<PAGE>
PIMCO Funds Annual Report
[ART APPEARS HERE]
One way to unlock the potential of your portfolio is through
proper diversification. And with the volatility of the
financial markets, diversification could be more important
than ever. Story on page 4.
March 31, 1997 Inside this report:
Pacific
Investment
Management Page 2 Letter From PIMCO Funds' Chairman
Series Where We've Been and What's Ahead
Long-Term U.S.
Government Page 4 Today's Investor
Unlock the Potential of Your Portfolio
Foreign Bond
Global Bond II Page 6 Manager Spotlight
William Gross of Pacific Investment Management
High Yield
Total Return Page 7 In The News
Recent News on the PIMCO Funds
Real Return Bond
Low Duration Page 9 Overview: Comprehensive Fund Family
Short-Term
Page 10 PIMCO Funds Financial Information
StocksPLUS
Money Market
[LOGO OF PIMCO FUNDS APPEARS HERE]
<PAGE>
Chairman's Letter
Dear Fellow Shareholder:
Both the stock and bond markets posted positive returns for the one-year period
ended March 31, 1997. The stock market, as measured by the Standard & Poor's 500
Index of stocks, rose 19.8%, and the overall bond market, as measured by the
Lehman Aggregate Bond Index, posted a 4.9% return. I am particularly pleased to
report that our Funds continue to post exceptional short- and long-term results.
Volatility Continues While the financial markets posted gains over the last
year, it was anything but a smooth ride. Stock and bond prices often fluctuated
broadly, as investors focused on the latest news regarding economic growth,
inflation, interest rates and corporate earnings.
Market gyrations peaked from mid-March to early May 1997, as both stocks and
bonds experienced sharp losses, followed immediately by strong gains.
Ultimately, investors who resisted the urge to react to short-term events were
rewarded for their patience.
Looking Ahead As I write this letter, there are positive signs for continued
market strength. These include the balanced budget accord, better-than-expected
corporate earnings and few signs of increased inflation.
Yet, concerns do exist. The bull market in stocks is nearing an unprecedented
seventh year. Federal Reserve Chairman Alan Greenspan has expressed concerns
regarding soaring stock prices. And, economic growth could potentially lead to
higher inflation. These events could trigger further interest rate hikes, which
could result in increased volatility.
The article on page four and the subsequent interview with William Gross, one of
the country's leading financial experts, provides a number of strategies to
consider with your financial advisor given current market conditions.
One final note--this marks the first shareholder report since the January 1997
consolidation of the PIMCO Advisors Funds with the institutional PIMCO Funds
family. We are now one of the largest fund families in the U.S., with over $26
billion in assets under management. And we now offer 26 mutual funds to help you
meet your financial needs.
With the consolidation, we now have two separate prospectuses and shareholder
reports for the PIMCO Funds family. Shareholders of those PIMCO Funds managed by
Pacific Investment Management Company will receive reports for the fiscal
periods ended March 31 and September 30, while shareholders of all the other
PIMCO Funds will receive reports for the periods ended June 30 and December 31.
We appreciate the trust you have placed in us, and we will continue to work hard
to help you meet your financial objectives.
Sincerely,
/s/ Brent R. Harris
Brent R. Harris
Chairman of the Board
May 6, 1997
[2]
<PAGE>
Market Review
The Bond Market
The Future Looks Bright
[LINE GRAPH APPEARS HERE]
Interest rates accelerated as the quarter ended, but help, in the form of slower
economic growth, could be on the way.
Date Yield
---- -----
04/05/96 6.826%
05/03/96 7.119
06/07/96 7.033
07/05/96 7.194
08/02/96 6.745
09/06/96 7.112
10/04/96 6.743
11/01/96 6.681
12/06/96 6.513
01/03/97 6.734
02/07/97 6.706
03/07/97 6.816
03/28/97 7.090
Over the last year the bond market has seen its share of ups and downs.
Investors have spent a great deal of time and energy trying to determine the
direction of the economy and inflation. As a result, short-term news often led
to heightened interest rate volatility.
1997 initially looked a lot like the start of 1996, as it began with a
promising outlook for the economy and interest rates. However, in a repeat
performance, the bond market experienced a reversal of fortune when it appeared
that economic growth was taking off. Interest rates moved steadily upwards in
February and March 1997, as a result of stronger-than-expected economic growth.
In an attempt to cool off the economy and make a preemptive strike against
inflation, the Federal Reserve Board raised interest rates 1/4 of a percentage
point on March 25. By the end of the first quarter 1997, long-term interest
rates had hit 7.1%, and it appeared that rates largely reflected the surge in
the economy. Since that time, bond prices have rebounded, as signs continue to
point to benign inflation.
Thus far in 1997, the best performing sectors of the bond market were also
1996's winners--high yield and currency-hedged foreign bonds. Mortgage-backed
bonds have also fared well, as yields remained in a limited range, lowering the
potential of mortgage prepayments.
Despite recent market volatility, we feel the prospects for the bond market
are bright. While the Federal Reserve may feel compelled to increase interest
rates again, the economy should begin to show signs of a slowdown as the year
progresses. This should lead to a gradual decline in bond rates--perhaps falling
as low as 6.25%. For additional details on our bond market outlook, please refer
to the interview with William Gross on page six.
- --------------------------------------------------------------------------------
The Stock Market
The Bull Market Continues
[LINE GRAPH APPEARS HERE]
Large-cap stocks fought off a near-correction to continue their record run.
Date S&P 500 Index
---- -------------
04/05/96 655.86
05/03/96 641.63
06/07/96 673.31
07/05/96 657.44
08/02/96 662.49
09/06/96 655.68
10/04/96 701.46
11/01/96 703.77
12/06/96 739.60
01/03/97 748.03
02/07/97 789.56
03/07/97 804.97
03/28/97 773.88
After posting outstanding returns in 1995 and 1996, many investors approached
this year's stock market with some trepidation. Economic conditions were
positive, but the market had gone over six years without a correction of at
least 10%--the longest such run in its history.
But, as 1997 began, investors flocked to large-capitalization stocks, and the
S&P 500 Index surged ahead nearly 9% by the middle of February. While the large-
cap gain was impressive, most other sectors of the stock market did not fare as
well--most notably small-cap and many technology stocks.
Then, in mid-March, it appeared the bull market would finally come to a close.
Stock prices fell, as signs of strong economic growth led to fears of rising
inflation and interest rates. These increases typically hurt stock prices, as
they can ultimately take a toll on corporate profits. While all sectors of the
stock market fell, small-cap, mid-cap and technology issues felt the brunt of
the decline.
Then, just as investors were bracing themselves for further adversity, the
stock market displayed amazing resiliency. As we write this report, most sectors
have fully rebounded, and even smaller-cap stocks are beginning to show some
signs of strength.
Turning to the international arena, emerging market stocks have been the clear
winners this year, posting an 8% gain during the first quarter. Returns from
developed markets have been less notable, as slow growth in many foreign
countries has muted performance.
Looking ahead, we are cautiously optimistic about the prospects for the stock
market. The optimism lies in the fact that the current environment is quite
positive--the economy is growing and corporate profits are healthy, and yet
inflation appears anemic.
However, if inflation and interest rates spiral upwards we could see an
acceleration in market volatility. Given this scenario, it's important for
investors to ensure that their portfolios are adequately diversified, and
maintain a long-term outlook.
[3]
<PAGE>
- --------
Today's
Investor
- --------
Unlock the Potential of Your Portfolio
Through Diversification
After a six-year bull market, it recently appeared that the stock market was
headed for a major correction. But investors who stayed the course were quickly
rewarded, as the Dow recouped its losses in less than one month. But given
recent volatility and the record bull market, locking-in some stock market
profits and reallocating those assets into bonds could help you unlock the true
potential of your portfolio.
If recent market events are any indication, it's clear that the only certainty
about investing is its uncertainty. Just consider recent market events.
Beginning in mid-March, the Dow Jones Industrial Average started its fall of
nearly 10%. Then it confounded many experts by abruptly reversing course and
rebounding over 10% by early May. While this volatility may seem unique, it
really isn't. Stock market rallies and declines often happen in short bursts.
What to do now
It's obvious that no one knows where the market could be headed next. But stock
market corrections are as inevitable as death and taxes. With this year's
volatility, it's more important than ever to stay focused on tried and true
investment rules--starting with a diversified portfolio. And given the positive
potential of today's bond market, proper diversification could be more important
than ever.
A record bull run...
First let's take a step back and review the current historic bull market:*
. At 6 1/2 years old it's twice as long as any previous bull market.
. It has resulted in the largest percentage gain of any bull market.
. During its run, the Dow has posted a 19.6% annualized return, versus a 10.7%
annualized return from 1926-1996. (Source: Ibbotson Associates).
. When the bull market began the Dow stood at 2365. In early May it had risen to
over 7250.
[LINE CHART APPEARS HERE]
<TABLE>
<CAPTION>
Dow Jones
Industrial
Date Average
---- -------
<S> <C>
09/07/90 2619.55
12/28/90 2629.21
12/27/91 3101.52
12/25/92 3326.24
12/31/93 3754.09
12/30/94 3834.44
12/29/95 5117.12
12/27/96 6560.91
05/23/97 7345.91
</TABLE>
[ARTWORK OF LOCK APPEARS HERE]
...Leading to impaired diversification
As a result of the run-up in stocks, many investors' portfolios are no longer
properly diversified. Consider what has happened to a hypothetical portfolio
with 65% in stocks and 35% in bonds from January 1, 1995 through December 31,
1996.
<TABLE>
<CAPTION>
Recent Market Performance May Impair A Diversified Portfolio
- --------------------------------------------------------------------------------
January 1, 1995 December 31, 1996
- --------------------------------------------------------------------------------
Initial Initial Percent New New Percent
Allocation Allocation Allocation Allocation
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Stocks $65,000 65% $152,819 72%
- --------------------------------------------------------------------------------
Bonds $35,000 35% $ 42,968 28%
- --------------------------------------------------------------------------------
</TABLE>
Returns based on the performance from 1/1/95 to 12/31/96. Stocks represented by
the S&P 500 Index, an unmanaged index of common stocks. Bonds represented by the
Lehman Brothers Aggregate Bond Index, an unmanaged index of bonds. It is not
possible to invest in an unmanaged index, and results are not indicative of any
PIMCO Fund. Past performance is not indicative of future results.
While having a larger portion of your portfolio in stocks is good news when
stock prices are rising, when the stock market does correct, a portfolio that's
top-heavy in stocks could feel the brunt of the decline. Just look what happened
during the 1987 market crash. A portfolio of 100% stocks fell much more
dramatically, and rebounded slower, than a more diversified portfolio.
Diversified Portfolio Tempers Volatility
A $10,000 investment in a diversified portfolio fared better than an all-stock
portfolio during the 1987 stock market decline.
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Diversified
Month End Portfolio All-Stocks
- --------- ----------- ----------
<S> <C> <C>
09/87 $ 10,000 $ 10,000
10/87 8,851 7,847
11/87 8,442 7,201
12/87 8,873 7,749
01/88 9,230 8,086
02/88 9,522 8,449
03/88 9,312 8,191
04/88 9,361 8,293
05/88 9,371 8,344
06/88 9,721 8,730
07/88 9,686 8,708
08/88 9,489 8,398
09/88 9,819 8,758
10/88 10,064 9,012
11/88 9,919 8,869
12/88 10,029 9,026
</TABLE>
All-stock portfolio represented by the S&P 500 Index. Diversified portfolio
consists of 60% S&P 500 Index and 40% Lehman Aggregate Bond Index. It's not
possible to invest in an unmanaged index and results are not indicative of any
PIMCO Fund. Past performance is no guarantee of future results.
[4]
<PAGE>
Why bonds now?
With your PIMCO Funds investment, a portion of your portfolio is already
allocated in bonds. That's a good start. The next step is to determine if the
percentage of your bond fund holdings is sufficient, given your financial goals
and risk tolerance. If you're hesitant to rebalance your portfolio because of
the strong stock market, remember the benefits of bonds.
1. Conservative risk/reward tradeoff
Stocks have historically provided the highest overall investment return, but
also the highest risk. On the other hand, bonds have offered a more conservative
risk/reward tradeoff.
Bonds Have Been Historically Less Volatile . . .
Best and worst 1-year returns from stocks and bonds
[BAR GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Stocks Bonds
------ -----
<S> <C> <C>
Best +54% +29%
Worst -43 -5
</TABLE>
Source: Ibbotson Associates from 1926-1996. Past performance is no guarantee of
future results. Stocks represented by the S&P 500 Index, an unmanaged index of
common stocks. Bonds represented by a government bond portfolio tracked by
Ibbotson with a 5-year maturity. It is not possible to invest in an unmanaged
index.
2. Solid returns
In addition to the income they offer, bonds can also provide capital
appreciation potential. This combination of income and appreciation has led to
strong total returns.
. . . While Still Providing Solid Returns
Value of a $10,000 investment in the bond market (12/31/81-12/31/96)
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Date Inflation Bonds
- ---- --------- -----
<S> <C> <C>
12/81 $ 10,000 $ 10,000
12/82 10,384 13,262
12/83 10,778 14,371
12/84 11,204 16,547
12/85 11,627 20,205
12/86 11,758 23,289
12/87 12,276 23,931
12/88 12,815 25,818
12/89 13,411 29,569
12/90 14,230 32,218
12/91 14,666 37,374
12/92 15,087 40,141
12/93 15,506 44,054
12/94 15,921 42,769
12/95 16,314 50,671
12/96 16,867 52,510
</TABLE>
Past performance is no guarantee of future results. Bonds represented by the
Lehman Aggregate Bond Index, an unmanaged index of bonds from 12/31/81 through
12/31/96. Inflation represented by the CPI. It is not possible to invest in an
unmanaged index. Returns are not representative of any PIMCO Fund.
3. Favorable bond market conditions
We believe current economic conditions have created a positive investment
environment for bonds. We're experiencing steady economic growth, with signs of
a slowdown as the year progresses. This would likely lead to a positive interest
rate climate for bonds. In addition, there are few indications that inflation is
a problem. Rising inflation erodes the value of bonds, whereas declining
inflation is good news for bondholders.
4. High real rates of return
Although the yields on bonds are lower than they were five or ten years ago, the
real rate of return is actually more attractive. An investment's "real" return
is its return after inflation. So, in the case of bonds, it's the yield less the
rate of inflation. As of March 31, 1997, the real rate of return on 30-year U.S.
Treasuries was 4.1% (7.1% yield-3.0% inflation rate). This return is
significantly better than the historical average rate of 1.8%.
Real rates of return (yield minus inflation) are now significantly higher than
their historical average.
<TABLE>
<S> <C>
Historical
Real Rate of Return 1.8%
Current
Real Rate of Return 4.1%
</TABLE>
Real rate of return and historical average based on the yield of 30-year
Treasury bonds, less the rate of inflation (represented by the CPI). Current
real rate of return as of 3/31/97. Historical rate of return from 12/31/25-
12/31/96. Past performance is no indication of future results.
Proper asset allocation is a key to a successful financial plan. Given the
unprecedented bull market in stocks, it could be an ideal time to take a fresh
look at your allocation. To determine if you should lock-in a portion of your
stock market profits by moving some money out of stocks and into bonds, contact
your financial advisor. He or she can review your portfolio, risk tolerance and
time frame, and recommend a course of action to help keep your investment plan
on track.
*Bull market returns based on the performance of the Dow Jones Industrial
Average. Historical market returns (1926-1996) based on data from Ibbotson
Associates. Past performance is no guarantee of future results.
[5]
<PAGE>
Manager
Spotlight
Managing Director and Founder of Pacific Investment Management Company
William Gross
William Gross is a Managing Director and founder of Pacific Investment
Management Company, a PIMCO Advisors institutional investment firm. And he is
the portfolio manager of the highly-rated PIMCO Total Return and Low Duration
Funds. Financial experts are never at a loss to praise Mr. Gross. Money magazine
(5/97) said that he is "generally regarded as the top bond fund manager of his
generation". And Wall Street Week's Louis Rukeyser calls him "the king of the
bond world". We recently spoke with Mr. Gross on the eve of the publication of
his first book, "Everything You've Heard About Investing is Wrong".
[PHOTO OF WILLIAM GROSS APPEARS HERE]
Q: What have people heard about investing that is wrong?
A: It's really what most people have come to expect from their investments that
is wrong.
A bull market in stocks since the mid-1970s, combined with the dramatic
performance of bonds since 1981, has led to rampant unrealistic expectations.
Q: But what about the 1987 stock market crash and 1994 debacle in bonds?
A: These events were short and corrective, as opposed to drawn-out and stagnant.
A large segment of today's investors have never experienced a true bear market.
Q: Based on the historic bull markets, some experts are saying "it's different
this time."
A: I disagree. The conditions that produced these long bull markets will be
difficult to duplicate in the future. They were caused by a sharp increase in
corporate profits, combined with a near historic drop in inflation and interest
rates.
Since the mid-1970s, after-tax profits have increased by 10% annually. And since
1981, inflation has receded from double-digits to a lowly 2-3% a year, while
long-term Treasury yields plunged from 15 1/4% to 6% in 1993. This performance
will not be repeated in our lifetimes.
Q: So what types of returns do you foresee going forward?
A: I believe you'll likely compound your money at 6%, as opposed to the 15-20%
that has been synonymous with our rapidly maturing bull markets.
Q: Where do you see the opportunities in today's stock and bond markets?
A: So many people have poured money into the stock market that their portfolios
have become top-heavy in equities. Sooner or later--and I believe sooner--a
correction in stocks will occur, and these people will suffer the most.
Therefore, many people should add more balance to their portfolios by
reallocating some stock assets into bonds.
Q: So you feel it's a good time to invest in bonds?
A: Definitely. Bonds are now yielding around 7%, with the possibility of some
capital appreciation if interest rates decline, which I think will occur later
in the year. The total return of bonds should stack up nicely compared to
stocks, with much less downside risk.
Q: Why do you think interest rates will fall?
A: Because economic growth will decline compared to its current rate. That's due
in part to the strengthening dollar that will limit exports, and a reduction in
consumer spending, because of excessive debt. In addition, inflation should
fall, not increase, as oil prices decline and U.S. manufacturers hold prices in
check to remain competitive with foreign imports.
Q: Let's shift gears for a moment and discuss the two PIMCO Funds you manage.
A: Yes, both PIMCO Total Return Fund and Low Duration Fund have just had their
10 year anniversaries.
Q: With over $13 billion in assets, Total Return Fund is now the largest taxable
bond fund in the country. And in December, Morningstar said Low Duration Fund
has "a stunning long-term risk/reward profile." To what do you attribute the
success of these Funds?
A: Like all the PIMCO Funds we manage, these Funds are guided by our long-term
outlook for the economy and interest rates. By focusing on the larger picture
we've successfully avoided overreacting to short-term economic and market
events. In addition, both of these Funds do not artificially stretch to provide
the highest yield. Rather, we seek maximum total return, by concentrating on
both the income and appreciation potential available from bonds.
To learn more about PIMCO Total Return or Low Duration Funds, refer to pages
15 and 17, respectively, or contact your financial advisor.
The views of Mr. Gross are not indicative of any past or future performance of
any PIMCO Fund.
[6]
<PAGE>
In The
News
The PIMCO Funds and its institutional portfolio managers are regularly featured
in the press. Here is a sample of some recent articles.
. In the May 1997 issue of Money magazine PIMCO StocksPLUS Fund was featured in
an article highlighting "Super Index Funds." The article explained how the Fund
seeks to provide a return in excess of the S&P 500 Index by investing in stock
futures, backed by a portfolio of short-term, investment grade bonds. For
details on the Fund, turn to page 19.
. The April 1997 issue of Kiplinger's Personal Finance explained the benefits
of the Treasury department's new inflation-index bonds. In their article they
turned to PIMCO Advisors' William Gross for his assessment of these new
securities. Mr. Gross said the bonds are "as close to an outright 'guarantee'
that your money will beat inflation as you can get". In January 1997, PIMCO
Funds was one of the first firms to launch a fund investing primarily in
inflation-indexed securities. Turn to page 16 for further information on PIMCO
Real Return Bond Fund.
. In a review (12/96) of PIMCO High Yield Fund, Morningstar said, "Much of the
credit for this Fund's success owes simply to good credit selection by
(portfolio manager) Ben Trosky. Investors who want high yield exposure but are
unwilling to take on too much risk will be hard pressed to find a better
option".
. Morningstar also sang the praises of PIMCO Total Return Fund in December,
1996. In their analysis of the Fund they said, "PIMCO in general, and William
Gross in particular, have a very impressive record navigating the fixed-income
market. This is definitely one of the great bond funds".
Morningstar Inc., an independent organization, provides investors with
information regarding a wide range of investment products. One service offered
by Morningstar is assigning star ratings to the mutual funds they track. Their
highest rating is five-stars, and the lowest rating is one-star. Following are
the PIMCO Fund family's five- and four-star rated Funds as of March 31, 1997.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
STOCK FUNDS Overall 1 Year 3 Year 5 Year
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Equity Income Fund **** 4 4 4
Renaissance Fund **** 4 4 4
StockPLUS Fund ***** 5 5 -
Value Fund **** 4 4 4
Capital Appreciation Fund **** 4 4 4
Mid-Cap Growth Fund **** 4 4 4
<CAPTION>
- --------------------------------------------------------------------------------
BOND FUNDS Overall 1 Year 3 Year 5
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Foreign Bond Fund ***** 5 5 -
High Yield Fund ***** 5 5 -
Total Return Fund **** 3 3 4
Low Duration Fund **** 4 4 4
Short-Term Fund **** 5 5 4
</TABLE>
The above chart is based on 3/31/97 Morningstar ratings. Overall rating is a
weighted average of a fund's 3-, 5- and 10-year ratings (when applicable).
During the 1, 3-, 5- and 10-year periods there were 3,048, 1,919, 1,076 and 601
domestic equity funds and 1,696, 1,172, 630 and 258 taxable bond funds,
respectively.
Morningstar ratings reflect historical risk-adjusted performance and are subject
to monthly changes. Therefore, past ratings are not a guarantee of future
results. The ratings are calculated from a fund's average annual total return
with appropriate sales charge adjustment and a risk factor that reflects fund
performance relative to three-month Treasury bill returns. 5-star ratings are
limited to the top 10% of funds in an investment category and the next 22.5%
earn 4-stars. Morningstar ratings are based on a fund's oldest class of shares.
With the exception of the Renaissance Fund; rating based on institutional class
shares. Class A, B and C shares, which were initially offered on 1/17/97, have
not yet been rated by Morningstar.
[7]
<PAGE>
Investor
Services
24-Hour Automated
Telephone System
Have you ever needed to learn the price of your PIMCO Fund at the end of the
trading day? Or wanted a quick overview on the financial markets? With PIMCO
Funds Automated Telephone Information System these facts and more are available
24-hours a day!
This system provides a wide variety of financial information, including:
. the latest day's fund prices
. fund dividend information
. account balances and details on recent transactions (for shareholders
who receive account statements directly from PIMCO Funds)
. stock and bond market closing prices
. timely reviews of the financial markets.
The system is easy to use--simply dial 1-800-223-2413 from your touch-tone
phone.
- --------------------------------------------------------------------------------
MAIN MENU
- --------------------------------------------------------------------------------
Once you're connected you'll be asked to select from these options.
1 for information about the PIMCO Funds (i.e., current prices, recent
distributions)
2 for information about your account (i.e., account value, recent
transactions)
3 to make an account transaction with a customer service representative
(during business hours)
4 to create or change a Personal Identification Number (PIN)
5 for an update on the financial markets
- --------------------------------------------------------------------------------
HELP IN GETTING AROUND
- --------------------------------------------------------------------------------
For help in moving about the system, you can use these options.
* 1 to go to other items on the main menu
* 2 to fast-forward in the selection you're listening to
* 3 to delete your entry
* 4 to listen to more options
* 5 to return to the beginning of your selection from the main menu
* 6 to return to the main menu
* 7 to repeat the most recent information
* 8 to return to the shareholder identification process
* 9 to repeat information for the last account number entered
* 0 to speak with a customer service representative during regular business
hours
We believe you'll find this service to be a convenient way to learn more about
your Funds and the financial markets in general. To receive a free brochure that
contains more information on the system, and details on the other shareholder
services available from PIMCO Funds, call us today at 1-800-227-7337.
The PIMCO Funds Family
The PIMCO Funds are managed by PIMCO Advisors L.P.--a publicly traded company
that specializes in the investment management business. Currently, PIMCO
Advisors has $110 billion in assets under management, including $26 billion
in mutual funds. Under the PIMCO Advisors L.P. umbrella are six institutional
investment management firms--each with a specific investment discipline or
style. As primarily "institutional" managers, these firms manage assets for
large corporations, pensions and endowments. In fact, they collectively
manage assets for 35 of the 100 largest corporations in the U.S.
In the past, their high minimum account balances (up to $75 million in some
cases) kept these managers' expertise out of reach for most investors. However,
as managers of the PIMCO Funds, their expertise is now available to all
investors. To learn more about a fund manager, call us at 1-800-227-7337 to
receive a free brochure.
The PIMCO Funds family consists of core stock and bond funds, as well as
more focused funds that allow investors to round out and customize their
portfolio. Together, the PIMCO Funds offer the breadth and quality that will
satisfy virtually every investor's needs.
Specialized Stock Fund Managers
We believe that different types of stock funds require specialized expertise. To
ensure that you get the highest quality management for whichever PIMCO Stock
Fund you choose, we have carefully matched each Fund with a PIMCO Funds firm
that specializes in that discipline.
Premier Bond Fund Managers
The PIMCO Bond Funds are primarily managed by PIMCO Funds' Pacific Investment
Management Company--one of the most respected names in institutional bond
management. Pacific Investment Management actively manages these funds with an
emphasis on total return potential--income and price change--rather than yield
alone. Overall, they avoid investment fads in favor of a long-term, conservative
approach that includes aggressively seeking opportunities in all sectors of the
fixed-income market.
[8]
<PAGE>
<TABLE>
<CAPTION>
Bond Funds Objective Primary Portfolio Composition PIMCO Advisors Manager
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Long-Term U.S. Maximum total return Long-term U.S. government bonds Pacific Investment
Government (8+ year duration) Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Tax Exempt High current income exempt from Investment-grade municipal bonds Columbus Circle Investors
federal taxes, preservation of (3-10 year duration)
capital
- ------------------------------------------------------------------------------------------------------------------------------------
Foreign Bond Maximum total return Investment-grade foreign bonds Pacific Investment
(3-6 year duration) Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Global Bond II Maximum total return Investment-grade U.S. and foreign Pacific Investment
bonds (3-6 year duration) Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
High Yield Maximum total return High-yield bonds (3-6 year duration) Pacific Investment
Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return Maximum total return Intermediate-term, investment-grade Pacific Investment
bonds (3-6 year duration) Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Real Return Bond Maximum total return Inflation-adjusted government bonds Pacific Investment
Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Low Duration Maximum total return Shorter-term, investment-grade bonds Pacific Investment
(1-3 year duration) Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Short-Term Maximum current income Money market securities and Pacific Investment
consistent with short-term bonds (up to 1 year Management Company
preservation of capital duration)
and daily liquidity
Stock Funds Objective Primary Portfolio Composition PIMCO Advisors Manager
- ------------------------------------------------------------------------------------------------------------------------------------
Equity Income Current income and long-term Stocks of companies with NFJ Investment Group
growth below-average P/Es and
above-average dividends
- ------------------------------------------------------------------------------------------------------------------------------------
Renaissance Long-term growth of capital Income-producing stocks and Columbus Circle Investors
and income convertible securities
- ------------------------------------------------------------------------------------------------------------------------------------
StocksPLUS Total return exceeding the S&P S&P 500 stock index futures backed by Pacific Investment
500 Index a portfolio of short-term fixed-income Management Company
securities
- ------------------------------------------------------------------------------------------------------------------------------------
Value Long-term growth of capital Stocks of companies with NFJ Investment Group
and income below-average P/Es
- ------------------------------------------------------------------------------------------------------------------------------------
Capital Appreciation Growth of capital Stocks of larger-capitalized companies Cadence Capital Management
the manager believes are reasonably
priced
- ------------------------------------------------------------------------------------------------------------------------------------
Growth Long-term growth of capital Stocks of larger-capitalized companies Columbus Circle Investors
- ------------------------------------------------------------------------------------------------------------------------------------
Mid-Cap Growth Growth of capital Stocks of medium-capitalized companies Cadence Capital Management
the manager believes are reasonably
priced
- ------------------------------------------------------------------------------------------------------------------------------------
Target Capital appreciation Stocks of medium-capitalized companies Columbus Circle Investors
- ------------------------------------------------------------------------------------------------------------------------------------
Small-Cap Value Growth of capital and income Stocks of smaller-capitalized NFJ Investment Group
companies with below-average P/Es
- ------------------------------------------------------------------------------------------------------------------------------------
Opportunity Capital appreciation Stocks of smaller-capitalized Columbus Circle Investors
companies
- ------------------------------------------------------------------------------------------------------------------------------------
International Developed Long-term growth of capital Stocks of non-U.S. companies in Blairlogie Capital Management
developed markets
- ------------------------------------------------------------------------------------------------------------------------------------
International Capital appreciation Stocks of non-U.S. companies in Blairlogie Capital Management
developed and emerging markets
- ------------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Long-term growth of capital Stocks of non-U.S. companies in Blairlogie Capital Management
emerging markets
- ------------------------------------------------------------------------------------------------------------------------------------
Innovation Capital appreciation Stocks of technology-related companies Columbus Circle Investors
- ------------------------------------------------------------------------------------------------------------------------------------
Precious Metals Capital appreciation Stocks of precious metals-related Van Eck Associates*
companies
Stock & Bond Funds Objective Primary Portfolio Composition PIMCO Advisors Manager
- ------------------------------------------------------------------------------------------------------------------------------------
Balanced Maximum total return Stocks, bonds and money market Cadence/NFJ/Pacific
instruments Investment Management
</TABLE>
* Van Eck Associates serves as a sub-advisor to the Fund and is unaffiliated
with PIMCO Advisors L.P.
[9]
<PAGE>
PIMCO Funds Financial Information
We are pleased to present an in-depth review of the PIMCO Funds as of
March 31, 1997. In order to help analyze, compare and contrast the Funds, the
report is broken down into a number of sections. Listed below is a table of
contents and descriptions of the various sections.
PAGE 11-20 FUND SUMMARY
A summary of a Fund's performance record and portfolio composition, and a review
from the Fund's investment manager.
Page 21-55 Schedule of Investments
The schedule of investments includes a listing of securities in the Fund's
portfolio as of March 31, 1997, including the number of shares or principal
amount and value as of that date.
<TABLE>
<CAPTION>
Schedule of
PIMCO Funds Fund Summary Investments
<S> <C> <C>
Long-Term U.S. Government Fund Page 11 Page 21
Foreign Bond Fund Page 12 Page 22
Global Bond Fund II Page 13 Page 25
High Yield Fund Page 14 Page 28
Total Return Fund Page 15 Page 31
Real Return Bond Fund Page 16 Page 43
Low Duration Fund Page 17 Page 44
Short-Term Fund Page 18 Page 50
StocksPLUS Fund Page 19 Page 53
Money Market Fund Page 20 Page 52
</TABLE>
PAGE 56-63 FINANCIAL HIGHLIGHTS
This chart shows a per share breakdown of the factors that affect a Fund's NAV
for the current and past reporting periods. In addition to showing total return,
the chart reports distributions, asset size, expense ratios and portfolio
turnover rate.
PAGE 64-65 STATEMENT OF ASSETS AND LIABILITIES
A "balance sheet" of a Fund as of the last day of the fiscal period. It includes
the Fund's Class level NAVs per share by dividing the Fund's Class level net
assets (assets minus liabilities) by the number of Class level shares
outstanding.
PAGE 66-67 STATEMENT OF OPERATIONS
This statement lists a Fund's income, expenses, and gains and losses on
securities and currency transactions, and from appreciation or depreciation from
portfolio holdings.
PAGE 68-69 STATEMENT OF CHANGES IN NET ASSETS
This reports the increase or decrease in a Fund's net assets during the
reporting period. Changes in net assets are due to a variety of factors,
including investment operations, dividends, distributions and capital share
transactions.
PAGE 70 STATEMENT OF CASH FLOWS
This reports the increase or decrease in a Fund's cash balance during the
reporting period. Changes in cash balances are due to a variety of factors,
including investment operations, dividends, distributions and capital share
transactions.
PAGE 71-77 NOTES TO FINANCIAL STATEMENTS
A description of the significant accounting policies of the Funds, and more
detailed information about the schedules and tables that appear in the report.
[10]
<PAGE>
- --------------
March 31, 1997
- --------------
OBJECTIVE:
Maximum total
return, consistent
with preservation
of capital and
prudent
investment
management.
PORTFOLIO:
Primarily longer-
term U.S.
government bonds.
DURATION
RANGE:
greater than or equal to 8 years
TOTAL NET
ASSETS:
$22 MILLION
PIMCO ADVISORS
INSTITUTIONAL
MANAGER:
Pacific Investment
Management
Company
PIMCO Long-Term U.S. Government Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN For periods ended 3/31/97
<TABLE>
<CAPTION>
A SHARES B SHARES C SHARES LIPPER GEN. LEHMAN LEHMAN
(INCEP. 7/01/91) (INCEP. 7/01/91) (INCEP. 7/01/91) U.S. GOVT. INT. & 20+ AGGREGATE
ADJUSTED ADJUSTED ADJUSTED FUND AVERAGE TREASURY INDEX BOND INDEX
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 YEAR 4.4% -0.1% 4.2% -0.7% 3.3% 3.5% 2.7% 4.9%
3 YEARS 8.2% 6.6% 8.1% 7.2% 8.1% 5.3% 7.3% 6.9%
5 YEARS 10.2% 9.2% 10.2% 9.9% 10.2% 6.0% 8.9% 7.2%
INCEPTION 11.5% 10.7% 11.5% 11.4% 11.5% -- -- --
</TABLE>
CHANGE IN VALUE OF $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO Lehman Int. Lehman Aggregate
Long-Term A Long-Term B Long-Term C & 20+ Yr. Treas. Index Bond Index
<S> <C> <C> <C> <C> <C>
6/30/91 $ 9,550 $ 10,000 $ 10,000 $ 10,000 $ 10,000
3/31/92 10,990 11,507 11,507 11,126 10,962
3/31/93 13,564 14,203 14,203 13,217 12,419
3/31/94 14,124 14,789 14,789 13,651 12,713
3/31/95 14,901 15,603 15,603 14,269 13,348
3/31/96 17,111 17,917 17,917 16,271 14,787
3/31/97 17,893 18,570 18,686 16,721 15,514
</TABLE>
*The adjusted returns above include the effect of applicable sales charges. All
returns represent the blended performance of the Fund's retail class shares
(for the period since inception, 1/17/97) and the prior performance of the
Fund's institutional class shares. Retail class shares have higher expenses
than institutional class shares. Therefore, total return of retail class shares
would have been lower had they been in existence since the Fund's inception.
Past performance is not an indication of future results. SEE PAGE 20 FOR
FOOTNOTES, WHICH INCLUDE ADDITIONAL DETAILS.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MATURITY PROFILE
<S> <C>
- ----------------------------------------
1 YEAR OR LESS 24%
- ----------------------------------------
1-5 YEARS 21%
- ----------------------------------------
5-10 YEARS 5%
- ----------------------------------------
11-20 YEARS 3%
- ----------------------------------------
21-30 YEARS 46%
- ----------------------------------------
30 YEARS OR MORE 1%
- ----------------------------------------
AVERAGE MATURITY: 21.6 YEARS
- ----------------------------------------
DURATION: 9.9 YEARS
- ----------------------------------------
<CAPTION>
SECTOR BREAKDOWN
<S> <C>
- ----------------------------------------
U.S. TREASURY BONDS 39.0%
- ----------------------------------------
MORTGAGE-BACKED SECURITIES 55.5%
- ----------------------------------------
SHORT-TERM INSTRUMENTS 5.5%
- ----------------------------------------
<CAPTION>
QUALITY BREAKDOWN
<S> <C>
- ----------------------------------------
AA 6%
- ----------------------------------------
AAA 94%
- ----------------------------------------
</TABLE>
See page 21 for financial details.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Long-Term U.S. Government Fund delivered strong relative returns over the
last twelve months, as the Class A shares returned 4.6%, Class B 4.2%, and
Class C 3.3%. These results fared well versus the Lipper General U.S. Government
Fund Average's return of 3.5% for the same time period. For the 3-year period
the returns are even more impressive, as the Fund's Class A annual return of
8.2%, soundly outperformed its Lipper Average.
The Fund's performance was particularly impressive, given the fact that long-
term interest rates rose throughout much of the year. Persistent fears of
Federal Reserve tightening, and then an actual interest rate increase on March
25th, drove the 30-year Treasury yield higher by nearly 1/2 percentage point.
The Fund was able to overcome this negative due to its overweighting of the
mortgage sector. This area boosted returns as both fixed- and adjustable-rate
issues added incremental yield while remaining relatively stable due to
decreasing prepayment risk. In general, the mortgage-backed sector was supported
by strong demand in the market for high quality, liquid securities with
attractive yield premiums over Treasuries.
The first quarter of 1997 was a slight hindrance to performance, as the
Federal Reserve raised the Fed funds rate by .25% to 5.5%. Treasury yields ended
the quarter higher as a result, and due to the Fund having a moderately
above-index duration (which means it is affected greater by movement of interest
rates), there was a slight drag on performance.
Going forward, the manager sees fundamental value in today's high real
interest rates (the difference between interest rates and inflation); yet PIMCO
foresees better opportunities ahead to extend duration once Fed tightening
begins to take effect and slow the economy. Mortgage-backed securities should
continue to be the Fund's sector of choice, as their relatively attractive yield
should help boost performance versus the benchmark.
[11]
<PAGE>
March 31, 1997
OBJECTIVE:
Maximum total
return, consistent
with preservation
of capital and
prudent
investment
management
(non-U.S.).
PORTFOLIO:
Primarily
investment
grade foreign
bonds.
DURATION RANGE:
3-6 years
TOTAL NET
ASSETS:
$239 million
PIMCO ADVISORS
INSTITUTIONAL
MANAGER:
Pacific Investment
Management
Company
PIMCO Foreign Bond Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Total Return For period ended 3/31/97
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Intl. J.P. Morgan
(INCEP. 12/2/92) (INCEP. 12/2/92) (INCEP. 12/2/92) Income Fund Non-U.S.
Adjusted Adjusted Adjusted Average Index (Hedged)
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 17.6% 12.3% 17.4% 12.4% 16.5% 4.9% 12.7%
3 years 12.0% 10.3% 12.0% 11.2% 12.0% 7.1% 9.8%
Inception 11.3% 10.2% 11.3% 11.0% 11.3% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO J.P. MORGAN
Foreign A Foreign B Foreign C Non-U.S. Index
<S> <C> <C> <C> <C>
12/31/92 $ 9,550 $ 10,000 $ 10,000 $ 10,000
3/31/93 9,878 10,344 10,344 10,280
3/31/94 10,647 11,149 11,149 10,977
3/31/95 10,451 10,943 10,943 11,297
3/31/96 12,729 13,329 13,329 12,893
3/31/97 14,963 15,447 15,652 14,533
</TABLE>
*The adjusted returns above include the effect of applicable sales charges.
All returns represent the blended performance of the Fund's retail class shares
(for the period since inception, 1/17/97) and the prior performance of the
Fund's institutional class shares. Retail class shares have higher expenses than
institutional class shares. Therefore, total return of retail class shares would
have been lower had they been in existence since the Fund's inception. Past
performance is not an indication of future results. Foreign investing involves
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty. See page 20 for Footnotes, which include additional
details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Maturity Profile
- --------------------------------------------
<S> <C>
1 year or less 64%
- --------------------------------------------
1-5 years 15%
- --------------------------------------------
5-10 years 18%
- --------------------------------------------
11-20 years 3%
- --------------------------------------------
Average Maturity 8.8 years
- --------------------------------------------
Duration 5.4 years
- --------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Top 10 Countries
<S> <C>
- --------------------------------------------
1. Japan 6. Germany
- --------------------------------------------
2. United States 7. Italy
- --------------------------------------------
3. Sweden 8. Australia
- --------------------------------------------
4. Canada 9. Netherlands
- --------------------------------------------
5. United Kingdom 10. Mexico
- --------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Quality Breakdown
<S> <C>
- --------------------------------------------
AA 17%
- --------------------------------------------
AAA 74%
- --------------------------------------------
BB 5%
- --------------------------------------------
BBB 4%
- --------------------------------------------
</TABLE>
See page 22 for financial details.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
It was a very impressive year for the Foreign Bond Fund, as it returned 17.6%
for the Class A shares, 17.4% for Class B, and 16.5% for Class C. These strong
returns outperformed the Lipper International Income Fund Average by over 12
percentage points. Also, over the short-term, the Fund posted excellent returns
as it outperformed its Lipper universe by more than 3 percentage points during
the first quarter of 1997.
Country selection was the main reason behind the Fund's outstanding year, as
our strategy correctly over-weighted countries with strong performance and
under-weighted those that fell under the index. The Fund is invested in high
quality fixed-income securities that the manager believes to be among the safest
and most liquid within the foreign bond market. This resulted in positions in
Europe and the dollar bloc countries such as Australia, Canada, and New Zealand
where the yield was relatively higher than neighboring regions, and inflation
was slightly lower. These countries were able to produce superior results even
though they were negatively affected by a slowing U.S. bond market in the first
quarter of 1997.
Small exposures to developing countries also aided performance as both
Argentina and Mexico posted returns above 20% for the past year. High yields and
diversification drew international investors to the area. And with GDP growth
now at over 4% for the Latin American region, improving credit fundamentals
supported these markets as foreign investors were attracted to these markets in
search of higher yields.
A longer-than-average duration for the fund helped performance in 1996 as
yields fell in most major countries. The first quarter of 1997, however, saw
rates increase causing our duration strategy to slightly detract from
performance. This was the result of stronger-than-expected GDP growth in the
U.S. and the proactive Fed tightening that it prompted.
Overall, we continue to believe that the long-term environment is biased
toward a world which is unlikely to experience dramatic increases in growth or
inflation over the next six to nine months. This scenario is extremely positive
for investors in foreign fixed-income markets as yields should decline
accordingly. In anticipation of falling rates, the Fund's duration will be
targeted between 0.2 and 0.4 years above the benchmark.
[12]
<PAGE>
- ----------------
March 31, 1997
- ----------------
OBJECTIVE:
Maximum total
return, consistent
with preservation
of capital (U.S.
and Non-U.S.).
PORTFOLIO:
Primarily
investment grade
U.S. and foreign
bonds.
DURATION
RANGE:
3-6 years
TOTAL NET
ASSETS:
$17 million
PIMCO ADVISORS
INSTITUTIONAL
MANAGER:
Pacific Investment
Management
Company
PIMCO Global Bond Fund II
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Total Return For period ended 3/31/97
A Shares B Shares C Shares Lipper Global J.P. Morgan
(INCEP. 10/2/95) (INCEP. 10/2/95) (INCEP. 10/2/95) Income Fund Global Index
Adjusted Adjusted Adjusted Average (Hedged)
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 12.5% 7.5% 11.7% 6.7% 10.7% 9.5% 8.5%
Inception 13.1% 9.7% 12.5% 10.0% 12.5% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO J.P. Morgan
Global Bond II A Global Bond II B Global Bond II C Global Index
<S> <C> <C> <C> <C>
10/31/95 $ 9,550 $ 10,000 $ 10,000 $ 10,000
3/31/96 10,047 10,516 10,516 10,279
3/31/97 11,309 11,351 11,751 11,255
</TABLE>
*The adjusted returns above include the effect of applicable sales charges. The
line graph above reflects the performance of the Fund's retail class shares
since inception. Past performance is not an indication of future results.
Foreign investing involves potentially higher risks including foreign currency
fluctuations and political or economic uncertainty See page 20 for Footnotes,
which include additional details.
- -----------------------------------
PORTFOLIO COMPOSITION
- -----------------------------------
Maturity Profile
- -----------------------------------
1 year or less 55%
- -----------------------------------
1-5 years 25%
- -----------------------------------
5-10 years 14%
- -----------------------------------
11-20 years 1%
- -----------------------------------
21-30 years 5%
- -----------------------------------
Average Maturity 9.2 years
- -----------------------------------
Duration 5.1 years
- -----------------------------------
<TABLE>
<CAPTION>
Top 10 Countries
<S> <C>
- -----------------------------------
1. United States 6. Germany
- -----------------------------------
2. Japan 7. Italy
- -----------------------------------
3. Canada 8. Australia
- -----------------------------------
4. Sweden 9. Spain
- -----------------------------------
5. United Kingdom 10. Finland
- -----------------------------------
</TABLE>
<TABLE>
<CAPTION>
Quality Breakdown
- -----------------------------------
<S> <C>
A 1%
- -----------------------------------
AA 19%
- -----------------------------------
AAA 74%
- -----------------------------------
BB 1%
- -----------------------------------
BBB 5%
- -----------------------------------
</TABLE>
See page 25 for financial details.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Global Bond Fund II continues to post strong performance, returning 12.5%
for Class A shares, 11.7% for Class B, and 10.7% for Class C shares. This
compares favorably to the Lipper Global Income Fund Average, which was up 9.5%
during the same period. The last three months have been exceptionally positive,
as all classes of the Fund have outperformed that same average by more than two
percentage points.
This strong performance can be attributed mainly to a positive country
selection strategy, including successful overweighting in certain regions, and
underweighting in others. Countries where the managers were over-invested
relative to the benchmark were mainly European and dollar bloc countries
(Australia, New Zealand, and Canada). An emphasis on Denmark, Austria, and
Finland early in the year was beneficial as these countries that maintain
monetary policies similar to those of Germany were able to offer yields that
were greater than Germany's without additional inflationary pressures. This
focus then switched to countries with very steep yield curves such as the
Netherlands and Sweden. These countries seemed to overestimate the amount of
future central bank tightening, creating opportunities in two - and three-year
maturities.
