<PAGE>
. TOTAL RETURN .
STRATEGIC BALANCED . FOREIGN . SHORT-TERM
. LOW DURATION .
GLOBAL . LONG-TERM U.S. GOVERNMENT .
HIGH YIELD . StocksPLUS .
P I M C O
PIMCO FUNDS
SEMI-ANNUAL REPORT . SEPTEMBER 30, 1996
<PAGE>
CONTENTS
Chairman's Message 1
Management Discussion and Analysis 2
Investment Performance 5
Statement of Assets and Liabilities 18
Statement of Operations 20
Statement of Changes in Net Assets 22
Financial Highlights 26
Schedules of Investments
Total Return Fund 32
Total Return Fund II 44
Total Return Fund III 47
Low Duration Fund 49
Low Duration Fund II 56
Short-Term Fund 58
Long-Term U.S. Government Fund 61
Foreign Fund 63
Global Fund 66
High Yield Fund 69
Money Market Fund 72
StocksPLUS Fund 73
Strategic Balanced Fund 76
Notes to Financial Statements 78
<PAGE>
CHAIRMAN'S MESSAGE
Dear PIMCO Funds Shareholder:
We are pleased to present this Semi-Annual Report for the PIMCO Funds: Pacific
Investment Management Series for the six months ended September 30, 1996. The
past two quarters have been an exciting time for the PIMCO Funds, and ultimately
rewarding for shareholders.
The period commenced on a down note for U.S. fixed income markets, as signs of
robust economic growth fueled bond investors' fears of monetary tightening by
the Federal Reserve Bank. Employment registered solid gains, consumer spending
continued despite high debt levels, and key commodity prices rose, igniting
concerns that inflation would accelerate. By the end of April, bond yields on
all maturities greater than one year had spiked upward between 23 and 35 basis
points. Then in May, an uneven pattern of rising and falling interest rates
commenced in response to mixed economic signals from closely watched data
releases. After the dust had settled, September 30th found Treasury yields of
all maturities within just eight basis points of their April levels.
This hectic economic market environment seemed custom-designed to test the
mettle of both fixed income investors and portfolio managers. Those who took the
year's early setbacks in stride and stayed the course are now being rewarded
with positive returns, as investment strategies undertaken in the Spring have
begun to pay dividends this Fall. On an absolute basis, equity, high yield and
foreign bond investors have enjoyed the strongest returns. As noted on the
following pages, the PIMCO Foreign Fund posted the highest return of any
portfolio in the Trust during the six-month period, rising 10.59%, and all of
the Funds managed to beat their comparative market indices.
We are pleased to report that shareholders have continued to express confidence
in the PIMCO Funds by investing more than $461 million during the reporting
period, which has helped to push total assets to exceed $16.5 billion. Moreover,
we look forward to the planned consolidation in mid-January of our affiliated
fund family, the PIMCO Advisors Funds, with the PIMCO Funds. The combined funds,
at $25 billion strong, will offer shareholders a wider range of investment
opportunities under the PIMCO Funds banner.
As always, we 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
assistance.
Sincerely,
/s/ Brent R. Harris
Brent R. Harris
Chairman of the Board
November 5, 1996
1
<PAGE>
MANAGEMENT DISCUSSION AND ANALYSIS
Despite an economic climate where many fixed income investments have been
battered by rising interest rates, we are pleased to report positive performance
for each of the PIMCO Funds. Each Fund's performance compares favorably to its
respective benchmark. Not only for the recently completed six-month period, but
also over the trailing one, three and five years. And, as the following table
illustrates, most of the PIMCO Funds have also outperformed their respective
Lipper mutual fund peer averages for the twelve-month period ended September 30,
1996, and are highly rated by Morningstar.
<TABLE>
<CAPTION>
Total Return Investment Performance
(periods ended 09/30/96)
-------------------------------------------
Six Months Twelve Months
PIMCO PIMCO Competitive Morningstar
Category & Fund* Funds Funds Fund Average Difference Rating**
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Intermediate Investment Grade Debt Funds (175 Funds)
Total Return Fund 3.41% 6.48% 4.30% 2.18% *****
---------------------------------------------------------------------------------------------------------------------------------
Total Return Fund II 2.86 5.40 4.30 1.10 ***
---------------------------------------------------------------------------------------------------------------------------------
Total Return Fund III 3.63 6.17 4.30 1.87 *****
---------------------------------------------------------------------------------------------------------------------------------
Short Investment Grade Debt Funds (100 Funds)
Low Duration Fund 3.46 6.76 5.16 1.60 *****
---------------------------------------------------------------------------------------------------------------------------------
Low Duration Fund II 3.09 5.88 5.16 0.72 ****
---------------------------------------------------------------------------------------------------------------------------------
Ultra Short Obligations Funds (28 Funds)
Short-Term Fund 3.63 7.44 5.41 2.03 *****
---------------------------------------------------------------------------------------------------------------------------------
Institutional Money Market Funds (155 Funds)
Money Market Fund 2.61 5.76 5.27 0.49 n.a.
---------------------------------------------------------------------------------------------------------------------------------
General U.S. Government Funds (173 Funds)
Long-Term U.S. Government Fund 1.61 2.61 3.24 -0.63 ***
---------------------------------------------------------------------------------------------------------------------------------
International Income Funds (42 Funds)
Foreign Fund 10.59 20.84 9.27 11.57 *****
---------------------------------------------------------------------------------------------------------------------------------
Global Income Funds (124 Funds)
Global Fund 6.91 12.76 11.12 1.64 n.a.
---------------------------------------------------------------------------------------------------------------------------------
High Current Yield Funds (143 Funds)
High Yield Fund 6.17 11.91 12.92 -1.01 ****
---------------------------------------------------------------------------------------------------------------------------------
Growth and Income Funds (503 Funds)
StocksPLUS Fund 7.78 21.00 17.24 3.76 *****
---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* as categorized by Lipper Analytical Services, Inc.
** Performance and rankings are historical and do not represent future results.
Morningstar proprietary ratings reflect risk-adjusted performance and are
subject to change every month. Overall ratings are calculated from a fund's
3-, 5- and 10-year (not 1-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 Treasury bill returns. Ten percent of
the funds in an investment category receive 5 stars, the next 22.5% receive 4
stars, and the next 35% receive 3 stars. Funds with fewer than 3 years of
performance history are not rated.
2
<PAGE>
Market Recap and Strategy
Yields on U.S. Treasury bonds followed a rambling path during the six-months
ended September 30, 1996, as market fears of tightening by the Federal Reserve
waxed and waned. Economic data initially indicated strong economic growth and
potentially higher inflation, and domestic interest rates surged. But, as the
period progressed, key indices offered mixed indications of growth, while
signals from the Fed via public testimony, Federal Open Market Committee (FOMC)
meeting debriefings, and, not least, leaks to the media, alternately depressed
and boosted bond market sentiment. At the end of the period, Treasury yields
from one to thirty years moved from 25 to 38 basis points higher. And since
3-month rates were nearly unchanged, the front portion of the yield curve
steepened significantly. Since the end of September, the economy has continued
to exhibit signs of slowing. With another month under its belt, the bond market
has (as depicted below) seen Treasury yields move very close to where they
started seven months ago, marking the end of a hectic but circular journey.
Movements of U.S. Treasury Yields from 3/31/96 through 10/31/96
<TABLE>
<CAPTION>
1-Year 5-Year 30-Year
<S> <C> <C> <C>
3/29/96 5.38 6.09 6.67
4/26/96 5.54 6.28 6.79
5/31/96 5.75 6.63 6.99
6/28/96 5.68 6.46 6.87
7/26/96 5.86 6.62 7.01
8/30/96 5.90 6.72 7.12
9/27/96 5.65 6.43 6.91
10/31/96 5.41 6.07 6.64
</TABLE>
If there was any consistent theme behind the Funds' investment success during
this past six-month period, it was the value of sector strategies and investment
discretion. PIMCO's total return investment process seeks to add incremental
returns through a multi-faceted, active management process which includes
duration, yield curve positioning, sector rotation, issue selection, credit
quality selection and, for certain Funds, country and currency allocations. For
all of 1996, our outlook has called for a bond market-friendly combination of
moderate economic growth and low inflation. Consistent with this forecast, the
Funds have been managed with durations higher than their respective benchmark
indices and in many cases at the upper end of their allowable ranges.
As interest rates moved higher in the U.S., the Funds' above-index
durations were a drag on investment performance. The fact that favorable returns
were achieved during the reporting period, despite the negative impact of
duration, illustrates the importance of other stategies besides interest rate
risk management. Strategies that yielded positive results included overweighting
both fixed and adjustable rate mortgage-backed securities, underweighting
long-term, high quality corporates, the selective use of lower-quality issues,
and writing options on short-term interest rates. The employment of
currency-hedged, European and dollar bloc bonds, and the continued investment in
dollar-denominated Argentine and Mexican debt securities, also added value to
those PIMCO Funds which permit foreign investments.
Investment Process and Outlook
Each spring, PIMCO's entire group of investment professionals meets for several
days to discuss and review the firm's long-term outlook for the economy and
inflation. This past May, the consensus view of this group was bullish on
interest rates. This long-term outlook, which lies at the heart of PIMCO's
investment process, remains bullish for bonds. Some prominent themes which drive
our outlook include:
. Competitive forces unleashed by the globalization of trade and production,
generate low-cost goods and limit firms' pricing power;
. Integration of world capital markets and the growing power of investors to
demand sound, market-friendly fiscal and monetary policies; and
. Aging populations across the developed world, shifting the age mix from the
high consumption years toward the savings-oriented phase of the life cycle.
3
<PAGE>
MANAGEMENT DISCUSSION AND ANALYSIS (Cont.)
Interest Rate Forecast
Our forecast is for a 5-7% range for the yield of the 30-year Treasury bond over
the next three to five years. More important than the numbers themselves,
however, is the direction of rates implied by our Secular Outlook: with the Long
Bond's yield currently near the top of the 5-7% range, we expect the
disinflationary forces cited above to broadly pull interest rates lower over the
course of the next several years.
<TABLE>
<CAPTION>
30 YEAR TREASURY YIELDS
<S> <C>
1/1/78 8.18
1/1/79 8.94
1/1/80 10.60
1/1/81 12.28
1/1/82 13.91
1/1/83 10.99
1/1/84 11.75
1/1/85 11.21
1/1/86 9.32
1/1/87 7.47
1/1/88 8.42
1/1/89 8.82
1/1/90 8.45
1/1/91 8.20
1/1/92 7.76
1/1/93 7.20
1/1/94 6.24
1/1/95 7.70
1/1/96 6.03
10/1/96 6.64
</TABLE>
Favorable business cycle conditions are likely to prevail into next year as
well, setting the stage for a bond market rally. We expect steady,
non-inflationary growth over the next several quarters, with both economic
growth and consumer inflation running comfortably around the mid-2% level. We
believe that fears held by a sizable contingent of bond investors, that the
economy will overheat, are unfounded. Our view on growth over the next several
quarters follows:
. Consumption will moderate (and in fact already has) after the spending binge
earlier this year. The consumer will return to a more sustainable rate of
expenditure, in line with the moderate pace of increase in personal income;
. Business investment will slow as rapidly-expanding manufacturing capacity
outstrips final demand;
. Housing demand will begin to slow by early 1997 as the delayed effects of
this year's jump in mortgage rates take hold;
. Fiscal policy will remain restrictive near-term;
. Exports will not drive growth in this country, as it is the U.S. which serves
as the economic locomotive in the current global growth cycle.
Perhaps most notable at present is a lack of structural imbalances, and the
evenly distributed growth profile across the U.S., all of which supports our
outlook for a continued, smooth expansion. The one potential area of excess
which bears watching is the stock market, as a sharp correction could hurt
confidence and, ultimately, economic growth.
Investment Strategy Going Forward
Against this backdrop we will continue to emphasize many of the themes that were
featured over the past six months. Fund durations will be targeted above their
respective benchmarks to position for anticipated price gains in a declining
interest rate environment. Another benefit of our above-index duration strategy
is the yield benefit it provides a portfolio given the current positive slope of
the U.S. and most foreign yield curves. Indeed, looking farther into the future,
if the long-run evolution of the bond market toward a more stable-rate
environment that we foresee comes to pass, yield enhancement strategies will
take center stage in place of the price-change-oriented interest rate strategies
which dominated during the bull bond market of the 1980s and early 1990s.
Our domestic sector strategies will emphasize market segments that offer a
yield premium over Treasuries. While we feel that the mortgage-backed sector as
a whole is fairly valued relative to market expectations, our bullish view on
rates suggests value in discount (low coupon) fixed rate issues due to their
call-protected characteristics. In addition, adjustable rate mortgages remain
attractive as higher-yielding, relatively low risk, short-maturity holdings. On
the corporate front, we will continue to favor lower quality, non-cyclical,
short-term issues that offer a substantial yield cushion over Treasuries. These
larger yield premiums offer a buffer against the effects of spread widening as
the economy slows.
Looking beyond the borders of the U.S., while most foreign markets have
experienced interest rate declines in recent months, several opportunities
remain in dollar bloc countries (Canada, Australia, New Zealand) and the higher
yielding nations of Europe. The same holds even truer for selected
dollar-denominated Latin American bonds, where wide spreads over U.S. Treasuries
and improving economic fundamentals offer excellent value.
If the world's bond markets unfold as we expect over the next six months,
multiple sector strategies will once again form the genesis of favorable
investment results.
4
<PAGE>
TOTAL RETURN FUND
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
-----------------------------------------------
TOTAL RETURN FUND Through September 30, 1996
-----------------------------------------------
MONTH TOTAL RETURN LBAG
========== ============== ==============
<S> <C> <C>
05/31/87 1,000,000.00 1,000,000.00
12/31/87 1,030,745.18 1,043,430.28
12/31/88 1,127,426.29 1,125,714.10
12/31/89 1,288,016.57 1,289,275.51
12/31/90 1,391,670.78 1,404,797.46
12/31/91 1,663,829.39 1,629,609.19
12/31/92 1,825,855.68 1,750,227.21
12/31/93 2,054,300.21 1,920,864.71
12/31/94 1,980,883.43 1,864,840.30
12/31/95 2,372,627.60 2,209,361.20
09/30/96 2,394,638.59 2,222,896.65
</TABLE>
<TABLE>
<CAPTION>
Returns Ended 9/30/96
- -------------------------------------------------------------------------
Since
6 Mos 1 Yr./*/ 3 Yr./*/ 5 Yr./*/ Inception/*/
----- -------- -------- -------- ------------
<S> <C> <C> <C> <C> <C>
Total Return Fund
Inst'l Class (%) 3.41 6.48 5.47 8.69 9.80
Lehman
Aggregate
Bond Index (%) 2.43 4.90 5.01 7.46 8.93
- -------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Since
6 Mos 1 Yr./*/ 2 Yr./*/ Inception/*/
----- -------- -------- ------------
<S> <C> <C> <C> <C>
Admin. Class (%) 3.28 6.32 9.67 9.65
Lehman
Aggregate
Bond Index (%) 2.43 4.90 9.38 9.37
- -------------------------------------------------------------------------
</TABLE>
/*/Annualized
- --------------------------------------------------------------------------------
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 1996, compared
to the Lehman Brothers Aggregate Bond Index, an unmanaged market index. The
performance of the Administrative Class from inception in September 1994 (shown
at left) reflects the payment of a service fee in an amount not to exceed 0.25%
on an annualized basis. Past performance is not an indication of future results.
. Successful sector strategies were the leading determinant of favorable
performance of 0.98% relative to the Lehman Aggregate Bond Index during the
six-month reporting period, as non-index sectors outperformed.
. Holdings of below investment-grade bonds (mostly BB-rated issues), which
averaged about 7% of the Fund's assets, boosted returns via their higher
yields and spread tightening in response to strong corporate earnings and a
favorable outlook for continued growth.
. Mortgage-backed holdings were overweighted relative to the Index, and both
fixed and adjustable rate issues benefited from a combination of higher
yields and spread tightening early in the period when rising rates reduced
the probability of prepayment.
. The opportunistic use of core European and dollar-bloc bonds, and small
holdings of dollar-denominated debt from Argentina and Mexico, both
contributed to performance as interest rates fell abroad in contrast to
rising domestic rates.
. The Fund's above-index duration limited returns in the second quarter when
yields on all but the shortest Treasury issues surged 20-40 basis points
higher. Duration was neutral for returns in the third quarter, however, when
Treasury yields were nearly unchanged.
. A yield curve strategy that favored intermediate-maturity issues was also
negative for returns early in the period and was only partially offset later
by the higher portfolio yield generated by intermediate-maturity bonds
relative to a blend of shorter- and longer-term issues.
[PIE CHARTS APPEAR HERE]
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION % of Total Investments as of September 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Mortgage-Backed Securities 54.1%
Short-Term Instruments 5.6%
Other 6.7%
Corporate Bonds and Notes 16.0%
U.S. Treasury Obligations 17.6%
<CAPTION>
<S> <C>
AAA 75%
A1 4%
BB 6%
BBB 7%
A 6%
AA 2%
</TABLE>
5
<PAGE>
TOTAL RETURN FUND II
[LINE CHART APPEARS HERE]
<TABLE>
<CAPTION>
-------------------------------------------------
TOTAL RETURN FUND II Through September 30,1996
-------------------------------------------------
MONTH TOTAL RETURN II LBAG
============== ================ ================
<S> <C> <C>
12/31/91 1,000,000.00 1,000,000.00
12/31/92 1,094,320.03 1,074,016.53
12/31/93 1,213,560.32 1,178,727.22
12/31/94 1,186,684.24 1,144,348.17
12/31/95 1,411,856.80 1,355,761.38
09/30/96 1,415,967.33 1,364,067.32
</TABLE>
<TABLE>
<CAPTION>
Returns Ended 9/30/96
- ------------------------------------------------------------------------------
Since
6 Mos 1 Yr/*/ 3Yr/*/ Inception/*/
------- ------- ------ ------------
<S> <C> <C> <C> <C>
Total Return Fund II
Inst'l Class (%) 2.86 5.40 5.13 7.59
Lehman Aggregate
Bond Index (%) 2.43 4.90 5.01 6.75
- ------------------------------------------------------------------------------
Admin. Class (%) 2.73 5.03 10.34
Lehman Aggregate
Bond Index (%) 2.43 4.90 10.55
- ------------------------------------------------------------------------------
</TABLE>
/*/Annualized
- --------------------------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the inception of the
Fund's Institutional Class in December 1991 and held through September 1996,
compared to the Lehman Brothers Aggregate Bond Index, an unmanaged market index.
The performance of the Administrative Class from inception in November 1994
(shown at left) reflects the payment of a service fee in an amount not to exceed
0.25% on an annualized basis. Past performance is not an indication of future
results.
. A successful blend of sector strategies led to favorable relative performance
for the six-month period as the Fund led the Lehman Aggregate Bond Index by
0.43%.
. Holdings of BBB-rated corporate bonds boosted returns via their higher yields
and some spread tightening in response to strong corporate earnings and a
favorable outlook for continued growth.
. Mortgage-backed holdings were significantly overweighted relative to the
Index, and both fixed and adjustable rate issues benefited from a combination
of higher yields and spread tightening early in the period when rising rates
reduced the probability of prepayment.
. A limited strategy of writing options on short-term interest rates, designed
to benefit the Fund if rates did not rise as quickly as the market expected,
aided performance as the Federal Reserve stood pat and left the Fed funds
rate unchanged.
. The Fund's above-index duration limited returns in the second quarter when
yields on all but the shortest Treasury issues surged 20-40 basis points
higher. Duration was neutral for returns in the third quarter, however, when
yields were nearly unchanged.
. A yield curve strategy that favored intermediate-maturity issues was also
negative for returns early in the period and was only partially offset later
by the higher portfolio yield generated by intermediate-maturity bonds
relative to a blend of shorter- and longer-term issues.
[PIE CHARTS APPEAR HERE]
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION % of Total Investments as of September 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
U.S. Treasury Notes 20.0%
Corporate Bonds
and Notes 15.0%
Short-Term
Instruments 7.0%
Other 2.0%
Mortgage-Backed
Securities 56.0%
<CAPTION>
<S> <C>
AAA 79%
A 2%
BBB 11%
BB 2%
A1 6%
</TABLE>
6
<PAGE>
TOTAL RETURN FUND III
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
------------------------------------------------
TOTAL RETURN FUND III Through September 30, 1996
------------------------------------------------
MONTH TOTAL RETURN III LBAG
=========== ================ ================
<S> <C> <C>
04/30/91 1,000,000.00 1,000,000.00
12/31/91 1,137,502.41 1,116,311.65
12/31/92 1,240,189.38 1,198,937.16
12/31/93 1,396,936.94 1,315,826.92
12/31/94 1,349,037.54 1,277,449.19
12/31/95 1,608,546.95 1,513,452.22
09/30/96 1,626,853.31 1,522,724.24
</TABLE>
<TABLE>
<CAPTION>
Returns Ended 9/30/96
- -------------------------------------------------------------------------
Since
6 Mos 1 Yr./*/ 3 Yr./*/ 5 Yr./*/ Inception/*/
----- -------- -------- -------- ------------
<S> <C> <C> <C> <C> <C>
Total Return
Fund III (%) 3.63 6.17 5.67 8.69 9.39
- -------------------------------------------------------------------------
Lehman
Aggregate
Bond Index (%) 2.43 4.90 5.01 7.46 7.96
- -------------------------------------------------------------------------
</TABLE>
/*/Annualized
- --------------------------------------------------------------------------------
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 1996, compared
to the Lehman Brothers Aggregate Bond Index, an unmanaged market index. Past
performance is not an indication of future results.
. Successful sector strategies were the leading determinant of favorable
performance of 1.20% relative to the Lehman Aggregate Bond Index during the
six-month reporting period, as non-index sectors outperformed.
. Holdings of below investment-grade bonds (mostly BB-rated issues), which
averaged about 7% of the Fund's assets, boosted returns via their higher
yields and spread tightening in response to strong corporate earnings and a
favorable outlook for continued growth.
. Mortgage-backed holdings were overweighted relative to the Index, and both
fixed and adjustable rate issues benefited from a combination of higher
yields and spread tightening early in the period when rising rates reduced
the probability of prepayment.
. The opportunistic use of core European and dollar-bloc bonds, and small
holdings of dollar-denominated debt from Argentina and Mexico, both
contributed to performance as interest rates fell abroad in contrast to
rising domestic rates.
. The Fund's above-index duration limited returns in the second quarter when
yields on all but the shortest Treasury issues surged 20-40 basis points
higher. Duration was neutral for returns in the third quarter, however, when
Treasury yields were nearly unchanged.
. A yield curve strategy that favored intermediate-maturity issues was also
negative for returns early in the period and was only partially offset later
by the higher portfolio yield generated by intermediate-maturity bonds
relative to a blend of shorter- and longer-term issues.
[PIE CHARTS APPEAR HERE]
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION % of Total Investments as of September 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Mortgage-Backed Securities 44.1%
Short-Term Instruments 13.7%
Other 6.1%
Corporate Bonds and Notes 10.0%
U.S. Treasury Notes 26.1%
<CAPTION>
<S> <C>
AAA 70%
B 1%
BB 7%
BBB 6%
A 1%
AA 4%
A1 11%
</TABLE>
7
<PAGE>
LOW DURATION FUND
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
-----------------------------------------------
LOW DURATION FUND Through September 30, 1996
-----------------------------------------------
MONTH LOW DURATION MERRILL 1-3
=========== ================ ================
<S> <C> <C>
05/31/87 1,000,000.00 1,000,000.00
12/31/87 1,044,478.09 1,047,984.76
12/31/88 1,130,408.56 1,113,174.49
12/31/89 1,261,510.71 1,234,771.63
12/31/90 1,375,736.40 1,354,820.12
12/31/91 1,560,925.88 1,513,055.27
12/31/92 1,680,926.86 1,608,398.67
12/31/93 1,811,369.22 1,695,419.33
12/31/94 1,822,760.28 1,705,049.92
12/31/95 2,040,217.87 1,892,602.79
09/30/96 2,111,800.64 1,949,777.53
</TABLE>
<TABLE>
<CAPTION>
Returns Ended 9/30/96
- -------------------------------------------------------------------------
Since
6 Mos 1 Yr./*/ 3 Yr./*/ 5 Yr./*/ Inception/*/
----- -------- -------- -------- ------------
<S> <C> <C> <C> <C> <C>
Low Duration Fund
Inst'l Class (%) 3.46 6.76 5.77 7.00 8.33
Merrill Lynch
1-3 Yr. Tsy. Index (%) 2.68 5.61 4.98 5.97 7.41
- -------------------------------------------------------------------------
Admin Class (%) 3.33 6.50 8.47
Merrill Lynch
1-3 Yr. Tsy. Index (%) 2.68 5.61 7.96
- -------------------------------------------------------------------------
</TABLE>
/*/Annualized
- --------------------------------------------------------------------------------
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 1996, compared
to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market index. The
performance of the Administrative Class from inception in January 1995 (shown at
left) reflects the payment of a service fee in an amount not to exceed 0.25% on
an annualized basis. Past performance is not an indication of future results.
. Investment discretion and multi-sector strategies proved to be the key
determinants of relative performance as non-index sectors enjoyed the best
returns, enabling the Fund to outperform its all-Treasury benchmark by 0.78%
during the six-month period.
. The yield advantage of both fixed and adjustable rate mortgage-backed
securities, and the Fund's over-50% weighting of the sector, benefited
performance. This was further aided by spread tightening early in the period
as prepayment activity declined in response to higher mortgage rates.
. Both BBB-and BB-rated corporate issues performed well, boosting returns
through a combination of higher initial yields and spread tightening relative
to similar maturity Treasuries as the result of strong corporate earnings and
a favorable economic outlook.
. Small, dollar-denominated holdings of Argentine and Mexican debt benefited
performance when prices rallied in response to heightened investor interest
born of these nations' high yields as well as credible growth and inflation
policies.
. The Fund's above-index duration limited returns in the second quarter when
expectations of a Fed tightening pushed interest rates higher. Duration had
little impact in the third quarter, however, when yields initially surged
upward, but later declined on signs of low inflation and economic slowing.
[PIE CHARTS APPEAR HERE]
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
PORTFOLIO COMPOSITION % of Total Investments as of September 30, 1996
- -----------------------------------------------------------------------------
<S> <C>
Mortgage-Backed Securities 56.1%
Other 6.2%
Short-Term Instruments 15.3%
Corporate Bonds and Notes 22.4%
<CAPTION>
<S> <C>
AAA 56%
BB 7%
BBB 12%
A 8%
AA 2%
A1 15%
</TABLE>
8
<PAGE>
LOW DURATION FUND II
<TABLE>
<CAPTION>
[LINE GRAPH APPEARS HERE]
-----------------------------------------------
LOW DURATION FUND II Through September 30, 1996
-----------------------------------------------
MONTH LOW DURATION II MERRILL 1-3
============= ================ ================
<S> <C> <C>
10/31/91 1,000,000.00 1,000,000.00
12/31/91 1,030,157.63 1,025,788.25
12/31/92 1,094,356.61 1,090,427.09
12/31/93 1,166,344.05 1,149,423.47
12/31/94 1,170,070.79 1,155,952.61
12/31/95 1,307,960.85 1,283,105.62
09/30/96 1,343,828.98 1,321,867.70
</TABLE>
<TABLE>
<CAPTION>
Returns Ended 9/30/96
- --------------------------------------------------------------------------------
Since
6 Mos 1 Yr/*/ 3 Yr/*/ Inception/*/
----- ------- ------- ------------
<S> <C> <C> <C> <C>
Low Duration
Fund II(%) 3.09 5.88 5.06 6.19
- --------------------------------------------------------------------------------
Merrill Lynch
1-3 Yr. Tsy. Index(%) 2.68 5.61 4.98 5.83
- --------------------------------------------------------------------------------
</TABLE>
/*/Annualized
- --------------------------------------------------------------------------------
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 1996,
compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market
index. Past performance is not an indication of future results.
. Sector strategies proved to be the key determinants of relative performance
as non-index sectors enjoyed the best returns, enabling the Fund to
outperform its all-Treasury benchmark by 0.41% during the six-month period.
. The yield advantage of both fixed and adjustable rate mortgage-backed
securities, and the Fund's over-50% weighting of the sector, benefited
performance. This was further aided by spread tightening early in the period
as prepayment activity declined in response to higher mortgage rates.
. Broader-than-index maturity exposure aided returns as rates below one year
and above ten years rose less than 1-to 3-year rates.
. The Fund's above-index duration limited returns in the second quarter when
expectations of a Fed tightening pushed interest rates higher. Duration had
little impact in the third quarter, however, when yields initially surged
upward but later declined on signs of low inflation and economic slowing.
[PIE CHARTS APPEAR HERE]
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION % of Total Investments as of September 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
U.S. Government Agencies 0.1%
U.S. Treasury Notes 10.1%
Corporate Bonds and Notes 6.8%
Short-Term Instruments 13.6%
Mortgage-Backed Securities 69.4%
<CAPTION>
<S> <C>
AAA 77%
AA 2%
A 7%
A1 13%
BBB 1%
</TABLE>
9
<PAGE>
SHORT-TERM FUND
[LINE CHART APPEARS HERE]
<TABLE>
<CAPTION>
---------------------------------------------
SHORT-TERM FUND Through September 30, 1996
---------------------------------------------
LIPPER
MONTH SHORT-TERM MONEY MARKET
=========== ================ ================
<S> <C> <C>
10/31/87 1,000,000.00 1,000,000.00
12/31/87 1,012,023.74 1,011,433.29
12/31/88 1,088,755.81 1,084,223.92
12/31/89 1,191,539.60 1,181,464.97
12/31/90 1,292,428.29 1,275,590.70
12/31/91 1,378,445.50 1,350,092.71
12/31/92 1,428,417.71 1,396,855.75
12/31/93 1,494,453.55 1,434,611.69
12/31/94 1,537,715.13 1,488,152.66
12/31/95 1,679,255.85 1,568,186.66
09/30/96 1,758,516.49 1,623,124.91
</TABLE>
<TABLE>
<CAPTION>
Returns Ended 9/30/96
- --------------------------------------------------------------------------------
Since
6 Mos 1 Yr./*/ 3 Yr./*/ 5 Yr./*/ Inception/*/
----- -------- -------- -------- ------------
<S> <C> <C> <C> <C> <C>
Short Term Fund
Inst'l Class(%) 3.63 7.44 6.02 5.26 6.53
- --------------------------------------------------------------------------------
Lipper Money
Market Index(%) 2.25 4.72 4.43 4.01 5.58
- --------------------------------------------------------------------------------
</TABLE>
* Annualized
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Since
6 Mos Inception
----- ---------
<S> <C> <C>
Short-Term Fund
Admin Class(%) 3.50 3.92
- --------------------------------------------------------------------------------
Lipper Money
Market Index(%) 2.25 3.06
- --------------------------------------------------------------------------------
</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 1996,
compared to the Lipper Money Market Index, an index consisting of the 30 largest
equal weighted Money Market Funds. Whereas money market funds attempt to
maintain a stable share price, the Short-Term Fund's share price will fluctuate
in response to market conditions. The performance of the Administrative class,
from inception in February 1996 (shown at left) reflects the payment of a
service fee in an amount not to exceed 0.25% on an annualized basis. Past
performance is not an indication of future results.
. Sector strategies drove returns during the period with corporate, mortgage,
and foreign securities all contributing to strong performance. The Fund's
investment return led the average money market fund by 1.38% during the
six-month period.
. Fund performance received a boost from short-term, mortgage-backed issues,
which benefited from an initial yield advantage and spread tightening in
response to declining prepayments driven by higher mortgage rates.
. Both BBB-and BB-rated corporate issues performed well, boosting returns
through a combination of higher initial yields and spread tightening relative
to similar maturity Treasuries.
. The opportunistic use of currency-hedged European and Canadian bonds and
small holdings of dollar-denominated debt from Argentina and Mexico
contributed to performance, as interest rates fell abroad in contrast to
rising domestic rates.
. The steep front portion of the yield curve (3 months to 2 years) allowed the
yield advantage of the Fund's above-index duration to mostly offset principal
losses on its investment portfolio as rates moved higher on expectations of
Fed tightening.
[PIE CHARTS APPEARS HERE]
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION % of Total Investments as of September 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Mortgage-Backed Securities 37.1%
Short-Term Instruments 17.6%
Other 7.3%
Corporate Bonds and Notes 38.0%
<CAPTION>
<S> <C>
B 1%
BB 8%
BBB 17%
AAA 38%
A1 18%
A 16%
AA 2%
</TABLE>
10
<PAGE>
LONG-TERM U.S. GOVERNMENT FUND
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
-------------------------------------------------------------------
LONG-TERM U.S. GOVERNMENT FUND Through September 30,1996
-------------------------------------------------------------------
LEHMAN INT
&
MONTH LONG-TERM U.S. GOV'T 20+ YR TREAS LBAG
=========== ======================= ================ ================
<S> <C> <C> <C>
06/30/91 1,000,000.00 1,000,000.00 1,000,000.00
12/31/91 1,181,839.72 1,154,987.78 1,110,386.16
12/31/92 1,322,838.26 1,244,270.52 1,192,573.10
12/31/93 1,568,556.86 1,450,540.54 1,308,842.39
12/31/94 1,452,653.13 1,341,134.05 1,270,668.38
12/31/95 1,911,315.03 1,736,411.78 1,505,418.68
09/30/96 1,820,593.54 1,650,530.30 1,514,641.48
</TABLE>
<TABLE>
<CAPTION>
Returns Ended 9/30/96
- -------------------------------------------------------------------------------
Since
6 Mos. 1 Yr.* 3 Yr.* 5 Yr.* Inception*
<S> <C> <C> <C> <C> <C>
Long Term U.S.
Gov't Fund (%) 1.61 2.61 4.54 10.83 12.07
- -------------------------------------------------------------------------------
LB Int. & 20+
Treasury Index (%) 1.44 2.34 3.93 8.79 10.00
- -------------------------------------------------------------------------------
Lehman Aggregate
Bond Index (%) 2.43 4.90 5.01 7.46 8.22
- -------------------------------------------------------------------------------
</TABLE>
*Annualized
- -------------------------------------------------------------------------------
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 1996,
compared to the Lehman Brothers Aggregate Bond Index, and a 10 year duration
blend of the Lehman Brothers Intermediate and 20+Yr. Treasury Indices, each an
unmanaged market index. Past performance is not an indication of future results.
. Following a negative second quarter return, favorable results from the
mortgage-backed sector keyed better performance in the third quarter, and the
Fund posted positive performance for the six-month period, outpacing its
all-Treasury benchmark by 0.17%.
. The yield advantage of both fixed and adjustable rate mortgage-backed
securities, and the Fund's over-45% weighting of the sector, benefited
performance. This was further aided as prepayment activity declined and some
spread tightening occurred in the aftermath of higher mortgage rates.
. A limited strategy of writing options on short-term interest rates, designed
to benefit the Fund if rates did not rise as quickly as the market expected,
aided performance as the Federal Reserve stood pat and left the Fed funds
rate unchanged.
. The Fund's above-index duration limited returns in the second quarter, when
yields on all but the shortest Treasury issues surged 20-40 basis points
higher and was neutral for returns in the third quarter when Treasury yields
were nearly unchanged.
[PIE CHARTS APPEARS HERE]
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION % of Total Investments as of September 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Mortgage-Backed Securities 56.0%
Short-Term Instruments 4.2%
U.S. Treasury Bonds 39.8%
<CAPTION>
<S> <C>
A1 4%
AA 6%
AAA 90%
</TABLE>
11
<PAGE>
FOREIGN FUND
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
---------------------------------------------
FOREIGN FUND Through September 30, 1996
---------------------------------------------
J.P. MORGAN
MONTH FOREIGN NON-U.S.
=========== ================ ================
<S> <C> <C>
12/31/92 1,000,000.00 1,000,000.00
12/31/93 1,164,013.44 1,139,019.60
12/31/94 1,079,026.38 1,081,273.43
12/31/95 1,308,003.45 1,278,457.48
09/30/96 1,474,040.32 1,381,002.05
</TABLE>
<TABLE>
<CAPTION>
Returns Ended 9/30/96
- ------------------------------------------------------------------
Since
6 Mos. 1 Yr./*/ 3 Yr./*/ Inception/*/
------ ------- -------- ------------
<S> <C> <C> <C> <C>
Foreign Fund (%) 10.59 20.84 9.72 10.90
- -----------------------------------------------------------------
J.P. Morgan
Non-U.S. Index (%) 7.11 12.66 8.09 8.99
- -----------------------------------------------------------------
</TABLE>
/*/Annualized
- --------------------------------------------------------------------------------
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 1996,
compared to the J.P. Morgan Non-U.S. Government Bond Index (Hedged), an
unmanaged market index. Past performance is not an indication of future results.
. Fund performance outpaced the currency-hedged return of the J.P. Morgan Non-
U.S. Government Bond Index by 3.48% during the six-month period, with
duration, country, and currency strategies contributing significantly to
returns.
. Japan was heavily underweighted in favor of European and dollar bloc country
(Australia, Canada, New Zealand) bonds, which aided performance as economic
growth remained stagnant in both regions and interest rates declined.
. The Fund's most significant holdings relative to the Index were in Canada and
the Netherlands. Both positions benefited performance as interest rates in
these countries migrated toward those of their larger neighbors (the U.S. and
Germany, respectively) in response to slow economic growth, low inflation,
and unusually high real yields relative to the U.S and Germany.
. Small, dollar-denominated holdings of Argentine and Mexican debt benefited
performance, when prices rallied in response to heightened investor interest
born of these nations' high yields as well as credible growth and inflation
policies.
. European currency strategies added value when the higher-yielding European
monies (Italian lira, Swedish krona, and Czech koruna) were overweighted at
the expense of German marks and Swiss francs, which declined in value
relative to these peripheral currencies.
. As bond yields declined in nearly all foreign markets during the second and,
particularly, the third quarters, the Fund's above-index duration further
boosted returns.
[PIE CHARTS APPEAR HERE]
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION % of Total Investments as of September 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Short-Term Instruments 12.0%
Other 13.6%
Canada 10.6%
Germany 2.3%
Italy 2.1%
Japan 11.9%
Mexico 4.1%
Netherlands 19.5%
New Zealand 2.5%
Sweden 3.5%
United Kingdom 7.3%
United States 10.6%
<CAPTION>
<S> <C>
AAA 42%
BB 8%
BBB 3%
A 12%
A1 12%
AA 23%
</TABLE>
12
<PAGE>
GLOBAL FUND
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
---------------------------------------------
GLOBAL FUND Though September 30, 1996
---------------------------------------------
JP MORGAN
MONTH GLOBAL GLOBAL
=========== ================ ================
<S> <C> <C>
11/30/93 1,000,000.00 1,000,000.00
12/31/93 1,031,870.81 1,010,200.20
12/31/94 1,014,310.85 1,022,933.14
12/31/95 1,247,201.85 1,220,457.41
09/30/96 1,316,951.71 1,240,380.76
</TABLE>
<TABLE>
<CAPTION>
Returns Ended 9/30/96
- ---------------------------------------------------------------
Since
6 Mos 1 Yr./*/ 2 Yr./*/ Inception/*/
----- -------- -------- ------------
<S> <C> <C> <C> <C>
Global Fund
Inst'l Class (%) 6.91 12.76 14.24 10.20
- ---------------------------------------------------------------
J.P. Morgan
Global Index (%) 3.44 5.06 10.37 7.89
- ---------------------------------------------------------------
</TABLE>
/*/Annualized
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
Since
Inception
------------
<S> <C>
Global Fund Admin. Class (%) 3.22
- ---------------------------------------------------------------
J.P. Morgan Global Index (%) 0.97
- ---------------------------------------------------------------
</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 1996,
compared to the J.P. Morgan Global Index, an unmanaged market index. The
performance of the Administrative Class from inception in August 1996 (shown at
left) reflects the payment of a service fee in an amount not to exceed 0.25% on
an annualized basis. Past performance is not an indication of future results.
. A combination of effective country, currency, and duration strategies allowed
the Fund to outperform its benchmark J.P. Morgan Global Index by 3.47% during
the six months ended September 30, 1996.
. The Japanese and U.S. markets were underweighted in favor of European and
dollar bloc country (Australia, Canada, New Zealand) bonds, which aided
performance as economic growth remained stagnant in both regions and interest
rates declined.
. The Fund's most significant holdings relative to the Index were in Canada and
the Netherlands. Both positions benefited performance as interest rates in
these countries migrated toward those of their larger neighbors (the U.S. and
Germany, respectively) in response to slow economic growth, low inflation,
and unusually high real yields relative to the U.S and Germany.
. Currency strategy produced large gains versus the Index as the Fund's
overweighted Canadian and New Zealand dollar holdings soared relative to the
Japanese yen, which declined against all major currencies. The Fund also
gained by underweighting German marks and Swiss francs in favor of Europe's
higher yielding peripheral currencies.
. Small, dollar-denominated holdings of Argentine and Mexican debt benefited
performance when prices rallied in response to heightened investor interest
born of these nations' high yields as well as credible growth and inflation
policies.
. As bond yields declined in nearly all markets (except the U.S.) during the
second and third quarters, the Fund's above-index duration further boosted
returns.
[PIE CHARTS APPEAR HERE]
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION % of Total Investments as of September 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Short-Term Instruments 19.6%
Other 13.5%
Canada 11.7%
Czechoslovakia 2.0%
Germany 2.2%
Japan 7.2%
Netherlands 19.9%
New Zealand 2.9%
Sweden 2.9%
United Kingdom 5.5%
United States 12.6%
<CAPTION>
<S> <C>
AA 17%
A 17%
AAA 41%
BB 4%
BBB 2%
A1 19%
</TABLE>
13
<PAGE>
HIGH YIELD FUND
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
---------------------------------------------
HIGH YIELD FUND Through September 30, 1996
---------------------------------------------
LEHMAN BB
MONTH HIGH YIELD INT CORP
=========== ================ ================
<S> <C> <C>
12/31/92 1,000,000.00 1,000,000.00
12/31/93 1,187,025.82 1,146,545.45
12/31/94 1,215,478.79 1,156,314.50
12/31/95 1,466,840.41 1,376,719.76
09/30/96 1,571,753.07 1,451,393.55
</TABLE>
<TABLE>
<CAPTION>
Returns Ended 9/30/96
- -----------------------------------------------------------------
Since
6 Mos. 1 Yr./*/ 3 Yr./*/ Inception/*/
----- -------- -------- ------------
<S> <C> <C> <C> <C>
High Yield Fund
Inst'l Class (%) 6.17 11.91 11.39 12.81
Lehman BB
Int. Corp. Index (%) 4.66 9.30 9.06 10.44
- -----------------------------------------------------------------
Admin. Class (%) 6.04 11.63 15.79
Lehman BB
Int. Corp. Index (%) 4.66 9.30 13.53
- -----------------------------------------------------------------
</TABLE>
/*/Annualized
- --------------------------------------------------------------------------------
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 1996,
compared to the Lehman Brothers BB Intermediate Corporate Index, an unmanaged
market index. The performance of the Administrative Class from inception in
January 1995 (shown at left) reflects the payment of a service fee in an amount
not to exceed 0.25% on an annualized basis. Past performance is not an
indication of future results.
