800 22
Kyocera Corp. 300 44
Logicon, Inc. 700 23
LSI Logic Corp. (b) 200 11
Marshall Industries (b) 1,900 49
Micron Technology, Inc. 100 8
Motorola, Inc. 100 5
M/A-Com, Inc. (b) 500 5
National Data Corp. 900 16
NEC Corp. 700 37
Network Equipment Technologies, Inc. (b) 100 3
Sony Corp. 600 29
Wyle Electronics 1,400 34
X-Rite, Inc. 900 17
----
516
----
Consumer Discretionary - 11.8%
Advo, Inc. 2,100 $ 42
Carmike Cinemas, Inc. "A" (b) 2,800 55
Casey's General Stores, Inc. 1,400 22
Chris Craft Industries, Inc. (b) 103 3
Cintas Corp. 200 8
CPI Corp. 2,800 44
Fabri Centers of America (b) 1,100 20
Gillette Co. 600 49
Griffon Corp. (b) 1,100 9
Hancock Fabrics, Inc. 2,500 25
Harcourt General, Inc. 600 23
Hilton Hotels Corp. 200 15
The Home Depot, Inc. 500 22
Hunt Manufacturing Co. 1,900 26
Lee Enterprises, Inc. 200 7
Luby's Cafeterias, Inc. 500 11
Medicine Shoppe International, Inc. 800 24
Nelson Thomas, Inc. 1,375 27
Newell Co. 500 13
Pier 1 Imports, Inc. 2,100 20
Robert Half International, Inc. (b) 900 23
United Television, Inc. 400 25
Wolverine World Wide, Inc. 1,500 46
Wynns International, Inc. 2,300 50
----
609
----
Consumer Staples - 11.0%
Alberto Culver Co. "B" 700 21
Anheuser Busch Co's Inc. 400 23
Arbor Drugs, Inc. 900 21
B A T Industries PLC 1,400 20
Campbell Soup Co. 300 15
Clorox Co. 300 18
Coca-Cola Co. 100 6
CPC International, Inc. 100 5
Hanson PLC 3,100 58
Helene Curtis Industries, Inc. 3,000 97
Hudson Foods, Inc. 1,050 20
IBP, Inc. 600 20
Kellogg Co. 300 18
The Procter & Gamble Co. 200 13
</TABLE>
6
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
March 31, 1995
<TABLE>
<CAPTION>
Value
Shares (000's)
<S> <C> <C>
Ralston Purina Co. 300 $ 14
Richfood Holdings, Inc. 700 13
Smithfield Foods, Inc. (b) 400 10
Smiths Food & Drug Centers, Inc. "B" 2,900 70
Unilever N. V. 200 26
UST, Inc. 2,100 67
Walgreen Co. 300 14
----
569
----
Banks-4.6%
Banco de Santander 700 25
Banponce Corp. 100 3
Boatmen's Bancshares, Inc. 300 9
California Federal Bank 200 2
Concord EFS, Inc. (b) 400 11
First Bank System, Inc. 500 20
First Fidelity Bancorp 300 15
First Interstate Bancorp 100 8
Firstier Financial, Inc. 300 10
North Fork Bancorporation, Inc. 1,300 21
Suntrust Banks, Inc. 1,400 75
TCF Financial Corp. 600 26
Wells Fargo & Co. 100 15
----
240
----
Non-Bank Financials-7.0%
Aegon, N. V. 700 50
Arthur J. Gallagher & Co. 600 21
Cigna Corp. 600 45
CNA Financial Corp. (b) 300 23
CWM Mortgage Holdings, Inc. 4,800 50
Foothill Group, Inc. "A" 2,400 48
Gainsco, Inc. 210 2
General RE Corp. 300 40
Hartford Steam Boiler
Inspection & Ins. Co. 500 22
Legg Mason, Inc. 900 21
Storage Equities, Inc. 2,500 42
----
364
----
Electric and Gas-5.7%
Atlanta Gas & Light Co. 800 28
Black Hills Corp. 700 16
California Water Service Co. 600 18
Central Maine Power Co. 1,000 11
Cinergy Corp. 1,000 25
DPL, Inc. 1,200 25
Duke Power Co. 1,000 38
Pacificorp 2,600 50
Piedmont Natural Gas Co. Inc. 900 18
South Jersey Industries, Inc. 1,200 24
The Southern Co. 2,000 41
----
294
----
Telecommunications-9.3%
AT&T Corp. 700 36
Ameritech Corp. 2,000 82
Bell Atlantic Corp. 1,700 90
Bellsouth Corp. 1,400 83
Frontier Corp. 1,000 23
GTE Corp. 2,100 70
SBC Communications, Inc. 2,100 88
Southern New England
Telecommunications 200 7
----
479
----
Materials-9.0%
Air Products & Chemicals, Inc. 400 21
Calgon Carbon Corp. 2,800 32
Carlisle Co's, Inc. 100 4
Commercial Metals Co. 600 15
Domtar, Inc. 1,000 8
The Dow Chemical Co. 900 66
Dravo Corp. (b) 2,200 23
FMC Gold Co. 600 3
Georgia-Pacific Corp. 300 24
Hercules, Inc. 200 9
Imperial Chemical Industries PLC 600 28
Inco Ltd. 700 19
Loctite Corp. 300 14
Magma Copper Co. (b) 1,300 23
Nucor Corp. 400 23
Pentair, Inc. 200 9
Petrolite Corp. 800 21
Rohm & Haas Co. 400 24
RPM, Inc. Ohio 1,100 22
Stone Container Corp. (b) 100 2
Synalloy Corp. 1,000 23
Tambrands, Inc. 400 18
Varlen Corp. 700 16
Weyerhaeuser Co. 500 19
----
466
----
Capital Goods-8.3%
Allied Products Corp. (b) 200 3
Amcast Industrial Corp. 600 12
Baldor Electric 800 22
Blount Inc. "A" 1,400 62
7
</TABLE>
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
March 31, 1995
<TABLE>
<CAPTION>
Value
Shares (000's)
<S> <C> <C>
Champion Enterprises, Inc. "A" (b) 600 $ 23
Coherent, Inc. (b) 600 16
Donaldson Co., Inc. 900 22
Fluke Corp. 100 4
Graco, Inc. 1,400 34
Groundwater Technology, Inc. (b) 1,300 17
Ionics, Inc. (b) 700 21
Loral Corp. 400 17
Material Sciencies Corp. (b) 1,500 25
Raytheon Co. 300 22
Regal Beloit Corp. 1,900 30
Rockwell International Corp. 400 16
Standex International Corp. 600 18
Watkins Johnson Co. 1,300 50
Webb Del Corp. 900 17
------
431
------
Healthcare - 10.5%
Abbott Laboratories 1,100 39
American Health Properties, Inc. 400 8
Ballard Medical Products 1,700 22
Barr Laboratories, Inc. (b) 300 6
Bristol-Myers-Squibb Co. 200 13
Cardinal Health, Inc. 500 24
Cordis Corp. (b) 300 22
Foxmeyer Health Corp. (b) 3,400 66
Glaxo PLC 500 11
Health Care Property Investors, Inc. 700 21
Health Care REIT, Inc. 700 15
Healthsouth Corp. (b) 200 8
Invacare Corp. 700 25
Johnson & Johnson 300 18
Eli Lilly & Co. 200 15
Nationwide Health Properties, Inc. 1,200 44
Pfizer, Inc. 300 26
A. L. Pharma, Inc. "A" 800 18
Research Industries Corp. (b) 1,400 25
Seafield Capital Corp. 300 11
Stryker Corp. 600 27
Sunrise Medical, Inc. (b) 600 21
Surgical Care Affiliates, Inc. 200 5
United Healthcare Corp. 500 23
Universal Health Services, Inc. (b) 1,200 30
------
543
------
Automobiles and Transportation - 4.6%
Air Express International Corp. 900 23
American Freightways Corp. (b) 400 9
Clarcor, Inc. 1,000 21
Coachmen Industries, Inc. 2,400 42
Cooper Tire & Rubber Co. 700 20
Florida East Coast Industrial, Inc. 100 7
Genuine Parts Co. 200 8
Modine Manufacturing Co. 700 24
Toyota Motor Corp. 2,100 83
------
237
------
Total Common Stock $5,143
------
(Cost $4,889)
Principal
Amount
(000's)
Time Deposit - 0.2%
United Missouri Bank 5.069% due 04/03/95 11 11
------
Total Time Deposit 11
------
(Cost $11)
TOTAL INVESTMENTS (a) - 99.7% $5,154
------
(Cost $4,900)
OTHER ASSETS AND LIABILITIES (NET) - 0.3% 17
------
NET ASSETS - 100.0% $5,171
------
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS):
(a) At March 31, 1995, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost. $297
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value. (48)
----
Unrealized apprecation-net $249
----
(b) Non-income producing security.
See Notes to Financial Statements
8
<PAGE>
NOTES TO FINANCIAL STATEMENTS
March 31, 1995
1. Significant Accounting Policies
The VeraSTYLE Equity Fund (the "Fund"), which commenced operations on September
30, 1994, is a series of the PIMCO Funds (the "Trust"). The Trust was organized
under the laws of the Commonwealth of Massachusetts on February 19, 1987, and is
registered under the Investment Company Act of 1940, as amended, as a no-load,
open-end management investment company. The following is a summary of
significant accounting policies followed in the preparation of the Fund's
financial statements. The policies are in conformity with generally accepted
accounting principles.
Security Valuation. Portfolio securities and other assets for which market
quotations are readily available are stated at market value. Market value is
determined on the basis of last reported sales prices, or if no sales are
reported, as is the case for most securities traded over-the-counter, the mean
between representative bid and asked quotations obtained from a quotation
reporting system or from established market makers. Fixed income securities,
including those to be purchased under firm commitment agreements, are normally
valued on the basis of quotes obtained from brokers and dealers or pricing
services. Foreign currency amounts are converted to U.S. dollar equivalents
using foreign exchange quotations from independent dealers. Short-term
investments which mature in 60 days or less are valued at amortized cost, which
approximates market value. Certain fixed income securities for which daily
market quotations are not readily available may be valued, pursuant to
guidelines established by the Board of Trustees, with reference to fixed income
securities whose prices are more readily obtainable.
Securities Transactions and Investment Income. Securities transactions are
recorded as of the trade date. Securities purchased or sold on a when-issued or
delayed-delivery basis may be settled a month or more after the trade date.
Realized gains and losses from securities sold are recorded on the identified
cost basis. Dividend income is recorded on the ex-dividend date. Interest income
is recorded on the accrual basis and includes the accretion of discounts and
amortization of premiums.
Dividends and Distributions to Shareholders. Dividends from net investment
income of the Fund are declared and distributed to shareholders quarterly.
Distributions, if any, of any net long-term capital gains earned by the Fund
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 and capital loss
carryforwards.
Federal Income Taxes. The Fund intends to qualify as a regulated investment
company under the Internal Revenue Code 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. The 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 the Fund and the prices of futures contracts and options, and
the possibility of an illiquid market. Futures contracts and purchased options
are valued based upon their quoted daily settlement prices. The premium received
for a written option is recorded as an asset with an equal liability which is
marked-to-market based on the option's quoted daily settlement price.
Fluctuations in value of such instruments are recorded as unrealized
appreciation (depreciation) until terminated at which time realized gains and
losses are recognized.
9
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
March 31, 1995
Forward Currency Contracts. The Fund is authorized to enter into forward foreign
exchange contracts for the purpose of hedging against foreign exchange risk
arising from the Fund's investments 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.
2. Fees, Expenses and Related Party Transactions
Investment Advisory Fee. Pacific Investment Management Company (PIMCO) serves
as investment advisor (the "Advisor") to the Fund, pursuant to an investment
advisory contract. The Advisor receives a monthly fee from the Fund at an annual
rate based on average daily net assets of the Fund as follows: 0.45% of the
first $150 million, and 0.40% thereafter.
Administration Fee. PIMCO also serves as administrator and provides
administrative services to the Fund for which it receives a monthly
administrative fee at the annual rate of 0.10% of the Fund's average daily net
assets.
Expenses. The Fund bears all costs of its operations. Expenses directly
attributable to the Fund are charged to the Fund; other expenses are allocated
proportionately among all the Funds of the Trust in relation to the net assets.
Each unaffiliated Trustee received an annual retainer of $7,000, plus $2,000 for
each Board of Trustees meeting attended, plus reimbursement of related expenses.
These expenses are allocated to the Funds of the Trust according to their
respective net assets.
Custodian and Transfer Agent Fee. Custodian and transfer agent fees for the Fund
is net of earnings credits of $106 for the period ended March 31, 1995.
Expense Limitation. The Advisor and the Administrator, in the interest of
limiting expenses of the Fund, have jointly agreed to limit the expenses of the
Fund, including the advisory and administrative fees, to 0.65% of its average
net assets on an annual basis.
Related Party Transactions. PIMCO Advisors Distribution Company ("PADCO"), an
indirect wholly-owned subsidiary of PIMCO Advisors L.P., serves as the
distributor of the Fund's shares. Under the contract, all expenses relating to
the distribution of Fund shares will be paid by the Advisor, the Administrator
or PADCO out of past profits and resources which may include fees received by
the Advisor or Administrator.
3. Purchases and Sales of Securities
Purchases and sales of investment securities (excluding short-term instruments)
for the Fund for the period ended March 31, 1995 were as follows ($ in
thousands):
Purchases Sales
--------------------------- --------------------------
U.S. Government Other U.S. Government Other
--------------- ----- --------------- -----
-- $12,905 -- $7,873
10
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
March 31, 1995
4. Shares of Beneficial Interest
The Fund 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):
Period Ended
March 31, 1995
--------------
Shares sold 500
Issued as reinvestment of dividends 6
Shares redeemed 0
---
Net increase 506
===
5. Federal Income Tax Matters
For the period ended March 31, 1995, the Fund realized capital losses of $15,455
for Federal income tax purposes.
These capital losses are available to offset future realized capital gains
through March 31, 2003. The Fund will resume capital gains distributions in the
future to the extent gains are realized in excess of the available
carryforwards.
11
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of the
VersaSTYLE Equity Fund (a series of the PIMCO Funds)
In our opinion, the accompanying statement of assets and liabilities, including
the schedule 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 VersaSTYLE Equity Fund (the
"Fund") at March 31, 1995, the results of its operations, the changes in its net
assets and the financial highlights for the periods indicated, in conformity
with generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's 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 securities at March 31, 1995 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.
PRICE WATERHOUSE LLP
Kansas City, Missouri
May 12, 1995
12
<PAGE>
TRUSTEES AND OFFICERS
Brent R. Harris, Chairman and Trustee
Guilford C. Babcock, Trustee
Vern O. Curtis, Trustee
Thomas P. Kemp, Trustee
R. Wesley Burns, President
Jeffrey M. Sargent, Secretary
John P. Hardaway, Treasurer
INVESTMENT ADVISOR AND
ADMINISTRATOR
Pacific Investment Management Company
840 Newport Center Drive, Suite 360
Newport Beach, California 92660
TRANSFER AGENT AND CUSTODIAN
Investors Fiduciary Trust Company
127 West 10th Street
Kansas City, Missouri 64105
COUNSEL
Dechert Price & Rhoads
1500 K Street N.W.
Washington, D.C. 20005
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
1055 Broadway
Kansas City, MO 64105
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.
<PAGE>
PIMCO FUNDS
SEMI-ANNUAL REPORT
SEPTEMBER 30, 1995
P I M C O
<PAGE>
Pacific Investment Management Company is responsible for the management and
administration of the PIMCO Funds. Founded in 1971, Pacific Investment
Management Company currently manages assets in excess of $68 billion on behalf
of mutual fund and institutional clients located around the world.
Pacific Investment Management Company is one of six investment advisory firms
which form PIMCO Advisors L.P., the nation's fourth largest publicly traded
investment management concern with combined assets under management in excess of
$87 billion. Widely recognized for providing consistent performance and
high-quality client service, the six affiliated firms are:
Pacific Investment Management Company/Newport Beach, California
Columbus Circle Investors/Stamford, Connecticut
Cadence Capital Management/Boston, Massachusetts
NFJ Investment Group/Dallas, Texas
Parametric Portfolio Associates/Seattle, Washington
Blairlogie Capital Management/Edinburgh, Scotland
Units of PIMCO Advisors L.P. trade on the New York Stock Exchange under the
ticker symbol "PA."
CONTENTS
<TABLE>
<S> <C>
Chairman's Message 1
Management Discussion and Analysis 2
Investment Performance 6
Statement of Assets and Liabilities 10
Statement of Operations 12
Statement of Changes in Net Assets 14
Financial Highlights 18
Schedules of Investments
Total Return Fund 22
Total Return Fund III 33
Low Duration Fund 35
Low Duration Fund II 41
Short-Term Fund 43
Long-Term U.S. Government Fund 45
Foreign Fund 47
Global Fund 50
High Yield Fund 53
Growth Stock Fund 56
StocksPLUS Fund 58
Notes to Financial Statements 61
About the PIMCO Funds 68
</TABLE>
<PAGE>
CHAIRMAN'S MESSAGE
Dear PIMCO Funds Client:
We are pleased to present this semi-annual report for the six-
month period ended September 30, 1995. Both stock and bond
markets continued to surge ahead, and the PIMCO Funds were well
positioned to participate in the extension of this rally which
began earlier in the year. Our flagship fixed income portfolio,
the PIMCO Total Return Fund, rose in value by 7.94% during the
reporting period. The PIMCO StocksPLUS Fund, our enhanced
equity index fund, posted a remarkable gain of 19.42%. The
performance of all PIMCO Funds, as well as a discussion of the
financial markets, appears on the following pages.
We are gratified by the continued inflow of client assets to
the PIMCO Funds which, when combined with market appreciation,
have pushed total assets over the $15 billion mark. Assets
invested in the PIMCO Total Return Fund alone exceed $9
billion, making it the second largest taxable fixed income fund
in the nation.
During the past six months, we made the following changes to
the PIMCO Funds for the benefit of shareholders:
[ ] Two new investment portfolios were added to the PIMCO Funds
series: the PIMCO Total Return Fund II and the PIMCO Money
Market Fund. The PIMCO Total Return Fund II is similar to
the PIMCO Total Return Fund except that it does not allow
investments in foreign currency-denominated securities or
securities rated less than investment grade. The PIMCO
Money Market Fund offers investors current income and seeks
to maintain a stable net asset value.
[ ] Shareholders may now freely exchange shares among the 26
institutional funds offered by both the PIMCO Funds and our
affiliated equity fund family, the PIMCO Advisors
Institutional Funds (You should already have received
prospectuses for both fund groups. Please let us know if
you would like to receive additional copies.).
[ ] This new exchange privilege was made possible through a
recent consolidation of the shareholder services and
operations groups of our two institutional fund families.
The groups were combined to more effectively meet the
accounting, reporting and servicing needs of both fund
families and their shareholders.
Thank you for your continued investment in the PIMCO Funds.
Please call us at (800) 927-4648 should you have any questions
or if we can be of any other assistance.
Sincerely,
/s/ Brent R. Harris
Brent R. Harris
Chairman of the Board
November 2, 1995
1
<PAGE>
MANAGEMENT DISCUSSION AND ANALYSIS
Fund Performance
In the PIMCO Funds' March 31, 1995 Annual Report, we commented
that fixed income markets had staged a remarkable comeback
since 1994, which turned out to be the worst twelve month
period for bonds in more than 50 years. We are pleased to be
able to report that both fixed income and equity markets have
continued to rally this year, extending performance gains in
the Funds. And, as the following table shows, all of the PIMCO
Funds have outperformed their respective mutual fund peer
averages for the twelve-month period ended September 30, 1995
(competitive fund data shown as compiled by Lipper Analytical
Services, Inc., a leading source of mutual fund performance
rankings):
<TABLE>
<CAPTION>
Total Return Investment Performance
(Periods ended 09/30/95)
six months twelve months
---------------------------------------------------------
PIMCO PIMCO Competitive
Category & Fund* Funds Funds Fund Average Difference
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Intermediate Investment Grade Debt Funds (144 Funds)
PIMCO Total Return Fund 7.94% 13.38% 12.15% 1.23%
------------------------------------------------------------------------------------------------------------
PIMCO Total Return Fund III 7.43 13.33 12.15 1.18
------------------------------------------------------------------------------------------------------------
Short Investment Grade Debt Funds (136 Funds)
PIMCO Low Duration Fund 5.75 8.49 7.95 0.54
------------------------------------------------------------------------------------------------------------
PIMCO Low Duration Fund II 4.47 9.21 7.95 1.26
------------------------------------------------------------------------------------------------------------
Ultra Short Obligations Funds (18 Funds)
PIMCO Short-Term Fund 4.64 7.35 6.18 1.17
------------------------------------------------------------------------------------------------------------
General U.S. Government Funds (164 Funds)
PIMCO Long-Term U.S. Government Fund 13.71 23.74 12.74 11.00
------------------------------------------------------------------------------------------------------------
General World Income Funds (127 Funds)
PIMCO Foreign Fund 11.47 14.41 11.74 2.67
------------------------------------------------------------------------------------------------------------
PIMCO Global Fund 6.23 15.73 11.74 3.99
------------------------------------------------------------------------------------------------------------
High Current Yield Funds (108 Funds)
PIMCO High Yield Fund 9.77 16.55 11.76 4.79
------------------------------------------------------------------------------------------------------------
Capital Appreciation Funds (175 Funds)
PIMCO Growth Stock Fund 17.44 25.50 25.22 0.28
------------------------------------------------------------------------------------------------------------
Growth and Income Funds (473 Funds)
PIMCO StocksPLUS Fund 19.42 31.43 23.08 8.35
------------------------------------------------------------------------------------------------------------
</TABLE>
* as categorized by Lipper Analytical Services, Inc.
Several PIMCO Funds also received top marks from Morningstar
Inc.**, the widely recognized mutual fund rating service. Each
of the PIMCO TOTAL RETURN, TOTAL RETURN III, LOW DURATION, LOW
DURATION II and LONG-TERM U.S. GOVERNMENT FUNDS have been
awarded the coveted 5-STAR RATING by Morningstar (the highest
rating), while the SHORT-TERM and GROWTH STOCK FUNDS earned a
4- and 3-STAR RATING, respectively (the other PIMCO Funds have
not been rated by Morningstar, which requires a fund to be in
operation for at least three years prior to receiving a
rating).
** Source: Morningstar, Inc. 9/30/95. Morningstar proprietary
ratings reflect historical risk-adjusted performance and are
subject to change monthly. The ratings are calculated from a
fund's 3- and 5-year average annual returns in excess of 90-
day treasury bill returns with appropriate fee adjustments
and a risk factor that reflects fund performance below 90-
day T-bill returns. 10% of the funds in an investment
category receive 5 stars, 22.5% receive 4 stars, and 35%
receive 3 stars. For the 3- and 5-year periods ended
September 30, 1995, the Funds' ratings were: Total Return,
5-star/5-star; Total Return III 5-star/N/A; Low Duration, 5-
star/5-star; Low Duration II, 5-star/N/A; Long-Term U.S.
Government, 5-star/N/A; Short-Term 4-star/4-star; and Growth
Stock 3-star/3-star. There were 541 and 371 bond funds rated
for these periods, respectively, and 821 and 654 equity
funds rated for these same periods, respectively.
2
<PAGE>
Investment Strategy
While a combination of many factors contributed to recent Fund
performance, the chief catalyst was our decision to extend the
Funds' average durations. Early in the second quarter, we
correctly forecast that slowing economic growth and low
inflation would begin to send bond yields lower and bond prices
higher. By mid-May, we had lengthened durations in most Funds
to levels from one-half to a full year above their comparative
market indices. This strategy was employed in all but the
Short-Term and StocksPLUS Funds, where a flat short-term yield
curve appeared unlikely to reward longer durations. The
following graph depicts the downward shift and flattening of
the Treasury yield curve that occurred over the past six- and
twelve-month periods:
[GRAPH OF TREASURY YIELD CURVE APPEARS HERE]
LINE GRAPH DEPICTS THE DECLINE IN YIELDS ON TREASURY
SECURITIES FROM SEPTEMBER 1994 TO SEPTEMBER 1995.
---------------------------------------------------------------
For those Funds whose investment guidelines permit foreign
investments, performance also benefited from investment
strategies implemented in response to our positive outlook for
European bonds, particularly German, Finnish and other German-
bloc issues. We began increasing allocations to these countries
during the second quarter. Initially, these positions
underperformed U.S. bonds, as concerns about inflation and
money supply growth kept German and other closely tied interest
rates stable, while the U.S. market rallied aggressively. In
the third quarter, however, low inflation, slowing economic
growth, central bank easing and a favorable environment for
currency hedging all combined for a positive impact on
performance.
3
<PAGE>
MANAGEMENT DISCUSSION AND ANALYSIS (Cont.)
Investment Process and Outlook
This past May, PIMCO convened its annual Secular Forum to
consider the overarching trends that will significantly impact
economic growth and inflation over the next 3-5 years.
Following three intensive days of presentation, analysis, and
discussion, PIMCO's investment professionals identified the
following four major secular themes which are expected to
dominate the world's fixed income markets for the next several
years:
[ ] The globalization of trade, which dramatically increases
access to cheap labor and low cost goods around the world;
[ ] The power of international capital markets to force more
responsible fiscal and monetary policies upon governments;
[ ] A demographic shift in the developed world from young,
high-consumption age groups toward older high-savers; and
[ ] Rapid investment in productivity enhancing technologies.
After considering the expected impact of these and other
factors on inflation and economic growth, PIMCO SHIFTED ITS
LONG-TERM OUTLOOK ON INTEREST RATES FROM NEUTRAL TO POSITIVE.
This shift reflects the adjustment of our long-term interest
rate forecast downward from a range of 6-8% to the more bullish
range of 5-7%.
===============================================================
30 Year Treasury Yields
===============================================================
[GRAPH APPEARS HERE]
LINE GRAPH DEPICTS THE YIELD ON THE 30 YEAR TREASURY BOND
FROM 1979 TO 1995 AND A PROJECTED YIELD BETWEEN 7% AND 5%
FOR THE PERIOD 1996 TO 1999.
---------------------------------------------------------------
---------------------------------------------------------------
The globalization of trade and the punishing effects of
international capital markets on high interest/high inflation
economies have spawned a trend toward disinflation. While
Japan's recessionary woes are the starkest example, most of the
major and many of the minor economies of the world have begun
to experience economic slowing and an accompanying abatement of
inflationary pressures. While 1994 was generally marked by
central bank tightening, most central bank authorities in 1995
have reduced short-term lending rates in recognition of muted
inflationary pressures. Furthermore, in countries like the
United States, where Fed easing has been minimal, market forces
have nevertheless flattened the yield curve substantially in
anticipation that further rate reductions will be necessary to
avoid a recession.
4
<PAGE>
In addition to fueling the present global bond rally, low
inflation and declining interest rates have also benefited
domestic equities by keeping the cost of capital investment
manageable and wage pressures at bay. Profitability gains from
corporate downsizing and continuing capital investment have
helped equities to reach new heights (although at levels we do
not believe are sustainable).
At our latest quarterly Economics Forum, PIMCO's investment
professionals met to evaluate the near-term cyclical forces
impacting fixed income markets. At this meeting, we agreed that
such forces (including high consumer debt levels, weak long-
term wage gains, and softening auto sales) support our long-
term secular outlook for lower interest rates.
Overall, we are optimistic regarding fixed income returns.
Looking forward, we intend to remain true to our cyclical and
secular outlooks for declining interest rates by maintaining
above-index durations in the fixed income Funds. In the U.S.
market, long-term corporate exposure will be reduced in favor
of less risky Treasury holdings, reflecting our belief that
historically narrow corporate spreads will widen to more normal
late-cycle levels in the coming months. Portfolio allocations
to mortgage securities will remain an important sector strategy
as the typical fourth quarter decline in refinancing activity
and the Fed's reluctance to significantly reduce short-term
rates should serve to support both durations and spreads. On
the foreign front, we remain bullish on intermediate and long-
term German, Finnish and other German-bloc bonds, reflecting
our outlook for central bank easing and flattening yield
curves. In addition, we see opportunities for increased
allocations to the Canadian market, which we expect to perform
well as separation anxieties subside.
5
<PAGE>
INVESTMENT PERFORMANCE
Performance Graphs and Tables
Another look at investment performance may be found in the
following graphs and tables, which show the investment
performance of the PIMCO Funds' Institutional Class as
compared to the performance of a representative market index:
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- -----------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (5/87)
- -----------------------------------------------------
<S> <C> <C> <C> <C>
Total Return Fund
Inst'l Class (%) 13.38 7.53 11.32 10.21
- -----------------------------------------------------
Lehman Aggregate
Bond Index (%) 14.06 6.68 9.65 9.42
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (9/94)
- -----------------------------------------------------
<S> <C> <C> <C> <C>
Total Return Fund
Admin Class (%) 13.11 n/a n/a 13.11
- -----------------------------------------------------
Lehman Aggregate
Bond Index (%) 14.06 n/a n/a 14.06
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TOTAL RETURN LBAG
MONTH UNIT
VALUE
=====================================================
<S> <C> <C>
05/31/87 1,000,000.00 1,000,000.00
12/31/87 1,030,745.18 1,043,430.28
12/31/88 1,127,426.29 1,125,714.10
12/31/89 1,288,016.57 1,289,275.51
12/31/90 1,391,670.78 1,404,797.46
12/31/91 1,663,829.39 1,629,609.19
12/31/92 1,825,855.68 1,750,227.21
12/31/93 2,054,300.21 1,920,864.71
12/31/94 1,980,883.43 1,864,840.30
09/30/95 2,248,870.96 2,119,059.98
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in May 1987 and
held through September 1995, compared to the Lehman Brothers
Aggregate Bond Index, an unmanaged market index. The
performance of the Administrative Class (shown at left)
reflects the payment of a service fee in an amount not to
exceed 0.25% on an annualized basis.
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
Since
Inception
1 Yr. 3 Yr. 5 Yr. (5/91)
- -----------------------------------------------------
<S> <C> <C> <C> <C>
Total Return
Fund III (%) 13.33 7.82 n/a 10.13
- -----------------------------------------------------
Lehman Aggregate
Bond Index (%) 14.06 6.68 n/a 8.79
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TOTAL RET III LBAG
MONTH UNIT
VALUE
=====================================================
<S> <C> <C>
04/30/91 1,000,000.00 1,000,000.00
12/31/91 1,137,502.41 1,116,311.65
12/31/92 1,240,189.38 1,198,937.16
12/31/93 1,396,936.94 1,315,826.92
12/31/94 1,349,037.54 1,277,449.19
09/30/95 1,532,332.73 1,451,594.25
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in May 1991 and
held through September 1995, compared to the Lehman Brothers
Aggregate Bond Index, an unmanaged market index.
6
<PAGE>
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- ----------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (5/87)
- -----------------------------------------------------
<S> <C> <C> <C> <C>
Low Duration Fund
Inst'l Class (%) 8.49 5.98 8.18 8.52
- -----------------------------------------------------
Merrill Lynch
Index (%) 8.28 4.77 7.08 7.63
- -----------------------------------------------------
<CAPTION>
Cumulative Returns Ended 9/30/95
- ----------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (1/95)
- ----------------------------------------------------
<S> <C> <C> <C> <C>
Low Duration Fund
Admin Class (%) n/a n/a n/a 8.26
- ----------------------------------------------------
Merrill Lynch
Index (%) n/a n/a n/a 9.19
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
LOW DURATION MERRILL 1-3
MONTH UNIT
VALUE
=====================================================
<S> <C> <C>
05/31/87 1,000,000.00 1,000,000.00
12/31/87 1,044,478.09 1,047,984.76
12/31/88 1,130,408.56 1,113,174.49
12/31/89 1,261,510.71 1,234,771.63
12/31/90 1,375,736.40 1,354,820.12
12/31/91 1,560,925.88 1,513,055.27
12/31/92 1,680,926.86 1,608,398.67
12/31/93 1,811,269.22 1,695,419.33
12/31/94 1,822,760.28 1,705,049.92
09/30/95 1,978,069.01 1,846,139.37
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in May 1987 and
held through September 1995, compared to the Merrill Lynch 1-3
Year Treasury Index, an unmanaged market index. The performance
of the Administrative Class (shown at left) reflects the
payment of a service fee in an amount not to exceed 0.25% on an
annualized basis.
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- ----------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (11/91)
- -----------------------------------------------------
<S> <C> <C> <C> <C>
Low Duration
Fund II (%) 9.21 5.36 n/a 6.27
- -----------------------------------------------------
Merrill Lynch
Index (%) 8.28 4.77 n/a 5.90
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
LOW DUR II MERRILL 1-3
MONTH UNIT
VALUE
=====================================================
<S> <C> <C>
10/31/91 1,000,000.00 1,000,000.00
12/31/91 1,030,157.63 1,025,788.25
12/31/92 1,094,356.61 1,090,427.09
12/31/93 1,166,344.05 1,149,423.47
12/31/94 1,170,070.79 1,155,952.61
09/30/95 1,269,204.09 1,251,605.36
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in November 1991
and held through September 1995, compared to the Merrill Lynch
1-3 Year Treasury Index, an unmanaged market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- ---------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (10/87)
- ----------------------------------------------------
<S> <C> <C> <C> <C>
Short-Term
Fund (%) 7.35 4.85 5.34 6.42
- ----------------------------------------------------
Lipper MM
Index (%) 5.37 3.78 4.36 5.58
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM LIPPER
MONTH UNIT MONEY MARKET
VALUE
=====================================================
<S> <C> <C>
10/31/87 1,000,000.00 1,000,000.00
12/31/87 1,012,023.74 1,011,406.84
12/31/88 1,088,755.81 1,084,179.20
12/31/89 1,191,539.60 1,181,286.16
12/31/90 1,292,428.29 1,275,252.11
12/31/91 1,378,445.50 1,349,545.38
12/31/92 1,428,417.71 1,396,131.59
12/31/93 1,494,453.55 1,434,088.28
12/31/94 1,537,715.13 1,487,650.85
09/30/95 1,636,775.05 1,549,313.94
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in October 1987 and
held through September 1995, compared to the Lipper Money
Market Index, an index consisting of the 30 largest equal
weighted Money Market Funds. Whereas money market funds attempt
to maintain a stable share price, the Short-Term Fund's share
price will fluctuate in response to market conditions.
7
<PAGE>
INVESTMENT PERFORMANCE (Cont.)
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- ------------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (7/91)
- ------------------------------------------------------
<S> <C> <C> <C> <C>
Long-Term U.S.
Gov't Fund (%) 23.74 10.68 n/a 14.43
- ------------------------------------------------------
Lehman Blended
Treasury Index (%) 22.54 9.45 n/a 11.89
- ------------------------------------------------------
Lehman Aggregate
Bond Index (%) 14.06 6.68 n/a 9.02
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
LONG-TERM GOV LEHMAN INT LBAG
MONTH UNIT &
VALUE 20+ YR TREAS
==========================================================
<S> <C> <C> <C>
06/30/91 1,000,000.00 1,000,000.00 1,000,000.00
12/31/91 1,181,839.72 1,154,987.78 1,110,386.16
12/31/92 1,322,838.26 1,244,270.52 1,192,573.10
12/31/93 1,568,556.86 1,450,540.54 1,308,842.39
12/31/94 1,452,653.13 1,341,134.05 1,270,668.38
09/30/95 1,774,232.62 1,612,750.71 1,443,889.06
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in July 1991 and
held through September 1995, compared to a 10 year duration
blend of the Lehman Brothers Intermediate and 20+ Yr. Treasury
Indices and the Lehman Brothers Aggregate Bond Index, each
unmanaged market indices.
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- -----------------------------------------------------
Since
Inception
1 Yr. 2 Yr. 5 Yr. (12/92)
- ------------------------------------------------------
<S> <C> <C> <C> <C>
Foreign Fund (%) 14.41 4.55 n/a 7.50
- ------------------------------------------------------
J.P. Morgan
Non-U.S. Index (%) 15.15 5.87 n/a 7.69
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FOREIGN JP MORGAN
MONTH UNIT NON-U.S.
VALUE
=======================================================
<S> <C> <C>
12/31/92 1,000,000.00 1,000,000.00
12/31/93 1,164,013.44 1,139,019.60
12/31/94 1,079,026.38 1,081,273.43
09/30/95 1,219,821.99 1,225,802.35
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in December 1992
and held through September 1995, compared to the J.P. Morgan
Non-U.S. Government Bond Index (Hedged), an unmanaged market
index.
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- ----------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (11/93)
- ----------------------------------------------------
<S> <C> <C> <C> <C>
Global Fund (%) 15.73 n/a n/a 8.84
J.P. Morgan
- ----------------------------------------------------
Global Index (%) 15.93 n/a n/a 9.48
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
GLOBAL JP MORGAN
MONTH UNIT GLOBAL
VALUE
=======================================================
<S> <C> <C>
11/30/93 1,000,000.00 1,000,000.00
12/31/93 1,031,870.81 1,010,200.20
12/31/94 1,014,310.85 1,022,933.14
09/30/95 1,167,935.64 1,180,587.20
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in November 1993
and held through September 1995, compared to the J.P. Morgan
Global Index, an unmanaged market index.
8
<PAGE>
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- -----------------------------------------------------
Since
Inception
1 Yr. 2 Yr. 5 Yr. (12/92)
- -----------------------------------------------------
<S> <C> <C> <C> <C>
High Yield Fund
Inst'l Class (%) 16.55 11.13 n/a 13.16
- -----------------------------------------------------
Lehman BB Corp.
Index (%) 15.03 8.95 10.87
- -----------------------------------------------------
<CAPTION>
Cumulative Returns Ended 9/30/95
- ----------------------------------------------------
Since
Inception
1 Yr. 2 Yr. 5 Yr. (1/95)
- ----------------------------------------------------
<S> <C> <C> <C> <C>
High Yield Fund
Admin Class (%) n/a n/a n/a 14.35
- ----------------------------------------------------
Lehman BB Corp.
Index (%) n/a n/a n/a 9.69
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
HIGH YIELD LEHMAN BB
MONTH UNIT INT CORP
VALUE
=====================================================
<S> <C> <C>
12/31/92 1,000,000.00 1,000,000.00
12/31/93 1,187,025.82 1,146,545.45
12/31/94 1,215,478.79 1,156,314.50
09/30/95 1,404,508.56 1,327,950.86
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in December 1992
and held through September 1995, compared to the Lehman
Brothers BB Intermediate Corporate Index, an unmanaged market
index. The performance of the Administrative Class (shown at
left) reflects the payment of a service fee in an amount not to
exceed 0.25% on an annualized basis.
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- ----------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (6/87)
- ----------------------------------------------------
<S> <C> <C> <C> <C>
Growth Stock
Fund (%) 25.50 13.36 15.93 10.21
- ----------------------------------------------------
S&P/BARRA
Index (%) 31.69 13.38 17.03 11.70
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
GROWTH STOCK S&P/BARRA
MONTH UNIT GROWTH
VALUE
=====================================================
<S> <C> <C>
06/30/87 1,000,000.00 1,000,000.00
12/31/87 821,597.69 818,050.56
12/31/88 930,476.25 915,768.36
12/31/89 1,169,864.77 1,248,847.34
12/31/90 1,166,776.31 1,251,186.20
12/31/91 1,597,738.06 1,731,134.19
12/31/92 1,660,262.82 1,820,142.55
12/31/93 1,759,283.20 1,848,843.59
12/31/94 1,786,067.30 1,906,839.94
09/30/95 2,231,904.79 2,493,963.88
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in June 1987 and
held through September 1995, compared to the Standard &
Poor's/BARRA Growth Index, an unmanaged market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- ----------------------------------------------------
Since
Inception
1 Yr. 2 Yr. 5 Yr. (5/93)
- ----------------------------------------------------
<S> <C> <C> <C> <C>
StocksPLUS
Fund (%) 31.43 18.10 n/a 16.86
- ----------------------------------------------------
S&P 500
Index (%) 29.74 15.99 n/a 14.94
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
STOCKSPLUS S&P 500
MONTH UNIT
VALUE
=====================================================
<S> <C> <C>
05/31/93 1,000,000.00 1,000,000.00
12/31/93 1,061,284.22 1,052,698.39
12/31/94 1,092,245.04 1,066,604.35
09/30/95 1,438,769.63 1,384,080.51
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in May 1993 and
held through September 1995, compared to the Standard & Poor's
500 Index, an unmanaged market index.
9
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Total Return Total Return III Low Duration Low Duration II
Amounts in thousands, except per share amounts
Assets:
<S> <C> <C> <C> <C>
Investments, at value $10,140,684 $ 128,497 $ 3,013,491 $ 223,712
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Cash and foreign currency 14,479 80 0 2
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Receivable from brokers for securities sold short 0 0 0 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Receivable for investments and foreign currency sold 785,380 14,432 7,605 298
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Receivable for Fund shares sold 8,090 13 3,148 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Receivable from advisor 0 12 0 7
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Variation margin receivable 26,106 335 365 246
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Interest and dividends receivable 135,879 1,790 33,895 1,580
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Other assets 54 3 17 3
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
11,110,672 145,162 3,058,521 225,848
======================================================= ================= ================= ================= =================
Liabilities:
Payable for investments and foreign currency purchased 1,853,121 29,074 610,036 31,160
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Securities sold short (Proceeds: $72,174 and $16,509 for
Foreign and Global Funds, respectively.) 0 0 0 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Written options outstanding 3,296 104 356 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Payable for Fund shares redeemed 12,856 116 8,107 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Dividends payable 10,877 31 2,207 56
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Accrued investment advisor's fee 2,115 32 621 36
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Accrued administrator's fee 863 11 352 17
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Payable to advisor 0 0 0 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Accrued distribution fee 11 0 0 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Variation margin payable 0 0 0 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Other accrued expenses and liabilities 42,705 77 701 46
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
1,925,844 29,445 622,380 31,315
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Net Assets $ 9,184,828 $ 115,717 $ 2,436,141 $ 194,533
======================================================= ================= ================= ================= =================
Net Assets Consist of:
Paid in capital $ 9,106,819 $ 115,386 $ 2,459,472 $ 197,432
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Undistributed (overdistributed) net investment income (85,214) (1,214) 40 (1,082)
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Accumulated undistributed net realized gain (loss) 109,903 1,705 (22,536) (1,782)
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Net unrealized appreciation (depreciation) 53,320 (160) (835) (35)
======================================================= ================= ================= ================= =================
$ 9,184,828 $ 115,717 $ 2,436,141 $ 194,533
======================================================= ================= ================= ================= =================
Shares Issued and Outstanding
Institutional Class 873,639 12,407 244,319 19,711
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Administrative Class 5,632 0 109 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Net Asset Value, Offering and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 10.45 $ 9.33 $ 9.97 $ 9.87
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Administrative Class 10.44 0 9.97 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Cost of Investments Owned 10,093,638 128,602 3,015,300 223,804
======================================================= ================= ================= ================= =================
Cost of Foreign Currency Held 14,243 78 0 0
======================================================= ================= ================= ================= =================
</TABLE>
See Notes to Financial Statements
10
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
September 30, 1995 (unaudited) (Continued)
<TABLE>
<CAPTION>
Short-Term Long-Term Foreign Global
Amounts in thousands, except per share amounts U.S. Gov't
Assets:
<S> <C> <C> <C> <C>
Investments, at value $ 103,994 $ 45,502 $ 391,262 $ 136,569
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Cash and foreign currency 9 1 1,178 169
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Receivable from brokers for securities sold short 0 0 73,594 16,666
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Receivable for investments and foreign currency sold 2,511 529 211,184 95,431
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Receivable for Fund shares sold 1,252 1 179 1,009
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Receivable from advisor 0 1 0 0
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Variation margin receivable 0 419 77 6
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Interest and dividends receivable 1,312 218 8,842 2,313
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Other assets 8 2 18 0
- ------------------------------------------------------- ------------- ------------- ------------- -------------
109,086 46,673 686,334 252,163
======================================================= ============= ============= ============= =============
Liabilities:
Payable for investments and foreign currency purchased 14,439 2,003 378,345 137,216
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Securities sold short (Proceeds: $72,174 and $16,509 for
Foreign and Global Funds, respectively.) 0 0 72,537 16,568
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Written options outstanding 38 94 441 74
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Payable for Fund shares redeemed 273 19 71 76
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Dividends payable 141 122 139 38
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Accrued investment advisor's fee 25 12 103 27
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Accrued administrator's fee 10 3 0 8
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Payable to advisor 15 0 0 0
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Accrued distribution fee 0 0 0 0
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Variation margin payable 0 0 468 42
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Other accrued expenses and liabilities 71 23 934 41
- ------------------------------------------------------- ------------- ------------- ------------- -------------
15,012 2,276 453,038 154,090
======================================================= ============= ============= ============= =============
Net Assets $ 94,074 $ 44,397 $ 233,296 $ 98,073
======================================================= ============= ============= ============= =============
Net Assets Consist of:
Paid in capital $ 95,228 $ 42,247 $ 242,648 $ 95,554
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Undistributed (overdistributed) net investment income (262) (123) (5,997) 1,197
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Accumulated undistributed net realized gain (loss) (417) 1,238 (7,003) (520)
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Net unrealized appreciation (depreciation) (475) 1,035 3,648 1,842
- ------------------------------------------------------- ------------- ------------- ------------- -------------
$ 94,074 $ 44,397 $ 233,296 $ 98,073
======================================================= ============= ============= ============= =============
Shares Issued and Outstanding
Institutional Class 9,522 4,099 23,096 9,652
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Administrative Class 0 0 0 0
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Net Asset Value, Offering and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 9.88 $ 10.83 $ 10.10 $ 10.16
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Administrative Class 0 0 0 0
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Cost of Investments Owned 104,343 44,746 384,735 134,165
======================================================= ============= ============= ============= =============
Cost of Foreign Currency Held 9 0 1,174 167
======================================================= ============= ============= ============= =============
<CAPTION>
High Yield Growth Stock StocksPLUS
Amounts in thousands, except per share amounts
Assets:
<S> <C> <C> <C>
Investments, at value $ 469,223 $ 11,160 $ 75,953
- ------------------------------------------------------- ------------- ------------ -------------
Cash and foreign currency 0 0 7
- ------------------------------------------------------- ------------- ------------- -------------
Receivable from brokers for securities sold short 0 0 0
- ------------------------------------------------------- ------------- ------------- -------------
Receivable for investments and foreign currency sold 13,818 397 1,599
- ------------------------------------------------------- ------------- ------------- -------------
Receivable for Fund shares sold 248 0 32
- ------------------------------------------------------- ------------- ------------- -------------
Receivable from advisor 0 2 42
- ------------------------------------------------------- ------------- ------------- -------------
Variation margin receivable 0 0 0
- ------------------------------------------------------- ------------- ------------- -------------
Interest and dividends receivable 10,431 15 816
- ------------------------------------------------------- ------------- ------------- -------------
Other assets 7 0 1,221
- ------------------------------------------------------- ------------- ------------- -------------
493,727 11,574 79,670
======================================================= ============= ============= =============
Liabilities:
Payable for investments and foreign currency purchased 22,572 369 5,816
- ------------------------------------------------------- ------------- ------------- -------------
Securities sold short (Proceeds: $72,174 and $16,509 for
Foreign and Global Funds, respectively.) 0 0 0
- ------------------------------------------------------- ------------- ------------- -------------
Written options outstanding 21 0 24
- ------------------------------------------------------- ------------- ------------- -------------
Payable for Fund shares redeemed 175 0 0
- ------------------------------------------------------- ------------- ------------- -------------
Dividends payable 118 0 4
- ------------------------------------------------------- ------------- ------------- -------------
Accrued investment advisor's fee 136 4 29
- ------------------------------------------------------- ------------- ------------- -------------
Accrued administrator's fee 45 1 7
- ------------------------------------------------------- ------------- ------------- -------------
Payable to advisor 5 0 0
- ------------------------------------------------------- ------------- ------------- -------------
Accrued distribution fee 0 0 0
- ------------------------------------------------------- ------------- ------------- -------------
Variation margin payable 0 0 63
- ------------------------------------------------------- ------------- ------------- -------------
Other accrued expenses and liabilities 114 20 40
- ------------------------------------------------------- ------------- ------------- -------------
23,186 394 5,983
- ------------------------------------------------------- ------------- ------------- -------------
Net Assets $ 470,541 $ 11,180 $ 73,687
======================================================= ============= ============= =============
Net Assets Consist of:
Paid in capital $ 458,730 $ 7,118 $ 63,635
- ------------------------------------------------------- ------------- ------------- -------------
Undistributed (overdistributed) net investment income 1,531 0 4,281
- ------------------------------------------------------- ----------- ------------- -------------
Accumulated undistributed net realized gain (loss) 161 1,893 4,911
- ------------------------------------------------------- ----------- ------------- -------------
Net unrealized appreciation (depreciation) 10,119 2,169 860
- ------------------------------------------------------- ----------- ------------- -------------
$ 470,541 $ 11,180 $ 73,687
======================================================= =========== ============= =============
Shares Issued and Outstanding
Institutional Class 43,126 698 6,111
- ------------------------------------------------------- ----------- ------------- -------------
Administrative Class 3 0 0
- ------------------------------------------------------- ----------- ------------- -------------
Net Asset Value, Offering and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 10.91 $ 16.01 $ 12.06
- ------------------------------------------------------- ----------- ------------- -------------
Administrative Class 10.91 0 0
- ------------------------------------------------------- ----------- ------------- -------------
Cost of Investments Owned 459,104 8,991 75,778
======================================================= =========== ============= =============
Cost of Foreign Currency Held 0 0 7
======================================================= =========== ============= =============
</TABLE>
11
<PAGE>
STATEMENT OF OPERATIONS
For the six months ended September 30, 1995 (unaudited)
$ in thousands
<TABLE>
<CAPTION>
Total Return Total Return III Low Duration Low Duration II
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 303,255 $ 4,119 $ 89,391 $ 7,023
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Dividends 350 0 297 0
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Total income 303,605 4,119 89,688 7,023
==================================================== ================== ================== ================== ==================
Expenses:
Investment advisory fees 10,371 165 3,073 280
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Administration fees 4,154 55 1,220 98
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Custodian and transfer agent fees 1,326 25 343 29
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Registration fees 480 16 44 13
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Distribution fees - Administrative Class 47 0 1 0
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Audit fees 61 9 38 13
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Legal fees 83 2 32 2
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Trustees' fees 13 0 7 1
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Amortization of organization costs 0 0 0 0
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Miscellaneous 243 8 94 7
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Reimbursement to (from) advisor and administrator 0 (2) 0 0
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Total Expenses 16,778 278 4,852 443
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Fees paid indirectly (77) (1) (23) (2)
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net expenses 16,701 277 4,829 441
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net Investment Income 286,904 3,842 84,859 6,582
==================================================== ================== ================== ================== ==================
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (23,070) (172) (9,453) (232)
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net realized gain on futures contracts
and written options 194,249 2,430 9,669 1,101
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net realized gain (loss) on foreign
currency transactions 3,507 99 (1,161) 0
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net change in unrealized appreciation
on investments 190,355 2,100 53,310 1,305
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written
options (25,184) (317) (943) (149)
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies (8,804) (234) 254 0
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net gain 331,053 3,906 51,676 2,025
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net Increase in Assets
Resulting from Operations $ 617,957 $ 7,748 $ 136,535 $ 8,607
==================================================== ================== ================== ================== ==================
</TABLE>
See Notes to Financial Statements
12
<PAGE>
STATEMENT OF OPERATIONS
For the six months ended September 30, 1995 (unaudited) (Continued)
$ in thousands
<TABLE>
<CAPTION>
Short-Term Long-Term Foreign Global
U.S. Gov't
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 3,530 $ 1,322 $ 8,593 $ 2,968
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Dividends 0 0 0 0
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Total income 3,530 1,322 8,593 2,968
==================================================== ================ ================ ================ ================
Expenses:
Investment advisory fees 132 54 330 127
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Administration fees 45 18 118 43
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Custodian and transfer agent fees 25 12 109 41
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Registration fees 19 12 25 27
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Distribution fees - Administrative Class 0 0 0 0
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Audit fees 10 7 30 23
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Legal fees 2 1 1 1
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Trustees' fees 0 0 1 0
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Amortization of organization costs 0 0 0 0
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Miscellaneous 81 4 16 4
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Reimbursement to (from) advisor and administrator (13) (18) 0 22
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Total Expenses 301 90 630 288
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Fees paid indirectly (2) 0 (2) 0
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Net expenses 299 90 628 288
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Net Investment Income 3,231 1,232 7,965 2,680
==================================================== ================ ================ ================ ================
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 91 573 4,414 1,481
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Net realized gain on futures contracts
and written options 49 2,506 4,307 1,927
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Net realized gain (loss) on foreign
currency transactions 58 0 4,635 (1,366)
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Net change in unrealized appreciation
on investments 849 491 5,919 1,976
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written
options 6 (93) (2,088) (643)
- ---------------------------------------------------- --------------- ---------------- ---------------- ----------------
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies 234 0 108 (967)
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Net gain 819 3,477 17,295 2,408
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Net Increase in Assets
Resulting from Operations $ 4,050 $ 4,709 $ 25,260 $ 5,088
==================================================== ================ ================ ================ ================
<CAPTION>
High Yield Growth Stock StocksPLUS
<S> <C> <C> <C>
Investment Income:
Interest $ 20,478 $ 4 $ 5,623
- ---------------------------------------------------- ---------------- ---------------- ----------------
Dividends 203 107 0
- ---------------------------------------------------- ---------------- ---------------- ----------------
Total income 20,681 111 5,623
==================================================== ================ ================ ================
Expenses:
Investment advisory fees 553 21 132
- ---------------------------------------------------- ---------------- ---------------- ----------------
Administration fees 208 7 30
- ---------------------------------------------------- ---------------- ---------------- ----------------
Custodian and transfer agent fees 62 9 24
- ---------------------------------------------------- ---------------- ---------------- ----------------
Registration fees 49 3 26
- ---------------------------------------------------- ---------------- ---------------- ----------------
Distribution fees - Administrative Class 0 0 0
- ---------------------------------------------------- ---------------- ---------------- ----------------
Audit fees 19 8 15
- ---------------------------------------------------- ---------------- ---------------- ----------------
Legal fees 4 0 1
- ---------------------------------------------------- ---------------- ---------------- ----------------
Trustees' fees 1 0 0
- ---------------------------------------------------- ---------------- ---------------- ----------------
Amortization of organization costs 0 0 0
- ---------------------------------------------------- ---------------- ---------------- ----------------
Miscellaneous 15 1 4
- ---------------------------------------------------- ---------------- ---------------- ----------------
Reimbursement to (from) advisor and administrator 0 (14) (34)
- ---------------------------------------------------- ---------------- ---------------- ----------------
Total Expenses 911 35 198
- ---------------------------------------------------- ---------------- ---------------- ----------------
Fees paid indirectly (10) 0 0
- ---------------------------------------------------- ---------------- ---------------- ----------------
Net expenses 901 35 198
- ---------------------------------------------------- ---------------- ---------------- ----------------
Net Investment Income 19,780 76 5,425
==================================================== ================ ================ ================
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 4,149 1,569 126
- ---------------------------------------------------- ---------------- ---------------- ----------------
Net realized gain on futures contracts
and written options 143 5 4,724
- ---------------------------------------------------- ---------------- ---------------- ----------------
Net realized gain (loss) on foreign
currency transactions 0 0 39
- ---------------------------------------------------- ---------------- ---------------- ----------------
Net change in unrealized appreciation
on investments 13,739 610 166
- ---------------------------------------------------- ---------------- ---------------- ----------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written
options (22) 0 (229)
- ---------------------------------------------------- ---------------- ---------------- -----------------
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies 0 0 (17)
- ---------------------------------------------------- ---------------- ---------------- ----------------
Net gain 18,009 2,184 4,809
- ---------------------------------------------------- ---------------- ---------------- ----------------
Net Increase in Assets
Resulting from Operations $ 37,789 $ 2,260 $ 10,234
==================================================== ================ ================ ================
</TABLE>
13
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
$ in thousands
Total Return Total Return III
Increase (Decrease) in Net Assets from: Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1995 March 31, 1995 September 30, 1995 March 31, 1995
(unaudited) (unaudited)
<S> <C> <C> <C> <C>
Operations
Net investment income $ 286,904 $ 407,312 $ 3,842 $ 5,934
- --------------------------------------------------- ------------------------------------- -------------------------------------
Net realized gain (loss) 174,686 (110,620) 2,357 (1,737)
- --------------------------------------------------- ------------------------------------- -------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 190,355 (77,343) 2,100 (850)
- --------------------------------------------------- ------------------------------------- -------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options (25,184) 82,421 (317) 1,250
- --------------------------------------------------- ------------------------------------- -------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies (8,804) 1,525 (234) (73)
- --------------------------------------------------- ------------------------------------- -------------------------------------
Net increase (decrease) resulting from operations 617,957 303,295 7,748 4,524
=================================================== ===================================== =====================================
Distributions to Shareholders
From net investment income
Institutional Class (285,617) (347,782) (3,844) (5,003)
- --------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class (1,247) (126) 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
In excess of net investment income
Institutional Class 0 (30,707) 0 (147)
- --------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 0 (11) 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
From net realized capital gains
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
In excess of net realized capital gains
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
Tax basis return of capital
Institutional Class 0 (13,786) 0 (784)
- --------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 0 (5) 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
Total Distributions (286,864) (392,417) (3,844) (5,934)
=================================================== ===================================== =====================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 1,865,191 3,081,221 16,801 38,113
- --------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 55,226 9,138 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
Issued as reinvestment of distributions
Institutional Class 223,962 308,654 3,667 5,316
- --------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 1,241 142 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
Cost of shares redeemed
Institutional Class (533,186) (1,069,020) (8,152) (40,044)
- --------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class (7,471) (401) 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
Net increase (decrease) resulting
from Fund share transactions 1,604,963 2,329,734 12,316 3,385
- --------------------------------------------------- ------------------------------------- -------------------------------------
Total Increase (Decrease) in Net Assets 1,936,056 2,240,612 16,220 1,975
=================================================== ===================================== =====================================
Net Assets
Beginning of period 7,248,772 5,008,160 99,497 97,522
- --------------------------------------------------- ------------------------------------- -------------------------------------
End of period * $ 9,184,828 $ 7,248,772 $ 115,717 $ 99,497
- --------------------------------------------------- ------------------------------------- -------------------------------------
*Including net undistributed
(overdistributed) investment income of: $ (85,214) $ (85,253) $ (1,214) $ (1,212)
- --------------------------------------------------- ------------------------------------- -------------------------------------
</TABLE>
See Notes to Financial Statements
14
<PAGE>
<TABLE>
<CAPTION>
$ in thousands
Low Duration Low Duration II
Increase (Decrease) in Net Assets from: Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1995 March 31, 1995 September 30, 1995 March 31, 1995
(unaudited) (unaudited)
<S> <C> <C> <C> <C>
Operations
Net investment income $ 84,859 $ 146,094 $ 6,582 $ 9,951
- --------------------------------------------------- -------------------------------------- --------------------------------------
Net realized gain (loss) (945) (36,670) 869 (2,550)
- --------------------------------------------------- -------------------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 53,310 (30,178) 1,305 (157)
- --------------------------------------------------- -------------------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options (943) 2,234 (149) 320
- --------------------------------------------------- -------------------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies 254 (386) 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
Net increase (decrease) resulting from operations 136,535 81,094 8,607 7,564
=================================================== ====================================== ======================================
Distributions to Shareholders
From net investment income
Institutional Class (84,866) (125,715) (6,583) (9,191)
- --------------------------------------------------- -------------------------------------- --------------------------------------
Administrative Class (23) (10) 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
In excess of net investment income
Institutional Class 0 0 0 (491)
- --------------------------------------------------- -------------------------------------- --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
From net realized capital gains
Institutional Class 0 0 0 (4)
- --------------------------------------------------- -------------------------------------- --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
In excess of net realized capital gains
Institutional Class 0 0 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
Tax basis return of capital
Institutional Class 0 (20,045) 0 (276)
- --------------------------------------------------- -------------------------------------- --------------------------------------
Administrative Class 0 (2) 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
Total Distributions (84,889) (145,772) (6,583) (9,962)
=================================================== ====================================== ======================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 635,842 1,378,441 56,282 77,909
- --------------------------------------------------- -------------------------------------- --------------------------------------
Administrative Class 707 768 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
Issued as reinvestment of distributions
Institutional Class 70,413 115,466 6,195 8,742
- --------------------------------------------------- -------------------------------------- --------------------------------------
Administrative Class 28 12 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
Cost of shares redeemed
Institutional Class (654,859) (1,395,445) (40,834) (54,798)
- --------------------------------------------------- -------------------------------------- --------------------------------------
Administrative Class (439) (16) 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
Net increase (decrease) resulting
from Fund share transactions 51,692 99,226 21,643 31,853
- --------------------------------------------------- -------------------------------------- --------------------------------------
Total Increase (Decrease) in Net Assets 103,338 34,548 23,667 29,455
=================================================== ====================================== ======================================
Net Assets
Beginning of period 2,332,803 2,298,255 170,866 141,411
- --------------------------------------------------- -------------------------------------- --------------------------------------
End of period * $ 2,436,141 $ 2,332,803 $ 194,533 $ 170,866
- --------------------------------------------------- -------------------------------------- --------------------------------------
*Including net undistributed
(overdistributed) investment income of: $ 40 $ 71 $ (1,082) $ (1,081)
- --------------------------------------------------- -------------------------------------- --------------------------------------
<CAPTION>
$ in thousands
Short-Term
Increase (Decrease) in Net Assets from: Six Months Ended Year Ended
September 30, 1995 March 31, 1995
(unaudited)
<S> <C> <C>
Operations
Net investment income $ 3,231 $ 7,250
- --------------------------------------------------- --------------------------------------
Net realized gain (loss) 198 (743)
- --------------------------------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 849 (800)
- --------------------------------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 6 93
- --------------------------------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies (234) 0
- --------------------------------------------------- --------------------------------------
Net increase (decrease) resulting from operations 4,050 5,800
=================================================== ======================================
Distributions to Shareholders
From net investment income
Institutional Class (3,232) (7,075)
- --------------------------------------------------- --------------------------------------
Administrative Class 0 0
- --------------------------------------------------- --------------------------------------
In excess of net investment income
Institutional Class 0 (165)
- --------------------------------------------------- --------------------------------------
Administrative Class 0 0
- --------------------------------------------------- --------------------------------------
From net realized capital gains
Institutional Class 0 0
- --------------------------------------------------- --------------------------------------
Administrative Class 0 0
- --------------------------------------------------- --------------------------------------
In excess of net realized capital gains
Institutional Class 0 0
- --------------------------------------------------- --------------------------------------
Administrative Class 0 0
- --------------------------------------------------- --------------------------------------
Tax basis return of capital
Institutional Class 0 0
- --------------------------------------------------- --------------------------------------
Administrative Class 0 0
- --------------------------------------------------- --------------------------------------
Total Distributions (3,232) (7,240)
=================================================== ======================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 52,424 265,206
- --------------------------------------------------- --------------------------------------
Administrative Class 0 0
- --------------------------------------------------- --------------------------------------
Issued as reinvestment of distributions
Institutional Class 2,658 5,671
- --------------------------------------------------- --------------------------------------
Administrative Class 0 0
- --------------------------------------------------- --------------------------------------
Cost of shares redeemed
Institutional Class (51,940) (252,499)
- --------------------------------------------------- --------------------------------------
Administrative Class 0 0
- --------------------------------------------------- --------------------------------------
Net increase (decrease) resulting
from Fund share transactions 3,142 18,378
- --------------------------------------------------- --------------------------------------
Total Increase (Decrease) in Net Assets 3,960 16,938
=================================================== ======================================
Net Assets
Beginning of period 90,114 73,176
- --------------------------------------------------- --------------------------------------
End of period * $ 94,074 $ 90,114
- --------------------------------------------------- --------------------------------------
*Including net undistributed
(overdistributed) investment income of: $ (262) $ (261)
- --------------------------------------------------- --------------------------------------
</TABLE>
See Notes to Financial Statements
15
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (Cont.)
<TABLE>
<CAPTION>
$ in thousands
Long-Term U.S. Government Foreign
Increase (Decrease) in Net Assets from: Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1995 March 31, 1995 September 30, 1995 March 31, 1995
(unaudited) (unaudited)
<S> <C> <C> <C> <C>
Operations
Net investment income $ 1,232 $ 1,998 $ 7,965 $ 21,377
- --------------------------------------------------- ------------------------------------ --------------------------------------
Net realized gain (loss) 3,079 (1,604) 13,356 (40,238)
- --------------------------------------------------- ------------------------------------ --------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 491 244 5,919 (184)
- --------------------------------------------------- ------------------------------------ --------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options (93) 1,086 (2,088) 3,854
- --------------------------------------------------- ------------------------------------ --------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies 0 0 108 1,398
- --------------------------------------------------- ------------------------------------ --------------------------------------
Net increase (decrease) resulting from operations 4,709 1,724 25,260 (13,793)
=================================================== ==================================== ======================================
Distributions to Shareholders
From net investment income
Institutional Class (1,232) (1,941) (7,965) 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
In excess of net investment income
Institutional Class 0 (57) 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
From net realized capital gains
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
In excess of net realized capital gains
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Tax basis return of capital
Institutional Class 0 0 0 (20,915)
- --------------------------------------------------- ------------------------------------ --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Total Distributions (1,232) (1,998) (7,965) (20,915)
=================================================== ==================================== ======================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 16,275 21,532 34,910 60,501
- --------------------------------------------------- ------------------------------------ --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Issued as reinvestment of distributions
Institutional Class 895 1,200 6,859 17,186
- --------------------------------------------------- ------------------------------------ --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Cost of shares redeemed
Institutional Class (8,599) (16,087) (58,468) (308,800)
- --------------------------------------------------- ------------------------------------ --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Net increase (decrease) resulting
from Fund share transactions 8,571 6,645 (16,699) (231,113)
- --------------------------------------------------- ------------------------------------ --------------------------------------
Total Increase (Decrease) in Net Assets 12,048 6,371 596 (265,821)
=================================================== ==================================== ======================================
Net Assets
Beginning of period 32,349 25,978 232,700 498,521
- --------------------------------------------------- ------------------------------------ --------------------------------------
End of period * $ 44,397 $ 32,349 $ 233,296 $ 232,700
- --------------------------------------------------- ------------------------------------ --------------------------------------
*Including net undistributed
(overdistributed) investment income of: $ (123) $ (122) $ (5,997) $ (5,995)
- --------------------------------------------------- ------------------------------------ --------------------------------------
</TABLE>
16
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (Cont.)
<TABLE>
<CAPTION>
Global High Yield
Increase (Decrease) in Net Assets from: Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1995 March 31, 1995 September 30, 1995 March 31, 1995
(unaudited) (unaudited)
<S> <C> <C> <C> <C>
Operations
Net investment income $ 2,680 $ 3,239 $ 19,780 $ 28,015
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net realized gain (loss) 2,042 1,494 4,292 (4,049)
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 1,976 525 13,739 2,745
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options (643) 692 (22) 22
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies (967) 603 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net increase (decrease) resulting from operations 5,088 6,553 37,789 26,733
=================================================== ==================================== ====================================
Distributions to Shareholders
From net investment income
Institutional Class (2,682) (3,206) (19,783) (28,199)
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 (1)
- --------------------------------------------------- ------------------------------------ ------------------------------------
In excess of net investment income
Institutional Class 0 (2,548) 0 (530)
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
From net realized capital gains
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
In excess of net realized capital gains
Institutional Class 0 0 0 (49)
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Tax basis return of capital
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Total Distributions (2,682) (5,754) (19,783) (28,779)
=================================================== ==================================== ====================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 19,417 43,231 132,181 220,498
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 39
- --------------------------------------------------- ------------------------------------ ------------------------------------
Issued as reinvestment of distributions
Institutional Class 2,429 5,606 18,484 27,208
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 2 1
- --------------------------------------------------- ------------------------------------ ------------------------------------
Cost of shares redeemed
Institutional Class (2,655) (13,645) (34,469) (129,324)
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 (14) 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net increase (decrease) resulting
from Fund share transactions 19,191 35,192 116,184 118,421
- --------------------------------------------------- ------------------------------------ ------------------------------------
Total Increase (Decrease) in Net Assets 21,597 35,991 134,190 116,375
=================================================== ==================================== ====================================
Net Assets
Beginning of period 76,476 40,485 336,351 219,976
- --------------------------------------------------- ------------------------------------ ------------------------------------
End of period * $ 98,073 $ 76,476 $ 470,541 $ 336,351
- --------------------------------------------------- ------------------------------------ ------------------------------------
*Including net undistributed
(overdistributed) investment income of: $ 1,197 $ 1,199 $ 1,531 $ 1,534
- --------------------------------------------------- ------------------------------------ ------------------------------------
<CAPTION>
Growth Stock StocksPLUS
Increase (Decrease) in Net Assets from: Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1995 March 31, 1995 September 30, 1995 March 31, 1995
(Unaudited) (Unaudited)
Operations
Net investment income $ 76 $ 270 $ 5,425 $ 2,841
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net realized gain (loss) 1,574 938 4,889 858
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 610 600 166 66
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 0 27 (229) 1,397
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies 0 0 (17) 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net increase (decrease) resulting from operations 2,260 1,835 10,234 5,162
=================================================== ==================================== ====================================
Distributions to Shareholders
From net investment income
Institutional Class (76) (270) (2,320) (2,257)
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
In excess of net investment income
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
From net realized capital gains
Institutional Class 0 (1,056) 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
In excess of net realized capital gains
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Tax basis return of capital
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Total Distributions (76) (1,326) (2,320) (2,257)
=================================================== ==================================== ====================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 143 954 28,945 28,147
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Issued as reinvestment of distributions
Institutional Class 75 1,314 2,311 2,257
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Cost of shares redeemed
Institutional Class (6,651) (9,861) (11,981) (1,136)
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net increase (decrease) resulting
from Fund share transactions (6,433) (7,593) 19,275 29,268
- --------------------------------------------------- ------------------------------------ ------------------------------------
Total Increase (Decrease) in Net Assets (4,249) (7,084) 27,189 32,173
=================================================== ==================================== ====================================
Net Assets
Beginning of period 15,429 22,513 46,498 14,325
- --------------------------------------------------- ------------------------------------ ------------------------------------
End of period * $ 11,180 $ 15,429 $ 73,687 $ 46,498
- --------------------------------------------------- ------------------------------------ ------------------------------------
*Including net undistributed
(overdistributed) investment income of: $ 0 $ 0 $ 4,281 $ 1,176
- --------------------------------------------------- ------------------------------------ ------------------------------------
</TABLE>
17
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Selected Per Share Data for Net Asset Net Realized Total Income Dividends Dividends in Distribution
the Year or Period Ended: Value Net and Unrealized from from Net Excess of Net from Net
Beginning of Investment Gain (Loss) on Investment Investment Investment Realized
Period Income Investments Operations Income Income Capital Gains
<S> <C> <C> <C> <C> <C> <C> <C>
Total Return Fund
Institutional Class
09/30/95 (a) $ 10.02 $ 0.38 $ 0.41 $ 0.79 $ (0.36) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/95 10.25 0.64 (0.24) 0.40 (0.56) (0.05) 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/94 10.91 0.68 (0.16) 0.52 (0.71) (0.15) (0.30)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/93 10.46 0.76 0.76 1.52 (0.76) 0.00 (0.31)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/92 10.15 0.86 0.60 1.46 (0.86) 0.00 (0.29)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/91 9.77 0.90 0.39 1.29 (0.90) 0.00 (0.01)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
Administrative Class
09/30/95 (a) 10.01 0.38 0.39 0.77 (0.34) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
09/07/94 - 03/31/95 10.00 0.31 0.06 0.37 (0.32) (0.03) 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
Total Return Fund III
09/30/95 (a) $ 8.99 $ 0.33 $ 0.33 $ 0.66 $ (0.32) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/95 9.18 0.59 (0.16) 0.43 (0.52) (0.02) 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/94 9.81 0.59 (0.03) 0.56 (0.66) (0.12) (0.20)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/93 10.31 0.64 0.75 1.39 (0.64) 0.00 (1.25)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
05/01/91 - 03/31/92 10.00 0.63 0.58 1.21 (0.63) 0.00 (0.27)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
Low Duration Fund
Institutional Class
09/30/95 (a) $ 9.76 $ 0.34 $ 0.21 $ 0.55 $ (0.34) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/95 10.04 0.65 (0.30) 0.35 (0.54) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/94 10.30 0.62 (0.16) 0.46 (0.64) (0.03) (0.05)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/93 10.20 0.75 0.22 0.97 (0.74) 0.00 (0.13)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/92 10.02 0.83 0.25 1.08 (0.82) 0.00 (0.08)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/91 9.89 0.89 0.12 1.01 (0.88) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
Administrative Class
09/30/95 (a) 9.76 0.38 0.16 0.54 (0.33) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
12/31/94 - 03/31/95 9.67 0.18 0.07 0.25 (0.14) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
Low Duration Fund II
09/30/95 (a) $ 9.77 $ 0.34 $ 0.09 $ 0.43 $ (0.33) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/95 9.94 0.62 (0.16) 0.46 (0.58) (0.03) 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/94 10.25 0.60 (0.28) 0.32 (0.58) 0.00 (0.05)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/93 10.04 0.63 0.25 0.88 (0.64) 0.00 (0.03)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
11/01/91 - 03/31/92 10.00 0.28 0.03 0.31 (0.27) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
Short-Term Fund
09/30/95 (a) $ 9.79 $ 0.36 $ 0.09 $ 0.45 $ (0.36) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/95 9.92 0.56 (0.13) 0.43 (0.55) (0.01) 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/94 10.03 0.48 (0.12) 0.36 (0.47) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/93 10.01 0.37 0.02 0.39 (0.37) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/92 10.02 0.55 0.00 0.55 (0.55) 0.00 (0.01)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/91 9.99 0.77 0.04 0.81 (0.78) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
</TABLE>
+ Annualized
(a) unaudited
(b) Ratio includes interest expense incurred due to temporary borrowing under
reverse repurchase agreements.