The underweighting that had the most impact was the Fund's below-average
position in Japan. Even though the country's market rallied in the first quarter
of 1997, it underperformed substantially in 1996. Uncertainty in both fixed
income and equity markets, and extremely low interest rates, caused Japan's
relatively poor performance as the yen continued to fall against all other
currencies.
Our duration strategy was a slight negative for the Fund, especially in the
U.S. markets where yields rose for the majority of the last 12 months. By having
a duration longer than the index, the Fund was more exposed to declining prices
in bond markets across the globe. With yields having risen in the first quarter,
and inflation in check around the globe, above-index duration should contribute
to the Fund's performance.
The manager's strategy currently is to continue to emphasize its current
over-and under-weightings. Areas that are offering above-average yields with
below-average inflation (Australia, Canada, Sweden) should remain more
significant relative to the index, while Japan, due to its poor long-term
fundamentals, will likely continue to be underweighted. In anticipation of
falling interest rates, duration will be targeted between 0.2 and 0.4 years
above the benchmark.
[13]
<PAGE>
March 31, 1997
OBJECTIVE:
Maximum total
return, consistent
with preservation
of capital and
prudent
investment
management.
PORTFOLIO:
Primarily high
yield bonds.
DURATION
RANGE:
2-6 years
TOTAL NET
ASSETS:
$1,049 million
PIMCO ADVISORS
INSTITUTIONAL
MANAGER:
Pacific
Investment
Management
Company
PIMCO High Yield Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 3/31/97
A Shares B Shares C Shares Lipper High Lehman BB
(INCEP. 12/15/92) (INCEP. 12/15/92) (INCEP. 12/15/92) Current Yield Int. Corp.
Adjusted Adjusted Adjusted Fund Avg. Index
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 12.0% 6.9% 11.7% 6.7% 10.8% 11.4% 9.6%
3 years 12.1% 10.4% 12.1% 11.3% 12.1% 8.9% 10.4%
Inception 12.6% 11.4% 12.5% 12.2% 12.5% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO Lehman BB Int.
High Yield A High Yield B High Yield C Corp. Index
<S> <C> <C> <C> <C>
12/31/92 $ 9,550 $10,000 $10,000 $10,000
3/31/93 10,148 10,627 10,627 10,478
3/31/94 11,229 11,758 11,758 11,288
3/31/95 12,219 12,795 12,795 12,220
3/31/96 14,138 14,804 14,804 13,867
3/31/97 15,827 16,341 16,544 15,203
</TABLE>
*The adjusted returns above include the effect of applicable sales charges.
All returns represent the blended performance of the Fund's retail class shares
and the prior performance of the Fund's institutional class shares (for the
period since inception, 1/17/97). Retail class shares have higher expenses than
institutional class shares. Therefore, total return of retail class shares would
have been lower had they been in existence since the Fund's inception. Past
performance is not an indication of future results. The investments made by the
High Yield Fund may involve high risk and may have speculative characteristics.
See page 20 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
<TABLE>
- ---------------------------------------
<S> <C>
1 year or less 15%
- ---------------------------------------
1-5 years 25%
- ---------------------------------------
5-10 years 48%
- ---------------------------------------
11-20 years 10%
- ---------------------------------------
21-30 years 2%
- ---------------------------------------
Average Maturity: 6.6 years
- ---------------------------------------
Duration: 4.3 years
- ---------------------------------------
Sector Breakdown
- ---------------------------------------
Corporate Bonds and Notes 81.8%
- ---------------------------------------
Mortgage-Backed Securities 5.5%
- ---------------------------------------
Short-Term Instruments 6.0%
- ---------------------------------------
Other 6.7%
- ---------------------------------------
Quality Breakdown
- ---------------------------------------
AAA 1%
- ---------------------------------------
B 45%
- ---------------------------------------
BB 51%
- ---------------------------------------
BBB 3%
- ---------------------------------------
</TABLE>
See page 28 for financial details.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The High Yield Fund capitalized on the strong performance of the corporate
debt market as it posted returns of 12.0% for Class A shares, 11.7% for Class B
shares, and 10.8% for Class C shares for the year ended March 31, 1997. These
results helped the Fund continue its outperformance of the Lipper High Current
Yield Fund Average. The Fund has handily beaten this benchmark during the
trailing three-month, one-year, and three-year periods ended March 31, 1997.
Favorable individual security selection was the leading driver behind this
strong performance, as numerous Fund holdings were upgraded by the credit rating
agencies due to overall improvement in various credit fundamentals. In general,
the Fund's manager invests in upper-tier high yield bonds, with the belief that
fundamentally strong companies with high-yield credit ratings will be upgraded
as a result of solid market positions. The value of the bond should subsequently
increase as the rating of the security is raised, creating an attractive capital
appreciation scenario. Also, over the last year several Fund holdings rose in
price after being acquired by better-rated firms.
The security selection process led to an industry mix that favored
restructuring industries, such as healthcare and utilities, whose performance
benefited due to our holdings of firms committed to reducing expenses while
growing market share. A number of energy-related holdings appreciated, amid the
backdrop of growing global demand and an industry-wide equipment shortage.
The Fund's duration was kept close to its benchmark, as the manager was
concerned about widening credit spreads having a harmful impact on longer
maturity instruments. With a duration range of 2-6 years, the Fund's 4.3 year
duration was average and therefore did not meaningfully impact performance.
Pacific Investment Management Company does, however, currently believe that
interest rates will decline from their present levels and anticipates adjusting
the Fund's duration accordingly.
Looking ahead, the Fund's manager continues to believe the high yield bond
market is an excellent vehicle for investors seeking income and superior total
returns. The desire of many corporations to improve their balance sheets and
repay debt through spin-offs and divestitures should continue to help the
capital structure and cash flow in several industries. The focus will remain on
companies with relatively solid credit ratings and strong market positions.
[14]
<PAGE>
March 31, 1997
OBJECTIVE:
Maximum total
return, consistent
with preservation
of capital and
prudent
investment
management.
PORTFOLIO:
Primarily
intermediate-term,
investment grade
bonds.
DURATION
RANGE:
3-6 years
TOTAL NET
ASSETS:
$13,199 million
PIMCO ADVISORS
INSTITUTIONAL
MANAGER:
Pacific
Investment
Management
Company
PIMCO Total Return Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/97
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Inter. Lehman
(INCEP. 5/11/87) (INCEP. 5/11/87) (INCEP. 5/11/87) Inv. Grade Debt Agg. Bond
Adjusted Adjusted Adjusted Fund Avg. Index
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 6.5% 1.7% 6.4% 1.4% 5.4% 4.5% 4.9%
3 years 7.3% 5.6% 7.2% 6.3% 7.2% 6.0% 6.9%
5 years 8.3% 7.3% 8.2% 7.9% 8.2% 6.6% 7.2%
Inception 9.5% 9.0% 9.5% n/a 9.5% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO Lehman Aggregate
Total Return A Total Return B Total Return C Bond Index
<S> <C> <C> <C> <C>
5/31/87 $ 9,550 $ 10,000 $ 10,000 $ 10,000
3/31/88 10,271 10,755 10,755 10,827
3/31/89 10,883 11,396 11,396 11,385
3/31/90 12,119 12,690 12,690 12,790
3/31/91 13,784 14,434 14,434 14,442
3/31/92 15,838 16,584 16,584 16,088
3/31/93 18,260 19,120 19,120 18,226
3/31/94 19,091 19,991 19,991 18,658
3/31/95 19,897 20,835 20,835 19,589
3/31/96 22,115 23,157 23,157 21,702
3/31/97 23,551 24,661 24,629 22,768
</TABLE>
*The adjusted returns above include the effect of applicable sales charges. All
returns represent the blended performance of the Fund's retail class shares (for
the period since inception, 1/17/97) and the prior performance of the Fund's
institutional class shares. Retail class shares have higher expenses than
institutional class shares. Therefore, total return of retail class shares would
have been lower had they been in existence since the Fund's inception. Past
performance is not an indication of future results. The Fund may invest in
foreign securities which involve potentially higher risks including foreign
currency fluctuations and political or economic uncertainty. See page 20 for
Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
<TABLE>
<S> <C>
- ----------------------------------
1 year or less 42%
- ----------------------------------
1-5 years 20%
- ----------------------------------
5-10 years 16%
- ----------------------------------
11-20 years 18%
- ----------------------------------
21-30 years 4%
- ----------------------------------
Average Maturity: 8.5 years
- ----------------------------------
Duration: 5.0 years
- ----------------------------------
</TABLE>
Sector Breakdown
<TABLE>
<S> <C>
- ----------------------------------
Corporate Bonds and Notes 15.7%
- ----------------------------------
U.S. Treasury Obligations 7.0%
- ----------------------------------
U.S. Government Agencies 1.1%
- ----------------------------------
Mortgage-Backed Securities 52.8%
- ----------------------------------
Short-Term Instruments 13.7%
- ----------------------------------
Other 9.7%
- ----------------------------------
</TABLE>
Quality Breakdown
<TABLE>
<S> <C>
- ----------------------------------
A 4%
- ----------------------------------
AA 2%
- ----------------------------------
AAA 76%
- ----------------------------------
B 1%
- ----------------------------------
BB 6%
- ----------------------------------
BBB 11%
- ----------------------------------
</TABLE>
See page 31 for financial details.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
With $13.2 billion in assets, the PIMCO Total Return Fund remains the largest
taxable bond fund in the country. And, while past performance is no guarantee of
future results, at least one reason investors are attracted to the Fund is its
solid performance history. With Class A shares ending the year up 6.5%, Class B
shares up 6.4% and Class C shares up 5.4%, the Fund now boasts an annual average
return since inception of 9.5% for all three Classes.
The Fund's one-year returns exceeded its benchmark (the Lehman Aggregate Bond
Index) and an average of funds with the same objective (as measured by the
Lipper Intermediate Investment Grade Debt Fund Average). In fact, the Fund has
ranked in the top 10% of funds in this category for the 1-, 3-, 5-year and since
inception periods ended March 31, 1997.
Strong sector strategies accounted for much of the Fund's success during the
year. The Fund's overweighting in the mortgage sector boosted overall returns as
both fixed- and adjustable-rate issues outperformed government securities with
similar durations. In addition, an allocation to upper-tier (BB and B rated),
high yield bonds, which averaged about 7% of the Fund's assets, helped returns.
These bonds performed well, due in part to strong corporate earnings and the
continued strength in the economy.
Although overall exposure to non-dollar bonds was reduced during the year,
currency-hedged positions in Canadian government bonds also added to the Fund's
returns. Small holdings of dollar-denominated Latin American bonds were another
source of significant returns as structural reforms and increased investor
confidence in the area caused prices to rally.
The Fund's duration, on the other hand, detracted slightly from overall
performance. While the Fund's moderately above-index duration aided results in
the second half of 1996, it hindered performance in the first quarter of 1997 as
interest rates rose. The Fund's duration range has now been set at a modest 0.25
years above the index, reflecting the manager's bullish long-term views and
near-term caution. In addition, the Fund will retain its focus on intermediate-
term maturities, looking for the greatest value in the mortgage and Treasury
sectors.
[15]
<PAGE>
March 31, 1997
OBJECTIVE:
Maximum real
return, consistent
with preservation
of real capital
and prudent
investment
management.
PORTFOLIO:
Primarily inflation-
indexed bonds.
DURATION
RANGE:
N/A
TOTAL NET
ASSETS:
$6.3 million
PIMCO ADVISORS
INSTITUTIONAL
MANAGER:
Pacific
Investment
Management
Company
PIMCO Real Return Bond Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Total Return For periods ended 3/31/97
A Shares B Shares C Shares Lipper Short-Term Lehman
(INCEP. 1/29/97) (INCEP. 1/29/97) (INCEP. 1/29/97) U.S. Govt. Inflation Linked
Adjusted Adjusted Adjusted Fund Avg. Tsy. Index
<S> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
Inception 0.2% -2.9% -0.1% -5.0% -1.1% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
<TABLE>
<CAPTION>
[LINE GRAPH APPEARS HERE]
PIMCO PIMCO PIMCO Lehman Infl. Linked
Real Return A Real Return B Real Return C Treas. Index
<S> <C> <C> <C> <C>
1/31/97 $9,700 $10,000 $10,000 $10,000
3/31/97 9,692 9,465 9,866 9,892
</TABLE>
*The adjusted returns above include the effect of applicable sales charges. Past
performance is not an indication of future results. The Fund may invest in
foreign securities which involve potentially higher risks including foreign
currency fluctuations and political or economic uncertainty.
See page 20 for Footnotes, which include additional details.
- ------------------------------------------
PORTFOLIO COMPOSITION
- ------------------------------------------
<TABLE>
<CAPTION>
Maturity Profile
- ------------------------------------------
<S> <C>
1 year or less 62%
- ------------------------------------------
1-5 years 35%
- ------------------------------------------
5-10 years 0%
- ------------------------------------------
11-20 years 3%
- ------------------------------------------
Average Maturity 3.6 years
- ------------------------------------------
Duration 2.2 years
- ------------------------------------------
<CAPTION>
Sector Breakdown
- ----------------------------------------
<S> <C>
Corporate Bonds and Notes 4.6%
- ----------------------------------------
U.S. Treasury Obligations 42.1%
- ----------------------------------------
Foreign Currency Denominated 9.3%
- ----------------------------------------
Short-Term Instruments 44.0%
- ----------------------------------------
<CAPTION>
Quality Breakdown
- ----------------------------------------
<S> <C>
AA 4%
- ----------------------------------------
AAA 96%
- ----------------------------------------
</TABLE>
See page 43 for financial details.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
Inflation-indexed Treasuries are a new investment offered by the U.S. government
that provides protection against the effects of inflation. Specifically, these
bonds adjust their total annual yield for changes in the inflation rate (as
measured by the CPI - Consumer Price Index). And if an investor holds the bonds
to maturity, the government guarantees the return of at least the initial
investment.
Coinciding with the U.S. Treasury's first auction of these inflation-indexed
securities, PIMCO Funds launched the Real Return Bond Fund on January 29, 1997.
The Fund is currently one of only three mutual funds investing primarily in
inflation-indexed bonds.
The Fund's initial performance has been solid. Since its inception through
March 31, 1997, the Fund's Class A shares returned 0.2%, beating its benchmark,
the Lehman Brothers Inflation Linked Treasury Index, by 1.3%. The leading
determinants in this performance were successful yield curve strategies and a
below-index duration exposure to the U.S. market. The Fund's duration exposure
proved to be beneficial, given the Federal Reserve's move to tighten interest
rates in March, which in turn led to an increase in nominal bond yields and
yields on domestic inflation-indexed treasuries.
In an attempt to enhance potential returns and temper risk, the PIMCO Real
Return Bond Fund has the flexibility to invest in inflation-indexed bonds from
other countries. During the two-month period, the Fund did exercise this option,
enhancing overall performance with positions in Canadian inflation-indexed
bonds. Unfortunately, holdings of New Zealand inflation-indexed bonds detracted
slightly from performance.
Looking ahead, the Fund's manager emphasizes the need for investors to protect
themselves against inflation--despite the fact that inflation is at historic
lows. The manager believes that investors should consider inflation-indexed bond
mutual funds now for several reasons:
. by investing in inflation protection before prices start to climb, investors
will retain their purchasing power;
. investing when inflation is low will permit investors to take maximum
advantage of the adjustments to principal that will come if prices increase;
and
. investing early allows an investor to take advantage of the opportunities that
often appear in new investment markets.
[16]
<PAGE>
- --------------
March 31, 1997
- --------------
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily shorter-term, investment grade bonds.
DURATION RANGE:
1-3 years
TOTAL NET ASSETS:
$2,949 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
PIMCO Low Duration Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/97
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Shrt. Inv. Merrill Lynch
(INCEP. 5/11/87) (INCEP. 5/11/87) (INCEP. 5/11/87) Grade Fund 1-3 yr. Tsy.
Adjusted Adjusted Adjusted Average Index
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 6.9% 3.7% 6.7% 1.7% 5.8% 5.1% 5.3%
3 years 6.5% 5.4% 6.5% 5.6% 6.5% 5.4% 5.8%
5 years 6.8% 6.1% 6.8% 6.4% 6.8% 5.5% 5.7%
Inception 8.2% 7.9% 8.2% n/a 8.2% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO Merrill Lynch
Low Duration A Low Duration B Low Duration C 1-3 Yr. Tsy. Index
<S> <C> <C> <C> <C>
5/31/87 $ 9,700 $10,000 $10,000 $10,000
3/31/88 10,439 10,762 10,762 10,756
3/31/89 11,117 11,461 11,461 11,270
3/31/90 12,379 12,762 12,762 12,457
3/31/91 13,691 14,115 14,115 13,846
3/31/92 15,239 15,710 15,710 15,154
3/31/93 16,749 17,267 17,267 16,439
3/31/94 17,514 18,055 18,055 16,870
3/31/95 18,145 18,706 18,706 17,623
3/31/96 19,800 20,413 20,413 18,989
3/31/97 21,162 21,816 21,794 20,000
</TABLE>
*The adjusted returns above include the effect of applicable sales charges.
All returns represent the blended performance of the Fund's retail class shares
(for the period since inception, 1/17/97) and the prior performance of the
Fund's institutional class shares. Retail class shares have higher expenses than
institutional class shares. Therefore, total return of retail class shares would
have been lower had they been in existence since the Fund's inception. Past
performance is not an indication of future results. The Fund may invest in
foreign securities which involve potentially higher risks including foreign
currency fluctuations and political or economic uncertainty. See page 20 for
Footnotes, which include additional details.
- -------------------------------------
PORTFOLIO COMPOSITION
- -------------------------------------
Maturity Profile
- -------------------------------------
1 year or less 41%
- -------------------------------------
1-5 years 34%
- -------------------------------------
5-10 years 22%
- -------------------------------------
11-20 years 3%
- -------------------------------------
Average Maturity: 3.4 years
- -------------------------------------
Duration: 2.6 years
- -------------------------------------
Sector Breakdown
- -------------------------------------
Corporate Bonds and Notes 18.1%
- -------------------------------------
U.S. Treasury Obligations 1.3%
- -------------------------------------
U.S. Government Agencies 1.7%
- -------------------------------------
Mortgage-Backed Securities 51.5%
- -------------------------------------
Other 7.5%
- -------------------------------------
Short-Term Instruments 19.9%
- -------------------------------------
Quality Breakdown
- -------------------------------------
A 4%
- -------------------------------------
AA 2%
- -------------------------------------
AAA 71%
- -------------------------------------
B 1%
- -------------------------------------
BB 6%
- -------------------------------------
BBB 16%
- -------------------------------------
See page 44 for financial details.
- -------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- -------------------------------------------------------------------------------
The Fund delivered another year of solid performance, meeting its objective of
providing maximum total return through investment in short-term, investment-
grade bonds. Specifically, the Fund posted returns of 6.9%, 6.7% and 5.8% for
Class A, B and C shares, respectively. These results clearly outperformed the
5.1% average of funds with the same objective (as measured by the Lipper Short
Investment Grade Fund Average).
The Fund's yields of 5.5%, 4.9% and 5.1% (for Class A, B and C shares,
respectively) continued to surpass the average yield offered by 3-month retail
CDs at major banks (provided by Banxquote Money Market). Of course, shareholders
comparing these yields must bear in mind that unlike CDs, the Fund's shares are
not guaranteed as to repayment of principal and interest. In fact, the
investment return and principal value of the Fund's shares will fluctuate with
changes in market conditions.
The Fund's strong returns were supported primarily by holdings in the mortgage
sector and lower tier investment-grade corporates, with the corporate bonds
providing higher yields and price gains during the year. The Fund also benefited
from some non-U.S. investments. While currency-hedged positions in non-U.S.
dollar bloc markets had minimal impact on returns due to mixed results and small
allocations, the Fund's small, dollar-denominated holdings of Latin American
bonds enjoyed a year of superb returns. These bonds saw prices rally on evidence
of sound monetary and fiscal policies in Mexico and Argentina, and a return of
investors to the region in search of higher yields.
The Fund's duration position had a mixed effect on overall performance. An
above-index duration aided results in the last half of 1996, but this position
hindered performance in the first quarter of 1997 as interest rates rose.
The manager's outlook is for firm economic growth in the near term, but
slowing later in 1997. In response, the manager currently anticipates trimming
the Fund's duration target. Fixed- and adjustable-rate mortgage securities and
upper-tier high yield bonds will continue to be favored. And, in terms of non-
U.S. bonds, the manager sees opportunities in hedged, short-term non-U.S. bonds,
particularly in Canada. But, the Fund may trim its dollar-denominated Latin
American holdings to await a favorable re-entry point after U.S. Federal Reserve
policy stabilizes.
[17]
<PAGE>
- ----------------
March 31, 1997
- ----------------
OBJECTIVE:
Maximum current income, consistent with preservation of capital and daily
liquidity.
PORTFOLIO:
Primarily short-term investment grade bonds.
DURATION RANGE:
0-1 year
TOTAL NET ASSETS:
$165 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
PIMCO Short-Term Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/97
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Ultra- Lipper Money
(INCEP. 10/7/87) (INCEP. 10/7/87) (INCEP 10/7/87) Short Fund Market
Adjusted Adjusted Adjusted Average Index
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 7.0% 4.9% 6.9% 1.9% 6.0% 5.3% 4.8%
3 years 6.7% 5.9% 6.6% 5.7% 6.6% 5.3% 4.9%
5 years 5.5% 5.1% 5.5% 5.2% 5.5% 4.6% 4.1%
Inception 6.6% 6.3% 6.5% n/a 6.6% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO Lipper Money
Short-Term A Short-Term B Short-Term C Mkt. Index
<S> <C> <C> <C> <C>
10/31/87 $ 9,800 $10,000 $10,000 $10,000
3/31/88 10,083 10,289 10,289 10,277
3/31/89 10,919 11,142 11,142 11,078
3/31/90 11,887 12,130 12,130 12,044
3/31/91 12,890 13,153 13,153 12,966
3/31/92 13,619 13,897 13,897 13,636
3/31/93 14,156 14,445 14,445 14,064
3/31/94 14,674 14,974 14,974 14,444
3/31/95 15,329 15,641 15,641 15,082
3/31/96 16,631 16,970 16,970 15,876
3/31/97 17,798 18,161 18,154 16,631
</TABLE>
*The adjusted returns above include the effect of applicable sales charges.
All returns represent the blended performance of the Fund's retail class shares
(for the period since inception, 1/17/97) and the prior performance of the
Fund's institutional class shares. Retail class shares have higher expenses than
institutional class shares. Therefore, total return of retail class shares would
have been lower had they been in existence since the Fund's inception. Past
performance is not an indication of future results. The Fund may invest in
foreign securities which involve potentially higher risks including foreign
currency fluctuations and political or economic uncertainty. See page 20 for
Footnotes, which include additional details.
- -------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- -------------------------------------------------------------------------------
Maturity Profile
- -------------------------------------
1 year or less 71%
- -------------------------------------
1-5 years 25%
- -------------------------------------
5-10 years 2%
- -------------------------------------
11-20 years 2%
- -------------------------------------
Average Maturity: 1.2 years
- -------------------------------------
Duration: 0.7 years
- -------------------------------------
Sector Breakdown
- -------------------------------------
Corporate Bonds and Notes 36.4%
- -------------------------------------
U.S. Treasury Notes 2.3%
- -------------------------------------
Mortgage-Backed Securities 22.2%
- -------------------------------------
Other 7.6%
- -------------------------------------
Short-Term Instruments 31.5%
- -------------------------------------
Quality Breakdown
- -------------------------------------
A 18%
- -------------------------------------
AA 4%
- -------------------------------------
AAA 38%
- -------------------------------------
B 1%
- -------------------------------------
BB 10%
- -------------------------------------
BBB 29%
- -------------------------------------
See page 50 for financial details.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
Despite a rise in interest rates resulting from a 0.25% increase in the federal
fund rate during the first quarter of 1997, the Short-Term Fund posted another
year of strong performance. Class A shares finished the year ended March 31,
1997, up 7.0%, Class B shares up 6.9% and Class C shares up 6.0%. These
impressive returns allowed the Fund to outpace an average of mutual funds with
the same objective (as measured by the Lipper Ultra-Short Obligations Fund
Average).
The Fund's standardized yield for this period was 5.1% for Class A shares,
4.6% for Class B and 5.0% for Class C. This yield compares very favorably to the
7-day money market yield of 5.0% and an average six-month CD yield of 4.7%,
according to Banxquote Money Market. When comparing these yields, however,
shareholders should keep in mind that money market funds attempt to maintain a
fixed-share price and that CDs are guaranteed as to repayment of principal and
interest. The Fund's shares, on the other hand, are not guaranteed and its share
price can fluctuate, either up or down, depending on market conditions.
One of the largest contributors to the Fund's success during the year was its
holdings in mortgage-backed securities. These securities generated strong
returns, as both fixed- and adjustable-rate issues outperformed government
securities with similar durations. Investments in short-term, high yield
securities also aided the Fund, as these bonds outperformed their investment-
grade counterparts.
The Fund realized significant contributions from the small portion of its
assets invested in foreign securities. These currency-hedged, non-U.S. dollar
positions included well timed tactical positions in Europe and the dollar-bloc
countries. In addition, small holdings of dollar-denominated Latin American
bonds, specifically from Argentina and Mexico, provided superior yields for the
Fund.
Going forward, the Fund's manager expects U.S. economic growth to remain
strong in the near term before slowing later in 1997. Given this forecast, the
manager has trimmed the Fund's duration, although it remained long enough to
capture the higher yield offered by longer-term securities. The Fund currently
intends to maintain its exposures in those segments of the market that have
proven successful during the year, including mortgage-backed securities; short-
maturity, below investment-grade corporates; and selective non-U.S. bonds.
[18]
<PAGE>
- --------------
March 31, 1997
- --------------
OBJECTIVE:
Total return which exceeds that of the S&P 500.
PORTFOLIO:
Primarily S&P 500 Index futures and short-term bonds.
DURATION RANGE:
0-1 year
TOTAL NET ASSETS:
$262 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
PIMCO StocksPLUS Fund
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Total Return For period ended 3/31/97
A Shares B Shares C Shares Lipper Growth S&P 500
(INCEP. 5/14/93) (INCEP. 5/14/93) (INCEP. 5/14/93) Income Fund Index
Adjusted Adjusted Adjusted Average
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 19.4% 15.8% 19.2% 14.2% 18.3% 15.5% 19.8%
3 years 23.9% 22.6% 23.8% 23.1 23.8 17.8% 22.3%
Inception 19.2% 18.3% 19.2% 18.7% 19.2% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO S&P 500
Date StocksPLUS A StocksPLUS B StocksPLUS C Index
---- ------------ ------------ ------------ -----
<S> <C> <C> <C> <C>
5/31/93 $ 9,700 $ 10,000 $ 10,000 $ 10,000
3/31/94 9,850 10,155 10,155 10,128
3/31/95 11,686 12,048 12,048 11,705
3/31/96 15,668 16,152 16,152 15,462
3/31/97 18,709 18,945 19,264 18,527
</TABLE>
- --------------------------------------------------------------------------------
*The adjusted returns above include the effect of applicable sales charges. All
returns represent the blended performance of the Fund's retail class shares (for
the period since inception, 1/17/97) and the prior performance of the Fund's
institutional class shares. Retail class shares have higher expenses than
institutional class shares. Therefore, total return of retail class shares would
have been lower had they been in existence since the Fund's inception. Past
performance is not an indication of future results. The Fund may invest in
foreign securities which involve potentially higher risks including foreign
currency fluctuations and political or economic uncertainty. See page 20 for
Footnotes, which include additional details.
- ------------------------------------
PORTFOLIO COMPOSITION
- ------------------------------------
<TABLE>
<CAPTION>
Maturity Profile
<S> <C>
- ------------------------------------
1 year or less 43%
- ------------------------------------
1-5 years 54%
- ------------------------------------
5-10 years 2%
- ------------------------------------
11-20 years 1%
- ------------------------------------
Average Maturity: 2.1 years
- ------------------------------------
Duration: 0.7 years
- ------------------------------------
<CAPTION>
Sector Breakdown
<S> <C>
- ------------------------------------
Corporate Bonds and Notes 26.5%
- ------------------------------------
Mortgage-Backed Securities 28.2%
- ------------------------------------
Short-Term Instruments 34.8%
- ------------------------------------
Other 10.5%
- ------------------------------------
<CAPTION>
Quality Breakdown
<S> <C>
- ------------------------------------
A 10%
- ------------------------------------
AA 7%
- ------------------------------------
AAA 42%
- ------------------------------------
B 2%
- ------------------------------------
BB 14%
- ------------------------------------
BBB 25%
- ------------------------------------
</TABLE>
See page 53 for financial details.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
StocksPLUS is an innovative stock fund that seeks total return in excess of the
Standard & Poor's 500 Index (S&P 500) through investment in S&P 500 futures
contracts. These futures are purchased with a small percentage of the Fund's
assets, yet they allow the Fund to fully participate in the entire market. The
manager is then free to use the remaining assets to invest in an actively
managed portfolio of short-term, investment grade bonds that can add incremental
return beyond that of the S&P 500.
For the year ended March 31, 1997, the Fund produced solid returns of 19.4%,
19.2% and 18.3% for Class A, B and C shares, respectively. But, while these
returns clearly surpassed the 15.5% average of funds with the same objective (as
measured by the Lipper Growth and Income Fund Average), they fell slightly short
of the return of the market in general (as measured by the S&P 500). The Fund
continues, however, to achieve its objective over the longer-term, posting
returns from inception of 19.2% for all Classes versus 17.3% for the S&P 500.
A main contributor to the Fund's returns during the year was its portfolio of
short-term bond holdings. For example, the Fund's investments in short-term,
mortgage-backed issues provided strong yields, coupled with diminishing
prepayment risk. Also benefiting the Fund were currency-hedged Canadian, New
Zealand and Swedish bonds, as well as small holdings of dollar-denominated debt
from Argentina. These issues were able to make contributions to the Fund's
overall return as their respective country markets outperformed the U.S.
Treasury market.
Hindering performance within the bond holdings was the Fund's relatively long
duration. Investor fears of accelerating inflation, and the Federal Reserve's
decision to raise short-term rates, led to price declines on longer duration
issues, hurting the Fund.
In general, the manager of the Fund currently expects to see healthy U.S.
economic growth in the near term, followed by slowing later in 1997. To maximize
return in this type of environment, the manager anticipates maintaining the
Fund's above-index duration and plans to continue the focus on mortgage issues
and selective non-U.S. bonds. Specifically, the manager plans to pursue
currency-hedged Canadian and New Zealand bonds while maintaining a modest
allocation to emerging debt markets.
[19]
<PAGE>
- --------------
March 31, 1997
- --------------
OBJECTIVE:
Maximum current income, consistent with preservation of capital and daily
liquidity.
TOTAL NET ASSETS:
$156 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
PIMCO Money Market Fund
- -------------------------------------------
PERFORMANCE
- -------------------------------------------
7-Day Yields
A Shares B Shares C Shares
- -------------------------------------------
As of 3/31/97 4.9% 4.2% 5.0%
- ----------------------------
PORTFOLIO COMPOSITION
- ----------------------------
Maturity Profile
- ----------------------------
1 year or less 100%
- ----------------------------
Average Maturity: 0.1 years
- ----------------------------
Duration: 0.1 years
- ----------------------------
Sector Breakdown
- -----------------------------------
Corporate Bonds and Notes 2.6%
- -----------------------------------
U.S. Government Agencies 0.3%
- -----------------------------------
Short-Term Instruments 97.1%
- -----------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The PIMCO Money Market Fund continued to offer a very competitive yield over the
last year. As of March 31, 1997, the Fund had a seven-day yield of 4.9%, 4.2%,
and 5.0% for its Class A, B, and C shares, respectively. These yields compare to
an average money market fund 7-day yield of 5.0%, as measured by the IBC
Donaghue Money Market Fund Average.
When evaluating the Fund's yield relative to other funds and other
investment options, shareholders should remember that money market funds are
neither guaranteed nor insured by the U.S. government and there can be no
assurances that the Fund will maintain a stable net asset value of $1.00 per
share.
Looking ahead, the Fund's manager is currently forecasting higher short-
term rates over the next three to six months, and plans to gradually extend the
Fund's average maturity to take advantage of these higher rates. The manager
will continue to maintain the Fund's emphasis on safety, liquidity and quality.
See page 52 for financial details.
- --------------------------------------------------------------------------------
PIMCO FUNDS FOOTNOTES
- --------------------------------------------------------------------------------
The following notes and definitions are needed for a complete understanding of
the performance figures.
Results represent past performance, not future results. Investment return
will fluctuate and the value of an investor's shares will fluctuate and may be
worth more or less than original cost when redeemed. Total return measures
performance, assuming that all dividends and capital gains distributions were
reinvested. Average annual total returns for more than one year assume a steady
compound rate of return.
Total return, both with and without a sales charge, has been presented. For
shareholders who have not bought or sold shares during the period quoted, the
non-adjusted figures are probably more meaningful to you than the adjusted
figures. The adjusted figures for Class A shares includes the effect of paying
the maximum initial sales charge of 4.50% (Long-Term U.S. Government, Foreign
Bond, Global Bond II, High Yield and Total Return Funds), 3.00% (Real Return
Bond, Low Duration and StocksPLUS Funds), or 2.00% (Short-Term Fund). The
adjusted figures for Class B shares include the effect of paying the 5%
contingent deferred sales charge (CDSC), which declines from 5% in the first
year to 0% at the beginning of the seventh year. The adjusted figures for Class
C shares include the effect of paying the 1% CDSC which may apply to shares
redeemed during the first year of ownership.
Yield is quoted in accordance with current Securities and Exchange
Commission regulations and is based on the one-month period ended March 31,
1997.
An investment in the Money Market Fund is neither insured nor guaranteed by
the U.S. Government and there can be no assurance that the Fund will be able to
maintain a stable net asset value of $1.00 per share.
Line graphs have been included so an investor can compare a Fund's
historical performance to that of an appropriate broad based index. Each index
reflects a group of unmanaged securities, and it is not possible to invest in an
unmanaged index. The J. P. Morgan Global Index (Hedged) is an index of currency-
hedged U.S. and foreign government bonds. The J. P. Morgan Non-U.S. Index
(Hedged) is an index of currency-hedged foreign government bonds. The Lehman BB
Intermediate Corporate Index is an index of intermediate-term bonds with a BB
rating. The Merrill Lynch 1-3 Year Treasury Index is an index made up of U.S.
Treasury issues with maturities from one to three years. The Lehman Inflation
Linked Treasury Index is an index of inflation-linked Treasury bonds. The Lehman
Aggregate Bond Index is an index of a variety of bonds. The Lehman Intermediate
& 20+ Year Treasury Index is an index of intermediate- and long-term government
securities. The Lipper Money Market Index is an index of money market funds. The
S&P 500 Index is an index of larger-capitalization stocks. Duration is a
measurement of a Fund's price sensitivity expressed in years.
Lipper averages are calculated by Lipper Analytical Services, Inc., a
nationally recognized mutual fund performance evaluation firm. They are
performance averages of those funds that are tracked by Lipper, with the
investment objective noted. Lipper rankings are based on total returns, not
adjusted for sales charges.
[20]
<PAGE>
Schedule of Investments
Long-Term U.S. Government Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
<S> <C> <C>
- --------------------------------------------------------------------------------
U.S. Treasury Bonds 56.2%
- --------------------------------------------------------------------------------
8.125% due 05/15/21 $ 10,000 $ 10,994
6.750% due 08/15/26 1,411 1,336
----------
Total U.S. Treasury Bonds 12,330
(Cost $12,807) ==========
- --------------------------------------------------------------------------------
Mortgage-Backed Securities 80.1%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation 1.8%
7.261% due 06/01/22 (c) 183 191
7.411% due 05/01/22 (c) 208 216
----------
407
==========
Federal Housing Administration 7.8%
7.421% due 11/01/19 222 224
7.430% due 12/28/17 1,468 1,477
----------
1,701
==========
Federal National Mortgage Association 6.3%
7.449% due 05/01/25 (c) 837 867
7.954% due 10/01/24 (c) 489 508
----------
1,375
==========
Government National Mortgage Association 10.7%
6.500% due 02/20/24 (c) 391 396
7.000% due 08/20/25 (c) 654 666
7.125% due 06/20/23-07/20/23 (c)(e) 1,264 1,294
----------
2,356
==========
Collateralized Mortgage Obligations 37.5%
Bear Stearns
7.100% due 06/25/24 385 357
California Federal Bank
6.743% due 08/25/30 (c) 1,569 1,552
Federal Home Loan Mortgage Corp.
9.500% due 01/15/05 140 145
6.500% due 07/15/21 341 301
Federal National Mortgage Assn.
8.000% due 01/25/19 114 114
8.750% due 08/25/20 339 348
8.000% due 03/25/22 56 57
7.000% due 06/25/22 332 277
7.800% due 10/25/22 705 681
6.000% due 08/25/23 856 751
General Electric Capital Mortgage
7.500% due 03/25/19 159 159
Independent National Mortgage Corp.
8.088% due 01/25/25 (c) 517 529
Prudential Home
6.500% due 01/25/24 1,000 833
Residential Funding
8.147% due 03/25/25 (c) 443 456
Resolution Trust Corp.
6.888% due 06/25/23 (c) 350 351
Vendee Mortgage
6.500% due 06/15/24 1,793 1,309
----------
8,220
==========
Other Mortgage-Backed Securities 12.3%
Resolution Trust Corp.
6.689% due 05/25/29 (c) 1,645 1,669
Ryland Acceptance Corp.
7.580% due 11/28/22 (c) 1,000 1,018
----------
2,687
==========
Stripped Mortgage-Backed Securities 3.7%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 07/15/04 908 38
6.500% due 08/15/06 417 37
6.500% due 10/15/06 632 67
6.500% due 11/15/06 823 76
6.000% due 10/15/07 799 69
2.675% due 12/15/08 (c) 2,907 115
7.000% due 02/15/26 713 43
Federal National Mortgage Assn. (IO)
6.500% due 02/25/07 463 44
6.500% due 08/25/20 1,000 133
6.500% due 09/25/21 1,174 182
----------
804
----------
Total Mortgage-Backed Securities 17,550
(Cost $17,478) ==========
- --------------------------------------------------------------------------------
Short-Term Instruments 7.9%
- --------------------------------------------------------------------------------
Discount Notes 4.5%
General Motors Acceptance Corp.
5.390% due 04/09/97 200 200
5.580% due 05/07/97 300 298
National Rural Utilities Cooperative
5.550% due 05/19/97 300 298
New Center Asset Trust
5.520% due 04/25/97 200 199
----------
995
==========
Repurchase Agreement 2.8%
State Street Bank
5.000% due 04/01/97 605 605
(Dated 03/31/97. Collateralized by U.S. Treasury ----------
Note 5.125% 02/28/98 valued at $617,252.
Repurchase proceeds are $605,084.)
U.S. Treasury Bills 0.6%
5.065% due 05/01/97-07/03/97 (b)(e) 140 138
----------
Total Short-Term Instruments 1,738
(Cost $1,739) ==========
Total Investments (a) 144.2% $ 31,618
(Cost $32,024)
Written Options (d) (0.2%) (46)
(Premiums $34)
Other Assets and Liabilities (Net) (44.0%) (9,644)
Net Assets 100.0% $ 21,928
==========
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1997, 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. $ 292
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (541)
----------
Unrealized depreciation-net $ (249)
==========
</TABLE>
(b) Securities with an aggregate market value of $128
have been segregated with the custodian to cover margin
requirements for the following open future contracts
at March 31, 1997:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 30 Year Bond (06/97) 15 $ (24)
(c) Variable rate security. The rate listed is as of March 31, 1997.
(d) Premiums received on Written Put Options:
<CAPTION>
Premiums Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
CME Eurodollar March Futures
Strike @ 93.50 Exp. 03/16/98 $ 39,000 $ 34 $ 46
(e) Securities are grouped by coupon and represent a range of maturities.
</TABLE>
See accompanying notes [21]
<PAGE>
Schedule of Investments
Foreign Bond Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
<S> <C> <C>
- --------------------------------------------------------------------------------
ARGENTINA (e) 2.5%
- --------------------------------------------------------------------------------
Republic of Argentina
7.180% due 06/20/97 AP 780 $ 769
8.000% due 08/09/97 DG 1,300 695
0.000% due 03/20/98 AP 780 730
3.576% due 04/01/01 (d) 4,263 3,781
---------------
Total Argentina 5,975
(Cost $6,097) ===============
- --------------------------------------------------------------------------------
AUSTRALIA (c)(e) 9.5%
- --------------------------------------------------------------------------------
Australian Wheat Board
5.310% due 05/09/97 $ 4,100 4,077
Commonwealth of Australia
13.000% due 07/15/00 A$ 4,400 4,033
9.500% due 08/15/03 500 426
10.000% due 02/15/06 3,700 3,273
Mobil Australia
5.320% due 04/15/97 $ 2,500 2,495
5.420% due 06/18/97 8,500 8,396
---------------
Total Australia 22,700
(Cost $22,770) ===============
- --------------------------------------------------------------------------------
BELGIUM (c)(e) 4.2%
- --------------------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/03 BF 200 7
5.100% due 11/21/04 (d) 183,200 5,633
8.500% due 10/01/07 124,400 4,299
---------------
Total Belgium 9,939
(Cost $10,655) ===============
- --------------------------------------------------------------------------------
CANADA (c)(e) 13.7%
- --------------------------------------------------------------------------------
Commonwealth of Canada
5.290% due 04/08/97 $ 2,600 2,597
5.410% due 04/15/97 4,200 4,191
5.290% due 04/17/97 1,500 1,496
8.500% due 03/01/00 C$ 23,498 18,379
9.000% due 12/01/04 1,160 960
4.250% due 12/01/26 (h) 3,072 2,198
Rogers Cantel, Inc.
10.500% due 06/01/06 2,500 2,029
Sears Canada
11.700% due 07/10/00 1,000 836
---------------
Total Canada 32,686
(Cost $33,131) ===============
- --------------------------------------------------------------------------------
CZECH REPUBLIC (e) 1.9%
- --------------------------------------------------------------------------------
Bayerische Landesbank
11.500% due 10/09/97 CK 134,000 4,586
---------------
Total Czechoslovakia 4,586
(Cost $4,982) ===============
- --------------------------------------------------------------------------------
Denmark (c)(e) 2.3%
- --------------------------------------------------------------------------------
Kingdom of Denmark
8.000% due 05/15/03 DK 29,500 5,104
8.000% due 03/15/06 1,800 307
---------------
Total Denmark 5,411
(Cost $6,745) ===============
- --------------------------------------------------------------------------------
FINLAND (c)(e) 3.8%
- --------------------------------------------------------------------------------
Republic of Finland
3.490% due 03/13/98 FM 15,000 2,908
7.250% due 04/18/06 19,000 4,047
8.250% due 10/15/10 10,000 2,242
---------------
Total Finland 9,197
(Cost $9,193) ===============
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
- --------------------------------------------------------------------------------
GERMANY (c)(e) 11.1%
- --------------------------------------------------------------------------------
Republic of Germany
5.875% due 05/15/00 DM 6,640 4,160
7.125% due 12/20/02 1,800 1,181
6.875% due 06/11/03 32,650 21,113
---------------
Total Germany 26,454
(Cost $26,855) ===============
- --------------------------------------------------------------------------------
GREECE (c)(e) 0.2%
- --------------------------------------------------------------------------------
Republic of Greece
14.800% due 05/19/03 (d) GD 100,000 391
---------------
Total Greece 391
(Cost $392) ===============
- --------------------------------------------------------------------------------
ITALY (c)(e) 9.5%
- --------------------------------------------------------------------------------
Republic of Italy
5.250% due 01/01/00 IL 28,630,000 16,568
8.313% due 01/01/05 9,370,000 6,052
---------------
Total Italy 22,620
(Cost $23,006) ===============
- --------------------------------------------------------------------------------
JAPAN (c)(e) 35.3%
- --------------------------------------------------------------------------------
Government of Japan
6.400% due 03/20/00 JY 6,153,000 57,644
5.500% due 03/20/02 1,897,000 18,188
4.500% due 06/20/03 685,000 6,380
4.100% due 12/22/03 224,200 2,051
---------------
Total Japan 84,263
(Cost $85,162) ===============
- --------------------------------------------------------------------------------
MEXICO (e) 6.3%
- --------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 13,000 8,002
Bancomer
8.000% due 07/07/98 $ 2,000 2,002
Nacional Financiera
8.094% due 12/15/97 (d) 41 41
Petroleos Mexicanos
7.750% due 09/30/98 FF 22,000 4,067
Third Mexican Acceptance Corp.
7.370% due 03/15/98 $ 1,000 980
---------------
Total Mexico 15,092
(Cost $14,295) ===============
- --------------------------------------------------------------------------------
NETHERLANDS (c)(e) 7.3%
- --------------------------------------------------------------------------------
Kingdom of Netherlands
6.250% due 07/15/98 DG 10,500 5,770
5.750% due 01/15/04 21,210 11,526
8.250% due 02/15/07 400 252
---------------
Total Netherlands 17,548
(Cost $18,910) ===============
- --------------------------------------------------------------------------------
NEW ZEALAND (c)(e) 2.7%
- --------------------------------------------------------------------------------
Commonwealth of New Zealand
8.000% due 04/15/04 N$ 9,350 6,502
---------------
Total New Zealand 6,502
(Cost $6,685) ===============
- --------------------------------------------------------------------------------
SPAIN (c)(e) 3.3%
- --------------------------------------------------------------------------------
Kingdom of Spain
10.000% due 02/28/05 SP 947,100 7,850
---------------
Total Spain 7,850
(Cost $8,381) ===============
- --------------------------------------------------------------------------------
SUPRANATIONAL (e) 1.3%
- --------------------------------------------------------------------------------
European Bank for Reconstruction &
Development 9.000% due 04/22/98 PP 49,000 1,859
</TABLE>
[22] See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
World Bank
10.250% due 04/11/02 PP 31,000 $ 1,176
---------------
Total Supranational 3,035
===============
(Cost $3,039)
- --------------------------------------------------------------------------------
SWEDEN (c)(e) 15.9%
- --------------------------------------------------------------------------------
Kingdom of Sweden
5.360% due 06/02/97 $ 4,000 3,961
11.000% due 01/21/99 SK 64,300 9,376
10.250% due 05/05/00 165,100 24,696
---------------
Total Sweden 38,033
===============
(Cost $39,183)
- --------------------------------------------------------------------------------
UNITED KINGDOM (c)(e) 11.2%
- --------------------------------------------------------------------------------
United Kingdom Gilt
8.000% due 12/07/00 BP 1,000 1,679
6.750% due 11/26/04 190 298
8.500% due 12/07/05 14,251 24,672
---------------
Total United Kingdom 26,649
===============
(Cost $26,894)
- --------------------------------------------------------------------------------
UNITED STATES 16.3%
- --------------------------------------------------------------------------------
Corporate Bonds and Notes 5.8%
AT&T Capital Corp.