. High yield bonds were the best-performing domestic market sector during the
six-month period, allowing the Fund to post strong absolute and relative
performance. The Fund led the Lehman BB Intermediate Corporate Bond Index by
1.51%.
. Lower-rated junk bonds significantly outperformed BB-rated issues as the
economy picked up steam in the second quarter. However, as economic growth
subsided in the third quarter, the upper-tier of below-investment grade
issues rebounded.
. Lower quality, cyclical issues, including companies in the specialty
retailing and mining sectors, led returns in the second quarter, limiting the
relative performance of the Fund's investment portfolio, which was
concentrated in non-cyclical issues.
. In the third quarter, the economy slowed and higher quality, non-cyclical
issues dominated returns, allowing the Fund's portfolio emphasis in the
utility and energy sectors to significantly boost relative performance.
. Dollar-denominated holdings of Argentine and Mexican debt benefited
performance when prices rallied in response to heightened investor interest
born of these nations' high yields as well as credible growth and inflation
policies.
. Duration and maturity mix were held neutral to the index and had little
impact on relative performance.
[PIE CHARTS APPEAR HERE]
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION % of Total Investments as of September 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Corporate Bonds and Notes 82.5%
Other 8.7%
Mortgage-Backed Securities 6.1%
U.S. Treasury Notes 2.7%
<S> <C>
BB 53%
B 37%
BBB 5%
A1 2%
AAA 3%
</TABLE>
14
<PAGE>
MONEY MARKET FUND
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
---------------------------------------------
MONEY MARKET FUND Through September 30, 1996
---------------------------------------------
LIPPER
MONTH MONEY MARKET MONEY MARKET
=========== ================ ================
<S> <C> <C>
02/28/91 1,000,000.00 1,000,000.00
12/31/91 1,047,059.10 1,046,651.18
12/31/92 1,083,083.32 1,082,903.94
12/31/93 1,113,416.25 1,112,174.01
12/31/94 1,157,083.08 1,153,681.32
12/31/95 1,227,235.03 1,215,727.19
09/30/96 1,275,955.92 1,258,317.73
</TABLE>
<TABLE>
<CAPTION>
Returns Ended 9/30/96
- --------------------------------------------------------------------------------
Since
6 Mos 1 Yr/*/ 3 Yr/*/ 5 Yr/*/ Inception/*/
----- ------- ------- ------- ------------
<S> <C> <C> <C> <C> <C>
Money Market Fund
Inst'l Class(%) 2.61 5.76 4.89 4.30 4.45
Lipper Money
Market Index(%) 2.25 4.72 4.43 4.01 4.19
- --------------------------------------------------------------------------------
Admin. Class(%) 2.49 5.50 5.51
Lipper Money
Market Index(%) 2.25 4.72 5.06
- --------------------------------------------------------------------------------
</TABLE>
/*/Annualized
- --------------------------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the inception of the
Fund's Institutional Class in March 1991 and held through September 1996,
compared to the Lipper Money Market Index, an index consisting of the 30 largest
equal weighted Money Market Funds. The performance of the Administrative Class,
from inception in January 1995 (shown at left) reflects the payment of a service
fee in an amount not to exceed 0.25% on an annualized basis. Past performance is
not an indication of future results.
. The Fund invested primarily in high-grade commercial paper issued by finance
and utility companies, which traded at a consistent yield premium to
comparable maturity Treasury bills throughout the six-month period.
. Small investments in short-term, adjustable rate mortgage securities offered
an attractive yield premium and principal stability.
. Maturity was held between two and three months for most of the period to take
advantage of a slight yield premium over longer-maturity paper arising from
investors' fears of Fed tightening.
[PIE CHARTS APPEAR HERE]
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION % of Total Investments as of September 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Short-Term Instruments 98.4%
U.S. Government Agencies 1.6%
<CAPTION>
<S> <C>
A1 99%
AAA 1%
</TABLE>
15
<PAGE>
StocksPLUS FUND
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
---------------------------------------------
STOCKSPLUS FUND Through September 30, 1996
---------------------------------------------
MONTH STOCKSPLUS S&P 500
=========== ================ ================
<S> <C> <C>
05/31/93 1,000,000.00 1,000,000.00
12/31/93 1,061,284.22 1,052,698.39
12/31/94 1,092,245.04 1,066,604.35
12/31/95 1,534,744.62 1,467,411.83
09/30/96 1,740,848.35 1,665,493.43
</TABLE>
<TABLE>
<CAPTION>
Returns Ended 9/30/96
- -----------------------------------------------------------------
Since
6 Mos 1 Yr./*/ 3 Yr./*/ Inception/*/
----- -------- -------- ------------
<S> <C> <C> <C> <C>
StocksPLUS
Fund (%) 7.78 21.00 19.06 18.07
- -----------------------------------------------------------------
S & P 500 Index (%) 7.72 20.33 17.42 16.52
- -----------------------------------------------------------------
</TABLE>
/*/Annualized
- --------------------------------------------------------------------------------
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 1996, compared
to the Standard and Poor's 500 Index, an unmanaged market index. Past
performance is not an indication of future results.
. A fully-invested equity position led to solid performance as the S&P 500
Index rallied throughout the period behind strong investor interest in
equities, robust corporate earnings, and modest inflation.
. Fund performance received a boost from short-term, mortgage-backed issues,
which benefited from an initial yield advantage and spread tightening in
response to declining prepayments resulting from reduced refinancing
activity.
. Both BBB-and BB-rated corporate issues performed well through a combination
of higher initial yields and spread tightening relative to similar maturity
Treasuries, driven by the same factors that buoyed equities: strong corporate
earnings, a favorable economic outlook, and continued low inflation.
. The opportunistic use of currency-hedged Belgian and Canadian bonds, and
small holdings of dollar-denominated debt from Argentina and Mexico,
contributed to performance as interest rates fell abroad in contrast to
rising domestic rates.
. The steep front portion of the yield curve (3 months to 2 years) allowed the
yield advantage of the Fund's above-index duration to mostly offset principal
losses on its investment portfolio as rates moved higher on expectations of
Fed tightening.
[PIE CHARTS APPEAR HERE]
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION % of Total Investments as of September 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Mortgage-Backed Securities 39.0%
Short-Term Instruments 20.8%
Other 5.2%
Corporate Bonds and Notes 35.0%
<CAPTION>
<S> <C>
BB 9%
AAA 35%
BBB 21%
A1 19%
A 12%
AA 4%
</TABLE>
16
<PAGE>
STRATEGIC BALANCED FUND
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
---------------------------------------------------
STRATEGIC BALANCED FUND Through September 30, 1996
---------------------------------------------------
60% S&P 500 &
MONTH STRATEGIC BALANCED 40% LBAG
=========== ======================== ================
<S> <C> <C>
06/30/96 1,000,000.00 1,000,000.00
09/30/96 1,035,000.00 1,026,444.48
</TABLE>
<TABLE>
Cumulative Returns Ended 9/30/96
- ----------------------------------------------------
Since
Inception
-----------
<S> <C>
Strategic Balanced Fund (%) 3.50
- ----------------------------------------------------
60% S&P 500 Index and
40% Lehman Aggregate Bond Index (%) 2.64
- ----------------------------------------------------
</TABLE>
- -------------------------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the inception of the
Fund's Institutional Class in June 1996 and held through September 1996,
compared to a static 60/40 blend of the Standard and Poor's 500 Index and the
Lehman Brothers Aggregate Bond Index, each an unmanaged market index. Past
performance is not an indication of future results.
. An above-index weighting of stocks in the Fund's asset allocation mix
benefited relative performance in its first three months of operations as
stock returns led bond returns by 1.24% during the period. This helped to
push Fund performance 0.86% above its static benchmark in the third quarter.
. Fund performance received a boost from both fixed and adjustable rate
mortgage-backed issues, which benefited from an initial yield advantage and
spread tightening in response to declining prepayments as the result of
reduced refinancing activity.
. Both BBB-and BB-rated corporate issues performed well through a combination
of higher initial yields and spread tightening relative to similar maturity
Treasuries, driven by the same factors that buoyed equities: strong corporate
earnings, a favorable economic outlook, and continued low inflation.
. The opportunistic use of currency-hedged Canadian bonds and small holdings of
dollar-denominated Argentine debt, contributed to performance as interest
rates fell abroad in contrast to rising domestic rates.
. The Fund's above-index duration was neutral for returns as Treasury yields
were nearly unchanged, but its focus on intermediate maturities boosted
performance by adding yield to the portfolio.
[PIE CHARTS APPEAR HERE]
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION % of Total Investments as of September 30, 1996
- --------------------------------------------------------------------------------
<S> <C>
Corporate Bonds and Notes 39.3%
U.S. Treasury Notes 9.4%
Short-Term Instruments 8.6%
Other 3.9%
Mortgage-Backed Securities 38.8%
<CAPTION>
<S> <C>
A 11%
A1 7%
AAA 50%
BBB 22%
BB 10%
</TABLE>
17
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
September 30, 1996 (unaudited)
Amounts in thousands, except per share amounts
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------
Total Total Total Low Low
Return Return Return Duration Duration
Fund Fund II Fund III Fund Fund II
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets:
Investments, at value $ 12,659,993 $ 552,429 $ 169,903 $ 3,254,779 $ 297,713
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Cash and foreign currency 367 546 0 9 1
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Receivable for investments and
foreign currency sold 46,016 7,974 520 47,001 9,916
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Receivable for Fund shares sold 15,231 48 0 770 0
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Variation margin receivable 0 0 0 0 0
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Interest and dividends receivable 126,825 5,283 2,226 29,149 1,934
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Other assets 0 0 0 0 0
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
12,848,432 566,280 172,649 3,331,708 309,564
============================================ ============== =========== =========== ============= ===========
Liabilities:
Payable for investments and foreign
currency purchased $ 1,293,534 $ 117,401 $ 13,596 $ 633,617 $ 52,416
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Written options outstanding 9,081 743 287 1,777 170
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Payable for Fund shares redeemed 13,707 345 11 3,936 40
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Dividends payable 11,145 87 22 1,744 76
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Accrued investment advisor's fee 2,235 87 31 528 49
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Accrued administrator's fee 1,610 87 31 380 49
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Accrued distribution fee 25 1 0 1 0
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Variation margin payable 8,133 230 157 78 36
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Other accrued expenses and liabilities 23 0 9 30 8
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
1,339,493 118,981 14,144 642,091 52,844
============================================ ============== =========== =========== ============= ===========
Net Assets $ 11,508,939 $ 447,299 $ 158,505 $ 2,689,617 $ 256,720
============================================ ============== =========== =========== ============= ===========
Net Assets Consist of:
Paid in capital $ 11,589,573 $ 453,942 $ 160,834 $ 2,718,100 $ 261,571
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Undistributed (overdistributed) net
investment income (18,844) (329) (380) (5,121) (1,363)
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Accumulated undistributed net realized
gain (loss) (219,051) (10,518) (3,785) (31,972) (3,572)
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Net unrealized appreciation 157,261 4,204 1,836 8,610 84
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
$ 11,508,939 $ 447,299 $ 158,505 $ 2,689,617 $ 256,720
============================================ ============== =========== =========== ============= ===========
Shares Issued and Outstanding
Institutional Class 1,104,903 44,943 17,286 269,729 26,207
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Administrative Class 13,167 453 0 395 0
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Net Asset Value, Offering and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 10.29 $ 9.85 $ 9.17 $ 9.96 $ 9.80
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Administrative Class 10.29 9.85 0 9.96 0
- -------------------------------------------- -------------- ----------- ----------- ------------- -----------
Cost of Investments Owned 12,591,994 550,483 169,598 3,250,948 297,893
============================================ ============== =========== =========== ============= ===========
Cost of Foreign Currency Held 2 0 0 0 0
============================================ ============== =========== =========== ============= ===========
</TABLE>
See Notes to Financial Statements
18
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
September 30, 1996 (unaudited)
Amounts in thousands, except per share amounts
<TABLE>
<CAPTION>
--------------------------------------------------------------
Long-Term
Short-Term U.S. Gov't Foreign Global
Fund Fund Fund Fund
--------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 134,434 $ 34,883 $ 622,154 $ 378,630
- ----------------------------------------------- ----------- ---------- ----------- -----------
Cash and foreign currency 0 1 725 404
- ----------------------------------------------- ----------- ---------- ----------- -----------
Receivable for investments and
foreign currency sold 248 245 34,344 25,528
- ----------------------------------------------- ----------- ---------- ----------- -----------
Receivable for Fund shares sold 249 0 74 0
- ----------------------------------------------- ----------- ---------- ----------- -----------
Variation margin receivable 0 0 33 0
- ----------------------------------------------- ----------- ---------- ----------- -----------
Interest and dividends receivable 1,105 314 11,140 5,839
- ----------------------------------------------- ----------- ---------- ----------- -----------
Other assets 0 0 0 0
- ----------------------------------------------- ----------- ---------- ----------- -----------
136,036 35,443 668,470 410,401
=============================================== =========== ========== =========== ===========
Liabilities:
Payable for investments and foreign
currency purchased $ 5,064 $ 13,537 $ 452,989 $ 249,209
- ----------------------------------------------- ----------- ---------- ----------- -----------
Written options outstanding 9 19 0 0
- ----------------------------------------------- ----------- ---------- ----------- -----------
Payable for Fund shares redeemed 247 5 55 83
- ----------------------------------------------- ----------- ---------- ----------- -----------
Dividends payable 93 9 150 124
- ----------------------------------------------- ----------- ---------- ----------- -----------
Accrued investment advisor's fee 26 4 42 32
- ----------------------------------------------- ----------- ---------- ----------- -----------
Accrued administrator's fee 21 4 42 38
- ----------------------------------------------- ----------- ---------- ----------- -----------
Accrued distribution fee 1 0 0 0
- ----------------------------------------------- ----------- ---------- ----------- -----------
Variation margin payable 1 0 19 65
- ----------------------------------------------- ----------- ---------- ----------- -----------
Other accrued expenses and liabilities 15 5 262 4
- ----------------------------------------------- ----------- ---------- ----------- -----------
5,477 13,583 453,559 249,555
=============================================== =========== ========== =========== ===========
Net Assets $ 130,559 $ 21,860 $ 214,911 $ 160,846
=============================================== =========== ========== =========== ===========
Net Assets Consist of:
Paid in capital $ 130,772 $ 23,065 $ 189,839 $ 153,500
- ----------------------------------------------- ----------- ---------- ----------- -----------
Undistributed (overdistributed) net
investment income (161) 236 3,281 (16)
- ----------------------------------------------- ----------- ---------- ----------- -----------
Accumulated undistributed net realized
gain (loss) (116) (1,624) 10,348 3,362
- ----------------------------------------------- ----------- ---------- ----------- -----------
Net unrealized appreciation 64 183 11,443 4,000
- ----------------------------------------------- ----------- ---------- ----------- -----------
$ 130,559 $ 21,860 $ 214,911 $ 160,846
=============================================== =========== ========== =========== ===========
Shares Issued and Outstanding
Institutional Class 12,860 2,241 18,879 15,343
- ----------------------------------------------- ----------- ---------- ----------- -----------
Administrative Class 237 0 0 2
- ----------------------------------------------- ----------- ---------- ----------- -----------
Net Asset Value, Offering and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 9.97 $ 9.76 $ 11.38 $ 10.48
- ----------------------------------------------- ----------- ---------- ----------- -----------
Administrative Class 9.97 0 0 10.48
- ----------------------------------------------- ----------- ---------- ----------- -----------
Cost of Investments Owned 134,627 34,764 617,898 377,119
=============================================== =========== ========== =========== ===========
Cost of Foreign Currency Held 0 0 727 404
=============================================== =========== ========== =========== ===========
</TABLE>
Amounts in thousands, except per share amounts
<TABLE>
<CAPTION>
--------------------------------------------------------------
Money Strategic
High Yield Market StocksPLUS Balanced
Fund Fund Fund Fund
--------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 730,590 $ 28,883 $ 179,477 $ 10,607
- ----------------------------------------------- ----------- ---------- ----------- -----------
Cash and foreign currency 1 1 1 1
- ----------------------------------------------- ----------- ---------- ----------- -----------
Receivable for investments and
foreign currency sold 8,088 0 4,468 265
- ----------------------------------------------- ----------- ---------- ----------- -----------
Receivable for Fund shares sold 10,155 51 6 0
- ----------------------------------------------- ----------- ---------- ----------- -----------
Variation margin receivable 0 0 0 0
- ----------------------------------------------- ----------- ---------- ----------- -----------
Interest and dividends receivable 15,418 3 1,537 118
- ----------------------------------------------- ----------- ---------- ----------- -----------
Other assets 2 0 4 0
- ----------------------------------------------- ----------- ---------- ----------- -----------
764,254 28,938 185,493 10,991
=============================================== =========== ========== =========== ===========
Liabilities:
Payable for investments and foreign
currency purchased $ 6,325 $ 0 $ 3,808 $ 603
- ----------------------------------------------- ----------- ---------- ----------- -----------
Written options outstanding 0 0 13 0
- ----------------------------------------------- ----------- ---------- ----------- -----------
Payable for Fund shares redeemed 190 592 27 0
- ----------------------------------------------- ----------- ---------- ----------- -----------
Dividends payable 202 25 248 0
- ----------------------------------------------- ----------- ---------- ----------- -----------
Accrued investment advisor's fee 147 4 56 3
- ----------------------------------------------- ----------- ---------- ----------- -----------
Accrued administrator's fee 147 5 35 2
- ----------------------------------------------- ----------- ---------- ----------- -----------
Accrued distribution fee 1 0 0 0
- ----------------------------------------------- ----------- ---------- ----------- -----------
Variation margin payable 0 0 0 5
- ----------------------------------------------- ----------- ---------- ----------- -----------
Other accrued expenses and liabilities 21 0 6 0
- ----------------------------------------------- ----------- ---------- ----------- -----------
7,033 626 4,193 613
=============================================== =========== ========== =========== ===========
Net Assets $ 757,221 $ 28,312 $ 181,300 $ 10,378
=============================================== =========== ========== =========== ===========
Net Assets Consist of:
Paid in capital $ 732,838 $ 28,312 $ 170,569 $ 10,029
- ----------------------------------------------- ----------- ---------- ----------- -----------
Undistributed (overdistributed) net
investment income 3,597 0 3,709 199
- ----------------------------------------------- ----------- ---------- ----------- -----------
Accumulated undistributed net realized
gain (loss) 4,661 0 2,821 (101)
- ----------------------------------------------- ----------- ---------- ----------- -----------
Net unrealized appreciation 16,125 0 4,201 251
- ----------------------------------------------- ----------- ---------- ----------- -----------
$ 757,221 $ 28,312 $ 181,300 $ 10,378
=============================================== =========== ========== =========== ===========
Shares Issued and Outstanding
Institutional Class 67,899 28,300 15,625 1,003
- ----------------------------------------------- ----------- ---------- ----------- -----------
Administrative Class 273 12 0 0
- ----------------------------------------------- ----------- ---------- ----------- -----------
Net Asset Value, Offering and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 11.11 $ 1.00 $ 11.60 $ 10.35
- ----------------------------------------------- ----------- ---------- ----------- -----------
Administrative Class 11.11 1.00 0 0
- ----------------------------------------------- ----------- ---------- ----------- -----------
Cost of Investments Owned 714,540 28,883 178,943 10,543
=============================================== =========== ========== =========== ===========
Cost of Foreign Currency Held 0 0 0 0
=============================================== =========== ========== =========== ===========
</TABLE>
See Notes to Financial Statements
19
<PAGE>
STATEMENT OF OPERATIONS
For the six months or period ended September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
$ in thousands
-------------------------------------------------------------------------------
Total Total Total Low Low
Return Return Return Duration Duration
Fund Fund II Fund III Fund Fund II
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest $ 386,345 $ 16,146 $ 5,114 $ 92,495 $ 8,763
- ------------------------------------------ -------------- ------------- ---------------- --------------- -------------
Dividends 898 0 0 931 0
- ------------------------------------------ -------------- ------------- ---------------- --------------- -------------
Total income 387,243 16,146 5,114 93,426 8,763
========================================== ============== ============= ================ =============== =============
Expenses:
Investment advisory fees 13,578 581 190 3,325 317
- ------------------------------------------ --------------- ------------ ---------------- --------------- -------------
Administration fees 9,776 581 190 2,393 316
- ------------------------------------------ --------------- ------------ ---------------- --------------- -------------
Distribution fees - Administrative Class 154 4 0 4 0
- ------------------------------------------ --------------- ------------ ---------------- --------------- -------------
Trustees' fees 19 1 0 5 0
- ------------------------------------------ --------------- ------------ ---------------- --------------- -------------
Amortization of organization costs 0 0 0 0 1
- ------------------------------------------ --------------- ------------ ---------------- --------------- -------------
Total expenses 23,527 1,167 380 5,727 634
- ------------------------------------------ --------------- ------------ ---------------- --------------- -------------
Net Investment Income 363,716 14,979 4,734 87,699 8,129
========================================== =============== ============ ================ =============== =============
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (100,392) (3,393) (794) (23,813) (2,101)
- ------------------------------------------ --------------- ------------ ---------------- --------------- -------------
Net realized gain (loss) on futures
contracts and written options (106,634) (5,145) (2,166) (760) (572)
- ------------------------------------------ --------------- ------------ ---------------- --------------- -------------
Net realized gain (loss) on foreign
currency transactions (27,046) 0 (608) 97 0
- ------------------------------------------ --------------- ------------ ---------------- --------------- -------------
Net change in unrealized appreciation
(depreciation) on investments 98,488 1,634 1,672 23,916 1,586
- ------------------------------------------ --------------- ------------ ---------------- --------------- -------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 122,199 4,295 2,673 2,318 472
- ------------------------------------------ --------------- ------------ ---------------- --------------- -------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies 28,278 0 124 1,060 0
- ------------------------------------------ --------------- ------------ ---------------- --------------- -------------
Net gain (loss) 14,893 (2,609) 901 2,818 (615)
- ------------------------------------------ --------------- ------------ ---------------- --------------- -------------
Net Increase in Assets Resulting
from Operations $ 378,609 $ 12,370 $ 5,635 $ 90,517 $ 7,514
========================================== =============== ============= =============== =============== ===============
</TABLE>
See Notes to Financial Statements
20
<PAGE>
STATEMENT OF OPERATIONS
For the six months or period ended September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
$ in thousands
-------------------------------------------------------------------
Short Long-Term
Term U.S. Gov't Foreign Global
Fund Fund Fund Fund
-------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 3,799 $ 1,153 $ 5,133 $ 4,112
- -------------------------------------------- -------------- -------------- -------------- -------------
Dividends 0 0 0 0
- -------------------------------------------- -------------- -------------- -------------- -------------
Total income 3,799 1,153 5,133 4,112
============================================ ============== ============== ============== =============
Expenses:
Investment advisory fees 144 38 276 186
- -------------------------------------------- -------------- -------------- -------------- -------------
Administration fees 115 37 275 223
- -------------------------------------------- -------------- -------------- -------------- -------------
Distribution fees - Administrative Class 4 0 0 0
- -------------------------------------------- -------------- -------------- -------------- -------------
Trustees' fees 0 0 0 0
- -------------------------------------------- -------------- -------------- -------------- -------------
Amortization of organization costs 0 1 0 0
- -------------------------------------------- -------------- -------------- -------------- -------------
Total expenses 263 76 551 409
- -------------------------------------------- -------------- -------------- -------------- -------------
Net Investment Income 3,536 1,077 4,582 3,703
============================================ ============== ============== ============== =============
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (25) (443) 11,540 4,605
- -------------------------------------------- -------------- -------------- -------------- -------------
Net realized gain (loss) on futures
contracts and written options 0 (305) 1,903 (426)
- -------------------------------------------- -------------- -------------- -------------- -------------
Net realized gain (loss) on foreign
currency transactions 32 0 (285) (372)
- -------------------------------------------- -------------- -------------- -------------- -------------
Net change in unrealized appreciation
(depreciation) on investments 453 (248) 3,627 2,265
- -------------------------------------------- -------------- -------------- -------------- -------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 22 237 (441) 688
- -------------------------------------------- -------------- -------------- -------------- -------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies 102 0 1,742 (225)
- -------------------------------------------- -------------- -------------- -------------- -------------
Net gain (loss) 584 (759) 18,086 6,535
- -------------------------------------------- -------------- -------------- -------------- -------------
Net Increase in Assets Resulting
from Operations $ 4,120 $ 318 $ 22,668 $ 10,238
============================================ ============== ============== ============== =============
</TABLE>
<TABLE>
<CAPTION>
$ in thousands
-------------------------------------------------------------------
High Money Stocks Strategic
Yield Market PLUS Balanced
Fund Fund Fund Fund
-------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 31,499 $ 827 $ 8,732 $ 215
- -------------------------------------------- -------------- -------------- -------------- -------------
Dividends 27 0 13 0
- -------------------------------------------- -------------- -------------- -------------- -------------
Total income 31,526 827 8,745 215
============================================ ============== ============== ============== =============
Expenses:
Investment advisory fees 836 23 335 10
- -------------------------------------------- -------------- -------------- -------------- -------------
Administration fees 836 30 209 6
- -------------------------------------------- -------------- -------------- -------------- -------------
Distribution fees - Administrative Class 3 0 0 0
- -------------------------------------------- -------------- -------------- -------------- -------------
Trustees' fees 1 0 0 0
- -------------------------------------------- -------------- -------------- -------------- --------------
Amortization of organization costs 1 0 1 0
- -------------------------------------------- -------------- -------------- -------------- -------------
Total expenses 1,677 53 545 16
- -------------------------------------------- -------------- -------------- -------------- -------------
Net Investment Income 29,849 774 8,200 199
============================================ ============== ============== ============== =============
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 3,979 0 (96) 13
- -------------------------------------------- -------------- -------------- -------------- -------------
Net realized gain (loss) on futures
contracts and written options 0 0 736 (114)
- -------------------------------------------- -------------- -------------- -------------- -------------
Net realized gain (loss) on foreign
currency transactions 0 0 67 0
- -------------------------------------------- -------------- -------------- -------------- -------------
Net change in unrealized appreciation
(depreciation) on investments 7,810 0 566 79
- -------------------------------------------- -------------- -------------- -------------- -------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 0 0 3,484 172
- -------------------------------------------- -------------- -------------- -------------- -------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies 0 0 (51) 0
- -------------------------------------------- -------------- -------------- -------------- -------------
Net gain (loss) 11,789 0 4,706 150
- -------------------------------------------- -------------- -------------- -------------- -------------
Net Increase in Assets Resulting
from Operations $ 41,638 $ 774 $ 12,906 $ 349
============================================ ============== ============== ============== =============
</TABLE>
See Notes to Financial Statements
21
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
$ in thousands
-----------------------------------------------------------------------------
Total Return Fund Total Return Fund II
-----------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Five months Ended
September 30, 1996 March 31, 1996 September 30, 1996 March 31, 1996
(unaudited) (unaudited)
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net investment income $ 363,716 $ 621,582 $ 14,979 $ 12,231
- ------------------------------------------------ ------------------------------- ----------------------------------
Realized gain (loss) (234,072) 254,693 (8,538) 2,375
- ------------------------------------------------ ------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on investments 98,488 113,338 1,634 (4,612)
- ------------------------------------------------ ------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 122,199 (107,079) 4,295 (6,715)
- ------------------------------------------------ ------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets
and liabilities denominated in foreign
currencies 28,278 5,084 0 0
- ------------------------------------------------ ------------------------------- ----------------------------------
Net increase resulting from operations 378,609 887,618 12,370 3,279
================================================ =============================== ==================================
Distributions to Shareholders
From net investment income
Institutional Class (341,142) (533,126) (14,528) (12,145)
- ------------------------------------------------ ------------------------------- ----------------------------------
Administrative Class (3,782) (3,203) (122) (82)
- ------------------------------------------------ ------------------------------- ----------------------------------
In excess of net investment income
Institutional Class (18,637) (84,779) (326) (11)
- ------------------------------------------------ ------------------------------- ----------------------------------
Administrative Class (207) (510) (3) 0
- ------------------------------------------------ ------------------------------- ----------------------------------
From net realized capital gains
Institutional Class 0 (110,361) 0 (4,011)
- ------------------------------------------------ ------------------------------- ----------------------------------
Administrative Class 0 (772) 0 (28)
- ------------------------------------------------ ------------------------------- ----------------------------------
In excess of net realized capital gains
Institutional Class 0 0 0 (2,282)
- ------------------------------------------------ ------------------------------- ----------------------------------
Administrative Class 0 0 0 (15)
- ------------------------------------------------ ------------------------------- ----------------------------------
Tax basis return of capital
Institutional Class 0 0 0 0
- ------------------------------------------------ ------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- ------------------------------------------------ ------------------------------- ----------------------------------
Total Distributions (363,768) (732,751) (14,979) (18,574)
================================================ =============================== ==================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 1,774,766 3,567,811 42,599 36,981
- ------------------------------------------------ ------------------------------- ----------------------------------
Administrative Class 73,049 117,173 1,055 218
- ------------------------------------------------ ------------------------------- ----------------------------------
Issued as reinvestment of distributions
Institutional Class 287,642 592,359 14,290 17,509
- ------------------------------------------------ ------------------------------- ----------------------------------
Administrative Class 3,881 3,923 125 126
- ------------------------------------------------ ------------------------------- ----------------------------------
Cost of shares redeemed
Institutional Class (951,321) (1,308,591) (67,033) (25,812)
- ------------------------------------------------ ------------------------------- ----------------------------------
Administrative Class (46,142) (24,091) (31) (78)
- ------------------------------------------------ ------------------------------- ----------------------------------
Net increase (decrease) resulting from Fund
share transactions 1,141,875 2,948,584 (8,995) 28,944
- ------------------------------------------------ ------------------------------- ----------------------------------
Total Increase (Decrease) in Net Assets 1,156,716 3,103,451 (11,604) 13,649
================================================ =============================== ==================================
Net Assets
Beginning of period 10,352,223 7,248,772 458,903 445,254
- ------------------------------------------------ ------------------------------- ----------------------------------
End of period * $11,508,939 $ 10,352,223 $ 447,299 $ 458,903
- ------------------------------------------------ ------------------------------- ----------------------------------
*Including net overdistributed
investment income of: $ (18,844) $ (18,792) $ (329) $ (329)
- ------------------------------------------------ ------------------------------- ----------------------------------
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------
Total Return Fund III
-------------------------------------
Six Months Ended Year Ended
September 30, 1996 March 31, 1996
(unaudited)
-------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net investment income $ 4,734 $ 8,158
- ------------------------------------------------ ----------------------------------
Realized gain (loss) (3,568) 2,985
- ------------------------------------------------ ----------------------------------
Net change in unrealized appreciation
(depreciation) on investments 1,672 875
- ------------------------------------------------ ----------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 2,673 (1,851)
- ------------------------------------------------ ----------------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets
and liabilities denominated in foreign
currencies 124 52
- ------------------------------------------------ ----------------------------------
Net increase resulting from operations 5,635 10,219
================================================ ==================================
Distributions to Shareholders
From net investment income
Institutional Class (4,354) (6,946)
- ------------------------------------------------ ----------------------------------
Administrative Class 0 0
- ------------------------------------------------ ----------------------------------
In excess of net investment income
Institutional Class (380) (1,214)
- ------------------------------------------------ ----------------------------------
Administrative Class 0 0
- ------------------------------------------------ ----------------------------------
From net realized capital gains
Institutional Class 0 (1,687)
- ------------------------------------------------ ----------------------------------
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 (4,734) (9,847)
================================================ ==================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 13,868 42,689
- ------------------------------------------------ ----------------------------------
Administrative Class 0 0
- ------------------------------------------------ ----------------------------------
Issued as reinvestment of distributions
Institutional Class 4,550 9,384
- ------------------------------------------------ ----------------------------------
Administrative Class 0 0
- ------------------------------------------------ ----------------------------------
Cost of shares redeemed
Institutional Class (3,037) (9,719)
- ------------------------------------------------ ----------------------------------
Administrative Class 0 0
- ------------------------------------------------ ----------------------------------
Net increase (decrease) resulting from Fund
share transactions 15,381 42,354
- ------------------------------------------------ ----------------------------------
Total Increase (Decrease) in Net Assets 16,282 42,726
================================================ ==================================
Net Assets
Beginning of period 142,223 99,497
- ------------------------------------------------ ----------------------------------
End of period * $ 158,505 $ 142,223
- ------------------------------------------------ ----------------------------------
*Including net overdistributed
investment income of: $ (380) $ (380)
- ------------------------------------------------ ----------------------------------
</TABLE>
See Notes to Financial Statements
22
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
$ in thousands
--------------------------------------
Low Duration Fund
--------------------------------------
Increase (Decrease) in Net Six Months Ended Year Ended
Assets from: September 30, 1996 March 31, 1996
(unaudited)
--------------------------------------
<S> <C> <C>
Operations
Net investment income $ 87,699 $ 171,117
- -------------------------------------------- ----------------------------------
Realized gain (loss) (24,476) 9,315
- -------------------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on investments 23,916 36,405
- -------------------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 2,318 (1,934)
- -------------------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets
and liabilities denominated in foreign
currencies 1,060 302
- -------------------------------------------- ----------------------------------
Net increase resulting from operations 90,517 215,205
============================================ ==================================
Distributions to Shareholders
From net investment income
Institutional Class (82,481) (171,057)
- -------------------------------------------- ----------------------------------
Administrative Class (98) (91)
- -------------------------------------------- ----------------------------------
In excess of net investment income
Institutional Class (5,115) 0
- -------------------------------------------- ----------------------------------
Administrative Class (6) 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 (87,700) (171,148)
============================================ ==================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 492,070 1,416,204
- -------------------------------------------- ----------------------------------
Administrative Class 1,838 2,678
- -------------------------------------------- ----------------------------------
Issued as reinvestment of distributions
Institutional Class 75,038 143,328
- -------------------------------------------- ----------------------------------
Administrative Class 100 83
- -------------------------------------------- ----------------------------------
Cost of shares redeemed
Institutional Class (561,809) (1,258,060)
- -------------------------------------------- ----------------------------------
Administrative Class (547) (983)
- -------------------------------------------- ----------------------------------
Net increase (decrease) resulting from Fund
share transactions 6,690 303,250
- -------------------------------------------- ----------------------------------
Total Increase (Decrease) in Net Assets 9,507 347,307
============================================ ==================================
Net Assets
Beginning of period 2,680,110 2,332,803
- -------------------------------------------- ----------------------------------
End of period * $ 2,689,617 $ 2,680,110
- -------------------------------------------- ----------------------------------
*Including net overdistributed investment
income of: $ (5,121) $ (5,120)
- -------------------------------------------- ----------------------------------
</TABLE>
<TABLE>
<CAPTION>
$ in thousands
-----------------------------------------------------------------------------
Low Duration Fund II Short-Term Fund
-----------------------------------------------------------------------------
Increase (Decrease) in Net Six Months Ended Year Ended Six Months Ended Year Ended
Assets from: September 30, 1996 March 31, 1996 September 30, 1996 March 31, 1996
(unaudited) (unaudited)
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations
Net investment income $ 8,129 $ 14,123 $ 3,536 $ 6,228
- -------------------------------------------- ---------------------------------- ----------------------------------
Realized gain (loss) (2,673) 992 7 592
- -------------------------------------------- ---------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on investments 1,586 (369) 453 701
- -------------------------------------------- ---------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 472 (414) 22 (93)
- -------------------------------------------- ---------------------------------- ----------------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets
and liabilities denominated in foreign
currencies 0 0 102 (24)
- -------------------------------------------- ---------------------------------- ----------------------------------
Net increase resulting from operations 7,514 14,332 4,120 7,404
============================================ ================================== ==================================
Distributions to Shareholders
From net investment income
Institutional Class (6,767) (13,042) (3,278) (5,943)
- -------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 (97) (24)
- -------------------------------------------- ---------------------------------- ----------------------------------
In excess of net investment income
Institutional Class (1,363) (603) (156) (261)
- -------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 (5) (1)
- -------------------------------------------- ---------------------------------- ----------------------------------
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 (479) 0 0
- -------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 0 0
- -------------------------------------------- ---------------------------------- ----------------------------------
Total Distributions (8,130) (14,124) (3,536) (6,229)
============================================ ================================== ==================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 31,151 166,259 77,797 133,513
- -------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 4,706 4,324
- -------------------------------------------- ---------------------------------- ----------------------------------
Issued as reinvestment of distributions
Institutional Class 7,689 13,248 3,052 4,930
- -------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 5 0
- -------------------------------------------- ---------------------------------- ----------------------------------
Cost of shares redeemed
Institutional Class (34,803) (97,282) (55,014) (127,940)
- -------------------------------------------- ---------------------------------- ----------------------------------
Administrative Class 0 0 (6,367) (320)
- -------------------------------------------- ---------------------------------- ----------------------------------
Net increase (decrease) resulting from Fund
share transactions 4,037 82,225 24,179 14,507
- -------------------------------------------- ---------------------------------- ----------------------------------
Total Increase (Decrease) in Net Assets 3,421 82,433 24,763 15,682
============================================ ================================== ==================================
Net Assets
Beginning of period 253,299 170,866 105,796 90,114
- -------------------------------------------- ---------------------------------- ----------------------------------
End of period * $ 256,720 $ 253,299 $ 130,559 $ 105,796
- -------------------------------------------- ---------------------------------- ----------------------------------
*Including net overdistributed investment
income of: $ (1,363) $ (1,362) $ (161) $ (161)
- -------------------------------------------- ---------------------------------- ----------------------------------
</TABLE>
See Notes to Financial Statements
23
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (Cont.)
<TABLE>
<CAPTION>
------------------------------------ ----------------------------------
$ in thousands Long-Term U.S.
Government Fund Foreign Fund
------------------------------------ ----------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
Increase (Decrease) in Net Assets from: September 30, 1996 March 31, 1996 September 30, 1996 March 31, 1996
(unaudited) (unaudited)
<S> <C> <C> <C> <C>
Operations
Net investment income $ 1,077 $ 2,494 $ 4,582 $ 14,026
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Realized gain (loss) (748) 3,539 13,158 26,188
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Net change in unrealized appreciation
(depreciation) on investments (248) 143 3,627 1,524
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 237 (585) (441) (1,652)
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies 0 0 1,742 6,933
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Net increase resulting from operations 318 5,591 22,668 47,019
==================================================== ===================================== =====================================
Distributions to Shareholders
From net investment income
Institutional Class (1,077) (2,372) (4,582) (8,030)
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 0 0 0 0
- ---------------------------------------------------- ------------------------------------- -------------------------------------
In excess of net investment income
Institutional Class 0 (122) 0 (5,997)
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 0 0 0 0
- ---------------------------------------------------- ------------------------------------- -------------------------------------
From net realized capital gains
Institutional Class 0 (1,698) 0 (5,828)
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 0 0 0 0
- ---------------------------------------------------- ------------------------------------- -------------------------------------
In excess of net realized capital gains
Institutional Class 0 (518) 0 (685)
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 0 0 0 0
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Total Distributions (1,077) (4,710) (4,582) (20,540)
==================================================== ===================================== =====================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 3,418 21,443 57,982 79,674
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 0 0 0 0
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Issued as reinvestment of distributions
Institutional Class 811 3,954 3,646 17,861
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 0 0 0 0
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Cost of shares redeemed
Institutional Class (14,121) (26,116) (123,296) (98,221)
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 0 0 0 0
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Net increase (decrease) resulting from Fund
share transactions (9,892) (719) (61,668) (686)
- ---------------------------------------------------- ------------------------------------- -------------------------------------
Total Increase (Decrease) in Net Assets (10,651) 162 (45,582) 25,793
==================================================== ===================================== =====================================
Net Assets
Beginning of period 32,511 32,349 258,493 232,700
- ---------------------------------------------------- ------------------------------------- -------------------------------------
End of period * $ 21,860 $ 32,511 $ 214,911 $ 258,493
- ---------------------------------------------------- ------------------------------------- -------------------------------------
*Including net undistributed (overdistributed)
investment income of: $ 236 $ 236 $ 3,281 $ 3,281
- ---------------------------------------------------- ------------------------------------- -------------------------------------
<CAPTION>
-------------------------------------
Global Fund
-------------------------------------
Six Months Ended Year Ended
September 30, 1996 March 31, 1996
(unaudited)
<S> <C> <C>
Net investment income $ 3,703 $ 5,776
- ---------------------------------------------------- -------------------------------------
Realized gain (loss) 3,807 4,700
- ---------------------------------------------------- -------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 2,265 (531)
- ---------------------------------------------------- -------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 688 (620)
- ---------------------------------------------------- -------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies (225) 946
- ---------------------------------------------------- -------------------------------------
Net increase resulting from operations 10,238 10,271
==================================================== =====================================
Distributions to Shareholders
From net investment income
Institutional Class (3,687) (5,778)
- ---------------------------------------------------- -------------------------------------
Administrative Class 0 0
- ---------------------------------------------------- -------------------------------------
In excess of net investment income
Institutional Class (16) 0
- ---------------------------------------------------- -------------------------------------
Administrative Class 0 0
- ---------------------------------------------------- -------------------------------------
From net realized capital gains
Institutional Class 0 (2,136)
- ---------------------------------------------------- -------------------------------------
Administrative Class 0 0
- ---------------------------------------------------- -------------------------------------
In excess of net realized capital gains
Institutional Class 0 (1,658)
- ---------------------------------------------------- -------------------------------------
Administrative Class 0 0
- ---------------------------------------------------- -------------------------------------
Total Distributions (3,703) (9,572)
==================================================== =====================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 23,137 54,351
- ---------------------------------------------------- -------------------------------------
Administrative Class 25 0
- ---------------------------------------------------- -------------------------------------
Issued as reinvestment of distributions
Institutional Class 2,930 8,928
- ---------------------------------------------------- -------------------------------------
Administrative Class 0 0
- ---------------------------------------------------- -------------------------------------
Cost of shares redeemed
Institutional Class (5,614) (6,621)
- ---------------------------------------------------- -------------------------------------
Administrative Class 0 0
- ---------------------------------------------------- -------------------------------------
Net increase (decrease) resulting from Fund
share transactions 20,478 56,658
- ---------------------------------------------------- -------------------------------------
Total Increase (Decrease) in Net Assets 27,013 57,357
==================================================== =====================================
Net Assets
Beginning of period 133,833 76,476
- ---------------------------------------------------- -------------------------------------
End of period * $ 160,846 $ 133,833
- ---------------------------------------------------- -------------------------------------
*Including net undistributed (overdistributed)
investment income of: $ (16) $ (16)
- ---------------------------------------------------- -------------------------------------
</TABLE>
See Notes to Financial Statements
24
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (Cont.)