See Notes to Financial Statements
18
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Selected Per Share Data for
the Year or Period Ended: Distributions Tax Basis Net Asset
in Excess of Return of Total Value End Total Return
Net Realized Capital Distributions of Period
Capital Gains
<S> <C> <C> <C> <C> <C>
Total Return Fund
Institutional Class
09/30/95 (a) $ 0.00 $ 0.00 $ (0.36) $ 10.45 7.94%
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/95 0.00 (0.02) (0.63) 10.02 4.22
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/94 (0.02) 0.00 (1.18) 10.25 4.55
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/93 0.00 0.00 (1.07) 10.91 15.29
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/92 0.00 0.00 (1.15) 10.46 14.90
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/91 0.00 0.00 (0.91) 10.15 13.74
- --------------------------- ------------- ----------- ------------- ----------- ------------
Administrative Class
09/30/95 (a) 0.00 0.00 (0.34) 10.44 7.81
- --------------------------- ------------- ----------- ------------- ----------- ------------
09/07/94 - 03/31/95 0.00 (0.01) (0.36) 10.01 3.76
- --------------------------- ------------- ----------- ------------- ----------- ------------
Total Return Fund III
09/30/95 (a) $ 0.00 $ 0.00 $ (0.32) $ 9.33 7.43%
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/95 0.00 (0.08) (0.62) 8.99 4.92
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/94 (0.21) 0.00 (1.19) 9.18 5.64
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/93 0.00 0.00 (1.89) 9.81 14.47
- --------------------------- ------------- ----------- ------------- ----------- ------------
05/01/91 - 03/31/92 0.00 0.00 (0.90) 10.31 13.61+
- --------------------------- ------------- ----------- ------------- ----------- ------------
Low Duration Fund
Institutional Class
09/30/95 (a) $ 0.00 $ 0.00 $ (0.34) $ 9.97 5.75%
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/95 0.00 (0.09) (0.63) 9.76 3.60
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/94 0.00 0.00 (0.72) 10.04 4.56
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/93 0.00 0.00 (0.87) 10.30 9.91
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/92 0.00 0.00 (0.90) 10.20 11.30
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/91 0.00 0.00 (0.88) 10.02 10.60
- --------------------------- ------------- ----------- ------------- ----------- ------------
Administrative Class
09/30/95 (a) 0.00 0.00 (0.33) 9.97 5.59
- --------------------------- ------------- ----------- ------------- ----------- ------------
12/31/94 - 03/31/95 0.00 (0.02) (0.16) 9.76 2.53
- --------------------------- ------------- ----------- ------------- ----------- ------------
Low Duration Fund II
09/30/95 (a) $ 0.00 $ 0.00 $ (0.33) $ 9.87 4.47%
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/95 0.00 (0.02) (0.63) 9.77 4.80
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/94 0.00 0.00 (0.63) 9.94 3.15
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/93 0.00 0.00 (0.67) 10.25 8.95
- --------------------------- ------------- ----------- ------------- ----------- ------------
11/01/91 - 03/31/92 0.00 0.00 (0.27) 10.04 7.72+
- --------------------------- ------------- ----------- ------------- ----------- ------------
Short-Term Fund
09/30/95 (a) $ 0.00 $ 0.00 $ (0.36) $ 9.88 4.64%
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/95 0.00 0.00 (0.56) 9.79 4.46
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/94 0.00 0.00 (0.47) 9.92 3.66
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/93 0.00 0.00 (0.37) 10.03 3.94
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/92 0.00 0.00 (0.56) 10.01 5.66
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/91 0.00 0.00 (0.78) 10.02 8.44
- --------------------------- ------------- ----------- ------------- ----------- ------------
<CAPTION>
Selected Per Share Data for
the Year or Period Ended: Ratio of Net
Net Assets Ratio of Investment Portfolio
End of Period Expenses to Income to Turnover
(000's) Average Net Average Net Rate
Assets Assets
<S> <C> <C> <C> <C>
Total Return Fund
Institutional Class
09/30/95 (a) $ 9,126,049 0.40%+ 6.96%+ 104.35%
- --------------------------- ------------- ----------- ------------ -----------
03/31/95 7,239,735 0.41 6.72 98.48
- --------------------------- ------------- ----------- ------------ -----------
03/31/94 5,008,160 0.41 6.27 176.74
- --------------------------- ------------- ----------- ------------ -----------
03/31/93 3,155,441 0.43 7.07 89.95
- --------------------------- ------------- ----------- ------------ -----------
03/31/92 1,813,935 0.46 8.18 110.46
- --------------------------- ------------- ----------- ------------ -----------
03/31/91 975,619 0.49 9.10 98.68
- --------------------------- ------------- ----------- ------------ -----------
Administrative Class
09/30/95 (a) 58,779 0.68+ 6.86+ 104.35
- --------------------------- ------------- ----------- ------------ -----------
09/07/94 - 03/31/95 9,037 0.66+ 6.54+ 98.48
- --------------------------- ------------- ----------- ------------ -----------
Total Return Fund III
09/30/95 (a) $ 115,717 0.50%+ 7.04%+ 90.00%
- --------------------------- ------------- ----------- ------------ -----------
03/31/95 99,497 0.50 6.95 145.98
- --------------------------- ------------- ----------- ------------ -----------
03/31/94 97,522 0.50 6.00 95.21
- --------------------------- ------------- ----------- ------------ -----------
03/31/93 65,349 0.51 6.06 161.38
- --------------------------- ------------- ----------- ------------ -----------
05/01/91 - 03/31/92 47,908 0.60+ 6.75+ 521.14
- --------------------------- ------------- ----------- ------------ -----------
Low Duration Fund
Institutional Class
09/30/95 (a) $ 2,435,058 0.40%+ 7.02%+ 68.67%
- --------------------------- ------------- ----------- ------------ -----------
03/31/95 2,332,032 0.41 6.46 77.14
- --------------------------- ------------- ----------- ------------ -----------
03/31/94 2,298,255 0.43 6.05 42.69
- --------------------------- ------------- ----------- ------------ -----------
03/31/93 1,403,594 0.45 7.21 67.51
- --------------------------- ------------- ----------- ------------ -----------
03/31/92 906,650 0.50 8.08 37.21
- --------------------------- ------------- ----------- ------------ -----------
03/31/91 516,325 0.57 8.97 44.31
- --------------------------- ------------- ----------- ------------ -----------
Administrative Class
09/30/95 (a) 1,083 0.64+ 6.68+ 68.67
- --------------------------- ------------- ----------- ------------ -----------
12/31/94 - 03/31/95 771 0.66+ 6.93+ 77.14
- --------------------------- ------------- ----------- ------------ -----------
Low Duration Fund II
09/30/95 (a) $ 194,533 0.46%+ 6.86%+ 65.24%
- --------------------------- ------------- ----------- ------------ -----------
03/31/95 170,866 0.47 6.35 102.43
- --------------------------- ------------- ----------- ------------ -----------
03/31/94 141,411 0.50 5.73 53.78
- --------------------------- ------------- ----------- ------------ -----------
03/31/93 101,025 0.50 6.16 95.33
- --------------------------- ------------- ----------- ------------ -----------
11/01/91 - 03/31/92 31,027 0.51+ 6.80+ 12.57
- --------------------------- ------------- ----------- ------------ -----------
Short-Term Fund
09/30/95 (a) $ 94,074 0.68%+(b) 7.32%+ 93.46%
- --------------------------- ------------- ----------- ------------ -----------
03/31/95 90,114 0.50 5.67 79.30
- --------------------------- ------------- ----------- ------------ -----------
03/31/94 73,176 0.50 4.87 45.81
- --------------------------- ------------- ----------- ------------ -----------
03/31/93 46,905 0.50 3.67 54.50
- --------------------------- ------------- ----------- ------------ -----------
03/31/92 44,172 0.50 5.52 94.62
- --------------------------- ------------- ----------- ------------ -----------
03/31/91 44,820 0.50 7.83 115.26
- --------------------------- ------------- ----------- ------------ -----------
</TABLE>
19
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Selected Per Share Data for Net Asset Net Realized Total Income Dividends Dividends in Distributions
the Year or Period Ended: Value Net and Unrealized from from Net Excess of Net from Net
Beginning of Investment Gain (Loss) on Investment Investment Investment Realized
Period Income Investments Operations Income Income Capital Gains
<S> <C> <C> <C> <C> <C> <C> <C>
Long-Term U.S. Gov't Fund
09/30/95 (a) $ 9.85 $ 0.37 $ 0.97 $ 1.34 $ (0.36) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/95 9.96 0.60 (0.09) 0.51 (0.60) (0.02) 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/94 11.36 0.62 (0.06) 0.56 (1.05) (0.04) (0.70)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/93 10.82 0.70 1.66 2.36 (0.70) 0.00 (1.12)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
07/01/91 - 03/31/92 10.00 0.64 0.85 1.49 (0.64) 0.00 (0.03)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
Foreign Fund
09/30/95 (a) $ 9.38 $ 0.31 $ 0.74 $ 1.05 $ (0.33) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/95 10.18 0.38 (0.57) (0.19) 0.00 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/94 10.34 0.55 0.27 0.82 (0.55) 0.00 (0.06)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
12/03/92 - 03/31/93 10.00 0.16 0.34 0.50 (0.16) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
Global Fund
09/30/95 (a) $ 9.87 $ 0.29 $ 0.32 $ 0.61 $ (0.32) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/95 9.85 0.69 (0.14) 0.55 (0.29) (0.24) 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
11/23/93 - 03/31/94 10.00 0.16 (0.15) 0.01 (0.16) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
High Yield Fund
Institutional Class
09/30/95 (a) $ 10.42 $ 0.51 $ 0.49 $ 1.00 $ (0.51) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/95 10.52 0.99 (0.12) 0.87 (0.93) (0.02) 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/94 10.41 0.90 0.18 1.08 (0.90) 0.00 (0.07)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
12/16/92 - 03/31/93 10.00 0.24 0.41 0.65 (0.24) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
Administrative Class
09/30/95 (a) 10.41 0.53 0.47 1.00 (0.50) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
01/16/95 - 03/31/95 10.14 0.23 0.25 0.48 (0.21) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
Growth Stock Fund
09/30/95 (a) $ 13.71 $ 0.09 $ 2.30 $ 2.39 $ (0.09) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/95 13.51 0.20 1.15 1.35 (0.20) 0.00 (0.95)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/94 14.35 0.19 (0.11) 0.08 (0.19) 0.00 (0.73)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/93 13.21 0.20 1.31 1.51 (0.20) 0.00 (0.17)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/92 11.93 0.23 1.28 1.51 (0.23) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/91 10.47 0.31 1.45 1.76 (0.30) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
StocksPLUS Fund
09/30/95 (a) $ 10.48 $ 0.87 $ 1.15 $ 2.02 $ (0.44) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/95 9.52 1.03 0.69 1.72 (0.76) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
05/14/93 - 03/31/94 10.00 0.34 0.10 0.44 (0.34) (0.01) (0.10)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
</TABLE>
+ Annualized
(a) unaudited
See Notes to Financial Statements
20
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Selected Per Share Data for
the Year or Period Ended: Distributions Tax Basis Total Net Asset
in Excess of Return of Distributions Value End of Total Return
Net Realized Capital Period
Capital Gains
<S> <C> <C> <C> <C> <C>
Long-Term U.S. Gov't Fund
09/30/95 (a) $ 0.00 $ 0.00 $ (0.36) $ 10.83 13.71 %
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/95 0.00 0.00 (0.62) 9.85 5.50
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/94 (0.17) 0.00 (1.96) 9.96 4.13
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/93 0.00 0.00 (1.82) 11.36 23.42
- --------------------------- ------------- ----------- ------------- ------------ --------------
07/01/91 - 03/31/92 0.00 0.00 (0.67) 10.82 20.57 +
- --------------------------- ------------- ----------- ------------- ------------ --------------
Foreign Fund
09/30/95 (a) $ 0.00 $ 0.00 $ (0.33) $ 10.10 11.47 %
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/95 0.00 (0.61) (0.61) 9.38 (1.85)
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/94 (0.37) 0.00 (0.98) 10.18 7.79
- --------------------------- ------------- ----------- ------------- ------------ --------------
12/03/92 - 03/31/93 0.00 0.00 (0.16) 10.34 16.23 +
- --------------------------- ------------- ----------- ------------- ------------ --------------
Global Fund
09/30/95 (a) $ 0.00 $ 0.00 $ (0.32) $ 10.16 6.23 %
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/95 0.00 0.00 (0.53) 9.87 10.35
- --------------------------- ------------- ----------- ------------- ------------ --------------
11/23/93 - 03/31/94 0.00 0.00 (0.16) 9.85 0.08
- --------------------------- ------------- ----------- ------------- ------------ --------------
High Yield Fund
Institutional Class
09/30/95 (a) $ 0.00 $ 0.00 $ (0.51) $ 10.91 9.77 %
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/95 (0.02) 0.00 (0.97) 10.42 8.81
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/94 0.00 0.00 (0.97) 10.52 10.65
- --------------------------- ------------- ----------- ------------- ------------ --------------
12/16/92 - 03/31/93 0.00 0.00 (0.24) 10.41 24.43 +
- --------------------------- ------------- ----------- ------------- ------------ --------------
Administrative Class
09/30/95 (a) 0.00 0.00 (0.50) 10.91 9.75
- --------------------------- ------------- ----------- ------------- ------------ --------------
01/16/95 - 03/31/95 0.00 0.00 (0.21) 10.41 4.66
- --------------------------- ------------- ----------- ------------- ------------ --------------
Growth Stock Fund
09/30/95 (a) $ 0.00 $ 0.00 $ (0.09) $ 16.01 17.44 %
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/95 0.00 0.00 (1.15) 13.71 10.65
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/94 0.00 0.00 (0.92) 13.51 (0.48)
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/93 0.00 0.00 (0.37) 14.35 11.51
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/92 0.00 0.00 (0.23) 13.21 12.87
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/91 0.00 0.00 (0.30) 11.93 17.14
- --------------------------- ------------- ----------- ------------- ------------ --------------
StocksPLUS Fund
09/30/95 (a) $ 0.00 $ 0.00 $ (0.44) $ 12.06 19.42 %
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/95 0.00 0.00 (0.76) 10.48 18.64
- --------------------------- ------------- ----------- ------------- ------------ --------------
05/14/93 - 03/31/94 (0.47) 0.00 (0.92) 9.52 1.55
- --------------------------- ------------- ----------- ------------- ------------ --------------
<CAPTION>
Ratio of Net
Net Assets Ratio of Investment Portfolio
End of Period Expenses to Income to Turnover
(000's) Average Net Average Net Rate
Assets Assets
<S> <C> <C> <C> <C>
Long-Term U.S. Gov't Fund
09/30/95 (a) $ 44,397 0.50%+ 6.76%+ 67.41%
- --------------------------- ------------- ----------- ------------ ---------
03/31/95 32,349 0.50 6.62 88.92
- --------------------------- ------------- ----------- ------------ ---------
03/31/94 25,978 0.50 5.37 97.67
- --------------------------- ------------- ----------- ------------ ---------
03/31/93 22,946 0.50 6.16 320.08
- --------------------------- ------------- ----------- ------------ ---------
07/01/91 - 03/31/92 15,900 0.50+ 7.91+ 427.81
- --------------------------- ------------- ----------- ------------ ---------
Foreign Fund
09/30/95 (a) $ 233,296 0.54%+ 6.87%+ 477.49%
- --------------------------- ------------- ----------- ------------ ---------
03/31/95 232,700 0.47 6.44 299.45
- --------------------------- ------------- ----------- ------------ ---------
03/31/94 498,521 0.54 5.12 260.34
- --------------------------- ------------- ----------- ------------ ---------
12/03/92 - 03/31/93 178,895 0.65+ 4.97+ 122.55
- --------------------------- ------------- ----------- ------------ ---------
Global Fund
09/30/95 (a) $ 98,073 0.65%+ 6.27%+ 462.39%
- --------------------------- ------------- ----------- ------------ ---------
03/31/95 76,476 0.64 5.59 461.48
- --------------------------- ------------- ----------- ------------ ---------
11/23/93 - 03/31/94 40,485 0.50+ 4.55+ 132.41
- --------------------------- ------------- ----------- ------------ ---------
High Yield Fund
Institutional Class
09/30/95 (a) $ 470,510 0.44%+ 9.58%+ 35.92%
- --------------------------- ------------- ----------- ------------ ---------
03/31/95 336,310 0.48 9.37 77.60
- --------------------------- ------------- ----------- ------------ ---------
03/31/94 219,976 0.50 8.40 112.40
- --------------------------- ------------- ----------- ------------ ---------
12/16/92 - 03/31/93 24,069 0.50+ 8.24+ 29.74
- --------------------------- ------------- ----------- ------------ ---------
Administrative Class
09/30/95 (a) 31 0.42+ 9.70+ 35.92
- --------------------------- ------------- ----------- ------------ ---------
01/16/95 - 03/31/95 41 0.73+ 10.12+ 77.60
- --------------------------- ------------- ----------- ------------ ---------
Growth Stock Fund
09/30/95 (a) $ 11,180 0.50%+ 1.08%+ 28.78%
- --------------------------- ------------- ----------- ------------ ---------
03/31/95 15,429 0.50 1.43 89.98
- --------------------------- ------------- ----------- ------------ ---------
03/31/94 22,513 0.50 1.39 81.36
- --------------------------- ------------- ----------- ------------ ---------
03/31/93 22,907 0.53 1.53 63.91
- --------------------------- ------------- ----------- ------------ ---------
03/31/92 15,590 0.60 2.02 64.63
- --------------------------- ------------- ----------- ------------ ---------
03/31/91 4,550 0.60 2.93 93.22
- --------------------------- ------------- ----------- ------------ ---------
StocksPLUS Fund
09/30/95 (a) $ 73,687 0.65%+ 18.76%+ 70.65%
- --------------------------- ------------- ----------- ------------ ---------
03/31/95 46,498 0.50 11.89 176.98
- --------------------------- ------------- ----------- ------------ ---------
05/14/93 - 03/31/94 14,330 0.50+ 4.00+ 33.29
- --------------------------- ------------- ----------- ------------ ---------
</TABLE>
21
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Corporate Bonds and Notes 28.9%
Other 3.9%
Foreign 8.6%
Short-Term Instruments 13.7%
Mortgage-Backed Securities 55.3%
Total Return Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
Corporate Bonds and Notes - 28.9%
Banking and Finance - 13.1%
ABN - AMRO Bank
7.750% due 05/15/23 $ 200 $ 205
Associates Corp. of North America
4.500% due 02/15/96 250 249
6.875% due 01/15/97 1,000 1,008
6.125% due 02/01/98 300 300
8.800% due 08/01/98 400 426
AT&T Capital Corp.
6.300% due 07/30/96 17,500 17,545
6.990% due 10/04/96 5,000 5,047
Bancomer
8.000% due 07/07/98 3,000 2,741
8.000% due 07/07/98 4,000 3,655
Banesto
6.787% due 12/28/95 (d) 63,000 63,394
8.250% due 07/28/02 28,900 30,715
Bankers Trust
7.250% due 11/01/96 300 303
8.000% due 03/15/97 250 256
8.625% due 04/01/18 280 289
Banponce Corp.
8.170% due 12/09/96 25,000 25,522
6.438% due 03/19/97 (d) 25,000 25,044
8.040% due 11/24/97 9,000 9,260
9.600% due 10/16/98 250 271
Canadian Pacific Securities Ltd.
9.450% due 08/01/21 2,750 3,345
Capital One Bank
6.206% due 12/05/95 (d) 20,000 19,999
6.250% due 07/11/96 (d) 12,000 11,997
Chemical Banking Corp.
6.125% due 11/01/08 400 369
Chrysler Financial Corp.
8.300% due 10/04/95 20,625 20,625
8.125% due 12/15/96 13,000 13,274
5.080% due 01/24/97 5,000 4,927
8.070% due 01/30/97 4,000 4,092
8.100% due 02/03/97 31,900 32,648
7.110% due 03/21/97 2,500 2,529
10.340% due 05/15/08 1,000 1,024
Citicorp
5.700% due 02/12/96 5,100 5,095
8.750% due 11/01/96 5,000 5,103
5.938% due 07/10/97 (d) 6,000 5,980
8.750% due 02/15/98 9,000 9,473
6.000% due 05/29/98 (d) 21,600 21,490
6.750% due 05/01/04 (d) 2,964 2,979
Continental Bank Corp.
9.875% due 06/15/96 6,000 6,139
Discover Credit Corp.
8.940% due 06/27/96 4,500 4,578
8.730% due 08/15/96 22,110 22,677
Dow Capital
8.250% due 02/15/96 12,250 12,345
European Investment Bank
13.000% due 08/31/96 82 87
Farmers Group, Inc.
8.250% due 07/15/96 500 507
First Chicago Corp.
8.200% due 11/15/96 5,000 5,115
First Interstate Bancorp
12.750% due 05/01/97 1,250 1,367
6.188% due 06/25/97 (d) 5,000 5,008
8.875% due 01/01/09 420 438
9.125% due 01/01/09 29 30
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
First Security Bank
7.450% due 11/15/96 $ 34,000 $ 34,404
Ford Capital
9.125% due 04/08/96 3,250 3,297
Ford Motor Credit Corp.
7.050% due 06/17/96 (d) 200 200
8.875% due 08/01/96 21,600 22,079
4.850% due 08/30/96 85 84
7.875% due 01/15/97 1,000 1,019
9.350% due 05/14/97 1,000 1,049
5.940% due 11/09/98 17,080 16,928
General Electric Capital Corp.
5.250% due 11/15/95 525 525
8.670% due 12/15/95 1,000 1,005
8.300% due 09/20/09 150 172
General Motors Acceptance Corp.
7.500% due 10/15/95 47,135 47,153
4.600% due 10/18/95 1,000 1,000
6.000% due 11/27/95 19,000 19,015
4.750% due 12/01/95 23,000 22,950
7.300% due 12/18/95 1,500 1,506
4.875% due 01/11/96 40,000 39,889
8.750% due 02/01/96 12,000 12,102
8.650% due 04/12/96 3,000 3,042
6.050% due 04/19/96 60,000 60,044
6.750% due 05/20/96 30,000 30,146
6.700% due 05/20/96 5,000 5,023
7.750% due 07/18/96 5,000 5,065
5.930% due 07/19/96 (d) 5,000 5,004
8.250% due 08/01/96 2,000 2,034
6.250% due 08/30/96 (d) 19,500 19,506
6.363% due 10/15/96 (d) 36,000 36,090
7.875% due 11/05/96 250 255
8.000% due 12/05/96 15,000 15,309
7.750% due 12/10/96 1,000 1,018
7.875% due 02/27/97 2,000 2,044
7.625% due 02/28/97 5,000 5,095
7.875% due 03/04/97 250 256
7.250% due 03/14/97 15,000 15,213
6.700% due 04/15/97 4,100 4,129
7.250% due 05/19/97 7,500 7,618
7.125% due 05/23/97 1,000 1,014
7.100% due 07/01/97 1,700 1,723
7.850% due 11/17/97 1,000 1,031
9.625% due 12/15/01 300 341
Georgia Pacific Credit Corp.
9.850% due 06/15/97 3,000 3,158
Goldman Sachs
5.000% due 08/23/96 2,000 1,979
6.000% due 12/31/07 12,596 11,344
Great Western Bank
8.625% due 12/01/98 3,000 3,162
10.500% due 05/30/00 500 555
10.250% due 06/15/00 5,500 6,085
Heller Financial
6.450% due 02/15/97 1,625 1,628
Home Savings of America
10.500% due 06/12/97 14,550 14,817
Huntington Bank
7.750% due 07/19/96 50,000 50,675
Inter-American Development Bank
8.875% due 06/01/09 200 243
ITT Hartford
7.250% due 12/01/96 500 504
Japanese Finance Corp.
9.875% due 02/23/96 1,000 1,015
Manufacturer's Hanover Corp.
8.125% due 01/15/97 417 426
</TABLE>
22
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================
<S> <C> <C>
Maritrans Capital Corp.
9.250% due 04/01/07 $ 1,000 $ 922
Mellon Financial
6.125% due 11/15/95 20,000 20,003
Merrill Lynch & Co.
7.391% due 12/15/95 (d) 26,000 26,114
7.391% due 12/18/95 (d) 30,000 30,225
7.053% due 02/26/96 (d) 500 497
Morgan Guarantee
6.938% due 02/22/96 (d) 500 463
Morgan Stanley Group
7.790% due 02/03/97 21,000 21,395
Nationsbank Corp.
5.375% due 12/01/95 350 350
NCNB Corp.
8.500% due 11/01/96 1,000 1,022
10.500% due 03/15/99 5,000 5,093
Northern Trust
9.000% due 05/15/98 100 107
Norwest Financial, Inc.
7.250% due 11/01/95 600 601
4.970% due 10/29/96 300 296
6.500% due 11/15/97 1,500 1,509
Saferco
9.420% due 05/31/96 600 613
9.460% due 05/31/99 1,000 1,097
9.590% due 05/31/01 3,000 3,423
Salomon, Inc.
6.540% due 12/01/95 4,000 4,001
6.263% due 01/19/96 (d) 10,400 10,394
6.133% due 02/23/96 (d) 9,930 9,911
7.400% due 03/28/96 50,000 50,154
7.108% due 08/06/96 (d) 9,000 9,049
6.542% due 10/23/96 (d) 5,560 5,476
6.558% due 11/21/96 (d) 19,000 18,954
Security Pacific Corp.
5.746% due 08/15/96 (d) 4,500 4,478
6.267% due 03/25/18 (d) 215 210
Shearson Lehman
4.601% due 07/22/96 (d) 8,000 7,874
9.875% due 10/25/17 1,256 1,274
Signet Banking Corp.
6.000% due 05/15/97 (d) 1,000 1,005
6.063% due 04/15/98 (d) 1,000 1,008
9.625% due 06/01/99 6,500 7,071
Tenneco Credit Corp.
9.250% due 11/01/96 4,500 4,626
9.625% due 08/15/01 300 341
Transamerica Financial
5.511% due 04/20/99 (d) 500 487
USLife Corp.
6.750% due 01/15/98 100 101
Xerox Credit Corp.
6.250% due 01/15/96 150 150
10.125% due 04/15/99 1,500 1,530
-----------
1,202,262
Industrials - 12.1%
American Airlines Equipment Trust
10.210% due 01/01/10 6,500 7,696
9.730% due 09/29/14 275 311
American Home Products
6.875% due 04/15/97 900 909
AMR Corp.
6.875% due 11/15/95 (d) 52,950 52,959
9.760% due 01/11/96 4,000 4,031
7.470% due 01/28/97 6,500 6,561
7.750% due 12/01/97 8,000 8,168
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================
<S> <C> <C>
9.500% due 07/15/98 $ 5,500 $ 5,852
8.050% due 03/05/99 4,000 4,114
9.750% due 03/15/00 7,760 8,557
10.610% due 01/11/01 4,000 4,625
10.570% due 01/15/01 3,000 3,410
10.590% due 01/31/01 3,000 3,415
10.000% due 02/01/01 2,000 2,248
10.000% due 03/07/01 1,500 1,671
9.400% due 05/08/01 3,000 3,322
9.500% due 05/15/01 3,250 3,611
9.130% due 10/25/01 2,000 2,159
8.470% due 02/20/02 2,000 2,134
8.500% due 02/26/02 1,000 1,068
10.400% due 03/10/11 3,000 3,608
10.450% due 03/10/11 1,000 1,190
10.420% due 03/15/11 12,500 15,055
10.150% due 05/15/20 1,400 1,658
10.500% due 03/01/21 3,500 4,275
10.375% due 03/15/21 8,000 9,753
10.125% due 06/01/21 9,200 10,881
Apollo Computer, Inc.
7.250% due 02/01/11 200 199
Arkla, Inc.
9.450% due 10/15/95 2,000 2,001
8.780% due 07/19/96 5,000 5,073
8.740% due 07/19/96 15,100 15,315
8.000% due 01/15/97 1,000 1,001
9.875% due 04/15/97 52,050 54,567
9.320% due 12/15/97 1,000 1,043
8.740% due 05/14/98 3,000 3,106
9.875% due 02/15/18 5,000 5,341
Ashland Oil, Inc.
9.200% due 10/11/95 3,000 3,002
Baxter International
9.500% due 06/15/08 200 247
Beverly California Corp.
14.250% due 12/15/97 6,750 6,981
Coastal Corp.
8.750% due 05/15/99 4,300 4,565
9.750% due 08/01/03 1,000 1,147
11.750% due 06/15/06 42,050 45,256
Coca-Cola Co.
7.750% due 02/15/96 350 352
Columbia Healthcare
5.996% due 07/28/97 (d) 2,000 2,001
Deere & Co.
8.470% due 03/18/96 400 404
Delta Air Lines
8.250% due 05/15/96 6,000 6,049
7.730% due 05/14/97 8,800 8,888
9.875% due 05/15/00 3,250 3,607
8.250% due 12/27/07 500 544
9.750% due 05/15/21 500 563
Delta Air Lines Equipment Trust
9.230% due 07/02/02 8,622 8,932
9.230% due 07/02/02 8,505 8,810
10.570% due 01/02/07 15,881 18,885
10.500% due 01/02/07 8,848 10,249
9.550% due 01/02/08 7,773 8,713
10.000% due 06/05/13 10,828 12,285
Ford Motor Co.
8.180% due 06/30/96 2,829 3,000
General Motors Corp.
8.170% due 01/02/00 3,825 3,998
8.950% due 07/02/09 21,500 23,578
Maxus Energy Corp,
10.100% due 10/27/95 1,100 1,100
</TABLE>
23
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=====================================================================================================================
<S> <C> <C>
Mazda Manufacturing Corp.
10.500% due 07/01/08 $ 1,432 $ 1,815
10.500% due 07/01/08 365 462
10.500% due 07/01/08 152 192
10.500% due 07/01/08 31 40
McDermott, Inc.
9.375% due 03/15/02 1,000 1,104
Merck & Co.
7.750% due 05/01/96 1,000 1,011
Nabisco Inc.
8.000% due 01/15/00 6,500 6,808
Nafin Finance Trust
9.125% due 01/26/96 29,000 28,942
News America Holdings Corp.
12.000% due 12/15/01 2,000 2,243
8.625% due 02/01/03 750 814
Occidental Petroleum
11.750% due 03/15/11 62,877 67,362
Oryx Energy Co.
10.375% due 09/15/18 7,370 7,847
Pepsico, Inc.
7.875% due 08/15/96 250 254
5.463% due 07/01/98 (d) 400 391
7.750% due 10/01/98 500 522
Philip Morris Co.
8.750% due 12/01/96 5,000 5,136
9.800% due 12/15/98 1,747 1,758
Portland General Corp.
8.880% due 11/28/95 6,500 6,527
RJR Nabisco
7.625% due 09/01/00 6,000 6,013
8.000% due 07/15/01 30,000 30,259
Sears Roebuck & Co.
8.800% due 01/15/96 20,000 20,150
6.580% due 07/23/97 150 151
0.000% due 07/12/98 610 475
System Energy Resources
7.430% due 01/15/11 5,419 5,194
Texas Instruments
9.000% due 07/15/99 14,500 14,857
Time Warner, Inc.
7.450% due 02/01/98 1,000 1,018
6.835% due 08/15/00 51,007 51,129
7.975% due 08/15/04 30,604 31,304
8.110% due 08/15/06 76,480 78,354
8.180% due 08/15/07 115,880 118,660
9.150% due 02/01/23 7,500 8,138
8.375% due 07/15/33 62,300 63,047
Union Oil of California
9.750% due 12/01/00 400 454
United Air Lines
6.750% due 12/01/97 11,400 11,307
10.670% due 05/01/04 6,050 7,053
UAL Equipment Trust
10.360% due 11/13/12 7,000 8,006
10.020% due 03/22/14 4,500 5,040
10.125% due 03/22/15 14,300 16,311
9.060% due 06/17/15 5,000 5,178
9.210% due 01/21/17 2,000 2,103
USX Corp.
6.813% due 09/18/96 (d) 8,000 8,019
6.375% due 07/15/98 (d) 16,200 16,104
9.800% due 07/01/01 300 338
Varity Corp.
11.375% due 11/15/98 10,500 11,010
Vons
6.625% due 05/15/98 12,500 12,000
<CAPTION>
Principal
Amount Value
(000's) (000's)
====================================================================================================================
<S> <C> <C>
Wal-Mart Stores
8.000% due 05/01/96 $ 100 $ 101
-----------
1,109,044
Utilities - 3.7%
Arkansas Power & Light
10.370% due 12/22/97 3,000 3,197
Bell Atlantic Financial
6.625% due 11/30/97 400 402
Carolina Power & Light
7.900% due 12/27/96 11,000 11,229
5.375% due 07/01/98 100 98
Centel Capital Corp.
9.875% due 10/01/98 200 200
Central Maine Power Co.
4.920% due 07/22/96 8,000 7,892
5.750% due 07/22/96 9,000 8,936
6.250% due 11/01/98 1,000 962
Chesapeake & Potomac Telephone
8.000% due 10/15/29 1,125 1,245
Cincinnati Bell, Inc.
6.700% due 12/15/97 1,000 1,007
Cleveland Electric Illuminating Co.
9.375% due 03/01/17 3,000 2,840
CMS Energy
9.500% due 10/01/97 31,100 32,140
Commonwealth Edison
7.000% due 02/15/97 5,175 5,191
Consumers Power Co.
8.750% due 02/15/98 5,550 5,773
CTC Mansfield Funding
10.250% due 03/30/03 16,000 16,249
11.125% due 09/30/16 90,315 91,670
First PV Funding
8.950% due 01/15/97 286 290
10.150% due 01/15/16 14,360 14,360
GTE California
7.750% due 12/01/98 1,800 1,801
GTE Corp.
10.750% due 09/15/17 300 336
GTE Northwest
9.750% due 10/15/30 1,000 1,062
Hydro-Quebec
5.813% due 04/15/99 (d) 10,000 9,911
9.400% due 02/01/21 500 597
9.500% due 11/15/30 2,370 2,872
New England Power
6.140% due 02/02/98 500 499
Pacific Gas & Electric
6.750% due 12/01/00 9 9
Public Service of New Hampshire
15.230% due 07/01/00 3 ,550 4,144
Questar Pipeline
9.375% due 06/01/21 200 226
Southern California Edison
6.125% due 07/15/97 500 499
5.450% due 06/15/98 400 391
Southwestern Bell
5.550% due 03/10/98 1,000 986
System Energy Resources
10.500% due 09/01/96 44,700 46,088
Texas-New Mexico Power
11.250% due 01/15/97 5,500 5,754
Texas Gas Transmission Corp.
9.625% due 07/15/97 5,400 5,671
Toledo Edison Co.
6.125% due 08/01/97 200 196
8.180% due 07/30/02 1,400 1,339
</TABLE>
24
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
8.700% due 09/01/02 $ 10,000 $ 9,157
7.850% due 03/31/03 7,000 6,680
7.875% due 08/01/04 500 460
Transco Energy
9.500% due 12/01/95 8,030 8,072
Transcontinental Gas Pipeline
6.210% due 05/15/00 (d) 1,000 999
Tucson Electric Power
8.500% due 10/01/09 1,000 892
United Telecommunications
10.450% due 01/01/96 25,000 25,820
Virginia Electric & Power Co.
9.375% due 06/01/98 500 535
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/13 991 953
----------
339,630
----------
Total Corporate Bonds and Notes - 2,650,936
==========
(Cost $2,616,836)
U.S. Treasury Obligations - 0.9%
U.S. Treasury Notes
3.875% due 10/31/95 3,250 3,247
9.250% due 01/15/96 380 384
7.875% due 02/15/96 1,250 1,261
7.500% due 02/29/96 500 504
7.375% due 05/15/96 3,550 3,590
6.125% due 07/31/96 1,875 1,881
7.250% due 08/31/96 500 507
5.875% due 08/15/98 75,000 74,977
----------
Total U.S. Treasury Obligations 86,351
==========
(Cost $86,135)
U.S. Government Agencies - 0.1%
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/08 1,430 1,531
Federal Home Loan Bank
5.375% due 11/27/95 500 500
4.410% due 07/08/96 400 394
8.250% due 11/25/96 800 820
6.320% due 12/04/97 1,500 1,512
7.600% due 03/15/99 200 201
Federal Home Loan Mortgage Corp.
7.900% due 04/27/05 225 231
Federal National Mortgage Assn.
8.000% due 07/10/96 50 51
7.550% due 06/10/04 130 133
8.500% due 02/01/05 200 214
----------
Total U.S. Government Agencies 5,587
==========
(Cost $5,591)
Mortgage-Backed Securities - 55.3%
Federal Home Loan Mortgage Corporation - 3.0%
5.250% due 12/01/98 71 70
5.500% due 03/01/10 - 07/01/00 (g) 216 212
5.689% due 01/01/24 (d) 2,647 2,697
6.000% due 12/01/98 - 01/01/01 (g) 1,005 993
6.500% due 04/01/08 - 01/01/09 (g) 316 312
6.568% due 11/01/23 (d) 3,542 3,604
6.603% due 08/01/24 (d) 6,759 6,917
6.630% due 11/01/23 (d) 2,264 2,306
6.751% due 10/01/23 (d) 12,289 12,408
6.783% due 11/01/23 (d) 3,319 3,407
6.848% due 10/01/23 (d) 3,688 3,788
6.889% due 10/01/23 (d) 7,193 7,260
<CAPTION>
Principal
Amount Value
(000's) (000's)
=====================================================================================================================
<S> <C> <C>
7.000% due 12/01/03 - 06/01/10 (g) $ 735 $ 736
7.023% due 10/01/23 (d) 4,251 4,365
7.345% due 08/01/24 (d) 27,228 27,943
7.375% due 04/01/17 (d) 90 92
7.434% due 09/01/23 (d) 6,631 6,728
7.482% due 06/01/24 (d) 9,913 10,179
7.500% due 05/01/99 - 10/16/25 (g) 58,289 58,743
7.577% due 06/01/28 (d) 15,646 16,078
7.614% due 07/01/23 (d) 6,800 6,891
7.625% due 01/01/19 (d) 29 30
7.691% due 10/01/23 (d) 11,551 11,925
7.703% due 11/01/23 (d) 9,049 9,352
7.742% due 09/01/23 (d) 15,509 15,877
7.750% due 04/01/07 - 06/01/17 (g) 164 167
7.766% due 08/01/23 (d) 7,066 7,222
7.789% due 09/01/23 (d) 10,700 10,925
7.855% due 08/01/23 (d) 3,890 3,988
7.940% due 07/01/23 (d) 3,043 3,115
8.000% due 10/01/07 - 05/01/17 (g) 5,680 5,801
8.211% due 07/01/22 (d) 6,851 7,130
8.250% due 08/01/07 - 02/01/08 (g) 210 215
8.500% due 09/01/01 - 06/01/17 (g) 2,149 2,219
8.750% due 01/01/07 - 09/01/10 (g) 1,198 1,233
9.000% due 01/01/02 - 05/01/17 (g) 2,353 2,447
9.250% due 06/01/09 - 08/01/09 (g) 295 310
9.500% due 06/01/02 - 06/01/21 (g) 6,561 6,890
10.000% due 06/01/04 - 12/01/05 (g) 2,046 2,148
10.250% due 04/01/09 - 05/01/09 (g) 3,763 4,077
11.000% due 12/01/99 - 07/01/19 (g) 2,558 2,815
11.250% due 10/01/09 - 09/01/15 (g) 233 255
11.500% due 03/01/00 22 23
12.500% due 07/01/99 20 22
13.250% due 10/01/13 87 99
14.000% due 04/01/16 60 69
15.500% due 08/01/11 - 11/01/11 (g) 36 42
16.250% due 05/01/11 - 11/01/11 (g) 37 43
----------
274,168
Federal Housing Administration - 0.8%
5.250% due 02/01/03 379 354
7.211% due 12/01/21 4,039 4,060
7.375% due 03/01/19 - 07/01/21 (g) 5,525 5,657
7.399% due 02/01/21 2,886 2,927
7.430% due 03/01/17 - 05/01/23 (g) 56,539 57,622
7.650% due 11/01/18 378 388
----------
71,008
Federal National Mortgage Association - 5.2%
5.537% due 12/01/23 (d) 7,183 7,332
5.630% due 01/01/24 (d) 4,040 4,090
5.789% due 11/01/23 (d) 7,317 7,470
5.882% due 11/01/23 (d) 3,226 3,274
5.912% due 01/01/24 (d) 14,959 15,158
5.913% due 12/01/23 (d) 11,618 11,778
6.000% due 03/01/24 2,700 2,541
6.025% due 06/01/24 (d) 26,336 26,726
6.153% due 01/01/24 (d) 3,140 3,211
6.235% due 04/01/25 (d) 18,750 19,175
6.330% due 09/01/24 (d) 7,240 7,316
6.375% due 03/01/18 84 84
6.424% due 07/01/28 (d) 6,867 6,920
6.426% due 02/01/28 (d) 34,725 34,998
6.428% due 10/01/28 (d) 45,722 46,081
6.429% due 09/01/27 - 05/01/28 (d)(g) 63,492 64,002
6.500% due 10/01/05 - 04/01/08 (g) 588 582
6.516% due 09/01/24 (d) 7,619 7,805
6.526% due 12/01/23 (d) 14,497 14,930
6.559% due 07/01/24 (d) 49,790 50,710
</TABLE>
25
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
====================================================================================================================
<S> <C> <C>
6.627% due 05/01/24 (d) $ 12,901 $ 13,243
6.648% due 10/01/19 (d) 3,632 3,706
6.680% due 04/01/25 (d) 8,519 8,740
6.745% due 12/01/24 (d) 9,679 9,988
6.750% due 08/01/03 1,125 1,116
6.910% due 06/01/24 (d) 4,926 5,099
6.951% due 01/01/25 (d) 11,028 11,388
7.000% due 04/01/01 - 01/01/24 (g) 1,533 1,532
7.250% due 05/01/02 - 01/01/23 (g) 12,434 12,294
7.313% due 07/01/25 (d) 17,204 17,688
7.429% due 05/25/22 (d) 2,363 2,445
7.716% due 09/01/23 (d) 12,981 13,319
7.750% due 06/01/09 287 292
7.833% due 10/01/23 (d) 7,773 7,989
7.919% due 08/01/23 (d) 4,733 4,881
8.000% due 09/01/04 - 04/01/18 (g) 3,044 3,122
8.250% due 11/01/04 - 02/01/17 (g) 1,787 1,839
8.500% due 07/01/01 - 01/01/12 (g) 10,926 11,310
9.000% due 01/01/99 - 04/01/17 (g) 4,447 4,663
9.500% due 03/01/16 77 82
9.750% due 11/01/08 207 224
10.500% due 12/01/16 - 04/01/22 (g) 1,848 2,034
13.000% due 09/01/13 101 116
13.250% due 09/01/11 33 38
14.500% due 09/01/11 - 12/01/12 (g) 119 138
14.750% due 08/01/12 - 11/01/14 (g) 656 765
15.500% due 10/01/12 - 12/01/12 (g) 58 68
15.750% due 12/01/11 - 08/01/12 (g) 327 383
16.000% due 09/01/12 388 452
---------
473,137
Government National Mortgage Association - 20.0%
5.650% due 05/15/17 87 90
6.000% due 04/15/17 - 09/15/18 (g) 4,758 4,916
6.500% due 09/15/02 - 12/19/25 (g) 826,533 799,010
6.500% due 10/20/23 (d) 27,398 27,436
7.000% due 02/15/05 - 10/19/25 (g) 211,616 211,002
7.000% due 01/20/23 - 10/20/14 (d)(g) 83,148 84,613
7.375% due 10/15/06 - 01/15/12 (g) 191 202
7.500% due 07/15/03 - 05/20/25 (g) 22,966 23,363
7.500% due 09/20/22 (d) 5,377 5,439
8.000% due 09/15/98 - 03/20/25 (g) 156,348 158,949
8.000% due 09/20/24 - 06/20/25 (d)(g) 234,397 239,031
8.250% due 10/15/01 - 08/20/24 (g) 43,538 44,139
8.250% due 06/20/24 (d) 76,152 77,985
8.500% due 07/15/03 - 11/15/22 (g) 2,043 2,136
8.500% due 04/20/24 (d) 12,633 12,880
8.750% due 08/15/06 - 07/15/17 (g) 223 230
9.000% due 09/15/01 - 06/20/25 (g) 75,484 76,758
9.250% due 11/15/05 - 06/15/17 (g) 504 521
9.500% due 12/15/01 - 11/15/23 (g) 5,609 5,766
9.500% due 04/20/25 (d) 4,787 4,884
9.750% due 04/15/05 - 07/15/17 (g) 6,229 6,437
9.750% due 07/20/22 (d) 7,886 7,978
10.000% due 03/15/01 - 10/15/23 (g) 2,204 2,301
10.000% due 06/20/25 (d) 18,692 19,072
10.250% due 10/15/12 11 13
10.500% due 05/15/17 294 303
10.750% due 03/15/17 - 05/15/17 (g) 95 98
11.000% due 11/15/12 10 11
11.250% due 08/15/05 5 5
11.500% due 05/15/13 - 03/15/24 (g) 57 60
12.000% due 12/15/01 - 02/15/21 (g) 986 1,025
12.000% due 11/20/23 - 07/20/24 (d)(g) 15,878 16,196
12.500% due 11/15/01 159 166
13.000% due 06/15/06 - 06/15/17 (g) 296 307
13.250% due 05/15/04 161 175
13.500% due 04/15/07 - 05/15/21 (g) 764 782
<CAPTION>
Principal
Amount Value
(000's) (000's)
====================================================================================================================
<S> <C> <C>
14.500% due 04/15/17 $ 335 $ 346
15.000% due 05/15/17 - 06/15/17 (g) 486 502
16.000% due 11/15/11 - 12/15/23 (g) 600 597
17.000% due 06/15/21 - 04/15/05 (g) 2,153 2,287
------------
1,838,011
Collateralized Mortgage Obligations - 22.6%
AFC Home Equity Loan Trust
6.614% due 10/25/26 33,336 33,482
American Housing
9.000% due 01/25/21 3,635 3,740
American Southwest Financial
12.250% due 11/01/14 117 132
9.450% due 03/01/15 1,563 1,575
12.500% due 04/01/15 1,292 1,435
12.000% due 05/01/15 2,418 2,720
11.400% due 09/01/15 1,722 1,798
10.500% due 11/20/15 2,317 2,328
Bear Stearns
9.200% due 11/01/18 81 84
9.500% due 06/25/23 2,296 2,416
6.719% due 10/25/23 (d) 12,731 12,743
10.000% due 08/25/24 15,018 16,281
Capstead
8.400% due 01/25/21 15,488 15,585
8.750% due 07/25/21 10,000 10,306
Centex Acceptance Corp.
11.000% due 11/01/15 466 468
Chase Mortgage Financial Corp.
9.500% due 04/25/24 2,707 2,760
8.000% due 06/25/24 1,218 1,229
7.000% due 07/25/24 137 136
7.500% due 10/25/24 115 115
7.750% due 01/25/25 142 141
Citicorp Mortgage
9.500% due 07/25/04 221 226
9.500% due 08/25/05 5,966 5,410
8.500% due 04/25/06 77 77
9.500% due 04/01/14 60 60
9.500% due 07/01/16 1,006 1,045
9.000% due 12/01/16 839 847
8.500% due 02/01/17 483 484
8.500% due 04/01/17 490 495
9.000% due 04/25/17 2,375 2,445
9.000% due 05/01/17 5,317 5,472
10.000% due 05/25/17 309 309
8.000% due 07/25/18 155 157
9.500% due 01/01/19 3,788 3,926
9.500% due 09/25/19 250 255
9.500% due 10/25/19 292 292
8.750% due 03/25/20 5 5
9.500% due 09/25/20 2,094 2,143
7.750% due 04/25/21 1,285 1,283
6.000% due 08/25/21 957 946
7.700% due 10/25/22 (d) 26,236 26,744
CMC Securities Corp.
7.254% due 09/25/23 25,109 25,344
CMO Trust
10.200% due 02/01/16 1,129 1,198
8.800% due 05/25/16 10,521 10,947
8.000% due 01/01/17 392 399
Collateralized Mortgage Securities Corp.
11.875% due 04/01/15 3,256 3,547
11.450% due 09/01/15 96 106
11.450% due 11/01/15 589 647
10.200% due 04/20/17 604 646
8.000% due 08/20/18 17 17
8.750% due 04/20/19 1,756 1,819
</TABLE>
26
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
Countrywide
6.571% due 07/25/24 (d) $ 26,880 $ 27,292
Drexel Mortgage Funding
9.500% due 11/20/17 2,274 2,397
8.600% due 03/01/18 1,453 1,485
9.500% due 08/01/19 50 52
Federal Home Loan Mortgage Corp.
8.550% due 03/15/96 8 8
8.125% due 09/30/96 1,000 1,021
8.500% due 03/15/97 89 89
7.000% due 06/15/97 595 596
4.500% due 11/15/04 495 495
8.750% due 10/15/05 115 116
10.750% due 11/30/05 2,305 2,375
6.500% due 08/15/06 710 708
9.000% due 09/15/08 67 67
10.250% due 03/15/09 44 47
4.750% due 09/15/09 500 495
4.750% due 07/15/10 382 379
4.750% due 03/15/12 500 491
8.500% due 08/15/13 2,000 2,126
8.500% due 09/15/13 5,941 6,316
11.000% due 11/30/15 8,850 9,882
6.210% due 08/15/17 345 339
6.250% due 10/25/17 20,167 20,734
9.500% due 01/15/19 2,078 2,130
8.250% due 05/15/19 7,217 7,260
6.500% due 05/15/19 615 602
8.500% due 10/15/19 2,732 2,783
9.000% due 11/15/19 457 460
9.000% due 11/15/19 9,894 10,101
10.000% due 11/15/19 250 270
8.500% due 01/15/20 6,105 6,203
8.500% due 03/15/20 3,000 3,064
9.300% due 03/15/20 200 204
9.000% due 05/15/20 461 467
9.125% due 06/15/20 6,465 6,658
5.750% due 08/15/20 300 285
7.800% due 09/15/20 12,658 12,939
9.000% due 09/15/20 232 241
5.500% due 10/15/20 200 181
8.750% due 10/15/20 500 513
9.500% due 11/15/20 18,723 19,564
6.000% due 12/15/20 400 377
8.750% due 12/15/20 1,265 1,337
9.000% due 12/15/20 7,272 7,634
9.000% due 12/15/20 1,378 1,492
8.000% due 03/15/21 16,398 17,027
8.500% due 05/15/21 73 74
8.500% due 06/15/21 28,666 30,046
6.950% due 07/15/21 700 685
9.000% due 07/15/21 4,214 4,406
9.500% due 07/15/21 5,798 6,745
6.950% due 08/15/21 185 180
8.000% due 08/15/21 23,472 23,978
7.500% due 11/15/21 3,500 3,564
9.000% due 11/15/21 4,076 4,157
6.850% due 01/15/22 700 681
7.000% due 07/15/22 374 346
7.500% due 07/15/23 5,706 5,284
7.250% due 10/25/23 (d) 45,871 46,559
4.677% due 11/25/23 (d) 12,574 7,036
4.875% due 11/25/23 (d) 13,117 7,387
6.500% due 02/15/24 71 67
Federal National Mortgage Assn.
9.100% due 02/25/02 10,598 10,844
6.500% due 08/25/03 270 259
5.750% due 12/25/03 175 172
6.000% due 07/25/07 300 290
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
6.702% due 08/25/07 (d) $ 126 $ 95
7.000% due 02/25/08 1,189 1,157
10.500% due 08/25/08 7,146 7,902
6.400% due 09/25/14 1,156 1,150
8.500% due 10/25/14 297 301
10.000% due 12/25/14 2,837 2,946
7.000% due 04/25/15 4,787 4,803
7.500% due 08/25/16 11,556 11,599
8.350% due 09/25/16 18 18
9.670% due 01/25/17 1,149 1,192
9.200% due 12/25/17 2,952 3,039
9.300% due 05/25/18 3,347 3,523
9.500% due 06/25/18 1,588 1,680
5.500% due 07/25/18 220 211
8.500% due 07/25/18 700 708
7.750% due 10/25/18 300 305
9.500% due 11/25/18 11,139 12,449
7.500% due 01/25/19 4,300 4,308
6.625% due 06/25/19 129 129
9.500% due 06/25/19 6,813 7,231
8.000% due 10/25/19 16,182 16,522
8.800% due 12/25/19 5,168 5,175
9.000% due 12/25/19 18,421 19,506
7.500% due 12/25/19 200 203
8.500% due 01/25/20 87 87
7.500% due 05/25/20 8,000 8,131
10.000% due 06/25/20 3,374 3,745
8.000% due 07/25/20 350 356
9.000% due 09/25/20 6,263 6,719
8.000% due 12/25/20 400 410
8.750% due 01/25/21 9,538 9,812
7.500% due 02/25/21 24,864 25,003
7.500% due 03/25/21 20,919 21,286
7.250% due 04/25/21 8,960 8,967
7.500% due 06/25/21 320 326
8.000% due 10/25/21 22,430 23,041
6.000% due 12/25/21 200 186
8.000% due 01/25/22 21,700 22,479
8.000% due 03/25/22 837 837
7.000% due 07/25/22 8,301 8,001
8.000% due 07/25/22 2,574 2,631
6.750% due 10/25/23 427 376
6.500% due 11/25/23 170 158
8.400% due 04/25/25 19,567 19,726
First Boston Corp.
9.450% due 08/20/17 70 71
7.500% due 04/25/21 2,625 2,622
General Electric Capital Mortgage
9.500% due 04/25/21 120 120
6.500% due 01/25/24 6,979 6,953
Georgia Federal Mortgage
10.500% due 11/01/14 3,344 3,476
Greenwich
7.451% due 04/25/22 (d) 5,190 5,207
7.456% due 10/25/22 (d) 665 668
7.513% due 04/25/23 (d) 8,316 8,379
7.670% due 01/25/24 (d) 5,760 5,805
7.489% due 04/25/24 (d) 23,039 23,407
6.843% due 06/25/24 (d) 34,833 35,616
7.506% due 08/25/24 (d) 43,088 44,367
7.073% due 11/25/24 (d) 29,162 29,955
7.422% due 04/25/25 (d) 12,991 13,381
7.688% due 07/25/25 (d) 16,930 16,993
Home Savings of America
10.000% due 07/01/09 54 57
</TABLE>
27
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
Independent National Mortgage Corp.
9.000% due 12/25/19 $ 39,772 $ 40,620
6.650% due 10/25/24 2,723 2,563
7.805% due 11/25/24 (d) 25,197 25,748
7.569% due 07/25/25 (d) 65,719 67,116
7.673% due 07/25/25 (d) 80,741 81,952
International Mortgage Acceptance Corp.
12.250% due 03/01/14 1,133 1,231
J.P. Morgan & Co.
9.000% due 10/20/20 11,344 12,197
Kidder Peabody
8.390% due 05/20/18 (d) 687 694
7.006% due 03/25/24 (d) 59,120 59,674
6.970% due 03/25/24 (d) 20,000 19,925
Lomas Mortgage Funding Corp.
9.700% due 11/20/18 3,111 3,152
Marine Midland
8.000% due 04/25/23 185 183
8.000% due 10/25/23 350 335
Merrill Lynch Mortgage
9.250% due 12/15/09 107 113
9.470% due 04/27/18 (d) 91 93
8.170% due 04/25/23 (d) 25,370 26,131
Manufacturers Housing Mortgage P.C.
13.250% due 01/01/99 381 405
Manufacturers Housing Mortgage P.C.
13.250% due 01/15/99 179 191
Morgan Stanley Mortgage
8.971% due 10/22/15 6,370 6,446
7.850% due 08/20/18 124 124
8.150% due 07/20/21 22 22
Mortgage Bankers
9.900% due 03/01/18 4,165 4,418
Nomura Asset Securities Corp.
6.579% due 05/25/24 (d) 25,027 25,262
Norwest Mortgage
12.500% due 02/01/14 1,680 1,803
12.250% due 04/01/14 180 198
PaineWebber Mortgage
6.000% due 04/25/09 11,951 10,682
Prudential Bache
6.394% due 09/01/18 (d) 902 907
9.000% due 01/01/19 540 561
8.400% due 03/20/21 4,372 4,400
Prudential Home
9.500% due 11/25/97 580 579
7.000% due 04/25/99 542 542
7.500% due 05/25/08 3,854 3,857
6.900% due 03/25/23 2,000 1,996
7.000% due 04/25/23 10,442 10,420
Prudential Securities
7.500% due 03/25/19 1,947 1,946
PSB Financial Corp.
11.050% due 12/01/15 1,921 2,042
Residential Asset Securities Corp.
8.000% due 10/01/24 28,391 28,533
Residential Funding
8.086% due 02/25/07 (d) 209 211
7.000% due 08/25/08 26,366 26,203
6.500% due 09/25/08 7,000 6,508
8.500% due 05/01/17 274 283
9.000% due 01/01/20 3,297 3,365
8.500% due 02/25/21 6,348 6,360
8.000% due 01/25/23 10,000 10,063
10.000% due 09/25/23 2,510 2,605
Resolution Trust Corp.
6.888% due 12/15/04 (d) 831 834
7.500% due 12/15/04 3,000 3,009
7.743% due 02/25/20 (d) 765 535
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
7.512% due 09/25/20 (d) $ 20,000 $ 3,300
5.922% due 01/25/21 (d) 1,755 1,689
6.425% due 04/25/21 (d) 3,033 3,052
8.590% due 06/25/21 (d) 12,420 12,424
8.720% due 08/25/21 (d) 260 268
8.722% due 08/25/21 (d) 2,084 2,083
8.722% due 08/25/21 (d) 13,329 13,820
8.722% due 08/25/21 (d) 8,000 8,190
8.230% due 09/25/21 (d) 10,066 10,101
5.970% due 10/25/21 (d) 1,108 1,099
7.000% due 10/25/21 (d) 1,823 1,929
8.144% due 10/25/21 (d) 460 465
8.625% due 10/25/21 300 305
7.648% due 01/25/22 (d) 4,968 5,038
7.778% due 03/25/22 (d) 6,690 6,776
8.475% due 05/25/22 (d) 5,214 5,408
7.075% due 06/25/23 (d) 14,870 14,954
7.900% due 06/25/23 191 193
7.500% due 08/25/23 727 717
8.835% due 12/25/23 (d) 12,208 12,430
9.450% due 05/25/24 (d) 19,693 20,303
10.611% due 05/25/24 (d) 9,558 9,982
8.150% due 06/25/24 (d) 179 183
6.875% due 07/25/24 (d) 9,947 10,019
8.000% due 07/25/24 5,217 5,209
7.000% due 10/25/24 657 654
7.100% due 12/25/24 (d) 1,500 1,464
7.050% due 03/25/25 (d) 1,240 1,238
7.750% due 03/25/25 5,000 5,086
8.750% due 05/25/26 4,470 4,470
7.445% due 10/25/28 (d) 43,990 44,637
7.458% due 10/25/28 (d) 23,032 23,443
7.500% due 10/25/28 16,644 16,685
6.941% due 05/25/29 (d) 8,191 8,264
7.584% due 05/25/29 9,781 9,752
7.657% due 05/25/29 (d) 10,185 10,252
Ryland Acceptance Corp.
8.650% due 05/15/00 (d) 8,094 8,071
9.450% due 10/01/16 (d) 327 345
9.000% due 12/01/16 1,198 1,246
11.500% due 12/25/16 419 420
8.174% due 07/25/22 (d) 42,000 42,630
8.454% due 08/25/22 (d) 5,803 5,894
8.000% due 09/25/22 10,183 10,240
8.200% due 09/25/22 100 103
7.711% due 08/25/29 (d) 15,145 15,358
14.000% due 11/25/31 3,280 3,643
Salomon Mortgage
11.500% due 09/01/15 3,004 3,296
7.816% due 11/25/22 (d) 3,594 3,609
7.238% due 07/01/24 (d) 45,792 46,494
Santa Barbara Savings
9.500% due 11/20/18 8,542 8,724
Saxon
8.150% due 09/25/22 (d) 7,753 7,898
7.959% due 08/25/23 (d) 81,103 82,320
Sears Mortgage
9.250% due 12/01/16 4,374 4,584
7.355% due 06/25/22 (d) 1,698 1,699
Sears Mortgage
12.000% due 02/25/14 2,343 2,580
8.548% due 05/25/32 (d) 26,140 27,136
SKW Realty L.P.
9.050% due 04/15/04 1,000 1,001
UBS Mortgage
9.000% due 11/27/19 13,292 13,429
----------
2,077,972
</TABLE>
28
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
Other Mortgage-Backed Securities - 3.2%
Bank of America
8.375% due 05/01/07 $ 5 $ 5
9.000% due 03/01/08 151 157
9.000% due 04/05/08 43 45
9.000% due 05/01/08 12 13
9.500% due 07/01/08 72 72
11.875% due 04/01/10 16 17
Daiwa Mortgage
7.750% due 09/25/06 (d) 4,771 4,876
Donaldson, Lufkin & Jenrette
7.532% due 08/01/21 (d) 11,747 11,821
7.932% due 12/25/22 (d) 4,548 4,631
7.532% due 03/25/24 (d) 4,732 4,803
First Boston Corp.
8.000% due 12/01/00 162 163
First Commonwealth Savings & Loan
10.375% due 04/01/05 25 26
General American Capital Corp.
6.594% due 07/28/18 (d) 10,312 9,899
General Electric Credit Corp.
8.000% due 03/01/02 300 305
Glendale Federal Savings & Loan
7.485% due 03/01/28 (d) 15,792 15,697
Great Western
6.270% due 09/25/17 (d) 309 302
Guardian
6.772% due 12/25/18 (d) 962 827
7.456% due 02/01/19 (d) 1,091 939
7.647% due 05/01/19 (d) 126 108
Home Savings of America
6.040% due 05/25/27 (d) 282 276
Imperial Savings & Loan
10.000% due 09/01/16 409 431
8.800% due 01/25/17 229 231
9.800% due 07/25/17 786 795
LTC Commercial Corp.
7.100% due 11/28/12 6,203 6,149
MDC Mortgage Funding
6.915% due 01/25/25 (d) 24,710 25,265
Mid-State Trust
8.330% due 04/01/30 39,316 40,519
OSCC Home Equity
6.950% due 05/15/07 234 233
PaineWebber Mortgage
7.412% due 11/25/23 (d) 4,059 4,168
Rural Housing
3.330% due 04/01/26 937 836
Ryland Acceptance Corp.
7.665% due 11/20/22 (d) 7,000 7,120
7.874% due 09/25/23 29,726 30,172
Saxon
7.845% due 12/25/22 (d) 33,553 33,987
7.530% due 12/25/24 (d) 25,370 25,811
Sears Mortgage
8.000% due 03/25/22 5,535 5,570
7.592% due 10/25/22 (d) 10,238 10,311
Securitized Asset Sales, Inc.
7.725% due 10/25/23 (d) 17,061 17,322
8.329% due 12/26/23 (d) 15,714 16,111
Structured Asset Securities Corp.
9.250% due 07/01/19 200 199
USGI Capital
8.500% due 11/25/07 12,822 13,343
Western Federal Savings & Loan
6.814% due 11/25/18 (d) 581 576
6.979% due 03/25/19 (d) 3,533 3,512
----------
297,643
<CAPTION>
Principal
Amount Value
(000's) (000's)
=====================================================================================================================
<S> <C> <C>
Stripped Mortgage-Backed Securities - 0.5%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 12/15/02 $ 217 $ 13
10.038% due 09/15/05 (d) 136 19
6.500% due 03/15/07 17,954 1,728
5.750% due 09/15/07 (d) 24,482 1,561
5.428% due 02/15/08 (d) 1,553 153
6.500% due 10/15/08 22,052 3,011
11.651% due 01/15/16 (d) 139 23
6.500% due 08/15/16 14,269 1,434
7.000% due 04/15/18 12,647 1,264
9.993% due 11/15/18 300 75
8.845% due 01/15/21 880 231
9.000% due 05/01/22 409 118
7.000% due 06/15/23 25,126 4,902
Federal National Mortgage Assn. (IO)
6.500% due 04/25/99 3,001 25
33.862% due 04/25/02 145 16
6.750% due 09/25/04 613 45
7.000% due 06/25/05 241 15
10.458% due 07/25/05 7,956 909
6.500% due 07/25/06 21,975 2,188
6.500% due 07/25/07 4,414 464
6.500% due 09/25/07 25,044 2,599
6.500% due 10/25/07 6,089 762
0.100% due 03/25/09 (d) 86,165 1,988
7.000% due 08/25/15 13,153 1,362
6.500% due 08/25/20 2,666 725
10.070% due 01/25/21 (d) 259 64
9.032% due 08/25/21 (d) 4,676 873
0.950% due 11/25/21 (d) 90,023 1,844
6.500% due 01/25/23 14,698 1,995
Federal National Mortgage Assn. (PO)
0.000% due 09/01/07 1,954 1,450
0.000% due 02/25/21 10,670 8,726
0.000% due 07/25/23 5,057 4,910
0.000% due 08/25/23 525 282
PaineWebber (IO)
13.595% due 08/01/19 536 200
----------
45,974
----------
Total Mortgage-Backed Securities - 5,077,913
(Cost $5,057,502) ==========
Asset-Backed Securities - 0.0%
Discover Card Trust
7.300% due 05/21/99 200 202
National Credit Card Trust
9.450% due 12/31/97 400 408
Standard Credit Card Master Trust
7.250% due 04/07/08 300 311
----------
Total Asset-Backed Securities 921
(Cost $940) ==========
Sovereign Issues - 2.8%
Banco Nacional de Obra y Servicios
10.750% due 08/16/96 1,500 1,515
6.875% due 10/01/98 19,500 17,550
Cemex
8.875% due 06/10/98 5,000 4,719
Kingdom of Sweden
10.250% due 11/01/15 500 642
Municipal Finance Authority of
British Columbia
13.750% due 12/01/05 1,305 1,387
Petroleos Mexicanos
8.750% due 03/05/97 3,500 3,491
</TABLE>
29
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
Province of Newfoundland
9.000% due 06/01/19 $ 500 $ 587
Province of Nova Scotia
9.375% due 07/15/02 1,000 1,143
Province of Ontario
7.750% due 06/04/02 200 213
Province of Quebec
7.500% due 07/15/02 6,000 6,226
Province of Saskatchewan
9.125% due 02/15/21 3,000 3,570
Republic of Argentina
5.875% due 09/01/97 (d) 4,700 2,077
7.394% due 03/31/05 (d) 104,000 64,480
7.313% due 03/31/05 (d) 5,000 3,100
5.000% due 03/31/23 40,000 19,200
United Mexican States
6.250% due 12/31/19 89,000 53,734
7.219% due 12/31/19 (d) 30,000 21,038
6.875% due 12/31/19 (d) 59,000 41,374
7.188% due 12/31/19 (d) 20,000 14,025
6.969% due 12/31/19 (d) 2,000 1,403
----------
Total Sovereign Issues 261,474
==========
(Cost $281,815)
Foreign Currency-Denominated Issues (c)(f) - 8.6%
Canadian National Railroad
13.000% due 11/15/04 C$ 15,112 11,995
12.250% due 05/01/05 35,693 28,211
City of Montreal
11.500% due 09/20/00 7,000 5,974
Commonwealth of Canada
9.000% due 12/01/04 117,500 94,666
8.750% due 12/01/05 451,000 359,321
Petroleos Mexicanos
7.750% due 09/30/98 FF 5,000 940
Republic of Germany
6.250% due 01/04/24 DM 465,900 280,732
RJR Nabisco
6.875% due 11/22/00 9,500 6,608
----------
Total Foreign Currency-Denominated Issues 788,447
==========
(Cost $775,777)
OTC Interest Rate Caps - 0.0%
3 Month LIBOR
Strike @ 87.00 Exp. 12/20/95 $ 1,000,000 19
Strike @ 88.00 Exp. 03/20/96 5,000,000 25
Strike @ 88.00 Exp. 03/20/96 4,891,000 259
----------
Total OTC Interest Rate Caps 303
==========
(Cost $303)
Purchased CME Put Options - 0.0%
Eurodollar December Futures
Strike @ 90.00 Exp. 12/18/95 650,000 16
----------
Total Purchased CME Put Options 16
==========
(Cost $20)
Preferred Stock - 0.1%
Shares
Banco Bilbao Vizcaya International 266,000 7,121
Cleveland Electric Illuminating Co. 6,000 581
----------
Total Preferred Stock 7,702
==========
(Cost $7,623)
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
Short-Term Instruments - 13.7%
Discount Notes - 12.1%
Abbott Laboratories
5.690% due 10/11/95 $ 8,000 $ 7,988
5.690% due 10/12/95 19,000 18,969
6.030% due 10/17/95 8,000 7,980
5.730% due 10/19/95 44,400 44,280
Associates Corp. of North America
5.650% due 10/04/95 60,000 59,981
5.690% due 11/16/95 6,700 6,651
5.690% due 11/17/95 37,000 36,731
5.680% due 11/22/95 11,500 11,407
5.680% due 11/27/95 12,250 12,142
5.700% due 11/28/95 600 594
5.700% due 11/29/95 1,500 1,485
5.680% due 12/04/95 12,000 11,869
AT&T Corp.
6.040% due 10/03/95 14,500 14,497
5.690% due 10/20/95 900 897
5.630% due 10/27/95 4,400 4,383
5.700% due 10/31/95 2,400 2,389
5.650% due 11/03/95 6,000 5,970
5.640% due 11/21/95 45,000 44,647
5.640% due 11/21/95 1,000 992
5.640% due 11/22/95 27,900 27,677
5.670% due 12/08/95 6,000 5,932
Coca-Cola Co.
5.870% due 10/11/95 100 100
Commonwealth Bank
5.630% due 10/13/95 26,500 26,453
E.I. Du Pont de Nemours
5.640% due 10/03/95 1,600 1,600
5.840% due 10/03/95 5,200 5,198
6.030% due 10/03/95 11,100 11,098
6.050% due 10/10/95 24,900 24,866
6.050% due 10/10/95 5,900 5,892
6.060% due 01/03/96 22,300 21,952
6.090% due 01/09/96 15,000 14,752
6.070% due 01/11/96 16,000 15,731
Electricite de France
5.630% due 10/10/95 25,000 24,969
Eli Lilly & Co.
5.660% due 12/06/95 4,000 3,955
6.050% due 01/09/96 2,000 1,967
6.080% due 01/09/96 9,500 9,343
5.610% due 01/09/96 9,300 9,151
Federal Home Loan Bank
5.630% due 12/08/95 1,000 988
Federal Home Loan Mortgage Corp.
5.610% due 11/07/95 1,050 1,044
Federal National Mortgage Assn.
5.570% due 10/16/95 4,465 4,455
5.600% due 10/17/95 11,000 10,974
5.570% due 10/18/95 5,505 5,491
5.580% due 10/23/95 100 99
5.580% due 10/23/95 2,100 2,093
5.610% due 10/26/95 3,700 3,686
5.600% due 10/27/95 940 936
5.600% due 11/02/95 2,900 2,885
General Electric Capital Corp.
6.500% due 10/02/95 25,400 25,400
5.800% due 10/05/95 8,000 7,996
5.690% due 10/24/95 6,000 5,978
5.840% due 10/25/95 2,300 2,291
Commonwealth of Canada
5.950% due 10/17/95 10,000 9,975
Government of Western Australia
5.700% due 11/17/95 2,500 2,482
Hewlett Packard Co.
5.700% due 10/17/95 700 698
</TABLE>
30
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
5.670% due 10/30/95 $ 11,731 $ 11,679
5.670% due 11/07/95 1,000 994
5.640% due 11/14/95 115,100 114,324
5.680% due 01/05/96 1,000 984
5.670% due 01/09/96 16,500 16,228
KFW International Financial
5.750% due 10/05/95 4,500 4,498
5.710% due 10/27/95 27,500 27,391
Merrill Lynch & Co.
4.750% due 06/24/96 450 445
Motorola, Inc.
5.700% due 10/26/95 14,800 14,744
National Rural Utilities Cooperative
5.810% due 10/03/95 1,300 1,299
5.720% due 10/13/95 18,200 18,168
New South Wales Treasury
5.830% due 10/04/95 8,700 8,697
6.015% due 10/04/95 8,300 8,297
5.660% due 11/10/95 1,000 994
Norfolk Southern Corp.
6.110% due 10/05/95 10,500 10,494
Ontario Hydro
5.660% due 11/27/95 13,900 13,777
5.670% due 11/27/95 9,000 8,920
Pitney Bowes Credit, Inc.
5.740% due 10/03/95 1,700 1,700
5.640% due 10/19/95 16,000 15,957
5.710% due 10/23/95 700 698
5.640% due 10/24/95 11,300 11,261
5.670% due 11/10/95 400 398
Proctor & Gamble Co.
5.640% due 10/27/95 23,000 22,910
Province of Alberta
5.710% due 11/02/95 2,100 2,089
Province of British Columbia
6.140% due 10/02/95 16,700 16,700
5.625% due 10/05/95 2,000 1,999
5.630% due 11/02/95 3,000 2,985
6.300% due 11/14/95 200 198
Queensland Treasury Corp.
5.630% due 10/12/95 24,000 23,962
5.630% due 12/12/95 8,000 7,901
Rockwell International
5.730% due 10/10/95 800 799
U.S. West Communications
5.720% due 10/05/95 9,200 9,195
5.720% due 10/06/95 17,000 16,989
5.600% due 10/13/95 4,105 4,097
5.690% due 10/20/95 22,800 22,735
5.650% due 11/13/95 2,300 2,284
USX Corp.
6.190% due 10/16/95 27,500 27,434
6.182% due 10/25/95 27,500 27,391
Wal-Mart Stores
5.710% due 10/06/95 2,000 1,999
Warner Lambert
5.600% due 10/13/95 10,500 10,481
5.830% due 10/13/95 18,800 18,767
5.670% due 10/23/95 2,200 2,193
World Bank
6.070% due 11/06/95 1,600 1,590
------------
1,108,604
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
Repurchase Agreements - 0.6%
State Street Bank
5.250% due 10/02/95 $ 55,999 $ 55,999
(Dated 09/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $57,123,085. Repurchase
proceeds are $56,023,500.)
Merrill Lynch
5.700% due 10/02/95 500 500
(Dated 09/25/95. Collateralized by
U.S. Treasury Note 8.50% 05/15/97
valued at $511,250. Repurchase
proceeds are $500,238.)
------------
56,499
U.S. Treasury Bills - 1.0%
5.57% due 01/11/96 500 493
5.70% due 10/26/95 - 02/08/96 (b) (g) 96,010 95,438
------------
95,931
------------
Total Short-Term Investments 1,261,034
============
(Cost $1,261,096)
TOTAL INVESTMENTS (A) - 110.4% $10,140,684
(Cost $10,093,638)
WRITTEN OPTIONS (E) - 0.0% (3,296)
(Premiums $11,409)
OTHER ASSETS AND LIABILITIES (NET) - (10.4%) (952,560)
------------
NET ASSETS - 100.0% $ 9,184,828
============
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS):
(a) At September 30, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there
was an excess of value over tax cost. $ 117,059
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (70,013)
------------
Unrealized appreciation-net $ 47,046
============
(b) Securities with an aggregate market value of $95,438
have been segregated with the custodian to cover
margin requirements for the following open future
contracts at September 30, 1995:
</TABLE>
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Republic of France 10 Year Bond 1,100 $ (1,329)
Republic of Germany 10 Year Bond 3,726 2,438
UK Gilt 2,617 (4,788)
U.S. Treasury 2 Year Note (12/95) 100 11
U.S. Treasury 5 Year Note (12/95) 5,352 1,179
U.S. Treasury 10 Year Note (12/95) 10,882 3,198
U.S. Treasury 30 Year Bond (12/95) 9,973 7,083
------------
$ 7,792
============
</TABLE>
31
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
September 30, 1995 (unaudited)
===============================================================================
(c) Foreign forward currency contracts outstanding at
September 30, 1995:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered by Expiration Appreciation/
Type Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy BP 3,300 10/95 $ 61
Sell C$ 305,773 10/95 (1,366)
Buy DM 180,596 10/95 331
Sell DM 494,446 10/95 (7,935)
Sell DM 59,140 11/95 188
Buy ECU 4,416 11/95 34
Sell FF 4,535 6/96 (5)
--------------
$ (8,692)
==============
</TABLE>
(d) Variable rate security. The rate listed is as of September 30, 1995.
(e) Premiums received on Written Put Options:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CBOT U.S. Treasury Bond December Futures
Strike @110.00 Exp. 11/18/95 $ 160,000 $ 1,012 $ 550
CME Eurodollar December Futures
Strike @ 91.50 Exp. 12/18/95 2,551,000 2,613 64
Strike @ 92.00 Exp. 12/18/97 950,000 928 24
Strike @ 92.50 Exp. 12/18/98 1,000,000 269 25
Strike @ 93.75 Exp. 12/18/95 6,427,000 1,734 482
CME Eurodollar March Futures
Strike @ 91.75 Exp. 03/18/96 1,851,000 637 46
Strike @ 92.25 Exp. 03/18/96 1,000,000 1,569 25
Strike @ 94.00 Exp. 03/18/96 4,608,000 2,227 1,612
CME Eurodollar June Futures
Strike @ 94.00 Exp. 06/17/96 668,000 420 468
--------------------------
$11,409 $ 3,296
==========================
</TABLE>
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
ECU - European Currency Unit
FF - French Franc
(g) Securities are grouped by coupon and represent a range of maturities.
See Notes to Financial Statements
32
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Short-Term Instruments 22.3%
Foreign-Currency Denominated 14.6%
Other 2.8%
Corporate Bonds and Notes 12.0%
Mortgage-Backed Securities 59.3%
Total Return Fund III
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================================
<S> <C> <C>
Corporate Bonds and Notes - 12.0%
Banking and Finance - 0.4%
Associates Corp. of North America
9.000% due 12/15/95 $ 500 $ 503
------------
Industrials - 6.0%
Arkla, Inc.
9.875% due 02/15/18 500 534
Coastal Corp.
10.375% due 10/01/00 3,000 3,431
Time Warner, Inc.
8.375% due 07/15/33 3,000 3,036
------------
7,001
============
Utilities - 5.6%
Cleveland Electric Illuminating Co.
8.750% due 11/15/05 3,500 3,405
North Atlantic Energy
9.050% due 06/01/02 662 680
Public Service of New Hampshire
15.230% due 07/01/00 1,500 1,751
System Energy Resources
10.500% due 09/01/96 70 72
Texas Gas Transmission Corp.
9.625% due 07/15/97 500 525
------------
6,433
------------
Total Corporate Bonds and Notes 13,937
============
(Cost $14,054)
U.S. Treasury Notes - 0.2%
5.500% due 04/30/96 40 40
4.750% due 08/31/98 50 48
7.125% due 10/15/98 50 52
7.125% due 09/30/99 50 52
------------
Total U.S. Treasury Notes 192
============
(Cost $190)
U.S. Government Agencies - 0.6%
Federal National Mortgage Association
9.150% due 04/10/98 300 322
5.870% due 10/15/03 50 47
Government Trust Certificate - Greece
8.000% due 05/15/98 276 282
------------
Total U.S. Government Agencies 651
============
(Cost $632)
Mortgage Backed Securities - 59.3%
Federal Home Loan Mortgage Corporation - 0.5%
8.000% due 02/01/06 551 565
Federal National Mortgage Association - 3.3%
6.390% due 07/01/17 (d) 120 121
6.391% due 2/1/27 - 08/01/29 (d)(g) 189 191
7.866% due 07/01/23 (d) 1,905 1,960
8.250% due 07/01/17 219 227
8.500% due 02/01/07 1,264 1,307
9.000% due 07/01/05 75 79
------------
3,885
============
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================================
<S> <C> <C>
Government National Mortgage Association - 25.0%
6.500% due 10/20/24 - 11/20/24(d)(g) $ 9,266 $ 9,419
6.500% due 10/19/25 15,000 14,470
7.000% due 06/20/22 (d) 4,986 5,063
-----------
28,952
===========
Collateralized Mortgage Obligations - 20.4%
Chase Mortgage Financial Corp.
7.500% due 03/25/24 262 261
9.500% due 04/25/24 275 281
CMO Trust
8.000% due 01/01/17 5,882 5,991
Federal Home Loan Mortgage Corp.
8.000% due 05/15/00 - 02/15/15 (g) 2,607 2,662
7.500% due 04/15/19 3,144 3,165
Federal National Mortgage Assn.
7.750% due 07/25/19 502 510
Greenwich
7.073% due 11/25/24 (d) 4,040 4,150
PNC Mortgage Securities Corp.
7.500% due 06/25/10 1,575 1,579
Residential Funding
9.000% due 07/01/21 685 692
Resolution Trust Corp.
8.835% due 12/25/23 2,500 2,625
Sears Mortgage
8.713% due 05/25/32 (d) 1,621 1,683
-----------
23,599
===========
Other Mortgage-Backed Securities - 7.3%
Guardian
7.218% due 07/25/20 1,767 1,343
Resolution Trust Corp.
8.625% due 10/25/21 759 761
7.657% due 05/25/29 3,500 3,523
Ryland Acceptance Corp.
7.873% due 09/25/23 2,759 2,800
-----------
8,427
===========
Stripped Mortgage-Backed Securities - 2.8%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 04/15/22 10,000 1,533
Resolution Trust Corp. (PO)
0.000% due 09/25/00 1,856 1,712
-----------
3,245
-----------
Total Mortgage-Backed Securities 68,673
===========
(Cost $68,748)
Sovereign Issues - 2.0%
Republic of Argentina
7.313% due 03/31/05 2,000 1,240
Province of Quebec
8.800% due 04/15/03 1,000 1,112
-----------
Total Sovereign Issues 2,352
===========
(Cost $2,300)
Foreign Currency-Denominated Issues (c)(f) - 14.6%
Commonwealth of Canada
8.500% due 04/01/02 C$ 2,000 1,562
8.750% due 12/01/05 2,520 2,009
Province of Saskatchewan
11.000% due 01/09/01 2,000 1,701
Republic of Germany
6.250% due 01/04/24 DM 5,000 3,013
</TABLE>
33
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund III
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================================
<S> <C> <C>
United Kingdom Gilt
9.500% due 04/15/05 BP 5,000 $ 8,592
-----------
Total Foreign Currency-Denominated Issues 16,877
===========
(Cost $16,858)
Purchased CME Put Option - 0.0%
Eurodollar June Futures
Strike @ 90.75 Exp. 6/17/96 $ 110,000 0
-----------
Total Purchased CME Put Option 0
===========
(Cost $2)
Short-Term Instruments - 22.3%
Discount Notes - 20.2%
AT&T Corp.
5.670% due 12/08/95 2,500 2,472
Federal National Mortgage Assn.
5.600% due 10/10/95 4,100 4,095
Government of Western Australia
5.700% due 10/24/95 5,100 5,082
Hewlett Packard Co.
5.730% due 10/17/95 750 748
KFW International Financial
5.750% due 10/05/95 200 200
Minnesota Mining & Mfg. Co.
5.820% due 11/15/95 600 596
Motorola, Inc.
5.700% due 10/26/95 3,100 3,088
National Rural Utilities Cooperative
5.720% due 10/13/95 300 298
Pitney Bowes Credit, Inc.
