<PAGE>
PIMCO Funds Semi-Annual Report
[PICTURE APPEARS HERE]
The volatility in the stock market has tested the patience of even the most
steadfast investor. That's why more and more people are charting a calmer course
with bonds. Story on page 4.
September 30, 1997
Pacific Investment Management Series
Long-Term U.S. Government
Foreign Bond
Global Bond II
Emerging Markets Bond
High Yield
Total Return
Real Return Bond
Low Duration
Short-Term
Money Market
StocksPLUS
Inside this report:
Page 2 Letter From PIMCO Funds' Chairman
Where We've Been and What's Ahead
Page 4 Today's Investor
Looking for Smoother Sailing?
Page 6 Manager Spotlight
William Gross of Pacific Investment Management
Page 7 In The News
Recent News on PIMCO Funds
Page 8 Investor Services: PIMCO Funds is on the Web
Page 9 Overview: Comprehensive Fund Family
Page 10 PIMCO Funds Financial Information
PIMCO Funds
<PAGE>
- -----------------
Chairman's Letter
- -----------------
Dear Fellow Shareholder:
The financial markets continue to generate solid results for investors. For the
one-year period ended September 30, 1997 the stock market, as measured by the
Standard & Poor's 500 Index of stocks, rose 40.4%. The overall bond market, as
measured by the Lehman Aggregate Bond Index, posted a 9.7% return.
Positive Market Conditions The last twelve months have been an exhilarating
experience for many investors, as the value of their portfolios grew
substantially. As we anticipated, bond yields fluctuated in a fairly narrow
range. We expect this trend to persist, as long-term interest rates should
remain between 51/2 and 7% in the coming several years. Given this environment,
we believe bonds will continue to post good returns.
Interest rate stability was a contributing factor to the above-average returns
in the stock market. However, the stock market did experience some bumps in the
road. In March, the stock market threatened to end its historic bull market, as
the Standard & Poor's 500 Index fell nearly 10% for the first time in seven
years. Yet, investors who looked beyond the daily headlines and stuck with their
long-term goals were amply rewarded.
Looking Ahead As I write this letter, there are reasons to be optimistic about
the future performance of the stock and bond markets. We're in the midst of an
economy that has grown at a steady pace, but not so fast that it has triggered
an increase in inflation. This phenomenon has been a major factor in the
markets' strong performance during the past few years.
However, it is highly unlikely that we will see a repeat of the recent dramatic
stock market gains. Historically, stocks have posted an annual 10.7% return, yet
for the three year period ended September 30, 1997, stocks have risen 29.9%
annually. As a result, going forward it will be important to adequately
diversify your portfolio and maintain realistic expectations about your
investments.
On the next pages you will find a more complete review of the stock and bond
markets, followed by a number of investment strategies to consider with your
financial advisor given today's market conditions. We then provide a recent
interview with Bill Gross, a managing director and founder of Pacific Investment
Management Company.
As always, we appreciate the trust you have placed in us, and we will continue
to work hard to help you meet your financial objectives. If you have any
questions regarding your investment please contact your financial advisor, or
call us at 1-800-426-0107.
Sincerely,
/s/ Brent R. Harris
Brent R. Harris
Chairman of the Board
October 16, 1997
2
<PAGE>
- -------------
Market Review
- -------------
The Bond Market
A Strong Rebound Takes Place
In our report to shareholders six months ago we stated "The Future Looks Bright"
for bonds. At the time, our optimism may have looked like wishful thinking. The
Federal Reserve Board had just raised interest rates 1/4 of a percentage point
as a preemptive strike against inflation. This caused long-term interest rates
to surge above 7.1% by the end of the first quarter.
Interest rates fell after surging earlier in the year--causing bond prices to
rise
[LINE GRAPH APPEARS HERE]
Stong Rebound Graph
- -------------------
6.743
6.847
6.803
6.817
6.681
6.508
6.459
6.438
6.352
6.513
6.574
6.608
6.564
6.734
6.848
6.825
6.893
6.792
6.706
6.527
6.645
6.805
6.816
6.944
6.971
7.09
7.126
7.169
7.056
7.145
6.877
6.893
6.9
6.989
6.908
6.776
6.726
6.663
6.744
6.629
6.531
6.532
6.456
6.456
6.636
6.548
6.651
6.612
6.643
6.588
6.379
6.368
However, our forecast was prophetic, as the bond market has since shaken
off its first quarter losses and rebounded sharply. Virtually every sector of
the bond market has participated in the rally, led by emerging market and high
yield bonds.
There were several factors that contributed to the rebound, including the
strong U.S. dollar, signs of a slowing economy, a low inflationary environment
and the subsequently reduced threat of a Federal Reserve interest rate hike. In
addition, we saw periods of weakness in the stock market. This led to some very
positive supply-and-demand considerations, as investors took steps to reallocate
assets into bonds.
However, a portion of the gain was erased in early October, following
comments from Federal Reserve Chairman Alan Greenspan. In his testimony to
Congress on October 8th he warned that the low unemployment rate might drive
wages and prices higher. Bonds took a second hit two days later when a jump in
the Producer Price Index fanned concern that the Fed may soon raise interest
rates.
Based on Mr. Greenspan's comments, we believe there is a slight chance for
an interest rate hike by year-end. However, over the long-term, we believe rates
will decline below their current level. Currently, we're forecasting that rates
may fall to around 6.0% in the coming year.
- --------------------------------------------------------------------------------
The Stock Market
Seven Years and Counting
By all measures, the current bull market is a record-setter. When the ascent
began in October 1991, the Dow Jones Industrial Average stood at 2,365. In July
1997, the Dow eclipsed 8,000. During this impressive climb, the Dow has posted
an annualized return of 21.0%--nearly double that of its historical average.
Despite some bumps in the road, stocks continued their seven year climb.
[LINE GRAPH APPEARS HERE]
Seven Year Graph
- ----------------
701.46
700.66
710.82
700.92
703.77
730.82
737.62
748.73
757.02
739.6
728.64
748.87
756.79
748.03
759.5
776.17
770.52
786.16
789.56
808.48
801.77
790.82
804.97
793.17
784.1
773.88
757.9
737.65
766.34
765.37
812.97
824.78
829.75
847.03
848.28
858.01
893.27
898.7
887.3
916.92
916.68
915.3
938.79
947.14
933.54
900.81
923.54
899.47
829.05
923.91
950.51
945.22
The question on the minds of many investors is how much longer can this
last? As 1997 began, few people thought the market's good fortunes would
continue. After all, the combined 1995 and 1996 market return of 68% was the
best in over 40 years. Yet, during the first three quarters of 1997, stocks have
tacked on another 29% gain.
1997 started off as the year of large-cap stocks. Specifically, the largest
50 companies, known as the "Nifty 50", led the way. Investors flocked to these
highly liquid, household names, as they looked for solace amid market
volatility. However, by the third quarter of 1997 the tide had turned, as
concerns grew that large-cap stocks were becoming overvalued. As a result,
during the three-month period ended September 30 the returns of small- and
mid-cap stocks were double that of their large-cap counterparts.
Aside from the continuation of the historic bull run, the other noteworthy
news has been the market's volatility. After several years of relative
stability, daily swings of 1% and 2% have become commonplace, as investors
react, and overreact, to short-term events. Based on the length and breadth of
the bull market there is little indication that this volatility will subside in
the near future.
Turning briefly to the inter-national markets, we have seen good returns in
many European and Latin America countries, while the Japanese and Southeast
Asian markets have experienced notable declines.
Looking ahead, we remain cautiously optimistic about the prospects for the
stock market. The optimism lies in the fact that the current environment is
positive and corporate profits are generally healthy. However, if inflation and
interest rates move upward we could see a reversal of fortune. Therefore, it's
important for investors to ensure that their port-folios are adequately
diversified and to maintain a long-term outlook.
3
<PAGE>
- ---------
Today's
Investor
- ---------
Looking for Smoother Sailing?
Chart a calmer course with bonds
[PICTURE APPEARS HERE]
The volatility in the stock market has become a routine, but unsettling, part of
investing. Climbs and dips of 100 or more points in a single trading session
occur frequently. So how should you react to a sharp rise or decline in the
price of stocks? Buy? Sell? Hold?
No one can predict the stock market's future course, so it's best to avoid
overreacting to short-term events. Instead, work with your financial advisor to
ensure you have a balanced portfolio that will allow you to sail through an
erratic market environment.
Schedule a Portfolio Checkup
When reviewing your portfolio with your financial advisor, it's important to
keep in mind the amount of risk you can tolerate, and the time frame available
for reaching your investment goals. These factors are critical to determining
the type of investments you should have. For example, if you need money for your
child's education in the next couple of years, you would want to invest in less
aggressive mutual funds that have lower risk potential.
<TABLE>
<CAPTION>
Selecting a Fund
Evaluate Your Risk Tolerance
- ---------------------------------------------------------
Lower Risk/ Higher Risk/
Growth Potential Growth Potential
- ---------------------------------------------------------
<S> <C> <C> <C>
Shorter-Term Bond Stock Aggressive
Bond Funds Funds Funds Stock Funds
</TABLE>
The spectrum above is not based on any statistical risk and reward data, but is
instead a graphic depiction of the relative potential risk and reward of various
funds.
On the other hand, if you have a longer-term investment goal like retirement,
you may consider concentrating your assets in more aggressive mutual funds that
have greater reward potential.
Proper Asset Allocation Is Key
Whether you're investing to meet short- or long-term needs, you can't totally
escape market volatility. One way to temper this volatility is by allocating an
adequate portion of your portfolio's assets to bond mutual funds. In fact, one
of the biggest benefits of investing in bond funds is that you can earn steady
returns with less volatility than in the stock market.
The Case for Bonds
Lower Volatility
Worst 1-Year Best 1-Year
----------------------------------------
- -43% Stocks +54%
----------------------------------------
-------------
-5% Bonds +29%
-------------
0
Annual Total Return
Source: Ibbatson Associates from 1926-1996. Stocks represented by the S&P 500
Index; an unmanaged index of common stocks. Bonds represented by a one-bond
portfolio tracked by Ibbatson with a 5-year maturity. It is not possible to
invest in an unmanaged index. Past performance is no guarantee of future
results. Returns not representative of any PIMCO Fund.
In addition to lower volatility, many people don't realize that investing in
bonds can provide capital appreciation potential on top of dividend income. This
is due to the inverse relationship between interest rates and bond prices.
Assume an investor buys a $10,000 bond with a yield of 6%. If interest rates
fall to 4%, the demand for a bond paying 6% would increase, and the price of
that bond would rise above $10,000, generating a gain on the initial investment.
Of course, the opposite scenario can also occur. If rates increase to 7%, the
demand for a bond that pays only 6% would fall, so the price of that bond would
drop below $10,000.
Interest Rates and Bond Prices Move in Opposite Directions
Interest [ARROW POINTING Bond [ARROW POINTING UP
Rates DOWN APPEARS HERE] Prices APPEARS HERE]
4
<PAGE>
The Benefits of Bonds
The capital appreciation potential of bonds is only one of several unknown or
misunderstood principles of investing in fixed income securities. The questions
and answers that follow are aimed at clearing up some other misconceptions about
bonds, and at helping you understand why it's a good idea to always make bonds a
core part of your portfolio.
1. Don't returns on stocks and bonds move in the same direction?
Generally speaking, the returns on stocks and bonds do not move in tandem,
because in many cases profits are driven by different factors. Gains on stocks
often stem from earnings, while returns on bonds depend more on economic
factors, such as interest rates and inflation. Although in recent years returns
on both types of securities have moved more in sync, this has not been the
case over the long run.
2. Wouldn't an economic slowdown hurt the performance of bonds?
No, just the opposite. A slower economy would likely lead to lower interest
rates, which drive bond prices up. Again, the key concept here is the inverse
relationship between interest rates and bond prices. One interesting note: many
economists are projecting slower economic growth in 1998, which could help bond
prices.
3. Are the yields on bonds lower now than they have been in recent years?
It's true that bond yields are lower than they were five or ten years ago, but
it's important to look at the real rate of return, which is a better way to
judge performance. 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
September 30, 1997, the real rate of return on 30-year U.S. Treasuries was 4.2%
(6.4% yield- 2.2% inflation rate). This "real" return is more than double the
historical average rate of 1.8%.
Real rates of return (yield minus inflation) are now significantly higher than
their historical average.
<TABLE>
<CAPTION>
<S> <C>
Historical
Real Rate of Return 1.8%
Current
Real Rate of Return 4.2%
</TABLE>
Real rate of return and historical average based on yield of 30-year Treasury
bonds, less the rate of inflation (represented by the CPI). Current real rate of
return as of 9/30/97. Historical rate of return from 12/31/25-12/31/96.
Past performance is no indication of future results.
To further illustrate this point, compare the real rate of return on bonds with
that of another investment, such as CDs. CDs and other government-insured
instruments are widely viewed as safe investments (unlike bond funds, CDs are
guaranteed as to repayment of principal and interest), but in the end you can
lose earning potential. In the early 1980s, for example, CDs were yielding
around 15%, but after taxes and inflation a 15% CD barely broke even.
Don't Limit Your Earning Potential
Some safe investments can be a losing proposition
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
CD RATE AFTER
TAX AND
CD RATE INFLATION
- --------------------------------------------------
<S> <C>
7.9 -0.85
- --------------------------------------------------
5.3 0
- --------------------------------------------------
5.1 -1
- --------------------------------------------------
8.6 -3.3
- --------------------------------------------------
10.4 -8
- --------------------------------------------------
7.1 -2.5
- --------------------------------------------------
5.8 -1.1
- --------------------------------------------------
6.1 -2.9
- --------------------------------------------------
8.9 -4.8
- --------------------------------------------------
12 -7.83
- --------------------------------------------------
13.8 -6.3
- --------------------------------------------------
16.9 -0.85
- --------------------------------------------------
13.3 2.5
- --------------------------------------------------
9.6 1.5
- --------------------------------------------------
11.2 2
- --------------------------------------------------
8.5 0.85
- --------------------------------------------------
6.7 2.4
- --------------------------------------------------
7.2 0.02
- --------------------------------------------------
8.2 0.8
- --------------------------------------------------
9.5 1.5
- --------------------------------------------------
8.5 -0.7
- --------------------------------------------------
6.1 0.8
- --------------------------------------------------
3.8 -0.5
- --------------------------------------------------
3.3 -0.6
- --------------------------------------------------
5 0.5
- --------------------------------------------------
6.2 1.4
- --------------------------------------------------
</TABLE>
SOURCE: CD rate is based on the annualized average of 6-month CDs from the
Federal Reserve Bulletin. Inflation based on the CPI, and tax rate is based on
the maximum federal income tax rate. Past performance is no guarantee of future
results. Unlike an investment in stocks and bonds, CDs are guaranteed as to
repayment of principal and interest. Investment return from stocks and bonds
will fluctuate and the value of an investor's shares will fluctuate and may be
worth more or less than original cost when redeemed.
4. Does a bond fund's yield differ from its total return?
A bond fund's yield only indicates the income it is generating at a given point
in time. Total return not only takes into account the income a bond fund pays,
but also any change in its share price. Once again, keep in mind the previous
example showing how the price of a bond goes up and down. A bond's appreciation
or depreciation plays a key role in its total return. For example, if you invest
in a bond fund with a yield of 7% but its share price falls 8%, you're losing
money. So, when you're considering bond funds, it's more important to look at a
fund's total return than its current yield.
5. What percentage of my portfolio should be in stocks versus bonds?
It depends on your financial objectives, time frame and risk tolerance. If you
previously targeted a percentage of your portfolio for bonds you may need to
make a reallocation. That's because the strong stock market rally has caused
many portfolios to become top-heavy with equities. To determine what percentage
of bonds fits your individual needs, contact your financial advisor. He or she
can review your portfolio and recommend what steps you should take.
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. He is also
the portfolio manager of the highly-rated PIMCO Total Return and Low Duration
Funds. Mr. Gross continues to earn praise from the financial community. The Wall
Street Journal (8/97) said, "When Bill Gross speaks, Wall Street listens--for
good reason." And SmartMoney (9/97) noted that "...his influence over the bond
market rivals that of Fed Chairman Alan Greenspan." We recently checked in with
Mr. Gross to get his latest views on the economy and the bond market.
Q: Do you view the current economic environment as favorable for bonds?
A: Absolutely. Bonds have a number of things going for them. They thrive in
periods of low inflation, which we've had for a number of years now. Beyond
this, economic growth is projected to slow down during the next year, which
could lead to lower interest rates and create an even more beneficial
environment for bond prices.
[PHOTO APPEARS HERE]
Q: How far do you think bond yields could fall during the next year?
A: I think long-term interest rates may come down to six percent, due to the
combination of slower economic growth and low inflation. There's also a very
favorable supply-and-demand scenario, as investors are reallocating more of
their assets into bonds. In fact, more people are beginning to look at bond
funds for the first time in several years.
Q: What is your reaction to the trend of investors reallocating assets into
bonds?
A: I am encouraged. In my book ("Everything You've Heard About Investing Is
Wrong"), I explain that the factors that have driven the stock market's returns
will not be repeated in our lifetimes. And I think the total returns offered by
bonds will be quite favorable compared to stocks, with substantially less
downside risk.