5.900% due 11/13/97 $ 3,500 3,497
Resolution Trust Corp.
7.750% due 04/25/28 4,582 4,582
Salomon, Inc.
3.650% due 02/14/02 (h) 5,000 4,880
Time Warner, Inc.
6.456% due 08/15/00 (d) 875 875
---------------
13,834
===============
Mortgage-Backed Securities 10.0%
Collateralized Mortgage Obligation Trust
9.000% due 05/01/14 61 63
Federal Home Loan Mortgage Corp.
9.000% due 11/15/19 28 28
9.050% due 06/15/19 171 177
Government National Mortgage Assn.
6.875% due 11/20/21-10/20/24 (d)(g) 5,579 5,692
7.125% due 09/20/22-09/20/23 (d)(g) 6,338 6,491
Independent National Mortgage Corp.
8.212% due 11/25/24 (d) 430 441
Morgan Stanley Mortgage
8.150% due 07/20/21 5 5
PaineWebber Mortgage
7.000% due 10/25/23 1,780 1,779
Resolution Trust Corp.
10.648% due 05/25/24 (d) 268 273
Ryland Acceptance Corp.
7.837% due 09/25/23 (d) 8,496 8,631
Sears Mortgage
6.763% due 06/25/22 (d) 245 245
8.250% due 09/25/31 21 21
---------------
23,846
===============
Asset-Backed Securities 0.5%
Student Loan Marketing Assn.
5.815% due 04/25/04 (d) 1,154 1,157
---------------
Total United States 38,837
===============
(Cost $38,924)
- --------------------------------------------------------------------------------
PURCHASED OTC CALL OPTIONS (e) 8.2%
- --------------------------------------------------------------------------------
Commonwealth of Australia
13.000% due 07/15/00 (f)
Strike @ 105.16 Exp. 06/27/97 A$ 4,400 343
Commonwealth of Canada
8.000% due 11/01/98 (f)
Strike @ 95.05 Exp. 04/24/97 C$ 28,600 2,006
8.500% due 03/01/00 (f)
Strike @ 95.71 Exp. 06/25/97 23,498 1,916
Government of Japan
6.400% due 03/20/00 (f)
Strike @ 104.88 Exp. 06/01/97 JY 900,000 704
6.400% due 03/20/00 (f)
Strike @ 99.06 Exp. 06/25/97 5,253,000 6,494
5.500% due 03/20/02 (f)
Strike @ 107.34 Exp. 04/16/97 208,000 185
5.500% due 03/20/02 (f)
Strike @ 102.48 Exp 06/11/97 1,538,000 1,867
4.500% due 06/20/03 (f)
Strike @ 94.09 Exp. 05/23/97 525,000 864
Kingdom of Sweden
11.000% due 01/21/99 (f)
Strike @ 100.92 Exp. 04/17/97 SK 100,000 1,197
11.000% due 01/21/99 (f)
Strike @ 100.94 Exp. 04/21/97 154,000 1,833
10.250% due 05/05/00 (f)
Strike @ 91.96 Exp. 06/27/97 80,000 2,083
---------------
Total Purchased OTC Call Options 19,492
===============
(Cost $20,300)
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 29.7%
- --------------------------------------------------------------------------------
Discount Notes 28.7%
Emerson Electric Co.
5.490% due 05/05/97 $ 3,000 2,984
Ford Motor Credit Corp.
5.320% due 04/09/97 6,900 6,892
5.300% due 04/11/97 2,200 2,197
5.300% due 04/23/97 1,100 1,096
5.280% due 04/29/97 1,100 1,096
General Electric Capital Corp.
5.250% due 04/25/97 900 897
General Motors Acceptance Corp.
5.390% due 04/09/97 1,900 1,898
5.580% due 05/07/97 4,000 3,978
5.450% due 06/17/97 1,900 1,877
5.580% due 06/23/97 1,000 987
KFW International Finance, Inc.
5.520% due 04/28/97 3,000 2,988
5.290% due 04/29/97 700 697
Minnesota Mining & Manufacturing Co.
5.280% due 05/07/97 1,000 995
National Rural Utilities Cooperative
5.290% due 04/01/97 7,600 7,600
New Center Asset Trust
6.700% due 04/01/97 4,600 4,600
5.270% due 04/09/97 500 500
5.520% due 04/25/97 4,000 3,985
Pitney Bowes Credit Corp.
5.280% due 05/14/97 6,500 6,459
Shell Oil Co.
5.470% due 04/24/97 8,800 8,769
Wool International
5.340% due 04/23/97 7,500 7,476
5.330% due 04/24/97 400 399
---------------
68,370
===============
Repurchase Agreement 0.8%
State Street Bank
5.000% due 04/01/97 1,846 1,846
(Dated 03/31/97. Collateralized by ---------------
U.S. Treasury Note 5.125% 02/28/98
valued at $1,886,599. Repurchase
proceeds are $1,846,256.)
U.S. Treasury Bills 0.2%
5.025% due 05/01/97 (b)(g) 625 622
---------------
Total Short-Term Instruments 70,838
===============
(Cost $70,837)
Total Investments (a) 196.2% $ 468,098
(Cost $476,436)
Other Assets and Liabilities (Net) (96.2%) (229,475)
---------------
Net Assets 100.0% $ 238,623
===============
</TABLE>
See accompanying notes [23]
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
March 31, 1997
<TABLE>
<CAPTION>
Value
($ in thousands)
- --------------------------------------------------------------------------------
<S> <C>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1997, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in
which there was an excess of value over tax cost. $ 2,435
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value. (10,518)
-----------
Unrealized depreciation-net $ (8,083)
===========
(b) Securities with an aggregate market value of $622 have been
segregated with the custodian to cover margin requirements for
the following open future contracts at March 31, 1997:
<CAPTION>
Unrealized
Type Contracts Depreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
Commonwealth of Australia 3 Year Note (06/97) 305 $ (35)
Republic of France 10 Year Note (06/97) 64 (147)
-----------
$ (182)
===========
(c) Foreign forward currency contracts outstanding at March 31, 1997:
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy A$ 2,470 04/97 $ (7)
Sell 2,786 04/97 (40)
Sell BF 304,921 06/97 (137)
Sell BP 4,476 04/97 49
Sell 1,274 06/97 (68)
Buy C$ 6,279 04/97 (85)
Buy 11,419 05/97 (109)
Buy 8,777 06/97 (7)
Sell 19,423 04/97 247
Sell 11,419 05/97 244
Sell 12,859 03/98 133
Sell DG 19,648 04/97 275
Sell 487 06/97 1
Buy DK 8 04/97 0
Sell 2,245 04/97 18
Buy DM 662 04/97 8
Buy 7,834 06/97 33
Sell 35,257 04/97 2,300
Sell 15,763 07/97 (58)
Sell EC 381 07/97 1
Buy FF 12,076 04/97 34
Sell 12,346 04/97 64
Sell 24,777 07/97 (118)
Buy FM 100 04/97 (1)
Buy 23,281 05/97 97
Sell 42,624 05/97 200
Sell 5,058 06/97 0
Buy GD 117,475 04/97 (1)
Buy IL 1,489,000 04/97 11
Sell 458,692 04/97 17
Buy JY 94,151 04/97 (19)
Buy 413,803 05/97 (1)
Sell 719,696 05/97 348
Buy N$ 6,213 05/97 (19)
Buy 3,481 06/97 1
Sell 18,671 05/97 152
Sell 881 06/97 (6)
Sell SF 9,900 04/97 407
Sell 7,830 05/97 15
Buy SK 179,184 04/97 (807)
Buy 16,103 05/97 (46)
Sell 194,599 04/97 2,235
Sell 16,642 05/97 38
Buy SP 10,518 04/97 (5)
Buy 449,222 05/97 46
Buy 1,028,835 06/97 128
-----------
$ 5,566
===========
(d) Variable rate security. The rate listed is as of March 31, 1997.
(e) Principal amount denoted in the indicated currency:
<CAPTION>
<S> <C> <C> <C>
A$ - Australian Dollar FF - French Franc
AP - Argentine Peso FM - Finnish Markka
BF - Belgian Franc GD - Greek Drachma
BP - British Pound IL - Italian Lira
C$ - Canadian Dollar JY - Japanese Yen
CK - Czech Koruna N$ - New Zealand Dollar
DG - Dutch Guilder PP - Philippines Peso
DK - Danish Krone SF - Swiss Franc
DM - German Mark SK - Swedish Krona
EC - European Currency Unit SP - Spanish Peseta
(f) Security is subject to outstanding forward sale commitment.
(g) Securities are grouped by coupon and represent a range of maturities.
(h) Principal amount of the security is adjusted for inflation.
</TABLE>
[24] See accompanying notes
<PAGE>
Schedule of Investments
Global Bond Fund II
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
<S> <C> <C>
- -------------------------------------------------------------------------------
ARGENTINA (e) 2.3%
- -------------------------------------------------------------------------------
Republic of Argentina
7.180% due 06/20/97 AP 60 $ 59
0.000% due 03/20/98 60 56
3.576% due 04/01/01 (d) 304 270
---------------
Total Argentina 385
===============
(Cost $386)
- -------------------------------------------------------------------------------
AUSTRALIA (c)(e) 5.6%
- -------------------------------------------------------------------------------
Commonwealth of Australia
13.000% due 07/15/00 A$ 400 367
9.500% due 08/15/03 100 85
10.000% due 02/15/06 100 88
Mobil Australia Finance
5.320% due 04/15/97 $ 400 399
----------------
Total Australia 939
================
(Cost $937)
- -------------------------------------------------------------------------------
BELGIUM (c)(e) 2.6%
- -------------------------------------------------------------------------------
Kingdom of Belgium
5.100% due 11/21/04 (d) BF 5,800 178
8.500% due 10/01/07 7,400 256
----------------
Total Belgium 434
================
(Cost $465)
- -------------------------------------------------------------------------------
CANADA (c)(e) 18.9%
- -------------------------------------------------------------------------------
Commonwealth of Canada
5.290% due 04/08/97 $ 300 300
8.000% due 11/01/98 C$ 1,355 1,028
8.500% due 03/01/00 1,770 1,384
9.000% due 12/01/04 110 91
4.250% due 12/01/26 (h) 174 124
Rogers Cantel, Inc.
10.500% due 06/01/06 320 260
----------------
Total Canada 3,187
================
(Cost $3,237)
- -------------------------------------------------------------------------------
CZECH REPUBLIC (e) 1.6%
- -------------------------------------------------------------------------------
Bayerische Landesbank
11.500% due 10/09/97 CK 8,000 274
----------------
Total Czechoslovakia 274
================
(Cost $298)
- -------------------------------------------------------------------------------
DENMARK (c)(e) 1.6%
- -------------------------------------------------------------------------------
Kingdom of Denmark
8.000% due 05/15/03 DK 1,600 277
----------------
Total Denmark 277
================
(Cost $291)
- -------------------------------------------------------------------------------
FINLAND (c)(e) 5.0%
- -------------------------------------------------------------------------------
Republic of Finland
3.490% due 03/13/98 FM 1,000 194
7.250% due 04/18/06 2,000 426
8.250% due 10/15/10 1,000 224
----------------
Total Finland 844
================
(Cost $844)
- -------------------------------------------------------------------------------
GERMANY (c)(e) 6.6%
- -------------------------------------------------------------------------------
Germany Unity Fund
8.000% due 01/21/02 DM 500 338
Republic of Germany
5.875% due 05/15/00 120 75
7.125% due 12/20/02 780 512
Treuhandanstalt
6.875% due 06/11/03 300 194
----------------
Total Germany 1,119
================
(Cost $1,214)
- -------------------------------------------------------------------------------
ITALY (c)(e) 6.6%
- -------------------------------------------------------------------------------
Republic of Italy
5.250% due 01/01/00 IL 1,440,000 $ 834
8.313% due 01/01/05 440,000 284
----------------
Total Italy 1,118
================
(Cost $1,150)
- -------------------------------------------------------------------------------
JAPAN (c)(e) 19.4%
- -------------------------------------------------------------------------------
Government of Japan
4.800% due 06/21/99 JY 10,000 88
6.400% due 03/20/00 217,000 2,034
5.500% due 03/20/02 72,000 690
4.500% due 06/20/03 42,000 391
4.100% due 12/22/03 9,000 82
----------------
Total Japan 3,285
================
(Cost $3,294)
- -------------------------------------------------------------------------------
NETHERLANDS (c)(e) 4.6%
- -------------------------------------------------------------------------------
Kingdom of Netherlands
6.250% due 07/15/98 DG 500 275
5.750% due 01/15/04 570 309
8.250% due 02/15/07 300 189
----------------
Total Netherlands 773
================
(Cost $832)
- -------------------------------------------------------------------------------
NEW ZEALAND (c)(e) 2.6%
- -------------------------------------------------------------------------------
Commonwealth of New Zealand
10.000% due 03/15/02 N$ 30 23
8.000% due 04/15/04 600 417
----------------
Total New Zealand 440
================
(Cost $444)
- -------------------------------------------------------------------------------
SPAIN (c)(e) 5.3%
- -------------------------------------------------------------------------------
Kingdom of Spain
10.250% due 11/30/98 SP 90,000 682
10.000% due 02/28/05 25,300 210
----------------
Total Spain 892
================
(Cost $966)
- -------------------------------------------------------------------------------
SWEDEN (c)(e) 15.2%
- -------------------------------------------------------------------------------
Kingdom of Sweden
11.000% due 01/21/99 SK 10,500 1,531
10.250% due 05/05/00 6,900 1,032
----------------
Total Sweden 2,563
================
(Cost $2,766)
- -------------------------------------------------------------------------------
UNITED KINGDOM (c)(e) 7.4%
- -------------------------------------------------------------------------------
United Kingdom Gilt
8.000% due 12/07/00 BP 100 168
8.500% due 12/07/05 628 1,087
----------------
Total United Kingdom 1,255
================
(Cost $1,268)
- -------------------------------------------------------------------------------
SUPRANATIONAL (e) 1.3%
- -------------------------------------------------------------------------------
European Bank for Reconstruction &
Development
9.000% due 04/22/98 PP 4,000 152
World Bank
10.250% due 04/11/02 2,000 76
----------------
Total Supranational 228
================
(Cost $228)
- -------------------------------------------------------------------------------
UNITED STATES (c)(e) 28.6%
- -------------------------------------------------------------------------------
Corporate Bonds & Notes 6.6%
AT&T Capital Corp.
5.900% due 11/13/97 $ 500 500
Dean Witter Discover
5.555% due 02/01/99 (d) 250 250
</TABLE>
See accompanying notes [25]
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
<S> <C> <C>
================================================================================
Hewlett-Packard Co.
5.625% due 11/20/00 DM 100 $ 62
TCI Communications, Inc.
6.218% due 04/01/02(d)$ 300 296
----------------
1,108
================
Mortgage-Backed Securities 16.7%
Federal National Mortgage Assn.
6.085% due 08/01/29 (d) 289 285
Government National Mortgage Assn.
6.000% due 11/20/26 (d) 1,000 1,001
6.875% due 11/20/21 (d) 87 89
7.125% due 07/20/22 (d) 1,410 1,444
----------------
2,819
================
Asset-Backed Securities 5.3%
Student Loan Marketing Assn.
6.011% due 10/25/07 (d) 900 900
----------------
Total United States 4,827
================
(Cost $4,834)
- --------------------------------------------------------------------------------
PURCHASED OTC CALL OPTIONS (e) 5.4%
- --------------------------------------------------------------------------------
Commonwealth of Australia
13.000% due 07/15/00 (g)
Strike @ 105.16 Exp. 06/27/97 A$ 400 31
Commonwealth of Canada
8.000% due 11/01/98 (g)
Strike @ 95.10 Exp. 04/16/97 C$ 1,800 127
8.000% due 11/01/98 (g)
Strike @ 95.05 Exp. 04/24/97 1,800 126
8.500% due 03/01/00 (g)
Strike @ 95.71 Exp. 06/25/97 1,770 144
Government of Japan
4.500% due 06/20/03 (g)
Strike @ 94.09 Exp. 05/23/97 JY 27,000 44
4.800% due 06/21/99 (g)
Strike @ 98.52 Exp. 04/16/97 10,000 8
5.500% due 03/20/02 (g)
Strike @ 102.48 Exp. 06/11/97 10,000 12
6.400% due 03/20/00 (g)
Strike @ 104.88 Exp. 06/11/97 50,000 39
6.400% due 03/20/00 (g)
Strike @ 99.06 Exp. 06/25/97 167,000 206
Kingdom of Sweden
10.250% due 05/05/00 (g)
Strike @ 91.96 Exp. 06/27/97 SK 6,900 180
----------------
Total Purchased OTC Call Options 917
================
(Cost $945)
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 32.6%
- --------------------------------------------------------------------------------
Discount Notes 30.1%
Ameritech Corp.
5.290% due 05/08/97 $ 800 796
E.I. Du Pont de Nemours
5.260% due 05/07/97 800 796
Ford Motor Credit Corp.
5.320% due 04/09/97 700 699
Illinois Toolworks
5.380% due 04/08/97 400 399
KFW International Finance, Inc.
5.270% due 04/17/97 500 499
National Rural Utilities Cooperative
5.290% due 04/01/97 100 100
5.330% due 04/29/97 100 100
5.550% due 05/19/97 400 397
Pitney Bowes Credit Corp.
5.270% due 04/18/97 700 698
Proctor & Gamble Co.
5.280% due 04/14/97 100 100
Queensland Treasury Corp.
5.320% due 04/21/97 500 498
----------------
5,082
================
Repurchase Agreement 2.1%
State Street Bank
5.000% due 04/01/97 $ 353 $ 353
----------------
(Dated 03/31/97. Collateralized
by U.S. Treasury
Note 5.125% 02/28/98 valued at
$363,382.
Repurchase proceeds are $353,049.)
U.S. Treasury Bills 0.4%
5.125% due 05/01/97-07/03/97 (b)(f) 80 79
----------------
Total Short-Term Instruments 5,514
================
(Cost $5,515)
Total Investments (a) 173.2% $ 29,271
(Cost $29,642)
Other Assets and Liabilities (Net) (73.2%) (12,371)
----------------
Net Assets 100.0% $ 16,900
================
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1997, 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. $ 86
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value. (894)
Unrealized depreciation-net $ (808)
================
(b) Securities with an aggregate market value of $79 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at March 31, 1997:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
Commonwealth of Australia
3 Year Note (06/97) 23 $ (3)
U.S. Treasury 30 Year Bond (06/97) 16 (22)
----------------
$ (25)
================
<CAPTION>
(c) Foreign forward currency contracts outstanding at March 31, 1997:
Principal Unrealized
Amount Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
<S> <C> <C> <C>
Sell A$ 22 04/97 $ 0
Sell BF 7,712 06/97 (3)
Buy BP 30 04/97 1
Sell 278 04/97 6
Sell 430 06/97 (23)
Buy C $ 697 04/97 (11)
Sell 1,026 04/97 25
Buy 100 05/97 (2)
Sell 100 05/97 1
Buy 399 06/97 (2)
Sell 805 06/97 7
Sell 50 03/98 0
Buy 100 03/98 (1)
Sell DK 265 04/97 2
Sell DG 756 04/97 11
Sell 122 06/97 0
Buy DM 261 04/97 (5)
Sell 511 04/97 39
Sell 1,071 06/97 (4)
Sell 417 07/97 (2)
Buy FF 100 04/97 0
Sell 118 04/97 0
Buy 119 07/97 0
Sell 119 07/97 0
Sell FM 13 04/97 0
Buy 1,325 05/97 4
Sell 3,762 05/97 17
</TABLE>
[26] See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
================================================================================
<S> <C> <C> <C> <C>
Buy IL 81,000 04/97 0
Sell 22,158 04/97 1
Sell JY 35,577 04/97 18
Buy 26,882 05/97 0
Buy N$ 335 05/97 1
Sell 828 05/97 7
Sell 171 06/97 0
Sell SF 800 04/97 33
Sell 520 05/97 3
Buy SK 18,075 04/97 (60)
Sell 22,040 04/97 283
Buy 1,552 05/97 (4)
Buy SP 20,828 04/97 (10)
Buy 11,000 05/97 1
Sell 18,156 06/97 (2)
-----------------
$ 331
-----------------
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1997.
(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 JY - Japanese Yen
C$ - Canadian Dollar N$ - New Zealand Dollar
CK - Czech Koruna PP - Philippines Peso
DG - Dutch Guilder SF - Swiss Francs
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 is subject to outstanding forward sale commitment.
(h) Principal amount of the security is adjusted for inflation.
See accompanying notes [27]
<PAGE>
Schedule of Investments
High Yield Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
<S> <C> <C>
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 79.5%
- --------------------------------------------------------------------------------
Banking and Finance 3.5%
Americo Life, Inc.
9.250% due 06/01/05 $ 2,000 $ 2,005
First Nationwide Holdings
12.500% due 04/15/03 5,000 5,475
10.625% due 10/01/03 4,350 4,600
Imperial Credit Industries, Inc.
9.875% due 01/15/07 2,300 2,266
Mesa Operating Co.
10.625% due 07/01/06 500 521
Reliance Financial Services
7.866% due 12/01/00 (c) 1,000 1,023
Reliance Group Holdings
9.000% due 11/15/00 14,000 14,315
Trizec Finance
10.875% due 10/15/05 5,850 6,391
-----------------
36,596
=================
Industrials 64.2%
Abbey Healthcare Group
9.500% due 11/01/02 10,220 10,782
Albritton Communications
9.750% due 11/30/07 5,500 5,225
American Airlines
10.610% due 03/04/10 650 797
American Standard
9.250% due 12/01/16 8,690 8,929
Amerigas Partners L.P.
10.125% due 04/15/07 4,200 4,473
Ametek, Inc.
9.750% due 03/15/04 6,350 6,636
Amtrol, Inc.
10.625% due 12/31/06 5,635 5,903
Bell & Howell Co.
10.750% due 10/01/02 4,000 4,205
0.000% due 03/01/05 (b) 2,100 1,628
Benedek Broadcasting Corp.
11.875% due 03/01/05 8,850 9,779
Building Materials Corp.
0.000% due 07/01/04 (b) 17,400 15,421
Cablevision Systems
10.500% due 05/15/16 11,000 11,083
9.875% due 04/01/23 4,000 3,840
Century Communication
9.500% due 03/01/05 1,500 1,474
CF Cable TV, Inc.
9.125% due 07/15/07 9,000 9,675
Clark-Schwebel, Inc.
10.500% due 04/15/06 3,500 3,684
Clark Oil Refining Corp.
10.500% due 12/01/01 1,400 1,463
Clark R & M Holdings
0.000% due 02/15/00 11,600 8,497
Cumberland Farms
10.500% due 10/01/03 8,808 8,632
Delta Air Lines
10.790% due 03/26/14 2,264 2,718
Dimon, Inc.
8.875% due 06/01/06 3,000 3,060
Doane Products Co.
10.625% due 03/01/06 2,000 2,090
Envirosource, Inc.
9.750% due 06/15/03 10,770 10,339
EZ Communication, Inc.
9.750% due 12/01/05 8,200 8,610
Falcon Drilling, Inc.
9.750% due 01/15/01 6,500 6,719
Ferrellgas Partners L.P.
10.000% due 08/01/01 10,100 10,656
9.375% due 06/15/06 1,700 1,721
Figgie International, Inc.
9.875% due 10/01/99 2,240 2,327
Foamex L.P.
9.500% due 06/01/00 1,000 1,018
Foodmaker, Inc.
9.250% due 03/01/99 1,145 1,168
Forcenergy, Inc.
9.500% due 11/01/06 4,300 4,359
8.500% due 02/15/07 2,600 2,477
Fresenius Medical Care
9.000% due 12/01/06 13,750 13,681
Globalstar L.P.
11.375% due 02/15/04 6,350 6,255
Goss Graphic Systems, Inc.
12.000% due 10/15/06 6,000 6,315
Granite Broadcasting Corp.
10.375% due 05/15/05 5,250 5,303
Griffin Gaming
0.000% due 06/30/00 7,330 7,238
Gulf Canada Resources
9.250% due 01/15/04 12,575 13,141
HMH Properties
9.500% due 05/15/05 12,750 13,180
Hollinger International Publishing
8.625% due 03/15/05 4,750 4,613
9.250% due 02/01/06 7,800 7,761
HS Resources
9.875% due 12/01/03 4,250 4,303
Huntsman Corp.
9.250% due 03/20/07 (c) 6,500 6,500
Integrated Health Services
9.625% due 05/31/02 7,825 8,177
10.250% due 04/30/06 2,000 2,120
ISP Holdings, Inc.
9.000% due 10/15/03 19,400 19,594
J. Ray McDermott
9.375% due 07/15/06 10,400 10,530
J.Q. Hammons Hotels
8.875% due 02/15/04 11,500 11,213
Jones Intercable, Inc.
8.875% due 04/01/07 6,900 6,814
K-III Communications Co.
8.500% due 02/01/06 11,490 11,203
Kaiser Aluminum & Chemical
9.875% due 02/15/02 8,750 8,706
KCS Energy, Inc.
11.000% due 01/15/03 2,600 2,756
Lenfest Communications
8.375% due 11/01/05 9,650 9,083
Magnetek, Inc.
10.750% due 11/15/98 5,250 5,329
Marcus Cable
0.000% due 08/01/04 (b) 11,400 9,191
Mettler Toledo, Inc.
9.750% due 10/01/06 400 414
Moog, Inc.
10.000% due 05/01/06 3,250 3,388
Newsquest Capital
11.000% due 05/01/06 4,250 4,526
NL Industries
0.000% due 10/15/05 (b) 2,950 2,670
Northwestern Steel & Wire
9.500% due 06/15/01 5,005 4,892
Nuevo Energy Co.
9.500% due 04/15/06 3,000 3,053
Orion Network Systems
11.250% due 01/15/07 5,675 5,618
Owens & Minor
10.875% due 06/01/06 5,850 6,318
Owens Illinois
10.500% due 06/15/02 2,000 2,110
11.000% due 12/01/03 10,500 11,576
Pacific Lumber
10.500% due 03/01/03 9,750 9,896
Packard Bioscience Co.
9.375% due 03/01/07 2,300 2,231
Paging Network
8.875% due 02/01/06 4,500 3,825
10.000% due 10/15/08 850 761
</TABLE>
[28] See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
<S> <C> <C>
- --------------------------------------------------------------------------------
Parker Drilling Corp.
9.750% due 11/15/06 $ 9,800 $ 10,094
Pathmark Stores, Inc.
9.625% due 05/01/03 5,900 5,590
Printpack, Inc.
9.875% due 08/15/04 6,450 6,579
Repap Wisconsin, Inc.
9.250% due 02/01/02 4,900 4,900
Revlon Consumer Products Corp.
9.375% due 04/01/01 7,500 7,678
10.500% due 02/15/03 5,500 5,748
RJR Nabisco
8.000% due 07/15/01 2,000 1,980
8.625% due 12/01/02 5,500 5,522
Rogers Cablesystems, Inc.
10.000% due 03/15/05 7,500 7,913
Rogers Cantel Mobile
11.125% due 07/15/02 2,000 2,098
9.375% due 06/01/08 15,500 15,965
Sea Containers
9.500% due 07/01/03 (c) 750 769
Sequa Corp.
10.000% due 05/14/01 4,000 4,076
Showboat, Inc.
9.250% due 05/01/08 700 719
Sinclair Broadcast Group
10.000% due 09/30/05 500 503
Smith's Food & Drug Centers, Inc.
8.640% due 07/02/12 11,325 10,702
9.200% due 07/02/18 1,750 1,561
Speedy Muffler King, Inc.
10.875% due 10/01/06 6,400 6,528
Statia Terminals
11.750% due 11/15/03 6,750 7,121
Station Casinos
9.625% due 06/01/03 3,150 3,024
Stone Container
11.500% due 10/01/04 2,000 1,945
Sun International Hotels
9.000% due 03/15/07 6,650 6,384
Sweetheart Cup Co.
9.625% due 09/01/00 4,750 4,845
Synthetic Industries
9.250% due 02/15/07 2,150 2,129
Teleport Communications
0.000% due 07/01/07 (b) 16,150 10,942
Telewest Communications
9.625% due 10/01/06 11,000 10,945
Tenet Healthcare
10.125% due 03/01/05 8,300 9,047
8.625% due 01/15/07 3,500 3,395
Trans-Resources, Inc.
11.875% due 07/01/02 7,080 6,832
Unisys Corp.
12.000% due 04/15/03 11,900 12,495
US Air, Inc.
9.625% due 09/01/03 11,490 11,670
U.S. Can Corp.
10.125% due 10/15/06 5,600 5,908
Vintage Petroleum
9.000% due 12/15/05 10,490 10,621
West Point Stevens
8.750% due 12/15/01 2,500 2,544
9.375% due 12/15/05 7,500 7,650
World Color Press, Inc.
9.125% due 03/15/03 13,085 13,150
Young Broadcasting, Inc.
9.000% due 01/15/06 11,000 10,340
-----------------
673,584
=================
Utilities 11.8%
AES Corp.
10.250% due 07/15/06 14,235 15,552
Beaver Valley Funding Corp.
9.000% due 06/01/17 34,000 33,659
Bell Cablemedia PLC
0.000% due 09/15/05 (b) 2,000 1,600
Cablevision Systems
9.875% due 02/15/13 2,000 1,910
California Energy
9.875% due 06/30/03 5,000 5,275
10.250% due 01/15/04 (c) 17,140 18,683
Calpine Corp.
9.250% due 02/01/04 7,500 7,631
CMS Energy
9.875% due 10/01/99 (c) 4,950 5,107
CTC Mansfield Funding
11.125% due 09/30/16 1,000 1,068
First PV Funding
10.150% due 01/15/16 1,040 1,074
Niagara Mohawk Power
7.750% due 05/15/06 1,100 1,057
9.500% due 03/01/21 2,500 2,470
7.875% due 04/01/24 7,500 6,864
North Atlantic Energy
9.050% due 06/01/02 7,043 6,967
Vanguard Cellular Systems, Inc.
9.375% due 04/15/06 7,500 7,519
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/09 500 477
10.732% due 01/01/13 6,993 6,829
-----------------
123,742
-----------------
Total Corporate Bonds and Notes 833,922
(Cost $817,864) =================
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 5.3%
- --------------------------------------------------------------------------------
Federal Housing Administration 0.1%
9.250% due 08/01/20 1,350 1,343
-----------------
Collateralized Mortgage Obligations 3.0%
Asset Securitization Corp.
7.384% due 08/13/29 1,500 1,377
CS First Boston Mortgage Securities Corp.
7.591% due 01/25/28 (c) 2,227 1,562
Federal Deposit Insurance Corp.
6.906% due 11/25/26 (c) 400 385
Lennar Central Partners L.P.
9.890% due 09/15/04 1,000 1,001
LTC Properties, Inc.
9.200% due 08/04/23 3,235 3,339
Manufacturers Hanover Corp.
7.859% due 12/16/25 (c) 897 895
7.930% due 12/16/25 (c) 3,990 3,846
Nationsbanc
8.122% due 05/25/28 (c) 3,835 2,500
Red Mountain Funding Corp.
9.150% due 11/28/27 5,727 5,161
Resolution Trust Corp.
7.188% due 09/25/20 (c) 936 599
9.250% due 06/25/23 3,438 3,487
9.050% due 08/25/23 972 1,001
9.500% due 05/25/24 113 114
8.500% due 03/25/25 96 95
7.000% due 05/25/27 6,633 5,982
-----------------
31,344
=================
Other Mortgage-Backed Securities 1.7%
Allied Waste North America, Inc.
8.188% due 06/30/03 (c) 553 564
8.375% due 06/30/03 (c) 447 456
8.438% due 06/30/04 (c) 1,106 1,128
8.625% due 06/30/04 (c) 894 912
8.688% due 06/30/05 (c) 1,106 1,128
8.875% due 06/30/05 (c) 894 911
Resolution Trust Corp.
6.900% due 02/25/27 10,655 9,692
Structured Asset Securities Corp.
7.050% due 11/25/02 4,000 3,351
-----------------
18,142
=================
</TABLE>
See accompanying notes [29]
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
<S> <C> <C>
- --------------------------------------------------------------------------------
Stripped Mortgage-Backed Securities 0.5%
Federal National Mortgage Assn. (IO)
6.000% due 07/25/05 $ 4,198 $ 258
7.000% due 07/25/08 8,713 1,265
6.500% due 06/25/17 3,760 351
7.000% due 04/25/19 12,000 2,953
Fund America (IO)
9.590% due 10/20/21 1,954 272
----------------
5,099
-----------------
Total Mortgage-Backed Securities 55,928
(Cost $57,140) =================
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 1.1%
- --------------------------------------------------------------------------------
Airplanes Pass Through Trust
10.875% due 03/15/19 10,200 11,092
-----------------
Total Asset-Backed Securities 11,092
(Cost $10,531) =================
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.1%
- --------------------------------------------------------------------------------
Republic of Argentina
6.750% due 03/31/05 (c) 11,398 10,187
5.250% due 03/31/23 (c) 9,000 5,614
Third Mexican Acceptance Corp.
7.370% due 03/15/98 1,000 980
United Mexican States
6.250% due 12/31/19 7,000 4,935
-----------------
Total Sovereign Issues 21,716
(Cost $18,604) =================
- --------------------------------------------------------------------------------
PREFERRED STOCK 3.4%
- --------------------------------------------------------------------------------
Shares
California Federal Bank 16,500 1,864
Long Island Lighting Co. 30,000 3,135
Newscorp Overseas Ltd. 133,200 3,280
Time Warner, Inc. 25,730 27,594
-----------------
Total Preferred Stock 35,873
(Cost $32,504) =================
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.8%
- --------------------------------------------------------------------------------
Principal
Amount
(000's)
Discount Notes 5.1%
Australian Wheat Board
5.310% due 05/09/97 $ 2,800 2,784
Electricite de France
5.300% due 04/28/97 400 398
5.290% due 05/06/97 3,400 3,382
Ford Motor Credit Co.
5.290% due 04/24/97 700 698
General Electric Capital Corp.
5.320% due 05/07/97 1,500 1,492
General Motors Acceptance Corp.
4.580% due 05/07/97 36,000 35,799
KFW International Finance, Inc.
6.140% due 04/03/97 2,700 2,699
5.270% due 04/17/97 200 200
National Rural Utilities Cooperative
5.290% due 04/04/97 700 700
New Center Asset Trust
6.700% due 04/01/97 6,000 6,000
-----------------
54,152
=================
Repurchase Agreement 0.7%
State Street Bank
5.000% due 04/01/97 6,910 6,910
(Dated 03/31/97. Collateralized by U.S. Treasury -----------------
Bond 7.250% 05/15/16 valued at $7,049,113.
Repurchase proceeds are $6,910,960.)
Total Short-Term Investments 61,062
(Cost $61,062) =================
Total Investments (a) 97.2% $ 1,019,593
(Cost $997,705) =================
Other Assets and Liabilities (Net) 2.8% 29,772
-----------------
Net Assets 100.0% $ 1,049,365
=================
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1997, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there was an excess of value over tax cost. $ 30,223
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value. (7,551)
-----------------
Unrealized appreciation-net $ 22,672
=================
</TABLE>
(b) Security becomes interest bearing at a future date.
(c) Variable rate security. The rate listed is as of March 31, 1997.
[30] See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
<S> <C> <C>
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 16.6%
- --------------------------------------------------------------------------------
Banking and Finance 7.3%
ABN AMRO Bank N.V.
7.750% due 05/15/23 $ 200 $ 198
Aetna Services, Inc.
6.750% due 09/15/13 200 182
Ahmanson (H.F.) & Co.
6.000% due 04/01/97 25,000 25,000
American Express Credit
6.800% due 12/15/03 1,500 1,498
American General Finance
5.875% due 07/01/00 75 73
8.125% due 08/15/09 50 52
Associates Corp. of North America
9.700% due 05/01/97 450 451
6.125% due 02/01/98 1,475 1,474
6.625% due 05/15/98 100 100
8.800% due 08/01/98 987 1,015
6.250% due 03/15/99 1,200 1,190
7.500% due 05/15/99 700 710
7.400% due 07/07/99 125 126
7.250% due 09/01/99 200 202
6.750% due 10/15/99 90 90
8.250% due 12/01/99 200 207
6.250% due 09/15/00 50 49
AT&T Capital Corp.
5.940% due 04/18/97 50,000 50,004
6.690% due 05/09/97 25,000 25,026
5.558% due 11/05/97 (d) 10,000 10,004
5.880% due 11/05/97 65,000 64,943
5.900% due 11/13/97 75,000 74,929
7.350% due 03/02/98 6,000 6,052
AVCO Financial Services
6.350% due 09/15/00 100 98
7.375% due 08/15/01 300 303
Bancomer
8.000% due 07/07/98 7,000 7,007
Banesto
8.250% due 07/28/02 28,900 30,046
BankAmerica Corp.
7.200% due 09/15/02 400 399
7.500% due 10/15/02 1,000 1,010
Bankers Trust
8.625% due 04/01/18 181 186
Banponce Corp.
5.893% due 05/05/97 (d) 5,000 4,973
8.040% due 11/24/97 9,000 9,092
Barclays American Corp.
9.125% due 12/01/97 350 357
Bear Stearns
6.750% due 04/15/03 105 102
Beneficial Corp.
6.210% due 09/11/97 145 145
9.600% due 10/16/98 250 261
Canadian Pacific Securities Ltd.
9.450% due 08/01/21 2,750 3,171
Chase Manhattan Corp.
8.500% due 02/15/02 200 211
8.000% due 05/01/05 200 199
Chemical Banking Corp.
6.125% due 11/01/08 400 355
Chrysler Financial Corp.
8.420% due 02/01/99 695 716
8.460% due 01/19/00 700 728
Chubb Capital Corp.
6.875% due 02/01/03 100 99
Chubb Corp.
8.750% due 11/15/99 120 123
Citicorp
8.750% due 02/15/98 9,000 9,186
5.625% due 05/29/98 (d) 21,600 21,587
Commercial Credit Co.
6.750% due 05/15/00 100 99
6.000% due 06/15/00 300 292
8.250% due 11/01/01 2,500 2,605
Dean Witter Discover
5.670% due 03/02/99 (d) 100 100
6.750% due 08/15/00 100 99
Den Danske Bank
6.729% due 06/23/00 (d) 4,500 4,509
First Interstate Bancorp
12.750% due 05/01/97 1,250 1,25
5.913% due 06/25/97 (d) 5,000 5,002
8.875% due 01/01/09 324 329
Fleet Financial Group
9.900% due 06/15/01 200 219
Ford Motor Credit Corp.
9.350% due 05/14/97 1,000 1,004
8.000% due 12/01/97 260 263
7.240% due 04/01/98 11,000 11,094
6.030% due 11/09/98 (d) 17,080 17,125
8.375% due 01/15/00 150 156
7.020% due 10/10/00 70,000 70,027
7.000% due 09/25/01 250 249
6.625% due 06/30/03 575 557
8.250% due 02/23/05 2,500 2,616
General Electric Capital Corp.
8.300% due 09/20/09 150 163
General Motors Acceptance Corp.
6.700% due 04/15/97 26,100 26,110
7.750% due 04/15/97 8,150 8,156
8.375% due 05/01/97 1,350 1,353
7.750% due 05/12/97 2,000 2,004
7.250% due 05/19/97 7,500 7,516
7.125% due 05/23/97 1,000 1,002
6.125% due 06/09/97 8,000 8,008
6.000% due 06/16/97 1,000 1,000
7.100% due 07/01/97 1,700 1,705
6.400% due 07/30/97 1,000 1,002
6.300% due 09/10/97 1,000 1,002
6.000% due 10/10/97 23,000 23,016
7.850% due 11/17/97 13,000 13,148
7.375% due 03/23/98 2,290 2,312
7.375% due 05/26/99 190 192
8.625% due 06/15/99 650 674
7.000% due 03/01/00 100 100
9.625% due 12/15/01 300 329
7.000% due 09/15/02 100 99
Georgia Pacific Credit Corp.
9.850% due 06/15/97 3,000 3,023
Goldman Sachs Mortgage Corp.
6.000% due 12/31/07 11,528 10,181
Great Western Bank
8.625% due 12/01/98 3,000 3,086
Household Financial Corp.
6.250% due 10/15/97 201 201
Inter-American Development Bank
8.875% due 06/01/09 200 226
International Bank for Reconstruction & Development
9.875% due 10/01/97 194 198
Kimco Realty Corp.
6.500% due 10/01/03 200 188
Lehman Brothers
8.375% due 04/01/97 90 90
6.730% due 02/27/98 45,000 45,148
6.375% due 06/01/98 100 100
6.150% due 06/22/98 (d) 25,000 25,182
6.250% due 06/29/98 5,400 5,380
Mellon Bank
6.500% due 08/01/05 75 70
Merrill Lynch & Co.
5.380% due 06/23/97 (d) 19,000 18,992
6.500% due 04/01/01 100 98
8.300% due 11/01/02 200 210
7.000% due 03/15/06 1,500 1,464
7.000% due 04/27/08 100 96
Mesa Operating Co.
10.625% due 07/01/06 3,250 3,388
</TABLE>
See accompanying notes [31]
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
- --------------------------------------------------------------------------------
<S> <C> <C>
NationsBank Corp.
5.125% due 09/15/98 $ 100 $ 98
6.750% due 02/26/01 500 493
7.000% due 09/15/01 1,500 1,496
New England Mutual
7.875% due 02/15/24 1,500 1,455
Northern Trust
9.000% due 05/15/98 200 206
Norwest Financial, Inc.
6.500% due 11/15/97 1,500 1,505
6.230% due 09/01/98 100 100
5.750% due 11/16/98 300 296
7.000% due 01/15/03 300 296
PaineWebber
6.250% due 06/15/98 100 100
7.000% due 03/01/00 200 200
PNC Funding Corp.
6.875% due 03/01/03 100 97
Reliance Group Holdings
9.000% due 11/15/00 9,000 9,203
Saferco
9.460% due 05/31/99 1,000 1,051
9.590% due 05/31/01 3,000 3,255
Salomon, Inc.
5.820% due 08/12/97 2,700 2,700
5.530% due 08/25/97 2,400 2,394
5.470% due 08/29/97 18,000 17,976
5.650% due 10/15/97 6,000 5,981
5.763% due 10/31/97 (d) 14,000 14,002
5.763% due 11/05/97 (d) 7,000 7,001
5.890% due 11/10/97 99,000 98,960
5.650% due 02/10/98 1,165 1,159
5.700% due 02/11/98 1,300 1,294
6.625% due 11/30/00 70 69
3.650% due 02/14/02 (h) 17,052 16,642
Sears Financial
0.000% due 07/12/98 3,480 3,202
Security Pacific Corp.
6.249% due 03/01/18 (d) 174 171
Shearson Lehman
9.875% due 10/25/17 123 125
Signet Bank Corp.
5.629% due 05/15/97 (d) 1,000 999
5.813% due 04/15/98 (d) 9,000 8,974
9.625% due 06/01/99 6,500 6,838
Smith Barney
6.625% due 06/01/00 95 94
Sparbanken Sverige AB
7.383% due 10/29/49 (d) 24,670 25,316
Toyota Motor Credit Corp.
6.912% due 02/15/02 (d) 40,000 39,587
Transamerica Financial
5.724% due 04/20/99 (d) 500 496
Trizec Finance
10.875% due 10/15/05 3,715 4,059
U.S. Life Corp.
6.750% due 01/15/98 100 100
U.S. West Capital Funding, Inc.
6.830% due 11/15/07 1,000 945
U.S. West Financial Services, Inc.
9.450% due 09/30/97 200 203
8.400% due 09/15/99 50 52
Wachovia Bank
6.700% due 04/14/99 500 500
6.625% due 11/15/06 75 71
Wells Fargo & Co.
8.750% due 05/01/02 100 106
---------------
967,609
===============
Industrials 5.2%
American Home Products
6.875% due 04/15/97 900 900
7.700% due 02/15/00 300 307
American Standard
11.375% due 05/15/04 10,000 10,625
Amerigas Partners L.P.
10.125% due 04/15/07 1,730 1,842
Amphenol Corp.
12.750% due 12/15/02 25,000 27,125
AMR Corp.
7.750% due 12/01/97 10,000 10,079
9.500% due 07/15/98 5,500 5,699
9.270% due 08/13/98 1,000 1,033
8.050% due 03/05/99 4,000 4,079
9.750% due 03/15/00 7,760 8,284
10.610% due 01/11/01 4,000 4,429
10.570% due 01/15/01 3,000 3,320
10.590% due 01/31/01 3,000 3,325
10.000% due 02/01/01 2,000 2,181
9.400% due 05/08/01 3,000 3,211
9.500% due 05/15/01 2,250 2,424
9.130% due 10/25/01 2,000 2,132
8.470% due 02/20/02 2,000 2,082
8.500% due 02/26/02 1,000 1,042
8.625% due 03/01/17 (j) 19,731 19,731
Anheuser Busch
7.000% due 09/01/05 300 294
Arkla, Inc.