5.740% due 10/03/95 750 750
Province of British Columbia
5.625% due 10/05/95 4,200 4,198
Wal-Mart Stores
5.710% due 10/06/95 1,800 1,799
-----------
23,326
===========
Repurchase Agreement - 1.1%
State Street Bank
5.250% due 10/02/95 1,297 1,297
-----------
(Dated 9/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $1,325,499. Repurchase
proceeds are $1,297,567)
U.S. Treasury Bills - 1.0%
5.565% due 10/26/95 - 02/08/96(b)(g) 1,200 1,192
-----------
Total Short-Term Instruments 25,815
===========
(Cost $25,818)
TOTAL INVESTMENTS (a) - 111.0% $ 128,497
(Cost $128,602)
WRITTEN OPTIONS (e) - (0.1%) (104)
(Premiums $155)
OTHER ASSETS AND LIABILITIES (NET) - (10.9%) (12,676)
-----------
NET ASSETS - 100.0% $ 115,717
===========
===============================================================================================
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS)
(a) At September 30, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for federal income
tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 1,068
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (1,173)
-----------
Unrealized depreciation-net $ (105)
===========
(b) Securities with an aggregate market value of $1,192 have
been segregated with the custodian to cover margin
requirements for the following open future contracts at
September 30, 1995:
</TABLE>
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- --------------------------------------------------------------------------------------
<S> <C> <C>
Republic of Germany 10 Year Bond (12/95) 30 $ 38
U.S. Treasury 5 Year Note (12/95) 100 (3)
U.S. Treasury 10 Year Note (12/95) 98 24
U.S. Treasury 30 Year Bond (12/95) 150 108
-----------
$ 167
===========
</TABLE>
(c) Foreign forward currency contracts outstanding at
September 30, 1995:
<TABLE>
<CAPTION>
Principal
Amount
Covered Expiration Unrealized
Type by Contract Month Depreciation
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell BP 5,353 10/95 $ (99)
Sell C$ 4,325 10/95 (4)
Sell DM 4,495 10/95 (79)
Sell 3,550 10/95 (92)
-----------
$ (274)
===========
</TABLE>
(d) Variable rate security. The rate listed is as of September 30, 1995.
(e) Premiums received on Written Put Options:
<TABLE>
<CAPTION>
Premiums Market
Type Par Received Value
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
CBOT U.S. T-Bond Futures
Strike @110.00 Exp. 11/18/95 $ 10,000 $ 81 $ 34
CME Eurodollar December Futures
Strike @ 94.00 Exp. 12/18/95 200,000 74 70
---------------------------
$155 $ 104
===========================
</TABLE>
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
(g) Securities are grouped by coupon and represent a range of maturities.
See Notes to Financial Statements
34
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Sovereign Issues 4.0%
Other 6.2%
Mortgage-Backed Securities 81.4%
Corporate Bonds and Notes 32.1%
Low Duration Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
==============================================================================================
<S> <C> <C>
Corporate Bonds and Notes - 32.1%
Banking and Finance - 12.7%
American Express Co.
8.750% due 06/15/96 $ 1,000 $ 1,019
American General Financial Corp.
6.000% due 02/23/98 1,000 992
Associates Corp. of North America
7.250% due 05/15/98 500 512
7.500% due 05/15/99 1,000 1,036
Banc One Corp.
7.250% due 08/01/02 500 516
Bancomer
8.000% due 07/07/98 4,000 3,655
BankAmerica Corp.
7.200% due 09/15/02 100 102
Bankers Trust
8.250% due 07/02/96 3,000 3,042
7.250% due 11/01/96 5,500 5,558
Banponce Corp.
6.188% due 01/27/97 (d) 5,000 5,015
Capital One Bank
6.363% due 12/05/95 (d) 20,000 19,999
7.300% due 07/26/96 (d) 15,000 15,024
Chrysler Financial Corp.
8.125% due 12/15/96 15,000 15,316
Citicorp
6.000% due 05/29/98 8,000 7,959
Commercial Credit
5.500% due 05/15/98 1,000 977
Den Danske Bank
7.038% due 06/23/00 (d) 1,000 1,011
Discover Credit Corp.
8.970% due 07/08/96 2,000 2,037
9.000% due 07/24/96 7,500 7,648
8.875% due 08/07/96 5,000 5,097
7.760% due 05/13/97 5,000 5,096
Ford Capital
9.000% due 06/01/96 4,800 4,889
Ford Motor Credit Corp.
7.875% due 01/15/97 700 714
6.800% due 08/15/97 500 505
6.520% due 02/03/98 1,000 1,005
General Motors Acceptance Corp.
9.000% due 12/27/95 1,000 1,006
9.000% due 01/16/96 1,000 1,009
8.950% due 02/05/96 750 758
8.600% due 05/10/96 1,050 1,065
8.800% due 07/03/96 1,500 1,530
8.800% due 07/08/96 1,850 1,887
5.840% due 07/19/96 (d) 7,500 7,506
6.040% due 07/26/96 (d) 7,750 7,749
6.625% due 08/01/96 5,000 5,021
8.100% due 09/19/96 250 255
8.000% due 10/01/96 500 509
6.363% due 10/15/96 (d) 16,000 16,040
8.250% due 01/13/97 9,000 9,225
8.000% due 01/23/97 17,000 17,383
7.750% due 01/24/97 2,500 2,549
7.625% due 02/28/97 10,000 10,191
Goldman Sachs
5.000% due 08/23/96 17,455 17,270
Home Savings of America
10.500% due 06/12/97 4,000 4,073
Kansallis-Osake
8.438% due 09/30/43 (d) 13,500 13,838
Lehman Brothers, Inc.
7.000% due 05/15/97 500 504
7.375% due 08/15/97 500 507
<CAPTION>
Principal
Amount Value
(000's) (000's)
==============================================================================================
<S> <C> <C>
Manufacturers Hanover Corp.
6.375% due 04/30/97 (d) $ 6,000 $ 5,966
Marine Midland Bank
6.125% due 09/27/96 (d) 2,000 2,000
NCNB Corp.
10.500% due 03/15/99 9,000 9,167
Norwest Financial, Inc.
6.400% due 11/15/96 15,000 15,070
Salomon, Inc.
6.630% due 01/19/96 500 500
5.720% due 06/11/96 3,000 2,978
5.200% due 01/20/97 750 736
8.850% due 02/10/97 2,000 2,054
8.670% due 02/13/97 1,500 1,529
5.930% due 03/17/97 12,590 12,451
7.125% due 08/01/99 1,000 996
Security Pacific Corp.
5.746% due 08/15/96 (d) 2,500 2,488
Signet Banking Corp.
6.000% due 05/15/97 (d) 2,095 2,106
6.063% due 04/15/98 (d) 2,865 2,865
Society National Bank
6.875% due 10/15/96 19,375 19,522
-----------
309,027
===========
Industrials - 13.4%
AMR Corp.
8.730% due 08/19/96 1,000 1,020
7.600% due 01/27/97 2,000 2,028
6.500% due 03/15/97 4,305 4,297
9.500% due 07/15/98 1,000 1,064
8.100% due 11/01/98 2,000 2,059
8.730% due 11/02/98 3,000 3,166
9.910% due 03/01/01 2,500 2,775
10.000% due 03/07/01 4,000 4,456
9.440% due 05/15/01 5,000 5,454
9.125% due 10/24/01 1,000 1,079
Arkla, Inc.
8.780% due 07/19/96 9,500 9,638
9.875% due 04/15/97 11,500 12,056
Coastal Corp.
10.375% due 10/01/00 5,000 5,718
11.750% due 06/15/06 15,000 16,144
Consolidated Natural Gas Co.
8.750% due 06/01/99 400 431
Delta Airlines
7.790% due 12/01/98 4,449 4,514
E. I. Du Pont de Nemours
8.500% due 02/10/98 100 105
Ford Motor Co.
8.180% due 06/30/96 4,763 5,050
9.000% due 09/15/01 500 556
9.250% due 07/15/97 14,900 15,650
General Motors Corp.
9.750% due 05/15/99 2,300 2,351
McGaw, Inc.
10.375% due 04/01/99 1,000 1,035
Minnesota Mining & Mfg. Co.
6.250% due 03/29/99 200 199
Nabisco, Inc.
8.300% due 04/15/99 2,900 3,032
8.000% due 01/15/00 16,675 17,465
News America Holdings Corp.
12.000% due 12/15/01 4,805 5,390
Pfizer, Inc.
6.500% due 02/01/97 500 503
Philip Morris Co.
7.500% due 03/15/97 250 255
</TABLE>
35
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================================
<S> <C> <C>
8.750% due 12/01/96 $ 8,250 $ 8,475
9.800% due 12/15/98 14,375 14,470
Sears Roebuck & Co.
9.000% due 09/15/96 1,500 1,538
9.250% due 04/15/98 5,750 6,127
9.360% due 06/12/96 500 530
Tenneco, Inc.
10.850% due 10/30/98 3,629 3,921
Time Warner, Inc.
7.450% due 02/01/98 810 825
6.835% due 08/15/00 35,413 35,497
7.975% due 08/15/04 21,248 21,733
8.110% due 08/15/06 42,495 43,535
8.180% due 08/15/07 42,495 43,514
United Airlines
6.750% due 12/01/97 11,875 11,778
USX Corp.
7.750% due 01/21/98 2,000 2,042
Varity Corp.
11.375% due 11/15/98 4,650 4,876
-----------
326,351
===========
Utilities - 6.0%
Alabama Power
7.250% due 08/01/07 100 100
Carolina Power & Light
7.900% due 12/27/96 16,300 16,639
Centel Capital Corp.
9.875% due 10/01/98 3,650 3,651
Central Power & Light
6.625% due 01/01/98 100 100
Cleveland Electric Illuminating Co.
9.100% due 07/22/96 1,500 1,517
9.450% due 12/01/97 11,400 11,719
8.330% due 10/30/98 1,500 1,506
9.375% due 03/01/17 3,000 2,840
CMS Energy
9.500% due 10/01/97 9,500 9,818
Commonwealth Edison Co.
5.750% due 12/01/96 2,000 1,980
8.130% due 08/15/96 5,000 5,068
8.875% due 05/15/97 7,000 7,238
Consumers Power Co.
8.750% due 02/15/98 5,000 5,201
CTC Mansfield Funding
11.125% due 09/30/16 7,985 8,105
Detroit Edison
6.000% due 12/01/96 4,040 4,023
Gulf States Utilities
6.670% due 11/01/96 2,500 2,505
Long Island Lighting Co.
7.300% due 07/15/99 3,000 2,979
Louisiana Power & Light Co.
7.740% due 07/01/02 10,500 10,694
10.300% due 01/02/05 2,999 3,137
New Orleans Public Service
10.950% due 05/01/97 4,200 4,389
North Atlantic Energy
9.050% due 06/01/02 5,000 5,134
Northern States Power Co.
5.875% due 10/01/97 100 99
Northern Telecom
8.250% due 06/13/96 1,000 1,014
Ohio Edison
8.500% due 05/01/96 3,200 3,240
Pennsylvania Power Co.
9.000% due 12/01/96 5,500 5,634
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================================
<S> <C> <C>
Public Service Electric & Gas
6.000% due 01/01/98 $ 1,000 $ 992
Public Service of New Hamphire
15.230% due 07/01/00 844 985
Texas Gas Transmission Corp.
9.625% due 07/15/97 3,000 3,151
Texas-New Mexico Power
11.250% due 01/15/97 2,500 2,615
Transcontinental Gas Pipeline
9.000% due 11/15/96 4,850 4,993
8.125% due 01/15/97 5,500 5,623
6.210% due 05/15/00 6,309 6,302
United Illuminating
9.760% due 01/02/06 3,368 3,540
Utilicorp United
9.300% due 12/01/95 1,000 1,003
-----------
147,534
-----------
Total Corporate Bonds and Notes 782,912
===========
(Cost $775,745)
U.S. Government Agencies - 0.3%
Federal Home Loan Mortgage Corp.
8.250% due 05/27/96 100 102
6.050% due 10/27/97 50 50
7.300% due 10/28/02 100 102
8.440% due 10/27/04 500 521
9.500% due 11/10/20 1,300 1,392
Federal National Mortgage Assn.
7.090% due 11/01/96 100 100
5.740% due 02/12/98 200 200
5.200% due 07/10/98 1,500 1,466
Small Business Administration
8.250% due 01/25/13 (d) (d) 1,838 1,941
7.500% due 02/25/14 (d) (d) 1,524 1,587
Student Loan Marketing Assn.
7.560% due 12/09/96 100 102
-----------
Total U.S. Government Agencies 7,563
===========
(Cost $7,354)
Mortgage-Backed Securities - 81.4%
Federal Home Loan Mortgage Corporation - 2.3%
5.000% due 05/01/98 - 08/01/98 (g) 65 64
5.500% due 05/01/98 - 04/01/07 (g) 667 651
5.631% due 01/01/24 (d) (d) 5,285 5,384
5.887% due 01/01/24 (d) (d) 9,258 9,385
5.897% due 11/01/23 (d) (d) 5,943 5,999
6.500% due 01/01/02 - 02/01/05 (g) 239 236
6.603% due 08/01/24 (d) (d) 4,225 4,323
6.751% due 10/01/23 (d) (d) 8,011 8,088
7.000% due 01/01/17 (d) (d) 124 127
7.250% due 07/01/07 116 116
7.311% due 02/01/20 (d) (d) 6,280 6,366
7.500% due 09/01/06 - 10/16/25 (g) 1,281 1,291
7.544% due 11/01/22 (d) (d) 6,202 6,280
8.000% due 07/01/06 - 04/01/07 (g) 524 536
8.250% due 10/01/07 - 11/01/07 (g) 94 96
8.500% due 07/01/01 - 01/01/12 (g) 1,129 1,161
8.750% due 02/01/01 - 04/01/02 (g) 303 311
9.000% due 09/01/98 - 07/01/04 (g) 386 397
9.250% due 07/01/01 26 26
9.500% due 03/01/01 - 12/01/04 (g) 360 375
9.750% due 03/01/01 2,141 2,259
10.000% due 04/01/01 - 09/15/09 (g) 49 51
10.500% due 07/01/00 - 12/01/16 (g) 279 298
10.750% due 10/01/00 - 08/01/11 (g) 1,122 1,221
11.250% due 10/01/14 14 16
</TABLE>
36
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- -----------------------------------------------------------------------------------------------
<S> <C> <C>
11.500% due 10/01/15 $ 2 $ 3
11.750% due 11/01/10 - 08/01/15 (g) 33 37
14.000% due 09/01/12 - 12/01/12 (g) 9 10
-----------
55,107
===========
Federal Housing Administration - 0.9%
6.950% due 04/01/14 1,883 1,883
7.260% due 11/01/19 1,156 1,163
7.430% due 10/01/19 - 12/01/21 (g) 15,234 15,437
9.750% due 02/01/24 3,786 4,066
-----------
22,549
===========
Federal National Mortgage Association - 3.2%
5.385% due 01/01/24 (d) 12,932 13,029
6.325% due 04/01/18 (d) 10,187 10,225
6.394% due 03/01/18 - 02/01/19 (d) 1,041 1,051
6.422% due 10/01/24 (d) 24,160 24,922
6.429% due 04/01/19 (d) 131 132
6.500% due 06/01/08 57 55
7.000% due 12/01/06 - 09/01/07 (g) 133 131
7.728% due 07/01/23 (d) 6,738 6,915
7.833% due 10/01/23 (d) 10,326 10,613
8.000% due 03/01/04 346 356
8.319% due 05/01/97 (d) 572 584
8.500% due 03/01/08 - 02/01/17 (g) 820 857
9.000% due 05/01/97 - 08/01/98 (g) 1,468 1,509
10.000% due 02/01/04 - 06/01/19 (g) 5,095 5,504
10.500% due 06/01/05 - 11/01/05 (g) 645 702
11.000% due 10/01/98 - 09/01/00 (g) 70 74
11.250% due 12/01/10 - 10/01/15 (g) 419 467
12.000% due 01/01/15 - 10/01/15 (g) 19 21
12.750% due 02/01/14 - 11/01/14 (g) 175 200
13.000% due 07/01/15 10 11
13.250% due 09/01/11 36 41
13.500% due 04/01/14 10 11
14.000% due 11/01/14 16 19
15.500% due 10/01/12 - 12/01/12 (g) 101 118
15.750% due 12/01/11 81 96
16.000% due 09/01/12 - 12/01/12 (g) 42 49
-----------
77,692
===========
Government National Mortgage Association. - 42.1%
5.500% due 08/20/25 (d) 4,994 4,939
6.500% due 08/20/22 - 10/20/23 (d) 28,489 28,853
6.500% due 07/20/22 - 06/20/25 (g) 114,533 115,754
7.000% due 05/20/22 - 05/20/25 (d) 135,586 138,402
7.000% due 09/20/24 - 11/20/24 (g) 315,359 312,896
7.375% due 05/20/22 - 04/20/23 (d) 46,377 47,249
7.500% due 02/20/25 - 06/20/25 (d) 36,450 37,404
7.500% due 03/20/25 - 10/19/25 (g) 104,422 105,587
8.000% due 07/15/04 - 11/20/25 (g) 225,013 231,513
9.750% due 07/15/13 - 02/15/20 (g) 1,933 2,092
10.750% due 10/15/98 54 56
11.750% due 07/15/13 - 09/15/15 (g) 599 675
12.000% due 06/20/15 40 46
13.500% due 05/15/11 - 11/15/12 (g) 74 86
13.750% due 06/15/96 - 10/15/96 (g) 51 52
14.750% due 11/15/96 3 3
16.500% due 12/15/11 1 1
16.750% due 12/15/96 - 12/15/11 (g) 35 37
-----------
1,025,645
===========
Collateralized Mortgage Obligations - 24.3%
American Southwest Financial
5.100% due 06/02/99 16,565 15,912
9.200% due 07/01/16 553 570
9.400% due 08/01/16 6,250 6,225
<CAPTION>
Principal
Amount Value
(000's) (000's)
- -----------------------------------------------------------------------------------------------
<S> <C> <C>
Bear Stearns
8.200% due 09/25/22 $ 2,299 $ 2,313
8.000% due 05/25/23 832 849
Capstead
7.400% due 04/25/18 15,779 15,823
7.800% due 02/25/22 1,990 2,016
8.300% due 03/25/22 12,927 12,911
7.500% due 02/25/23 3,105 3,087
Chase Mortgage Financial Corp.
10.000% due 11/25/09 2,095 2,197
7.500% due 10/25/24 115 115
Citicorp Mortgage Securities, Inc.
9.000% due 10/01/01 139 145
9.000% due 11/01/01 2,707 2,724
8.500% due 06/25/06 3,245 3,242
9.000% due 07/25/06 1,407 1,411
9.350% due 06/01/10 95 96
7.250% due 11/01/11 2,242 2,226
10.000% due 01/25/13 187 194
9.500% due 10/25/15 2,693 2,762
9.500% due 11/01/16 1,846 1,928
8.500% due 03/01/17 4,460 4,566
CMO Trust
6.625% due 01/20/03 (d) 51 51
9.500% due 06/25/20 904 964
Collateralized Mortgage Securities Corp.
7.985% due 05/01/17 15,528 15,842
Conseco Commercial Mortgage
9.700% due 07/15/04 4,873 4,967
Countrywide
7.177% due 11/25/24 (d) 16,841 17,204
7.340% due 01/25/35 (d) 29,081 28,645
8.000% due 12/25/24 9,155 9,185
Donaldson, Lufkin & Jenrette
11.000% due 08/01/19 3,162 3,451
4.571% due 03/25/24 (d) 27,309 26,302
6.756% due 05/25/24 (d) 8,515 8,662
Federal Home Loan Mortgage Corp.
9.000% due 01/15/04 500 517
9.000% due 04/15/04 500 511
9.000% due 12/15/05 1,000 1,027
12.500% due 09/30/13 2,338 2,612
8.875% due 01/15/15 5 5
11.000% due 11/30/15 5,531 6,176
8.500% due 07/15/16 476 475
8.000% due 04/15/19 3,600 3,637
8.500% due 06/15/19 9,234 9,285
10.000% due 07/15/19 525 566
8.500% due 09/15/19 7,847 7,974
9.000% due 11/15/19 4,714 4,873
7.950% due 02/15/20 6,409 6,501
9.000% due 02/15/20 2,296 2,340
8.250% due 03/15/20 706 718
7.500% due 04/15/20 2,900 2,956
8.000% due 04/15/20 2,500 2,577
10.000% due 05/15/20 350 394
8.950% due 11/15/20 5,570 5,647
7.500% due 12/15/20 2,000 2,035
9.500% due 01/15/21 4,655 4,931
8.000% due 04/15/21 2,844 2,910
9.000% due 05/15/21 650 688
7.000% due 08/15/21 24,300 24,320
3.440% due 05/15/23 (d) 10,000 4,669
3.725% due 03/15/24 (d) 4,863 2,618
Federal National Mortgage Assn.
8.950% due 05/25/03 218 225
9.000% due 07/25/03 1,550 1,607
9.400% due 07/25/03 339 353
8.500% due 09/25/06 697 711
</TABLE>
37
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================================
<S> <C> <C>
6.875% due 06/25/09 $ 6,697 $ 6,699
7.000% due 04/25/15 5,039 5,056
7.500% due 01/25/16 1,000 1,005
5.750% due 04/25/16 6,835 6,649
9.000% due 06/25/17 144 145
7.500% due 10/25/17 3 3
8.000% due 01/25/19 441 444
7.500% due 02/25/19 588 589
8.000% due 05/25/19 4,291 4,342
8.750% due 05/25/19 250 259
9.000% due 05/25/19 4,575 4,668
9.300% due 05/25/19 168 172
9.000% due 07/25/19 1,391 1,436
9.000% due 08/25/19 6,834 6,937
9.500% due 03/25/20 7,214 7,623
9.500% due 05/25/20 1,450 1,569
8.000% due 07/25/20 15,178 15,448
8.500% due 01/25/21 456 466
9.000% due 03/25/21 9,132 9,432
9.000% due 04/25/21 300 323
8.000% due 03/25/22 335 335
2.289% due 01/25/24 (d) 8,387 3,782
First Boston Mortgage Securities Corp.
7.500% due 07/25/19 398 397
7.050% due 07/25/23 1,093 1,097
Glendale Federal Savings & Loan
7.480% due 03/25/30 (d) 4,232 4,274
Government National Mortgage Assn.
7.250% due 07/25/15 5,000 5,036
Greenwich
7.073% due 11/25/24 (d) 22,627 23,242
7.422% due 04/25/25 (d) 12,991 13,381
Guaranteed Mortgage Corp.
11.000% due 12/01/15 231 238
Holco Mortgage
8.430% due 12/01/03 50 50
Home MAC Mortgage Securities Corp.
8.550% due 07/01/08 84 84
Homestead Mortage Acceptance Corp.
11.450% due 09/01/15 2,611 2,808
Independent National Mortgage Corp.
8.250% due 03/25/25 22,925 23,270
Merrill Lynch Mortgage
10.000% due 11/15/08 406 417
9.400% due 12/27/18 5,000 5,045
9.650% due 05/20/19 13,685 13,940
Norwest Mortgage
12.375% due 01/01/14 415 451
12.500% due 02/01/14 927 995
12.250% due 04/01/14 719 793
Prudential Bache
6.394% due 09/01/18 (d) 90 91
Prudential Home
6.500% due 04/25/00 132 130
7.500% due 09/25/07 878 888
7.000% due 11/25/07 3,991 4,008
7.000% due 06/25/23 3,014 2,925
8.500% due 06/25/25 31,104 31,490
Prudential Securities
8.000% due 12/25/20 2,000 2,047
Residential Funding
9.250% due 11/01/02 912 930
5.751% due 07/01/19 (d) 1,407 1,338
7.149% due 09/25/19 (d) 525 516
8.250% due 07/25/21 2,113 2,109
9.000% due 12/25/21 494 502
7.650% due 11/25/22 115 114
Resolution Trust Corp.
6.000% due 01/15/04 581 581
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================================
<S> <C> <C>
6.743% due 09/25/19 (d) $ 4,702 $ 4,661
5.922% due 01/25/21 (d) 351 338
7.358% due 07/25/21 (d) 102 104
10.387% due 08/25/21 (d) 1,757 1,841
6.850% due 10/25/21 2,089 2,081
7.850% due 05/25/22 318 319
10.000% due 05/25/22 467 480
7.250% due 10/25/23 1,472 1,469
9.500% due 05/25/24 827 806
8.000% due 07/25/24 3,376 3,370
7.000% due 10/25/24 131 131
8.750% due 05/25/26 126 126
5.583% due 09/25/27 (d) 3,808 3,647
9.000% due 09/25/28 503 509
Ryland Acceptance Corp.
8.000% due 03/01/18 3,029 2,943
9.500% due 07/01/18 1,904 1,943
Salomon Mortgage
12.000% due 05/01/15 1,076 1,081
11.500% due 09/01/15 1,502 1,648
7.180% due 12/25/17 (d) 3,752 3,732
6.700% due 01/25/18 (d) 183 182
0.000% due 03/25/24 (d) 10,806 10,821
Sears Mortgage
12.000% due 02/25/14 243 268
8.713% due 05/25/32 (d) 1,326 1,376
Shearson Lehman
9.600% due 03/25/21 2,254 2,309
SKW Realty L.P.
9.050% due 04/15/04 3,500 3,502
UBS Mortgage
9.000% due 10/18/20 12,547 12,618
Westam Mortgage Financial Corp.
6.500% due 10/02/17 10,044 9,795
-----------
593,112
===========
Other Mortgage Backed Securities - 5.1%
Chase Mortgage Financial Corp.
8.000% due 06/25/24 150 152
Columbia Federal
8.354% due 12/01/17 (d) 38 38
Dime Savings
7.113% due 11/25/18 (d) 4,442 4,138
First Boston Mortgage Securities Corp.
8.300% due 08/20/09 659 671
Fleet Finance, Inc.
5.450% due 03/20/23 98 98
Glendale Federal Savings & Loan
11.000% due 03/01/10 53 56
Great Western Savings & Loan
6.460% due 12/01/17 (d) 721 711
Guardian
6.515% due 07/25/18 (d) 114 101
7.647% due 05/01/19 (d) 1,216 1,046
7.361% due 12/25/19 (d) 2,644 1,903
7.466% due 12/25/19 (d) 540 399
7.210% due 02/25/20 (d) 2,553 1,761
7.218% due 07/25/20 (d) 2,410 1,832
Home Savings of America
6.040% due 05/25/27 (d) 3,143 3,075
6.201% due 09/25/28 (d) 2,057 1,990
Imperial Savings & Loan
9.800% due 07/25/17 110 111
9.040% due 02/25/18 (d) 815 864
Kearny St. Real Estate Co.
6.600% due 10/15/02 4,000 3,998
7.300% due 10/15/03 2,000 1,998
</TABLE>
38
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
==============================================================================
<S> <C> <C>
MDC Mortgage Funding
6.915% due 01/25/25 (d) $ 25,895 $ 26,477
Residential Funding
8.500% due 04/01/02 61 62
Resolution Trust Corp.
6.608% due 05/25/19 (d) 13,309 12,877
7.400% due 08/25/19 (d) 9,355 9,329
8.625% due 10/25/21 1,898 1,903
6.900% due 02/25/27 11,180 9,734
6.420% due 10/25/28 (d) 4,743 4,816
7.396% due 05/25/29 (d) 4,754 4,732
Ryland Acceptance Corp.
8.900% due 12/01/08 76 76
7.665% due 11/28/22 (d) 10,068 10,241
Salomon Mortgage
8.218% due 12/25/17 (d) 837 846
9.558% due 10/25/18 (d) 8,077 8,398
Sears Mortgage
7.592% due 10/25/22 (d) 8,190 8,249
Security Pacific
7.850% due 05/15/98 26 27
Western Federal Savings & Loan
6.470% due 06/25/18 (d) 123 120
6.814% due 11/25/18 (d) 465 460
10.061% due 02/01/20 (d) 127 135
-----------
123,424
===========
Stripped Mortgage-Backed Securities - 3.5%
Federal Home Loan Mortgage Corp. (IO) 22,768 1,676
6.250% due 09/15/04 26,935 2,178
6.000% due 02/15/06 18,339 3,111
9.982% due 07/15/06 6,013 973
10.195% due 08/15/06 8,459 1,837
11.944% due 12/15/06 7,896 820
6.000% due 10/15/07 10,552 721
7.000% due 07/15/12 23,606 2,078
6.500% due 08/25/13 7,095 665
7.000% due 12/15/15 7,321 2,007
7.000% due 08/15/18 17,254 2,010
7.500% due 12/15/18 32,074 4,173
6.500% due 05/15/19 31,607 3,977
6.500% due 06/15/19 11,580 2,064
10.496% due 04/15/21 16,569 2,540
6.500% due 04/15/22 1,681 264
7.000% due 05/15/23 20,919 5,890
4.000% due 01/15/24 22,425 6,566
4.000% due 03/15/24
Federal National Mortgage Assn. (IO) 7,116 850
6.000% due 07/25/05 6,500 1,655
7.272% due 09/25/06 57,731 1,373
0.100% due 03/25/09 7,314 1,136
6.500% due 03/25/09 7,705 1,944
6.500% due 03/25/09 21,500 3,124
8.815% due 06/25/16 4,895 593
7.000% due 07/25/17 9,467 1,117
9.987% due 12/25/18 16,383 2,390
7.500% due 03/25/19 58,737 8,026
6.500% due 04/25/20 12,409 1,444
7.500% due 05/25/20 31,397 4,422
7.000% due 05/25/21 5,000 1,457
8.598% due 02/25/22 19,585 1,115
4.875% due 03/25/24
Federal National Mortgage Assn. (PO) 8,500 8,282
0.000% due 01/25/20
Prudential Home (IO) 121,389 1,175
0.300% due 04/25/09
<CAPTION>
Principal
Amount Value
(000's) (000's)
==============================================================================
<S> <C> <C>
Resolution Trust Corp. (PO) $ 1,856 $ 1,712
0.000% due 09/25/00 145 118
0.000% due 09/25/22 -----------
85,483
-----------
Total Mortgage-Backed Securities 1,983,012
===========
(Cost $1,977,546)
Asset-Backed Securities - 0.8%
Premier Auto Trust
7.350% due 05/04/97 18,000 18,117
SCFC Boat Loan Trust
7.050% due 04/15/07 124 123
-----------
Total Asset-Backed Securities 18,240
===========
(Cost $19,207)
Sovereign Issues - 4.0%
Banco National de Obra y Servicios
10.750% due 08/16/96 1,500 1,515
6.875% due 10/01/98 10,000 9,000
Cemex
10.000% due 11/15/96 4,400 4,399
8.875% due 06/10/98 2,000 1,888
Nacional Financiera
6.000% due 12/19/96 13,500 12,926
8.406% due 12/15/97 (d) 1,057 988
5.875% due 02/17/98 2,000 1,673
6.250% due 12/03/98 (d) 1,500 1,313
Petroleos Mexicanos
8.250% due 02/04/98 5,000 4,856
8.750% due 03/05/97 1,000 998
Province of Quebec
6.250% due 10/26/01 (d) 250 245
Republic of Argentina
6.063% due 05/31/96 (d) 1,600 1,577
United Mexican States
5.820% due 06/28/01 10,000 7,600
6.875% due 12/31/19 (d) 30,000 21,038
6.969% due 12/31/19 (d) 10,000 7,013
7.219% due 12/31/19 (d) 30,000 21,038
-----------
Total Sovereign Issues 98,067
===========
(Cost $111,470)
Foreign Currency-Denominated Issues (c)(f) - 1.0%
Banco National de Comercio Exterior DM
8.000% due 05/06/98 3,500 2,433
General Motors Acceptance Corp. C$
11.750% due 12/13/95 23,700 17,814
11.450% due 01/24/96 5,000 3,773
-----------
Total Foreign Currency-Denominated Securities 24,020
===========
(Cost $23,981)
Purchased CME Put Option - 0.0%
Eurodollar December Futures $ 4,000 40
Strike @ 92.00 Exp. 12/18/95
-----------
Total Purchased CME Put Option 40
===========
(Cost $29)
Interest Rate Cap - 0.0%
3 Month LIBOR 250,000 3
Strike @ 88.00 Exp. 12/20/95
-----------
Total Interest Rate Cap 3
===========
(Cost $3)
</TABLE>
39
<PAGE>
<TABLE>
<CAPTION>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund
September 30, 1995 (unaudited)
Value
Shares (000's)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
Preferred Stock - 0.3%
Santander Overseas 25,000 $ 669
Texas Utilities Electric 27,000 6,618
----------
Total Preferred Stock 7,287
----------
(Cost $7,593)
Short-Term Instruments - 3.8%
<CAPTION>
Principal
Amount
(000's)
<S> <C> <C>
Discount Notes - 3.0%
AT&T Corp.
5.640% due 11/21/95 $ 200 198
5.670% due 12/08/95 12,000 11,865
Associates Corp. of North America
5.680% due 11/27/95 3,700 3,667
5.680% due 12/04/95 3,000 2,967
Commonwealth Bank
5.600% due 12/18/95 3,100 3,059
E.I. Du Pont de Nemours
5.660% due 11/09/95 9,600 9,543
Federal National Mortgage Assn.
5.580% due 10/23/95 2,000 1,993
General Electric Capital Corp.
5.740% due 10/06/95 1,200 1,199
Hewlett Packard Co.
5.680% due 01/05/96 11,000 10,826
5.670% due 01/09/96 3,000 2,951
Minnesota Mining & Mfg. Co.
5.640% due 11/14/95 8,565 8,507
National Rural Utilities Cooperative
5.720% due 10/13/95 2,000 1,997
New South Wales Treasury
5.680% due 10/12/95 8,400 8,387
Province of Alberta
5.650% due 11/02/95 2,200 2,189
U.S. West Capital Funding, Inc.
5.710% due 10/24/95 700 698
Wal-Mart Stores
5.710% due 10/04/95 3,500 3,499
------------
73,545
============
Repurchase Agreement - 0.6%
State Street Bank
5.25% due 10/02/95 13,635 13,635
------------
(Dated 09/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $13,835,619. Repurchase
proceeds are $13,640,965.)
U.S. Treasury Bills - 0.2%
5.377% due 10/26/95 - 02/08/96 (b) (g) 5,265 5,167
------------
Total Short-Term Instruments 92,347
============
(Cost $92,372)
TOTAL INVESTMENTS (A) - 123.7% $ 3,013,491
(Cost $3,015,300)
WRITTEN OPTIONS (E) - 0.0% (356)
(Premiums $1,219)
OTHER ASSETS AND LIABILITIES (NET) - (23.7%) (576,994)
-------------
NET ASSETS - 100.0% $ 2,436,141
=============
=======================================================================================
</TABLE>
<TABLE>
<S> <C>
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS):
(a) At September 30, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 29,715
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (31,524)
--------------
$ (1,809)
==============
(b) Securities with an aggregate market value of $5,167
have been segregated with the custodian to cover
margin requirements for the following open future
contracts at September 30, 1995:
</TABLE>
<TABLE>
<CAPTION>
Unrealized
Type Contracts Appreciation
_______________________________________________________________________________________________
<S> <C> <C>
U.S. Treasury 2 Year Note (12/95) 290 $ 32
U.S. Treasury 10 Year Note (12/95) 358 90
U.S. Treasury 30 Year Bond (12/95) 47 27
--------------
$ 149
==============
(c) Foreign forward currency contracts outstanding at
September 30, 1995:
<CAPTION>
Principal
Amount
Covered by Expiration Unrealized
Type Contract Month Depreciation
________________________________________________________________________________________________
<S> <C> <C> <C> <C>
Sell C$ 29,561 10/95 $ (30)
Sell DM 3,544 10/95 (16)
-------------
$ (46)
=============
(d) Variable rate security. The rate listed is as of September 30, 1995.
(e) Premiums received on OTC Written Options:
<CAPTION>
Premium Market
Type Par Received Value
________________________________________________________________________________________________
<S> <C> <C> <C> <C>
Eurodollar Futures
Strike @ 93.75 Exp. 12/18/95 4,706,000 $ 116 $ 3
Strike @ 91.00 Exp. 12/18/95 133,000 1,103 353
---------------------------------------
$ 1,219 $ 356
=======================================
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar DM - German Mark
(g) Securities are grouped by coupon and represent a range
of maturities.
See Notes to Financial Statements
</TABLE>
40
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Corporate Bonds and Notes 14.3%
U.S. Government Agency 0.5%
Short-Term Instruments 12.4%
Mortgage-Backed Securities 87.8%
Low Duration Fund II
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
Corporate Bonds and Notes - 14.3%
Banking and Finance - 11.3%
AT&T Capital Corp.
6.990% due 10/04/96 $ 5,000 $ 5,047
CIT Group Holdings
5.875% due 12/01/95 500 500
Chrysler Financial Corp.
8.220% due 12/27/96 2,000 2,045
Ford Motor Credit Corp.
8.000% due 12/01/96 5,000 5,098
Golden West Financial Corp.
8.625% due 08/30/98 3,000 3,164
Household Financial Corp.
7.800% due 11/01/96 3,200 3,250
Salomon, Inc.
8.550% due 02/17/97 1,900 1,945
Transamerica Financial
5.650% due 10/16/95 1,000 1,000
--------
22,049
========
Industrials - 3.0%
Ford Motor Co.
8.180% due 06/30/96 2,598 2,755
General Motors Corp.
9.750% due 05/15/99 3,000 3,066
--------
5,821
--------
Total Corporate Bonds and Notes 27,870
========
(Cost $27,461)
U.S. Government Agency - 0.5%
Government Trust Certificate - Israel
9.250% due 11/15/96 872 887
--------
Total U.S. Government Agency 887
========
(Cost $897)
Mortgage-Backed Securities - 87.8%
Federal Home Loan Mortgage Corporation - 2.7%
8.003% due 07/01/23 (c) 4,695 4,816
10.500% due 09/01/15 - 12/01/18 (d) 469 511
--------
5,327
========
Federal National Mortgage Association - 5.8%
5.360% due 01/01/24 (c) 5,215 5,261
7.113% due 02/01/25 (c) 3,209 3,281
8.500% due 02/01/98 - 06/01/98 (d) 137 140
9.000% due 06/01/98 201 206
10.500% due 05/01/12 2,208 2,427
--------
11,315
========
Government National Mortgage Association - 36.1%
7.000% due 04/20/22 (c) 7,798 7,919
7.000% due 07/20/23 - 10/19/25 (d) 25,259 25,584
7.375% due 06/20/22 (c) 7,612 7,762
7.500% due 03/15/24 - 10/19/25 (d) 11,473 11,590
8.000% due 11/20/25 15,000 15,416
9.000% due 07/20/16 - 12/20/17 (d) 1,897 1,986
--------
70,257
========
Collateralized Mortgage Obligations - 33.7%
American Housing
9.125% due 05/25/14 1,954 1,960
American Southwest Financial
7.500% due 10/01/18 1,000 1,013
Capstead
7.500% due 02/25/23 3,000 2,982
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
Citicorp Mortgage
9.500% due 09/25/02 $ 2,288 $ 2,346
9.500% due 10/25/15 2,020 2,072
Collateralized Mortgage Securities Corp.
9.000% due 04/25/10 4,846 4,971
11.875% due 04/01/15 452 493
10.000% due 07/20/20 6,419 6,849
Donaldson, Lufkin & Jenrette
7.689% due 03/25/23 (c) 1,841 1,855
6.756% due 05/25/24 (c) 4,299 4,373
Federal Home Loan Mortgage Corp.
8.500% due 05/15/04 2,000 2,038
12.900% due 05/01/14 603 630
8.600% due 06/15/19 3,692 3,743
Federal National Mortgage Assn.
9.250% due 10/25/18 279 289
7.000% due 08/25/22 1,000 1,002
General Electric Capital Corp.
7.500% due 11/25/18 125 125
Kidder Peabody
7.150% due 04/25/25 2,750 2,651
Lomas & Nettleton
12.000% due 03/17/14 291 307
Merrill Lynch Trust
9.100% due 04/20/00 5,972 6,009
Prudential Home
7.000% due 07/25/23 2,544 2,535
Residential Funding
7.500% due 10/25/22 2,083 2,049
Resolution Trust Corp.
6.850% due 10/25/21 (c) 522 520
Ryland
14.000% due 11/25/31 289 321
Salomon Mortgage
7.816% due 11/25/22 (c) 5,751 5,774
Saxon Mortgage
8.150% due 09/25/22 (c) 5,067 5,162
Sears Mortgage
8.548% due 05/25/32 (c) 1,856 1,927
UBS Mortgage
8.000% due 07/25/20 1,450 1,463
--------
65,459
========
Other Mortgage-Backed Securities - 9.5%
Guardian
8.075% due 07/25/19 (c) 286 235
7.748% due 10/25/19 (c) 826 628
7.218% due 07/25/20 (c) 1,607 1,221
Resolution Trust Corp.
6.608% due 05/25/19 (c) 2,893 2,799
8.625% due 10/25/21 1,139 1,142
7.872% due 10/25/28 (c) 7,513 7,624
Salomon Mortgage
12.125% due 04/01/16 172 195
Sears Mortgage
6.500% due 03/25/17 518 459
7.592% due 10/25/22 (c) 4,095 4,125
--------
18,428
--------
Total Mortgage-Backed Securities 170,786
========
(Cost $171,277)
</TABLE>
41
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund II
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=================================================================================
<S> <C> <C>
Short-Term Instruments - 12.4%
Discount Notes - 11.0%
Associates Corp. of North America
5.680% due 11/27/95 $ 6,000 $ 5,947
AT&T Corp.
6.070% due 10/02/95 100 100
5.700% due 10/31/95 2,500 2,489
5.640% due 11/21/95 500 496
Eli Lilly & Co.
5.660% due 12/06/95 1,000 989
Federal National Mortgage Assn.
5.605% due 10/26/95 2,700 2,690
General Electric Capital Corp.
6.500% due 10/02/95 2,800 2,800
5.740% due 10/13/95 1,300 1,298
Hewlett Packard Co.
5.590% due 10/17/95 2,500 2,494
5.640% due 11/14/95 400 397
Proctor & Gamble Co.
5.650% due 11/10/95 700 696
Wal-Mart Stores
5.710% due 10/04/95 1,000 1,000
---------
21,396
=========
Repurchase Agreement - 1.1%
State Street Bank
5.250% due 10/02/95 2,197 2,197
---------
(Dated 9/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $2,244,009. Repurchase
proceeds are $2,197,961)
U.S. Treasury Bills - 0.3%
5.600% due 11/16/95 - 02/08/96 (b)(d) 585 576
---------
Total Short-Term Instruments 24,169
=========
(Cost $24,169)
TOTAL INVESTMENTS (A) - 115.0% $ 223,712
(Cost $223,804)
OTHER ASSETS AND LIABILITIES (NET) - (15.0%) (29,179)
---------
NET ASSETS - 100.0% $ 194,533
=========
================================================================================
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS):
(a) At September 30, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 2,023
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (2,115)
----------
Unrealized depreciation-net $ (92)
==========
(b) Securities with an aggregate market value of $576
have been segregated with the custodian to cover
margin requirements for the following open future
contracts at September 30, 1995:
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- ----------------------------------------------------------------------------------
U.S. Treasury 2 Year Note (12/95) 40 $ 4
U.S. Treasury 5 Year Note (12/95) 200 (6)
U.S. Treasury 10 Year Note (12/95) 152 24
U.S. Treasury 10 Year Note (12/95) 76 35
---------
$ 57
=========
</TABLE>
(c) Variable rate security. The rate listed is as of September 30, 1995.
(d) Securities are grouped by coupon and represent a range
of maturities.
See Notes to Financial Statements
42
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Foreign 14.4%
Corporate Bonds and Notes 27.9%
Mortgage-Backed Securities 52.5%
Short-Term Instruments 12.5%
Other 3.3%
Short-Term Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================
<S> <C> <C>
Corporate Bonds and Notes - 27.9%
Banking and Finance - 20.9%
Advanta Corp.
6.050% due 08/07/96 $ 2,000 $ 1,999
Banesto
6.787% due 12/28/95 (b) 1,000 1,006
Capital One Bank
6.250% due 07/11/95 2,200 2,199
6.436% due 07/30/96 (b) 1,000 999
Ford Motor Credit Corp.
5.940% due 11/09/98 (b) 2,600 2,577
5.570% due 03/23/99 (b) 1,000 989
5.495% due 04/05/99 (b) 1,500 1,503
General Motors Acceptance Corp.
8.800% due 04/04/96 1,500 1,520
8.800% due 07/08/96 1,300 1,326
5.250% due 12/09/96 2,000 1,980
Kansallis-Osake
8.438% due 09/30/43 (b) 1,000 1,025
Salomon, Inc.
6.138% due 03/14/96 (b) 500 496
6.263% due 03/15/96 (b) 500 499
6.870% due 10/21/96 (b) 500 497
6.558% due 11/21/96 (b) 1,000 998
--------
19,613
========
Industrials - 3.5%
Avencor Ltd.
9.220% due 06/30/96 1,000 1,024
Delta Air Lines
9.875% due 01/01/98 1,000 1,063
Nafin Finance Trust
8.388% due 03/31/99 (b) 651 505
Time Warner, Inc.
6.835% due 08/15/00 (b),(c) 697 699
--------
3,291
========
Utilities - 3.5%
CMS Energy
9.500% due 10/01/97 (c) 1,000 1,033
Transco Energy
9.500% due 12/01/95 1,000 1,005
Triton Energy
0.000% due 11/01/97 (c) 1,500 1,284
--------
3,322
--------
Total Corporate Bonds and Notes 26,226
========
(Cost $25,992)
Mortgage-Backed Securities - 52.5%
Federal National Mortgage Association - 2.3%
6.648% due 10/01/19 (b) 259 265
7.346% due 09/01/23 (b) 1,937 1,936
--------
2,201
========
Government National Mortgage Association - 13.2%
6.000% due 09/20/25 (b) 3,038 3,045
6.500% due 07/20/24 5,395 5,464
6.500% due 09/20/24 (b) 3,904 3,954
--------
12,463
========
Collateralized Mortgage Obligations - 23.6%
Donaldson, Lufkin & Jenrette
7.440% due 10/17/20 (b) 2,341 2,365
7.810% due 09/01/21 (b) 153 152
7.519% due 06/25/22 (b) 876 884
8.071% due 02/25/23 (b) 867 875
<CAPTION>
Principal
Amount Value
(000's) (000's)
=======================================================================
<S> <C> <C>
7.554% due 05/25/23 (b) $ 1,236 $ 1,245
7.857% due 12/25/23 (b) 496 498
General Electric Capital Mortgage
6.500% due 01/25/24 1,109 1,105
Greenwich
7.456% due 10/25/22 380 382
7.679% due 04/25/24 (b) 415 415
Housing Securities, Inc.
6.750% due 05/25/20 702 696
JP Morgan Acceptance Corp.
9.000% due 10/20/07 631 637
Prudential Bache
6.394% due 09/01/18 90 91
Prudential Home
7.000% due 05/25/99 4,385 4,396
7.625% due 08/25/22 416 414
6.750% due 01/25/24 3,145 3,114
Resolution Trust Corp.
6.000% due 01/15/04 194 194
6.899% due 07/25/19 (b) 482 483
8.819% due 12/25/20 1,208 1,225
7.358% due 01/15/04 51 52
7.178% due 06/25/24 (b) 958 956
Ryland Acceptance Corp.
7.404% due 08/25/21 (b) 990 996
SKW Realty L.P.
9.050% due 04/15/04 1,000 1,001
--------
22,176
========
Other Mortgage-Backed Securities - 6.4%
Dime Savings
7.113% due 11/25/18 693 645
Guardian
7.361% due 12/25/19 (b) 494 356
7.008% due 02/25/20 (b) 779 529
7.210% due 02/25/20 706 487
Neutron - Uniprop, Inc.
8.430% due 12/15/25 1,000 904
Resolution Trust Corp.
6.425% due 04/25/21 76 76
8.625% due 10/25/21 1,000 1,018
7.068% due 05/25/29 1,500 1,516
Ryland Acceptance Corp.
6.673% due 10/25/18 98 98
7.159% due 12/25/21 (b) 418 420
--------
6,049
========
Stripped Mortgage-Backed Securities - 7.0%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 01/15/08 5,263 123
Federal National Mortgage Assn. (IO)
6.000% due 10/25/03 7,000 599
7.000% due 07/25/06 9,439 1,053
6.500% due 12/25/06 10,391 1,347
7.000% due 05/25/13 6,000 493
6.500% due 06/25/17 8,984 1,242
6.500% due 10/25/23 4,614 825
L.F. Rothchild Mortgage (PO)
0.000% due 04/01/17 959 899
--------
6,581
--------
Total Mortgage-Backed Securities 49,470
========
(Cost $50,164)
</TABLE>
43
<PAGE>
<TABLE>
<CAPTION>
SCHEDULE OF INVESTMENTS (Cont.)
Short-Term Fund
September 30, 1995 (unaudited)
Principal
Amount Value
(000's) (000's)
===============================================================================================
<S> <C> <C>
Sovereign Issues - 3.3%
Cemex
10.000% due 11/15/96 $ 1,000 $ 1,000
Government of Malaysia
6.000% due 10/19/05 (b) 1,250 1,250
United Mexican States
11.188% due 07/21/97 (b) 800 814
--------
Total Sovereign Issues 3,064
========
(Cost $3,083)
Foreign Currency-Denominated Issues (f) -14.4%
Commonwealth of Canda
8.000% due 03/15/97 (f) C$ 5000 3,784
Irish Gilt
8.750% due 07/27/97 (f) IP 3250 5,413
Kingdom of Spain
7.300% due 07/30/97 SP 560,000 4,310
--------
Total Foreign Currency-Denominated Issues 13,507
========
(Cost $13,377)
Short-Term Instruments - 12.5%
Discount Notes - 11.8%
AT&T Corp.
5.640% due 11/22/95 $ 2,000 1,984
Associates Corp. of North America
5.700% due 11/28/95 2,000 1,982
Federal National Mortgage Association
5.580% due 10/23/95 400 399
Government of Western Australia
5.700% due 11/15/95 1,500 1,490
Hewlett Packard Co.
5.670% due 11/07/95 600 597
Minnesota Mining & Mfg Co.
5.730% due 11/14/95 500 497
New South Wales Treasury
5.680% due 10/12/95 200 200
Queensland Treasury Corp.
5.630% due 11/08/95 1,000 994
USX Corp.
6.192% due 10/30/95 3,000 2,986
--------
11,129
========
Repurchase Agreement - 0.6%
State Street Bank
5.25% due 10/02/95. 519 519
--------
(Dated 09/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $532,300. Repurchase
proceeds are $519,227.)
U.S. Treasury Bill - 0.1%
6.125% due 11/16/95 80 79
--------
Total Short-Term Instruments 11,727
========
(Cost $11,727)
TOTAL INVESTMENTS (A) - 110.6% $ 103,994
(Cost $104,343)
WRITTEN OPTIONS (D) - 0.0% (38)
(Premium $119)
OTHER ASSETS AND LIABILITIES (NET) - (10.6%) (9,882)
--------
NET ASSETS - 100.0% $ 94,074
========
===============================================================================================
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS):
(a) At September 10, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 586
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (935)
---------
Unrealized depreciation-net $ (349)
=========
</TABLE>
(b) Variable rate security. The rate listed is as of September 30, 1995.
(c) Security becomes interest bearing at a future date.
(d) Premium received on Written Options:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Put CME Eurodollar December Futures
Strike @ 92.00 Exp. 12/18/95 $ 73,000 $ 89 $ 2
Put CME Eurodollar March Futures
Strike @ 94.00 Exp. 3/18/96 41,000 30 14
Put MATIF PIBOR
Strike @ 93.00 Exp. 12/18/95 FF 120,000 20 22
--------------------------
$ 139 $ 38
==========================
(e) Securities are grouped by coupon and represent a range
of maturities.
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
FF - French Franc
IP - Irish Punt
SP - Spanish Peseta
See Notes to Financial Statements.
</TABLE>
44
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
SHORT-TERM INSTRUMENTS 41.7%
MORTAGE-BACKED SECURITIES 60.8%
Long-term U.S Government Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
========================================================================
<S> <C> <C>
MORTGAGE-BACKED SECURITIES - 60.8%
Federal Home Loan Mortgage Corporation - 1.9%
7.772% due 05/01/22 (b) $ 436 $ 445
8.240% due 06/01/22 (b) 371 379
------
824
======
Federal Housing Administration - 0.6%
7.640% due 11/01/19 263 265
------
Federal National Mortgage Association - 4.9%
6.587% due 05/01/25 (b) 1,319 1,353
6.662% due 10/01/24 (b) 814 838
------
2,191
======
Government National Mortgage Association - 7.2%
6.500% due 03/20/25 (b) 488 495
7.000% due 06/20/23 - 11/20/24 (b)(e) 2,642 2,698
------
3,193
======
Collateralized Mortgage Obligations - 38.6%
Bear Stearns
7.100% due 06/25/24 385 371
California Federal Bank
6.842% due 08/25/30 (b) 2,008 2,002
Federal Home Loan Mortgage Corp.
9.500% due 01/15/05 216 228
8.000% due 03/15/05 309 311
8.600% due 03/15/16 28 28
6.500% due 07/15/21 156 144
Federal National Mortgage Assn.
6.900% due 06/25/13 1,326 1,323
8.000% due 01/25/19 441 443
8.750% due 08/25/20 500 517
7.000% due 09/25/21 1,643 1,575
8.000% due 11/25/21 1,340 1,326
8.000% due 03/25/22 84 84
7.000% due 06/25/22 299 265
7.500% due 07/25/22 1,267 1,266
7.800% due 10/25/22 627 640
7.000% due 05/25/23 189 160
General Electric Capital Mortgage
7.500% due 03/25/19 248 250
Government National Mortgage Assn.
7.988% due 07/16/24 549 558
Independent National Mortgage Corp.
8.158% due 01/25/25 (b) 875 903
Prudential Home
6.500% due 01/25/24 1,000 864
Residential Funding
6.831% due 03/25/25 (b) 903 917
Resolution Trust Corp.
7.075% due 06/25/23 (b) 661 665
Ryland Acceptance Corp.
7.665% due 11/28/22 (b) 1,000 1,017
Vendee Mortgage
6.500% due 06/15/24 1,627 1,300
------
17,157
======
Other Mortgage-Backed Securities - 4.7%
Residential Funding
8.500% due 04/01/02 46 47
Resolution Trust Corp.
7.068% due 05/25/29 (b) 2,000 2,022
------
2,069
======
<CAPTION>
Principal
Amount Value
(000's) (000's)
=============================================================================
<S> <C> <C>
Stripped Mortgage-Backed Securities - 2.9%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/06 $ 715 $ 82
6.500% due 10/15/06 1,301 137
6.500% due 11/15/06 1,407 159
6.000% due 10/15/07 1,496 153
2.675% due 12/15/08 4,006 195
6.500% due 08/25/20 1,000 193
Federal National Mortgage Assn. (IO)
6.500% due 02/25/07 869 95
6.500% due 09/25/21 1,718 274
------
1,288
------
Total Mortgage-Backed Securities 26,987
======
(Cost $26,225)
PURCHASED CME OPTIONS - 0.0%
Call - Eurodollar December Futures
Strike @ 95.50 Exp. 12/18/95 38,000 1
Put - Eurodollar December Futures
Strike @ 90.00 Exp. 12/18/95 25,000 1
Put - Eurodollar March Futures
Strike @ 91.00 Exp. 3/18/96 14,000 0
------
Total Purchased CME Options 2
======
(Cost $7)
OTC INTEREST RATE CAP - 0.0%
3 Month LIBOR
Strike @ 87.25 Exp. 12/20/95 3,000 0
------
Total OTC Interest Rate Cap 0
======
(Cost $0)
SHORT-TERM INSTRUMENTS - 41.7%
Discount Notes - 38.0%
Abbott Laboratories
5.690% due 10/11/95 300 300
5.760% due 10/11/95 800 799
6.030% due 10/17/95 1,100 1,097
AT&T Corp.
6.070% due 10/02/95 500 500
5.700% due 10/31/95 400 398
5.650% due 11/03/95 1,200 1,194
Associates Corp. of North America
5.690% due 11/16/95 100 99
Campbell Soup Co.
5.720% due 10/26/95 1,100 1,095
Coca-Cola Co.
5.870% due 10/11/95 1,500 1,498
E.I. Du Pont de Nemours
5.640% due 10/03/95 1,100 1,100
Federal National Mortgage Assn.
5.605% due 10/26/95 600 598
Hewlett Packard
5.730% due 10/17/95 750 748
5.640% due 11/14/95 1,000 993
Minnesota Mining & Mfg. Co.
5.640% due 11/14/95 1,500 1,490
5.820% due 11/15/95 800 794
National Rural Utilities Cooperative
5.720% due 10/04/95 100 100
5.720% due 10/13/95 700 699
Pitney Bowes Credit, Inc.
5.740% due 10/03/95 750 750
5.710% due 10/23/95 700 698
</TABLE>
45
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Long-Term U.S. Government Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- -----------------------------------------------------------------------
<S> <C> <C>
Rockwell International
5.730% due 10/10/95 $ 200 $ 200
U.S. West Communications
5.685% due 10/06/95 600 600
Warner Lambert
5.690% due 10/23/95 1,100 1,096
----------
16,846
==========
Repurchase Agreement-1.9%
State Street Bank
5.250% due 10/02/95 850 850
----------
(Dated 9/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $871,510. Repurchase
proceeds are $850,372)
U.S. Treasury Bills-1.8%
5.555% due 10/26/95 - 02/08/96 (c)(e) 825 817
----------
Total Short-Term Instruments 18,513
==========
(Cost $18,514)
Total Investments (a) - 102.5% $ 45,502
(Cost $44,746)
Written Options (d) - (0.2%) (94)
(Premiums $102)
Other Assets and Liabilities (Net) - (2.3%) (1,011)
-----------
Net Assets - 100.0% $ 44,397
===========
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 854
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (98)
----------
Unrealized appreciation-net $ 756
==========
(b) Variable rate security. The rate
listed is as of September 30, 1995.
(c) Securities with an aggregate market value of
$817 have been segregated with the custodian
to cover margin requirements for the following
open future contracts at September 30, 1995:
<CAPTION>
Unrealized
Type Contracts Appreciation
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 30 Year Bond (12/95) 305 $ 270
=======================================================================
</TABLE>
(d) Premiums received on Written Options:
<TABLE>
<CAPTION>
Premiums Market
Type Par Received Value
- -----------------------------------------------------------------------
<S> <C> <C> <C>
CBOT Put - U.S. T-Bond Futures
Strike @108.00 Exp. 11/18/95 $ 600 $ 9 $ 1
CME Call - Eurodollar December Futures
Strike @ 93.25 Exp. 12/18/95 15,000 18 36
Strike @ 93.50 Exp. 12/18/95 23,000 20 41
CME Put - Eurodollar December Futures
Strike @ 91.00 Exp. 12/18/95 1,000 1 0
CME Put - Eurodollar March Futures
Strike @ 92.00 Exp. 3/18/96 10,000 12 0
Strike @ 92.25 Exp. 3/18/96 20,000 15 1
Strike @ 94.00 Exp. 3/18/96 31,000 23 11
CME Put - Eurodollar June Futures
Strike @ 94.00 Exp. 6/17/96 6,000 4 4
-------------------------
$102 $ 94
=========================
</TABLE>
(e) Securities are grouped by coupon rate and represent a range of
maturities.
See Notes to Financial Statements
46
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Finland 20.3%
Japan 18.6%
United States 48.5%
Canada 7.9%
Other 26.0%
Germany 11.0%
Mexico 10.7%
United Kingdom 13.0%
Short-Term Instruments 5.5%
Netherlands 6.2%
Foreign Fund
September 30 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
<S> <C> <C> <C>
Argentina (f) - 0.2%
Republic of Argentina
19.100% due 05/01/01 AP 900 $ 525
--------
Total Argentina 525
========
(Cost $522)
Belgium (b)(f) - 3.0%
Country of Belgium
9.000% due 03/28/03 BF 180,000 6,876
--------
Total Belgium 6,876
========
(Cost $5,890)
Canada (b)(f) - 7.9%
Commonwealth of Canada
8.750% due 12/01/05 C$ 17,800 14,182
Hydro-Quebec
6.563% due 09/30/49 (d) $ 4,000 3,478
Sears Canada
11.700% due 07/10/00 C$ 1,000 846
--------
Total Canada 18,506
========
(Cost $18,309)
Denmark (b)(f) - 4.1%
Kingdom of Denmark
6.125% due 04/15/98 DM 5,000 3,597
7.000% due 12/15/04 DK 35,000 5,929
--------
Total Denmark 9,526
========
(Cost $8,281)
Finland (b)(f) - 20.3%
Republic of Finland
10.000% due 09/15/01 FM 142,000 36,611
9.500% due 03/15/04 42,000 10,789
--------
Total Finland 47,400
========
(Cost $46,352)
France (b)(f) - 2.6%
Republic of France
7.000% due 10/12/00 FF 18,700 3,837
8.500% due 11/25/02 10,000 2,170
--------
Total France 6,007
========
(Cost $5,869)
Germany (b)(f) - 11.0%
Republic of Germany
6.250% due 01/04/24 DM 42,600 25,667
--------
Total Germany 25,667
========
(Cost $25,134)
Ireland (b)(f) - 3.8%
Irish Gilt
9.750% due 06/01/98 IP 5,200 8,913
--------
Total Ireland 8,913
========
(Cost $8,829)
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
<S> <C> <C> <C>
Italy (b)(f) - 4.3%
Republic of Italy
10.500% due 09/01/05 IL17,310,000 $ 9,924
---------
Total Italy 9,924
=========
(Cost $10,078)
Japan (b)(f) - 18.6%
Government of Japan
6.400% due 03/20/00 JY 3,590,000 43,333
---------
Total Japan 43,333
=========
(Cost $43,169)
Mexico (b)(f) - 10.7%
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 13,000 9,038
Banco Nacional de Obra y Servicios
10.750% due 08/16/96 $ 850 859
Bancomer
8.000% due 07/07/98 2,000 1,828
Nacional Financiera
6.000% due 12/19/96 1,000 958
8.406% due 12/15/97 (d) 740 692
Petroleos Mexicanos
7.750% due 09/30/98 FF 44,000 8,271
United Mexican States
5.820% due 06/28/01 $ 4,500 3,420
--------
Total Mexico 25,066
========
(Cost $23,724)
Netherlands (b)(f) - 6.2%
Kingdom of Netherlands
5.750% due 01/15/04 DG 14,100 8,395
8.250% due 02/15/07 8,800 6,100
--------
Total Netherlands 14,495
========
(Cost $14,238)
Panama - 1.7%
Bladex
6.875% due 05/23/96 (d) $ 4,000 3,997
--------
Total Panama 3,997
========
(Cost $3,998)
Spain (f) - 2.3%
Kingdom of Spain
10.000% due 02/28/05 SP 690,000 5,301
--------
Total Spain 5,301
========
(Cost $5,236)
United Kingdom (b)(f) - 13.0%
United Kingdom Gilt
10.250% due 11/22/99 BP 12,400 21,437
9.750% due 08/27/02 5,100 8,812
13.500% due 03/26/08 50 105
--------
Total United Kingdom 30,354
========
(Cost $29,984)
</TABLE>
47
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Foreign Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
====================================================================================================
<S> <C> <C>
United States - 48.5%
Corporate Bonds and Notes - 17.8%
Chrysler Financial Corp.
4.710% due 11/17/95 $ 3,000 $ 2,996
Ford Motor Credit Corp.
6.540% due 03/30/99 (d) 4,000 3,958
5.470% due 04/13/99 (d) 5,000 4,934
General Motors Acceptance Corp.
7.125% due 05/23/97 3,000 3,041
7.850% due 11/17/97 9,000 9,277
Merrill Lynch & Co.
7.053% due 02/26/96 (d) 5,000 4,968
Salomon, Inc.
7.400% due 03/28/96 7,800 7,824
Time Warner, Inc.
6.835% due 08/15/00 (d) 875 877
7.975% due 08/15/04 525 537
8.110% due 08/15/06 1,050 1,076
8.180% due 08/15/07 1,050 1,075
Transcontinental Gas Pipeline
6.210% due 05/15/00 (d) 1,000 999
------------
41,562
============
Mortgage-Backed Securities - 30.7%
Chase Mortgage
7.500% due 11/25/23 658 658
Collateralized Mortgage Obligation Trust
9.000% due 05/01/14 122 124
Countrywide
7.177% due 11/25/24 (d) 842 860
Federal Home Loan Mortgage Corporation
4.750% due 02/15/04 1,499 1,496
9.050% due 06/15/19 251 260
9.000% due 11/15/19 101 102
7.573% due 01/01/24 (d) 759 785
7.345% due 08/01/24 (d) 4,254 4,366
Federal Home Loan Mortgage Corp. (IO)
6.500% due 01/15/19 30,591 3,334
Federal National Mortgage Association
9.050% due 12/25/18 2,707 2,814
5.706% due 04/01/24 (d) 485 492
6.429% due 12/01/27 (d) 1,088 1,097
Government National Mortgage Association
7.375% due 05/20/23 (d) 1,742 1,783
6.500% due 07/20/23 (d) 5,941 6,014
7.000% due 09/20/23 (d) 1,198 1,221
6.500% due 10/20/23 (d) 973 993
7.000% due 10/20/23 (d) 4,988 5,082
7.375% due 06/20/24 (d) 1,365 1,398
7.000% due 09/20/24 (d) 1,088 1,116
6.500% due 10/20/24 (d) 775 785
7.000% due 04/20/25 (d) 72 74
7.000% due 05/20/25 (d) 907 925
MBLAC - NY REO Associates L.P.
9.375% due 02/01/98 (d) 3,637 3,640
Merrill Lynch & Co.
11.450% due 10/01/15 1,023 1,023
Morgan Stanley Mortgage Trust
8.150% due 07/20/21 7 6
PaineWebber Mortgage
7.000% due 10/25/23 2,721 2,716
Resolution Trust Corp.
6.888% due 12/15/04 (d) 1,412 1,418
7.500% due 12/15/04 2,000 2,006
10.611% due 05/25/24 (d) 453 473
7.750% due 04/25/28 5,543 5,537
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
====================================================================================================
<S> <C> <C>
Ryland Acceptance Corp.
7.873% due 09/25/23 (d) $ 17,401 $ 17,662
Sears Mortgage
7.355% due 06/25/22 (d) 340 340
8.250% due 09/25/31 932 933
------------
71,533
------------
Total United States 113,095
============
(Cost $113,099)
Purchased OTC Options (f) - 4.0%
Call - Government of Germany (h)
6.25% due 01/04/24
Strike @ 74.00 Exp. 10/10/95 DM 47,000 4,094
Call - Government of Japan (h)
4.60% due 06/22/98
Strike @ 103.00 Exp. 10/19/95 JY 7,180,000 4,879
Put - Japanese Yen v. U.S. Dollar
Strike @ 100.00 Exp. 10/03/95 600,000 382
------------
Total Purchased OTC Options 9,355
============
(Cost $9,102)
Short-Term Instruments - 5.5%
Discount Notes - 3.7%
AT&T Corp.
5.710% due 10/20/95 $ 500 499
5.710% due 11/03/95 1,000 995
General Electric Capital Corp.
6.500% due 10/02/95 3,000 3,000
5.740% due 10/13/95 1,900 1,897
KFW International Finance
5.750% due 10/05/95 200 200
USX Corp.
6.191% due 10/31/95 2,000 1,990
------------
8,581
============
Repurchase Agreement -0.5%
State Street Bank
5.250% due 10/02/95 1,191 1,191
============
(Dated 09/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $1,215,940. Repurchase
proceeds are $1,191,521)
U.S. Treasury Bills - 1.3%
5.657% due 11/16/95 - 02/08/96 (c)(g) 3,185 3,150
------------
Total Short-Term Instruments 12,922
============
(Cost $12,921)
TOTAL INVESTMENTS (A) - 167.7% $ 391,262
(Cost $384,735)
WRITTEN OPTIONS (E) - (0.2%) (441)
(Premiums $240)
OTHER ASSETS AND LIABILITIES (NET) - (67.5%) (157,525)
------------
NET ASSETS - 100.0% $ 233,296
============
</TABLE>
48
<PAGE>
===============================================================================
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 8,183
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (1,656)
------------
Unrealized appreciation-net $ 6,527
==========
(b) Foreign forward currency contracts outstanding at
September 30, 1995:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type By Contract Month (Depreciation)
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell A$ 214 10/95 $ 0
Sell BF 209,089 10/95 (79)
Sell BP 19,706 10/95 (365)
Buy C$ 12,388 10/95 138
Sell C$ 1,362 10/95 (2)
Buy DG 21,535 10/95 449
Sell DG 36,870 10/95 (657)
Buy DK 40,157 9/96 221
Buy DK 34,522 10/95 (157)
Buy DM 10,541 10/95 (15)
Sell DM 67,179 10/95 (865)
Buy FM 332 10/95 1
Buy FM 24,050 9/96 88
Sell FM 84,828 10/95 (712)
Buy FF 23,591 9/96 137
Sell FF 79,047 10/95 (89)
Buy IP 5,673 10/95 6
Sell IP 5,673 11/95 (7)
Buy IL 18,892,829 9/96 47
Buy JY 8,631,701 10/95 188
Sell JY 2,232,262 10/95 (32)
Sell JY 7,180,000 10/96 (459)
Sell SF 2 10/95 0
Buy SK 50,632 9/96 147
-------------
$ (2,017)
=============
</TABLE>
(c) Securities with an aggregate market value of $3,150
have been segregated with the custodian to cover
margin requirements for the following open future
contracts at September 30, 1995:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- ------------------------------------------------------------------------------
<S> <C> <C>
Government of Australia 10 Year Bond 42 $ 61
Republic of France 10 Year Bond 124 (150)
Government of Japan 10 Year Bond 20 766
U.S. Treasury 10 Year Note (12/95) 298 (123)
U.S. Treasury 30 Year Bond (12/95) 191 (248)
-------------
$ 306
=============
(d) Variable rate security. The rate listed is as of September 30, 1995.
==============================================================================
(e) Premiums received on OTC Written Options:
<CAPTION>
Premium Market
Type Par Received Value
- ------------------------------------------------------------------------------
<S> <C> <C>
Call - Japanese Yen v. U.S. Dollar
Strike @ 92.00 Exp. 10/03/95 JY 600,000 $ 189 $ 241
Put - Japanese Yen v. U.S. Dollar
Strike @ 108.00 Exp. 10/03/95 600,000 51 200
-------------------------
$ 240 $ 441
=========================
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar FM - Finnish Markka
AP - Argentine Peso FF - French Franc
BF - Belgian Franc IP - Irish Punt
BP - British Pound IL - Italian Lira
C$ - Canadian Dollar JY - Japanese Yen
DG - Dutch Guilder SF - Swiss Franc
DK - Danish Kroner SK - Swedish Krona
DM - German Mark SP - Spanish Peseta
(g) Securities are grouped by coupon rate and represent a range of
maturities.
(h) Security is subject to outstanding short sale committment.
</TABLE>
See Notes to Financial Statements
49
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
United States 41.1%
Other 23.9%
Japan 18.0%
Short-Term Instruments 12.6%
Netherlands 5.2%
United Kingdom 8.1%
Finland 23.9%
Germany 6.5%
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
====================================================================
<S> <C> <C> <C>
Argentina (g) - 0.4%
Republic of Argentina
19.100% due 05/01/01 AP 600 $ 350
-----------
Total Argentina 350
===========
(Cost $348)
Canada (b)(g) - 4.8%
Commonwealth of Canada
9.000% due 12/01/04 C$ 3,000 2,417
8.750% due 12/01/05 2,900 2,310
-----------
Total Canada 4,727
===========
(Cost $4,371)
Denmark (b)(g) - 1.2%
Kingdom of Denmark
7.000% due 12/15/04 DK 7,000 1,186
-----------
Total Denmark 1,186
===========
(Cost $1,039)
Finland (b)(g) - 23.9%
Republic of Finland
10.000% due 09/15/01 FM 76,000 19,594
9.500% due 03/15/04 15,000 3,853
-----------
Total Finland 23,447
===========
(Cost $22,859)
France (b)(g) - 0.7%
Republic of France
7.750% due 10/25/05 FF 3,450 712
-----------
Total France 712
===========
(Cost $710)
Germany (b)(g) - 6.5%
German Unity Fund
8.000% due 01/21/02 DM 2,600 1,976
Republic of Germany
7.125% due 01/29/03 2,900 2,100
7.500% due 11/11/04 3,150 2,322
-----------
Total Germany 6,398
==========
(Cost $6,012)
Ireland (b)(g) - 3.9%
Irish Gilt
9.750% due 06/01/98 IP 2,200 3,771
-----------
Total Ireland 3,771
===========
(Cost $3,735)
Italy (b)(g) - 1.9%
Republic of Italy
10.500% due 09/01/05 IL 3,240,000 1,886
-----------
Total Italy 1,886
===========
(Cost $1,886)
Japan (b)(g) - 18.0%
Government of Japan
6.400% due 03/20/00 JY 1,465,000 17,683
-----------
Total Japan 17,683
===========
(Cost $17,616)
====================================================================
Mexico (b)(g) - 3.2%
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 500 $ 348
11.250% due 05/31/96 1,300 1,302
Banco Nacional de Obra y Servicios
10.750% due 08/16/96 $ 500 505
Cemex
10.000% due 11/15/96 1,000 1,000
-----------
Total Mexico 3,155
===========
(Cost $3,123)
Netherlands (b)(g) - 5.2%
Kingdom of Netherlands
9.000% due 05/15/00 DG 1,200 848
7.000% due 06/15/05 1,800 1,152
8.250% due 02/15/07 4,400 3,050
-----------
Total Netherlands 5,050
===========
(Cost $5,066)
Panama - 2.0%
Bladex
6.875% due 05/23/96 (d) $ 2,000 1,999
-----------
Total Panama 1,999
===========
(Cost $1,999)
Spain (b)(g) - 3.0%
Kingdom of Spain
10.000% due 02/28/05 SP 115,000 884
Santander Finance Ltd.
7.750% due 05/15/05 $ 2,000 2,073
-----------
Total Spain 2,957
===========
(Cost $2,904)
United Kingdom (b)(g) - 8.1%
United Kingdom Gilt
6.000% due 08/10/99 BP 2,700 4,058
10.250% due 11/22/99 2,250 3,890
-----------
Total United Kingdom 7,948
===========
(Cost $7,874)
United States - 41.1%
Corporate Bonds and Notes - 15.6%
CMS Energy
0.000% due 10/01/97 (e) $ 750 775
CTC Mansfield Funding
11.125% due 09/30/16 700 711
General Motors Acceptance Corp.
6.250% due 11/20/95 2,000 2,002
6.750% due 05/20/96 1,000 1,005
6.500% due 05/15/97 1,000 1,004
Kansallis-Osake
8.438% due 09/30/43 (d) 5,000 5,125
Occidental Petroleum
11.750% due 03/15/11 1,000 1,071
Salomon, Inc.
7.400% due 03/28/96 3,000 3,009
United Air Lines
10.670% due 05/01/04 500 583
-----------
15,285
===========
</TABLE>
50
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
===================================================================
<S> <C> <C>
Mortgage-Backed Securities - 25.5%
Countrywide
7.177% due 11/25/24 (d) $ 421 $ 430
Federal Home Loan Mortgage Assn.
5.828% due 03/01/24 (d) 813 824
5.874% due 11/01/23 (d) 1,552 1,603
6.429% due 12/01/27 (d) 487 491
7.573% due 01/01/24 (d) 169 174
7.850% due 05/01/23 (d) 1,921 1,992
Federal Housing Administration
7.399% due 02/01/21 1,721 1,746
Federal National Mortgage Assn.
6.500% due 04/01/09 920 907
7.500% due 11/01/01 - 01/01/02 (h) 1,394 1,420
Government National Mortgage Assn.
6.500% due 07/20/22 - 10/20/24 (d)(h) 5,290 5,353
7.000% due 04/20/25 - 05/20/25 (d)(h) 391 400
7.375% due 05/20/23 - 06/20/24 (d)(h) 2,419 2,471
MDC Mortgage Funding
7.984% due 01/25/25 (d) 1,558 1,603
Residential Funding
6.831% due 03/25/25 (d) 4,516 4,583
Resolution Trust Corp.
8.000% due 04/25/25 1,000 1,033
---------
25,030
---------
Total United States 40,315
=========
(Cost $39,778)
Purchased OTC Options (g) - 2.8%
Call - Government of Germany (i)
6.25% due 1/04/24
Strike @ 74.00 Exp. 10/10/95 DM 8,000 697
Call - Government of Japan (i)
4.6% due 6/22/98
Strike @ 103.00 Exp. 10/19/95 JY 2,930,000 1,991
Put - Japanese Yen v. U.S. Dollar
Strike @ 100.00 Exp. 10/03/95 100,000 64
----------
Total Purchased OTC Options 2,752
==========
(Cost $2,611)
Short-Term Instruments - 12.6%
Discount Notes - 11.3%
AT&T Corp.
5.720% due 10/20/95 $ 1,300 1,296
Exxon
5.780% due 10/06/95 300 300
General Electric Capital Corp.
6.500% due 10/02/95 1,000 1,000
Hewlett Packard
5.625% due 10/24/95 400 399
5.680% due 01/05/96 3,000 2,953
KFW International Finance
5.750% due 10/05/95 700 700
Province of Alberta
5.710% due 11/02/95 600 597
Rockwell International
5.730% due 10/10/95 400 399
U.S. West Communications
5.650% due 11/13/95 900 894
USX Corp.