<TABLE>
<CAPTION>
$ in thousands
---------------------------------------------------------------------------------
High Yield Fund Money Market Fund
---------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Five Months Ended
Increase (Decrease) in Net Assets from: September 30, 1996 March 31, 1996 September 30, 1996 March 31, 1996
(unaudited) (unaudited)
<S> <C> <C> <C> <C>
Net investment income $ 29,849 $ 42,773 $ 774 $ 391
- --------------------------------------------- ------------------------------------------ -------------------------------
Realized gain (loss) 3,979 9,316 0 0
- --------------------------------------------- ------------------------------------------ -------------------------------
Net change in unrealized appreciation
(depreciation) on investments 7,810 11,935 0 0
- --------------------------------------------- ------------------------------------------ -------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 0 (22) 0 0
- --------------------------------------------- ------------------------------------------ -------------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets
and liabilities denominated in foreign
currencies 0 0 0 0
- --------------------------------------------- ------------------------------------------ -------------------------------
Net increase resulting from operations 41,638 64,002 774 391
============================================= ========================================== ===============================
Distributions to Shareholders
From net investment income
Institutional Class (29,747) (42,753) (774) (365)
- --------------------------------------------- ------------------------------------------ -------------------------------
Administrative Class (109) (25) 0 (26)
- --------------------------------------------- ------------------------------------------ -------------------------------
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 (2,427) 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
- --------------------------------------------- ------------------------------------------ -------------------------------
Total Distributions (29,856) (45,205) (774) (391)
============================================= ========================================== ===============================
Fund Share Transactions
Receipts for shares sold
Institutional Class 243,608 294,885 26,010 23,183
- --------------------------------------------- ------------------------------------------ -------------------------------
Administrative Class 6,888 998 4 4
- --------------------------------------------- ------------------------------------------ -------------------------------
Issued as reinvestment of distributions
Institutional Class 28,742 43,030 726 388
- --------------------------------------------- ------------------------------------------ -------------------------------
Administrative Class 72 25 0 0
- --------------------------------------------- ------------------------------------------ -------------------------------
Cost of shares redeemed
Institutional Class (66,883) (156,050) (24,370) (5,377)
- --------------------------------------------- ------------------------------------------ -------------------------------
Administrative Class (4,978) (46) (3) (4)
- --------------------------------------------- ------------------------------------------ -------------------------------
Net increase (decrease) resulting from Fund
share transactions 207,449 182,842 2,367 18,194
- --------------------------------------------- ------------------------------------------ -------------------------------
Total Increase (Decrease) in Net Assets 219,231 201,639 2,367 18,194
============================================= ========================================== ===============================
Net Assets
Beginning of period 537,990 336,351 25,945 7,751
- --------------------------------------------- ------------------------------------------ -------------------------------
End of period * $ 757,221 $ 537,990 $ 28,312 $ 25,945
- --------------------------------------------- ------------------------------------------ -------------------------------
*Including net undistributed (overdistributed)
investment income of: $ 3,597 $ 3,604 $ 0 $ 0
- --------------------------------------------- ------------------------------------------ -------------------------------
</TABLE>
See Notes to Financial Statements
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS (Cont.)
$ in thousands
---------------------------------------------------------------------------------
StocksPLUS Strategic
Fund Balanced Fund
---------------------------------------------------------------------------------
Six Months Ended Year Ended Period from June 28, 1996
Increase (Decrease) in Net Assets from: September 30, 1996 March 31, 1996 to September 30, 1996
(unaudited) (unaudited)
<S> <C> <C> <C>
Net investment income $ 8,200 $ 11,933 $ 199
- --------------------------------------------- ------------------------------------------------- ---------------------
Realized gain (loss) 707 9,202 (101)
- --------------------------------------------- ------------------------------------------------- ---------------------
Net change in unrealized appreciation
(depreciation) on investments 566 28 79
- --------------------------------------------- ------------------------------------------------- ---------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 3,484 (766) 172
- --------------------------------------------- ------------------------------------------------- ---------------------
Net change in unrealized appreciation
(depreciation) on translation of assets
and liabilities denominated in foreign
currencies (51) 0 0
- --------------------------------------------- ------------------------------------------------- ---------------------
Net increase resulting from operations 12,906 20,397 349
============================================= ================================================= =====================
Distributions to Shareholders
From net investment income
Institutional Class (6,253) (8,982) 0
- --------------------------------------------- ------------------------------------------------ ----------------------
Administrative Class 0 0 0
- --------------------------------------------- ------------------------------------------------ ----------------------
In excess of net investment income
Institutional Class 0 0 0
- --------------------------------------------- ------------------------------------------------ ----------------------
Administrative Class 0 0 0
- --------------------------------------------- ------------------------------------------------ ----------------------
From net realized capital gains
Institutional Class 0 (9,224) 0
- --------------------------------------------- ------------------------------------------------ ----------------------
Administrative Class 0 0 0
- --------------------------------------------- ------------------------------------------------ ----------------------
In excess of net realized capital gains
Institutional Class 0 (251) 0
- --------------------------------------------- ------------------------------------------------ ----------------------
Administrative Class 0 0 0
- --------------------------------------------- ------------------------------------------------ ----------------------
Total Distributions (6,253) (18,457) 0
============================================= ================================================ ======================
Fund Share Transactions
Receipts for shares sold
Institutional Class 31,936 114,561 10,029
- --------------------------------------------- ------------------------------------------------ ----------------------
Administrative Class 0 0 0
- --------------------------------------------- ------------------------------------------------ ----------------------
Issued as reinvestment of distributions
Institutional Class 5,586 17,428 0
- --------------------------------------------- ------------------------------------------------ ----------------------
Administrative Class 0 0 0
- --------------------------------------------- ------------------------------------------------ ----------------------
Cost of shares redeemed
Institutional Class (14,744) (28,558) 0
- --------------------------------------------- ------------------------------------------------ ----------------------
Administrative Class 0 0 0
- --------------------------------------------- ------------------------------------------------ ----------------------
Net increase (decrease) resulting from Fund
share transactions 22,778 103,431 10,029
- --------------------------------------------- ------------------------------------------------ ----------------------
Total Increase (Decrease) in Net Assets 29,431 105,371 10,378
============================================= ================================================ =====================
Net Assets
Beginning of period 151,869 46,498 0
- --------------------------------------------- ------------------------------------------------ ----------------------
End of period * $181,300 $151,869 $ 10,378
- --------------------------------------------- ------------------------------------------------ ----------------------
*Including net undistributed (overdistributed)
investment income of: $ 3,709 $1,762 $ 199
- --------------------------------------------- ------------------------------------------------ ----------------------
</TABLE>
See Notes to Financial Statements
25
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------
Selected Per Share Data Net Realized/
for the Year or Period Ended: Net Asset Unrealized Total Income Dividends Dividends in Distributions
Value Net Gain from from Net Excess of Net from Net
Beginning of Investment (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
09/30/96 (a) $ 10.29 $ 0.34 $ 0.00 $ 0.34 $ (0.32) $ (0.02) $ 0.00
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
03/31/96 10.02 0.81 0.29 1.10 (0.61) (0.10) (0.12)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
03/31/95 10.25 0.64 (0.24) 0.40 (0.56) (0.05) 0.00
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
03/31/94 10.91 0.68 (0.16) 0.52 (0.71) (0.15) (0.30)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
03/31/93 10.46 0.76 0.76 1.52 (0.76) 0.00 (0.31)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
03/31/92 10.15 0.86 0.60 1.46 (0.86) 0.00 (0.29)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
Administrative Class
09/30/96 (a) 10.29 0.33 0.00 0.33 (0.31) (0.02) 0.00
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
03/31/96 10.01 0.80 0.29 1.09 (0.60) (0.09) (0.12)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
09/07/94 - 03/31/95 10.00 0.31 0.06 0.37 (0.32) (0.03) 0.00
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
Total Return Fund II
Institutional Class
09/30/96 (a) $ 9.89 $ 0.31 $ (0.04) $ 0.27 $ (0.30) $ (0.01) $ 0.00
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
11/01/95 - 03/31/96 10.21 0.25 (0.17) 0.08 (0.26) 0.00 (0.09)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
10/31/95 (b) 9.39 0.69 0.76 1.45 (0.62) 0.00 (0.01)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
10/31/94 (b) 10.38 0.51 (0.88) (0.37) (0.51) 0.00 (0.05)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
10/31/93 (b) 9.99 0.61 0.74 1.35 (0.61) 0.00 (0.35)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
12/30/91 - 10/31/92 (b) 10.00 0.49 0.23 0.72 (0.49) 0.00 (0.24)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
Administrative Class
09/30/96 (a) 9.89 0.30 (0.04) 0.26 (0.30) 0.00 0.00
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
11/01/95 - 03/31/96 10.22 0.24 (0.17) 0.07 (0.26) 0.00 (0.09)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
11/30/94 - 10/31/95 (b) 9.34 0.56 0.88 1.44 (0.55) 0.00 (0.01)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
Total Return Fund III
09/30/96 (a) $ 9.13 $ 0.29 $ 0.03 $ 0.32 $ (0.26) $ (0.02) $ 0.00
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
03/31/96 8.99 0.72 0.17 0.89 (0.54) (0.09) (0.12)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
03/31/95 9.18 0.59 (0.16) 0.43 (0.52) (0.02) 0.00
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
03/31/94 9.81 0.59 (0.03) 0.56 (0.66) (0.12) (0.20)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
03/31/93 10.31 0.64 0.75 1.39 (0.64) 0.00 (1.25)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
05/01/91 - 03/31/92 10.00 0.63 0.58 1.21 (0.63) 0.00 (0.27)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
Low Duration Fund
Institutional Class
09/30/96 (a) $ 9.95 $ 0.33 $ 0.01 $ 0.34 $ (0.31) $ (0.02) $ 0.00
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
03/31/96 9.76 0.66 0.21 0.87 (0.68) 0.00 0.00
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
03/31/95 10.04 0.65 (0.30) 0.35 (0.54) 0.00 0.00
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
03/31/94 10.30 0.62 (0.16) 0.46 (0.64) (0.03) (0.05)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
03/31/93 10.20 0.75 0.22 0.97 (0.74) 0.00 (0.13)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
03/31/92 10.02 0.83 0.25 1.08 (0.82) 0.00 (0.08)
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
Administrative Class
09/30/96 (a) 9.95 0.31 0.01 0.32 (0.30) (0.01) 0.00
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
03/31/96 9.76 0.63 0.21 0.84 (0.65) 0.00 0.00
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
12/31/94 - 03/31/95 9.67 0.18 0.07 0.25 (0.14) 0.00 0.00
- --------------------------- ----------- ---------- ----------- ----------- ---------- ----------- -----------
</TABLE>
+ Annualized
(a) Unaudited
(b) Audited by other independent accountants.
See Notes to Financial Statements
26
<PAGE>
FINANCIAL HIGHLIGHTS
Selected Per Share Data
for the Year or Period Ended:
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------
Ratio
of Net
Distributions Ratio of Investment
in Excess Tax Net Net Expenses Income
of Net Basis Asset Assets to to
Realized Return Value End Average Average Portfolio
Capital of Total End of Total of Period Net Net Turnover
Gains Capital Distributions Period Return (000's) Assets Assets Rate
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Return Fund
Institutional Class
09/30/96 (a) $ 0.00 $ 0.00 $ (0.34) $ 10.29 3.41% $11,373,400 0.43%+ 6.72%+ 89.71%
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
03/31/96 0.00 0.00 (0.83) 10.29 11.14 10,247,605 0.42 6.85 221.13
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
03/31/95 0.00 (0.02) (0.63) 10.02 4.22 7,239,735 0.41 6.72 98.48
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
03/31/94 (0.02) 0.00 (1.18) 10.25 4.55 5,008,160 0.41 6.27 176.74
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
03/31/93 0.00 0.00 (1.07) 10.91 15.29 3,155,441 0.43 7.07 89.95
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
03/31/92 0.00 0.00 (1.15) 10.46 14.90 1,813,935 0.46 8.18 110.46
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
Administrative Class
09/30/96 (a) 0.00 0.00 (0.33) 10.29 3.28 135,539 0.68 + 6.64 + 89.71
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
03/31/96 0.00 0.00 (0.81) 10.29 10.99 104,618 0.68 6.64 221.13
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
09/07/94 - 03/31/95 0.00 (0.01) (0.36) 10.01 3.76 9,037 0.66 + 6.54 + 98.48
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
Total Return Fund II
Institutional Class
09/30/96 (a) $ 0.00 $ 0.00 $ (0.31) $ 9.85 2.86% $ 442,834 0.50%+ 6.43%+ 151.18%
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
11/01/95 - 03/31/96 (0.05) 0.00 (0.40) 9.89 0.78 455,583 0.51 + 6.36 + 73.18
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
10/31/95 (b) 0.00 0.00 (0.63) 10.21 15.96 442,091 0.50 6.47 41.05
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
10/31/94 (b) 0.00 (0.06) (0.62) 9.39 (3.58) 357,900 0.50 5.22 99.46
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
10/31/93 (b) 0.00 0.00 (0.96) 10.38 13.79 371,260 0.50 5.38 49.71
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
12/30/91 - 10/31/92 (b) 0.00 0.00 (0.73) 9.99 7.52 287,113 0.50 + 5.83 + 133.61
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
Administrative Class
09/30/96 (a) 0.00 0.00 (0.30) 9.85 2.73 4,465 0.75 + 6.15 + 151.18
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
11/01/95 - 03/31/96 (0.05) 0.00 (0.40) 9.89 0.57 3,320 0.76 + 6.06 + 73.18
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
11/30/94 - 10/31/95 (b) 0.00 0.00 (0.56) 10.22 15.92 3,163 0.76 + 6.22 + 40.91
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
Total Return Fund III
09/30/96 (a) $ 0.00 $ 0.00 $ (0.28) $ 9.17 3.63% $ 158,505 0.50%+ 6.28%+ 74.95%
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
03/31/96 0.00 0.00 (0.75) 9.13 10.06 142,223 0.50 6.82 176.97
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
03/31/95 0.00 (0.08) (0.62) 8.99 4.92 99,497 0.50 6.95 145.98
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
03/31/94 (0.21) 0.00 (1.19) 9.18 5.64 97,522 0.50 6.00 95.21
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
03/31/93 0.00 0.00 (1.89) 9.81 14.47 65,349 0.51 6.06 161.38
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
05/01/91 - 03/31/92 0.00 0.00 (0.90) 10.31 13.61 + 47,908 0.60 + 6.75 + 521.14
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
Low Duration Fund
Institutional Class
09/30/96 (a) $ 0.00 $ 0.00 $ (0.33) $ 9.96 3.46% $ 2,685,682 0.43%+ 6.60%+ 114.52%
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
03/31/96 0.00 0.00 (0.68) 9.95 9.13 2,677,574 0.42 6.88 208.79
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
03/31/95 0.00 (0.09) (0.63) 9.76 3.60 2,332,032 0.41 6.46 77.14
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
03/31/94 0.00 0.00 (0.72) 10.04 4.56 2,298,255 0.43 6.05 42.69
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
03/31/93 0.00 0.00 (0.87) 10.30 9.91 1,403,594 0.45 7.21 67.51
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
03/31/92 0.00 0.00 (0.90) 10.20 11.30 906,650 0.50 8.08 37.21
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
Administrative Class
09/30/96 (a) 0.00 0.00 (0.31) 9.96 3.33 3,935 0.68 + 6.40 + 114.52
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
03/31/96 0.00 0.00 (0.65) 9.95 8.83 2,536 0.69 6.73 208.79
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
12/31/94 - 03/31/95 0.00 (0.02) (0.16) 9.76 2.53 771 0.66 + 6.93 + 77.14
- ------------------------ -------- -------- -------- --------- ------ ----------- ------ -------- ---------
</TABLE>
+ Annualized
(a) Unaudited
(b) Audited by other independent accountants.
See Notes to Financial Statements
27
<PAGE>
FINANCIAL HIGHLIGHTS (Cont.)
<TABLE>
<CAPTION>
Selected Per Share Data --------- ---------- ------------- ------------ ---------- ------------ -------------
for the Year or Period Ended: Net Realized/
Net Asset Unrealized Total Income Dividends Dividends in Distributions
Value Net Gain from from Net Excess of Net from Net
Beginning Investment (Loss) on Investment Investment Investment Realized
of Period Income Investments Operations Income Income Capital Gains
--------- ---------- ----------- ------------ ---------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Low Duration Fund II
09/30/96 (a) $ 9.82 $ 0.32 $ (0.02) $ 0.30 $ (0.26) $ (0.06) $ 0.00
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
03/31/96 9.77 0.66 0.04 0.70 (0.60) (0.03) 0.00
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
03/31/95 9.94 0.62 (0.16) 0.46 (0.58) (0.03) 0.00
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
03/31/94 10.25 0.60 (0.28) 0.32 (0.58) 0.00 (0.05)
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
03/31/93 10.04 0.63 0.25 0.88 (0.64) 0.00 (0.03)
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
11/01/91 - 03/31/92 10.00 0.28 0.03 0.31 (0.27) 0.00 0.00
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
Short-Term Fund
Institutional Class
09/30/96 (a) $ 9.92 $ 0.30 $ 0.05 $ 0.35 $ (0.29) $ (0.01) $ 0.00
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
03/31/96 9.79 0.69 0.12 0.81 (0.65) (0.03) 0.00
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
03/31/95 9.92 0.56 (0.13) 0.43 (0.55) (0.01) 0.00
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
03/31/94 10.03 0.48 (0.12) 0.36 (0.47) 0.00 0.00
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
03/31/93 10.01 0.37 0.02 0.39 (0.37) 0.00 0.00
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
03/31/92 10.02 0.55 0.00 0.55 (0.55) 0.00 (0.01)
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
Administrative Class
09/30/96 (a) 9.92 0.29 0.05 0.34 (0.28) (0.01) 0.00
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
02/01/96 - 03/31/96 9.98 0.11 (0.07) 0.04 (0.10) 0.00 0.00
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
Long-Term U.S. Government Fund
09/30/96 (a) $ 9.96 $ 0.38 $ (0.23) $ 0.15 $ (0.35) $ 0.00 $ 0.00
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
03/31/96 9.85 0.83 0.66 1.49 (0.68) (0.04) (0.50)
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
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
09/30/96 (a) $ 10.50 $ 0.26 $ 0.84 $ 1.10 $ (0.22) $ 0.00 $ 0.00
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
03/31/96 9.38 0.96 1.03 1.99 (0.34) (0.25) (0.25)
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
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
Institutional Class
09/30/96 (a) $ 10.05 $ 0.25 $ 0.43 $ 0.68 $ (0.25) $ 0.00 $ 0.00
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
03/31/96 9.87 0.45 0.72 1.17 (0.61) 0.00 (0.21)
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
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
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
Administrative Class
08/01/96 - 09/30/96 (a) 10.28 0.08 0.20 0.28 (0.08) 0.00 0.00
- --------------------------------- ---------- ---------- ------------ ---------- ----------- ------------ ----------
</TABLE>
+ Annualized
(a) Unaudited
See Notes to Financial Statements
28
<PAGE>
FINANCIAL HIGHLIGHTS (Cont.)
Selected Per Share Data
for the Year or Period Ended:
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------
Ratio
Distributions of Net
in Excess Tax Net Net Ratio of Investment
of Net Basis Asset Assets Expenses to Income to
Realized Return Value End of Average Average Porfolio
Capital of Total End of Total Period Net Net Turnover
Gains Capital Distributions Period Return (000's) Assets Assets Rate
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Low Duration Fund II
09/30/96 (a) $0.00 $0.00 $(0.32) $9.80 3.09% $256,720 0.50%+ 6.42%+ 147.94%
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/96 0.00 (0.02) (0.65) 9.82 7.30 253,299 0.48 6.61 225.02
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/95 0.00 (0.02) (0.63) 9.77 4.80 170,866 0.47 6.35 102.43
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/94 0.00 0.00 (0.63) 9.94 3.15 141,411 0.50 5.73 53.78
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/93 0.00 0.00 (0.67) 10.25 8.95 101,025 0.50 6.16 95.33
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
11/01/91 - 03/31/92 0.00 0.00 (0.27) 10.04 7.72 + 31,027 0.51 + 6.80 + 12.57
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
Short-Term Fund
Institutional Class
09/30/96 (a) $0.00 $0.00 $(0.30) $ 9.97 3.63% $128,198 0.45%+ 6.28%+ 56.87%
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/96 0.00 0.00 (0.68) 9.92 8.49 101,797 0.58 6.86 214.78
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/95 0.00 0.00 (0.56) 9.79 4.46 90,114 0.50 5.67 79.30
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/94 0.00 0.00 (0.47) 9.92 3.66 73,176 0.50 4.87 45.81
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/93 0.00 0.00 (0.37) 10.03 3.94 46,905 0.50 3.67 54.50
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/92 0.00 0.00 (0.56) 10.01 5.66 44,172 0.50 5.52 94.62
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
Administrative Class
09/30/96 (a) 0.00 0.00 (0.29) 9.97 3.50 2,361 0.70 + 6.08 + 56.87
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
02/01/96 - 03/31/96 0.00 0.00 (0.10) 9.92 0.41 3,999 0.52 + 4.44 + 214.78
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
Long-Term U.S. Government Fund
09/30/96 (a) $0.00 $0.00 $(0.35) $9.76 1.61% $ 21,860 0.50%+ 7.43%+ 152.18%
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/96 (0.16) 0.00 (1.38) 9.96 14.83 32,511 0.56 6.80 238.32
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/95 0.00 0.00 (0.62) 9.85 5.50 32,349 0.50 6.62 88.92
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/94 (0.17) 0.00 (1.96) 9.96 4.13 25,978 0.50 5.37 97.67
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/93 0.00 0.00 (1.82) 11.36 23.42 22,946 0.50 6.16 320.08
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
07/01/91 - 03/31/92 0.00 0.00 (0.67) 10.82 20.57 + 15,900 0.50 + 7.91 + 427.81
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
Foreign Fund
09/30/96 (a) $0.00 $0.00 $(0.22) $11.38 10.59% $214,911 0.48%+ 4.00%+ 518.75%
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/96 (0.03) 0.00 (0.87) 10.50 21.80 258,493 0.52 5.83 1,233.71
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/95 0.00 (0.61) (0.61) 9.38 (1.85) 232,700 0.47 6.44 299.45
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/94 (0.37) 0.00 (0.98) 10.18 7.79 498,521 0.54 5.12 260.34
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
12/03/92 - 03/31/93 0.00 0.00 (0.16) 10.34 16.23 + 178,895 0.65 + 4.97 + 122.55
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
Global Fund
Institutional Class
09/30/96 (a) $0.00 $0.00 $(0.25) $10.48 6.91% $160,821 0.55%+ 4.99%+ 453.28%
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/96 (0.17) 0.00 (0.99) 10.05 12.04 133,833 0.58 5.88 1,082.91
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
03/31/95 0.00 0.00 (0.53) 9.87 10.35 76,476 0.64 5.59 461.48
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
11/23/93 - 03/31/94 0.00 0.00 (0.16) 9.85 0.08 40,485 0.50 + 4.55 + 132.41
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
Administrative Class
08/01/96 - 09/30/96 (a) 0.00 0.00 (0.08) 10.48 3.22 25 0.80 + 1.02 + 453.28
- ------------------------------- -------- -------- --------- --------- ------- ----------- --------- ---------- ----------
</TABLE>
+ Annualized
(a) Unaudited
See Notes to Financial Statements
29
<PAGE>
FINANCIAL HIGHLIGHTS (Cont.)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Selected Per Share Data Net Realized/
for the Year or Period Ended: Net Asset Unrealized Total Income Dividends Dividends in Distributions
Value Net Gain from from Net Excess of Net from Net
Beginning of Investment (Loss) on Investment Investment Investment Realized
Period Income Investments Operations Income Income Capital Gains
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
High Yield Fund
Institutional Class
09/30/96 (a) $ 10.94 $ 0.46 $ 0.19 $ 0.65 $ (0.48) $ 0.00 $ 0.00
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
03/31/96 10.42 1.04 0.54 1.58 (1.01) 0.00 (0.05)
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
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
09/30/96 (a) 10.94 0.45 0.19 0.64 (0.47) 0.00 0.00
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
03/31/96 10.41 1.02(c) 0.54(c) 1.56 (0.98) 0.00 (0.05)
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
01/16/95 - 03/31/95 10.14 0.23 0.25 0.48 (0.21) 0.00 0.00
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
Money Market Fund
Institutional Class
09/30/96 (a) $ 1.00 $ 0.03 $ 0.00 $ 0.03 $ (0.03) $ 0.00 $ 0.00
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
11/01/95 - 03/31/96 1.00 0.02 0.00 0.02 (0.02) 0.00 0.00
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
10/31/95 (b) 1.00 0.06 0.00 0.06 (0.06) 0.00 0.00
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
10/31/94 (b) 1.00 0.03 0.00 0.03 (0.03) 0.00 0.00
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
10/31/93 (b) 1.00 0.03 0.00 0.03 (0.03) 0.00 0.00
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
10/31/92 (b) 1.00 0.04 0.00 0.04 (0.04) 0.00 0.00
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
03/01/91 - 10/31/91 (b) 1.00 0.04 0.00 0.04 (0.04) 0.00 0.00
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
Administrative Class
09/30/96 (a) 1.00 0.02 0.00 0.02 (0.02) 0.00 0.00
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
11/01/95 - 03/31/96 1.00 0.02 0.00 0.02 (0.02) 0.00 0.00
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
01/24/95 - 10/31/95 (b) 1.00 0.05 0.00 0.05 (0.05) 0.00 0.00
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
StocksPLUS Fund
09/30/96 (a) $ 11.16 $ 0.53 $ 0.33 $ 0.86 $ (0.42) $ 0.00 $ 0.00
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
03/31/96 10.48 0.91 2.48 3.39 (1.05) 0.00 (1.62)
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
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)
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
Strategic Balanced Fund
06/28/96 - 09/30/96 (a) $ 10.00 $ 0.20 $ 0.15 $ 0.35 $ 0.00 $ 0.00 $ 0.00
- ----------------------------- ------------ ------------ ------------ ------------ ------------ ------------ -------------
</TABLE>
+ Annualized
(a) Unaudited
(b) Audited by other independent accountants.
(c) Per share amounts based on average number of shares outstanding during the
period.
See Notes to Financial Statements
30
<PAGE>
FINANCIAL HIGHLIGHTS (Cont.)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
Selected Per Share Data Distributions
for the Year or Period Ended: in Excess of Tax Basis Net Asset
Net Realized Return of Total Value End
Capital Gains Capital Distributions of Period Total Return
--------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
High Yield Fund
Institutional Class
09/30/96 (a) $ 0.00 $ 0.00 $ (0.48) $ 11.11 6.17%
- -------------------------------------------------- --------------------------------------------------------------------------
03/31/96 0.00 0.00 (1.06) 10.94 15.70
- -------------------------------------------------- --------------------------------------------------------------------------
03/31/95 (0.02) 0.00 (0.97) 10.42 8.81
- -------------------------------------------------- --------------------------------------------------------------------------
03/31/94 0.00 0.00 (0.97) 10.52 10.65
- -------------------------------------------------- --------------------------------------------------------------------------
12/16/92 - 03/31/93 0.00 0.00 (0.24) 10.41 24.43+
- -------------------------------------------------- --------------------------------------------------------------------------
Administrative Class
09/30/96 (a) 0.00 0.00 (0.47) 11.11 6.04
- -------------------------------------------------- --------------------------------------------------------------------------
03/31/96 0.00 0.00 (1.03) 10.94 15.54
- -------------------------------------------------- --------------------------------------------------------------------------
01/16/95 - 03/31/95 0.00 0.00 (0.21) 10.41 4.66
- -------------------------------------------------- --------------------------------------------------------------------------
Money Market Fund
Institutional Class
09/30/96 (a) $ 0.00 $ 0.00 $ (0.03) $ 1.00 2.61%
- -------------------------------------------------- --------------------------------------------------------------------------
11/01/95 - 03/31/96 0.00 0.00 (0.02) 1.00 2.58
- -------------------------------------------------- --------------------------------------------------------------------------
10/31/95 (b) 0.00 0.00 (0.06) 1.00 5.67
- -------------------------------------------------- --------------------------------------------------------------------------
10/31/94 (b) 0.00 0.00 (0.03) 1.00 3.53
- -------------------------------------------------- --------------------------------------------------------------------------
10/31/93 (b) 0.00 0.00 (0.03) 1.00 2.83
- -------------------------------------------------- --------------------------------------------------------------------------
10/31/92 (b) 0.00 0.00 (0.04) 1.00 3.85
- -------------------------------------------------- --------------------------------------------------------------------------
03/01/91 - 10/31/91 (b) 0.00 0.00 (0.04) 1.00 3.78
- -------------------------------------------------- --------------------------------------------------------------------------
Administrative Class
09/30/96 (a) 0.00 0.00 (0.02) 1.00 2.49
- -------------------------------------------------- --------------------------------------------------------------------------
11/01/95 - 03/31/96 0.00 0.00 (0.02) 1.00 2.47
- -------------------------------------------------- --------------------------------------------------------------------------
01/24/95 - 10/31/95 (b) 0.00 0.00 (0.05) 1.00 4.21
- -------------------------------------------------- --------------------------------------------------------------------------
StocksPLUS Fund
09/30/96 (a) $ 0.00 $ 0.00 $ (0.42) $ 11.60 7.78%
- -------------------------------------------------- --------------------------------------------------------------------------
03/31/96 (0.04) 0.00 (2.71) 11.16 34.07
- -------------------------------------------------- --------------------------------------------------------------------------
03/31/95 0.00 0.00 (0.76) 10.48 18.64
- -------------------------------------------------- --------------------------------------------------------------------------
05/14/93 - 03/31/94 (0.47) 0.00 (0.92) 9.52 1.55
- -------------------------------------------------- --------------------------------------------------------------------------
Strategic Balanced Fund
06/28/96 - 09/30/96 (a) $ 0.00 $ 0.00 $ 0.00 $ 10.35 3.50%
- -------------------------------------------------- --------------------------------------------------------------------------
<CAPTION>
--------------------------------------------------------------------------
Selected Per Share Data Ratio of Net
for the Year or Period Ended: Ratio of Investment
Net Assets Expenses to Income to Portfolio
End of Period Average Net Average Net Turnover
(000's) Assets Assets Rate
--------------------------------------------------------------------------
<S> <C> <C> <C> <C>
High Yield Fund
Institutional Class
09/30/96 (a) $ 754,183 0.50%+ 9.00%+ 28.20%
- -------------------------------------------------- --------------------------------------------------------------------------
03/31/96 536,983 0.47 9.28 65.79
- -------------------------------------------------- --------------------------------------------------------------------------
03/31/95 336,310 0.48 9.37 77.60
- -------------------------------------------------- --------------------------------------------------------------------------
03/31/94 219,976 0.50 8.40 112.40
- -------------------------------------------------- --------------------------------------------------------------------------
12/16/92 - 03/31/93 24,069 0.50+ 8.24+ 29.74
- -------------------------------------------------- --------------------------------------------------------------------------
Administrative Class
09/30/96 (a) 3,038 0.75+ 8.56+ 28.20
- -------------------------------------------------- --------------------------------------------------------------------------
03/31/96 1,007 0.80 9.16 65.79
- -------------------------------------------------- --------------------------------------------------------------------------
01/16/95 - 03/31/95 41 0.73+ 10.12+ 77.60
- -------------------------------------------------- --------------------------------------------------------------------------
Money Market Fund
Institutional Class
09/30/96 (a) $ 28,300 0.35%+ 5.15%+ N/A
- -------------------------------------------------- --------------------------------------------------------------------------
11/01/95 - 03/31/96 25,935 0.33+ 5.44+ N/A
- -------------------------------------------------- --------------------------------------------------------------------------
10/31/95 (b) 7,741 0.40 5.53 N/A
- -------------------------------------------------- --------------------------------------------------------------------------
10/31/94 (b) 7,454 0.40 3.52 N/A
- -------------------------------------------------- --------------------------------------------------------------------------
10/31/93 (b) 5,836 0.40 2.78 N/A
- -------------------------------------------------- --------------------------------------------------------------------------
10/31/92 (b) 7,817 0.40 4.02 N/A
- -------------------------------------------------- --------------------------------------------------------------------------
03/01/91 - 10/31/91 (b) 45,406 0.53+ 5.2 N/A
- -------------------------------------------------- --------------------------------------------------------------------------
Administrative Class
09/30/96 (a) 12 0.60+ 5.00+ N/A
- -------------------------------------------------- --------------------------------------------------------------------------
11/01/95 - 03/31/96 10 0.61+ 5.95+ N/A
- -------------------------------------------------- --------------------------------------------------------------------------
01/24/95 - 10/31/95 (b) 10 0.68+ 5.94+ N/A
- -------------------------------------------------- --------------------------------------------------------------------------
StocksPLUS Fund
09/30/96 (a) $ 181,300 0.65%+ 9.89%+ 27.29%
- -------------------------------------------------- --------------------------------------------------------------------------
03/31/96 151,869 0.70 15.23 101.67
- -------------------------------------------------- --------------------------------------------------------------------------
03/31/95 46,498 0.50 11.89 176.98
- -------------------------------------------------- --------------------------------------------------------------------------
05/14/93 - 03/31/94 14,330 0.50+ 4.00+ 33.29
- -------------------------------------------------- --------------------------------------------------------------------------
Strategic Balanced Fund
06/28/96 - 09/30/96 (a) $ 10,378 0.64%+ 7.73%+ 36.75%
- -------------------------------------------------- --------------------------------------------------------------------------
</TABLE>
+ Annualized
(a) Unaudited
(b) Audited by other independent accountants.
(c) Per share amounts based on average number of shares outstanding during the
period.
See Notes to Financial Statements
31
<PAGE>
SCHEDULE OF INVESTMENTS
Total Return Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Corporate Bonds and Notes - 17.6%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance - 8.0%
ABN AMRO Bank N.V.
7.750% due 05/15/23 $ 200 $ 201
Ahmanson (H.F.) & Co.
6.000% due 03/27/97 25,000 25,015
Associates Corp. of North America
6.875% due 01/15/97 1,000 1,003
9.700% due 05/01/97 450 460
6.125% due 02/01/98 1,475 1,474
8.800% due 08/01/98 600 625
6.250% due 03/15/99 700 697
7.500% due 05/15/99 700 716
6.750% due 10/15/99 90 90
AT&T Capital Corp.
6.990% due 10/04/96 5,000 5,004
5.940% due 04/18/97 50,000 50,035
6.690% due 05/09/97 25,000 25,136
7.350% due 03/02/98 6,000 6,090
Avco Financial Services
7.375% due 08/15/01 300 306
Bancomer
8.000% due 07/07/98 7,000 6,965
Banesto
8.250% due 07/28/02 28,900 30,235
BankAmerica Corp.
7.500% due 10/15/02 1,000 1,024
Bankers Trust
7.250% due 11/01/96 1,050 1,051
8.000% due 03/15/97 250 252
8.625% due 04/01/18 214 219
Banponce Corp.
8.170% due 12/09/96 25,000 25,098
5.938% due 03/19/97 (d) 25,000 25,027
8.040% due 11/24/97 9,000 9,179
Barclays American Corp.
9.125% due 12/01/97 350 361
Beneficial Corp.
8.930% due 12/16/96 500 504
6.210% due 09/11/97 145 145
9.600% due 10/16/98 250 264
Canadian Pacific Securities Ltd.
9.450% due 08/01/21 2,750 3,133
Capital One Bank
8.330% due 02/10/97 1,020 1,029
Chemical Banking Corp.
6.125% due 11/01/08 400 358
Chrysler Financial Corp.
8.125% due 12/15/96 13,000 13,063
5.080% due 01/24/97 5,000 4,995
8.070% due 01/30/97 4,000 4,033
8.100% due 02/03/97 31,900 32,173
7.110% due 03/21/97 2,500 2,517
8.420% due 02/01/99 695 722
8.460% due 01/19/00 700 735
Citicorp
8.750% due 11/01/96 5,000 5,011
5.513% due 01/30/98 (d) 7,000 6,990
8.750% due 02/15/98 9,000 9,293
5.688% due 05/29/98 (d) 21,600 21,570
Coleman Holdings
0.000% due 05/27/98 (h) 7,349 6,339
Commercial Credit
6.000% due 06/15/00 300 293
Den Danske Bank
6.850% due 06/23/00 (d) 4,500 4,531
First Chicago Corp.
8.200% due 11/15/96 5,000 5,014
First Interstate Bancorp
12.750% due 05/01/97 1,250 1,298
5.881% due 06/25/97 (d) 5,000 5,009
8.875% due 01/01/09 374 384
First Security Bank
7.450% due 11/15/96 34,000 34,088
Ford Motor Credit Corp.
7.875% due 01/15/97 1,000 1,006
9.350% due 05/14/97 1,000 1,021
8.000% due 12/01/97 260 265
7.240% due 04/01/98 11,000 11,144
6.170% due 11/09/98 (d) 17,080 17,053
8.375% due 01/15/00 150 157
7.020% due 10/10/00 70,000 70,372
General American Capital Corp.
6.745% due 07/01/18 (d) 10,076 9,966
General Electric Capital Corp.
8.300% due 09/20/09 150 165
General Motors Acceptance Corp.
6.226% due 10/15/96 (d) 36,000 36,090
7.875% due 11/05/96 250 250
8.000% due 12/05/96 15,000 15,074
7.750% due 12/10/96 1,000 1,005
7.650% due 12/17/96 275 276
7.750% due 01/24/97 5,400 5,440
7.700% due 01/24/97 14,225 14,327
7.750% due 01/28/97 4,250 4,282
7.375% due 02/27/97 2,000 2,012
7.875% due 02/27/97 2,000 2,019
7.625% due 02/28/97 5,000 5,034
7.875% due 03/04/97 250 256
7.250% due 03/14/97 15,000 15,110
7.750% due 04/15/97 8,150 8,230
6.700% due 04/15/97 26,100 26,239
8.375% due 05/01/97 1,350 1,369
7.750% due 05/12/97 2,000 2,022
7.250% due 05/19/97 7,500 7,569
7.125% due 05/23/97 1,000 1,008
6.125% due 06/09/97 8,000 8,017
6.000% due 06/16/97 1,000 1,001
7.100% due 07/01/97 1,700 1,714
6.400% due 07/30/97 1,000 1,004
6.300% due 09/10/97 1,000 1,002
6.000% due 10/10/97 23,000 22,982
7.850% due 11/17/97 13,000 13,242
7.375% due 03/23/98 2,290 2,326
7.375% due 05/26/99 190 194
8.625% due 06/15/99 650 682
9.625% due 12/15/01 300 334
Georgia Pacific Credit Corp.
9.850% due 06/15/97 3,000 3,072
Goldman Sachs Mortgage Corp.
6.000% due 12/31/07 11,894 10,440
Great Western Bank
8.625% due 12/01/98 3,000 3,107
10.500% due 05/30/00 500 537
10.250% due 06/15/00 5,500 5,896
Heller Financial
6.450% due 02/15/97 325 326
Household Financial Corp.
6.250% due 10/15/97 201 201
ITT Hartford
7.250% due 12/01/96 500 501
Inter-American Development Bank
8.875% due 06/01/09 200 230
Lehman Brothers
6.730% due 02/27/98 45,000 45,152
6.263% due 06/22/98 (d) 25,000 25,213
</TABLE>
32
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Manufacturers Hanover Corp.
8.125% due 01/15/97 $ 417 $ 420
Maritrans Capital Corp.
9.250% due 04/01/07 1,000 899
Merrill Lynch & Co.
5.760% due 06/23/97 (d) 19,000 18,970
Mesa Operating Co.
10.625% due 07/01/06 4,250 4,489
Morgan Stanley Group
7.790% due 02/03/97 21,000 21,156
National Credit Card Trust
9.450% due 12/31/97 100 100
NationsBank Corp.
6.750% due 02/26/01 500 497
NCNB Corp.
8.500% due 11/01/96 1,000 1,002
Northern Trust
9.000% due 05/15/98 200 209
Norwest Financial, Inc.
4.970% due 10/29/96 300 300
6.500% due 11/15/97 1,500 1,507
5.750% due 11/16/98 300 296
7.000% due 01/15/03 300 300
PaineWebber
6.250% due 06/15/98 100 100
Reliance Group Holdings
9.000% due 11/15/00 9,000 9,203
Saferco
9.460% due 05/31/99 1,000 1,068
9.590% due 05/31/01 3,000 3,313
Salomon, Inc.
6.268% due 10/23/96 (d) 5,560 5,562
6.151% due 11/21/96 (d) 19,000 19,013
5.300% due 12/06/96 5,000 4,996
5.530% due 08/25/97 2,400 2,388
5.650% due 10/15/97 6,000 5,968
5.700% due 02/11/98 1,300 1,286
Sears Financial
0.000% due 07/12/98 3,480 3,108
9.250% due 12/01/16 2,565 2,653
Security Pacific Corp.
6.200% due 03/01/18 (d) 180 178
Shearson Lehman
9.875% due 10/25/17 426 432
Signet Bank Corp.
5.625% due 05/15/97 (d) 1,000 996
5.875% due 04/15/98 (d) 9,000 8,952
9.625% due 06/01/99 6,500 6,930
Tenneco Credit Corp.
9.250% due 11/01/96 4,500 4,510
9.625% due 08/15/01 300 330
Transamerica Financial
5.991% due 04/20/99 (d) 500 492
Trizec Finance
10.875% due 10/15/05 3,715 4,034
U.S. Life Corp.
6.750% due 01/15/98 100 101
U.S. West Capital Funding, Inc.
8.000% due 10/15/96 139 139
Wachovia Bank
6.700% due 04/14/99 500 503
----------
922,088
==========
Industrials - 5.4%
ALCO Standard Corp.
6.750% due 12/01/25 1,200 1,041
American Home Products
6.875% due 04/15/97 900 905
Amerigas Partners L.P.
10.125% due 04/15/07 2,730 2,860
AMR Corp.
7.600% due 01/27/97 6,000 6,037
7.470% due 01/28/97 6,500 6,529
7.750% due 12/01/97 10,000 10,144
9.500% due 07/15/98 5,500 5,756
9.270% due 08/13/98 1,000 1,044
8.050% due 03/05/99 4,000 4,100
9.750% due 03/15/00 7,760 8,350
10.610% due 01/11/01 4,000 4,493
10.570% due 01/15/01 3,000 3,355
10.590% due 01/31/01 3,000 3,359
10.000% due 02/01/01 2,000 2,209
10.000% due 03/07/01 1,500 1,649
9.400% due 05/08/01 3,000 3,252
9.500% due 05/15/01 2,250 2,457
9.130% due 10/25/01 2,000 2,142
8.470% due 02/20/02 2,000 2,103
8.500% due 02/26/02 1,000 1,053
Anheuser Busch
7.000% due 09/01/05 300 296
Arkla, Inc.