9.875% due 04/15/97 55,050 55,123
9.320% due 12/15/97 1,000 1,020
8.740% due 05/14/98 3,000 3,061
Auburn Hills Trust
12.000% due 05/01/20 (d) 30 44
Baxter International
9.500% due 06/15/08 200 230
Boise Cascade Co.
9.900% due 03/15/00 65 70
BP America, Inc.
8.875% due 12/01/97 750 764
Bristol-Myers Squibb
7.150% due 06/15/23 300 287
Building Materials Corp.
0.000% due 07/01/04 (i) 10,320 9,146
CBS, Inc.
7.625% due 01/01/02 100 98
Centerior Fuel Corp.
9.200% due 08/02/98 15,000 15,164
Century Communication
9.500% due 08/15/00 6,000 6,030
11.875% due 10/15/03 6,000 6,405
CF Cable TV, Inc.
9.125% due 07/15/07 1,600 1,720
Coastal Corp.
8.750% due 05/15/99 4,300 4,466
Continental Cablevision
11.000% due 06/01/07 4,536 5,101
Cumberland Farms
10.500% due 10/01/03 3,754 3,679
Dayton Hudson Co.
10.000% due 12/01/00 1,000 1,089
Delta Air Lines
7.730% due 05/14/97 8,800 8,819
9.750% due 05/15/21 500 580
Dimon, Inc.
8.875% due 06/01/06 3,000 3,060
E.I. Du Pont de Nemours
8.650% due 12/01/97 500 508
9.150% due 04/15/00 100 106
Eastman Kodak
8.550% due 05/01/97 425 426
Eli Lilly & Co.
8.125% due 02/07/00 387 394
Federal Express
10.000% due 09/01/98 800 834
Ford Motor Co.
9.250% due 07/15/97 100 101
9.000% due 09/15/01 200 214
8.875% due 01/15/22 200 221
General Motors Corp.
8.170% due 01/02/00 2,364 2,428
8.950% due 07/02/09 21,500 22,700
</TABLE>
[32] See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
- -----------------------------------------------------------------------
<S> <C> <C>
Gillette Co.
5.750% due 10/15/05 $ 1,500 $ 1,365
Gulf Canada Resources
9.250% due 01/15/04 1,250 1,306
9.625% due 07/01/05 2,000 2,135
HMH Properties
9.500% due 05/15/05 2,000 2,068
Hollinger International Publishing
9.250% due 02/01/06 3,000 2,985
IBM Corp.
7.250% due 11/01/02 100 101
Ikon Office Solutions
6.750% due 12/01/25 1,200 1,051
INDSPEC Chemical Corp.
0.000% due 12/01/03 (i) 5,500 5,088
Integrated Health Services
9.625% due 05/31/02 3,000 3,135
10.750% due 07/15/04 3,650 4,006
ISP Holdings, Inc.
9.000% due 10/15/03 5,000 5,050
ITT Corp.
6.250% due 11/15/00 (d) 70 67
K-III Communications Co.
10.625% due 05/01/02 5,185 5,392
8.500% due 02/01/06 4,000 3,900
Kaiser Aluminum & Chemical
9.875% due 02/15/02 250 249
Kellogg Co.
5.900% due 07/15/97 100 100
Keystone Group
9.750% due 09/01/03 250 268
Lenfest Communications
8.375% due 11/01/05 5,000 4,706
Maxus Energy Corp.
9.875% due 10/15/02 300 311
Mazda Manufacturing Corp.
10.500% due 07/01/08 1,980 2,434
Mobil Corp.
8.375% due 02/12/01 40 42
Nabisco, Inc.
8.000% due 01/15/00 6,500 6,654
New York Times
7.625% due 03/15/05 1,000 1,018
News America Holdings Corp.
7.500% due 03/01/00 65 66
8.625% due 02/01/03 750 789
Noranda, Inc.
7.000% due 07/15/05 1,800 1,732
Northern Indiana Public
6.375% due 09/01/97 5,950 5,966
Owens Illinois
10.000% due 08/01/02 300 314
11.000% due 12/01/03 10,000 11,025
Parker Drilling Corp.
7.750% due 11/29/02 (d) 7,500 7,500
Pepsico, Inc.
5.463% due 07/01/98 400 395
7.750% due 10/01/98 500 509
Philip Morris Co.
8.750% due 06/15/97 100 101
7.375% due 02/15/99 115 116
8.625% due 03/01/99 200 206
7.500% due 01/15/02 50 50
Phillips Petroleum
9.500% due 11/15/97 500 510
Repap Wisconsin, Inc.
9.250% due 02/01/02 2,350 2,350
Revlon Consumer Products Corp.
9.375% due 04/01/01 5,255 5,380
RJR Nabisco
7.625% due 09/01/00 6,000 5,929
8.000% due 07/15/01 30,000 29,698
8.625% due 12/01/02 3,000 3,012
Rogers Cablesystems, Inc.
10.000% due 12/01/07 5,000 5,213
Rogers Cantel Mobile
11.125% due 07/15/02 5,000 5,244
9.375% due 06/01/08 2,750 2,833
SCI Television
11.000% due 06/30/05 3,275 3,496
Sears Roebuck & Co.
6.580% due 07/23/97 150 150
9.250% due 04/15/98 2,125 2,185
5.820% due 02/22/99 125 123
Showboat, Inc.
9.250% due 05/01/08 1,000 1,028
Stone Consolidated
10.250% due 12/15/00 5,000 5,288
Supervalu, Inc.
6.500% due 10/06/00 140 137
Telewest Communications
9.625% due 10/01/06 5,000 4,975
Tenet Healthcare
9.625% due 09/01/02 6,250 6,672
10.125% due 03/01/05 1,000 1,090
Texaco Capital
9.000% due 11/15/97 1,000 1,019
Time Warner, Inc.
7.450% due 02/01/98 12,000 12,097
6.456% due 08/15/00 (d) 52,669 52,691
7.975% due 08/15/04 31,053 31,276
8.110% due 08/15/06 78,529 78,995
7.250% due 09/01/08 125 119
8.375% due 07/15/33 (j) 25,000 25,000
Transcontinental Gas Pipeline
9.125% due 02/01/17 2,000 2,061
Union Oil of California
9.750% due 12/01/00 400 434
6.700% due 10/15/07 100 94
United Air Lines
6.750% due 12/01/97 11,400 11,435
10.670% due 05/01/04 2,050 2,351
USX Corp.
6.375% due 07/15/98 16,200 16,135
9.800% due 07/01/01 300 328
Vons
6.625% due 05/15/98 10,001 10,026
W.R. Grace & Co.
6.880% due 06/23/97 5,000 5,012
Wal-Mart Stores
9.100% due 07/15/00 100 106
8.625% due 04/01/01 1,050 1,109
World Color Press, Inc.
9.125% due 03/15/03 5,000 5,025
Xerox Corp.
7.200% due 04/01/16 300 285
----------
691,143
==========
Utilities 4.1%
AES Corp.
9.750% due 06/15/00 2,250 2,337
10.250% due 07/15/06 4,500 4,916
Arkansas Power & Light
10.370% due 12/22/97 3,000 3,057
Bell Atlantic Financial
6.625% due 11/30/97 400 401
California Energy
10.250% due 01/15/04 (d) 12,985 14,154
Calpine Corp.
9.250% due 02/01/04 4,150 4,223
Carolina Power & Light
6.375% due 10/01/97 50 50
5.375% due 07/01/98 100 99
Central Maine Power Co.
6.250% due 11/01/98 1,000 985
Central Power & Light
6.000% due 10/01/97 850 850
Chesapeake & Potomac Telephone
8.000% due 10/15/29 1,125 1,144
Chesapeake Energy Corp.
12.000% due 03/01/01 7,000 7,648
</TABLE>
See accompanying notes [33]
<PAGE>
Schedule of Investments (Cont.)
<TABLE>
<CAPTION>
Total Return Fund
Principal
March 31, 1997 Amount Value
($ in thousands) ($ in thousands)
- -------------------------------------------------------------------------------
<S> <C> <C>
Cincinnati Bell Inc.
6.700% due 12/15/97 $ 1,000 $ 1,003
Cleveland Electric Illuminating Co.
9.375% due 03/01/17 3,000 3,067
CMS Energy
9.500% due 10/01/97 (d) 31,600 31,979
9.875% due 10/01/99 (d) 4,200 4,333
Commonwealth Edison
6.500% due 07/15/97 5,375 5,379
8.125% due 01/15/07 10,000 9,840
9.875% due 06/15/20 11,700 12,898
Connecticut Light & Power
6.500% due 01/01/98 1,000 1,000
7.250% due 07/01/99 6,000 5,951
Consolidated Edison
7.600% due 01/15/00 100 102
Consolidated Natural Gas Co.
5.875% due 10/01/98 500 496
Consumers Energy
8.750% due 02/15/98 5,550 5,640
CTC Mansfield Funding
10.250% due 03/30/03 16,074 16,476
11.125% due 09/30/16 101,315 108,154
Duke Power Co.
8.000% due 11/01/99 40 41
Eastern Edison Co.
7.780% due 07/30/02 9,000 9,147
El Paso Electric Co.
7.250% due 02/01/99 10,956 10,908
First PV Funding
10.150% due 01/15/16 6,894 7,351
Georgia Power
7.000% due 10/01/00 5,000 4,920
GTE Corp.
8.850% due 03/01/98 200 204
10.750% due 09/15/17 300 321
Gulf States Utilities
7.250% due 03/01/99 6,200 6,178
Hydro Quebec
5.594% due 04/15/99 (d) 10,000 9,978
9.400% due 02/01/21 500 574
9.500% due 11/15/30 2,370 2,786
Long Island Lighting Co.
6.250% due 07/15/01 7,000 6,711
8.500% due 05/15/06 6,750 6,893
9.750% due 05/01/21 28,818 29,556
9.625% due 07/01/24 16,400 16,926
MCI Communications
6.250% due 03/23/99 600 595
New England Power
6.140% due 02/02/98 500 499
6.100% due 02/04/98 1,000 999
New Jersey Bell Telephone
7.850% due 11/15/29 70 74
New Orleans Public Service
8.670% due 04/01/05 2,230 2,271
New York Telephone Co.
6.250% due 02/15/04 150 142
Niagara Mohawk Power
8.000% due 06/01/04 (j) 25,000 25,000
8.770% due 01/01/18 (j) 43,021 43,021
North Atlantic Energy
9.050% due 06/01/02 5,202 5,146
Northern Illinois Gas Co.
6.450% due 08/01/01 1,450 1,423
Oklahoma Gas & Electric
6.375% due 01/01/98 100 100
Pacific Gas & Electric
5.375% due 08/01/98 500 493
7.670% due 12/15/98 208 211
6.750% due 12/01/00 709 702
Pacific Northwest Bell
4.375% due 09/01/02 50 44
Pennsylvania Power & Light
5.500% due 04/01/98 250 248
Public Service Electric & Gas
6.875% due 06/01/97 1,200 1,202
8.750% due 07/01/99 40 42
Public Service of New Hampshire
9.170% due 05/15/98 16,000 16,301
Questar Pipeline
9.375% due 06/01/21 200 215
Southern California Edison
6.125% due 07/15/97 500 500
5.875% due 02/01/98 343 342
5.450% due 06/15/98 400 395
Southwestern Bell Telephone Co.
5.550% due 03/10/98 1,000 994
6.125% due 03/01/00 50 49
System Energy Resources
6.000% due 04/01/98 801 793
Texas-New Mexico Power
10.750% due 09/15/03 4,950 5,216
Texas Gas Transmission Corp.
9.625% due 07/15/97 5,400 5,453
Texas Utilities
5.891% due 05/01/99 (d) 32,125 32,161
Toledo Edison Co.
6.125% due 08/01/97 200 200
8.180% due 07/30/02 1,400 1,375
8.700% due 09/01/02 10,000 9,719
7.850% due 03/31/03 7,000 6,732
7.875% due 08/01/04 500 494
Trident NGL, Inc.
10.250% due 04/15/03 7,500 8,100
Triton Energy
0.000% due 11/01/97 (i) 6,800 6,562
Tucson Electric Power
8.500% due 10/01/09 1,000 953
U.S. West Communications, Inc.
6.625% due 09/15/05 300 287
Virginia Electric & Power Co.
9.375% due 06/01/98 500 515
6.250% due 08/01/98 200 199
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/13 991 974
------------
539,417
------------
Total Corporate Bonds and Notes 2,198,169
(Cost $2,190,755) ============
- -----------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 7.4%
- -----------------------------------------------------------------------------
U.S. Treasury Bonds
12.375% due 05/15/04 (b) 1,000 1,303
13.875% due 05/15/11 210 305
11.250% due 02/15/15 648,800 912,173
10.625% due 08/15/15 400 539
U.S. Treasury Notes
6.000% due 09/30/98 48,600 48,387
6.750% due 06/30/99 500 503
7.750% due 11/30/99 2,000 2,057
8.500% due 02/15/00 900 944
6.750% due 04/30/00 2,800 2,810
6.250% due 05/31/00 500 495
5.875% due 06/30/00 500 489
6.125% due 09/30/00 200 197
6.375% due 03/31/01 300 296
6.500% due 08/31/01 250 248
5.750% due 08/15/03 1,350 1,274
5.875% due 02/15/04 2,850 2,696
7.500% due 02/15/05 200 207
6.500% due 05/15/05 1,000 973
U.S. Treasury Strips
0.000% due 05/15/03 9 6
-----------
Total U.S. Treasury Obligations 975,902
(Cost $1,010,545) ===========
</TABLE>
[34] See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
<S> <C> <C>
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 1.2%
- --------------------------------------------------------------------------------
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/08 $ 1,265 $ 1,367
Federal Farm Credit Bank
7.240% due 06/21/06 2,500 2,496
Federal Home Loan Bank
6.520% due 04/24/97 250 250
9.200% due 08/25/97 150 152
6.320% due 12/04/97 1,500 1,504
6.560% due 04/04/01 100 99
Federal Home Loan Mortgage Corp.
6.610% due 08/07/00 1,000 993
6.565% due 11/04/02 2,000 1,953
6.170% due 12/11/02 2,000 1,920
7.900% due 04/27/05 300 299
7.250% due 06/08/05 30 29
6.750% due 08/01/05 2,400 2,353
7.120% due 09/30/05 100 97
6.780% due 12/07/05 100 95
7.275% due 12/11/06 3,000 2,910
Federal National Mortgage Assn.
0.000% due 04/10/97 869 868
8.700% due 06/10/99 30 31
9.050% due 04/10/00 255 271
5.880% due 07/17/00 1,200 1,172
6.110% due 09/20/00 40 39
8.500% due 02/01/05 150 155
7.375% due 03/28/05 40 41
7.000% due 12/05/05 250 241
7.040% due 12/09/05 100 98
7.150% due 03/09/11 2,125 2,052
Government Trust Certificate - Greece
8.000% due 05/15/98 67 68
Government Trust Certificate - Israel
0.000% due 05/15/10 7,300 2,824
Student Loan Marketing Assn.
5.540% due 02/17/98 (d) 100 100
7.000% due 03/03/98 30 30
6.612% due 02/20/00 (d) 134,700 133,287
7.500% due 03/08/00 30 31
7.200% due 11/09/00 35 36
Tennessee Valley Authority
0.000% due 05/15/97 (i) 1,242 1,234
0.000% due 04/15/42 (i) 855 259
----------
Total U.S. Government Agencies 159,354
(Cost $160,926) ==========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 55.9%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation 5.7%
5.000% due 07/15/02 2,072 2,067
5.250% due 12/01/98 19 18
5.500% due 07/01/00-03/01/10 (g) 99 98
6.000% due 12/01/98-01/01/01 (g) 816 799
6.000% due 01/01/11-04/01/16 (g) 659 616
6.000% due 01/01/25-04/01/26 (g) 3,968 3,589
6.375% due 04/01/17 (d) 71 73
6.500% due 04/01/08-03/01/11 (g) 1,412 1,368
6.500% due 09/01/25-05/13/27 (g) 287,638 267,895
6.775% due 11/01/03 70 69
7.000% due 05/01/00-12/01/07 (g) 2,250 2,255
7.000% due 06/01/10-01/01/14 (g) 1,639 1,612
7.000% due 11/01/25-03/01/26 (g) 1,148 1,103
7.125% due 06/01/17 (d) 43 45
7.283% due 07/01/23 (d) 4,857 4,975
7.339% due 05/01/23 (d) 3,430 3,559
7.424% due 07/01/22 (d) 2,994 3,107
7.500% due 05/01/99-05/01/08 (g) 662 662
7.500% due 05/01/11-02/01/17 (g) 2,693 2,697
7.500% due 04/01/23-01/01/27 (g) 13,819 13,688
7.517% due 06/01/24 (d) 23,019 23,904
7.518% due 09/01/23 (d) 39,252 40,332
7.591% due 08/01/23 (d) 22,587 23,322
7.612% due 07/01/23 (d) 1,821 1,876
7.625% due 01/01/19 (d) 21 21
7.641% due 04/01/24 (d) 4,235 4,400
7.645% due 05/01/23 (d) 6,771 7,034
7.673% due 09/01/23 (d) 4,537 4,652
7.710% due 06/21/04 400 403
7.719% due 04/01/23 (d) 1,464 1,521
7.742% due 11/01/23 (d) 6,271 6,525
7.750% due 04/01/07 65 65
7.800% due 08/01/23 (d) 36 38
7.820% due 04/01/24 (d) 20,607 21,426
7.838% due 08/01/23 (d) 4,023 4,156
7.842% due 06/01/28 (d) 9,776 10,165
7.870% due 06/01/24 (d) 4,107 4,237
7.879% due 11/01/23 (d) 2,298 2,375
7.882% due 08/01/24 (d) 1,285 1,336
7.884% due 04/01/24 (d) 2,301 2,392
7.889% due 11/01/23 (d) 1,313 1,351
7.894% due 07/01/24 (d) 6,965 7,243
7.906% due 08/01/23 (d) 2,019 2,086
7.973% due 09/01/23 (d) 9,606 9,913
7.992% due 04/01/29 (d) 5,741 5,973
8.016% due 10/01/23 (d) 4,489 4,672
8.021% due 10/01/23 (d) 6,981 7,263
8.025% due 11/01/23 (d) 2,031 2,110
8.028% due 10/01/23 (d) 7,167 7,459
8.041% due 10/01/23 (d) 1,418 1,457
8.045% due 01/01/24 (d) 1,229 1,279
8.070% due 10/01/23 (d) 2,571 2,674
8.097% due 09/01/23 (d) 9,198 9,574
8.104% due 01/01/24 (d) 1,580 1,628
8.000% due 10/01/07-05/01/17 (g) 4,052 4,115
8.000% due 03/01/25-06/01/26 (g) 45,574 46,089
8.250% due 08/01/07-12/01/09 (g) 278 285
8.500% due 09/01/01-06/01/09 (g) 1,305 1,347
8.500% due 08/01/14-06/01/22 (g) 1,030 1,065
8.500% due 12/01/24-04/10/27 (g) 146,263 150,383
8.750% due 02/01/01-09/01/10 (g) 671 693
9.000% due 01/01/02-08/01/11 (g) 1,035 1,083
9.000% due 06/01/12-05/01/17 (g) 545 573
9.250% due 06/01/09-08/01/09 (g) 154 164
9.500% due 08/01/01-12/01/05 (g) 1,885 1,960
9.500% due 03/01/16-06/01/21 (g) 2,274 2,444
0.000% due 06/01/04-12/01/05 (g) 1,329 1,399
0.250% due 04/01/09-05/01/09 (g) 2,758 2,976
1.000% due 12/01/99-11/01/09 (g) 40 45
1.000% due 04/01/10-07/01/19 (g) 1,453 1,612
1.250% due 10/01/09-09/01/15 (g) 212 234
1.500% due 03/01/00-05/01/00 (g) 37 39
2.500% due 07/01/99 9 9
3.250% due 10/01/13 85 99
4.000% due 04/01/16 40 46
5.500% due 08/01/11-11/01/11 (g) 25 29
6.250% due 05/01/11-11/01/11 (g) 19 22
----------
751,868
==========
Federal Housing Administration 0.8%
5.250% due 02/01/03 305 287
7.125% due 02/01/34 4,511 4,296
7.211% due 12/01/21 3,760 3,754
7.317% due 11/01/19 12,253 11,923
7.375% due 03/01/19-01/01/24 (g) 17,825 17,193
7.399% due 02/01/21 2,776 2,558
7.430% due 12/01/16-10/01/23 (g) 66,697 64,814
7.650% due 11/01/18 183 175
9.680% due 05/01/24 1,665 1,793
----------
106,793
==========
Federal National Mortgage Association 5.8%
5.250% due 09/25/97 5 5
6.000% due 11/01/03-03/01/11 (g) 4,920 4,785
6.000% due 03/01/24 2,445 2,222
6.073% due 11/01/18 (d) 51 51
6.083% due 09/01/24 (d) 5,451 5,414
6.085% due 11/01/23-05/01/29 (d)(g) 12,753 12,584
6.086% due 10/01/27 (d) 701 692
6.087% due 10/01/28 (d) 64,162 63,304
6.090% due 01/01/16-05/01/18 (d)(g) 2,058 2,045
6.092% due 10/01/19-05/01/28 (d)(g) 5,002 4,937
6.124% due 04/23/27 17,350 17,111
6.150% due 12/14/01 100 97
</TABLE>
See accompanying notes [35]
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
<TABLE>
<CAPTION>
March 31, 1997 Principal
Amount Value
($ in thousands) ($ in thousands)
- --------------------------------------------------------------------------------
<S> <C> <C>
6.275% due 05/01/26 (d) $ 7,685 $ 7,947
6.500% due 10/01/05-04/01/08 (g) 471 465
6.500% due 12/01/25-03/01/26 (g) 97,540 90,933
6.750% due 08/01/03 836 830
6.834% due 07/01/03 70 68
6.900% due 05/25/23 125 97
6.902% due 11/01/25 (d) 17,363 17,653
6.950% due 03/25/26 200 196
7.000% due 05/25/99-03/01/08 (g) 2,876 2,859
7.000% due 01/01/10-12/25/19 (g) 3,257 3,232
7.000% due 01/25/20-11/01/26 (g) 39,687 37,690
7.250% due 05/01/02-01/01/23 (g) 11,724 11,427
7.067% due 09/01/22 (d) 4,011 4,081
7.267% due 09/01/25 (d) 8,980 9,116
7.279% due 09/01/22 (d) 4,652 4,748
7.321% due 06/01/24 (d) 17,184 17,818
7.440% due 03/01/26 (d) 25,563 26,670
7.451% due 11/01/25 (d) 7,156 7,371
7.457% due 05/01/24 (d) 7,949 8,323
7.465% due 07/01/24 (d) 30,722 31,832
7.500% due 08/01/03-01/01/11 (g) 7,979 8,046
7.500% due 07/01/16-09/01/25 (g) 102,319 101,291
7.601% due 02/01/26 (d) 3,183 3,309
7.615% due 01/01/26 (d) 7,314 7,600
7.690% due 01/01/24 (d) 1,741 1,817
7.728% due 03/01/25 (d) 14,183 14,573
7.736% due 11/01/25 (d) 10,023 10,299
7.737% due 09/01/24 (d) 5,199 5,387
7.750% due 06/01/09 245 245
7.764% due 06/01/24 (d) 3,809 3,985
7.781% due 03/01/33 (d) 40,264 41,492
7.823% due 08/01/23 (d) 3,453 3,609
7.825% due 10/01/23 (d) 11,290 11,746
7.828% due 01/01/24 (d) 1,888 1,963
7.889% due 12/01/23 (d) 3,283 3,403
7.921% due 11/01/23-01/01/24 (d)(g) 3,960 4,124
7.939% due 12/01/24 (d) 5,204 5,470
7.976% due 01/01/24 (d) 8,201 8,540
7.990% due 10/01/23 (d) 1,291 1,348
7.998% due 12/01/23 (d) 10,661 11,138
8.000% due 09/01/01-02/01/09 (g) 4,194 4,286
8.000% due 04/01/18-12/01/26 (g) 32,105 31,888
8.018% due 09/01/23 (d) 8,546 8,875
8.075% due 11/01/23 (d) 1,997 2,068
8.099% due 12/01/23 (d) 5,488 5,706
8.250% due 10/01/08-02/01/17 (g) 1,136 1,165
8.500% due 07/01/99-06/01/09 (g) 5,530 5,708
8.500% due 12/01/09-09/01/18 (g) 1,792 1,864
8.500% due 10/01/21-05/01/25 (g) 47,134 48,426
8.750% due 01/25/07 796 800
9.000% due 01/01/99-11/01/06 (g) 2,561 2,665
9.500% due 05/01/15-07/01/22 (g) 746 793
9.750% due 11/01/08 93 100
10.500% due 12/01/16-04/01/22 (g) 1,277 1,391
12.000% due 05/01/16 26 29
13.000% due 09/01/13 72 83
13.250% due 09/01/11 25 28
14.500% due 11/01/11-01/01/13 (g) 85 100
14.750% due 08/01/12-11/01/12 (g) 396 459
15.500% due 10/01/12-12/01/12 (g) 42 51
15.750% due 12/01/11-08/01/12 (g) 217 253
16.000% due 09/01/12 260 324
----------
763,050
==========
Government National Mortgage Association 26.2%
5.000% due 01/20/24-05/20/24 (d)(g) 95,776 97,568
5.500% due 01/20/26-02/20/26 (d)(g) 34,781 35,137
5.650% due 10/15/12 14 12
6.000% due 10/15/08 305 290
6.000% due 10/15/23-11/20/26 (g) 227,794 208,856
6.000% due 07/20/26-09/20/26 (d)(g) 24,435 24,284
6.500% due 10/15/08 276 269
6.500% due 03/20/22-02/20/26 (d)(g) 102,157 104,024
6.500% due 12/15/23-04/17/27 (g) 1,154,056 1,074,992
6.875% due 12/20/22-12/20/25 (d)(g) 309,038 315,145
7.000% due 08/20/25-05/20/26 (d)(g) 37,887 38,566
7.000% due 10/15/08-05/19/27 (g) 396,792 380,036
7.125% due 06/20/21-08/20/25 (d)(g) 936,430 958,868
7.500% due 08/15/05-12/15/09 (g) 3,853 3,892
7.500% due 02/15/22-07/15/26 (g) 35,622 35,193
7.625% due 04/20/23 (d) 1,050 1,082
8.000% due 08/15/05-09/15/08 (g) 1,407 1,445
8.000% due 06/15/16-12/15/25 (g) 60,131 61,063
8.000% due 06/15/26-04/17/27 (g) 8,293 8,337
8.250% due 08/15/04-07/15/08 (g) 737 764
8.500% due 06/15/01-07/15/08 (g) 319 331
8.500% due 08/15/16-11/15/25 (g) 32,411 33,380
8.500% due 12/15/26-07/21/27 (g) 44,694 45,568
8.750% due 03/15/07-07/15/07 (g) 192 200
9.000% due 09/15/01-05/15/09 (g) 1,011 1,059
9.000% due 05/15/16-07/20/22 (g) 8,666 9,209
9.250% due 10/15/01-03/15/06 (g) 576 599
9.500% due 04/15/01-11/15/09 (g) 614 652
9.500% due 04/15/16-08/15/23 (g) 9,476 10,253
9.750% due 08/15/97-07/15/04 (g) 297 312
9.750% due 09/15/17-01/15/21 (g) 146 158
10.000% due 06/20/01-11/15/09 (g) 198 212
10.000% due 01/15/15-03/20/20 (g) 5,871 6,470
10.250% due 10/15/98-05/15/01 (g) 277 285
10.500% due 06/15/04 162 174
10.750% due 08/15/98-09/15/98 (g) 26 26
11.000% due 05/15/04-06/15/13 (g) 111 120
11.250% due 03/15/01 11 11
11.250% due 12/20/15 72 80
11.500% due 04/15/13-05/15/13 (g) 17 19
12.000% due 03/20/99-02/15/00 (g) 14 15
12.000% due 01/15/13-03/15/15 (g) 104 117
12.500% due 01/15/11 1 2
13.000% due 12/15/12-10/15/14 (g) 77 90
13.250% due 10/20/14 48 54
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) 14 17
17.000% due 11/15/11-12/15/11 (g) 136 166
----------
3,459,483
==========
Collateralized Mortgage Obligations 15.2%
AFC Home Equity Loan Trust
7.348% due 10/25/26 (d) 17,045 17,194
6.550% due 01/25/27 15,584 15,563
American Southwest Financial
12.250% due 11/01/14 82 92
12.500% due 04/01/15 941 1,046
12.000% due 05/01/15 1,500 1,683
11.400% due 09/01/15 1,231 1,285
Bear Stearns
9.200% due 11/01/18 52 53
9.500% due 06/25/23 1,376 1,405
6.406% due 10/25/23 (d) 10,144 10,061
10.000% due 08/25/24 15,018 16,828
7.000% due 03/25/27 7,000 6,459
Capstead
8.400% due 01/25/21 5,063 5,076
8.750% due 07/25/21 10,000 9,806
Centex Acceptance Corp.
11.000% due 11/01/15 322 340
Chase Mortgage Financial Corp.
8.250% due 10/25/10 4,794 4,831
9.500% due 04/25/24 1,316 1,321
8.000% due 06/25/24 310 312
7.500% due 10/25/24 68 68
Citicorp Mortgage
8.500% due 04/01/17 357 356
8.000% due 07/25/18 116 117
9.500% due 01/01/19 4,365 4,410
9.500% due 09/25/19 250 250
9.500% due 09/25/20 1,885 1,933
7.750% due 04/25/21 369 367
6.000% due 08/25/21 584 575
7.463% due 10/25/22 (d) 27,777 28,402
CMC Securities Corp.
7.067% due 09/25/23 (d) 18,984 19,227
7.627% due 04/25/25 (d) 620 630
</TABLE>
[36] See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
- --------------------------------------------------------------------------------
<S> <C> <C>
CMO Trust
10.200% due 02/01/16 $ 777 $ 821
8.000% due 01/01/17 326 327
8.000% due 09/20/21 7,531 7,522
Collateralized Mortgage Securities Corp.
11.875% due 04/01/15 2,075 2,213
11.450% due 09/01/15 68 73
11.450% due 11/01/15 392 394
8.750% due 04/20/19 1,213 1,258
Countrywide
7.634% due 07/25/24 (d) 19,026 19,240
Donaldson, Lufkin & Jenrette
7.393% due 08/01/21 (d) 8,567 8,586
7.928% due 12/25/22 (d) 6,966 7,149
7.708% due 03/25/24 (d) 2,529 2,596
6.500% due 04/25/24 35 35
7.835% due 05/25/24 (d) 549 559
Drexel Mortgage Funding
9.500% due 11/20/17 2,242 2,326
8.600% due 03/01/18 925 935
9.500% due 08/01/19 29 30
FBC Mortgage Securities Trust
6.025% due 01/25/17 (d) 2 2
Federal Home Loan Mortgage Corp.
6.500% due 07/15/02 4,361 4,370
4.750% due 10/15/02 (d) 380 378
5.000% due 03/15/03 5,203 5,190
5.250% due 03/15/03 8,845 8,829
5.000% due 04/15/03 5,092 5,077
7.000% due 10/15/03 6,458 6,473
5.450% due 03/15/04 15,329 15,248
8.750% due 10/15/05 31 31
10.750% due 11/30/05 1,013 1,045
6.500% due 07/15/06 1,075 1,029
6.500% due 08/15/06 710 695
6.500% due 05/05/08 1,000 957
9.000% due 09/15/08 43 44
10.250% due 03/15/09 28 28
5.000% due 02/15/11 8,816 8,790
5.500% due 11/15/11 8,997 8,981
4.875% due 12/15/11 (d) 6,702 6,674
5.150% due 12/25/11 16,250 16,032
4.750% due 03/15/12 (d) 168 168
5.000% due 12/15/12 2,943 2,937
8.500% due 08/15/13 2,000 2,093
6.050% due 09/15/13 6,803 6,781
8.500% due 09/15/13 5,941 6,158
5.500% due 12/15/13 4,320 4,307
11.000% due 11/30/15 10,392 11,275
6.210% due 08/15/17 345 340
7.640% due 10/25/17 (d) 9,099 9,215
6.350% due 03/25/18 200 194
5.250% due 05/15/18 1,685 1,643
9.500% due 01/15/19 777 789
6.500% due 05/15/19 615 597
8.500% due 10/15/19 1,028 1,040
9.000% due 11/15/19 4,130 4,191
10.000% due 11/15/19 250 267
7.000% due 02/15/20 1,901 1,902
8.500% due 03/15/20 2,233 2,262
9.125% due 06/15/20 3,621 3,717
5.750% due 08/15/20 300 283
8.500% due 09/15/20 19,792 20,202
9.000% due 09/15/20 165 171
5.500% due 10/15/20 200 178
8.750% due 10/15/20 500 512
8.900% due 11/15/20 28,865 29,577
9.500% due 11/15/20 11,947 12,507
6.000% due 12/15/20 400 371
8.750% due 12/15/20 1,265 1,296
9.000% due 12/15/20 7,023 7,329
8.500% due 06/15/21 49,579 50,746
6.950% due 07/15/21 700 670
7.000% due 07/15/21 4,000 3,899
8.000% due 07/15/21 8,905 8,827
9.000% due 07/15/21 3,967 4,192
9.500% due 07/15/21 6,418 6,630
6.200% due 08/15/21 1,500 1,457
6.950% due 08/15/21 185 175
8.000% due 08/15/21 23,472 23,333
6.500% due 09/15/21 2,500 2,383
9.000% due 11/15/21 1,099 1,111
8.000% due 12/15/21 13,831 13,773
6.850% due 01/15/22 700 669
8.250% due 06/15/22 5,000 5,072
7.000% due 07/15/22 416 349
8.500% due 10/15/22 18,125 18,623
7.000% due 07/15/23 212 174
7.170% due 10/25/23 (d) 35,068 36,275
6.500% due 02/15/24 64 61
8.000% due 09/15/24 16,250 16,594
7.404% due 10/01/26 (d) 10,591 10,990
Federal National Mortgage Assn.
9.100% due 02/25/02 7,268 7,337
5.000% due 02/25/03 9,851 9,812
5.500% due 12/25/03 5,000 4,976
5.750% due 12/25/03 175 174
5.650% due 04/25/05 200 195
6.000% due 07/25/07 300 286
6.250% due 07/25/07 100 97
7.818% due 08/25/07 (d) 126 100
7.000% due 02/25/08 1,095 1,031
10.500% due 08/25/08 7,146 8,293
6.750% due 11/25/10 1,275 1,227
5.000% due 05/25/12 20,270 20,181
4.900% due 12/25/12 (d) 5,250 5,224
6.400% due 09/25/14 773 767
8.500% due 10/25/14 50 50
10.000% due 12/25/14 1,512 1,560
7.000% due 04/25/15 2,328 2,331
6.000% due 11/25/15 19,900 19,804
7.500% due 08/25/16 2,071 2,071
9.670% due 01/25/17 690 708
9.200% due 12/25/17 1,609 1,652
9.300% due 05/25/18 2,282 2,391
6.206% due 06/25/18 (d) 10 10
9.500% due 06/25/18 1,143 1,205
5.500% due 07/25/18 220 214
8.500% due 07/25/18 217 217
7.000% due 08/25/18 15,375 15,365
7.750% due 10/25/18 808 809
9.500% due 11/25/18 12,838 13,835
6.625% due 06/25/19 47 47
9.500% due 06/25/19 4,623 4,865
8.000% due 10/25/19 18,238 18,432
7.500% due 12/25/19 200 198
9.000% due 12/25/19 19,392 19,907
7.500% due 05/25/20 8,000 7,954
8.000% due 07/25/20 182 184
9.000% due 09/25/20 7,164 7,474
8.000% due 12/25/20 20,210 20,412
8.750% due 01/25/21 10,140 10,349
7.500% due 02/25/21 19,017 18,993
7.500% due 03/25/21 20,919 20,429
7.250% due 04/25/21 8,960 8,612
7.500% due 06/25/21 320 320
8.000% due 07/25/21 26,239 26,075
8.500% due 09/25/21 15,822 16,099
8.000% due 10/25/21 22,430 22,362
6.000% due 12/25/21 200 188
8.000% due 01/25/22 21,700 21,797
8.000% due 03/25/22 565 566
7.000% due 04/25/22 17,091 15,690
7.000% due 07/25/22 9,217 8,739
8.000% due 07/25/22 24,518 23,514
6.500% due 10/25/22 3,226 2,563
7.800% due 10/25/22 5,235 5,057
7.000% due 06/25/23 3,808 2,970
6.000% due 08/25/23 5,137 4,503
6.500% due 08/25/23 242 231
6.750% due 10/25/23 472 382
6.500% due 11/25/23 170 152
</TABLE>
See accompanying notes [37]
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
- --------------------------------------------------------------------------------
<S> <C> <C>
First Boston Corp.
8.000% due 12/01/00 $ 112 $ 111
9.450% due 08/20/17 51 51
7.500% due 04/25/21 535 534
First Commonwealth Savings & Loan
10.375% due 04/01/05 23 24
General Electric Capital Mortgage
8.000% due 07/25/23 12,979 12,970
6.500% due 09/25/23 45 37
6.500% due 12/25/23 2,132 2,122
6.500% due 02/25/24 28 27
6.500% due 03/25/24 12,048 9,881
8.000% due 06/25/25 14,336 14,477
Glendale Federal Savings & Loan
7.264% due 03/01/28 (d) 11,450 11,575
Greenwich
7.196% due 04/25/22 (d) 3,078 3,100
7.081% due 07/25/22 (d) 14,364 14,526
7.076% due 10/25/22 (d) 391 393
7.193% due 04/25/23 (d) 4,775 4,841
7.657% due 04/25/24 (d) 7,203 7,279
8.190% due 06/25/24 (d) 10,356 10,540
8.570% due 08/25/24 (d) 14,333 14,588
8.652% due 11/25/24 (d) 6,593 6,706
Imperial CMB Trust
6.008% due 09/25/26 (d) 46,161 46,147
Independent National Mortgage Corp.
9.000% due 12/25/19 8,389 8,427
6.650% due 10/25/24 2,723 2,412
7.946% due 11/25/24 (d) 15,309 15,697
7.069% due 07/25/25 (d) 41,664 42,341
7.740% due 07/25/25 (d) 46,783 47,719
International Mortgage Acceptance Corp.
12.250% due 03/01/14 695 755
J.P. Morgan & Co.
9.000% due 10/20/20 12,978 13,602
Kidder Peabody
8.390% due 05/20/18 493 499
8.043% due 03/25/24 (d) 27,801 28,218
8.010% due 09/25/24 (d) 20,000 20,306
Marine Midland
8.000% due 04/25/23 95 96
8.000% due 10/25/23 350 350
Merrill Lynch Mortgage
9.470% due 04/27/18 23 23
6.890% due 06/15/21 (d) 10,320 10,268
7.153% due 06/15/21 (d) 9,686 9,710
8.210% due 06/15/21 2,163 2,187
8.093% due 06/25/22 (d) 12,336 12,382
Morgan Stanley Mortgage
8.150% due 07/20/21 17 17
Nomura Asset Securities Corp.
7.922% due 05/25/24 (d) 15,854 16,161
Norwest Mortgage
12.500% due 02/01/14 1,103 1,178
12.250% due 04/01/14 132 140
PaineWebber Mortgage
6.000% due 04/25/09 (d) 11,951 10,545
7.000% due 02/25/24 1,953 1,953
Prudential Bache
6.071% due 09/01/18 (d) 620 614
9.000% due 01/01/19 540 545
8.400% due 03/20/21 4,957 5,043
Prudential Home
7.000% due 04/25/99 117 117
8.000% due 06/25/22 19,408 18,875
6.900% due 03/25/23 914 911
7.000% due 04/25/23 5,203 5,187
8.447% due 11/25/23 (d) 16,599 17,035
6.000% due 05/25/24 33 33
7.750% due 10/25/24 8,000 8,080
7.500% due 06/25/25 11,716 11,766
PSB Financial Corp.
11.050% due 12/01/15 1,280 1,362
Residential Asset Securities Corp.
8.000% due 10/25/24 17,816 17,753
5.675% due 10/25/27 (d) 22,041 22,061
Residential Funding
8.081% due 02/25/07 139 140
7.000% due 08/25/08 22,202 22,007
6.500% due 09/25/08 7,000 6,328
8.500% due 05/25/17 195 198
9.000% due 01/01/20 1,837 1,878
8.000% due 01/25/23 10,000 10,017
7.250% due 07/25/23 115 115
10.000% due 09/25/23 2,510 2,675
7.750% due 07/25/24 14 15
7.500% due 09/25/25 18,183 17,490
Resolution Trust Corp.
5.967% due 01/25/21 (d) 1,350 1,295
8.718% due 08/25/21 8,000 8,220
8.719% due 08/25/21 154 154
8.722% due 08/25/21 (d) 13,329 13,376
6.105% due 10/25/21 (d) 500 492
8.139% due 10/25/21 (d) 344 347
8.625% due 10/25/21 300 304
7.478% due 01/25/22 (d) 3,605 3,669
7.742% due 03/25/22 (d) 6,691 6,747
8.517% due 05/25/22 (d) 3,793 3,854
6.888% due 06/25/23 (d) 7,872 7,900
7.500% due 08/25/23 421 421
9.450% due 05/25/24 19,693 20,090
10.648% due 05/25/24 (d) 5,368 5,464
8.150% due 06/25/24 30 30
6.438% due 07/25/24 (d) 4,963 4,977
7.100% due 12/25/24 1,500 1,481
7.750% due 03/25/25 5,000 5,024
8.750% due 05/25/26 59 60
7.361% due 07/25/28 (d) 14,000 14,180
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/16 209 218
Ryland Acceptance Corp.
8.650% due 05/15/00 4,743 4,706
7.065% due 03/25/22 (d) 6,326 6,344
7.516% due 07/25/22 (d) 42,000 42,643
8.068% due 08/25/22 (d) 4,751 4,838
8.000% due 09/25/22 5,147 5,166
8.200% due 09/25/22 100 103
7.360% due 08/25/29 (d) 11,067 11,236
6.868% due 10/25/31 (d) 17,783 17,789
14.000% due 11/25/31 2,343 2,594
Ryland Mortgage Securities Corp.
7.500% due 08/25/24 93 94
Salomon Mortgage
7.331% due 11/25/22 (d) 2,032 2,048
8.267% due 07/01/24 (d) 20,933 21,463
7.000% due 07/25/24 5 5
Santa Barbara Savings
9.500% due 11/20/18 6,110 6,141
Saxon Mortgage
7.701% due 09/25/22 (d) 4,286 4,340
7.721% due 08/25/23 (d) 61,854 62,801
8.172% due 09/25/24 (d) 16,052 16,629
Sears Mortgage
6.763% due 06/25/22 (d) 1,222 1,223
7.098% due 09/25/22 (d) 4,359 4,428
8.650% due 05/25/32 (d) 18,527 18,718
Structured Asset Securities Corp.
5.944% due 02/25/28 24,500 23,421
UBS Mortgage
9.000% due 11/27/19 59 59
Vendee Mortgage
7.000% due 02/15/00 6,231 6,232
7.750% due 03/15/16 600 600
7.750% due 05/15/18 550 542
Western Federal Savings & Loan
6.973% due 06/25/21 (d) 13,594 13,726
---------------
1,994,270
===============
Other Mortgage-Backed Securities 2.0%
Bank of America
8.375% due 05/01/07 4 4
9.000% due 03/01/08 111 110
</TABLE>
[38] See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
($ in ($ in
thousands) thousands)
- --------------------------------------------------------------------------------
<S> <C> <C>
Daiwa Mortgage
7.438% due 09/25/06 (d) $ 2,110 $ 2,126
First Interstate Bancorp
9.125% due 01/01/09 20 21
General Electric Credit Corp.
8.000% due 03/01/02 158 161
Georgia Federal Mortgage
10.500% due 11/01/14 2,306 2,386
German American Capital Corp.
8.360% due 09/30/02 4,944 5,003
6.611% due 07/01/18 (d) 9,940 9,800
Great Western Savings & Loan
5.940% due 09/25/17 (d) 238 230
Guardian
6.823% due 12/25/18 (d) 632 543
Home Savings of America
5.770% due 05/25/27 (d) 4,451 4,284
Imperial Savings & Loan
10.000% due 09/01/16 330 346
8.240% due 01/25/17 133 133
9.014% due 07/25/17 484 486
LTC Commercial Corp.
7.100% due 11/28/12 4,647 4,653
MDC Mortgage Funding
8.568% due 01/25/25 (d) 5,654 5,760
Mellon Financial Co.
13.250% due 01/15/99 267 284
Merrill Lynch Mortgage
9.250% due 12/15/09 55 57
Mid-State Trust
8.330% due 04/01/30 35,683 36,793
OSCC Home Equity
6.950% due 05/15/07 139 138
PaineWebber Mortgage
8.249% due 11/25/23 (d) 1,630 1,661
Resolution Trust Corp.
7.767% due 02/25/20 (d) 365 363
6.994% due 09/25/20 (d) 16,710 167
8.454% due 06/25/21 (d) 9,581 9,611
7.570% due 09/25/21 (d) 5,569 5,587
6.750% due 10/25/21 (d) 1,423 1,432
7.261% due 10/25/28 (d) 34,188 34,818
7.343% due 10/25/28 (d) 17,540 17,743
7.500% due 10/25/28 2,398 2,389
7.113% due 05/25/29 (d) 6,484 6,591
7.602% due 05/25/29 (d) 8,252 8,064
7.807% due 05/25/29 (d) 7,638 7,655
Rural Housing
3.330% due 10/01/28 609 554
Ryland Acceptance Corp.