6.191% due 10/31/95 1,000 995
Wal-Mart Stores
5.710% due 10/06/95 1,500 1,499
-----------
11,032
<CAPTION>
Principal
Amount Value
(000's) (000's)
===================================================================
<S> <C> <C>
Repurchase Agreement - 0.4%
State Street Bank
5.250% due 10/02/95 $ 390 $ 390
-----------
(Dated 9/29/95. Collateralized by
U.S. Treasury Note 6.625%
valued at $401,834. Repurchase
proceeds are $390,170)
U.S. Treasury Bills - 0.9%
5.625% due 10/26/95 - 02/08/96 (c)(h) 815 811
-----------
Total Short-Term Instruments 12,233
===========
(Cost $12,234)
Total Investments (a) - 139.3% $ 136,569
(Cost $134,165)
Written Options (f)- (0.1)% (74)
(Premiums $40)
Other Assets and Liabilities (Net) - (39.2)%(38,422)
-----------
Net Assets - 100.0% $ 98,073
===========
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 2,500
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (96)
----------
Unrealized appreciation-net $ 2,404
==========
</TABLE>
51
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Global Fund
September 30, 1995 (unaudited)
===================================================================
(b) Foreign currency forward contracts outstanding at
September 30, 1995:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type By Contract Month (Depreciation)
- --------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy A$ 1,419 10/95 $ (2)
Buy BF 93,253 10/95 35
Sell BP 1,709 10/95 (32)
Buy C$ $ 4,843 10/95 57
Sell 2,689 10/95 (7)
Buy DG 4,070 10/95 (7)
Sell 11,571 10/95 (126)
Buy DK 3,313 10/95 15
Buy 15,685 09/96 88
Buy DM 6,927 10/95 54
Sell 17,432 10/95 (223)
Buy FM 496 10/95 2
Buy 9,100 09/96 33
Sell 42,414 10/95 (356)
Buy FF 33,936 10/95 56
Buy 9,355 09/96 54
Sell 9,220 10/95 2
Buy IP 2,400 10/95 2
Sell 2,400 10/95 (3)
Buy IL 5,072,357 10/95 (2)
Buy 7,434,644 09/96 18
Buy JY 4,408,648 10/95 162
Sell 364,259 10/95 12
Sell 2,930,000 10/96 (187)
Buy SK 11,824 10/95 27
Buy 20,066 09/96 58
Buy SP 194,376 10/95 17
----------
$ (253)
==========
(c) Securities with an aggregate market value of $811 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at September 30, 1995:
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- ----------------------------------------------------------------------------
<S> <C> <C>
Government of Australia 10 Year Bond 10 $ 15
Republic of France 10 Year Bond 46 (56)
U.S. Treasury 10 Year Note (12/95) 9 (4)
U.S. Treasury 30 Year Bond (12/95) 26 (40)
---------
$ (85)
=========
(d) Variable rate security. The rate listed is as of September 30, 1995.
(e) Security becomes interest bearing at a future date.
(f) Premiums received on OTC Written Options:
<CAPTION>
Premium Market
Type Par Received Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C>
Call - Japanese Yen v. U.S. Dollar
Strike @ 92.00 Exp. 10/03/95 JY 100,000 $ 31 $ 40
Put - Japanese Yen v. U.S. Dollar
Strike @ 108.00 Exp. 10/03/95 100,000 9 34
------------------------
$ 40 $ 74
========================
===========================================================================
(g) Principal amount denoted in indicated currency:
A$ - Australian Dollar FM - Finnish Markka
AP - Argentine Peso FF - French Franc
BF - Belgian Franc IP - Irish Punt
BP - British Pound IL - Italian Lira
C$ - Canadian Dollar JY - Japanese Yen
DG - Dutch Guilder SF - Swiss Franc
DK - Danish Kroner SK - Swedish Krona
DM - German Mark SP - Spanish Peseta
(h)Securities are grouped by coupon rate and represent a range of
maturities.
(i)Security is subject to outstanding short sale committment.
See Notes to Financial Statements
</TABLE>
52
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Morgage-Backed Securities 10.8%
Short-Term Instruments 7.1%
Other 4.3%
Corporate Bonds and Notes 77.5%
High Yield Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000"s)
==============================================================
<S> <C> <C>
Corporate Bonds and Notes - 77.5%
Banking and Finance - 5.1%
Coleman Holdings
0.000% due 05/27/98 (b) $ 5,500 $ 4,359
Navistar Financial
8.875% due 11/15/98 5,750 5,779
Phoenix RE Corp.
9.750% due 08/15/03 6,550 6,812
Reliance Group Holdings
9.000% due 11/15/00 7,000 6,965
--------
23,915
========
Industrials - 63.6%
Abbey Healthcare Group
9.500% due 11/01/02 8,220 8,568
Acetex Corp.
9.750% due 10/01/03 3,750 3,736
Act III Broadcasting
9.625% due 12/15/03 7,740 7,855
Alliant Techsystems, Inc.
11.750% due 03/01/03 3,500 3,815
American Airlines
10.610% due 03/04/10 650 772
American Standard
11.375% due 05/15/04 6,500 7,149
Amerigas Partners L.P.
10.125% due 04/15/07 4,750 5,058
Ametek, Inc.
9.750% due 03/15/04 7,000 7,454
Bally Park Place Funding
9.250% due 03/15/04 2,000 1,945
Bally's Grand
10.375% due 12/15/03 4,800 4,727
Benedek Broadcasting Corp.
11.875% due 03/01/05 5,500 5,961
CF Cable TV, Inc.
9.125% due 07/15/07 5,500 5,555
Cablevision Systems
10.750% due 04/01/04 3,640 3,831
9.875% due 04/01/23 3,000 3,120
Century Communication
11.875% due 10/15/03 5,000 5,313
Continental Cablevision
11.000% due 06/01/07 5,810 6,420
9.500% due 08/01/13 3,375 3,518
Delta Air Lines
10.790% due 03/26/14 2,264 2,729
Doskocil Companies, Inc.
9.750% due 07/15/00 4,250 4,176
Ferrell Gas
10.000% due 08/01/01 5,350 5,563
Figgie International, Inc.
9.875% due 10/01/99 5,990 6,040
G-I Holdings, Inc.
0.000% due 10/01/98 (b) 8,500 6,162
Genesis Health Ventures
9.750% due 06/15/05 5,000 5,213
Granite Broadcasting
10.375% due 05/15/05 2,500 2,613
Gulf Canada Resources
9.250% due 01/15/04 7,750 7,673
HMH Properties
9.500% due 05/15/05 5,000 5,041
HS Resources
9.875% due 12/01/03 6,000 5,903
J.Q. Hammons Hotels
8.875% due 02/15/04 7,000 6,545
<CAPTION>
Principal
Amount Value
(000's) (000's)
==============================================================
<S> <C> <C>
Harrahs Operating, Inc.
10.875% due 04/15/02 $ 2,500 $ 2,694
Infinity Broadcasting
10.375% due 03/15/02 4,500 4,838
Jones Intercable, Inc.
9.625% due 03/15/02 5,000 5,225
K-III Communications
10.625% due 05/01/02 500 533
10.250% due 06/01/04 8,100 8,626
Metrocall, Inc.
10.375% due 10/01/07 4,000 4,060
Nuevo Energy Co.
12.500% due 06/15/02 5,204 5,685
Owens Illinois
10.500% due 06/15/02 2,000 2,090
11.000% due 12/01/03 7,500 8,269
Paging Network
10.125% due 08/01/07 7,500 7,613
Pathmark Stores, Inc.
9.625% due 05/01/03 4,500 4,466
0.000% due 11/01/03 (b) 3,000 1,965
RJR Nabisco
8.000% due 07/15/01 2,000 2,017
8.625% due 12/01/02 5,500 5,638
Repap Wisconsin, Inc.
9.250% due 02/01/02 6,750 6,497
Revlon Consumer Products Corp.
9.500% due 06/01/99 6,500 6,500
9.375% due 04/01/01 2,000 1,995
Rogers Cablesystems, Inc.
10.000% due 03/15/05 5,500 5,686
Rogers Cantel Mobile
10.750% due 11/01/01 6,180 6,489
11.125% due 07/15/02 2,000 2,120
SCI Television
11.000% due 06/30/05 9,175 9,703
Schuller International Group
10.875% due 12/15/04 4,000 4,430
Sequa Corp.
10.000% due 05/14/01 1,500 1,531
10.150% due 05/15/01 3,500 3,404
8.750% due 12/15/01 750 694
Showboat, Inc.
9.250% due 05/01/08 5,900 5,576
Sinclair Broadcast Group
10.000% due 09/30/05 1,750 1,789
Stone Consolidated
10.250% due 12/15/00 2,250 2,374
Sweetheart Cup Co.
9.625% due 09/01/00 4,500 4,478
Telewest Communications
9.625% due 10/01/06 6,500 6,598
Tenet Healthcare Corp.
9.625% due 09/01/02 2,500 2,650
Triton Energy
0.000% due 11/01/97 (b) 8,450 7,235
West Point Stevens
8.750% due 12/15/01 7,000 6,948
World Color Press, Inc.
9.125% due 03/15/03 6,185 6,170
--------
299,041
========
</TABLE>
53
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
High Yield Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amounts Value
(000's) (000's)
=============================================================
<S> <C> <C>
Utilities - 8.8%
AES Corp.
9.750% due 06/15/00 $ 5,535 $ 5,653
CMS Energy
9.875% due 10/01/99 4,950 5,049
CTC Mansfield Funding
11.125% due 09/30/16 7,000 7,105
California Energy
9.875% due 06/30/03 3,000 3,120
0.000% due 01/15/04 (b) 7,490 6,610
Long Island Lighting Co.
7.050% due 03/15/03 2,500 2,385
8.200% due 03/15/23 4,500 4,230
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/09 500 481
10.732% due 01/01/13 6,993 6,754
--------
41,387
--------
Total Corporate Bonds and Notes 364,343
========
(Cost $361,135)
Morgage-Backed Securities - 10.8%
Collateralized Morgage Obligations - 4.6%
Federal National Mortgage Assn.
8.196% due 05/25/28 (d) 2,835 1,954
Resolution Trust Corp.
10.500% due 01/15/04 5,000 5,012
9.250% due 06/25/23 3,625 3,720
8.835% due 12/25/23 3,439 3,155
9.500% due 05/25/24 207 201
8.500% due 03/25/25 371 366
SKW Realty L.P.
10.750% due 04/15/04 7,000 7,013
--------
21,421
========
Other Mortgage-Backed Securities- 5.0%
Kearny St. Real Estate Co.
9.400% due 10/15/05 5,000 5,034
MBLAC - NY REO Associates L.P.
9.375% due 02/01/98 (d) 2,704 2,705
Neutron - Uniprop, Inc.
8.430% due 12/15/25 4,000 3,617
Resolution Trust Corp.
8.000% due 06/25/26 6,739 5,719
6.900% due 02/25/27 3,817 3,323
Structured Asset Securities Corp.
7.050% due 11/25/02 4,000 3,150
--------
23,548
========
Stripped Mortgage-Backed Securities- 1.2%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 10/15/08 1,397 191
Federal National Mortgage Assn. (IO)
6.000% due 07/25/05 5,500 657
7.000% due 07/25/08 9,531 1,391
6.500% due 06/25/17 5,000 691
6.500% due 04/15/22 6,300 969
Fund America (IO)
9.590% due 10/20/21 2,948 783
Prudential Home (IO)
0.251% due 05/25/24 120,128 1,080
--------
5,762
--------
Total Mortgage-Backed Securities 50,731
(Cost $47,956) ========
<CAPTION>
Principal
Amount Value
(000's) (000's)
=============================================================
<S> <C> <C>
Soverign Issues - 2.8%
First Mexican Acceptance Corp.
8.750% due 09/15/96 $ 1,000 $ 965
Republic of Argentina
7.394% due 03/31/05 7,500 4,650
5.000% due 03/31/23 8,000 3,840
Third Mexican Acceptance Corp.
7.370% due 03/15/98 1,000 880
United Mexican States
6.250% due 12/31/19 5,000 3,019
--------
Total Sovereign Issues 13,354
(Cost $13,785) ========
Preferred Stock - 1.5%
Shares
First Nationwide Bank 65,500 7,271
Short-term Instruments - 7.1%
Principal
Amount
(000's)
Discount Notes - 7.0%
AT&T Corp.
5.710% due 11/03/95 $ 900 895
5.670% due 12/08/95 2,500 2,472
Associates Corp. of North America
5.690% due 11/16/95 1,600 1,589
5.690% due 11/17/95 3,900 3,872
Campbell Soup Co.
6.520% due 10/26/95 1,200 1,195
E.I. Du Pont de Nemours
6.070% due 01/11/96 4,200 4,129
General Electric Capital Corp.
6.500% due 10/02/95 1,500 1,500
6.730% due 10/11/95 3,000 2,995
5.740% due 10/24/95 2,400 2,392
Government of Western Australia
5.710% due 10/25/95 3,000 2,989
Hewlett Packard Co.
5.625% due 10/24/95 1,600 1,595
5.670% due 01/09/96 1,000 984
KFW International Financial
5.750% due 10/05/95 2,050 2,049
5.700% due 10/23/95 4,000 3,987
Rockwell International
5.730% due 10/10/95 400 399
--------
33,042
========
Repurchase Agrement - 0.1%
State Street Bank
5.25% due 10/02/95 482 482
(Dated 09/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $480,121. Repurchase
proceeds are $482,211.)
--------
Total Short-Term Instruments 33,524
========
(Cost $33,524)
</TABLE>
54
<PAGE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS (A) - 99.7% $ 469,223
(Cost $459,104)
WRITTEN OPTION (C) - 0.0% (21)
(Premium $21)
OTHER ASSETS AND LIABILITIES (NET) - 0.3% 1,339
---------
NET ASSETS - 100.0% $ 470,541
=========
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS):
(a) At September 30, 1995, the net unrealized
appreciation (depreciation) of investments
based on cost for federal income tax purposes
was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 13,126
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (3,007)
-----------
Unrealized appreciation-net $ 10,119
===========
(b) Security becomes interest bearing at a future date.
(c) Premium received on OTC Written Call Option:
<CAPTION>
Premium Market
Type Par Received Value
- ------------------------------------------------------------------
<S> <C> <C> <C>
Republic of Argentina
Strike @ 65.125 Exp. 11/22/95 $ 1,500 $ 21 $ 21
(d) Variable rate security. The rate listed is as of September 30, 1995.
(e) Securities are grouped by coupon rate and represent a range of
maturities.
See Notes to Financial Statements
</TABLE>
55
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Consumer Discretionary 16.3%
Consumer Staples 34.6%
Capital Goods 9.0%
Utilities/Telecommunications 8.3%
Other 9.7%
Technology 16.8%
Basic Materials 5.1%
Growth Stock Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Value
Shares (000's)
================================================================
<S> <C> <C>
Common Stocks - 99.1%
Energy - 3.2%
Coastal Corp. 1,400 $ 47
Imperial Oil Ltd. 2,800 104
Nabors Industries, Inc. (b) 9,300 88
Smith International, Inc. (b) 3,500 61
Union Texas Petroleum Holdings, Inc. 3,400 62
--------
362
========
Technology - 16.8%
Adaptec, Inc. (b) 1,400 58
Avnet, Inc. 3,400 176
BMC Software, Inc. (b) 2,200 101
Cabletron Systems, Inc. (b) 1,200 79
Cisco Systems, Inc. (b) 1,800 124
Dell Computer Corp. (b) 700 59
DSC Communications Corp. (b) 2,500 148
Intel Corp. 3,400 204
Linear Technology Corp. 2,400 100
Microsoft Corp. (b) 600 54
Motorola, Inc. 4,800 367
Oracle Systems Corp. (b) 5,500 211
Sensormatic Electronics Corp. 4,400 101
Silicon Graphics, Inc. (b) 2,900 100
--------
1,882
========
Consumer Discretionary - 16.3%
Autozone, Inc. (b) 1,600 41
Belo (A.H.) Corp. "A" 4,000 138
Danaher Corp. 800 26
Department 56, Inc. (b) 1,400 65
Disney (Walt) Co. 5,500 316
Eastman Kodak Corp. 1,100 65
Eaton Corp. 500 27
Echlin, Inc. 1,000 36
Home Depot, Inc. 3,400 136
Magna International, Inc. "A" 1,800 81
Newell, Co. 8,000 198
Nike, Inc. "B" 1,100 122
Office Depot, Inc. (b) 7,400 223
Tribune Co. 700 46
Volvo Aktiebolaget ADR 4,100 100
Wal-Mart Stores, Inc. 5,900 147
Wellman, Inc. 2,500 61
--------
1,828
========
Consumer Staples - 34.6%
Abbott Laboratories 7,900 337
Albertsons, Inc. 4,800 164
Amgen, Inc. (b) 2,800 140
Coca-Cola Co. 6,500 448
Columbia HCA Healthcare Corp. 1,400 68
ConAgra, Inc. 4,400 174
Dentsply International, Inc. 2,900 100
Diagnostic Products Corp. 1,000 38
Foundation Health Corp. (b) 800 31
Health Management Associates, Inc. "A" (b) 1,000 32
IBP, Inc. 5,300 283
Johnson & Johnson 4,600 341
Kroger Co. (b) 2,900 99
Merck & Co. 4,400 246
Pepsico, Inc. 3,500 178
Pfizer, Inc. 7,700 411
Procter & Gamble Co. 3,700 285
Sara Lee Corp. 5,200 155
Schering Plough Corp. 2,700 139
<CAPTION>
Value
Shares (000's)
================================================================
<S> <C> <C>
Sysco Corp. 4,000 $ 109
Tecnol Medical Products, Inc. (b) 2,200 42
U.S. Healthcare, Inc. 1,200 43
--------
3,863
========
Financial Services - 3.8%
Advanta Corp. "A" 3,000 135
AFLAC Inc. 3,600 149
American International Groups, Inc. 800 68
First USA, Inc. 400 22
Mercury Finance Co. 200 5
SunAmerica, Inc. 700 44
--------
423
========
Utilities/Telecommunications - 8.3%
Ameritech Corp. 4,600 240
California Energy Co., Inc. (b) 8,500 174
Century Telephone Enterprise 3,400 103
Enron Corp. 7,300 245
Nova Corp. 3,100 24
Panhandle Eastern Corp. 400 11
Telephone & Data Systems, Inc. 1,000 42
Vodafone Group PLC 1,600 66
Williams Companies, Inc. 600 23
--------
928
========
Basic Materials - 5.1%
Bowater, Inc. 2,300 107
Cabot Corp. 1,400 74
Monsanto Co. 200 20
Morton International, Inc. 1,600 50
Norsk Hydro A/S ADR 2,700 116
Owens Illinois, Inc. (b) 3,600 46
Willamette Industries, Inc. 2,400 160
--------
573
========
Capital Goods - 9.0%
Browning-Ferris Industries, Inc. 5,400 164
Federal Signal Corp. 6,300 140
General Electric Corp. 5,100 325
Georgia-Pacific Corp. 900 79
Thermo Electron Corp. (b) 4,000 186
Trimas Corp. 5,200 108
--------
1,002
========
Services - 2.0%
Federal Express Corp. (b) 300 25
Olsten Corp. 1,500 58
Pittston Services Group 2,200 60
Tyco International, Ltd. 1,300 82
--------
225
--------
Total Common Stocks 11,086
========
(Cost $8,917)
Short-term Investments - 0.7%
Principal
Amounts
Repurchase Agreement - 0.7% (000's)
State Street Bank
5.250% due 10/02/95 $ 74 74
(Dated 09/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $78,279. Repurchase
proceeds are $74,032)
--------
Total Short-Term Instruments 74
========
(Cost $74)
</TABLE>
56
<PAGE>
<TABLE>
================================================================
<S> <C>
Total Investments (a) - 99.8% $ 11,160
(Cost $8,991)
Other Assets and Liabilities (Net) - 0.2% 20
--------
Net Assets - 100.0% $ 11,180
========
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 1995, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes was
as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 2,265
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (96)
---------
Unrealized appreciation-net $ 2,169
=========
(b) Non-income producing security.
See Notes to Financial Statements
</TABLE>
57
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Short-Term Instruments 22.0%
Foreign 5.0%
Corporate Bonds and Notes 19.9%
Mortgage-Backed Securities 52.3%
Sovereign Issues 3.9%
StocksPLUS Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
========================================================================
<S> <C> <C>
Corporate Bonds and Notes - 19.9%
Banking and Finance -14.5%
Advanta Corp.
7.260% due 10/15/96 $ 1,500 $ 1,515
Capital One Bank
6.250% due 07/11/96 (b) 600 600
6.436% due 07/30/96 (b) 500 499
Den Danske Bank
6.000% due 06/30/00 (b) 450 455
Ford Motor Credit Corp.
5.940% due 11/09/98 (b) 500 496
6.540% due 03/30/99 (b) 250 247
6.595% due 04/05/99 (b) 340 341
Home Savings of America
10.500% due 06/12/97 1,750 1,779
Kansallis-Osake
8.438% due 09/30/43 (b) 1,500 1,538
Lehman Brothers, Inc.
7.680% due 02/12/96 1,750 1,758
Salomon, Inc.
6.375% due 02/05/96 500 499
6.870% due 10/21/96 500 497
6.794% due 04/05/99 (b) 500 483
----------
10,707
----------
Industrials - 3.4%
Avencor Ltd.
9.220% due 06/30/96 1,000 1,024
Occidental Petroleum
11.750% due 03/15/11 750 804
Time Warner, Inc.
6.835% due 08/15/00 688 689
Time Warner, Inc.
7.975% due 08/15/04 1 1
----------
2,518
----------
Utilities - 2.0%
CMS Energy
9.500% due 10/01/97 250 258
Cleveland Electric Illuminating Co.
8.170% due 11/30/98 1,000 997
Transcontinental Gas Pipeline
9.000% due 11/15/96 200 206
----------
1,461
----------
Total Corporate Bonds and Notes 14,686
==========
(Cost $14,637)
Mortgage-Backed Securities - 52.3%
Federal Home Loan Mortgage Corp. - 7.2%
8.500% due 11/13/25 1,000 1,035
8.215% due 06/01/22 (b) 1,900 1,953
7.634% due 12/01/22 (b) 2,254 2,328
----------
5,316
----------
Federal National Mortgage Assn. - 4.8%
9.000% due 01/01/99 104 106
7.388% due 05/01/22 (b) 1,133 1,150
6.962% due 02/01/25 (b) 2,266 2,317
----------
3,573
----------
<CAPTION>
Principal
Amount Value
(000's) (000's)
========================================================================
<S> <C> <C>
Government National Mortgage Assn. - 9.2%
6.500% due 08/20/24 (b) $ 1,644 $ 1,665
7.000% due 08/20/24 (b) 92 94
6.500% due 07/20/24 (b) 4,961 5,024
----------
6,783
----------
Collateralized Mortgage Securities Corp. - 17.2%
Bank Mart
7.476% due 03/01/19 (b) 2,966 2,968
Countrywide
6.500% due 02/25/24 2,826 2,814
Citicorp Mortgage
9.500% due 11/25/17 1,405 1,457
Collateralized Mortgage Securities Corp.
7.363% due 09/25/18 (b) 137 137
8.000% due 09/25/21 81 81
9.250% due 12/20/04 79 81
Donaldson, Lufkin & Jenrette
7.440% due 10/17/20 (b) 664 670
Federal Home Loan Mortgage Corp.
5.750% due 03/15/00 1,284 1,280
Federal National Mortgage Assn.
8.500% due 11/25/05 194 194
8.400% due 04/25/25 759 765
Greenwich
7.456% due 10/25/22 (b) 95 95
Resolution Trust Corp.
7.054% due 05/25/21 (b) 102 102
7.000% due 10/25/24 (b) 850 847
SKW Realty L.P.
9.050% due 04/15/04 1,000 1,001
Salomon Mortgage
7.000% due 07/25/24 110 110
Sears Mortgage
8.548% due 05/25/32 63 66
----------
12,668
----------
Other Mortgage-Backed Securities - 12.0%
California Federal Savings & Loan
6.679% due 01/01/19 (b) 119 118
Fund America
7.583% due 06/25/23 (b) 312 319
Great Western Savings & Loan
6.660% due 01/25/18 (b) 139 138
J.P. Morgan & Co.
6.576% due 01/25/18 (b) 1,417 1,418
MBLAC - NY REO Associates L.P.
9.375% due 02/08/98 (b) 1,770 1,771
Neutron - Uniprop Inc.
8.430% due 12/15/25 850 769
Resolution Trust Corp.
7.259% due 12/25/23 (b) 139 140
Structured Asset Securities Corp.
7.107% due 09/25/36 (b) 1,995 2,013
Western Federal Savings & Loan
6.475% due 10/25/18 (b) 977 974
7.090% due 03/25/19 (b) 128 128
6.830% due 06/25/19 (b) 1,071 1,069
----------
8,857
==========
Stripped Mortgage-Backed Securities - 1.8%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 08/15/13 656 46
7.000% due 01/15/08 2,604 61
Federal National Mortgage Assn. (IO)
7.000% due 07/25/06 1,888 211
7.500% due 08/25/10 2,095 73
7.000% due 07/25/21 2,650 426
</TABLE>
58
<PAGE>
<TABLE>
<CAPTION>
Principal Value
Amount (000's)
(000's)
================================================================================
<S> <C> <C>
7.000% due 03/25/07 $ 3,854 $ 53
6.000% due 11/25/00 1,792 219
Residential Funding (IO)
6.750% due 01/25/24 3,321 56
Prudential Home (IO)
4.299% due 02/25/22 68 184
----------
1,329
----------
Total Mortgage-Backed Securities 38,526
==========
(Cost $38,434)
Soverign Issues - 3.9%
Banco Latino
6.875% due 05/23/96 (b) 1,000 999
United Mexican States
11.188% due 07/21/97 1,840 1,872
----------
Total Sovereign Issues 2,871
==========
(Cost $2,874)
Foreign Currency-Denominated Issues (h) - 5.0%
Kingdom of Spain
11.450% due 08/30/98 SP 62,500 518
Commonwealth of Canada
8.000% due 03/15/97 C$ 4,000 3,027
Republic of Italy
9.188% due 09/01/05 IL 240,000 140
----------
Total Foreign Currency-Denominated Issues 3,685
==========
(Cost $3,649)
Short-Term Instruments - 22.0%
Discount Notes - 18.6%
AT&T Corp.
5.700% due 10/31/95 $ 1,500 1,493
5.710% due 11/03/95 500 497
5.640% due 11/22/95 1,200 1,190
General Electric Capital Corp.
5.740% due 10/06/95 50 50
KFW International Financial
5.700% due 10/23/95 2,000 1,993
Province of British Columbia
5.625% due 10/05/95 300 300
Motorola, Inc.
5.700% due 10/26/95 1,600 1,594
Pitney Bowes Credit, Inc.
5.710% due 10/23/95 500 498
5.670% due 11/29/95 165 163
Province of Alberta
5.640% due 11/10/95 900 895
USX Corp.
6.192% due 10/30/95 2,000 1,990
U.S. West Communications
5.720% due 10/05/95 2,000 1,999
5.685% due 10/06/95 1,000 999
----------
13,661
----------
<CAPTION>
Principal Value
Amount (000's)
(000's)
================================================================================
<S> <C> <C>
Repurchase Agreement - 1.4%
State Street Bank
5.250% due 10/02/95 $ 1,047 $ 1,047
----------
(Dated 09/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $1,069,818. Repurchase
proceeds are $1,047,458)
U.S. Treasury Bills - 2.0%
5.743% due 10/26/95 - 02/08/96 (d) (e) 1,490 1,477
----------
Total Short-Term Instruments 16,185
==========
(Cost $16,184)
TOTAL INVESTMENTS (A) - 103.1% $ 75,953
(Cost $75,778)
WRITTEN OPTION (F) - 0.0% (24)
(Premium $50)
OTHER ASSETS AND LIABILITIES (NET) (G) - (3.1%) (2,242)
----------
NET ASSETS - 100.0% $ 73,687
==========
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS):
(a) At September 30, 1995, the net unrealized
appreciation (depreciation) of investments
based on cost for federal income tax
purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 329
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (154)
----------
Unrealized appreciation-net $ 175
==========
(b) Variable rate security. The rate listed is as of September 30, 1995.
(c) Foreign currency forward contracts outstanding at
September 30, 1995:
<CAPTION>
Principal
Amount
Covered by Expiration Unrealized
Type Contract Month Apppreciation
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy JY 2,561 10/95 $ 4
Sell SP 62,108 10/95 5
----------
$ 9
==========
(d) Securities with an aggregate market value of $1,477 have been
segregated with the custodian to cover margin requirements for the
following open future contracts at September 30, 1995:
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
S & P 500 Index (12/95) 113 $ 0
</TABLE>
(e) Securities are grouped by coupon rate and represent a range of
maturities.
59
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
StocksPLUS Fund
September 30, 1995 (unaudited)
=============================================================================
(f) Premium received on Written Option:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
Put MATIF PIBOR
Strike @ 93.00 Exp. 12/18/95 FF 90,000 $ 50 $ 24
(g) Swap agreements outstanding at September 30, 1995:
<CAPTION>
Notional Unrealized
Type Amount Appreciation
- ---------------------------------------------------------------------------
<S> <C> <C>
Receive total return on S & P 500
Index and pay floating rate based
on 1 month LIBOR
Broker: Lehman Brothers
Finance, S.A. Exp. 12/30/95 $ 10,000 $ 388
Broker: Morgan Stanley Capital Services
Exp. 3/29/96 17,500 446
Broker: Deutsche Bank AG London
Exp. 12/29/95 10,000 391
----------
$ 1,225
==========
</TABLE>
(h) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
FF - French Franc
JY - Japanese Yen
SP - Spanish Peseta
IL - Italian Lira
See Notes to Financial Statements
60
<PAGE>
NOTES TO FINANCIAL STATEMENTS
September 30, 1995 (unaudited)
1. Significant Accounting Policies
PIMCO Funds (the "Trust") was established as a Massachusetts
business trust on February 19, 1987. The Trust is registered
under the Investment Company Act of 1940 (the "Act"), as
amended, as a no-load, open-end investment management company.
The Trust currently consists of 19 separate investment funds
(the "Funds"): the Total Return Fund; the Total Return Fund II;
the Total Return Fund III; the Low Duration Fund; the Low
Duration Fund II; the Low Duration Fund III; the Short-Term
Fund; the Long-Term U.S. Government Fund; the Foreign Fund; the
Global Fund: the High Yield Fund; the Growth Stock Fund; the
StocksPLUS Fund; the VersaSTYLE Equity Fund; the Moderate
Duration Fund; the Commercial Mortgage Securities Fund; the
Income and Capital Preservation Fund; the Income and Capital
Preservation Fund II; and the International Fund (available
only to private account clients of PIMCO). The annual reports
for the International, VersaSTYLE Equity and Total Return II
Funds are provided separately. The Moderate Duration,
Commercial Mortgage Securities, Low Duration III, and Income
and Capital Preservation Funds had not commenced operations as
of September 30, 1995. The following is a summary of
significant accounting policies consistently followed by the
Trust in preparation of its financial statements. These
policies are in conformity with generally accepted accounting
principles.
Security Valuation. Portfolio securities and other assets for
which market quotations are readily available are stated at
market value. Market value is determined on the basis of last
reported sales prices, or if no sales are reported, as is the
case for most securities traded over-the-counter, the mean
between representative bid and asked quotations obtained from a
quotation reporting system or from established market makers.
Fixed income securities, including those to be purchased under
firm commitment agreements, are normally valued on the basis of
quotes obtained from brokers and dealers or pricing services.
Foreign currency amounts are converted to U.S. dollars using
foreign exchange quotations received from independent dealers.
Short-term investments which mature in 60 days or less are
valued at amortized cost, which approximates market value.
Certain fixed income securities for which daily market
quotations are not readily available may be valued, pursuant to
guidelines established by the Board of Trustees, with reference
to fixed income securities whose prices are more readily
obtainable.
Securities Transactions and Investment Income. Securities
transactions are recorded as of the trade date. Securities
purchased or sold on a when-issued or delayed-delivery basis
may be settled a month or more after the trade date. Realized
gains and losses from securities sold are recorded on the
identified cost basis. Dividend income is recorded on the ex-
dividend date. Interest income is recorded on the accrual basis
and includes the accretion of discounts and amortization of
premiums.
Dividends and Distributions to Shareholders. Dividends from net
investment income of each Fund except the Growth Stock and
StocksPLUS Funds are declared on each day the Trust is open for
business and are distributed to shareholders monthly. Dividends
from net investment income of the Growth Stock and StocksPLUS
Funds are declared and distributed to shareholders quarterly.
Net long-term capital gains earned by a Fund, if any, will be
distributed no less frequently than once each year. Foreign
exchange gains or losses on investments and the income
generated from such investments, arising from fluctuations of
exchange rates of the non-dollar denominated investments
relative to the U.S. dollar, are reported to shareholders as
income in accordance with the provisions of the Internal
Revenue Code.
61
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
September 30, 1995 (unaudited)
Income distributions and capital gain distributions are
determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. These
differences are primarily due to differing treatments for such
items as wash sales, foreign currency transactions, net
operating losses and capital loss carryforwards.
Distributions reflected as tax basis return of capital in the
accompanying Statement of Changes in Net Assets have been
reclassified to paid in capital. In addition, other amounts
have been reclassified between undistributed net investment
income and accumulated undistributed net realized gains in
order to more appropriately conform financial accounting and
tax characterizations of dividend distributions.
Commencement of Multiclass Operations. On August 23, 1994, each
Fund within the PIMCO Funds was authorized to offer investors a
choice of two classes of shares, the Institutional Class and
the Administrative Class. Each class has equal rights as to
assets and voting privileges, while each has exclusive rights
with respect to its distribution plan. The Total Return, Low
Duration and High Yield Funds commenced multiclass operations
on September 7, 1994, December 31, 1994 and January 16, 1995,
respectively. None of the other PIMCO Funds had commenced
multiclass operations as of September 30, 1995.
Income and non-class specific expenses are allocated daily to
each class of shares based on the relative value of settled
shares as of the beginning of each day. Realized and unrealized
capital gains and losses are allocated to each class of shares
based on relative net assets as of the beginning of each day
adjusted for the prior days capital share activity.
Federal Income Taxes. Each Fund intends to qualify as a
regulated investment company and distribute all of its taxable
income and net realized gains, if applicable, to shareholders.
Accordingly, no provision for Federal income taxes has been
made.
Futures and Options. Each Fund is authorized to enter into
futures contracts and options. The primary risks associated
with the use of futures contracts and options are imperfect
correlation between the change in market value of the
securities held by a Fund and the prices of futures contracts
and options, and the possibility of an illiquid market. Futures
contracts and purchased options are valued based upon their
quoted daily settlement prices. The premium received for a
written option is recorded as an asset with an equal liability
which is marked-to-market based on the option's quoted daily
settlement price. Fluctuations in value of such instruments are
recorded as unrealized appreciation (depreciation) until
terminated at which time realized gains and losses are
recognized.
Forward Currency Contracts. Each Fund (except the Long-Term
U.S. Government, Low Duration II and High Yield Funds) is
authorized to enter into forward foreign exchange contracts for
the purpose of hedging against foreign exchange risk arising
from the Fund's investment or anticipated investment in
securities denominated in foreign currencies. The aggregate
principal amounts of the contracts for which delivery is
anticipated are recorded in the Fund's account, while such
amounts are not recorded if the Fund intends to settle the
contracts prior to delivery. All commitments are marked-to-
market daily at the applicable translation rates and any
resulting unrealized gains or losses are recorded in the
Trust's financial statements. The Fund records realized gains
or losses at the time the forward contract is extinguished by
entry into a closing transaction or by delivery of the
currency. Risks may arise upon entering these contracts from
the potential inability of counterparties to meet the terms of
their contracts and from unanticipated movements in the value
of a foreign currency relative to the U.S. dollar.
62
<PAGE>
Swaps. Each Fund is authorized to enter into interest rate,
index and currency exchange swap agreements. PIMCO uses these
agreements in order to obtain a desired return at a lower cost
to the Fund than if the Fund had invested directly in an
instrument that yielded the desired return. The agreements
involve elements of credit risk identified as the cost of
replacing those agreements for which PIMCO is in a net
receivable position in the event of counterparty default.
At September 30, 1995, the StocksPLUS Fund was a party to S & P
500 Index swap agreements. The agreements involve the
contractual exchange of payments whereby the Fund will receive
proceeds based on the total return of the S & P 500 Index and
pay an amount based on LIBOR. The differential to be paid or
received is recognized daily over the life of the agreement.
For the six months ended September 30, 1995, net income of
$3,271,236 was derived from the agreements and is included in
interest income of the Fund.
Short Sales. Short sales are transactions in which a Fund sells
a security it does not own, in anticipation of a decline in the
market value of that security. The Fund will realize a gain
(incur a loss) if the market price of the security decreases
(increases) between the date of the short sale and the date on
which the Fund replaces the borrowed security.
A Fund may also sell short "against the box" (i.e. the Fund
enters into a short sale as described above, while holding an
offsetting long position in the security which is sold short).
At September 30, 1995, the Foreign and Global Funds were
parties to short sales. Included in net unrealized appreciation
is unrealized appreciation on short sales of $1,057,277 and
$97,883 for the Foreign and Global Funds, respectively.
2. Fees, Expenses, And Related Party Transactions
Investment Advisory Fee. Pacific Investment Management Company
("PIMCO") serves as investment adviser (the "Adviser") to the
Trust, pursuant to an investment advisory contract. Prior to
October 1, 1995, the Adviser received a monthly fee from each
Fund at an annual rate based on average daily net assets of the
Fund as follows: 0.30% of the first $150 million, and 0.25%
thereafter (0.45% and 0.40%, respectively, for the StocksPLUS
Fund). Effective October 1, 1995, the advisory fee will be
0.25% (0.15% for the Money Market Fund, and 0.40% for the
StocksPLUS, Commercial Mortgage Securities and VersaSTYLE
Equity Funds).
Administration Fee. Pacific Investment Administrative Services
Company (the "Administrator"), an affiliate of PIMCO, provides
administrative services to the Trust for which it receives from
each Fund a monthly administrative fee at the annual rate of
0.10% of the Fund's average daily net assets.
Effective October 1, 1995, the Trust adopted a "unified fee
structure" whereby PIMCO provides services necessary for the
operation of the Funds for a single administrative fee. The new
administrative fee is 0.20% for the Money Market and Short-Term
Funds, 0.18% for the Total Return and Low Duration Funds, 0.30%
for the Global Fund and 0.25% for all other Funds.
Expenses. The Trust is responsible for the following expenses:
(i) salaries and other compensation of any of the Trust's
executive officers and employees who are not officers,
directors, stockholders or employees of PIMCO or its
subsidiaries or affiliates; (ii) taxes and governmental fees;
(iii) brokerage fees and commissions and other portfolio
transaction expenses; (iv) the costs of borrowing money,
including interest expenses; (v) fees and expenses of the
Trustees who are not "interested persons" of PIMCO or the
Trust, and any counsel
63
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
September 30, 1995 (unaudited)
retained exclusively for their benefit; (vi) extraordinary
expenses, including costs of litigation and indemnification
expenses; (vii) expenses, such as organizational expenses,
which are capitalized in accordance with generally accepted
accounting principles; and (viii) any expenses allocated or
allocable to a specific class of shares, which include service
fees payable with respect to the Administrative Class shares
and may include certain other expenses as permitted by the
Trust's Dual Class Plan adopted pursuant to Rule 18f-3 under
the 1940 Act and subject to review and approval by the
Trustees. Each unaffiliated Trustee received an annual retainer
of $7,000, plus $2,000 for each Board of Trustees meeting
attended, plus reimbursement of related expenses. These
expenses are allocated to the Funds according to their
respective net assets.
Expense Offset Arrangement. Fees paid indirectly represent
reductions in custody and transfer agent expenses from interest
income earned on incidental uninvested cash balances. Such
fees have been added to custody and transfer agent fees to
reflect total Fund expenses.
Expense Limitation. Prior to adoption of the unified fee
structure, the Advisor and the Administrator, in the interest
of limiting expenses of the Trust, limited the expenses of each
Fund, including the advisory and administrative fees, to 0.50%
of its average net assets on an annual basis (except the
Foreign, Global and StocksPLUS Funds which have an expense
limit of 0.65%), excluding distribution fees of 0.25% relating
to the Administrative class.
Reimbursement of the Adviser or Administrator for fees foregone
or other expenses paid by them pursuant to the expense
limitation may be made at a later date when a Fund has reached
a sufficient asset size; however, no such later payment will be
made if that payment would cause the annual expense ratio of a
Fund to exceed the amount of the relevant expense limitation.
Additionally, no reimbursement of any amount will be made more
than four years after a recognition of the reimbursable amount
as a contingent liability of a Fund. As of September 30, 1995,
all amounts previously foregone by the Adviser and
Administrator have been repaid by the Total Return, Low
Duration, Low Duration II, Foreign and High Yield Funds.
Cumulative unreimbursed amounts for Total Return III, Short-
Term, Long-Term U.S. Government, Global, Growth Stock, and the
StocksPLUS Funds were $60,284, $8,191, $129,529, $121,544,
$29,546, $71,256, and $90,816 respectively, at September 30,
1995. These amounts have been waived as a result of the
adoption of the unified fee.
Related Party Transactions. PIMCO Advisors Distribution Company
("PADCO"), an indirect wholly-owned subsidiary of PIMCO
Advisors L.P., serves as the distributor of the Trust's shares.
Under the contract, all expenses relating to the distribution
of Trust shares will be paid by the Adviser, the Administrator
or PADCO out of past profits and resources which may include
fees received by the Adviser or the Administrator.
64
<PAGE>
3. Purchases and Sales of Securities
Purchases and sales of securities (excluding short-term
investments and securities sold short) for the six months ended
September 30, 1995 were as follows ($ in thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
------------------------- -------------------------
Purchases Sales Purchases Sales
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Return Fund $6,798,475 $5,551,267 $3,291,300 $2,360,776
Total Return Fund III 86,627 64,791 39,980 22,054
Low Duration Fund 2,170,744 1,472,925 428,041 470,374
Low Duration Fund II 114,792 85,244 81,204 38,622
Short-Term Fund 6,129 6,597 90,517 75,022
Long-Term U.S. Gov't Fund 15,795 10,085 5,659 6,414
Foreign Fund 25,313 0 1,361,327 1,235,443
Global Fund 13,323 9,711 398,091 342,986
High Yield Fund 20,508 19,471 219,071 114,467
Growth Stock Fund 0 0 4,040 10,544
StocksPLUS Fund 18,911 4,142 47,435 35,177
</TABLE>
4. Transactions in Written Call and Put Options
Transaction in written call and put options were as follows
($ in thousands):
<TABLE>
<CAPTION>
Total Total Low Low Short- Long-Term
Return Return III Duration Duration II Term U.S. Gov't
------------------------------------ Premium -----------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balance at 3/31/95 $ 41,662 $ 402 $ 2,767 $ 129 $ 139 $ 130
Sales 15,379 238 1,320 0 49 103
Closing Buys (7,953) 0 0 0 (50) (132)
Expirations (25,975) (355) (2,774) (129) 0 0
Exercised (11,704) (131) (94) 0 0 0
--------------------------------------------------------------------------------
Balance at 9/30/95 $ 11,409 $ 154 $ 1,219 $ 0 $ 138 $ 101
================================================================================
<CAPTION>
Growth
Foreign Global High Yield Stock StocksPLUS
-------------------------------------------------------------------------------------------
----------------------------- Premium ---------------------------
<S> <C> <C> <C> <C> <C>
Balance at 3/31/95 $ 373 $ 102 $ 50 $ 4 $ 45
Sales 41 35 167 12 28
Closing Buys 0 0 0 (3) (23)
Expirations (174) (85) (196) (6) 0
Exercised 0 (12) 0 (7) 0
-----------------------------------------------------------------
Balance at 9/30/95 $ 240 $ 40 $ 21 $ 0 $ 50
=================================================================
</TABLE>
65
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
September 30, 1995 (unaudited)
5. Shares of Beneficial Interest
The Trust may issue an unlimited number of shares of beneficial
interest with a $.0001 par value. Changes in shares of
beneficial interest were as follows (shares in thousands):
<TABLE>
<CAPTION>
Total Total Low Low
Period Ended Return Return Total Duration Duration Low
September 30, 1995 Inst'l Admin Return III Inst'l Admin Duration II
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 181,014 5,334 1,825 64,205 71 5,726
Issued as reinvestment
of dividends 21,669 120 397 7,097 3 629
Shares redeemed (51,652) (725) (878) (65,931) (44) (4,141)
-------------------------------------------------------------------------------
Net increase 151,033 4,729 1,344 5,371 30 2,214
===============================================================================
<CAPTION>
High High
Period Ended Long-Term Yield Yield
September 30, 1995 Short-Term U.S. Gov't Foreign Global Inst'l Admin
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 5,319 1,541 3,549 1,925 12,314 0
Issued as reinvestment
of dividends 269 85 696 239 1,711 0
Shares redeemed (5,268) (812) (5,954) (263) (3,188) (1)
----------------------------------------------------------------------------------
Net increase (decrease) 320 814 (1,709) 1,901 10,837 (1)
==================================================================================
<CAPTION>
Period Ended Growth
September 30, 1995 Stock StocksPLUS
----------------------------------------------------
<S> <C> <C>
Shares sold 9 2,510
Issued as reinvestment
of dividends 5 197
Shares redeemed (441) (1,031)
-----------------------
Net increase (decrease) 427 1,676
=======================
</TABLE>
66
<PAGE>
<TABLE>
<CAPTION>
Total Total Low Low
Year or Period Return Return Total Duration Duration Low
Ended March 31, 1995 Inst'l Admin (a) Return III Inst'l Admin (b) Duration II
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 311,014 929 4,327 140,563 79 8,010
Issued as reinvestment
of dividends 31,143 15 599 11,769 1 900
Shares redeemed (108,135) (41) (4,489) (142,193) (1) (5,641)
-----------------------------------------------------------------------------------
Net increase 234,022 903 437 10,139 79 3,269
===================================================================================
<CAPTION>
High High
Year or Period Long-Term Yield Yield
Ended March 31, 1995 Short-Term U.S. Gov't Foreign Global Inst'l Admin (c)
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 26,893 2,260 6,263 4,460 21,402 4
Issued as reinvestment
of dividends 576 125 1,796 590 2,648 -
Shares redeemed (25,641) (1,708) (32,201) (1,408) (12,668) -
----------------------------------------------------------------------------------
Net increase (decrease) 1,828 677 (24,142) 3,642 11,382 4
==================================================================================
<CAPTION>
Year or Period Growth
Ended March 31, 1995 Stock StocksPLUS
------------------------------------------------------
<S> <C> <C>
Shares sold 69 2,821
Issued as reinvestment
of dividends 102 222
Shares redeemed (713) (113)
-------------------------
Net increase (decrease) (542) 2,930
=========================
</TABLE>
(a) From commencement of operations, September 7, 1994.
(b) From commencement of operations, December 31, 1994.
(c) From commencement of operations, January 16, 1995.
6. Reorganization
The Trust entered into an Agreement and Plan of Reorganization
with PIMCO Advisors Institutional Funds, another registered
open-end investment company, pursuant to which two of its
series, the Money Market Fund and PIMCO Managed Bond and Income
Fund, transferred all of their respective assets, subject to
any liabilities, to the Trust on November 1, 1995. These funds
were renamed PIMCO Money Market Fund and PIMCO Total Return
Fund II. A non-operational series of the Trust formerly known
as the PIMCO Total Return Fund II was liquidated prior to
November 1, 1995.
67
<PAGE>
ABOUT THE PIMCO FUNDS
Launched in 1987, the PIMCO Funds are no-load, open-end
institutional mutual funds designed to provide access to the
investment advisory services offered by Pacific Investment
Management Company. With a minimum initial investment
requirement of $1,000,000, the PIMCO Funds are offered
primarily to institutions and high net-worth individuals,
although shares of the Funds may also be purchased at lesser
minimum initial investments through certain discount brokers.
The investment objective of the PIMCO Short-Term and PIMCO
Money Market Funds is to seek to obtain maximum current income,
consistent with preservation of capital and daily liquidity.
The investment objective of the remaining PIMCO Fixed Income
Funds is to seek to realize maximum total return, consistent
with preservation of capital and prudent investment management.
The investment objective of the PIMCO Growth Stock Fund is to
seek long-term growth of capital, while that of the PIMCO
StocksPLUS Fund is to seek to achieve a total return which
exceeds the total return performance of the S&P 500 Index.
The following table summarizes the primary characteristics of
each of the PIMCO Funds. To receive additional information
about the Funds, including a prospectus, please call
1-800-927-4648.
<TABLE>
<CAPTION>
==================================================================================================================
Fund Duration Credit Quality Primary Investments
==================================================================================================================
<S> <C> <C> <C>
Total Return 3-6 years B to Aaa; max 10% Intermediate maturity fixed income
below Baa securities
------------------------------------------------------------------------------------------------------------------
Same as Total Return Fund, with quality
Total Return II 3-6 years Baa to Aaa and foreign issuer restrictions
------------------------------------------------------------------------------------------------------------------
Same as Total Return Fund, with
Total Return III 3-6 years B to Aaa; max 10% prohibitions on firms engaged in socially
below Baa sensitive practices
------------------------------------------------------------------------------------------------------------------
B to Aaa; max 10% Short and intermediate maturity fixed
Low Duration 1-3 years below Baa income securities
------------------------------------------------------------------------------------------------------------------
Same as Low Duration Fund, with quality
Low Duration II 1-3 years A to Aaa and foreign issuer restrictions
------------------------------------------------------------------------------------------------------------------
B to Aaa; max 10% Money market instruments and short
Short-Term 0-1 year below Baa maturity fixed income securities
------------------------------------------------------------------------------------------------------------------
(is less than Min 95% Aaa or
Money Market or equal to) Prime 1; (is less Money market instruments
90 days than or equal to)
dollar-weighted 5% Aa or Prime 2
avg. maturity
------------------------------------------------------------------------------------------------------------------
Long-Term min 8 years A to Aaa Long-term maturity fixed income
U.S. Government securities
------------------------------------------------------------------------------------------------------------------
B to Aaa; max 10% Intermediate maturity foreign fixed
Foreign 3-6 years below Baa income securities
------------------------------------------------------------------------------------------------------------------
B to Aaa; max 10% Intermediate maturity U.S. and foreign
Global 3-8 years below Baa fixed income securities
------------------------------------------------------------------------------------------------------------------
B to Aaa; min 65% High yield fixed income securities
High Yield 2-6 years below Baa ("junk bonds")
------------------------------------------------------------------------------------------------------------------
Common stocks believed to have above-
Growth Stock n/a n/a market appreciation potential over full
market cycle
------------------------------------------------------------------------------------------------------------------
B to Aaa; max 10% S&P 500 stock index derivatives backed by
StocksPLUS 0-1 year below Baa portfolio of a short-term fixed income
securities
------------------------------------------------------------------------------------------------------------------
</TABLE>
68
<PAGE>
Trustees and Officers
Brent R. Harris Chairman and Trustee
Guilford C. Babcock Trustee
Vern O. Curtis Trustee
Thomas P. Kemp Trustee
William J. Popejoy Trustee
R. Wesley Burns President
Garlin Flynn Secretary
John P. Hardaway Treasurer
Investment Advisor and Administrator
Pacific Investment Management Company
840 Newport Center Drive, Suite 360
Newport Beach, California 92660
Transfer Agent and Custodian
Investors Fiduciary Trust Company
127 West 10th Street
Kansas City, Missouri 64105
Counsel
Dechert Price & Rhoads
1500 K Street N.W.
Washington, D.C. 20005
Independent Accountants
Price Waterhouse LLP
1055 Broadway
Kansas City, MO 64105
<PAGE>
P I M C O
840 Newport Center Drive, Suite 360
Newport Beach, CA 92660
(800) 927-4648
This report is submitted for the general information of the shareholders of the
PIMCO Funds. It is not authorized for distribution to prospective investors
unless accompanied or preceded by an effective Prospectus for the PIMCO Funds,
which contains information covering its investment policies as well as other
pertinent information.
<PAGE>
SEMI-ANNUAL REPORT SEPTEMBER 30, 1995
PIMCO
INTERNATIONAL FUND
<PAGE>
CONTENTS
Chairman's Message 1
Statement of Assets and Liabilities 2
Statement of Operations 3
Statement of Change in Net Assets 4
Financial Highlights 5
Schedule of Investments 6
Notes to the Financial Statements 10
<PAGE>
CHAIRMAN'S MESSAGE
Dear Client:
We are pleased to present this semi-annual report for the six-
month period ended September 30, 1995. The International Fund
is offered exclusively to our separate account clients in
order to provide an efficient vehicle for opportunistic
investment in foreign fixed income markets.
PIMCO began reallocating client assets to the International
Fund in early May, pushing total assets to exceed $2.2 billion
by the end of September from an April low of less than $50
million. This dramatic shift reflects PIMCO's bullish outlook
for foreign bonds, particularly intermediate and long-term
German, Finnish and Danish issues. Our outlook takes into
account low inflation rates, slowing economic growth, and our
belief that European central banks will lower interest rates
in an effort to bolster flagging economies. While our shift
into foreign assets was not immediately beneficial, strong
third quarter returns in the International Fund provided a
significant boost to overall performance in client accounts.
Below is a summary of the International Fund's total return
performance compared to relevant market indices. Performance
is net of fees and reflects the reinvestment of dividends.
Cumulative Returns from Inception through September 30, 1995
[Table appears here]
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
Since
1 Yr. 3 Yrs. 5 Yrs. Inception
<S> <C> <C> <C> <C>
International
Fund (%) 13.35 6.36 8.26 7.50
Salomon World
Bond Index (%) 16.34 8.49 9.52 7.82
Lehman Gov't/
Corp. Index (%) 14.35 6.90 9.89 9.11
</TABLE>
[Graph appears here]
<TABLE>
<CAPTION>
International Salomon LBGC
Month Unit Foreign
Value Hedged
<S> <C> <C> <C>
12/31/89 1,000,000 1,000,000 1,000,000
12/31/90 1,070,758 1,033,413 1,082,841
12/31/91 1,223,513 1,148,200 1,257,457
12/31/92 1,309,150 1,238,152 1,352,790
12/31/93 1,496,037 1,400,508 1,502,023
12/31/94 1,353,748 1,348,529 1,449,322
09/30/95 1,515,817 1,541,829 1,651,278
</TABLE>
The line graph depicts the value of $1,000,000 invested at the
Fund's inception in December 1989 and held through September
1995, compared to the Salomon Brothers Non - $ U.S. World
Government Bond - 10 Currency Hedged Index and the Lehman
Brothers Government/Corporate Index, each an unmanaged market
index.
Thank you for granting us authority to invest in the
International Fund on your behalf. We remain confident that
an allocation to international fixed income markets is the
best course for the long-term investor.
Sincerely,
/s/ Brent R. Harris
BRENT R. HARRIS
Chairman of the Board
November 20, 1995
1
<PAGE>
Statement of Assets and Liabilities
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Amounts in thousands, except per share amounts
<S> <C>
Assets:
Investments, at value $ 3,223,636
Cash and foreign currency 1,159
Receivable for investments and foreign currency sold 870,528
Interest and dividends receivable 98,268
Other assets 4
4,193,595
Liabilities:
Payable for investments purchased 1,983,086
Written options outstanding 74
Payable for Fund shares redeemed 13,000
Accrued investment adviser's fee 463
Accrued administrator's fee 208
Variation margin payable 660
Other accrued expenses and liablities 215
1,997,706
Net Assets $ 2,195,889
Net Assets Consist of:
Paid in capital $ 2,205,973
Undistributed net investment income 46,950
Accumulated undistributed net realized loss (30,730)
Net unrealized depreciation (26,304)
$ 2,195,889
Shares Issued and Outstanding 276,281
Net Asset Value, Offering and Redemption Price $ 7.95
Per Share (Net Assets Per Share Outstanding)
Cost of Investments Owned 3,194,377
Cost of Foreign Currency Held 1,184
</TABLE>
See Notes to Financial Statements
2
<PAGE>
Statement of Operations
For the six months ended September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
$ in thousands
<S> <C>
Investment Income:
Interest $ 50,154
Expenses:
Investment advisory fees 1,889
Administration fees 752
Custodian and transfer agent fees 434
Audit fees 43
Legal fees 26
Trustees' fees 3
Miscellaneous 18
Total expenses 3,165
Fees paid indirectly (5)
Net expenses 3,160
Net Investment Income 46,994
Net Realized and Unrealized Gain (Loss)
Net realized gain on investments 6,666
Net realized gain on futures contracts and written options 1,195
Net realized gain on foreign currency transactions 46,358
Net change in unrealized appreciation on investments 29,222
Net change in unrealized depreciation on futures contracts
and written options (1,027)
Net change in unrealized depreciation on translation of
assets and Liabilities denominated in foreign currencies (55,136)
Net Gain 27,278
Net Increase in Assets Resulting from Operations $ 74,272
</TABLE>
See Notes to Financial Statements
3
<PAGE>
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
$ in thousands
Six months ended Year Ended
September 30, 1995 March 31,1995
(unaudited)
Increase (Decrease) in Net Assets from:
<S> <C> <C>
Operations
Net investment income $ 46,994 $ 25,941
Net realized gain (loss) 54,219 (108,960)
Net change in unrealized appreciation (26,941) 9,680
(depreciation)
Net increase (decrease) resulting from 74,272 (73,339)
operations
Distributions to Shareholders
From net investment income 0 (35,032)
From net realized capital gains 0 0
Total distributions 0 (35,032)
Fund Share Transactions
Receipts for shares sold 2,244,751 50,047
Issued as reinvestment of distributions 0 33,847
Cost of shares redeemed (169,084) (2,226,551)
Net increase (decrease) resulting from 2,075,667 (2,142,657)
Fund share transactions
Total Increase (Decrease) in Net Assets $ 2,149,939 $(2,251,028)
Net Assets
Beginning of period $ 45,950 $ 2,296,978
End of period * 2,195,889 45,950
* Including undistributed net
Investment income of: $ 46,950 $ (44)
</TABLE>
See Notes to Financial Statements
4
<PAGE>
Financial Highlights
<TABLE>
<CAPTION>
Selected Per Share Data 9/30/95
for the Year or (unaudited) 3/31/95 3/31/94 3/31/93 3/31/92 3/31/91
Period Ended:
<S> <C> <C> <C> <C> <C> <C>
Net asset value beginning
of period $ 7.44 $ 9.93 $ 10.53 $ 10.02 $ 9.94 $ 9.78
Net investment income 0.18 2.18 0.47 0.62 0.79 0.79
Net realized and
unrealized gain 0.33 (2.41) 0.24 0.42 0.27 0.30
Total income (loss) from
investment operations 0.51 (0.23) 0.71 1.04 1.06 1.09
Dividends from net
investment income 0.00 (2.26) (0.96) (0.48) (0.78) (0.83)
Distributions from net
realized capital gains 0.00 0.00 (0.35) (0.05) (0.20)a (0.10)
Total distributions 0.00 (2.26) (1.31) (0.53) (0.98) (0.93)
Net asset value end of period $ 7.95 $ 7.44 $ 9.93 $ 10.53 $ 10.02 $ 9.94
Total return (%) 6.85 (1.27) 6.54 10.61 10.97 11.55
Net assets end of
period (000's) $2,195,889 $45,950 $2,296,978 $2,589,677 $1,314,661 $609,660
Ratio of expenses to
average net assets (%) 0.46(b) 0.43 0.43 0.46 0.51 0.55
Ratio of net investment
income to average net
assets (%) 6.92(b) 5.90 5.51 6.67 8.24 8.23
Portfolio turnover rate (%) 627 674 370 301 201 202
</TABLE>
(a) Gain distribution includes $0.14 per share characterized for
tax purposes as distributions from ordinary income.
(b) Annualized.
See Notes to Financial Statements
5
<PAGE>
Schedule of Investments
September 30, 1995
(unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (000's)
(000's)
<S> <C> <C>
ARGENTINA (c)(e) - 0.2%
Republic of Argentina
19.100% due 05/01/01 AP 6,700 $ 3,910
--------
Total Argentina 3,910
========
(Cost $3,886)
CANADA (c)(e) - 3.1%
Government of Canada
9.000% due 12/01/04 C$ 2,500 2,014
8.750% due 12/01/05 82,900 66,048
--------
Total Canada 68,062
========
(Cost $64,431)
DENMARK (c)(e) - 3.9%
Government of Denmark
7.000% due 11/10/24 DK 570,000 84,940
--------
Total Denmark 84,940
========
(Cost $83,557)
FINLAND (c)(e) - 13.9%
Government of Finland
10.000% due 09/15/01 FM 253,000 65,229
9.500% due 03/15/04 931,000 239,150
--------
Total Finland 304,379
========
(Cost $296,270)
FRANCE (c)(e) - 0.9%
Government of France
7.750% due 10/25/05 FF 100,370 20,700
--------
Total France 20,700
========
(Cost $20,668)
GERMANY (c)(e) - 40.1%
German Unity Fund
8.000% due 01/21/02 DM 4,000 $3,039
Government of Germany
8.375% due 05/21/01 60,000 46,417
8.000% due 07/22/02 99,000 75,341
7.500% due 11/11/04 78,000 57,493
7.375% due 01/03/05 350,000 256,022
6.000% due 06/20/16 160,000 96,067
6.250% due 01/04/24 575,500 346,750
--------
Total Germany 881,129
========
(Cost $875,401)
IRELAND (c)(e) - 6.0%
Irish Gilt
9.750% due 06/01/98 IP 36,000 55,709
6.250% due 04/01/99 45,000 77,131
--------
Total Ireland 132,840
========
(Cost $130,071)
PANAMA - 0.1%
Bladex
6.875% due 05/23/96 2,000 1,999
--------
Total Panama 1,999
(Cost $1,999)
NETHERLANDS (c)(e) - 7.0%
Government of Netherlands
9.000% due 05/15/00 NG 2,400 1,697
7.000% due 06/15/05 50,000 32,004
8.250% due 02/15/07 171,800 119,094
--------
Total Netherlands 152,795
========
(Cost $144,946)
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
Principal Value
Amount (000's)
(000's)
<S> <C> <C>
SPAIN (c)(e) - 12.2%
7.300% due 07/30/97 500,000 $103,892
10.000% due 02/28/05 450,000 164,797
--------
Total Spain 268,689
========
(Cost $269,175)
UNITED KINGDOM (c)(e) - 2.7%
United Kingdom Gilt
6.000% due 08/10/99 BP 40,000 60,117
--------
Total United Kingdom 60,117
========
(Cost $60,245)
UNITED STATES - 31.0%
Corporate Bonds and Notes - 3.9%
Ford Motor Credit Corp.
5.570% due 03/23/99 (g) 12,500 12,362
General Motors
Acceptance Corp.
4.625% due 02/09/96 7,700 7,666
5.500% due 03/21/96 8,000 7,986
8.800% due 04/04/96 5,100 5,169
8.125% due 01/27/97 48,700 49,877
Long Island Lighting
Co.
8.750% due 05/01/96 2,000 2,025
Occidental Petroleum
11.750% due 03/15/11 250 268
--------
85,353
========
Mortgage-Backed Securities - 27.1%
Federal Home Loan Mortgage Corp.
6.429% due 01/01/20-
06/01/30 (f)(g) 43,279 43,327
7.345% due 08/01/24(g) 8,509 8,732
7.573% due 01/01/24(g) 6,581 6,805
7.574% due 02/01/24(g) 6,879 7,038
7.955% due 08/01/22(g) 4,574 4,756
8.275% due 06/01/22(g) 8,005 8,191
Federal National Mortgage Assn.
5.706% due 04/01/24(g) $5,143 $5,211
6.395% due 08/25/25(g) 98,890 99,014
6.429% due 12/01/27(g) 10,733 10,819
7.166% due 04/01/25(g) 10,373 10,613
7.575% due 01/01/23(g) 6,299 6,533
7.599% due 09/01/24(g) 7,110 7,295
7.624% due 11/01/22(g) 5,036 5,220
7.627% due 01/01/23(g) 6,516 6,756
7.831% due 02/01/23(g) 12,737 13,244
7.867% due 05/01/22(g) 15,135 15,749
7.909% due 08/01/23(g) 6,221 6,488
8.297% due 07/01/21(g) 4,229 4,419
Government National Mortgage Assn.
6.500% due 07/20/23-
10/20/24 (f)(g) 107,584 109,000
7.000% due 09/20/23-
05/20/25 (f)(g) 97,712 99,569
7.375% due 05/20/23-
06/20/24 (f)(g) 28,973 29,658
Kearny St. Real Estate Co.
6.600% due 10/15/02 2,000 1,999
Prudential Home Mortgage
6.100% due 10/25/24 9,826 9,770
6.750% due 08/25/08 10,000 9,984
Resolution Trust Corp.
6.979% due 06/25/21(g) 3,993 3,969
Ryland Acceptance Corp.
7.873% due 09/25/23(g) 60,436 61,342
--------
595,501
--------
Total United States 680,854
========
(Cost $679,916)
PURCHASED OTC OPTIONS(c)(e) - 1.0%
Call - Government of Germany
6.25% 01/04/24
Strike @ 74.00 Exp. 251,000 21,865
10/10/95 DM
Put - Japanese Yen v. U.S. Dollar
Strike @ 100.00 Exp.
10/03/95 JY 100,000 64
--------
Total Purchased OTC Options 21,929
========
(Cost $22,501)
</TABLE>
7
<PAGE>
Schedule of Investments (Continued)
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
SHORT-TERM INSTRUMENTS - 24.7%
Discount Notes - 24.2%
AT&T Corp.
5.690% due 10/20/95 2,600 2,593
5.650% due 11/03/95 4,000 3,980
5.640% due 11/22/95 43,700 43,351
Associates Corp. of North America
5.720% due 10/23/95 49,400 49,235
5.690% due 11/16/95 5,000 4,964
5.680% due 11/27/95 2,650 2,627
Caisse National Telecom
5.710% due 10/16/95 15,950 15,915
Emerson Electric
5.680% due 10/24/95 900 897
Federal National Mortgage Assn.
5.600% due 10/10/95 16,500 16,479
5.590% due 10/20/95 2,200 2,194
5.580% due 10/23/95 12,300 12,260
5.600% due 11/02/95 11,200 11,146
General Electric Capital Corp.
5.740% due 10/13/95 22,100 22,061
Hewlett Packard
5.630% due 11/21/95 102,300 101,500
Motorola
5.700% due 10/26/95 30,000 29,886
National Rural
Utilities Cooperative
5.840% due 10/03/95 4,000 3,999
New South Wales Treasury
5.660% due 11/10/95 700 696
5.700% due 11/20/95 27,800 27,584
Province of Ontario
5.840% due 12/07/95 2,100 2,076
Canadian Wheat Board
5.650% due 11/09/95 43,500 43,241
Proctor & Gamble Co.
5.630% due 11/17/95 3,750 3,723
Queensland Treasury Corp.
5.630% due 11/08/95 $ 4,000 $ 3,977
5.630% due 12/12/95 12,500 12,347
Sprint Capital Corp.
6.030% due 11/20/95 25,000 24,795
Teco Finance, Inc.
5.660% due 10/12/95 5,600 5,591
USX Corp.
6.191% due 10/31/95 25,500 25,373
U.S. West Communications
5.690% due 10/20/95 1,600 1,595
5.710% due 10/24/95 16,900 16,841
Warner-Lambert Co.
5.830% due 10/13/95 11,200 11,180
5.620% due 10/17/95 21,000 20,951
Government of Western Australia
5.700% due 11/15/95 5,000 4,965
Abbott Laboratories
5.690% due 10/11/95 400 399
Eli Lilly & Co.
6.270% due 11/28/95 700 693
--------
529,114
--------
Repurchase Agreement - 0.1%
State Street Bank
5.250% due 10/02/95 2,405 2,403
(Dated 9/29/95.
Collateralized by
U.S. Treasury Note
6.625% 03/31/97
valued at $2,454,078.
Repurchase proceeds
are $2,406,052.)
U.S. Treasury Bill - 0.4%
5.136% due 10/26/95- 9,835 9,776
2/08/96 (b)(f)
--------
Total Short-Term Instruments 541,293
--------
(Cost $541,311)
</TABLE>
8
<PAGE>
Schedule of Investments (Continued)
September 30, 1995 (unaudited)
<TABLE>
<S> <C>
TOTAL INVESTMENTS (a) - 146.8% 3,223,636
(Cost $3,194,377)
WRITTEN OPTIONS (d) - 0.0% (74)
(Premiums $40)
OTHER ASSETS AND LIABILITIES (Net) - 6.8% (1,027,673)
-----------
NET ASSETS - 100.0% $ 2,195,889
-----------
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 1995, the net realized 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 value over tax cost.
$ 37,026
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value.
(7,767)
--------
Unrealized appreciation-net $ 29,259
========
(b) Securities with an aggregate market value of $9,776
have been segregated with the custodian to cove margin
requirements for the following open future contracts at
September 30, 1995:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- ---------------------------------------------------------------
<S> <C> <C>
German Gov't 10 Year Bond(12/95) 193 $ 100
U.S. Treasury 10 Year Note(12/95) 763 (358)
-------
$ (258)
=======
</TABLE>
(c) Forward currency contracts outstanding at September 30, 1995:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Amount Month (Depreciation)
- -----------------------------------------------------------------
<S> <C> <C> <C>
Sell BP 43,101 10/95 $ (798)
Buy C$ 119,358 10/95 1,387
Sell 87,966 10/95 (138)
Buy DK 126,960 10/95 249
Sell 215,737 10/95 (979)
Buy DM 92,170 10/95 114
Buy 29,052 11/95 (92)
Sell 1,099,705 10/95 (16,299)
Buy FF 228,635 09/96 1,331
Sell 229,320 10/95 42
Buy FM 321,153 10/95 (147)
Buy 158,400 09/96 583
Sell 511,864 10/95 (2,751)
Sell 315,990 11/95 0
Buy IL 181,630,337 09/96 443
Buy IP 31,646 09/96 950
Sell 72,617 10/95 (2,304)
Buy JY 365,901 10/95 (80)
Sell 9,701,970 10/95 (1,147)
Sell NG 341,271 10/95 (4,413)
Buy SK 488,907 09/96 1,422
Buy SP 13,092,361 10/95 3,179
Sell 12,813,475 10/95 (2,959)
---------
$ (22,407)
=========
</TABLE>
(d) Premiums received on OTC Written Options:
<TABLE>
<CAPTION>
Premium Market
Par Received Value
- --------------------------------------------------------------------
<S> <C> <C> <C>
Call - Japanese Yen v. U.S. Dollar
Strike @ 92.00 Exp. 10/03/95 100,000 $32 $41
Put - Japanese Yen v. U.S. Dollar
Strike @ 108.00 Exp. 10/03/95 100,000 8 33
----------------
$40 $74
================
</TABLE>
(e) Principal amount in indicated currency
AP Argentine Peso
BP British Pound
C$ Canadian Dollar
DK Danish Kroner
DM German Mark
FM Finnish Markka
FF French Franc
IP Irish Punt
JY Japanese Yen
NG Netherlands Guilder
SP Spanish Peseta
(f) Securities are grouped by coupon rate and represent a
range of maturities.
(g) Variable rate security. The rate listed is as of
September 30, 1995
9
<PAGE>
1. Significant Accounting Policies
The International Fund (the "Fund"), which commenced
operations on December 13, 1989, is a series of the PIMCO
Funds (the "Trust"). The Trust was organized under the laws
of the Commonwealth of Massachusetts on February 19, 1987,
and is registered under the Investment Company Act of 1940,
as amended, as a no-load, open-end management investment
company. The following is a summary of significant
accounting policies followed in the preparation of the Fund's
financial statements. The policies are in conformity with
generally accepted accounting principles.
Security Valuation. Portfolio securities and other assets
for which market quotations are readily available are stated
at market value. Market value is determined on the basis of
last reported sales prices, or if no sales are reported, as
is the case for most securities traded over-the-counter, the
mean between representative bid and asked quotations
obtained from a quotation reporting system or from
established market makers. Fixed income securities, including
those to be purchased under firm commitment agreements (other
than obligations having a maturity of sixty days or less),
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 having a maturity of sixty days or less are
valued at amortized cost, which approximates market value.
Certain fixed income securities for which daily market
quotations are not available may be valued, pursuant to
guidelines established by the Board of Trustees.
Security Transactions and Investment Income. Security
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. Interest
income is recorded on the accrual basis and includes the
accretion of discounts and amortization of premiums.
Dividend income is recorded on the ex-dividend date. Realized
gain or loss from securities sold are recorded on the
identified cost basis.
Dividends and Distributions to Shareholders. The Fund
declares and distributes dividends representing substantially
all net investment income on a quarterly basis. Any net
realized capital gains from the sale of portfolio securities
will be distributed no less frequently than once each year.
The Fund records distributions to shareholders on the
ex-dividend date.
Distributions of 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 investment relative to the U.S. dollar, are
reported to shareholders as ordinary income distributions 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
and capital loss carryforwards.
Federal Income Taxes. It is the Fund's policy to distribute
all of its taxable income to shareholders and otherwise
comply with the provisions of the Internal Revenue Code
applicable to regulated investment companies. Therefore, no
provision has been made for federal income tax on net
investment income and realized or unrealized capital gains.
Futures and Options. The 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 the Fund and the prices of futures
contracts and options, and the
10
<PAGE>
possibility of an illiquid market. Futures contracts and
purchased options are valued based upon their quoted daily
settlement prices. The premium received for a written option
is recorded as an asset with an equal liability which is
marked to market based on the option's quoted daily
settlement price. Fluctuations in value of such instruments
are recorded as unrealized appreciation (depreciation) until
terminated at which time realized gains and losses are
recognized.
Forward Foreign Currency Contracts. The Fund 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 accounts, 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 into 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.
2. Fees, Expenses, and Related Party Transactions
Investment Advisory Fee. Pacific Investment Management
Company ("PIMCO") serves as investment adviser (the
"Adviser") to the Trust, pursuant to an investment advisory
contract. The Adviser received a monthly fee from the Fund
at an annual rate based on average daily net assets of the
Fund as follows: 0.30% of the first $150 million, and 0.25%
thereafter. Effective October 1, 1995, the Advisory fee will
be 0.25%.
Administration Fee. PIMCO also serves as Administrator,
("Administrator"), and provides administrative services to
the Fund for which it received a monthly administrative fee
at the annual rate of 0.10% of the Fund's average daily net
assets. Effective October 1, 1995, the Fund adopted a
"unified fee structure" whereby PIMCO provides services
necessary for the operation of the Fund for a single
administrative fee. The new administrative fee is 0.25%.
Expense Offset Arrangement. Fees paid indirectly represent
reductions in custody and transfer agent expenses from
interest income earned on incidental uninvested cash
balances. Such fees have been added to custody and transfer
agent fees to reflect total Fund expenses.
Expense Limitation. Prior to adoption of the unified fee
structure, the Adviser and the Administrator, in the interest
of limiting expenses of the Fund, agreed to limit the
expenses of the Fund, including the advisory and
administrative fees, to not more than 0.65% of its average
net assets on an annual basis.
Expenses. The Fund is responsible for the following expenses:
(i) salaries and other compensation of any of the Trust's
executive officers and employees who are not officers,
directors, stockholders or employees of PIMCO or its
subsidiaries or affiliates; (ii) taxes and governmental
fees; (iii) brokerage fees and commissions and other
portfolio transaction expenses; (iv) the costs of borrowing
money, including interest expenses; (v) fees and expenses of
the Trustees who are not "interested persons" of PIMCO or the
Trust, and any counsel retained exclusively for their
benefit; (vi) extraordinary expenses, including costs of
litigation and indemnification expenses; and (vii) expenses,
such as organizational expenses, which are capitalized in
accordance with generally accepted accounting principles.
Each unaffiliated Trustee receives an annual retainer of
$7,000, plus $2,000 for each Board of Trustees meeting
attended, plus reimbursement of related expenses. These
expenses are allocated to the Funds of the Trust according to
their respective net assets.
11
<PAGE>
Related Party Transactions. PIMCO Advisors Distribution
Company ("PADCO"), an indirect wholly-owned subsidiary of
PIMCO Advisors L.P., serves as the distributor of the Fund's
shares. Under the contract, all expenses relating to the
distribution of Fund shares will be paid by the Adviser, the
Administrator or PADCO out of past profits and resources
which may include fees received by the Adviser or the
Administrator.
3. Purchases and Sales of Securities
Purchases and sales of investment securities (excluding
short-term instruments) for the Fund for the period ended
September 30, 1995 were as follows ($ in thousands):
<TABLE>
<CAPTION>
Purchases Sales
U.S. Government Other U.S. Government Other
<S> <C> <C> <C>
$722,335 $10,348,885 $203,710 $8,215,868
</TABLE>
4. Transactions in Written Call and Put Options were as
follows ($ in thousands):
<TABLE>
<CAPTION>
Premiums
<S> <C>
Balance at March 31, 1995 $ 46
Sales -
Closing buys -
Expirations (6)
Exercised -
Balance at September 30, 1995 $ 40
</TABLE>
5. Shares of Beneficial Interest
The Fund may issue an unlimited number of shares of
beneficial interest with a $.0001 par value. Changes in
shares of beneficial interest were as follows (in thousands):
<TABLE>
<CAPTION>
Six months ended
September 30, 1995 Year ended
(unaudited) March 31, 1995
----------- --------------
<S> <C> <C>
Shares sold 291,802 5,258
Shares redeemed (21,700) (234,125)
Shares issued as reinvestment of dividends 0 3,820
------- --------
Net decrease 270,102 (225,047)
======= ========
</TABLE>
12
<PAGE>
Trustees and Officers
Brent R. Harris Chairman and Trustee
Guilford C. Babcock Trustee
Vern O. Curtis Trustee
Thomas P. Kemp Trustee
William J. Popejoy Trustee
R. Wesley Burns President
Garlin G. Flynn Secretary
John P. Hardaway Treasurer
Investment Adviser and Administrator
Pacific Investment Management Company
840 Newport Center Drive, Suite 360
Newport Beach, California 92660
Transfer Agent and Custodian
Investors Fiduciary Trust Company
127 West 10th Street
Kansas City, Missouri 64105
Counsel
Dechert Price & Rhoads
1500 K Street N.W.
Washington, D.C. 20005
Independent Accountants
Price Waterhouse LLP
1055 Broadway
Kansas City, MO 64105
1
<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 International Fund. 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.