9.875% due 04/15/97 55,050 56,164
9.320% due 12/15/97 1,000 1,031
8.740% due 05/14/98 3,000 3,093
Baxter International
9.500% due 06/15/08 200 226
BP America, Inc.
8.875% due 12/01/97 600 618
Building Materials Corp.
0.000% due 07/01/04 (h) 3,320 2,673
Century Communication
11.875% due 10/15/03 6,000 6,480
CF Cable TV, Inc.
9.125% due 07/15/07 1,600 1,640
Coastal Corp.
8.750% due 05/15/99 4,300 4,476
9.750% due 08/01/03 1,000 1,130
Continental Cablevision
11.000% due 06/01/07 4,536 5,114
Cumberland Farms
10.500% due 10/01/03 3,906 3,769
Dayton Hudson Co.
10.000% due 12/01/00 1,000 1,109
Delta Air Lines
7.730% due 05/14/97 8,800 8,887
9.230% due 07/02/02 15,392 16,283
10.000% due 06/05/13 10,828 12,328
9.750% due 05/15/21 500 579
Dimon, Inc.
8.875% due 06/01/06 3,000 3,023
Eastman Kodak
8.550% due 05/01/97 400 406
E.I. Du Pont de Nemours
8.650% due 12/01/97 500 515
Exide Corp.
0.000% due 12/15/04 (h) 1,275 1,151
Federal Express
10.000% due 09/01/98 800 847
G-I Holdings, Inc.
0.000% due 10/01/98 (h) 7,000 6,108
General Motors Corp.
8.170% due 01/02/00 3,094 3,186
8.950% due 07/02/09 21,500 23,085
Gulf Canada Resources
9.250% due 01/15/04 1,250 1,286
9.625% due 07/01/05 2,000 2,090
</TABLE>
33
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
HealthSouth Rehabilitation
9.500% due 04/01/01 $ 7,300 $ 7,647
HMH Properties
9.500% due 05/15/05 2,000 2,010
Hollinger International Publishing
9.250% due 02/01/06 3,000 2,933
Integrated Health Services
9.625% due 05/31/02 3,000 3,068
10.750% due 07/15/04 3,650 3,869
K-III Communications Co.
8.500% due 02/01/06 4,000 3,730
Kaiser Aluminum & Chemical
9.875% due 02/15/02 250 255
KCS Energy, Inc.
11.000% due 01/15/03 2,000 2,180
Keystone Group
9.750% due 09/01/03 250 268
Lenfest Communications
8.375% due 11/01/05 5,000 4,725
Maxus Energy Corp.
9.875% due 10/15/02 300 305
Mazda Manufacturing Corp.
10.500% due 07/01/08 1,981 2,456
McDermott, Inc.
9.375% due 03/15/02 1,000 1,053
Nabisco, Inc.
8.000% due 01/15/00 6,500 6,711
News America Holdings Corp.
12.000% due 12/15/01 2,000 2,141
8.625% due 02/01/03 750 801
Noranda, Inc.
7.000% due 07/15/05 1,800 1,745
Northern Indiana Public
6.375% due 09/01/97 5,950 5,964
Owens Illinois
10.000% due 08/01/02 300 313
11.000% due 12/01/03 8,000 8,780
Pepsico, Inc.
5.463% due 07/01/98 400 394
7.750% due 10/01/98 500 513
Pfizer, Inc.
6.500% due 02/01/97 400 401
Philip Morris Co.
8.750% due 12/01/96 5,000 5,022
8.750% due 06/15/97 100 102
Purity Supreme
11.750% due 08/01/99 9,000 9,698
RJR Nabisco
7.625% due 09/01/00 6,000 5,856
8.000% due 07/15/01 30,000 29,399
Repap Wisconsin, Inc.
9.250% due 02/01/02 3,750 3,713
Revlon Consumer Products Corp.
9.375% due 04/01/01 5,255 5,347
Rogers Cablesystems, Inc.
10.000% due 12/01/07 5,000 5,025
9.375% due 06/01/08 2,750 2,736
Rogers Cantel Mobile
11.125% due 07/15/02 5,000 5,281
Schering-Plough
0.000% due 12/02/96 600 595
SCI Television
11.000% due 06/30/05 5,000 5,350
Sears Roebuck & Co.
6.580% due 07/23/97 150 151
5.820% due 02/22/99 125 123
Showboat, Inc.
9.250% due 05/01/08 1,000 1,000
Stone Consolidated
10.250% due 12/15/00 5,000 5,313
Sweetheart Cup Co.
9.625% due 09/01/00 1,200 1,236
Telewest Communications
9.625% due 10/01/06 5,000 5,000
Tenet Healthcare
9.625% due 09/01/02 6,250 6,820
10.125% due 03/01/05 (d) 1,000 1,090
Texaco Capital
9.000% due 11/15/97 1,000 1,030
Time Warner, Inc.
7.450% due 02/01/98 1,000 1,013
6.460% due 08/15/00 (d) 52,669 52,670
7.975% due 08/15/04 31,053 31,379
8.110% due 08/15/06 78,529 78,242
Transtexas Gas Corp.
11.500% due 06/15/02 1,000 1,068
Union Oil of California
9.750% due 12/01/00 400 442
United Air Lines
6.750% due 12/01/97 11,400 11,406
10.670% due 05/01/04 2,050 2,377
USX Corp.
6.375% due 07/15/98 16,200 16,126
9.800% due 07/01/01 300 331
Varity Corp.
11.375% due 11/15/98 10,500 10,560
Viacom, Inc.
6.750% due 01/15/03 1,200 1,126
Vons
6.625% due 05/15/98 10,001 9,950
World Color Press, Inc.
9.125% due 03/15/03 5,000 4,973
----------
624,243
==========
Utilities - 4.2%
AES Corp.
10.250% due 07/15/06 4,500 4,781
Arkansas Power & Light
10.370% due 12/22/97 3,000 3,106
Bell Atlantic Financial
6.625% due 11/30/97 400 403
Cablevision Industries
10.750% due 01/30/02 44,032 47,161
California Energy
0.000% due 01/15/04 (h) 9,235 9,443
Calpine Corp.
9.250% due 02/01/04 4,150 3,963
Carolina Power & Light
7.900% due 12/27/96 11,000 11,067
6.375% due 10/01/97 50 50
5.375% due 07/01/98 100 98
Centerior Fuel Corp.
9.200% due 08/02/98 15,000 15,383
Central Maine Power Co.
6.250% due 11/01/98 1,000 986
Central Power & Light
6.000% due 10/01/97 850 849
Chesapeake & Potomac Telephone
8.000% due 10/15/29 1,125 1,175
Cincinnati Bell, Inc.
6.700% due 12/15/97 1,000 1,005
Cleveland Electric Illuminating Co.
9.375% due 03/01/17 3,000 2,957
CMS Energy
9.500% due 10/01/97 31,100 31,810
9.875% due 10/01/99 (d) 4,200 4,368
</TABLE>
34
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Commonwealth Edison
7.000% due 02/15/97 $ 5,175 $ 5,188
Connecticut Light & Power
6.500% due 01/01/98 1,000 998
Consolidated Natural Gas Co.
5.875% due 10/01/98 500 496
Consumers Power Co.
8.750% due 02/15/98 5,550 5,687
CTC Mansfield Funding
10.250% due 03/30/03 16,250 16,697
11.125% due 09/30/16 101,315 107,406
El Paso Electric Co.
7.250% due 02/01/99 10,956 10,929
First PV Funding
8.950% due 01/15/97 100 100
10.150% due 01/15/16 14,360 15,096
GTE Corp.
10.750% due 09/15/17 300 325
Hydro Quebec
5.688% due 04/15/99 (d) 10,000 9,965
9.400% due 02/01/21 500 581
9.500% due 11/15/30 2,370 2,795
Long Island Lighting Co.
8.750% due 02/15/97 14,000 14,116
6.250% due 07/15/01 7,000 6,475
9.750% due 05/01/21 28,818 28,909
9.625% due 07/01/24 10,000 9,995
MCI Communications
6.250% due 03/23/99 600 597
New England Power
6.140% due 02/02/98 500 498
6.100% due 02/04/98 1,000 998
North Atlantic Energy
9.050% due 06/01/02 5,172 5,107
Pacific Gas & Electric
5.375% due 08/01/98 500 492
7.670% due 12/15/98 208 212
6.750% due 12/01/00 709 706
Pennsylvania Power & Light
5.500% due 04/01/98 250 247
Public Service Electric & Gas
6.875% due 06/01/97 1,200 1,208
Public Service of New Hampshire
9.170% due 05/15/98 16,000 16,498
Questar Pipeline
9.375% due 06/01/21 200 214
Southern California Edison
6.125% due 07/15/97 500 500
5.875% due 02/01/98 343 341
5.450% due 06/15/98 400 394
Southwestern Bell
5.550% due 03/10/98 1,000 991
Texas Gas Transmission Corp.
9.625% due 07/15/97 5,400 5,538
Texas Utilities
6.078% due 05/01/99 (d) 32,125 32,231
Texas-New Mexico Power
11.250% due 01/15/97 4,265 4,324
10.750% due 09/15/03 4,950 5,196
Toledo Edison Co.
6.125% due 08/01/97 200 199
8.180% due 07/30/02 1,400 1,385
8.700% due 09/01/02 10,000 9,667
7.850% due 03/31/03 7,000 6,761
7.875% due 08/01/04 500 479
Triton Energy
0.000% due 11/01/97 6,800 6,299
Tucson Electric Power
8.500% due 10/01/09 1,000 916
U.S. West Communications, Inc.
6.625% due 09/15/05 300 289
Virginia Electric & Power Co.
7.250% due 03/01/97 250 252
9.375% due 06/01/98 500 524
6.250% due 08/01/98 200 200
Wilmington Trust Co.-Tucson Electric
10.732% due 01/01/13 991 951
----------
478,577
----------
Total Corporate Bonds and Notes 2,024,908
(Cost $2,011,376) ==========
- --------------------------------------------------------------------------------
U.S. Treasury Obligations - 19.3%
- --------------------------------------------------------------------------------
U.S. Treasury Bonds
10.750% due 08/15/05 430 544
13.875% due 05/15/11 310 462
13.250% due 05/15/14 900 1,371
7.250% due 08/15/22 1,505 1,537
7.125% due 02/15/23 5,430 5,466
7.625% due 02/15/25 3,495 3,754
6.875% due 08/15/25 28,000 27,571
6.750% due 08/15/26 90,000 87,975
U.S. Treasury Notes
8.000% due 10/15/96 2,315 2,319
7.250% due 11/30/96 435 436
6.125% due 12/31/96 500 501
7.500% due 12/31/96 650 654
7.500% due 01/31/97 330 332
6.625% due 03/31/97 750 755
6.500% due 05/15/97 760 764
6.125% due 05/31/97 395,000 396,358
5.625% due 06/30/97 130,000 130,041
6.375% due 06/30/97 1,750 1,760
5.875% due 07/31/97 80,000 80,125
6.500% due 08/15/97 2,355 2,370
6.000% due 08/31/97 95,000 95,178
5.750% due 09/30/97 275,500 275,414
6.250% due 07/31/98 1,790 1,796
6.125% due 08/31/98 5,425 5,430
5.500% due 02/28/99 775 763
6.375% due 05/15/99 11,535 11,571
6.000% due 08/15/99 300 298
6.125% due 09/30/00 383,900 379,941
6.500% due 05/31/01 2,605 2,608
5.750% due 08/15/03 81,535 77,738
7.250% due 05/15/04 74,250 76,849
7.875% due 11/15/04 243,185 261,044
6.875% due 05/15/06 286,845 290,251
7.000% due 07/15/06 1,125 1,148
U.S. Treasury Strips
0.000% due 05/15/03 9 6
0.000% due 05/15/08 263 119
----------
Total U.S. Treasury Obligations 2,225,249
(Cost $2,220,885) ==========
- --------------------------------------------------------------------------------
U.S. Government Agencies - 0.1%
- --------------------------------------------------------------------------------
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/08 1,320 1,358
Federal Home Loan Bank
8.250% due 11/25/96 800 803
9.200% due 08/25/97 150 154
6.320% due 12/04/97 1,500 1,507
Federal Home Loan Mortgage Corp.
7.900% due 04/27/05 300 302
7.250% due 08/24/05 395 393
</TABLE>
35
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Federal National Mortgage Assn.
0.000% due 04/01/97 $ 869 $ 844
7.000% due 12/05/05 250 246
Government Trust Certificate - Greece
8.000% due 05/15/98 96 97
Government Trust Certificate - Israel
9.250% due 11/15/96 5 5
0.000% due 05/15/10 7,300 2,767
Tennessee Valley Authority
0.000% due 05/15/97 1,242 1,200
----------
Total U.S. Government Agencies 9,676
(Cost $9,961) ==========
- --------------------------------------------------------------------------------
Mortgage-Backed Securities - 59.5%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation - 3.9%
5.000% due 10/04/96 (d) 500 500
5.250% due 12/01/98 32 32
5.500% due 07/01/00-03/01/10 (g) 113 112
6.000% due 12/01/98-01/01/01 (g) 869 854
6.000% due 03/01/11 384 365
6.375% due 04/01/17 (d) 76 77
6.500% due 04/01/08-09/01/10 (g) 584 569
6.500% due 11/13/26 128,000 120,200
7.000% due 12/01/03-11/01/10 (g) 1,012 1,005
7.000% due 11/01/25 195 189
7.125% due 06/01/17 (d) 47 48
7.150% due 09/01/23 (d) 4,792 4,877
7.339% due 05/01/23 (d) 3,818 3,932
7.340% due 11/01/23 (d) 2,635 2,705
7.352% due 07/01/23 (d) 4,939 5,047
7.357% due 07/01/22 (d) 4,222 4,347
7.440% due 10/01/23 (d) 2,117 2,194
7.444% due 10/01/23 (d) 3,107 3,219
7.451% due 11/01/23 (d) 1,410 1,442
7.489% due 11/01/23 (d) 2,360 2,446
7.492% due 06/01/24 (d) 25,254 26,020
7.500% due 05/01/99-05/01/08 (g) 740 744
7.500% due 06/01/11-01/01/17 (g) 1,217 1,223
7.500% due 04/01/23-05/01/23 (g) 12,649 12,589
7.511% due 09/01/23 (d) 44,060 45,307
7.519% due 01/01/24 (d) 1,930 1,988
7.543% due 10/01/23 (d) 5,135 5,293
7.553% due 10/01/23 (d) 8,018 8,264
7.555% due 06/01/24 (d) 4,741 4,866
7.591% due 08/01/23 (d) 24,928 25,560
7.619% due 07/01/23 (d) 2,030 2,081
7.625% due 01/01/19 (d) 24 25
7.658% due 11/01/23 (d) 6,840 7,047
7.750% due 04/01/07 69 70
7.757% due 08/01/24 (d) 18,802 19,411
7.770% due 06/01/28 (d) 11,055 11,406
7.838% due 07/01/24 (d) 7,896 8,153
7.840% due 08/01/23 (d) 4,363 4,477
7.906% due 09/01/23 (d) 10,442 10,785
7.913% due 08/01/23 (d) 2,266 2,332
7.968% due 09/01/23 (d) 10,950 11,239
7.978% due 10/01/23 (d) 8,124 8,394
8.000% due 10/01/07-05/01/17 (g) 4,611 4,693
8.000% due 03/01/25-06/01/26 (g) 46,951 47,545
8.250% due 08/01/07-02/01/08 (g) 160 164
8.500% due 09/01/01-06/01/09 (g) 1,414 1,462
8.500% due 12/01/16-10/10/26 (g) 6,252 6,421
8.750% due 02/01/01-09/01/10 (g) 813 839
9.000% due 01/01/02-06/01/12 (g) 1,377 1,445
9.000% due 07/01/14-05/01/17 (g) 335 352
9.250% due 06/01/09-08/01/09 (g) 202 213
9.500% due 06/01/02-08/01/07 (g) 2,275 2,394
9.500% due 03/01/16-06/01/21 (g) 2,474 2,654
10.000% due 06/01/04-12/01/05 (g) 1,521 1,618
10.250% due 04/01/09-05/01/09 (g) 3,055 3,313
11.000% due 12/01/99-11/01/09 (g) 45 50
11.000% due 04/01/10-07/01/19 (g) 1,633 1,814
11.250% due 10/01/09-09/01/15 (g) 221 246
11.500% due 03/01/00 18 19
12.500% due 07/01/99 12 13
13.250% due 10/01/13 86 99
14.000% due 04/01/16 45 52
15.500% due 08/01/11-11/01/11 (g) 27 32
16.250% due 05/01/11-11/01/11 (g) 21 24
----------
446,896
==========
Federal Housing Administration - 0.7%
5.250% due 02/01/03 330 308
7.211% due 12/01/21 3,794 3,798
7.375% due 03/01/19-07/01/21 5,372 5,357
7.399% due 02/01/21 2,824 2,819
7.430% due 12/01/16-05/01/23 (g) 55,050 54,939
7.650% due 11/01/18 371 363
----------
67,584
==========
Federal National Mortgage Association - 7.5%
5.623% due 02/01/26 (d) 4,233 4,305
6.000% due 03/01/11-03/01/18 (d)(g) 215 209
6.000% due 03/01/24 2,542 2,334
6.050% due 05/01/26 (d) 818 811
6.059% due 10/01/27 (d) 2,278 2,259
6.060% due 01/01/16 (d) 55 54
6.062% due 03/02/29 (d) 429 426
6.067% due 08/01/29 (d) 118,805 117,836
6.069% due 02/01/19 (d) 178 176
6.073% due 09/01/27-02/01/31 (d)(g) 171,979 170,581
6.074% due 09/01/27 (d) 6,458 6,405
6.075% due 10/01/28 (d) 81,668 81,010
6.084% due 09/01/24 (d) 5,505 5,465
6.091% due 03/01/33 (d) 17,138 17,004
6.124% due 10/23/26 10,000 9,894
6.230% due 01/01/26 (d) 13,274 13,589
6.500% due 10/01/05-04/01/08 (g) 451 447
6.500% due 03/01/26 139 131
6.750% due 08/01/03 914 906
6.877% due 09/01/22 (d) 4,326 4,418
6.899% due 11/01/25 (d) 18,482 18,852
6.918% due 09/01/22 (d) 4,790 4,912
6.973% due 11/01/25 (d) 8,960 9,193
7.000% due 04/01/04-03/01/08 (g) 928 924
7.000% due 01/01/24-08/01/25 (g) 23,093 22,446
7.250% due 05/01/02-05/01/09 (g) 230 228
7.250% due 01/01/23 11,962 11,683
7.255% due 09/01/25 (d) 10,036 10,291
7.325% due 06/01/24 (d) 19,096 19,654
7.391% due 07/01/24 (d) 34,864 35,752
7.411% due 03/01/33 (d) 42,889 44,144
7.431% due 12/01/23 (d) 4,137 4,273
7.460% due 05/01/24 (d) 9,665 9,981
7.500% due 08/01/03-12/01/10 (g) 961 969
7.500% due 04/01/24-06/01/25 (g) 105,445 104,778
7.556% due 01/01/25 (d) 6,180 6,405
7.567% due 12/01/23 (d) 11,539 11,958
7.571% due 12/01/24 (d) 6,249 6,555
7.573% due 01/01/24 (d) 2,400 2,481
7.600% due 01/01/24 (d) 9,833 10,174
7.613% due 12/01/23 (d) 6,620 6,850
7.640% due 11/01/23 (d) 4,087 4,232
7.644% due 06/01/25 (d) 12,059 12,428
</TABLE>
36
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
7.645% due 08/01/23 (d) $ 3,607 $ 3,738
7.673% due 11/01/23-01/01/24 (d)(g) 4,123 4,273
7.684% due 09/01/24 (d) 6,219 6,448
7.744% due 04/01/25 (d) 9,147 9,442
7.745% due 09/01/23 (d) 9,444 9,780
7.750% due 06/01/09 253 254
7.763% due 10/01/23 (d) 12,124 12,564
7.783% due 06/01/24 (d) 4,016 4,162
8.000% due 09/01/01-10/01/08 (g) 2,403 2,443
8.000% due 04/01/18 32 33
8.250% due 11/01/04-06/01/13 (g) 1,481 1,508
8.500% due 07/01/99-12/01/09 (g) 6,403 6,625
8.500% due 02/01/10-09/01/18 (g) 1,936 2,005
9.000% due 01/01/99-11/01/06 (g) 2,921 3,049
9.000% due 05/01/15-04/01/17 (g) 544 570
9.500% due 12/01/06-03/01/16 (g) 122 130
9.500% due 07/01/22 117 126
9.750% due 11/01/08 95 102
10.500% due 12/01/16-04/01/22 (g) 1,420 1,566
13.000% due 09/01/13 80 93
13.250% due 09/01/11 27 31
14.500% due 11/01/11-01/01/13 (g) 104 123
14.750% due 08/01/12-11/01/14 (g) 531 618
15.500% due 10/01/12-12/01/12 (g) 45 54
15.750% due 12/01/11-08/01/12 (g) 259 302
16.000% due 09/01/12 284 338
----------
867,800
==========
Government National Mortgage Association - 26.7%
5.000% due 01/20/24-05/20/24 (d)(g) 22,378 22,668
5.500% due 01/20/26 (d) 29,729 29,125
5.650% due 10/15/12 14 13
6.000% due 10/15/08 315 302
6.000% due 10/15/23-09/20/26 (d)(g) 240,144 222,161
6.500% due 10/15/08 300 294
6.500% due 01/20/23-11/19/26 (d)(g) 1,258,567 1,183,084
6.875% due 08/20/21-09/20/22 (d)(g) 5,650 5,744
7.000% due 10/15/08 295 294
7.000% due 07/15/22-11/19/26 (d)(g) 672,733 666,880
7.125% due 04/20/23-06/20/25 (d)(g) 268,175 271,837
7.250% due 07/20/22-09/20/24 (d)(g) 428,899 435,932
7.500% due 08/15/05-12/15/09 (g) 4,204 4,261
7.500% due 01/15/22-07/15/26 (g) 182,376 181,312
8.000% due 08/15/05-09/15/08 (g) 1,524 1,564
8.000% due 06/15/16-07/15/26 (g) 32,582 33,335
8.250% due 08/15/04-07/15/08 (g) 829 846
8.500% due 06/15/01-07/15/08 (g) 351 364
8.500% due 08/15/16-11/15/22 (g) 882 912
8.750% due 03/15/07-07/15/07 (g) 212 219
9.000% due 09/15/01-05/15/09 (g) 1,164 1,222
9.000% due 05/15/16-06/15/22 (g) 4,119 4,360
9.250% due 10/15/01-03/15/06 (g) 635 666
9.500% due 04/15/01-11/15/09 (g) 696 741
9.500% due 04/15/16-08/15/23 (g) 2,420 2,609
9.750% due 08/15/97-07/15/04 (g) 326 343
9.750% due 09/15/17-01/15/21 (g) 310 332
10.000% due 06/20/01-08/20/04 (g) 114 119
10.000% due 01/15/15-03/20/20 (g) 1,674 1,825
10.250% due 05/15/01 23 24
10.500% due 06/15/04 179 192
10.750% due 08/15/98-09/15/98 (g) 44 46
11.000% due 05/15/04 120 130
11.250% due 03/15/01 12 13
11.500% due 04/15/13-05/15/13 (g) 17 20
12.000% due 03/20/99-02/15/00 (g) 22 23
12.000% due 01/15/13-03/15/15 (g) 109 124
12.500% due 01/15/11 7 8
13.000% due 12/15/12-10/15/14 (g) 78 90
13.250% due 10/20/14 48 55
13.500% due 11/15/12-12/15/12 (g) 16 19
14.500% due 09/15/12 31 37
15.000% due 09/15/12-10/15/12 (g) 21 25
16.000% due 01/15/12-04/15/12 (g) 17 21
17.000% due 11/15/11-12/15/11 (g) 162 200
----------
3,074,391
==========
Collateralized Mortgage Obligations - 17.9%
AFC Home Equity Loan Trust
7.328% due 10/25/26 (d) 22,533 22,723
American Southwest Financial
12.250% due 11/01/14 93 105
9.450% due 03/01/15 76 76
12.500% due 04/01/15 1,049 1,165
12.000% due 05/01/15 1,863 2,095
11.400% due 09/01/15 1,457 1,520
Bear Stearns
9.200% due 11/01/18 60 62
9.500% due 06/25/23 1,597 1,616
6.156% due 10/25/23 (d) 10,989 10,965
10.000% due 08/25/24 15,018 15,436
7.000% due 03/25/27 7,000 6,362
Capstead
8.400% due 01/25/21 7,320 7,370
8.750% due 07/25/21 10,000 10,232
Centex Acceptance Corp.
11.000% due 11/01/15 376 378
Chase Mortgage Financial Corp.
8.250% due 10/25/10 5,406 5,432
9.500% due 04/25/24 1,773 1,780
8.000% due 06/25/24 513 518
7.500% due 10/25/24 81 81
Citicorp Mortgage
9.500% due 07/01/04 164 167
8.500% due 05/25/06 5 5
8.500% due 04/01/17 394 394
8.000% due 07/25/18 127 128
9.500% due 01/01/19 4,164 4,216
9.500% due 09/25/19 250 255
9.500% due 10/25/19 218 218
9.500% due 09/25/20 1,954 1,999
7.750% due 04/25/21 580 576
6.000% due 08/25/21 709 700
7.418% due 10/25/22 (d) 30,443 31,118
CMC Securities Corp.
6.883% due 09/25/23 (d) 21,556 21,677
CMO Trust
10.200% due 02/01/16 880 929
8.000% due 01/01/17 355 363
Collateralized Mortgage Securities Corp.
11.875% due 04/01/15 2,335 2,474
11.450% due 09/01/15 77 84
11.450% due 11/01/15 452 492
8.750% due 04/20/19 1,373 1,421
Countrywide
7.629% due 07/25/24 (d) 20,740 21,071
Donaldson, Lufkin & Jenrette
7.345% due 08/01/21 (d) 9,239 9,288
7.473% due 12/25/22 (d) 3,441 3,519
7.857% due 03/25/24 (d) 2,923 2,996
Drexel Mortgage Funding
9.500% due 11/20/17 2,498 2,596
8.600% due 03/01/18 1,063 1,080
9.500% due 08/01/19 32 33
Federal Home Loan Mortgage Corp.
8.500% due 03/15/97 50 50
6.500% due 07/15/02 5,000 5,018
5.250% due 03/15/03 11,429 11,380
</TABLE>
37
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
5.000% due 03/15/03 $ 9,524 $ 9,471
5.000% due 04/15/03 8,000 7,948
8.750% due 10/15/05 48 49
10.750% due 11/30/05 1,446 1,518
6.500% due 08/15/06 710 704
9.000% due 09/15/08 43 45
10.250% due 03/15/09 35 36
4.750% due 09/15/09 60 60
4.750% due 07/15/10 60 59
4.875% due 12/15/11 10,815 10,736
4.750% due 03/15/12 451 448
8.500% due 08/15/13 2,000 2,099
6.050% due 09/15/13 10,000 9,978
8.500% due 09/15/13 5,941 6,231
11.000% due 11/30/15 9,850 10,786
6.210% due 08/15/17 345 342
7.250% due 10/25/17 (d) 11,793 11,988
9.500% due 01/15/19 1,089 1,117
8.250% due 05/15/19 403 403
6.500% due 05/15/19 615 601
8.500% due 10/15/19 1,412 1,440
9.000% due 11/15/19 320 322
10.000% due 11/15/19 250 270
9.000% due 11/15/19 5,097 5,204
8.500% due 01/15/20 2,898 2,944
8.500% due 03/15/20 2,939 2,998
9.300% due 03/15/20 69 70
9.000% due 05/15/20 27 27
9.125% due 06/15/20 4,446 4,596
5.750% due 08/15/20 300 283
8.500% due 09/15/20 22,948 23,611
9.000% due 09/15/20 178 187
8.750% due 10/15/20 500 516
5.500% due 10/15/20 200 177
9.500% due 11/15/20 13,855 14,471
8.900% due 11/15/20 27,613 27,993
6.000% due 12/15/20 400 368
8.750% due 12/15/20 1,265 1,316
9.000% due 12/15/20 7,555 7,942
8.500% due 06/15/21 47,409 48,890
6.950% due 07/15/21 700 670
7.000% due 07/15/21 4,000 3,894
8.000% due 07/15/21 8,557 8,685
9.000% due 07/15/21 4,107 4,377
9.500% due 07/15/21 6,373 6,815
6.200% due 08/15/21 1,500 1,463
6.950% due 08/15/21 185 175
8.000% due 08/15/21 23,472 24,024
6.500% due 09/15/21 2,500 2,375
9.000% due 11/15/21 1,811 1,844
6.850% due 01/15/22 700 670
7.000% due 07/15/22 401 347
8.500% due 10/15/22 17,373 17,933
7.500% due 07/15/23 6,149 5,896
7.190% due 10/25/23 (d) 38,349 38,984
6.500% due 02/15/24 65 61
Federal National Mortgage Assn.
9.100% due 02/25/02 8,423 8,575
5.000% due 02/25/03 18,251 18,121
5.750% due 12/25/03 175 174
6.000% due 07/25/07 300 286
7.876% due 08/25/07 (d) 126 91
7.000% due 02/25/08 1,095 1,051
10.500% due 08/25/08 7,146 8,313
5.000% due 05/25/12 38,758 38,474
6.400% due 09/25/14 882 876
8.500% due 10/25/14 107 108
10.000% due 12/25/14 1,858 1,924
7.000% due 04/25/15 2,990 3,002
6.000% due 11/25/15 26,003 25,878
7.500% due 08/25/16 4,360 4,367
9.670% due 01/25/17 797 826
9.200% due 12/25/17 1,970 2,035
9.300% due 05/25/18 2,536 2,682
9.500% due 06/25/18 1,248 1,328
5.500% due 07/25/18 220 214
8.500% due 07/25/18 344 347
7.750% due 10/25/18 1,601 1,605
9.500% due 11/25/18 12,245 13,417
7.500% due 01/25/19 255 254
6.625% due 06/25/19 68 68
9.500% due 06/25/19 5,102 5,413
8.000% due 10/25/19 17,525 17,864
7.500% due 12/25/19 200 200
9.000% due 12/25/19 20,148 21,091
7.500% due 05/25/20 8,000 7,973
8.000% due 07/25/20 223 227
9.000% due 09/25/20 6,850 7,189
8.000% due 12/25/20 19,436 19,706
7.500% due 01/25/21 23,531 22,428
8.750% due 01/25/21 10,407 10,671
7.500% due 02/25/21 21,878 21,844
7.500% due 03/25/21 20,919 20,872
7.250% due 04/25/21 8,960 8,693
7.500% due 06/25/21 320 321
8.000% due 07/25/21 25,213 24,898
8.500% due 09/25/21 15,166 15,474
8.000% due 10/25/21 22,430 22,746
6.000% due 12/25/21 200 186
8.000% due 01/25/22 21,700 22,176
8.000% due 03/25/22 629 638
7.000% due 04/25/22 17,091 15,824
7.000% due 07/25/22 8,901 8,372
8.000% due 07/25/22 2,788 2,806
6.500% due 08/25/23 243 233
6.750% due 10/25/23 456 370
6.500% due 11/25/23 170 152
7.000% due 11/17/24 65,731 57,922
First Boston Corp.
8.000% due 12/01/00 128 126
9.450% due 08/20/17 54 54
7.500% due 04/25/21 1,087 1,086
First Commonwealth Savings & Loan
10.375% due 04/01/05 23 24
General Electric Capital Mortgage
8.000% due 07/25/23 12,979 12,921
6.500% due 12/25/23 3,330 3,317
6.500% due 03/25/24 11,646 9,426
8.000% due 06/25/25 14,336 14,635
Glendale Federal Savings & Loan
7.226% due 03/01/28 (d) 12,682 12,816
Greenwich
7.087% due 04/25/22 (d) 3,681 3,708
6.867% due 07/25/22 (d) 16,406 16,471
7.038% due 10/25/22 (d) 455 458
7.119% due 04/25/23 (d) 5,583 5,639
7.609% due 04/25/24 (d) 10,093 10,204
7.810% due 06/25/24 (d) 15,992 16,282
8.529% due 08/25/24 (d) 19,415 19,767
8.244% due 11/25/24 (d) 11,330 11,532
IMC Home Equity Loan Trust
7.315% due 07/25/26 (d) 2,876 2,898
Imperial CMB Trust
5.730% due 09/25/26 (d) 54,966 54,932
Independent National Mortgage Corp.
9.000% due 12/25/19 16,796 16,956
</TABLE>
38
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
6.650% due 10/25/24 $ 2,723 $ 2,408
7.923% due 11/25/24 (d) 17,507 17,944
7.069% due 07/25/25 (d) 47,681 48,195
7.692% due 07/25/25 (d) 54,665 55,792
International Mortgage Acceptance Corp.
12.250% due 03/01/14 787 855
J.P. Morgan & Co.
9.000% due 10/20/20 12,409 13,161
Kidder Peabody
8.390% due 05/20/18 541 550
7.732% due 03/25/24 (d) 34,254 34,738
7.730% due 09/25/24 (d) 20,000 20,313
Marine Midland
8.000% due 04/25/23 110 112
8.000% due 10/25/23 350 353
Merrill Lynch Mortgage
9.470% due 04/27/18 39 40
7.601% due 06/15/21 (d) 10,956 10,935
7.861% due 06/15/21 (d) 10,283 10,228
8.221% due 06/15/21 (d) 2,297 2,285
8.101% due 06/25/22 17,965 18,257
Morgan Stanley Mortgage
8.971% due 10/22/15 1,057 1,059
8.150% due 07/20/21 19 19
Nomura Asset Securitization Corp.
7.478% due 05/25/24 (d) 19,638 19,896
Norwest Mortgage
12.500% due 02/01/14 1,511 1,613
12.250% due 04/01/14 149 161
PaineWebber Mortgage
6.000% due 04/25/09 11,951 10,633
7.000% due 02/25/24 2,771 2,771
Prudential Bache
6.069% due 09/01/18 (d) 693 692
9.000% due 01/01/19 540 558
8.400% due 03/20/21 4,754 4,883
Prudential Home
7.000% due 04/25/99 292 291
8.000% due 06/25/22 18,650 18,160
6.900% due 03/25/23 1,424 1,421
7.000% due 04/25/23 6,323 6,311
7.750% due 10/25/24 8,000 8,128
7.500% due 06/25/25 15,432 15,542
PSB Financial Corp.
11.050% due 12/01/15 1,458 1,556
Residential Asset Securities Corp.
8.000% due 10/25/24 20,288 20,342
5.800% due 10/25/27 (d) 25,000 25,000
Residential Funding
8.081% due 02/25/07 173 175
7.000% due 08/25/08 23,482 23,369
6.500% due 09/25/08 7,000 6,393
8.500% due 05/25/17 225 222
9.000% due 01/01/20 2,132 2,198
8.500% due 02/25/21 382 381
8.000% due 01/25/23 10,000 9,968
10.000% due 09/25/23 2,510 2,688
6.750% due 11/25/23 40,573 32,167
7.500% due 09/25/25 18,183 17,467
Resolution Trust Corp.
7.500% due 12/15/04 996 996
6.110% due 01/25/21 (d) 1,437 1,377
8.717% due 08/25/21 (d) 13,329 13,535
8.717% due 08/25/21 8,000 8,065
8.719% due 08/25/21 183 185
6.047% due 10/25/21 (d) 651 640
8.145% due 10/25/21 (d) 382 388
8.625% due 10/25/21 300 302
7.437% due 01/25/22 (d) 3,962 4,031
7.758% due 03/25/22 (d) 6,691 6,745
8.499% due 05/25/22 (d) 4,207 4,269
6.638% due 06/25/23 (d) 10,220 10,303
7.500% due 08/25/23 507 509
10.641% due 05/25/24 (d) 6,330 6,527
9.450% due 05/25/24 19,693 20,013
8.150% due 06/25/24 84 85
6.438% due 07/25/24 (d) 6,502 6,526
7.000% due 10/25/24 16 15
7.100% due 12/25/24 1,500 1,458
7.050% due 03/25/25 340 338
7.750% due 03/25/25 5,000 4,961
8.750% due 05/25/26 1,018 1,018
7.345% due 07/25/28 (d) 14,001 14,197
Ryland Acceptance Corp.
8.650% due 05/15/00 8,094 7,960
9.450% due 10/01/16 245 259
7.483% due 07/25/22 (d) 42,000 42,656
7.809% due 08/25/22 (d) 5,056 5,148
8.000% due 09/25/22 6,257 6,281
8.200% due 09/25/22 100 103
7.128% due 08/25/29 (d) 12,014 12,202
6.884% due 10/25/31 (d) 19,815 19,704
14.000% due 11/25/31 2,573 2,854
Salomon Mortgage
7.264% due 11/25/22 (d) 2,365 2,384
7.882% due 07/01/24 (d) 28,322 29,048
Santa Barbara Savings
9.500% due 11/20/18 6,661 6,699
Saxon Mortgage
6.424% due 06/25/22 (d) 1,318 1,319
7.097% due 09/25/22 (d) 4,857 4,933
7.512% due 08/25/23 (d) 52,599 53,421
7.659% due 09/25/22 (d) 5,378 5,447
8.601% due 05/25/32 (d) 20,564 20,769
Structured Asset Securities Corp.
5.944% due 02/25/28 24,500 24,393
UBS Mortgage
9.000% due 11/27/19 3,277 3,289
Vendee Mortgage
7.750% due 03/15/16 600 603
----------
2,058,362
==========
Other Mortgage-Backed Securities - 2.5%
Bank of America
8.375% due 05/01/07 4 4
9.000% due 03/01/08 121 126
Daiwa Mortgage
7.313% due 09/25/06 (d) 3,008 3,035
First Interstate Bancorp
9.125% due 01/01/09 24 24
General Electric Credit Corp.
8.000% due 03/01/02 197 201
Georgia Federal Mortgage
10.500% due 11/01/14 2,611 2,696
German American Capital Corp.
8.360% due 09/30/02 5,779 5,849
Great Western Savings & Loan
5.900% due 09/25/17 (d) 256 249
Guardian
7.021% due 12/25/18 (d) 754 647
Home Savings of America
5.757% due 05/25/27 (d) 4,763 4,621
Imperial Savings & Loan
10.000% due 09/01/16 334 350
8.569% due 01/25/17 156 157
9.800% due 07/25/17 596 599
</TABLE>
39
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
LTC Commercial Corp.
7.100% due 11/28/12 $ 4,689 $ 4,613
MDC Mortgage Funding
8.201% due 01/25/25 (d) 9,762 9,948
Mellon Financial Co.
13.250% due 01/15/99 335 356
Merrill Lynch Mortgage
9.250% due 12/15/09 70 73
Mid-State Trust
8.330% due 04/01/30 36,884 38,079
OSCC Home Equity
6.950% due 05/15/07 167 161
PaineWebber Mortgage
8.115% due 11/25/23 (d) 2,052 2,110
Resolution Trust Corp.
7.859% due 02/25/20 (d) 506 381
7.420% due 09/25/20 (d) 17,667 839
8.239% due 06/25/21 (d) 14,093 14,115
7.570% due 09/25/21 (d) 7,562 7,652
6.438% due 10/25/21 (d) 1,503 1,512
7.189% due 10/25/28 (d) 18,792 19,015
7.233% due 10/25/28 (d) 36,645 37,309
7.500% due 10/25/28 6,238 6,250
7.172% due 05/25/29 (d) 6,831 6,893
7.592% due 05/25/29 (d) 8,675 8,588
7.792% due 05/25/29 (d) 8,275 8,342
Rural Housing
3.330% due 10/01/28 725 658
Ryland Acceptance Corp.
9.000% due 12/01/16 1,135 1,179
11.500% due 12/25/16 330 330
7.281% due 11/28/22 (d) 7,000 7,127
7.822% due 09/25/23 (d) 19,048 19,345
Salomon Mortgage
11.500% due 09/01/15 2,343 2,549
Saxon Mortgage
7.329% due 12/25/22 (d) 19,943 20,117
Sears Mortgage
12.000% due 02/25/14 1,818 1,991
8.000% due 03/25/22 3,430 3,428
7.572% due 10/25/22 (d) 8,276 8,699
Securitized Asset Sales, Inc.
7.516% due 10/25/23 (d) 10,979 11,130
7.736% due 12/26/23 (d) 10,552 10,716
Structured Asset Securities Corp.
9.250% due 07/01/19 200 199
USGI Capital
8.500% due 11/25/07 12,679 12,671
Western Federal Savings & Loan
6.624% due 11/25/18 (d) 492 489
6.674% due 03/25/19 (d) 3,711 3,707
----------
289,129
==========
Stripped Mortgage-Backed Securities - 0.3%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 12/15/02 103 4
10.038% due 09/15/05 78 10
6.500% due 11/15/06 5,026 487
6.500% due 03/15/07 11,479 929
5.750% due 09/15/07 (d) 18,793 1,451
5.428% due 02/15/08 (d) 1,264 105
11.651% due 01/15/16 93 12
6.500% due 08/15/16 10,563 808
7.000% due 04/15/18 8,315 775
9.993% due 11/15/18 300 73
8.845% due 01/15/21 676 189
9.000% due 05/15/22 324 84
Federal National Mortgage Assn. (IO)
33.862% due 04/25/02 69 4
6.750% due 09/25/04 304 19
7.000% due 06/25/05 107 4
10.458% due 07/25/05 (d) 3,512 354
6.500% due 07/25/06 14,295 1,203
6.500% due 02/25/07 10,115 994
6.500% due 07/25/07 2,984 273
6.500% due 09/25/07 16,324 1,498
6.500% due 10/25/07 4,715 471
0.100% due 03/25/09 (d) 72,259 1,631
7.000% due 08/25/15 8,590 783
6.500% due 08/25/20 2,666 667
10.070% due 01/25/21 215 71
9.032% due 08/25/21 3,410 807
0.950% due 11/25/21 (d) 74,728 1,308
6.500% due 01/25/23 10,624 1,487
Federal Home Loan Mortgage Corp. (PO)
0.000% due 06/15/21 9,519 8,457
0.000% due 02/15/24 405 400
Federal National Mortgage Assn. (PO)
0.000% due 09/01/07 1,644 1,194
0.000% due 02/25/21 9,396 7,666
0.000% due 06/25/22 5,698 4,760
0.000% due 08/25/23 508 265
PaineWebber (IO)
13.595% due 08/01/19 400 153
----------
39,396
----------
Total Mortgage-Backed Securities 6,843,558
(Cost $6,837,218) ==========
- --------------------------------------------------------------------------------
Asset-Backed Securities - 1.5%
- --------------------------------------------------------------------------------
American Airlines Equipment Trust
10.210% due 01/01/10 6,500 7,638
Delta Air Lines Equipment Trust
10.500% due 01/02/07 7,980 9,325
10.570% due 01/02/07 15,881 19,514
9.550% due 01/02/08 7,773 8,819
Discover Card Trust
7.300% due 05/21/99 133 134
5.879% due 10/16/13 (d) 400 406
Ford Motor Credit Corp.