9.000% due 12/01/16 1,046 1,078
11.500% due 12/25/16 262 285
7.580% due 11/28/22 (d) 7,000 7,125
7.837% due 09/25/23 (d) 16,142 16,400
Salomon Mortgage
11.500% due 09/01/15 2,099 2,258
Saxon Mortgage
7.789% due 12/25/22 (d) 16,894 17,037
Sears Mortgage
12.000% due 02/25/14 1,604 1,746
8.000% due 03/25/22 2,447 2,449
Securitized Asset Sales, Inc.
7.423% due 10/25/22 (d) 6,965 6,858
7.462% due 10/25/23 (d) 9,553 9,681
7.986% due 12/26/23 (d) 9,400 9,550
USGI Capital
8.500% due 11/25/07 12,602 12,527
Western Federal Savings & Loan
6.624% due 11/25/18 (d) 422 417
6.674% due 03/25/19 (d) 3,089 3,081
--------
260,445
========
Stripped Mortgage-Backed Securities 0.2%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 12/15/02 58 1
10.038% due 09/15/05 59 7
6.500% due 11/15/06 4,116 379
6.500% due 03/15/07 8,669 635
5.750% due 09/15/07 (d) 16,924 1,339
5.428% due 02/15/08 (d) 1,137 106
11.651% due 01/15/16 72 8
6.500% due 08/15/16 8,596 589
7.000% due 04/15/18 6,485 571
9.993% due 11/15/18 300 57
8.845% due 01/15/21 601 132
9.000% due 05/15/22 298 82
Federal Home Loan Mortgage Corp. (PO)
0.000% due 06/15/21 7,930 7,217
Federal National Mortgage Assn. (IO)
33.862% due 04/25/02 35 1
6.750% due 09/25/04 178 12
7.000% due 06/25/05 48 1
10.458% due 07/25/05 (d) 1,798 229
6.500% due 07/25/06 10,985 889
6.500% due 02/25/07 8,046 774
6.500% due 07/25/07 2,321 207
6.500% due 09/25/07 12,701 1,113
6.500% due 10/25/07 3,856 373
0.100% due 03/25/09 (d) 65,671 1,486
7.000% due 05/25/12 636 10
7.000% due 08/25/15 7,052 554
7.000% due 08/25/16 1,828 146
6.500% due 08/25/20 2,666 674
10.070% due 01/25/21 201 59
9.032% due 08/25/21 3,022 719
0.950% due 11/25/21 (d) 67,555 1,198
6.500% due 01/25/23 8,935 1,266
Federal National Mortgage Assn. (PO)
0.000% due 09/01/07 1,512 1,076
0.000% due 02/25/21 8,129 6,865
0.000% due 06/25/22 4,808 4,045
0.000% due 08/25/23 508 241
PaineWebber (IO)
13.595% due 08/01/19 362 141
Vendee Mortgage (IO)
0.542% due 06/15/23 236,741 5,497
---------
38,699
---------
Total Mortgage-Backed Securities 7,374,608
(Cost $7,426,376) =========
- --------------------------------------------------------------------------------
Asset-Backed Securities 2.3%
- --------------------------------------------------------------------------------
American Airlines Equipment Trust
10.210% due 01/01/10 6,500 7,628
Associates Manufactured Housing
7.000% due 03/15/27 900 900
Copelco Capital Funding Corp.
6.340% due 07/20/04 105 105
CSXT Trade Receivables
5.050% due 09/25/99 500 491
Delta Air Lines Equipment Trust
9.230% due 07/02/02 15,392 15,988
10.500% due 01/02/07 7,701 8,844
10.570% due 01/02/07 15,881 19,206
9.550% due 01/02/08 7,773 8,282
10.140% due 08/14/12 1,000 1,144
10.000% due 06/05/13 10,828 12,214
Discover Card Trust
7.300% due 05/21/99 33 33
5.797% due 10/16/13 (d) 400 407
EQCC Home Equity Loan Trust
6.100% due 10/15/03 23,720 23,719
First Omni Bank
6.650% due 09/15/03 (d) 1,500 1,491
Ford Motor Credit Corp.
5.500% due 02/15/03 1,300 1,235
Green Tree Financial Group
7.150% due 07/15/27 1,025 1,021
Green Tree Home Improvement Loan Trust
6.100% due 01/15/28 22,960 22,946
</TABLE>
See accompanying notes [39]
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
($ in ($ in
thousands) thousands)
- -------------------------------------------------------------------------------
<S> <C> <C>
IMC Home Equity Loan Trust
7.443% due 07/25/26 (d) $ 2,298 $ 2,316
MBNA Master Credit Card Trust
6.050% due 11/15/02 245 240
Money Store
6.260% due 06/15/03 30,258 30,220
6.230% due 12/15/08 22,000 21,973
NationsBank Auto Owner Trust
6.375% due 07/15/00 1,700 1,701
NationsBank Corp.
5.850% due 06/15/02 716 714
Newcourt Receivable Asset Trust
6.240% due 12/20/04 62 62
Sears Credit Account Master Trust
6.050% due 01/16/08 500 477
Standard Credit Card Master Trust
6.750% due 06/07/00 290 292
7.250% due 04/07/08 300 300
Student Loan Marketing Assn.
5.815% due 04/25/04 (d) 36,672 36,749
United Air Lines Equipment Trust
9.200% due 03/22/08 4,466 4,690
10.360% due 11/13/12 7,000 8,134
10.020% due 03/22/14 4,500 5,080
10.850% due 07/05/14 34,111 40,872
10.125% due 03/22/15 14,300 16,323
9.060% due 06/17/15 5,000 5,266
9.210% due 01/21/17 2,000 2,137
--------
Total Asset-Backed Securities 303,200
(Cost $298,467) ========
- -------------------------------------------------------------------------------
SOVEREIGN ISSUES 4.8%
- -------------------------------------------------------------------------------
Banco Nacional de Obra y Servicios
6.875% due 10/01/98 19,500 19,305
Commonwealth of Canada
5.270% due 04/08/97 300 300
5.370% due 04/09/97 9,200 9,189
5.410% due 04/15/97 44,200 44,107
5.530% due 04/21/97 500 498
5.520% due 04/28/97 30,000 29,876
5.520% due 06/05/97 122,500 121,243
5.310% due 06/09/97 9,000 8,902
Kingdom of Sweden
5.360% due 06/02/97 5,100 5,050
10.250% due 11/01/15 500 602
Province of British Columbia
5.500% due 04/23/97 400 399
5.530% due 04/29/97 15,000 14,935
5.300% due 05/06/97 100 99
Province of Newfoundland
9.000% due 06/01/19 500 570
Province of Nova Scotia
9.375% due 07/15/02 1,000 1,096
Province of Ontario
6.125% due 06/28/00 50 49
7.750% due 06/04/02 200 207
7.000% due 08/04/05 1,000 986
Province of Quebec
7.500% due 07/15/02 6,000 6,067
Province of Saskatchewan
9.125% due 02/15/21 3,000 3,440
Republic of Argentina
5.500% due 09/01/97 (d) 500 499
5.627% due 04/01/00 (d) 60,000 27,600
5.375% due 04/01/01 (d) 19,904 19,017
6.750% due 03/31/05 (d) 316,560 282,925
United Mexican States
7.625% due 08/06/01 (d) 38,000 38,700
--------
Total Sovereign Issues 635,661
(Cost $596,471) ========
- -------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(f) 3.0%
- -------------------------------------------------------------------------------
City of Montreal
11.500% due 09/20/00 C$ 7,000 5,919
Commonwealth of Canada
8.500% due 03/01/00 $103,860 $ 81,232
6.500% due 06/01/04 1,000 722
4.250% due 12/01/26 (h) 145,404 104,037
Commonwealth of New Zealand
6.500% due 02/15/00 N$160,000 107,377
10.000% due 03/15/02 107,500 80,891
8.000% due 04/15/04 7,000 4,868
Petroleos Mexicanos
7.750% due 09/30/98 FF 5,000 924
Reynolds R.J.
6.875% due 11/22/00 DM 9,500 5,905
--------
Total Foreign Currency-Denominated Issues 391,875
(Cost $395,737) ========
- -------------------------------------------------------------------------------
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 June Futures
Strike @ 92.25 Exp. 06/16/97 500,000 13
Eurodollar September Futures
Strike @ 91.00 Exp. 09/15/97 2,000,000 50
Eurodollar September Futures
Strike @ 91.75 Exp. 09/15/97 8,650,000 216
Eurodollar September Futures
Strike @ 92.00 Exp. 09/15/97 1,000,000 25
Eurodollar December Futures
Strike @ 91.00 Exp. 12/15/97 1,800,000 45
--------
Total Purchased CME Put Options 349
(Cost $267) ========
- -------------------------------------------------------------------------------
PURCHASED OTC CALL OPTIONS 0.0%
- -------------------------------------------------------------------------------
U.S. Treasury Note
6.250% due 05/31/00
Strike @ 91.875 Exp. 05/08/97 55,500 3,877
U.S. Treasury Note
6.50% due 05/31/01
Strike @ 92.44 Exp. 04/28/97 60,300 4,041
--------
Total Purchased OTC Call Options 7,918
(Cost $9,058) ========
- -------------------------------------------------------------------------------
PREFERRED STOCK 0.1%
- -------------------------------------------------------------------------------
Shares
Banco Bilbao Vizcaya International 266,217 7,587
California Federal Bank 50,000 5,650
Unocal Capital Trust 402 22
--------
Total Preferred Stocks 13,259
(Cost $12,586) ========
- -------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 14.5%
- -------------------------------------------------------------------------------
Principal
Amount
(000's)
Discount Notes 13.0%
Abbott Laboratories
5.280% due 04/02/97 $ 37,000 36,995
5.500% due 04/29/97 58,900 58,648
Ameritech Corp.
5.290% due 04/03/97 1,500 1,500
5.290% due 04/08/97 35,000 34,964
5.280% due 04/11/97 37,000 36,946
5.530% due 04/30/97 21,000 20,906
Australian Wheat Board
5.310% due 04/04/97 200 200
Caisse d'Amortissement
5.540% due 04/30/97 18,000 17,920
</TABLE>
[40] See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
================================================================================
<S> <C> <C>
Canadian Wheat Board
5.290% due 04/23/97 $ 7,000 $ 6,977
5.310% due 04/24/97 4,000 3,986
5.270% due 05/08/97 10,800 10,742
Dow Jones, Inc.
5.550% due 05/12/97 200 199
E.I. Du Pont de Nemours
5.290% due 04/10/97 1,200 1,198
Electricite de France
5.300% due 04/22/97 9,000 8,972
5.300% due 04/28/97 1,400 1,394
5.300% due 04/29/97 700 697
5.500% due 04/29/97 300 299
Emerson Electric Co.
5.490% due 05/05/97 1,000 995
Federal Farm Credit Bank
5.240% due 05/21/97 100 99
Federal Home Loan Bank
5.410% due 04/17/97 7,300 7,282
5.430% due 05/08/97 1,300 1,293
Florida Power Corp.
5.290% due 04/01/97 5,200 5,200
5.550% due 04/22/97 8,000 7,974
Ford Motor Credit Corp.
5.320% due 04/03/97 1,300 1,300
5.310% due 04/07/97 43,000 42,962
5.310% due 04/09/97 57,200 57,133
5.280% due 04/22/97 53,100 52,936
5.300% due 04/23/97 2,700 2,691
5.290% due 04/24/97 36,300 36,177
5.280% due 04/25/97 18,000 17,937
5.550% due 05/02/97 500 498
5.550% due 05/05/97 2,500 2,487
5.550% due 05/21/97 150,000 148,844
Export Development Corp
5.280% due 04/14/97 50,000 49,905
Federal Home Loan Mortgage Corp.
5.170% due 04/10/97 6,000 5,992
5.280% due 06/05/97 879 870
Federal National Mortgage Assn.
5.240% due 04/08/97 600 599
5.220% due 04/22/97 1,400 1,396
5.470% due 05/02/97 24,000 23,887
5.480% due 05/02/97 15,300 15,228
General Electric Capital Corp.
5.300% due 04/09/97 150,000 149,823
5.300% due 04/23/97 40,000 39,870
5.310% due 04/23/97 46,300 46,150
5.250% due 04/24/97 56,000 55,812
5.340% due 04/28/97 3,900 3,884
5.330% due 04/29/97 700 697
5.550% due 05/05/97 500 497
5.320% due 05/07/97 2,800 2,785
General Motors Acceptance Corp.
5.260% due 04/02/97 40,000 39,994
5.350% due 04/09/97 26,000 25,969
5.350% due 04/10/97 13,000 12,983
5.333% due 04/23/97 20,000 19,935
5.580% due 05/07/97 400 398
KFW International Finance, Inc.
5.500% due 04/04/97 1,700 1,699
5.270% due 04/17/97 6,000 5,986
5.250% due 04/25/97 1,000 997
5.250% due 04/29/97 700 697
5.550% due 04/29/97 9,500 9,459
5.580% due 04/29/97 18,300 18,221
Kellogg Co.
5.550% due 04/14/97 11,500 11,477
Kimberly-Clark Corp.
5.500% due 04/01/97 1,900 1,900
Minnesota Mining & Manufacturing Co.
5.280% due 04/02/97 679 679
Mobil Australia
6.750% due 04/01/97 28,600 28,600
5.320% due 04/30/97 6,800 6,771
5.550% due 05/21/97 37,800 37,509
5.420% due 06/18/97 5,100 5,037
National Rural Utilities Cooperative
5.290% due 04/01/97 7,700 7,700
5.300% due 04/03/97 800 800
5.280% due 04/11/97 5,000 4,993
5.290% due 04/18/97 20,000 19,950
5.280% due 04/21/97 25,000 24,927
5.330% due 04/29/97 2,000 1,992
5.550% due 05/14/97 4,800 4,768
5.550% due 05/15/97 65,000 64,559
5.330% due 05/20/97 27,000 26,804
5.330% due 05/22/97 50,000 49,622
5.600% due 05/28/97 8,700 8,623
New Center Asset Trust
6.700% due 04/01/97 900 900
5.300% due 04/02/97 100 100
5.270% due 04/09/97 40,300 40,253
5.320% due 04/11/97 1,300 1,298
5.520% due 04/25/97 2,600 2,590
5.570% due 05/08/97 500 497
5.570% due 06/24/97 176,500 174,163
Pitney Bowes Credit
5.290% due 04/08/97 1,400 1,399
Queensland Treasury Corp.
5.310% due 04/21/97 800 798
5.320% due 04/21/97 1,000 997
5.300% due 04/28/97 100 100
5.320% due 04/28/97 3,100 3,088
Shell Oil Co.
5.570% due 04/14/97 12,900 12,874
Western Australian Treasury Corp.
5.250% due 05/20/97 1,000 993
5.340% due 05/20/97 800 794
Wool International
5.300% due 04/16/97 1,218 1,215
-----------
$ 1,710,854
===========
Repurchase Agreements 0.8%
Daiwa Securities America
6.200% due 04/01/97 95,000 95,000
(Dated 03/31/97. Collateralized by U.S. Treasury
Note 6.500% 05/31/01 valued at $97,125,864.
Repurchase proceeds are $95,016,361.)
State Street Bank
5.000% due 04/01/97 4,357 4,357
(Dated 03/31/97. Collateralized by U.S. Treasury
Bond 7.250% 05/15/16 valued at $4,448,269.
Repurchase proceeds are $4,357,605.)
-----------
99,357
===========
U.S. Treasury Bills 0.7%
5.057% due 05/01/97-07/03/97 (b)(g) 99,195 98,279
-----------
Total Short-Term Instruments 1,908,490
(Cost $1,908,546) ===========
Total Investments (a) 105.8% $13,968,846
(Cost $14,009,795)
Written Options (e) (0.2%) (26,352)
(Premiums $30,218)
Other Assets and Liabilities (Net) (5.6%) (743,788)
-----------
Net Assets 100.0% $13,198,706
===========
</TABLE>
See accompanying notes [41]
<PAGE>
Schedule of Investments (Cont)
Total Return Fund
March 31, 1997
================================================================================
Notes to Schedule of Investments ($ in thousands):
(a) At March 31,1997, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 135,961
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (147,615)
------------
Unrealized depreciation-net $ (11,654)
============
</TABLE>
(b) Securities with an aggregate market value of $99,582 have been segregated
with the custodian to cover margin requirements for the following open future
contracts at March 31,1997:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- -------------------------------------------------------------------------------
<S> <C> <C>
U.S. Municipal Bond (06/97) 735 $ (789)
U.S. Treasury 5 Year Note (06/97) 2,299 (2,227)
U.S. Treasury 10 Year Note (06/97) 23,712 (36,570)
U.S. Treasury 30 Year Bond (06/97) 4,751 (10,885)
Eurodollar June Futures (06/97) 6,638 9,480
Eurodollar September Futures (09/97) 430 (460)
Eurodollar December Futures (12/97) 500 (521)
------------
$ (41,972)
============
</TABLE>
(c) Foreign forward currency contracts outstanding at March 31,1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy C$ 66,432 04/97 $ (579)
Buy 169,851 05/97 (1,558)
Sell 66,432 04/97 1,301
Sell 169,851 05/97 3,308
Sell 54,178 09/97 769
Sell 161,146 03/98 1,573
Buy DM 30,310 04/97 (2,052)
Sell 40,043 04/97 3,371
Buy DG 102 04/97 (1)
Sell FF 5,735 07/97 (28)
Sell N$ 22,340 05/97 214
Sell 194,393 06/97 212
------------
$ 6,530
============
</TABLE>
(d) Variable rate security. The rate listed is as of March 31,1997.
(e) Premiums received on Written Options:
<TABLE>
<CAPTION>
Premiums Market
Type Par Received Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Call - Commonwealth of Canada
6.250% due 09/98
Strike @ 103.35 Exp. 04/02/97 C$ 150,000 $ 278 $ 0
Put - Commonwealth of Canada
6.250% due 09/98
Strike @ 101.35 Exp. 04/02/97 150,000 289 0
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 112.00 Exp. 06/16/97 $ 205,500 1,059 321
Strike @ 116.00 Exp. 06/16/97 200,000 1,755 31
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 108.00 Exp. 06/16/97 205,500 2,101 3,853
Strike @ 110.00 Exp. 06/16/97 380,000 3,901 12,350
Call - CBOT U.S. Treasury Note September Futures
Strike @ 107.00 Exp. 08/23/97 8,700 1,770 2,382
Put - CME Eurodollar June Futures
Strike @ 93.00 Exp. 06/16/97 300,000 223 8
Strike @ 93.25 Exp. 06/16/97 1,200,000 1,059 30
Strike @ 93.50 Exp. 06/16/97 14,251,000 12,170 356
Strike @ 94.00 Exp. 06/16/97 4,969,000 1,474 1,118
Put - CME Eurodollar September Futures
Strike @ 93.00 Exp. 09/15/97 2,560,000 315 192
Put - CME Eurodollar December Futures
Strike @ 93.50 Exp. 12/15/97 1,000,000 570 825
Strike @ 93.75 Exp. 12/15/97 4,115,000 3,254 4,886
-----------------------------
$ 30,218 $ 26,352
=============================
</TABLE>
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
DG - Dutch Guilder
DM - German Mark
FF - French Franc
N$ - New Zealand Dollar
(g) Securities are grouped by coupon and represent a range of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Security becomes interest bearing at a future date.
(j) Security is part of an integrated SWAP transaction as discussed in Note K
below and as a result is restricted to resale.
(k) Terms of agreements require the payment of fixed rate interest earned on a
security held by the Fund in exchange for variable rate interest based upon the
3 Month LIBOR rate. The terms of the agreement also includes a put option which
enables the Fund to put the underlying security to the counterparty at par.
Swap agreements outstanding at March 31, 1997:
<TABLE>
<CAPTION>
Notional Unrealized
Type Amount Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
Receive floating rate based on 3 month LIBOR and
pay fixed rate.
Broker: Merrill Lynch
Exp. 04/11/97 $ 25,000 $ 0
Broker: Merrill Lynch
Exp. 04/11/97 43,021 0
Broker: Merrill Lynch
Exp. 09/11/97 19,731 0
Broker: Merrill Lynch
Exp. 09/11/97 25,000 0
---------
$ 0
=========
</TABLE>
[42] See accompanying notes
<PAGE>
Schedule of Investments
Real Return Bond Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 7.7%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance 7.7%
J.P. Morgan & Co.
4.000% due 02/15/12 (c) $ 250 $ 244
Pacific Southwest Bank
6.060% due 06/17/02 239 239
---------------
Total Corporate Bonds and Notes 483
(Cost $491) ===============
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 69.6%
- --------------------------------------------------------------------------------
3.375% due 01/15/07 (e) 4,351 4,384
---------------
Total U.S. Treasury Obligations 4,384
(Cost $4,426) ===============
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(d) 15.3%
- --------------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26 (e) C$ 640 458
Commonwealth of New Zealand
4.500% due 02/15/16 (e) N$ 750 505
---------------
Total Foreign Currency-Denominated Issues 963
(Cost $992) ===============
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 72.9%
- --------------------------------------------------------------------------------
Discount Notes 68.1%
Ameritech Corp.
5.280% due 04/24/97 $ 200 199
Australian Wheat Board
5.300% due 04/04/97 200 200
Canadian Wheat Board
5.500% due 04/21/97 200 199
Central Illinois Public Service Co.
5.300% due 04/11/97 200 200
Commonwealth of Canada
5.260% due 04/01/97 100 100
5.270% due 04/08/97 100 100
E.I. Du Pont de Nemours
5.240% due 04/22/97 200 199
Electricite de France
5.300% due 04/28/97 200 199
Emerson Electric Co.
5.490% due 05/05/97 100 99
Federal Home Loan Mortgage Corp.
5.280% due 06/05/97 200 198
Federal National Mortgage Assn.
5.510% due 05/02/97 100 100
Florida Power Corp.
5.260% due 04/02/97 100 100
Ford Motor Credit Corp.
5.320% due 04/03/97 200 200
5.300% due 04/23/97 200 199
General Electric Capital Corp.
5.330% due 06/04/97 200 198
General Motors Acceptance Corp.
5.350% due 04/09/97 200 200
KFW International Finance, Inc.
5.290% due 04/29/97 200 199
Kingdom of Sweden
5.550% due 04/09/97 200 200
Province of British Columbia
5.310% due 06/03/97 200 198
Minnesota Mining & Manufacturing Co.
5.280% due 04/02/97 200 200
National Rural Utilities Cooperative
5.270% due 04/10/97 200 200
Pitney Bowes Credit Corp.
5.290% due 04/07/97 200 200
5.290% due 04/08/97 200 200
Queensland Treasury Corp.
5.320% due 04/28/97 200 199
---------------
4,286
===============
Repurchase Agreement 4.8%
State Street Bank
5.000% due 04/01/97 $ 301 $ 301
(Dated 03/31/97. Collateralized ---------------
by U.S. Treasury Note 5.125%
02/28/98 valued at $308,626.
Repurchase proceeds are $301,042.)
Total Short-Term Instruments 4,587
(Cost $4,588) ===============
Total Investments (a) 165.5% $ 10,417
(Cost $10,497)
Other Assets and Liabilities (Net) (65.5%) (4,121)
---------------
Net Assets 100.0% $ 6,296
===============
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1997 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. $ 24
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value. (106)
---------------
Unrealized depreciation-net $ (82)
===============
</TABLE>
(b) Foreign forward currency contracts outstanding at March 31, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell C$ 259 04/97 $ 6
Sell 130 05/97 3
Sell 262 06/97 3
Buy 100 04/98 1
Sell N$ 494 04/97 2
Sell 247 05/97 (2)
--------------
$ 13
==============
</TABLE>
(c) Variable rate security. The rate listed is as of March 31, 1997.
(d) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
N$ - New Zealand Dollar
(e) Principal amount of the security is adjusted for inflation.
See accompanying notes 43
<PAGE>
Schedule of Investments
Low Duration Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 21.7%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance 5.9%
American General Finance Corp.
6.000% due 02/23/98 $ 1,000 $ 996
Associates Corp. of North America
6.750% due 07/15/97 625 626
7.250% due 05/15/98 500 504
7.500% due 05/15/99 1,000 1,014
AT&T Capital Corp.
6.490% due 05/17/99 10,000 9,936
Banc One Corp.
7.250% due 08/01/02 500 501
Bancomer
8.000% due 07/07/98 4,000 4,004
BankAmerica Corp.
7.200% due 09/15/02 100 100
Banponce Corp.
7.500% due 05/28/97 2,000 2,005
Chrysler Financial Corp.
6.100% due 11/03/97 2,000 2,002
8.330% due 02/02/98 5,490 5,584
6.280% due 07/17/98 3,000 2,994
Citicorp
5.625% due 05/29/98 (d) 8,000 7,995
Comercia Bank
6.750% due 05/12/98 500 502
Commercial Credit
5.500% due 05/15/98 1,000 990
Den Danske Bank
6.729% due 06/23/00 (d) 1,000 1,002
Discover Credit Corp.
7.760% due 05/13/97 5,000 5,009
Ford Motor Credit Corp.
6.800% due 08/15/97 1,200 1,204
6.520% due 02/03/98 1,000 1,002
5.635% due 04/05/99 (d) 1,000 965
General Motors Acceptance Corp.
7.750% due 04/15/97 13,834 13,844
7.000% due 08/19/97 175 176
Kansallis-Osake
7.850% due 09/30/43 (d) 13,500 13,804
Lehman Brothers, Inc.
7.000% due 05/15/97 500 501
7.375% due 08/15/97 500 503
0.000% due 05/16/98 2,000 1,860
Manufacturers Hanover Corp.
5.438% due 04/30/97 (d) 6,000 5,997
Okobank
7.013% due 10/29/49 (d) 750 768
Salomon, Inc.
5.890% due 11/10/97 20,000 19,992
7.000% due 01/20/98 2,500 2,512
5.980% due 02/02/98 23,500 23,417
6.360% due 04/01/98 1,725 1,723
9.375% due 04/15/98 550 565
6.125% due 05/15/98 12,820 12,762
7.125% due 08/01/99 1,000 1,004
SGE Associates
8.070% due 07/20/00 20,260 20,795
Signet Banking Corp.
5.629% due 05/15/97 (d) 2,095 2,093
5.813% due 04/15/98 (d) 2,865 2,857
Transamerica Financial
6.940% due 04/27/98 700 703
----------------
174,811
================
Industrials 11.4%
Americo, Inc.
6.850% due 09/18/98 7,000 6,995
AMR Corp.
9.500% due 07/15/98 1,000 1,036
9.270% due 08/13/98 2,000 2,065
8.100% due 11/01/98 2,000 2,045
8.730% due 11/02/98 3,000 3,085
9.910% due 03/01/01 2,500 2,718
9.440% due 05/15/01 5,000 5,367
9.125% due 10/24/01 1,000 1,066
10.400% due 03/10/11 (i) 13,000 13,000
10.400% due 03/15/11 (i) 24,000 24,000
9.820% due 10/25/11 (i) 9,100 9,100
Arkla, Inc.
9.875% due 04/15/97 11,500 11,515
9.200% due 12/18/97 1,000 1,020
Bausch & Lomb
6.480% due 12/17/97 275 276
Consolidated Natural Gas Co.
8.750% due 06/01/99 400 416
Delta Air Lines
7.790% due 12/01/98 4,449 4,511
E. I. Du Pont de Nemours
8.500% due 02/10/98 100 102
Enserch Corp.
8.875% due 03/15/01 3,000 3,040
First Brands Corp.
9.125% due 04/01/99 3,000 3,000
Ford Motor Co.
9.250% due 07/15/97 14,900 15,038
9.000% due 09/15/01 500 536
Minnesota Mining & Manufacturing Co.
6.250% due 03/29/99 200 199
Nabisco, Inc.
8.300% due 04/15/99 2,900 2,966
8.000% due 01/15/00 16,675 17,071
Noranda, Inc.
6.250% due 08/18/00 (d) 1,000 1,014
RJR Nabisco
8.625% due 12/01/02 4,000 4,016
Sears Roebuck & Co.
9.250% due 04/15/98 5,750 5,913
TCI Communications, Inc.
6.298% due 03/11/03 (d) 3,000 2,965
Tenet Healthcare
7.875% due 01/15/03 2,300 2,271
Time Warner, Inc.
7.450% due 02/01/98 27,410 27,631
6.456% due 08/15/00 (d) 39,787 39,804
7.975% due 08/15/04 21,247 21,400
8.110% due 08/15/06 42,495 42,747
8.180% due 08/15/07 42,495 43,337
Transco Energy
9.375% due 08/15/01 1,000 1,078
United Air Lines
6.750% due 12/01/97 11,875 11,911
USX Corp.
7.750% due 01/21/98 2,000 2,020
----------------
336,274
================
Utilities 4.4%
Alabama Power
7.250% due 08/01/07 100 98
Bell Atlantic Financial
6.000% due 06/01/98 500 497
Central Power & Light
6.625% due 01/01/98 100 100
Cleveland Electric Illuminating Co.
9.450% due 12/01/97 11,400 11,588
8.330% due 10/30/98 1,500 1,527
8.170% due 11/30/98 1,000 1,009
9.300% due 07/26/99 1,500 1,546
9.375% due 03/01/17 3,000 3,067
CMS Energy
9.500% due 10/01/97 (d) 23,175 23,452
Commonwealth Edison
8.875% due 05/15/97 7,000 7,023
Consumers Energy
8.750% due 02/15/98 5,000 5,081
CTC Mansfield Funding
11.125% due 09/30/16 7,985 8,412
El Paso Electric Co.
7.250% due 02/01/99 1,000 996
Gulf States Utilities
9.720% due 07/01/98 333 341
Long Island Lighting Co.
7.625% due 04/15/98 3,000 3,021
</TABLE>
[44] See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
================================================================================
<S> <C> <C>
7.300% due 07/15/99 $ 4,500 $ 4,523
6.250% due 07/15/01 3,275 3,140
Louisiana Power & Light Co.
7.740% due 07/01/02 10,500 10,521
10.300% due 01/02/05 2,770 2,829
Mississippi Power & Light
8.800% due 04/01/05 1,000 1,005
New York State Electric
6.500% due 09/01/98 2,350 2,348
North Atlantic Energy
9.050% due 06/01/02 5,647 5,586
Northern States Power Co.
5.875% due 10/01/97 100 100
Public Service Electric & Gas
6.000% due 01/01/98 1,000 998
Texas Gas Transmission Corp.
9.625% due 07/15/97 9,000 9,088
Toledo Edison Co.
9.300% due 04/01/98 5,000 5,093
Triton Energy
0.000% due 11/01/97 10,500 10,132
United Illuminating
7.375% due 01/15/98 1,000 1,008
9.760% due 01/02/06 2,839 2,954
Western Massachusetts Electric
6.750% due 03/01/98 792 793
--------
127,876
--------
Total Corporate Bonds and Notes 638,961
========
(Cost $635.742)
- --------------------------------------------------------------------------------
U.S TREASURY OBLIGATION 1.5%
- --------------------------------------------------------------------------------
U.S. Treasury Notes
6.500% due 04/30/97 1,000 1,001
5.750% due 09/30/97 7,195 7,195
8.125% due 02/15/98 (b) 180 183
6.125% due 08/31/98 15,000 14,968
6.000% due 09/30/98 13,200 13,143
5.000% due 01/31/99 1,305 1,274
6.750% due 06/30/99 1,700 1,710
5.250% due 01/31/01 3,000 2,859
7.000% due 07/15/06 850 852
U.S Treasury Strips
0.000% due 05/15/97 229 227
0.000% due 05/15/98 2,000 1,866
--------
Total U.S. Treasury Obligations 45,278
========
(Cost $45,485)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.1%
- --------------------------------------------------------------------------------
Federal Farm Credit Bank
5.400% due 04/01/97 350 350
5.630% due 05/26/98 1,945 1,932
Federal Home Loan Bank
5.710% due 10/09/97 500 500
5.450% due 11/12/97 5,000 4,982
5.450% due 12/26/97 4,000 3,982
5.870% due 02/13/98 200 200
5.090% due 05/11/98 2,000 1,975
5.495% due 09/24/98 3,000 3,000
6.010% due 12/04/98 4,000 3,972
5.030% due 04/19/99 (d) 3,000 2,959
6.270% due 12/20/99 1,000 988
Federal Home Loan Mortgage Corp.
7.300% due 10/28/02 100 99
8.440% due 10/27/04 500 504
Federal National Mortgage Assn.
6.020% due 01/20/98 2,000 2,001
5.250% due 03/25/98 5,000 4,954
5.350% due 04/01/98 5,930 5,873
5.200% due 07/10/98 1,500 1,481
4.875% due 10/15/98 1,000 978
5.720% due 02/16/99 (d) 5,000 4,931
8.350% due 11/10/99 1,000 1,041
6.080% due 09/25/00 4,260 4,178
5.720% due 01/29/01 2,000 1,924
5.500% due 02/02/01 $ 5,000 $ 4,789
Small Business Administration
7.500% due 01/25/13 (d) 1,455 1,513
7.500% due 02/25/14 (d) 1,441 1,503
Tennessee Valley Authority
0.000% due 10/15/98 1,000 908
--------
Total U.S Government Agencies 61,519
========
(Cost $61.609)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 61.5%
- --------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION 6.2%
5.000% due 05/01/98-08/01/98 (g) 8 8
5.000% due 05/01/98-04/01/07 (g) 178 174
6.000% due 01/01/26-03/01/26 (g) 2,969 2,685
6.085% due 11/01/14-08/01/19 (d)(g) 3,002 2,969
6.089% due 01/01/30-12/01/30 (d)(g) 4,675 4,612
6.090% due 01/01/17-06/01/17 (d)(g) 798 789
6.092% due 09/01/15-01/01/20 (d)(g) 3,347 3,310
6.092% due 11/01/26-06/01/30 (d)(g) 2,904 2,862
6.100% due 05/01/17 (d) 290 287
6.105% due 10/01/30 (d) 500 493
6.107% due 02/01/16 (d) 162 160
6.125% due 01/01/20 (d) 351 346
6.500% due 01/01/02-02/01/05 (g) 71 70
6.500% due 04/10/27-05/13/27 (g) 50,000 46,561
6.625% due 03/01/17 (d) 430 442
7.000% due 01/01/17 (d) 96 99
7.223% due 02/01/20 (d) 5,075 5,240
7.250% due 07/01/07 48 48
7.500% due 09/01/06 200 201
7.500% due 04/10/27 1,000 983
7.725% due 07/01/18 (d) 776 807
7.743% due 03/01/24 (d) 430 448
7.870% due 06/01/24 (d) 2,567 2,648
7.901% due 11/01/03 (d) 2,990 3,109
7.913% due 11/01/22 (d) 4,082 4,219
7.959% due 12/01/22 (d) 2,525 2,627
8.000% due 07/01/06-04/01/07 (g) 390 396
8.000% due 07/02/24-05/13/27 (g) 74,895 75,738
8.028% due 10/01/23 (d) 4,672 4,862
8.043% due 09/01/23 (d) 1,002 1,043
8.045% due 01/01/24 (d) 4,743 4,935
8.104% due 01/01/24 (d) 3,155 3,250
8.250% due 10/01/07-11/01/07 (g) 68 69
8.500% due 07/01/01-05/01/10 (g) 685 703
8.500% due 01/01/12 72 74
8.500% due 04/10/27 1,500 1,537
8.750% due 02/01/01-04/01/02 (g) 169 173
9.000% due 09/01/98-07/01/04 (g) 259 265
9.250% due 07/01/01 13 13
9.500% due 03/01/01-12/01/04 (g) 193 202
9.750% due 03/01/01-11/01/08 (g) 1,543 1,644
10.000% due 04/01/01 14 14
10.500% due 07/01/00-10/01/00 (g) 80 83
10.500% due 10/01/10-02/01/16 (g) 56 50
10.750% due 10/01/00-10/01/10 (g) 421 457
10.750% due 08/01/11 369 404
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) 22 25
14.000% due 09/01/12-12/01/12 (g) 6 8
--------
182,170
========
FEDERAL HOUSING ADMINISTRATION 0.6%
6.950% due 04/01/14 1,805 1,634
7.421% due 11/01/19 977 987
7.430% due 10/01/19-12/01/21 (g) 13,916 13,595
9.680% due 02/01/24 392 398
--------
16,614
========
FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.7%
6.000% due 12/25/18 250 247
6.069 due 07/01/28 (d) 65 64
6.085% due 10/01/27-10/01/28 (d)(g) 789 779
6.089% due 02/01/31 (d) 960 947
6.092% due 09/01/27-05/01/28 (d)(g) 576 568
6.147% due 04/01/18 (d) 8,627 8,454
</TABLE>
--
SEE ACCOMPANYING NOTES 45
--
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
<TABLE>
<CAPTION>
LOW DURATION FUND
March 31, 1997 PRINCIPAL
AMOUNT VALUE
($ IN THOUSANDS) ($ IN THOUSANDS)
================================================================================
<S> <C> <C>
6.256% due 04/25/22 (d) $ 559 $ 562
6.500% due 06/01/08 45 42
6.500% due 12/01/25 13,059 12,157
6.750% due 01/01/21 (d) 1,043 1,054
7.000% due 04/01/02-09/01/07 (g) 357 354
7.134% due 11/01/17 (d) 754 766
7.342% due 07/01/17 (d) 1,191 1,225
7.345% due 05/01/24 (d) 1,819 1,892
7.399% due 11/01/18 (d) 551 573
7.637% due 10/01/24 (d) 15,541 16,208
7.706% due 04/01/24 (d) 6,692 6,692
7.825% due 10/01 23 (d) 7,498 7,801
7.833% due 07/01/23 (d) 4,888 5,084
7.939% due 01/01/24 (d) 8,139 8,464
8.000% due 03/01/04 227 230
8.000% due 12/01/24 4,710 4,784
8.467% due 05/01/97 (d) 253 260
8.500% due 03/01/08-02/01/17 (g) 835 857
8.500% due 11/01/23-08/01/26 (g) 23,066 23,785
9.000% due 07/01/97-08/01/98 (g) 890 903
10.000% due 02/01/04-06/01/13 (g) 2,480 2,664
10.000% due 09/01/14-06/01/19 (g) 1,063 1,163
10.500% due 06/01/05-11/01/05 (g) 516 552
11.000% due 10/01/98-09/01/00 (g) 26 28
11.250% due 12/01/10-10/01/15 (g) 325 359
12.000% due 01/01/15-10/01/15 (g) 16 19
12.750% due 02/01/14-11/01/14 (g) 114 131
13.000% due 07/01/15 9 11
13.250% due 09/01/11 27 31
13.500% due 04/01/14 9 11
15.500% due 10/01/12-12/01/12 (g) 89 109
15.750% due 12/10/11 58 67
16.000% due 09/01/12-12/01/12 (g) 32 40
-------
110,007
=======
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 33.1%
5.000% due 01/20/26-08/20/26 (d)(g) 21,113 20,862
5.500% due 07/20/26 (d) 1,767 1,731
6.000% due 07/20/26-09/20/26 (d)(g) 6,468 6,428
6.500% due 01/20/22-07/15/26 (d)(g) 45,523 46,348
6.875% due 10/20/23-10/20/24 (d)(g) 28,312 28,887
7.000% due 04/17/27-05/19/27 (g) 498,000 474,867
7.125% due 05/20/22-06/20/25 (d)(g) 230,115 235,799
7.500% due 02/15/22-12/15/23 (g) 115,109 113,811
8.000% due 07/15/04-11/15/06 (g) 9 10
8.000% due 04/17/27 16,250 16,316
8.500% due 01/15/25-12/15/25 (g) 28,408 29,186
9.750% due 07/15/13-02/15/20 (g) 1,560 1,681
10.750% due 10/15/98 21 21
11.750% due 07/15/13-09/15/15 (g) 307 344
12.000% due 06/20/15 35 39
13.500% due 05/15/11-11/15/12 (g) 46 54
16.500% due 12/15/11 1 1
-------
976,375
=======
COLLATERALIZED MORTGAGE OBLIGATIONS 13.7%
American Southwest Financial
5.100% due 06/02/99 12,647 12,271
Bear Stearns
8.200% due 09/25/22
8.000% due 05/25/23 1,097 1,108
Capstead 248 250
7.400% due 04/25/18
7.800% due 02/25/22 4,687 4,692
7.500% due 02/25/23 719 720
Chase Mortgage Financial Corp. 3,105 3,108
10.000% due 11/25/09
8.000% due 06/25/24 1,398 1,448
7.500% due 10/25/24 38 38
Citicorp Mortgage 68 68
9.000% due 11/01/01
8.500% due 06/25/06 1,650 1,688
9.350% due 06/01/10 1,853 1,863
7.250% due 11/01/11 6 6
10.000% due 01/25/13 243 242
9.500% due 10/25/15 134 143
1,282 1,305
<CAPTION>
PRINCIPAL
AMOUNT VALUE
($ IN THOUSANDS) ($ IN THOUSANDS)
================================================================================
<S> <C> <C>
Collateralized Mortgage Obligation Trust
6.063% due 01/20/03 (d) $ 31 $ 31
7.985% due 05/01/17 17,497 17,628
9.500% due 06/25/20 794 833
Conseco Commercial Mortgage
9.700% due 07/15/04 831 834
Countrywide
6.500% due 03/25/24 1,570 1,555
6.125% due 01/25/35 (d) 18,466 17,964
Donaldson, Lufkin & Jenrette
11.000% due 08/01/19 2,089 2,354
7.835% due 05/25/24 (d) 5,436 5,539
Federal Home Loan Mortgage Corp.
7.000% due 07/15/97 409 409
9.000% due 01/15/04 500 506
9.000% due 04/15/04 94 95
9.000% due 12/15/05 677 687
10.000% due 09/15/09 20 21
12.500% due 09/30/13 1,643 1,852
5.400% due 08/15/14 3,000 2,975
11.000% due 11/30/15 6,495 7,047
8.000% due 04/15/19 969 973
10.000% due 07/15/19 525 564
8.500% due 09/15/19 257 257
8.500% due 09/15/19 2,018 2,042
5.650% due 11/15/19 2,081 2,071
9.000% due 11/15/19 3,192 3,300
7.950% due 02/15/20 2,743 2,767
9.000% due 02/15/20 945 953
8.250% due 03/15/20 306 309
8.000% due 04/15/20 2,500 2,548
7.500% due 04/15/20 2,900 2,893
10.000% due 05/15/20 350 386
7.500% due 12/15/20 2,000 1,961
9.000% due 12/15/20 10,438 10,896
9.500% due 01/15/21 3,186 3,350
8.000% due 04/15/21 3,206 3,246
9.000% due 05/15/21 366 377
9.000% due 05/15/21 231 241
7.000% due 08/15/21 3,624 3,620
Federal National Mortgage Assn.
8.950% due 05/25/03 137 142
9.400% due 07/25/03 214 224
9.000% due 07/25/03 979 1,007
5.750% due 02/25/05 3,960 3,910
8.500% due 09/25/06 792 796
6.875% due 06/25/09 4,724 4,684
7.000% due 04/25/15 2,450 2,454
7.250% due 07/25/15 2,280 2,280
7.500% due 01/25/16 194 194
5.750% due 04/25/16 4,577 4,450
8.000% due 01/25/19 114 114
7.500% due 02/25/19 181 181
9.300% due 05/25/19 92 95
9.000% due 05/25/19 1,421 1,432
8.000% due 05/25/19 1,098 1,105
8.750% due 05/25/19 189 194
9.000% due 07/25/19 789 810
9.000% due 08/25/19 2,069 2,083
9.500% due 03/25/20 2,657 2,965
9.500% due 05/25/20 1,450 1,600
8.000% due 07/25/20 7,897 7,982
8.500% due 01/25/21 92 93
9.000% due 03/25/21 10,279 10,554
9.000% due 04/25/21 300 314
8.000% due 03/25/22 226 227
5.000% due 01/25/24 561 542
8.500% due 03/18/27 3,021 2,876
First Boston Corp.
7.050% due 07/25/23 425 425
Fleet Mortgage
7.200% due 10/25/23 1,491 1,468
General Electric Capital Mortgage
7.750% due 04/25/07 1,351 1,344
6.350% due 03/25/17 28,048 27,832
6.500% due 07/25/18 612 610
</TABLE>
- ----
46 SEE ACCOMPANYING NOTES
- ----
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
($ IN THOUSANDS) ($ IN THOUSANDS)
================================================================================
<S> <C> <C>
Glendale Federal Savings & Loan
7.351% due 03/25/30 (d) $ 3,106 $ 3,151
Greenwich
8.652% due 11/25/24 (d) 5,115 5,202
Home MAC Mortgage Securities Corp.
8.550% due 07/01/08 10 10
Homestead Mortgage Acceptance Corp.
11.450% due 09/01/15 1,827 1,959
Housing Securities, Inc.
6.750% due 02/25/21 25,744 25,669
Independent National Mortgage Corp.
8.212% due 11/25/24 (d) 8,607 8,829
8.250% due 03/25/25 9,008 9,006
Nomura Asset Securities Corp.
6.625% due 01/25/09 5,000 4,964
Norwest Mortgage
12.375% due 01/01/04 298 318
12.500% due 02/01/04 609 649
12.250% due 04/01/14 529 560
Prudential Bache
6.085% due 09/01/18 (d) 62 61
8.400% due 03/20/21 8,262 8,402
Prudential Home
6.500% due 04/25/00 92 91
7.500% due 09/25/07 878 867
7.000% due 11/25/07 2,576 2,573
7.000% due 06/25/23 3,014 2,851
6.750% due 01/25/24 955 949
Prudential Securities
8.000% due 12/25/20 1,500 1,519
Residential Accredit Loans, Inc.
7.300% due 12/25/28 3,742 3,747
Residential Asset Securitization Trust
7.050% due 07/25/26 17,055 17,034
Residential Funding
6.157% due 07/01/19 (d) 1,573 1,467
7.064% due 09/01/19 (d) 394 386
9.000% due 12/25/21 248 254
Resolution Trust Corp.