<PAGE>
SEMI-ANNUAL REPORT SEPTEMBER 30, 1995
PIMCO
VersaSTYLE Equity Fund
<PAGE>
Statement of Assets and Liabilities
September 30, 1995 (unaudited)
Amounts in thousands, except per share amounts
<TABLE>
<S> <C>
Assets:
Investments, at value $6,129
Receivable for investments sold 144
Receivable from adviser 19
Interest and dividends
receivable 15
Other assets 2
------
6,309
======
Liabilities:
Payable for investments
purchased 136
Accrued investment adviser's fee 2
Accrued administrator's fee 1
Other accrued expenses and
liabilities 20
------
159
======
Net Assets $6,150
======
Net Assets Consist of:
Paid in capital $5,113
Undistributed net investment income 0
Accumulated undistributed net 202
realized gain
Net unrealized appreciation 835
------
$6,150
======
Shares Issued and Outstanding 511
======
Net Asset Value, Offering and
Redemption Price Per Share
(Net Assets Per Share
Outstanding) $12.04
======
Cost of Investments Owned $5,294
======
Cost of Foreign Currency Held 78
======
</TABLE>
See Notes to Financial Statements
1
<PAGE>
Statement of Operations
For the six months ended September 30, 1995 (unaudited)
$ in thousands
<TABLE>
<S> <C>
Investment Income:
Dividends $ 70
Interest 1
------
Total Investment Income 71
======
Expenses:
Investment advisory fees 13
Administration fees 3
Custodian and transfer agent
fees 26
Registration fees 1
Audit fees 8
Reimbursement from adviser (33)
------
Total expenses 18
------
Fees paid indirectly 0
------
Net expenses 18
======
Net Investment Income 53
======
Net Realized and Unrealized Gain
Net realized gain on investments 345
Net change in unrealized
appreciation on investments 581
======
Net Gain 926
======
Net Increase in Assets
Resulting from Operations $ 979
======
</TABLE>
See Notes to Financial Statements
2
<PAGE>
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
$ in thousands From commencement
Six months ended on September 30, 1994
September 30, 1995 through
(unaudited) March 31, 1995
----------- --------------
<S> <C> <C>
Increase in Net Assets from:
Operations
Net investment income $ 53 $ 60
Net realized gain (loss) 345 (143)
Net change in unrealized appreciation 581 254
------ ------
Net increase resulting from operations 979 171
====== ======
Distributions to Shareholders
From net investment income (53) (60)
From net realized capital gains 0 0
------ ------
Total distributions (53) (60)
====== ======
Fund Share Transactions
Receipts for shares sold 0 5,000
Issued as reinvestment of distributions 53 60
Cost of shares redeemed 0 0
------ ------
Net increase resulting from Fund share
transactions 53 5,060
====== ======
Total Increase in Net Assets 979 5,171
====== ======
Net Assets
Beginning of period $5,171 $ 0
------ ------
End of period * 6,150 5,171
------ ------
* Including undistributed net
investment income of: 0 0
</TABLE>
See Notes to Financial Statements
3
<PAGE>
Financial Highlights
<TABLE>
<CAPTION>
From commencement
Six months ended on September 30, 1994
September 30, 1995 through
Selected Per Share Data for the (unaudited) March 31, 1995
period ended: ---------- --------------
<S> <C> <C>
Net asset value beginning of period $10.22 $10.00
Net investment income 0.10 0.12
Net realized and unrealized gain
on investments 1.82 0.22
Total Income from investment
operations 1.92 0.34
Dividends from net investment income (0.10) (0.12)
Distributions from net realized
capital gains 0.00 0.00
Total distributions (0.10) (0.12)
Net asset value end of period 12.04 10.22
Total return (%) 18.89 3.44
Net assets end of period (000's) $6,150 $5,171
Ratio of expenses to average net
assets (%) 0.65 + 0.65 +
Ratio of net investment income to 1.88 + 2.45 +
average net assets (%)
Portfolio turnover rate (%) 91 159
</TABLE>
+ Annualized
See Notes to Financial Statements
4
<PAGE>
Schedule of Investments
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Value
Share (000's)
<S> <C> <C>
Common Stocks - 99.4%
Energy Producers - 2.1%
Amoco 500 32
Broken Hill Proprietary Ltd. 200 11
Helmerich & Payne, Inc. 200 6
Mitchell Energy & Development Corp. "A" 600 11
Mitchell Energy & Development Corp. "B" 500 9
Occidental Petroleum 500 11
Parker Drilling Co. (b) 3,300 20
Smith International,Inc. (b) 900 16
Union Texas Petroleum Holdings, Inc. 600 11
---
127
===
Energy Refiners - 4.6%
British Petroleum Co. PLC 500 45
Exxon Corp. 1,000 72
Mobil Corp. 200 20
Royal Dutch Petroleum Co. 1,200 147
Valero Energy Corp. 100 2
---
286
===
Technology - 11.9%
AMP, Inc. 140 5
Applied Magnetics Corp.(b) 700 11
Automatic Data Processing, Inc. 400 27
Cabletron Systems, Inc.(b) 400 26
Cadence Design Systems,Inc. (b) 400 16
Cheyenne Software, Inc.(b) 800 16
Comdisco, Inc. 800 24
Continuum. Inc. (b) 400 15
EMC Corp. (b) 800 15
Ericsson LM Telefonktiebolaget (b) 1,300 32
General Motors Corp. "E" 500 23
Hutchinson Technology,Inc. (b) 200 12
International Business Machines Corp. 200 19
Kent Electronics Corp. (b) 1,350 59
Kulicke & Soffa Industries, Inc.(b) 600 22
Kyocera Corp. 200 34
Logicon, Inc. 3,200 86
LSI Logic Corp. (b) 300 17
Microsoft Corp. (b) 300 27
Motorola, Inc. 100 8
NEC Corp. 300 21
Network Equipment Technologies, Inc. (b) 600 25
Parametric Technology Corp. (b) 300 19
Shared Medical Systems Corp. 700 29
Sony Corp. 200 11
Sterling Software, Inc.(b) 400 18
Structural Dynamics Research Corp. (b) 1,100 20
Symbol Technologies,Inc. (b) 600 20
Systems & Computer Technology Corp. (b) 300 8
Tellabs, Inc. (b) 300 13
Texas Instruments, Inc. 200 16
Wyle Electronics 800 36
---
730
===
Consumer Discretionary - 10.2%
PHH Corp. 500 23
American Business Products, Inc. 2,550 53
Blair Corp. 900 31
Casey's General Stores,Inc. 1,000 23
CCH, Inc. "B" 1,700 38
Claire's Stores, Inc. 1,300 27
Comcast Corp "A" 200 4
CPI Corp 2,200 49
Cross (A.T.) Company "A" 1,900 32
Gillette Co. 1,700 81
Harcourt General, Inc. 600 25
Hilton Hotels Corp. 200 13
Jostens, Inc. 1,000 24
</TABLE>
5
<PAGE>
Schedule of Investments (Cont.)
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Value
Share (000's)
<S> <C> <C>
Medicine Shoppe International, Inc. 800 35
National Presto Industries, Inc. 900 40
Nelson Thomas, Inc. 475 12
Newell Co. 500 12
Pulitzer Publishing Co. 500 26
Robert Half International, Inc.(b) 300 10
Russ Berrie & Co. 1,100 17
Wolverine World Wide,Inc. 1,850 51
---
626
===
Consumer Staples - 11.4%
Alberto-Culver Co. "B" 300 9
Anheuser Busch Co's Inc. 400 25
B A T Industries PLC 1,400 24
Block Drug Co., Inc. 600 23
Campbell Soup Co. 300 15
Church & Dwight, Inc. 3,200 70
Coca-Cola Co. 600 41
Colgate Palmolive 300 20
ConAgra, Inc. 700 28
CPC International, Inc. 400 26
General Mills, Inc. 300 17
Hanson PLC 500 8
Hershey Foods, Inc. 300 19
IBP, Inc. 400 21
International Flavors & Fragrances, Inc. 400 19
Kellogg Co. 600 43
Pepsico, Inc. 500 26
Ralston Purina Co. 100 6
Richfood Holdings, Inc. 700 18
Rykoff-Sexton, Inc. 1,500 35
Sara Lee Corp. 1,100 33
The Procter & Gamble Co. 400 31
Unilever N.V. 200 26
Universal Corp. 1,000 23
UST, Inc. 1,400 40
Vons Companies (b) 600 14
Walgreen Co. 600 17
Wrigley WM Jr. Company 500 25
---
702
===
Banks - 6.7%
California Federal Bank (b) 3,600 57
City National Corporation 700 9
Coast Savings Financial,Inc. (b) 600 16
Comerica, Inc. 600 22
Concord EFS, Inc. (b) 600 18
Cullen Frost Bankers,Inc. 600 28
Fifth Third Bancorp 300 17
First Bank System, Inc. 500 24
Marshall & Ilsley Corp. 1,000 25
Morgan J.P. & Co. 100 8
North Fork Bancorporation, Inc. 500 10
Norwest Corp. 800 26
Santander Banco 400 17
Suntrust Banks, Inc. 1,100 73
TCF Financial Corp. 600 35
Zions Bancorporation 400 25
---
410
===
Non-Bank Financials - 7.9%
Aegon, N.V. 500 18
Alex Brown, Inc. 400 23
CNA Financial Corp. (b) 300 32
Capstead Mortgage Corp. 1,200 38
Cigna Corp. 200 21
CWM Mortgage Holdings, Inc. 4,400 59
Federal National Mortgage Association 300 31
First American Financial Corp. 1,000 24
Foothill Group, Inc. "A" 700 21
Gallagher Arthur J & Co. 600 21
General RE Corp. 200 30
Legg Mason, Inc. 2,200 65
Merrill Lynch & Co.,Inc. 600 38
Policy Management Systems Corp. (b) 200 10
Resource Mortgage Capital, Inc. 1,000 20
</TABLE>
6
<PAGE>
Schedule of Investments (Cont.)
September 30, 1995 (unaudited)
<TABLE>
<CAPTION> Value
Share (000's)
<S> <C> <C>
Washington National Corp. 1,300 32
---
483
===
Electric and Gas - 4.9%
Black Hills Corp. 1,000 25
Central Maine Power Co. 5,100 67
Idaho Power Co. 200 6
New Jersey Resources Corp. 3,200 83
Northwestern Public Services Co. 400 10
Oneok, Inc. 1,000 23
South Jersey Industries, Inc. 2,000 42
The Southern Co. 600 14
United Water Resources, Inc. 2,700 34
---
304
===
Telecommunications - 7.6%
Ameritech Corp. 1,500 78
AT&T Corp. 300 20
Bell Atlantic Corp. 1,800 110
Bellsouth Corp. 1,100 80
Frontier Corp. 700 19
GTE Corp. 1,300 51
SBC Communications, Inc. 1,800 99
Southern New England 100 4
Telecom U. S. West, Inc. 200 9
---
470
===
Basic Materials - 7.5%
Air Products & Chemicals, Inc. 400 21
Airgas, Inc. (b) 800 21
Carpenter Technology Corp. 600 23
Coeur D Alene Mines Corp. 1,100 22
Commercial Metals Co. 100 3
Dexter Corp. 1,000 26
Domtar, Inc. (b) 2,000 19
Dravo Corp. (b) 500 6
Dupont (E.I.) De Nemours 100 7
Florida Rock Industries,Inc. 1,000 28
Georgia-Pacific Corp. 100 9
Glatfelter Paper & Products Co. 1,000 23
Hanna (M.A.) Co. 800 21
Hercules, Inc. 300 17
Imco Recycling, Inc. 300 7
Loctite Corp. 300 15
RPM, Inc. Ohio 1,100 22
Synalloy Corp. 1,500 34
Tambrands, Inc. 400 18
Texas Industries, Inc. 500 26
The Dow Chemical Co. 400 30
Univar Corp. 1,400 20
Varlen Corp. 550 15
Wallace Computer Service, Inc. 500 29
---
462
===
Capital Goods - 10.6%
AAR Corp. 600 11
Baldor Electric 1,200 30
Blount Inc. "A" 900 43
Champion Enterprises, Inc. "A" (b) 900 18
Donaldson Co., Inc. 900 22
Electro Scientific Industries (b) 100 3
Fluke Corp. 700 27
Graco, Inc. 2,500 85
Groundwater Technology, Inc. (b) 1,300 17
Keystone International,Inc. 600 13
Lawson Products, Inc. 800 22
Loral Corp. 500 29
Manitowoc, Inc. 1,800 53
Oakwood Homes Corp. 800 28
Regal Beloit Corp. 2,000 37
Rexel, Inc. (b) 2,200 22
Rockwell International Corp. 500 24
SPS Technologies, Inc.(b) 600 23
United States Filter Corp. (b) 2,600 62
Watkins Johnson Co. 700 38
</TABLE>
7
<PAGE>
Schedule of Investments (Cont.)
September 30, 1995 (unaudited)
<TABLE>
<CAPTION> Value
Share (000's)
<S> <C> <C>
Zurn Industries 1,700 43
-----
650
=====
Health Care - 10.9%
Alpharma, Inc. "A" 400 9
Abbott Laboratories 1,300 55
Alza Corp. "A" (b) 1,000 23
American Home Products 300 25
Bergen Brunswig Corp. 900 19
Bristol-Meyers-Squibb Co. 200 15
Cardinal Health, Inc. 500 28
Cordis Corp. (b) 300 25
Datascope Corp (b) 500 10
Eli Lilly & Co. 200 18
Healthsouth Corp. (b) 1,100 28
Invacare Corp. 700 33
Johnson & Johnson 300 22
Medtronic, Inc. 600 32
North American Vaccine,Inc. (b) 2,300 26
Pfizer, Inc. 800 43
Research Industries Corp. (b) 1,400 41
Schering Plough Corp. 300 15
Sierra Health Services, Inc. (b) 800 20
St. Jude Medical, Inc. (b) 400 25
Stryker Corp. 900 42
Sunrise Medical, Inc.(b) 200 6
Surgical Care Affiliates, Inc. 900 21
U.S. Healthcare, Inc. 500 18
United Healthcare Corp 500 24
Universal Health Services, Inc. (b) 1,200 41
Vencor, Inc. (b) 200 6
-----
670
=====
Automobiles and Transportation - 3.1%
Alaska Air Group, Inc. (b) 1,300 20
American Freigntways Corp. (b) 400 6
American President Co.,Ltd. 800 23
Clarcor, Inc. 1,000 24
Cooper Tire & Rubber Co. 400 10
Genuine Parts Co. 200 8
Federal Signal Corp. 600 13
Harper Group, Inc. 100 2
Kansas City Southern Industries, Inc. 200 9
Mesa Airlines. Inc. (b) 2,200 22
Superior Industries Int'l, Inc. 700 19
Toyota Motor Corp. 500 19
TRW, Inc. 200 15
-----
190
-----
Total Common Stocks - 6,110
=====
</TABLE>
<TABLE>
<CAPTION>
Principal
amount
(000's)
<S> <C> <C>
Repurchase Agreements - 0.3%
State Street Bank
5.25% due 10/02/95. 19 19
(Dated 09/29/95. ----- ------
Collateralized by
U.S. Treasury Note
6.875% 02/28/97 valued at $20,366.
Repurchase proceeds are $19,008.)
Total Investments (a) - 99.7% $6,129
(Cost $5,294)
Other Assets and Liabilities
(Net) - 0.3% 21
------
Net Assets - 100.0% $6,150
------
</TABLE>
8
<PAGE>
Schedule of Investments (Cont.)
September 30, 1995 (unaudited)
Notes to Schedule of Investments
($ in thousands):
(a) At September 30, 1995, the net
realized 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. $ 886
Aggregate gross unrealized depreciation
for all investments in which there was an
excess of tax cost over value. (50)
-----
Unrealized appreciation-net $ 836
=====
(b) Non-income producing security.
See Notes to Financial Statements
9
<PAGE>
Notes To Financial Statements
September 30,1995 (unaudited)
1. Significant Accounting Policies
The VersaSTYLE Equity Fund (the "Fund"), which
commenced operations on September 30, 1994, is a
series of the PIMCO Funds (the "Trust"). The
Trust was organized under the laws of the
Commonwealth of Massachusetts on February 19,
1987, and is registered under the Investment
Company Act of 1940, as amended, as a no-load,
open-end management investment company.
The following is a summary of significant
accounting policies followed in the preparation
of the Fund's financial statements. These
policies are in conformity with generally
accepted accounting principles.
Security Valuation. Portfolio securities and
other assets for which market quotations are
readily available are stated at market value.
Market value is determined on the basis of last
reported sales prices, or if no sales are
reported, as is the case for most securities
traded over-the-counter, the mean between
representative bid and asked quotations obtained
from a quotation reporting system or from
established market makers. Fixed income
securities, including those to be purchased
under firm commitment agreements, are
normally valued on the basis of quotes
obtained from brokers and dealers or
pricing services. Foreign currency amounts are
converted to U.S. equivalents using foreign
exchange quotations from independent
dealers. Short-term investments having a
maturity of sixty days or less are valued at
amortized cost, which approximates market value.
Certain fixed income securities for which
daily market quotations are not 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.
Security Transactions and Investment Income.
Security transactions are recorded as of 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.
The Fund declares and distributes
dividends representing substantially all net
investment income on a quarterly basis. Net
long-term capital gains 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 investment relative to the
U.S. dollar, are reported to shareholders as
ordinary income distributions 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 and capital
loss carryforwards.
Federal Taxes. It is the Fund's policy to
distribute all of its taxable income to
shareholders and otherwise comply with the
provisions of the Internal Revenue Code
applicable to regulated investment companies.
Therefore, no provision has been made for
federal income tax on net investment income
and realized or unrealized capital
gains.
10
<PAGE>
Notes To Financial Statements (Cont.)
Futures and Options. The 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 the Fund and the prices
of futures contracts and options, and the
possibility of an illiquid market. Futures
contracts and purchased options are valued based
upon their quoted daily settlement prices. The
premium received for a written option is
recorded as an asset with an equal
liability which is marked to market based on
the option's daily settlement price.
Fluctuations in value of such instruments
are recorded as unrealized appreciation
(depreciation) until terminated at which time
realized gains and losses are recognized.
Foreign Currency Contracts. The Fund is
authorized to enter into forward foreign
exchange contracts as a hedge against either
specific transactions or portfolio positions or
for purposes of increasing exposure to a
particular foreign currency. The aggregate
principal amounts of the contracts for which
delivery is anticipated are recorded in the
Fund's accounts, while such amounts are not
recorded if the Fund intends to settle the
contract prior to delivery. 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
into 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.
2. Fees, Expenses, and Related Party Transactions
Investment Advisory Fee. Pacific Investment
Management Company ("PIMCO") serves as
investment adviser (the "Adviser") to the Trust,
pursuant to an investment advisory contract.
Prior to October 1, 1995, the Adviser received
a monthly fee from the Fund at an annual rate
based on average daily net assets of the Fund
as follows: 0.45% of the first $150 million,
and 0.40% thereafter. Effective October 1,
1995, the advisory fee will be 0.40%.
Administration Fee. Pacific Investment
Administrative Services Company (the
"Administrator"), an affiliate of PIMCO,
provides administrative services to the Fund
for which it receives a monthly administrative
fee at the annual rate of 0.10% of the Fund's
average daily net assets. Effective October 1,
1995, the Trust adopted a "unified fee
structure" whereby PIMCO provides service
necessary for the operations of the Fund for
a single administrative fee. The new
administrative fee is 0.25%.
Expenses. The Fund bears all costs of its
operations. Expenses directly attributable to
the Fund are charged to the Fund; other
expenses are allocated proportionately among all
the Funds of the Trust in relation to the net
assets of each Fund. Each unaffiliated
Trustee received an annual retainer of
$7,000, plus $2,000 for each Board of Trustees
meeting attended, plus reimbursement of
related expenses. These expenses are
allocated to the Funds of the Trust according
to their respective net assets.
Expense Offset Arrangement. Fees paid
indirectly represent reductions in custody and
transfer agent expenses from interest income
earned on incidental uninvested cash balances.
Such fees have been added to custody and
transfer agent fees to reflect total Fund
expenses.
Expense Limitation. Prior to adoption of the
unified fee structure, the Advisor and the
Administrator, in the interest of limiting
expenses of the Fund, limited the expenses of
the Fund, including advisory and administrative
fees, to 0.65% of its average net assets on an
annual basis. The cumulative unreimbursed amount
as of September 30, 1995 was $49,073. This
amount has been waived by the Adviser and
Administrator as a result of adopting the unified
fee structure.
11
<PAGE>
Notes To Financial Statements (Cont.)
Related Party Transactions. PIMCO Advisors
Distribution Company ("PADCO"), an indirect
wholly-owned subsidiary of PIMCO Advisors
L.P., serves as the distributor of the Fund's
shares. Under the contract, all expenses
relating to the distribution of Fund shares
will be paid by the Adviser, the Administrator
or PADCO out of past profits and resources
which may include fees received by the
Adviser or the Administrator.
3. Purchases and Sales of Securities
Purchases and sales of investment securities
(excluding short-term instruments) for the Fund
for the six months ended September 30, 1995
were as follows ($ in thousands):
<TABLE>
<CAPTION>
Purchases Sales
U.S. Government Other U.S. Government Other
<S> <C> <C> <C>
- $5,115 - $5,075
</TABLE>
4. Shares Of Beneficial Interest
The Fund may issue an unlimited number of
shares of beneficial interest with a $.0001
par value. Changes in shares of
beneficial interest were as follows
(in thousands):
<TABLE>
<CAPTION>
Six months ended Period Ended
September 30,1995 March 31, 1995
----------------- --------------
<S> <C> <C>
Shares sold 0 500
Shares issued as
reinvestment of dividends 5 6
Shares redeemed 0 0
-- ---
Net increase 5 506
== ===
</TABLE>
12
<PAGE>
Trustees and Officers
Brent R. Harris, Chairman and Trustee
Guilford C. Babcock, Trustee
Vern O. Curtis, Trustee
Thomas P. Kemp, Trustee
William J. Popejoy, Trustee
R. Wesley Burns, President
Garlin G. Flynn, Secretary
John P. Hardaway, Treasurer
Investment Adviser 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 Accoutants
Price Waterhouse LLP
1055 Broadway
Kansas City, MO 64105
This report is submitted for the general
information of the shareholders of the PIMCO
VersaSTYLE Equity Fund. 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.
<PAGE>
[ART APPEARS HERE]
PIMCO ADVISORS
INSTITUTIONAL FUNDS
ANNUAL REPORT
OCTOBER 31, 1995
PIMCO
<PAGE>
CONTENTS
Chairman's Message 1
Management Discussion and Analysis 2
Investment Performance 4
Statements of Assets and Liabilities 10
Statements of Operations 12
Statements of Changes in Net Assets 14
Financial Highlights 20
Schedules of Investments
Money Market Fund 26
PIMCO Managed Bond and Income Fund 27
NFJ Equity Income Fund 30
NFJ Diversified Low P/E Fund 31
NFJ Small Cap Value Fund 32
Cadence Capital Appreciation Fund 34
Cadence Mid Cap Growth Fund 35
Cadence Micro Cap Growth Fund 37
Cadence Small Cap Growth Fund 38
Columbus Circle Investors
Core Equity Fund 39
Columbus Circle Investors
Mid Cap Equity Fund 40
Parametric Enhanced Equity Fund 41
Blairlogie Emergency Markets Fund 44
Blairlogie International Active Fund 46
Balanced Fund 49
Notes to Financial Statements 53
Independent Auditors' Report 62
Federal Income Tax Information 63
<PAGE>
CHAIRMAN'S MESSAGE
Dear Shareholder:
We are pleased to present the Annual Report for the PIMCO
Advisors Institutional Funds for the fiscal year ended
October 31, 1995.
During this period, our Funds enjoyed a favorable investment
climate, with both the stock and bond markets experiencing
exceptional gains. The performance of all PIMCO Advisors
Institutional Funds during this period appears on the
following pages.
Along with the strong results for the twelve months, we are
pleased to announce enhanced services to our investors. As of
November 1, PIMCO Advisors Institutional Funds and the sister
fund family, PIMCO Funds, offer shareholders full exchange
privileges among all our institutional fixed income and
equity funds.
This new service is made possible by the consolidation of
operations and shareholder services between the two fund
families. The combination represents a significant step
toward streamlining operations and enhancing services to our
shareholders. It is important to note that the investment
objectives of the Funds, the portfolio managers, and your
account contact will not change.
We thank you for the continued opportunity to serve your
investment needs.
Sincerely,
/s/ William D. Cvengros
William D. Cvengros
Chairman of the Board
December 15, 1995
1
<PAGE>
MANAGEMENT DISCUSSION AND ANALYSIS
During the twelve months ended October 31, 1995, the broad
bond market, as measured by the Lehman Brothers Aggregate
Bond Index, posted a total return of 15.6%, the beneficiary
of declining interest rates and low inflation. Stocks also
climbed higher, buoyed by strong corporate earnings, with the
S&P 500 Index finishing 26.4% ahead of where it began the
period.
Stocks were led during the twelve months by large
capitalization issues, which outdistanced their small cap
brethren by a 26.4% to 18.3% margin. This sizable preference
by the market for large cap stocks was principally the result
of a declining dollar over much of the period. With the
dollar weaker, large, multinational US corporations saw their
earnings improve through higher exports and overseas sales
that translated into more dollars at home. The following bar
chart depicts the return of the S&P 500 Index less that of
the Russell 2000 Index.
-------------------------------------------------------------
Large Cap Stocks Relative to
Small Cap Stocks Through October 31, 1995
-------------------------------------------------------------
[BAR CHART APPEARS HERE]
The bar chart depicts the relative out performance of
the Standard & Poor's 500 Index (comprised of large
capitalization issues) compared to the Russell 2000 Index
(comprised of small capitalization issues). The Standard &
Poor's 500 Index out performed the Russell 2000 Index seven
of the twelve months during the fiscal year ended October 31,
1995.
-------------------------------------------------------------
Growth stocks were favored during the fiscal year as
investors shied away from economically-sensitive stocks
toward more stable growth names as the economy showed signs
of slowing. Overall, growth stocks outperformed value issues
by a 29.2% to 24.7% margin. The following bar chart depicts
the return of the Russell 1000 Growth Index less that of the
Russell 1000 Value Index.
-------------------------------------------------------------
Growth Stocks Relative to
Value Stocks Through October 31, 1995
-------------------------------------------------------------
[BAR CHART APPEARS HERE]
The bar chart depicts the relative out performance of
the Russell 1000 Growth Index compared to the Russell 1000
Value Index. The Russell 1000 Growth Index out performed the
Russell 1000 Value Index eight of the twelve months during
the fiscal year ended October 31, 1995.
-------------------------------------------------------------
2
<PAGE>
Contrasting economic climates set the tone for the
outperformance of US stocks over many of the international
markets. European Economic Union markets were embattled by
tight monetary controls in Germany and fiscal austerity in
France while Japan experienced weakening exports and a
potential banking crisis of a magnitude not seen for decades.
Meanwhile, the US, which is further along in its economic
recovery, experienced the enviable combination of declining
interest rates and strong growth of corporate earnings. The
following bar chart depicts the return of the S&P 500 Index
less that of the EAFE Index.
-------------------------------------------------------------
Domestic Stocks Relative to Foreign Stocks
Through October 31, 1995
-------------------------------------------------------------
[BAR CHART APPEARS HERE]
The bar chart depicts the relative out performance of
the Standard & Poor's 500 Index (comprised of large
capitalization issues) compared to the Morgan Stanley Capital
EAFE Index (comprised of stock markets in Europe, Australasia
and the Far East). The Standard & Poor's 500 Index out
performed the EAFE Index nine of the twelve months during the
fiscal year ended October 31, 1995 .
-------------------------------------------------------------
Source: Frank Russell Company
Investment Outlook
PIMCO Advisor Institutional Funds anticipates continued
moderate economic growth and low inflation in the year ahead.
This environment should be beneficial for both domestic
stocks and bonds. The long-term reasons for investing
internationally remain intact. While international investing
involves special risks due to changes in currency rates,
political instability and foreign taxation, PIMCO Advisors
International Funds feels the opportunities in both developed
and emerging markets are compelling.
3
<PAGE>
INVESTMENT PERFORMANCE
Performance Graphs and Tables
The following is a summary of the performance of the PIMCO
Advisors Institutional Funds' Institutional Class comparing
their returns with a representative market index. The total
return for each Fund is net of fees and includes reinvestment
of dividends, income, and capital gains, if any. Please
remember that indexes, in general, have no trading costs or
deductions for management and other expenses.
The performance data quoted represents past performance.
Investment return and principal value will fluctuate so that
the Fund shares, when redeemed, may be worth more or less
than their original cost.
-------------------------------------------------------------
Money Market Fund Through October 31, 1995
-------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Money Salomon
Market 3 Mo. T-Bill
<S> <C> <C>
3/01/91 $200,000 $200,000
10/31/91 $207,562 $207,665
10/31/92 $215,549 $215,695
10/31/93 $221,654 $222,345
10/31/94 $229,477 $230,873
10/31/95 $242,496 $244,066
</TABLE>
-------------------------------------------------------------
The line graph above assumes the investment of $200,000 on
3/1/91, the Fund's Institutional Class inception date,
compared with the Salomon 3 Month T-Bills Index, an unmanaged
index of three-month Treasury bills.
<TABLE>
<CAPTION>
Annualized Returns Ended 10/31/95
- -------------------------------------------------------------
Since
Inception
1 Yr. 3 Yrs. 4 Yrs. (3/1/91)
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
Money Market
Fund (%) 5.67 4.01 3.97 4.21
- -------------------------------------------------------------
Salomon 3 Mo.
T-Bills (%) 5.73 4.21 4.12 n/a
- -------------------------------------------------------------
<CAPTION>
Cumulative Returns Ended 10/31/95
- -------------------------------------------------------------
Since
Inception
1 Yr. 3 Yrs. 4 Yrs. (1/24/95)
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
Money Market Fund
Admin. Class (%) n/a n/a n/a 4.21
- -------------------------------------------------------------
Salomon 3 Mo.
T-Bills (%) n/a n/a n/a n/a
- -------------------------------------------------------------
</TABLE>
-------------------------------------------------------------
PIMCO Managed Bond and Income Fund Through October 31, 1995
-------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO Lehman Bros
Managed Bond Aggregate Bond
and Index Index
<S> <C> <C>
1/01/92 $200,000 $200,000
10/31/92 $214,746 $211,405
10/31/93 $244,362 $236,499
10/31/94 $235,617 $227,807
10/31/95 $273,223 $258,869
</TABLE>
-------------------------------------------------------------
The line graph above assumes the investment of $200,000 on
1/1/92, the first full month following the Fund's
Institutional Class inception on 12/30/91, compared with the
Lehman Brothers Aggregate Bond Index, an unmanaged bond
market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 10/31/95
- --------------------------------------------------------------
Since
Inception
1 Yr. 2 Yrs. 3 Yrs. (12/30/91)
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
Managed Bond and
Income Fund (%) 15.96 5.74 8.36 8.51
- --------------------------------------------------------------
Lehman Bros.
Aggregate 15.65 5.55 7.61 n/a
Bond Index (%)
- --------------------------------------------------------------
<CAPTION>
Cumulative Returns Ended 10/31/95
- --------------------------------------------------------------
Since
Inception
1 Yr. 2 Yrs. 3 Yrs. (11/30/94)
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
Managed Bond and
Income Fund n/a n/a n/a 15.92
Admin. Class (%)
- --------------------------------------------------------------
Lehman Bros.
Aggregate n/a n/a n/a n/a
Bond Index (%)
- --------------------------------------------------------------
</TABLE>
4
<PAGE>
-------------------------------------------------------------
NFJ Equity Income Fund Through October 31, 1995
-------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
NFJ S&P
Equity 500
Income Index
<S> <C> <C>
4/01/91 $200,000 $200,000
10/31/91 $222,929 $213,127
10/31/92 $251,660 $234,351
10/31/93 $293,571 $269,268
10/31/94 $300,183 $279,820
10/31/95 $358,285 $353,730
</TABLE>
-------------------------------------------------------------
The line graph above assumes the investment of $200,000 on
4/1/91, the first full month following the Fund's
Institutional Class inception on 3/8/91, compared with the
S&P 500 Index, an unmanaged market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 10/31/95
- -------------------------------------------------------------
Since
Inception
1 Yr. 3 Yrs. 4 Yrs. (3/8/91)
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
NFJ Equity
Income Fund (%) 19.36 12.50 12.59 13.43
- -------------------------------------------------------------
S&P 500
Index (%) 26.41 14.72 13.50 n/a
- -------------------------------------------------------------
<CAPTION>
Cumulative Returns Ended 10/31/95
- --------------------------------------------------------------
Since
Inception
1 Yr. 3 Yrs. 4 Yrs. (11/30/94)
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
NFJ Equity
Income Fund n/a n/a n/a 25.69
Admin. Class (%)
- --------------------------------------------------------------
S&P 500
Index (%) n/a n/a n/a n/a
- --------------------------------------------------------------
</TABLE>
-------------------------------------------------------------
NFJ Diversified Low P/E Fund Through October 31, 1995
-------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
NFJ S&P
Diversified 500
Low P/E Index
<S> <C> <C>
1/01/92 $200,000 $200,000
10/31/92 $207,957 $205,646
10/31/93 $263,113 $236,286
10/31/94 $263,516 $245,546
10/31/95 $329,351 $310,402
</TABLE>
-------------------------------------------------------------
The line graph above assumes the investment of $200,000 on
1/1/92, the first full month following the Fund's
Institutional Class inception on 12/30/91, compared with the
S&P 500 Index, an unmanaged market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 10/31/95
- --------------------------------------------------------------
Since
Inception
1 Yr. 2 Yrs. 3 Yrs. (12/30/91)
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
NFJ Diversified
Low P/E Fund (%) 24.98 11.88 16.56 14.08
- --------------------------------------------------------------
S&P 500
Index (%) 26.41 14.62 14.72 n/a
- --------------------------------------------------------------
</TABLE>
-------------------------------------------------------------
NFJ Small Cap Value Fund Through October 31, 1995
-------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
NFJ Russell
Small Cap 2000
Value Index
<S> <C> <C>
10/1/91 $200,000 $200,000
10/31/91 $202,376 $205,280
10/31/92 $230,194 $224,752
10/31/93 $284,528 $297,555
10/31/94 $276,313 $296,643
10/31/95 $331,240 $351,006
</TABLE>
-------------------------------------------------------------
The line graph above assumes the investment of $200,000 on
10/1/91, the Fund's Institutional Class inception date,
compared with the Russell 2000 Index, an unmanaged market
index.
<TABLE>
<CAPTION>
Annualized Returns Ended 10/31/95
- --------------------------------------------------------------
Since
Inception
1 Yr. 3 Yrs. 4 Yrs. (10/1/91)
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
NFJ Small Cap
Value Fund (%) 19.88 12.90 13.11 13.15
- --------------------------------------------------------------
Russell 2000
Index (%) 18.33 16.02 14.35 n/a
- --------------------------------------------------------------
</TABLE>
5
<PAGE>
INVESTMENT PERFORMANCE (Cont.)
-------------------------------------------------------------
Cadence Capital Appreciation Fund Through October 31, 1995
-------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Cadence S&P
Capital 500
Appreciation Index
<S> <C> <C>
4/01/91 $200,000 $200,000
10/31/91 $217,393 $213,127
10/31/92 $240,759 $234,351
10/31/93 $301,676 $269,268
10/31/94 $302,124 $279,820
10/31/95 $388,139 $353,730
</TABLE>
-------------------------------------------------------------
The line graph above assumes the investment of $200,000 on
4/1/91, the first full month following the Fund's
Institutional Class inception on 3/8/91, compared with the
S&P 500 Index, an unmanaged market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 10/31/95
- -------------------------------------------------------------
Since
Inception
1 Yr. 3 Yrs. 4 Yrs. (3/8/91)
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
Cadence Capital
Appreciation 28.47 17.26 15.59 15.88
Fund (%)
- -------------------------------------------------------------
S&P 500
Index (%) 26.41 14.72 13.50 n/a
- -------------------------------------------------------------
</TABLE>
-------------------------------------------------------------
Cadence Mid Cap Growth Fund Through October 31, 1995
-------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Cadence S&P
MidCap MidCap
Growth Index
<S> <C> <C>
9/01/91 $200,000 $200,000
10/31/91 $206,372 $207,154
10/31/92 $228,890 $229,546
10/31/93 $285,123 $279,003
10/31/94 $286,774 $285,646
10/31/95 $374,345 $346,262
</TABLE>
-------------------------------------------------------------
The line graph above assumes the investment of $200,000 on
9/1/91, the first full month following the Fund's
Institutional Class inception on 8/26/91, compared with the
S&P MidCap Index, an unmanaged market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 10/31/95
- --------------------------------------------------------------
Since
Inception
1 Yr. 3 Yrs. 4 Yrs. (8/26/91)
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
Cadence Mid Cap
Growth Fund (%) 30.54 17.82 16.05 16.11
- --------------------------------------------------------------
S&P MidCap
Index (%) 21.21 14.68 13.70 n/a
- --------------------------------------------------------------
<CAPTION>
Cumulative Returns Ended 10/31/95
- --------------------------------------------------------------
Since
Inception
1 Yr. 3 Yrs. 4 Yrs. (11/30/94)
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
Cadence Mid Cap
Growth Fund n/a n/a n/a 36.64
Admin. Class (%)
- --------------------------------------------------------------
S&P MidCap
Index (%) n/a n/a n/a n/a
- --------------------------------------------------------------
</TABLE>
-------------------------------------------------------------
Cadence Micro Cap Growth Fund Through October 31, 1995
-------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Cadence Russell
Micro Cap 2000
Growth Index
<S> <C> <C>
7/01/93 $200,000 $200,000
10/31/93 $221,879 $223,095
10/31/94 $238,086 $222,412
10/31/95 $308,401 $263,171
</TABLE>
-------------------------------------------------------------
The line graph above assumes the investment of $200,000 on
7/1/93, the first full month following the Fund's
Institutional Class inception on 6/25/93, compared with the
Russell 2000 Index, an unmanaged market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 10/31/95
- -------------------------------------------------------------
Since
Inception
1 Yr. 2 Yrs. 3 Yrs. (6/25/93)
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
Cadence Micro Cap
Growth Fund (%) 29.54 17.90 n/a 20.17
- -------------------------------------------------------------
Russell 2000
Index (%) 18.33 8.61 n/a n/a
- -------------------------------------------------------------
</TABLE>
6
<PAGE>
-------------------------------------------------------------
Cadence Small Cap Growth Fund Through October 31, 1995
-------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Cadence Russell
Small Cap 2000
Growth Index
<S> <C> <C>
2/01/91 $200,000 $200,000
10/31/91 $263,145 $260,144
10/31/92 $289,983 $284,820
10/31/93 $402,485 $377,080
10/31/94 $421,081 $375,925
10/31/95 $494,314 $444,817
</TABLE>
-------------------------------------------------------------
The line graph above assumes the investment of $200,000 on
2/1/91, the first full month following the Fund's
Institutional Class inception on 1/7/91, compared with the
Russell 2000 Index, an unmanaged market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 10/31/95
- -------------------------------------------------------------
Since
Inception
1 Yr. 3 Yrs. 4 Yrs. (1/7/91)
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
Cadence Small Cap
Growth Fund (%) 17.39 19.46 17.07 24.11
- -------------------------------------------------------------
Russell 2000
Index (%) 18.33 16.02 14.35 n/a
- -------------------------------------------------------------
<CAPTION>
Cumulative Returns Ended 10/31/95
- -------------------------------------------------------------
Since
Inception
1 Yr. 3 Yrs. 4 Yrs. (9/27/95)
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
Cadence Small
Cap Growth Fund n/a n/a n/a (5.34)
Admin. Class (%)
- -------------------------------------------------------------
Russell 2000
Index (%) n/a n/a n/a n/a
- -------------------------------------------------------------
</TABLE>
-------------------------------------------------------------
Columbus Circle Investors Core Equity Fund
Through October 31, 1995
-------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
CCI
Core S&P 500
Equity Index
<S> <C> <C>
1/01/95 $200,000 $200,000
10/31/95 $255,530 $258,657
</TABLE>
-------------------------------------------------------------
The line graph above assumes the investment of $200,000 on
1/1/95, the first full month following the Fund's
Institutional Class inception on 12/28/94, compared with the
S&P 500 Index, an unmanaged market index.
<TABLE>
<CAPTION>
Cumulative Returns Ended 10/31/95
- --------------------------------------------------------------
Since
Inception
1 Yr. 2 Yrs. 3 Yrs. (12/28/94)
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
Columbus Circle
Investors Core n/a n/a n/a 27.86
Equity Fund (%)
- --------------------------------------------------------------
S&P 500
Index (%) n/a n/a n/a n/a
- --------------------------------------------------------------
<CAPTION>
Cumulative Returns Ended 10/31/95
- --------------------------------------------------------------
Since
Inception
1 Yr. 2 Yrs. 3 Yrs. (5/31/95)
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
Columbus Circle
Investors Core
Equity Fund n/a n/a n/a 11.34
Admin. Class (%)
- --------------------------------------------------------------
S&P 500
Index (%) n/a n/a n/a n/a
- --------------------------------------------------------------
</TABLE>
-------------------------------------------------------------
Columbus Circle Investors Mid Cap Equity Fund
Through October 31, 1995
-------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
CCI S&P
Mid Cap Mid Cap
Equity Index
<S> <C> <C>
1/01/95 $200,000 $200,000
10/31/95 $258,597 $251,577
</TABLE>
-------------------------------------------------------------
The line graph above assumes the investment of $200,000 on
1/1/95, the first full month following the Fund's
Institutional Class inception on 12/28/94, compared with the
S&P MidCap Index, an unmanaged market index.
<TABLE>
<CAPTION>
Cumulative Returns Ended 10/31/95
- --------------------------------------------------------------
Since
Inception
1 Yr. 2 Yrs. 3 Yrs. (12/28/94)
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
Columbus Circle
Investors Mid Cap n/a n/a n/a 29.34
Equity Fund (%)
- --------------------------------------------------------------
S&P MidCap
Index (%) n/a n/a n/a n/a
- --------------------------------------------------------------
</TABLE>
7
<PAGE>
INVESTMENT PERFORMANCE (Cont.)
-------------------------------------------------------------
Parametric Enhanced Equity Fund Through October 31, 1995
-------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Parametric S&P
Enhanced 500
Equity Index
<S> <C> <C>
3/01/91 $200,000 $200,000
10/31/91 $218,442 $218,179
10/31/92 $243,478 $239,905
10/31/93 $263,442 $275,650
10/31/94 $268,252 $286,452
10/31/95 $333,870 $362,114
</TABLE>
-------------------------------------------------------------
The line graph above assumes the investment of $200,000 on
3/1/91, the first full month following the Fund's
Institutional Class inception on 2/11/91, compared with the
S&P 500 Index, an unmanaged market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 10/31/95
- -------------------------------------------------------------
Since
Inception
1 Yr. 3 Yrs. 4 Yrs. (2/11/91)
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
Parametric
Enhanced Equity
Fund (%) 24.46 11.10 11.19 11.55
- -------------------------------------------------------------
S&P 500
Index (%) 26.41 14.72 13.50 n/a
- -------------------------------------------------------------
</TABLE>
-------------------------------------------------------------
Blairlogie Emerging Markets Fund Through October 31, 1995
-------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Blairlogie
Emerging MSCI IFC
Markets Index Index
<S> <C> <C> <C>
6/01/93 $200,000 $200,000 $200,000
10/31/93 $251,097 $258,920 $258,973
10/31/94 $342,254 $334,954 $329,994
10/31/95 $247,465 $269,911 $252,373
</TABLE>
-------------------------------------------------------------
The line graph above assumes the investment of $200,000 on
6/1/93, the Fund's Institutional Class inception date,
compared with the Morgan Stanley Capital International (MSCI)
Emerging Markets Free Index and the International Finance
Corporation Investable (IFCI) Index, both unmanaged market
indexes of emerging markets stocks.
<TABLE>
<CAPTION>
Annualized Returns Ended 10/31/95
- --------------------------------------------------------------
Since
Inception
1 Yr. 2 Yrs. 3 Yrs. (6/1/93)
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
Blairlogie
Emerging Markets (27.70) (0.73) n/a 9.21
Fund (%)
- --------------------------------------------------------------
MSCI Emerging
Markets Free (19.42) 2.10 n/a n/a
Index (%)
- --------------------------------------------------------------
IFCI Composite
Index (%) (23.52) (1.28) n/a n/a
- --------------------------------------------------------------
<CAPTION>
Annualized Returns Ended 10/31/95
- ---------------------------------------------------------------
Since
Inception
1 Yr. 2 Yrs. 3 Yrs. (10/20/94)
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
Blairlogie Emerging
Markets Fund (27.96) n/a n/a (29.06)
Admin. Class (%)
- ---------------------------------------------------------------
MSCI Emerging
Markets Free (19.42) n/a n/a n/a
Index (%)
- ---------------------------------------------------------------
IFCI Composite
Index (%) (23.52) n/a n/a n/a
- ---------------------------------------------------------------
</TABLE>
8
<PAGE>
-------------------------------------------------------------
Blairlogie International Active Fund Through October 31, 1995
-------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Blairlogie
International EAFE
Active Index
<S> <C> <C>
7/01/93 $200,000 $200,000
10/31/93 $222,035 $219,768
10/31/94 $247,979 $242,105
10/31/95 $259,487 $241,164
</TABLE>
-------------------------------------------------------------
The line graph above assumes the investment of $200,000 on
7/1/93, the first full month following the Fund's
Institutional Class inception on 6/8/93, compared with the
Morgan Stanley Capital International EAFE Index (Europe,
Australasia, Far East), an unmanaged market index of over
1,000 stocks.
<TABLE>
<CAPTION>
Annualized Returns Ended 10/31/95
- ---------------------------------------------------------------
Since
Inception
1 Yr. 2 Yrs. 3 Yrs. (6/8/93)
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
Blairlogie
International 3.83 7.69 n/a 9.59
Active Fund (%)
- ---------------------------------------------------------------
EAFE Index (%) (0.40) 4.70 n/a n/a
- ---------------------------------------------------------------
<CAPTION>
Cumulative Returns Ended 10/31/95
- ---------------------------------------------------------------
Since
Inception
1 Yr. 2 Yrs. 3 Yrs. (11/30/94)
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
Blairlogie
International
Active Fund n/a n/a n/a 9.61
Admin. Class (%)
- ---------------------------------------------------------------
EAFE Index (%) n/a n/a n/a n/a
- ---------------------------------------------------------------
</TABLE>
-------------------------------------------------------------
Balanced Fund Through October 31, 1995
-------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman Bros S&P
Aggregate Bond 500
Balanced Index Index
<S> <C> <C> <C>
7/01/92 $200,000 $200,000 $200,000
10/31/92 $211,214 $205,820 $206,964
10/31/93 $232,468 $230,251 $237,800
10/31/94 $232,651 $221,789 $247,120
10/31/95 $277,946 $252,030 $312,392
</TABLE>
-------------------------------------------------------------
The line graph above assumes the investment of $200,000 on
7/1/92, the first full month following the Fund's
Institutional Class inception on 6/25/92, compared with the
Lehman Brothers Aggregate Bond Index and the S&P 500 Index,
unmanaged bond and stock market indexes.
<TABLE>
<CAPTION>
Annualized Returns Ended 10/31/95
- -------------------------------------------------------------
Since
Inception
1 Yr. 2 Yrs 3 Yrs. (6/25/92)
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
Balanced
Fund (%) 19.47 9.35 9.58 10.57
- -------------------------------------------------------------
S&P 500
Index (%) 26.41 14.62 14.72 n/a
- -------------------------------------------------------------
Lehman Bros.
Aggregate Bond 15.65 5.55 7.61 n/a
Index (%)
- -------------------------------------------------------------
</TABLE>
9
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 1995
<TABLE>
<CAPTION>
------------ ----------- ----------- ------------ ------------- ------------
Amounts in thousands, except per share amounts PIMCO Cadence
Managed NFJ Capital
Money Market Bond and NFJ Equity Diversified NFJ Small Cap Appreciation
Fund Income Fund Income Fund Low P/E Fund Value Fund Fund
------------ ----------- ----------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
Assets:
Investments, at value $ 7,664 $ 440,848 $ 113,865 $ 14,437 $ 35,037 $ 234,120
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Foreign currency investments, at value 0 0 0 0 0 0
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Cash 0 3 98 0 6 3,335
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Receivable for investments and
foreign currency sold 0 626 737 80 49 1,758
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Receivable for Fund shares sold 57 0 5,565 3 7 139
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Variation margin receivable 0 327 0 0 0 0
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Interest and dividends receivable 42 4,249 318 22 62 114
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
7,763 446,053 120,583 14,542 35,161 239,466
============================================== =========== ========== ========== =========== ============ ===========
Liabilities:
Payable for investments and
foreign currency purchased 0 3 2,178 90 32 3,017
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Written options outstanding 0 16 0 0 0 0
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Payable for Fund shares redeemed 9 474 3 0 6 3
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Dividends payable 0 106 176 0 3 78
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Accrued investment adviser's fee 1 89 43 5 18 90
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Accrued administrator's fee 2 89 24 3 8 50
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Accrued distribution fee 0 1 0 0 0 0
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Accrued trustees' fee 0 15 4 1 1 8
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Accrued reorganization expense 0 6 0 0 0 0
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Other liabilities 0 0 0 0 0 0
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
12 799 2,428 99 68 3,246
============================================== =========== ========== ========== =========== ============ ===========
Net Assets $ 7,751 $ 445,254 $ 118,155 $ 14,443 $ 35,093 $ 236,220
============================================== =========== ========== ========== =========== ============ ===========
Net Assets Consist of:
Paid in capital $ 7,751 $ 433,992 $ 102,778 $ 10,335 $ 30,422 $ 176,220
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Undistributed (overdistributed)
net investment income 0 (5) 0 0 1 0
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Accumulated undistributed
net realized gain (loss) 0 1,664 4,607 2,030 2,205 15,487
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Net unrealized appreciation (depreciation) 0 9,603 10,770 2,078 2,465 44,513
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
$ 7,751 $ 445,254 $ 118,155 $ 14,443 $ 35,093 $ 236,220
============================================== =========== ========== ========== =========== ============ ===========
Shares Issued and Outstanding
Institutional class 7,741 43,309 9,013 1,153 2,679 13,946
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Administrative class 10 309 11 0 0 0
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Net Asset Value, Offering and Redemption Price
Per Share (Net Assets Per Share Outstanding)
Institutional class $ 1.00 $ 10.21 $ 13.09 $ 12.53 $ 13.10 $ 16.94
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Administrative class 1.00 10.22 13.13 - - -
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Cost of Investments Owned 7,664 435,924 103,095 12,359 32,572 189,607
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Cost of Foreign Currency Held 0 0 0 0 0 0
============================================== =========== ========== ========== =========== ============ ===========
</TABLE>
See Notes to Financial Statements
10
<PAGE>
<TABLE>
<CAPTION>
- ------------ --------------- ------------- ----------------- ------------------ ------------- ------------- -------------- ---------
Columbus Columbus
Cadence Mid Cadence Micro Cadence Small Circle Investors Circle Investors Parametric Blairlogie Blairlogie
Cap Growth Cap Growth Cap Growth Core Equity Mid Cap Equity Enhanced Emerging International Balanced
Fund Fund Fund Fund Fund Equity Fund Markets Fund Active Fund Fund
- ------------ --------------- ------------- ----------------- ------------------ ------------- ------------- -------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 189,595 $ 70,392 $ 76,655 $ 31,761 $ 8,298 $ 73,955 $ 71,334 $ 58,609 $ 78,180
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
0 0 0 0 0 0 250 5,094 0
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
194 90 0 539 99 11 1,708 1,080 8
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
3,274 66 658 305 185 0 2,477 830 1,670
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
104 36 0 136 0 0 96 25 1
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
0 0 0 0 0 0 0 6 22
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
69 31 13 18 1 84 211 163 370
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
193,236 70,615 77,326 32,759 8,583 74,050 76,076 65,807 80,251
============ ============ ============ ============ ============ ============ ============ ========= =========
2,888 647 485 278 211 0 1,473 1,267 7,560
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
0 0 0 1 0 0 0 0 0
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
2 104 2,159 3 3 4 27 4 0
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
16 0 0 13 7 0 115 191 0
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
72 73 65 15 4 29 56 33 32
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
40 14 16 7 1 16 33 28 18
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
0 0 0 5 0 0 0 0 0
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
6 2 2 1 0 2 3 2 3
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
0 0 0 0 0 0 0 0 0
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
0 0 78 0 0 0 0 0 0
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
3,024 840 2,805 323 226 51 1,707 1,525 7,613
============ ============ ============ ============ ============ ============ ============ ========= =========
$ 190,212 $ 69,775 $ 74,521 $ 32,436 $ 8,357 $ 73,999 $ 74,369 $ 64,282 $ 72,638
============ ============ ============ ============ ============ ============ ============ ========= =========
$ 141,596 $ 54,024 $ 52,510 $ 29,240 $ 7,061 $ 57,256 $ 90,442 $ 59,735 $ 59,329
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
0 0 0 0 0 0 10 (13) 0
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
4,256 1,526 5,693 756 243 2,169 (15,113) 3,510 5,787
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
44,360 14,225 16,318 2,440 1,053 14,574 (970) 1,050 7,522
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
$ 190,212 $ 69,775 $ 74,521 $ 32,436 $ 8,357 $ 73,999 $ 74,369 $ 64,282 $ 72,638
============ ============ ============ ============ ============ ============ ============ ========= =========
10,423 4,536 3,519 613 647 5,126 6,525 5,418 6,109
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
49 0 26 1,937 0 0 74 58 0
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
$ 18.16 $ 15.38 $ 21.02 $ 12.72 $ 12.92 $ 14.44 $ 11.27 $ 11.74 $ 11.89
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
18.17 - 21.01 12.73 -- -- 11.24 11.73 -
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
145,235 56,167 60,337 29,322 7,245 59,381 72,304 57,455 70,943
============ ============ ============ ============ ============ ============ ============ ========= =========
0 0 0 0 0 0 250 5,116 0
============ ============ ============ ============ ============ ============ ============ ========= =========
</TABLE>
11
<PAGE>
STATEMENTS OF OPERATIONS
For the year or period ended October 31, 1995
<TABLE>
<CAPTION>
------------ ----------- ----------- ------------ ------------- ------------
$ in thousands PIMCO Cadence
Managed NFJ Capital
Money Market Bond and NFJ Equity Diversified NFJ Small Cap Appreciation
Fund Income Fund Income Fund Low P/E Fund Value Fund Fund
------------ ----------- ----------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
Investment Income:
Dividends, net of foreign taxes $ 0 $ 0 $ 4,162 $ 405 $ 964 $ 2,967
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Interest 576 28,155 335 28 88 794
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Total income 576 28,155 4,497 433 1,052 3,761
============================================== =========== ========== ========== =========== ============ ===========
Expenses:
Investment advisory fees 14 1,009 446 61 203 881
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Administration fees 24 1,009 247 34 85 490
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Distribution fees - Administrative Class 1 5 0 0 0 0
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Trustees' fees 1 15 4 1 1 7
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Miscellaneous 0 6 0 0 0 0
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Total expenses 40 2,044 697 96 289 1,378
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Net Investment Income (Loss) 536 26,111 3,800 337 763 2,383
============================================== =========== ========== ========== =========== ============ ===========
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 0 (2,228) 4,643 2,035 2,349 16,227
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Net realized gain on futures
contracts and written options 0 16,773 0 0 0 0
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Net realized gain on foreign
currency transactions 0 0 0 0 0 0
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Net change in unrealized appreciation
(depreciation) on investments 0 11,126 9,476 484 3,100 31,810
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Net change in unrealized appreciation
(depreciation) on futures contracts and
written options 0 8,255 0 0 0 0
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Net change in unrealized depreciation
on translation of assets and liabilities
denominated in foreign currencies 0 0 0 0 0 0
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Net Gain (Loss) 0 33,926 14,119 2,519 5,449 48,037
- ---------------------------------------------- ----------- ---------- ---------- ----------- ------------ -----------
Net Increase (Decrease) in Assets Resulting
from Operations $ 536 $ 60,037 $ 17,919 $ 2,856 $ 6,212 $ 50,420
============================================== =========== ========== ========== =========== ============ ===========
</TABLE>
(a) From commencement of operations on December 28, 1994.
See Notes to Financial Statements
12
<PAGE>
<TABLE>
<CAPTION>
- ------------ --------------- ------------- ----------------- ------------------ ------------- ------------- -------------- ---------
Columbus Columbus
Cadence Mid Cadence Micro Cadence Small Circle Investors Circle Investors Parametric Blairlogie Blairlogie
Cap Growth Cap Growth Cap Growth Core Equity Mid Cap Equity Enhanced Emerging International Balanced
Fund Fund Fund Fund (a) Fund (a) Equity Fund Markets Fund Active Fund Fund
- ------------ --------------- ------------- ----------------- ------------------ ------------- ------------- -------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1,139 $ 308 $ 339 $ 121 $ 19 $ 1,817 $ 1,342 $ 858 $ 1,365
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
494 243 246 71 28 39 103 177 2,736
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
1,633 551 585 192 47 1,856 1,445 1,035 4,101
============ ============ ============ ============ ============ ============ ============ ========= =========
650 609 595 74 26 319 638 282 417
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
361 122 149 33 11 177 375 235 232
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
1 0 0 22 0 0 1 2 0
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
6 2 2 1 0 3 3 1 3
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
0 0 0 0 0 0 0 0 0
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
1,018 733 746 130 37 499 1,017 520 652
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
615 (182) (161) 62 10 1,357 428 515 3,449
============ ============ ============ ============ ============ ============ ============ ========= =========
6,630 2,911 5,706 740 238 2,417 (15,214) 1,012 6,372
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
0 0 0 16 5 0 0 174 779
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
0 0 0 0 0 0 104 2,320 0
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
31,560 10,798 4,873 2,439 1,053 12,008 (8,263) 63 3,440
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
0 0 0 1 0 0 0 (61) 958
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
0 0 0 0 0 0 (2) (73) 0
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
38,190 13,709 10,579 3,196 1,296 14,425 (23,375) 3,435 11,549
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ --------- ---------
$ 38,805 $ 13,527 $ 10,418 $ 3,258 $ 1,306 $ 15,782 $ (22,947) $ 3,950 $ 14,998
============ ============ ============ ============ ============ ============ ============ ========= =========
</TABLE>
13
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
-------------------------------------- --------------------------------------
$ in thousands Money Market Fund PIMCO Managed Bond and Income Fund
-------------------------------------- --------------------------------------
Increase (Decrease) in Net Assets from:
Year Ended Year Ended
October 31, 1995 October 31, 1994 October 31, 1995 October 31, 1994
<S> <C> <C> <C> <C>
Operations
Net investment income $ 536 $ 232 $ 26,111 $ 18,938
- ------------------------------------------------- -------------------------------------- --------------------------------------
Net realized gain (loss) 0 0 14,545 (13,171)
- ------------------------------------------------- -------------------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 0 0 11,126 (15,278)
- ------------------------------------------------- -------------------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and
written options 0 0 8,255 (3,286)
- ------------------------------------------------- -------------------------------------- --------------------------------------
Net increase (decrease) resulting from operations 536 232 60,037 (12,797)
================================================= ====================================== ======================================
Net equalization credits (debits) 0 0 0 0
================================================= ====================================== ======================================
Distributions to Shareholders
From net investment income
Institutional class (517) (232) (25,586) (18,938)
- ------------------------------------------------- -------------------------------------- --------------------------------------
Administrative class (19) 0 (106) 0
- ------------------------------------------------- -------------------------------------- --------------------------------------
From net realized capital gains
Institutional class 0 0 (422) (1,934)
- ------------------------------------------------- -------------------------------------- --------------------------------------
Administrative class 0 0 (2) 0
- ------------------------------------------------- -------------------------------------- --------------------------------------
Tax basis return of capital
Institutional class 0 0 0 (2,228)
- ------------------------------------------------- -------------------------------------- --------------------------------------
Administrative class 0 0 0 0
- ------------------------------------------------- -------------------------------------- --------------------------------------
Total distributions (536) (232) (26,116) (23,100)
================================================= ====================================== ======================================
Fund Share Transactions
Receipts for shares sold
Institutional class 22,820 20,109 100,602 45,109
- ------------------------------------------------- -------------------------------------- --------------------------------------
Administrative class 1,799 0 2,972 0
- ------------------------------------------------- -------------------------------------- --------------------------------------
Issued as reinvestment of distributions
Institutional class 493 226 24,511 22,389
- ------------------------------------------------- -------------------------------------- --------------------------------------
Administrative class 19 0 108 0
- ------------------------------------------------- -------------------------------------- --------------------------------------
Cost of shares redeemed
Institutional class (23,025) (18,717) (74,687) (44,961)
- ------------------------------------------------- -------------------------------------- --------------------------------------
Administrative class (1,809) 0 (73) 0
- ------------------------------------------------- -------------------------------------- --------------------------------------
Net increase (decrease) resulting from
Fund share transactions 297 1,618 53,433 22,537
- ------------------------------------------------- -------------------------------------- --------------------------------------
Total Increase (Decrease) in Net Assets 297 1,618 87,354 (13,360)
================================================= ====================================== ======================================
Net Assets
Beginning of period 7,454 5,836 357,900 371,260
- ------------------------------------------------- -------------------------------------- --------------------------------------
End of period * $ 7,751 $ 7,454 $ 445,254 $ 357,900
- ------------------------------------------------- -------------------------------------- --------------------------------------
*Including net undistributed
(overdistributed) investment income of: $ 0 $ 0 $ (5) $ 0
- ------------------------------------------------- -------------------------------------- --------------------------------------
</TABLE>
See Notes to Financial Statements
14
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------- -------------------------------------- --------------------------------------
NFJ Equity Income Fund NFJ Diversified Low P/E Fund NFJ Small Cap Value Fund
- -------------------------------------- -------------------------------------- --------------------------------------
Year Ended Year Ended Year Ended
October 31, 1995 October 31, 1994 October 31, 1995 October 31, 1994 October 31, 1995 October 31, 1994
<S> <C> <C> <C> <C> <C>
$ 3,800 $ 3,091 $ 337 $ 443 $ 763 $ 796
- -------------------------------------- -------------------------------------- --------------------------------------
4,643 2,553 2,035 1,370 2,349 2,329
- -------------------------------------- -------------------------------------- --------------------------------------
9,476 (3,086) 484 (1,865) 3,100 (4,045)
- -------------------------------------- -------------------------------------- --------------------------------------
0 0 0 0 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
17,919 2,558 2,856 (52) 6,212 (920)
====================================== ====================================== ======================================
62 210 (4) (20) (10) (60)
====================================== ====================================== ======================================
(3,822) (3,065) (342) (438) (761) (796)
- -------------------------------------- -------------------------------------- --------------------------------------
(4) 0 0 0 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
(2,558) (285) (1,375) (166) (2,473) (271)
- -------------------------------------- -------------------------------------- --------------------------------------
(4) 0 0 0 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
0 0 0 0 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
0 0 0 0 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
(6,388) (3,350) (1,717) (604) (3,234) (1,067)
====================================== ====================================== ======================================
25,992 40,831 115 1,361 4,351 11,609
- -------------------------------------- -------------------------------------- --------------------------------------
120 0 0 0 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
5,859 3,042 1,715 601 3,218 1,036
- -------------------------------------- -------------------------------------- --------------------------------------
8 0 0 0 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
(17,770) (18,780) (3,964) (8,774) (6,680) (25,885)
- -------------------------------------- -------------------------------------- --------------------------------------
(12) 0 0 0 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
14,197 25,093 (2,134) (6,812) 889 (13,240)
- -------------------------------------- -------------------------------------- --------------------------------------
25,790 24,511 (999) (7,488) 3,857 (15,287)
====================================== ====================================== ======================================
92,365 67,854 15,442 22,930 31,236 46,523
- -------------------------------------- -------------------------------------- --------------------------------------
$ 118,155 $ 92,365 $ 14,443 $ 15,442 $ 35,093 $ 31,236
- -------------------------------------- -------------------------------------- --------------------------------------
$ 0 $ 26 $ 0 $ 5 $ 1 $ 0
- -------------------------------------- -------------------------------------- --------------------------------------
</TABLE>
15
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
-------------------------------------- --------------------------------------
$ in thousands Cadence Capital Appreciation Fund Cadence Mid Cap Growth Fund
-------------------------------------- --------------------------------------
Increase in Net Assets from:
Year Ended Year Ended
October 31, 1995 October 31, 1994 October 31, 1995 October 31, 1994
<S> <C> <C> <C> <C>
Operations
Net investment income (loss) $ 2,383 $ 1,549 $ 615 $ 450
- ---------------------------------------------- -------------------------------------- --------------------------------------
Net realized gain (loss) 16,227 (730) 6,630 (2,373)
- ---------------------------------------------- -------------------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 31,810 772 31,560 2,911
- ---------------------------------------------- -------------------------------------- --------------------------------------
Net change in unrealized appreciation
on futures contracts and written options 0 0 0 0
- ---------------------------------------------- -------------------------------------- --------------------------------------
Net increase resulting from operations 50,420 1,591 38,805 988
============================================== ====================================== ======================================
Net equalization credits 65 253 46 60
============================================== ====================================== ======================================
Distributions to Shareholders
From net investment income
Institutional class (2,383) (1,552) (615) (450)
- ---------------------------------------------- -------------------------------------- --------------------------------------
Administrative class 0 0 0 0
- ---------------------------------------------- -------------------------------------- --------------------------------------
From net realized capital gains
Institutional class 0 (394) 0 (72)
- ---------------------------------------------- -------------------------------------- --------------------------------------
Administrative class 0 0 0 0
- ---------------------------------------------- -------------------------------------- --------------------------------------
Tax basis return of capital
Institutional class 0 (5) 0 (4)
- ---------------------------------------------- -------------------------------------- --------------------------------------
Administrative class 0 0 0 0
- ---------------------------------------------- -------------------------------------- --------------------------------------
Total distributions (2,383) (1,951) (615) (526)
============================================== ====================================== ======================================
Fund Share Transactions
Receipts for shares sold
Institutional class 47,862 94,234 56,121 74,414
- ---------------------------------------------- -------------------------------------- --------------------------------------
Administrative class 0 0 1,745 0
- ---------------------------------------------- -------------------------------------- --------------------------------------
Issued as reinvestment of distributions
Institutional class 2,167 1,883 563 503
- ---------------------------------------------- -------------------------------------- --------------------------------------
Administrative class 0 0 0 0
- ---------------------------------------------- -------------------------------------- --------------------------------------
Cost of shares redeemed
Institutional class (27,352) (15,559) (27,331) (21,273)
- ---------------------------------------------- -------------------------------------- --------------------------------------
Administrative class 0 0 (913) 0
- ---------------------------------------------- -------------------------------------- --------------------------------------
Net increase resulting from
Fund share transactions 22,677 80,558 30,185 53,644
- ---------------------------------------------- -------------------------------------- --------------------------------------
Total Increase in Net Assets 70,779 80,451 68,421 54,166
============================================== ====================================== ======================================
Net Assets
Beginning of period 165,441 84,990 121,791 67,625
- ---------------------------------------------- -------------------------------------- --------------------------------------
End of period * $ 236,220 $ 165,441 $ 190,212 $ 121,791
- ---------------------------------------------- -------------------------------------- --------------------------------------
*Including net undistributed
(overdistributed) investment income of: $ 0 $ 0 $ 0 $ 0
- ---------------------------------------------- -------------------------------------- --------------------------------------
</TABLE>
See Notes to Financial Statements
16
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------- -------------------------------------- --------------------------------------
Cadence Micro Cap Growth Fund Cadence Small Cap Growth Fund Columbus Circle Investors
Core Equity Fund
- -------------------------------------- -------------------------------------- --------------------------------------
Period from
Year Ended Year Ended December 28, 1994 to
October 31, 1995 October 31, 1994 October 31, 1995 October 31, 1994 October 31, 1995
<S> <C> <C> <C> <C>
$ (182) $ (50) $ (161) $ (150) $ 62
- -------------------------------------- -------------------------------------- --------------------------------------
2,911 (1,218) 5,706 3,696 756
- -------------------------------------- -------------------------------------- --------------------------------------
10,798 2,444 4,873 (1,467) 2,439
- -------------------------------------- -------------------------------------- --------------------------------------
0 0 0 0 1
- -------------------------------------- -------------------------------------- --------------------------------------
13,527 1,176 10,418 2,079 3,258
====================================== ====================================== ======================================
0 0 0 0 80
====================================== ====================================== ======================================
0 0 0 0 (27)
- -------------------------------------- -------------------------------------- --------------------------------------
0 0 0 0 (35)
- -------------------------------------- -------------------------------------- --------------------------------------
0 0 (3,708) (1,453) 0
- -------------------------------------- -------------------------------------- --------------------------------------
0 0 0 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
0 0 0 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
0 0 0 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
0 0 (3,708) (1,453) (62)
====================================== ====================================== ======================================
26,532 20,799 16,717 8,392 7,025
- -------------------------------------- -------------------------------------- --------------------------------------
0 0 574 0 23,345
- -------------------------------------- -------------------------------------- --------------------------------------
0 0 3,456 1,424 8
- -------------------------------------- -------------------------------------- --------------------------------------
0 0 0 0 35
- -------------------------------------- -------------------------------------- --------------------------------------
(2,889) (197) (3,361) (3,325) (293)
- -------------------------------------- -------------------------------------- --------------------------------------
0 0 0 0 (960)
- -------------------------------------- -------------------------------------- --------------------------------------
23,643 20,602 17,386 6,491 29,160
- -------------------------------------- -------------------------------------- --------------------------------------
37,170 21,778 24,096 7,117 32,436
====================================== ====================================== ======================================
32,605 10,827 50,425 43,308 0
- -------------------------------------- -------------------------------------- --------------------------------------
$ 69,775 $ 32,605 $ 74,521 $ 50,425 $ 32,436
- -------------------------------------- -------------------------------------- --------------------------------------
$ 0 $ 0 $ 0 $ 0 $ 0
- -------------------------------------- -------------------------------------- --------------------------------------
</TABLE>
17
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
------------------------- --------------------------------------
$ in thousands Columbus Circle Investors Parametric Enhanced Equity Fund
Mid Cap Equity Fund
------------------------- --------------------------------------
Period from
Increase (Decrease) in Net Assets from: December 28, 1994 to Year Ended
October 31, 1995 October 31, 1995 October 31, 1994
<S> <C> <C> <C>
Operations
Net investment income (loss) $ 10 $ 1,357 $ 1,308
- ------------------------------------------------- ------------------------- --------------------------------------
Net realized gain (loss) 243 2,417 731
- ------------------------------------------------- ------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 1,053 12,008 (495)
- ------------------------------------------------- ------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and
written options 0 0 0
- ------------------------------------------------- ------------------------- --------------------------------------
Net change in unrealized depreciation on
translation of assets and liabilities
denominated in foreign currencies 0 0 0
- ------------------------------------------------- ------------------------- --------------------------------------
Net increase (decrease) resulting from operations 1,306 15,782 1,544
================================================= ========================= ======================================
Net equalization credits (debits) 13 (27) 90
================================================= ========================= ======================================
Distributions to Shareholders
From net investment income
Institutional class (10) (1,356) (1,308)
- ------------------------------------------------- ------------------------- --------------------------------------
Administrative class 0 0 0
- ------------------------------------------------- ------------------------- --------------------------------------
From net realized capital gains
Institutional class 0 (939) (242)
- ------------------------------------------------- ------------------------- --------------------------------------
Administrative class 0 0 0
- ------------------------------------------------- ------------------------- --------------------------------------
Total distributions (10) (2,295) (1,550)
================================================= ========================= ======================================
Fund Share Transactions
Receipts for shares sold
Institutional class 7,334 11,181 31,773
- ------------------------------------------------- ------------------------- --------------------------------------
Administrative class 0 0 0
- ------------------------------------------------- ------------------------- --------------------------------------
Issued as reinvestment of distributions
Institutional class 3 2,282 1,544
- ------------------------------------------------- ------------------------- --------------------------------------
Administrative class 0 0 0
- ------------------------------------------------- ------------------------- --------------------------------------
Cost of shares redeemed
Institutional class (289) (18,839) (14,210)
- ------------------------------------------------- ------------------------- --------------------------------------
Administrative class 0 0 0
- ------------------------------------------------- ------------------------- --------------------------------------
Net increase (decrease) resulting from
Fund share transactions 7,048 (5,374) 19,107
- ------------------------------------------------- ------------------------- --------------------------------------
Total Increase (Decrease) in Net Assets 8,357 8,084 19,191
================================================= ========================= ======================================
Net Assets
Beginning of period 0 65,915 46,724
- ------------------------------------------------- ------------------------- --------------------------------------
End of period * $ 8,357 $ 73,999 $ 65,915
- ------------------------------------------------- ------------------------- --------------------------------------
*Including net undistributed
(overdistributed) investment income of: $ 0 $ 0 $ 0
- ------------------------------------------------- ------------------------- --------------------------------------
</TABLE>
See Notes to Financial Statements
18
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------- -------------------------------------- --------------------------------------
Blairlogie Emerging Markets Fund Blairlogie International Active Fund Balanced Fund
- -------------------------------------- -------------------------------------- --------------------------------------
Year Ended Year Ended Year Ended
October 31, 1995 October 31, 1994 October 31, 1995 October 31, 1994 October 31, 1995 October 31, 1994
<S> <C> <C> <C> <C> <C>
$ 428 $ (22) $ 515 $ 159 $ 3,449 $ 4,311
- -------------------------------------- -------------------------------------- --------------------------------------
(15,110) 3,745 3,506 695 7,151 (1,199)
- -------------------------------------- -------------------------------------- --------------------------------------
(8,263) 5,133 63 566 3,440 (2,198)
- -------------------------------------- -------------------------------------- --------------------------------------
0 0 (61) 27 958 (800)
- -------------------------------------- -------------------------------------- --------------------------------------
(2) 0 (73) 34 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
(22,947) 8,856 3,950 1,481 14,998 114
====================================== ====================================== ======================================
4 73 142 56 0 0
====================================== ====================================== ======================================
(414) (2) (504) (55) (3,451) (4,310)
- -------------------------------------- -------------------------------------- --------------------------------------
(3) 0 (5) 0 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
(3,784) (244) (844) (35) 0 (1,852)
- -------------------------------------- -------------------------------------- --------------------------------------
0 0 (2) 0 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
(4,201) (246) (1,355) (90) (3,451) (6,162)
====================================== ====================================== ======================================
64,126 74,920 45,600 13,806 20,019 32,514
- -------------------------------------- -------------------------------------- --------------------------------------
1,512 0 947 0 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
3,577 245 1,148 89 3,421 6,162
- -------------------------------------- -------------------------------------- --------------------------------------
4 0 7 0 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
(46,658) (18,853) (8,424) (1,072) (93,043) (28,344)
- -------------------------------------- -------------------------------------- --------------------------------------
(668) 0 (302) 0 0 0
- -------------------------------------- -------------------------------------- --------------------------------------
21,893 56,312 38,976 12,823 (69,603) 10,332
- -------------------------------------- -------------------------------------- --------------------------------------
(5,251) 64,995 41,713 14,270 (58,056) 4,284
====================================== ====================================== ======================================
79,620 14,625 22,569 8,299 130,694 126,410
- -------------------------------------- -------------------------------------- --------------------------------------
$ 74,369 $ 79,620 $ 64,282 $ 22,569 $ 72,638 $ 130,694
- -------------------------------------- -------------------------------------- --------------------------------------
$ 10 $ 0 $ (13) $ (21) $ 0 $ 2
- -------------------------------------- -------------------------------------- --------------------------------------
</TABLE>
19
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
------------ ---------- -------------- ------------ ---------- ------------- -------------
Selected Per Share Data for Net Asset Net Realized/ Total Income Dividends Distributions
the Year or Period Ended: Value Net Unrealized from from Net from Net Distributions
Beginning of Investment Gain (Loss) on Investment Investment Realized from
Period Income Investments Operations Income Capital Gains Equalization
------------ ---------- -------------- ------------ ---------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Money Market Fund
Institutional Class
10/31/95 $ 1.00 $ 0.06 $ 0.00 $ 0.06 $ (0.06) $ 0.00 $ 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/94 1.00 0.03 0.00 0.03 (0.03) 0.00 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/93 1.00 0.03 0.00 0.03 (0.03) 0.00 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/92 1.00 0.04 0.00 0.04 (0.04) 0.00 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
03/01/91 - 10/31/91 1.00 0.04 0.00 0.04 (0.04) 0.00 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
Administrative Class
01/24/95 - 10/31/95 1.00 0.05 0.00 0.05 (0.05) 0.00 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
PIMCO Managed Bond and
Income Fund
Institutional Class
10/31/95 $ 9.39 $ 0.69 $ 0.76 $ 1.45 $ (0.62) $ (0.01) $ 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/94 10.38 0.51 (0.88) (0.37) (0.51) (0.05) 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/93 9.99 0.61 0.74 1.35 (0.61) (0.35) 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
12/30/91 - 10/31/92 10.00 0.49 0.23 0.72 (0.49) (0.24) 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
Administrative Class
11/30/94 - 10/31/95 9.34 0.56 0.88 1.44 (0.55) (0.01) 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
NFJ Equity Income Fund
Institutional Class
10/31/95 $ 11.75 $ 0.46 $ 1.67 $ 2.13 $ (0.46) $ (0.33) $ 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/94 11.95 0.42 (0.16) 0.26 (0.42) (0.04) 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/93 10.92 0.40 1.40 1.80 (0.40) (0.37) 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/92 10.77 0.45 0.93 1.38 (0.43) (0.57) (0.23)
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
03/08/91 - 10/31/91 10.00 0.24 0.92 1.16 (0.24) (0.15) 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
Administrative Class
11/30/94 - 10/31/95 11.12 0.39 2.35 2.74 (0.40) (0.33) 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
NFJ Diversified Low P/E Fund
10/31/95 $ 11.55 $ 0.30 $ 2.18 $ 2.48 $ (0.30) $ (1.20) $ 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/94 11.92 0.30 (0.28) 0.02 (0.29) (0.10) 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/93 10.05 0.28 2.36 2.64 (0.28) (0.49) 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
12/30/91 - 10/31/92 10.00 0.24 0.23 0.47 (0.24) (0.18) 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
NFJ Small Cap Value Fund
Institutional Class
10/31/95 $ 12.07 $ 0.28 $ 1.92 $ 2.20 $ (0.28) $ (0.89) $ 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/94 12.81 0.29 (0.65) (0.36) (0.29) (0.09) 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/93 10.98 0.24 2.33 2.57 (0.24) (0.50) 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/92 10.09 0.22 1.17 1.39 (0.22) (0.24) (0.04)
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/01/91 - 10/31/91 10.00 0.02 0.10 0.12 (0.03) 0.00 0.00
- ---------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
</TABLE>
* Annualized
See Notes to Financial Statements
20
<PAGE>
<TABLE>
<CAPTION>
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
Ratio of Net
Ratio of Investment
Tax Basis Net Asset Net Assets Expenses to Income to Portfolio Average
Return of Total Value End of End of Period Average Net Average Net Turnover Commission
Capital Distributions Period Total Return (000's) Assets Assets Rate Rate
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 0.00 $ (0.06) $ 1.00 5.67% $ 7,741 0.40% 5.53% N/A N/A
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
0.00 (0.03) 1.00 3.53 7,454 0.40 3.52 N/A
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.03) 1.00 2.83 5,836 0.40 2.78 N/A
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.04) 1.00 3.85 7,817 0.40 4.02 N/A
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.04) 1.00 3.78 45,406 0.53* 5.20 N/A
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.05) 1.00 4.21 10 0.68* 5.94* N/A N/A
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
$ 0.00 $ (0.63) $ 10.21 15.96% $ 442,091 0.50% 6.47% 41.05% N/A
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
(0.06) (0.62) 9.39 (3.58) 357,900 0.50 5.22 99.46
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.96) 10.38 13.79 371,260 0.50 5.38 49.71
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.73) 9.99 7.52 287,113 0.50* 5.83* 133.61
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.56) 10.22 15.92 3,163 0.76* 6.22* 40.91 N/A
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
$ 0.00 $ (0.79) $ 13.09 19.36% $ 118,015 0.70% 3.83% 46.49% $0.06
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
0.00 (0.46) 11.75 2.25 92,365 0.70 3.77 35.56
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.77) 11.95 16.65 67,854 0.70 3.55 38.60
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (1.23) 10.92 12.89 30,506 0.70 3.83 46.74
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.39) 10.77 11.81 15,628 0.74* 4.18* 61.51
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.73) 13.13 25.69 140 0.95* 3.43* 43.27 N/A
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
$ 0.00 $ (1.50) $ 12.53 24.98% $ 14,443 0.70% 2.50% 71.02% $0.06
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
0.00 (0.39) 11.55 0.15 15,442 0.70 2.34 43.70
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.77) 11.92 26.35 22,930 0.70 2.43 28.19
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.42) 10.05 4.68 18,083 0.70* 2.57* 72.77
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
$ 0.00 $ (1.17) $ 13.10 19.88% $ 35,093 0.85% 2.25% 49.57% $0.04
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
0.00 (0.38) 12.07 (2.89) 31,236 0.85 2.23 48.12
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.74) 12.81 23.60 46,523 0.85 2.05 41.80
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.50) 10.98 13.75 18,261 0.85 2.16 26.77
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.03) 10.09 1.19 5,060 1.09* 3.06* 0.00
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
</TABLE>
21
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
------------ ------------- -------------- ------------ ---------- ------------- -------------
Selected Per Share Data for Net Asset Net Realized/ Total Income Dividends Distributions
the Year or Period Ended: Value Net Unrealized from from Net from Net Distributions
Beginning of Investment Gain (Loss) on Investment Investment Realized from
Period Income (Loss) Investments Operations Income Capital Gains Equalization
------------ ------------- -------------- ------------ ---------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Cadence Capital Appreciation Fund
Institutional Class
10/31/95 $ 13.34 $ 0.18 $ 3.60 $ 3.78 $ (0.18) $ 0.00 $ 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
10/31/94 13.50 0.14 (0.12) 0.02 (0.14) (0.04) 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
10/31/93 11.27 0.11 2.73 2.84 (0.11) (0.50) 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
10/31/92 11.02 0.14 1.05 1.19 (0.14) (0.72) (0.08)
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
03/08/91 - 10/31/91 10.00 0.09 1.02 1.11 (0.09) 0.00 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
Cadence Mid Cap Growth Fund
Institutional Class
10/31/95 $ 13.97 $ 0.07 $ 4.19 $ 4.26 $ (0.07) $ 0.00 $ 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
10/31/94 13.97 0.06 0.01 0.07 (0.06) (0.01) 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
10/31/93 11.29 0.07 2.70 2.77 (0.07) (0.02) 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
10/31/92 10.28 0.10 1.03 1.13 (0.10) 0.00 (0.02)
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
08/26/91 - 10/31/91 10.00 0.02 0.27 0.29 (0.01) 0.00 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
Administrative Class
11/30/94 - 10/31/95 13.31 0.03 4.85 4.88 (0.02) 0.00 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
Cadence Micro Cap Growth Fund
Institutional Class
10/31/95 $ 11.87 $ (0.04) $ 3.55 $ 3.51 $ 0.00 $ 0.00 $ 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
10/31/94 11.06 (0.03) 0.84 0.81 0.00 0.00 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
06/25/93 - 10/31/93 10.00 0.00 1.07 1.07 0.00 0.00 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
Cadence Small Cap Growth Fund
Institutional Class
10/31/95 $ 19.38 $ (0.05) $ 3.12 $ 3.07 $ 0.00 $ (1.43) $ 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
10/31/94 19.15 (0.02) 0.89 0.87 0.00 (0.64) 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
10/31/93 15.80 (0.06) 6.19 6.13 0.00 (2.78) 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
10/31/92 14.87 0.01 1.50 1.51 (0.01) (0.57) 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
01/07/91 - 10/31/91 10.00 0.02 5.03 5.05 (0.02) (0.16) 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
Administrative Class
09/27/95 - 10/31/95 21.90 (0.02) (0.87) (0.89) 0.00 0.00 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
Columbus Circle Investors
Core Equity Fund
Institutional Class
12/28/94 - 10/31/95 $ 10.00 $ 0.07 $ 2.71 $ 2.78 $ (0.06) $ 0.00 $ 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
Administrative Class
05/31/95 - 10/31/95 11.45 0.02 1.28 1.30 (0.02) 0.00 0.00
- ----------------------------- ------------ ------------- -------------- ------------ ---------- ------------- -------------
</TABLE>
* Annualized
See Notes to Financial Statements
22
<PAGE>
<TABLE>
<CAPTION>
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
Ratio of Net
Ratio of Investment
Tax Basis Net Asset Net Assets Expenses to Income to Portfolio Average
Return of Total Value End of End of Period Average Net Average Net Turnover Commission
Capital Distributions Period Total Return (000's) Assets Assets Rate Rate
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 0.00 $ (0.18) $ 16.94 28.47% $ 236,220 0.70% 1.22% 82.69% $0.05
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
0.00 (0.18) 13.34 0.15 165,441 0.70 1.17 76.75
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.61) 13.50 25.30 84,990 0.70 0.94 81.15
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.94) 11.27 10.75 36,334 0.70 1.13 134.17
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.09) 11.02 11.19 18,813 0.75* 1.55* 40.54
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
$ 0.00 $ (0.07) $ 18.16 30.54% $ 189,320 0.70% 0.43% 78.29% $0.04
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
0.00 (0.07) 13.97 0.58 121,791 0.70 0.45 60.85
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.09) 13.97 24.57 67,625 0.70 0.56 97.87
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.12) 11.29 10.91 21,213 0.70 0.87 65.92
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.01) 10.28 2.98 2,748 0.82* 0.92* 13.41
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.02) 18.17 36.64 892 0.94* 0.23* 71.73 N/A
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
$ 0.00 $ 0.00 $ 15.38 29.54% $ 69,775 1.50% (0.37%) 86.68% $0.03
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
0.00 0.00 11.87 7.31 32,605 1.50 (0.25) 58.81
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
(0.01) (0.01) 11.06 10.81 10,827 1.50* (0.02)* 15.98
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
$ 0.00 $ (1.43) $ 21.02 17.39% $ 73,977 1.25% (0.27%) 85.61% $0.02
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
0.00 (0.64) 19.38 4.62 50,425 1.25 (0.33) 65.53
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (2.78) 19.15 38.80 43,308 1.25 (0.35) 62.15
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.58) 15.80 10.20 33,734 1.25 0.09 66.05
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.18) 14.87 50.68 33,168 1.29* 0.11* 47.84
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 0.00 21.01 (5.34) 544 1.60* (0.82)* 8.80 N/A
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
$ 0.00 $ (0.06) $ 12.72 27.86% $ 7,791 0.82%* 0.79%* 122.88% $0.03
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
0.00 (0.02) 12.73 11.34 24,645 1.06* 0.34* 57.96 N/A
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
</TABLE>
23
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
------------ ---------- -------------- ------------ ---------- ------------- -------------
Selected Per Share Data for Net Asset Net Realized/ Total Income Dividends Distributions
the Year or Period Ended: Value Net Unrealized from from Net from Net Distributions
Beginning of Investment Gain (Loss) on Investment Investment Realized from
Period Income Investments Operations Income Capital Gains Equalization
------------ ---------- -------------- ------------ ---------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Columbus Circle Investors
Mid Cap Equity Fund
Institutional Class
12/28/94 - 10/31/95 $ 10.00 $ 0.02 $ 2.92 $ 2.94 $ (0.02) $ 0.00 $ 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
Parametric Enhanced Equity Fund
Institutional Class
10/31/95 $ 11.99 $ 0.25 $ 2.62 $ 2.87 $ (0.25) $ (0.17) $ 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/94 12.08 0.25 (0.04) 0.21 (0.25) (0.05) 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/93 11.76 0.23 0.74 0.97 (0.23) (0.42) 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/92 10.80 0.16 1.06 1.22 (0.16) (0.04) (0.06)
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
02/11/91 - 10/31/91 10.00 0.16 0.80 0.96 (0.16) 0.00 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
Blairlogie Emerging Markets Fund
Institutional Class
10/31/95 $ 16.53 $ 0.07 $ (4.55) $ (4.48) $ (0.06) $ (0.72) $ 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/94 12.27 (0.01) 4.45 4.44 0.00 (0.18) 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
06/08/93 - 10/31/93 10.00 0.03 2.52 2.55 (0.02) (0.26) 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
Administrative Class
10/31/95 16.95 0.00 (4.95) (4.95) (0.05) (0.71) 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
Blairlogie International Active Fund
Institutional Class
10/31/95 $ 11.86 $ 0.10 $ 0.30 $ 0.40 $ (0.09) $ (0.43) $ 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/94 10.69 0.09 1.15 1.24 (0.03) (0.04) 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
06/08/93 - 10/31/93 10.00 0.05 0.69 0.74 (0.04) (0.01) 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
Administrative Class
11/30/94 - 10/31/95 11.21 0.02 1.01 1.03 (0.08) (0.43) 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
Balanced Fund
Institutional Class
10/31/95 $ 10.35 $ 0.44 $ 1.54 $ 1.98 $ (0.44) $ 0.00 $ 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/94 10.84 0.34 (0.34) 0.00 (0.34) (0.15) 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
10/31/93 10.42 0.35 0.68 1.03 (0.35) (0.26) 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
06/25/92 - 10/31/92 10.00 0.12 0.52 0.64 (0.12) (0.10) 0.00
- --------------------------------- ------------ ---------- -------------- ------------ ---------- ------------- -------------
</TABLE>
* Annualized
See Notes to Financial Statements
24
<PAGE>
<TABLE>
<CAPTION>
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
Ratio of Net
Ratio of Investment
Tax Basis Net Asset Net Assets Expenses to Income to Portfolio Average
Return of Total Value End of End of Period Average Net Average Net Turnover Commission
Capital Distributions Period Total Return (000's) Assets Assets Rate Rate
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 0.00 $ (0.02) $ 12.92 29.34% $ 8,357 0.88%* 0.24%* 131.58% $0.04
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
$ 0.00 $ (0.42) $ 14.44 24.46% $ 73,999 0.70% 1.91% 20.59% $0.05
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
0.00 (0.30) 11.99 1.83 65,915 0.70 2.20 43.58
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.65) 12.08 8.20 46,724 0.70 1.89 15.02
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.26) 11.76 11.46 36,515 0.70 1.81 16.85
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.16) 10.80 9.59 4,451 0.73* 2.14* 0.15
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
$ 0.00 $ (0.78) $ 11.27 (27.70%) $ 73,539 1.35% 0.57% 118.18% $0.03
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
0.00 (0.18) 16.53 36.31 79,620 1.35 (0.06) 79.04
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.28) 12.27 25.55 14,625 1.34* 0.64* 36.51
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.76) 11.24 (27.96) 830 1.62 0.02 118.18 N/A
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
$ 0.00 $ (0.52) $ 11.74 3.83% $ 63,607 1.10% 1.10% 63.12% $0.03
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
0.00 (0.07) 11.86 11.68 22,569 1.10 1.12 88.55
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.05) 10.69 7.39 8,299 1.10* 0.91* 19.61
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.51) 11.73 9.61 675 1.34* 0.50* 58.07 N/A
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
$ 0.00 $ (0.44) $ 11.89 19.47% $ 72,638 0.70% 3.73% 43.10% $0.04
- --------- ------------- ------------ ------------ ------------- ----------- ----------- --------- ----------
0.00 (0.49) 10.35 0.08 130,694 0.70 3.25 46.72
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.61) 10.84 10.06 126,410 0.70 3.10 19.32
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
0.00 (0.22) 10.42 6.40 99,198 0.70* 3.36* 38.51
- --------- ------------- ------------ ------------ ------------- ----------- ----------- ---------
</TABLE>
25
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE] Short-Term Instruments 98.9%
Money Market Fund
October 31, 1995
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Short-Term Instruments - 98.9%
- --------------------------------------------------------------------------------
<S> <C> <C>
Discount Notes - 93.5%
American Greetings Co.