5.500% due 02/15/03 1,300 1,235
MBNA Master Credit Card Trust
6.050% due 11/15/02 245 241
NationsBank Corp.
5.850% due 06/15/02 971 970
Standard Credit Card Master Trust
6.750% due 06/07/00 290 293
7.250% due 04/07/08 300 302
Student Loan Marketing Assn.
5.895% due 04/25/04 (d) 43,519 43,585
United Air Lines Equipment Trust
9.200% due 03/22/08 4,610 4,967
10.360% due 11/13/12 7,000 8,327
10.020% due 03/22/14 4,500 5,156
10.850% due 07/05/14 34,111 41,059
10.125% due 03/22/15 14,300 16,383
9.060% due 06/17/15 5,000 5,342
9.210% due 01/21/17 2,000 2,161
----------
Total Asset-Backed Securities 175,857
(Cost $171,429) ==========
</TABLE>
40
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Sovereign Issues - 4.0%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banco Nacional de Obra y Servicios
6.875% due 10/01/98 $ 19,500 $ 19,169
Commonwealth of Canada
5.250% due 10/17/96 2,000 1,995
Kingdom of Sweden
10.250% due 11/01/15 500 614
Petroleos Mexicanos
8.750% due 03/05/97 3,500 3,516
Province of Newfoundland
9.000% due 06/01/19 500 562
Province of Nova Scotia
9.375% due 07/15/02 1,000 1,110
Province of Ontario
7.750% due 06/04/02 200 209
7.000% due 08/04/05 1,000 995
Province of Quebec
7.500% due 07/15/02 6,000 6,145
Province of Saskatchewan
9.125% due 02/15/21 3,000 3,502
Republic of Argentina
7.850% due 11/15/96 25,000 24,727
7.850% due 01/17/97 20,000 19,484
5.547% due 09/01/97 (d) 1,100 1,098
6.625% due 03/31/05 (d) 264,453 221,149
5.000% due 03/31/23 (d) 90,000 52,538
United Mexican States
6.250% due 12/31/19 89,000 61,633
6.352% due 12/31/19 (d) 2,000 1,685
6.398% due 12/31/19 (d) 10,000 8,425
6.453% due 12/31/19 (d) 39,000 32,858
----------
Total Sovereign Issues 461,414
(Cost $402,007) ==========
- --------------------------------------------------------------------------------
Foreign Currency-Denominated Issues (c) (f) - 1.7%
- --------------------------------------------------------------------------------
City of Montreal
11.500% due 09/20/00 C$ 7,000 6,044
Commonwealth of Canada
0.000% due 11/07/96 430 314
6.500% due 06/01/04 1,000 717
4.250% due 12/01/26 50,642 35,481
Commonwealth of New Zealand
6.500% due 02/15/00 160,000 106,535
10.000% due 03/15/02 40,000 30,241
Kingdom of Netherlands
6.250% due 07/15/98 15,000 9,173
Petroleos Mexicanos
7.750% due 09/30/98 FF 5,000 995
Reynolds R.J.
6.875% due 11/22/00 DM 9,500 6,382
----------
Total Foreign Currency-
Denominated Issues 195,882
(Cost $211,512) ==========
- --------------------------------------------------------------------------------
OTC Interest Rate Caps - 0.0%
- --------------------------------------------------------------------------------
3 Month Libor
Strike @ 85.50 Exp. 06/16/97 $2,454,000 61
----------
Total OTC Interest Rate Caps 61
(Cost $61) ==========
- --------------------------------------------------------------------------------
Purchased CME Put Options - 0.0%
- --------------------------------------------------------------------------------
Eurodollar December Futures
Strike @ 91.25 Exp. 12/16/96 $12,800,000 $ 320
Eurodollar December Futures
Strike @ 91.50 Exp. 12/16/96 1,200,000 30
----------
Total Purchased CME Put Options 350
(Cost $256) ==========
- --------------------------------------------------------------------------------
Purchased OTC Call Options - 0.0%
- --------------------------------------------------------------------------------
U.S. Treasury Note
5.625% due 11/00/00
Strike @ 89.81 Exp. 10/28/96 50,000 3,574
U.S. Treasury Note
5.625% due 02/01/00
Strike @ 90.125 Exp. 10/07/96 25,000 1,653
----------
Total Purchased OTC Call Options 5,227
(Cost $4,939) ==========
- --------------------------------------------------------------------------------
Preferred Stock - 0.1%
- --------------------------------------------------------------------------------
Shares
Banco Bilbao Vizcaya International 266,217 7,521
Cleveland Electric Illuminating Co. 2,808 282
First Nationwide Bank 50,000 5,675
----------
Total Preferred Stock 13,478
(Cost $12,851) ==========
- --------------------------------------------------------------------------------
Short-Term Instruments - 6.1%
- --------------------------------------------------------------------------------
Principal
Amount
(000's)
Discount Notes - 2.6%
Abbott Laboratories
5.320% due 10/24/96 $ 22,500 22,424
Caisse d'Amortissement
5.310% due 10/07/96 400 400
5.350% due 10/28/96 500 498
5.340% due 11/21/96 3,800 3,770
5.350% due 11/27/96 1,000 992
Canadian Wheat Board
5.220% due 10/01/96 10,000 10,000
Coca-Cola Co.
5.270% due 10/28/96 3,800 3,785
Dow Jones, Inc.
5.300% due 11/26/96 300 298
E.I. Du Pont de Nemours
5.330% due 11/20/96 32,500 32,259
Electricite de France
5.280% due 11/26/96 11,800 11,703
Federal Home Loan Mortgage Corp.
5.370% due 11/13/96 970 964
Federal National Mortgage Assn.
5.260% due 11/07/96 14,600 14,521
Ford Motor Credit Corp.
5.440% due 10/04/96 36,000 35,984
5.330% due 10/24/96 6,900 6,877
5.310% due 11/08/96 3,500 3,480
5.310% due 11/19/96 6,000 5,957
5.330% due 12/09/96 3,700 3,662
General Motors Acceptance Corp.
5.320% due 11/25/96 52,900 52,470
Hewlett-Packard Co.
5.400% due 11/27/96 6,900 6,841
Illinois Tool Works
5.310% due 11/26/96 2,300 2,281
</TABLE>
41
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Kellog Co.
5.280% due 11/04/96 $ 5,000 $ 4,975
Mobil Australia
5.340% due 10/16/96 1,000 998
5.350% due 10/25/96 13,400 13,352
National Rural Utilities Cooperative
5.400% due 11/13/96 3,000 2,981
5.280% due 11/22/96 3,600 3,573
Ontario Hydro
5.300% due 10/31/96 30,000 29,868
Pfizer, Inc.
5.280% due 10/09/96 20,400 20,376
Proctor & Gamble Co.
5.280% due 12/03/96 300 297
-----------
295,586
===========
Repurchase Agreements - 1.8%
Daiwa Securities America
5.750% due 10/01/96 107,000 107,000
(Dated 09/30/96. Collateralized
by U.S. Treasury Bond 7.500%
due 11/15/01 valued at $54,057,065
and U.S. Treasury Bond
7.250% due 02/15/98 valued
at $58,578,730. Repurchase
proceeds are $107,017,090.)
Goldman Sachs & Co.
5.730% due 10/01/96 67,000 67,000
(Dated 09/30/96. Collateralized by
U.S. Treasury Bond 12.375%
due 05/15/04 valued at $68,445,117.
Repurchase proceeds are $67,010,664.)
State Street Bank
4.750% due 10/01/96 37,208 37,208
(Dated 09/30/96. Collateralized
by U.S. Treasury Bond 8.75%
due 05/15/17 valued at $37,955,446.
Repurchase proceeds are $37,212,909.)
-----------
211,208
===========
U.S. Treasury Bills - 1.7%
5.093% due 10/17/96-11/14/96 (b)(g) 101,025 95,164
5.513% due 01/09/97-06/26/97 (g) 100,810 102,375
-----------
197,539
===========
Total Short-Term Instruments 704,333
(Cost $709,499) ===========
Total Investments (a) - 109.9% $12,659,993
(Cost $12,591,994)
Written Options (e) - (0.0%) (9,081)
(Premiums $21,031)
Other Assets and Liabilities (Net) - (9.9%) (1,141,973)
-----------
Net Assets - 100.0% $11,508,939
===========
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 1996, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess
of value over tax cost. $ 149,581
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (81,582)
-----------
Unrealized appreciation-net $ 67,999
===========
(b) Securities with an aggregate market value of $95,164 have
been segregated with the custodian to cover margin
requirements for the following open future contracts
at September 30, 1996:
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 5 Year Note (12/96) 2,199 $ 2,837
U.S. Treasury 10 Year Note (12/96) 22,401 21,939
U.S. Treasury 30 Year Bond (12/96) 11,237 11,745
Eurodollar June Futures (6/97) 6,638 7,738
-----------
$ 44,259
===========
(c) Foreign forward currency contracts outstanding at September 30, 1996:
<CAPTION>
Principal
Amount Unrealized
Covered by Expiration Appreciation/
Type Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Sell A$ 53,883 10/96 $ 19
Sell BP 7,542 11/96 (16)
Buy C$ 69,500 10/96 95
Sell 69,500 10/96 133
Buy 290,322 11/96 547
Sell 290,322 11/96 (471)
Buy 128,500 03/97 845
Sell 128,500 03/97 (457)
Buy 25,000 04/97 172
Sell 25,000 04/97 (63)
Buy 50,176 05/97 (289)
Sell 58,200 05/97 370
Sell 35,178 09/97 (167)
Buy DG 102 12/96 (2)
Buy DM 524,125 12/96 (1,572)
Sell 413,306 12/96 19,900
Buy 361,008 01/97 (1,320)
Sell 361,008 01/97 11,986
Buy 65,330 02/97 (31)
Sell 65,330 02/97 1,406
Buy 30,310 04/97 (22)
Sell 40,043 04/97 690
Sell FF 5,735 12/96 1
Sell JY 3,162,267 12/96 826
Sell N$ 22,340 11/96 (311)
-----------
$ 32,269
===========
</TABLE>
42
<PAGE>
(d) Variable rate security. The rate listed is as of
September 30, 1996.
(e) Premiums received on Written Put Options:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
CME Eurodollar March Futures
Strike @ 93.00 Exp. 03/17/97 3,610,000 $ 1,456 $ 226
CME Eurodollar March Futures
Strike @ 93.50 Exp. 03/17/97 1,650,000 1,211 330
CME Eurodollar March Futures
Strike @ 94.00 Exp. 03/17/97 4,000,000 4,279 2,200
CME Eurodollar June Futures
Strike @ 93.00 Exp. 06/16/97 300,000 223 68
CME Eurodollar June Futures
Strike @ 93.25 Exp. 06/16/97 1,200,000 1,059 390
CME Eurodollar June Futures
Strike @ 93.50 Exp. 06/16/97 12,235,000 11,971 5,811
CME Eurodollar December Futures
Strike @ 93.50 Exp. 12/16/96 2,250,000 832 56
-------------------------
$ 21,031 $ 9,081
=========================
</TABLE>
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
BP - British Pound
C$ - Canadian Dollar
DG - Dutch Guilder
DM - German Mark
FF - French Franc
JY - Japanese Yen
N$ - New Zealand Dollar
(g) Securities are grouped by coupon and represent a range of maturities.
(h) Security becomes interest bearing at a future date.
See Notes to Financial Statements
43
<PAGE>
SCHEDULE OF INVESTMENTS
Total Return Fund II
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Corporate Bonds and Notes - 18.5%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance - 5.5%
Citicorp
5.513% due 01/30/98 (c) $ 5,000 $ 4,993
5.688% due 05/29/98 (c) 5,000 4,993
First Interstate Bancorp
5.881% due 06/25/97 (c) 250 250
General Motors Acceptance Corp.
6.750% due 04/25/97 10,000 10,059
7.900% due 05/01/97 500 506
Great Western Financial
8.625% due 12/01/98 3,000 3,107
Lehman Brothers Holdings
8.875% due 11/01/98 500 522
----------
24,430
==========
Industrials - 9.0%
AMR Corp.
7.750% due 12/01/97 10,000 10,143
9.430% due 05/10/01 1,000 1,085
8.900% due 02/26/07 6,450 6,921
Time Warner, Inc.
6.460% due 08/15/00 (c) 5,575 5,575
7.975% due 08/15/04 3,345 3,380
8.110% due 08/15/06 6,690 6,665
8.180% due 08/15/07 6,690 6,760
----------
40,529
==========
Utilities - 4.0%
Commonwealth Edison
8.000% due 10/15/03 7,550 7,573
CTC Mansfield Funding
11.125% due 09/30/16 2,500 2,650
Illinois Power Co.
5.850% due 10/01/96 1,000 1,000
Long Island Lighting Co.
9.000% due 11/01/22 7,250 6,746
----------
17,969
----------
Total Corporate Bonds and Notes 82,928
(Cost $80,635) ==========
- --------------------------------------------------------------------------------
U.S. Treasury Notes - 24.7%
- --------------------------------------------------------------------------------
6.125% due 05/31/97 50,000 50,171
5.875% due 07/31/97 60,000 60,094
----------
Total U.S. Treasury Notes 110,265
(Cost $110,090) ==========
- --------------------------------------------------------------------------------
Mortgage-Backed Securities - 69.2%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation - 8.9%
6.500% due 11/13/26 250 235
7.250% due 03/01/06 456 457
7.479% due 02/01/23 (c) 1,775 1,837
7.500% due 11/13/26 5,500 5,442
7.545% due 04/01/29 (c) 3,437 3,536
7.962% due 12/01/22 (c) 18,159 18,756
8.000% due 04/1/25-12/01/25(e) 8,925 9,025
8.250% due 03/1/08-05/01/08(e) 273 281
8.500% due 12/01/01 7 7
9.500% due 02/01/11 176 188
10.000% due 06/01/11 33 35
10.500% due 04/01/01 155 164
15.500% due 06/01/11 3 3
----------
39,966
==========
- --------------------------------------------------------------------------------
Federal Housing Administration - 0.2%
5.596% due 10/01/19 $ 384 $ 385
8.829% due 05/01/19 620 649
----------
1,034
==========
Federal National Mortgage Association - 10.9%
6.993% due 02/01/23 (c) 6,082 6,169
7.000% due 08/01/09 473 472
7.355% due 07/01/20 (c) 1,844 1,900
7.394% due 04/01/24 (c) 4,009 4,128
7.487% due 12/01/23 (c) 2,009 2,073
7.500% due 04/01/24 16,541 16,429
7.600% due 01/01/24 (c) 4,916 5,087
7.689% due 10/01/24 (c) 2,911 3,018
7.750% due 10/01/07 533 536
8.000% due 10/01/05 590 602
8.500% due 07/1/03-08/01/07(e) 5,751 5,959
9.000% due 12/01/01 1,568 1,637
11.000% due 09/01/10 303 335
13.750% due 10/1/10-01/01/13(e) 147 172
14.500% due 03/01/13 10 12
14.750% due 10/1/12-11/01/12(e) 42 49
----------
48,578
==========
Government National Mortgage Association - 27.5%
5.500% due 01/20/26 (c) 2,947 2,887
6.500% due 01/20/25(c) 3,791 3,837
6.500% due 10/17/26 30,000 28,050
7.000% due 10/17/26-11/19/26 (e) 80,000 76,938
7.125% due 06/20/23 (c) 6,660 6,764
7.250% due 09/20/24 (c) 3,757 3,805
7.500% due 03/15/24 418 415
12.000% due 10/15/12-06/15/15 (e) 67 77
----------
122,773
==========
Collateralized Mortgage Obligations - 19.8%
AFC Home Equity Loan Trust
7.328% due 10/25/26 (c) 5,633 5,681
American Southwest Financial
8.450% due 09/01/17 246 245
Capstead
8.900% due 12/25/21 807 828
Chase Mortgage Financial Corp.
8.000% due 06/25/24 408 412
Citicorp Mortgage
9.500% due 07/01/04 38 39
9.500% due 10/25/04 133 138
Collateralized Mortgage Securities Corp.
9.000% due 04/25/10 15,524 15,760
Donaldson, Lufkin & Jenrette
11.000% due 08/01/19 435 482
Federal Home Loan Mortgage Corp.
8.800% due 12/01/15 290 305
9.000% due 12/15/20 3,820 4,011
7.000% due 07/15/22 12,788 11,344
Federal National Mortgage Assn.
7.000% due 04/25/15 236 237
8.500% due 03/25/17 751 759
9.000% due 09/25/18 1,467 1,513
9.250% due 07/25/19 7,247 7,521
Guaranteed Mortgage Corp.
9.300% due 07/20/19 1,000 1,062
Independent National Mortgage Corp.
7.842% due 11/25/24 (c) 8,135 8,260
7.923% due 11/25/24 (c) 7,429 7,614
Norwest Mortgage
12.375% due 01/01/14 507 546
</TABLE>
44
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
Residential Funding
10.000% due 10/01/19 $ 35 $ 36
Ryland Acceptance Corp.
8.000% due 09/25/22 6,037 6,060
Saxon Mortgage
7.659% due 09/25/22 (c) 4,408 4,465
7.445% due 01/25/23 (c) 6,834 6,902
Sears Mortgage
8.250% due 09/25/31 55 55
8.601% due 05/25/32 (c) 4,173 4,215
U.S. Home Equity
8.500% due 04/15/21 36 37
----------
88,527
==========
Other Mortgage-Backed Securities - 1.9%
Bank of America
9.000% due 03/01/08 101 104
Dime Savings
7.079% due 11/01/18 (c) 194 178
Federal Home Loan Mortgage Corp.
11.875% due 06/15/13 327 357
Ryland Acceptance Corp.
7.822% due 09/25/23 (c) 6,926 7,035
Security Pacific National Bank
8.500% due 03/01/17 4 4
Western Federal Savings & Loan
6.674% due 03/25/19 (c) 802 802
----------
8,480
----------
Total Mortgage-Backed Securities 309,358
(Cost $309,086) ==========
- --------------------------------------------------------------------------------
Asset-Backed Securities - 1.7%
- --------------------------------------------------------------------------------
United Air Lines Equipment Trust
9.190% due 12/24/13 7,213 7,375
----------
Total Asset-Backed Securities 7,375
(Cost $7,872) ==========
- --------------------------------------------------------------------------------
Purchased CME Put Options - 0.0%
- --------------------------------------------------------------------------------
Eurodollar December Futures
Strike @ 91.25 Exp. 12/16/96 550,000 19
Eurodollar March Futures
Strike @ 91.50 Exp. 03/17/97 750,000 14
----------
Total Purchased CME Put Options 33
(Cost $27) ==========
- --------------------------------------------------------------------------------
Purchased OTC Call Option - 0.8%
- --------------------------------------------------------------------------------
U.S. Treasury Note
6.250% due 4/30/01
Strike @ 91.73 Exp. 11/01/96 50,000 3,598
----------
Total Purchased OTC Call Option 3,598
(Cost $3,900) ==========
- --------------------------------------------------------------------------------
Short-Term Instruments - 8.6%
- --------------------------------------------------------------------------------
Discount Notes - 4.5%
Dow Jones, Inc.
5.300% due 11/26/96 2,900 2,876
Federal National Mortgage Assn.
5.250% due 10/01/96 900 900
G.E. Capital Corp.
5.420% due 03/03/97 4,700 4,592
Eli Lilly & Co.
5.280% due 12/16/96 6,800 6,722
Minnesota Mining & Manufacturing Co.
5.280% due 11/22/96 5,200 5,160
----------
20,250
==========
Repurchase Agreements - 3.2%
Goldman Sachs
5.730% due 10/01/96 8,200 8,200
(Dated 09/30/96. Collateralized by
U.S. Treasury Bond 7.125% 02/15/23
valued at $8,373,750. Repurchase
proceeds are $8,201,305.)
State Street Bank
4.750% due 10/01/96 6,309 6,309
(Dated 09/30/96. Collateralized by
Federal National Mortgage Assn.
6.580% 11/15/02 valued at $6,436,669.
----------
Repurchase proceeds are $6,309,832.) 14,509
==========
U.S. Treasury Bills - 0.9%
5.054% due 10/17/96-11/21/96 (b)(e) 4,135 4,113
----------
Total Short-Term Instruments 38,872
(Cost $38,873) ==========
Total Investments (a) - 123.5% $ 552,429
(Cost $550,483)
Written Options (d) - (0.2%) (743)
(Premiums $1,576)
Other Assets and Liabilities (Net)-(23.3%) (104,387)
----------
Net Assets - 100.0% $ 447,299
==========
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 1996, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess value
over tax cost. $ 5,736
Aggregate gross unrealized depreciation for all
investments in which there was an excess value
of tax cost over value. (3,790)
----------
Unrealized appreciation - net $ 1,946
==========
(b) Securities with an aggregate market value of $4,113 have been
segregated with the custodian to cover margin requirements
for the following open future contracts at September 30, 1996:
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
Eurodollar June Futures (06/97) 200 $ 250
CBOT U.S. Treasury 5 Year Note (12/96) 267 317
CBOT U.S. Treasury 10 Year Note (12/96) 862 696
CBOT U.S. Treasury 30 Year Bond (12/96) 74 162
----------
$ 1,425
==========
</TABLE>
45
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund II
September 30, 1996 (unaudited)
================================================================================
(c) Variable rate security. The rate listed is as of
September 30, 1996.
(d) Premiums received on Written Put Options:
<TABLE>
<CAPTION>
Premiums Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
CME Eurodollar March Futures
Strike @ 93.00 Exp. 03/17/97 $115,000 $ 45 $ 7
CME Eurodollar June Futures
Strike @ 93.50 Exp. 06/16/97 250,000 1,531 736
-----------------------
$ 1,576 $ 743
=======================
</TABLE>
(e) Securities are grouped by coupon and represent a range of maturities.
See Notes to Financial Statements
46
<PAGE>
SCHEDULE OF INVESTMENTS
Total Return Fund III
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Corporate Bonds and Notes - 10.7%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance - 0.8%
Coleman Holdings
0.000% due 05/27/98 (h) $ 1,500 $ 1,294
----------
Industrials - 3.3%
Coastal Corp.
10.375% due 10/01/00 3,000 3,353
Spieker Properties
6.950% due 12/15/02 2,000 1,943
----------
5,296
==========
Utilities - 6.6%
Cablevision Industries
10.750% due 01/30/02 3,000 3,213
Cleveland Electric Illuminating Co.
8.075% due 11/15/05 3,500 3,460
Niagara Mohawk Power
5.875% due 11/01/96 2,640 2,637
North Atlantic Energy
9.050% due 06/01/02 622 614
Texas Gas Transmission Corp.
9.625% due 07/15/97 500 513
----------
10,437
----------
Total Corporate Bonds and Notes 17,027
(Cost $17,108) ==========
- --------------------------------------------------------------------------------
U.S. Treasury Notes - 27.9%
- --------------------------------------------------------------------------------
6.125% due 05/31/97 40,000 40,138
7.250% due 08/15/04 4,000 4,141
----------
Total U.S. Treasury Notes 44,279
(Cost $44,179) ==========
- --------------------------------------------------------------------------------
U.S. Government Agencies - 0.3%
- --------------------------------------------------------------------------------
Federal National Mortgage Assn.
9.150% due 04/10/98 300 313
5.870% due 10/15/03 50 47
Government Trust Certificate - Greece
8.000% due 05/15/98 174 177
----------
Total U.S. Government Agencies 537
(Cost $526) ==========
- --------------------------------------------------------------------------------
Mortgage-Backed Securities - 47.3%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation - 2.2%
7.962% due 12/01/22 (d) 2,924 3,020
8.000% due 02/01/06 406 415
----------
3,435
==========
Federal National Mortgage Association - 6.8%
6.070% due 07/01/17 (d) 109 108
6.073% due 02/01/27-12/01/27 (d)(g) 3,852 3,817
6.076% due 08/01/29 (d) 130 129
7.500% due 04/01/24 4,135 4,107
7.575% due 07/01/23 (d) 1,383 1,433
8.250% due 07/01/17 177 181
8.500% due 02/01/07 916 948
9.000% due 07/01/05 57 60
----------
10,783
==========
Government National Mortgage Association - 17.5%
5.500% due 01/20/26 (d) 1,965 1,925
6.500% due 11/19/26 15,000 14,006
7.000% due 10/20/24-11/20/24 (d)(g) 7,581 7,708
7.125% due 06/20/22 (d) 4,125 4,180
----------
27,819
==========
Collateralized Mortgage Obligations - 15.7%
Chase Mortgage Financial Corp.
9.500% due 04/25/24 180 181
CMC Securities Corp.
7.507% due 04/25/25 (d) 3,692 3,752
Collateralized Mortgage Trust
8.000% due 01/01/17 5,332 5,440
Federal Home Loan Mortgage Corp.
8.000% due 05/15/00 97 99
8.000% due 02/15/15 2,357 2,407
7.500% due 04/15/19 1,031 1,035
Federal National Mortgage Assn.
7.750% due 07/25/19 335 341
Greenwich
8.244% due 11/25/24 (d) 1,570 1,598
PNC Mortgage Securities Corp.
7.500% due 06/25/10 1,019 1,020
Residential Accredit Loans, Inc.
7.050% due 01/25/26 2,000 1,854
7.250% due 01/25/26 3,000 2,748
Residential Funding
9.000% due 07/01/21 563 566
Resolution Trust Corp.
8.835% due 12/25/23 2,500 2,532
Sears Mortgage
8.601% due 05/25/32 (d) 1,252 1,265
----------
24,838
==========
Other Mortgage-Backed Securities - 3.7%
Guardian
6.797% due 07/25/20 (d) 1,389 966
Resolution Trust Corp.
8.625% due 10/25/21 244 245
7.792% due 05/25/29 (d) 2,844 2,867
Ryland Acceptance Corp.
7.822% due 09/25/23 (d) 1,732 1,758
----------
5,836
==========
Stripped Mortgage-Backed Securities - 1.4%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 04/15/22 8,554 1,127
Resolution Trust Corp. (PO)
0.000% due 09/25/00 1,239 1,127
----------
2,254
----------
Total Mortgage-Backed Securities 74,965
(Cost $75,566) ==========
- --------------------------------------------------------------------------------
Sovereign Issues - 2.9%
- --------------------------------------------------------------------------------
Republic of Argentina
6.625% due 03/31/05 (d) 3,960 3,286
Province of Quebec
8.800% due 04/15/03 1,000 1,085
----------
Total Sovereign Issues 4,371
(Cost $3,702) ==========
- --------------------------------------------------------------------------------
Foreign Currency - Denominated Issues (c) (f) - 3.4%
- --------------------------------------------------------------------------------
Commonwealth of Canada
8.500% due 04/01/02 C$ 2,000 1,607
8.750% due 12/01/05 2,520 2,059
Province of Saskatchewan
11.000% due 01/09/01 2,000 1,726
----------
Foreign Currency-Denominated Issues 5,392
(Cost $5,186) ==========
</TABLE>
47
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund III
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Purchased CME Put Options - 0.0%
- --------------------------------------------------------------------------------
<S> <C> <C>
Eurodollar December Futures
Strike @ 93.5 Exp. 12/19/96 $ 625 $ 6
Strike @ 93.5 Exp. 12/19/96 125 1
Eurodollar March Futures
Strike @ 93.5 Exp. 3/21/97 788 8
----------
Total Purchased CME Put Options 15
(Cost $13) ==========
- --------------------------------------------------------------------------------
Short-Term Instruments - 14.7%
- --------------------------------------------------------------------------------
Discount Notes - 11.9%
AT&T Corp.
5.250% due 11/12/96 1,300 1,292
Caisse d'Amortissement
5.320% due 11/20/96 500 496
5.310% due 11/25/96 3,900 3,868
5.300% due 12/13/96 2,000 1,978
Canadian Wheat Board
5.250% due 11/13/96 500 497
Federal National Mortgage Assn.
5.220% due 10/15/96 500 499
5.210% due 11/07/96 800 796
Ford Motor Credit Co.
5.340% due 11/13/96 1,200 1,192
General Electric Capital Corp.
5.320% due 10/08/96 900 899
5.310% due 11/06/96 500 497
5.280% due 11/12/96 600 597
5.300% due 11/12/96 400 398
Motorola, Inc.
5.270% due 11/12/96 3,000 2,982
National Rural Utilities Cooperative
5.340% due 11/13/96 2,000 1,987
Proctor & Gamble Co.
5.270% due 10/08/96 900 899
----------
18,877
==========
Repurchase Agreement - 1.7%
State Street Bank
4.750% due 10/01/96 2,620 2,620
(Dated 09/30/96. Collateralized by
Federal National Mortgage Assn. 6.580%
11/15/02 valued at $2,677,391.
Repurchase proceeds are $2,620,346.)
U.S. Treasury Bills - 1.1%
5.127% due 10/17/96-11/21/96 (b)(g) 1,830 1,820
----------
Total Short-Term Instruments 23,317
(Cost $23,318) ==========
Total Investments (a) - 107.2% $ 169,903
(Cost $169,598)
Written Options (e) - (0.2%) (287)
(Premiums $556)
Other Assets and Liabilities (Net) - (7.0%) (11,111)
----------
Net Assets - 100.0% $ 158,505
==========
================================================================================
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 1996, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 1,723
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (1,418)
----------
Unrealized appreciation-net $ 305
==========
(b) Securities with an aggregate market value of
$1,820 have been segregated with the custodian
to cover margin requirements for the following
open future contracts at September 30, 1996:
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 5 Year Note (12/96) 100 $ 88
U.S. Treasury 10 Year Note (12/96) 538 656
U.S. Treasury 30 Year Bond (12/96) 100 94
Eurodollar June Futures (06/97) 200 1,000
----------
$ 1,838
==========
(c) Foreign forward currency contracts outstanding
at September 30, 1996:
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Sell C$ 1,300 10/96 $ 2
Sell 4,325 11/96 (6)
Buy DM 4,495 01/97 (31)
Sell 4,495 01/97 171
----------
$ 136
==========
(d) Variable rate security. The rate listed is as of
September 30, 1996.
(e) Premiums received on Written Put Options:
<CAPTION>
Premiums Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
CME Eurodollar Futures
Strike @ 93.00 Exp. 03/17/97 $ 36,000 $ 14 $ 2
CME Eurodollar Futures
Strike @ 93.50 Exp. 06/16/97 600,000 542 285
-----------------------
$ 556 $ 287
=======================
</TABLE>
(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.
(h) Security becomes interest bearing at a future date.
See Notes to Financial Statements
48
<PAGE>
SCHEDULE OF INVESTMENTS
Low Duration Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Corporate Bonds and Notes - 27.2%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance - 9.4%
American General Finance Corp.
7.750% due 01/15/97 $ 600 $ 603
6.000% due 02/23/98 1,000 996
Associates Corp. of North America
6.750% due 07/15/97 625 629
7.250% due 05/15/98 500 508
7.500% due 05/15/99 1,000 1,023
AT&T Capital Corp.
7.660% due 01/30/97 600 604
Banc One Corp.
7.250% due 08/01/02 500 507
Bancomer
8.000% due 07/07/98 4,000 3,980
BankAmerica Corp.
7.200% due 09/15/02 100 101
Bankers Trust
7.250% due 11/01/96 5,500 5,506
Banponce Corp.
5.813% due 01/27/97 (d) 5,000 5,003
7.500% due 05/28/97 2,000 2,020
Chrysler Financial Corp.
8.125% due 12/15/96 15,000 15,072
6.100% due 11/03/97 2,000 1,999
8.330% due 02/02/98 5,490 5,634
6.280% due 07/17/98 3,000 2,994
Citicorp
5.513% due 01/30/98 (d) 1,000 999
5.688% due 05/29/98 (d) 8,000 7,989
Comercia Bank
6.750% due 05/12/98 500 504
Commercial Credit
5.500% due 05/15/98 1,000 984
Den Danske Bank
6.850% due 06/23/00 (d) 1,000 1,007
Discover Credit Corp.
7.760% due 05/13/97 5,000 5,051
Ford Motor Credit Corp.
7.875% due 01/15/97 700 704
6.800% due 08/15/97 1,200 1,208
6.520% due 02/03/98 1,000 1,004
General Motors Acceptance Corp.
8.000% due 10/01/96 500 500
6.226% due 10/15/96 (d) 16,000 16,040
7.650% due 12/17/96 425 427
8.250% due 01/13/97 9,000 9,073
8.000% due 01/23/97 17,000 17,137
7.750% due 01/24/97 2,500 2,518
7.625% due 02/28/97 10,000 10,069
7.750% due 04/15/97 13,834 13,969
7.000% due 08/19/97 175 176
Kansallis-Osake
7.860% due 09/30/43 (d) 13,500 13,892
Lehman Brothers, Inc.
7.000% due 05/15/97 500 503
7.375% due 08/15/97 500 505
Manufacturers Hanover Corp.
5.438% due 04/30/97 (d) 6,000 5,987
Norwest Financial, Inc.
6.400% due 11/15/96 15,000 15,026
Salomon, Inc.
5.200% due 01/20/97 750 748
8.850% due 02/10/97 2,000 2,019
8.670% due 02/13/97 1,500 1,515
5.930% due 03/17/97 12,590 12,588
7.000% due 01/20/98 2,500 2,518
6.125% due 08/18/98 12,820 12,757
Principal
Amount Value
(000's) (000's)
================================================================================
7.125% due 08/01/99 $ 1,000 $ 1,006
SGE Associates
8.070% due 07/20/00 20,586 20,650
Signet Banking Corp.
5.625% due 05/15/97 (d) 2,095 2,087
5.875% due 04/15/98 (d) 2,865 2,850
Society Bank
6.875% due 10/15/96 19,375 19,389
Transamerica Financial
6.940% due 04/27/98 700 706
Wachovia Bank
4.625% due 12/13/96 1,000 999
----------
252,283
==========
Industrials - 11.6%
Americo
6.850% due 09/18/98 7,000 7,003
AMR Corp.
7.600% due 01/27/97 2,000 2,012
6.500% due 03/15/97 3,075 3,085
9.500% due 07/15/98 1,000 1,047
9.270% due 08/13/98 2,000 2,089
8.100% due 11/01/98 2,000 2,058
8.730% due 11/02/98 3,000 3,113
9.910% due 03/01/01 2,500 2,740
10.000% due 03/07/01 4,000 4,398
9.440% due 05/15/01 5,000 5,401
9.125% due 10/24/01 1,000 1,071
Arkla, Inc.
9.875% due 04/15/97 11,500 11,733
9.200% due 12/18/97 1,000 1,030
Bausch & Lomb
6.480% due 12/17/97 275 276
Coastal Corp.
10.375% due 10/01/00 5,000 5,588
Consolidated Natural Gas Co.
8.750% due 06/01/99 400 423
Delta Air Lines
7.790% due 12/01/98 4,449 4,534
E.I. Du Pont de Nemours
8.500% due 02/10/98 100 103
Enserch Corp.
8.875% due 03/15/01 3,000 3,075
First Brands Corp.
9.125% due 04/01/99 3,000 3,045
Ford Motor Co.
9.250% due 07/15/97 14,900 15,264
9.000% due 09/15/01 500 543
Minnesota Mining & Manufacturing
6.250% due 03/29/99 200 199
Nabisco, Inc.
8.300% due 04/15/99 2,900 3,012
8.000% due 01/15/00 16,675 17,217
News America Holdings Corp.
12.000% due 12/15/01 4,805 5,144
Pepsico, Inc.
7.000% due 10/14/99 600 600
Pfizer, Inc.
6.500% due 02/01/97 500 501
Philip Morris Co.
8.750% due 12/01/96 8,250 8,287
7.500% due 03/15/97 250 252
Sears Roebuck & Co.
9.250% due 04/15/98 5,750 5,994
Time Warner, Inc.
7.450% due 02/01/98 27,410 27,774
6.460% due 08/15/00 (d) 35,787 35,788
7.975% due 08/15/04 21,247 21,470
</TABLE>
49
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
8.110% due 08/15/06 $ 42,495 $ 42,340
8.180% due 08/15/07 42,495 42,940
Transco Energy
9.375% due 08/15/01 1,000 1,096
United Air Lines
6.750% due 12/01/97 11,875 11,881
USX Corp.
7.750% due 01/21/98 2,000 2,024
Varity Corp.
11.375% due 11/15/98 4,650 4,677
----------
310,827
==========
Utilities - 6.2%
Alabama Power
7.250% due 08/01/07 100 99
Bell Atlantic Financial
6.000% due 06/01/98 500 497
Cablevision Industries
10.750% due 01/30/02 2,000 2,142
Carolina Power & Light
7.900% due 12/27/96 16,300 16,400
Central Power & Light
6.625% due 01/01/98 100 100
Cleveland Electric Illuminating Co.
9.450% due 12/01/97 11,400 11,697
8.330% due 10/30/98 1,500 1,525
9.300% due 07/26/99 1,500 1,564
9.375% due 03/01/17 3,000 2,957
CMS Energy
9.500% due 10/01/97 (d) 23,175 23,704
Commonwealth Edison
5.750% due 12/01/96 2,000 1,999
8.875% due 05/15/97 7,000 7,107
Consumers Power Co.
8.750% due 02/15/98 5,000 5,123
CTC Mansfield Funding
11.125% due 09/30/16 7,985 8,465
Detroit Edison
6.000% due 12/01/96 4,040 4,040
Gulf States Utilities
6.670% due 11/01/96 2,500 2,505
Long Island Lighting Co.
8.750% due 02/15/97 1,000 1,008
7.625% due 04/15/98 3,000 3,015
7.300% due 07/15/99 3,000 2,956
6.250% due 07/15/01 2,275 2,104
Louisiana Power & Light Co.
7.740% due 07/01/02 10,500 10,586
10.300% due 01/02/05 2,940 3,026
Mississippi Power & Light
8.800% due 04/01/05 1,000 1,013
New York State Electric
6.500% due 09/01/98 2,350 2,346
North Atlantic Energy
9.050% due 06/01/02 4,702 4,643
Northern States Power Co.
5.875% due 10/01/97 100 100
Pennsylvania Power Co.
9.000% due 12/01/96 5,500 5,523
Public Service Electric & Gas
6.000% due 01/01/98 1,000 995
Texas-New Mexico Power
11.250% due 01/15/97 1,938 1,965
Texas Gas Transmission Corp.
9.625% due 07/15/97 9,000 9,229
Toledo Edison Co.
9.300% due 04/01/98 5,000 5,145
Transcontinental Gas Pipeline
9.000% due 11/15/96 4,850 4,868
8.125% due 01/15/97 5,500 5,534
Triton Energy
0.000% due 11/01/97 8,500 7,873
Union Electric
5.500% due 03/01/97 500 499
United Illuminating
7.375% due 01/15/98 1,000 1,007
9.760% due 01/02/06 3,153 3,251
Western Massachusetts Electric
6.750% due 03/01/98 792 790
----------
167,400
----------
Total Corporate Bonds and Notes 730,510
(Cost $726,761) ==========
- --------------------------------------------------------------------------------
U.S. Treasury Obligations - 0.2%
- --------------------------------------------------------------------------------
U.S. Treasury Strips (PO)
0.000% due 10/15/96 2,000 1,996
0.000% due 01/15/97 2,000 1,970
0.000% due 05/15/98 2,000 1,812
----------
Total U.S. Treasury Obligations 5,778
(Cost $5,769) ==========
- --------------------------------------------------------------------------------
U.S. Government Agencies - 0.2%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
7.300% due 10/28/02 100 100
8.440% due 10/27/04 500 510
Federal National Mortgage Assn.
5.200% due 07/10/98 1,500 1,470
Small Business Administration
8.250% due 01/25/13 (d) 1,790 1,882
7.500% due 02/25/14 (d) 1,487 1,541
Student Loan Marketing Assn.