Q: Do you think the Federal Reserve will raise interest rates by the end of the
year?
A: Federal Reserve Chairman Alan Greenspan fueled fears of a rate increase
during his congressional testimony in October. During his speech he warned about
potentially higher wages and prices stemming from the low unemployment rate.
Therefore, I think there's a slight chance that the Fed may raise rates by
year-end, but interest rates will decline over the long run.
Q: If interest rates change, how will you respond in terms of your portfolio
holdings?
If interest rates creep up to the 6.5 percent range, we would view that as a
buying opportunity, since we believe that yields could drop to around six
percent, as I said. However, if rates continue to fall, we would trim some of
our mortgage holdings and move the remaining allocation to lower coupon
pass-throughs and adjustable rate mortgages, as refinancing risks would
increase.
Q: Are you sticking with your "Butler Creek" outlook for bond yields?
A: The interest rate environment is still behaving like tranquil Butler Creek,
which is located near my old home in Middletown, Ohio. What I mean by this is
that long-term rates should gently fluctuate within a range of five to seven
percent over the next three to five years.
Q: Assuming we continue down "Butler Creek," what is the best strategy for
investors going forward?
A: The key to a successful investment strategy in such a calm interest rate
environment is generating high income from your bond holdings. This focus
differs from high yield, which is associated with junk bonds. A good first
simple step is to lengthen the maturity on the bonds in your portfolio, since a
bond with a longer duration will yield more than its shorter-term counterpart
during periods of low inflation.
To learn more about Bill Gross' PIMCO Total Return and Low Duration Funds refer
to pages 16 and 18, respectively, or contact your financial advisor.
The views of Mr. Gross are not indicative of any past or future performance of a
PIMCO Fund.
6
<PAGE>
- -----------
In The News
- -----------
Recent News on PIMCO Funds
PIMCO Funds and its institutional portfolio managers are regularly featured in
the press. Here is a sample of some recent articles.
. The insights of Bill Gross, manager of the PIMCO Total Return and Low
Duration Funds continue to be sought out by the press. Over the last three
months his views appeared in The Wall Street Journal, Business Week, Barron's,
The New York Times and CNN. In September, SmartMoney said Mr. Gross' "influence
over the bond market rivals that of Fed Chairman Alan Greenspan."
. Ben Fischer of the PIMCO Small-Cap Value Fund was interviewed in an August
issue of Barron's. In a feature story Mr. Fischer explained his strict
investment discipline and his secrets for identifying undervalued small-cap
issues.
. In July and August both The Wall Street Journal and Kiplinger's Personal
Finance praised the PIMCO StocksPLUS Fund. Both highlighted the Fund in articles
explaining how it has consistently outperformed the S&P 500 Index by investing
in stock futures backed with short-term bonds.
. The Wall Street Journal (8/97) reviewed the benefits of investing in
emerging market bonds and referred to the launch of the PIMCO Emerging Markets
Bond Fund.
. Morningstar complimented the PIMCO Total Return Fund in its September, 1997
review of the Fund saying, "This is a great fund that deserves all the attention
it gets."
. In a review (5/97) of the PIMCO High Yield Fund, Morningstar said, "...the
Fund has outpaced most of its [high yield] peers over long-term periods,
however, other funds take on a lot more risk than this one."
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. Funds
begin to be rated once they have a three-year record. The highest Morningstar
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 September 30, 1997.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------
STOCK FUNDS Overall 3 Year 5 Year 10 Year
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
StockPLUS Fund **** 4 4 -
Capital Appreciation Fund **** 4 4 -
Mid-Cap Growth Fund ***** 5 - -
Equity Income Fund **** 4 4 -
Renaissance Fund ***** 5 5 -
Value Fund ***** 5 5 -
Small-Cap Value Fund **** 4 4 -
<CAPTION>
- -----------------------------------------------------------------------------------------------
BOND FUNDS Overall 1 Year 3 Year 5 Year
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Foreign Bond Fund ***** 5 - -
High Yield Fund ***** 5 - -
Total Return Fund ***** 4 4 5
Low Duration Fund **** 4 4 4
Short-Term Fund **** 4 4 -
</TABLE>
The chart above is based on September 30, 1997 Morningstar ratings. Overall
rating is a weighted average of a fund's 3-, 5- and 10-year ratings (when
applicable). During the 3-, 5- and 10-year periods there were 2,143, 1,187 and
638 domestic equity funds and 1,309, 713 and 301 taxable bond funds rated,
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. With the exception of
the Renaissance Fund, Morningstar ratings are based on institutional class
shares which generally have a $5 million minimum investment. Under special
circumstances, institutional shares may be available. Call for details. Class A,
B and C shares, which were initially offered on 1/17/97, have not yet been rated
by Morningstar. Had Class A, B and C shares been in existence for the same time
period as the institutional class shares they may have received different
ratings due to Class A, B and C shares' higher expense and sales charges. 5-star
ratings are limited to the top 10% of funds in an investment category and the
next 22.5% earn 4-stars.
7
<PAGE>
Investor
Services
PIMCO Funds is on the Web
www.pimcofunds.com
A Partial List of What's Available:
Daily Market Insight
Fund Manager
Biographies
Current and Historical Fund Performance
Lipper Rankings
Morningstar Ratings
Summaries of
Fund Portfolio
Risk Analysis
Net Asset Values
Downloadable Literature Section
On-line Literature Requests
Resources for Investment Professionals
PIMCO Funds Distribution Company is pleased to announce the launch of its Web
site. You now have around-the-clock access to the most timely and comprehensive
information available on all of the PIMCO Funds and their managers. In addition,
the site includes daily market commentary from our fund managers, with insights
on the economy and other factors affecting the stock and bond markets.
[GRAPHIC APPEARS HERE]
You'll find the site to be informative and easy-to-use. It's divided into three
main sections: Investment Insight, Fund Information and Resources. And there are
several functions that can help you navigate your way around the site. We can be
found on the worldwide web at www.pimcofunds.com.
[GRAPHIC APPEARS HERE]
Investment Insight
The Investment Insight section provides an overview of the six investment
management firms under the PIMCO Advisors L.P. umbrella. You'll find an
explanation of each firm's investment philosophy and process, biographies of the
investment team, a manager's update and more.
[GRAPHIC APPEARS HERE]
Fund Information
In the Fund Information section you'll access detailed profiles of all the PIMCO
Funds, including current and historical performance, Lipper rankings and
Morningstar ratings. Additionally, we provide a summary of a fund's
portfolio--complete with risk analysis data. You can also obtain fund share
prices (NAVs), updated each business day. Please read the relevant prospectus
carefully before you invest in any PIMCO Fund.
[GRAPHIC APPEARS HERE]
Resources
Our Resources section features a variety of useful information, including:
. an on-line document library that contains prospectuses, applications and
other forms that you can view and print
. a literature-by-mail "catalog", so you can order free materials, such as our
popular Investor Guide
. information about our convenient shareholder services, such as Auto-Invest,
Fund Link and our 24-Hour Telephone Information System
. a listing of the features and benefits of the retirement plans offered by
PIMCO Funds.
Questions?
We're sure you'll find the PIMCO Funds Web site to be an invaluable tool. If you
have any comments or questions about the site, please call us today at
1-800-426-0107. Or, use the e-mail feature of the site to contact us.
8
<PAGE>
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 $130 billion in assets under management, including $29 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 United States. To learn
more about any of the PIMCO Funds, please call us at 1-800-227-7337.
<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 income tax (3-10 year duration)
- ---------------------------------------------------------------------------------------------------------------------------
Emerging Markets Maximum total return Emerging market bonds Pacific Investment
Bond (0-8 year duration) Management Company
- ---------------------------------------------------------------------------------------------------------------------------
Foreign Bond Maximum total return Intermediate-term, investment grade Pacific Investment
foreign bonds Management Company
(3-6 year duration)
- ---------------------------------------------------------------------------------------------------------------------------
Global Bond II Maximum total return Intermediate-term, investment grade Pacific Investment
U.S. and foreign Management Company
bonds (3-6 year duration)
- ---------------------------------------------------------------------------------------------------------------------------
High Yield Maximum total return High-yield bonds (2-6 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 real return Inflation-indexed 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 Management Company
preservation of capital and (up to 1 year duration)
daily liquidity
- ---------------------------------------------------------------------------------------------------------------------------
Money Market Maximum current income Short-term money market Pacific Investment
consistent with preservation instruments (duration less Management Company
of capital and daily liquidity than 1 year)
<CAPTION>
Stock & Bond Funds Objective Primary Portfolio Composition PIMCO Advisors Manager
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Balanced Total return Stocks, bonds and money market Cadence/NFJ/Pacific
instruments Investment Management
<CAPTION>
Stock Funds Objective Primary Portfolio Composition PIMCO Advisors Manager
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
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 Pacific Investment
500 Index backed by a portfolio of Management Company
short-term, fixed-income 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 Long-term growth of capital and Stocks of smaller-capitalized NFJ Investment Group
income companies with below-average P/Es
- ---------------------------------------------------------------------------------------------------------------------------
Opportunity Capital appreciation Stocks of smaller-capitalized companies Columbus Circle Investors
- ---------------------------------------------------------------------------------------------------------------------------
International Long-term growth of capital Stocks of non-U.S. companies Blairlogie Capital Management
Developed in 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
</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 September
30, 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 11-22 Fund Summary
A summary of a Fund's performance record and portfolio composition, and a review
by the Fund's investment manager.
Page 23-59 Schedule of Investments
The schedule of investments includes a listing of securities in the Fund's
portfolio as of September 30, 1997, including the number of shares or principal
amount and value as of that date.
<TABLE>
<CAPTION>
Schedule of
Fund Fund Summary Investments
<S> <C> <C>
Long-Term U.S. Government Fund Page 11 Page 23
Foreign Bond Fund Page 12 Page 24
Global Bond Fund II Page 13 Page 28
Emerging Markets Bond Fund Page 14 Page 31
High Yield Fund Page 15 Page 33
Total Return Fund Page 16 Page 36
Real Return Bond Fund Page 17 Page 48
Low Duration Fund Page 18 Page 49
Short-Term Fund Page 19 Page 54
Money Market Fund Page 20 Page 56
StocksPLUS Fund Page 21 Page 57
</TABLE>
Page 60-67 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 68-69 Statement of Assets and Liabilities
A "balance sheet" of a Fund as of the last day of the reporting 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 70-71 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 on
portfolio holdings.
Page 72-73 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 74 Statement of Cash Flow
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 75-82 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>
- ------------------
September 30, 1997 PIMCO Long-Term U.S. Government Fund
- ------------------
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily longer-term U.S. government securities.
DURATION RANGE:
(Greater than or equal to) 8 years
TOTAL NET ASSETS:
$44 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- -------------
PERFORMANCE*
- -------------
Average Annual Total Return For periods ended 9/30/97
<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 14.3% 9.1% 13.6% 8.6% 12.7% 8.7% 12.7% 9.7%
3 years 13.2% 11.5% 13.0% 12.2% 13.0% 8.2% 12.2% 9.5%
5 years 9.7% 8.7% 9.6% 9.3% 9.6% 5.7% 8.6% 6.9%
Inception 12.5% 11.6% 12.4% n/a 12.4% -- -- --
</TABLE>
[LINE GRAPH APPEARS HERE]
Change in Value of $10,000
Invested at the Fund's inception
<TABLE>
<CAPTION>
Lehman Int Lehman
PIMCO Long- PIMCO Long- PIMCO Long- & 20+ Treas. Agg. Bond
Date Term A Term B Term C Index Index
- ---- ----------- ------------ ----------- ------------ ---------
<S> <C> <C> <C> <C> <C>
06/30/91 9,550.00 10,000.00 10,000.00 10,000.00 10,000.00
07/31/91 9,681.52 10,137.72 10,137.72 10,157.31 10,138.67
08/31/91 10,057.13 10,531.02 10,531.02 10,507.67 10,358.07
09/30/91 10,395.42 10,885.25 10,885.25 10,831.37 10,567.97
10/31/91 10,448.26 10,940.58 10,940.58 10,847.92 10,685.63
11/30/91 10,588.68 11,087.62 11,087.62 10,899.71 10,783.61
12/31/91 11,286.57 11,818.40 11,818.40 11,549.88 11,103.86
01/31/92 10,968.30 11,485.13 11,485.13 11,191.31 10,952.80
02/29/92 11,024.19 11,543.66 11,543.66 11,250.15 11,024.02
03/31/92 10,989.53 11,507.36 11,507.36 11,125.87 10,961.87
04/30/92 10,935.64 11,450.93 11,450.93 11,102.25 11,041.05
05/31/92 11,326.44 11,860.15 11,860.15 11,414.49 11,249.39
06/30/92 11,490.87 12,032.32 12,032.32 11,563.76 11,404.21
07/31/92 12,034.42 12,601.49 12,601.49 12,046.07 11,636.88
08/31/92 12,276.19 12,854.65 12,854.65 12,123.18 11,754.77
09/30/92 12,492.86 13,081.53 13,081.53 12,299.65 11,894.10
10/31/92 12,182.38 12,756.42 12,756.42 12,045.80 11,736.41
11/30/92 12,310.59 12,890.67 12,890.67 12,111.97 11,739.06
12/31/92 12,633.11 13,228.38 13,226.38 12,442.71 11,925.73
01/31/93 12,970.32 13,581.49 13,581.49 12,776.66 12,154.42
02/28/93 13,491.09 14,126.80 14,126.80 13,187.00 12,367.19
03/31/93 13,563.52 14,202.64 14,202.64 13,217.18 12,418.72
04/30/93 13,669.58 14,313.70 14,313.70 13,314.61 12,505.20
05/31/93 13,722.41 14,369.02 14,369.02 13,370.54 12,521.12
06/30/93 14,403.22 15,081.91 15,081.91 13,901.34 12,748.04
07/31/93 14,612.66 15,301.22 15,301.22 14,133.35 12,820.14
08/31/93 15,170.57 15,885.41 15,885.41 14,662.98 13,044.85
09/30/93 15,220.58 15,937.78 15,937.78 14,703.08 13,080.68
10/31/93 15,298.58 16,019.45 16,019.45 14,808.59 13,129.56
11/30/93 14,884.07 15,585.42 15,585.42 14,467.70 13,017.87
12/31/93 14,979.72 15,685.57 15,685.57 14,505.41 13,088.42
01/31/94 15,323.02 16,045.04 16,045.04 14,827.57 13,265.14
02/28/94 14,723.38 15,417.15 15,417.15 14,253.11 13,034.68
03/31/94 14,123.89 14,789.42 14,789.42 13,650.57 12,713.32
04/30/94 13,883.31 14,537.50 14,537.50 13,488.32 12,611.80
05/31/94 13,840.13 14,492.28 14,492.28 13,387.71 12,610.03
06/30/94 13,760.55 14,408.96 14,408.96 13,258.50 12,582.16
07/31/94 14,102.68 14,767.20 14,767.20 13,722.30 12,832.09
08/31/94 14,133.85 14,799.84 14,799.84 13,605.04 12,846.01
09/30/94 13,692.98 14,338.19 14,338.19 13,160.62 12,658.91
10/31/94 13,603.56 14,244.57 14,244.57 13,118.90 12,647.63
11/30/94 13,562.71 14,201.79 14,201.79 13,203.12 12,619.54
12/31/94 13,872.84 14,526.53 14,526.53 13,411.34 12,706.68
01/31/95 14,235.37 14,906.15 14,906.15 13,767.13 12,958.15
02/28/95 14,728.52 15,422.54 15,422.54 14,140.63 13,266.24
03/31/95 14,900.79 15,602.93 15,602.93 14,269.38 13,347.64
04/30/95 15,156.68 15,870.87 15,870.87 14,516.99 13,534.08
05/31/95 16,317.98 17,086.89 17,086.89 15,584.11 14,057.81
06/30/95 16,504.70 17,282.41 17,282.41 15,759.02 14,160.88
07/31/95 16,219.88 16,984.17 16,984.17 15,516.15 14,129.25
08/31/95 16,586.29 17,367.84 17,367.84 15,848.85 14,299.77
09/30/95 16,943.92 17,742.33 17,742.33 16,127.51 14,438.89
10/31/95 17,361.75 18,179.85 18,179.85 16,558.00 14,626.66
11/30/95 17,788.64 18,626.85 18,626.85 16,942.22 14,845.84
12/31/95 18,253.06 19,113.15 19,113.15 17,364.12 15,054.19
01/31/96 18,281.73 19,143.18 19,143.18 17,376.44 15,154.16
02/29/96 17,430.43 18,251.76 18,251.76 16,586.44 14,890.74
03/31/96 17,110.75 17,917.01 17,917.01 16,270.82 14,787.23
04/30/96 16,731.11 17,519.49 17,519.49 16,013.90 14,704.07
05/31/96 16,752.87 17,542.28 17,542.28 15,939.44 14,674.22
06/30/96 17,089.52 17,894.79 17,894.79 16,267.63 14,871.28
07/31/96 17,034.02 17,836.67 17,836.67 16,273.73 14,911.97
08/31/96 16,916.13 17,713.22 17,713.22 16,072.41 74,886.98
09/30/96 17,386.67 18,205.94 18,205.94 16,505.37 15,146.41
10/31/96 18,132.92 18,987.36 18,987.36 17,132.50 15,481.93
11/30/96 18,815.58 19,702.18 19,702.18 17,666.93 15,747.11
12/31/96 18,382.57 19,248.77 19,248.77 17,263.24 15,600.70
01/31/97 18,290.66 19,137.13 19,154.45 17,138.81 15,648.47
02/28/97 18,327.24 19,162.00 19,181.27 17,145.80 15,687.40
03/31/97 17,865.40 18,669.54 18,686.39 16,721.40 15,513.56
04/30/97 18,263.79 19,072.80 19,088.15 17,114.81 15,745.79
05/31/97 18,475.65 19,280.70 19,296.21 17,303.59 15,894.63
06/30/97 18,834.08 19,643.17 19,658.98 17,632.52 16,083.29
07/31/97 19,873.72 20,715.69 20,730.39 18,618.17 16,517.01
08/31/97 19,366.94 20,172.94 20,189.33 18,135.81 16,376.12
09/30/97 19,866.61 20,681.30 20,698.10 18,607.66 16,617.64
</TABLE>
*Past performance is not an indication of future results. 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 from
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. See page 22 for Footnotes, which
include additional details.