6.796% due 09/25/19 (d) 3,082 3,075
5.967% due 01/25/21 (d) 270 259
6.784% due 07/25/21 (d) 42 42
6.525% due 09/25/21 (d) 1,516 1,491
6.947% due 10/25/21 (d) 1,670 1,672
7.063% due 03/25/22 (d) 3,590 3,591
10.000% due 05/25/22 278 284
7.250% due 10/25/23 592 590
9.500% due 05/25/24 451 455
8.750% due 05/25/28 2 2
6.152% due 09/25/27 (d) 3,136 3,036
9.000% due 09/25/28 355 363
Ryland Acceptance Corp.
8.000% due 03/01/18 2,728 2,637
Salomon Mortgage
7.200% due 12/25/17 (d) 3,083 3,083
6.975% due 01/25/18 (d) 71 71
9.554% due 10/25/18 (d) 8,077 8,302
7.826% due 03/25/24 (d) 6,466 6,457
Sears Mortgage
7.696% due 08/25/23 (d) 1,252 1,271
8.650% due 05/25/32 (d) 940 948
Securitized Assets Sales, Inc.
6.750% due 08/25/25 17,348 17,357
7.500% due 10/25/25 22,103 22,193
Shearson Lehman
9.600% due 03/25/21 1,575 1,634
Westam Mortgage Financial Corp.
6.500% due 10/02/17 6,935 6,926
-----------
403,338
===========
OTHER MORTGAGE-BACKED SECURITIES 2.4%
Dime Savings
7.079% due 11/01/18 (d) 3,562 3,264
First Boston Mortgage Securities Corp.
8.300% due 08/20/09 429 432
Fleet Finance, Inc.
5.450% due 03/20/23 $ 20 $ 20
Glendale Federal Savings & Loan
11.000% due 03/01/10 40 42
Great Western Savings & Loan
6.130% due 12/01/17 (d) 565 559
Guardian
6.574% due 07/25/18 (d) 71 66
7.202% due 10/25/19 (d) 303 224
6.799% due 12/25/19 (d) 2,630 1,738
6.855% due 12/25/19 (d) 396 250
6.816% due 02/25/20 (d) 1,713 940
6.807% due 07/25/20 (d) 1,658 1,079
Home Savings of America
5.770% due 05/25/27 (d) 2,504 2,410
5.858% due 09/25/28 (d) 1,741 1,702
Imperial Savings & Loan
9.014% due 07/25/17 68 68
9.900% due 09/25/18 669 701
MDC Mortgage FUnding
8.568% due 01/25/25 (d) 5,925 6,036
Resolution Trust Corp.
7.595% due 05/25/19 (d) 10,302 10,025
7.070% due 08/25/19 (d) 6,839 6,811
10.372% due 08/25/21 (d) 1,305 1,359
8.625% due 10/25/21 250 250
6.900% due 02/25/27 7,875 7,163
6.307% due 10/25/28 (d) 3,645 3,685
7.482% due 05/25/29 (d) 3,820 3,822
Ryland Acceptance Corp.
7.580% due 11/28/22 (d) 10,068 10,248
Salomon Mortgage
11.500% due 09/01/15 1,050 1,129
8.230% due 12/25/17 (d) 547 536
Sears Mortgage
12.000% due 02/25/14 169 184
6.455% due 10/25/22 1,212 1,193
7.423% due 10/25/22 (d) 5,572 5,487
Security Pacific
7.850% due 05/15/98 1 1
Western Federal Savings & Loan
6.427% due 06/25/18 (d) 64 64
6.624% due 11/25/18 (d) 338 334
10.069% due 02/01/20 (d) 82 85
-----------
71,907
-----------
STRIPPED MORTGAGE-BACKED SECURITIES 1.8%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 07/15/04 3,026 127
6.250% due 09/15/04 8,566 493
6.000% due 02/15/06 12,301 743
9.982% due 07/15/06 102 1,426
10.195% due 08/15/06 30 417
11.944% due 12/15/06 46 982
6.000% due 10/15/07 4,412 372
6.000% due 02/15/08 11,449 1,091
7.000% due 07/15/12 3,528 96
6.500% due 02/25/13 7,443 316
6.500% due 08/25/13 11,374 649
7.000% due 08/15/18 7,321 1,738
7.500% due 12/15/18 8,259 967
7.000% due 04/15/19 9,526 782
6.500% due 05/15/19 20,065 2,310
6.500% due 06/15/19 20,844 2,018
10.496% due 04/15/21 63 974
6.500% due 04/15/22 11,842 1,506
7.000% due 06/15/23 1,095 170
4.000% due 01/15/24 20,919 6,253
Federal National Mortgage Assn. (IO)
6.000% due 07/25/05 5,431 334
7.272% due 09/25/06 65 1,295
6.000% due 02/25/08 13,426 1,365
256.000% due 11/01/08 55 405
6.500% due 03/25/09 5,105 717
0.100% due 03/25/09 (d) 44,000 995
6.500% due 03/25/09 7,705 1,616
8.815% due 06/25/16 128 1,239
</TABLE>
SEE ACCOMPANYING NOTES 47
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
LOW DURATION FUND
<TABLE>
<CAPTION>
March 31, 1997 Principal
Amount Value
($ in thousands) ($ in thousands)
==================================================================================
<S> <C> <C>
9.987% due 12/25/18 $ 33 $ 318
7.500% due 03/25/19 9,784 1,419
6.500% due 05/25/19 10,000 2,452
6.500% due 04/25/20 39,744 4,259
7.000% due 05/25/21 20,011 2,463
8.598% due 02/25/22 50 1,154
6.500% due 03/25/23 10,627 1,644
4.875% due 03/25/24 (d) 16,701 1,079
Federal National Mortgage Assn. (PO)
0.000% due 07/25/22 4,510 3,721
0.000% due 09/25/22 102 81
Prudential Home (IO)
0.300% due 04/25/09 (d) 101,706 944
Resolution Trust Corp. (PO)
0.000% due 09/25/00 1,036 939
-------------
Total Mortgage-Backed Securities 51,869
-------------
(Cost $1,831,878) 1,812,280
-------------
- ----------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 0.1%
- ----------------------------------------------------------------------------------
Delta Air Lines Equipment Trust
10.430% due 01/02/11 1,810 2,139
SCFC Boat Loan Trust
7.050% due 04/15/07 73 73
United Air Lines Equipment Trust
10.850% due 02/19/15 1,500 1,808
-------------
Total Asset-Backed Securities 4,020
-------------
(Cost $4,024)
- ----------------------------------------------------------------------------------
SOVEREIGN ISSUES 6.3%
- ----------------------------------------------------------------------------------
Banco National de Obra y Servicios
6.875% due 10/01/98 10,000 9,900
Commonwealth of Canada
5.280% due 04/02/97 4,200 4,199
5.370% due 04/09/97 28,500 28,466
5.410% due 04/15/97 31,000 30,935
5.290% due 04/17/97 3,300 3,292
5.300% due 04/17/97 66,000 65,845
Kingdom of Sweden
5.370% due 06/02/97 3,700 3,664
Nacional Financiera
8.094% due 12/15/97 (d) 59 59
6.250% due 12/03/98 (d) 1,500 1,463
5.875% due 02/17/98 2,000 1,972
Patroleos Mexicanos
8.250% due 02/04/98 5,000 5,015
Province of Quebec
5.563% due 10/26/01 (d) 250 247
Republic of Argentina
6.750% due 03/31/05 (d) 23,862 21,327
United Mexican States
5.820% due 06/28/01 10,000 8,962
7.625% due 08/06/01 (d) 1,000 1,018
-------------
Total Sovereign Issues 186,364
-------------
(Cost $184,947)
- ----------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(f) 2.5%
- ----------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 3,500 2,154
Commonwealth of Canada
8.500% due 03/01/00 C$ 42,966 33,605
8.750% due 12/01/05 1,150 944
4.250% due 12/01/26 (h) 51,199 36,633
-------------
Total Foreign Currency-Denominated Issues 73,336
-------------
(Cost $77,274)
- ----------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 23.3%
- ----------------------------------------------------------------------------------
DISCOUNT NOTES 23.3%
Abbott Labs
5.310% due 04/08/97 $ 10,300 10,289
BellSouth Telecommunications
5.240% due 04/02/97 7,000 6,999
5.285% due 04/04/97 $ 7,300 $ 7,297
Calsse d'Amortissement
5.320% due 04/07/97 11,500 11,490
5.370% due 07/01/97 100 99
Canadian Wheat Board
5.310% due 04/24/97 3,400 3,388
E.I Du Pont de Nemours
5.290% due 04/10/97 3,100 3,096
Export Development Corp.
5.280% due 04/11/97 12,000 11,981
Florida Power & Light Co.
5.310% due 04/17/97 18,400 18,383
Ford Motor Credit Co.
5.310% due 04/09/97 1,800 1,798
5.320% due 04/09/97 7,800 7,791
5.320% due 04/10/97 14,200 14,180
5.280% due 04/22/97 25,600 25,520
5.340% due 04/23/97 11,000 10,963
5.290% due 04/24/97 8,500 8,470
5.280% due 04/25/97 23,500 23,416
5.280% due 04/29/97 24,100 24,000
General Electric Capital Corp.
5.310% due 04/10/97 11,500 11,484
5.380% due 04/14/97 18,400 18,363
5.550% due 05/06/97 34,000 33,816
5.350% due 05/21/97 55,700 55,285
General Motors Acceptance Corp.
5.300% due 04/09/97 10,000 9,987
5.370% due 04/09/97 4,200 4,194
5.350% due 04/10/97 20,000 19,972
5.350% due 04/24/97 21,000 20,927
5.550% due 05/07/97 11,800 11,734
5.580% due 05/07/97 50,000 49,720
KFW International Finance, Inc.
5.270% due 04/17/97 1,400 1,396
5.540% due 04/23/97 31,000 30,894
Mobil Australia Fiance
5.320% due 04/15/97 4,200 4,191
5.420% due 06/18/97 14,400 14,230
National Rural Utilities Cooperative
5.290% due 04/03/97 27,500 27,491
5.310% due 04/03/97 14,500 14,495
5.290% due 04/04/97 4,600 4,597
5.310% due 04/08/97 900 899
5.330% due 04/29/97 2,300 2,289
5.380% due 05/02/97 37,600 37,425
5.250% due 05/08/97 5,100 5,072
New Center Asset Trust
5.270% due 04/09/97 2,900 2,897
5.290% due 04/09/97 35,900 35,858
5.520% due 04/25/97 25,900 25,805
Ontario Hydro
5.420% due 06/16/97 31,500 31,140
Pitney Bowels Credit
5.290% due 04/17/97 1,000 998
Wool International
5.290% due 04/16/97 10,000 9,978
5.320% due 04/16/97 4,200 4,191
5.340% due 04/23/97 5,400 5,382
5.330% due 04/24/97 3,300 3,289
-------------
687,159
-------------
REPURCHASE AGREEMENTS 0.5%
Daiwa Securities America
6.200% due 04/01/97 7,000 7,000
(Dated 03/31/97. Collateralized by U.S.
Treasury
Note 6.500% 05/31/01 valued at $7,158,562
Repurchase proceeds are $7,001,206.)
State Street Bank
5.000% due 04/01/97 5,740 5,740
-------------
Dated 03/31/97. Collateralized by U.S.
Treasury
Bond 7.250% 05/15/16 valued at $5,857,060.
Repurchase proceeds are $5,740,797.) 12,740
-------------
</TABLE>
- --
48 SEE ACCOMPANYING NOTES
- --
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
($ IN THOUSANDS) ($ IN THOUSANDS)
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILLS 0.0%
5.060% due 05/01/97-06/26/97(b)(g) $ 910 $ 902
------------
Total Short-Term Instruments 700,801
============
(Cost $700,826)
TOTAL INVESTMENTS (A) 119.5% $ 3,522,558
(Cost $3,541,785)
WRITTEN OPTIONS (e) (0.0%) (91)
(Premiums $3,711)
OTHER ASSETS AND LIABILITIES (NET) (19.5%) (573,653)
------------
NET ASSETS 100.0% $ 2,948,815
============
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS):
(a) At March 31, 1997, 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. $ 18,143
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value. (37,315)
------------
Unrealized depreciation-net $ (19,172)
============
</TABLE>
(b) Securities with an aggregate market value of $1,085 have been segregated
with the custodian to cover margin requirements for the following open future
contracts at March 31, 1997:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 10 Year Note (06/97) 213 $ (732)
U.S. Treasury 30 Year Bond (05/97) 37 (95)
------------
$ (827)
============
</TABLE>
(c) Foreign forward currency contracts outstanding at March 31, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Buy BF 119,300 04/97 $ (431)
Sell 119,300 04/97 428
Buy C$ 5,061 05/97 (49)
Sell 5,061 05/97 110
Sell 57,490 03/98 626
Buy DG 403 04/97 (8)
Sell DM 3,544 06/97 (15)
$ 664
============
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1997.
(e) Premiums received on Written Put Options:
<TABLE>
<CAPTION>
Premiums Method
Type Par Received Value
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CME Eurodollar June Futures
Strike @ 93.50 Exp. 06/16/97 $3,550,000 $ 3,711 $ 91
</TABLE>
(f) Principal amount denoted in indicated currency:
BF - Belgian Franc
C$ - Canadian Dollar
DG - Dutch Guilder
DM - German Mark
(g) Securities are grouped by coupon and represent a range of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Security is part of an integrated SWAP transaction as discussed in note j
below and as a result is restricted to resale.
(j) Terms of agreements require the payment of fixed rate interest earned on a
security held by the Fund in exchange for variable rate interest based upon the
3 Month LIBOR rate. The terms of the agreement also include a put option which
enables the Fund to put the underlying security to the counterparty at par.
Swap agreements outstanding at March 31, 1997:
<TABLE>
<CAPTION>
Notional Unrealized
Type Amount Appreciation
- ------------------------------------------------------------------------------------------
<S> <C> <C>
Receive floating rate based on 3 month LIBOR and
pay fixed rate.
Broker: Merrill Lynch
Exp. 09/24/97 $ 9,100 $ 0
Broker: Merrill Lynch
Exp. 09/24/97 24,000 0
Broker: Merrill Lynch
Exp. 09/24/97 13,000 0
---------------
$ 0
===============
</TABLE>
----
SEE ACCOMPANYING NOTES 49
----
<PAGE>
SCHEDULE OF INVESTMENTS
SHORT-TERM FUND
March 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
($ IN THOUSANDS) ($ IN THOUSANDS)
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 37.8%
- --------------------------------------------------------------------------------
<S> <C> <C>
BANKING AND FINANCE 26.4%
Advanta National BAnk
5.980% due 05/09/97 $ 2,700 $ 2,698
Ahmanson (H.F) & Co.
6.330% due 04/15/98 5,800 5,793
AT&T Capital Corp.
7.800% due 02/10/98 2,000 2,024
Capital One Bank
6.490% due 08/15/97 2,000 2,004
Caterpillar Financial
5.550% due 04/01/99 (d) 2,000 1,996
Donaldson, Lufkin and Jenrette
6.375% due 05/25/26 1,390 1,387
Ford Motor Credit Corp.
6.030% due 11/09/96 (d) 2,600 2,607
5.980% due 03/23/99 (d) 1,000 999
5.635% due 04/05/99 (d) 1,500 1,448
Kansallis-Osake
7.850% due 09/30/43 (d) 5,000 5,113
Lehman Brothers
6.840% due 09/25/98 1,000 1,002
6.200% due 09/01/99 (d) 3,000 2,992
Residential Funding
7.468% due 12/01/18 (d) 2,490 2,536
Salomon Inc.
5.790% due 11/26/97 1,700 1,698
5.650% due 02/10/98 1,000 995
3.650% due 02/14/02 (g) 3,009 2,937
Starwood Lodging Trust
7.038% due 08/16/97 (d) 4,400 4,400
8.538% due 08/16/97 (d) 1,000 1,000
---------------
43,629
---------------
INDUSTRIALS 7.1%
America, Inc.
6.850% due 09/18/96 1,000 999
COFIRI International, Inc.
5.831% due 10/27/00 (d) 2,000 1,983
Delta Air Lines
9.875% due 01/01/98 1,000 1,025
First Brands Corp.
9.125% due 04/01/99 1,000 1,000
Sears Roebuck & Co.
5.643% due 03/10/99 (d) 3,000 2,995
TCI Communications, Inc.
7.130% due 02/03/98 3,000 3,009
Time Warner, Inc.
6.456% due 08/15/00 (d) 697 697
---------------
11,708
---------------
UTILITIES 4.3%
Beaver Valley Funding Corp.
8.250% due 06/01/03 1,094 1,075
Consumers Power Co.
8.750% due 02/15/98 2,000 2,033
Gulf States Utilities
9.720% due 07/01/98 2,400 2,458
Triton Energy
0.000% due 11/01/97 1,500 1,448
---------------
7,014
---------------
Total Corporate Bonds and Notes 62,351
---------------
(Cost $62,276)
- --------------------------------------------------------------------------------
U.S. TREASURY NOTES 2.4%
- --------------------------------------------------------------------------------
5.875% due 08/15/98 4,000 3,978
---------------
Total U.S Treasury Notes 3,978
---------------
(Cost $3,986)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 23.0%
- --------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 9.2%
5.000% due 02/20/26-05/20/26 (d)(f) 8,876 8,657
7.000% due 08/20/25 (d) 1,745 1,776
7.125% due 09/20/23 (d) 4,714 4,827
---------------
15,260
---------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
($ IN THOUSANDS) ($ IN THOUSANDS)
- --------------------------------------------------------------------------------
<S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS 8.7%
Donaldson, Lufkin & Jenrette
7.620% due 10/17/20 (d) $ 1,524 $ 1,547
7.824% due 09/25/21 (d) 96 97
7.318% due 06/25/22 (d) 630 632
7.577% due 05/25/23 (d) 790 799
Federal National Mortgage Assn.
6.750% due 06/25/21 3,100 2,952
1.000% due 06/25/23 789 742
General Electric Capital Mortgage
6.500% due 12/25/23 339 337
Greenwich
7.705% due 04/25/22 (d) 294 297
7.076% due 10/25/22 (d) 223 224
Guardian
7.231% due 01/25/21 (d) 593 356
Manufacturers Hanover Corp.
7.859% due 12/16/25 (d) 2,541 2,537
Prudential Bache
6.085% due 09/01/18 (d) 62 61
Prudential Home
6.750% due 01/25/24 1,910 1,897
Resolution Trust Corp.
8.863% due 12/25/20 (d) 524 532
6.784% due 07/25/21 (d) 21 21
6.913% due 06/25/24 (d) 756 762
Ryland Acceptance Corp.
6.803% due 08/25/21 (d) 392 391
---------------
14,184
---------------
OTHER MORTGAGE-BACKED SECURITIES 2.3%
Dime Savings
7.079% 11/01/18 (d) 555 509
Guardian
8.799% due 12/25/19 (d) 394 260
6.816% due 02/25/20 (d) 474 250
6.824% due 02/25/20 (d) 479 251
Resolution Trust Corp.
8.625% due 10/25/21 1,000 1,006
6.689% due 15/25/29 (d) 1,234 1,251
Ryland Acceptance Corp.
6.753% due 10/25/18 (d) 71 71
6.184% due 12/25/21 (d) 228 229
---------------
3,847
---------------
STRIPPED MORTGAGE-BACKED SECURITIES 2.8%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 06/15/19 8,000 1,545
Federal National Mortgage Assn. (IO)
6.000% due 10/25/03 3,792 111
7.000% due 07/25/06 4,068 543
6.500% due 12/25/06 6,641 735
7.000% due 05/25/13 2,629 101
8.500% due 06/25/17 6,757 631
6.500% due 10/25/23 3,557 586
LF. Rothchild Mortgage (PO)
0.000% due 04/01/17 290 283
---------------
4,635
---------------
Total Mortgage-Backed Securities 37,926
---------------
(Cost $38,699)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 1.2%
- --------------------------------------------------------------------------------
LIBOR-Index Certificates
9.063% due 10/01/03 (d) 2,000 2,000
---------------
2,000
---------------
(Cost $2,000)
</TABLE>
- --
50 SEE ACCOMPANYING NOTES
- --
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
- ---------------------------------------------------------------------------
SOVEREIGN ISSUES 5.1%
- ---------------------------------------------------------------------------
<S> <C> <C>
Commonwealth of Canada
5.410% due 04/15/97 $ 2,100 $ 2,096
5.300% due 04/17/97 300 299
Government of Malaysia
5.688% due 10/19/05 (d) 1,250 1,249
Nafinsa Finance Trust II
8.263% due 03/31/99 (d) 145 146
Republic of Argentina
6.310% due 03/31/05 (d) 5,141 4,595
------------
Total Sovereign Issues 8,385
============
(Cost $7,872)
- ---------------------------------------------------------------------------
FOREIGN CURRENCY DENOMINATED ISSUES (c)(e) 3.0%
- ---------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26 (g) C$ 2,253 1,612
Commonwealth of New Zealand
4.500% due 02/15/16 (g) N$ 5,000 3,372
------------
Total Foreign Currency-Denominated Issues 4,984
------------
(Cost $4,943)
- ---------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 31.3%
- ---------------------------------------------------------------------------
Certificates of Deposit 0.8%
Branco Latino
6.400% due 03/27/98 $ 1,400 1,399
------------
1,399
============
DISCOUNT NOTES 29.6%
Canadian Wheat Board
5.290% due 04/23/97 2,000 1,994
E.I. Du Pont de Nemours
5.220% due 04/04/97 2,600 2,599
5.370% due 04/29/97 900 896
Federal National Mortgage Assn.
5.510% due 05/02/97 200 199
Ford Motor Credit Corp.
5.280% due 04/25/97 100 100
General Electric Capital Corp.
5.310% due 04/10/97 4,000 3,995
5.250% due 04/25/97 900 897
General Motors Acceptance Corp.
5.580% due 06/23/97 5,300 5,232
KFW International Finance, Inc.
5.250% due 04/28/97 100 100
5.520% due 04/28/97 300 299
5.290% due 04/29/97 4,500 4,481
Minnesota Mining & Manufacturing Co.
5.210% due 04/23/97 5,300 5,283
Mobil Australia Finance
5.320% due 04/15/97 2,000 1,996
National Rural Utilities Cooperative
5.290% due 04/04/97 2,600 2,599
New Center Asset Trust
6.700% due 04/01/97 6,400 6,400
5.270% due 04/09/97 800 799
Pitney Browes Credit
5.290% due 04/08/97 1,800 1,798
5.280% due 05/14/97 400 397
Proctor & Gamble Co.
5.260% due 04/09/97 7,000 6,992
Wool International
5.330% due 04/23/97 1,400 1,395
6.330% due 04/24/97 300 299
------------
48,750
============
REPURCHASE AGREEMENT 0.9%
State Street Bank
5.000% due 04/01/97 1,461 1,461
------------
(Dated 03/31/97. Collateralized by U.S.
Treasury Bond 7.250% 05/15/16 valued at $1,491,357.
Repurchase proceeds are $1,461,203.)
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
=================================================================================
<S> <C> <C>
U.S. TREASURY BILLS 0.0%
5.085% due 06/26/97 (b) $ 10 $ 10
-----------
Total Short-Term Instruments 51,620
===========
(Cost $51,620)
TOTAL INVESTMENTS (A) 103.8% $ 171,244
(Cost $171,396)
OTHER ASSETS AND LIABILITIES (NET) (3.8%) (6,210)
NET ASSETS 100.0% $ 165,034
===========
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS):
(a) At March 31,1997, the net unrealized appreciation
(depreciation) of investments based on cost for federal income
tax purposes was as follows:
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
value over tax cost. $ 1,230
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value. (920)
-----------
Unrealized appreciation-net $ 310
===========
</TABLE>
(b) Securities with an aggregate market value of $10 have segregated with the
custodian to cover margin requirements for the following open future contracts
at March 31, 1997:
<TABLE>
<CAPTION>
Unlimited
Type Contracts Depreciation
- ----------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 2 Year Note (06/97) 11 $ (19)
</TABLE>
(c) Foreign forward currency contracts outstanding at March 31,1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- ----------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy BF 88,411 06/97 $ (325)
Sell 88,411 06/97 299
Sell C$ 2,064 09/97 21
Sell N$ 4,940 04/97 24
Buy SK 13,463 04/97 (68)
Sell 14,518 04/97 178
-----------
$ 129
-----------
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1997.
(e) Principal amount denoted in the indicated currency.
BF - Belgian Franc
C$ - Canadian Dollar
N$ - New Zealand Dollar
SK - Swedish Krona
(f) Securities are grouped by coupon and represent a range of maturities.
(g) Principal amount of the security is adjusted for inflation.
----
SEE ACCOMPANYING NOTES 51
----
<PAGE>
SCHEDULE OF INVESTMENTS
<TABLE>
<CAPTION>
MONEY MARKET FUND
March 31, 1997 Principal
Amount Value
($ in thousands) ($ in thousands)
- ---------------------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS AND NOTES 2.4%
- ---------------------------------------------------------------------------
BANKING AND FINANCE 1.9%
Chrysler Financial Corp.
5.710% due 01/12/98 $ 500 $ 499
First Interstate Bank
12.750% due 05/01/97 1,713 1,713
Lehman Brothers
5.750% due 02/15/98 721 720
-----------
2,942
-----------
INDUSTRIALS 0.5%
Philips Petroleum Co.
9.500% due 11/15/97 750 767
-----------
Total Corporate Bonds and Notes 3,709
-----------
(Cost $3,709)
- ---------------------------------------------------------------------------
U.S GOVERNMENT AGENCIES 0.3%
- ---------------------------------------------------------------------------
First National Mortgage Assn.
6.366% due 12/01/18 (a) 450 452
-----------
Total U.S. Governmental Agencies 452
-----------
(Cost $452)
- ---------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 89.3%
- ---------------------------------------------------------------------------
DISCOUNT NOTES 89.0%
AlliedSignal, Inc.
5.700% due 04/07/97 7,000 6,993
American Brands, Inc.
5.330% due 04/30/97 4,000 3,983
Becton Dickinson & Co.
5.750% due 04/07/97 4,200 4,196
Disney (Walt) Co.
5.320% due 04/25/97 1,200 1,196
FI. Du Pont de Nemours
5.310% due 07/16/97 1,000 984
5.320% due 07/16/97 1,000 984
Federal Home Loan Mortgage Corp.
5.300% due 04/17/97 10,000 9,976
Federal National Mortgage Assn.
5.500% due 09/18/97 5,000 4,870
Ford Motor Credit Corp.
5.350% due 07/18/97 4,000 3,936
Gannett Co.
5.350% due 05/13/97 7,000 6,956
General Electric Capital Corp.
5.570% due 04/29/97 3,800 3,784
Gillette Co.
5.300% due 04/01/97 35,000 35,000
Goldman Sachs Group L.P.
5.350% due 05/23/97 4,000 3,969
Heinz (H.J.) Co.
5.300% due 04/08/97 500 499
5.320% due 04/22/97 7,000 6,978
IBM Credit Corp.
5.270% due 04/15/97 6,000 5,988
Lucent Technologies. Inc.
5.300% due 04/10/97 5,400 5,393
Monsanto Co.
5.300% due 07/23/97 1,200 1,199
National Australia Funding
5.350% due 07/23/97 6,000 5,899
St. Michael Finance Ltd.
5.300% due 04/08/97 6,500 6,493
USAA Capital Corp.
5.340% due 06/17/97 2,905 2,872
Weyerhaueser Co.
5.320% due 05/12/97 5,000 4,970
Wool International
5.310% due 06/11/97 5,000 4,948
Xerox Credit Corp.
5.350% due 04/18/97 6,500 6,483
-----------
138,549
-----------
REPURCHASE AGREEMENT 0.3%
State Street Bank
5.000% due 04/01/97 $ 526 $ 526
-----------
(Dated 03/31/97. Collateralized
by U.S. Treasury Bond 7.250%
05/15/16 valued at $536,682.
Repurchased proceeds are $526.073.)
Total Short-Term Instruments 139,075
-----------
(Cost $139,075)
TOTAL INVESTMENTS 92.0% $ 143,236
(Cost $143,236)
OTHER ASSETS AND LIABILITIES
(NET 8.0%) 12,403
-----------
NET ASSETS 100.0% $ 155,639
===========
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS:
(a) Variable rate security. The rate listed is as of March 31, 1997.
- --
52 SEE ACCOMPANYING NOTES
- --
<PAGE>
SCHEDULE OF INVESTMENTS
STOCKPLUS FUND
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
- ------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS AND NOTES 26.5%
- ------------------------------------------------------------------------------
BANKING AND FINANCE 13.5%
Capital One Bank
8.125% due 02/27/98 $ 2,000 $ 2,029
6.730% due 06/04/98 2,000 2,001
Caterpillar Financial
5.550% due 04/01/99 (d) 2,000 1,996
Chrysler Financial Corp.
6.190% due 10/27/97 2,000 2,003
Den Danske Bank
5.875% due 06/30/00 (d) 450 451
Ford Motor Credit Corp.
6.030% due 11/09/98 (d) 500 501
6.060% due 03/30/99 (d) 250 250
5.635% due 04/05/99 (d) 340 328
General Motors Acceptance Corp.
6.110% due 03/16/99 (d) 2,000 2,006
Kansallis-Osake
7.850% due 09/30/43 (d) 1,500 1,534
Lehman Brothers
6.540% due 01/05/98 5,000 5,012
6.250% due 06/29/98 2,000 1,993
Merrill Lynch & Co.
7.000% due 10/10/00 (d) 3,000 3,008
Salomon, Inc.
5.790% due 11/26/97 2,000 1,997
7.000% due 01/20/98 250 251
5.650% due 02/10/98 390 388
8.910% due 02/16/98 3,000 3,067
5.888% due 04/05/99 (d) 500 497
Starwood Lodging Trust
7.038% due 08/16/97 (d) 5,000 5,000
8.538% due 08/16/97 (d) 1,000 1,000
---------------
35,314
===============
INDUSTRIALS 8.1%
Arkla, Inc.
9.875% due 04/15/97 3,000 3,004
Centerior Fuel Corp.
9.200% due 08/02/98 1,000 1,011
COFIRI International, Inc.
5.831% due 10/27/00 (d) 2,000 1,983
Falcon Drilling, Inc.
9.750% due 01/15/01 2,000 2,068
First Brands Corp.
9.125% due 04/01/99 1,000 1,000
Merita
5.850% due 12/01/05 (d) 1,000 996
Occidental Petroleum
9.200% due 08/15/97 1,000 1,012
RJR Nabisco
8.000% due 07/15/01 500 495
TCI Communications, Inc.
6.238% due 04/03/02 (d) 2,000 1,975
6.298% due 03/11/03 (d) 4,000 3,953
Time Warner, Inc.
6.456% due 08/15/00 (d) 3,750 3,752
---------------
21,249
===============
UTILITIES 4.9%
Beaver Valley Funding Corp.
8.250% due 08/01/03 729 716
Cleveland Electric Illuminating Co.
8.170% due 11/30/98 1,000 1,009
El Paso Electric Co.
7.250% due 02/01/99 1,000 996
Gulf States Utilities
9.720% due 07/01/98 6,117 6,265
North Atlantic Energy
9.050% due 06/01/02 1,397 1,382
Texas Utilities
5.891% due 05/01/99 (d) 2,500 2,503
---------------
12,871
---------------
Total Corporate Bonds and Notes 69,434
===============
(Cost $69,377)
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
- ------------------------------------------------------------------------------
<S> <C> <C>
MORTGAGE-BACKED SECURITIES 28.2%
- ------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE
CORPORATION 2.3%
6.650% due 07/01/19 (d) $ 2,567 $ 2,563
7.399% due 08/01/22 (d) 1,158 1,202
7.827% due 12/01/22 (d) 1,546 1,608
8.500% due 04/01/25-06/01/25 (e) 694 714
---------------
6,087
===============
FEDERAL NATIONAL MORTGAGE
ASSOCIATION 3.5%
5.971% due 12/01/23 (d) 331 328
6.069% due 07/01/28 (d) 552 554
6.080% due 05/01/17 (d) 495 491
6.085% due 01/01/27 (d) 125 124
6.086% due 08/01/29 (d) 523 516
6.092% due 04/01/18-11/01/27 (d)(e) 2,607 2,578
6.092% due 04/01/28-11/01/28 (d)(e) 2,020 1,993
7.392% due 05/01/22 (d) 868 888
7.673% due 02/01/25 (d) 1,571 1,636
9.000% due 01/01/99 59 59
---------------
9,167
===============
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION 5.3%
4.500% due 04/20/26-05/20/26 (d)(e) 993 937
5.000% due 02/20/26-05/20/26 (d)(e) 9,799 9,550
7.125% due 09/20/22-08/20/24 (d)(e) 3,236 3,314
13,801
===============
COLLATERALIZED MORTGAGE
OBLIGATIONS 13.4%
Bank Mart
7.412% due 03/01/19 (d) 6,351 6,240
Citicorp Mortgage
8.500% due 06/25/06 1,843 1,826
7.452% due 09/25/18 (d) 102 102
Countrywide
6.500% due 02/25/24 1,489 1,486
Donaldson, Lufkin & Jenrette
7.620% due 10/17/20 (d) 432 439
Federal National Mortgage Assn.
7.182% due 04/25/25 (d) 871 876
Greenwich
7.076% due 10/25/22 (d) 58 56
Guardian
7.231% due 01/25/21 (d) 1,380 828
Manufacturers Hanover Corp.
7.859% due 12/16/25 (d) 2,465 2,462
PaineWebber Mortgage
6.542% due 02/25/01 (d) 2,224 2,176
Prudential Home
7.050% due 05/25/24 (d) 2,329 2,329
Residential Funding
6.169% due 03/25/18 (d) 4,551 4,462
Resolution Trust Corp.
7.588% due 01/25/20 (d) 1,000 1,017
6.838% due 03/25/20 (d) 2,812 2,820
7.111% due 05/25/21 (d) 78 79
6.525% due 09/25/21 (d) 1,769 1,740
8.000% due 07/25/24 3,451 3,430
6.588% due 05/25/29 (d) 1,038 1,039
Salomon Mortgage
7.000% due 07/25/24 14 14
Sears Mortgage
8.650% due 05/25/32 (d) 45 45
Structured Asset Securities Corp.
7.750% due 02/25/28 1,630 1,640
---------------
35,106
===============
OTHER MORTGAGE-BACKED
SECURITIES 2.5%
California Federal Savings & Loan
6.689% due 01/01/19 (d) 85 83
Fund America
7.493% due 06/25/23 (d) 253 261
Great Western Savings & Loan
6.337% due 01/25/18 (d) 110 109
J.P. Morgan & Co.
6.918% due 01/25/18 (d) 1,000 997
Red Mountain Funding Corp.
6.450% due 11/28/27 1,672 1,658
Resolution Trust Corp.
6.922% due 12/25/23 (d) 80 79
</TABLE>
----
SEE ACCOMPANYING NOTES 53
----
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
STOCKSPLUS FUND
<TABLE>
<CAPTION>
March 31, 1997 Principal
Amount Value
($ in thousands) ($ in thousands)
================================================================================
<S> <C> <C>
Structured Asset Securities Corp.
6.883% due 09/25/36 (d) $ 1,757 $ 1,780
Western Federal Savings & Loan
6.424% due 10/25/18 (d) 676 670
6.837% due 03/25/19 (d) 89 88
6.617% due 06/25/19 (d) 741 737
------------
6,462
============
STRIPPED MORTGAGE-BACKED SECURITIES 1.2%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 08/15/13 251 9
992.576% due 07/15/16 116 1,455
Federal National Mortgage Assn. (IO)
6.000% due 11/25/00 1,207 111
7.000% due 07/25/06 814 109
6.500% due 02/25/21 (d) 9,901 1,150
7.000% due 07/25/21 1,671 287
Prudential Home (IO)
4.299% due 02/25/22 28 55
------------
3,176
------------
Total Mortgage-Backed Securities 73,799
============
(Cost $74,200)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 2.1%
- --------------------------------------------------------------------------------
LIBOR-Index Certificates
6.100% due 08/31/98 (d) 3,000 3,000
9.063% due 10/01/03 (d) 2,500 2,500
------------
Total Asset-Backed Securities 5,500
============
(Cost $5,500)
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 4.9%
- --------------------------------------------------------------------------------
Commonwealth of Canada
5.290% due 04/08/97 1,900 1,898
5.410% due 04/15/97 2,800 2,794
Republic of Argentina
6.750% due 03/31/05 (d) 8,924 7,976
------------
Total Sovereign Issues 12,668
============
(Cost $11,943)
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(f) 3.5%
- --------------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26 (g) C$ 5,120 3,663
Commonwealth of New Zealand
4.500% due 02/15/16 (g) N$ 8,000 5,395
Kingdom of Sweden
10.250% due 05/05/00 SK 1,000 149
------------
Total Foreign Currency-Denominated Issued 9,207
============
(Cost $9,296)
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 34.8%
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT 1.2%
Banco Latino Americano
6.400% due 03/31/98 $ 3,100 3,098
------------
DISCOUNT NOTES 29.4%
Abbott Laboratories
5.310% due 04/08/97 2,100 2,098
E.I. Du Pont de Neinours
5.270% due 04/09/97 6,200 6,193
5.240% due 04/22/97 4,000 3,988
Electricite de France
5.300% due 04/28/97 2,800 2,789
5.290% due 05/06/97 3,000 2,985
Ford Motor Credit Corp.
5.310% due 04/07/97 1,800 1,798
5.320% due 04/09/97 2,500 2,497
5.320% due 04/10/97 2,500 2,497
5.300% due 04/23/97 1,200 1,196
5.280% due 04/29/97 1,700 1,693
General Electric Capital Corp.
5.250% due 04/25/97 1,900 1,899
5.550% due 05/06/97 10,000 9,946
5.320% due 05/07/97 200 199
General Motors Acceptance Corp.
5.390% due 04/09/97 $ 4,700 $ 4,694
5.580% due 05/07/97 2,000 1,989
KPW International Finance, Inc.
5.520% due 04/28/97 7,000 6,971
5.290% due 04/29/97 2,400 2,390
5.390% due 04/29/97 3,600 3,585
National Rural Utilities Cooperative
5.310% due 04/08/97 2,000 1,998
5.380% due 05/02/97 1,200 1,194
New Center Asset Trust
5.570% due 06/24/97 1,400 1,381
Pitney Bowes Credit Corp.
5.270% due 04/15/97 8,200 8,183
5.280% due 05/14/97 4,800 4,770
------------
76,927
============
REPURCHASE AGREEMENT 1.6%
State Street Bank
5.000% due 04/01/97 4,321 4,321
------------
(Dated 03/31/97. Collateralized by U.S.
Treasury Bond 7.250% 05/15/16 valued at
$4,412,146. Repurchase proceeds are
$4,321,600.)
U.S. TREASURY BILLS 2.6%
5.029% due 04/17/97-06/12/97 (b)(e) 6,785 6,751
------------
Total Short-Term Instruments 91,097
============
(Cost $91,1000)
TOTAL INVESTMENTS (A) 100.0% $ 261,705
(Cost $261,416)
OTHER ASSETS AND LIABILITIES (NET) 0.0% 131
------------
NET ASSETS 100.0% $ 261,836
============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS)
(a) At March 31, 1997, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there was an excess of value over the tax cost $ 1,299
Aggregate gross unrealized appreciation for all investments in
which there was an excess of tax cost over value (798)
------------
Unrealized appreciation-net $ 501
============
</TABLE>
(b) Securities with an aggregate market value of $6.751 have been segregated
with the custodian to cover margin requirements for the following open future
contracts at March 31, 1997:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
S&P 500 Index (6/97) 417 $ (11,028)
</TABLE>
- --
54 SEE ACCOMPANYING NOTES
- --
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
($ in thousands) ($ in thousands)
=========================================================================
<S> <C> <C>
(c) Foreign forward currency contracts outstanding at March 31, 1997:
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contrast Month (depreciation)
- -------------------------------------------------------------------------
<S> <C> <C> <C>
Buy BF 144,490 06/97 $ (526)
Sell 144,490 06/97 490
Sell C$ 2,128 07/97 7
Sell 2,814 09/97 28
Sell N$ 7,905 04/97 99
Buy SK 23,772 04/97 (120)
Sell 25,615 04/97 313
$ 231
==============
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1997.
(e) Securities are grouped by coupon and represent a range of maturities.
(f) Principal amount denoted in indicated currency.
BF - Belgian Franc
C$ - Canadian Dollar
N$ - New Zealand Dollar
SK - Swedish Krona
(g) Principal amount of the security is adjusted for inflation.
(h) Swap agreements outstanding at March 31, 1997:
<TABLE>
<CAPTION>
Notional Unrealized
Type Amount Appreciation
- -------------------------------------------------------------------------
<S> <C> <C>
Receive total return on S&P 500 Index and pay
floating rate based on 1 month LIBOR.
Broker: Deutsche Bank AG London
Exp. 06/30/97 $ 31,597 $ 0
Broker: Lehman Brothers
Exp. 06/30/97 29,898 0
Broker: Morgan Stanley
Exp. 09/30/97 40,722 0
------------
$ 0
============
</TABLE>
--
SEE ACCOMPANYING NOTES 55
--
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
A, B AND C CLASSES
Selected Per Share Data for the Period Ended: NET ASSET NET REALIZED TOTAL INCOME
VALUE NET AND UNREALIZED FROM
BEGINNING INVESTMENT GAIN (LOSS) INVESTMENT
OF PERIOD INCOME ON INVESTMENTS OPERATIONS
---------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM U.S. GOVERNMENT FUND
Class A
01/20/97 - 03/31/97 $ 9.67 $ 0.32 $ (0.47) $ (0.15)
- ---------------------------------------------------------------------------------------------------------------------------------
Class B
01/20/97 - 03/31/97 9.67 0.29 (0.47) (0.18)
- ---------------------------------------------------------------------------------------------------------------------------------
Class C
01/20/97 - 03/31/97 9.67 0.29 (0.47) (0.18)
- ---------------------------------------------------------------------------------------------------------------------------------
FOREIGN BOND FUND
Class A
01/20/97 - 03/31/97 $ 10.59 $ 0.59 $ (0.72) $ (0.13)
- ---------------------------------------------------------------------------------------------------------------------------------
Class B
01/20/97 - 03/31/97 10.59 0.58 (0.72) (0.14)
- ---------------------------------------------------------------------------------------------------------------------------------
Class C
01/20/97 - 03/31/97 10.59 0.58 (0.72) (0.14)
- ---------------------------------------------------------------------------------------------------------------------------------
GLOBAL BOND FUND II
Class A
10/01/96 - 03/31/97 $ 10.96 $ 0.66 $ (0.16) $ 0.50
- ---------------------------------------------------------------------------------------------------------------------------------
09/30/96 10.00 0.32 (b) 0.95 1.27
- ---------------------------------------------------------------------------------------------------------------------------------
Class B
10/01/96 - 03/31/97 10.96 0.62 (0.16) 0.46
- ---------------------------------------------------------------------------------------------------------------------------------
09/30/96 10.00 0.30 (b) 0.92 1.22
- ---------------------------------------------------------------------------------------------------------------------------------
Class C
10/01/96 - 03/31/97 10.96 0.62 (0.16) 0.46
- ---------------------------------------------------------------------------------------------------------------------------------
09/30/96 10.00 0.30 (b) 0.92 1.22
- ---------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD FUND
Class A
01/13/97 - 03/31/97 $ 11.18 $ 0.17 $ (0.05) $ 0.12
- ---------------------------------------------------------------------------------------------------------------------------------
Class B
01/13/97 - 03/31/97 11.18 0.15 (0.05) 0.10
- ---------------------------------------------------------------------------------------------------------------------------------
Class C
01/13/97 - 03/31/97 11.18 0.15 (0.05) 0.10
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN FUND
Class A
01/13/97 - 03/31/97 $ 10.40 $ 0.12 $ (0.12) $ 0.00
- ---------------------------------------------------------------------------------------------------------------------------------
Class B
01/13/97 - 03/31/97 10.40 0.11 (0.12) (0.01)
- ---------------------------------------------------------------------------------------------------------------------------------
Class C
01/13/97 - 03/31/97 10.40 0.11 (0.12) (0.01)
- ---------------------------------------------------------------------------------------------------------------------------------
REAL RETURN BOND FUND
Class A
01/29/97 - 03/31/97 $ 10.00 $ 0.11 (a) $ (0.10) (a) $ 0.01
- ---------------------------------------------------------------------------------------------------------------------------------
Class B
01/29/97 - 03/31/97 10.00 0.09 (0.10) (0.01)
- ---------------------------------------------------------------------------------------------------------------------------------
Class C
01/29/97 - 03/31/97 10.00 0.09 (0.10) (0.01)
- ---------------------------------------------------------------------------------------------------------------------------------
LOW DURATION FUND
Class A
01/13/97 - 03/31/97 $ 10.02 $ 0.12 $ (0.03) $ 0.09
- ---------------------------------------------------------------------------------------------------------------------------------
Class B
01/13/97 - 03/31/97 10.02 0.10 (0.03) 0.07
- ---------------------------------------------------------------------------------------------------------------------------------
Class C
01/13/97 - 03/31/97 10.02 0.11 (0.03) 0.08
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
DIVIDENDS DIVIDENDS IN
FROM NET EXCESS OF NET
INVESTMENT INVESTMENT
INCOME INCOME
----------------------------------
<S> <C> <C>
LONG-TERM U.S. GOVERNMENT FUND
Class A
01/20/97 - 03/31/97 $ (0.13) $ 0.00
- --------------------------------------------------------------------------------------
Class B
01/20/97 - 03/31/97 (0.10) 0.00
- --------------------------------------------------------------------------------------
Class C
01/20/97 - 03/31/97 (0.10) 0.00
- --------------------------------------------------------------------------------------
FOREIGN BOND FUND
Class A
01/20/97 - 03/31/97 $ (0.05) $ 0.00
- --------------------------------------------------------------------------------------
Class B
01/20/97 - 03/31/97 (0.04) 0.00
- --------------------------------------------------------------------------------------
Class C
01/20/97 - 03/31/97 (0.04) 0.00
- --------------------------------------------------------------------------------------
GLOBAL BOND FUND II
Class A
10/01/96 - 03/31/97 $ (0.22) $ 0.00
- --------------------------------------------------------------------------------------
09/30/96 (0.31) 0.00
- --------------------------------------------------------------------------------------
Class B
10/01/96 - 03/31/97 (0.18) 0.00
- --------------------------------------------------------------------------------------
09/30/96 (0.26) 0.00
- --------------------------------------------------------------------------------------
Class C
10/01/96 - 03/31/97 (0.18) 0.00
- --------------------------------------------------------------------------------------
09/30/96 (0.26) 0.00
- --------------------------------------------------------------------------------------
HIGH YIELD FUND
Class A
01/13/97 - 03/31/97 $ (0.20) $ 0.00
- --------------------------------------------------------------------------------------
Class B
01/13/97 - 03/31/97 (0.18) 0.00
- --------------------------------------------------------------------------------------
Class C
01/13/97 - 03/31/97 (0.18) 0.00
- --------------------------------------------------------------------------------------
TOTAL RETURN FUND
Class A
01/13/97 - 03/31/97 $ (0.13) $ 0.00
- --------------------------------------------------------------------------------------
Class B
01/13/97 - 03/31/97 (0.12) 0.00
- --------------------------------------------------------------------------------------
Class C
01/13/97 - 03/31/97 (0.12) 0.00
- --------------------------------------------------------------------------------------
REAL RETURN BOND FUND
Class A
01/29/97 - 03/31/97 $ (0.08) $ 0.00
- --------------------------------------------------------------------------------------
Class B
01/29/97 - 03/31/97 (0.06) 0.00
- --------------------------------------------------------------------------------------
Class C
01/29/97 - 03/31/97 (0.06) 0.00
- --------------------------------------------------------------------------------------
LOW DURATION FUND
Class A
01/13/97 - 03/31/97 $ (0.12) $ (0.01)
- --------------------------------------------------------------------------------------
Class B
01/13/97 - 03/31/97 (0.11) 0.00
- --------------------------------------------------------------------------------------
Class C
01/13/97 - 03/31/97 (0.11) (0.01)
- --------------------------------------------------------------------------------------
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Reflects voluntary waiver of investment advisory fee of $12,041 (.01 per
share) by the Advisor.