7.560% due 12/09/96 100 100
Tennessee Valley Authority
0.000% due 10/15/98 1,000 882
----------
Total U.S. Government Agencies 6,485
(Cost $6,325) ==========
- --------------------------------------------------------------------------------
Mortgage-Backed Securities - 67.9%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation - 8.5%
5.000% due 05/01/98-08/01/98 (g) 21 21
5.500% due 05/01/98-04/01/07 326 320
6.050% due 01/01/17-06/01/17 (d)(g) 890 880
6.059% due 09/01/15-01/01/20 (d)(g) 3,637 3,597
6.059% due 11/01/26-06/01/30 (d)(g) 3,064 3,031
6.071% due 02/01/16 (d) 173 172
6.073% due 11/01/14-08/01/19 (d)(g) 3,126 3,093
6.086% due 05/01/17 (d) 326 322
6.091% due 01/01/30-12/01/30 (d)(g) 4,876 4,831
6.105% due 10/01/30 (d) 517 512
6.125% due 01/01/20 (d) 362 359
6.500% due 01/01/02-02/01/05 (g) 104 103
6.500% due 11/13/26 48,000 45,075
7.000% due 01/01/17-11/13/26 (g) 32,605 31,471
7.195% due 02/01/20 (d) 5,519 5,681
7.250% due 07/01/07 67 67
7.500% due 09/01/06 219 221
7.500% due 10/10/26 1,000 989
7.519% due 01/01/24 (d) 3,853 3,970
7.553% due 10/01/23 (d) 5,227 5,387
7.555% due 06/01/24 (d) 2,963 3,041
7.600% due 11/01/23 (d) 3,618 3,731
7.760% due 01/01/24 (d) 5,989 6,182
</TABLE>
50
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
7.795% due 11/01/22 (d) $ 4,533 $ 4,632
7.962% due 12/01/22 (d) 2,924 3,020
8.000% due 07/01/06-04/01/07 (g) 428 437
8.000% due 07/02/24-10/10/26 (g) 79,026 80,021
8.250% due 10/01/07-11/01/07 (g) 76 77
8.500% due 07/01/01-05/01/10 (g) 763 785
8.500% due 01/01/12 80 83
8.500% due 10/10/26 1,500 1,540
8.750% due 02/01/01-04/01/02 (g) 218 225
9.000% due 09/01/98-07/01/04 (g) 267 276
9.000% due 12/15/20 9,906 10,432
9.250% due 07/01/01 16 16
9.500% due 03/01/01-12/01/04 (g) 255 267
9.750% due 03/01/01-11/01/08 (g) 1,706 1,817
10.000% due 04/01/01 16 17
10.500% due 07/01/00-10/01/00 (g) 97 102
10.500% due 10/01/10-02/01/16 (g) 73 79
10.750% due 10/01/00 73 78
10.750% due 09/01/09-08/01/11 (g) 792 872
11.250% due 10/01/14 14 15
11.500% due 10/01/15 2 3
11.750% due 11/01/10-08/01/15 (g) 24 27
14.000% due 09/01/12-12/01/12 (g) 6 8
----------
227,885
==========
Federal Housing Administration - 0.7%
6.950% due 04/01/14 1,832 1,760
7.421% due 11/01/19 1,055 1,052
7.430% due 10/01/19-12/01/21 (g) 14,999 15,005
9.680% due 02/01/24 1,185 1,234
----------
19,051
==========
Federal National Mortgage Association - 4.1%
6.059% due 03/01/18-02/01/19 (d)(g) 1,021 1,013
6.060% due 01/01/26 (d) 11,877 11,780
6.067% due 08/01/29 (d) 3,517 3,489
6.072% due 04/01/19 (d) 129 128
6.073% due 03/01/28-02/01/31 (d)(g) 6,966 6,910
6.075% due 01/01/26 (d) 2,069 2,054
6.107% due 01/01/26 (d) 5,896 5,856
6.146% due 04/01/18 (d) 9,360 9,214
6.500% due 06/01/08 48 45
7.000% due 12/01/06-09/01/07 (g) 104 101
7.323% due 01/01/24 (d) 9,793 10,100
7.516% due 04/01/24 (d) 8,148 8,412
7.637% due 10/01/24 (d) 17,576 18,214
7.638% due 07/01/23 (d) 5,007 5,188
7.763% due 10/01/23 (d) 8,053 8,345
8.000% due 03/01/04 245 251
8.467% due 05/01/97 (d) 412 423
8.500% due 03/01/08 85 88
8.500% due 02/01/17-11/01/23 (g) 11,815 12,228
9.000% due 07/01/97-08/01/98 (g) 1,001 1,025
10.000% due 02/01/04-06/01/13 (g) 2,697 2,885
10.000% due 09/01/14-06/01/19 (g) 1,318 1,432
10.500% due 06/01/05-11/01/05 (g) 551 585
11.000% due 10/01/98-09/01/00 (g) 44 47
11.250% due 12/01/10-10/01/15 (g) 341 380
12.000% due 01/01/15-10/01/15 (g) 18 20
12.750% due 02/01/14-11/01/14 (g) 122 142
13.000% due 07/01/15 10 11
13.250% due 09/01/11 29 34
13.500% due 04/01/14 9 11
15.500% due 10/01/12-12/01/12 (g) 91 109
15.750% due 12/01/11 68 79
16.000% due 09/01/12-12/01/12 (g) 36 43
----------
110,642
==========
Principal
Amount Value
(000's) (000's)
================================================================================
Government National Mortgage Association - 33.3%
5.500% due 08/20/25 (d) $ 4,794 $ 4,697
6.000% due 07/20/26 (d) 990 982
6.000% due 08/20/26-09/20/26 (g) 5,555 5,512
6.500% due 02/20/23-02/20/25 (d)(g) 39,510 39,958
6.875% due 09/20/22 (d) 5,387 5,489
7.000% due 08/20/23 2,739 2,778
7.000% due 10/20/23-10/20/24 (d)(g) 12,295 12,476
7.000% due 10/17/26-11/19/26 (g) 498,000 479,055
7.125% due 05/20/22-06/20/25 (d)(g) 70,410 71,377
7.250% due 07/20/22-08/20/22 (d)(g) 71,011 71,893
7.250% due 07/20/23 6,823 6,909
7.250% due 08/20/23-09/20/24 (d)(g) 70,900 72,207
7.500% due 02/15/22-12/15/23 (g) 121,442 120,727
8.000% due 07/15/04-11/15/06 (g) 10 11
9.750% due 07/15/13-02/15/20 (g) 1,648 1,766
10.750% due 10/15/98 31 32
11.750% due 07/15/13-09/15/15 (g) 423 477
12.000% due 06/20/15 36 41
13.500% due 05/15/11-11/15/12 (g) 62 73
16.500% due 12/15/11 1 1
16.750% due 12/15/96-01/15/97 (g) 2 2
16.750% due 12/15/11 3 3
----------
896,466
==========
Collateralized Mortgage Obligations - 15.9%
American Southwest Financial
5.100% due 06/02/99 13,986 13,466
Bear Stearns
8.200% due 09/25/22 1,314 1,315
8.000% due 05/25/23 419 423
Capstead
7.400% due 04/25/18 7,893 7,910
7.800% due 02/25/22 974 975
8.300% due 03/25/22 8,866 8,838
7.500% due 02/25/23 3,105 3,122
Chase Mortgage Financial Corp.
10.000% due 11/25/09 1,601 1,666
8.000% due 06/25/24 63 64
7.500% due 10/25/24 81 81
Citicorp Mortgage
9.000% due 10/01/01 108 111
9.000% due 11/01/01 1,958 2,019
8.500% due 06/25/06 2,208 2,226
9.350% due 06/01/10 33 33
7.250% due 11/01/11 956 955
10.000% due 01/25/13 149 157
9.500% due 10/25/15 1,641 1,681
CMO Trust
6.188% due 01/20/03 (d) 37 37
Collateralized Mortgage Obligation Trust
7.985% due 05/01/17 16,703 16,930
9.500% due 06/25/20 887 937
Conseco Commercial Mortgage
9.700% due 07/15/04 2,366 2,387
Countrywide
7.842% due 11/25/24 (d) 10,847 11,013
6.375% due 01/25/35 (d) 20,603 20,023
Donaldson, Lufkin & Jenrette
11.000% due 08/01/19 2,351 2,606
7.708% due 05/25/24 (d) 6,347 6,470
Federal Home Loan Mortgage Corp.
9.000% due 01/15/04 500 512
9.000% due 04/15/04 252 254
9.000% due 12/15/05 910 930
10.000% due 09/15/09 20 21
</TABLE>
51
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
12.500% due 09/30/13 $ 1,858 $ 2,108
11.000% due 11/30/15 6,156 6,741
8.000% due 04/15/19 1,813 1,828
8.500% due 06/15/19 967 968
10.000% due 07/15/19 525 574
8.500% due 09/15/19 3,604 3,665
9.000% due 11/15/19 3,587 3,724
7.950% due 02/15/20 3,586 3,646
9.000% due 02/15/20 1,310 1,334
8.250% due 03/15/20 401 409
7.500% due 04/15/20 2,900 2,896
8.000% due 04/15/20 2,500 2,567
10.000% due 05/15/20 350 387
8.950% due 11/15/20 1,779 1,787
7.500% due 12/15/20 2,000 1,987
9.500% due 01/15/21 3,588 3,821
8.000% due 04/15/21 3,060 3,105
9.000% due 05/15/21 650 678
7.000% due 08/15/21 9,541 9,535
Federal National Mortgage Assn.
8.950% due 05/25/03 159 164
9.400% due 07/25/03 250 261
9.000% due 07/25/03 1,142 1,182
8.500% due 09/25/06 754 765
6.875% due 06/25/09 5,167 5,139
7.000% due 04/25/15 3,147 3,160
7.250% due 07/25/15 3,477 3,488
7.500% due 01/25/16 413 414
5.750% due 04/25/16 5,227 5,082
8.000% due 01/25/19 194 195
7.500% due 02/25/19 268 268
8.000% due 05/25/19 1,742 1,761
8.750% due 05/25/19 214 221
9.000% due 05/25/19 2,271 2,299
9.300% due 05/25/19 107 110
9.000% due 07/25/19 939 969
9.000% due 08/25/19 2,887 2,924
9.500% due 03/25/20 3,548 3,909
9.500% due 05/25/20 1,450 1,612
8.000% due 07/25/20 9,667 9,854
8.500% due 01/25/21 184 186
9.000% due 03/25/21 9,989 10,360
9.000% due 04/25/21 300 317
8.000% due 03/25/22 252 255
5.000% due 01/25/24 637 617
First Boston Corp.
7.050% due 07/25/23 583 584
General Electric Capital Mortgage
6.350% due 03/25/17 31,717 31,511
Glendale Federal Savings & Loan
6.935% due 03/25/30 (d) 3,429 3,483
Greenwich
8.244% due 11/25/24 (d) 8,791 8,947
Home MAC Mortgage Securities Corp.
8.550% due 07/01/08 29 29
Homestead Mortgage Acceptance Corp.
11.450% due 09/01/15 2,035 2,193
Housing Securities, Inc.
6.750% due 02/25/21 28,161 28,091
Independent National Mortgage Corp.
8.250% due 03/25/25 12,709 12,850
Norwest Mortgage
12.375% due 01/01/14 338 364
12.500% due 02/01/14 834 890
12.250% due 04/01/14 595 642
Prudential Bache
6.059% due 09/01/18 (d) 69 69
Principal
Amount Value
(000's) (000's)
================================================================================
Prudential Home
6.500% due 04/25/00 $ 103 $ 103
7.500% due 09/25/07 878 871
7.000% due 11/25/07 3,009 3,017
7.000% due 06/25/23 3,014 2,859
Prudential Securities
8.000% due 12/25/20 1,854 1,889
Residential Asset Securitization Trust
7.050% due 07/25/26 17,055 17,044
Residential Funding
6.157% due 07/01/19 (d) 1,665 1,566
7.059% due 09/01/19 (d) 429 423
8.250% due 07/25/21 259 258
9.000% due 12/25/21 296 307
Resolution Trust Corp.
6.991% due 09/25/19 (d) 3,500 3,518
6.110% due 01/25/21 (d) 287 275
6.735% due 07/25/21 (d) 57 57
7.137% due 10/25/21 (d) 1,793 1,798
10.000% due 05/25/22 326 333
7.250% due 10/25/23 803 800
9.500% due 05/25/24 548 538
7.000% due 10/25/24 3 3
8.750% due 05/25/26 29 29
6.270% due 09/25/27 (d) 3,246 3,113
9.000% due 09/25/28 397 407
Ryland Acceptance Corp.
8.000% due 03/01/18 2,728 2,655
9.500% due 07/01/18 1,500 1,494
Salomon Mortgage
7.200% due 12/25/17 (d) 3,274 3,275
6.975% due 01/25/18 (d) 81 81
9.554% due 10/25/18 8,077 8,366
5.922% due 03/25/24 (d) 8,431 8,423
Sears Mortgage
7.885% due 08/25/23 (d) 1,480 1,503
8.601% due 05/25/32 (d) 1,043 1,053
Securitized Asset Sales, Inc.
6.750% due 08/25/25 20,000 20,019
7.500% due 10/25/25 23,000 23,178
Shearson Lehman
9.600% due 03/25/21 1,795 1,876
UBS Mortgage
9.000% due 10/18/20 4,148 4,167
Westam Mortgage Financial Corp.
6.500% due 10/02/17 7,802 7,661
----------
427,046
==========
Other Mortgage-Backed Securities - 3.2%
Dime Savings
7.079% due 11/01/18 (d) 3,844 3,533
First Boston Mortgage Securities Corp.
8.300% due 08/20/09 495 504
Fleet Finance, Inc.
5.450% due 03/20/23 42 42
Glendale Federal Savings & Loan
11.000% due 03/01/10 47 49
Great Western Savings & Loan
6.100% due 12/01/17 (d) 612 600
Guardian
6.824% due 07/25/18 (d) 79 73
6.849% due 12/25/19 (d) 435 296
6.793% due 12/25/19 (d) 2,207 1,456
6.814% due 02/25/20 (d) 1,914 1,110
6.797% due 07/25/20 (d) 1,895 1,317
Home Savings of America
5.757% due 05/25/27 (d) 2,679 2,600
5.847% due 09/25/28 (d) 1,812 1,769
</TABLE>
52
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
Imperial Savings & Loan
9.800% due 07/25/17 $ 83 $ 84
9.900% due 02/25/18 708 744
MDC Mortgage Funding
8.201% due 01/25/25 (d) 10,230 10,425
Residential Funding
8.500% due 04/01/02 47 46
Resolution Trust Corp.
7.531% due 05/25/19 (d) 11,929 11,933
7.400% due 08/25/19 (d) 7,401 7,368
10.365% due 08/25/21 (d) 1,425 1,494
8.625% due 10/25/21 610 612
7.221% due 03/25/22 (d) 3,918 3,925
6.900% due 02/25/27 9,000 7,830
6.307% due 10/25/28 (d) 3,956 4,016
7.482% due 05/25/29 (d) 3,929 3,926
Ryland Acceptance Corp.
7.281% due 11/28/22 (d) 10,068 10,251
Salomon Mortgage
11.500% due 09/01/15 1,172 1,275
8.230% due 12/25/17 (d) 648 635
Sears Mortgage
12.000% due 02/25/14 192 210
7.595% due 10/25/22 (d) 6,366 6,692
Security Pacific
7.850% due 05/15/98 8 8
Western Federal Savings & Loan
6.749% due 06/25/18 (d) 78 78
6.624% due 11/25/18 (d) 393 391
10.069% due 02/01/20 (d) 92 96
----------
85,388
==========
Stripped Mortgage-Backed Securities - 2.2%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 07/15/04 5,089 251
6.250% due 09/15/04 12,394 749
6.000% due 02/15/06 16,478 1,093
9.982% due 07/15/06 12,597 1,948
10.195% due 08/15/06 3,922 580
11.944% due 12/15/06 5,338 1,233
6.000% due 10/15/07 5,481 481
6.000% due 02/15/08 13,837 1,367
7.000% due 07/15/12 5,662 238
6.500% due 08/25/13 15,335 1,041
7.000% due 08/15/18 7,321 1,882
7.500% due 12/15/18 10,466 1,257
6.500% due 05/15/19 23,369 2,775
6.500% due 06/15/19 24,798 2,616
10.496% due 04/15/21 7,854 1,300
6.500% due 04/15/22 13,822 1,821
7.000% due 05/15/23 1,274 200
4.000% due 01/15/24 20,919 5,999
Federal National Mortgage Assn. (IO)
6.000% due 07/25/05 7,073 493
7.272% due 09/25/06 6,500 1,466
6.000% due 02/25/08 16,055 1,659
6.500% due 03/25/09 5,854 804
0.100% due 03/25/09 48,414 1,133
6.500% due 03/25/09 7,705 1,690
6.500% due 02/25/13 9,991 565
8.815% due 06/25/16 16,248 1,780
9.987% due 12/25/18 4,674 495
7.500% due 03/25/19 11,503 1,707
6.500% due 04/25/20 47,750 5,091
7.000% due 05/25/21 23,895 2,994
8.598% due 02/25/22 5,000 1,307
6.500% due 03/25/23 11,710 1,884
4.875% due 03/25/24 (d) 17,582 1,257
Principal
Amount Value
(000's) (000's)
================================================================================
Federal National Mortgage Assn. (PO)
0.000% due 12/20/96 $ 1,475 $ 1,459
0.000% due 01/25/20 1,699 1,681
0.000% due 07/25/22 4,510 3,408
0.000% due 09/25/22 113 86
Resolution Trust Corp. (PO)
0.000% due 09/25/00 1,239 1,127
----------
58,917
----------
Total Mortgage-Backed Securities 1,825,395
(Cost $1,823,166) ==========
- --------------------------------------------------------------------------------
Asset-Backed Securities - 0.1%
- --------------------------------------------------------------------------------
Prudential Home (IO)
0.300% due 04/25/09 (d) 108,936 1,004
SCFC Boat Loan Trust
7.050% due 04/15/07 86 86
----------
Total Asset-Backed Securities 1,090
(Cost $1,051) ==========
- --------------------------------------------------------------------------------
Sovereign Issues - 4.7%
- --------------------------------------------------------------------------------
Banco Nacional de Obra y Servicios
6.875% due 10/01/98 10,000 9,830
Cemex
10.000% due 11/15/96 4,400 4,415
Kingdom of Sweden
5.440% due 12/06/96 1,700 1,683
Nacional Financiera
6.000% due 12/19/96 13,500 13,466
8.125% due 12/15/97 (d) 235 233
5.875% due 02/17/98 2,000 1,955
6.250% due 12/03/98 (d) 1,500 1,412
Petroleos Mexicanos
8.750% due 03/05/97 1,000 1,005
8.250% due 02/04/98 5,000 5,018
Province of British Columbia
5.310% due 12/19/96 20,000 19,762
Province of Quebec
5.500% due 10/26/01 (d) 250 246
United Mexican States
5.820% due 06/28/01 10,000 8,550
6.352% due 12/31/19 (d) 10,000 8,425
6.398% due 12/31/19 (d) 30,000 25,275
6.453% due 12/31/19 (d) 30,000 25,275
----------
Total Sovereign Issues 126,550
(Cost $128,279) ==========
- --------------------------------------------------------------------------------
Foreign Currency-Denominated Issues (c)(f) - 1.4%
- --------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 3,500 2,357
Kingdom of Netherlands
6.250% due 07/15/98 DG 59,000 36,080
----------
Total Foreign Currency-Denominated Issues 38,437
(Cost $38,796) ==========
- --------------------------------------------------------------------------------
Preferred Stock - 0.8%
- --------------------------------------------------------------------------------
Shares
Gulf States Utility 900 21,600
----------
Total Preferred Stock 21,600
(Cost $21,861) ==========
</TABLE>
53
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Short-Term Instruments - 18.5%
- --------------------------------------------------------------------------------
<S> <C> <C>
Discount Notes - 18.0%
Ameritech Corp
5.410% due 11/18/96 $ 2,200 $ 2,184
Amoco Co.
5.270% due 11/26/96 7,000 6,943
AT&T Corp.
5.370% due 11/12/96 800 795
5.250% due 11/12/96 2,000 1,988
Caisse d'Amortissement
5.350% due 10/24/96 2,500 2,491
5.350% due 10/28/96 6,200 6,175
5.320% due 11/20/96 6,400 6,353
5.420% due 11/21/96 4,400 4,366
5.280% due 11/25/96 45,000 44,637
5.310% due 11/25/96 34,200 33,923
5.300% due 12/13/96 1,000 989
5.310% due 12/13/96 9,700 9,593
Canada Bills
5.360% due 10/10/96 10,000 9,987
Coca-Cola Co.
5.390% due 10/07/96 2,200 2,198
5.270% due 10/28/96 3,000 2,988
E.I. Du Pont de Nemours
5.340% due 10/16/96 25,000 24,944
Eli Lilly & Co.
5.440% due 12/16/96 900 890
5.330% due 01/06/97 12,200 12,023
Federal Farm Credit Bank
5.280% due 10/03/96 11,400 11,397
Federal Home Loan Mortgage Corp.
5.300% due 10/17/96 37,000 36,913
5.230% due 10/22/96 1,200 1,196
5.370% due 11/15/96 11,100 11,025
Federal National Mortgage Assn.
5.230% due 11/21/96 2,300 2,283
Ford Motor Credit Co.
5.420% due 10/15/96 13,200 13,172
5.380% due 10/28/96 40,000 39,839
5.380% due 11/05/96 5,000 4,974
5.310% due 11/08/96 11,700 11,634
5.400% due 11/12/96 1,600 1,590
5.330% due 12/09/96 1,700 1,682
General Electric Capital Corp.
5.260% due 11/12/96 44,500 44,227
Hewlett-Packard Co.
5.280% due 12/20/96 6,100 6,026
Minnesota Mining & Manufacturing Co.
5.270% due 10/16/96 800 798
Mobil Australia Finance
5.340% due 10/16/96 6,000 5,987
National Rural Utilities Cooperative
5.360% due 10/15/96 20,700 20,657
5.280% due 10/28/96 1,700 1,693
5.440% due 10/28/96 5,200 5,179
5.290% due 11/12/96 35,900 35,678
5.330% due 11/13/96 11,800 11,725
5.340% due 11/13/96 1,600 1,590
5.280% due 11/22/96 1,400 1,389
New Center Asset Trust
5.310% due 11/05/96 11,700 11,640
Norfolk Southern Corp.
5.400% due 11/05/96 4,800 4,775
Proctor & Gamble Co.
5.380% due 11/01/96 6,000 5,972
5.270% due 11/04/96 5,100 5,075
Shell Oil Co.
5.300% due 10/01/96 9,900 9,900
5.330% due 10/04/96 2,800 2,799
----------
484,282
==========
Repurchase Agreements - 0.2%
State Street Bank
4.750% due 10/01/96 5,888 5,888
(Dated 09/30/96. Collateralized by ----------
Federal National Mortgage Assn. 6.580%
11/15/02 valued at $6,010,472.
Repurchase proceeds are $5,888,777.)
U.S. Treasury Bills - 0.3%
5.053% due 10/17/96-11/21/96 (b)(g) 8,795 8,764
----------
Total Short-Term Instruments 498,934
(Cost $498,940) ==========
Total Investments (a) - 121.0% $3,254,779
(Cost $3,250,948)
Written Options (e) - (0.1%) (1,777)
(Premiums $3,980)
Other Assets and Liabilities (Net) - (20.9%) (563,385)
----------
Net Assets - 100.0% $2,689,617
==========
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 1996, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 23,135
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (19,304)
----------
Unrealized appreciation-net $ 3,831
==========
(b) Securities with an aggregate market value of
$8,764 have been segregated with the custodian to
cover magin requirements for the following open
future contracts at September 30, 1996:
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 10 Year Note (12/96) 363 $ 102
U.S. Treasury 30 Year Bond (12/96) 37 34
----------
$ 136
</TABLE>
54
<PAGE>
================================================================================
(c) Foreign forward currency contracts outstanding at
September 30, 1996:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered by Expiration Appreciation/
Type Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Sell C$ 5,061 11/96 $ (8)
Buy DG 403 12/96 (7)
Sell DM 3,544 12/96 28
----------
$ 13
==========
(d) Variable rate security. The rate listed is as of
September 30, 1996.
(e) Premiums received on Written Put Options:
<CAPTION>
Premiums Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
CME Eurodollar March Futures
Strike @ 93.00 Exp. 03/17/97 $ 681,000 $ 269 $ 43
CME Eurodollar June Futures
Strike @ 93.50 Exp. 06/16/97 $3,650,000 3,711 1,734
--------------------------
$ 3,980 $ 1,777
==========================
</TABLE>
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
DG - Dutch Guilder
DM - German Mark
(g) Securities are grouped by coupon and represent a range of maturities.
See Notes to Financial Statements
55
<PAGE>
SCHEDULE OF INVESTMENTS
Low Duration Fund II
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Corporate Bonds and Notes - 7.9%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance - 7.9%
AT&T Capital Corp.
6.990% due 10/04/96 $ 5,000 $ 5,004
Chrysler Financial Corp.
8.220% due 12/27/96 2,000 2,011
Ford Motor Credit Corp.
8.000% due 12/01/96 5,000 5,018
Golden West Financial Corp.
8.625% due 08/30/98 3,000 3,111
Household Financial Corp.
7.800% due 11/01/96 3,200 3,205
Salomon, Inc.
8.550% due 02/17/97 1,900 1,917
----------
Total Corporate Bonds and Notes 20,266
(Cost $20,168) ==========
- --------------------------------------------------------------------------------
U.S. Treasury Notes - 11.7%
- --------------------------------------------------------------------------------
6.125% due 05/31/97 20,000 20,069
6.125% due 08/31/98 10,000 10,009
----------
Total U.S. Treasury Notes 30,078
(Cost $30,025) ==========
- --------------------------------------------------------------------------------
U.S. Government Agencies - 0.1%
- --------------------------------------------------------------------------------
Government Trust Certificate - Israel
9.250% due 11/15/96 154 155
----------
Total U.S. Government Agencies 155
(Cost $155) ==========
- --------------------------------------------------------------------------------
Mortgage-Backed Securities - 80.4%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation - 13.3%
7.000% due 11/13/26 4,500 4,343
7.500% due 10/10/26 5,000 4,947
7.971% due 07/01/23 (c) 3,454 3,594
8.000% due 07/01/24-12/01/25 (e) 20,798 21,051
10.500% due 09/01/15-12/01/18 (e) 143 156
----------
34,091
==========
Federal National Mortgage Association - 5.0%
6.124% due 10/23/26 (c) 5,000 4,947
7.353% due 01/01/24 (c) 3,401 3,392
7.557% due 02/01/25 (c) 2,479 2,555
8.500% due 02/01/98-06/01/98 (e) 69 71
9.000% due 06/01/98 152 154
10.500% due 05/01/12 1,632 1,785
----------
12,904
==========
Government National Mortgage Association - 27.4%
7.000% due 10/17/26-11/19/26 (e) 30,000 28,851
7.125% due 4/20/22-06/20/22 (c)(e) 12,570 12,703
7.250% due 07/20/23 (c) 16,279 16,484
7.500% due 02/15/22-03/15/24 (e) 10,909 10,847
9.000% due 07/20/16-12/20/17 (e) 1,459 1,535
----------
70,420
==========
Collateralized Mortgage Obligations - 28.9%
American Southwest Financial
7.500% due 10/01/18 1,000 996
Capstead
7.500% due 02/25/23 3,000 3,016
Citicorp Mortgage
9.500% due 09/25/02 1,712 1,751
9.500% due 10/25/15 1,230 1,260
Principal
Amount Value
(000's) (000's)
================================================================================
CMC Securities Corp.
7.507% due 04/25/25 (c) $ 7,383 $ 7,503
Collateralized Mortgage Securities Corp.
9.000% due 04/25/10 4,663 4,734
11.875% due 04/01/15 324 344
Donaldson, Lufkin & Jenrette
7.708% due 05/25/24 (c) 3,204 3,266
Federal Home Loan Mortgage Corp.
8.500% due 05/15/04 1,587 1,603
12.900% due 05/01/14 474 495
8.600% due 06/15/19 1,777 1,799
Federal National Mortgage Assn.
9.250% due 10/25/18 212 222
7.000% due 08/25/22 1,000 997
8.000% due 11/25/23 11,876 11,887
General Electric Capital Mortgage
7.500% due 11/25/18 46 46
Kidder Peabody
7.150% due 04/25/25 2,677 2,602
Lomas & Nettleton
12.000% due 03/17/14 191 201
Prudential Home
7.000% due 07/25/23 499 497
7.500% due 06/25/25 9,045 9,109
Residential Asset Securitization Trust
9.000% due 07/25/26 9,673 9,969
Residential Funding
7.500% due 10/25/22 2,044 2,012
Resolution Trust Corp.
7.137% due 10/25/21 (c) 448 450
Ryland Acceptance Corp.
14.000% due 11/25/31 226 251
Salomon Mortgage
7.264% due 11/25/22 (c) 3,783 3,814
Saxon Mortgage
7.659% due 09/25/22 (c) 2,939 2,977
Sears Mortgage
8.601% due 05/25/32 (c) 1,460 1,475
UBS Mortgage
8.000% due 07/25/20 839 850
----------
74,126
==========
Other Mortgage-Backed Securities - 5.8%
Guardian
8.044% due 07/25/19 (c) 193 190
7.151% due 10/25/19 (c) 671 497
6.797% due 07/25/20 (c) 1,263 878
Resolution Trust Corp.
7.531% due 05/25/19 (c) 2,593 2,594
8.625% due 10/25/21 366 367
7.955% due 10/25/28 (c) 6,535 6,637
Sears Mortgage
6.500% due 03/25/17 373 345
7.572% due 10/25/22 (c) 3,310 3,480
----------
14,988
----------
Total Mortgage-Backed Securities 206,529
(Cost $206,859) ==========
- --------------------------------------------------------------------------------
Short-Term Instruments - 15.9%
- --------------------------------------------------------------------------------
Discount Notes - 14.5%
Ameritech Corp.
5.410% due 11/18/96 3,400 3,375
Coca-Cola Co.
5.390% due 10/07/96 2,900 2,897
5.270% due 11/14/96 2,400 2,385
</TABLE>
56
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
<S> <C> <C>
Federal National Mortgage Assn.
5.320% due 10/01/96 $ 9,400 $ 9,400
5.210% due 11/07/96 900 895
General Electric Capital Corp.
5.280% due 11/12/96 900 894
4.750% due 11/25/96 5,000 4,959
General Motors Acceptance Corp.
5.320% due 11/25/96 3,600 3,571
Hewlett-Packard Co.
5.300% due 10/25/96 4,500 4,484
New Center Asset Trust
5.300% due 12/06/96 4,400 4,356
----------
37,216
==========
Repurchase Agreement - 1.0%
State Street Bank
4.750% due 10/01/96 2,508 2,508
(Dated 09/30/96. Collateralized by ----------
Federal National Mortgage Assn.
6.58% 11/15/02 valued at $2,562,646.
Repurchase proceeds are $2,508,331.)
U.S. Treasury Bills - 0.4%
5.078% due 10/17/96-11/21/96 (b)(e) 965 961
----------
Total Short-Term Instruments 40,685
(Cost $40,686) ==========
Total Investments (a) - 116.0% $ 297,713
(Cost $297,893)
Written Options (d) - (0.1%) (170)
(Premiums $312)
Other Assets and Liabilities (Net) - (15.9%) (40,823)
----------
Net Assets - 100.0% $ 256,720
==========
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 1996, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 1,891
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (2,071)
----------
Unrealized depreciation-net $ (180)
==========
(b) Securities with an aggregate market value
of $961 have been segregated with the custodian
to cover margin requirements for the following
open future contracts at September 30, 1996:
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 5 Year Note (12/96) 100 $ 88
U.S. Treasury 10 Year Note (12/96) 126 35
----------
$ 123
==========
(c) Variable rate security. The rate listed is as of September 30, 1996.
(d) Premiums received on Written Put Options:
<CAPTION>
Premium Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
CME Eurodollar March Futures
Strike @ 93.00 Exp. 03/17/97 $ 63,000 $ 25 $ 4
CME Eurodollar June Futures
Strike @ 93.50 Exp. 06/16/97 350,000 287 166
-----------------------
$ 312 $ 170
=======================
</TABLE>
(e) Securities are grouped by coupon and represent a range of maturities.
See Notes to Financial Statements
57
<PAGE>
SCHEDULE OF INVESTMENTS
Short-Term Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Corporate Bonds and Notes - 39.2%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance - 21.8%
Advanta National Bank
5.980% due 05/09/97 $ 2,700 $ 2,697
AT&T Capital Corp.
7.800% due 02/10/98 2,000 2,041
Capital One Bank
6.490% due 08/15/97 2,000 2,003
Caterpillar Financial
5.780% due 04/01/99 (d) 2,000 1,990
Donaldson, Lufkin & Jenrette
6.250% due 05/01/26 (d) 1,745 1,745
Ford Motor Credit Corp.
6.170% due 11/09/98 (d) 2,600 2,596
6.090% due 03/23/99 (d) 1,000 1,001
5.460% due 04/05/99 (d) 1,500 1,502
General Motors Acceptance Corp.
5.250% due 12/09/96 2,000 1,998
Kansallis-Osake
7.860% due 09/30/43 (d) 1,000 1,029
Lehman Brothers
6.390% due 09/01/99 (d) 3,000 3,008
Residential Funding
7.438% due 12/01/18 (d) 2,645 2,706
Salomon, Inc.
6.300% due 10/21/96 (d) 500 500
6.151% due 11/21/96 (d) 1,000 1,001
5.790% due 11/26/97 1,700 1,687
5.650% due 02/10/98 1,000 988
----------
28,492
==========
Industrials - 9.7%
Americo
6.850% due 09/18/98 1,000 1,000
COFIRI International, Inc.
5.925% due 10/27/00 (d) 2,000 1,983
Delta Air Lines
9.875% due 01/01/98 1,000 1,041
First Brands Corp.
9.125% due 04/01/99 1,000 1,015
G-I Holdings, Inc.
0.000% due 10/01/98 1,000 873
Sears Roebuck & Co.
5.933% due 03/10/99 (d) 3,000 3,000
TCI Communications, Inc.
7.130% due 02/03/98 3,000 3,013
Time Warner, Inc.
6.460% due 08/15/00 (d) 697 697
----------
12,622
==========
Utilities - 7.7%
Beaver Valley Funding Corp.
8.250% due 06/01/03 1,200 1,179
Consumers Power Co.
8.750% due 02/15/98 2,000 2,049
Gulf States Utilities
5.375% due 02/01/97 2,630 2,621
9.720% due 07/01/98 2,400 2,492
Hydro-Quebec
6.000% due 09/29/49 (d) 300 269
Triton Energy
0.000% due 11/01/97 (e) 1,500 1,389
----------
9,999
----------
Total Corporate Bonds and Notes 51,113
(Cost $50,795) ==========
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Mortgage-Backed Securities - 38.2%
- --------------------------------------------------------------------------------
Federal National Mortgage Association - 1.2%
6.930% due 09/01/23 (d) $ 1,503 $ 1,519
----------
Government National Mortgage Association - 18.5%
5.000% due 04/20/26 1,131 1,091
5.000% due 02/20/26-05/20/26 (d)(h) 7,906 7,622
6.000% due 08/20/25 (d) 1,893 1,878
7.125% due 09/20/23 (d) 5,092 5,164
7.250% due 07/20/23-09/20/24 (d)(h) 8,239 8,403
----------
24,158
==========
Collateralized Mortgage Obligations - 12.3%
Donaldson, Lufkin & Jenrette
7.580% due 10/17/20 (d) 1,742 1,741
7.824% due 09/01/21 (d) 107 108
6.750% due 06/25/22 (d) 707 709
7.110% due 05/25/23 (d) 925 936
Federal National Mortgage Assn.
6.750% due 06/25/21 3,100 2,948
1.000% due 06/25/23 977 907
General Electric Capital Mortgage
6.500% due 12/25/23 529 527
Greenwich
7.705% due 04/25/22 (d) 321 323
7.038% due 10/25/22 (d) 260 262
Guardian
7.219% due 01/25/21 (d) 646 439
Housing Securities, Inc.
6.750% due 05/25/20 122 121
Manufacturers Hanover Corp.
7.250% due 12/16/25 (d) 2,662 2,654
Prudential Bache
6.059% due 09/01/18 (d) 68 68
Prudential Home
6.750% due 01/25/24 2,316 2,295
Resolution Trust Corp.
8.858% due 12/25/20 (d) 727 738
6.735% due 07/25/21 (d) 28 29
6.880% due 06/25/24 (d) 802 808
Ryland Acceptance Corp.
6.593% due 08/25/21 (d) 494 495
----------
16,108
==========
Other Mortgage-Backed Securities - 3.2%
Dime Savings
7.079% due 11/01/18 (d) 599 551
Guardian
6.793% due 12/25/19 (d) 413 272
6.814% due 02/25/20 (d) 529 307
6.852% due 02/25/20 (d) 584 309
Resolution Trust Corp.
8.625% due 10/25/21 1,000 1,003
6.745% due 05/25/29 (d) 1,302 1,314
Ryland Acceptance Corp.
6.880% due 10/25/18 (d) 87 88
6.704% due 12/25/21 (d) 275 277
----------
4,121
==========
Stripped Mortgage-Backed Securities - 3.0%
Federal National Mortgage Assn. (IO)
6.000% due 10/25/03 5,619 238
7.000% due 07/25/06 5,342 688
6.500% due 12/25/06 7,808 933
</TABLE>
58
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
7.000% due 05/25/13 $ 3,760 $ 207
6.500% due 06/25/17 7,975 796
6.500% due 10/25/23 3,949 668
L.F. Rothchild Mortgage (PO)
0.000% due 04/01/17 461 443
----------
3,973
----------
Total Mortgage-Backed Securities $ 49,879
(Cost $50,734) ==========
- --------------------------------------------------------------------------------
Sovereign Issues - 4.5%
- --------------------------------------------------------------------------------
Cemex
10.000% due 11/15/96 1,000 1,004
Government of Malaysia
5.563% due 10/19/05 (d) 1,250 1,250
Nafinsa Trust II
8.075% due 03/31/99 (d) 221 212
Republic of Argentina
6.625% due 03/31/05 (d) 4,018 3,360
----------
Total Sovereign Issues 5,826
(Cost $5,489) ==========
- --------------------------------------------------------------------------------
Foreign Currency-Denominated Issues (c)(g) - 3.0%
- --------------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26 C$ 2,228 1,561
Kingdom of Netherlands
6.250% due 07/15/98 N$ 3,900 2,385
----------
Total Foreign Currency-Denominated Issues 3,946
(Cost $3,939) ==========
- --------------------------------------------------------------------------------
Short-Term Instruments - 18.1%
- --------------------------------------------------------------------------------
Discount Notes - 17.7%
Caisse d'Amortissement
5.350% due 10/28/96 $ 1,800 1,793
5.350% due 12/13/96 500 495
Canadian Wheat Board
5.360% due 11/05/96 1,000 995
Electricite de France
5.340% due 11/18/96 3,400 3,375
Federal National Mortgage Assn.
5.220% due 10/15/96 800 798
Ford Motor Credit Corp.
5.330% due 12/09/96 900 891
General Electric Capital Corp.
5.320% due 10/08/96 700 699
Illinois Tool Works
5.310% due 11/26/96 1,500 1,488
Mobil Australia
5.370% due 10/29/96 6,000 5,975
National Rural Utilities Cooperative
5.280% due 10/30/96 500 498
New Center Asset Trust
5.310% due 11/05/96 4,000 3,979
Proctor & Gamble Co.
5.380% due 11/01/96 2,100 2,090
----------
23,076
==========
Repurchase Agreement - 0.4%
State Street Bank
4.750% due 10/01/96 534 534
(Dated 09/30/96. Collateralized by ----------
Federal National Mortgage Assn.
6.580% 11/15/02 valued at $546,407.
Repurchase proceeds are $534,070.)
Principal
Amount Value
(000's) (000's)
================================================================================
U.S. Treasury Bills - 0.0%
5.100% due 11/14/96(b) 60 60
----------
Total Short-Term Instruments 23,670
(Cost $23,670)
Total Investments (a) - 103.0% $ 134,434
(Cost $134,627)
Written Options (f) - 0.0% (9)
(Premiums $21)
Other Assets and Liabilities (Net) - (3.0%) (3,866)
----------
Net Assets - 100.0% $ 130,559
==========
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 1996, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 962
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (1,155)
----------
Unrealized depreciation-net $ (193)
==========
(b) Securities with an aggregate market value of $60 have been
segregated with the custodian to cover margin requirement
for the following open future contracts at September 30, 1996:
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 2 Year Note (12/96) 11 $ 9
(c) Foreign forward currency contracts outstanding
at September 30, 1996:
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type By Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Buy BF 88,411 06/97 $ (31)
Sell 88,411 06/97 6
Sell C$ 2,064 09/97 (10)
Sell DG 4,238 12/96 113
----------
$ 78
==========
</TABLE>
(d) Variable rate security. The rate listed is as of September 30, 1996.
(e) Security becomes interest bearing at a future date.
59
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Short-Term Fund
September 30, 1996 (unaudited)
================================================================================
(f) Premiums received on Written Put Options:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
CME Eurodollar June Futures $18,000 $ 21 $ 9
Strike @ 93.50 Exp. 06/16/97
</TABLE>
(g) Principal amount denoted in indicated currency:
BF - Belgian Franc
C$ - Canadian Dollar
DG - Dutch Guilder
N$ - New Zealand Dollar
(h) Securities are grouped by coupon and represent a range of maturities.
See Notes to Financial Statements
60
<PAGE>
SCHEDULE OF INVESTMENTS
Long-Term U.S. Government Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
U.S. Treasury Bonds - 63.5%
- --------------------------------------------------------------------------------
<S> <C> <C>
6.250% due 08/15/23 $ 15,200 $ 13,728
6.750% due 08/15/26 161 157
----------
Total U.S. Treasury Bonds 13,885
(Cost $13,802) ==========
- --------------------------------------------------------------------------------
Mortgage-Backed Securities - 89.4%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation - 2.3%
7.257% due 06/01/22 (b) 206 211
7.419% due 05/01/22 (b) 268 276
----------
487
==========
Federal Housing Administration - 7.8%
7.421% due 11/01/19 232 231
7.430% due 12/28/17 1,483 1,478
----------
1,709
==========
Federal National Mortgage Association - 7.1%
7.383% due 05/01/25 (b) 939 965
7.523% due 10/01/24 (b) 569 590
----------
1,555
==========
Government National Mortgage Association - 11.8%
6.500% due 02/20/24 (b) 420 425
7.000% due 11/20/24 (b) 768 782
7.125% due 06/20/23 (b) 706 716
7.250% due 07/20/23 (b) 651 659
----------
2,582
==========
Collateralized Mortgage Obligations - 42.8%
Bear Stearns
7.100% due 06/25/24 385 358
California Federal Bank
6.743% due 08/25/30 (b) 1,685 1,667
Federal Home Loan Mortgage Corp.
9.500% due 01/15/05 159 166
8.000% due 03/15/05 4 4
6.500% due 07/15/21 330 289
Federal National Mortgage Assn.
8.000% due 01/25/19 194 195
7.000% due 02/25/20 657 597
8.750% due 08/25/20 404 417
8.000% due 03/25/22 63 64
7.000% due 06/25/22 320 267
7.800% due 10/25/22 678 651
6.000% due 08/25/23 856 737
General Electric Capital Mortgage
7.500% due 03/25/19 187 188
Independent National Mortgage Corp.
8.088% due 01/25/25 (b) 599 617
Prudential Home
6.500% due 01/25/24 1,000 827
Residential Funding
7.876% due 03/25/25 (b) 565 577
Resolution Trust Corp.
6.638% due 06/25/23 (b) 454 458
Vendee Mortgage
6.500% due 06/15/24 1,736 1,277
----------
9,356
==========
Other Mortgage-Backed Securities - 12.8%
Residential Funding
8.500% due 04/01/02 35 35
Resolution Trust Corp.
6.745% due 05/25/29 (b) 1,735 1,752
Ryland Acceptance Corp.
7.281% due 11/28/22 (b) 1,000 1,018
----------
2,805
==========
Stripped Mortgage-Backed Securities - 4.8%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 07/15/04 1,527 75
6.000% due 08/15/06 502 49
6.500% due 10/15/06 774 86
6.500% due 11/15/06 1,005 97
6.500% due 02/25/07 582 57
6.000% due 10/15/07 999 89
2.675% due 12/15/08 (b) 3,255 155
6.500% due 08/25/20 1,000 150
6.500% due 09/25/21 1,341 211
7.000% due 02/15/26 1,043 71
----------
1,040
----------
Total Mortgage-Backed Securities 19,534
(Cost $19,498) ==========
- --------------------------------------------------------------------------------
Short-Term Instruments - 6.7%
- --------------------------------------------------------------------------------
Discount Notes - 5.5%
E.I. Du Pont de Nemours
5.250% due 10/18/96 300 299
Federal Home Loan Mortgage Corp.
5.290% due 11/13/96 300 298
Ford Motor Credit Corp.
5.290% due 10/18/96 300 299
General Electric Capital Corp.
5.420% due 03/03/97 100 98
Kellog Co.
5.280% due 10/03/96 200 200
----------
1,194
==========
Repurchase Agreement - 0.5%
State Street Bank
4.750% due 10/01/96 120 120
(Dated 09/30/96. Collateralized by ----------
U.S. Treasury Bond 7.500% 11/15/16
valued at $124,164. Repurchase proceeds
are $120,016.)