- ----------------------
PORTFOLIO COMPOSITION
- ----------------------
<TABLE>
<CAPTION>
Maturity Profile
<S> <C>
- -------------------------------------------------------------------------------
1 year or less 60%
- -------------------------------------------------------------------------------
1-5 years 14%
- -------------------------------------------------------------------------------
5-10 years 1%
- -------------------------------------------------------------------------------
10-20 years 6%
- -------------------------------------------------------------------------------
20-30 years 19%
- -------------------------------------------------------------------------------
Average Maturity: 16.5 years
- -------------------------------------------------------------------------------
Duration: 10.1 years
- -------------------------------------------------------------------------------
Sector Breakdown
- -------------------------------------------------------------------------------
Mortgage-Backed Securities 52.3%
- -------------------------------------------------------------------------------
U.S. Treasury Obligations 46.0%
- -------------------------------------------------------------------------------
Short-Term Instruments 1.7%
- -------------------------------------------------------------------------------
Quality Breakdown
- -------------------------------------------------------------------------------
AAA 97%
- -------------------------------------------------------------------------------
AA 3%
- -------------------------------------------------------------------------------
</TABLE>
- -------------------
PORTFOLIO INSIGHTS
- -------------------
The Long-Term U.S. Government Fund posted excellent results over the six-month
period ended September 30, 1997, as the Class A shares returned 11.2% and
Classes B and C both returned 10.8%. These returns outpaced the Lipper General
U.S. Government Fund Average by over five percentage points. The Fund also
performed well over the long term, outpacing the Lipper average over the three-
and five-year periods and since its inception.
Interest rates fell sharply during the second and third quarters, in
response to lower expectations for accelerating inflation. The decline in
interest rates led to a rise in bond prices, with long-term bonds benefiting the
most, as they are more sensitive to interest rate changes than their shorter-
term counterparts.
The Fund's sizable allocation in mortgage-backed securities over the period
also contributed to performance. These instruments outperformed Treasuries, due
to higher initial yields and improving relative valuations. Both fixed and
adjustable-rate mortgages added incremental yield, while prices remained
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.
Going forward, the manager anticipates that long-term bonds will continue
to trade within a 5-7% range over the next three to five years. With that in
mind, the manager plans to maintain an above-index duration for the Fund in
anticipation that interest rates will decline toward the lower end of that range
over the long term.
See page 23 for financial details. 11
<PAGE>
- ------------------
September 30, 1997 PIMCO Foreign Bond Fund
- ------------------
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:
$332 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- ------------
PERFORMANCE*
- ------------
Average Annual Total Return For periods ended 9/30/97
<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 13.4% 8.3% 12.8% 7.8% 11.8% 4.0% 12.6%
3 years 16.2% 14.4% 16.0% 15.2% 16.0% 9.1% 13.5%
Inception 11.6% 10.5% 11.5% 11.2% 11.5% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
JP MORGAN
PIMCO PIMCO PIMCO NON-U.S.
MONTH FOREIGN A FOREIGN B FOREIGN C INDEX
============= ========= ========= ========= ===========
<S> <C> <C> <C> <C>
12/31/92 9,550.00 10,000.00 10,000.00 10,000.00
01/31/93 9,629.57 10,083.32 10,083.32 10,091.00
02/28/93 9,841.30 10,305.03 10,305.03 10,273.65
03/31/93 9,878.15 10,343.61 10,343.61 10,279.82
04/30/93 9,878.14 10,343.61 10,343.61 10,280.84
05/31/93 9,967.46 10,437.13 10,437.13 10,338.42
06/30/93 10,203.26 10,684.04 10,684.04 10,549.32
07/31/93 10,364.01 10,852.37 10,852.37 10,667.47
08/31/93 10,615.90 11,116.12 11,116.12 10,889.36
09/30/93 10,658.04 11,160.25 11,160.25 10,936.18
10/31/93 10,816.62 11,326.30 11,326.30 11,081.63
11/30/93 10,847.18 11,358.30 11,358.30 11,159.20
12/31/93 11,116.33 11,640.13 11,640.13 11,390.20
01/31/94 11,130.87 11,655.36 11,655.36 11,333.25
02/28/94 10,835.65 11,346.23 11,346.23 11,078.25
03/31/94 10,647.29 11,149.00 11,149.00 10,977.44
04/30/94 10,547.21 11,044.20 11,044.20 10,899.49
05/31/94 10,392.55 10,882.25 10,882.25 10,778.51
06/30/94 10,201.30 10,681.98 10,681.98 10,668.57
07/31/94 10,265.90 10,749.63 10,749.63 10,738.98
08/31/94 10,165.05 10,644.03 10,644.03 10,635.88
09/30/94 10,181.87 10,661.64 10,661.64 10,645.46
10/31/94 10,221.18 10,702.80 10,702.80 10,686.97
11/30/94 10,372.54 10,861.30 10,861.30 10,837.66
12/31/94 10,304.70 10,790.26 10,790.26 10,812.73
01/31/95 10,374.77 10.863.64 10,863.64 10,930.59
02/28/95 10,443.36 10,935.45 10,935.45 11,071.60
03/31/95 10,450.80 10,943.24 10,943.24 11,297.46
04/30/95 10,706.53 11,211.02 11,211.02 11,477.09
05/31/95 11,126.76 11,651.06 11,651.06 11,853.54
06/30/95 11,059.64 11,580.77 11,580.77 11,814.42
07/31/95 11,270.81 11,801.90 11,801.90 11,963.28
08/31/95 11,485.66 12,026.87 12,026.87 12,067.36
09/30/95 11,649.30 12,198.22 12,198.22 12,258.02
10/31/95 11,844.42 12,402.54 12,402.54 12,395.32
11/30/95 12,308.90 12,888.90 12,888.90 12,666.77
12/31/95 12,491.43 13,080.03 13,080.03 12,784.57
01/31/96 12,797.78 13,400.82 13,400.82 12,939.27
02/29/96 12,525.02 13,115.20 13,115.20 12,786.59
03/31/96 12,728.88 13,328.67 13,328.67 12,892.71
04/30/96 13,037.38 13,651.70 13,651.70 13,047.43
05/31/96 13,087.62 13,704.31 13,704.31 13,136.15
06/30/96 13,236.35 13,860.05 13,860.05 13,245.18
07/31/96 13,364.97 13,994.74 13,994.74 13,344.52
08/31/96 13,692.86 14,338.07 14,338.07 13,522.00
09/30/96 14,077.09 14,740.40 14,740.40 13,810.02
10/31/96 14,424.88 15,104.59 15,104.59 14,037.88
11/30/96 14,774.04 15,470.20 15,470.20 14,318.64
12/31/96 14,850.99 15,550.78 15,550.78 14,338.69
01/31/97 15,082.67 15,791.81 15,796.48 14,517.93
02/28/97 15,158.08 15,861.30 15,865.98 14,610.84
03/31/97 14,962.54 15,647.17 15,651.79 14,533.41
04/30/97 15,097.20 15,778.61 15,783.27 14,690.37
05/31/97 15,169.67 15,844.88 15,849.56 14,766.76
06/30/97 15,470.03 16,147.51 16,152.28 15,017.79
07/31/97 15,692.80 16,370.35 16,375.18 15,256.57
08/31/97 15,623.75 16,286.86 16,291.67 15,274.88
09/30/97 15,956.54 16.422.37 16,627.28 15,545.25
</TABLE>
*Past performance is not an indication of future results. 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 from
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. Foreign investing involves
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty. See page 22 for Footnotes, which include additional
details.
- ---------------------
PORTFOLIO COMPOSITION
- ---------------------
<TABLE>
<CAPTION>
Maturity Profile
<S> <C>
- --------------------------------------------------------------------------------
1 year or less 80%
- --------------------------------------------------------------------------------
1-5 years 5%
- --------------------------------------------------------------------------------
5-10 years 14%
- --------------------------------------------------------------------------------
10-20 years 1%
- --------------------------------------------------------------------------------
Average Maturity 7.7 years
- --------------------------------------------------------------------------------
Duration 4.9 years
- --------------------------------------------------------------------------------
<CAPTION>
Top 10 Countries
<S> <C>
- --------------------------------------------------------------------------------
1. United States 6. Germany
- --------------------------------------------------------------------------------
2. Japan 7. Australia
- --------------------------------------------------------------------------------
3. Italy 8. United Kingdom
- --------------------------------------------------------------------------------
4. Canada 9. Sweden
- --------------------------------------------------------------------------------
5. Finland 10. France
- --------------------------------------------------------------------------------
<CAPTION>
Quality Breakdown
<S> <C>
- --------------------------------------------------------------------------------
AAA 79%
- --------------------------------------------------------------------------------
AA 2%
- --------------------------------------------------------------------------------
A 5%
- --------------------------------------------------------------------------------
BBB 8%
- --------------------------------------------------------------------------------
BB 6%
- --------------------------------------------------------------------------------
</TABLE>
- ------------------
PORTFOLIO INSIGHTS
- ------------------
The Foreign Bond Fund turned in a strong performance during the six-month period
ended September 30, 1997, posting returns of 6.7% for the Class A shares and
6.2% for both the Class B and C shares. These returns outperformed the Lipper
International Income Fund Average by two percentage points. The Fund also
performed well over the long term, as it outperformed the Lipper average for the
three-year period and since its inception.
Country selection helped the Fund's returns during the second and third
quarters of the calendar year. It benefited from an over-weighted position in
Australia, one of the world's top performing bond markets during the period, as
these holdings saw significant price increases resulting from continued low
inflation. In addition, the country's bond market was helped by the perception
that economic weakness in the region would impact future exports, leading to
lower growth estimates.
Within Europe, the Fund benefited from an emphasis on countries preparing
to join the European Monetary Union (EMU). Under the EMU, many of the most
important European countries will share the same currency and have a stricter,
unified fiscal policy. The Fund's focus led to an over-weighting in Finland
versus lower-yielding European countries such as France, the Netherlands, and
Belgium. A small, tactical exposure in Italy was also taken, as it became more
probable that Italy would be a first-round EMU participant. Positions in Sweden
also helped performance, as the market overestimated the amount of future
central bank tightening, creating opportunities in two- and three-year
maturities.
Interest rate strategies were also beneficial for the Fund's performance.
While the Fund trimmed its duration from 5.3 years to 4.9 years during the last
quarter, it maintained an above-index duration. This stance enhanced the Fund's
returns, as yields fell around much of the globe.
In an attempt to control risk, the Fund generally hedges at least 75% of
its foreign security holdings against unfavorable currency fluctuations.
However, the Fund's limited currency trading ability recently detracted from
performance. In Europe, the Fund was under-weighted in the Swiss franc versus
the German mark and Spanish peseta. Flows from the EMU zone countries caused the
Swiss currency to appreciate despite its low yields. Small emerging currency
positions also muted performance, due to devaluations in Asia and the Czech
Republic.
Looking ahead, the manager forecasts further interest rate declines across
many of the world's major markets, and anticipates maintaining the Fund at an
above-index duration. The Fund will continue to invest in high quality fixed-
income securities that the manager believes to be among the safest and most
liquid within the foreign bond market.
12 See page 24 for financial details.
<PAGE>
- ------------------
September 30, 1997 PIMCO Global Bond Fund II
- ------------------
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:
$19 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- ------------
PERFORMANCE*
- ------------
Average Annual Total Return For periods ended 9/30/97
<TABLE>
<CAPTION>
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 12.3% 7.3% 11.5% 6.5% 10.5% 7.7% 11.4%
Inception 13.7% 11.1% 13.1% 11.3% 13.1% -- --
</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 Global Global Global
MONTH Bond II A Bond II B Bond II C Index
================ =============================================== =============
<S> <C> <C> <C> <C>
10/31/95 9,550.00 10,000.00 10,000.00 10,000.00
11/30/95 9,874.70 10,340.00 10,340.00 10,191.00
12/31/95 10,028.75 10,503.37 10,503.37 10,302.08
01/31/96 10,220.29 10,703.99 10,703.99 10,406.13
02/29/96 10,026.11 10,500.61 10,500.61 10,257.32
03/31/96 10,046.16 10,516.36 10,516.36 10,278.86
04/30/96 10,174.75 10,642.56 10,642.56 10,334.37
05/31/96 10,165.59 10,637.24 10,627.66 10,372.60
06/30/96 10,255.05 10,724.46 10,725.43 10,471.15
07/31/96 10,310.43 10,774.87 10,775.84 10,529.78
08/31/96 10,559.94 11,018.38 11,019.38 10,614.02
09/30/96 10,799.65 11,261.89 11,262.90 10,814.25
10/31/96 11,041.56 11,517.53 11,508.44 11,009.28
11/30/96 11,314.29 11,784.74 11,785.79 11,215.16
12/31/96 11,284.87 11,757.63 11,748.07 11,188.25
01/31/97 11,380.80 11,838.76 11,839.71 11,283.35
02/28/97 11,459.32 11,913.34 11,914.30 11,334.12
03/31/97 11,301.18 11,741.79 11,742.73 11,254.79
04/30/97 11,435.67 11,874.47 11,875.43 11,392.09
05/31/97 11,524.87 11,958.78 11,959.74 11,468.15
06/30/97 11,721.94 12,156.10 12,157.08 11,638.42
07/31/97 11,965.76 12,400.44 12,401.44 11,886.04
08/31/97 11,921.48 12,347.12 12,348.11 11,844.44
09/30/97 12,143.22 12,169.37 12,570.38 12,043.43
</TABLE>
*Past performance is not an indication of future results. 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 from
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. Foreign investing involves
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty .See page 22 for Footnotes, which include additional
details.
- ---------------------
PORTFOLIO COMPOSITION
- ---------------------
<TABLE>
<CAPTION>
Maturity Profile
<S> <C>
- --------------------------------------------------------------------------------
1 year or less 69%
- --------------------------------------------------------------------------------
1-5 years 10%
- --------------------------------------------------------------------------------
5-10 years 17%
- --------------------------------------------------------------------------------
10-20 years 1%
- --------------------------------------------------------------------------------
20-30 years 3%
- --------------------------------------------------------------------------------
Average Maturity 8.1 years
- --------------------------------------------------------------------------------
Duration 5.4 years
- --------------------------------------------------------------------------------
<CAPTION>
Top 10 Countries
<S> <C>
- --------------------------------------------------------------------------------
1. United States 6. Germany
- --------------------------------------------------------------------------------
2. United Kingdom 7. Italy
- --------------------------------------------------------------------------------
3. Finland 8. Poland
- --------------------------------------------------------------------------------
4. Canada 9. Spain
- --------------------------------------------------------------------------------
5. Sweden 10. Mexico
- --------------------------------------------------------------------------------
<CAPTION>
Quality Breakdown
<S> <C>
- --------------------------------------------------------------------------------
AAA 67%
- --------------------------------------------------------------------------------
AA 2%
- --------------------------------------------------------------------------------
A 14%
- --------------------------------------------------------------------------------
BBB 10%
- --------------------------------------------------------------------------------
BB 7%
- --------------------------------------------------------------------------------
</TABLE>
- ------------------
PORTFOLIO INSIGHTS
- ------------------
The Global Bond Fund II posted strong results over the past six months,
returning 7.4% for the Class A shares, and 7.0% for both the Class B and C
shares. These returns compared favorably to the Lipper Global Income Bond Fund
Average, which posted a 5.7% return during that period. The Fund also performed
well over the long term, outperforming the Lipper average since its inception.
The Fund's largest country allocation continues to be in the U.S., where
its mortgage-backed securities performed well. Historically, these securities
pay a higher yield than Treasuries, in return for the increased risk associated
with mortgage prepayments. However, these issues have outperformed Treasuries
with minimal additional risk, as declining volatility reduced the threat of
prepayments.