5.740% due 11/08/95 $ 250 $ 250
Avnet, Inc.
5.730% due 12/08/95 300 298
Commercial Credit Co.
9.875% due 12/01/95 350 351
Electronic Data Systems Corp.
5.670% due 11/28/95 250 249
Federal Home Loan Bank Corp.
5.600% due 11/09/95 500 499
Federal Home Loan Mortgage Corp.
5.655% due 11/13/95 250 250
Ford Motor Credit Co.
5.700% due 11/10/95 250 250
G. E. Capital Corp.
5.770% due 11/27/95 160 159
Georgia Power
4.750% due 03/01/96 250 249
Great-West Life & Annuity
5.720% due 12/08/95 250 249
GTE Northwest, Inc.
5.730% due 11/09/95 200 200
Heinz Co.
5.750% due 11/13/95 250 250
Hercules, Inc.
5.730% due 11/15/95 250 249
IBM Credit Corp.
5.750% due 11/10/95 300 300
Kimberly Clark
5.720% due 11/30/95 250 249
McCormick & Co., Inc.
5.710% due 11/21/95 300 299
MidAmerica Energy Co.
5.730% due 11/21/95 250 249
New England Power Co.
5.740% due 11/27/95 250 249
PHH Corp.
5.730% due 11/29/95 250 249
Raytheon Corp.
5.720% due 11/20/95 250 249
Shell Oil Co.
7.700% due 02/01/96 250 251
Sonoco Products Co.
5.760% due 11/14/95 250 249
Stanley Works
5.720% due 11/27/95 300 299
Temple Inland, Inc.
5.750% due 11/02/95 250 249
Toys-R-Us, Inc.
5.680% due 12/01/95 250 249
Waste Management
6.250% due 12/15/95 300 300
Weyerhaeuser Co.
9.250% due 11/15/95 300 300
---------
Total Short-Term Notes 7,244
=========
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Repurchase Agreement - 5.4%
State Street Bank $ 420 $ 420
4.500% due 11/01/95
(Dated 10/31/95. Collateralized by
U.S. Treasury Bond 11.250% due 02/15/15
valued at $430,876. Repurchase
proceeds are $420,053.)
Total Investments - 98.9% $ 7,664
(Cost $7,664)
Other Assets and Liabilities (Net) - 1.1% 87
---------
Net Assets - 100.0% $ 7,751
=========
</TABLE>
See Notes to Financial Statements
26
<PAGE>
SCHEDULE OF INVESTMENTS
Corporate Bonds and Notes 30.8%
Other 2.4%
[PIE CHART APPEARS HERE]
Short-Term Instruments 20.6%
Mortgage-Backed Securities 45.2%
PIMCO Managed Bond and Income Fund
October 31, 1995
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Corporate Bonds and Notes - 30.8%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance - 6.5%
Citicorp
5.950% due 01/30/98 (d) (e) $ 5,000 $ 5,003
6.000% due 05/29/98 (d) (e) 5,000 4,944
First Interstate Bancorp
6.188% due 06/25/97 250 251
General Motors Acceptance Corp.
6.750% due 04/25/97 10,000 10,099
7.900% due 05/01/97 500 513
Great Western Financial
8.625% due 12/01/98 3,000 3,176
Home Savings of America
10.500% due 06/12/97 4,500 4,561
Lehman Brothers Holdings
8.875% due 11/01/98 500 533
----------
29,080
Industrials - 16.9%
AMR Corp.
7.750% due 12/01/97 10,000 10,204
9.430% due 05/10/01 1,000 1,117
8.900% due 02/26/07 (e) 6,450 6,949
Columbia Health Care
5.996% due 07/28/97 15,000 15,013
Hewlett Packard Co.
5.680% due 01/05/96 5,000 4,947
5.670% due 01/09/96 3,800 3,757
Occidental Petroleum
11.750% due 03/15/11 10,000 10,674
Time Warner, Inc.
6.835% due 08/15/00 (e) 5,575 5,603
7.975% due 08/15/04 3,345 3,437
8.110% due 08/15/06 6,690 6,869
8.180% due 08/15/07 6,690 6,858
----------
75,428
Utilities - 7.4%
Commonwealth Edison
8.000% due 10/15/03 7,550 7,715
CTC Mansfield Funding
11.125% due 09/30/16 2,500 2,534
Illinois Power Co.
5.850% due 10/01/96 1,000 998
Long Island Lighting Co.
8.750% due 05/01/96 8,000 8,088
9.000% due 11/01/22 (e) 7,250 7,286
Ohio Edison
8.500% due 05/01/96 3,000 3,035
Wisconsin Electric Power
5.700% due 12/08/95 3,100 3,082
----------
32,738
----------
Total Corporate Bonds and Notes 137,246
(Cost $133,857) ==========
<CAPTION>
- --------------------------------------------------------------------------------
U.S. Treasury Obligations - 2.3%
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury Note
6.500% due 04/30/97 10,000 10,131
----------
Total U.S. Treasury Obligations 10,131
(Cost $10,125) ==========
<CAPTION>
- --------------------------------------------------------------------------------
U.S. Government Agencies - 0.1%
- --------------------------------------------------------------------------------
<S> <C> <C>
Federal Home Loan Bank
5.630% due 11/13/95 (d) 600 599
----------
Total U.S. Government Agencies 599
(Cost $599) ==========
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Mortgage-Backed Securities - 45.2%
- --------------------------------------------------------------------------------
<S> <C> <C>
Federal Home Loan Mortgage Corporation - 1.6%
9.000% due 12/15/20 $ 4,627 $ 4,853
10.500% due 04/01/01 190 198
8.500% due 12/01/01 10 10
7.250% due 03/01/06 547 548
8.250% due 03/01/08 244 251
8.250% due 05/01/08 76 78
9.500% due 02/01/11 204 216
15.500% due 06/01/11 4 4
10.000% due 06/01/11 39 42
11.875% due 06/15/13 (e) 413 455
8.800% due 12/01/15 (e) 339 365
----------
7,020
Federal Housing Authority - 0.2%
8.829% due 05/01/19 (e) 652 678
7.430% due 10/01/19 391 400
----------
1,078
Federal National Mortgage Association - 11.5%
4.500% due 07/01/96 (e) 14 14
9.000% due 12/01/01 2,180 2,289
8.500% due 12/01/01 147 152
8.500% due 07/01/03 1,214 1,258
8.500% due 10/01/04 1,311 1,362
8.500% due 11/01/04 1,030 1,070
8.500% due 01/01/05 158 164
8.500% due 01/01/05 2,444 2,540
8.000% due 10/01/05 760 778
8.500% due 01/01/07 1,090 1,133
8.500% due 08/01/07 95 98
7.750% due 10/01/07 631 641
7.000% due 08/01/09 621 624
11.000% due 09/01/10 (e) 366 412
13.750% due 10/01/10 52 61
13.750% due 11/01/11 7 9
14.750% due 10/01/12 55 65
13.750% due 10/01/12 71 82
14.750% due 11/01/12 6 7
13.750% due 01/01/13 12 14
14.500% due 03/01/13 13 16
13.750% due 09/01/13 24 29
13.750% due 11/01/13 10 12
13.750% due 12/01/14 2 3
8.029% due 07/01/20 (d) 2,251 2,351
6.542% due 02/01/23 (d) 3,084 3,152
7.454% due 02/01/23 (d) 7,446 7,461
5.484% due 12/01/23 (d) 4,031 4,072
5.912% due 01/01/24 (d) 7,104 7,221
6.574% due 04/01/24 (d) 5,464 5,565
6.056% due 10/01/24 (d) 4,204 4,284
7.769% due 04/01/29 (d) 4,127 4,257
----------
51,196
Government National Mortgage Association - 4.2%
7.500% due 03/15/24 460 467
12.000% due 10/15/12 16 18
12.000% due 01/15/13 10 12
12.000% due 09/15/13 3 4
12.000% due 09/15/13 3 4
12.000% due 02/15/14 22 26
12.000% due 03/15/14 11 13
12.000% due 04/15/14 5 6
12.000% due 12/15/14 2 2
12.000% due 04/15/15 2 3
12.000% due 04/15/15 7 8
12.000% due 06/15/15 1 1
</TABLE>
27
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
PIMCO Managed Bond and Income Fund
October 31, 1995
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
12.000% due 06/15/15 $ 17 $ 20
12.000% due 10/15/15 1 1
7.375% due 06/20/23 (d) (e) 8,274 8,424
7.000% due 09/20/24 (d) (e) 4,661 4,764
7.000% due 01/20/25 (d) (e) 4,709 4,804
----------
18,577
Collateralized Mortgage Obligations - 27.7%
AFC
6.592% due 10/25/26 (d) (e) 8,182 8,243
American Southwest Financial
8.450% due 09/01/17 246 245
Bank of America
9.000% due 03/01/08 (e) 124 129
Capstead
8.900% due 12/25/21 (e) 1,068 1,101
Chase Mortgage Financial
8.000% due 06/25/24 (e) 957 967
Citicorp Mortgage
9.500% due 07/25/04 49 51
9.500% due 10/25/04 220 230
CMC Securities Corp.
9.000% due 04/25/10 16,253 16,711
10.000% due 04/20/20 8,885 9,673
Countrywide
7.913% due 11/25/24 (d) (e) 10,388 10,661
7.408% due 11/25/24 (d) (e) 12,226 12,536
Dime Savings
7.140% due 11/25/18 (d) (e) 222 209
Donaldson, Lufkin & Jenrette
11.000% due 08/01/19 557 616
FNMA
7.000% due 04/25/15 367 370
8.500% due 03/25/17 1,580 1,601
9.000% due 09/25/18 2,240 2,309
9.250% due 07/25/19 9,091 9,566
GMC
9.300% due 07/20/19 1,000 1,086
Norwest
12.375% due 01/01/14 622 682
Residential Funding
10.000% due 10/01/19 (e) 56 57
Resolution Trust Corp.
8.835% due 12/25/23 (e) 1,313 1,348
Ryland Acceptance Corp.
7.878% due 09/25/23 (d) 10,352 10,507
8.000% due 09/25/22 (e) 9,553 9,601
Saxon Mortgage
8.169% due 09/25/22 (d) (e) 7,259 7,409
8.130% due 01/25/23 (d) (e) 10,317 10,472
Sears
8.250% due 09/25/31 (e) 341 343
Sears Mortgage
8.712% due 05/25/32 (d) (e) 5,208 5,223
Security Pacific
8.500% due 03/01/17 (e) 131 130
U.S. Home Equity
8.500% due 04/15/21 68 69
Western Federal Savings & Loan
6.979% due 03/25/19 (d) (e) 1,016 1,006
----------
123,151
----------
Total Mortgage-Backed Securities 201,022
(Cost $199,587) ==========
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Purchased CME Put Option - 0.0%
- --------------------------------------------------------------------------------
<S> <C> <C>
December Futures 150 2
Strike @ 95.00 Exp. 11/95 ----------
Total Purchased CME Put Option 2
(Cost $3) ==========
<CAPTION>
- --------------------------------------------------------------------------------
Short-Term Instruments - 20.6%
- --------------------------------------------------------------------------------
<S> <C> <C>
Discount Notes - 16.9%
Abbott Laboratories
5.710% due 11/14/95 3,000 2,994
Armstrong World
8.5% due 02/08/96 400 402
Associates Corp. of North America
5.680% due 11/27/95 5,500 5,477
AT&T Corp.
5.710% due 11/03/95 5,000 4,998
5.640% due 11/21/95 2,200 2,193
5.700% due 01/09/96 10,000 9,887
5.700% due 01/12/96 1,000 988
Discover Credit Corp.
8.920% due 03/15/96 (e) 11,000 11,209
9.000% due 04/15/96 (e) 5,250 5,316
Eli Lilly & Co.
6.080% due 01/09/96 4,500 4,449
Emerson Electric Co.
5.750% due 11/17/95 500 499
G. E. Capital Corp.
5.720% due 11/20/95 3,000 2,991
5.720% due 11/30/95 8,700 8,660
5.700% due 01/19/96 2,500 2,468
Motorola, Inc.
5.710% due 11/17/95 800 798
Norfolk Southern Corp.
5.680% due 01/12/96 300 296
Pitney Bowes Credit, Inc.
5.690% due 11/20/95 2,000 1,994
United Parcel Service
5.710% due 11/15/95 3,600 3,592
U.S. West Communications
5.700% due 11/30/95 4,700 4,678
Wal-Mart Stores
5.720% due 11/09/95 1,400 1,398
----------
75,287
Repurchase Agreement - 2.9%
State Street Bank 12,860 12,860
4.500% due 11/01/95
(Dated 10/31/95. Collateralized by
U.S. Treasury Bond 11.250% due 02/15/15
valued at $13,122,123. Repurchase
proceeds are $12,861,608.)
U.S. Treasury Bills - 0.8%
6.560% due 11/16/95 (b) 620 618
5.340% due 11/30/95 (b) 780 777
5.270% due 02/08/96 (b) 615 606
6.310% due 02/08/96 (b) 1,695 1,670
5.265% due 02/15/96 (b) 30 30
----------
3,701
----------
Total Short-Term Instruments 91,848
(Cost $91,753 ) ==========
</TABLE>
28
<PAGE>
<TABLE>
<CAPTION>
Value
(000's)
- --------------------------------------------------------------------------------
<S> <C>
Total Investments (a) - 99.0% $ 440,848
(Cost $435,924)
Written Options (c) - 0.0% (16)
(Premiums $169)
Other Assets and Liabilities (Net) - 1.0% 4,422
----------
Net Assets - 100.0% $ 445,254
==========
Notes to Schedule of Investments ($ in thousands):
(a) At October 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 6,410
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (1,486)
----------
Unrealized appreciation-net $ 4,924
==========
(b) Securities with an aggregate market value of
$3,701 have been segregated with the custodian
to cover margin requirements for the following open
future contracts at October 31, 1995:
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 5 Year Note (12/95) 567 $ 229
U.S. Treasury 10 Year Note (12/95) 1,432 2,150
U.S. Treasury 30 Year Note (12/95) 624 2,146
----------
$ 4,525
==========
(c) Premiums received on Written Put Options:
<CAPTION>
Premium Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
CBOT U.S. Treasury Bond Futures
Strike @ 112.00 Exp. (11/95) $ 500,000 $ 169 $ 16
(d) Variable rate security. The rate listed is as of October 31, 1995.
(e) Security valued under procedures established by the Board of Trustees.
</TABLE>
See Notes to Financial Statements
29
<PAGE>
SCHEDULE OF INVESTMENTS
NFJ Equity Income Fund
October 31, 1995
15.1% Consumer Discretionary
17.5% Utilities
10.5% Other
6.9% Health Care
13.8% Financial & Business Services [PIE CHART APPEARS HERE]
9.8% Short-Term Instruments
8.9% Materials & Processing
7.0% Energy
6.9% Consumer Staples
<TABLE>
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
Common Stocks - 86.6%
- --------------------------------------------------------------------------------
<S> <C> <C>
Capital Goods - 5.2%
Briggs & Stratton Co. 48,100 $ 1,944
Deere & Co. 24,200 2,163
GATX Corp. 41,900 1,990
----------
6,097
Consumer Discretionary - 15.1%
Brunswick Corp. 113,600 2,215
Chrysler Corp. 37,880 1,956
Ford Motor Co. 67,000 1,926
Harland John H Co. 95,600 1,984
K Mart Corp. 239,500 1,965
Maytag Corp. 108,900 2,069
Melville Corp. 112,300 3,594
Springs Industries, Inc. 49,900 2,139
----------
17,848
Consumer Staples - 6.9%
American Brands, Inc. 47,800 2,049
Anheuser Busch 31,100 2,053
Philip Morris Co., Inc. 23,600 1,994
Supervalu, Inc. 67,900 2,088
----------
8,184
Energy - 7.0%
Atlantic Richfield 18,800 2,007
Texaco, Inc. 29,800 2,030
Ultramar Corp. 174,600 4,256
----------
8,293
Financial & Business Services - 13.8%
Aetna Life & Casulty Co. 31,200 2,196
Bankers Trust N.Y. Corp. 30,900 1,970
Bear Stearns 91,917 1,827
Chase Manhattan Corp. 35,200 2,006
Meditrust 58,700 1,981
Mellon Bank Corp. 38,300 1,920
PNC Bank Corp. 82,400 2,163
Provident Life Accident "B" 84,700 2,266
----------
16,329
Health Care - 6.9%
American Home Products 22,200 1,967
Baxter International, Inc. 51,800 2,001
Bristol Myers Squibb 26,300 2,005
Upjohn Co. 43,100 2,187
----------
8,160
Materials & Processing - 8.9%
Fed Paper Board, Inc. 54,300 2,281
Olin Corp. 31,100 1,990
Phelps Dodge Corp. 67,700 4,290
PHH Corp. 43,500 1,903
----------
10,464
Technology - 5.3%
Harris Corp. 37,400 2,174
Northrop Grumman Corp. 70,400 4,030
----------
6,204
Utilities - 17.5%
Comsat Corp. 97,900 $ 1,946
Detroit Edison Co. 61,700 2,082
NICOR Inc. 75,400 2,026
Pacific Gas & Electric 69,100 2,030
Pacific Telesis 138,900 4,219
Peoples Energy Corp. 74,000 2,128
Southern New England Telecom 57,400 2,074
Texas Utilities Co. 58,000 2,132
Washington Water Power 119,000 2,053
----------
20,690
----------
Total Common Stocks 102,269
==========
(Cost $91,499)
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Short-Term Instruments - 9.8%
- --------------------------------------------------------------------------------
Principal
Amount
(000's)
<S> <C> <C>
Repurchase Agreement - 9.8%
State Street Bank $ 11,596 11,596
4.500% due 11/01/95
(Dated 10/31/95. Collateralized by
U.S. Treasury Bond 11.250%
due 02/15/15 valued at $11,829,496.
Repurchase proceeds are $11,597,450.)
----------
Total Short-Term Instruments 11,596
==========
(Cost $11,596)
Total Investments (a) - 96.4% $ 113,865
(Cost $103,095)
Other Assets and Liabilities (Net) - 3.6% 4,290
----------
Net Assets - 100.0% $ 118,155
==========
Notes to Schedule of Investments ($ in thousands):
(a) At October 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 14,267
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (3,497)
----------
Unrealized appreciation-net $ 10,770
==========
</TABLE>
See Notes to Financial Statements
30
<PAGE>
SCHEDULE OF INVESTMENTS
NFJ Diversified Low P/E Fund
October 31, 1995
14.1% Financial & Business Services
14.2% Consumer Discretionary
6.5% Other
6.6% Materials & Processing
11.3% Consumer Staples [PIE CHART APPEARS HERE]
10.9% Technology
10.3% Energy
10.0% Utilities
8.4% Short-Term Instruments
7.7% Health Care
<TABLE>
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
Common Stocks - 91.6%
- --------------------------------------------------------------------------------
<S> <C> <C>
Capital Goods - 3.8%
Briggs & Stratton Co. 6,500 $ 262
Deere & Co. 3,200 286
----------
548
Consumer Discretionary - 14.2%
Brunswick Corp. 6,700 131
Chrysler Corp. 4,105 212
Goodyear Tire & Rubber 6,900 262
Maytag Corp. 14,600 277
Melville Corp. 7,400 237
Omnicom Group 2,100 134
Premark International, Inc. 6,000 278
Reebok International Limited 3,800 129
Sears Roebuck 7,600 258
Xerox Corp. 1,000 130
----------
2,048
Consumer Staples - 11.3%
Anheuser Busch 6,200 409
IBP, Inc. 4,700 281
Philip Morris Co., Inc. 3,100 262
Supervalu, Inc. 13,300 409
Unilever NV 2,100 276
----------
1,637
Energy - 10.3%
Atlantic Richfield 3,700 395
Repsol 8,700 258
Texaco, Inc. 6,000 409
Ultramar Corp. 17,200 419
----------
1,481
Financial & Business Services - 14.1%
Bear Stearns Cos 6,700 133
Chase Manhattan Corp. 6,300 359
Loews Corp. 1,800 264
Mellon Bank Corp. 5,000 251
PHH Corp. 8,100 354
Provident Life Accident "B" 14,000 375
Standard Federal Bank 8,400 298
----------
2,034
Health Care - 7.7%
American Home Products 4,400 390
Beckman Instruments 4,000 133
Tenet Healthcare Corp. (b) 9,300 166
Upjohn Co. 8,400 426
----------
1,115
Materials & Processing - 6.6%
Lennar Corp. 5,750 132
Phelps Dodge Corp. 4,500 285
Union Carbide Corp. 3,800 144
Wellman, Inc. 5,500 129
Willamette Industries 4,500 261
----------
951
Technology - 10.9%
Advanced Micro Devices (b) 4,900 117
Harris Corp. 4,800 279
Northrop Grumman Corp. 6,400 366
Raytheon Co. 6,800 297
Seagate Technology (b) 6,000 269
Sterling Software, Inc. (b) 5,400 249
----------
1,577
Transportation - 2.7%
AMR Corp. (b) 1,900 125
Conrail, Inc. 3,900 268
----------
393
Utilities - 10.0%
Comsat Corp. 12,200 242
Detroit Edison Co. 8,300 280
NICOR, Inc. 9,000 242
Pacific Gas & Electric 13,500 397
Pacific Telesis 9,300 282
----------
1,443
----------
Total Common Stocks 13,227
==========
(Cost $11,149)
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Short-Term Instruments - 8.4%
- --------------------------------------------------------------------------------
Principal
Amount
(000's)
<S> <C> <C>
Repurchase Agreement - 8.4%
State Street Bank $ 1,210 1,210
4.500% due 11/01/95
(Dated 10/31/95. Collateralized by
U.S. Treasury Bond 11.250% due 02/15/15
valued at $1,245,622. Repurchase
proceeds are $1,216,152.)
----------
Total Short-Term Instruments 1,210
==========
(Cost $1,210)
Total Investments (a) - 100.0% $ 14,437
(Cost $12,359)
Other Assets and Liabilities (Net) - 0.0% (6)
----------
Net Assets - 100.0% $ 14,443
==========
Notes to Schedule of Investments ($ in thousands):
(a) At October 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 2,323
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (245)
----------
Unrealized appreciation-net $ 2,078
==========
(b) Non-income producing security.
</TABLE>
See Notes to Financial Statements
31
<PAGE>
SCHEDULE OF INVESTMENTS
NFJ Small Cap Value Fund
October 31, 1995
16.6% Materials & Processing
22.2% Financial & Business Services
5.0% Other
3.0% Health Care
3.9% Short-Term Instruments
14.3% Consumer Discretionary [PIE CHART APPEARS HERE]
10.3% Capital Goods
8.3% Consumer Staples
6.8% Utilities
5.2% Technology
4.2% Energy
<TABLE>
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
Common Stocks - 95.9%
- --------------------------------------------------------------------------------
<S> <C> <C>
Capital Goods - 10.3%
AGCO Corp. 6,650 $ 298
Barnes Group, Inc. 8,900 334
Blount Inc. "A" 6,300 273
Brenco, Inc. 29,000 337
Kysor Industrial Corp. 15,700 367
Oshkosh Truck Corp. "B" 23,400 333
Regal Beloit 19,200 346
Scotsman Industries, Inc. 21,600 351
Smith (A.O.) Corp. 15,500 321
Tecumseh Products Co. "A" 6,200 291
Webb Corp. 18,000 374
----------
3,625
Consumer Discretionary - 14.3%
Blair Corp. 12,100 357
Borg Warner Automotive 12,100 357
Ennis Business Forms, Inc. 24,200 345
Fedders USA, Inc. 57,500 338
Garan, Inc. 12,900 237
Guilford Mills, Inc. 15,400 341
Haggar Corp. 13,400 221
Handleman 28,300 219
Outboard Marine Corp. 17,800 369
Oxford Industries, Inc. 15,100 245
Ross Stores, Inc. 21,600 339
Shopko Stores, Inc. 30,200 325
Standard Products Co. 7,100 110
Strawbridge & Clothier "A" 14,000 266
Sturm Ruger & Co., Inc. 12,000 324
Toro Co. 11,200 323
Windmere Corp. 50,500 316
----------
5,032
Consumer Services - 2.0%
Bowne & Co., Inc. 19,200 357
Merrill Corp. 20,800 333
----------
690
Consumer Staples - 8.3%
Bindley Western Industries, Inc. 20,000 312
Dimon, Inc. 22,800 333
Fay's, Inc. 36,000 288
International Multifoods 15,700 322
Marsh Supermarkets, Inc. "B" 30,300 364
Morningstar Group, Inc. (b) 38,000 295
Nash Finch Co. 16,700 298
Super Foods Services, Inc. 29,500 395
Thorn Apple Valley, Inc. 16,500 285
----------
2,892
Energy - 4.2%
Diamond Shamrock R & M, Inc. 12,400 319
KCS Energy, Inc. 20,800 237
Offshore Logistics, Inc. (b) 24,800 307
Swift Energy Co. (b) 32,700 290
Tosco Corp. 9,100 314
----------
1,467
Financial & Business Services 22.2%
American Bankers Insurance Group 11,400 409
American Health Properties 15,300 315
Boston Bancorp 9,000 331
Capstead Mortgage Corp. 10,000 328
Charter One Financial, Inc. 13,500 383
Collective Bancorp, Inc. 14,800 350
Comdisco, Inc. 10,300 314
Eaton Vance Corp. 10,700 391
First Commerce Corp. 12,900 400
First Finance Corp. 20,600 440
Fremont General 14,300 415
Glimcher Realty Trust 17,300 311
Hibernia Corp. "A" 37,500 370
Inter-Regional Financial Group 9,100 319
Jefferies Group, Inc. 9,400 369
Mcgrath Rentcorp 18,000 315
Morgan Keegan, Inc. 28,350 308
Orion Capital Corp. 7,800 320
Pioneer Financial Services, Inc. 22,400 314
Raymond James Financial Corp. 18,200 391
U S Facilities 18,000 340
Zions Bancorp 5,400 374
----------
7,807
Health Care - 3.0%
Adac Laboratories 31,400 373
Allied Healthcare Products 18,900 359
Bergen Brunswig "A" 15,015 312
----------
1,044
Materials & Processing - 16.6%
Amcast Industrial Corp. 19,000 323
American President 13,600 330
Butler Manufacturing Co. 13,050 385
Caraustar Industries, Inc. 16,800 315
Chesapeake Corp. 11,200 343
Cleveland Cliffs, Inc. 8,800 329
Commercial Metals 13,100 337
Continental Homes 16,900 346
Gencorp 27,300 287
Kaman Corp. 25,700 276
Nacco Industries, Inc. 5,600 321
Quanex Corp. 17,700 350
Standard Motor Products 20,400 337
Texas Industries, Inc. 7,400 389
Varlen Corp. 16,280 435
Vigoro Group 8,700 377
Wellman, Inc. 14,300 336
----------
5,816
Technology - 5.2%
Macneal-Schwendler Corp. 22,800 348
Mts Systems Corp. 13,700 387
Pioneer Standard Electronics 25,000 347
Thiokol Corp. 9,400 325
Wyle Labs 10,200 435
----------
1,842
Transportation - 3.0%
Coachman Industries 26,100 441
Sea Containers Limited "A" 17,100 312
Winnebago Industries 37,000 296
----------
1,049
Utilities - 6.8%
Central Hudson Gas & Electric 10,700 328
Commonwealth Energy System 7,900 335
Eastern Utilities Associates 13,100 308
Energen Corp. 15,800 357
Orange & Rockland Utilities 10,800 379
Southern California Water Co. 18,400 347
United Illuminating 9,000 342
----------
2,396
----------
Total Common Stocks 33,660
==========
(Cost $31,195)
</TABLE>
32
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- --------------------------------------------------------------------------------
Short-Term Instruments - 3.9%
- --------------------------------------------------------------------------------
Repurchase Agreement - 3.9%
State Street Bank $ 1,377 $ 1,377
4.500% due 11/01/95
(Dated 10/31/95. Collateralized by
U.S. Treasury Bond 11.250% due 02/15/15
valued at $1,410,139. Repurchase
proceeds are $1,377,172.)
----------
Total Short-Term Instruments 1,377
==========
(Cost $1,377)
Total Investments (a) - 99.8% $ 35,037
(Cost $32,572)
Other Assets and Liabilities (Net) - 0.2% 56
----------
Net Assets - 100.0% $ 35,093
==========
Notes to Schedule of Investments ($ in thousands):
(a) At October 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 4,520
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (2,055)
----------
Unrealized appreciation-net $ 2,465
==========
(b) Non-income producing security.
</TABLE>
See Notes to Financial Statements
33
<PAGE>
SCHEDULE OF INVESTMENTS
Cadence Capital Appreciation Fund
October 31, 1995
22.2% Technology
24.3% Financial & Business Services
3.7% Energy
5.5% Consumer Services
7.2% Materials & Processing [PIE CHART APPEARS HERE]
10.4% Health Care
9.9% Short-Term Instruments
8.3% Capital Goods
7.6% Consumer Goods
<TABLE>
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
Common Stocks - 89.2%
- --------------------------------------------------------------------------------
<S> <C> <C>
Capital Goods - 8.3%
Allied Signal, Inc. 65,400 $ 2,780
Case Corp. 77,300 2,947
Johnson Controls, Inc. 45,800 2,668
PPG Industries, Inc. 64,100 2,724
Rockwell International Corp. 64,900 2,888
Sundstrand Corp. 43,100 2,640
United Technologies 34,300 3,044
----------
19,691
Consumer Goods - 7.6%
Consolidated Papers, Inc. 39,400 2,256
HBO & Co. 39,100 2,766
Kroger Co. (b) 92,200 3,077
Leggett & Platt, Inc. 130,800 3,139
Nike, Inc. 65,200 3,700
Xerox Corp. 23,700 3,075
----------
18,013
Consumer Services - 5.5%
IBP, Inc. 70,000 4,191
La Quinta Motor Inns 76,700 1,998
Mattel, Inc. 123,676 3,556
Philip Morris Co, Inc. 39,900 3,372
----------
13,117
Energy - 3.7%
British Petroleum - ADR 31,600 2,789
Imperial Oil Limited 80,100 2,924
Royal Dutch Petrol Guilder 23,900 2,937
----------
8,650
Financial & Business Services - 24.3%
Advanta Corp. 79,700 2,849
Bank of Boston Corp. 67,500 3,004
Bank of New York 77,200 3,242
Bankamerica Corp 42,100 2,421
Chemical Banking Corp. 57,800 3,287
Citicorp 51,900 3,367
Dean Witter Discover & Co. 59,400 2,955
Equitable of Iowa Co. 87,200 3,052
First Chicago Corp. 32,700 2,220
First Interstate Bank 27,200 3,509
First Tennessee National Corp. 58,800 3,146
Fleet Financial Group, Inc. 80,100 3,104
Midlantic Corp. 55,900 2,963
Norwest Corp. 98,200 2,897
Southtrust Corp. 115,600 2,904
St Paul Cos, Inc. 59,200 3,004
TIG Holdings, Inc. 127,900 3,245
Transamerica Corp. 44,200 2,995
Travelers Group, Inc. 62,100 3,136
----------
57,300
Health Care - 10.4%
Abbott Laboratories 78,800 3,132
American Home Products 38,000 3,368
Boston Scientific Corp. (b) 93,300 3,930
Foundation Health Corp. (b) 81,600 3,458
Guidant Corp. 125,600 4,019
Medtronic, Inc. 49,600 2,864
Schering-Plough 70,300 3,770
----------
24,541
Materials & Processing - 7.2%
Eastman Chemical Co. 44,400 2,642
Georgia-Pacific Corp. 31,200 2,574
International Paper 68,800 2,546
Textron, Inc. 41,900 2,881
Scott Paper 62,700 3,339
Union Carbide Corp. 78,700 2,981
----------
16,963
Technology - 22.2%
Adaptec, Inc. (b) 85,500 3,805
Alliance Semiconductor Corp. (b) 76,950 2,366
Applied Materials (b) 56,000 2,807
Arrow Electronics, Inc. (b) 53,200 2,700
Cabletron Systems, Inc. (b) 50,100 3,939
Computer Assoc International, Inc. 82,300 4,527
Dell Computer Corp., Inc. (b) 69,500 3,240
DSC Communications (b) 52,500 1,943
Gateway 2000, Inc. (b) 94,600 3,157
Hewlett Packard Co. 47,700 4,418
Loral Corp. 143,700 4,257
Oracle Systems Corp. (b) 65,950 2,877
Seagate Technology (b) 56,900 2,546
Teradyne, Inc. (b) 73,000 2,436
Texas Instruments, Inc. 52,900 3,610
Xilinx, Inc. (b) 83,400 3,836
----------
52,464
----------
Total Common Stocks 210,739
==========
(Cost $166,226)
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Short-Term Instruments - 9.9%
- --------------------------------------------------------------------------------
Principal
Amount
(000's)
<S> <C> <C>
Repurchase Agreement - 9.9%
State Street Bank $ 23,381 23,381
4.500% due 11/01/95
(Dated 10/31/95. Collateralized by
U.S. Treasury Bond 11.250% due 02/15/15
valued at $23,854,844. Repurchase
proceeds are $23,383,923.)
----------
Total Short-Term Instruments 23,381
==========
(Cost $23,381)
Total Investments (a) - 99.1% $ 234,120
(Cost $189,607)
Other Assets and Liabilities (Net) - 0.9% 2,100
----------
Net Assets - 100.0% $ 236,220
==========
Notes to Schedule of Investments ($ in thousands):
(a) At October 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 48,054
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (3,541)
----------
Unrealized appreciation-net $ 44,513
==========
(b) Non-income producing security.
</TABLE>
See Notes to Financial Statements
34
<PAGE>
SCHEDULE OF INVESTMENTS
Cadence Mid Cap Growth Fund
October 31, 1995
26.0% Financial & Business Services
29.2% Technology
0.9% Energy
1.4% Utilities
4.4% Consumer Staples
10.7% Consumer Discretionary [PIE CHART APPEARS HERE]
9.4% Health Care
7.0% Short-Term Instruments
5.7% Capital Goods
5.0% Materials & Processing
<TABLE>
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Common Stocks - 92.7%
Capital Goods - 5.7%
AGCO Corp. 52,300 $ 2,340
Belden, Inc. 69,900 1,686
GATX Corp. 35,000 1,663
Mark IV Industries, Inc. 79,929 1,559
Northrop Grumman Corp. 31,400 1,798
York International Corp. 39,500 1,728
----------
10,774
Consumer Discretionary - 10.7%
American Greetings "A" 70,800 2,230
Consolidated Papers, Inc. 1,900 109
Cytec Industries, Inc. (b) 11,700 640
First Brands Corp. 56,100 2,566
General Nutrition Cos., Inc. (b) 122,000 3,035
Harman International 56,170 2,591
HBO & Co. 33,600 2,377
Leggett & Platt, Inc. 100,200 2,405
Manpower, Inc. 71,800 1,948
Mattel, Inc. 86,851 2,497
----------
20,398
Consumer Staples - 4.4%
Canandaigua Wine Co. "A" (b) 44,400 2,131
IBP, Inc. 64,200 3,844
Kroger Co. (b) 70,700 2,360
----------
8,335
Energy - 0.9%
Stolt-Nielsen SA (b) 60,900 1,827
----------
Financial & Business Services 26.0%
Advanta Corp. "A" 53,200 2,061
Allmerica Financial Corp. (b) 84,400 2,120
American Re Corp. 45,900 1,756
Bank of Boston Corp. 49,400 2,198
Baybanks, Inc. 24,900 2,017
Citizens Corp. 106,800 1,936
Comdisco, Inc. 62,000 1,891
Crestar Financial Corp. 43,200 2,462
Cullen/Frost Bankers, Inc. 37,100 1,892
Finova Group, Inc. 55,600 2,516
First Usa, Inc. 51,200 2,355
Green Tree Financial Corp. 97,200 2,588
MGIC Investment Corp. 42,000 2,389
Mid Ocean Limited 56,000 1,981
Mutual Risk Management Limited 64,600 2,382
Nac Re Corp. 38,600 1,356
Paul Revere Corp 46,100 925
Protective Life Corp. 64,200 1,830
Signet Bank Corp. 84,600 2,009
Southern National Corp. 91,600 2,359
Summit Bancorp 70,000 1,986
SunAmerica, Inc. 39,300 2,446
The Money Store 52,650 2,106
Union Planters Corp. 60,700 1,859
----------
49,420
Health Care - 9.4%
Boston Scientific Corp. (b) 82,200 3,463
Guidant Corp. 88,500 2,832
Health Management Associates "A" (b) 93,900 2,019
Medtronic, Inc. 39,500 2,281
Ornda Healthcorp (b) 110,100 1,941
Sybron Corp. (b) 70,900 3,013
Watson Pharmaceutical, Inc. (b) 50,600 2,264
----------
17,813
Materials & Processing - 5.0%
Bowater, Inc. 50,300 2,226
Cabot Corp. 54,100 2,570
Domtar, Inc. (b) 48,700 444
Illinois Central Corp. 59,200 2,264
Praxair, Inc. 70,900 1,914
----------
9,418
Technology - 29.2%
Applied Materials (b) 44,000 2,206
Cabletron Systems, Inc. (b) 41,700 3,279
Cadence Designs Systems, Inc. (b) 91,200 2,941
Ceridian Corp. (b) 77,200 3,358
Computer Associates International, Inc. 59,000 3,245
Credence Systemsco (b) 63,500 2,373
Cypress Semiconductor Corp. (b) 52,600 1,868
DSC Communications (b) 54,800 2,028
Harris Corp. 34,900 2,029
Integrated Device Tech, Inc. (b) 5,500 105
KLA Instruments Corp. (b) 62,600 2,676
Lam Research Corp. (b) 45,600 2,776
Loral Corp. 105,400 3,122
McDonnell Douglas 33,400 2,730
National Semiconductor (b) 74,600 1,818
Netmanage, Inc. (b) 87,600 1,785
Oracle Systems Corp. (b) 63,600 2,775
Parametric Technology Corp. (b) 41,000 2,742
Read-Rite Corp. (b) 65,500 2,284
S3, Inc. (b) 156,800 2,685
Softkey International (b) 22,500 709
Sun Microsystem, Inc. (b) 43,500 3,393
Teradyne, Inc. (b) 76,800 2,563
----------
55,490
Utilities - 1.4%
Frontier Corp. 100,100 2,703
----------
Total Common Stocks 176,178
==========
(Cost $131,818)
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Short-Term Instruments - 7.0%
- --------------------------------------------------------------------------------
Principal
Amount
(000's)
<S> <C> <C>
Repurchase Agreement - 7.0%
State Street Bank $ 13,417 13,417
4.500% due 11/01/95
(Dated 10/31/95. Collateralized by
U.S. Treasury Bond 11.250% due
02/15/15 valued at $13,686,178.
Repurchase proceeds are $13,418,677.)
----------
Total Short-Term Instruments 13,417
==========
(Cost $13,417)
Total Investments (a) - 99.7% $ 189,595
(Cost $145,235)
Other Assets and Liabilities (Net) - 0.3% 617
----------
Net Assets - 100.0% $ 190,212
==========
</TABLE>
35
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Cadence Mid Cap Growth Fund
October 31, 1995
<TABLE>
<S> <C>
Notes to Schedule of Investments ($ in thousands):
(a) At October 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 46,656
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (2,296)
----------
Unrealized appreciation-net $ 44,360
==========
(b) Non-income producing security.
</TABLE>
See Notes to Financial Statements
36
<PAGE>
SCHEDULE OF INVESTMENTS
Cadence Micro Cap Growth Fund
October 31, 1995
20.1% Financial & Business Services
29.5% Technology
1.2% Energy
3.5% Consumer Services
4.0% Consumer Staples
13.4% Capital Goods
9.8% Health Care
8.2% Short-Term Instruments
6.3% Consumer Discretionary
4.8% Materials & Processing
<TABLE>
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
Common Stocks - 92.6%
- --------------------------------------------------------------------------------
<S> <C> <C>
Capital Goods - 13.4%
Helix Technology 28,500 $ 1,069
Hughes Supply, Inc. 50,400 1,216
Interpool, Inc. (b) 71,900 1,150
NCI Building Systems, Inc. (b) 62,750 1,459
Shelter Components Corp. 98,750 1,506
Tech-Sym Corp. (b) 47,800 1,416
Watsco, Inc. "A" 92,750 1,542
----------
9,358
Consumer Discretionary - 6.3%
Culp, Inc. 107,550 1,049
Custom Chrome, Inc. (b) 54,500 1,369
Holophane Corp. (b) 40,100 1,083
Varsity Spirit Corp. 59,075 871
----------
4,372
Consumer Services - 3.5%
Aaron Rents, Inc. "B" 41,500 747
Penn National Gaming, Inc. (b) 37,500 638
Reeds Jewelers, Inc. (b) 37,400 393
Urban Outfitters, Inc. (b) 31,700 689
----------
2,467
Consumer Staples - 4.0%
Alpine Lace Brands, Inc. (b) 128,700 1,418
Morningstar Group, Inc. (b) 102,400 793
Rocky Mountain Chocolate Factory (b) 38,000 570
----------
2,781
Energy - 1.2%
ICO, Inc. 177,200 842
----------
Financial & Business Services - 20.1%
Aames Financial Corp. 51,600 1,290
Bank of New Hampshire Corp. 33,900 1,220
Carolina First Corp. 33,545 495
Charter Bancshares, Inc. 39,480 721
Chittenden Corp. 60,944 1,661
Community First Bankshares 75,400 1,527
Graphic Industries 112,700 1,099
Pioneer Financial Services, Inc. 94,200 1,319
Provident Bankshares Corp. 45,790 1,396
Right Management Consultants (b) 55,600 1,730
Vermont Financial Services Corp. 48,500 1,540
----------
13,998
Health Care - 9.8%
Conmed Corp. (b) 51,900 1,817
Corvel Corp. (b) 44,500 1,424
Inphynet Medical Management (b) 45,500 819
Rotech Medical Corp. (b) 32,100 730
Sterling Healthcare Group (b) 60,900 837
Vitalink Pharmacy Service (b) 61,200 1,102
Watson Pharmaceutical, Inc. (b) 2,000 89
----------
6,818
Materials & Processing - 4.8%
Castle (A.M.) & Co. 77,000 1,877
Roanoke Electric Steel Corp. 96,550 1,472
----------
3,349
Technology - 29.5%
Altron, Inc. (b) 58,550 1,683
Aseco Corp. (b) 74,900 1,367
Bel Fuse, Inc. (b) 78,300 881
Compucom Systems, Inc. (b) 144,500 975
Credence Systems Co. (b) 44,050 1,646
Electro Scientific Industries (b) 42,500 1,317
Emulex Corp. (b) 31,600 514
Gelman Sciences, Inc. (b) 77,650 1,660
Ikos Systems, Inc. (b) 119,800 1,408
International Remote Imaging Systems (b) 6,800 48
Microcom, Inc. (b) 88,700 1,940
Microdyne Corp. (b) 49,400 1,371
TCSI Corp. (b) 77,500 1,162
Tencor Instruments (b) 26,200 1,117
Tylan General, Inc. 49,600 794
United Video Satellite (b) 43,500 1,120
Xylogics, Inc. (b) 23,300 1,611
----------
20,614
----------
Total Common Stocks 64,599
(Cost $50,374) ==========
<CAPTION>
- --------------------------------------------------------------------------------
Short-Term Instruments - 8.3%
- --------------------------------------------------------------------------------
Principal
Amount
(000's)
<S> <C> <C>
Repurchase Agreement - 8.3%
State Street Bank $ 5,793 5,793
4.500% due 11/01/95
(Dated 10/31/95. Collateralized by
U.S. Treasury Bond 11.250% due 02/15/15
valued at $5,914,748. Repurchase
proceeds are $5,793,724.)
----------
Total Short-Term Instruments 5,793
(Cost $5,793) ==========
Total Investments (a) - 100.9% $ 70,392
(Cost $56,167)
Other Assets and Liabilities (Net) - (0.9)% (617)
----------
Net Assets - 100.0% $ 69,775
==========
Notes to Schedule of Investments ($ in thousands):
(a) At October 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 15,458
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (1,233)
----------
Unrealized appreciation-net $ 44,225
==========
(b) Non-income producing security.
</TABLE>
See Notes to Financial Statements
37
<PAGE>
SCHEDULE OF INVESTMENTS
Cadence Small Cap Growth Fund
October 31, 1995
26.7% Financial & Business Services
1.1% Consumer Services
5.4% Materials & Processing
9.0% Health Care
25.6% Technology
14.3% Capital Goods
11.8% Short-Term Instruments
9.0% Consumer Discretionary
<TABLE>
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
Common Stocks - 91.1%
- --------------------------------------------------------------------------------
<S> <C> <C>
Capital Goods - 14.3%
AGCO Corp. 28,100 $ 1,257
Blount, Inc. "A" 21,500 932
Helix Technology 21,700 814
IDEX Corp. 28,150 1,063
Methode Electronics "A" 47,200 1,085
Roper Industries, Inc. 29,400 1,066
Smith (A.O.) Corp. 27,800 577
Standex International Corp. 34,100 1,117
United Waste Systems, Inc. (b) 33,500 1,323
Watkins-Johnson Co. 29,500 1,420
----------
10,654
Consumer Discretionary - 9.0%
Anthony Industries, Inc. 45,800 853
First Alert, Inc. (b) 55,500 860
Lo-Jack Corp. (b) 61,900 960
Rex Stores Co. (b) 54,700 930
St. John Knits, Inc. 26,600 1,274
Toro Co. 30,100 869
United Television, Inc. (b) 11,500 980
----------
6,726
Consumer Services - 1.1%
Gilat Satellite Networks Limited (b) 36,100 803
----------
Financial & Business Services - 26.7%
Allied Group, Inc. 28,400 923
American Travellers Co. (b) 49,200 1,101
Associated Banc-Corp. 24,350 919
Capital Re Corp. 39,000 1,102
Centura Banks, Inc. 23,800 803
City National Corp. 39,200 519
Colonial Bancgroup, Inc. 11,200 323
Devon Group, Inc. (b) 17,800 694
Executive Risk, Inc. 38,800 853
First Midwest Bancorp, Inc. 10,700 300
Green Tree Financial Corp. 53,900 1,435
Harleysville Group, Inc. 15,400 424
HCC Insurance Holdings, Inc. (b) 29,700 1,032
MMI Companies, Inc. 33,900 759
National Re Corp. 25,000 841
Penncorp Financial Group, Inc. 42,000 1,003
Protective Life Corp. 41,900 1,194
PXRE Corp. 32,200 821
Reinsurance Group of America 22,200 763
Selective Insurance Group 23,100 860
The Money Store 19,800 792
Trenwick Group, Inc. 13,900 695
UST Corp. 57,900 789
Vesta Insurance Group, Inc. 23,100 933
----------
19,878
Health Care - 9.0%
Conmed Corp. (b) 13,300 466
Inphynet Medical Management (b) 43,300 779
Orthodontic Centers of America, Inc. (b) 26,600 851
Physician Reliance Network (b) 23,600 785
Rotech Medical Corp. (b) 33,900 771
Universal Health Services, Inc. (b) 27,800 1,043
Vital Signs, Inc. 39,900 728
Watson Pharmaceutical, Inc. (b) 28,800 1,285
----------
6,708
Materials & Processing - 5.4%
Amcol International Corp. 49,600 837
Intertape Polymer Group, Inc. 27,300 792
Medusa Corp. 29,700 742
Mueller Industries, Inc. (b) 33,600 790
Titan Wheel International, Inc. 59,375 861
----------
4,022
Technology - 25.6%
Altron, Inc. (b) 29,400 845
Atmel Corp. (b) 35,100 1,097
Brightpoint, Inc. (b) 43,300 823
Cypress Semiconductor Corp. (b) 20,300 717
Esterline Technologies (b) 19,500 451
Frame Technology Corp. (b) 32,200 906
FSI International, Inc. (b) 31,000 736
Global Village Communication (b) 18,500 319
Hutchinson Technology (b) 14,200 898
KLA Instruments Corp. (b) 32,800 1,402
Kulicke & Soffa Industries (b) 32,300 1,131
Lattice Semiconductor Corp. (b) 26,600 1,044
LSI Logic Corp. (b) 24,000 1,131
LTX Corp. (b) 21,800 269
Network Equipment Tech, Inc. (b) 38,300 1,250
Rational Software Corp. (b) 46,400 725
Sanmina Corp. (b) 28,200 1,523
Sierra Semiconductor Corp. (b) 45,900 820
Silicon Valley Group, Inc. (b) 31,500 1,020
Tencor Instruments (b) 24,500 1,044
Wyle Labs 22,100 942
----------
19,093
----------
Total Common Stocks 67,884
(Cost $51,566) ==========
<CAPTION>
- --------------------------------------------------------------------------------
Short-Term Instruments - 11.8%
- --------------------------------------------------------------------------------
Principal
Amount
(000's)
<S> <C> <C>
Repurchase Agreement - 11.8%
State Street Bank $ 8,771 8,771
4.500% due 11/01/95
(Dated 10/31/95. Collateralized by
U.S. Treasury Note 11.250%
due 02/15/15 valued at $8,946,546.
Repurchase proceeds are $8,772,096.)
----------
Total Short-Term Instruments 8,771
(Cost $8,771) ==========
Total Investments (a) - 102.9% $ 76,655
(Cost $60,337)
Other Assets and Liabilities (Net) - (2.9)% (2,134)
----------
Net Assets - 100.0% $ 74,521
==========
Notes to Schedule of Investments ($ in thousands):
(a) At October 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 17,359
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (1,041)
----------
Unrealized appreciation-net $ 16,318
==========
(b) Non-income producing security.
</TABLE>
See Notes to Financial Statements
38
<PAGE>
SCHEDULE OF INVESTMENTS
Columbus Circle Investors Core Equity Fund
October 31, 1995
14.7% Short-Term Instruments
16.7% Health Care
21.7% Technology
4.0% Other
3.6% Energy
12.9% Consumer Discretionary
9.8% Financial & Business Staples
7.9% Consumer Staples
6.6% Utilities
<TABLE>
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
Common Stocks - 83.2%
- --------------------------------------------------------------------------------
<S> <C> <C>
Capital Goods - 1.4%
Deere & Co. 5,200 $ 465
----------
465
Consumer Discretionary - 12.9%
Capital Cities ABC 4,100 486
Disney (Walt) Productions 8,900 513
Federated Department Stores, Inc. (b) 15,500 393
General Motors `H' 6,200 260
Kroger Co. (b) 8,900 297
Liberty Media Group `A' (b) 11,300 278
Mirage Resorts (b) 13,400 439
Office Depot, Inc. 15,400 441
Price Costco 19,200 327
Viacom, Inc. `B' (b) 14,800 740
----------
4,174
Consumer Staples - 7.9%
Black & Decker Corp. 18,100 613
Kimberly Clark Corp. 13,600 988
Pepsico 20,300 961
----------
2,562
Energy - 3.6%
Amoco Corp. 9,600 613
British Petroleum - ADR 3,369 297
Schlumberger Limited 4,200 262
----------
1,172
Financial & Business Services - 9.8%
American Express 14,400 585
American International Group, Inc. 7,450 629
Bank of New York 9,200 386
Chemical Banking Corp. 10,000 569
Cigna Corp. 4,600 456
Green Tree Financial Corp. 20,200 538
----------
3,163
Health Care - 16.7%
Amgen, Inc. (b) 8,800 422
Boston Scientific Corp. (b) 13,600 573
Columbia HCA Healthcare Corp. 18,680 917
Johnson & Johnson 10,400 848
Medtronic, Inc. 16,000 924
Merck & Co, Inc. 15,600 897
Smithkline Beecham - ADR 9,500 493
Upjohn Co. 6,800 345
----------
5,419
Materials & Processing - 2.6%
Champion International Corp. 8,000 428
Georgia-Pacific Corp. 5,000 413
----------
841
Technology - 21.7%
Applied Materials (b) 9,200 461
Atmel Corp. (b) 14,500 453
Broderbund Software, Inc. (b) 5,600 389
Cisco Systems (b) 11,600 899
Computer Associates International, Inc. 12,650 696
Ericsson (LM) - ADR 27,400 585
First Data Corp. 7,200 476
General Motors `E' 12,300 580
Informix Corp. (b) 10,000 291
KLA Instruments Corp. (b) 9,800 419
LSI Logic Corp. (b) 7,400 349
Microsoft Corp. (b) 7,700 770
Nokia Corp. - ADR 4,400 245
Oracle Systems Corp. (b) 10,050 438
----------
7,051
Utilities - 6.6%
A T & T Corp. 7,100 454
Airtouch Communications, Inc. (b) 14,100 402
MCI Communications Corp. 24,430 748
Vodafone Group 13,100 535
----------
2,139
----------
Total Common Stocks 26,986
(Cost $24,547) ==========
<CAPTION>
- --------------------------------------------------------------------------------
Short-Term Instruments - 14.7%
- --------------------------------------------------------------------------------
Principal
Amount
(000's)
<S> <C> <C>
Repurchase Agreement - 14.7%
State Street Bank $ 4,775 $ 4,775
4.500% due 11/01/95
(Dated 10/31/95. Collateralized by
U.S. Treasury Note 6.500% due
04/30/97 valued at $4,870,673.
Repurchase proceeds are $4,775,597.)
----------
Total Short-Term Instruments 4,775
(Cost $4,775) ==========
Total Investments (a) - 97.9% $ 31,761
(Cost $29,322)
Written Option (c) - 0.0% (1)
(Premiums $2)
Other Assets and Liabilities (Net) - 2.1% 676
----------
Net Assets - 100.0% $ 32,436
==========
Notes to Schedule of Investments ($ in thousands):
(a) At October 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 2,896
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (457)
----------
Unrealized appreciation-net $ 2,439
==========
(b) Non-income producing security.
(c) Premium received on Written Call Option:
<CAPTION>
Premium Market
Type Shares Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Amgen, Inc.
Strike @ 50.00 Exp. 11/95 800 $ 2 $ 1
</TABLE>
See Notes to Financial Statements
39
<PAGE>
SCHEDULE OF INVESTMENTS
Columbus Circle Investors Mid Cap Equity Fund
October 31, 1995
18.6% Consumer Discretionary
19.4% Technology
22.6% Consumer Services
1.9% Other
10.0% Financial & Business Services
8.6% Short-Term Instruments
8.5% Health Care
8.0% Materials & Processing
1.7% Capital Goods
<TABLE>
<CAPTION>
Value
Shares (000's)
<S> <C> <C>
- --------------------------------------------------------------------------------
Common Stocks - 90.7%
- --------------------------------------------------------------------------------
Capital Goods - 1.7%
Case Corp. 3,800 $ 145
----------
Consumer Discretionary - 18.6%
Baby Superstore 1,700 80
Boston Chicken (b) 11,700 396
CompUSA, Inc. (b) 1,000 38
Diebold, Inc. 5,400 286
Gucci, Inc. 3,500 105
Harley Davidson, Inc. 9,400 251
Liz Claiborne, Inc. 3,300 94
Officemax, Inc. (b) 8,350 207
Premisys Communications 200 18
Warnaco Group, Inc. "A" 3,500 81
----------
1,556
Consumer Services - 22.6%
Clear Channel Communications 1,500 123
DST Systems 1,100 23
Fiserv, Inc. (b) 5,200 134
Gartner Group, Inc. (b) 4,000 175
General Nutrition Cos, Inc. (b) 11,400 284
Gtech Holdings Corp. 3,400 83
HFS, Inc. (b) 6,100 374
Hollywood Entertainment 1,400 37
Paging Network, Inc. 5,400 124
Peoplesoft, Inc. 2,000 172
Petsmart, Inc. (b) 3,900 131
Scholastic Corp. 1,600 99
Starbucks Corp. 3,200 125
----------
1,884
Energy - 1.0%
Ucar International, Inc. 2,900 83
----------
Financial & Business Services - 10.0%
American Re Corp. 2,900 111
Countrywide Credit Industries, Inc. 8,300 184
Mid Ocean Limited 2,700 96
PMI Group, Inc. 3,300 158
Prudential Reinsurance Holdings 10,900 222
Symantec Corp. (b) 2,700 65
----------
836
Health Care - 8.5%
Guidant Corp. 11,400 365
Healthsouth Corp. (b) 4,000 104
Lincare Holdings, Inc. (b) 4,900 122
Mylan Laboratories 6,150 117
----------
708
Materials & Processing - 8.0%
Bowater, Inc. 3,600 159
James River Corp. 7,100 228
Millipore Corp. 1,800 64
Potash Corp. of Saskatchewan 2,200 153
Praxair, Inc. 2,400 65
----------
669
Technology - 19.4%
AVX Corp. 5,000 156
Broderbund Software, Inc. (b) 1,400 97
Dell Computer Corp., Inc. (b) 4,600 214
KLA Instruments Corp. (b) 4,400 188
Madge Networks NV (b) 900 38
Memc Electronics 2,700 87
Millicom International Cellular (b) 2,800 93
Qualcomm, Inc. (b) 5,100 196
Tellabs, Inc. 4,500 153
Teradyne, Inc. (b) 6,300 210
Vishay Intertechnology, Inc. 5,370 188
----------
1,620
Utilities - 0.9%
MFS Communications Co., Inc. (b) 1,900 77
----------
Total Common Stocks 7,578
==========
(Cost $6,525)
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Short-Term Instruments - 8.6%
- --------------------------------------------------------------------------------
Principal
Amount
(000's)
<S> <C> <C>
Repurchase Agreement - 8.6%
State Street Bank $ 720 720
4.500% due 11/01/95
(Dated 10/31/95. Collateralized by
U.S. Treasury Bond 11.250% due 02/15/15
valued at $738,441. Repurchase
proceeds are $720,090.)
----------
Total Short-Term Instruments 720
==========
(Cost $720)
Total Investments (a) - 99.3% $ 8,298
(Cost $7,245)
Other Assets and Liabilities (Net) - 0.7% 59
----------
Net Assets - 100.0% $ 8,357
==========
Notes to Schedule of Investments ($ in thousands):
(a) At October 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 1,220
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (167)
----------
Unrealized appreciation-net $ 1,053
==========
(b) Non-income producing security.
</TABLE>
See Notes to Financial Statements
40
<PAGE>
SCHEDULE OF INVESTMENTS
Parametric Enhanced Equity Fund
October 31, 1995
15.1% Utilities
15.9% Consumer Discretionary
16.3% Financial & Business Services
3.4% Capital Goods
0.7% Other
14.6% Technology
12.0% Consumer Staples
11.5% Health Care
6.9% Energy
3.5% Materials & Processing
<TABLE>
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
Common Stocks - 99.8%
- --------------------------------------------------------------------------------
<S> <C> <C>
Capital Goods - 3.4%
Allied Signal, Inc. 10,492 $ 446
Caterpillar, Inc. 1,800 101
Cummins Engine, Inc. 3,700 130
Emerson Electric Co. 2,600 185
General Electric 3,600 228
Grainger (W.W.), Inc. 6,000 375
Illinois Tool Works 4,600 267
Ingersoll Rand Co. 6,400 227
Northrop Grumman Corp. 6,400 366
Paccar, Inc. 30 1
Potlatch Corp. 4,700 198
----------
2,524
Consumer Discretionary - 15.9%
Albertson's, Inc. 17,837 593
Briggs & Stratton Co. 6,400 258
Cooper Tire & Rubber Corp. 13,600 314
Crown Cork & Seal (b) 9,600 335
Dana Corp. 12,100 310
Dial Corp. 11,800 287
Dillard Department Stores 5,200 141
Echlin, Inc. 13,000 465
Fleming Cos., Inc. 3,293 75
Fluor Corp. 5,677 321
FMC Corp. 3,400 243
Genuine Parts Co. 3,900 155
Giant Foods, Inc. 4,300 138
Gillette Co. 3,700 179
Harland John H Co. 63 1
Home Depot, Inc. 14,900 555
International Flavors & Fragrances 4,600 222
Kroger Co. (b) 13,700 457
Limited, Inc. 14,300 263
Liz Claiborne, Inc. 8,600 244
Lowes Co. 4,000 108
McDonalds Corp. 6,800 279
Minnesota Mining & Manufacturing Co. 6,000 341
Nike, Inc. 12,800 726
Premark International, Inc. 1,800 83
Procter & Gamble Co. 10,248 830
Ralston-Purina Group 1 0
Reebok International Limited 8,300 282
Seagrams Limited 7,700 277
SPX Corp. 3,800 59
Stride Rite Corp. 7,900 89
Toys R Us (b) 8,300 182
Unilever N V 2,500 328
UST, Inc. 14,500 435
VF Corp. 3,200 153
Wal-Mart Stores, Inc. 25,600 554
Walgreen Co. 7,323 209
Walt Disney Productions 14,100 813
Wendys International, Inc. 5,800 115
Winn Dixie Stores 5,700 371
----------
11,790
Consumer Staples - 12.0%
American Brands, Inc. 5,400 231
Amern Stores Co. 5,600 167
Anheuser Busch 9,000 594
Archer-Daniel Midland 6,634 107
Campbell Soup Co. 10,000 524
CBS, Inc. 4,400 355
Coca-Cola Co. 16,000 1,150
Colgate Palmolive 700 48
Conagra 13,675 528
CPC International, Inc. 5,300 352
CUC International, Inc. (b) 2,150 75
General Mills, Inc. 2,300 132
H.J. Heinz Co. 1,900 89
Harrah's Entertainment, Inc. (b) 11,100 276
Kellog Co. 4,254 307
Kimberly Clark Corp. 7,500 544
King World Productions 8,500 296
Mattel, Inc. 21,600 621
Pepsico 17,400 918
Philip Morris Co, Inc. 10,700 904
Quaker Oats Co. 3,665 125
Sara Lee Corp. 9,500 279
Sysco Corp. 5,400 164
Wrigley William Jr Co. 2,600 121
----------
8,907
Energy - 6.9%
Amoco Corp. 8,400 537
Atlantic Richfield 2,200 235
Chevron Corp. 9,900 463
Exxon Corp. 14,300 1,092
Mobil Corp. 6,661 671
Phillips Petroleum Co. 12,400 400
Royal Dutch Petrol Guilder 7,300 897
Schlumberger Limited 3,100 193
Texaco, Inc. 7,668 522
Unocal Corp. 3,429 90
----------
5,100
Financial & Business Services - 16.3%
American International Group, Inc. 7,137 602
Banc One Corp. 14,080 475
Bank of Boston Corp. 3,500 155
Bankamerica Corp. 12,700 730
Bankers Trust NY Corp. 3,384 216
Barnett Banks of Florida 5,600 309
Chase Manhattan Corp. 1,800 103
Chemical Banking Corp. 12,111 689
Chubb Corp. 4,500 404
Cigna Corp. 1,300 129
Citicorp 13,983 907
Federal National Mortgage Association 9,600 1,007
First Fidelity 6,300 412
First Union Corp. 8,100 402
Fleet Financial Group, Inc. 11,900 461
General Re Corp. 2,400 348
Golden West Financial Corp. 9,200 461
H & R Block 7,100 293
Jefferson Pilot Corp. 5,100 337
Merrill Lynch Co. 1,700 94
Morgan J.P. and Co., Inc. 4,158 321
Nations Bank Corp. 7,966 524
NBD Bancorp 7,650 291
Norwest Corp. 19,270 568
Safeco Corp. 4,100 263
St Paul Cos., Inc. 6,200 315
Suntrust Banks, Inc. 8,600 555
Wachovia Corp. 4,400 194
Wells Fargo & Co. 2,261 475
----------
12,040
Health Care - 11.5%
Abbott Laboratories 17,700 703
American Home Products 4,100 363
Amgen, Inc. (b) 4,300 206
Becton Dickinson 4,100 267
Beverly Enterprises 8,400 99
</TABLE>
41
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Parametric Enhanced Equity Fund
October 31, 1995
<TABLE>
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Bristol Myers Squibb 5,200 $ 396
Johnson & Johnson 11,800 962
Lilly Eli & Co. 2,400 232
Manor Care, Inc. 3,900 128
Medtronic, Inc. 18,000 1,040
Merck & Co, Inc. 15,100 868
Pfizer, Inc. 13,400 769
Schering-Plough 13,000 697
Shared Medical Systems Corp. 2,800 108
St Jude Medical Enterprise, Inc. 8,700 463
United Healthcare Corp. 8,500 452
U.S. Health Care Systems, Inc. 7,400 285
Warner Lambert Co. 5,700 485
----------
8,523
Materials & Processing - 3.5%
Barrick Gold Corp. 3,500 81
duPont (E.I.) deNemours 6,400 399
Engelhard Corp. 3,450 86
First Mississippi 1,700 35
First Mississippi Gold, Inc. (b) 1,204 22
Great Lakes Chemical 4,300 289
Hercules, Inc. 2,300 123
International Paper 7,946 294
Louisiana Pacific Corp. 9,400 224
Morton International 8,400 256
NUCOR Corp. 6,300 303
Pall Corp. 6,255 152
Union Carbide Corp. 5,200 197
Worthington Industries, Inc. 9,400 156
----------
2,617
Technology - 14.6%
Advanced Micro Devices 19,200 459
Andrew Corp. (b) 9,650 408
Applied Materials (b) 4,600 231
Autodesk, Inc. 5,400 184
Automatic Data Processing 6,700 479
Cabletron Systems, Inc. (b) 2,200 173
Compaq Computer Corp. (b) 13,600 758
Computer Associates International, Inc. 3,350 184
DSC Communications (b) 10,900 403
General Dynamics Corp. 6,600 365
Honeywell, Inc. 2,400 101
Intel Corp. 17,000 1,188
IBM Corp. 3,600 350
Loral Corp. 20,200 598
McDonnell Douglas 10,300 842
Micron Technlogy, Inc. 4,500 318
Microsoft Corp. (b) 10,600 1,060
Motorola 7,580 497
National Semiconductor (b) 3,300 80
Northern Telecom Limited 2,300 83
Novell, Inc. (b) 16,700 276
Oracle Systems Corp. (b) 17,350 757
Raytheon Co. 11,600 506
Service Corp. International 3,700 148
Tektronix 2,700 160
Texas Instruments, Inc. 1,500 102
WMX Technologies 4,323 122
----------
10,832
Transportation - 0.6%
Consolidated Freightways, Inc. 4,200 98
Norfolk Southern 2,500 193
Southwest Airlines 6,800 136
----------
427
Utilities - 15.1%
American Electric Power, Inc. 6,161 235
Ameritech 9,233 499
Baltimore Gas & Electric 8,184 219
Bell Atlantic Corp. 4,341 276
Bell South 5,235 401
Carolina Power and Lighting 9,664 316
Central & South West 10,500 281
Coastal Corp. 12,900 418
Consolidated Edison Co. 8,200 249
Consolidated Natural Gas 5,071 193
Detroit Edison Co. 11,700 395
Dominion Resources, Inc. 6,050 240
Duke Power Co. 8,151 365
Enron Corp. 15,300 526
Entergy Corp. 6,900 197
FPL Group, Inc. 5,732 240
GTE Corp. 13,477 556
Houston Industry, Inc. 5,847 271
MCI Communications Corp. 14,000 349
Nicor, Inc. 8,281 223
Northern States Power Co. 3,200 151
Nynex Corp. 3,506 165
Ohio Edison Co. 9,631 220
ONEOK, Inc. 7,300 178
Pacific Gas & Electric 8,400 247
Pacific Telesis 9,262 281
Pacificorp (Oregon) 46 1
Peco Energy Co. 14,291 418
Peoples Energy Corp. 7,100 204
Public Service Enterprise 6,735 198
SBC Communications 15,309 855
Sonat, Inc. 6,600 190
Southern Co. 16,360 391
Sprint Corp. 10,682 411
U S West Communications Group 7,332 349
Unicom Corp. 3,000 98
Union Electric Co. 5,800 226
Williams Cos. 2,600 100
----------
11,132
----------
Total Common Stocks $ 73,892
==========
(Cost $59,318)
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Short-Term Instruments - 0.1%
- --------------------------------------------------------------------------------
Principal
Amount
(000's)
<S> <C> <C>
Repurchase Agreement - 0.1%
State Street Bank $ 63 63
5.875% due 11/01/95
(Dated 10/31/95. Collateralized by
U.S. Treasury Bill 0.000% due 05/31/96
valued at $63,728. Repurchase
proceeds are $63,008.)