(c) The Ratio of Expenses to Average Net Assets without the waiver would have
been 1.57%.
(d) The Ratio of Net Investment Income to Average Net Assets without the waiver
would have been 4.58%.
- --
56 SEE ACCOMPANYING NOTES
- --
<PAGE>
<TABLE>
<CAPTION>
DISTRIBUTIONS DISTRIBUTIONS RATIO OF
FROM NET IN EXCESS OF TAX BASIS NET ASSET EXPENSES TO
REALIZED NET REALIZED RETURN OF TOTAL VALUE END OF NET ASSETS AVERAGE NET
CAPITAL GAINS CAPITAL GAINS CAPITAL DISTRIBUTIONS PERIOD TOTAL RETURN END OF PERIOD ASSETS
<S> <C> <C> <C> <C> <C> <C> <C>
$ 0.00 $ 0.00 $ 0.00 $ (0.13) $ 9.39 (1.72%) $ 1,204 1.12%+
- ------------------------------------------------------------------------------------------------------------------------------------
0.00 0.00 0.00 (0.10) 9.39 (1.92) 454 1.87+
- ------------------------------------------------------------------------------------------------------------------------------------
0.00 0.00 0.00 (0.10) 9.39 (1.83) 275 1.88+
- ------------------------------------------------------------------------------------------------------------------------------------
$ 0.00 $ 0.00 $ 0.00 $ (0.05) $ 10.41 (1.21%) $ 704 0.97+
- ------------------------------------------------------------------------------------------------------------------------------------
0.00 0.00 0.00 (0.04) 10.41 (1.34) 1,221 1.75+
- ------------------------------------------------------------------------------------------------------------------------------------
0.00 0.00 0.00 (0.04) 10.41 (1.32) 1,788 1.76+
- ------------------------------------------------------------------------------------------------------------------------------------
$ (0.40) $ 0.00 $ 0.00 $ (0.62) $ 10.84 4.55% $ 7,652 2.05%+
- ------------------------------------------------------------------------------------------------------------------------------------
0.00 0.00 0.00 (0.31) 10.96 15.01 7,360 1.27(c)
- ------------------------------------------------------------------------------------------------------------------------------------
(0.40) 0.00 0.00 (0.58) 10.84 4.17 3,925 2.57+
- ------------------------------------------------------------------------------------------------------------------------------------
0.00 0.00 0.00 (0.26) 10.96 14.54 3,240 2.49(c)
- ------------------------------------------------------------------------------------------------------------------------------------
(0.40) 0.00 0.00 (0.58) 10.84 4.17 5,323 2.43+
- ------------------------------------------------------------------------------------------------------------------------------------
0.00 0.00 0.00 (0.26) 10.96 14.54 3,459 2.49(c)
- ------------------------------------------------------------------------------------------------------------------------------------
$ 0.00 $ 0.00 $ 0.00 $ (0.20) $ 11.10 1.06% $ 28,873 0.92%+
- ------------------------------------------------------------------------------------------------------------------------------------
0.00 0.00 0.00 (0.18) 11.10 0.86 60,629 1.67+
- ------------------------------------------------------------------------------------------------------------------------------------
0.00 0.00 0.00 (0.18) 11.10 0.88 205,297 1.68+
- ------------------------------------------------------------------------------------------------------------------------------------
$ 0.00 $ 0.00 $ 0.00 $ (0.13) $ 10.27 0.02% $115,742 0.91%+
- ------------------------------------------------------------------------------------------------------------------------------------
0.00 0.00 0.00 (0.12) 10.27 (0.10) 74,130 1.67+
- ------------------------------------------------------------------------------------------------------------------------------------
0.00 0.00 0.00 (0.12) 10.27 (0.11) 329,104 1.67+
- ------------------------------------------------------------------------------------------------------------------------------------
$ 0.00 $ 0.00 $ 0.00 $ (0.08) $ 9.93 0.15% $ 1 0.90%+
- ------------------------------------------------------------------------------------------------------------------------------------
0.00 0.00 0.00 (0.06) 9.93 (0.08) 509 1.59+
- ------------------------------------------------------------------------------------------------------------------------------------
0.00 0.00 0.00 (0.06) 9.93 (0.07) 148 1.62+
- ------------------------------------------------------------------------------------------------------------------------------------
$ 0.00 $ 0.00 $ 0.00 $ (0.13) $ 9.98 0.85% $ 59,348 0.91%+
- ------------------------------------------------------------------------------------------------------------------------------------
0.00 0.00 0.00 (0.11) 9.98 0.68 5,296 1.67+
- ------------------------------------------------------------------------------------------------------------------------------------
0.00 0.00 0.00 (0.12) 9.98 0.75 63,606 1.42+
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
RATIO OF NET
INVESTMENT
INCOME TO
AVERAGE NET PORTFOLIO
ASSETS TURNOVER RATE
<C> <C>
6.91%+ 401.86%
- ------------------------------------------------------------------------------------------------------------------------------------
4.95+ 401.86
- ------------------------------------------------------------------------------------------------------------------------------------
5.52+ 401.86
- ------------------------------------------------------------------------------------------------------------------------------------
4.95%+ 983.74%
- ------------------------------------------------------------------------------------------------------------------------------------
3.73+ 983.74
- ------------------------------------------------------------------------------------------------------------------------------------
4.09+ 983.74
- ------------------------------------------------------------------------------------------------------------------------------------
5.60%+ 307.44%
- ------------------------------------------------------------------------------------------------------------------------------------
4.88(d) 1,245.62
- ------------------------------------------------------------------------------------------------------------------------------------
4.22+ 307.44
- ------------------------------------------------------------------------------------------------------------------------------------
4.09(d) 1,245.62
- ------------------------------------------------------------------------------------------------------------------------------------
4.14+ 307.44
- ------------------------------------------------------------------------------------------------------------------------------------
4.09(d) 1,245.62
- ------------------------------------------------------------------------------------------------------------------------------------
8.28%+ 67.19%
- ------------------------------------------------------------------------------------------------------------------------------------
7.52+ 67.19
- ------------------------------------------------------------------------------------------------------------------------------------
7.56+ 67.19
- ------------------------------------------------------------------------------------------------------------------------------------
6.08%+ 173.24%
- ------------------------------------------------------------------------------------------------------------------------------------
5.28+ 173.24
- ------------------------------------------------------------------------------------------------------------------------------------
5.32+ 173.24
- ------------------------------------------------------------------------------------------------------------------------------------
6.14%+ 160.34%
- ------------------------------------------------------------------------------------------------------------------------------------
3.43+ 160.34
- ------------------------------------------------------------------------------------------------------------------------------------
5.13+ 160.34
- ------------------------------------------------------------------------------------------------------------------------------------
5.84%+ 240.30%
- ------------------------------------------------------------------------------------------------------------------------------------
5.03+ 240.30
- ------------------------------------------------------------------------------------------------------------------------------------
5.36+ 240.30
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
--
SEE ACCOMPANYING NOTES 57
--
<PAGE>
Financial Highlights
A, B and C Classes (Cont.)
Selected Per Share Data for the Period Ended:
<TABLE>
<CAPTION>
Net Asset Net Realized Total Income Dividends Dividends in
Value Net and Unrealized From From Net Excess of Net
Beginning Investment Gain (Loss) Investment Investment Investment
of Period Income on Investments Operations Income Income
------------ ------------- -------------- ------------ ----------- -------------
<S> <C> <C> <C> <C> <C> <C>
Short-Term Fund
Class A
01/20/97 - 03/31/97 $ 10.04 $ 0.10 $ (0.03) $ 0.07 $ (0.10) $ (0.01)
- ---------------------------------------- ------------ ------------- ------------- ------------ ----------- -------------
Class B
01/20/97 - 03/31/97 10.04 0.09 (0.03) 0.06 (0.10) 0.00
- ---------------------------------------- ------------ ------------- ------------- ------------ ----------- -------------
Class C
01/20/97 - 03/31/97 10.04 0.09 (0.03) 0.06 (0.10) 0.00
- ---------------------------------------- ------------ ------------- ------------- ------------ ----------- -------------
Money Market Fund
Class A
01/13/97 - 03/31/97 $ 1.00 $ 0.01 $ 0.00 $ 0.01 $ (0.01) $ 0.00
- ---------------------------------------- ------------ ------------- ------------- ------------ ----------- -------------
Class B
01/13/97 - 03/31/97 1.00 0.01 0.00 0.01 (0.01) 0.00
- ---------------------------------------- ------------ ------------- ------------- ------------ ----------- -------------
Class C
01/13/97 - 03/31/97 1.00 0.01 0.00 0.01 (0.01) 0.00
- ---------------------------------------- ------------ ------------- ------------- ------------ ----------- -------------
StocksPLUS Fund
Class A
01/20/97 - 03/31/97 $ 11.91 $ (0.10) $ (0.20) $ (0.30) $ (0.15) $ 0.00
- ---------------------------------------- ------------ ------------- ------------- ------------ ----------- -------------
Class B
01/20/97 - 03/31/97 11.91 (0.13) (0.20) (0.33) (0.14) 0.00
- ---------------------------------------- ------------ ------------- ------------- ------------ ----------- -------------
Class C
01/20/97 - 03/31/97 11.91 (0.12)(a) (0.20)(a) (0.32) (0.14) 0.00
- ---------------------------------------- ------------ ------------- ------------- ------------ ----------- -------------
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
[58] See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distrutions Distributions
From Net in Excess of Tax Basis Net Asset
Realized Net Realized Return of Total Value End of
Capital Gains Capital Gains Capital Distributions Period Total Return
------------- ------------- ---------- -------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Short-Term Fund
Class A
01/20/97 - 03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.11) $ 10.00 0.66%
- ---------------------------------------- ------------- ------------- ---------- -------------- ------------- -------------
Class B
01/20/97 - 03/31/97 0.00 0.00 0.00 (0.10) 10.00 0.58
- ---------------------------------------- ------------- ------------- ---------- -------------- ------------- -------------
Class C
01/20/97 - 03/31/97 0.00 0.00 0.00 (0.10) 10.00 0.63
- ---------------------------------------- ------------- ------------- ---------- -------------- ------------- -------------
Money Market Fund
Class A
01/13/97 - 03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.01) $ 1.00 1.01%
- ---------------------------------------- ------------- ------------- ---------- -------------- ------------- -------------
Class B
01/13/97 - 03/31/97 0.00 0.00 0.00 (0.01) 1.00 0.83
- ---------------------------------------- ------------- ------------- ---------- -------------- ------------- -------------
Class C
01/13/97 - 03/31/97 0.00 0.00 0.00 (0.01) 1.00 1.02
- ---------------------------------------- ------------- ------------- ---------- -------------- ------------- -------------
StocksPLUS Fund
Class A
01/20/97 - 03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.15) $ 11.46 (2.59%)
- ---------------------------------------- ------------- ------------- ---------- -------------- ------------- -------------
Class B
01/20/97 - 03/31/97 0.00 0.00 0.00 (0.14) 11.44 (2.81)
- ---------------------------------------- ------------- ------------- ---------- -------------- ------------- -------------
Class C
01/20/97 - 03/31/97 0.00 0.00 0.00 (0.14) 11.45 (2.71)
- ---------------------------------------- ------------- ------------- ---------- -------------- ------------- -------------
<CAPTION>
Ratio of Net
Ratio of Investment
Net Asset Expenses to Income to
End of Period Average Net Average Net Portfolio
(000's) Assets Assets Turnover Rate
-------------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
Short-Term Fund
Class A
01/20/97 - 03/31/97 $ 2,533 0.86% + 5.07% + 77.39%
- ---------------------------------------- -------------- ------------ ------------ ----------
Class B
01/20/97 - 03/31/97 114 1.62 + 4.83 + 77.39
- ---------------------------------------- -------------- ------------ ------------ ----------
Class C
01/20/97 - 03/31/97 1,359 1.14 + 4.78 + 77.39
- ---------------------------------------- -------------- ------------ ------------ ----------
Money Market Fund
Class A
01/13/97 - 03/31/97 $ 43,589 0.57% + 4.44% + N/A
- ---------------------------------------- -------------- ------------ ------------ ----------
Class B
01/13/97 - 03/31/97 3,143 1.41 + 3.62 + N/A
- ---------------------------------------- -------------- ------------ ------------ ----------
Class C
01/13/97 - 03/31/97 85,398 0.58 + 4.47 + N/A
- ---------------------------------------- -------------- ------------ ------------ ----------
StocksPLUS Fund
Class A
01/20/97 - 03/31/97 $ 5,790 1.10%+ (10.69%) + 47.17%
- ---------------------------------------- -------------- ------------ ------------ ----------
Class B
01/20/97 - 03/31/97 8,281 1.88 + (15.13) + 47.17
- ---------------------------------------- -------------- ------------ ------------ ----------
Class C
01/20/97 - 03/31/97 11,254 1.65 + (12.79) + 47.17
- ---------------------------------------- -------------- ----------- ------------ ----------
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
See accompanying notes [59]
<PAGE>
FINANCIAL HIGHLIGHTS
Institutional and Administrative Classes
Selected Per Share Data for the Year or Period Ended:
<TABLE>
<CAPTION>
Net Asset Net Realized Total Income Dividends Dividends in Distributions Distributions
Value Net and Unrealized From From Net Excess of Net From Net in Excess of
Beginning Investment Gain (Loss) Investment Investment Investment Realized Net Realized
of Period Income on Investments Operations Income Income Capital Gains Capital Gains
-------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Long-Term
U.S. Government Fund
Institutional Class
03/31/97 $ 9.96 $0.79 $(0.35) $ 0.44 $(0.68) $ 0.00 $ 0.00 $(0.33)
- -------------------------------------------------------------------------------------------------------------------------------
03/31/96 9.85 0.83 0.66 1.49 (0.68) (0.04) (0.50) (0.16)
- -------------------------------------------------------------------------------------------------------------------------------
03/31/95 9.96 0.60 (0.09) 0.51 (0.60) (0.02) 0.00 0.00
- -------------------------------------------------------------------------------------------------------------------------------
03/31/94 11.36 0.62 (0.06) 0.56 (1.05) (0.04) (0.70) (0.17)
- -------------------------------------------------------------------------------------------------------------------------------
03/31/93 10.82 0.70 1.66 2.36 (0.70) 0.00 (1.12) 0.00
- -------------------------------------------------------------------------------------------------------------------------------
Foreign Bond Fund
Institutional Class
03/31/97 $10.50 $0.80 $ 1.00 $ 1.80 $(0.40) $ 0.00 $(1.49) $ 0.00
- -------------------------------------------------------------------------------------------------------------------------------
03/31/96 9.38 0.96 1.03 1.99 (0.34) (0.25) (0.25) (0.03)
- -------------------------------------------------------------------------------------------------------------------------------
03/31/95 10.18 0.38 (0.57) (0.19) 0.00 0.00 0.00 0.00
- -------------------------------------------------------------------------------------------------------------------------------
03/31/94 10.34 0.55 0.27 0.82 (0.55) 0.00 (0.06) (0.37)
- -------------------------------------------------------------------------------------------------------------------------------
12/03/92 - 03/31/93 10.00 0.16 0.34 0.50 (0.16) 0.00 0.00 0.00
- -------------------------------------------------------------------------------------------------------------------------------
Administrative Class
01/28/97 - 03/31/97 10.54 0.59 (0.67) (0.08) (0.05) 0.00 0.00 0.00
- -------------------------------------------------------------------------------------------------------------------------------
High Yield Fund
Institutional Class
03/31/97 $10.94 $0.92 $ 0.34 $ 1.26 $(0.97) $ 0.00 $(0.13) $ 0.00
- -------------------------------------------------------------------------------------------------------------------------------
03/31/96 10.42 1.04 0.54 1.58 (1.01) 0.00 (0.05) 0.00
- -------------------------------------------------------------------------------------------------------------------------------
03/31/95 10.52 0.99 (0.12) 0.87 (0.93) (0.02) 0.00 (0.02)
- -------------------------------------------------------------------------------------------------------------------------------
03/31/94 10.41 0.90 0.18 1.08 (0.90) 0.00 (0.07) 0.00
- -------------------------------------------------------------------------------------------------------------------------------
12/16/92 - 03/31/93 10.00 0.24 0.41 0.65 (0.24) 0.00 0.00 0.00
- -------------------------------------------------------------------------------------------------------------------------------
Administrative Class
03/31/97 10.94 0.85(a) 0.38(a) 1.23 (0.94) 0.00 (0.13) 0.00
- -------------------------------------------------------------------------------------------------------------------------------
03/31/96 10.41 1.02(a) 0.54(a) 1.56 (0.98) 0.00 (0.05) 0.00
- -------------------------------------------------------------------------------------------------------------------------------
01/16/95 - 03/31/95 10.14 0.23 0.25 0.48 (0.21) 0.00 0.00 0.00
- -------------------------------------------------------------------------------------------------------------------------------
Total Return Fund
Institutional Class
03/31/97 $10.29 $0.68 $(0.02) $ 0.66 $(0.66) $(0.02) $ 0.00 $ 0.00
- -------------------------------------------------------------------------------------------------------------------------------
03/31/96 10.02 0.81 0.29 1.10 (0.61) (0.10) (0.12) 0.00
- -------------------------------------------------------------------------------------------------------------------------------
03/31/95 10.25 0.64 (0.24) 0.40 (0.56) (0.05) 0.00 0.00
- -------------------------------------------------------------------------------------------------------------------------------
03/31/94 10.91 0.68 (0.16) 0.52 (0.71) (0.15) (0.30) (0.02)
- -------------------------------------------------------------------------------------------------------------------------------
03/31/93 10.46 0.76 0.76 1.52 (0.76) 0.00 (0.31) 0.00
- -------------------------------------------------------------------------------------------------------------------------------
Administrative Class
03/31/97 10.29 0.66(a) (0.02)(a) 0.64 (0.64) (0.02) 0.00 0.00
- -------------------------------------------------------------------------------------------------------------------------------
03/31/96 10.01 0.80 0.29 1.09 (0.60) (0.09) (0.12) 0.00
- -------------------------------------------------------------------------------------------------------------------------------
09/07/94 - 03/31/95 10.00 0.31 0.06 0.37 (0.32) (0.03) 0.00 0.00
- -------------------------------------------------------------------------------------------------------------------------------
Real Return Bond Fund
Institutional Class
01/29/97 - 03/31/97 $ 9.92 $0.11 $(0.02) $ 0.09 $(0.08) $ 0.00 $ 0.00 $ 0.00
- -------------------------------------------------------------------------------------------------------------------------------
Low Duration Fund
Institutional Class
03/31/97 $ 9.95 $0.64 $ 0.03 $ 0.67 $(0.63) $(0.01) $ 0.00 $ 0.00
- -------------------------------------------------------------------------------------------------------------------------------
03/31/96 $ 9.76 0.66 0.21 0.87 (0.68) 0.00 0.00 0.00
- -------------------------------------------------------------------------------------------------------------------------------
03/31/95 10.04 0.65 (0.30) 0.35 (0.54) 0.00 0.00 0.00
- -------------------------------------------------------------------------------------------------------------------------------
03/31/94 10.30 0.62 (0.16) 0.46 (0.64) (0.03) (0.05) 0.00
- -------------------------------------------------------------------------------------------------------------------------------
03/31/93 10.20 0.75 0.22 0.97 (0.74) 0.00 (0.13) 0.00
- -------------------------------------------------------------------------------------------------------------------------------
Administrative Class
03/31/97 9.95 0.62 0.03 0.65 (0.60) $(0.02) 0.00 0.00
- -------------------------------------------------------------------------------------------------------------------------------
03/31/96 9.76 0.63 0.21 0.84 (0.65) 0.00 0.00 0.00
- -------------------------------------------------------------------------------------------------------------------------------
12/31/94 - 03/31/95 9.67 0.18 0.07 0.25 (0.14) 0.00 0.00 0.00
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
60 See accompanying notes
<PAGE>
FINANCIAL HIGHLIGHTS
Institutional and Administrative Classes
Selected Per Share Data for the Year or Period Ended:
<TABLE>
<CAPTION>
Ratio of Net
Ratio of Investment
Tax Basis Net Asset Net Assets Expenses to Income to
Return of Total Value End Of End of Period Average Net Average Net Portfolio
Capital Distributions Period Total Return (1,000's) Assets Assets Turnover Rates
------- ------------- ------ ------------ -------- ------ ------ --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Long-Term
U.S. Government Fund
Institutional Class
03/31/97 $ 0.00 $(1.01) $ 9.39 4.48% $ 19,995 0.63% 7.63% 401.86%
- --------------------------------------------------------------------------------------------------------------------------------
03/31/96 0.00 (1.38) 9.96 14.83 32,511 0.56 6.80 238.32
- --------------------------------------------------------------------------------------------------------------------------------
03/31/95 0.00 (0.62) 9.85 5.50 32,349 0.50 6.62 88.92
- --------------------------------------------------------------------------------------------------------------------------------
03/31/94 0.00 (1.96) 9.96 4.13 25,978 0.50 5.37 97.67
- --------------------------------------------------------------------------------------------------------------------------------
03/31/93 0.00 (1.82) 11.36 23.42 22,946 0.50 6.16 320.08
- --------------------------------------------------------------------------------------------------------------------------------
Foreign Bond Fund
Institutional Class
03/31/97 $ 0.00 $(1.89) $10.41 17.69% $ 234,880 0.50% 7.88% 983.74%
- --------------------------------------------------------------------------------------------------------------------------------
03/31/96 0.00 (0.87) 10.50 21.80 258,493 0.52 5.83 1,233.71
- --------------------------------------------------------------------------------------------------------------------------------
03/31/95 (0.61) (0.61) 9.38 (1.85) 232,700 0.47 6.44 299.45
- --------------------------------------------------------------------------------------------------------------------------------
03/31/94 0.00 (0.98) 10.18 7.79 498,521 0.54 5.12 260.34
- --------------------------------------------------------------------------------------------------------------------------------
12/03/92 - 03/31/93 0.00 (0.16) 10.34 16.23 178,895 0.65+ 4.97+ 122.55
- --------------------------------------------------------------------------------------------------------------------------------
Administrative Class
01/28/97 - 03/31/97 0.00 (0.05) 10.41 (0.72) 30 0.79+ 7.63+ 983.74
- --------------------------------------------------------------------------------------------------------------------------------
High Yield Fund
Institutional Class
03/31/97 $ 0.00 $(1.10) $11.10 12.04% $ 744,498 0.50% 8.77% 67.19%
- --------------------------------------------------------------------------------------------------------------------------------
03/31/96 0.00 (1.06) 10.94 15.70 536,983 0.47 9.28 65.79
- --------------------------------------------------------------------------------------------------------------------------------
03/31/95 0.00 (0.97) 10.42 8.81 336,310 0.48 9.37 77.60
- --------------------------------------------------------------------------------------------------------------------------------
03/31/94 0.00 (0.97) 10.52 10.65 219,976 0.50 8.40 112.40
- --------------------------------------------------------------------------------------------------------------------------------
12/16/92 - 03/31/93 0.00 (0.24) 10.41 24.43+ 24,069 0.50+ 8.24+ 29.74
- --------------------------------------------------------------------------------------------------------------------------------
Administrative Class
03/31/97 0.00 $(1.07) 11.10 11.76 10,428 0.76 8.48 67.19
- --------------------------------------------------------------------------------------------------------------------------------
03/31/96 0.00 (1.03) 10.94 15.54 1,007 0.80 9.16 65.79
- --------------------------------------------------------------------------------------------------------------------------------
01/16/95 - 03/31/95 0.00 (0.21) 10.41 4.66 41 0.73+ 10.12+ 77.60
- --------------------------------------------------------------------------------------------------------------------------------
Total Return Fund
Institutional Class
03/31/97 $ 0.00 $(0.68) $10.27 6.60% $12,528,536 0.43% 6.60% 173.24%
- --------------------------------------------------------------------------------------------------------------------------------
03/31/96 0.00 (0.83) 10.29 11.14 10,247,605 0.42 6.85 221.13
- --------------------------------------------------------------------------------------------------------------------------------
03/31/95 (0.02) (0.63) 10.02 4.22 7,239,735 0.41 6.72 98.48
- --------------------------------------------------------------------------------------------------------------------------------
03/31/94 0.00 (1.18) 10.25 4.55 5,008,160 0.41 6.27 176.74
- --------------------------------------------------------------------------------------------------------------------------------
03/31/93 0.00 (1.07) 10.91 15.29 3,155,441 0.43 7.07 89.95
- --------------------------------------------------------------------------------------------------------------------------------
Administrative Class
03/31/97 0.00 (0.66) 10.27 6.34 151,194 0.68 6.35 173.24
- --------------------------------------------------------------------------------------------------------------------------------
03/31/96 0.00 (0.81) 10.29 10.99 104,618 0.68 6.64 221.13
- --------------------------------------------------------------------------------------------------------------------------------
09/07/94 - 03/31/95 (0.01) (0.36) 10.01 3.76 9,037 0.66+ 6.54+ 98.48
- --------------------------------------------------------------------------------------------------------------------------------
Real Return Bond Fund
Institutional Class
01/29/97 - 03/31/97 $ 0.00 $(0.08) 9.93 0.09% 5,638 0.51%+ 6.54%+ 160.34%
- --------------------------------------------------------------------------------------------------------------------------------
Low Duration Fund
Institutional Class
03/31/97 $ 0.00 $(0.64) $ 9.98 6.97% $ 2,797,001 0.43% 6.46% 240.30%
- --------------------------------------------------------------------------------------------------------------------------------
03/31/96 0.00 (0.68) 9.95 9.13 2,677,574 0.42 6.88 208.79
- --------------------------------------------------------------------------------------------------------------------------------
03/31/95 (0.09) (0.63) 9.76 3.60 2,332,032 0.41 6.46 77.14
- --------------------------------------------------------------------------------------------------------------------------------
03/31/94 0.00 (0.72) 10.04 4.56 2,298,255 0.43 6.05 42.69
- --------------------------------------------------------------------------------------------------------------------------------
03/31/93 0.00 (0.87) 10.30 9.91 1,403,594 0.45 7.21 67.51
- --------------------------------------------------------------------------------------------------------------------------------
Administrative Class
03/31/97 0.00 (0.62) 9.98 6.71 23,564 0.68 6.21 240.30
- --------------------------------------------------------------------------------------------------------------------------------
03/31/96 0.00 (0.65) 9.95 8.83 2,536 0.69 6.73 208.79
- --------------------------------------------------------------------------------------------------------------------------------
12/31/94 - 03/31/95 (0.02) (0.16) 9.76 2.53 771 0.66+ 6.93+ 77.14
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
See accompanying notes 61
<PAGE>
Financial Highlights
Institutional And Adminstrative Classes (Cont.)
Selected Per Share Data For The Year Or Period Ended
<TABLE>
<CAPTION>
Net Asset Net Realized Total Income Dividends Dividends In Distributions
Value Net And Unrealized From From Net Excess Of Net From Net
Beginning Investment Gain (Loss) Investment Investment Investment Realized
Of Period Income On Investments Operations Income Income Capital Gains
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Short-term Fund
Institutional Class
03/31/97 $ 9.92 $ 0.61 $ 0.08 $ 0.69 $(0.59) $(0.02) $ 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
- ------------------------------------------------------------------------------------------------------------------------------------
Administrative Class
03/31/97 9.92 0.58 0.08 0.66 (0.57) (0.01) 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
02/01/96 - 03/31/96 9.98 0.11 (0.07) 0.04 (0.10) 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
Money Market Fund
Institutional Class
03/31/97 $ 1.00 $ 0.05 $ 0.00 $ 0.05 $(0.05) $ 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 1.00 0.06 0.00 0.06 (0.06) 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
10/31/94 1.00 0.03 0.00 0.03 (0.03) 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
10/31/93 1.00 0.03 0.00 0.03 (0.03) 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
10/31/92 1.00 0.04 0.00 0.04 (0.04) 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
Administrative Class
03/31/97 1.00 0.05 0.00 0.05 (0.05) 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 1.00 0.05 0.00 0.05 (0.05) 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
Stocksplus Fund
Institutional Class
03/31/97 $11.16 $ 1.27 $ 0.82 $ 2.09 $(1.27) $ 0.00 $(0.52)
- ------------------------------------------------------------------------------------------------------------------------------------
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)
- ------------------------------------------------------------------------------------------------------------------------------------
Administrative Class
01/07/97 - 03/31/97 11.56 0.14 (0.09) 0.05 (0.15) 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Annualized
62 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Ratio of
Distributions Net Ratio of Net Invest-
in Excess of Tax Basis Net Asset Assets End Expenses to ment Income Portfolio
Net Realized Return of Total Value End Total of Period Average Net to Average Turnover
Capital Gains Capital Distributions of Period Return (000's) Assets Net Assets Rate
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Short-term Fund
Institutional Class
03/31/97 $ 0.00 $ 0.00 $(0.61) $10.00 7.12% $156,515 0.47% 6.12% 77.39%
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
Administrative Class
03/31/97 0.00 0.00 (0.58) 10.00 6.86 4,513 0.72 5.87 77.39
- ------------------------------------------------------------------------------------------------------------------------------------
02/01/96 - 03/31/96 0.00 0.00 (0.10) 9.92 0.41 3,999 0.52+ 4.44+ 214.78
- ------------------------------------------------------------------------------------------------------------------------------------
Money Market Fund
Institutional Class
03/31/97 $ 0.00 $ 0.00 $(0.05) $ 1.00 5.19% $ 23,497 0.40% 5.08% N/A
- ------------------------------------------------------------------------------------------------------------------------------------
11/01/95 - 03/31/96 0.00 0.00 (0.02) 1.00 2.58 25,935 0.33+ 5.44+ N/A
- ------------------------------------------------------------------------------------------------------------------------------------
10/31/95 0.00 0.00 (0.06) 1.00 5.67 7,741 0.40 5.53 N/A
- ------------------------------------------------------------------------------------------------------------------------------------
10/31/94 0.00 0.00 (0.03) 1.00 3.53 7,454 0.40 3.52 N/A
- ------------------------------------------------------------------------------------------------------------------------------------
10/31/93 0.00 0.00 (0.03) 1.00 2.83 5,836 0.40 2.78 N/A
- ------------------------------------------------------------------------------------------------------------------------------------
10/31/92 0.00 0.00 (0.04) 1.00 3.85 7,817 0.40 4.02 N/A
- ------------------------------------------------------------------------------------------------------------------------------------
Administrative Class
03/31/97 0.00 0.00 (0.05) 1.00 4.94 12 0.66 4.83 N/A
- ------------------------------------------------------------------------------------------------------------------------------------
11/01/95 - 03/31/96 0.00 0.00 (0.02) 1.00 2.47 10 0.61+ 5.95+ N/A
- ------------------------------------------------------------------------------------------------------------------------------------
01/24/95 - 10/31/95 0.00 0.00 (0.05) 1.00 4.21 10 0.68+ 5.94+ N/A
- ------------------------------------------------------------------------------------------------------------------------------------
Stocksplus Fund
Institutional Class
03/31/97 $ 0.00 $ 0.00 $(1.79) $11.46 19.44% $235,829 0.65% 11.78% 47.17%
- ------------------------------------------------------------------------------------------------------------------------------------
03/31/96 (0.04) 0.00 (2.71) 11.16 34.07 151,869 0.70 15.23 101.67
- ------------------------------------------------------------------------------------------------------------------------------------
03/31/95 0.00 0.00 (0.76) 10.48 18.64 46,498 0.50 11.89 176.98
- ------------------------------------------------------------------------------------------------------------------------------------
05/14/93 - 03/31/94 (0.47) 0.00 (0.92) 9.52 1.55 14,330 0.50+ 4.00+ 33.29
- ------------------------------------------------------------------------------------------------------------------------------------
Administrative Class
01/07/97 - 03/31/97 0.00 0.00 (0.15) 11.46 0.34 682 0.95+ 4.83+ 47.17
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See accompanying notes 63
<PAGE>
Statement of Assets and Liabilities
March 31, 1997
<TABLE>
<CAPTION>
Amounts in thousands, except per share amounts Long-Term U.S. Foreign Global High Total
Gov't. Fund Bond Fund Bond Fund II Yield Fund Return Fund
-------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets:
Investments, at value $31,618 $468,098 $29,271 $1,019,593 $13,968,846
- ------------------------------------------------------------------------------------------------------------------------------------
Cash and foreign currency 5 880 70 0 15,161
- ------------------------------------------------------------------------------------------------------------------------------------
Receivable for investments and foreign currency sold 699 189,971 5,917 47,274 539,341
- ------------------------------------------------------------------------------------------------------------------------------------
Receivable for Fund shares sold 7 2,376 23 2,308 32,523
- ------------------------------------------------------------------------------------------------------------------------------------
Variation margin receivable 0 17 1 0 0
- ------------------------------------------------------------------------------------------------------------------------------------
Interest and dividends receivable 225 7,204 462 22,615 105,489
- ------------------------------------------------------------------------------------------------------------------------------------
Other assets 0 0 3 1 0
- ------------------------------------------------------------------------------------------------------------------------------------
32,554 668,546 35,747 1,091,791 14,661,360
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities:
Payable for investments and foreign currency purchased $10,550 $429,330 $18,741 $ 5,439 $ 1,375,168
- ------------------------------------------------------------------------------------------------------------------------------------
Written options outstanding 46 0 0 0 26,352
- ------------------------------------------------------------------------------------------------------------------------------------
Payable for Fund shares redeemed 2 319 29 33,604 39,825
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends payable 12 168 15 1,431 13,501
- ------------------------------------------------------------------------------------------------------------------------------------
Accrued investment advisor's fee 4 48 3 235 2,721
- ------------------------------------------------------------------------------------------------------------------------------------
Accrued administrator's fee 5 48 6 272 2,052
- ------------------------------------------------------------------------------------------------------------------------------------
Accrued distribution fee 0 1 6 168 280
- ------------------------------------------------------------------------------------------------------------------------------------
Accrued servicing fee 0 1 3 62 105
- ------------------------------------------------------------------------------------------------------------------------------------
Variation margin payable 2 0 3 0 2,360
- ------------------------------------------------------------------------------------------------------------------------------------
Other accrued expenses and liabilities 5 8 41 1,215 290
- ------------------------------------------------------------------------------------------------------------------------------------
10,626 429,923 18,847 42,426 1,452,654
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $21,928 $238,623 $16,900 $1,049,365 $13,198,706
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets Consist of:
Paid in capital $23,923 $228,779 $16,269 $1,104,517 $13,358,162
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed (overdistributed) net investment income 438 12,308 701 1,003 (25,279)
- ------------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed net realized gain (loss) (2,025) (1,501) 169 (78,320) (63,168)
- ------------------------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) (408) (963) (239) 22,165 (71,009)
- ------------------------------------------------------------------------------------------------------------------------------------
$21,928 $238,623 $16,900 $1,049,365 $13,198,706
- ------------------------------------------------------------------------------------------------------------------------------------
Shares Issued and Outstanding
Class A 128 68 706 2,602 11,268
- ------------------------------------------------------------------------------------------------------------------------------------
Class B 48 117 362 5,431 7,217
- ------------------------------------------------------------------------------------------------------------------------------------
Class C 29 172 491 18,499 32,039
- ------------------------------------------------------------------------------------------------------------------------------------
Institutional Classes 2,129 22,562 0 68,021 1,234,375
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value and Redemption Price* Per Share
(Net Assets Per Share Outstanding)
Class A $ 9.39 $ 10.41 $ 10.84 $ 11.10 $ 10.27
- ------------------------------------------------------------------------------------------------------------------------------------
Class B 9.39 10.41 10.84 11.10 10.27
- ------------------------------------------------------------------------------------------------------------------------------------
Class C 9.39 10.41 10.84 11.10 10.27
- ------------------------------------------------------------------------------------------------------------------------------------
Institutional Class 9.39 10.41 0 11.10 10.27
- ------------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 10.41 0 11.10 10.27
- ------------------------------------------------------------------------------------------------------------------------------------
Cost of Investments Owned 32,024 476,436 29,914 997,705 14,009,795
- ------------------------------------------------------------------------------------------------------------------------------------
Cost of Foreign Currency Held 0 869 55 0 3
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* With respect to the Retail Classes, the redemption price
varies by the length of time shares are held.
64 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Amounts in thousands, except per share amounts Real Return Low Short-Term Money StocksPLUS
Bond Fund Duration Fund Fund Market Fund Fund
-------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets:
Investments, at value $10,417 $3,522,559 $171,244 $143,236 $261,705
- ------------------------------------------------------------------------------------------------------------------------------------
Cash and foreign currency 1 46 128 65 1
- ------------------------------------------------------------------------------------------------------------------------------------
Receivable for investments and foreign currency sold 4,067 47,432 149 37 6,801
- ------------------------------------------------------------------------------------------------------------------------------------
Receivable for Fund shares sold 37 19,315 1,155 17,151 2,265
- ------------------------------------------------------------------------------------------------------------------------------------
Variation margin receivable 0 0 1 0 0
- ------------------------------------------------------------------------------------------------------------------------------------
Interest and dividends receivable 10 23,143 869 129 1,614
- ------------------------------------------------------------------------------------------------------------------------------------
Other assets 0 26 0 0 2
- ------------------------------------------------------------------------------------------------------------------------------------
14,532 3,612,521 173,546 160,618 272,388
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities:
Payable for investments and foreign currency purchased $ 8,234 $ 591,127 $ 5,666 $ 0 $ 4,026
- ------------------------------------------------------------------------------------------------------------------------------------
Written options outstanding 0 91 0 0 0
- ------------------------------------------------------------------------------------------------------------------------------------
Payable for Fund shares redeemed 0 68,652 2,603 4,363 2,721
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends payable 0 2,534 170 471 26
- ------------------------------------------------------------------------------------------------------------------------------------
Accrued investment advisor's fee 1 620 31 15 88
- ------------------------------------------------------------------------------------------------------------------------------------
Accrued administrator's fee 1 469 25 33 58
- ------------------------------------------------------------------------------------------------------------------------------------
Accrued distribution fee 0 29 1 1 9
- ------------------------------------------------------------------------------------------------------------------------------------
Accrued servicing fee 0 26 1 9 5
- ------------------------------------------------------------------------------------------------------------------------------------
Variation margin payable 0 19 0 0 3,613
- ------------------------------------------------------------------------------------------------------------------------------------
Other accrued expenses and liabilities 0 139 15 87 6
- ------------------------------------------------------------------------------------------------------------------------------------
8,236 663,706 8,512 4,979 10,552
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 6,296 $2,948,815 $165,034 $155,639 $261,836
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets Consist of:
Paid in capital $ 6,345 $2,979,134 $164,930 $155,639 $258,263
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed (overdistributed) net investment income 19 (7,032) (208) 0 2,028
- ------------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed net realized gain (loss) (1) (9,405) 205 0 11,988
- ------------------------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) (67) (13,882) 107 0 (10,443)
- ------------------------------------------------------------------------------------------------------------------------------------
$ 6,296 $2,948,815 $165,034 $155,639 $261,836
- ------------------------------------------------------------------------------------------------------------------------------------
Shares Issued and Outstanding
Class A 0 5,945 253 43,589 505
- ------------------------------------------------------------------------------------------------------------------------------------
Class B 51 531 11 3,143 724
- ------------------------------------------------------------------------------------------------------------------------------------
Class C 15 6,372 136 85,398 983
- ------------------------------------------------------------------------------------------------------------------------------------
Institutional Classes 568 282,554 16,099 23,509 20,634
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value and Redemption Price* Per Share
(Net Assets Per Share Outstanding)
Class A $ 9.93 $ 9.98 $ 10.00 $ 1.00 $ 11.46
- ------------------------------------------------------------------------------------------------------------------------------------
Class B 9.93 9.98 10.00 1.00 11.44
- ------------------------------------------------------------------------------------------------------------------------------------
Class C 9.93 9.98 10.00 1.00 11.45
- ------------------------------------------------------------------------------------------------------------------------------------
Institutional Class 9.93 9.98 10.00 1.00 11.46
- ------------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 9.98 10.00 1.00 11.46
- ------------------------------------------------------------------------------------------------------------------------------------
Cost of Investments Owned 10,497 3,541,785 171,396 143,236 261,416
- ------------------------------------------------------------------------------------------------------------------------------------
Cost of Foreign Currency Held 0 0 0 0 0
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See accompanying notes 65
<PAGE>
Statement of Operations
for the year or period ended March 31, 1997
<TABLE>
<CAPTION>
$ in thousands LONG-TERM
U.S. GOV'T. FUND FOREIGN BOND FUND GLOBAL BOND FUND II TOTAL RETURN FUND
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 2,124 $18,126 $ 577 $820,530
- ---------------------------------------------------------------------------------------------------------------------------
Dividends 0 0 0 1,523
- ---------------------------------------------------------------------------------------------------------------------------
Total Income 2,124 18,126 577 822,053
===========================================================================================================================
Expenses:
Investment advisory fees 65 541 42 29,232
- ---------------------------------------------------------------------------------------------------------------------------
Administration fees 65 541 15 21,266
- ---------------------------------------------------------------------------------------------------------------------------
Distribution fees - Class B 0 1 14 105
- ---------------------------------------------------------------------------------------------------------------------------
Distribution fees - Class C 0 1 17 500
- ---------------------------------------------------------------------------------------------------------------------------
Servicing fees - Class A 0 0 10 47
- ---------------------------------------------------------------------------------------------------------------------------
Servicing fees - Class B 0 0 5 35
- ---------------------------------------------------------------------------------------------------------------------------
Servicing fees - Class C 0 0 6 167
- ---------------------------------------------------------------------------------------------------------------------------
Distribution fees - Administrative Class 0 0 0 341
- ---------------------------------------------------------------------------------------------------------------------------
Trustees' fees 0 0 0 21
- ---------------------------------------------------------------------------------------------------------------------------
Reorganization costs 31 29 20 25
- ---------------------------------------------------------------------------------------------------------------------------
Custodian and transfer agent fees 0 0 23 0
- ---------------------------------------------------------------------------------------------------------------------------
Registration fees 0 0 19 0
- ---------------------------------------------------------------------------------------------------------------------------
Miscellaneous 0 0 18 0
- ---------------------------------------------------------------------------------------------------------------------------
Total expenses 161 1,113 189 51,739
- ---------------------------------------------------------------------------------------------------------------------------
Net Investment Income 1,963 17,013 388 770,314
===========================================================================================================================
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (156) 15,065 271 (31,830)
- ---------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on futures
contracts and written options (275) 2,133 53 (29,476)
- ---------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on foreign
currency transactions 0 8,456 492 3,378
- ---------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) on investments (780) (7,349) (738) (15,704)
- ---------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 178 (723) (83) 27,904
- ---------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation on
assets and liabilities denominated in
foreign currencies 0 594 246 3,259
- ---------------------------------------------------------------------------------------------------------------------------
Net gain (loss) (1,033) 18,176 241 (42,469)
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Assets
Resulting From Operations $ 930 $35,189 $ 629 $727,845
===========================================================================================================================
</TABLE>
66 See accompanying notes
<PAGE>
Statement of Operations
For the year or period ended March 31, 1997
<TABLE>
<CAPTION>
$ in thousands REAL RETURN STOCKSPLUS
BOND FUND LOW DURATION FUND SHORT-TERM FUND MONEY MARKET FUND FUND
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest $ 68 $187,704 $8,209 $2,484 $ 23,329
- --------------------------------------------------------------------------------------------------------------------------------
Dividends 0 1,719 0 0 13
- --------------------------------------------------------------------------------------------------------------------------------
Total Income 68 189,423 8,209 2,484 23,342
================================================================================================================================
Expenses:
Investment advisory fees 2 6,877 311 68 779
- --------------------------------------------------------------------------------------------------------------------------------
Administration fees 3 5,005 250 118 492
- --------------------------------------------------------------------------------------------------------------------------------
Distribution fees - Class B 0 7 0 3 6
- --------------------------------------------------------------------------------------------------------------------------------
Distribution fees - Class C 0 62 0 0 7
- --------------------------------------------------------------------------------------------------------------------------------
Servicing fees - Class A 0 28 1 5 2
- --------------------------------------------------------------------------------------------------------------------------------
Servicing fees - Class B 0 2 0 1 2
- --------------------------------------------------------------------------------------------------------------------------------
Servicing fees - Class C 0 31 0 12 4
- --------------------------------------------------------------------------------------------------------------------------------
Distribution fees - Administrative Class 0 21 10 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Trustees' fees 0 5 0 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Reorganization costs 0 23 21 20 22
- --------------------------------------------------------------------------------------------------------------------------------
Custodian and transfer agent fees 0 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Registration fees 0 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 0 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Total expenses 5 12,061 593 227 1,314
- --------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 63 177,362 7,616 2,257 22,028
================================================================================================================================
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 4 (205) 302 0 109
- --------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on futures
contracts and written options 0 179 22 0 19,186
- --------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on foreign
currency transactions (3) 1,671 (42) 0 (106)
- --------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) on investments (80) 294 486 0 311
- --------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 0 2,772 (19) 0 (11,190)
- --------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation on
assets and liabilities denominated in
foreign currencies 13 1,288 153 0 234
- --------------------------------------------------------------------------------------------------------------------------------
Net gain (loss) (66) 5,999 902 0 8,544
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Assets
Resulting From Operations $ (3) $183,361 $8,518 $2,257 $ 30,572
================================================================================================================================
</TABLE>
See accompanying notes 67
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Long-Term
$ in thousands U.S. Gov't Fund Foreign Bond Fund Global Bond Fund II High Yield Fund
---------------------- ---------------------- ---------------------- ----------------------
Year Ended Year Ended Year Ended Year Ended Six Months Year Ended Year Ended Year Ended
Ended
3/31/97 3/31/96 3/31/97 3/31/96 3/31/97 9/30/96 3/31/97 3/31/96
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in
Net Assets From:
Operations
Net investment income $ 1,963 $ 2,494 $ 17,013 $ 14,026 $ 388 $ 439 $ 68,899 $ 42,773
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) (431) 3,539 25,654 26,188 816 511 15,566 9,316
- -----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized
appreciation (depreciation) (602) (442) (7,478) 6,805 (575) 336 1,240 11,913
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
resulting from operations 930 5,591 35,189 47,019 629 1,286 85,705 64,002
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions to Shareholders
From net investment income
Class A (10) 0 (1) 0 (151) (303) (502) 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B (2) 0 (2) 0 (56) (51) (820) 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C (1) 0 (3) 0 (69) (54) (3,086) 0
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Classes (1,773) (2,372) (7,980) (8,030) 0 0 (64,509) (42,778)
- -----------------------------------------------------------------------------------------------------------------------------------
In excess of net investment
income
Class A 0 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Classes 0 (122) 0 (5,997) 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
From net realized capital gains
Class A 0 0 0 0 (302) 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 (133) 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0 (165) 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Classes 0 (1,698) (24,345) (5,828) 0 0 (9,254) (2,427)
- -----------------------------------------------------------------------------------------------------------------------------------
In excess of net realized
capital gains
Class A 0 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Classes (693) (518) 0 (685) 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Tax basis return of capital
Class A 0 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Classes 0 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Total Distributions (2,479) (4,710) (32,331) (20,540) (876) (408) (78,171) (45,205)
- -----------------------------------------------------------------------------------------------------------------------------------
Fund Share Transactions
Receipts for shares sold
Class A 1,237 0 715 0 1,518 8,176 5,390 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 469 0 1,236 0 778 3,155 12,160 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 281 0 1,809 0 1,967 3,688 15,420 0
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Classes 6,985 21,443 155,533 79,674 0 0 428,723 295,883
- -----------------------------------------------------------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0 0 0 29,527 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 0 0 49,852 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0 0 0 204,339 0
- -----------------------------------------------------------------------------------------------------------------------------------
Issued as reinvestment of
distributions
Class A 1 0 1 0 171 43 271 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 1 0 2 0 138 35 412 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 1 0 3 0 215 48 1,819 0
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Classes 2,113 3,954 23,548 17,861 0 0 70,223 43,055
- -----------------------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Class A 0 0 (6) 0 (1,285) (1,439) (6,044) 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 (178) (96) (1,524) 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C (1) 0 (2) 0 (236) (429) (14,308) 0
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Classes (20,121) (26,116) (205,567) (98,221) 0 0 (292,419) (156,096)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
resulting from Fund share
transactions (9,034) (719) (22,728) (686) 3,088 13,181 503,841 182,842
- -----------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in
Net Assets (10,583) 162 (19,870) 25,793 2,841 14,059 511,375 201,639
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets
Beginning of period 32,511 32,349 258,493 232,700 14,059 0 537,990 336,351
- -----------------------------------------------------------------------------------------------------------------------------------
End of Period* $ 21,928 $ 32,511 $ 238,623 $258,493 $16,900 $14,059 $1,049,365 $ 537,990
- -----------------------------------------------------------------------------------------------------------------------------------
* Including net undistributed
(overdistributed)
investment income of: $ 438 $ 236 $ 12,308 $ 3,281 $ 701 $ 589 $ 1,003 $ 3,604
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Formerly the Global Income Fund of the PIMCO Advisors Funds.