U.S. Treasury Bills - 0.7%
5.036% due 10/17/96-11/14/96 (d) 150 150
----------
Total Short-Term Instruments 1,464
(Cost $1,464) ==========
Total Investments (a) - 159.6% $ 34,883
(Cost $34,764)
Written Options (c) - (0.1%) (19)
(Premiums $41)
Other Assets and Liabilities (Net) - (59.5%) (13,004)
----------
Net Assets - 100.0% $ 21,860
==========
</TABLE>
61
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Long-Term U.S. Government Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
================================================================================
<S> <C>
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 1996, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 316
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (197)
----------
Unrealized appreciation-net $ 119
==========
(b) Variable rate security. The rate listed is as of
September 30, 1996.
(c) Premiums received on Written Put Options:
<CAPTION>
Premiums Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
CME Eurodollar March Futures
Strike @ 93.00 Exp. 03/17/97 $ 3,000 $ 1 $ 0
CME Eurodollar June Futures
Strike @ 93.50 Exp. 06/16/97 39,000 40 19
-----------------------
$ 41 $ 19
=======================
</TABLE>
(d) Securities are grouped by coupon rate and represent a range of maturities.
See Notes to Financial Statements
62
<PAGE>
SCHEDULE OF INVESTMENTS
Foreign Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ----------------------------------------------------------------------------
<S> <C> <C>
Argentina (c) (e) - 3.1%
- ----------------------------------------------------------------------------
Republic of Argentina
7.850% due 01/17/97 $ 6,000 $ 5,845
8.000% due 08/09/97 DG 1,300 777
----------
Total Argentina 6,622
==========
(Cost $6,655)
- ----------------------------------------------------------------------------
Belgium (c) (e) - 4.7%
- ----------------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/03 BF 200 8
5.100% due 11/21/04 (d) 183,200 6,064
8.500% due 10/01/07 106,300 3,953
----------
Total Belgium 10,025
==========
(Cost $10,048)
- ----------------------------------------------------------------------------
Canada (c) (e) - 30.7%
- ----------------------------------------------------------------------------
Commonwealth of Canada
9.000% due 12/01/04 C$ 18,460 15,264
8.000% due 12/01/06 57,200 44,295
Hydro-Quebec
6.000% due 09/29/49 (d) $ 4,000 3,584
Roger Cantel, Inc.
10.500% due 06/01/06 C$ 2,500 1,890
Sears Canada
11.700% due 07/10/00 1,000 850
----------
Total Canada 65,883
==========
(Cost $65,071)
- ----------------------------------------------------------------------------
Czechoslovakia (c) (e) - 4.6%
- ----------------------------------------------------------------------------
Bayerische Landesbank
11.500% due 10/09/97 CK 134,000 4,969
International Bank of
Reconstruction & Development
11.500% due 10/09/97 134,000 4,971
----------
Total Czechoslovakia 9,940
==========
(Cost $9,967)
- ----------------------------------------------------------------------------
Denmark (c) (e) - 1.9%
- ----------------------------------------------------------------------------
Kingdom of Denmark
8.000% due 05/15/03 DK 22,400 4,155
----------
Total Denmark 4,155
==========
(Cost $4,104)
- ----------------------------------------------------------------------------
Finland (e) - 3.8%
- ----------------------------------------------------------------------------
Republic of Finland
3.760% due 08/15/97 FM 30,000 6,376
3.600% due 09/15/97 8,000 1,695
----------
Total Finland 8,071
==========
(Cost $8,110)
- ----------------------------------------------------------------------------
France (c) (e) - 4.7%
- ----------------------------------------------------------------------------
Republic of France
7.750% due 10/25/05 FF 46,320 10,035
----------
Total France 10,035
==========
(Cost $9,820)
- ----------------------------------------------------------------------------
Germany (c) (e) - 6.8%
- ----------------------------------------------------------------------------
Republic of Germany
9.000% due 10/20/00 DM 4,200 3,175
6.875% due 06/11/03 16,300 11,389
----------
Total Germany 14,564
==========
(Cost $14,564)
- ----------------------------------------------------------------------------
Italy (c) (e) - 6.2%
- ----------------------------------------------------------------------------
Republic of Italy
9.188% due 09/01/05 IL 17,990,000 $ 13,274
----------
Total Italy 13,274
==========
(Cost $12,703)
- ----------------------------------------------------------------------------
Japan (c) (e) - 34.3%
- ----------------------------------------------------------------------------
Government of Japan
4.800% due 06/21/99 JY 3,248,000 32,024
6.400% due 03/20/00 2,263,000 23,726
5.500% due 03/20/02 1,717,000 18,079
----------
Total Japan 73,829
==========
(Cost $73,832)
- ----------------------------------------------------------------------------
Mexico (c) (e) - 11.9%
- ----------------------------------------------------------------------------
Bancomer
8.000% due 07/07/98 $ 2,000 1,990
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 13,000 8,755
Nacional Financiera
6.000% due 12/19/96 $ 1,000 998
8.125% due 12/15/97 (d) 165 163
Petroleos Mexicanos
7.750% due 09/30/98 FF 44,000 8,760
Third Mexican Acceptance Corp.
7.370% due 03/15/98 $ 1,000 975
United Mexican States
5.820% due 06/28/01 4,500 3,848
----------
Total Mexico 25,489
==========
(Cost $23,281)
- ----------------------------------------------------------------------------
Netherlands (c) (e) - 56.6%
- ----------------------------------------------------------------------------
Kingdom of Netherlands
6.250% due 07/15/98 DG 184,100 112,583
9.000% due 05/15/00 13,400 8,998
----------
Total Netherlands 121,581
==========
(Cost $123,664)
- ----------------------------------------------------------------------------
New Zealand (c) (e) - 7.3%
- ----------------------------------------------------------------------------
Commonwealth of New Zealand
10.000% due 07/15/97 N$ 7,110 5,015
6.500% due 02/15/00 10,200 6,792
10.000% due 03/15/02 3,330 2,517
8.000% due 04/15/04 500 347
8.000% due 11/15/06 1,400 974
----------
Total New Zealand 15,645
==========
(Cost $15,157)
- ----------------------------------------------------------------------------
Spain (c) (e) - 4.4%
- ----------------------------------------------------------------------------
Kingdom of Spain
10.000% due 02/28/05 SP 283,000 2,405
10.900% due 08/30/03 781,000 7,100
----------
Total Spain 9,505
==========
(Cost $9,241)
- ----------------------------------------------------------------------------
Sweden (c) (e) - 10.2%
- ----------------------------------------------------------------------------
Kingdom of Sweden
5.440% due 12/06/96 $ 2,700 2,673
11.000% due 01/21/99 SK 115,200 19,256
----------
Total Sweden 21,929
==========
(Cost $21,419)
</TABLE>
63
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Foreign Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ----------------------------------------------------------------------------
<S> <C> <C>
United Kingdom (c) (e) - 21.2%
- ----------------------------------------------------------------------------
United Kingdom Gilt
6.000% due 08/10/99 BP 29,560 $ 45,560
----------
Total United Kingdom 45,560
==========
(Cost $45,151)
- ----------------------------------------------------------------------------
United States (c) (e) - 30.6%
- ----------------------------------------------------------------------------
Corporate Bonds and Notes - 6.6%
First USA Bank
5.963% due 03/24/97 (d) $ 4,400 4,407
Hewlett Packard Co.
5.625% due 11/20/00 DM 2,500 1,679
Resolution Trust Corp.
7.750% due 04/25/28 $ 4,685 4,682
Time Warner, Inc.
6.460% due 08/15/00 (d) 875 875
7.975% due 08/15/04 525 531
8.110% due 08/15/06 1,050 1,046
8.180% due 08/15/07 1,050 1,061
----------
14,281
==========
Mortgage-Backed Securities - 23.4%
Chase Mortgage Financial Corp.
7.500% due 11/25/23 63 63
Collateralized Mortgage Obligation Trust
9.000% due 05/01/14 80 83
Federal Home Loan Mortgage Corp.
7.757% due 08/01/24 (d) 2,938 3,033
9.000% due 11/15/19 68 68
9.050% due 06/15/19 190 198
Federal National Mortgage Assn.
6.067% due 08/01/29 (d) 2,340 2,321
6.073% due 12/01/27 (d) 966 957
Government National Mortgage Assn.
6.875% due 09/20/22 (d) 913 930
7.000% due 11/20/21-10/20/24 (d)(g) 14,038 14,238
7.125% due 05/20/22-09/20/23 (d)(g) 3,344 3,390
7.250% due 07/20/23-09/20/24 (d)(g) 10,302 10,456
Independent National Mortgage Corp.
7.842% due 11/25/24 (d) 542 551
Morgan Stanley Mortgage
8.150% due 07/20/21 6 6
Paine Webber Mortgage
7.000% due 10/25/23 2,063 2,063
Resolution Trust Corp.
7.500% due 12/15/04 664 664
10.641% due 05/25/24 (d) 316 326
Ryland Acceptance Corp.
7.822% due 09/25/23 (d) 10,390 10,552
Sears Mortgage
6.424% due 06/25/22 (d) 264 264
8.250% due 09/25/31 151 149
----------
50,312
==========
Asset-Backed Securities - 0.6%
Student Loan Marketing Assn.
5.895% due 04/25/04 (d) 1,370 1,372
----------
1,372
----------
Total United States 65,965
==========
(Cost $66,148)
- ----------------------------------------------------------------------------
Purchased OTC Call Options (e) - 11.8%
- ----------------------------------------------------------------------------
Commonwealth of Canada
8.000% due 11/01/98 (f) C$ 28,600 2,127
Strike @ 94.27 Exp. 01/15/97
Kingdom of Denmark
8.000% due 05/15/03 (f) DK 22,400 470
Strike @ 96.25 Exp. 11/21/96
Government of Japan
4.800% due 06/21/99 (f) JY 3,248,000 3,246
Strike @ 98.00 Exp. 11/15/96
6.400% due 03/20/00 (f) 2,263,000 2,228
Strike @ 104.50 Exp. 12/11/96
5.500% due 03/20/02 (f) 238,000 262
Strike @ 104.00 Exp. 12/03/96
5.500% due 03/20/02 (f) 208,000 197
Strike @ 105.66 Exp. 01/10/97
Kingdom of Netherlands
6.250% due 07/15/98 (f) DG 29,500 1,830
Strike @ 93.50 Exp. 11/19/96
6.250% due 07/15/98 (f) 135,500 8,299
Strike @ 93.50 Exp. 12/03/96
6.250% due 07/15/98 (f) 9,000 557
Strike @ 93.50 Exp. 12/11/96
6.250% due 07/15/98 (f) 10,100 580
Strike @ 93.569 Exp. 01/13/97
Kingdom of Spain
10.900% due 08/30/03 (f) SP 781,000 1,209
Strike @ 97.10 Exp. 10/01/96
United Kingdom
6.000% due 08/10/99 (f) BP 27,500 4,374
----------
Strike @ 88.30 Exp. 10/07/96
Total Purchased OTC Call Options 25,379
==========
(Cost $24,260)
- ----------------------------------------------------------------------------
Short-Term Instruments - 34.7%
- ----------------------------------------------------------------------------
Discount Notes - 32.2%
Abbott Laboratories
5.320% due 10/24/96 $ 6,200 6,179
Ameritech Corp.
5.420% due 10/28/96 600 598
Caisse d'Amortissement
5.320% due 11/20/96 6,200 6,154
Canadian Wheat Board
5.360% due 11/05/96 800 796
5.270% due 11/06/96 2,500 2,487
5.250% due 11/13/96 900 894
Coca-Cola Co.
5.390% due 10/07/96 1,900 1,898
5.270% due 11/14/96 7,500 7,452
Commonwealth Bank of Australia
5.260% due 10/22/96 1,000 997
E.I. Du Pont de Nemours
5.260% due 11/19/96 4,000 3,971
Electricite de France
5.400% due 10/18/96 2,300 2,294
5.270% due 11/12/96 6,400 6,361
5.300% due 11/27/96 7,100 7,040
Ford Motor Credit Co.
5.440% due 10/04/96 2,000 1,999
5.410% due 10/07/96 1,500 1,499
Hewlett Packard Co.
5.300% due 10/25/96 1,800 1,794
Mobil Australia
5.340% due 10/16/96 1,500 1,497
National Rural Utilities Cooperative
5.350% due 10/16/96 1,800 1,796
5.280% due 10/30/96 1,800 1,792
5.350% due 11/04/96 5,000 4,975
New Center Asset Trust
5.300% due 12/06/96 1,900 1,881
Norfolk Southern Corp.
5.400% due 11/05/96 1,400 1,393
</TABLE>
64
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ----------------------------------------------------------------------------
<S> <C> <C>
Shell Oil Co.
5.330% due 10/04/96 $ 2,400 $ 2,399
Western Australia Treasury Corp.
5.290% due 11/20/96 1,100 1,092
----------
69,238
==========
Repurchase Agreement - 2.1%
State Street Bank
4.750% due 10/01/96 4,545 4,545
----------
(Dated 09/30/96. Collateralized by
Federal National Mortgage Assn.
6.580% 11/15/02 valued at $4,638,991.
Repurchase proceeds are $4,545,600.)
U.S. Treasury Bills - 0.4%
5.027% due 10/17/96-11/14/96 (b)(g) 924 920
----------
Total Short-Term Instruments 74,703
==========
(Cost $74,703)
Total Investments (a) - 289.5% $ 622,154
(Cost $617,898)
Other Assets and Liabilities (Net) - (189.5%) (407,243)
----------
Net Assets - 100.0% $ 214,911
==========
Notes to Schedule of Investments ($ in thousands):
(a)At September 30, 1996, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 7,187
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (2,931)
----------
Unrealized appreciation-net $ 4,256
==========
</TABLE>
(b)Securities with an aggregate market value of $920 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at September 30, 1996:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- ----------------------------------------------------------------------------
<S> <C> <C>
Commonwealth of Australia 3 Year Note (12/96) 39 $ 35
Commonwealth of Australia 10 Year Bond (12/96) 31 67
Republic of Germany 10 Year Bond (12/96) 67 256
U.S. Treasury 30 Year Bond (12/96) 118 (258)
----------
$ 100
==========
</TABLE>
(c)Foreign forward currency contracts outstanding
at September 30, 1996:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy A$ 2,470 04/97 $ (1)
Sell 4,880 10/96 (6)
Sell A$ 214 04/97 (5)
Buy AP 2,100 12/96 124
Buy BF 143 10/96 0
Sell 2,800 12/96 2
Buy BP 670 11/96 12
Sell 676 11/96 (4)
Sell 405 12/96 (3)
Buy C$ 730 10/96 3
Buy 250 12/96 1
Sell 2,491 10/96 (4)
Sell 2,162 11/96 (6)
Buy CK 234,080 11/96 42
Buy DG 742 12/96 (14)
Sell 7,685 12/96 122
Buy DK 81 12/96 0
Sell 100 12/96 0
Buy DM 20,333 11/96 (258)
Buy 66,059 12/96 (436)
Sell 64,025 12/96 2,913
Sell 6,563 01/97 252
Sell 15,763 03/97 415
Sell 21,014 04/97 418
Buy FF 33,991 12/96 (23)
Sell 82,468 12/96 240
Buy IR 4,862,000 03/97 55
Sell 48,100 03/97 0
Buy IL 14,990,177 10/96 25
Buy 3,912,312 11/96 3
Buy 3,913,340 12/96 0
Sell 6,378,500 10/96 7
Sell 16,758,600 12/96 39
Buy JY 8,579,570 10/96 (11,282)
Buy 597,000 12/96 (79)
Sell 8,297,754 10/96 12,249
Sell 443,524 12/96 103
Buy N$ 3,827 11/96 53
Sell 10,685 10/96 (113)
Sell 8,370 11/96 (109)
Buy SF 800 01/97 (26)
Sell 15,500 11/96 519
Buy SK 51,051 10/96 15
Buy 20,403 12/96 (3)
Sell 8,100 11/96 0
Sell 93,188 12/96 (2)
Buy SP 1,107,929 10/96 (134)
Buy 99,395 01/97 (8)
Sell 242,984 10/96 24
----------
$ 5,120
==========
</TABLE>
(d)Variable rate security. The rate listed is as of September 30, 1996.
(e)Principal amount denoted in the indicated currency:
A$ - Australian Dollar FF - French Franc
AP - Argentine Peso FM - Finnish Markka
BF - Belgian Franc IR - Indonesian Rupiah
BP - British Pound IL - Italian Lira
C$ - Canadian Dollar JY - Japanese Yen
CK - Czech Koruna N$ - New Zealand Dollar
DG - Dutch Guilder SF - Swiss Franc
DK - Danish Krone SK - Swedish Krona
DM - German Mark SP - Spanish Peseta
(f)Security is subject to outstanding forward sale commitment.
(g)Securities are grouped by coupon and represent a range of maturities.
See Notes to Financial Statements
65
<PAGE>
SCHEDULE OF INVESTMENTS
Global Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ----------------------------------------------------------------------------
<S> <C> <C>
Argentina (c) (e) - 2.6%
- ----------------------------------------------------------------------------
Letras Del Tesoro
7.850% due 01/17/97 $ 4,000 $ 3,897
Republic of Argentina
8.000% due 08/09/97 (d) DG 600 359
----------
Total Argentina 4,256
==========
(Cost $4,271)
- ----------------------------------------------------------------------------
Belgium (c) (e) - 3.0%
- ----------------------------------------------------------------------------
Kingdom of Belgium
5.100% due 11/21/04 (d) BF 95,900 3,174
8.500% due 10/01/07 43,800 1,629
----------
Total Belgium 4,803
==========
(Cost $4,815)
- ----------------------------------------------------------------------------
Canada (c) (e) - 27.7%
- ----------------------------------------------------------------------------
Commonwealth of Canada
9.000% due 12/01/04 C$ 7,900 6,532
8.000% due 12/01/06 43,200 33,454
Roger Cantel, Inc.
10.500% due 06/01/06 6,000 4,536
----------
Total Canada 44,522
==========
(Cost $43,871)
- ----------------------------------------------------------------------------
Czechoslovakia (c) (e) - 4.7%
- ----------------------------------------------------------------------------
Bayerische Landesbank
11.500% due 10/09/97 CK 102,000 3,783
International Bank of
Reconstruction & Development
11.500% due 10/09/97 101,000 3,747
----------
Total Czechoslovakia 7,530
==========
(Cost $7,550)
- ----------------------------------------------------------------------------
Denmark (c) (e) - 1.3%
- ----------------------------------------------------------------------------
Kingdom of Denmark
8.000% due 05/15/03 DK 11,000 2,040
----------
Total Denmark 2,040
==========
(Cost $2,016)
- ----------------------------------------------------------------------------
Finland (c) (e) - 4.0%
- ----------------------------------------------------------------------------
Republic of Finland
3.760% due 08/15/97 FM 24,000 5,101
3.600% due 09/15/97 6,000 1,271
----------
Total Finland 6,372
==========
(Cost $6,403)
- ----------------------------------------------------------------------------
France (c) (e) - 2.5%
- ----------------------------------------------------------------------------
Republic of France
7.750% due 10/25/05 FF 18,850 4,084
----------
Total France 4,084
==========
(Cost $3,996)
- ----------------------------------------------------------------------------
Germany (c) (e) - 5.1%
- ----------------------------------------------------------------------------
Republic of Germany
9.000% due 10/20/00 DM 3,500 2,646
6.875% due 06/11/03 4,600 3,214
7.375% due 01/03/05 3,200 2,285
----------
Total Germany 8,145
==========
(Cost $8,163)
- ----------------------------------------------------------------------------
Italy (c) (e) - 4.1%
- ----------------------------------------------------------------------------
Republic of Italy
9.188% due 09/01/05 IL 8,950,000 $ 6,604
----------
Total Italy 6,604
==========
(Cost $6,320)
- ----------------------------------------------------------------------------
Japan (c) (e) - 16.9%
- ----------------------------------------------------------------------------
Government of Japan
4.800% due 06/21/99 JY 945,000 9,317
6.400% due 03/20/00 1,138,000 11,931
5.500% due 03/20/02 567,000 5,970
----------
Total Japan 27,218
==========
(Cost $27,243)
- ----------------------------------------------------------------------------
Mexico (c) (e) - 2.0%
- ----------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 500 337
Cemex
10.000% due 11/15/96 $ 1,000 1,004
Third Mexican Acceptance Corp.
7.370% due 03/15/98 2,000 1,950
----------
Total Mexico 3,291
==========
(Cost $3,223)
- ----------------------------------------------------------------------------
Netherlands (c) (e) - 46.8%
- ----------------------------------------------------------------------------
Kingdom of Netherlands
6.250% due 07/15/98 DG 112,400 68,736
9.000% due 05/15/00 5,300 3,559
8.250% due 02/15/07 4,400 3,001
----------
Total Netherlands 75,296
==========
(Cost $76,576)
- ----------------------------------------------------------------------------
New Zealand (c) (e) - 6.7%
- ----------------------------------------------------------------------------
Commonwealth of New Zealand
10.000% due 07/15/97 N$ 5,020 3,541
6.500% due 02/15/00 6,000 3,995
10.000% due 03/15/02 1,540 1,164
8.000% due 04/15/04 1,200 833
8.000% due 11/15/06 1,860 1,293
----------
Total New Zealand 10,826
==========
(Cost $10,484)
- ----------------------------------------------------------------------------
Spain (c) (e) - 2.9%
- ----------------------------------------------------------------------------
Kingdom of Spain
10.900% due 08/30/03 SP 423,200 3,848
10.000% due 02/28/05 86,000 731
----------
Total Spain 4,579
==========
(Cost $4,454)
- ----------------------------------------------------------------------------
Sweden (c) (e) - 6.9%
- ----------------------------------------------------------------------------
Kingdom of Sweden
11.000% due 01/21/99 SK 66,500 11,116
----------
Total Sweden 11,116
==========
(Cost $10,895)
- ----------------------------------------------------------------------------
United Kingdom (c) (e) - 13.0%
- ----------------------------------------------------------------------------
United Kingdom Gilt
6.000% due 08/10/99 BP 13,610 20,977
----------
Total United Kingdom 20,977
==========
(Cost $20,775)
</TABLE>
66
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ----------------------------------------------------------------------------
<S> <C> <C>
United States (c) (e) - 29.7%
- ----------------------------------------------------------------------------
Corporate Bonds and Notes - 9.9%
CMS Energy
9.500% due 10/01/97 (d) $ 750 $ 767
CTC Mansfield Funding
11.125% due 09/30/16 700 742
Dean Witter Discover
5.610% due 02/01/99 (d) 1,000 999
5.645% due 02/05/99 (d) 1,000 1,003
First USA, Inc.
5.963% due 03/24/97 (d) 2,200 2,204
General Motors Acceptance Corp.
6.500% due 05/15/97 1,000 1,005
Hewlett Packard Co.
5.625% due 11/20/00 DM 1,300 873
Kansallis-Osake
7.860% due 09/30/43 (d) $ 5,000 5,145
TCI Communications, Inc.
6.257% due 04/01/02 (d) 2,700 2,647
United Air Lines
10.670% due 05/01/04 500 580
----------
15,965
==========
Mortgage-Backed Securities - 18.9%
Countrywide
7.842% due 11/25/24 (d) 271 275
Federal Home Loan Mortgage Corp.
7.342% due 05/01/23 (d) 1,322 1,362
Federal Housing Administration
7.399% due 02/01/21 1,693 1,690
Federal National Mortgage Assn.
6.067% due 08/01/29 (d) 1,260 1,250
6.073% due 12/01/27 (d) 432 428
6.500% due 04/01/09 824 804
7.500% due 11/01/01-01/01/02 (f) 1,155 1,170
7.514% due 03/01/24 (d) 540 553
7.684% due 11/01/23 (d) 986 1,016
Government National Mortgage Assn.
6.875% due 09/20/22 (d) 448 456
7.000% due 07/20/23-10/20/24 (d)(f) 3,461 3,512
7.125% due 05/20/23-09/20/23 (d)(f) 2,953 2,995
7.250% due 07/20/22-09/20/24 (d)(f) 10,783 10,973
Residential Funding
7.876% due 03/25/25 (d) 2,827 2,887
Resolution Trust Corp.
8.000% due 04/25/25 1,000 1,003
----------
30,374
==========
Asset-Backed Securities - 0.9%
Student Loan Marketing Assn.
5.895% due 04/25/04 (d) 1,370 1,372
----------
Total United States 47,711
==========
(Cost $47,352)
- ----------------------------------------------------------------------------
Purchased OTC Call Options (e) - 9.3%
- ----------------------------------------------------------------------------
Commonwealth of Canada
8.000% due 11/01/98 (g) C$ 21,600 1,606
Strike @ 94.27 Exp. 01/15/97
8.000% due 11/01/98 (g) 21,600 1,601
Strike @ 94.32 Exp. 01/14/97
Kingdom of Denmark
8.000% due 05/15/03 (g) DK 11,000 231
Strike @ 96.25 Exp. 11/21/96
Government of Japan
6.400% due 06/21/99 (g) JY 47,000 42
Strike @ 104.93 Exp. 01/10/97
4.800% due 06/21/99 (g) JY 240,000 240
Strike @ 98.00 Exp. 11/15/96
6.400% due 03/20/00 (g) 1,091,000 1,074
Strike @ 104.45 Exp. 12/11/96
5.500% due 03/20/02 (g) 148,000 163
Strike @ 104.00 Exp. 12/03/96
5.500% due 03/20/02 (g) 32,000 30
Strike @ 105.66 Exp. 01/10/97
Kingdom of Netherlands
6.250% due 07/15/98 (g) DG 13,000 806
Strike @ 93.50 Exp. 11/19/96
6.250% due 07/15/98 (g) 49,700 3,045
Strike @ 93.50 Exp. 12/11/96
6.250% due 07/15/98 (g) 49,700 3,079
Strike @ 93.50 Exp. 12/03/96
Kingdom of Spain
10.900% due 08/30/03 (g) SP 387,000 599
Strike @ 97.10 Exp. 10/01/96
Kingdom of Sweden
11.000% due 01/21/99 (g) SK 20,500 335
Strike @ 100.00 Exp. 11/21/96
United Kingdom
6.000% due 08/10/99 (g) BP 13,220 2,103
----------
Strike @ 88.30 Exp. 10/07/96
Total Purchased OTC Call Options 14,954
==========
(Cost $14,406)
- ----------------------------------------------------------------------------
Short-Term Instruments - 46.2%
- ----------------------------------------------------------------------------
Discount Notes - 44.7%
Ameritech Corp.
5.420% due 10/28/96 $ 500 498
Caisse d'Amortissement
5.310% due 10/07/96 3,600 3,598
5.320% due 10/22/96 700 698
5.320% due 11/20/96 1,300 1,290
5.310% due 11/25/96 2,100 2,083
Canadian Wheat Board
5.270% due 11/06/96 2,400 2,387
5.250% due 11/13/96 900 894
E.I. Du Pont de Nemours
5.250% due 10/07/96 6,400 6,394
Electricite de France
5.340% due 11/18/96 5,000 4,964
Federal Home Loan Mortgage Corp.
5.200% due 11/13/96 300 298
Federal National Mortgage Assn.
5.230% due 11/21/96 1,800 1,787
5.180% due 11/27/96 5,000 4,959
Ford Motor Credit Corp.
5.440% due 10/04/96 7,300 7,297
General Electric Capital Corp.
5.320% due 10/08/96 700 699
5.420% due 03/03/97 2,700 2,638
Hewlett-Packard Co.
5.400% due 11/27/96 200 198
Minnesota Mining & Mfg. Co.
5.280% due 11/22/96 8,000 7,939
Mobil Australia
5.370% due 10/29/96 7,700 7,668
Motorola
5.300% due 10/03/96 3,500 3,499
5.340% due 10/23/96 1,200 1,196
National Rural Utilities Cooperative
5.280% due 10/28/96 2,000 1,992
5.340% due 11/13/96 1,000 994
Norfolk Southern Corp.
5.400% due 11/05/96 2,300 2,288
Proctor & Gamble Co.
5.270% due 10/08/96 2,400 2,398
</TABLE>
67
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Global Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ----------------------------------------------------------------------------
<S> <C> <C>
Shell Oil Co.
5.330% due 10/04/96 $ 2,400 $ 2,399
Wool International
5.270% due 11/20/96 800 794
----------
71,849
==========
Repurchase Agreement - 0.8%
State Street Bank
4.750% due 10/01/96 1,352 1,352
(Dated 09/30/96. Collateralized by
U.S. Treasury Bill 02/27/97
valued at $1,380,155. Repurchase
proceeds are $1,352,178.)
U.S. Treasury Bills - 0.7%
5.037% due 10/17/96-11/21/96 (b) (f) 1,111 1,105
----------
Total Short-Term Instruments 74,306
==========
(Cost $74,306)
Total Investments (a) - 235.4% $ 378,630
(Cost $377,119)
Other Assets and Liabilities (Net) - (135.4%) (217,784)
----------
Net Assets - 100.0% $ 160,846
==========
Notes to Schedule of Investments ($ in thousands):
(a)At September 30, 1996, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of
value over tax cost. $ 3,145
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value. (1,634)
----------
Unrealized appreciation-net $ 1,511
==========
</TABLE>
(b)Securities with an aggregate market value of $1,105 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at September 30, 1996:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Appreciation
- ----------------------------------------------------------------------------
<S> <C> <C>
Commonwealth of Australia 3 Year Bond (12/96) 30 $ 27
Commonwealth of Australia 10 Year Bond (12/96) 13 30
Republic of Germany 10 Year Bond (12/96) 33 132
U.S. Treasury 10 Year Bond (12/96) 296 404
----------
$ 593
==========
</TABLE>
(c)Foreign forward currency contracts outstanding at
September 30, 1996:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation\
Type by Contract Month (Depreciation)
- ----------------------------------------------------------------------------
<S> <C> <C> <C>
Sell A$ 2,013 10/96 $ (2)
Buy 2,529 04/97 42
Buy AP 900 12/96 53
Sell BF 71 10/96 (0)
Buy 152,800 12/96 (55)
Buy BP 890 11/96 15
Sell 341 11/96 (2)
Buy 4,674 12/96 39
Buy C$ 963 10/96 2
Sell 3,170 10/96 (5)
Buy 4,779 11/96 8
Buy 200 12/96 1
Buy 6,723 03/97 (24)
Buy CK 168,231 11/96 39
Buy DG 6,306 12/96 (138)
Sell 9,689 12/96 118
Buy DK 17,626 12/96 (22)
Buy DM 11,891 11/96 (145)
Buy 44,992 12/96 (303)
Sell 26,775 12/96 1,158
Buy 3,992 01/97 (153)
Sell 12,170 03/97 328
Sell 8,995 04/97 188
Buy FF 72,489 12/96 (190)
Sell 6,740 12/96 12
Buy FM 100 11/96 0
Buy IL 6,826,146 10/96 13
Sell 4,644,500 10/96 5
Buy 1,467,117 11/96 1
Buy 13,640,080 12/96 (32)
Sell 4,644,500 12/96 5
Buy IR 3,755,700 03/97 42
Buy JY 5,340,889 10/96 (5,253)
Sell 3,075,000 10/96 4,827
Buy 430,300 12/96 (62)
Sell 208,917 12/96 47
Sell N$ 7,773 10/96 (74)
Buy 391 11/96 5
Sell 2,520 11/96 (33)
Sell SF 11,400 11/96 380
Sell 100 01/97 3
Buy SK 20,183 10/96 6
Sell 700 11/96 0
Buy 20,162 12/96 (3)
Sell 46,961 12/96 (3)
Buy SP 892,901 10/96 (115)
Sell 58,166 10/96 1
Buy 672,546 01/97 (55)
----------
$ 669
==========
</TABLE>
(d)Variable rate security. The rate listed is as of September 30, 1996.
(e)Principal amount denoted in indicated currency:
A$ - Australian Dollar FF - French Franc
AP - Argentine Peso FM - Finnish Markka
BF - Belgian Franc IL - Italian Lira
BP - British Pound IR - Indonesian Rupiah
C$ - Canadian Dollar JY - Japanese Yen
CK - Czech Koruna N$ - New Zealand Dollar
DG - Dutch Guilder SF - Swiss Franc
DK - Danish Krone SK - Swedish Krona
DM - German Mark SP - Spanish Peseta
(f)Securities are grouped by coupon and represent a range of maturities.
(g)Security subject to outstanding forward sale commitment.
See Notes to Financial Statements
68
<PAGE>
SCHEDULE OF INVESTMENTS
High Yield Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ----------------------------------------------------------------------------
<S> <C> <C>
Corporate Bonds and Notes - 79.6%
- ----------------------------------------------------------------------------
Banking and Finance - 8.0%
Americo Life, Inc.
9.250% due 06/01/05 $ 2,000 $ 1,925
Coleman Holdings
0.000% due 05/27/98 (b) 6,850 5,908
First Nationwide Holdings
12.500% due 04/15/03 9,450 10,253
10.625% due 10/01/03 2,850 2,996
Navistar Financial
8.875% due 11/15/98 4,500 4,522
Newsquest Capital
11.000% due 05/01/06 4,250 4,399
Panda Funding Corp.
11.625% due 08/20/12 3,350 3,421
Phoenix RE Corp.
9.750% due 08/15/03 6,550 6,943
Reliance Financial Services
7.866% due 12/01/00 (c) 1,000 1,013
Reliance Group Holdings
9.000% due 11/15/00 8,500 8,691
Trizec Finance
10.875% due 10/15/05 7,900 8,581
UCC Investors
10.500% due 05/01/02 1,500 1,592
----------
60,244
==========
Industrials - 60.3%
Abbey Healthcare Group
9.500% due 11/01/02 7,470 7,750
Albritton Communications
9.750% due 11/30/07 4,000 3,890
American Airlines
10.610% due 03/04/10 650 798
American Standard
9.250% due 12/01/16 6,440 6,601
Amerigas Partners L.P.
10.125% due 04/15/07 8,150 8,537
Ametek, Inc.
9.750% due 03/15/04 5,500 5,775
Atlas Air, Inc.
12.250% due 12/01/02 1,500 1,609
Bell & Howell Co.
10.750% due 10/01/02 4,000 4,270
0.000% due 03/01/05 (b) 2,100 1,481
Benedek Broadcasting Corp.
11.875% due 03/01/05 6,850 7,518
Buckeye Cellulose Corp.
8.500% due 12/15/05 2,500 2,419
Building Materials Corp.
0.000% due 07/01/04 (b) 22,470 18,088
Cablevision Systems
10.500% due 05/15/16 7,000 7,158
9.875% due 04/01/23 3,000 2,910
Century Communication
11.875% due 10/15/03 5,500 5,940
CF Cable TV, Inc.
9.125% due 07/15/07 7,000 7,175
Clark Oil Refining Corp.
10.500% due 12/01/01 1,000 1,035
Clark R & M Holdings
0.000% due 02/15/00 8,000 5,730
Clark-Schwebel
10.500% due 04/15/06 2,250 2,354
Cumberland Farms
10.500% due 10/01/03 7,208 6,956
Delta Air Lines
10.790% due 03/26/14 2,264 2,730
Dimon, Inc.
8.875% due 06/01/06 3,000 3,023
Doane Products Co.
10.625% due 03/01/06 1,500 1,568
Exide Corp.
0.000% due 12/15/04 (b) 2,250 2,031
Falcon Drilling, Inc.
9.750% due 01/15/01 3,450 3,489
Ferrell Gas
10.000% due 08/01/01 7,100 7,420
Figgie International, Inc.
9.875% due 10/01/99 3,240 3,345
Flores and Rucks
9.750% due 10/01/06 3,300 3,370
Foodmaker, Inc.
9.250% due 03/01/99 4,400 4,439
G-I Holdings, Inc.
0.000% due 10/01/98 (b) 430 375
Granite Broadcasting Corp.
10.375% due 05/15/05 3,750 3,834
Griffin Gaming
0.000% due 06/30/00 4,250 4,101
Gulf Canada Resources
9.250% due 01/15/04 9,000 9,258
HMH Properties
9.500% due 05/15/05 7,500 7,538
Hollinger International Publishing
9.250% due 02/01/06 7,400 7,234
HS Resources
9.875% due 12/01/03 3,250 3,209
IMO Industries
11.750% due 05/01/06 2,500 2,600
Integrated Health Services
9.625% due 05/31/02 3,500 3,579
10.750% due 07/15/04 3,250 3,445
10.250% due 04/30/06 2,000 2,073
J. Ray McDermott
9.375% due 07/15/06 7,900 8,038
J.Q. Hammons Hotels
8.875% due 02/15/04 7,500 7,256
Jones Intercable, Inc.
10.500% due 03/01/08 3,500 3,754
Jorgensen, Earle M. Co.
10.750% due 03/01/00 5,050 5,151
K-III Communications Co.
8.500% due 02/01/06 9,000 8,393
KCS Energy, Inc.
11.000% due 01/15/03 6,100 6,649
La Quinta Inns, Inc.
9.250% due 05/15/03 3,100 3,193
Lenfest Communications
8.375% due 11/01/05 7,500 7,088
Magnetek, Inc.
10.750% due 11/15/98 4,250 4,335
Marcus Cable
0.000% due 08/01/04 (b) 8,900 6,953
Moog, Inc.
10.000% due 05/01/06 3,250 3,348
Muzak LP/Muzak Capital
10.000% due 10/01/03 2,800 2,832
NL Industries
11.750% due 10/15/03 5,100 5,406
Nuevo Energy Co.
12.500% due 06/15/02 5,732 6,176
</TABLE>
69
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
High Yield Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ----------------------------------------------------------------------------
<S> <C> <C>
9.500% due 04/15/06 $ 2,500 $ 2,575
Owens & Minor
10.875% due 06/01/06 4,850 5,080
Owens Illinois
10.500% due 06/15/02 2,000 2,093
11.000% due 12/01/03 7,500 8,230
Pacific Lumber
10.500% due 03/01/03 7,250 7,168
Paging Network
8.875% due 02/01/06 3,500 3,404
10.125% due 08/01/07 2,500 2,600
Paracelsus Healthcare
10.000% due 08/15/06 4,500 4,652
Pathmark Stores, Inc.
9.625% due 05/01/03 6,500 6,403
Printpack, Inc.
9.875% due 08/15/04 5,950 6,121
10.625% due 08/15/06 1,250 1,291
Repap Wisconsin, Inc.
9.250% due 02/01/02 5,600 5,544
Revlon Consumer Products Corp.
9.375% due 04/01/01 6,000 6,104
10.500% due 02/15/03 2,000 2,073
Revlon Worldwide
0.000% due 03/15/98 2,000 1,758
RJR Nabisco
8.000% due 07/15/01 2,000 1,960
8.625% due 12/01/02 5,500 5,481
Rogers Cablesystems, Inc.
10.000% due 03/15/05 5,500 5,610
Rogers Cantel Mobile
11.125% due 07/15/02 2,000 2,113
9.375% due 06/01/08 12,000 11,940
SCI Television
11.000% due 06/30/05 7,675 8,211
Sequa Corp.
10.000% due 05/14/01 1,500 1,546
Showboat, Inc.
9.250% due 05/01/08 2,650 2,650
Station Casinos
9.625% due 06/01/03 4,300 4,193
Stone Consolidated
10.250% due 12/15/00 2,250 2,391
Sweetheart Cup Co.
9.625% due 09/01/00 6,000 6,180
Teekay Shipping Corp.
8.320% due 02/01/08 2,750 2,640
Teleport Communications
0.000% due 07/01/07 (b) 12,150 7,837
Telewest Communications
9.625% due 10/01/06 7,500 7,500
Tenet Healthcare
10.125% due 03/01/05 6,800 7,412
Texas Petrochemical
11.125% due 07/01/06 3,500 3,701
Transtexas Gas Corp.
11.500% due 06/15/02 2,450 2,615
Unisys Corp.
12.000% due 04/15/03 7,750 8,041
US Air, Inc.
9.625% due 09/01/03 1,740 1,714
Venture Holdings Trust
9.750% due 04/01/04 781 691
Vintage Petroleum
9.000% due 12/15/05 8,240 8,218
West Point Stevens
8.750% due 12/15/01 1,500 1,523
9.375% due 12/15/05 6,000 6,060
World Color Press, Inc.
9.125% due 03/15/03 9,085 9,040
Young Broadcasting, Inc.
9.000% due 01/15/06 7,500 7,069
----------
456,659
==========
Utilities - 11.3%
AES Corp.
10.250% due 07/15/06 9,835 10,450
Cablevision Systems
9.875% due 02/15/13 2,000 1,933
California Energy
9.875% due 06/30/03 3,000 3,120
0.000% due 01/15/04 (b) 12,490 12,771
Calpine Corp.
9.250% due 02/01/04 5,500 5,253
CMS Energy
9.875% due 10/01/99 (c) 4,950 5,148
CTC Mansfield Funding
11.125% due 09/30/16 7,000 7,421
El Paso Electric Co.
8.900% due 02/01/06 5,000 5,088
Long Island Lighting Co.
8.200% due 03/15/23 4,500 4,067
Niagara Mohawk Power
9.500% due 03/01/21 2,000 1,917
7.875% due 04/01/24 5,500 4,609
North Atlantic Energy
9.050% due 06/01/02 5,407 5,338
Triton Energy
0.000% due 11/01/97 3,950 3,659
Vanguard Cellular Systems, Inc.
8.750% due 04/15/06 7,500 7,480
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/09 500 481
10.732% due 01/01/13 6,993 6,707
----------
85,442
----------
Total Corporate Bonds and Notes 602,345
==========
(Cost $589,763)
- ----------------------------------------------------------------------------
U.S. Treasury Notes - 2.7%
- ----------------------------------------------------------------------------
5.875% due 07/31/97 20,000 20,031
----------
Total U.S. Treasury Notes 20,031
==========
(Cost $19,983)
- ----------------------------------------------------------------------------
Mortgage-Backed Securities - 5.8%
- ----------------------------------------------------------------------------
Federal Housing Administration - 0.1%
9.250% due 12/31/96 1,349 1,349
----------
Collateralized Mortgage Obligations - 2.6%
CS First Boston Mortgage Securities Corp.
7.826% due 01/25/28 (c) 2,267 1,673
Federal National Mortgage Assn.
8.122% due 05/25/28 (c) 2,835 1,907
Lennar Central Partners L.P.
9.890% due 09/15/04 1,000 1,002
LTC
9.200% due 08/04/23 2,235 2,310
Manufacturers Hanover Corp.
7.250% due 12/16/25 (c) 939 936
9.400% due 12/16/25 (c) 4,180 4,024
Red Mountain Funding Corp.
9.150% due 11/28/27 4,227 3,746
Resolution Trust Corp.