----------
Total Short-Term Instruments 63
==========
(Cost $63)
Total Investments (a) - 99.9% $ 73,955
(Cost $59,381)
Other Assets and Liabilities (Net) - 0.1% 44
----------
Net Assets - 100.0% $ 73,999
==========
</TABLE>
42
<PAGE>
<TABLE>
<S> <C>
Notes to Schedule of Investments ($ in thousands):
(a) At October 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 15,937
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (1,363)
----------
Unrealized appreciation-net $ 14,574
==========
(b) Non-income producing security.
</TABLE>
See Notes to Financial Statements
43
<PAGE>
SCHEDULE OF INVESTMENTS
Blairlogie Emerging Markets Fund
October 31, 1995
16.5% Malaysia
19.4% Other
4.1% Indonesia
4.2% South Korea
4.6% Thailand
13.3% Brazil [PIE CHART APPEARS HERE]
9.2% South Africa
7.4% India
7.1% Chile
5.1% Israel
5.0% Mexico
<TABLE>
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
Common Stocks - 95.9%
- --------------------------------------------------------------------------------
<S> <C> <C>
Argentina - 2.9%
Astra Cia Argentina 83,000 $ 123
Baesa Embotellador - ADS 4,800 110
Banco Frances Del Rio 15,100 110
Banco Galicia 32,300 152
Central Puerto SA 46,100 140
Compania Naviera Perez Co - ADR 25,023 219
Inversiones y Representaciones - GDR (b) 5,000 105
Molinos Rio De La Plata 18,550 116
Telefonica De Argentina - ADR 24,700 513
YPF Sociedad Anonima - ADR 32,100 550
----------
2,138
Brazil (d) - 13.3%
Aracruz Celulose SA PNB 229,622 432
Banco Bradesco 138,860 1,271
Brasmotor SA 2,177 509
Centrais Eletrobras 5,126 1,461
Cia Energetica Minas Ger 23,030 493
Cia Paulista De Forca E 12,592 621
Cia Vale Do Rio Doce 9,967 1,607
Lojas Americanas SA 20,934 501
Paranapanema SA Mineraca 36,456 419
Petrol Brasileiros 5,602 484
Telecomunicacoes Brasileiras - ADR 39,900 1,608
Usinas Siderurgicas Mina 527,194 493
----------
9,899
Chile - 7.1%
Compania De Telefonos Chile - ADR 16,884 1,216
Empresa Nacional De Electric - ADR 37,700 810
Enersis - ADR 21,400 538
Madeco SA - ADR 57,000 1,418
Sociedad Quimica y Minera Chile 29,750 1,290
----------
5,272
Colombia - 2.6%
Carulla - ADR 34,560 272
Cementos Diamante SA - ADR (c) 40,300 705
Banco Industries Colombiano - ADR 71,700 977
----------
1,954
India - 7.4%
Bajai Auto - GDR 15,570 419
East India Hotels - GDR (b) 24,260 437
Grasim Industries 23,000 512
Gujarat Narmada VA - GDR (b) 2,360 18
Gujarat Narmada VA - GDR (b) 42,500 324
Hindalco Industries 19,620 625
Indian Rayon & Inds - GDR (c) 39,050 478
Jardine Fleming India Fund 66,890 594
Larsen & Tourbro Limited - (c) 36,780 666
Oryx (India) Fund Limited (b) 5,030 277
Oryx (India) Shares Fund (b) 10,800 116
Reliance Industries - GDS (c) 38,320 604
South Indian Viscose Warrants (b) 11,260 1
Tata Engineering & Loco Co. - GDR 20,140 422
----------
5,493
Indonesia - 4.1%
Astra International 395,900 793
Bank International Indonesia 190,500 667
Indah Kiat Paper Pulp 244,736 240
Indo Foods Sukses Makmur 87,000 402
P.T. Semen Gresik 220,500 573
United Tractors 186,500 369
----------
3,044
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Israel - 5.1%
Africa Israel Investments (b) 420 $ 509
Bank Hapoalim Bm 252,300 390
Bezek 143,450 386
Blue Square Chain Stores (b) 70,000 448
Koor Industries 6,390 551
Orbotech (b) 29,800 386
Osem Investment 91,136 576
Teva Pharmaceutical - ADR 14,700 577
----------
3,823
Malaysia - 16.5%
Arab Malaysian Finance Rights 208,000 139
DCB Holdings Berhad 549,000 1,556
Genting Berhad 75,500 651
Land & General Holdings 375,000 871
Leader Universal Holdings 194,333 524
Malaysian Banking Berhad 167,000 1,348
RJ Reynolds Berhad 386,000 790
Road Builder (M) Holdings Berhad 219,400 678
Sungei Way Holdings Berhad 161,000 542
Technology Resources Industries (b) 429,000 1,089
Telekom Malaysia 271,000 1,942
UMW Holdings Berhad 404,866 964
United Engineers 191,000 1,188
----------
12,282
Mexico - 5.0%
Cemex SA - ADS (b)(c) 50,000 152
Cifra SA "B" 288,980 312
Grupo Financiero Banamex 314,000 458
Grupo Mexico SA (b) 36,260 152
Grupo Televisa - GDS 10,810 185
Kimberly Clark "A" 34,700 457
Telefonos De Mexico - ADR 52,750 1,451
Tubos De Acero De Mexico (b) 77,500 534
----------
3,701
Pakistan (d) - 0.5%
Dewan Salman Fibre (b) 3,700 8
Dewan Salman Rights (b) 10,263 0
Dg Kahn Cement (b) 194,100 213
Fauji Fertilizer Co 37,400 60
Pakistan State Oil 6,700 71
----------
352
Peru (d) - 2.3%
Credicorp 22,162 351
Compaina Peruana De Telefonos "B" 471,138 870
Minsur Sa 68,000 465
----------
1,686
Poland - 1.8%
Argos Holdings (b) 23,000 239
Bank Rozwoju Eksportu (b) 20,000 311
Debica (b) 23,000 318
Elektrim 85,331 285
Polifarb (b) 56,000 207
----------
1,360
Portugal - 0.8%
Cimpor Cimentos 6,010 98
Investec (b) 4,900 91
Jeronimo Martins 1,990 106
Portugal Telecom 7,500 142
Sonae Investmentos 5,750 132
----------
569
</TABLE>
44
<PAGE>
<TABLE>
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
South Africa - 9.2%
Barlow Limited 67,480 $ 869
De Beers Centenary 31,630 874
Gencor 216,810 761
Liberty Life Association of Africa 15,500 403
Murray Roberts Holdings 120,330 841
Nedcor 57,600 821
Nedcor Warrants (b) 14,400 48
Rembrandt Group 86,440 788
Smith C.G. Limited 97,830 637
South African Breweries 25,000 821
----------
6,863
South Korea - 4.2%
Cho Hung Bank 33,306 440
Korea Electric Power 22,600 931
Korea Kumho Petrochemica 37,600 484
Pohang Iron & Steel - ADR 4,900 126
Pohang Iron & Steel Co (b) 580 51
Samsung Co - GDS (c) 15,850 182
Samsung Co (c) 1,172 13
Samsung Heavy Industries (b) 29,500 898
Ssangyong Oil Refining 185,000 195
----------
3,125
Sri Lanka - 1.4%
Aitken Spence & Co. 75,900 296
Development Finance Corp. of Ceylon 38,933 230
Hatton National Bank (b) 21,700 212
Keells (John) Holdings 56,700 189
Lanka Walltiles 106,800 113
----------
1,040
Thailand - 4.6%
Advanced Information Service 67,500 1,073
Bangkok Bank Public Co 113,900 1,177
Krung Thai Bank Public Co Limited 117,200 467
Thai Farmers Bank Public 85,700 708
----------
3,425
Turkey - 4.1%
Adana Cimento 766,000 164
Adana Cimento Bonus Issue (b) 306,400 66
Adana Cimento Rights Issue (b) 766,000 149
Akaltekstil 2,070,000 266
Akbank 992,000 261
Arcelik 2,073,000 343
Bagfas Bandirma Gubre 836,000 407
Brisa Bridgestone Sabanc 959,000 290
Erciyas Biracilik 465,000 295
Migros Turk Tas 426,000 490
Netas Telekomunik 1,015,000 351
----------
3,082
Venezuela - 2.7%
Corimon C.A.C.A. - ADR 85,030 362
Mavesa SA - ADR 140,700 692
Sider Venez - ADS 340,000 977
----------
2,031
----------
Total Common Stocks 71,139
==========
(Cost $72,087)
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Corporate Bonds and Notes - 0.3%
- --------------------------------------------------------------------------------
<S> <C> <C>
South Korea - 0.3%
Ssangyong Oil Refining
3.750% due 12/31/08 $ 185 $ 195
----------
Total Corporate Bonds and Notes 195
(Cost $217) ----------
Total Investments (a) - 95.9% $ 71,334
(Cost $72,304)
Foreign Currencies - 0.3%
Thai Bat 250
----------
Total Foreign Currency Investments 250
(Cost $250)
Other Assets and Liabilities (Net) - 3.8% 2,785
----------
Net Assets - 100.0% $ 74,369
==========
Notes to Schedule of Investments ($ in thousands):
(a) At October 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 6,258
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (7,228)
----------
Unrealized depreciation-net $ (970)
==========
</TABLE>
(b) Non-income producing security.
(c) Restriced security. Purchased in a private placement
transaction; resale to public may require registration.
(d) Foreign forward currency contracts outstanding at
October 31, 1995:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation
Type By Contract Month (Depreciation)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell BRR 27 11/95 0
Sell BRR 16 11/95 0
Sell PEI 204 11/95 0
Sell PKR 3 11/95 0
Sell PKR 5 11/95 0
Sell PKR 3 11/95 0
-----------
</TABLE>
0
===========
(e) Principal amount denoted in indicated currency:
BRR - Brazilian Real Cruzeiro
PEI - Peruvian Inti
PKR - Pakistani Rupee
See Notes to Financial Statements
45
<PAGE>
SCHEDULE OF INVESTMENTS
Blairlogie International Active Fund
October 31, 1995
34.9% Japan
3.8% Netherlands
3.0% Malaysia
5.1% Germany
10.1% Other
2.3% Switzerland [PIE CHART APPEARS HERE]
13.3% United Kingdom
8.1% France
2.4% Singapore
5.4% Hong Kong
2.8% Spain
<TABLE>
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
Common Stocks - 91.2%
- --------------------------------------------------------------------------------
<S> <C> <C>
Australia - 0.7%
Amcor Limited "A" 12,600 $ 94
Broken Hill Proprietary 6,722 91
Comalco Limited 19,200 97
Western Mining Corp. 14,600 94
Westpac Banking Corp. 25,800 106
----------
482
Austria - 0.9%
Creditanstalt Bankverein 2,300 115
Flughafen Wien Ag 2,900 186
Mayr Melnhof Karton Ag 2,300 134
Oesterreichische 2,000 122
----------
557
Belgium - 1.4%
Electrabel Npv 1,250 280
Fortis Ag 1,400 152
Generale De Banque Npv 604 195
Gib Holding Limited 3,637 142
Glaverbel 1,090 124
----------
893
Finland - 1.4%
Enso-Gutzeit Oy 17,800 140
Finnair Oy 25,700 186
Nokia Corp. 1,400 82
Rauma 3,800 83
Valmet 6,200 172
Werner Soderstrom Osakey "B" 2,700 242
----------
905
France (d) - 8.1%
Alcatel Alsthom 4,800 411
Axa 7,785 433
Carrefour 745 438
Club Mediterrane (b) 3,890 305
Club Mediterrane Rights (b) 3,890 0
Credit Local De France 6,145 487
Danone 2,070 331
Eaux (Cie Generale) 3,492 325
Lafarge Coppee Sa 5,504 365
Peugeot 2,650 346
Roussel-Uclaf 2,670 438
Saloman Sa 730 422
Schneider Sa 11,490 444
Total Co. 7,070 437
----------
5,182
Germany (d) - 5.1%
Allianz Ag Holdings 146 268
Bayer Ag 937 247
Bayerische Motoren Werke 239 128
Commerzbank Ag 1,760 407
Karstadt Ag 674 292
Mannesmann Ag 1,313 431
Merck Kgaa 5,000 209
Muenchener Rueckvers Ag 70 145
Muenchener Rueckvers Warrants (b) 3 0
Siemens Ag 820 428
Veba Ag 9,930 407
Volkswagen Ag 940 296
----------
3,258
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Hong Kong - 5.4%
Cheung Kong Holdings 67,000 $ 378
Hang Seng Bank 61,600 516
Hong Kong Telecommunications 95,600 167
Hutchison Whampoa 105,000 579
Sun Hung Kai Properties 97,816 781
Swire Pacific "A" 67,900 509
Wharf Holdings 116,000 392
Wing Hang Bank Limited 52,500 169
----------
3,491
Ireland - 1.5%
Allied Irish Banks 32,000 162
Bank of Ireland 33,000 220
CRH 37,000 244
Kerry Group "A" 21,800 168
Smurfit (Jefferson) 66,600 178
----------
972
Italy (d) - 2.1%
Benetton 13,000 135
Credito Italiano 226,000 257
Fiat Spa 32,000 104
Rinascente (La) 23,000 136
Sasib RNC (b) 47,000 117
SME 66,000 145
Telecom Italia Spa 203,000 309
Unichem Spa (b) 20,000 126
----------
1,329
Japan (d) - 34.9%
Daiwa Securities Co Limited 135,000 1,586
Fujisawa Pharmaceutical 123,000 1,199
Hitachi Limited 119,000 1,223
Matsushita Electric Work 117,000 1,157
Mazda Motor Corp. (b) 207,000 651
Mitsubishi Chemical Corp. 303,000 1,377
Mitsui Engineering 624,000 1,369
Mitsui Fudosan (b) 115,000 1,317
Nippon Telegraph & Telegraph (b) 168 1,383
NKK Corp (b) 635,000 1,536
Obayashi Corp. 169,000 1,259
Sony Corp. 18,000 811
Sumitomo Bank 75,000 1,329
Sumitomo Metal Mining 190,000 1,501
Sumitomo Trust & Banking 107,000 1,236
Takashimaya Corp. 104,000 1,446
Tokyo Steel Manufacturing 60,000 1,116
Tokyu Corp. 151,000 962
----------
22,458
Malaysia - 3.0%
DCB Holdings Berhad 76,000 218
Land & General Holdings 51,702 120
Malayan Banking Berhad 29,000 234
Resorts World Berhad 35,971 178
RJ Reynolds Berhad 109,000 223
Road Builder (M) Holdings Berhad 80,412 249
Sungei Way Holding Berhad 68,000 229
Technology Resources Industries (b) 101,000 257
Telekom Malaysia 551 4
United Engineers Berhad 35,000 220
----------
1,932
</TABLE>
46
<PAGE>
<TABLE>
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Netherlands - 3.8%
ABN-Amro Holdings Nv 5,690 $ 239
Ahold Koninklijke 8,841 335
Akzo Noble Nv 2,238 255
Amev Nv Cva 5,222 328
Elsevier Nv 24,561 317
Kon Ptt Nederland 8,320 292
Philips Electronics 5,909 228
Polygram Nv 4,283 267
Ver Ned Uitgevers 1,500 210
----------
2,471
Norway - 2.1%
Den Norske Bank 132,700 364
Elkem As 10,200 110
Hafslund Nycomed As 5,440 152
Kvaerner As "A" 3,895 164
Orkla As 6,200 302
Saga Petroleum 17,950 225
----------
1,317
Singapore - 2.4%
Cerebos Pacific 16,300 101
City Developments 50,828 315
Courts (Singapore) 140,000 220
DBS Land 70,000 207
Overseas Union Bank 50,000 311
Singapore Airlines 13,550 126
United Overseas Bank 26,791 235
----------
1,515
Spain - 2.8%
Argentaria Corp. 5,480 194
Aumar Autop Del Mare Nos 20,100 231
Banco Popular Espanol 2,316 368
Endesa 6,854 341
Iberdrola Sa 27,000 204
Repsol Sa 5,756 172
Telefonica De Esp 23,120 291
----------
1,801
Switzerland (d) - 2.3%
Allusuisse Lonza Holdings 190 145
BBC Brown Boveri Ag 175 203
Ciba Geigy Ag 215 186
Nestle SA Registared 110 115
Roche Holding Ag-Genusss 40 290
Schw Bankgesellsch 275 298
Sig Schweiz, Industrie 55 119
Winterthur Schweiz 175 115
----------
1,471
United Kingdom - 13.3%
Abbey National Plc 62,400 529
Baa 82,140 640
Boots Co. 46,200 409
British Petroleum 76,150 561
British Telecomm 73,770 440
BTR 98,832 526
Guinness 58,700 471
HSBC Holdings Plc 33,300 496
Lloyds Bank 38,500 475
Pilkington 171,000 512
RTZ Corp. 32,630 452
Seeboard 67,000 550
Smithkline Beecham 68,120 712
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Tesco 123,000 $ 584
Wolseley Plc 85,000 527
Zeneca Group 37,060 691
----------
8,575
Total Investments (a) - 91.2% $ 58,609
(Cost $57,455)
Foreign Currencies - 7.9%
Australian Dollar (c) 491
British Pound (c) 1,879
Finnish Markka 167
French Franc 63
German Mark (c) 597
Hong Kong Dollar (c) 247
Japanese Yen (c) 1,650
----------
Total Foreign Currency Investments 5,094
(Cost $5,116)
Other Assets and Liabilities (Net) - 0.9% 579
----------
Net Assets - 100.0% $ 64,282
==========
Notes to Schedule of Investments ($ in thousands):
(a) At October 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 4,060
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (2,928)
----------
Unrealized appreciation-net $ 1,132
==========
</TABLE>
(b) Non-income producing security.
(c) Currencies with an aggregate market value of
$239 have been segregated with the custodian
to cover margin requirements for the following
open stock index futures contracts at October 31, 1995:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C>
Australian Index (12/95) 12 $ (16)
DTB DAX (12/95) 5 (21)
Hang Seng Index (11/95) 3 (2)
LIFFE FT-SE 100 (12/95) 7 (15)
Osaka 300 (12/95) 28 2
--------------
$ (52)
==============
</TABLE>
47
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Blairlogie International Active Fund
October 31, 1995
<TABLE>
<CAPTION>
(d) Foreign forward currency contracts outstanding at October 31, 1995:
Principal
Amount Unrealized
Covered Expiration Appreciation
Type By Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy CHF 2,349 11/95 $ 29
Sell CHF 1,156 11/95 2
Sell DEM 1,500 11/95 (17)
Sell FRF 10,000 11/95 (30)
Buy FRF 5,000 11/95 3
Buy ITL 1,632,600 11/95 (1)
Buy JPY 100,130 11/95 (16)
----------------
$ (30)
================
(e) Principal amount denoted in indicated currency:
CHF - Swiss Franc
DEM - German Mark
FRF - French Franc
ITL - Italian Lira
JPY - Japanese Yen
</TABLE>
See Notes to Financial Statements
48
<PAGE>
SCHEDULE OF INVESTMENTS
Balanced Fund
October 31, 1995
Corporate Bonds and Notes 8.3%
[PIE CHART APPEARS HERE] Mortgage-Backed Securities 36.2%
Common Stocks 52.8%
Short-Term Instruments 10.3%
<TABLE>
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
Common Stocks - 52.8%
- --------------------------------------------------------------------------------
<S> <C> <C>
Capital Goods - 1.8%
Allied Signal, Inc. 5,668 $ 241
Caterpillar, Inc. 1,100 62
Cummins Engine, Inc. 1,800 63
Emerson Electric Co. 1,400 100
General Electric 1,900 120
Grainger (W.W.), Inc. 3,000 187
Illinois Tool Works 2,300 134
Ingersoll Rand Co. 3,300 117
Northrop Grumman Corp. 3,300 189
Potlatch Corp. 2,300 97
----------
1,310
Consumer Discretionary - 6.9%
Albertson's, Inc. 9,154 304
Briggs & Stratton Co. 3,300 133
Crown Cork & Seal (d) 5,200 181
Dana Corp. 6,100 156
Dial Corp. 6,300 154
Dillard Department Stores 2,800 76
Echlin, Inc. 6,600 236
Fluor Corp. 2,877 163
FMC Corp. 1,800 129
Giant Foods, Inc. 2,300 74
Gillette Co. 1,900 92
Harland John H Co. 21 0
Home Depot, Inc. 7,533 281
Internatlonal Flavors & Fragrances 2,300 111
King World Productions (d) 4,300 150
Limited, Inc. 7,400 136
Liz Claiborne, Inc. 4,600 131
Lowes Co. 2,000 54
Minnesota Mining & Manufacturing Co. 3,200 182
Nike, Inc. 6,400 363
Premark International, Inc. 1,100 51
Procter & Gamble Co. 5,500 446
Reebok International Limited 4,300 146
SPX Corp. 2,200 34
Stride Rite Corp. 4,100 46
Toys R Us, Inc. (d) 4,600 101
Unilever N. V. 1,300 170
UST, Inc. 7,400 222
VF Corp. 1,700 81
Wal-Mart Stores, Inc. 13,200 285
Walgreen Co. 3,891 111
Winn Dixie Stores 2,900 189
----------
4,988
Consumer Services - 0.9%
CBS, Inc. 2,300 186
CUC International, Inc. (d) 1,050 36
Harrah's Entertainment, Inc. (d) 5,900 146
Mattel, Inc. 11,062 318
----------
686
Consumer Staples - 7.0%
American Brands, Inc. 2,700 116
Amern Stores Co. 3,000 90
Anheuser Busch 5,100 337
Archer-Daniel Midland 3,454 56
Campbell Soup Co. 5,000 262
Coca-Cola Co. 8,200 589
Colgate Palmolive 400 28
Conagra 7,000 270
Cooper Tire & Rubber Corp. 7,000 162
CPC International, Inc. 2,800 186
Fleming Cos, Inc. 1,823 41
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
General Mills, Inc. 1,300 $ 75
Genuine Parts Co. 2,100 83
H.J. Heinz Co 1,100 51
Kellog Co. 2,339 169
Kimberly Clark Corp. 3,900 283
Kroger Co. (d) 7,100 237
McDonalds Corp. 3,500 144
Pepsico 8,900 469
Philip Morris Co, Inc. 5,400 456
Quaker Oats Co. 1,846 63
Sara Lee Corp. 5,100 150
Seagrams Limited 4,200 151
Sysco Corp. 2,000 61
Walt Disney Productions 7,200 415
Wendys International, Inc. 3,100 61
Wrigley, William Jr. Co. 1,400 65
----------
5,070
Energy - 3.6%
Amoco Corp. 4,400 281
Atlantic Richfield 1,200 128
Chevron Corp. 5,000 234
Exxon Corp. 7,300 558
Mobil Corp. 3,444 347
Phillips Petroleum Co. 6,400 206
Royal Dutch Petrol Guilder 3,900 479
Schlumberger Limited 1,600 100
Texaco, Inc. 3,946 269
Unocal Corp. 1,732 45
----------
2,647
Financial & Business Services - 8.7%
Amer International Group, Inc. 3,575 301
Banc One Corp. 7,545 255
Bank of Boston Corp. 1,900 85
Bankamerica Corp. 6,600 380
Bankers Trust N.Y. Corp. 1,688 108
Barnett Banks of Florida 3,000 166
Chase Manhattan Corp. 1,100 63
Chemical Banking Corp. 6,232 354
Chubb Corp. 2,300 207
Cigna Corp. 700 69
Citicorp 7,110 461
Federal National Mortgage Association 4,900 514
First Fidelity 3,200 209
First Union Corp. 4,300 213
Fleet Financial Group, Inc. 6,100 236
General Re Corp. 1,500 217
Golden West Financial Corp. 4,700 236
H & R Block 3,600 149
Jefferson Pilot Corp. 2,700 178
Merrill Lynch Co. 1,000 56
Morgan, J.P. and Co., Inc. 2,094 161
Nations Bank Corp. 4,070 268
NBD Bancorp. 4,200 160
Norwest Corp. 9,687 286
Safeco Corp. 2,200 141
St Paul Cos., Inc. 3,100 157
Suntrust Banks, Inc. 4,500 290
Wachovia Corp. 2,300 101
Wells Fargo & Co. 1,053 221
WMX Technologies 2,223 63
----------
6,305
</TABLE>
49
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Balanced Fund
October 31, 1995
<TABLE>
Value
Shares (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Health Care - 6.1%
Abbott Laboratories 9,100 $ 362
American Home Products 2,200 195
Amgen, Inc. (d) 2,200 106
Becton Dickinson 2,100 137
Beverly Enterprises 4,300 51
Bristol Myers Squibb 2,600 198
Johnson & Johnson 6,200 505
Lilly Eli & Co. 1,400 135
Manor Care, Inc. 2,200 72
Medtronic, Inc. 9,200 531
Merck & Co, Inc. 8,000 460
Pfizer, Inc. 7,000 402
Schering-Plough 6,700 359
Shared Medical Systems Corp. 1,500 58
St Jude Medical Enterprise, Inc. 4,400 234
United Healthcare Corp. 4,500 239
U.S. Health Care Systems, Inc. 3,800 146
Warner Lambert Co. 2,900 247
----------
4,437
Materials & Processing - 1.9%
Barrick Gold Corp. 2,000 46
duPont (E.I.) deNemours 3,300 206
Engelhard Corp. 1,850 46
First Mississippi 1,000 21
First Mississippi Gold, Inc. (d) 708 13
Great Lakes Chemical 2,300 155
Hercules, Inc. 1,300 69
International Paper 4,275 158
Louisiana Pacific Corp. 4,900 117
Morton International 4,700 143
NUCOR Corp. 3,200 154
Pall Corp. 3,220 79
Union Carbide Corp. 2,700 102
Worthington Industries, Inc. 4,950 82
----------
1,391
Technology - 7.5%
Advanced Micro Devices 10,000 239
Andrew Corp. (d) 4,850 205
Applied Materials (d) 2,400 120
Autodesk, Inc. 2,700 92
Automatic Data Processing 3,500 250
Cabletron Systems, Inc. (d) 1,200 94
Compaq Computer Corp. (d) 7,000 390
Computer Associates International, Inc. 1,850 102
DSC Communications (d) 5,600 207
General Dynamics Corp. 3,400 188
Honeywell, Inc. 1,300 55
Intel Corp. 8,700 608
IBM Machines Corp. 1,800 175
Loral Corp. 10,400 308
McDonnell Douglas 5,400 441
Micron Technlogy, Inc. 2,300 163
Microsoft Corp. (d) 5,500 550
Motorola 3,966 260
National Semiconductor (d) 1,600 39
Northern Telecommunications Limited 1,200 43
Novell, Inc. (d) 8,700 144
Oracle Systems Corp. (d) 6,600 288
Raytheon Co. 6,300 275
Service Corp. International 1,200 48
Tektronix 1,600 95
Texas Instruments, Inc. 500 34
----------
5,413
Transportation - 0.3%
Consolidated Freightways, Inc. 2,100 49
Norfolk Southern 1,400 108
Southwest Airlines 3,600 72
----------
229
Utilities - 8.0%
Ameritech 4,717 254
American Electric Power, Inc. 3,149 120
Baltimore Gas & Electric 4,190 112
Bell Atlantic Corp. 2,326 148
Bell South 2,777 212
Carolina Power and Lighting 4,892 160
Central & South West 5,200 139
Coastal Corp. 6,600 214
Consolidated Edison Co. 4,300 131
Consolidated Natural Gas 2,795 106
Detroit Edison Co. 6,000 203
Dominion Resources, Inc. 3,300 131
Duke Power Co. 4,333 194
Enron Corp. 7,900 272
Entergy Corp. 3,900 111
FPL Group, Inc. 2,897 121
GTE Corp. 6,985 288
Houston Industry, Inc. 3,009 140
MCI Comm Corp. 7,200 180
Nicor, Inc. 4,345 117
Northern States Power Co. 1,800 85
Nynex Corp. 1,971 93
Ohio Edison Co. 4,867 111
ONEOK, Inc. 3,900 95
Pacific Gas & Electric 4,400 129
Pacific Telesis 4,895 149
Pacificorp (Oregon) 33 1
Peco Energy Co. 7,294 213
Peoples Energy Corp. 3,800 109
Public Service Enterprises 3,408 100
SBC Communications 7,983 446
Sonat, Inc. 3,500 101
Southern Co. 8,530 204
Sprint Corp. 5,752 221
U.S. West Communications Group 4,006 191
Unicom Corp. 1,600 52
Union Electric Co. 3,200 125
Williams Cos. 1,400 54
----------
5,832
----------
Total Common Stocks 38,308
(Cost $31,347) ==========
</TABLE>
50
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Corporate Bonds and Notes - 8.3%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance - 1.4%
National Rural Utility Coop.
5.720% due 11/13/95 (c) $ 1,000 $ 998
----------
Industrials - 2.7%
AMR Corp.
10.000% due 02/01/01 400 453
9.430% due 05/10/01 (c) 1,000 1,117
Minnesota Mining & Manufacturing
5.820% due 11/15/95 (c) 400 399
----------
1,969
Utilities - 4.2%
Cleveland Electric
9.375% due 03/01/17 1,000 945
Long Island Lighting Co.
9.000% due 11/01/22 (e) 2,000 2,010
Ohio Power
8.300% due 04/01/97 127 130
----------
3,085
----------
Total Corporate Bonds and Notes 6,052
==========
(Cost $5,984)
<CAPTION>
- --------------------------------------------------------------------------------
Mortgage-Backed Securities - 36.2%
- --------------------------------------------------------------------------------
<S> <C> <C>
Federal Home Loan Mortgage Corp. - 1.6%
8.500% due 03/01/23 996 1,038
10.150% due 04/15/06 108 110
----------
1,148
Federal Housing Authority - 0.8%
6.930% due 07/01/14 (c) (e) 615 615
----------
Federal Home Loan Bank Corp - 0.8%
5.630% due 11/13/95 (c) 600 599
----------
Federal National Mortgage Association - 4.4%
8.500% due 07/01/02 759 784
8.500% due 09/01/02 64 66
8.500% due 01/01/07 462 480
8.500% due 01/01/08 (e) 505 529
5.484% due 12/01/23 (c) 1,344 1,357
----------
3,216
Government National Mortgage Association - 16.1%
10.750% due 09/15/00 88 93
10.750% due 10/15/00 132 139
8.000% due 09/15/06 91 94
9.500% due 09/15/09 23 24
9.500% due 10/15/09 177 190
16.000% due 10/15/11 99 117
16.000% due 10/15/11 46 55
16.000% due 11/15/11 20 24
16.000% due 12/15/11 6 7
16.000% due 12/15/11 13 16
16.000% due 12/15/11 27 32
16.000% due 12/15/11 6 7
16.000% due 12/15/11 8 10
16.000% due 12/15/11 18 22
16.000% due 12/15/11 4 5
16.000% due 12/15/11 3 4
16.000% due 12/15/11 50 60
16.000% due 01/15/12 14 16
16.000% due 01/15/12 9 11
16.000% due 01/15/12 2 2
16.000% due 03/15/12 82 98
16.000% due 04/15/12 66 80
14.000% due 08/15/12 (e) 32 37
14.000% due 09/15/12 (e) 23 26
13.250% due 10/20/14 81 93
7.500% due 05/15/17 20 20
7.375% due 04/20/23 2,448 2,502
7.250% due 08/24/24 (c) 1,079 1,101
6.500% due 09/20/24 1,921 1,943
6.500% due 12/19/25 5,000 4,859
----------
11,687
Collateralized Mortgage Obligations - 12.5%
Bear Stearns
9.000% due 01/25/21 (e) 50 51
Capstead
8.900% due 12/25/21 (e) 427 441
Countrywide
7.408% due 11/25/24 (c) (e) 1,630 1,671
7.913% due 11/25/24 (c) (e) 1,598 1,640
FNMA
9.500% due 06/25/18 781 829
Home Savings
6.075% due 05/25/27 (c) (e) 1,320 1,286
PNC
7.500% due 06/25/10 1,563 1,568
Resolution Trust Corp.
8.835% due 12/25/23 (c) (e) 1,536 1,577
----------
9,063
----------
Total Mortgage-Backed Securities 26,328
(Cost $26,120) ==========
<CAPTION>
- --------------------------------------------------------------------------------
Short-Term Instruments - 10.3%
- --------------------------------------------------------------------------------
<S> <C> <C>
Discount Notes - 7.5%
AT&T Corp.
5.640% due 11/22/95 800 797
Associates Corp. of North America
5.680% due 11/27/95 1,000 996
5.700% due 11/28/95 400 398
Hewlett Packard Co.
5.670% due 01/09/96 1,000 989
Motorola, Inc.
5.720% due 11/08/95 500 499
Toys-R-Us, Inc.
5.690% due 11/15/95 600 599
U.S. West Communications
5.700% due 11/14/95 800 798
Wal-Mart Stores
5.720% due 11/09/95 400 399
----------
5,475
</TABLE>
51
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Balanced Fund
October 31, 1995
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Repurchase Agreement - 2.5%
State Street Bank $ 1,778 $ 1,778
4.500% due 11/01/95
(Dated 10/31/95. Collateralized by
U.S. Treasury Bond 11.250% due 02/15/15
valued at $1,829,124. Repurchase
proceeds are $1,789,223.)
U.S. Treasury Bill (b) - 0.3%
5.340% due 11/30/95 240 239
----------
Total Short-Term Instruments 7,492
(Cost $7,492) ==========
Total Investments (a) - 107.6% $ 78,180
(Cost $70,943)
Other Assets and Liabilities (Net) - (7.6%) (5,542)
----------
Net Assets - 100.0% $ 72,638
==========
Notes to Schedule of Investments ($ in thousands):
(a) At October 31, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 8,119
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (882)
----------
Unrealized appreciation-net $ 7,237
==========
(b) Securities with an aggregate market value of $239
have been segregated with the custodian to cover
margin requirements for the following open future
contracts at October 31, 1995:
</TABLE>
<TABLE>
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 5 Year Note (12/95) 18 $ 15
U.S. Treasury 10 Year Note (12/95) 135 167
U.S. Treasury 30 Year Note (12/95) 30 103
----------
$ 285
==========
</TABLE>
(c) Variable rate security. The rate listed is as of October 31, 1995.
(d) Non-income producing security.
(e)Security valued under procedures established by the Board of Trustees.
See Notes to Financial Statements
52
<PAGE>
NOTES TO FINANCIAL STATEMENTS
October 31, 1995
1. Significant Accounting Policies
PIMCO Advisors Institutional Funds (the "Trust") was
established as a Massachusetts business trust on August 24,
1990. The Trust is registered under the Investment Company
Act of 1940, as amended, as a no-load, open-end management
investment company. The Trust currently consists of fifteen
separate investment funds (the "Funds"): the Money Market
Fund; the PIMCO Managed Bond and Income Fund; the NFJ Equity
Income Fund; the NFJ Diversified Low P/E Fund; the NFJ Small
Cap Value Fund; the Cadence Capital Appreciation Fund; the
Cadence Mid Cap Growth Fund; the Cadence Micro Cap Growth
Fund; the Cadence Small Cap Growth Fund; the Columbus Circle
Investors Core Equity Fund; the Columbus Circle Investors Mid
Cap Equity Fund; the Parametric Enhanced Equity Fund; the
Blairlogie Emerging Markets Fund; the Blairlogie
International Active Fund; and the Balanced Fund (See
Note 6).
Effective October 31, 1995, two series of the Trust, the
Utility Stock Fund and Parametric International Equity Fund,
were closed. The annual reports for these two Funds are
provided separately.
Multi-class Operations. The Trust is authorized to offer two
classes of shares, the Institutional Class and the
Administrative Class. A comprehensive discussion of the terms
under which shares of either class are offered is contained
in the prospectus for the Trust. Both classes of shares have
identical voting, dividend, liquidation and other rights and
the same terms and conditions, except for class specific
expenses and exclusive rights to vote on matters affecting
only individual classes.
Income, non-class specific expenses, and realized and
unrealized capital gains and losses are allocated to each
class of shares based upon net assets at the close of
business on the preceding day.
The Blairlogie Emerging Markets Fund commenced Administrative
Class operations on October 20, 1994. (Included in receipts
for shares sold in the statement of changes in net assets
for the year ended October 31, 1994, is $9,945 for the
Administrative Class. All other information related to the
Administrative Class for the year ended October 31, 1994 is
insignificant). The PIMCO Managed Bond and Income, NFJ Equity
Income, Cadence Mid Cap Growth, and Blairlogie International
Active Funds commenced Administrative Class operations on
November 30, 1994. The Money Market Fund, the Columbus
Circle Investors Core Equity Fund and the Cadence Small Cap
Growth Fund commenced Administrative Class operations on
January 24, 1995, May 31, 1995 and September 27, 1995,
respectively. None of the other Funds had commenced multi-
class operations as of October 31, 1995.
Security Valuation. The Money Market Fund's securities are
valued at amortized cost, which approximates market value,
and the Fund intends to maintain a net asset value of $1.00
per share. All the other Funds are valued as follows:
Portfolio securities 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, the mean between representative bid
and asked quotations obtained from a quotation reporting
system or from established market makers. Short-term
investments having a maturity of 60 days or less are valued
at amortized cost, unless the amortized cost does not
approximate market value. Subject to the foregoing,
securities for which market quotations are not readily
available are valued at fair value as determined in good
faith under the direction of the Trust's Board of Trustees
(such valuation methods were used for approximately 29% and
13% of the PIMCO Managed Bond and Income and Balanced Funds,
respectively).
53
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
October 31, 1995
Foreign Currency Translation. Securities and other assets and
liabilities denominated in foreign currencies are translated
into U.S. dollars using the foreign exchange quotation in
effect at 2:30 P.M. Eastern time. The cost of foreign
securities is translated at the exchange rate in effect when
the investment is acquired. Income and expenses are
translated at the rate of exchange in effect at the time of
each transaction.
The Trust isolates that portion of the results of operations
resulting from changes in foreign exchange rates on
investments from the fluctuations arising from changes in
market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss on
foreign currency transactions. Reported net realized foreign
exchange gains or losses arise from sales of portfolio
securities, sales and maturities of short-term securities,
sales of foreign currencies, currency gains or losses
realized between the trade and settlement dates on securities
transactions, the difference between the amounts of
dividends, interest, and foreign withholding taxes recorded
on the Trust's books, and the U.S. dollar equivalent of the
amounts actually received or paid. Net unrealized foreign
exchange gains and losses arise from changes in the value of
assets and liabilities including investments in securities at
fiscal year end, resulting from changes in the exchange rate.
Dividends and Distributions to Shareholders. Dividends from
net investment income are declared daily and paid monthly to
shareholders of record by the Money Market and the PIMCO
Managed Bond and Income Funds. Dividends are declared and
paid quarterly to shareholders of record by the NFJ Equity
Income, NFJ Diversified Low P/E, NFJ Small Cap Value,
Cadence Capital Appreciation, Cadence Mid Cap Growth, Cadence
Micro Cap Growth, Cadence Small Cap Growth, Parametric
Enhanced Equity, and the Balanced Funds. Dividends are
declared and paid semi-annually to shareholders of record by
the Columbus Circle Investors Core Equity Fund. The Columbus
Circle Investors Mid Cap Equity, Blairlogie Emerging Markets,
and Blairlogie International Active Funds distribute all of
their net investment income at least annually. Distributions
on any net realized capital gains are declared and paid at
least annually. Dividends and distributions to shareholders
are recorded on the ex-dividend date.
Income dividends 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 foreign currency transactions, net operating losses,
deferral of wash sales, futures, and options. Permanent book
and tax differences relating to shareholder distributions
will result in reclassifications to paid in capital.
Two of the Funds had a tax operating loss during the year
ended October 31, 1995 which resulted in a permanent
difference between book income and tax-basis income: Cadence
Small Cap Growth Fund - $161,325, and Cadence Micro Cap
Growth Fund - $181,906. This difference was reclassed from
undistributed net investment income (loss) to paid in capital
on the statements of assets and liabilities.
For the year ended October 31, 1995, the Blairlogie Emerging
Markets Fund realized a capital loss of $15,213,940 for
Federal income tax purposes. This capital loss is available
to offset future realized capital gains through October 31,
2003. The Fund will resume capital gain distributions in the
future to the extent gains are realized in excess of
available carryforwards.
54
<PAGE>
Foreign Taxes on Dividends. Dividend income in the statements
of operations is shown net of foreign taxes withheld on
dividends from foreign securities. Foreign taxes withheld
were as follows: NFJ Diversified Low P/E Fund -$1,586; NFJ
Small Cap Value Fund - $284; Cadence Capital Appreciation
Fund - $48,551; Cadence Mid Cap Growth Fund - $3,701; Columbus
Circle Investors Core Equity Fund - $613; Columbus Circle
Investors Mid Cap Equity Fund - $595; Parametric Enhanced
Equity Fund - $5,015; Blairlogie Emerging Markets Fund -
$174,575; Blairlogie International Active Fund - $103,138;
Balanced Fund - $3,174.
Federal Income Taxes. The Trust's policy is to comply with
the requirements of the Internal Revenue Code that are
applicable to regulated investment companies and to
distribute substantially all of its taxable income to its
shareholders. Accordingly, no Federal income tax provision is
required.
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.
Equalization. All of the Funds, except the Money Market and
the PIMCO Managed Bond and Income Funds, follow the
accounting practice known as equalization, by which a portion
of the proceeds from sales and costs of repurchases of Fund
shares, equivalent on a per share basis to the amount of
distributable investment income on the date of the
transaction, is credited or charged to undistributed income.
As a result, undistributed investment income per share is
unaffected by sales or redemptions of Fund shares.
2. Derivative Financial Instruments
Interest Rate and Stock Index Futures Contracts. The PIMCO
Managed Bond and Income and Balanced Funds invested in
interest rate futures contracts, and the Blairlogie
International Active Fund invested in stock index futures
contracts during the year ended October 31, 1995. An interest
rate futures contract is an agreement between two parties to
buy and sell a specified quantity of a financial instrument
at a specified price at a future date. A stock index futures
contract is an agreement between two parties to take or make
delivery of an amount of cash equal to the difference between
the value of the index at the close of the last trading day
of the contract and the price at which the index contract was
originally written. Initial margin deposits are made upon
entering into futures contracts and can be either cash or
securities. During the period the futures contract is open,
changes in the value of the contract are recognized as
unrealized gains or losses by "marking-to-market" on a daily
basis to reflect the market value of the contract at the end
of each day's trading. Variation margin receivables or
payables represent the difference between the unrealized
appreciation (depreciation) on the open contracts and the
cash deposits made on the margin accounts. When the contract
is closed, a Fund records a realized gain or loss equal to
the difference between the proceeds from the closing
transaction and a Fund's cost of the contract. Interest rate
futures
55
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
October 31, 1995
contracts are used as non-leveraged substitutes for the
underlying physical securities. Stock index futures are
entered into for the purposes of hedging exposure in certain
foreign markets. These investments involve, to varying
degrees, elements of market risk and risks in excess of the
amount recognized in the Statements of Assets and
Liabilities. The face or contract amounts reflect the extent
of the involvement the Funds have in the particular classes
of instruments. Risks associated with the use of the stock
index futures contracts include an imperfect correlation
between the movement in the index and the movement in the
market values of the securities held in that market. Risks
may also arise if there is an illiquid secondary market for
the instruments, or the inability of counterparties to
perform.
Transactions in Written Call and Put Options. The Columbus
Circle Investors Core Equity and Columbus Circle Investors
Mid Cap Equity Funds wrote options on securities during the
year ended October 31, 1995. The PIMCO Managed Bond and
Income Fund wrote options on interest rate futures contracts
during the year ended October 31, 1995. When a Fund writes
(sells) an option, an amount equal to the premium received 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 an instrument is
recorded as unrealized appreciation (depreciation) until
terminated, at which time realized gains and losses are
recognized. The purposes of using options on futures
contracts include hedging exposure to rising interest rates
while retaining capital gain potential from falling rates and
capitalizing on anticipated changes in market volatility.
These investments involve, to varying degrees, elements of
market risk and risks in excess of the amount recognized in
the Statements of Assets and Liabilities. Risks may include
an imperfect correlation between the changes in the market
values of the securities held by a Fund and the prices of
futures options, an illiquid secondary market for the
instruments, or the inability of counterparties to perform.
Transactions in written call and put options were as follows
($ in thousands):
<TABLE>
<CAPTION>
Columbus Circle Investors
PIMCO Managed ----------------------------------------------------------
Bond and Income Fund Core Equity Fund Mid Cap Equity Fund
------------------------- ------------------------- -------------------------
Number of Number of Number of
Premium Contracts Premium Contracts Premium Contracts
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balance at 10/31/94 $ 0 0 $ 0 0 $ 0 0
Sales 626 1,350 44 171 9 52
Closing Buys (269) (450) (37) (145) (3) (18)
Expirations (52) (200) (4) (15) (4) (28)
Exercised (136) (200) (1) (3) (2) (6)
--------------------------------------------------------------------------------------------
Balance at 10/31/95 $ 169 500 $ 2 8 $ 0 0
============================================================================================
</TABLE>
The net short-term gain relating to those purchase
transactions was $309,175 for PIMCO Managed Bond and Income
Fund, $15,956 for Columbus Circle Investors Core Equity Fund,
and $5,176 for Columbus Circle Investors Mid Cap Equity Fund.
56
<PAGE>
Forward Foreign Currency Contracts. The Blairlogie Emerging
Markets and the Blairlogie International Active Funds
invested in forward foreign currency contracts during the
year ended October 31, 1995. These contracts may be used for
the purpose of hedging against foreign exchange risk arising
from a Fund's investment in foreign securities. These
contracts are "marked-to-market" daily at the applicable
translation rates and any resulting unrealized gains or
losses are recorded in a Fund's financial statements. A Fund
records realized gains or losses at the time the forward
contract is closed. A forward contract is extinguished
through a closing transaction or upon delivery of the
currency. These investments involve, to varying degrees,
elements of market risk and risks in excess of the amount
recognized in the statements of assets and liabilities. Risks
may also arise upon entering into 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.
3. Fees, Expenses, and Related Party Transactions
Investment Advisory Fee. PIMCO Advisors L.P. ("PIMCO
Advisors") serves as investment advisor to the Trust,
pursuant to an Investment Advisory Agreement. PIMCO Advisors
receives from the Trust a fee based on an annual percentage
of the average daily net assets of each Fund as follows: for
the Money Market Fund - .15%; for the PIMCO Managed Bond and
Income Fund - .25%; for the NFJ Equity Income, NFJ
Diversified Low P/E, Cadence Capital Appreciation, Cadence
Mid Cap Growth, Parametric Enhanced Equity and Balanced
Funds - .45%; for the Columbus Circle Investors Core Equity
Fund - .57%; for the NFJ Small Cap Value and Blairlogie
International Active Funds - .60%; for the Columbus Circle
Investors Mid Cap Equity Fund - .63%; for the Blairlogie
Emerging Markets Funds - .85%; for the Cadence Small Cap
Growth Fund - 1.00%; and for the Cadence Micro Cap Growth
Fund - 1.25%. The fee is accrued daily and paid monthly.
Administration Fee. Prior to August 16, 1995, PIMCO Advisors
served as the administrator to the Trust, pursuant to an
Administration Agreement. Effective August 16, 1995, Pacific
Investment Management Company ("PIMCO") became administrator
to the Trust, pursuant to a new Administration Agreement. As
under the previous Administration Agreement, PIMCO
administers all of the operations of the Trust and its Funds
and procures on behalf of the Trust, at PIMCO's expense,
certain services including custodial, administrative,
transfer agency, portfolio accounting, dividend disbursing,
auditing, and ordinary legal services.
The Trust will bear any extraordinary expenses (such as
litigation and indemnification expenses), brokerage fees or
other transactional expenses for securities or other assets,
taxes (if any) paid by a Fund, interest on borrowing, and
fees and expenses of the independent trustees.
Under the new Administration Agreement, PIMCO receives from
the Trust an administrative fee at the annual rate of .25% of
the average daily net assets of each of the Funds other than
the Blairlogie Emerging Markets and Blairlogie International
Active Funds for which the fee is at the annual rate of .50%
of the average daily net assets of the portfolio. The fee is
accrued daily and paid monthly. Under a Class Addendum to the
Administration Agreement which provides for the issuance of
Administrative Class shares, the Administrative Class pays
PIMCO Advisors an additional fee ("Service fee") at an annual
rate of .25% of the average daily net assets of each Fund, in
addition to the fee paid under the Administration Agreement.
57
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
October 31, 1995
Expense Limitation. PIMCO Advisors has undertaken to
reimburse the Trust for its operating expenses, exclusive of
class service fees, brokerage fees or other transactional
expenses, taxes paid by a Fund, interest on borrowing and
extraordinary expenses, in excess of the sum of advisory and
administration fees as a percentage of daily net assets of
each Fund (consolidating both classes of shares), through
October 31, 1995. No reimbursements were due as of
October 31, 1995.
The Trust has incurred $6,225,568 in investment advisory fees
to PIMCO Advisors for the year ended October 31, 1995. As of
October 31, 1995, $626,661 remains payable.
The Trust has incurred $3,582,905 in administration fees to
the Administrator for the year ended October 31, 1995. As of
October 31, 1995, $349,113 remains payable.
The Trust has incurred $51,122 in Trustees fees, advanced by
the PIMCO Advisors on behalf of the Trust, for the year ended
October 31, 1995. These expenses are allocated to the Funds
of the Trust according to their respective daily average net
assets. As of October 31, 1995, the entire balance remains
payable.
Pursuant to the Portfolio Management Agreements, which became
effective November 15, 1994, PIMCO Advisors employs six of
its subpartnerships as Fund managers for fourteen of the
Funds. Pacific Mutual Life Insurance Company was employed as
manager for the Money Market Fund.
Related Party Transactions. PIMCO Advisors Distribution
Company ("PADCO"), an indirect wholly-owned subsidiary of
PIMCO Advisors, serves as the distributor of the Trust's
shares. Pursuant to a Distribution Agreement, all expenses
relating to the distribution of Trust shares will be paid by
PIMCO Advisors, the administrator or PADCO out of past
profits and resources which may include fees received by
PIMCO Advisors or the administrator.
Certain officers of PIMCO Advisors are also officers of the
Trust.
58
<PAGE>
4. Purchases and Sales of Securities
Purchases and sales of securities (excluding short-term
investments) for the year ended October 31, 1995 were as
follows ($ in thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
-----------------------------------------------------------------
Purchases Sales Purchases Sales
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PIMCO Managed Bond
and Income Fund $ 140,276 $ 95,587 $ 33,722 $ 29,261
NFJ Equity Income Fund 42,988 44,911
NFJ Diversified Low P/E Fund 9,162 13,210
NFJ Small Cap Value Fund 15,842 16,526
Cadence Capital Appreciation Fund 157,376 148,563
Cadence Mid Cap Growth Fund 128,789 106,054
Cadence Micro Cap Growth Fund 59,567 38,439
Cadence Small Cap Growth Fund 56,963 47,282
Columbus Circle Investors
Core Equity Fund 28,479 15,002
Columbus Circle Investors
Mid Cap Equity Fund 11,666 5,378
Parametric Enhanced Equity Fund 14,334 17,397
Blairlogie Emerging Markets Fund 102,126 83,129
Blairlogie International Active Fund 59,144 26,706
Balanced Fund 26,683 15,146 8,298 70,439
</TABLE>
No activity is shown for the Money Market Fund since it trades exclusively in
short-term debt securities.
59
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
October 31, 1995
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>
PIMCO
PIMCO Managed NFJ
Year or Money Managed Bond and NFJ Equity
Period Ended Money Market Bond and Income Equity Income
October 31, 1995 Market Admin. (a) Income Admin. (b) Income Admin. (b)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 22,820 1,799 10,242 306 2,186 11
Issued as reinvestment
of dividends 493 19 2,500 10 513 1
Shares redeemed (23,025) (1,808) (7,537) (7) (1,547) (1)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase 288 10 5,205 309 1,152 11
================================================================================================================================
</TABLE>
<TABLE>
<CAPTION>
NFJ Cadence
Year or Diversified NFJ Cadence Cadence Mid Cap Cadence
Period Ended Low Small Cap Capital Mid Cap Growth Micro Cap
October 31, 1995 P/E Value Appreciation Growth Admin. (b) Growth
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 10 367 3,256 3,440 99 1,996
Issued as reinvestment
of dividends 171 283 143 35 0 0
Shares redeemed (365) (559) (1,858) 1,769 (50) (206)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) (184) 91 1,541 5,244 49 1,790
================================================================================================================================
</TABLE>
<TABLE>
<CAPTION>
Columbus
Columbus Circle Columbus
Cadence Circle Investors Circle
Year or Cadence Small Cap Investors Core Investors Parametric
Period Ended Small Cap Growth Core Equity Mid Cap Enhanced
October 31, 1995 Growth Admin. (c) Equity (d) Admin. (e) Equity (d) Equity
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 887 26 636 2,012 671 872
Issued as reinvestment
of dividends 199 0 1 3 0 185
Shares redeemed (168) 0 (25) (78) (24) (1,427)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) 918 26 612 1,937 647 (370)
================================================================================================================================
</TABLE>
<TABLE>
<CAPTION>
Blairlogie Blairlogie
Year or Blairlogie Emerging Blairlogie International
Period Ended Emerging Markets International Active
October 31, 1995 Markets Admin. Active Admin. (b) Balanced
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Shares sold 5,234 130 4,157 83 1,847
Issued as reinvestment
of dividends 248 0 104 1 311
Shares redeemed (3,774) (57) (747) (26) (8,679)
- -------------------------------------------------------------------------------------------------------------------
Net increase (decrease) 1,708 73 3,514 58 (6,521)
===================================================================================================================
</TABLE>
(a) From commencement of operations, January 24, 1995.
(b) From commencement of operations, November 30, 1994.
(c) From commencement of operations, September 27, 1995.
(d) From commencement of operations, December 28, 1994.
(e) From commencement of operations, May 31, 1995.
60
<PAGE>
<TABLE>
<CAPTION>
PIMCO NFJ
Managed NFJ Diversified NFJ Cadence
Year Ended Money Bond and Equity Low Small Cap Capital
October 31, 1994 Market Income Income P/E Value Appreciation
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 20,109 4,599 3,548 119 920 7,143
Issued as reinvestment
of dividends 226 2,286 263 52 83 141
Shares redeemed (18,717) (4,553) (1,627) (757) (2,046) (1,174)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) 1,618 2,332 2,184 (586) (1,043) 6,110
================================================================================================================================
</TABLE>
<TABLE>
<CAPTION>
Blairlogie
Year or Cadence Cadence Cadence Parametric Blairlogie Emerging
Period Ended Mid Cap Micro Cap Small Cap Enhanced Emerging Markets
October 31, 1994 Growth Growth Growth Equity Markets Admin. (a)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 5,393 1,785 444 2,696 4,769 1
Issued as reinvestment
of dividends 36 0 76 131 16 0
Shares redeemed (1,554) (18) (179) (1,199) (1,160) 0
- --------------------------------------------------------------------------------------------------------------------------------
Net increase 3,875 1,767 341 1,628 3,625 1
================================================================================================================================
</TABLE>
<TABLE>
<CAPTION>
Blairlogie
Year Ended International
October 31, 1994 Active Balanced
- ---------------------------------------------------------------------
<S> <C> <C>
Shares sold 1,211 3,099
Issued as reinvestment
of dividends 8 591
Shares redeemed (93) (2,726)
- ---------------------------------------------------------------------
Net increase 1,126 964
=====================================================================
</TABLE>
(a) From commencement of operations, October 20, 1994.
6. Reorganization
PIMCO Advisors Institutional Funds entered into an Agreement
and Plan of Reorganization with PIMCO Funds, another
registered open-end investment company. Pursuant to the
Reorganization Agreement, two of the Trust's series, the
Money Market Fund and PIMCO Managed Bond and Income Fund,
transferred all of their respective assets, subject to any
liabilities, to the PIMCO Funds on November 1, 1995. Included
in the statements of assets and liabilities are accrued
reorganization expenses of $45 and $6,006 for the Money
Market Fund and Managed Bond and Income Fund, respectively.
7. Change in Fiscal Year
Effective November 1, 1995, The Trust's fiscal year end
changed from October 31 to June 30.
61
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Trustees and Shareholders of the PIMCO Advisors
Institutional Funds
We have audited the accompanying statements of assets and
liabilities, including the schedules of investments, of the
PIMCO Advisors Institutional Funds (comprised respectively of
the Money Market Fund, PIMCO Managed Bond and Income Fund,
NFJ Equity Income Fund, NFJ Diversified Low P/E Fund, NFJ
Small Cap Value Fund, Cadence Capital Appreciation Fund,
Cadence Mid Cap Growth Fund, Cadence Micro Cap Growth Fund,
Cadence Small Cap Growth Fund, Columbus Circle Investors Core
Equity Fund, Columbus Circle Investors Mid Cap Equity Fund,
Parametric Enhanced Equity Fund, Blairlogie Emerging Markets
Fund, Blairlogie International Active Fund and Balanced
Fund), "the Trust", as of October 31, 1995; the related
statements of operations for the indicated periods then
ended; the statements of changes in net assets for the
indicated periods ended October 31, 1995 and 1994; and
financial highlights tables for the periods ended 1995, 1994,
1993, 1992, 1991. These financial statements and financial
highlights tables are the responsibility of the Trust's
management. Our responsibility is to express an opinion on
these financial statements and financial highlights tables
based on our audits.
We conducted our audits in accordance with generally accepted
auditing standards. Those standards require that we plan and
perform the audit to obtain reasonable assurance about
whether the financial statements and financial highlights
tables are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts
and disclosures in the financial statements. Our procedures
included confirmation of securities owned as of October 31,
1995 by correspondence with the custodians and brokers; where
replies were not received from brokers, we performed other
auditing procedures. An audit also includes assessing the
accounting principles used and significant estimates made by
management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and financial
highlights tables present fairly, in all material respects,
the financial position of each of the respective Funds
constituting the Trust as of October 31, 1995, the results of
their operations, the changes in their net assets, and the
financial highlights tables for the respective stated
periods, in conformity with generally accepted accounting
principles.
DELOITTE & TOUCHE LLP
Costa Mesa, California
December 15, 1995
62
<PAGE>
FEDERAL INCOME TAX INFORMATION
As required by the Internal Revenue Code regulations
shareholders must be notified within 60 days of the Trust's
fiscal year end (October 31, 1995) as to the tax status of
capital gain dividends, the dividend received deduction for
corporations, and the foreign tax credit.
Dividend Distributions. The following table provides rates
for the dividends distributed from net investment income, as
well as short-term and long-term capital gains. Distributions
from net investment income and short-term capital gains are
taxed as ordinary income. All rates are shown as per share
amounts.
<TABLE>
<CAPTION>
Net
Investment Short-Term Long-Term
Income Capital Gain Capital Gain
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Money Market Fund .0552
PIMCO Managed Bond and Income Fund .6315
NFJ Equity Income Fund .4641 .0901 .2399
NFJ Diversified Low P/E Fund .2997 1.2041
NFJ Small Cap Value Fund .2786 .3338 .5570
Cadence Capital Appreciation Fund .1782
Cadence Mid Cap Growth Fund .0657
Cadence Micro Cap Growth Fund
Cadence Small Cap Growth Fund 1.4318
Columbus Circle Investors Core Equity Fund .0619
Columbus Circle Investors Mid Cap Equity Fund .0152
Parametric Enhanced Equity Fund .2504 .0187 .1474
Blairlogie Emerging Markets Fund .0638 .1298 .1298
Blairlogie International Active Fund .0935 .3434 .0906
Balanced Fund .4365
</TABLE>
Dividend Received Deduction. Corporate shareholders are
generally entitled to take the dividend received deduction on
the portion of the Fund's dividend distribution that
qualifies under tax law. The percentage of each Fund's fiscal
1995 net investment income dividends that qualify for the
corporate dividend received deduction are as follows: NFJ
Equity Income Fund - 69.50%; NFJ Diversified Low P/E Fund -
72.49%; NFJ Small Cap Value Fund - 47.44%; Cadence Capital
Appreciation Fund - 36.85%; Cadence Mid Cap Growth Fund -
100%; Columbus Circle Investors Core Equity Fund - 14.32%;
Columbus Circle Investors Mid Cap Equity Fund - 7.20%;
Parametric Enhanced Equity Fund -100%; Blairlogie Emerging
Markets Fund - 100%; Balanced Fund - 31.56%.
63
<PAGE>
FEDERAL INCOME TAX INFORMATION (Cont.)
Foreign Taxed Paid. Blairlogie Emerging Markets and
Blairlogie International Active Funds have elected to pass
through foreign taxes paid by each Fund to its shareholders
in the amount designated below on a per share basis.
Accordingly, shareholders who report their gross income
dividends in a federal income tax return will be entitled to
deduct such foreign taxes, or claim a foreign credit in
computing their U.S. income tax liability, when applicable.
It is generally more advantageous to claim a credit rather
than to take a deduction. The following table allocates the
dividends and distributions paid by their sources.
<TABLE>
<CAPTION>
Blairlogie Blairlogie
Emerging Markets Fund International Active Fund
-----------------------------------------------------------
Gross Foreign Gross Foreign
Dividends Tax Dividends Tax
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Argentina .0207
Australia .0042
Austria .0012 .0010 .0001
Belgium .0047 .0007
Brazil .0770 .0106
Chile .0256 .0007
Columbia .0089
Finland .0036
France .0245
Germany .0103 .0010
Greece .0004
Hong Kong .0154
Hungary .0004
India .0041 .0004
Indonesia .0080 .0010
Ireland .0027
Israel .0057 .0011
Italy .0037 .0006
Japan .0242 .0031
Jordan .0023
Luxenberg .0013 .0001
Malaysia .0199 .0055 .0015 .0005
Mexico .0156
Netherlands .0125 .0018
Norway .0060 .0009
Pakistan .0014 .0002
Peru .0031
Portugal .0031 .0006
Singapore .0032 .0007
South Africa .0164 .0014
South Korea .0059 .0010
Spain .0155 .0021
Sri Lanka .0017 .0003
Switzerland .0043 .0006
Thailand .0132 .0013
Turkey .0134
United Kingdom .0036 .0004 .0382 .0068
Venezuela .0021
- -----------------------------------------------------------------------------------------------
Total .2550 .0246 .1755 .0189
===============================================================================================
</TABLE>
Shareholders are advised to consult their own tax adviser
with respect to the tax consequences of their investment in
the Trust. However, income received by tax-exempt recipients
need not be reported as taxable income. In January 1996, you
will be advised on IRS form 1099 DIV as to the federal tax
status of the dividends and distributions received by you in
calendar year 1995.
64
<PAGE>
Trustees and Officers
William D. Cvengros, Chairman, President & Trustee
Richard L. Nelson, Trustee
Lyman W. Porter, Trustee
Alan Richards, Trustee
Teresa A. Wagner, Secretary
R. Mark Brandenberger, Treasurer
Investment Advisor
PIMCO Advisors L.P.
840 Newport Center Drive, Suite 360
Newport Beach, California 92660
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
Deloitte & Touche LLP
695 Town Center Drive, Suite 1200
Costa Mesa, California 92626
<PAGE>
PIMCO ADVISORS
INSTITUTIONAL FUNDS
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 Advisors Institutional Funds. It is not authorized for distribution to
prospective investors unless accompanied or preceded by an effective Prospectus
for the PIMCO Advisors Institutional Funds, which contains information covering
its investment policies as well as other pertinent information.
[ART WORK APPEARS HERE]
<PAGE>
Part C. OTHER INFORMATION
--------------------------
Item 24. Financial Statements and Exhibits
---------------------------------
(a) Financial statements for the Trust as of March 31, 1995, and for
its fiscal year then ended, including notes thereto, and the
reports of Price Waterhouse LLP thereon, dated May 12, 1995 are
incorporated by reference from the Annual Report. Financial
Statements for the Trust as of September 30, 1995, including the
notes thereto, are incorporated by reference from the Semi-annual
Report. Financial statements for the PIMCO Money Market Fund and
PIMCO Total Return Fund II (prior to November 1, 1995, Money
Market Fund and PIMCO Managed Bond and Income Fund) as of October
31, 1995 including the related notes thereto, and the report of
Deloitte & Touche LLP on the financial statements of PIMCO
Advisors Institutional Funds as of and for the fiscal year then
ended, dated December 15, 1995; are contained in the Annual
Report of PIMCO Advisors Institutional Funds, (File Nos. 33-36528
and 811-6161), and are incorporated by reference.
(b) Exhibits
(1) (i) Declaration of Trust of Registrant/1/
-
(ii) Establishment and Designation of Global, Foreign, Low
Duration South Africa Free and Total Return South Africa
Free Portfolios as Series of Registrant/5/
-
(iii) Establishment and Designation of High Yield, Low Duration II
and Total Return II Portfolios as Series of Registrant/6/
-
(iv) Establishment and Designation of Income and Capital
Preservation Portfolio I and Income and Capital
Preservation Portfolio II as Series of Registrant/7/
-
(v) Amended and Restated Establishment and Designation of
Series of Shares of Registrant/8/
-
(vi) Amended Designation of Two Series of Registrant/8/
-
(vii) Second Amended and Restated Establishment and Designation of
Series of Shares of Registrant/9/
-
(viii) Establishment and Designation of Moderate Duration and
VersaSTYLE Equity Funds as Series of Registrant/10/
--
(ix) Amended Designation of Two Series of Registrant/14/
--
(x) Establishment and Designation of StocksPLUS Short Strategy
Fund as Series of Registrant
(2) By-laws of Registrant/1/
-
(3) Not applicable
(4) Not applicable
(5) (i) Investment Advisory Contract/2/
-
(ii) Supplements to Investment Advisory Contract Relating to
Global, Foreign, Low Duration South Africa Free and Tota
Return South Africa Free Portfolios/5/
-
(iii) Supplements to Investment Advisory Contract Relating to
High Yield, Low Duration II and Total Return II
Portfolios/6/
-
II-1
<PAGE>
(iv) Supplements to Investment Advisory Contract Relating to
Income and Capital Preservation Portfolio I and Income and
Capital Preservation Portfolio II/7/
-
(v) Form of Supplements to Investment Advisory Contract Relating
to Moderate Duration Fund and VersaSTYLE Equity Fund/10/
--
(vi) Form of Amended Investment Advisory Contract/11/
--
(vii) Form of Supplement to Investment Advisory Contract/12/
--
(viii) Form of Supplement to Investment Advisory Contract Relating
to StocksPLUS Short Strategy Fund
(6) (i) Distribution Contract/2/
-
(ii) Supplement to Distribution Contract Relating to Global,
Foreign, Low Duration South Africa Free and Total Return
South Africa Free Portfolios/5/
-
(iii) Supplement to Distribution Contract Relating to High Yield,
Low Duration II and Total Return II Portfolios/6/
-
(iv) Supplements to Distribution Contract Relating to Income and
Capital Preservation Portfolio I and Income and Capital
Preservation Portfolio II/7/
-
(v) Form of Distribution Contract as Amended May 31, 1994/9/
-
(vi) Form of Supplements to Distribution Contract Relating to
Moderate Duration Fund and VersaSTYLE Equity Fund/10/
--
(vii) Form of Amended Distribution Contract/11/
--
(viii) Form of Supplement to Distribution Contract Relating to
StocksPLUS Short Strategy Fund
(7) Not applicable
(8) Custodian Agreement/4/
-
(9) Transfer Agency Agreement/4/
-
(10) (i) Opinion of Counsel/13/
--
(ii) Consent of Counsel/3/
-
(11) Accountants' Consents
(12) Not applicable
(13) Not applicable
(14) Not applicable
(15) (i) Form of Distribution Plan for Administrative Class Shares/9/
-
(ii) Administrative Services Contract/2/
-
(iii) Supplements to Administrative Services Contract relating to
Global, Foreign, Low Duration South Africa Free and Total
Return South Africa Free Portfolios/5/
-
(iv) Supplement to Administrative Services Contract Relating to
High Yield, Low Duration II and Total Return II
Portfolios/6/
-
(v) Supplements to Administrative Services Contract Relating to
Income and Capital Preservation Portfolio I and Income and
Capital Preservation Portfolio II/7/
-
(vi) Form of Administrative Services Plan for Administrative
Class Shares/9/
-
II-2
<PAGE>
(vii) Form of Supplements to Administrative Services Contract
Relating to Moderate Duration Fund and VersaSTYLE Equity
Fund/10/
--
(viii) Form of Amended Administrative Services Contract/11/
--
(ix) Form of Amended Administrative Services Contract/12/
--
(x) Form of Supplement to Administration Agreement Relating to
StocksPLUS Short Strategy Fund
(16) Calculation of Performance/12/
--
(17) Financial Data Schedule
(18) (i) Dual-Class Plan/12/
--
(ii) Form of Amended Dual-Class Plan
____________________
/1/ Filed with initial Registration Statement on February 19, 1987
-
(File No. 33-12113).
/2/ Filed with Pre-Effective Amendment No. 2 on April 21, 1987.
-
/3/ Filed with Pre-Effective Amendment No. 4 on May 5, 1987.
-
/4/ Filed with Post-Effective Amendment No. 3 on August 1, 1988.
-
/5/ Filed with Post-Effective Amendment No. 8 on August 3, 1990.
-
/6/ Filed with Post-Effective Amendment No. 10 on May 31, 1991.
-
/7/ Filed with Post-Effective Amendment No. 12 on August 29, 1991.
-
/8/ Filed with Post-Effective Amendment No. 15 on June 1, 1992.
-
/9/ Filed with Post-Effective Amendment No. 20 on June 1, 1994.
-
/10/ Filed with Post-Effective Amendment No. 21 on August 1, 1994.
--
/11/ Filed with Post-Effective Amendment No. 22 on November 30, 1994.
--
/12/ Filed with Post-Effective Amendment No. 23 on June 1, 1995.
--
/13/ Filed with Registrant's Rule 24f-2 Notice.
--
/14/ Filed with Post-Effective Amendment No. 24 on July 31, 1995.
--
Item 25. Persons Controlled by or Under Common Control With Registrant
-------------------------------------------------------------
No person is controlled by or under common control with the
Registrant.
II-3
<PAGE>
Item 26. Number of Holders of Securities
-------------------------------
As of January 3, 1996, the number of record holders of each Fund and
Class thereof of the Registrant were as follows:
<TABLE>
<CAPTION>
Institutional Administrative
Fund Class Class
---- ------------- --------------
<S> <C> <C>
Money Market 119 1
Short-Term 93 0
Low Duration 556 7
Low Duration II 48 0
Low Duration III 0 0
Moderate Duration 0 0
High Yield 89 2
Total Return 1147 26
Total Return II 156 6
Total Return III 21 0
Commercial Mortgage Securities 0 0
Long-Term U.S. Government 23 0
Foreign 46 0
Global 29 0
International 102 0
StocksPLUS 29 0
Growth Stock 9 0
VersaSTYLE Equity 1 0
</TABLE>
Item 27. Indemnification
---------------
Reference is made to Article IV of the Registrant's Declaration of
Trust, which was filed with the Registrant's initial Registration
Statement.
Insofar as indemnification for liabilities arising under the
Securities Act of 1933 may be permitted to trustees, officers and
controlling persons of the Registrant by the Registrant pursuant to
the Declaration of Trust or otherwise, the Registrant is aware that in
the opinion of the Securities and Exchange Commission, such
indemnification is against public policy as expressed in the Act and,
therefore, is unenforceable. In the event that a claim for
indemnification against such liabilities (other than the payment by
the Registrant of expenses incurred or paid by trustees, officers or
controlling persons of the Registrant in connection with the
successful defense of any act, suit or proceeding) is asserted by such
trustees, officers or controlling persons in connection with the
shares being registered, the Registrant will, unless in the opinion of
its counsel
II-4
<PAGE>
the matter has been settled by controlling precedent, submit to a
court of appropriate jurisdiction the question whether such
indemnification by it is against public policy as expressed in the Act
and will be governed by the final adjudication of such issues.
Item 28. Business and Other Connections of Investment Adviser
----------------------------------------------------
PIMCO, the investment adviser to the Trust, is a subsidiary
partnership of PIMCO Advisors L.P. ("PIMCO Advisors"). The general
partner of PIMCO Advisors is PIMCO Partners, G.P., a general
partnership between Pacific Investment Management Company, an indirect
wholly-owned subsidiary of Pacific Mutual Life Insurance Company
("Pacific Mutual"), and PIMCO Partners LLC, a limited liability
company controlled by the PIMCO Managing Directors.
The directors and officers of PIMCO and their business and other
connections are as follow:
<TABLE>
<CAPTION>
Name Business and Other Connections
- ---- ------------------------------
<S> <C>
Allan, George C. Vice President, PIMCO
Arnold, Tamara J. Vice President, PIMCO
Barbi, Leslie A. Vice President, PIMCO
Benz, William R. Executive Vice President, PIMCO
Brynjolfsson, John B. Vice President, PIMCO
Burns, R. Wesley Vice President, PIMCO
Daniels, Charles M. III Executive Vice President, PIMCO
Dunn, Anita Vice President, PIMCO
Edington, David H. Managing Director, PIMCO
Ehlert, Benjamin A. Executive Vice President, PIMCO
Ettl, Robert A. Vice President, PIMCO
Fitzgerald, Robert M. Treasurer, PIMCO
Fraizer, Sherri A. Assistant Secretary, PIMCO
Gross, William H. Managing Director and Director, PIMCO
Hague, John L. Managing Director, PIMCO
</TABLE>
II-5
<PAGE>
<TABLE>
<CAPTION>
Name Business and Other Connections
- ---- ------------------------------
<S> <C>
Hally, Gordon C. Executive Vice President, PIMCO
Hardaway, John P. Vice President, PIMCO
Harris, Brent R. Managing Director, PIMCO
Hodge, Douglas M. Vice President, PIMCO
Holden, Brent L. Executive Vice President, PIMCO
Holloway, Dwight F., Jr. Vice President, PIMCO
Howe, Jane T. Vice President, PIMCO
Isberg, Margaret E. Executive Vice President, PIMCO
Loftus, John S. Executive Vice President, PIMCO
Meiling, Dean S. Managing Director, PIMCO
Muzzy, James F. Managing Director, PIMCO
Podlich, William F. III Managing Director, PIMCO
Powers, William C. Managing Director, PIMCO
Rabinovitch, Frank B. Managing Director, PIMCO
Rennie, Edward P. Vice President, PIMCO
Sargent, Jeffrey M. Vice President, PIMCO
Schmider, Ernest L. Vice President, Chief Administrative and Legal Officer,
PIMCO
Scholey, Leland T. Vice President, PIMCO
Thompson, William S. Chief Executive Officer and Managing
Jr. Director, PIMCO
Trosky, Benjamin L. Executive Vice President, PIMCO
Wagner, Teresa A. Vice President, PIMCO
Ward, Andrew C. Vice President, PIMCO
Ward, James G. Vice President, PIMCO
</TABLE>
II-6
<PAGE>
<TABLE>
<CAPTION>
Name Business and Other Connections
- ---- ------------------------------
<S> <C>
Willner, Ram Vice President, PIMCO
Wood, George H. Vice President, PIMCO
</TABLE>
The address of PIMCO is 840 Newport Center Drive, Newport Beach, CA 92260.
The address of PIMCO Advisors, L.P. is 800 Newport Center Drive, Newport Beach,
CA 92660.
The address of PIMCO Advisors Distribution Company is One Station Place, 7
South, Stamford, CT 06902.
Item 29. Principal Underwriters
----------------------
(a) PIMCO Advisors Distribution Company (the "Distributor") serves as
Distributor of Shares of the Trust. The Distributor also acts as
the principal underwriter for PIMCO Advisors Funds and PIMCO
Advisors Institutional Funds. The Distributor is a wholly-owned
subsidiary of PIMCO Advisors.
(b)
<TABLE>
<CAPTION>
Name and Principal Positions and Offices Positions and Offices
Business Address* with Underwriter with Registrant
- ------------------------- -------------------------- ----------------------
<S> <C> <C>
Booth, Jeffrey L. Vice President None
Cotten, Lesley Vice President None
Ittner, Edward C., Jr. Regional Vice President None
Janeczek, Edward W. Vice President None
</TABLE>
II-7
<PAGE>
<TABLE>
<CAPTION>
Name and Principal Positions and Offices Positions and Offices
Business Address* with Underwriter with Registrant
- ------------------------- -------------------------- ----------------------
<S> <C> <C>
Leasure, John O. President & CEO, Director None
Lynch, William E. Regional Vice President None
Meyers, Andrew J. Executive Vice President None
Moody, Paul R. Regional Vice President None
Newman, Samuel C. Senior Vice President/ None
Compliance/Asst. Secretary
Prindiville, Robert A. Chairman, Director None
Russell, Matthew M. Vice President None
Schott, Newton B., Jr. Senior Vice President/ None
Secretary, Director
Thomas, William H., Jr. Regional Vice President None
Troyer, Paul H. Regional Vice President None
Trumbore, Brian F. Senior Vice President None
</TABLE>
- -------------
*/ The business address of all directors and officers of the Distributor is One
- -
Station Place, 7 South, Stamford, CT 06902.