68 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Real Return
$ in thousands Total Return Fund Bond Fund Low Duration Fund Short-Term Fund
---------------------- ------------------- ---------------------- ----------------------
Year Ended Year Ended Period from 1/29/97 Year Ended Year Ended Year Ended Year Ended
3/31/97 3/31/96 to 3/31/97 3/31/97 3/31/96 3/31/97 3/31/96
<S> <C> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in
Net Assets From:
Operations
Net investment income $770,314 $ 621,582 $ 63 $ 177,362 $ 171,117 $ 7,616 $ 6,228
- -----------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) (57,928) 254,693 1 1,645 9,315 282 592
- -----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized
appreciation (depreciation) 15,459 11,343 (67) 4,354 34,773 620 584
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
resulting from operations 727,845 887,618 (3) 183,361 215,205 8,518 7,404
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions to Shareholders
From net investment income
Class A (1,116) 0 0 (618) 0 (10) 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B (717) 0 (1) (48) 0 (1) 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C (3,419) 0 0 (636) 0 (4) 0
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Classes (746,270) (536,329) (45) (170,941) (171,148) (7,441) (5,967)
- -----------------------------------------------------------------------------------------------------------------------------------
In excess of net investment
income
Class A (28) 0 0 (18) 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B (18) 0 0 (1) 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C (85) 0 0 (19) 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Classes (18,543) (85,289) 0 (5,089) 0 (161) (262)
- -----------------------------------------------------------------------------------------------------------------------------------
From net realized capital gains
Class A 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Classes 0 (111,133) 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
In excess of net realized
capital gains
Class A 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Classes 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Tax basis return of capital
Class A 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Classes 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Total Distributions (770,296) (732,751) (46) (177,370) (171,148) (7,617) (6,229)
- -----------------------------------------------------------------------------------------------------------------------------------
Fund Share Transactions
Receipts for shares sold
Class A 35,013 0 0 21,468 0 4,435 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 10,459 0 514 1,783 0 197 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 13,775 0 149 15,897 0 1,403 0
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Classes 3,842,343 3,684,984 5,636 1,417,279 1,418,882 188,897 137,837
- -----------------------------------------------------------------------------------------------------------------------------------
Shares issued in reorganization
Class A 90,184 0 0 53,912 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 66,992 0 0 4,564 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 342,162 0 0 61,795 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Issued as reinvestment of
distributions
Class A 900 0 0 615 0 5 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 513 0 1 33 0 1 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 2,316 0 0 495 0 4 0
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Classes 614,904 596,282 45 150,514 143,411 6,258 4,930
- -----------------------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Class A (8,458) 0 0 (16,266) 0 (1,898) 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B (2,564) 0 0 (1,047) 0 (83) 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C (23,590) 0 0 (14,179) 0 (44) 0
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Classes (2,096,015) (1,332,682) 0 (1,434,149) (1,259,043) (140,838) (128,260)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
resulting from Fund share
transactions 2,888,934 2,948,584 6,345 262,714 303,250 58,337 14,507
- -----------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in
Net Assets 2,846,483 3,103,451 6,296 268,705 347,307 59,238 15,682
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets
Beginning of period 10,352,223 7,248,772 0 2,680,110 2,332,803 105,796 90,114
- -----------------------------------------------------------------------------------------------------------------------------------
End of Period* $13,198,706 $10,352,223 $ 6,296 $2,948,815 $2,680,110 $ 165,034 $ 105,796
- -----------------------------------------------------------------------------------------------------------------------------------
* Including net undistributed
(overdistributed)
investment income of: $ (25,279) $ (18,792) $ 19 $ (7,032) $ (5,120) $ (208) $ (161)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
$ in thousands Money Market Fund StockPLUS Fund
----------------------- ----------------------
Year Ended Five Months Year Ended Year Ended
Ended
3/31/97 3/31/96 3/31/97 3/31/96
<S> <C> <C> <C> <C>
Increase (Decrease) in
Net Assets From:
Operations
Net investment income $ 2,257 $ 391 $ 22,028 $ 11,933
- ---------------------------------------------------------------------------------
Net realized gain (loss) 0 0 19,189 9,202
- ---------------------------------------------------------------------------------
Net change in unrealized
appreciation (depreciation) 0 0 (10,645) (738)
- ---------------------------------------------------------------------------------
Net increase (decrease)
resulting from operations 2,257 391 30,572 20,397
- ---------------------------------------------------------------------------------
Distributions to Shareholders
From net investment income
Class A (263) 0 (70) 0
- ---------------------------------------------------------------------------------
Class B (16) 0 (93) 0
- ---------------------------------------------------------------------------------
Class C (617) 0 (161) 0
- ---------------------------------------------------------------------------------
Institutional Classes (1,361) (391) (21,960) (8,982)
- ---------------------------------------------------------------------------------
In excess of net investment
income
Class A 0 0 0 0
- ---------------------------------------------------------------------------------
Class B 0 0 0 0
- ---------------------------------------------------------------------------------
Class C 0 0 0 0
- ---------------------------------------------------------------------------------
Institutional Classes 0 0 0 0
- ---------------------------------------------------------------------------------
From net realized capital gains
Class A 0 0 0 0
- ---------------------------------------------------------------------------------
Class B 0 0 0 0
- ---------------------------------------------------------------------------------
Class C 0 0 0 0
- ---------------------------------------------------------------------------------
Institutional Classes 0 0 (8,793) (9,224)
- ---------------------------------------------------------------------------------
In excess of net realized
capital gains
Class A 0 0 0 0
- ---------------------------------------------------------------------------------
Class B 0 0 0 0
- ---------------------------------------------------------------------------------
Class C 0 0 0 0
- ---------------------------------------------------------------------------------
Institutional Classes 0 0 0 (251)
- ---------------------------------------------------------------------------------
Tax basis return of capital
Class A 0 0 0 0
- ---------------------------------------------------------------------------------
Class B 0 0 0 0
- ---------------------------------------------------------------------------------
Class C 0 0 0 0
- ---------------------------------------------------------------------------------
Institutional Classes 0 0 0 0
- ---------------------------------------------------------------------------------
Total Distributions (2,257) (391) (31,077) (18,457)
- ---------------------------------------------------------------------------------
Fund Share Transactions
Receipts for shares sold
Class A 303,692 0 6,245 0
- ---------------------------------------------------------------------------------
Class B 3,657 0 8,743 0
- ---------------------------------------------------------------------------------
Class C 262,815 0 15,506 0
- ---------------------------------------------------------------------------------
Institutional Classes 48,825 23,187 91,902 114,561
- ---------------------------------------------------------------------------------
Shares issued in reorganization
Class A 14,653 0 0 0
- ---------------------------------------------------------------------------------
Class B 2,499 0 0 0
- ---------------------------------------------------------------------------------
Class C 52,050 0 0 0
- ---------------------------------------------------------------------------------
Issued as reinvestment of
distributions
Class A 192 0 64 0
- ---------------------------------------------------------------------------------
Class B 15 0 86 0
- ---------------------------------------------------------------------------------
Class C 605 0 156 0
- ---------------------------------------------------------------------------------
Institutional Classes 1,078 388 28,068 17,428
- ---------------------------------------------------------------------------------
Cost of shares redeemed
Class A (274,948) 0 (182) 0
- ---------------------------------------------------------------------------------
Class B (3,028) 0 (33) 0
- ---------------------------------------------------------------------------------
Class C (230,072) 0 (3,565) 0
- ---------------------------------------------------------------------------------
Institutional Classes (52,339) (5,381) (36,518) (28,558)
- ---------------------------------------------------------------------------------
Net increase (decrease)
resulting from Fund share
transactions 129,694 18,194 110,472 103,431
- ---------------------------------------------------------------------------------
Total Increase (Decrease) in
Net Assets 129,694 18,194 109,967 105,371
- ---------------------------------------------------------------------------------
Net Assets
Beginning of period 25,945 7,751 151,869 46,498
- ---------------------------------------------------------------------------------
End of Period* $155,639 $ 25,945 $ 261,836 $ 151,869
- ---------------------------------------------------------------------------------
* Including net undistributed
(overdistributed)
investment income of: $ 0 $ 0 $ 2,028 $ 1,762
- ---------------------------------------------------------------------------------
</TABLE>
See accompanying notes 69
<PAGE>
Statement of Cash Flows
For the year or period ended March 31, 1997
<TABLE>
<CAPTION>
$ in thousands Long-Term Foreign Bond Global Bond Real Return
U.S. Gov't Fund Fund Fund II Bond Fund
--------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Cash and Foreign Currency From:
Financing Activities
Sales of Fund shares $ 8,968 $ 157,159 $ 4,316 $ 6,263
- ------------------------------------------------------------------------------------------------------------------------------------
Redemptions of Fund shares (20,127) (205,391) (1,682) 0
- ------------------------------------------------------------------------------------------------------------------------------------
Cash distributions paid (404) (8,783) (388) 0
- ------------------------------------------------------------------------------------------------------------------------------------
Proceeds from financing transactions 10,528 87,353 12,898 4,002
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) from financing activities (1,035) 30,338 15,144 10,265
- ------------------------------------------------------------------------------------------------------------------------------------
Operating Activities
Purchases of long-term securities and foreign currency (140,264) (4,249,568) (85,481) (6,144)
- ------------------------------------------------------------------------------------------------------------------------------------
Proceeds from sales of long-term securities and foreign currency 140,432 4,264,532 69,024 381
- ------------------------------------------------------------------------------------------------------------------------------------
Purchases of short-term securities (net) (1,274) (66,960) (21) (4,554)
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income 1,963 17,013 388 63
- ------------------------------------------------------------------------------------------------------------------------------------
Change in other receivables/payables (net) 183 5,120 (195) (10)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) from operating activities 1,040 (29,863) (16,285) (10,264)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Cash and Foreign Currency 5 475 (1,141) 1
- ------------------------------------------------------------------------------------------------------------------------------------
Cash and Foreign Currency
Beginning of period 0 405 1,211 0
- ------------------------------------------------------------------------------------------------------------------------------------
End of period $ 5 $ 880 $ 70 $ 1
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
70 See accompanying notes
<PAGE>
Notes to Financial Statements
March 31, 1997
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 an open-end investment management company. The
Trust currently consists of 20 separate investment funds (the "Funds"); the
Total Return Fund; the Total Return Fund II; the Total Return Fund III; the
Moderate Duration Fund; the Low Duration Fund; the Low Duration Fund II; the Low
Duration Fund III; the Short-Term Fund; the Long-Term U.S. Government Fund; the
Real Return Bond Fund; the Foreign Bond Fund; the Global Bond Fund; the Global
Bond Fund II; the High Yield Fund; the Money Market Fund; the StocksPLUS Fund;
the StocksPLUS Short Strategy Fund; the Strategic Balanced Fund; the Commercial
Mortgage Securities Fund; and the International Bond Fund (available only to
private account clients of PIMCO). The annual reports for the Total Return II,
Total Return III, Moderate Duration, Low Duration II, Low Duration III, Global
Bond, Strategic Balanced and International Bond Funds are provided separately.
The Commercial Mortgage Securities and StocksPLUS Short Strategy Funds had not
commenced operations as of March 31, 1997. As used in the financial statements,
"Institutional Classes" refers to the Institutional and Administrative Classes
and "Retail Classes" refers to the A, B and C Classes of the Trust. 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.
Financing Transactions. A Fund may enter into financing transactions consisting
of the sale by the Fund of securities, together with a commitment to repurchase
similar securities at a future date. The difference between the selling price
and the future purchase price is an adjustment to interest income to the Fund.
If the counter-party to whom the Fund sells the security becomes insolvent, a
Fund's right to repurchase the security may be restricted; the value of the
security may change over the term of the financing transaction; and the return
earned by a Fund with the proceeds of a financing transaction may not exceed
transaction costs. Included in payable for investments and foreign currency
purchased are amounts of $10,528,000, $87,353,251, $12,898,320 and $4,001,769
for Long-Term U.S. Government, Foreign Bond, Global Bond II and Real Return Bond
Funds, respectively, related to these financing transactions.
Securities Transactions and Investment Income. Securities transactions are
recorded as of the trade date. Realized gains and losses from securities sold
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
commencing on the settlement date of the transaction, and includes the accretion
of discounts and amortization of premiums. Stripped mortgage backed securities
(SMBS) represent a participation in, or are secured by and payable from,
mortgage loans on real property, and may be structured in classes with rights to
receive varying proporations of principal and interest. SMBS include
interest-only securities (IOs), which receive all of the interest, and
principal-only securities (POs), which receive all of the principal. If the
underlying mortgage assets experience greater than anticipated payments of
principal, a Fund may fail to recoup some or all of its initial investment in
these securities. The market value of these securities is extremely sensitive to
changes in interest rates.
Dividends and Distributions to Shareholders. Dividends from net investment
income of each Fund, except the StocksPLUS Fund, 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 Fund 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, accumulated undistributed net realized
gains and paid in capital in order to more appropriately conform financial
accounting to tax characterizations of dividend distributions.
71
<PAGE>
Notes to Financial Statements (Cont.)
Multiclass Operations. Income and non-class specific expenses of each Fund,
except the StocksPLUS Fund, are allocated daily to each class of shares based on
the relative value of settled shares at the beginning of the day, adjusted for
purchase orders received in Federal Funds prior to 12:00 p.m., Eastern time.
Income and non-class specific expenses of the StocksPLUS Fund are allocated
daily to each class of shares based on the relative net assets of each class at
the beginning of the day. Realized and unrealized capital gains and losses of
each Fund are allocated daily to each class of shares based on the relative net
assets of each class at the beginning of the day.
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.
Features and Options. Each Fund, except the Money Market Fund, is authorized to
enter into futures contracts and options. The primary risks associated with the
use of futures contracts and options are imperfect correlation between the
change in market value of the securities held by a Fund and the prices of
futures contracts and options, the possibility of an illiquid market, and the
inability of the counter-party to meet the terms of the contract. Futures
contracts and purchased options are valued based upon their quoted daily
settlement prices. The premium received for a written option is recorded as an
asset with an equal liability which is marked to market based on the option's
quoted daily settlement price. Fluctuations in the value of such instruments are
recorded as unrealized appreciation (depreciation) until terminated, at which
time realized gains and losses are recognized.
Forward Currency Contracts. Each Fund authorized to invest in securities
denominated in Foreign currencies may 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. A Fund also may enter into these contracts for purposes of
increasing exposure to a foreign currency or to shift exposure to foreign
currency fluctuations from one country to another. 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. Realized gains or losses are recorded at the time the
forward contract matures 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 counter-party default.
At March 31, 1997, the StocksPLUS Fund was a party to S & P 500 Index swap
agreements. The agreements involve the contractual exchange of payments whereby
the Fund will receive proceeds based on the total return of the S & P 500 Index
and pay an amount based on LIBOR. The differential to be paid or received is
recognized daily over the life of the agreement. For the period ended March 31,
1997, net income of $10,684,593 was derived from the agreements and is included
in interest income of the Fund.
Delayed Delivery Transactions. A Fund may purchase or sell securities on a
when-issued or delayed delivery basis. These transactions involve a commitment
by a Fund to purchase or sell securities for a predetermined price or yield,
with payment and delivery taking place beyond the customary settlement period.
When delayed delivery purchases are outstanding, a Fund will set aside and
maintain until the settlement date in a segregated account, liquid assets in an
amount sufficient to meet the purchase price. When purchasing a security on a
delayed delivery basis, a Fund assumes the rights and risks of ownership of the
security, including the risk of price and yield fluctuations, and takes such
fluctuations into account when determining its net asset value. A Fund may
dispose of or renegotiate a delayed delivery transaction after it is entered
into, and may sell when-issued securities before they are delivered, which may
result in a capital gain or loss. When the Fund has sold a security on a delayed
delivery basis, the Fund does not participate in future gains and losses with
respect to the security. Forward sales commitments are accounted for by the Fund
in the same manner as forward currency contracts discussed above.
The following securities were subject to outstanding forward sale
commitments at March 31, 1997 which are covered by purchased call options
(amounts in thousands):
<TABLE>
Principal
Amount Value Proceeds
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Foreign Bond Fund
Commonwealth of Australia A$ 4,000 $ 4,033 $ 3,969
Commonwealth of Canada C$ 52,098 40,068 40,073
Government of Japan JY 8,424,000 79,273 78,169
Kingdom of Sweden SK 334,000 49,005 49,228
-------- --------
$172,379 $171,439
======== ========
Global Bond Fund II
Commonwealth of Australia A$ 400 $ 387 $ 361
Commonwealth of Canada C$ 5,370 4,114 4,118
Government of Japan JY 264,000 2,458 2,435
Kingdom of Sweden SK 6,900 1,032 1,024
------ ------
$7,981 $7,939
====== ======
</TABLE>
Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities
whose principal value is periodically adjusted
72
<PAGE>
according to the rate of inflation. The interest rate on these bonds is
generally fixed at issuance at a rate lower than typical bonds. Over the life of
an inflation-indexed bond, however, interest will be paid based on a principal
value which is adjusted for inflation. Any increase in the principal amount of
an inflation-indexed bond will be considered interest income, even though
investors do not receive their principal until maturity.
Estimates. The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
2. Fees, Expenses, and Related Party Transactions Investment Advisory Fee. PIMCO
serves as investment adviser (the "Adviser") to the Trust, pursuant to an
investment advisory contract. The Adviser receives a monthly fee from each Fund
at an annual rate based on average daily net assets of the Fund as follows:
Money Market Fund - 0.15%, StocksPLUS Fund - 0.40% and all other Funds - 0.25%.
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 share class's average daily
net assets. The Administration Fee for the Retail Classes is charged at an
annual rate of 0.35% for the Short-Term and Money Market Funds; 0.45% for the
Foreign Bond and Global Bond II Funds; and 0.40% for all other Funds. The
Administration Fee for the Institutional Classes is charged at an annual rate of
0.18% for the Total Return and Low Duration Funds; 0.20% for the Short-Term and
Money Market Funds; 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 Multiclass Plan adopted pursuant to Rule 18f-3 under
the Act and subject to review and approval by the Trustees. In conjunction with
the reorganization of the PIMCO Advisors Funds, the Global Bond Fund II adopted
a unified fee structure on January 17, 1997 whereby PIMCO provides services
necessary for the operation of the Fund for a single administrative fee. Each
unaffiliated Trustee receives an annual retainer of $45,000, plus $3,000 for
each Board of Trustees meeting attended, plus reimbursement of related expenses.
In addition, each committee chair receives an annual retainer of $1,500. These
expenses are allocated to the Funds of the Trust according to their respective
net assets.
Distribution and Servicing Fees. PIMCO Funds Distribution Company ("PFDCO"), a
wholly-owned subsidiary of PIMCO Advisors L.P., serves as the distributor of the
Trust's shares.
The Trust is permitted to reimburse, out of the Administrative Class assets
of each Fund offering Administrative Class shares in an amount up to 0.25% on an
annual basis of the average daily net assets of that class, financial
intermediaries that provide services in connection with the distribution of
shares or administration of plans or programs that use Fund shares as their
funding medium. The effective rate paid to PFDCO was 0.25% during 1997.
Pursuant to the Distribution and Servicing Plans adopted by the Retail
Classes of the Trust, the Trust compensates PFDCO for services provided and
expenses incurred in connection with assistance rendered in the sale of shares
and services rendered to shareholders and for maintenance of shareholder
accounts of the Retail Classes. The Trust paid PFDCO distribution and servicing
fees at an effective rate as set forth below (calculated as a percentage of each
Fund's average daily net assets attributable to each class):
<TABLE>
<CAPTION>
Effective Rate Allowable Rate
_______________________________________________________________________________
Distribution Servicing Distribution Servicing
Fee(%) Fee(%) Fee(%) Fee(%)
_______________________________________________________________________________
<S> <C> <C> <C> <C>
Class A
Money Market Fund -- 0.10 -- 0.20
All other Funds -- 0.25 -- 0.25
Class B
All Funds 0.75 0.25 0.75 0.25
Class C
Long-Term U.S. Gov't,
Foreign Bond,
Global Bond II,
High Yield and
Total Return Funds 0.75 0.25 0.75 0.25
Low Duration Fund 0.50 0.25 0.50 0.25
Real Return Bond, and
StocksPLUS Funds 0.50 0.25 0.75 0.25
Short-Term Fund 0.30 0.25 0.75 0.25
Money Market Fund -- 0.10 -- 0.20
</TABLE>
PFDCO also receives the proceeds of the initial sales charges paid by the
shareholders upon the purchase of Class A shares, except for the Money Market
Fund, and the contingent deferred sales charges paid by the shareholders upon
certain redemptions of Class A, Class B and Class C shares. For the periods
ended March 31, 1997, the Funds were informed that PFDCO received $519,595
representing commissions (sales charges) and contingent deferred sales charges
related to the Retail Classes.
73
<PAGE>
Notes to Financial Statements (Cont.)
3. Purchases and Sales of Securities
Purchases and sales of securities (excluding short-term investments) for the
period ended March 31, 1997 were as follows ($ in thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
------------------------------------------------------
Purchases Sales Purchases Sales
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Long-Term U.S.
Gov't Fund $ 140,438 $ 147,050 $ 0 $ 1,373
- ------------------------------------------------------------------------------
Foreign Bond Fund 1,613 27,020 4,347,464 4,568,215
- ------------------------------------------------------------------------------
Global Bond Fund II 3 0 74,560 73,682
- ------------------------------------------------------------------------------
High Yield Fund 31,997 30,035 898,183 471,149
- ------------------------------------------------------------------------------
Total Return Fund 19,526,506 17,697,807 2,764,451 3,420,894
- ------------------------------------------------------------------------------
Real Return
Bond Fund 12,727 8,321 1,661 168
- ------------------------------------------------------------------------------
Low Duration Fund 6,246,804 6,089,127 645,838 790,289
- ------------------------------------------------------------------------------
Short-Term Fund 31,692 36,078 78,927 43,974
- ------------------------------------------------------------------------------
StocksPLUS Fund 40,919 39,491 97,336 37,747
- ------------------------------------------------------------------------------
</TABLE>
4. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows ($ in thousands):
<TABLE>
<CAPTION>
Long-Term Foreign Total Low Short-
U.S. Gov't Bond Return Duration Term StocksPLUS
Fund Fund Fund Fund Fund Fund
- ----------------------------------------------------------------------------------------------
-------------------------------Premium---------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balance at 3/31/96 $ 4 $ 80 $ 11,679 $ 0 $ 0 $ 0
Sales 75 0 41,410 4,036 22 41
Closing Buys (40) 0 0 0 (21) (31)
Expirations (5) (80) (11,682) (325) (1) (10)
Exercised 0 0 (11,189) 0 0 0
-----------------------------------------------------------------------
Balance at 3/31/97 $ 34 $ 0 $ 30,218 $3,711 $ 0 $ 0
-----------------------------------------------------------------------
</TABLE>
5. Summaries
The following amounts relate to items accumulated in the Statement
of Assets and Liabilities, the Statement of Operations and the Statement of
Changes in Net Assets (amounts in thousands):
<TABLE>
<CAPTION>
Long-Term Foreign High Total Real Low Short- Money Stocks-
U.S. Gov't Bond Yield Return Return Duration Term Market PLUS
Fund Fund Fund Fund Bond Fund Fund Fund Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Shares Outstanding
Institutional Class 2,129 22,559 67,081 1,219,656 568 280,193 15,648 23,497 20,574
- -----------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 3 940 14,719 0 2,361 451 12 60
- -----------------------------------------------------------------------------------------------------------------------------------
Distributions to Shareholders
From net investment income
Institutional Class $1,773 $ 7,980 $64,102 $ 737,816 $ 45 $170,430 $ 7,220 $ 1,360 $21,952
- -----------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 407 8,454 0 511 221 1 8
- -----------------------------------------------------------------------------------------------------------------------------------
In excess of net investment income
Institutional Class 0 0 0 18,432 0 5,074 156 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 0 211 0 15 5 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
From net realized capital gains
Institutional Class 0 24,345 9,166 0 0 0 0 0 8,793
- -----------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 88 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
In excess of net realized capital gains
Institutional Class 693 0 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
74
<PAGE>
6. Federal Income Tax Matters
As of March 31, 1997, the Funds listed in the table below had remaining capital
loss carryforwards that were realized in current and prior years. In addition,
as part of the transaction described in Note 7, the High Yield, Total Return and
Low Duration Funds acquired capital loss carryforwards from the PIMCO Advisors
High Income, PIMCO Advisors Total Return Income, PIMCO Advisors U.S. Government
and PIMCO Advisors Short-Intermediate Funds. Use of the acquired capital loss
carryforwards may be limited under current tax laws.
Additionally, the Long-Term U.S. Government and Total Return Funds realized
capital losses during the fiscal year for which the Fund elected to defer them
to the following fiscal year pursuant to income tax regulations. The amounts
are $1,931,570 and $96,365,587, respectively.
Each Fund will resume capital gain distributions in the future to the extent
gains are realized in excess of the available carryforwards.
<TABLE>
<CAPTION>
Capital Loss Carryforwards
(amounts in thousands)
---------------------------
Realized Acquired
Losses Losses Expiration
- ----------------------------------------------------------------
<S> <C> <C> <C>
High Yield Fund $ - $50,541 03/31/02
- 5,495 03/31/01
- 28,820 03/31/98
Total Return Fund 8,241 - 03/31/05
- 988 03/31/04
- 8,501 03/31/02
- 17,277 03/31/01
Low Duration Fund 2,898 - 03/31/03
- 1,170 03/31/02
- 3,550 03/31/01
- 738 03/31/99
</TABLE>
7. Reorganization
Each Acquiring Fund, as listed below, acquired the assets and certain
liabilities of the Acquired Fund, also listed below, in a tax-free exchange for
shares of the Acquiring Fund, pursuant to a plan of reorganization approved by
the Acquired Fund's shareholders (amounts in thousands):
<TABLE>
<CAPTION>
Total
Shares Value of Total Net Total Net Net Assets Acquired
Issued by Shares Issued Assets of Assets of of Acquiring Fund(s)
Acquiring by Acquiring Acquiring Acquiring Fund After Unrealized
Acquiring Fund Acquired Fund(s) Date Fund Fund Fund(s) Fund Acquisition Appreciation
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
PIMCO High Yield Fund PIMCO Advisors
High Income
Fund 01/17/97 25,309 $283,718 $283,718 $ 791,932 $ 1,075,650 $12,610
- ------------------------------------------------------------------------------------------------------------------------------------
PIMCO Total Return Fund PIMCO Advisors
Total Return
Income Fund and
PIMCO Advisors
U.S. Government
Fund 01/17/97 47,783 $499,338 $499,338 $12,445,156 $12,944,494 $ 5,236
- ------------------------------------------------------------------------------------------------------------------------------------
PIMCO Low Duration Fund PIMCO Advisors
Short-Intermediate
Fund 01/17/97 11,967 $120,271 $120,271 $ 2,829,201 $ 2,949,472 $ 448
- ------------------------------------------------------------------------------------------------------------------------------------
PIMCO Money Market Fund PIMCO Advisors
Money Market
Fund 01/17/97 69,202 $ 69,202 $ 69,202 $ 25,027 $ 94,229 $ 0
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
On January 17, 1997 the Global Bond Fund II, previously known as the Global
Income Fund, a portfolio in the PIMCO Advisors Funds, was reorganized as a
portfolio of the PIMCO Funds: Pacific Investment Management Series pursuant to
an agreement and plan of reorganization approved by the Fund's shareholders. In
connection with the reorganization the year end date of the Fund was changed
from September 30 to March 31.
75
<PAGE>
Notes to Financial Statements (Cont.)
8. 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
(amounts in thousands):
<TABLE>
<CAPTION> LONG-TERM U.S. GOV'T FUND FOREIGN BOND FUND
YEAR ENDED 3/31/97 YEAR ENDED 3/31/96 YEAR ENDED 3/31/97
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 712 $ 6,985 2,022 $ 21,443 14,462 $ 155,503
- ---------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 0 0 3 30
- ---------------------------------------------------------------------------------------------------------------------------------
Class A 128 1,237 0 0 69 715
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 48 469 0 0 117 1,236
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 29 281 0 0 172 1,809
- ---------------------------------------------------------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0 0 0
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 0 0
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0 0 0
- ---------------------------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Institutional Class 215 2,113 372 3,954 2,246 23,548
- ---------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 0 0 0 0
- ---------------------------------------------------------------------------------------------------------------------------------
Class A 0 1 0 0 0 1
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 0 1 0 0 0 2
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 0 1 0 0 0 3
- ---------------------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Institutional Class (2,062) (20,121) (2,415) (26,116) (18,761) (205,567)
- ---------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 0 0 0 0
- ---------------------------------------------------------------------------------------------------------------------------------
Class A 0 0 0 0 (1) (6)
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 0 0
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 0 (1) 0 0 0 (2)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) resulting from
Fund share transactions (930) $ (9,034) (21) $ (719) (1,693) $ (22,728)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION> REAL REURN BOND FUND LOW DURATION FUND
PERIOD ENDED 3/31/97 YEAR ENDED 3/31/97 YEAR ENDED 3/31/96
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 564 $5,636 139,451 $ 1,394,715 141,847 $ 1,416,204
- -----------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 2,251 22,564 267 2,678
- -----------------------------------------------------------------------------------------------------------------------------------
Class A 0 0 2,135 21,468 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 51 514 178 1,783 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 15 149 1,581 15,897 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 5,364 53,912 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 454 4,564 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 6,149 61,795 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Institutional Class 4 45 15,036 149,996 14,360 143,328
- -----------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 52 518 8 83
- -----------------------------------------------------------------------------------------------------------------------------------
Class A 0 0 61 615 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 0 1 3 33 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 49 495 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Institutional Class 0 0 (143,424) (1,432,178) (126,025) $(1,258,060)
- -----------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 (197) (1,971) (99) (983)
- -----------------------------------------------------------------------------------------------------------------------------------
Class A 0 0 (1,615) (16,266) 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 (104) (1,047) 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 (1,407) (14,179) 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) resulting from
Fund share transactions 634 $6,345 26,017 $ 262,714 30,358 $ 303,250
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
FOREIGN BOND FUND
YEAR ENDED 3/31/96
SHARES AMOUNT
------------------------
<S> <C> <C>
Receipts for shares sold
Institutional Class 7,828 $ 79,674
- ------------------------------------------------------------------------------
Administrative Class 0 0
- ------------------------------------------------------------------------------
Class A 0 0
- ------------------------------------------------------------------------------
Class B 0 0
- ------------------------------------------------------------------------------
Class C 0 0
- ------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0
- ------------------------------------------------------------------------------
Class B 0 0
- ------------------------------------------------------------------------------
Class C 0 0
- ------------------------------------------------------------------------------
Issued as reinvestment of distributions
Institutional Class 1,752 17,861
- ------------------------------------------------------------------------------
Administrative Class 0 0
- ------------------------------------------------------------------------------
Class A 0 0
- ------------------------------------------------------------------------------
Class B 0 0
- ------------------------------------------------------------------------------
Class C 0 0
- ------------------------------------------------------------------------------
Cost of shares redeemed
Institutional Class (9,773) (98,221)
- ------------------------------------------------------------------------------
Administrative Class 0 0
- ------------------------------------------------------------------------------
Class A 0 0
- ------------------------------------------------------------------------------
Class B 0 0
- ------------------------------------------------------------------------------
Class C 0 0
- ------------------------------------------------------------------------------
Net increase (decrease) resulting from
Fund share transactions (193) $ (686)
- ------------------------------------------------------------------------------
</TABLE>
76
<PAGE>
Notes to Financial Statements (Cont.)
8. 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
(amounts in thousands):
<TABLE>
<CAPTION>
GLOBAL BOND FUND II HIGH YIELD FUND
PERIOD ENDED 3/31/97 YEAR ENDED 9/30/96 YEAR ENDED 3/31/97
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 0 $ 0 0 $ 0 37,480 $ 414,058
- ---------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 0 0 1,323 14,665
- ---------------------------------------------------------------------------------------------------------------------------------
Class A 136 1,518 803 8,176 480 5,390
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 70 778 301 3,155 1,083 12,160
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 177 1,967 352 3,688 1,380 15,420
- ---------------------------------------------------------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0 2,634 29,527
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 4,447 49,852
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0 18,228 204,339
- ---------------------------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Institutional Class 0 0 0 0 6,306 69,870
- ---------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 0 0 31 353
- ---------------------------------------------------------------------------------------------------------------------------------
Class A 16 171 4 43 25 271
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 13 138 3 35 37 412
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 19 215 5 48 163 1,819
- ---------------------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Institutional Class 0 0 0 0 (25,767) (286,865)
- ---------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 0 0 (506) (5,554)
- ---------------------------------------------------------------------------------------------------------------------------------
Class A (118) (1,285) (135) (1,439) (537) (6,044)
- ---------------------------------------------------------------------------------------------------------------------------------
Class B (16) (178) (9) (96) (136) (1,524)
- ---------------------------------------------------------------------------------------------------------------------------------
Class C (21) (236) (41) (429) (1,272) (14,308)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) resulting from
Fund share transactions 276 $ 3,088 1,283 $13,181 45,399 $ 503,841
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
HIGH YIELD FUND TOTAL RETURN FUND
YEAR ENDED 3/31/96 YEAR ENDED 3/31/97 YEAR ENDED 3/31/96
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 27,025 $ 294,885 358,561 $ 3,709,839 342,019 $ 3,567,811
- -----------------------------------------------------------------------------------------------------------------------------------
Administrative Class 90 998 12,842 132,504 11,183 117,173
- -----------------------------------------------------------------------------------------------------------------------------------
Class A 0 0 3,360 35,013 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 1,002 10,459 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 1,329 13,775 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 8,630 90,184 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 6,410 66,992 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 32,743 342,162 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Institutional Class 3,932 43,030 58,681 606,425 56,475 592,359
- -----------------------------------------------------------------------------------------------------------------------------------
Administrative Class 2 25 820 8,479 373 3,923
- -----------------------------------------------------------------------------------------------------------------------------------
Class A 0 0 88 900 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 49 513 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 223 2,316 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Institutional Class (14,184) (156,050) (193,748) (2,001,935) (124,938) (1,308,591)
- -----------------------------------------------------------------------------------------------------------------------------------
Administrative Class (4) (46) (9,113) (94,080) (2,289) (24,091)
- -----------------------------------------------------------------------------------------------------------------------------------
Class A 0 0 (810) (8,458) 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 (244) (2,564) 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 (2,256) (23,590) 0 0
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) resulting from
Fund share transactions 16,861 $ 182,842 278,567 $ 2,888,934 282,823 $ 2,948,584
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHORT-TERM FUND MONEY MARKET FUND
YEAR ENDED 3/31/97 YEAR ENDED 3/31/96 YEAR ENDED 3/31/97
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 18,060 $ 180,257 13,481 $ 133,513 48,817 $ 48,817
- ---------------------------------------------------------------------------------------------------------------------------------
Administrative Class 867 8,640 435 4,324 8 8
- ---------------------------------------------------------------------------------------------------------------------------------
Class A 441 4,435 0 0 303,692 303,692
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 19 197 0 0 3,657 3,657
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 140 1,403 0 0 262,815 262,815
- ---------------------------------------------------------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0 14,653 14,653
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 2,499 2,499
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0 52,050 52,050
- ---------------------------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Institutional Class 625 6,243 498 4,930 1,077 1,077
- ---------------------------------------------------------------------------------------------------------------------------------
Administrative Class 1 15 0 0 1 1
- ---------------------------------------------------------------------------------------------------------------------------------
Class A 1 5 0 0 192 192
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 0 1 0 0 15 15
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 0 4 0 0 605 605
- ---------------------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Institutional Class (13,294) (132,676) (12,924) (127,940) (52,332) (52,332)
- ---------------------------------------------------------------------------------------------------------------------------------
Administrative Class (820) (8,162) (32) (320) (7) (7)
- ---------------------------------------------------------------------------------------------------------------------------------
Class A (189) (1,898) 0 0 (274,948) (274,948)
- ---------------------------------------------------------------------------------------------------------------------------------
Class B (8) (83) 0 0 (3,028) (3,028)
- ---------------------------------------------------------------------------------------------------------------------------------
Class C (4) (44) 0 0 (230,072) (230,072)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) resulting from
Fund share transactions 5,839 $ 58,337 1,458 $ 14,507 129,694 $ 129,694
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
MONEY MARKET FUND STOCKSPLUS FUND
YEAR ENDED 3/31/96 YEAR ENDED 3/31/97 YEAR ENDED 3/31/96
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 23,183 $23,183 7,685 $ 91,156 10,056 $114,561
- --------------------------------------------------------------------------------------------------------------------------------
Administrative Class 4 4 64 746 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Class A 0 0 515 6,245 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 720 8,743 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 1,276 15,506 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Institutional Class 388 388 2,419 28,060 1,556 17,428
- --------------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 1 8 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Class A 0 0 5 64 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 7 86 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 13 156 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Institutional Class (5,377) (5,377) (3,137) (36,460) (2,440) (28,558)
- --------------------------------------------------------------------------------------------------------------------------------
Administrative Class (4) (4) (5) (58) 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Class A 0 0 (15) (182) 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 (3) (33) 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 (306) (3,565) 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) resulting from
Fund share transactions 18,194 $18,194 9,239 $110,472 9,172 $103,431
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
77
<PAGE>
Report of Independent Accountants
To the Trustees and Shareholders of the PIMCO Funds:
Pacific Investment Management Series
In our opinion, the accompanying statement of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and cash flows and the financial highlights present
fairly, in all material respects, the financial position of the Long-Term U.S.
Government Fund, Foreign Bond Fund, Global Bond Fund II (formally known as the
"Global Income Fund"), High Yield Fund, Total Return Fund, Real Return Bond
Fund, Low Duration Fund, Short-Term Fund, Money Market Fund and StocksPLUS Fund
(hereafter referred to as the "Funds") at March 31, 1997, and the results of
each of their operations, the changes in each of their net assets and cash flows
for the Long-Term U.S. Government Fund, Foreign Bond Fund, Global Bond Fund II
and the Real Return Bond Fund and the financial highlights for each of the
periods indicated, in conformity with generally accepted accounting principles.
These financial statements and the financial highlights (hereafter referred to
as "financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at March
31, 1997 by correspondence with the custodian and brokers and the application of
alternative auditing procedures where confirmations from brokers were not
received, provide a reasonable basis for the opinion expressed above. The
statement of changes in net assets for the period ended September 30, 1996 and
the financial highlights for each of the periods then ended for the Global Bond
Fund II were audited by other independent accountants whose report dated
November 22, 1996 expressed an unqualified opinion on those statements.
Price Waterhouse LLP
Kansas City, Missouri
May 22, 1997
78
<PAGE>
PIMCO Funds: Access to the highest standard
PIMCO Funds offer discerning investors unique access to the institutional
investment expertise of PIMCO Advisors L.P.
Managing over $110 billion in assets ($26 billion in mutual funds), PIMCO Funds
consists of six institutional investment firms, each specializing in a
particular investment discipline or style. Together their reputation and
performance record has attracted many prestigious institutional clients,
including 35 of the 100 largest U.S. corporations.
Manager PIMCO Advisors L.P., 800 Newport Center Drive,
Suite 100, Newport Beach, CA 92660
Distributor PIMCO Funds Distribution Company, 2187 Atlantic
Street, Stamford, CT 06902
Custodian Investors Fiduciary Trust Company, 127 West 10th
Street, Kansas City, MO 64105
Shareholder Servicing Agent Shareholder Services, Inc., P.O. Box 5866,
and Transfer Agent Denver, CO 80217
Independent Price Waterhouse LLP, 1055 Broadway, Kansas
Accountant City, MO, 64105
Legal Counsel Dechert Price & Rhoads, 1500 K Street N.W.,
Washington, DC, 20005
For Account For PIMCO Funds account information contact your
Information financial advisor, or if you receive account
statements directly from PIMCO Funds, you can
also call 1-800-426-0107. Telephone
representatives are available Monday-Friday 8:30
am to 8:00 pm eastern time.
This is a copy of a report by PIMCO Funds to its shareholders. Distribution of
this report to persons other than shareholders of the Trust is authorized only
when accompanied by the Trust's Prospectus. This report does not offer for sale
or solicit orders to buy any securities.
This material is authorized for use only when preceded or accompanied by a
current PIMCO Funds prospectus, which describes in greater detail the investment
policies, management fees and other matters of interest to prospective
investors. Please read the prospectus carefully before you invest or send money.
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Stamford, CT 06902