Another positive for the Fund was its astute foreign country selection. The
Fund held over-weighted positions in dollar bloc countries such as Australia and
Canada, two of the world's top performing markets. And small exposures to
developing country debt also boosted performance, as Argentine, Mexican, and
Polish securities posted 10-20 percent returns over the six-month period.
Within Europe, the Fund benefited from an emphasis on countries preparing
to join the European Monetary Union (EMU). Under the EMU, many of the most
important European countries will share the same currency and have a stricter,
unified fiscal policy. The Fund added incremental yield from its holdings in
Finland and exposure to Italian bonds was also beneficial, as it became more
probable that Italy would be a first-round EMU participant. Positions in Sweden
also helped performance, as the market overestimated the amount of future
central bank tightening, creating opportunities in two- and three-year
maturities.
Overall, interest rate strategies were also beneficial for the Fund's
performance, as an above-index duration added to absolute and relative returns
in an environment where yields fell in the U.S. and in many foreign markets.
In an attempt to control risk, the Fund generally hedges at least 75% of
its foreign security holdings against unfavorable currency fluctuations.
However, the Fund's limited currency trading ability recently detracted from
performance. In Europe, the Fund was under-weight in the Swiss franc versus the
German mark and Spanish peseta.
Going forward, the manager currently believes that global economic
conditions are favorable for fixed-income securities and that interest rates
will continue to decline. As a result the manager anticipates that the Fund will
maintain an above-index duration in the coming months.
See page 28 for financial details. 13
13
<PAGE>
- ------------------
September 30, 1997 PIMCO Emerging Markets Bond Fund
- ------------------
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management (non-U.S.).
PORTFOLIO:
Primarily emerging market bonds.
DURATION RANGE:
0-8 years
TOTAL NET ASSETS:
$4 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- ------------
PERFORMANCE*
- ------------
Total Return For period ended 9/30/97
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper J.P. Morgan
(INCEP. 7/31/97) (INCEP. 7/31/97) (INCEP. 7/31/97) Emerg. Mkts. Emerg. Markets
Adjusted Adjusted Adjusted Debt Fund Avg. Bond Fund Index
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Inception 1.5% -3.1% 1.3% -3.7% 0.4% 2.3% 2.3%
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO
Emerging Emerging Emerging JP Morgan
MONTH Markets A Markets B Markets C Emerging Mkts
=========== ============= ============= ============= =============
<S> <C> <C> <C> <C>
07/31/97 9,550.00 10,000.00 10,000.00 10,000.00
08/31/97 9,434.45 9,870.00 9,872.00 9,959.53
09/30/97 9,692.95 9,633.53 10,034.60 10,264.29
</TABLE>
*Past performance is not an indication of future results. 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. Foreign investing involves potentially higher risks including foreign
currency fluctuations and political or economic uncertainty. See page 22 for
Footnotes, which include additional details.
- ---------------------
PORTFOLIO COMPOSITION
- ---------------------
Maturity Profile
<TABLE>
- ------------------------------------
<S> <C>
1 year or less 89%
- ------------------------------------
1-5 years 4%
- ------------------------------------
5-10 years 7%
- ------------------------------------
Average Maturity 3.1 years
- ------------------------------------
Duration 2.3 years
- ------------------------------------
</TABLE>
Top 10 Countries
<TABLE>
- ------------------------------------
<C> <S> <C> <C>
1. Brazil 6. Equador
- ------------------------------------
2. Argentina 7. Bulgaria
- ------------------------------------
3. Venezuela 8. Poland
- ------------------------------------
4. Mexico 9. Germany
- ------------------------------------
5. France 10. Canada
- ------------------------------------
</TABLE>
Quality Breakdown
<TABLE>
- ------------------------------------
<S> <C>
AAA 75%
- ------------------------------------
BBB 7%
- ------------------------------------
BB 8%
- ------------------------------------
B 10%
- ------------------------------------
</TABLE>
- ------------------
PORTFOLIO INSIGHTS
- ------------------
The Emerging Markets Bond Fund was launched on July 31, 1997. The Fund seeks
total return through investment in bonds issued in emerging market countries
that can offer higher yields and strong capital appreciation potential.
Investing in emerging market bonds can entail special risks, including less
liquidity as well as adverse foreign, economic and political developments. From
its inception through September 30, 1997, the Fund's Class A shares returned
1.5%.
Interest rate strategies were positive for the Fund's performance, as an
above-index duration added to absolute and relative returns in an environment
where yields fell around much of the globe.
Country selection focused on higher yielding markets, such as Bulgaria and
Ecuador, as well as areas that the Fund's manager believed were improperly
valued in the market, such as Poland and the Philippines. Although country
selection added value, cumulative results were dampened by a large under-weight
in Russia, which was one of the best performing markets over this period. Our
allocations in short-term local currency instruments including the Fund's small
exposure to Asian local currency debt, also hurt relative returns. Over the
longer term, however, we expect this allocation could add 200-300 basis points
above U.S. cash rates.
As the difference between emerging market yields and those in the U.S.
tightens, the Fund's manager plans to invest only in select opportunities. Going
forward these include Argentine, Romanian, and Polish bonds, and diversified
exposure to selected emerging market currencies, with the largest allocations in
Chile, Indonesia, and Greece.
14 See page 31 for financial details.
<PAGE>
- --------------------
September 30, 1997 PIMCO High Yield Fund
- --------------------
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:
$1,497 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- ------------
PERFORMANCE*
- ------------
Average Annual Total Return For periods ended 9/30/97
<TABLE>
<CAPTION>
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 15.1% 10.0% 14.5% 9.5% 13.5% 15.6% 13.1%
3 years 14.5% 12.8% 14.3% 13.5% 14.3% 13.3% 12.5%
Inception 13.2% 12.2% 13.1% 12.8% 13.1% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO LEHMAN BB
HIGH HIGH HIGH INT CORP
MONTH YIELD A YIELD B YIELD C INDEX
================================================================================
<S> <C> <C> <C> <C>
12/31/92 9,550.00 10,000.00 10,000.00 10,000.00
01/31/93 9,767.52 10,227,77 10,227,77 10,211.00
02/28/93 9,947.52 10,416,25 10,416.25 10,361.10
03/31/93 10,148,47 10,626.67 10,626.67 10,478.18
04/30/93 10,256.10 10,739.37 10,739.37 10,566.20
05/31/93 10,331.34 10,818.15 10,818.15 10,644.39
06/30/93 10,612.45 11,112.45 11,112.51 10,870.05
07/31/93 10,687.53 11,191.13 11,191.13 10,979.84
08/31/93 10,807.44 11,316.69 11,316.69 11,107.20
09/30/93 10,861.58 11,373.38 11,373.38 11,188.29
10/31/93 11,153.21 11,678.75 11,678.75 11,338.21
11/30/93 11,239.17 11,768.76 11,768.76 11,367.69
12/31/93 11,336.10 11,870.26 11,870.26 11,465.45
01/31/94 11,577.65 12,123.19 12,123.19 11,656.93
02/28/94 11,575.31 12,120.74 12,120.74 11,644.10
03/31/94 11,229.36 11,758.49 11,758.49 11,287.79
04/30/94 11,131.61 11,656.14 11,656.14 11.221.20
05/31/94 11,212.70 11,741.05 11,741.05 11,231.30
06/30/94 11,228.10 11,757.17 11,757.17 11,264.99
07/31/94 11,333.96 11,868.03 11,868.03 11,402.42
08/31/94 11,429.60 11,968.17 11,968.17 11,523.29
09/30/94 11,508.64 12,050.93 12,050.93 11,544.03
10/31/94 11,514.83 12,057.41 12,057.41 11,570.58
11/30/94 11,469.14 12,009.57 12,009.57 11,491.90
12/31/94 11,607.82 12,154.79 12,154.79 11,563.15
01/31/95 11,722.50 12,274.87 12,274.87 11,749.32
02/28/95 12,043.25 12,610.73 12,610.73 12,106.50
03/31/95 12,219.16 12,794.93 12,794.93 12,220.30
04/30/95 12,486.41 13,074.78 13,074.78 12,464.70
05/31/95 12,848.61 13,454.05 13,454.05 12,831.16
06/30/95 12,953.43 13,563.80 13,563.80 12,944.08
07/31/95 13,126.98 13,745.52 13,745.52 13,061.87
08/31/95 13,227.49 13,850.77 13,850.77 13,137.63
09/30/95 13,413.06 14,045.09 14,045.09 13,279.52
10/31/95 13,609.60 14,250.89 14,250.89 13,384.42
11/30/95 13,775.55 14.424.66 14,424.66 13,553.07
12/31/95 14,008.33 14,668.40 14,668.40 13,767.20
01/31/96 14,235.39 14,906.17 14,906.17 13,990.23
02/29/96 14,250.42 14,921.90 14,921.90 13,939.87
03/31/96 14,137.82 14,804.00 14,804.00 13,867.38
04/30/96 14,199.77 14,868.87 14,868.87 13,861.83
05/31/96 14,248.00 14,919.38 14,919.38 13,881.24
06/30/96 14,306.28 14,980.40 14,980.40 14,031.16
07/31/96 14,433.98 15,114.12 15,114.12 14,106.93
08/31/96 14,669.07 15,360.29 15,360.29 14,221.19
09/30/96 15,010.24 15,717.53 15,717.53 14,526.95
10/31/96 15,160.83 15,875.21 15,875.21 14,728.87
11/30/96 15,490.31 16,220.22 16,220.22 15,026.40
12/31/96 15,644.85 16,382.04 16,382.04 15,059.46
01/31/97 15,802.86 16,536.03 16,539.31 15,202.52
02/28/97 16,041.49 16,775.81 16,779.13 15,386.47
03/31/97 15,826.53 16,540.95 16,544.22 15,203.37
04/30/97 15,991.13 16,703.05 16,706.36 15,391.89
05/31/97 16,350.93 17,067.17 17,070.55 15,655.09
06/30/97 16,588.02 17,304.41 17,307.84 15,857.04
07/31/97 17,011.01 17,733.56 17,737.07 16,329.58
08/31/97 17,000.80 17,710.50 17,714.01 16,174.45
09/30/97 17,281.32 17,792.10 17,995.66 16,428.39
</TABLE>
*Past performance is not an indication of future results. 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 from 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. The investments made by the High Yield
Fund may involve high risk and may have speculative characteristics. See page
22 for Footnotes, which include additional details.
- ---------------------
PORTFOLIO COMPOSITION
- ---------------------
<TABLE>
<CAPTION>
Maturity Profile
- -------------------------------------
<S> <C>
1 year or less 15%
- -------------------------------------
1-5 years 35%
- -------------------------------------
5-10 years 41%
- -------------------------------------
10-20 years 8%
- -------------------------------------
20-30 years 1%
- -------------------------------------
Average Maturity: 6.0 years
- -------------------------------------
Duration: 4.3 years
- -------------------------------------
<CAPTION>
Sector Breakdown
- -------------------------------------
<S> <C>
Corporate Bonds and Notes 82.3%
- -------------------------------------
Short-Term Instruments 6.0%
- -------------------------------------
Preferred Stock 5.7%
- -------------------------------------
Mortgage-Backed Securities 3.5%
- -------------------------------------
Sovereign Issues 2.1%
- -------------------------------------
Other 0.4%
- -------------------------------------
<CAPTION>
Quality Breakdown
- -------------------------------------
<S>
AAA 6%
- -------------------------------------
BBB 4%
- -------------------------------------
BB 50%
- -------------------------------------
B 40%
- -------------------------------------
</TABLE>
- ------------------
PORTFOLIO INSIGHTS
- ------------------
The High Yield Fund gave a solid performance for the six-month period ended
September 30, 1997, posting returns of 9.2% for the Class A shares, and 8.8% for
the Class B and C shares. The Fund has also performed well over the long term,
outperforming the Lipper High Current Yield Fund Average over the three-year
period and since its inception.
Favorable individual security selection was the leading driver behind
performance. 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 is expected to increase as the rating of the security is raised,
creating an attractive capital appreciation scenario.
In recent months, holdings in the energy and media sectors generally
benefited the Fund's performance, as did under-weightings in the gaming and
supermarket sectors. Specifically, the Fund benefited from strong returns in its
three largest holdings--Beaver Valley Funding Corp., Fresenius Medical Care, and
Time Warner, Inc. Numerous corporate refinancing strategies also helped
performance, as companies took advantage of relatively low interest rates and a
favorable financing environment to restructure their balance sheets. Another
factor that contributed positively to performance was the Fund's small position
in U.S.-dollar denominated Argentine and Mexican Brady bonds.
One area that detracted from the Fund's returns was its small position in
floating-rate senior-secured bank loans. These loans are defensive in nature, as
they are repaid before other securities in the event of a liquidation. However,
when economic conditions are positive and more speculative high yield bonds are
performing well, these loans tend to under-perform.
The Fund's duration remained at 4.3 years during the last six months.
Emphasis on shorter-maturity bonds helped to lessen the impact fluctuating
corporate rates had on price performance. Looking ahead, the manager anticipates
maintaining its current duration until the economy slows significantly and
longer-term, high yield securities offer better value.