7.083% due 09/25/20 (c) 801 529
</TABLE>
70
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ----------------------------------------------------------------------------
<S> <C> <C>
9.250% due 06/25/23 $ 3,500 $ 3,548
9.500% due 05/25/24 137 135
8.500% due 03/25/25 182 179
----------
19,989
==========
Other Mortgage-Backed Securities - 2.8%
Resolution Trust Corp.
8.000% due 06/25/26 11,929 10,265
6.900% due 02/25/27 8,826 7,677
Structured Asset Securities Corp.
7.050% due 11/25/02 4,000 3,190
----------
21,132
==========
Stripped Mortgage-Backed Securities - 0.2%
Federal National Mortgage Assn. (IO)
6.000% due 07/25/05 5,467 381
7.000% due 07/25/08 6,906 1,027
6.500% due 06/25/17 4,438 443
Fund America (IO)
9.590% due 10/20/21 2,178 367
----------
2,218
----------
Total Mortgage-Backed Securities 44,689
==========
(Cost $45,696)
- ----------------------------------------------------------------------------
Asset-Backed Securities - 1.1%
- ----------------------------------------------------------------------------
Airplanes Pass Through Trust
10.875% due 03/15/19 7,500 8,081
----------
Total Asset-Backed Securities 8,081
==========
(Cost $7,732)
- ----------------------------------------------------------------------------
Sovereign Issues - 2.9%
- ----------------------------------------------------------------------------
Republic of Argentina
6.625% due 03/31/05 (c) 15,435 12,907
5.000% due 03/31/23 (c) 8,000 4,670
Third Mexican Acceptance Corp.
7.370% due 03/15/98 1,000 975
United Mexican States
6.250% due 12/31/19 5,000 3,462
----------
Total Sovereign Issues 22,014
==========
(Cost $19,301)
- ----------------------------------------------------------------------------
Preferred Stock - 2.7%
- ----------------------------------------------------------------------------
<CAPTION>
Shares
<S> <C> <C>
First Nationwide Bank 8,500 965
Time Warner, Inc. 18,595 19,617
----------
Total Preferred Stock 20,582
==========
(Cost $19,217)
- ----------------------------------------------------------------------------
Short-Term Instruments - 1.7%
- ----------------------------------------------------------------------------
<CAPTION>
Principal
Amount
(000's)
<S> <C> <C>
Discount Notes - 1.4%
Caisse d'Amortissement
5.330% due 10/21/96 $ 1,100 1,097
5.320% due 11/20/96 1,400 1,390
Electricite de France
5.340% due 11/18/96 8,300 8,240
----------
10,727
==========
Repurchase Agreement - 0.3%
State Street Bank
4.750% due 10/01/96 $ 2,121 $ 2,121
----------
(Dated 09/30/96. Collateralized by
U.S. Treasury Bill 10/01/96 valued
at $2,168,115. Repurchase proceeds
are $2,121,279.)
Total Short-Term Instruments 12,848
==========
(Cost $12,848)
Total Investments (a) - 96.5% $ 730,590
(Cost $714,540)
Other Assets and Liabilities (Net) - 3.5% 26,631
----------
Net Assets - 100.0% $ 757,221
==========
Notes to Schedule of Investments ($ in thousands):
(a)At September 30, 1996, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 19,697
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (3,647)
----------
Unrealized appreciation-net $ 16,050
==========
</TABLE>
(b)Security becomes interest bearing at a future date.
(c)Variable rate security. The rate listed is as of
September 30, 1996.
See Notes to Financial Statements
71
<PAGE>
SCHEDULE OF INVESTMENTS
Money Market Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ----------------------------------------------------------------------------
<S> <C> <C>
U.S. Government Agencies - 1.6%
- ----------------------------------------------------------------------------
Federal National Mortgage Assn.
6.073% due 12/01/18 (a) $ 454 $ 456
----------
Total U.S. Government Agencies 456
==========
(Cost $456)
- ----------------------------------------------------------------------------
Short-Term Instruments - 100.4%
- ----------------------------------------------------------------------------
Discount Notes - 99.4%
Aluminum Co. of America
5.430% due 11/18/96 1,500 1,489
Avnet, Inc.
5.420% due 10/03/96 1,000 1,000
Campbell Soup Co.
5.340% due 10/10/96 1,100 1,099
Commonwealth of Canada
5.300% due 10/28/96 1,700 1,693
Dun & Bradstreet Corp.
5.280% due 10/01/96 1,000 1,000
E.I. Du Pont de Nemours
5.280% due 10/03/96 1,300 1,300
Ford Motor Credit Co.
5.390% due 10/10/96 1,000 999
5.300% due 12/12/96 500 495
Goldman Sachs & Co.
5.370% due 11/12/96 1,500 1,491
IBM Credit Corp.
5.290% due 10/31/96 1,800 1,792
International Business Machines Corp.
5.320% due 11/25/96 1,500 1,488
Illinois Tool Works, Inc.
5.340% due 11/12/96 500 497
Motorola, Inc.
5.270% due 11/04/96 1,200 1,194
National Australia Funding
5.440% due 12/19/96 1,000 988
Nynex Corp.
5.320% due 11/04/96 500 497
5.360% due 11/04/96 1,300 1,293
New York Times Co.
5.350% due 10/01/96 750 750
5.350% due 10/31/96 1,150 1,145
Philip Morris Co.
5.300% due 11/05/96 1,500 1,492
Pitney Bowes Credit Corp.
5.440% due 10/16/96 700 698
Proctor & Gamble Co.
5.400% due 12/12/96 1,000 989
Temple-Inland, Inc.
5.330% due 11/05/96 1,800 1,791
U.S. Bancorp
5.400% due 12/19/96 1,500 1,482
Xerox Corp.
5.440% due 10/17/96 1,500 1,496
----------
28,158
==========
Repurchase Agreement - 1.0%
State Street Bank
4.750% due 10/01/96 $ 269 $ 269
(Dated 09/30/96. Collateralized by
U.S. Treasury Bond 7.125% 02/15/23
valued at $275,442. Repurchase
proceeds are $269,035.)
Total Short-Term Instruments 28,427
==========
(Cost $28,427)
Total Investments - 102.0% $ 28,883
(Cost $28,883)
Other Assets and Liabilities (Net) - (2.0%) (571)
----------
Net Assets - 100.0% $ 28,312
==========
</TABLE>
Notes to Schedule of Investments:
(a)Variable rate security. The rate listed is as of
September 30, 1996.
See Notes to Financial Statements
72
<PAGE>
SCHEDULE OF INVESTMENTS
StocksPLUS Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ----------------------------------------------------------------------------
<S> <C> <C>
Corporate Bonds and Notes - 34.6%
- ----------------------------------------------------------------------------
Banking and Finance - 15.9%
Advanta Corp.
7.260% due 10/15/96 $ 1,500 $ 1,501
Banco Latino
5.919% due 03/27/97 (d) 5,000 5,000
Capital One Bank
6.313% due 03/21/97 (d) 1,000 1,001
8.125% due 02/27/98 1,000 1,021
Caterpillar Financial
5.780% due 04/01/99 (d) 2,000 1,990
Chrysler Financial Corp.
6.190% due 10/27/97 2,000 2,001
Den Danske Bank
5.875% due 06/30/00 (d) 450 453
Ford Motor Credit Corp.
6.170% due 11/09/98 (d) 500 499
6.060% due 03/30/99 (d) 250 250
5.460% due 04/05/99 (d) 340 340
General Motors Acceptance Corp.
6.170% due 03/16/99 (d) 2,000 1,998
Kansallis-Osake
7.860% due 09/30/43 (d) 1,500 1,544
Lehman Brothers
6.540% due 01/05/98 5,000 5,007
Merrill Lynch & Co.
7.000% due 10/10/00 (d) 3,000 3,022
Salomon, Inc.
6.300% due 10/21/96 (d) 500 500
5.790% due 11/26/97 2,000 1,985
7.000% due 01/20/98 250 252
5.790% due 04/05/99 (d) 500 497
----------
28,861
==========
Industrials - 10.6%
Arkla, Inc.
9.875% due 04/15/97 3,000 3,061
COFIRI International, Inc.
5.925% due 10/27/00 (d) 2,000 1,983
First Brands Corp.
9.125% due 04/01/99 1,000 1,015
G-I Holdings, Inc.
0.000% due 10/01/98 1,000 873
Merita
5.850% due 12/01/05 (d) 1,000 996
Occidental Petroleum
9.200% due 08/15/97 1,000 1,026
RJR Nabisco
8.000% due 07/15/01 500 490
TCI Communications, Inc.
6.263% due 03/11/03 (d) 4,000 4,003
Time Warner, Inc.
6.460% due 08/15/00 (d) 3,750 3,750
United Illuminating
10.240% due 01/02/20 2,000 2,093
----------
19,290
==========
Utilities - 8.1%
Beaver Valley Funding Corp.
8.250% due 06/01/03 800 786
Centerior Fuel Corp.
9.200% due 08/02/98 1,000 1,026
Cleveland Electric Illuminating Co.
8.170% due 11/30/98 1,000 1,014
El Paso Electric Co.
7.250% due 02/01/99 1,000 998
Gulf States Utilities
9.720% due 07/01/98 6,117 6,351
Hydro-Quebec
6.000% due 09/29/49 (d) 400 358
North Atlantic Energy
9.050% due 06/01/02 1,397 1,379
Texas Utilities
6.078% due 05/01/99 (d) 2,500 2,508
Transcontinental Gas Pipeline
9.000% due 11/15/96 200 201
----------
14,621
----------
Total Corporate Bonds and Notes 62,772
==========
(Cost $62,629)
- ----------------------------------------------------------------------------
Mortgage-Backed Securities - 38.6%
- ----------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation - 3.6%
6.920% due 07/01/19 (d) 2,789 2,751
7.835% due 12/01/22 (d) 1,663 1,715
8.214% due 06/01/22 (d) 1,300 1,339
8.500% due 04/01/2025-06/01/25 (e) 757 780
----------
6,585
==========
Federal National Mortgage Association - 2.5%
5.971% due 12/01/23 (d) 338 335
6.059% due 04/01/18 (d) 143 142
6.070% due 05/01/17 (d) 510 506
6.073% due 01/01/27 (d) 133 132
6.074% due 08/01/29 (d) 551 546
6.902% due 05/01/22 (d) 892 912
7.557% due 02/01/25 (d) 1,750 1,804
9.000% due 01/01/99 75 77
----------
4,454
==========
Government National Mortgage Association - 12.5%
4.500% due 04/20/26-05/20/26(e) 1,005 960
5.000% due 02/20/26-05/20/26 (d)(e) 9,983 9,624
7.000% due 11/20/24 (d) 745 756
7.125% due 09/20/22 (d) 3,389 3,437
7.250% due 07/20/24-08/20/24 (d)(e) 7,664 7,823
----------
22,600
==========
Collateralized Mortgage Obligations - 14.1%
Bank Mart
7.343% due 03/01/19 (d) 2,283 2,232
Citicorp Mortgage
9.500% due 11/25/17 1,125 1,167
7.416% due 09/25/18 (d) 112 112
Collateralized Mortgage Securities Corp.
9.250% due 12/20/04 11 11
Countrywide
6.500% due 02/25/24 1,942 1,938
Donaldson, Lufkin & Jenrette
7.580% due 10/17/20 (d) 494 494
Federal Home Loan Mortgage Corp.
5.750% due 03/15/00 193 193
Federal National Mortgage Assn.
7.340% due 04/25/20 (d) 1,216 1,223
Greenwich
7.038% due 10/25/22 (d) 65 65
Manufacturers Hanover Corp.
7.250% due 12/16/25 (d) 2,583 2,575
Paine Webber Mortgage
6.540% due 02/25/01 (d) 2,390 2,339
Prudential Home
7.050% due 05/25/24 (d) 2,852 2,858
Residential Funding
6.288% due 03/25/18 (d) 968 939
</TABLE>
73
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
StocksPLUS Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ----------------------------------------------------------------------------
<S> <C> <C>
Resolution Trust Corp.
7.400% due 01/25/20 (d) $ 1,000 $ 1,018
7.246% due 05/25/21 (d) 85 86
6.525% due 09/25/21 (d) 1,929 1,922
7.000% due 10/25/24 20 20
6.400% due 05/25/29 (d) 1,305 1,306
Salomon Mortgage
8.910% due 02/16/98 3,000 3,097
7.000% due 07/25/24 49 49
Sears Mortgage
8.601% due 05/25/32 (d) 50 50
Structured Asset Securities Corp.
7.750% due 02/25/28 1,796 1,811
----------
25,505
==========
Other Mortgage-Backed Securities - 4.5%
California Federal Savings & Loan
6.833% due 01/01/19 (d) 93 92
Fund America
7.411% due 06/25/23 (d) 275 279
Great Western Savings & Loan
6.314% due 01/25/18 (d) 118 117
J.P. Morgan & Co.
7.018% due 01/25/18 (d) 1,100 1,105
Red Mountain Funding Corp.
5.252% due 11/28/27 1,720 1,719
REIG Commercial Mortgage Funding Trust
5.842% due 04/27/98 (d) 1,200 1,201
Resolution Trust Corp.
6.889% due 12/25/23 (d) 94 94
Structured Asset Securities Corp.
6.707% due 09/25/36 (d) 1,835 1,852
Western Federal Savings & Loan
6.424% due 10/25/18 (d) 783 780
6.839% due 02/24/19 (d) 98 97
6.615% due 06/25/19 (d) 853 851
----------
8,187
==========
Stripped Mortgage-Backed Securities - 1.4%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 08/15/13 349 17
Federal National Mortgage Assn. (IO)
6.000% due 11/25/00 1,391 142
6.500% due 02/25/21 (d) 11,571 1,448
7.000% due 07/25/06 1,068 138
7.000% due 07/25/21 1,934 326
7.500% due 08/25/10 219 1
Federal National Mortgage Assn. (PO)
0.000% due 01/25/20 600 593
Prudential Home (IO)
4.299% due 02/25/22 34 66
----------
2,731
----------
Total Mortgage-Backed Securities 70,062
==========
(Cost $70,258)
- ----------------------------------------------------------------------------
Asset-Backed Securities - 1.7%
- ----------------------------------------------------------------------------
LIBOR-Index Certificates
6.108% due 08/31/98 (d) 3,000 3,000
----------
Total Asset-Backed Securities 3,000
==========
(Cost $3,000)
- ----------------------------------------------------------------------------
Sovereign Issues - 2.3%
- ----------------------------------------------------------------------------
Republic of Argentina
6.625% due 03/31/05 (d) 4,998 4,180
----------
Total Sovereign Issues 4,180
==========
(Cost $3,685)
- ----------------------------------------------------------------------------
Foreign Currency-Denominated Issues (c)(g) - 1.2%
- ----------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26 C$ 3,039 $ 2,128
----------
Total Foreign Currency-Denominated Issues 2,128
==========
(Cost $2,036)
- ----------------------------------------------------------------------------
Short-Term Instruments - 20.6%
- ----------------------------------------------------------------------------
Discount Notes 17.6%
Ameritech Corp.
5.330% due 10/02/96 $ 1,100 1,100
Caisse d'Amortissement
5.340% due 10/07/96 1,500 1,498
5.330% due 10/21/96 700 698
5.350% due 10/24/96 1,300 1,296
5.310% due 12/13/96 900 890
Canadian Wheat Board
5.270% due 11/06/96 1,500 1,492
Electricite de France
5.340% due 11/18/96 3,700 3,673
5.300% due 11/25/96 3,800 3,769
Federal National Morgtgage Assn.
5.220% due 10/15/96 200 200
Ford Motor Credit Corp.
5.290% due 10/29/96 2,400 2,390
5.280% due 11/12/96 2,500 2,485
General Electric Capital Corp.
5.300% due 11/12/96 300 298
5.330% due 11/25/96 3,000 2,976
KFW International Financial
5.300% due 11/12/96 1,200 1,192
Mobil Australia
5.340% due 10/16/96 1,000 998
Motorola, Inc.
5.320% due 10/23/96 900 897
National Rural Utilities Cooperative
5.340% due 10/15/96 2,000 1,996
Proctor & Gamble Co.
5.270% due 10/08/96 400 400
5.250% due 10/17/96 2,400 2,394
Wool International
5.370% due 11/06/96 1,200 1,194
----------
31,836
==========
Repurchase Agreements - 1.1%
State Street Bank
4.750% due 10/01/96 1,956 1,956
----------
(Dated 09/30/96. Collateralized by
Federal National Mortgage Assn. 6.580%
11/15/02 valued at $1,999,848.
Repurchase proceeds are $1,956,258.)
U.S. Treasury Bills - 1.9%
5.050% due 10/17/96-01/09/97 (b)(e) 3,555 3,543
----------
Total Short-Term Instruments 37,335
==========
(Cost $37,335)
Total Investments (a) - 99.0% $ 179,477
(Cost $178,943)
Written Options (h) - (0.0%) (13)
(Premiums $31)
Other Assets and Liabilities (Net) - 1.0% 1,836
----------
Net Assets - 100.0% $ 181,300
==========
</TABLE>
74
<PAGE>
Notes to Schedule of Investments ( $in thousands):
<TABLE>
<S> <C>
(a)At September 30, 1996, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 1,029
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value. (495)
----------
Unrealized appreciation-net $ 534
==========
</TABLE>
(b)Securities with an aggregate market value of $3,543 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at September 30, 1996:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Appreciation
- ----------------------------------------------------------------------------
<S> <C> <C>
S & P 500 Index (12/96) 246 $ 3,627
</TABLE>
(c)Foreign forward currency contracts outstanding at
September 30, 1996:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- ----------------------------------------------------------------------------
<S> <C> <C> <C>
Buy BF 144,490 06/97 $ (46)
Sell 141,036 06/97 9
Sell C$ 2,814 09/97 (13)
Buy JY 2,561 10/96 (1)
Sell 2561 10/96 (50)
----------
$ (101)
==========
</TABLE>
(d)Variable rate security. The rate listed is as of
September 30, 1996.
(e)Securities are grouped by coupon and represent a range of maturities.
(f)Swap agreements outstanding at September 30, 1996:
<TABLE>
<CAPTION>
Notional Unrealized
Type Amount Depreciation
- ----------------------------------------------------------------------------
<S> <C> <C>
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR.
Broker: Deutsche Bank AG London
Exp. 12/31/96 $ 25,783 $ (639)
Broker: Lehman Brothers
Exp. 12/31/96 24,400 (600)
Broker: Morgan Stanley
Exp. 03/31/97 36,968 0
----------
$ (1,239)
==========
</TABLE>
(g)Principal amount denoted in indicated currency:
BF - Belgian Franc
C$ - Canadian Dollar
JY - Japanese Yen
(h)Premiums received on Written Put Options:
<TABLE>
<CAPTION>
Premiums Market
Type Par Received Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C>
CME Eurodollar June Futures
Strike @ 93.50 Exp. 06/16/97 $ 27,000 $ 31 $ 13
</TABLE>
See Notes to Financial Statements
75
<PAGE>
SCHEDULE OF INVESTMENTS
Strategic Balanced Fund
September 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ----------------------------------------------------------------------------
<S> <C> <C>
Corporate Bonds and Notes - 40.2%
- ----------------------------------------------------------------------------
Banking and Finance - 23.2%
Advanta National Bank
5.980% due 05/09/97 $ 100 $ 100
AT&T Capital Corp.
6.070% due 10/24/97 300 300
Banco Latino
6.128% due 04/15/97 (d) 300 300
Capital One Bank
6.490% due 08/15/97 300 300
Lehman Brothers
9.500% due 06/15/97 300 307
6.540% due 01/05/98 500 501
Paine Webber
7.750% due 10/20/97 300 304
Salomon, Inc.
5.650% due 02/10/98 300 297
----------
2,409
==========
Industrials - 6.9%
Gulf Canada Resources
9.000% due 08/15/99 300 311
RJR Nabisco, Inc.
8.625% due 12/01/02 100 100
Sequa Corp.
9.625% due 10/15/99 300 306
----------
717
==========
Utilities - 10.1%
Consumers Power Co.
8.750% due 02/15/98 200 205
Gulf States Utilities
9.720% due 07/01/98 40 41
Long Island Lighting Co.
7.625% due 04/15/98 300 302
Philadelphia Electric
6.125% due 10/01/97 300 299
Texas Utilities
6.375% due 08/01/97 200 200
----------
1,047
----------
Total Corporate Bonds and Notes 4,173
==========
(Cost $4,158)
- ----------------------------------------------------------------------------
U.S. Treasury Notes - 9.6%
- ----------------------------------------------------------------------------
5.750% due 09/30/97 1,000 1,000
----------
Total U.S. Treasury Notes 1,000
==========
(Cost $997)
- ----------------------------------------------------------------------------
Mortgage-Backed Securities - 39.6%
- ----------------------------------------------------------------------------
Government National Mortgage Association - 16.2%
6.000% due 04/20/24 (d) 1,402 1,388
7.000% due 10/20/23 (d) 288 293
----------
1,681
==========
Collatralized Mortgage Obligations - 16.6%
Federal Home Loan Mortgage Corp.
7.000% due 05/15/23 76 66
Federal National Mortgage Assn.
8.500% due 04/25/18 183 184
6.500% due 12/25/23 120 100
Federal Home Loan Mortgage Corp.
9.000% due 06/15/15 44 44
Guardian
7.219% due 01/25/21 (d) 300 204
Merrill Lynch Mortgage
4.550% due 12/15/13 299 296
Resolution Trust Corp.
7.500% due 08/25/23 200 200
Ryland Acceptance Corp.
8.350% due 12/01/12 394 398
Structured Mortgage Asset Residential Trust
7.875% due 09/25/21 237 238
----------
1,730
==========
Other Mortgage-Backed Securities - 2.4%
Matterhorn
6.259% due 01/21/06 (d) 247 246
----------
Stripped Mortgage-Backed Securities - 4.4%
Collateralized Mortgage Obligation Trust (PO)
0.000% due 04/23/17 40 29
Federal Home Loan Mortgage Corp. (IO)
7.000% due 02/15/17 2,571 240
Federal National Mortgage Assn. (IO)
6.500% due 09/25/08 1,549 186
----------
455
----------
Total Mortgage-Backed Securities 4,112
==========
(Cost $4,087)
- ----------------------------------------------------------------------------
Asset-Backed Securities - 1.0%
- ----------------------------------------------------------------------------
Conti Mortgage Home Equity Loan Trust
6.760% due 02/15/11 97 97
----------
Total Asset-Backed Securities 97
==========
(Cost $97)
- ----------------------------------------------------------------------------
Sovereign Issues - 2.4%
- ----------------------------------------------------------------------------
Republic of Argentina
6.625% due 03/31/05 (d) 294 246
----------
Total Sovereign Issues 246
==========
(Cost $228)
- ----------------------------------------------------------------------------
Foreign Currency-Denominated Issues (c) (f) - 0.7%
- ----------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26 C$ 101 71
----------
Total Foreign Currency-Denominated Issues 71
==========
(Cost $68)
- ----------------------------------------------------------------------------
Short-Term Instruments - 8.7%
- ----------------------------------------------------------------------------
Discount Notes - 1.9%
Caisse d'Amortissement
5.420% due 10/23/96 $ 100 100
Federal Home Loan Mortgage Corp.
5.290% due 11/13/96 100 99
----------
199
==========
Repurchase Agreement - 5.2%
State Street Bank
4.750% due 10/01/96 540 540
----------
(Dated 09/30/96. Collateralized by
U.S. Treasury Note 6.000% 08/31/97
valued at $543,613. Repurchase
proceeds are $540,071.)
U.S. Treasury Bills - 1.6%
5.011% due 10/24/96-11/14/96 (b) 170 169
----------
Total Short-Term Instruments 908
==========
(Cost $908)
</TABLE>
76
<PAGE>
================================================================================
<TABLE>
<S> <C>
Total Investments (a) - 102.2% $ 10,607
(Cost $10,543)
Other Assets and Liabilities (Net) - (2.2%) (229)
----------
Net Assets - 100.0% $ 10,378
==========
Notes to Schedule of Investments ($ in thousands):
(a)At September 30, 1996, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 81
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (17)
----------
Unrealized appreciation-net $ 64
==========
</TABLE>
(b)Securities with an aggregate market value of $169 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at September 30, 1996:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Appreciation
- ----------------------------------------------------------------------------
<S> <C> <C>
S&P 500 Index (12/96) 9 $ 137
U.S. Treasury 5 Year Note (12/96) 9 11
U.S. Treasury 10 Year Note (12/96) 12 21
U.S. Treasury 30 Year Bond (12/96) 5 5
----------
$ 174
==========
</TABLE>
(c)Foreign forward currency contracts outstanding at September 30, 1996:
<TABLE>
<CAPTION>
Principal
Amount
Covered Expiration Unrealized
Type by Contract Month Appreciation
- ----------------------------------------------------------------------------
<S> <C> <C> <C>
Sell C$ 94 09/97 $ 0
</TABLE>
(d)Variable rate security. The rate listed is as of September 30, 1996.
(e)Swap agreement outstanding at September 30, 1996:
<TABLE>
<CAPTION>
Notional Unrealized
Type Amount Depreciation
- ----------------------------------------------------------------------------
<S> <C> <C>
Receive total return on S&P 500 Index
and pay floating rate based on 1 month LIBOR.
Broker: Lehman Brothers
Exp. 12/31/96 $ 3,016 $ (74)
</TABLE>
(f)Principal amount denoted in indicated currency:
C$ - Canadian Dollar
See Notes to Financial Statements
77
<PAGE>
NOTES TO FINANCIAL STATEMENTS
September 30, 1996 (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 18 separate investment funds (the
"Funds"): the Total Return Fund; the Total Return Fund II; the Total Return Fund
III; the Low Duration Fund; the Low Duration Fund II; the Low Duration Fund III;
the ShortTerm Fund; the LongTerm U.S. Government Fund; the Foreign Fund; the
Global Fund; the High Yield Fund; the Money Market Fund; the StocksPLUS Fund;
the StocksPLUS Short Strategy Fund; the Strategic Balanced Fund; the Moderate
Duration Fund; the Commercial Mortgage Securities Fund; and the International
Fund (available only to private account clients of PIMCO). The semi-annual
report for the International Fund is provided separately. Effective June 30,
1996, and July 31, 1996, respectively, two series of the Trust, the VersaSTYLE
Equity Fund II and the Growth Stock Fund were closed. The semi-annual reports
for these Funds are also provided separately. The Moderate Duration, Commercial
Mortgage Securities, Low Duration III and StocksPLUS Short Strategy Funds had
not commenced operations as of September 30, 1996. The following is a summary of
significant accounting policies consistently followed by the Trust in
preparation of its financial statements. These policies are in conformity with
generally accepted accounting principles.
Security Valuation. Portfolio securities and other financial instruments for
which market quotations are readily available are stated at market value. Market
value is determined on the basis of last reported sales prices, or if no sales
are reported, as is the case for most securities traded over-the-counter, the
mean between representative bid and asked quotations obtained from a quotation
reporting system or from established market makers. Fixed income securities,
including those to be purchased under firm commitment agreements, are normally
valued on the basis of quotes obtained from brokers and dealers or pricing
services. Foreign currency amounts are converted to U.S. dollars using foreign
exchange quotations received from independent dealers. Short-term investments
which mature in 60 days or less are valued at amortized cost, which approximates
market value. Certain fixed income securities for which daily market quotations
are not readily available may be valued, pursuant to guidelines established by
the Board of Trustees, with reference to fixed income securities whose prices
are more readily obtainable.
Delayed Delivery Transactions. A Fund may purchase or sell securities on a
when-issued or delayed delivery basis. These transactions involve a commitment
by a Fund to purchase or sell securities for a predetermined price or yield,
with payment and delivery taking place beyond the customary settlement period.
When delayed delivery purchases are outstanding, a Fund will set aside and
maintain until the settlement date in a segregated account, liquid assets in an
amount sufficient to meet the purchase price. When purchasing a security on a
delayed delivery basis, a Fund assumes the rights and risks of ownership of the
security, including the risk of price and yield fluctuations, and takes such
fluctuations into account when determining its net asset value. A Fund may
dispose of or renegotiate a delayed delivery transaction after it is entered
into, and may sell when-issued securities before they are delivered, which may
result in a capital gain or loss. When the Fund has sold a security on a delayed
delivery basis, the Fund does not participate in future gains and losses with
respect to the security. Forward sales commitments are accounted for by the Fund
in the same manner as forward currency contracts discussed below.
Credit Quality. The credit quality pie charts included in Investment Performance
represent the credit quality of all fixed income securities. The rating assigned
to each security is the higher of that reported by Moody's or Standard & Poor's.
If the security is not rated by either Moody's or Standard & Poor's, the Adviser
assigns a rating that is comparable in quality.
78
<PAGE>
Securities Transactions and Investment Income. Securities 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. Dividends from net investment
income of each Fund except the StocksPLUS and Strategic Balanced 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 StocksPLUS and
Strategic Balanced Funds are declared and distributed to shareholders quarterly.
Net long-term capital gains earned by a Fund, if any, will be distributed no
less frequently than once each year. Foreign exchange gains or losses on
investments and the income generated from such investments, arising from
fluctuations of exchange rates of the non-dollar denominated investments
relative to the U.S. dollar, are reported to shareholders as income in
accordance with the provisions of the Internal Revenue Code.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles. These differences are primarily due to differing
treatments for such items as wash sales, foreign currency transactions, net
operating losses and capital loss carryforwards.
Distributions reflected as a tax basis return of capital in the
accompanying 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, Total Return II, Low
Duration, Short-Term, High Yield, Money Market and Global Funds commenced
multiclass operations on September 7, 1994, November 30, 1994, December 31,
1994, February 1, 1996, January 16, 1995, January 24, 1995 and August 1, 1996,
respectively. None of the other PIMCO Funds had commenced multiclass operations
as of September 30, 1996. Income and non-class specific expenses are allocated
daily to each class of shares based on the relative value of settled shares as
of the beginning of each day, adjusted for purchase orders received in Federal
Funds prior to 12:00 p.m., Eastern time. Realized and unrealized capital gains
and losses are allocated to each class of shares based on relative net assets as
of the beginning of each day adjusted for the prior day's capital share
activity.
Federal Income Taxes. Each Fund intends to qualify as a regulated investment
company and distribute all of its taxable income and net realized gains, if
applicable, to shareholders. Accordingly, no provision for Federal income taxes
has been made.
Futures and Options. Each Fund (except the Money Market Fund) is authorized to
enter into futures contracts and options. The primary risks associated with the
use of futures contracts and options are imperfect correlation between the
change in market value of the securities held by a Fund and the prices of
futures contracts and options, the possibility of an illiquid market, and the
inability of the counter-party to meet the terms of the contract. Futures
contracts and purchased options are valued based upon their quoted daily
settlement prices. The premium received for a written option is recorded as an
asset with an equal
79
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
September 30, 1996 (unaudited)
liability which is marked-to-market based on the option's quoted daily
settlement price. Fluctuations in the value of such instruments are recorded as
unrealized appreciation (depreciation) until terminated, at which time realized
gains and losses are recognized.
Forward Currency Contracts. Each Fund (except the Total Return II, Low Duration
II, Long-Term U.S. Government, High Yield and Money Market Funds) is authorized
to enter into forward foreign exchange contracts for the purpose of hedging
against foreign exchange risk arising from the Fund's investment or anticipated
investment in securities denominated in foreign currencies. The aggregate
principal amounts of the contracts for which delivery is anticipated are
recorded in the Fund's account, while such amounts are not recorded if the Fund
intends to settle the contracts prior to delivery. All commitments are
marked-to-market daily at the applicable translation rates and any resulting
unrealized gains or losses are recorded in the 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.
Swaps. Each Fund (except the Money Market Fund) is authorized to enter into
interest rate, index and currency exchange swap agreements. PIMCO uses these
agreements in order to obtain a desired return at a lower cost to the Fund than
if the Fund had invested directly in an instrument that yielded the desired
return. The agreements involve elements of credit risk identified as the cost of
replacing those agreements for which PIMCO is in a net receivable position in
the event of counterparty default.
At September 30, 1996, the StocksPLUS and Strategic Balanced Funds were
parties to S & P 500 Index swap agreements. The agreements involve the
contractual exchange of payments whereby the Funds 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 period ended September 30, 1996, net income of $3,288,674 and
$51,666, respectively, was derived from the agreements and is included in
interest income of the Funds.
Forward Sales. The following securities were subject to outstanding forward
sale commitments at September 30, 1996 (amounts in thousands):
<TABLE>
<CAPTION>
Principal
Foreign Fund Amount Value Proceeds
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
Commonwealth of Canada C$ 28,600 $ 22,148 $ 21,838
Government of Japan JY 5,749,000 58,256 58,138
Kingdom of Denmark DK 22,400 4,155 4,119
Kingdom of Netherlands DG 184,100 112,582 114,635
Kingdom of Spain SP 781,000 7,101 6,959
United Kingdom Gilt BP 27,500 42,385 42,076
-------------------------
$246,627 $247,765
=========================
<CAPTION>
Principal
Global Fund Amount Value Proceeds
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
Commonwealth of Canada C$ 43,200 $ 33,454 $ 32,994
Government of Japan JY 1,378,000 14,298 14,276
Kingdom of Denmark DK 11,000 2,040 2,023
Kingdom of Netherlands DG 112,400 68,736 70,094
Kingdom of Spain SP 387,000 3,518 3,448
Kingdom of Sweden SK 20,500 3,427 3,380
United Kingdom Gilt BP 13,220 20,376 20,227
-------------------------
$145,849 $146,442
=========================
</TABLE>
80
<PAGE>
Estimates. The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
2. Fees, Expenses, and Related Party Transactions
Investment Advisory Fee. PIMCO serves as investment adviser (the "Adviser") to
the Trust, pursuant to an investment advisory contract. The Adviser receives a
monthly fee from each Fund at an annual rate based on average daily net assets
of the Fund as follows: Money Market Fund - 0.15%, StocksPLUS and Strategic
Balanced Funds - 0.40% and all other Funds - 0.25%.
Administration Fee. PIMCO also serves as administrator (the "Administrator"),
and provides administrative services to the Trust for which it receives from
each Fund a monthly administrative fee based on each Fund's average daily net
assets at the annual rate of 0.18% for the Total Return and Low Duration Funds,
0.20% for the Money Market and Short-Term 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
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 Act and subject to review and approval by the Trustees. Each unaffiliated
Trustee receives an annual retainer of $20,000, plus $2,500 for each Board of
Trustees meeting attended, plus reimbursement of related expenses. These
expenses are allocated to the Funds of the Trust according to their respective
net assets.
Related Party Transactions. PIMCO Advisors Distribution Company ("PADCO"), an
indirect wholly-owned subsidiary of PIMCO Advisors L.P., serves as the
distributor of the Trust's shares. Under the contract, all expenses relating to
the distribution of Trust shares will be paid by the Adviser, the Administrator
or PADCO out of past profits and resources which may include fees received by
the Adviser.
81
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
September 30, 1996 (unaudited)
3. Purchases and Sales of Securities
Purchases and sales of securities (excluding short-term investments) for the
period ended September 30, 1996 were as follows ($ in thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
-----------------------------------------------------------------
Purchases Sales Purchases Sales
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Return Fund $10,845,802 $8,541,894 $977,722 $2,124,739
Total Return Fund II 825,079 733,227 0 31,250
Total Return Fund III 114,994 77,888 1,675 15,362
Low Duration Fund 3,010,129 3,044,551 274,974 327,180
Low Duration Fund II 379,149 382,035 12,538 4,975
Short-Term Fund 27,777 26,662 45,452 28,797
Long-Term U.S. Gov't. Fund 58,558 63,009 0 1,373
Foreign Fund 0 4,470 2,527,309 2,580,715
Global Fund 0 620 1,132,733 1,036,628
High Yield Fund 31,315 9,985 350,987 166,432
StocksPLUS Fund 28,197 24,104 38,034 17,469
Strategic Balanced Fund 6,009 3,087 6,901 3
</TABLE>
4. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows ($ in thousands):
<TABLE>
<CAPTION>
Total Total Total Low Low
Return Return II Return III Duration Duration II Short-Term
---------------------------------------------------------------------------
-------------------------------- Premium ----------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balance at 3/31/96 $ 11,679 $ 233 $ 79 $ 0 $ 0 $ 0
Sales 21,817 1,576 556 3,980 312 21
Closing Buys 0 0 0 0 0 0
Expirations (1,276) 0 0 0 0 0
Exercised (11,189) (233) (79) 0 0 0
---------------------------------------------------------------------------
Balance at 9/30/96 $ 21,031 $ 1,576 $ 556 $ 3,980 $ 312 $ 21
===========================================================================
</TABLE>
<TABLE>
Long-Term Strategic
U.S. Gov't. Foreign Global StocksPLUS Balanced
--------------------------------------------------------------
----------------------------------- Premium ------------------
<S> <C> <C> <C> <C> <C>
Balance at 3/31/96 $ 4 $ 80 $ 40 $ 0 $ 0
Sales 41 0 0 31 1
Closing Buys 0 0 0 0 (1)
Expirations 0 (80) (40) 0 0
Exercised (4) 0 0 0 0
--------------------------------------------------------------
Balance at 9/30/96 $ 41 $ 0 $ 0 $ 31 $ 0
==============================================================
</TABLE>
5. Shares of Beneficial Interest
The Trust may issue an unlimited number of shares of beneficial interest with a
$.0001 par value. Changes in shares of beneficial interest were as follows
(shares in thousands):
<TABLE>
<CAPTION>
Total Total Total Total Low
Return Return Return II Return II Total Duration
Period Ended September 30, 1996 Inst'l. Admin. Inst'l. Admin. Return III Inst'l.
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 173,911 7,148 4,340 108 1,535 49,744
Issued as reinvestment of dividends 28,266 381 1,466 12 503 7,587
Shares redeemed (93,436) (4,532) (6,917) (3) (335) (56,732)
--------------------------------------------------------------------
Net increase (decrease) 108,741 2,997 (1,111) 117 1,703 599
====================================================================
</TABLE>
82
<PAGE>
<TABLE>
<CAPTION>
Low Short- Short- Long-
Duration Low Term Term Term
Period Ended September 30, 1996 Admin. Duration II Inst'l. Admin. U.S. Gov't. Foreign
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 185 3,199 7,839 474 353 5,372
Issued as reinvestment of dividends 10 789 307 1 84 335
Shares redeemed (55) (3,586) (5,543) (641) (1,460) (11,440)
--------------------------------------------------------------------
Net increase (decrease) 140 402 2,603 (166) (1,023) (5,733)
====================================================================
<CAPTION>
High High Money Money
Global Global Yield Yield Market Market
Period Ended September 30, 1996 Inst'l. Admin.(a) Inst'l. Admin. Inst'l. Admin.
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 2,295 2 22,333 630 26,010 4
Issued as reinvestment of dividends 287 0 2,634 7 725 0
Shares redeemed (552) 0 (6,130) (456) (24,370) (2)
--------------------------------------------------------------------
Net increase 2,030 2 18,837 181 2,365 2
====================================================================
<CAPTION>
Strategic
Period Ended September 30, 1996 StocksPLUS Balanced (b)
- ----------------------------------------------------------------
<S> <C> <C>
Shares sold 2,818 1,003
Issued as reinvestment of dividends 486 0
Shares redeemed (1,286) 0
-------------------------
Net increase 2,018 1,003
=========================
</TABLE>
(a) From commencement of operations, August 1, 1996.
(b) From commencement of operations, June 28, 1996.
<TABLE>
<CAPTION>
Total Total Total Total Low
Return Return Return II Return II Total Duration
Year Ended March 31, 1996 Inst'l. Admin. Inst'l. Admin. Return III Inst'l.
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 342,019 11,183 3,595 23 4,560 141,847
Issued as reinvestment of dividends 56,475 373 1,714 12 1,000 14,360
Shares redeemed (124,938) (2,289) (2,564) (8) (1,040) (126,025)
------------------------------------------------------------------
Net increase 273,556 9,267 2,745 27 4,520 30,182
==================================================================
<CAPTION>
Low Short- Short- Long-
Duration Low Term Term Term
Year or Period Ended March 31, 1996 Admin. Duration II Inst'l. Admin.(a) U.S. Gov't. Foreign
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 267 16,787 13,481 435 2,022 7,828
Issued as reinvestment of dividends 8 1,339 498 0 372 1,752
Shares redeemed (99) (9,818) (12,924) (32) (2,415) (9,773)
-----------------------------------------------------------------------
Net increase (decrease) 176 8,308 1,055 403 (21) (193)
=======================================================================
<CAPTION>
High High Money Money
Yield Yield Market Market
Year Ended March 31, 1996 Global Inst'l. Admin. Inst'l. Admin. StocksPLUS
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 5,338 27,025 90 23,183 4 10,056
Issued as reinvestment of dividends 873 3,932 2 387 0 1,556
Shares redeemed (649) (14,184) (4) (5,376) (4) (2,440)
---------------------------------------------------------------
Net increase 5,562 16,773 88 18,194 0 9,172
===============================================================
</TABLE>
(a) From commencement of operations, February 1, 1996
83
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
September 30, 1996 (unaudited)
6. Federal Income Tax Matters
As of March 31, 1996, Low Duration Fund, Low Duration Fund II, Short-Term Fund,
and Foreign Fund have remaining capital loss carryforwards that were realized in
the prior year of $6,262,969, $469,149, $122,770 and $1,519,059, respectively.
These capital losses are available to offset future realized capital gains
through March 31, 2003. Each Fund will resume capital gains distributions in the
future to the extent gains are realized in excess of the available
carryforwards.
84
<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 $83 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
$104 billion. Widely recognized for providing consistent performance and
high-quality client service, the six affiliated firms are:
Pacific Investment Management Company/Newport Beach, California
Columbus Circle Investors/Stamford, Connecticut
Cadence Capital Management/Boston, Massachusetts
NFJ Investment Group/Dallas, Texas
Parametric Portfolio Associates/Seattle, Washington
Blairlogie Capital Management/Edinburgh, Scotland
Units of PIMCO Advisors L.P. trade on the New York Stock Exchange under the
ticker symbol "PA."
Trustees and Officers
Brent R. Harris Chairman and Trustee
Guilford C. Babcock Trustee
Vern O. Curtis Trustee
Thomas P. Kemp Trustee
WIlliam J. Popejoy Trustee
R. Wesley Burns President
Garlin G. Flynn Secretary
John P. Hardaway Treasurer
Investment Advisor and Administrator
Pacific Investment Management Company
840 Newport Center Drive, Suite 360
Newport Beach, California 92660
Transfer Agent and Custodian
Investors Fiduciary Trust Company
127 West 10th Street
Kansas City, Missouri 64105
Counsel
Dechert Price and Rhoads
1500 K Street N.W.
Washington, D.C. 20005
Independent Accountants
Price Waterhouse LLP
1055 Broadway
Kansas City, Missouri 64105
<PAGE>
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.
PIMCO
840 Newport Center Drive, Suite 360
Newport Beach, CA 92660
800-927-4648