Item 30. Location of Accounts and Records
--------------------------------
The account books and other documents required to be maintained by
Registrant pursuant to Section 31(a) of the Investment Company Act of
1940 and the Rules thereunder will be maintained at the offices of
Pacific Investment Management Company, 840 Newport Center Drive,
Newport Beach, California 92660 and at the offices of the Trust's
Custodians, Investors Fiduciary Trust Company, 127 West 10th Street,
Kansas City, Missouri 64105.
II-8
<PAGE>
Item 31. Management Services
-------------------
Not applicable
Item 32. Undertakings
------------
(a) Not applicable.
(b) Registrant undertakes to file a post-effective amendment, using
financial statements which need not be certified, within four to
six months from the effective date of Registrant's 1933 Act
registration statement, or post-effective amendment thereto which
provides for the addition of a new series of Registrant.
(c) Registrant undertakes to furnish to each person to whom a
prospectus is delivered with a copy of Registrant's latest
annual report to shareholders upon request and without charge.
(d) Registrant undertakes to call a meeting of shareholders for the
purpose of considering the removal of a person serving as Trustee
if requested in writing to do so by the holders of not less than
10% of the outstanding shares of Registrant.
II-9
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933 and the
Investment Company Act of 1940, the Registrant has duly caused this Post-
Effective Amendment No. 27 to its Registration Statement to be signed on its
behalf by the undersigned, thereunto duly authorized, in the City of Washington
in the District of Columbia on the 12th day of January, 1996.
PIMCO FUNDS
(Registrant)
By: _____________________________________
R. Wesley Burns*++++
President
*By: /s/ Robert W. Helm
-------------------------------------
Robert W. Helm, as attorney-in-fact
Pursuant to the requirements of the Securities Act of 1933, this
Registration Statement has been signed by the following persons in the
capacities and on the dates indicated:
<TABLE>
<CAPTION>
Signature Title Date
<S> <C> <C>
___________________________ Trustee January 12, 1996
Guilford C. Babcock*+
___________________________ Trustee January 12, 1996
Thomas P. Kemp*+
___________________________ Trustee January 12, 1996
Brent R. Harris*+++
___________________________ Trustee January 12, 1996
William J. Popejoy* +++++
___________________________ Trustee January 12, 1996
Vern O. Curtis*++++++
___________________________ President January 12, 1996
R. Wesley Burns*++++ (Principal
Executive
Officer)
___________________________ Treasurer January 12, 1996
John P. Hardaway++* (Principal
Financial
and Accounting
Officer)
*By: /s/ Robert W. Helm
-----------------------
Robert W. Helm,
as attorney-in-fact
</TABLE>
II-10
<PAGE>
___________________
+ Pursuant to power of attorney filed with Post-Effective Amendment
No. 1 to Registration Statement No. 33-12113 on November 6, 1987.
++ Pursuant to power of attorney filed with Post-Effective Amendment
No. 10 to Registration Statement No. 33-12113 on May 31, 1991.
+++ Pursuant to power of attorney filed with Post-Effective Amendment
No. 14 to Registration Statement No. 33-12113 on April 28, 1992.
++++ Pursuant to power of attorney filed with Post-Effective Amendment
No. 20 to Registration Statement No. 33-12113 on June 1, 1995.
+++++ Pursuant to power of attorney filed with Post-Effective Amendment
No. 22 to Registration Statement No. 33-12113 on November 30, 1994.
++++++ Pursuant to power of attorney filed with Post-Effective Amendment
No. 23 to Registration Statement No. 33-12113 on June 1, 1995.
II-11
<PAGE>
PIMCO FUNDS
INDEX TO EXHIBITS
FILED WITH
POST-EFFECTIVE AMENDMENT NO. 27
<TABLE>
<C> <S>
EXHIBIT 1(x) Form of Establishment and Designation of StocksPLUS Short
Strategy Fund as Series of Registrant.
EXHIBIT 5(viii) Form of Supplement to Investment Advisory Contract Relating
to StocksPLUS Short Strategy Fund.
EXHIBIT 6(viii) Form of Supplement to Distribution Contract Relating to
StocksPLUS Short Strategy Fund.
EXHIBIT 11 Consents of Independent Accountants
EXHIBIT 15(x) Form of Supplement to Administration Agreement Relating to
StocksPLUS Short Strategy Fund.
EXHIBIT 17 Financial Data Schedules
EXHIBIT 18(ii) Form of Amended Dual-Class Plan
</TABLE>
<PAGE>
EXHIBIT 1(x)
FORM OF ESTABLISHMENT AND DESIGNATION OF STOCKSPLUS SHORT
STRATEGY FUND AS SERIES OF REGISTRANT
<PAGE>
Establishment and Designation of One
Additional Series of Shares of Beneficial Interest,
Par Value $0.0001 Per Share, of
PIMCO Funds
(formerly Pacific Investment Management Institutional Trust)
RESOLVED, that pursuant to Section 5.12(a) of the Declaration of Trust
of PIMCO Funds (formerly the Pacific Investment Management Institutional Trust)
(the "Trust") dated February 19, 1987, as amended ("Declaration"), the shares of
beneficial interest of the Trust shall be divided into one additional separate
Series (the "Fund");
FURTHER RESOLVED, that the Fund shall have the following special and
relative rights:
1. The Fund shall be designated the "StocksPLUS Short Strategy Fund."
2. The Fund shall issue its shares of beneficial interest with
respect to two classes: the Institutional Class or Class A, and the
Administrative Class or Class B.
3. The Fund shall be authorized to invest in cash, securities,
instruments and other property as from time to time described in the Trust's
then currently effective prospectuses and registration statement under the
Securities Act of 1933. Each share of beneficial interest of the Fund ("Share")
shall be redeemable, shall be entitled to one vote (or fraction thereof in
respect of a fractional Share) on matters on which Shares of the Fund shall be
entitled to vote, shall represent a pro rata beneficial interest in the assets
allocated to the Fund, and shall be entitled to receive its pro rata share of
net assets of the Fund upon liquidation of the Fund, all as provided in the
Declaration.
4. Each Share of the Fund shall be entitled to one vote (or fraction
thereof in respect of a fractional Share) on matters on which such Shares of the
Fund shall be entitled to vote. Shareholders of Fund shall vote separately as a
class on any matter, except, consistent with the Investment Company Act of 1940,
as amended ("the Act"), and the rules and the Trust's registration statement
thereunder, with respect to (i) the election of Trustees, (ii) any amendment of
the Declaration, unless the amendment affects fewer than all classes of Shares,
in which case only shareholders of the affected classes shall vote, and (iii)
ratification of the selection of auditors, and except when the Trustees have
determined that the matter affects only the interests of shareholders of a
particular class of Shares, in
<PAGE>
which case only the shareholders of such class shall be entitled to vote
thereon. In each case of separate voting, the Trustees shall determine whether,
for the matter to be effectively acted upon within the meaning of Rule 18f-2
under the Act (or any successor rule) as to a Fund or class, the applicable
percentage (as specified in the Declaration, or the Act and the rules
thereunder) of the shares of that Fund or class alone must be voted in favor of
the matter, or whether the favorable vote of such applicable percentage of the
shares of each Fund or class entitled to vote on the matter is required.
5. (a) The assets and liabilities of the Trust shall be allocated
among the Funds as set forth in Section 5.11 of the Declaration, except that
only the preexisting Funds shall bear their allocable portion of the remaining
unamortized costs incurred and payable in connection with their organization and
registration; costs of establishing the Funds and of the registration and public
offering of their Shares shall be amortized for such Funds over the period
beginning on the date such costs become payable and ending sixty months
thereafter.
(b) Liabilities, expenses, costs, charges or reserves relating to
the distribution of, and other identified expenses that should properly be
allocated to, the Shares of a particular class may be charged to and borne
solely by such class and the bearing of expenses solely by a class of Shares may
be appropriately reflected and cause differences in the net asset value
attributable to and the dividend, redemption and liquidation rights of, the
Shares of different classes.
(c) Each allocation of liabilities, expenses, costs, charges and
reserves by the Trustees shall be conclusive and binding upon the Shareholders
of all classes for all purposes.
6. Shares of each class of the Fund may vary between themselves as to
rights of redemption and conversion rights, as may be approved by the Trustees
and set out in the Fund's then-current prospectus.
7. The Trustees shall have the right at any time and from time to
time to reallocate assets and expenses or to change the designation of the Fund
or classes hereby created, or to otherwise change the special and relative
rights of the Fund or classes, provided that such change shall not adversely
affect the rights of the Shareholders of the Fund or classes.
- 2 -
<PAGE>
IN WITNESS WHEREOF, the undersigned have executed this instrument the
21st day of November, 1995.
______________________________
Brent R. Harris
______________________________
Guilford C. Babcock
______________________________
William J. Popejoy
______________________________
Vern O. Curtis
______________________________
Thomas P. Kemp
- 3 -
<PAGE>
EXHIBIT 5(viii)
FORM OF SUPPLEMENT TO INVESTMENT ADVISORY CONTRACT
RELATING TO STOCKSPLUS SHORT STRATEGY FUND
<PAGE>
SUPPLEMENT TO
INVESTMENT ADVISORY CONTRACT
PIMCO Funds
840 Newport Center Drive
Newport Beach, California 92660
November 21, 1995
Pacific Investment
Management Company
840 Newport Center Drive
Newport Beach, California 92660
RE: StocksPLUS Short Strategy Fund
Dear Sirs:
This will confirm the agreement between the undersigned (the "Trust")
and Pacific Investment Management Company (the "Adviser") as follows:
1. The Trust is an open-end management investment company organized
as a Massachusetts business trust and consisting of such separate investment
portfolios as have been or may be established by the Trustees of the Trust from
time to time. A separate class of shares of beneficial interest in the Trust is
offered to investors with respect to each investment portfolio. The StocksPLUS
Short Strategy Fund (the "Fund") is a separate investment portfolio of the
Trust.
2. The Trust and the Adviser have entered into an Investment Advisory
Contract ("Contract") dated November 22, 1994, as amended, pursuant to which the
Trust has employed the Adviser to provide investment advisory and other services
specified in the Contract, and the Adviser has accepted such employment.
3. As provided in paragraph 1 of the Contract, the Trust hereby
appoints the Adviser to serve as Investment Adviser with respect to the Fund,
and the Adviser accepts such appointment, the terms and conditions of such
employment to be governed by the Contract, which is hereby incorporated herein
by reference.
4. As provided in paragraph 6 of the Contract and subject to further
conditions as set forth therein, the Trust shall with respect to the Fund pay
the Adviser a monthly fee on the first business day of each month, based upon
the average daily value (as determined on each business day at the time set
forth in the
<PAGE>
Prospectus for determining net asset value per share) of the net assets of the
Fund during the preceding month at the annual rate of 0.40%.
5. This Supplement and the Contract shall become effective with
respect to the Fund on November 21, 1995, and shall thereafter continue in
effect with respect to the Fund for a period of more than two years from such
date only so long as the continuance is specifically approved at least annually
(a) by the vote of a majority of the outstanding voting securities of the Fund
(as defined in the 1940 Act) or by the Trust's Board of Trustees and (b) by the
vote, cast in person at a meeting called for that purpose, of a majority of the
Trust's Trustees who are not parties to this Contract or "interested persons"
(as defined in the Investment Company Act of 1940 ("1940 Act")) of any such
party. This Contract may be terminated with respect to the Trust at any time,
without the payment of any penalty, by vote of a majority of the outstanding
voting securities of the Fund (as defined in the 1940 Act) or by a vote of a
majority of the Trust's entire Board of Trustees on 60 days' written notice to
the Adviser. This Contract shall terminate automatically in the event of its
assignment (as defined in the 1940 Act).
If the foregoing correctly sets forth the agreement between the Trust
and the Adviser, please so indicate by signing and returning to the Trust the
enclosed copy hereof.
Very truly yours,
PIMCO FUNDS
BY:_____________________________
TITLE:
ACCEPTED:
PACIFIC INVESTMENT
MANAGEMENT COMPANY
BY: ________________________
TITLE:
- 2 -
<PAGE>
EXHIBIT 6(viii)
FORM OF SUPPLEMENT TO DISTRIBUTION CONTRACT RELATING TO
STOCKSPLUS SHORT STRATEGY FUND
<PAGE>
SUPPLEMENT TO
DISTRIBUTION CONTRACT
PIMCO Funds
840 Newport Center Drive
Newport Beach, California 92660
November 21, 1995
PIMCO Advisors Distribution Company
One Station Place
Stamford, CT 06902
RE: StocksPLUS Short Strategy Fund
------------------------------
Dear Sirs:
This will confirm the agreement between the undersigned (the "Trust")
and PIMCO Advisors Distribution Company (the "Distributor") as follows:
1. The Trust is an open-end management investment company organized
as a Massachusetts business trust and consisting of such separate investment
portfolios as have been or may be established by the Trustees of the Trust from
time to time. A separate class of shares of beneficial interest in the Trust is
offered to investors with respect to each investment portfolio. The StocksPLUS
Short Strategy Fund (the "Fund") is a separate investment portfolio of the
Trust.
2. The Trust and the Distributor have entered into a Distribution
Contract (the "Contract") dated November 15, 1994, pursuant to which the
Distributor has agreed to be the distributor of shares of the Trust.
3. As provided in paragraph 1 of the Contract, the Distributor hereby
adopts the Contract with respect to the Fund and the Distributor hereby
acknowledges that the Contract shall pertain to the Fund, the terms and
conditions of such Contract being hereby incorporated herein by reference.
4. This Supplement and the Contract shall become effective with
respect to the Fund on November 21, 1995 and shall continue in effect until such
time as there shall remain no unsold balance of shares registered under the 1933
Act, provided that this Contract shall continue in effect for a period of more
--------
than two years from the effective date of this Supplement only so long as such
continuance is specifically approved at least annually by (a) the Trust's Board
of Trustees or by the vote of a majority of the Trust's outstanding voting
securities (as defined in the 1940 Act) and (b) by the vote, cast in person at a
meeting called for
<PAGE>
the purpose, of a majority of the Trust's Trustees who are not parties to this
Contract or "interested persons" (as defined in the 1940 Act) of any such party.
This Contract shall terminate automatically in the event of its assignment (as
defined in the 1940 Act). This Contract may, in any event, be terminated at any
time without the payment of any penalty, by the Trust upon 60 days' written
notice to the Distributor and by the Distributor upon 60 days' written notice to
the Trust.
If the foregoing correctly sets forth the agreement between the Trust
and the Distributor, please so indicate by signing and returning to the Trust
the enclosed copy hereof.
Very truly yours,
PIMCO FUNDS
BY:__________________________
TITLE:
ACCEPTED:
PIMCO ADVISORS DISTRIBUTION COMPANY
BY: _________________________________
TITLE:
- 2 -
<PAGE>
EXHIBIT 15(x)
FORM OF SUPPLEMENT TO ADMINISTRATION AGREEMENT RELATING
TO STOCKSPLUS SHORT STRATEGY FUND
<PAGE>
SUPPLEMENT TO
ADMINISTRATION AGREEMENT
PIMCO Funds
840 Newport Center Drive
Newport Beach, California 92660
November 21, 1995
Pacific Investment Management Company
840 Newport Center Drive
Newport Beach, California 92660
RE: StocksPLUS Short Strategy Fund
Dear Sirs:
This will confirm the agreement between the undersigned (the "Trust")
and Pacific Investment Management Company (the "Administrator") as follows:
1. The Trust is an open-end management investment company organized
as a Massachusetts business trust, and consisting of such separate investment
portfolios as have been or may be established by the Trustees of the Trust from
time to time. A separate class of shares of beneficial interest of the Trust is
offered to investors with respect to each investment portfolio. The StocksPLUS
Short Strategy Fund (the "Fund") is a separate investment portfolio of the
Trust.
2. The Trust and the Administrator have entered into an
Administration Agreement (the "Agreement") dated October 1, 1995, pursuant to
which the Administrator has agreed to provide management and administrative
services to the Trust as set forth in that Agreement.
3. As provided in paragraph 1 of the Agreement, the Trust hereby
adopts the Agreement with respect to the Fund and the Administrator hereby
acknowledges that the Agreement shall pertain to the Fund, the terms and
conditions of such Agreement being hereby incorporated herein by reference.
4. As provided in paragraph 5 of the Agreement and subject to further
conditions as set forth therein, the Trust shall with respect to the Fund pay
the Administrator a monthly fee calculated as a percentage (on an annual basis)
of the average daily value of net assets of the Fund during the preceding month,
at the rate of 0.25%.
<PAGE>
5. This Supplement and the Agreement shall become effective with
respect to the Fund on November 21, 1995 and shall continue in effect with
respect to the Fund for a period of more than two years from such date only so
long as the continuance is specifically approved at least annually by a vote of
a majority of (i) the Trust's Board of Trustees and (ii) the Trustees who are
not "interested persons" (as defined in the 1940 Act) of the Trust and who have
no direct or indirect financial interest in the Agreement, by vote cast in
person at a meeting called for the purpose of voting on such approval. This
Agreement may be terminated with respect to the Fund at any time, without
payment of any penalty, by vote of a majority of the Trustees of the Trust who
are not "interested persons" (as defined in the 1940 Act) and who have no direct
or indirect financial interest in this Agreement on 60 days' written notice to
the Administrator. This Agreement shall terminate automatically in the event of
its assignment (as defined in the 1940 Act).
If the foregoing correctly sets forth the agreement between the Trust
and the Administrator, please so indicate by signing and returning to the Trust
the enclosed copy hereof.
Very truly yours,
PIMCO FUNDS
BY:__________________________
TITLE:
ACCEPTED:
PACIFIC INVESTMENT MANAGEMENT COMPANY
BY: ________________________
TITLE:
- 2 -
<PAGE>
EXHIBIT 11
ACCOUNTANTS' CONSENTS
<PAGE>
[LETTERHEAD OF DELOITTE & TOUCHE LLP]
CONSENT OF INDEPENDENT AUDITORS
PIMCO Advisors Institutional Funds:
We hereby consent to the incorporation by reference in Post-Effective Amendment
No. 27 under the Securities Act of 1933 and Amendment No. 31 under the
Investment Company Act of 1940 to Registration Statement No. 33-12113 on Form
N-1A of our report dated December 15, 1995 related to PIMCO Advisors
Institutional Funds appearing in the financial statements which are included in
the Statement of Additional Information; to the reference to us under the
heading "Financial Highlights" appearing in the prospectus of PIMCO Funds; and
to the reference to us under the heading "Financial Statements" in the Statement
of Additional Information for PIMCO Funds, which are a part of such Registration
Statement.
January 11, 1996
<PAGE>
CONSENT OF INDEPENDENT ACCOUNTANTS
We hereby consent to the incorporation by reference in the Prospectus and
Statement of Additional Information constituting parts of this Post-Effective
Amendment No. 27 to the registration statement on Form N-1A (the "Registration
Statement") of our reports dated May 12, 1995, relating to the financial
statements and financial highlights appearing in the March 31, 1995 Annual
Report to Shareholders 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, StocksPLUS
Fund, Total Return Fund II, International Fund and the VersaSTYLE Equity Fund of
the PIMCO Funds, which are also incorporated by reference into the Registration
Statement. We also consent to the references to us under the heading "Financial
Highlights" in the Prospectus and under the headings "Independent Accountants"
and "Financial Statements" in the Statement of Additional Information.
/s/ PRICE WATERHOUSE LLP
---------------------------------
Price Waterhouse LLP
Kansas City, Missouri
January 12, 1996
<PAGE>
EXHIBIT 18(ii)
FORM OF AMENDED DUAL-CLASS PLAN
<PAGE>
DUAL CLASS PLAN PURSUANT TO RULE 18F-3
FOR
PIMCO FUNDS
WHEREAS, PIMCO Funds (the "Trust"), is registered as an open-end
management investment company under the Investment Company Act of 1940, as
amended (the "1940 Act");
WHEREAS, the Trust issues shares of beneficial interest in separate
series, including Money Market Fund, Short-Term Fund, Low Duration Fund, Low
Duration Fund II, Low Duration Fund III, Moderate Duration Fund, High Yield
Fund, Total Return Fund, Total Return Fund II, Total Return Fund III, Commercial
Mortgage Securities Fund, Long-Term U.S. Government Fund, Global Fund, Foreign
Fund, International Fund, StocksPLUS Fund, StocksPLUS Short Strategy Fund,
Growth Stock Fund and VersaSTYLE Equity Fund (the "Funds");
WHEREAS, the Trust desires to adopt, on behalf of each of the Funds, a
Dual Class Plan pursuant to Rule 18f-3 under the 1940 Act (the "Plan") with
respect to each of the Funds; and
WHEREAS, pursuant to a Distribution Contract dated November 22, 1994,
the Trust employs PIMCO Advisors Distribution Company as Distributor for the
Funds.
NOW THEREFORE, the Trust hereby adopts, on behalf of the Funds, the
Plan in accordance with Rule 18f-3 under the 1940 Act, subject to the following
terms and conditions:
1. FEATURES OF THE CLASSES. Each of the Funds issues its shares of
beneficial interest in two classes: the "Institutional Class" shares and the
"Administrative Class" shares. Shares of each Class of a Fund, regardless of
class designation, shall represent an equal pro rata interest (based on relative
net asset values) in the portfolio securities of that Fund, and shall have
identical voting, dividend, liquidation and other rights, preferences, powers,
restrictions, limitations, qualifications, designations and terms and
conditions, except that: (a) each class shall have a different designation; (b)
each class of shares shall bear any Class Expenses, as defined in Section 3
below; and (c) each class shall have exclusive voting rights on any matter
submitted to shareholders that relates solely to its service or distribution
arrangement and each class shall have separate voting rights on any matter
submitted to shareholders in which the interests of one class differ from the
interests of any other class. In addition, Institutional Class shares and
Administrative Class shares shall have the features described in Sections 4 and
5 below.
<PAGE>
2. SERVICE AND DISTRIBUTION PLANS.
(a) Administrative Class Shares. The Trust has adopted an
---------------------------
Administrative Services Plan and a Distribution Plan with respect to the
Administrative Class shares of each Fund. Under the terms of each Plan, the
Trust is permitted to reimburse, out of the Administrative Class assets of each
Fund, in an amount up to 0.25% on an annual basis of the average daily net
assets of that class, financial intermediaries that provide services in
connection with the distribution of shares or administration of plans or
programs that use Fund shares as their funding medium. The same entity may not
receive both distribution and administrative services fees with respect to the
same assets but may with respect to separate assets receive fees under both a
Distribution Plan and an Administrative Services Plan.
Under the terms of the Distribution Plan, these services may include,
but are not limited to, the following functions: providing facilities to answer
questions from prospective investors about the Funds; receiving and answering
correspondence, including requests for prospectuses and statements of additional
information; preparing, printing and delivering prospectuses and shareholder
reports to prospective shareholders; complying with federal and state securities
laws pertaining to the sale of Administrative Class shares; and assisting
investors in completing application forms and selecting dividend and other
account options.
Under the terms of the Administrative Services Plan, the services may
include, but are not limited to, the following functions: receiving,
aggregating, and processing shareholder orders; furnishing shareholder sub-
accounting; providing and maintaining elective shareholder services such as
checkwriting and wire transfer services; providing and maintaining preauthorized
investment plans; communicating periodically with shareholders; acting as the
sole shareholder of record and nominee for shareholders; maintaining account
records for shareholders; answering questions and handling correspondence from
shareholders about their accounts; issuing confirmations for transactions by
shareholders; and performing similar account administrative services.
(b) Institutional Class Shares. The Trust has not adopted an
--------------------------
Administrative Services Plan or a Distribution Plan with respect to the
Institutional Class shares of the Funds. However, Institutional Class shares
may be offered through certain brokers and financial intermediaries ("service
agents") that have established a shareholder servicing relationship with the
Trust on behalf of their customers. The Trust pays no compensation to such
entities. Service agents may impose
- 2 -
<PAGE>
additional or different conditions on the purchase or redemption of Trust shares
and may charge transaction or account fees. Service agents are responsible for
transmitting to their customers a schedule of any such fees and conditions.
3. ALLOCATION OF INCOME AND EXPENSES. (a) The net asset value of all
outstanding shares representing interests in a Fund shall be computed on the
same days and at the same times. For purposes of computing net asset value, the
gross investment income of each Fund shall be allocated to each class on the
basis of the relative net assets of each class at the beginning of the day
adjusted for capital share activity for each class as of the prior day as
reported by the Fund's transfer agent, for non-daily dividend Funds; and on the
basis of the relative value of settled shares at the beginning of the day
adjusted for receipt of settled AM wires (if applicable), for daily-dividend
Funds. Realized and unrealized gains and losses for both classes will be
allocated based on relative net assets at the beginning of the day, adjusted for
capital share activity for each class as of the prior day, as reported by the
Fund's transfer agent. To the extent practicable, certain expenses, (other than
Class Expenses as defined below which shall be allocated more specifically),
shall be allocated to each class based on the relative net assets of each class
at the beginning of the day, adjusted for capital share activity for each class
as of the prior day, as reported by the Fund's transfer agent, for non-daily
dividend Funds; and on the basis of the relative value of settled shares at the
beginning of the day adjusted for receipt of settled AM wires (if applicable),
for daily-dividend Funds. Allocated expenses to each class shall be subtracted
from allocated gross income. These expenses include:
(1) Expenses incurred by the Trust as a registered series investment
company and not attributable to a particular Fund or to a particular class of
shares thereof ("Trust Expenses"); and
(2) Expenses incurred by a particular Fund but not attributable to any
particular class of such Fund's shares ("Fund Expenses").
(b) Expenses attributable to a particular class ("Class Expenses")
shall be limited to: (i) payments made pursuant to the Administrative Services
Plan or Distribution Plan; (ii) transfer agent fees attributable to a specific
class; (iii) printing and postage expenses related to preparing and distributing
materials such as shareholder reports, prospectuses and proxies to current
shareholders of a specific class; (iv) Blue Sky registration fees incurred by a
class; (v) SEC registration fees incurred by a class; (vi) the expense of
administrative personnel and services to support the shareholders of a specific
class; (vii) litigation
- 3 -
<PAGE>
or other legal expenses relating solely to one class; and (viii) Trustees' fees
incurred as a result of issues relating solely to one class. Expenses in
category (i) above must be allocated to the class for which such expenses are
incurred. All other "Class Expenses" listed in categories (ii)-(viii) above may
be allocated to a class, but only if the President and Chief Financial Officer
have determined, subject to Board approval or ratification, which of such
categories of expenses will be treated as Class Expenses, consistent with
applicable legal principles under the 1940 Act and the Internal Revenue Code of
1986, as amended.
Therefore, expenses of a Fund shall be apportioned to each class of
shares depending upon the nature of the expense item. Trust Expenses and Fund
Expenses will be allocated between the classes of shares based on the relative
net assets of each class at the beginning of the day, adjusted for capital share
activity for each class as of the prior day, as reported by the Fund's transfer
agent, for non-daily dividend Funds; and based on the relative value of settled
shares adjusted for receipt of settled AM wires (if applicable) at the beginning
of the day for daily-dividend Funds. Approved Class Expenses shall be allocated
to the particular class to which they are attributable. In addition, certain
expenses may be allocated differently if their method of imposition changes.
Thus, if a Class Expense can no longer be attributed to a class, it will be
charged to a Fund for allocation among classes, as determined by the Board of
Trustees. Any additional Class Expenses not specifically identified above which
are subsequently identified and determined to be properly allocated to one class
of shares shall not be so allocated until approved by the Board of Trustees of
the Trust in light of the requirements of the 1940 Act and the Internal Revenue
Code of 1986, as amended.
4. EXCHANGE PRIVILEGES. Shareholders may exchange shares of one
class of a Fund for shares of an identical class of any other Fund of the Trust,
or an identical class of any series of PIMCO Funds: Equity Advisors Series,
based upon each Fund's net asset value per share, except that only private
account clients of Pacific Investment Management Company may purchase shares of
the International Fund.
5. CONVERSION FEATURES. No conversion from Institutional Class
shares into Administrative Class shares, or vice versa, is currently offered.
6. QUARTERLY AND ANNUAL REPORTS. The Trustees shall receive
quarterly and annual statements concerning distribution and servicing
expenditures complying with paragraph (b)(3)(ii) of Rule 12b-1, as it may be
amended from time to time. In the statements, only expenditures properly
attributable to the
- 4 -
<PAGE>
distribution or servicing of Administrative Class shares will be used to justify
any fee attributable to that class. Expenditures not related to the
distribution or servicing of Administrative Class shares shall not be presented
to the Trustees to justify any fee attributable to that class. The statements,
including the allocations upon which they are based, shall be subject to the
review and approval of the independent Trustees in the exercise of their
fiduciary duties.
7. ACCOUNTING METHODOLOGY. The following procedures shall be
implemented in order to meet the objective of properly allocating income and
expenses among the Funds:
(1) On a daily basis, the Trust's Fund Accounting Service
Organization ("Fund Accountant") shall calculate the payments pursuant to the
Administrative Services Plan or Distribution Plan to be charged to each
Administrative Class of shares of a Fund by calculating the beginning of the
day's net assets attributable to the Administrative Class shares multiplied by
the annual fee rate for that class.
(2) The Fund Accountant will allocate designated Class Expenses,
if any, to the respective classes.
(3) The Fund Accountant will allocate income and Trust and Fund
Expenses between the classes of shares based on the net asset value of each
class in relation to the net asset value of the Fund for Fund Expenses, and in
relation to the net asset value of the Trust for Trust Level Expenses. These
calculations shall be based on the relative net assets of each class at the
beginning of the day, adjusted for capital share activity for each class as of
the prior day, as reported by the Fund's transfer agent, for non-daily dividend
funds; and based on the relative value of settled shares at the beginning of the
day adjusted for receipt of settled AM wires (if applicable), for daily dividend
funds.
(4) The Fund Accountant shall then complete the appropriate
worksheets (see Attachments) using the allocated income and expense calculations
from Paragraph (3) above, and the additional fees calculated from Paragraphs
(1), and (2) above. The Fund Accountant may make non-material changes to the
form of the worksheets as it deems appropriate.
(5) The Fund Accountant shall develop and use appropriate internal
control procedures to assure the accuracy of its calculations and appropriate
allocation of income and expenses in accordance with this Plan.
- 5 -
<PAGE>
8. WAIVER OR REIMBURSEMENT OF EXPENSES. Expenses may be waived or
reimbursed by the adviser to the Trust, by the Trust's underwriter or any other
provider of services to the Trust without the prior approval of the Trust's
Board of Trustees.
9. EFFECTIVENESS OF PLAN. This Plan shall not take effect until it
has been approved by votes of a majority of both (a) the Trustees of the Trust
and (b) those Trustees of the Trust who are not "interested persons" of the
Trust (as defined in the 1940 Act) and who have no direct or indirect interest
in the operation of the Plan, cast in person at a meeting (or meetings) call for
the purpose of voting on this Plan.
10. MATERIAL MODIFICATION. This Plan may not be amended to modify
materially its terms unless such amendment is approved in the manner provided
for initial approval in Paragraph 9 hereof.
11. LIMITATION OF LIABILITY. The Trustees of the Trust and the
shareholders of each Fund shall not be liable for any obligations of the Trust
or any Fund under this Plan, and any person, in asserting any rights or claims
under this Plan, shall look only to the assets and property of the Trust or such
Funds in settlement of such right or claim, and not to such Trustees or
shareholders.
IN WITNESS WHEREOF, the Trust, on behalf of the Funds, has adopted
this Dual Class Plan as of the 21st day of November, 1995
PIMCO FUNDS
By: ______________________________
Title:
- 6 -
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 001
<NAME> TOTAL RETURN FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> MAR-31-1995
<INVESTMENTS-AT-COST> 7,476,805
<INVESTMENTS-AT-VALUE> 7,333,496
<RECEIVABLES> 138,020
<ASSETS-OTHER> 76
<OTHER-ITEMS-ASSETS> 20,724
<TOTAL-ASSETS> 7,492,316
<PAYABLE-FOR-SECURITIES> 203,248
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 40,296
<TOTAL-LIABILITIES> 243,544
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 7,501,865
<SHARES-COMMON-STOCK> 722,606
<SHARES-COMMON-PRIOR> 488,534
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (85,253)
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (64,793)
<ACCUM-APPREC-OR-DEPREC> (103,047)
<NET-ASSETS> 7,248,772
<DIVIDEND-INCOME> 69
<INTEREST-INCOME> 431,943
<OTHER-INCOME> 0
<EXPENSES-NET> 24,700
<NET-INVESTMENT-INCOME> 407,312
<REALIZED-GAINS-CURRENT> (110,620)
<APPREC-INCREASE-CURRENT> 6,603
<NET-CHANGE-FROM-OPS> 303,295
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (347,782)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> (44,493)
<NUMBER-OF-SHARES-SOLD> 311,014
<NUMBER-OF-SHARES-REDEEMED> (108,135)
<SHARES-REINVESTED> 31,143
<NET-CHANGE-IN-ASSETS> 2,240,612
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (59,404)
<OVERDIST-NET-GAINS-PRIOR> (8,707)
<GROSS-ADVISORY-FEES> 15,224
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 24,700
<AVERAGE-NET-ASSETS> 6,062,232
<PER-SHARE-NAV-BEGIN> 10.25
<PER-SHARE-NII> .64
<PER-SHARE-GAIN-APPREC> (.24)
<PER-SHARE-DIVIDEND> (.56)
<PER-SHARE-DISTRIBUTIONS> (.63)
<RETURNS-OF-CAPITAL> (.02)
<PER-SHARE-NAV-END> 10.02
<EXPENSE-RATIO> .41
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 002
<NAME> TOTAL RETURN FUND-ADMINISTRATIVE CLASS
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> MAR-31-1995
<INVESTMENTS-AT-COST> 7,476,805
<INVESTMENTS-AT-VALUE> 7,333,496
<RECEIVABLES> 138,020
<ASSETS-OTHER> 76
<OTHER-ITEMS-ASSETS> 20,724
<TOTAL-ASSETS> 7,492,316
<PAYABLE-FOR-SECURITIES> 203,248
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 40,296
<TOTAL-LIABILITIES> 243,544
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 7,501,865
<SHARES-COMMON-STOCK> 903
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (85,253)
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (64,793)
<ACCUM-APPREC-OR-DEPREC> (103,047)
<NET-ASSETS> 7,248,772
<DIVIDEND-INCOME> 69
<INTEREST-INCOME> 431,943
<OTHER-INCOME> 0
<EXPENSES-NET> 5
<NET-INVESTMENT-INCOME> 407,312
<REALIZED-GAINS-CURRENT> (110,620)
<APPREC-INCREASE-CURRENT> 6,603
<NET-CHANGE-FROM-OPS> 303,295
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (126)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> (16)
<NUMBER-OF-SHARES-SOLD> 929
<NUMBER-OF-SHARES-REDEEMED> (41)
<SHARES-REINVESTED> 15
<NET-CHANGE-IN-ASSETS> 2,240,612
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (59,404)
<OVERDIST-NET-GAINS-PRIOR> (8,707)
<GROSS-ADVISORY-FEES> 15,224
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 5
<AVERAGE-NET-ASSETS> 6,062,232
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> .31
<PER-SHARE-GAIN-APPREC> .06
<PER-SHARE-DIVIDEND> (.32)
<PER-SHARE-DISTRIBUTIONS> (.36)
<RETURNS-OF-CAPITAL> (.01)
<PER-SHARE-NAV-END> 10.01
<EXPENSE-RATIO> .66
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 003
<NAME> TOTAL RETURN III FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> MAR-31-1995
<INVESTMENTS-AT-COST> 100,954
<INVESTMENTS-AT-VALUE> 98,750
<RECEIVABLES> 1,129
<ASSETS-OTHER> 6
<OTHER-ITEMS-ASSETS> 5
<TOTAL-ASSETS> 99,890
<PAYABLE-FOR-SECURITIES> 39
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 354
<TOTAL-LIABILITIES> 393
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 103,069
<SHARES-COMMON-STOCK> 11,063
<SHARES-COMMON-PRIOR> 10,626
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (1,212)
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (650)
<ACCUM-APPREC-OR-DEPREC> (1,710)
<NET-ASSETS> 99,497
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 6,364
<OTHER-INCOME> 0
<EXPENSES-NET> 430
<NET-INVESTMENT-INCOME> 5,934
<REALIZED-GAINS-CURRENT> (1,737)
<APPREC-INCREASE-CURRENT> 327
<NET-CHANGE-FROM-OPS> 4,524
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (5,003)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> (931)
<NUMBER-OF-SHARES-SOLD> 4,327
<NUMBER-OF-SHARES-REDEEMED> (4,489)
<SHARES-REINVESTED> 599
<NET-CHANGE-IN-ASSETS> 1,975
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 21
<OVERDISTRIB-NII-PRIOR> (930)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 258
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 429
<AVERAGE-NET-ASSETS> 87,761
<PER-SHARE-NAV-BEGIN> 9.18
<PER-SHARE-NII> .59
<PER-SHARE-GAIN-APPREC> (.16)
<PER-SHARE-DIVIDEND> (.52)
<PER-SHARE-DISTRIBUTIONS> (.62)
<RETURNS-OF-CAPITAL> (.08)
<PER-SHARE-NAV-END> 8.99
<EXPENSE-RATIO> .5
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 004
<NAME> LOW DURATION FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> MAR-31-1995
<INVESTMENTS-AT-COST> 2,494,393
<INVESTMENTS-AT-VALUE> 2,439,273
<RECEIVABLES> 94,551
<ASSETS-OTHER> 28
<OTHER-ITEMS-ASSETS> 27
<TOTAL-ASSETS> 2,533,879
<PAYABLE-FOR-SECURITIES> 87,679
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 113,397
<TOTAL-LIABILITIES> 201,076
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,407,781
<SHARES-COMMON-STOCK> 238,948
<SHARES-COMMON-PRIOR> 228,809
<ACCUMULATED-NII-CURRENT> 71
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (21,592)
<ACCUM-APPREC-OR-DEPREC> (53,457)
<NET-ASSETS> 2,332,803
<DIVIDEND-INCOME> 593
<INTEREST-INCOME> 154,750
<OTHER-INCOME> 0
<EXPENSES-NET> 9,250
<NET-INVESTMENT-INCOME> 146,093
<REALIZED-GAINS-CURRENT> (36,670)
<APPREC-INCREASE-CURRENT> (28,329)
<NET-CHANGE-FROM-OPS> 81,094
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (125,715)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> (20,045)
<NUMBER-OF-SHARES-SOLD> 140,563
<NUMBER-OF-SHARES-REDEEMED> (142,193)
<SHARES-REINVESTED> 11,769
<NET-CHANGE-IN-ASSETS> 34,548
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (4,880)
<OVERDIST-NET-GAINS-PRIOR> (339)
<GROSS-ADVISORY-FEES> 5,757
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 9,250
<AVERAGE-NET-ASSETS> 2,260,786
<PER-SHARE-NAV-BEGIN> 10.04
<PER-SHARE-NII> .65
<PER-SHARE-GAIN-APPREC> (.30)
<PER-SHARE-DIVIDEND> (.54)
<PER-SHARE-DISTRIBUTIONS> (.63)
<RETURNS-OF-CAPITAL> (.09)
<PER-SHARE-NAV-END> 9.76
<EXPENSE-RATIO> .41
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 005
<NAME> LOW DURATION FUND-ADMINISTRATIVE CLASS
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> MAR-31-1995
<INVESTMENTS-AT-COST> 2,494,393
<INVESTMENTS-AT-VALUE> 2,439,273
<RECEIVABLES> 94,551
<ASSETS-OTHER> 28
<OTHER-ITEMS-ASSETS> 27
<TOTAL-ASSETS> 2,533,879
<PAYABLE-FOR-SECURITIES> 87,679
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 113,397
<TOTAL-LIABILITIES> 201,076
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,407,781
<SHARES-COMMON-STOCK> 79
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 71
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (21,592)
<ACCUM-APPREC-OR-DEPREC> (53,457)
<NET-ASSETS> 2,332,803
<DIVIDEND-INCOME> 593
<INTEREST-INCOME> 154,750
<OTHER-INCOME> 0
<EXPENSES-NET> 0
<NET-INVESTMENT-INCOME> 146,093
<REALIZED-GAINS-CURRENT> (36,670)
<APPREC-INCREASE-CURRENT> (28,329)
<NET-CHANGE-FROM-OPS> 81,094
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (10)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> (2)
<NUMBER-OF-SHARES-SOLD> 79
<NUMBER-OF-SHARES-REDEEMED> (1)
<SHARES-REINVESTED> 1
<NET-CHANGE-IN-ASSETS> 34,548
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (4,880)
<OVERDIST-NET-GAINS-PRIOR> (339)
<GROSS-ADVISORY-FEES> 5,757
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 2,260,786
<PER-SHARE-NAV-BEGIN> 9.67
<PER-SHARE-NII> .18
<PER-SHARE-GAIN-APPREC> .07
<PER-SHARE-DIVIDEND> (.14)
<PER-SHARE-DISTRIBUTIONS> (.16)
<RETURNS-OF-CAPITAL> (.02)
<PER-SHARE-NAV-END> 9.76
<EXPENSE-RATIO> .66
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 006
<NAME> LOW DURATION II FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> MAR-31-1995
<INVESTMENTS-AT-COST> 173,482
<INVESTMENTS-AT-VALUE> 172,085
<RECEIVABLES> 1,906
<ASSETS-OTHER> 5
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 173,996
<PAYABLE-FOR-SECURITIES> 2,874
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 256
<TOTAL-LIABILITIES> 3,130
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 175,789
<SHARES-COMMON-STOCK> 17,497
<SHARES-COMMON-PRIOR> 14,228
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (1,081)
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (2,651)
<ACCUM-APPREC-OR-DEPREC> (1,191)
<NET-ASSETS> 170,866
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 10,691
<OTHER-INCOME> 0
<EXPENSES-NET> 740
<NET-INVESTMENT-INCOME> 9,951
<REALIZED-GAINS-CURRENT> (2,550)
<APPREC-INCREASE-CURRENT> 163
<NET-CHANGE-FROM-OPS> 7,564
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (9,191)
<DISTRIBUTIONS-OF-GAINS> (4)
<DISTRIBUTIONS-OTHER> (767)
<NUMBER-OF-SHARES-SOLD> 8,010
<NUMBER-OF-SHARES-REDEEMED> (5,641)
<SHARES-REINVESTED> 900
<NET-CHANGE-IN-ASSETS> 29,455
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (760)
<OVERDIST-NET-GAINS-PRIOR> (686)
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<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 719
<AVERAGE-NET-ASSETS> 153,427
<PER-SHARE-NAV-BEGIN> 9.94
<PER-SHARE-NII> .62
<PER-SHARE-GAIN-APPREC> (.16)
<PER-SHARE-DIVIDEND> (.58)
<PER-SHARE-DISTRIBUTIONS> (.63)
<RETURNS-OF-CAPITAL> (.02)
<PER-SHARE-NAV-END> 9.77
<EXPENSE-RATIO> .47
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 007
<NAME> SHORT TERM FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> MAR-31-1995
<INVESTMENTS-AT-COST> 89,420
<INVESTMENTS-AT-VALUE> 88,230
<RECEIVABLES> 2,312
<ASSETS-OTHER> 1
<OTHER-ITEMS-ASSETS> 3
<TOTAL-ASSETS> 90,546
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
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<TOTAL-LIABILITIES> 432
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 92,087
<SHARES-COMMON-STOCK> 9,202
<SHARES-COMMON-PRIOR> 7,374
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (261)
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (615)
<ACCUM-APPREC-OR-DEPREC> (1,097)
<NET-ASSETS> 90,114
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 7,897
<OTHER-INCOME> 0
<EXPENSES-NET> 647
<NET-INVESTMENT-INCOME> 7,250
<REALIZED-GAINS-CURRENT> (743)
<APPREC-INCREASE-CURRENT> (707)
<NET-CHANGE-FROM-OPS> 5,800
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<DISTRIBUTIONS-OF-INCOME> (7075)
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<DISTRIBUTIONS-OTHER> (165)
<NUMBER-OF-SHARES-SOLD> 26,893
<NUMBER-OF-SHARES-REDEEMED> (25,641)
<SHARES-REINVESTED> 576
<NET-CHANGE-IN-ASSETS> 16,938
<ACCUMULATED-NII-PRIOR> 0
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<OVERDISTRIB-NII-PRIOR> (176)
<OVERDIST-NET-GAINS-PRIOR> 0
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<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 657
<AVERAGE-NET-ASSETS> 123,477
<PER-SHARE-NAV-BEGIN> 9.92
<PER-SHARE-NII> .56
<PER-SHARE-GAIN-APPREC> (.13)
<PER-SHARE-DIVIDEND> (.55)
<PER-SHARE-DISTRIBUTIONS> (.56)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.79
<EXPENSE-RATIO> .5
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 008
<NAME> LONG-TERM US GOVT FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> MAR-31-1995
<INVESTMENTS-AT-COST> 31,894
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<SENIOR-LONG-TERM-DEBT> 0
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<TOTAL-LIABILITIES> 447
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 33,676
<SHARES-COMMON-STOCK> 3,285
<SHARES-COMMON-PRIOR> 2,608
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<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (1,841)
<ACCUM-APPREC-OR-DEPREC> 636
<NET-ASSETS> 32,349
<DIVIDEND-INCOME> 0
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<OTHER-INCOME> 0
<EXPENSES-NET> 152
<NET-INVESTMENT-INCOME> 1,998
<REALIZED-GAINS-CURRENT> (1,604)
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<NUMBER-OF-SHARES-SOLD> 2,260
<NUMBER-OF-SHARES-REDEEMED> (1,708)
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<NET-CHANGE-IN-ASSETS> 6,371
<ACCUMULATED-NII-PRIOR> 0
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<OVERDISTRIB-NII-PRIOR> (57)
<OVERDIST-NET-GAINS-PRIOR> (302)
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<AVERAGE-NET-ASSETS> 30,407
<PER-SHARE-NAV-BEGIN> 9.96
<PER-SHARE-NII> .60
<PER-SHARE-GAIN-APPREC> (.09)
<PER-SHARE-DIVIDEND> (.60)
<PER-SHARE-DISTRIBUTIONS> (.62)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.85
<EXPENSE-RATIO> .5
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 009
<NAME> FOREIGN FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> MAR-31-1995
<INVESTMENTS-AT-COST> 280,167
<INVESTMENTS-AT-VALUE> 280,411
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<SHARES-COMMON-PRIOR> 48,947
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (5,995)
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<OVERDISTRIBUTION-GAINS> (20,359)
<ACCUM-APPREC-OR-DEPREC> (292)
<NET-ASSETS> 232,700
<DIVIDEND-INCOME> 0
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<OTHER-INCOME> 0
<EXPENSES-NET> 1,549
<NET-INVESTMENT-INCOME> 21,377
<REALIZED-GAINS-CURRENT> (40,238)
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<NUMBER-OF-SHARES-REDEEMED> (32,201)
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<NET-CHANGE-IN-ASSETS> (265,821)
<ACCUMULATED-NII-PRIOR> 0
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<OVERDIST-NET-GAINS-PRIOR> (13,568)
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<PER-SHARE-NAV-BEGIN> 10.18
<PER-SHARE-NII> .38
<PER-SHARE-GAIN-APPREC> (.57)
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<PER-SHARE-DISTRIBUTIONS> (.61)
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</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 010
<NAME> GLOBAL FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> MAR-31-1995
<INVESTMENTS-AT-COST> 80,454
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<TOTAL-LIABILITIES> 13,627
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 76,364
<SHARES-COMMON-STOCK> 7,751
<SHARES-COMMON-PRIOR> 4,109
<ACCUMULATED-NII-CURRENT> 1,199
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (2,563)
<ACCUM-APPREC-OR-DEPREC> 1,476
<NET-ASSETS> 76,476
<DIVIDEND-INCOME> 0
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<OTHER-INCOME> 0
<EXPENSES-NET> 370
<NET-INVESTMENT-INCOME> 3,239
<REALIZED-GAINS-CURRENT> 1,494
<APPREC-INCREASE-CURRENT> 1,820
<NET-CHANGE-FROM-OPS> 6,553
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<DISTRIBUTIONS-OTHER> (2,548)
<NUMBER-OF-SHARES-SOLD> 4,460
<NUMBER-OF-SHARES-REDEEMED> (1,408)
<SHARES-REINVESTED> 590
<NET-CHANGE-IN-ASSETS> 35,991
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<OVERDISTRIB-NII-PRIOR> (33)
<OVERDIST-NET-GAINS-PRIOR> (311)
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<GROSS-EXPENSE> 326
<AVERAGE-NET-ASSETS> 58,272
<PER-SHARE-NAV-BEGIN> 9.85
<PER-SHARE-NII> .69
<PER-SHARE-GAIN-APPREC> (.14)
<PER-SHARE-DIVIDEND> (.29)
<PER-SHARE-DISTRIBUTIONS> (.53)
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<PER-SHARE-NAV-END> 9.87
<EXPENSE-RATIO> .64
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 011
<NAME> HIGH YIELD FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> MAR-31-1995
<INVESTMENTS-AT-COST> 336,196
<INVESTMENTS-AT-VALUE> 332,576
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<TOTAL-ASSETS> 341,926
<PAYABLE-FOR-SECURITIES> 4,810
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<OTHER-ITEMS-LIABILITIES> 765
<TOTAL-LIABILITIES> 5,575
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 342,547
<SHARES-COMMON-STOCK> 32,289
<SHARES-COMMON-PRIOR> 20,907
<ACCUMULATED-NII-CURRENT> 1,534
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (4,132)
<ACCUM-APPREC-OR-DEPREC> (3,598)
<NET-ASSETS> 336,351
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 29,447
<OTHER-INCOME> 0
<EXPENSES-NET> 1,432
<NET-INVESTMENT-INCOME> 28,015
<REALIZED-GAINS-CURRENT> (4,049)
<APPREC-INCREASE-CURRENT> 2,767
<NET-CHANGE-FROM-OPS> 26,733
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (28,199)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> (579)
<NUMBER-OF-SHARES-SOLD> 21,402
<NUMBER-OF-SHARES-REDEEMED> (12,668)
<SHARES-REINVESTED> 2,648
<NET-CHANGE-IN-ASSETS> 116,375
<ACCUMULATED-NII-PRIOR> 185
<ACCUMULATED-GAINS-PRIOR> 2,030
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 831
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,377
<AVERAGE-NET-ASSETS> 298,852
<PER-SHARE-NAV-BEGIN> 10.52
<PER-SHARE-NII> .99
<PER-SHARE-GAIN-APPREC> (.12)
<PER-SHARE-DIVIDEND> (.93)
<PER-SHARE-DISTRIBUTIONS> (.97)
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<PER-SHARE-NAV-END> 10.42
<EXPENSE-RATIO> .48
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<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 012
<NAME> HIGH YIELD FUND-ADMINISTRATIVE
CLASS
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> MAR-31-1995
<INVESTMENTS-AT-COST> 336,196
<INVESTMENTS-AT-VALUE> 332,576
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<OTHER-ITEMS-ASSETS> 6
<TOTAL-ASSETS> 341,926
<PAYABLE-FOR-SECURITIES> 4,810
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<TOTAL-LIABILITIES> 5,575
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 342,547
<SHARES-COMMON-STOCK> 4
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 1,534
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (4,132)
<ACCUM-APPREC-OR-DEPREC> (3,598)
<NET-ASSETS> 336,351
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 29,447
<OTHER-INCOME> 0
<EXPENSES-NET> 0
<NET-INVESTMENT-INCOME> 28,015
<REALIZED-GAINS-CURRENT> (4,049)
<APPREC-INCREASE-CURRENT> 2,767
<NET-CHANGE-FROM-OPS> 26,733
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1)
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<NUMBER-OF-SHARES-SOLD> 4
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 116,375
<ACCUMULATED-NII-PRIOR> 185
<ACCUMULATED-GAINS-PRIOR> 2,030
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 831
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 298,852
<PER-SHARE-NAV-BEGIN> 10.14
<PER-SHARE-NII> .23
<PER-SHARE-GAIN-APPREC> .25
<PER-SHARE-DIVIDEND> (.21)
<PER-SHARE-DISTRIBUTIONS> (.21)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.41
<EXPENSE-RATIO> .73
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 013
<NAME> GROWTH STOCK FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> MAR-31-1995
<INVESTMENTS-AT-COST> 14,079
<INVESTMENTS-AT-VALUE> 15,639
<RECEIVABLES> 2,382
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 1
<TOTAL-ASSETS> 18,022
<PAYABLE-FOR-SECURITIES> 2,564
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 29
<TOTAL-LIABILITIES> 2,593
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 13,551
<SHARES-COMMON-STOCK> 1,125
<SHARES-COMMON-PRIOR> 1,667
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 319
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 1,559
<NET-ASSETS> 15,429
<DIVIDEND-INCOME> 328
<INTEREST-INCOME> 37
<OTHER-INCOME> 0
<EXPENSES-NET> 95
<NET-INVESTMENT-INCOME> 270
<REALIZED-GAINS-CURRENT> 938
<APPREC-INCREASE-CURRENT> 627
<NET-CHANGE-FROM-OPS> 1,835
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (270)
<DISTRIBUTIONS-OF-GAINS> (1,056)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 69
<NUMBER-OF-SHARES-REDEEMED> (713)
<SHARES-REINVESTED> 102
<NET-CHANGE-IN-ASSETS> (7,084)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 437
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 57
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 113
<AVERAGE-NET-ASSETS> 18,865
<PER-SHARE-NAV-BEGIN> 13.51
<PER-SHARE-NII> .20
<PER-SHARE-GAIN-APPREC> 1.15
<PER-SHARE-DIVIDEND> (.20)
<PER-SHARE-DISTRIBUTIONS> (1.15)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 13.71
<EXPENSE-RATIO> .5
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 014
<NAME> STOCKSPLUS FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> MAR-31-1995
<INVESTMENTS-AT-COST> 45,836
<INVESTMENTS-AT-VALUE> 45,848
<RECEIVABLES> 576
<ASSETS-OTHER> 335
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 46,759
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 261
<TOTAL-LIABILITIES> 261
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 44,359
<SHARES-COMMON-STOCK> 4,435
<SHARES-COMMON-PRIOR> 1,505
<ACCUMULATED-NII-CURRENT> 1,176
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 22
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 941
<NET-ASSETS> 46,498
<DIVIDEND-INCOME> 22
<INTEREST-INCOME> 2,940
<OTHER-INCOME> 0
<EXPENSES-NET> 120
<NET-INVESTMENT-INCOME> 2,842
<REALIZED-GAINS-CURRENT> 858
<APPREC-INCREASE-CURRENT> 1,462
<NET-CHANGE-FROM-OPS> 5,162
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,257)
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<NUMBER-OF-SHARES-SOLD> 2,821
<NUMBER-OF-SHARES-REDEEMED> (113)
<SHARES-REINVESTED> 222
<NET-CHANGE-IN-ASSETS> 32,173
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (7)
<OVERDIST-NET-GAINS-PRIOR> (237)
<GROSS-ADVISORY-FEES> 109
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 188
<AVERAGE-NET-ASSETS> 24,325
<PER-SHARE-NAV-BEGIN> 9.52
<PER-SHARE-NII> 1.03
<PER-SHARE-GAIN-APPREC> .69
<PER-SHARE-DIVIDEND> (.76)
<PER-SHARE-DISTRIBUTIONS> (.76)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.48
<EXPENSE-RATIO> .5
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 015
<NAME> INTERNATIONAL FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> MAR-31-1995
<INVESTMENTS-AT-COST> 51,713
<INVESTMENTS-AT-VALUE> 51,750
<RECEIVABLES> 4,835
<ASSETS-OTHER> 4
<OTHER-ITEMS-ASSETS> 1,597
<TOTAL-ASSETS> 58,186
<PAYABLE-FOR-SECURITIES> 12,078
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 158
<TOTAL-LIABILITIES> 12,236
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 130,307
<SHARES-COMMON-STOCK> 6,179
<SHARES-COMMON-PRIOR> 231,226
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (44)
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (84,950)
<ACCUM-APPREC-OR-DEPREC> 637
<NET-ASSETS> 45,950
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 27,824
<OTHER-INCOME> 0
<EXPENSES-NET> 1,883
<NET-INVESTMENT-INCOME> 25,941
<REALIZED-GAINS-CURRENT> (108,960)
<APPREC-INCREASE-CURRENT> 9,680
<NET-CHANGE-FROM-OPS> (73,339)
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<DISTRIBUTIONS-OF-GAINS> 0
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<NUMBER-OF-SHARES-SOLD> 5,258
<NUMBER-OF-SHARES-REDEEMED> (234,125)
<SHARES-REINVESTED> 3,820
<NET-CHANGE-IN-ASSETS> (2,251,028)
<ACCUMULATED-NII-PRIOR> 17,280
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (4,595)
<GROSS-ADVISORY-FEES> 1,143
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,883
<AVERAGE-NET-ASSETS> 541,913
<PER-SHARE-NAV-BEGIN> 9.93
<PER-SHARE-NII> 2.18
<PER-SHARE-GAIN-APPREC> (2.41)
<PER-SHARE-DIVIDEND> (2.26)
<PER-SHARE-DISTRIBUTIONS> (2.26)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 7.44
<EXPENSE-RATIO> 5.90
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 016
<NAME> VERSASTYLE EQUITY FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> MAR-31-1995
<INVESTMENTS-AT-COST> 4,900
<INVESTMENTS-AT-VALUE> 5,154
<RECEIVABLES> 197
<ASSETS-OTHER> 2
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 5,353
<PAYABLE-FOR-SECURITIES> 176
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 6
<TOTAL-LIABILITIES> 182
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 5,060
<SHARES-COMMON-STOCK> 506
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (143)
<ACCUM-APPREC-OR-DEPREC> 254
<NET-ASSETS> 5,171
<DIVIDEND-INCOME> 70
<INTEREST-INCOME> 6
<OTHER-INCOME> 0
<EXPENSES-NET> 16
<NET-INVESTMENT-INCOME> 60
<REALIZED-GAINS-CURRENT> (143)
<APPREC-INCREASE-CURRENT> 254
<NET-CHANGE-FROM-OPS> 171
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (60)
<DISTRIBUTIONS-OF-GAINS> 0
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<NUMBER-OF-SHARES-SOLD> 500
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<SHARES-REINVESTED> 6
<NET-CHANGE-IN-ASSETS> 5,171
<ACCUMULATED-NII-PRIOR> 0
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<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 11
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 32
<AVERAGE-NET-ASSETS> 4,984
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> .12
<PER-SHARE-GAIN-APPREC> .22
<PER-SHARE-DIVIDEND> (.12)
<PER-SHARE-DISTRIBUTIONS> (.12)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.22
<EXPENSE-RATIO> .65
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 017
<NAME> LONG-TERM U.S. GOVERNMENT FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> SEP-30-1995
<INVESTMENTS-AT-COST> 44,746
<INVESTMENTS-AT-VALUE> 45,502
<RECEIVABLES> 1,168
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<OTHER-ITEMS-ASSETS> 1
<TOTAL-ASSETS> 46,673
<PAYABLE-FOR-SECURITIES> 2,003
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 273
<TOTAL-LIABILITIES> 2,276
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 42,247
<SHARES-COMMON-STOCK> 4,099
<SHARES-COMMON-PRIOR> 3,285
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 32,645
<ACCUMULATED-NET-GAINS> 1,238
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 1,035
<NET-ASSETS> 44,397
<DIVIDEND-INCOME> 0
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<OTHER-INCOME> 0
<EXPENSES-NET> 90
<NET-INVESTMENT-INCOME> 1,232
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<APPREC-INCREASE-CURRENT> 398
<NET-CHANGE-FROM-OPS> 4,709
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<NUMBER-OF-SHARES-SOLD> 1,541
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<SHARES-REINVESTED> 85
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<ACCUMULATED-NII-PRIOR> 0
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<OVERDISTRIB-NII-PRIOR> 32,646
<OVERDIST-NET-GAINS-PRIOR> 30,927
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<GROSS-EXPENSE> 90
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<PER-SHARE-NAV-BEGIN> 9.85
<PER-SHARE-NII> 0.37
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<EXPENSE-RATIO> 0.50
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<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 018
<NAME> SHORT-TERM FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> SEP-30-1995
<INVESTMENTS-AT-COST> 104,343
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<TOTAL-ASSETS> 109,086
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<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 95,228
<SHARES-COMMON-STOCK> 9,522
<SHARES-COMMON-PRIOR> 9,202
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 32,506
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 32,351
<ACCUM-APPREC-OR-DEPREC> 32,293
<NET-ASSETS> 94,074
<DIVIDEND-INCOME> 0
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<OTHER-INCOME> 0
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<NET-INVESTMENT-INCOME> 3,231
<REALIZED-GAINS-CURRENT> 198
<APPREC-INCREASE-CURRENT> 621
<NET-CHANGE-FROM-OPS> 4,050
<EQUALIZATION> 0
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<NUMBER-OF-SHARES-SOLD> 5,319
<NUMBER-OF-SHARES-REDEEMED> 5,268
<SHARES-REINVESTED> 269
<NET-CHANGE-IN-ASSETS> 3,960
<ACCUMULATED-NII-PRIOR> 0
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<OVERDISTRIB-NII-PRIOR> 32,507
<OVERDIST-NET-GAINS-PRIOR> 32,153
<GROSS-ADVISORY-FEES> 132
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 301
<AVERAGE-NET-ASSETS> 88,283
<PER-SHARE-NAV-BEGIN> 9.79
<PER-SHARE-NII> 0.36
<PER-SHARE-GAIN-APPREC> 0.09
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<PER-SHARE-NAV-END> 9.88
<EXPENSE-RATIO> 0.68
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 019
<NAME> TOTAL RETURN FUND III
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> SEP-30-1995
<INVESTMENTS-AT-COST> 128,602
<INVESTMENTS-AT-VALUE> 128,497
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<SHARES-COMMON-STOCK> 12,407
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<ACCUMULATED-NET-GAINS> 1,705
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<ACCUM-APPREC-OR-DEPREC> 32,608
<NET-ASSETS> 115,717
<DIVIDEND-INCOME> 0
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<NET-INVESTMENT-INCOME> 3,842
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<NUMBER-OF-SHARES-SOLD> 1,825
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<OVERDIST-NET-GAINS-PRIOR> 32,118
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<GROSS-EXPENSE> 278
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</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 020
<NAME> VERSASTYLE EQUITY FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> SEP-30-1995
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<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 5,113
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<ACCUM-APPREC-OR-DEPREC> 835
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32,715 <DISTRIBUTIONS-OF-GAINS> 0
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<OVERDIST-NET-GAINS-PRIOR>
32,625 <GROSS-ADVISORY-FEES> 13
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<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 021
<NAME> TOTAL RETURN FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> SEP-30-1995
<INVESTMENTS-AT-COST> 10,093,638
<INVESTMENTS-AT-VALUE> 10,140,684
<RECEIVABLES> 955,455
<ASSETS-OTHER> 54
<OTHER-ITEMS-ASSETS> 14,479
<TOTAL-ASSETS> 11,110,672
<PAYABLE-FOR-SECURITIES> 1,853,121
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<TOTAL-LIABILITIES> 1,925,844
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 9,106,819
<SHARES-COMMON-STOCK> 873,639
<SHARES-COMMON-PRIOR> 722,606
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (85,214)
<ACCUMULATED-NET-GAINS> 109,903
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 53,320
<NET-ASSETS> 9,184,828
<DIVIDEND-INCOME> 350
<INTEREST-INCOME> 303,255
<OTHER-INCOME> 0
<EXPENSES-NET> 16,701
<NET-INVESTMENT-INCOME> 286,904
<REALIZED-GAINS-CURRENT> 174,686
<APPREC-INCREASE-CURRENT> 156,367
<NET-CHANGE-FROM-OPS> 617,957
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (285,617)
<DISTRIBUTIONS-OF-GAINS> 0
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<NUMBER-OF-SHARES-SOLD> 181,014
<NUMBER-OF-SHARES-REDEEMED> (51,652)
<SHARES-REINVESTED> 21,669
<NET-CHANGE-IN-ASSETS> 1,604,963
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (85,253)
<OVERDIST-NET-GAINS-PRIOR> (64,793)
<GROSS-ADVISORY-FEES> 10,371
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 16,778
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<PER-SHARE-NAV-BEGIN> 10.02
<PER-SHARE-NII> 0.38
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<PER-SHARE-DIVIDEND> 20.12
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<PER-SHARE-NAV-END> 10.45
<EXPENSE-RATIO> 0.40
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</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 022
<NAME> TOTAL RETURN FUND - ADMINISTRATIVE CLASS
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> SEP-30-1995
<INVESTMENTS-AT-COST> 10,093,638
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<OTHER-ITEMS-ASSETS> 14,479
<TOTAL-ASSETS> 11,110,672
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<TOTAL-LIABILITIES> 1,925,844
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 9,106,819
<SHARES-COMMON-STOCK> 5,632
<SHARES-COMMON-PRIOR> 903
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (85,214)
<ACCUMULATED-NET-GAINS> 109,903
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 53,320
<NET-ASSETS> 9,184,828
<DIVIDEND-INCOME> 350
<INTEREST-INCOME> 303,255
<OTHER-INCOME> 0
<EXPENSES-NET> 47
<NET-INVESTMENT-INCOME> 286,904
<REALIZED-GAINS-CURRENT> 174,686
<APPREC-INCREASE-CURRENT> 156,367
<NET-CHANGE-FROM-OPS> 617,957
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 31,521
<DISTRIBUTIONS-OF-GAINS> 0
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<NUMBER-OF-SHARES-SOLD> 5,334
<NUMBER-OF-SHARES-REDEEMED> 32,043
<SHARES-REINVESTED> 120
<NET-CHANGE-IN-ASSETS> 1,604,963
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (85,253)
<OVERDIST-NET-GAINS-PRIOR> (64,793)
<GROSS-ADVISORY-FEES> 10,371
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 47
<AVERAGE-NET-ASSETS> 36,360
<PER-SHARE-NAV-BEGIN> 10.01
<PER-SHARE-NII> 0.38
<PER-SHARE-GAIN-APPREC> 0.39
<PER-SHARE-DIVIDEND> 20.12
<PER-SHARE-DISTRIBUTIONS> 20.12
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.44
<EXPENSE-RATIO> 0.68
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 023
<NAME> STOCKSPLUS FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> SEP-30-1995
<INVESTMENTS-AT-COST> 75,778
<INVESTMENTS-AT-VALUE> 75,953
<RECEIVABLES> 2,489
<ASSETS-OTHER> 1,221
<OTHER-ITEMS-ASSETS> 7
<TOTAL-ASSETS> 79,670
<PAYABLE-FOR-SECURITIES> 5,816
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 167
<TOTAL-LIABILITIES> 5,983
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 63,635
<SHARES-COMMON-STOCK> 6,111
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 4,281
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 4,911
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 860
<NET-ASSETS> 73,687
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 5,623
<OTHER-INCOME> 0
<EXPENSES-NET> 198
<NET-INVESTMENT-INCOME> 5,425
<REALIZED-GAINS-CURRENT> 4,889
<APPREC-INCREASE-CURRENT> 32,688
<NET-CHANGE-FROM-OPS> 10,234
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 30,448
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,510
<NUMBER-OF-SHARES-REDEEMED> 31,737
<SHARES-REINVESTED> 197
<NET-CHANGE-IN-ASSETS> 27,189
<ACCUMULATED-NII-PRIOR> 1,176
<ACCUMULATED-GAINS-PRIOR> 22
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 132
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 198
<AVERAGE-NET-ASSETS> 57,852
<PER-SHARE-NAV-BEGIN> 10.48
<PER-SHARE-NII> 0.87
<PER-SHARE-GAIN-APPREC> 1.15
<PER-SHARE-DIVIDEND> 20.04
<PER-SHARE-DISTRIBUTIONS> 20.04
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 12.06
<EXPENSE-RATIO> 0.65
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 024
<NAME> HIGH YIELD FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> SEP-30-1995
<INVESTMENTS-AT-COST> 459,104
<INVESTMENTS-AT-VALUE> 469,223
<RECEIVABLES> 24,497
<ASSETS-OTHER> 7
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 493,727
<PAYABLE-FOR-SECURITIES> 22,572
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 614
<TOTAL-LIABILITIES> 23,186
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 458,730
<SHARES-COMMON-STOCK> 43,126
<SHARES-COMMON-PRIOR> 32,289
<ACCUMULATED-NII-CURRENT> 1,531
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 161
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 10,119
<NET-ASSETS> 470,541
<DIVIDEND-INCOME> 203
<INTEREST-INCOME> 20,478
<OTHER-INCOME> 0
<EXPENSES-NET> 901
<NET-INVESTMENT-INCOME> 19,780
<REALIZED-GAINS-CURRENT> 4,292
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<NET-CHANGE-FROM-OPS> 37,789
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (19,783)
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<NUMBER-OF-SHARES-SOLD> 21,402
<NUMBER-OF-SHARES-REDEEMED> 20,100
<SHARES-REINVESTED> 2,648
<NET-CHANGE-IN-ASSETS> 134,190
<ACCUMULATED-NII-PRIOR> 1,534
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 28,636
<GROSS-ADVISORY-FEES> 553
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 911
<AVERAGE-NET-ASSETS> 412,909
<PER-SHARE-NAV-BEGIN> 10.42
<PER-SHARE-NII> 0.51
<PER-SHARE-GAIN-APPREC> 0.49
<PER-SHARE-DIVIDEND> 19.97
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<EXPENSE-RATIO> 0.44
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 025
<NAME> HIGH YIELD FUND - ADMINISTRATIVE CLASS
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> SEP-30-1995
<INVESTMENTS-AT-COST> 459,104
<INVESTMENTS-AT-VALUE> 469,223
<RECEIVABLES> 24,497
<ASSETS-OTHER> 7
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<TOTAL-ASSETS> 493,727
<PAYABLE-FOR-SECURITIES> 22,572
<SENIOR-LONG-TERM-DEBT> 0
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<TOTAL-LIABILITIES> 23,186
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 458,730
<SHARES-COMMON-STOCK> 3
<SHARES-COMMON-PRIOR> 4
<ACCUMULATED-NII-CURRENT> 1,531
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 161
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 10,119
<NET-ASSETS> 470,541
<DIVIDEND-INCOME> 203
<INTEREST-INCOME> 20,478
<OTHER-INCOME> 0
<EXPENSES-NET> 0
<NET-INVESTMENT-INCOME> 19,780
<REALIZED-GAINS-CURRENT> 4,292
<APPREC-INCREASE-CURRENT> 13,717
<NET-CHANGE-FROM-OPS> 37,789
<EQUALIZATION> 0
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<DISTRIBUTIONS-OF-GAINS> 0
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<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 32,767
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 134,190
<ACCUMULATED-NII-PRIOR> 1,534
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 28,636
<GROSS-ADVISORY-FEES> 553
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 41
<PER-SHARE-NAV-BEGIN> 10.41
<PER-SHARE-NII> 0.53
<PER-SHARE-GAIN-APPREC> 0.47
<PER-SHARE-DIVIDEND> 63.50
<PER-SHARE-DISTRIBUTIONS> 63.50
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.91
<EXPENSE-RATIO> 0.42
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 026
<NAME> INTERNATIONAL FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> SEP-30-1995
<INVESTMENTS-AT-COST> 3,194,377
<INVESTMENTS-AT-VALUE> 3,223,636
<RECEIVABLES> 968,796
<ASSETS-OTHER> 4
<OTHER-ITEMS-ASSETS> 1,159
<TOTAL-ASSETS> 4,193,595
<PAYABLE-FOR-SECURITIES> 1,983,086
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 14,620
<TOTAL-LIABILITIES> 1,997,706
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,205,973
<SHARES-COMMON-STOCK> 276,281
<SHARES-COMMON-PRIOR> 6,179
<ACCUMULATED-NII-CURRENT> 46,950
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (30,730)
<ACCUM-APPREC-OR-DEPREC> (26,304)
<NET-ASSETS> 2,195,889
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 50,154
<OTHER-INCOME> 0
<EXPENSES-NET> 3,160
<NET-INVESTMENT-INCOME> 46,994
<REALIZED-GAINS-CURRENT> 54,219
<APPREC-INCREASE-CURRENT> (26,941)
<NET-CHANGE-FROM-OPS> 27,278
<EQUALIZATION> 0
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<DISTRIBUTIONS-OF-GAINS> 0
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<NUMBER-OF-SHARES-SOLD> 291,802
<NUMBER-OF-SHARES-REDEEMED> (21,700)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 2,149,939
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 32,724
<OVERDIST-NET-GAINS-PRIOR> (84,950)
<GROSS-ADVISORY-FEES> 1,889
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3,165
<AVERAGE-NET-ASSETS> 1,356,350
<PER-SHARE-NAV-BEGIN> 7.44
<PER-SHARE-NII> 0.18
<PER-SHARE-GAIN-APPREC> 0.33
<PER-SHARE-DIVIDEND> 0.00
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<EXPENSE-RATIO> 0.46
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<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 027
<NAME> LOW DURATION II FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> SEP-30-1995
<INVESTMENTS-AT-COST> 223,804
<INVESTMENTS-AT-VALUE> 223,712
<RECEIVABLES> 2,131
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<TOTAL-ASSETS> 225,848
<PAYABLE-FOR-SECURITIES> 31,160
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<TOTAL-LIABILITIES> 31,315
<SENIOR-EQUITY> 0
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<OVERDISTRIBUTION-GAINS> 30,986
<ACCUM-APPREC-OR-DEPREC> 32,733
<NET-ASSETS> 194,533
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 7,023
<OTHER-INCOME> 0
<EXPENSES-NET> 441
<NET-INVESTMENT-INCOME> 6,582
<REALIZED-GAINS-CURRENT> 869
<APPREC-INCREASE-CURRENT> 1,156
<NET-CHANGE-FROM-OPS> 8,607
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<DISTRIBUTIONS-OF-GAINS> 0
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<NUMBER-OF-SHARES-SOLD> 5,726
<NUMBER-OF-SHARES-REDEEMED> 28,627
<SHARES-REINVESTED> 629
<NET-CHANGE-IN-ASSETS> 23,667
<ACCUMULATED-NII-PRIOR> 0
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<OVERDISTRIB-NII-PRIOR> 31,687
<OVERDIST-NET-GAINS-PRIOR> 30,117
<GROSS-ADVISORY-FEES> 280
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<GROSS-EXPENSE> 443
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<PER-SHARE-NAV-BEGIN> 9.77
<PER-SHARE-NII> 0.34
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<EXPENSE-RATIO> 0.46
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 028
<NAME> LOW DURATION FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> SEP-30-1995
<INVESTMENTS-AT-COST> 3,015,300
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<TOTAL-LIABILITIES> 622,380
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,459,472
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<SHARES-COMMON-PRIOR> 238,948
<ACCUMULATED-NII-CURRENT> 40
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<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (22,536)
<ACCUM-APPREC-OR-DEPREC> 31,933
<NET-ASSETS> 2,436,141
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<INTEREST-INCOME> 89,391
<OTHER-INCOME> 0
<EXPENSES-NET> 4,829
<NET-INVESTMENT-INCOME> 84,859
<REALIZED-GAINS-CURRENT> 31,823
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<NUMBER-OF-SHARES-SOLD> 64,205
<NUMBER-OF-SHARES-REDEEMED> (65,931)
<SHARES-REINVESTED> 7,097
<NET-CHANGE-IN-ASSETS> 103,338
<ACCUMULATED-NII-PRIOR> 71
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<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (21,592)
<GROSS-ADVISORY-FEES> 3,073
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 4,852
<AVERAGE-NET-ASSETS> 2,419,448
<PER-SHARE-NAV-BEGIN> 9.76
<PER-SHARE-NII> 0.34
<PER-SHARE-GAIN-APPREC> 0.21
<PER-SHARE-DIVIDEND> 20.14
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<PER-SHARE-NAV-END> 9.97
<EXPENSE-RATIO> 0.40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 029
<NAME> LOW DURATION FUND - ADMINISTRATIVE CLASS
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> MAR-31-1995
<PERIOD-END> SEP-30-1995
<INVESTMENTS-AT-COST> 3,015,300
<INVESTMENTS-AT-VALUE> 3,013,491
<RECEIVABLES> 45,013
<ASSETS-OTHER> 17
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,058,521
<PAYABLE-FOR-SECURITIES> 610,036
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 12,344
<TOTAL-LIABILITIES> 622,380
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,459,472
<SHARES-COMMON-STOCK> 109
<SHARES-COMMON-PRIOR> 79
<ACCUMULATED-NII-CURRENT> 40
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (22,536)
<ACCUM-APPREC-OR-DEPREC> 31,933
<NET-ASSETS> 2,436,141
<DIVIDEND-INCOME> 297
<INTEREST-INCOME> 89,391
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<EXPENSES-NET> 1
<NET-INVESTMENT-INCOME> 84,859
<REALIZED-GAINS-CURRENT> 31,823
<APPREC-INCREASE-CURRENT> 52,621
<NET-CHANGE-FROM-OPS> 136,535
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<DISTRIBUTIONS-OF-INCOME> 32,745
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<NUMBER-OF-SHARES-SOLD> 71
<NUMBER-OF-SHARES-REDEEMED> 32,724
<SHARES-REINVESTED> 3
<NET-CHANGE-IN-ASSETS> 103,338
<ACCUMULATED-NII-PRIOR> 71
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</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 030
<NAME> FOREIGN FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
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</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 031
<NAME> GLOBAL FUND
<S> <C>
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</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO FUNDS
<SERIES>
<NUMBER> 032
<NAME> GROWTH STOCK FUND
<S> <C>
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</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO ADVISORS INSTITUTIONAL FUNDS
<SERIES>
<NUMBER> 033
<NAME> PIMCO MANAGED BOND & INCOME FUND
<S> <C>
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</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO ADVISORS INSTITUTIONAL FUNDS
<SERIES>
<NUMBER> 034
<NAME> PIMCO MANAGED BOND & INCOME FUND -
ADMINISTRATIVE CLASS
<S> <C>
<PERIOD-TYPE> 12-MOS
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</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO ADVISORS INSTITUTIONAL FUNDS
<SERIES>
<NUMBER> 035
<NAME> MONEY MARKET FUND
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> OCT-31-1995
<PERIOD-END> OCT-31-1995
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</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000810893
<NAME> PIMCO ADVISORS INSTITUTIONAL FUNDS
<SERIES>
<NUMBER> 036
<NAME> MONEY MARKET FUND - ADMINISTRATIVE CLASS
<S> <C>
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</TABLE>