See page 33 for financial details. 15
<PAGE>
- ------------------
September 30, 1997 PIMCO Total Return Fund
- ------------------
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:
$15,046 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- -----------
PERFORMANCE
- -----------
Average Annual Total Return For periods ended 9/30/97
<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 10.7% 5.7% 10.2% 5.2% 9.2% 8.9% 9.7%
5 years 8.0% 7.0% 7.8% 7.6% 7.8% 6.2% 6.9%
10 years 10.4% 9.9% 10.4% n/a 10.4% 8.6% 9.5%
Inception 9.8% 9.3% 9.8% n/a 9.8% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO LEHMAN
TOTAL RETURN TOTAL RETURN TOTAL RETURN AGG. BOND
MONTH CLASS A CLASS B CLASS C INDEX
========= ============ ============ ============ ===========
<S> <C> <C> <C> <C>
05/31/87 9,550.00 10,000.00 10,000.00 10,000.00
06/30/87 9,672.16 10,127.91 10,127.91 10,137.63
07/31/87 9,648.16 10,102.78 10,102.78 10,129.84
08/31/87 9,625.51 10,079.07 10,079.07 10,075.63
09/30/87 9,384.88 9,827.09 9,827.09 9,861.08
10/31/87 9,683.81 10,140.12 10,140.12 10,212.28
11/30/87 9,754.42 10,214.05 10,214.05 10,294.08
12/31/87 9,843.62 10,307.45 10,307.45 10,434.30
01/31/88 10,246.43 10,729.24 10,729.24 10,801.09
02/29/88 10,363.62 10,851.96 10,851.96 10,929.30
03/31/88 10,270.99 10,754.97 10,754.97 10,826.73
04/30/88 10,218.30 10,699.79 10,699.79 10,768.31
05/31/88 10,168.35 10,647.49 10,647.49 10,695.92
06/30/88 10,411.60 10,902.19 10,902.19 10,953.97
07/31/88 10,398.19 10,888.16 10,888.16 10,896.52
08/31/88 10,448.58 10,940.93 10,940.93 10,925.08
09/30/88 10,647.07 11,148.76 11,148.76 11,172.42
10/31/88 10,815.33 11,324.96 11,324.96 11,382.76
11/30/88 10,718.97 11,224.05 11,224.05 11,244.48
12/31/88 10,766.92 11,274.26 11,274.26 11,257.14
01/31/89 10,900.21 11,413.84 11,413.84 11,419.11
02/28/89 10,831.40 11,341.78 11,341.78 11,336.34
03/31/89 10,882.78 11,395.58 11,395.58 11,385.35
04/30/89 11,126.80 11,651.10 11,651.10 11,623.60
05/31/89 11,397.55 11,934.61 11,934.61 11,929.04
06/30/89 11,781.35 12,336.49 12,336.49 12,292.26
07/31/89 12,030.79 12,597.69 12,597.69 12,553.56
08/31/89 11,823.70 12,380.84 12,380.84 12,367.57
09/30/89 11,883.13 12,443.07 12,443.07 12,430.86
10/31/89 12,168.64 12,742.03 12,742.03 12,736.95
11/30/89 12,275.47 12,853.90 12,853.90 12,858.35
12/31/89 12,300.56 12,880.17 12,880.17 12,892.76
01/31/90 12,095.25 12,665.19 12,665.19 12,739.55
02/28/90 12,127.84 12,699.30 12,699.30 12,780.77
03/31/90 12,118.53 12,689.56 12,689.56 12,790.18
04/30/90 11,947.16 12,510.12 12,510.12 12,673.01
05/31/90 12,339.14 12,920.57 12,920.57 13,048.23
06/30/90 12,548.14 13,139.41 13,139.41 13,257.60
07/31/90 12,752.42 13,353.32 13,353.32 13,440.99
08/31/90 12,551.87 13,143.32 13,143.32 13,261.49
09/30/90 12,564.85 13,156.92 13,156.92 13,371.20
10/31/90 12,739.30 13,339.58 13,339.58 13,540.96
11/30/90 13,060.63 13,676.05 13,676.05 13,832.45
12/31/90 13,290.46 13,916.71 13,916.71 14,047.97
01/31/91 13,423.29 14,055.81 14,055.81 14,221.63
02/28/91 13,611.00 14,252.36 14,252.36 14,343.03
03/31/91 13,784.10 14,433.62 14,433.62 14,441.70
04/30/91 14,009.98 14,670.14 14,670.14 14,598.16
05/31/91 14,115.24 14,780.36 14,780.36 14,683.52
06/30/91 14,137.38 14,803.54 14,803.54 14,676.06
07/31/91 14,341.27 15,017.04 15,017.04 14,879.58
08/31/91 14,730.36 15,424.46 15,424.46 15,201.57
09/30/91 15,078.86 15,789.39 15,789.39 15,509.61
10/31/91 15,233.72 15,951.54 15,951.54 15,682.29
11/30/91 15,366.03 16,090.09 16,090.09 15,826.08
12/31/91 15,889.57 16,638.29 16,638.29 16,296.09
01/31/92 15,760.24 16,502.87 16,502.87 16,074.40
02/29/92 15,898.76 16,647.91 16,647.91 16,178.91
03/31/92 15,837.98 16,584.27 16,584.27 16,087.70
04/30/92 15,921.47 16,671.70 16,671.70 16,203.91
05/31/92 16,251.21 17,016.97 17,016.97 16,509.67
06/30/92 16,457.46 17,232.94 17,232.94 16,736.89
07/31/92 16,860.57 17,655.05 17,655.05 17,078.36
08/31/92 17,004.70 17,805.97 17,805.97 17,251.36
09/30/92 17,274.00 18,087.96 18,087.96 17,455.86
10/31/92 17,123.22 17,930.07 17,930.07 17,224.42
11/30/92 17,137.21 17,944.72 17,944.72 17,228.32
12/31/92 17,436.92 18,258.56 18,258.56 17,502.27
01/31/93 17,758.70 18,595.50 18,595.50 17,837.90
02/28/93 18,154.36 19,009.80 19,009.80 18,150.16
03/31/93 18,259.99 19,120.41 19,120.41 18,225.79
04/30/93 18,419.75 19,287.70 19,287.70 18,352.70
05/31/93 18,462.65 19,332.61 19,332.61 18,376.07
06/30/93 18,864.39 19,753.29 19,753.29 18,709.10
07/31/93 18,979.92 19,874.27 19,874.27 18,814.92
08/31/93 19,412.36 20,327.08 20,327.08 19,144.70
09/30/93 19,491.34 20,409.78 20,409.78 19,197.29
10/31/93 19,629.97 20,554.94 20,554.94 19,269.02
11/30/93 19,458.59 20,375.49 20,375.49 19,105.10
12/31/93 19,618.57 20,543.00 20,543.00 19,208.65
01/31/94 19,857.21 20,792.89 20,792.89 19,468.00
02/28/94 19,502.87 20,421.86 20,421.86 19,129.77
03/31/94 19,091.21 19,990.80 19,990.80 18,658.14
04/30/94 18,903.14 19,793.86 19,793.86 18,509.15
05/31/94 18,813.93 19,700.45 19,700.45 18,506.56
06/30/94 18,744.77 19,628.03 19,628.03 18,465.66
07/31/94 19,129.62 20,031.02 20,031.02 18,932.45
08/31/94 19,185.23 20,089.25 20,089.25 18,855.82
09/30/94 18,942.91 19,835.51 19,835.51 18,578.29
10/31/94 18,920.62 19,812.17 19,812.17 18,561.74
11/30/94 18,923.22 19,814.89 19,814.89 18,520.51
12/31/94 18,917.44 19,808.83 19,808.83 18,648.40
01/31/95 19,257.13 20,164.53 20,164.53 19,017.46
02/28/95 19,709.38 20,638.10 20,638.10 19,469.62
03/31/95 19,897.34 20,834.91 20,834.91 19,589.07
04/30/95 20,247.26 21,201.32 21,201.32 19,862.70
05/31/95 20,888.17 21,872.43 21,872.43 20,631.33
06/30/95 20,875.75 21,859.43 21,859.43 20,782.59
07/31/95 20,888.35 21,872.62 21,872.62 20,736.17
08/31/95 21,210.79 22,210.25 22,210.25 20,986.43
09/30/95 21,476.72 22,488.71 22,488.71 21,190.60
10/31/95 21,802.82 22,830.18 22,830.18 21,466.18
11/30/95 22,275.18 23,324.79 23,324.79 21,787.85
12/31/95 22,658.59 23,726.28 23,726.28 22,093.61
01/31/96 22,844.34 23,920.77 23,920.77 22,240.33
02/29/96 22,287.37 23,337.56 23,337.56 21,853.74
03/31/96 22,114.73 23,156.78 23,156.78 21,701.83
04/30/96 22,022.86 23,060.59 23,060.59 21,579.78
05/31/96 21,964.01 22,998.96 22,998.96 21,535.96
06/30/96 22,316.20 23,367.75 23,367.75 21,825.18
07/31/96 22,374.69 23,429.00 23,429.00 21,884.90
08/31/96 22,355.60 23,409.00 23,409.00 21,848.22
09/30/96 22,868.80 23,946.39 23,946.39 22,228.97
10/31/96 23,463.01 24,568.60 24,568.60 22,721.37
11/30/96 24,019.02 25,150.81 25,150.81 23,110.56
12/31/96 23,721.14 24,838.89 24,838.89 22,895.68
01/31/97 23,801.79 24,923.35 24,920.86 22,965.79
02/28/97 23,847.02 24,970.70 24,953.26 23,022.92
03/31/97 23,551.31 24,661.06 24,628.87 22,767.79
04/30/97 23,968.17 25,097.56 25,050.02 23,108.61
05/31/97 24,205.46 25,346.03 25,280.48 23,327.06
06/30/97 24,481.40 25,634.97 25,553.51 23,603.93
07/31/97 25,157.09 26,342.50 26,240.90 24,240.46
08/31/97 24,930.67 26,105.42 25,986.36 24,033.69
09/30/97 25,327.07 26,520.49 26,383.95 24,388.15
</TABLE>
*Past performance is not an indication of future results. 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 from
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. The Fund may invest in foreign
securities which involve potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. See page 22 for Footnotes,
which include additional details.
- ---------------------
PORTFOLIO COMPOSITION
- ---------------------
Maturity Profile
- ---------------------------------------------
1 year or less 58%
- ---------------------------------------------
1-5 years 30%
- ---------------------------------------------
5-10 years 10%
- ---------------------------------------------
10-20 years 1%
- ---------------------------------------------
20-30 years 1%
- ---------------------------------------------
Average Maturity: 9.1 years
- ---------------------------------------------
Duration: 4.8 years
- ---------------------------------------------
Sector Breakdown
- ---------------------------------------------
Mortgage-Backed Securities 49.4%
- ---------------------------------------------
Short-Term Instruments 19.3%
- ---------------------------------------------
Corporate Bonds and Notes 14.8%
- ---------------------------------------------
U.S. Government Agencies 6.9%
- ---------------------------------------------
Foreign Currency-Denominated Issues 3.0%
- ---------------------------------------------
Other 6.6%
- ---------------------------------------------
Quality Breakdown
- ---------------------------------------------
AAA 73%
- ---------------------------------------------
AA 1%
- ---------------------------------------------
A 5%
- ---------------------------------------------
BBB 15%
- ---------------------------------------------
BB 6%
- ---------------------------------------------
- ------------------
PORTFOLIO INSIGHTS
- ------------------
The Total Return Fund continues to build on its solid performance history. Over
the six-month period ended September 30, 1997, the Fund's Class A shares
returned 7.5%, while Class B and C shares returned 7.1%. These returns exceeded
an average of funds with the same objective (as measured by the Lipper
Intermediate Investment Grade Debt Average). In fact, the Fund outperformed its
Lipper Average during the 1-, 3-, 5-, and 10-year and since inception periods
ended September 30, 1997.
The Fund's manager was cautiously bullish during the second and third
quarters of 1997, as cyclical concerns partially offset positive long-term
disinflationary factors. This strategy proved prudent, as the Fund benefited
from a combination of falling interest rates and its favorable sector
strategies.
For example, the Fund's above-index weighting of mortgage-backed securities
added to returns. Historically, these securities pay a higher yield than
Treasuries, in return for the increased risk associated with mortgage
prepayments. However, over the last six months these issues were able to
outperform Treasuries with minimal additional risk, as declining volatility
reduced the threat of prepayments. An allocation to the non-investment grade
sector was also a positive for results, as a healthy economy boosted the prices
of these securities. Additionally, the Fund's concentration in intermediate-term
securities aided performance, as that area of the yield curve was able to
provide price appreciation, while taking on relatively less risk than
longer-term bonds.
With over $15 billion in assets under management, the Total Return Fund is
now the largest bond fund in the country. With stock funds, bigger is not
necessarily better, as a stock fund may have difficulties in finding enough
appropriate securities for its portfolio. However, with trillions of dollars
worth of fixed income securities, the Total Return Fund isn't likely to
experience a shortage of supply. And with its size comes abundant clout--both in
terms of potentially lower transaction costs and easy access to new, innovative
products.
Looking ahead, the manager anticipates maintaining its bullish long-term
views and near-term caution. As such, the Fund's duration range is now set at a
modest 0.25 years above the index. In addition, the Fund will retain its focus
on intermediate-term maturities, looking for the greatest value in lower coupon
and adjustable rate mortgages and longer-term Treasuries.
16 See page 36 for financial details.
<PAGE>
- ------------------
September 30, 1997
- ------------------
PIMCO Real Return Bond Fund
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:
$8 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- ------------
PERFORMANCE*
- ------------
<TABLE>
<CAPTION>
Total Return For period ended 9/30/97
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 2.5% -0.6% 2.0% -3.0% 1.1% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO LEHMAN
REAL REAL REAL INFLATION LINKED
MONTH RETURN A RETURN B RETURN C TREAS. INDEX
========= =========== =========== =========== ================
<S> <C> <C> <C> <C>
01/31/97 9,700.00 10,000.00 10,000.00 10,000.00
02/28/97 9,740.74 10,035.00 10,038.00 10,033.00
03/31/97 9,656.97 9,932.64 9,933.60 9,895.55
04/30/97 9,703.32 9,984.29 9,983.27 9,955.91
05/31/97 9,755.72 10,034.21 10,033.19 10,009.68
06/30/97 9,731.33 10,003.11 10,002.09 9,977.65
07/31/97 9,848.11 10,116.14 10,114.11 10,072.43
08/31/97 9,865.83 10,127.27 10,130.29 10,102.64
09/30/97 9,881.62 9,638.41 10,048.53 10,122.85
</TABLE>
*Past performance is not an indication of future results. The adjusted
returns above include the effect of applicable sales charges. The Fund may
invest in foreign securities which involve potentially higher risks including
foreign currency fluctuations and political or economic uncertainty. See page 22
for Footnotes, which include additional details.
<TABLE>
<CAPTION>
- ---------------------
PORTFOLIO COMPOSITION
- ---------------------
Maturity Profile
- -------------------------------------
<S> <C>
1 year or less 15%
- -------------------------------------
1-5 years 80%
- -------------------------------------
5-10 years 2%
- -------------------------------------
10-20 years 3%
- -------------------------------------
Average Maturity 2.8 years
- -------------------------------------
Duration 2.0 years
- -------------------------------------
<CAPTION>
Sector Breakdown
- -------------------------------------
<S> <C>
U.S. Treasury Obligations 86.1%
- -------------------------------------
Corporate Bonds and Notes 5.8%
- -------------------------------------
Foreign Currency-Denominated 4.4%
- -------------------------------------
Short-Term Instruments 3.6%
- -------------------------------------
Other 0.1%
- -------------------------------------
<CAPTION>
Quality Breakdown
- -------------------------------------
<S> <C>
AAA 96%
- -------------------------------------
AA 3%
- -------------------------------------
A 1%
- -------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
Inflation-indexed Treasury securities are an investment offered by the U.S.
government that provide 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
the initial principal.
After making its debut on January 29, 1997, the Real Return Bond Fund's
performance has steadily climbed. Over the past six months, the Fund returned
2.3% for its Class A shares, 2.1% for Class B shares, and 2.2% for Class C
shares. The Fund has outperformed its benchmark, the Lehman Brothers
Inflation-Indexed Bond Index, since its inception.
Overall, yields on U.S. inflation-protection Treasuries remained relatively
unchanged over the last two quarters. During that period, the 10-year
inflation-protected bond outperformed its five-year counterpart, producing
higher short-term returns. The Fund benefited from this trend, due to its
moderately above-index duration.
In an attempt to enhance potential returns and temper risk, the Fund has the
flexibility to invest in inflation-indexed bonds from other countries. This
proved beneficial during the six-month period, as positions in Canadian and
Australian inflation-indexed bonds boosted returns. The real yields of those
countries declined, outperforming the U.S. market. The Fund also benefited from
holdings of short-term corporate securities, both conventional and
inflation-protected, due to attractive corporate profits and stable yield
spreads.
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.
See page 48 for financial details. 17
<PAGE>
- ------------------
September 30, 1997 PIMCO Low Duration Fund
- ------------------
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:
$2,964 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- ------------
PERFORMANCE*
- ------------
Average Annual Total Return For periods ended 9/30/97
<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 8.7% 5.4% 8.1% 3.1% 7.3% 6.5% 6.9%
5 years 6.7% 6.0% 6.6% 6.2% 6.6% 5.2% 5.4%
10 years 8.6% 8.2% 8.5% n/a 8.5% 7.2% 7.5%
Inception 8.3% 8.0% 8.3% n/a 8.3% -- --
</TABLE>
[LINE GRAPH APPEARS HERE]
Change In Value of $10,000
invested at the Fund's inception
<TABLE>
<CAPTION>
Merrill Lynch
PIMCO Low PIMCO Low PIMCO Low 1-3 Tsy.
Date Duration A Duration B Duration C Index
- ---- ---------- ---------- ---------- -------------
<S> <C> <C> <C> <C>
05/31/87 9,700.00 10,000.00 10,000.00 10,000.00
06/30/87 9,790.00 10,093.26 10,093.26 10,108.97
07/31/87 9,826.27 10,130.16 10,130.18 10,158.49
08/31/87 9,824.81 10,128.67 10,128.67 10,166.55
09/30/87 9,801.00 10,104.12 10,104.12 10,127.39
10/31/87 9,959.94 10,267.98 10,267.98 10,350.99
11/30/87 10,072.39 10,383.90 10,383.90 10,413.51
12/31/87 10,131.44 10,444.78 10,444.78 10,479.85
01/31/88 10,299.07 10,617.60 10,617.60 10,647.83
02/29/88 10,373.98 10,694.82 10,694.82 10,735.16
03/31/88 10,439.11 10,761.97 10,761.97 10,756.11
04/30/88 10,482.45 10,806.65 10,806.65 10,771.59
05/31/88 10,506.09 10,831.02 10,831.02 10,756.21
06/30/88 10,604.42 10,932.40 10,932.40 10,867.58
07/31/88 10,660.81 10,990.53 10,990.53 10,875.74
08/31/88 10,703.80 11,034.85 11,034.85 10,898.91
09/30/88 10,802.48 11,136.57 11,136.57 11,025.50
10/31/88 10,902.47 11,239.66 11,239.66 11,135.51
11/30/88 10,916.33 11,253.95 11,253.95 11,105.60
12/31/88 10,964.96 11,304.09 11,304.09 11,131.74
01/31/89 11,056.60 11,398.55 11,398.55 11,219.17
02/28/89 11,073.77 11,416.26 11,416.26 11,218.94
03/31/89 11,116.76 11,460.57 11,460.57 11,270.32
04/30/89 11,248.41 11,596.30 11,596.30 11,442.77
05/31/89 11,479.76 11,834.80 11,834.80 11,613.79
06/30/89 11,730.48 12,093.28 12,093.28 11,830.60
07/31/89 11,902.60 12,270.73 12,270.73 12,005.62
08/31/89 11,847.93 12,214.36 12,214.36 11,931.78
09/30/89 11,907.65 12,275.93 12,275.93 12,002.55
10/31/89 12,065.04 12,438.19 12,438.19 12,183.76
11/30/89 12,174.44 12,550.97 12,550.97 12,298.53
12/31/89 12,236.65 12,615.11 12,615.11 12,347.72
01/31/90 12,228.86 12,607.07 12,607.07 12,357.97
02/28/90 12,312.73 12,693.53 12,693.53 12,415.56
03/31/90 12,379.46 12,762.33 12,762.33 12,457.39
04/30/90 12,371.87 12,754.50 12,754.50 12,481.80
05/31/90 12,580.70 12,969.80 12,969.80 12,672.77
06/30/90 12,716.26 13,109.55 13,109.55 12,806.08
07/31/90 12,855.87 13,253.47 13,253.47 12,965.91
08/31/90 12,881.22 13,279.60 13,279.60 13,004.68
09/30/90 12,952.15 13,352.74 13,352.74 13,111.38
10/31/90 13,046.46 13,449.96 13,449.96 13,255.42
11/30/90 13,202.04 13,610.35 13,610.35 13,385.84
12/31/90 13,344.64 13,757.36 13,757.36 13,548.20
01/31/91 13,467.85 13,884.39 13,884.39 13,672.30
02/28/91 13,575.43 13,995.29 13,995.29 13,753.52
03/31/91 13,691.11 14,114.54 14,114.54 13,846.21
04/30/91 13,858.20 14,286.80 14,286.80 13,977.34
05/31/91 13,966.77 14,398.74 14,398.74 14,061.76
06/30/91 14,056.12 14,490.85 14,490.85 14,118.85
07/31/91 14,211.75 14,651.29 14,651.29 14,241.83
08/31/91 14,415.31 14,861.14 14,861.14 14,437.22
09/30/91 14,603.88 15,055.55 15.055,55 14,593.44
10/31/91 14,730.94 15,186.54 15,186.54 14,750.17
11/30/91 14,890.09 15,350.61 15,350.61 14,903.42
12/31/91 15,140.98 15,609.26 15,609.26 15,130.55
01/31/92 15,154.74 15,623.45 15,623.45 15,107.40
02/29/92 15,229.69 15,700.71 15,700.71 15,159.52
03/31/92 15,238.52 15,709.81 15,709.81 15,154.22
04/30/92 15,346.14 15,820.76 15,820.76 15,292.88
05/31/92 15,502.53 15,981.99 15,981.99 15,432.35
06/30/92 15.647.17 16,131.10 16,131.10 15,589.88
07/31/92 15,855.15 16,345.51 16,345.51 15,764.83
08/31/92 15,961.43 16,455.09 16,455.09 15,903.25
09/30/92 16,120.71 16,619.29 16,619.29 16,054.65
10/31/92 16,126.28 16,625.03 16,625.03 15,958.64
11/30/92 16,135.79 16,634.84 16,634.84 15,932.63
12/31/92 16,304.99 16,809.27 16,809.27 16,083.99
01/31/93 16,459.22 16,968.27 16,968.27 16,250.94
02/28/93 16,654.39 17,169.47 17,169.47 16,389.88
03/31/93 16,748.97 17,266.98 17,266.98 16,439.05
04/30/93 16,829.18 17,349.68 17,349.68 16,540.97
05/31/93 16,848.97 17,370.07 17,370.07 16,494.66
06/30/93 17,017.32 17,543.63 17,543.63 16,616.23
07/31/93 17,076.02 17,604.15 17,604.15 16,654.77
08/31/93 17,243.48 17,776.78 17,776.78 16,800.00
09/30/93 17,310.55 17,845.92 17,845.92 16,854.60
10/31/93 17,430.59 17,969.69 17,969.69 16,887.64
11/30/93 17,447.49 17,987.11 17,987.11 16,891.86
12/31/93 17,570.28 18,113.69 18,113.69 16,954.19
01/31/94 17,666.08 18,212.46 18,212.46 17,063.04
02/28/94 17,589.94 18,133.96 18,133.96 16,954.01
03/31/94 17,513.54 18,055.20 18,055.20 16,869.58
04/30/94 17,456.25 17,996.14 17,996.14 16,809.86
05/31/94 17,437.37 17,976.68 17,976.68 16,833.73
06/30/94 17,474.06 18,014.49 18,014.49 16,883.56
07/31/94 17,637.12 18,182.60 18,182.60 17,028.75
08/31/94 17,712.20 18,260.00 18,260.00 17,088.70
09/30/94 17,685.98 18,232.96 18,232.96 17,049.90
10/31/94 17,684.90 18,231.85 18,231.85 17,088.27
11/30/94 17,689.26 18,236.35 18,236.35 17,012.05
12/31/94 17,680.77 18,277.60 18,277.60 17,050.50
01/31/95 17,845.26 18,397.18 18,397.18 17,287.84
02/28/95 18,070.21 18,629.08 18,629.08 17,525.38
03/31/95 18,144.56 18,705.73 18,705.73 17,623.17
04/30/95 18,372.43 18,940.65 18,940.65 17,780.19
05/31/95 18,706.91 19,285.48 19,285.48 18,090.81
06/30/95 18,803.24 19,384.78 19,384.78 18,188.14
07/31/95 18,811.02 19,392.80 19,392.80 18,263.44
08/31/95 19,016.60 19,604.74 19,604.74 18,372.11
09/30/95 19,187.27 19,780.69 19,780.69 18,461.39
10/31/95 19,331.92 19,929.82 19,929.82 18,617.21
11/30/95 19,557.49 20,162.36 20,162.36 18,781.78
12/31/95 19,790.11 20,402.18 20,402.18 18,926.03
01/31/96 19,936.32 20,552.91 20,552.91 19,086.90
02/29/96 19,808.05 20,420.67 20,420.67 19,006.16
03/31/96 19,800.26 20,412.63 20,412.63 18,989.25
04/30/96 19,808.70 20,421.34 20,421.34 19,005.20
05/31/96 19,828.55 20,441.81 20,441.81 19,044.16
06/30/96 20,030.10 20,649.59 20,649.59 19,180.90
07/31/96 20,098.70 20,720.31 20,720.31 19,256.47
08/31/96 20,198.55 20,823.24 20,823.24 19,322.52
09/30/96 20,484.47 21,118.01 21,118.01 19,497.78
10/31/96 20,780.33 21,423.02 21,423.02 19,717.32
11/30/96 21,061.29 21,712.67 21,712.67 19,868.35
12/31/96 21,044.71 21,654.34 21,654.34 19,868.35
01/31/97 21,176.95 21,831.91 21,827.58 19,961.54
02/28/97 21,255.31 21,912.69 21,899.61 20,007.45
03/31/97 21,161.78 21,816.27 21,794.49 19,999.64
04/30/97 21,411.49 22,073.70 22,042.95 20,163.04
05/31/97 21,582.78 22,250.29 22,210.48 20,300.55
06/30/97 21,744.66 22,417.17 22,368.17 20,440.43
07/31/97 22,088.22 22,771.36 22,710.40 20,665.07
08/31/97 22,068.34 22,750.87 22,678.61 20,684.08
09/30/97 22,253.72 22,941.98 22,862.30 20,841.07
</TABLE>
*Past performance is not an indication of future results. 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 from
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. The Fund may invest in foreign
securities which involve potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. See page 22 for Footnotes,
which include additional details.
- ---------------------
PORTFOLIO COMPOSITION
- ---------------------
<TABLE>
<CAPTION>
Maturity Profile
<S> <C>
- --------------------------------------------------------------------------------
1 year or less 62%
- --------------------------------------------------------------------------------
1-5 years 33%
- --------------------------------------------------------------------------------
5-10 years 5%
- --------------------------------------------------------------------------------
Average Maturity: 2.5 years
- --------------------------------------------------------------------------------
Duration: 2.2 years
- --------------------------------------------------------------------------------
Sector Breakdown
- --------------------------------------------------------------------------------
Mortgage-Backed Securities 54.4%
- --------------------------------------------------------------------------------
Short-Term Instruments 24.5%
- --------------------------------------------------------------------------------
Corporate Bonds and Notes 12.1%
- --------------------------------------------------------------------------------
U.S. Government Agencies 6.0%
- --------------------------------------------------------------------------------
Sovereign Issues 1.7%
- --------------------------------------------------------------------------------
Other 1.3%
- --------------------------------------------------------------------------------
Quality Breakdown
- --------------------------------------------------------------------------------
AAA 75%
- --------------------------------------------------------------------------------
AA 1%
- --------------------------------------------------------------------------------
A 2%
- --------------------------------------------------------------------------------
BBB 16%
- --------------------------------------------------------------------------------
BB 5%
- --------------------------------------------------------------------------------
B 1%
- --------------------------------------------------------------------------------
</TABLE>
- ------------------
PORTFOLIO INSIGHTS
- ------------------
The Low Duration Fund continued its solid performance for the six-month period
ended September 30, 1997, with Class A shares returning 5.2%, Class B 4.8%, and
Class C 4.9%. These results compared favorably to an average of funds with the
same objective (as measured by the Lipper Short Investment Grade Fund Average).
The Fund also performed well over the long term, outpacing the Lipper average
over the 1-, 3-, 5- and 10-year periods and since its inception.
Sector selection was a major factor behind the Fund's strong performance
during the past six months. A significant allocation to adjustable and
fixed-rate mortgage-backed issues made the biggest contribution, due to the
generally higher yields these securities pay and price appreciation from
declining interest rates. Lower-rated investment grade securities and limited
holdings of slightly below investment grade corporate issues also enhanced
performance during the period through premium yields and price gains.
The Fund's relatively small allocation to short-maturity non-U.S. markets
also aided returns. Specifically, dollar-denominated holdings of Latin American
bonds performed well, as they have for much of the year. Currency-hedged
holdings of dollar-bloc countries, most notably Canadian bonds, helped boost
returns, as investors responded positively to declining government deficits,
improving inflation, and economic fundamentals.
The Fund's above-index duration helped performance during the period, as
interest rates declined, resulting in price appreciation for the areas in which
the Fund primarily invests.
Going forward, the manager anticipates maintaining the Fund's above-index
duration due to a positive view of long-term fundamentals, and will continue the
focus on quality to provide competitive yields while seeking minimal price
volatility.
18 See page 49 for financial details.
<PAGE>
- ------------------
September 30, 1997 PIMCO Short-Term Fund
- ------------------
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:
$189 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- ------------
PERFORMANCE*
- ------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 9/30/97
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 7.1% 5.0% 6.7% 1.7% 5.9% 5.7% 4.7%
3 years 7.3% 6.6% 7.2% 6.3% 7.2% 5.9% 5.0%
5 years 5.8% 5.4% 5.7% 5.4% 5.8% 4.8% 4.2%
Inception 6.6% 6.4% 6.6% 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
SHORT-TERM SHORT-TERM SHORT-TERM MONEY MARKET
DATE A B C INDEX
- -------- ---------- ---------- ---------- ------------
<S> <C> <C> <C> <C>
10/31/87 9,800.00 10,000.00 10,000.00 10,000.00
11/30/87 9,857.74 10,058.92 10,058.92 10,056.01
12/31/87 9,917.83 10,120.24 10,120.24 10,114.33
01/31/88 9,985.78 10,189.57 10,189.57 10,170.97
02/29/88 10,027.59 10,232.23 10,232.23 10,222.84
03/31/88 10,083.34 10,289.12 10,289.12 10,277.02
04/30/88 10,139.44 10,346.37 10,346.37 10,327.38
05/31/88 10,197.08 10,405.19 10,405.19 10,382.12
06/30/88 10,255.29 10,464.58 10,464.58 10,439.22
07/31/88 10,308.45 10,518.82 10,518.82 10,499.76
08/31/88 10,375.11 10,586.85 10,586.85 10,565.92
09/30/88 10,443.68 10,656.82 10,656.82 10,632.48
10/31/88 10,535.54 10,750.55 10,750.55 10,700.52
11/30/88 10,606.81 10,823.27 10,823.27 10,767.94
12/31/88 10,669.81 10,887.56 10,887.56 10,842.24
01/31/89 10,747.50 10,966.84 10,966.84 10,920.30
02/28/89 10,824.10 11,045.00 11,045.00 10,993.46
03/31/89 10,919.22 11,142.06 11,142.06 11,078.12
04/30/89 11,002.60 11,227.14 11,227.14 11,161.20
05/31/89 11,103.58 11,330.19 11,330.19 11,250.49
06/30/89 11,188.20 11,416.53 11,416.53 11,334.87
07/31/89 11,283.32 11,513.59 11,513.59 11,418.75
08/31/89 11,344.56 11,576.08 11,576.08 11,499.82
09/30/89 11,423.52 11,656.66 11,656.66 11,578.02
10/31/89 11,531.34 11,766.67 11,766.67 11,659.06
11/30/89 11,609.05 11,845.97 11,845.97 11,736.02
12/31/89 11,677.09 11,915.40 11,915.40 11,814.65
01/31/90 11,734.98 11,974.46 11,974.46 11,894.98
02/28/90 11,807.51 12,048.48 12,048.48 11,966.36
03/31/90 11,887.09 12,129.68 12,129.68 12,044.14
04/30/90 11,937.22 12,180.83 12,180.83 12,122.43
05/31/90 12,051.38 12,297.33 12,297.33 12,203.65
06/30/90 12,131.06 12,378.64 12,378.64 12,280.53
07/31/90 12,216.45 12,465.77 12,465.77 12,361.58
08/31/90 12,283.51 12,534.19 12,534.19 12,441.93
09/30/90 12,366.88 12,619.26 12,619.26 12,516.58
10/31/90 12,462.34 12,716.67 12,716.67 12,597.94
11/30/90 12,563.43 12,819.82 12,819.82 12,676.05
12/31/90 12,665.80 12,924.28 12,924.28 12,755.91
01/31/91 12,758.46 13,018.84 13,018.84 12,833.72
02/28/91 12,829.17 13,090.99 13,090.99 12,899.17
03/31/91 12,889.89 13,152.95 13,152.95 12,966.25
04/30/91 12,971.48 13,236.21 13,236.21 13,031.08
05/31/91 13,046.42 13,312.68 13,312.68 13,094.93
06/30/91 13,096.92 13,364.21 13,364.21 13,152.55
07/31/91 13,176.55 13,445.45 13,445.45 13,215.68
08/31/91 13,262.57 13,533.23 13,533.23 13,276.47
09/30/91 13,336.76 13,608.94 13,608.94 13,333.56
10/31/91 13,416.13 13,689.93 13,689.93 13,392.23
11/30/91 13,451.43 13,725.95 13,725.95 13,445.80
12/31/91 13,508.77 13,784.46 13,784.46 13,500.93
01/31/92 13,561.90 13,838.68 13,838.68 13,550.88
02/29/92 13,591.43 13,868.81 13,868.81 13,592.88
03/31/92 13,619.32 13,897.27 13,897.27 13,636.38
04/30/92 13,678.85 13,958.01 13,958.01 13,678.65
05/31/92 13,723.81 14,003.89 14,003.89 13,719.69
06/30/92 13,780.95 14,062.20 14,062.20 13,759.48
07/31/92 13,840.14 14,122.59 14,122.59 13,799.38
08/31/92 13,877.99 14,161.21 14,161.21 13,835.26
09/30/92 13,916.99 14,201.01 14,201.01 13,868.46
10/31/92 13,934.86 14,219.24 14,219.24 13,901.75
11/30/92 13,954.67 14,239.46 14,239.46 13,933.72
12/31/92 13,998.49 14,284.18 14,284.18 13,968.56
01/31/93 14,048.46 14,335.16 14,335.16 14,002.08
02/28/93 14,087.92 14,375.43 14,375.43 14,031.48
03/31/93 14,155.81 14,444.70 14,444.70 14,063.76
04/30/93 14,207.38 14,497.33 14.497.33 14,094.70
05/31/93 14,266.92 14,558.08 14,558.08 14,124.29
06/30/93 14,326.60 14,618.98 14,618.98 14,155.37
07/31/93 14,381.54 14,675.04 14,675.04 14,186.52
08/31/93 14,422.33 14,716.67 14,716.67 14,219.14
09/30/93 14,461.96 14,757.10 14,757.10 14,250.42
10/31/93 14,516.09 14,812.34 14,812.34 14,281.77
11/30/93 14,573.64 14,871.06 14,871.06 14,313.19
12/31/93 14,645.64 14,944.54 14,944.54 14,346.12
01/31/94 14,674.59 14,974.07 14,974.07 14,379.11
02/28/94 14,694.38 14,994.27 14,994.27 14,409.31
03/31/94 14,674.07 14,973.54 14,973.54 14,443.89
04/30/94 14,701.40 15,001.43 15,001.43 14,480.00
05/31/94 14,715.06 15,015.37 15,015.37 14,520.54
06/30/94 14,786.50 15,088.26 15,088.26 14,562.66
07/31/94 14,859.84 15,163.10 15,163.10 14,607.80
08/31/94 14,921.96 15,226.49 15,226.49 14,657.47
09/30/94 14,942.10 15,247.04 15,247.04 14,707.30
10/31/94 14,985.10 15,290.92 15,290.92 14,761.71
11/30/94 15,001.17 15,307.32 15,307.32 14,817.81
12/31/94 15,069.61 15,377.15 15,377.15 14,881.53
01/31/95 15,148.38 15,457.53 15,457.53 14,948.50
02/28/95 15,291.10 15,603.16 15,603.16 15,011.28
03/31/95 15,328.65 15,641.48 15,641.48 15,081.83
04/30/95 15,496.74 15,813.00 15,813.00 15,149.70
05/31/95 15,656.85 15,976.37 15,976.37 15,222.42
06/30/95 15,712.12 16,032.78 16,032.78 15,292.44
07/31/95 15,810.99 16,133.67 16,133.67 15,362.79
08/31/95 15,888.13 16,212.38 16,212.38 15,431.92
09/30/95 16,040.40 16,367.75 16,367.75 15,499.81
10/31/95 16,159.82 16,489.62 16,489.62 15,569.56
11/30/95 16,313.90 16,646.83 16,646.83 15,627.17
12/31/95 16,456.71 16,792.56 16,792.56 15,681.87
01/31/96 16,539.41 16,876.95 16,876.95 15,750.87
02/29/96 16,572.84 16,911.06 16,911.06 15,812.29
03/31/96 16,630.55 16,969.95 16,969.95 15,875.54
04/30/96 16,712.70 17,053.77 17,053.77 15,939.05
05/31/96 16,804.52 17,147.47 17,147.47 16,004.40
06/30/96 16,901.02 17,245.94 17,245.94 16,063.61
07/31/96 16,953.25 17,299.23 17,299.23 16,132.69
08/31/96 17,064.94 17,413.21 17,413.21 16,198.83
09/30/96 17,233.46 17,585.16 17,585.16 16,263.63
10/31/96 17,375.78 17,730.39 17,730.39 16,330.31
11/30/96 17,536.85 17,894.75 17,894.75 16,395.63
12/31/96 17,609.21 17,968.58 17,968.58 16,456.30
01/31/97 17,716.62 18,078.18 18,074.59 16,523.77
02/28/97 17,791.03 18,154.11 18,148.70 16,578.29
03/31/97 17,798.15 18,161.38 18,154.14 16,631.35
04/30/97 17,897.82 18,263.08 18,252.17 16,694.55
05/31/97 18,024.89 18,392.75 18,378.11 16,757.99
06/30/97 18,143.86 18,514.14 18,492.06 16,816.64
07/31/97 18,283.56 18,656.70 18,630.75 16,882.22
08/31/97 18,336.59 18,710.80 18,681.05 16,944.69
09/30/97 18,457.61 18,834.29 18,800.61 17,017.55
</TABLE>
*Past performance is not an indication of future results. 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 from
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. The Fund may invest in foreign
securities which involve potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. See page 22 for Footnotes,
which include additional details.
- ---------------------
PORTFOLIO COMPOSITION
- ---------------------
Maturity Profile
- -------------------------------------
1 year or less 63%
- -------------------------------------
1-5 years 32%
- -------------------------------------
5-10 years 3%
- -------------------------------------
10-20 years 2%
- -------------------------------------
Average Maturity: 1.2 years
- -------------------------------------
Duration: 0.8 years
- -------------------------------------
Sector Breakdown
- -------------------------------------
Corporate Bonds and Notes 44.2%
- -------------------------------------
Mortgage-Backed Securities 22.7%
- -------------------------------------
Short-Term Instruments 17.6%
- -------------------------------------
Asset-Backed Securities 9.1%
- -------------------------------------
Sovereign Issues 3.9%
- -------------------------------------
Other 2.5%
- -------------------------------------
Quality Breakdown
- -------------------------------------
AAA 46%
- -------------------------------------
AA 4%
- -------------------------------------
A 12%
- -------------------------------------
BBB 29%
- -------------------------------------
BB 8%
- -------------------------------------
B 1%
- -------------------------------------
- ------------------
PORTFOLIO INSIGHTS
- ------------------
For the six-month period ended September 30, 1997, the Short-Term Fund posted
returns of 3.7% for its Class A shares, 3.4% for its Class B shares, and 3.6%
for its Class C shares. These results outpaced an average of mutual funds with
the same objective (as measured by the Lipper Ultra-Short Obligations Fund
Average). The Fund has also performed well over the long term, outperforming the
average for the three-year period and since its inception.
As of September 30, 1997 the Fund's standardized yield for this period was
5.5% for Class A shares, 4.9% for Class B and 5.3% for Class C+. This yield
compared very favorably to the 7-day money market yield of 4.9% and an average
six-month CD yield of 4.8%, 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 six-month
period ended September 30, 1997, was its holdings in mortgage-backed securities.
These securities boosted returns, as they offered a higher yield than government
securities with similar durations. Investments in short-term, high yield
securities also aided the Fund, as these bonds outperformed their
investment-grade counterparts.
Additionally, the Fund benefited from its above-index duration position. In
recent months, the yield on one- and two-year Treasuries declined an average of
60 basis points, resulting in higher prices for these bonds. By holding an
above-index duration, the Fund was able to produce relatively stronger returns
than its index.
Looking ahead, the Fund's manager anticipates maintaining the above-index
duration in anticipation of slowing economic growth in 1998 and a continued
decline in interest rates. Given this outlook, the manager remains optimistic
about the Fund going forward.
See page 54 for financial details. 19
<PAGE>
- ------------------
September 30, 1997 PIMCO Money Market Fund
- ------------------
OBJECTIVE:
Maximum current income, consistent with preservation of capital and daily
liquidity.
TOTAL NET ASSETS:
$145 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- ------------
PERFORMANCE*
- ------------
<TABLE>
<CAPTION>
7-Day Yields
A Shares B Shares C Shares
- ------------------------------------------------------------------------
<S> <C> <C> <C>
As of 9/30/97 5.1% 4.2% 5.2%
</TABLE>
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
Once again, the Money Market Fund offered a very competitive yield over the last
six months. As of September 30, 1997, the Fund had a seven-day yield of 5.1%,
4.2%, and 5.2% for its Class A, B, and C shares. These yields compare to an
average money market fund 7-day yield of 4.9%, 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.
The Fund's performance was helped by select holdings of short-maturity,
investment grade corporate bonds, as these securities offer higher yields than
government bonds with similar durations. These yield-enhancing strategies
boosted the Fund's 30-day SEC yield during the period.
Looking ahead, the Fund's manager is currently forecasting lower short-term
rates over the coming months, and plans to gradually extend the Fund's average
maturity to take advantage of this trend. The manager will continue to maintain
the Fund's emphasis on safety, liquidity, and quality.
- ---------------------
PORTFOLIO COMPOSITION
- ---------------------
<TABLE>
Maturity Profile
<S> <C>
- ------------------------------------
1 year or less 100%
- ------------------------------------
Average Maturity: 0.1 years
- ------------------------------------
Duration: 0.1 years
- ------------------------------------
</TABLE>
<TABLE>
Sector Breakdown
<S> <C>
- ------------------------------------
Short-Term Instruments 98.0%
- ------------------------------------
Corporate Bonds and Notes 2.0%
- ------------------------------------
</TABLE>
20 See page 56 for financial details.
<PAGE>
- ------------------
September 30, 1997 PIMCO StocksPLUS Fund
- ------------------
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:
$510 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- -----------
PERFORMANCE
- -----------
Average Annual Total Return For periods ended 9/30/97
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Growth S&P 500
(INCEP. 5/13/93) (INCEP. 5/13/93) (INCEP. 5/13/93) Income Fund Index
Adjusted Adjusted Adjusted Average
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 40.0% 35.8% 39.3% 34.3% 38.5% 35.8% 40.4%
3 years 30.6% 29.3% 30.4% 29.8% 30.4% 25.5% 29.9%
Inception 23.3% 22.4% 23.1% 22.9% 23.2% -- --
</TABLE>
CHANGE IN VALUE OF $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION> PIMCO PIMCO PIMCO S&P
STOCKS STOCKS STOCKS 500
MONTH PLUS A PLUS B PLUS C INDEX
========== =========== =========== =========== =========
<S> <C> <C> <C> <C>
05/31/93 9,700.00 10,000.00 10,000.00 10,000.00
06/30/93 9,752.89 10,054.52 10,054.52 10,029.30
07/31/93 9,733.89 10,034.94 10,034.94 9,988.98
08/31/93 10,104.26 10,416.76 10,416.76 10,367.96
09/30/93 10,006.08 10,315.55 10,315.55 10,288.44
10/31/93 10,227.16 10,543.46 10,543.46 10,501.31
11/30/93 10,111.81 10,424.55 10,424.55 10,401.23
12/31/93 10,294.46 10,612.84 10,612.84 10,526.98
01/31/94 10,632.48 10,961.32 10,961.32 10,884.90
02/28/94 10,304.70 10,623.40 10,623.40 10,589.49
03/31/94 9,849.93 10,154.57 10,154.57 10,127.78
04/30/94 9,974.09 10,282.57 10,282.57 10,257.62
05/31/94 10,160.33 10,474.56 10,474.56 10,425.95
06/30/94 9,944.59 10,252.16 10,252.16 10,170.41
07/31/94 10,331.91 10,651.45 10,651.45 10,504.40
08/31/94 10,802.97 11,137.08 11,137.08 10,935.09
09/30/94 10,618.31 10,946.71 10,946.71 10,667.72
10/31/94 10,788.55 11,122.21 11,122.21 10,907.43
11/30/94 10,458.72 10,782.18 10,782.18 10,510.18
12/31/94 10,594.78 10,922.45 10,922.45 10,666.04
01/31/95 10,887.87 11,224.61 11,224.61 10,942.61
02/28/95 11,376.36 11,728.20 11,728.20 11,369.05
03/31/95 11,686.13 12,047.55 12,047.55 11,704.55
04/30/95 12,065.26 12,438.41 12,438.41 12,049.25
05/31/95 12,611.65 13,001.70 13,001.70 12,530.86
06/30/95 12,887.77 13,286.36 13,286.36 12,821.95
07/31/95 13,296.90 13,708.15 13,708.15 13,247.12
08/31/95 13,387.82 13,801.88 13,801.88 13,280.37
09/30/95 13,956.07 14,387.70 14,387.70 13,840.81
10/31/95 13,932.92 14,363.84 14,363.84 13,791.39
11/30/95 14,604.11 15,055.78 15,055.78 14,396.84
12/31/95 14,887.02 15,347.45 15,347.45 14,674.12
01/31/96 15,421.15 15,898.09 15,898.09 15,173.63
02/29/96 15,462.23 15,940.45 15,940.45 15,314.28
03/31/96 15,667.67 16,152.23 16,152.23 15,461.76
04/30/96 15,864.21 16,354.86 16,354.86 15,689.67
05/31/96 16,229.23 16,731.17 16,731.17 16,094.30
06/30/96 16,383.66 16,890.37 16,890.37 16,155.62
07/31/96 15,622.63 16,105.81 16,105.81 15,441.87
08/31/96 15,952.89 16,446.28 16,446.28 15,767.54
09/30/96 16,886.23 17,408.48 17,408.48 16,654.93
10/31/96 17,424.84 17,963.75 17,963.75 17,114.28
11/30/96 18,720.42 19,299.40 19,299.40 18,407.95
12/31/96 18,321.45 18,888.09 18,888.09 18,043.28
01/31/97 19,450.05 20,034.60 20.034.60 19,170.63
02/28/97 19,578.42 20,166.83 20,184.86 19,320.93
03/31/97 18,709.14 19,245.20 19,264.43 18,527.03
04/30/97 19,852.27 20,423.01 20,441.48 19,633.09
05/31/97 21,108.91 21,701.49 21,721.12 20,828.36
06/30/97 21,976.49 22,586.91 22,598.66 21,761.47
07/31/97 23,771.97 24,400.64 24,431.41 23,493.03
08/31/97 22,485.91 23,061.04 23,107.22 22,176.95
09/30/97 23,643.93 24,050.99 24,288.00 23,391.58
</TABLE>
*Past performance is not an indication of future results. 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 from
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. The Fund may invest in foreign
securities which involve potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. See page 22 for Footnotes,
which include additional details.
- ---------------------
PORTFOLIO COMPOSITION
- ---------------------
Maturity Profile
<TABLE>
<S> <C>
- ------------------------------------
1 year or less 70%
- ------------------------------------
1-5 years 28%
- ------------------------------------
5-10 years 1%
- ------------------------------------
10-20 years 1%
- ------------------------------------
Average Maturity: 2.1 years
- ------------------------------------
Duration: 0.6 years
- ------------------------------------
</TABLE>
Sector Breakdown
<TABLE>
<S> <C>
- ------------------------------------
Short-Term Instruments 35.7%
- ------------------------------------
Corporate Bonds and Notes 28.9%
- ------------------------------------
Mortgage-Backed Securities 14.7%
- ------------------------------------
Asset-Backed Securities 10.1%
- ------------------------------------
Sovereign Issues 4.8%
- ------------------------------------
Other 5.8%
- ------------------------------------
</TABLE>
Quality Breakdown
<TABLE>
<S> <C>
- ------------------------------------
AAA 58%
- ------------------------------------
A 8%
- ------------------------------------
BBB 25%
- ------------------------------------
BB 9%
- ------------------------------------
</TABLE>
- ------------------
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.
The Fund produced strong results for the six-month period ended September 30,
1997, with Class A shares returning 26.4%, Class B 26.0%, and Class C 26.1%.
These returns surpassed the 24.6% average of funds with the same objective (as
measured by the Lipper Growth and Income Fund Average). The Fund's investments
in S&P 500 Index futures and swaps captured the impressive stocks market gains,
and its successful interest rate and sector strategies helped it outperform the
index over the six-month period.
A healthy economy, stable corporate profits and benign inflation set the
stage for declining interest rates and strong stock market performance during
the period. The S&P 500 Index rose sharply, while one-year interest rates fell
50 basis points. An above-index duration on the short-term portfolio used to
back the Fund's S&P 500 Index exposure was also a positive contributor to the
Fund's performance.
Fixed-rate and adjustable-rate mortgages added the most value during the last
six months. These areas benefited from higher yields and relatively low
prepayment risk resulting from a stable interest rate environment. Corporate
bonds also boosted performance due to a combination of higher initial yields and
price appreciation.
The Fund's currency-hedged inflation protected securities were a mixed bag,
with Canadian positions adding to performance, while New Zealand positions
slightly detracted from returns. A modest allocation to dollar-denominated Latin
American bonds was a plus, as those markets again topped U.S. bonds.
In general, the manager of the Fund currently expects to see healthy U.S.
economic growth in the near term, followed by slowing in 1998. 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 short-maturity
and adjustable rate mortgages and selective non-U.S. bonds. Specifically, the
manager plans to pursue currency-hedged Canadian bonds while maintaining a
modest allocation to emerging debt markets.
See page 57 for financial details. 21
<PAGE>
- ------------------
September 30, 1997
- ------------------
- ---------
FOOTNOTES
- ---------
A few notes and definitions are needed for a complete understanding of the
performance figures.
Past performance is no indication of 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.
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 include the effect of paying
the maximum initial sales charge of either 4.5% (Long-Term U.S. Government,
Foreign Bond, Global Bond II, Emerging Markets Bond, 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.
/1/Yield is calculated in accordance with current Securities and Exchange
Commission regulations and is based on the one-month period ended September 30,
1997.
Duration is a measurement of a Fund's price sensitivity expressed in years.
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 directly
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 and 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 Standard & Poor's 500 Index is an index of stocks of
large-capitalization companies.
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.
22
<PAGE>
Schedule of Investments
Long-Term U.S. Government Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 54.4%
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury Bonds
8.125% due 05/15/21 $ 650 $ 777
6.750% due 08/15/26 19,800 20,561
6.500% due 11/15/26 1,500 1,510
6.625% due 02/15/27 1,250 1,280
----------
Total U.S. Treasury Obligations 24,128
----------
(Cost $23,860)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 61.8%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 44.5%
Bear Stearns
7.100% due 06/25/24 385 379
California Federal Bank
6.529% due 08/25/30(b) 1,443 1,434
Federal Home Loan Mortgage Corp.
4.950% due 03/15/04 1,106 1,105
9.500% due 01/15/05 117 122
7.000% due 03/25/15 1,200 1,212
7.000% due 07/15/22 806 771
6.500% due 05/15/23 93 81
7.000% due 08/15/23 180 164
7.000% due 09/15/23 66 62
6.500% due 11/15/23 224 203
6.500% due 03/15/24 408 368
Federal Housing Administration
7.430% due 11/01/23 1,559 1,582
7.430% due 01/01/24 411 417
Federal National Mortgage Assn.
5.000% due 11/25/03 687 683
4.950% due 06/25/10 1,748 1,743
5.500% due 04/25/14 437 435
8.000% due 01/25/19 16 16
8.750% due 08/25/20 269 277
8.000% due 03/25/22 48 49
7.000% due 04/25/22 713 682
7.000% due 06/25/22 343 327
7.800% due 10/25/22 733 748
7.000% due 06/25/23 350 335
6.000% due 08/25/23 856 804
7.000% due 05/18/27 1,298 1,189
First Boston Mortgage Securities Corp.
7.300% due 07/25/23 427 382
General Electric Capital Mortgage
7.500% due 03/25/19 118 119
Independent National Mortgage Corp.
8.490% due 01/25/25(b) 399 410
Prudential Home
6.500% due 12/25/22 432 431
6.950% due 09/25/23 57 51
6.500% due 01/25/24 1,000 889
Residential Funding
8.323% due 03/25/25(b) 347 356
Resolution Trust Corp.
6.888% due 06/25/23(b) 219 219
Vendee Mortgage
7.750% due 05/15/22 164 168
6.500% due 06/15/24 1,852 1,542
----------
19,755
----------
Federal Home Loan Mortgage Corporation 0.8%
7.662% due 05/01/22(b) 199 207
7.852% due 06/01/22(b) 163 170
----------
377
----------
Federal Housing Administration 3.8%
5.871% due 11/01/19 212 213
7.430% due 12/28/17 1,456 1,469
----------
1,682
----------
Federal National Mortgage Association 1.0%
7.900% due 10/01/24(b) 420 438
----------
Government National Mortgage Association 4.8%
7.000% due 02/20/24-08/20/25(b)(c) 927 951
7.125% due 07/20/23(b) 543 559
7.375% due 06/20/23(b) 594 614
----------
2,124
----------
Other Mortgage-Backed Securities 5.7%
Resolution Trust Corp.
6.684% due 05/25/29(b) 1,496 1,499
Ryland Acceptance Corp.
7.555% due 11/28/22(b) 1,000 1,015
----------
2,514
----------
Stripped Mortgage-Backed Securities 1.2%
Federal Home Loan Mortgage Corp.(IO)
7.000% due 09/15/99 209 12
7.000% due 07/15/04 459 16
6.500% due 08/15/06 333 28
6.500% due 10/15/06 512 52
6.500% due 11/15/06 663 56
6.000% due 10/15/07 598 51
7.000% due 02/15/26 382 28
Federal National Mortgage Assn.(IO)
6.500% due 02/25/07 346 33
6.500% due 08/25/20 1,000 105
6.500% due 09/25/21 1,024 156
----------
537
----------
Total Mortgage-Backed Securities 27,427
(Cost $26,837) ----------
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 2.0%
- --------------------------------------------------------------------------------
Repurchase Agreements 1.4%
State Street Bank
5.000% due 10/01/97 632 632
(Dated 09/30/97. Collateralized by U.S. Treasury ----------
Bond 7.500% 11/15/16 valued at $645,954.
Repurchase proceeds are $632,000.)
U.S. Treasury Bills (c) 0.6%
4.989% due 10/2/97-11/13/97 260 260
----------
Total Short-Term Instruments 892
(Cost $892) ----------
Total Investments (a) 118.2% $ 52,447
(Cost $51,589)
Other Assets and Liabilities(Net)(18.2%) (8,056)
----------
Net Assets 100.0% $ 44,391
----------
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 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. $ 973
----------
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (115)
----------
Unrealized appreciation-net $ 858
----------
</TABLE>
(b) Variable rate security. The rate listed is as of September 30,1997.
(c) Securities are grouped by coupon and represent a range of maturities.
See accompanying notes 23
<PAGE>
Schedule of Investments
Foreign Bond Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ARGENTINA (c)(f) 1.3%
- --------------------------------------------------------------------------------
<S> <C> <C>
Republic of Argentina
8.000% due 03/20/98 AP 780 $ 755
3.353% due 04/01/01(d) 3,911 3,618
----------
Total Argentina 4,373
(Cost $4,284) ----------
- --------------------------------------------------------------------------------
AUSTRALIA (c)(f) 10.0%
- --------------------------------------------------------------------------------
Australian Wheat Board
5.520% due 12/04/97 $ 1,889 1,870
Commonwealth of Australia
5.480% due 11/03/97 4,100 4,079
5.500% due 12/18/97 4,000 3,951
13.000% due 07/15/00 A$ 2,100 1,829
9.500% due 08/15/03 500 429
10.000% due 02/15/06 2,070 1,884
7.500% due 09/15/09 23,000 18,488
Queensland Treasury Corp.
5.510% due 11/12/97 $ 700 695
----------
Total Australia 33,225
(Cost $32,944) ----------
- --------------------------------------------------------------------------------
BELGIUM (c)(f) 1.6%
- --------------------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/03 BF 200 7
5.100% due 11/21/04(d) 183,200 5,389
----------
Total Belgium 5,396
(Cost $5,693) ----------
- --------------------------------------------------------------------------------
CANADA (c)(f) 14.1%
- --------------------------------------------------------------------------------
Canadian Wheat Board
5.500% due 10/08/97 $ 2,000 1,998
5.500% due 11/19/97 5,800 5,757
5.500% due 11/21/97 8,000 7,938
Commonwealth of Canada
3.700% due 04/02/98 C$ 7,840 5,575
8.500% due 03/01/00 23,498 18,410
Ontario Hydro
5.500% due 12/15/97 $ 4,000 3,953
Rogers Cantel, Inc.
10.500% due 06/01/06 C$ 2,500 2,137
Sears Canada
11.700% due 07/10/00 1,000 838
----------
Total Canada 46,606
(Cost $45,990) ----------
- --------------------------------------------------------------------------------
CROATIA 0.8%
- --------------------------------------------------------------------------------
Republic of Croatia
6.500% due 07/31/06(d) $ 1,463 1,409
6.500% due 07/30/10(d) 1,320 1,244
----------
Total Croatia 2,653
(Cost $2,727) ----------
- --------------------------------------------------------------------------------
CZECH REPUBLIC (c)(f) 1.2%
- --------------------------------------------------------------------------------
Bayerische Landesbank
11.500% due 10/09/97 CK 134,000 4,072
----------
Total Czech Republic 4,072
(Cost $4,984) ----------
- --------------------------------------------------------------------------------
DENMARK (c)(f) 1.9%
- --------------------------------------------------------------------------------
Kingdom of Denmark
8.000% due 05/15/03 DK 29,500 4,940
8.000% due 03/15/06 8,840 1,506
----------
Total Denmark 6,446
(Cost $6,540) ----------
- --------------------------------------------------------------------------------
FINLAND (c)(f) 12.2%
- --------------------------------------------------------------------------------
Republic of Finland
3.490% due 03/13/98 FM 15,000 2,798
3.630% due 08/14/98 46,000 8,425
7.250% due 04/18/06 129,000 26,986
8.250% due 10/15/10 10,000 2,254
----------
Total Finland 40,463
(Cost $40,062) ----------
- --------------------------------------------------------------------------------
FRANCE (c)(f) 4.6%
- --------------------------------------------------------------------------------
Caisse d'Amortissement
5.520% due 10/20/97 $ 12,100 12,065
Republic of France
7.750% due 10/25/05 FF 17,000 3,332
----------
Total France 15,397
(Cost $15,383) ----------
- --------------------------------------------------------------------------------
GERMANY (c)(f) 9.3%
- --------------------------------------------------------------------------------
Republic of Germany
7.125% due 12/20/02 DM 500 312
6.500% due 07/04/27 51,445 30,479
Treuhandanstalt
6.875% due 06/11/03 240 148
----------
Total Germany 30,939
(Cost $30,607) ----------
- --------------------------------------------------------------------------------
GREECE (c)(f) 0.6%
- --------------------------------------------------------------------------------
Republic of Greece
11.200% due 05/19/03(d) GD 100,000 360
11.100% due 06/17/03(d) 107,400 388
14.000% due 10/23/03 376,000 1,360
----------
Total Greece 2,108
(Cost $2,291) ----------
- --------------------------------------------------------------------------------
INDONESIA (c)(f) 0.5%
- --------------------------------------------------------------------------------
Citibank Indonesia
19.128% due 10/24/97 IR 5,000,000 1,511
----------
Total Indonesia 1,511
(Cost $2,045) ----------
- --------------------------------------------------------------------------------
ITALY (c)(f) 17.6%
- --------------------------------------------------------------------------------
Republic of Italy
6.000% due 01/01/00 IL 36,440,000 21,492
9.500% due 01/01/05 9,370,000 6,524
7.250% due 11/01/26 48,530,000 30,271
----------
Total Italy 58,287
(Cost $55,607) ----------
- --------------------------------------------------------------------------------
JAPAN (c)(f) 17.6%
- --------------------------------------------------------------------------------
Government of Japan
6.400% due 03/20/00 JY 5,074,600 48,020
5.500% due 03/20/02 319,000 3,141
4.500% due 06/20/03 685,000 6,610
4.100% due 12/22/03 64,200 610
----------
Total Japan 58,381
(Cost $58,703) ----------
- --------------------------------------------------------------------------------
MEXICO (c)(f) 4.8%
- --------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 13,000 7,509
Bancomer
8.000% due 07/07/98 $ 2,000 2,013
Nacional Financiera
8.094% due 12/15/97(d) 19 19
Petroleos Mexicanos
7.750% due 09/30/98 FF 22,000 3,826
Republic of Mexico
18.950% due 10/23/97 MP 5,800 739
22.800% due 10/30/97 6,190 787
</TABLE>
24 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
<S> <C> <C>
Third Mexican Acceptance Corp.
7.370% due 03/15/98 $ 1,000 $ 975
----------
Total Mexico 15,868
(Cost $15,775) ----------
- --------------------------------------------------------------------------------
NETHERLANDS (c)(f) 2.0%
- --------------------------------------------------------------------------------
Kingdom of Netherlands
6.245% due 07/15/98 DG 7,500 3,850
5.750% due 01/15/04 4,880 2,539
8.250% due 02/15/07 400 241
----------
Total Netherlands 6,630
(Cost $6,559) ----------
- --------------------------------------------------------------------------------
NEW ZEALAND (c)(f) 1.9%
- --------------------------------------------------------------------------------
Commonwealth of New Zealand
8.000% due 04/15/04 N$ 9,350 6,406
----------
Total New Zealand 6,406
(Cost $6,670) ----------
- --------------------------------------------------------------------------------
POLAND (c)(f) 4.1%
- --------------------------------------------------------------------------------
Republic of Poland
21.670% due 10/22/97 PZ 520 150
22.160% due 11/05/97 16,400 4,691
21.850% due 11/12/97 3,920 1,116
22.050% due 11/19/97 7,200 2,041
21.500% due 12/03/97 5,700 1,601
21.640% due 04/22/98 6,470 1,672
21.365% due 05/13/98 3,320 847
21.550% due 06/26/98 6,600 1,645
----------
Total Poland 13,763
(Cost $14,268) ----------
- --------------------------------------------------------------------------------
ROMANIA (c)(f) 0.3%
- --------------------------------------------------------------------------------
Republic of Romania
7.750% due 06/17/02 DM 1,600 926
----------
Total Romania 926
(Cost $889) ----------
- --------------------------------------------------------------------------------
SOUTH AFRICA (c)(f) 0.5%
- --------------------------------------------------------------------------------
Republic of South Africa
16.300% due 10/17/97 SR 7,080 1,511
----------
Total South Africa 1,511
(Cost $1,580) ----------
- --------------------------------------------------------------------------------
SPAIN (c)(f) 2.4%
- --------------------------------------------------------------------------------
Kingdom of Spain
10.000% due 02/28/05 SP 947,100 8,002
----------
Total Spain 8,002
(Cost $7,299) ----------
- --------------------------------------------------------------------------------
SUPRANATIONAL (c)(f) 0.7%
- --------------------------------------------------------------------------------
European Bank for Reconstruction & Development
9.000% due 04/22/98 PP 49,000 1,356
World Bank
10.250% due 04/11/02 31,000 840
----------
Total Supranational 2,196
(Cost $3,039) ----------
- --------------------------------------------------------------------------------
SWEDEN (c)(f) 9.4%
- --------------------------------------------------------------------------------
Kingdom of Sweden
10.250% due 05/05/00 SK 186,100 27,524
13.000% due 06/15/01 11,200 1,849
8.000% due 08/15/07 12,100 1,814
----------
Total Sweden 31,187
(Cost $30,308) ----------
- --------------------------------------------------------------------------------
UNITED KINGDOM (c)(f) 9.4%
- --------------------------------------------------------------------------------
United Kingdom Gilt
8.000% due 12/07/00 BP 1,000 1,672
6.750% due 11/26/04 190 312
8.500% due 12/07/05 16,051 29,216
----------
Total United Kingdom 31,200
(Cost $29,348) ----------
- --------------------------------------------------------------------------------
UNITED STATES 14.0%
- --------------------------------------------------------------------------------
Corporate Bonds and Notes 3.6%
AT&T Capital Corp.
5.900% due 11/13/97 3,500 3,501
Resolution Trust Corp.
7.750% due 04/25/28 3,531 3,531
Salomon, Inc.
3.650% due 02/14/02(h) 5,060 4,919
----------
11,951
----------
U.S. Treasury Notes 4.0%
6.250% due 01/31/02 6,100 6,159
6.625% due 05/15/07 6,700 6,922
----------
13,081
----------
Mortgage-Backed Securities 6.1%
Collateralized Mortgage Obligation Trust
9.000% due 05/01/14 45 46
Federal Home Loan Mortgage Corp.
9.050% due 06/15/19 156 167
Government National Mortgage Assn.
6.875% due 11/20/21-10/20/24(d)(g) 1,602 1,651
7.125% due 09/20/23(d) 1,542 1,588
Independent National Mortgage Corp.
8.303% due 11/25/24(d) 333 342
Morgan Stanley Mortgage
8.150% due 07/20/21 4 5
PaineWebber Mortgage
7.000% due 10/25/23 1,403 1,408
Resolution Trust Corp.
10.621% due 05/25/24(d) 190 192
Ryland Acceptance Corp.
8.086% due 09/25/23(d) 6,579 6,737
Sears Mortgage
6.792% due 06/25/22(d) 220 222
Government National Mortgage Assn.
6.875% due 10/20/23(d) 3,524 3,627
7.125% due 09/20/22-09/20/23(d)(g) 2,967 3,058
7.375% due 05/20/22-05/20/23(d)(g) 1,249 1,291
----------
20,334
----------
Asset-Backed Securities 0.3%
Student Loan Marketing Assn.
5.605% due 04/25/04(d) 959 960
----------
Total United States 46,326
(Cost $46,054) ----------
- --------------------------------------------------------------------------------
PURCHASED OTC CALL OPTIONS (c)(f) 0.9%
- --------------------------------------------------------------------------------
Government of Japan (OTC)
6.400% due 03/20/00
Strike @ 102.75 Exp. 10/31/97(j) JY 751,600 663
4.500%due06/20/03
Strike @ 94.77 Exp. 10/31/97(j) 525,000 923
Kingdom of Sweden(OTC)
10.250% due 05/05/00
Strike @ 95.38 Exp. 01/31/98(j) SK 80,000 1,560
----------
Total Purchased OTC Call Options 3,146
(Cost $3,113) ----------
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 35.0%
- --------------------------------------------------------------------------------
Discount Notes 33.6%
American Express Credit
5.500% due 10/09/97 $ 6,000 5,993
5.480% due 11/05/97 5,600 5,570
Ameritech Corp.
5.480% due 10/06/97 7,800 7,794
</TABLE>
See accompanying notes 25
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
<S> <C> <C>
Ford Motor Credit Corp.
5.700% due 10/02/97 $ 1,300 $ 1,300
5.550% due 10/08/97 4,700 4,695
5.510% due 10/09/97 7,000 6,991
General Electric Capital Corp.
5.520% due 11/20/97 3,700 3,671
General Motors Acceptance Corp.
5.510% due 11/12/97 2,000 1,987
5.580% due 01/14/98 5,300 5,214
Gillette Co.
6.350% due 10/01/97 8,200 8,200
5.480% due 10/08/97 2,200 2,197
IBM Credit Corp.
5.480% due 11/05/97 5,000 4,973
5.500% due 11/07/97 1,200 1,193
KFW International Finance, Inc.
5.480% due 10/20/97 4,000 3,988
5.510% due 10/27/97 2,700 2,689
5.490% due 11/13/97 1,700 1,689
5.490% due 11/18/97 6,400 6,353
National Rural Utilities Cooperative
5.500% due 10/02/97 1,900 1,900
5.470% due 10/23/97 1,300 1,296
5.480% due 10/28/97 1,300 1,295
5.500% due 12/12/97 1,100 1,088
New Center Asset Trust
5.520% due 10/10/97 1,400 1,398
5.510% due 10/22/97 4,700 4,685
5.530% due 11/05/97 4,800 4,774
Pfizer, Inc.
5.490% due 10/08/97 13,500 13,486
Pitney Bowes Credit Corp.
5.500% due 10/15/97 7,000 6,985
----------
111,404
----------
Repurchase Agreements 1.1%
State Street Bank
5.000% due 10/01/97 3,511 3,511
(Dated 09/30/97. Collateralized by U.S. Treasury ----------
Note 6.250% 08/31/02 valued at $3,583,606.
Repurchase proceeds are $3,511,488.)
U.S. Treasury Bills (b)(g) 0.4%
5.073% due 10/02/97-12/11/97 1,210 1,203
----------
Total Short-Term Instruments 116,118
(Cost $116,119) ----------
Total Investments (a) 178.7% $ 593,136
(Cost $588,881)
Written Options (e) (0.0%) (20)
(Premiums $12)
Other Assets and Liabilities (Net) (78.7%) (261,267)
----------
Net Assets 100.0% $ 331,849
----------
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 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. $ 10,199
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (5,944)
----------
Unrealized appreciation-net $ 4,255
----------
(b) Securities with an aggregate market value of
$1,203 have been segregated with the custodian to
cover margin requirements for the following open
future contracts at September 30, 1997:
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
Commonwealth of Australia 3 Year Note (12/97) 168 $ 180
French Franc 10 Year Future (MAT) (12/97) 64 61
----------
$ 241
----------
</TABLE>
(c) Foreign forward currency contracts outstanding at September 30, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell A$ 1,841 10/97 $ 21
Buy BF 51,300 10/97 45
Sell 250,479 12/97 (183)
Buy BP 100 10/97 0
Sell 11,618 10/97 225
Sell 1,671 11/97 (48)
Sell 217 01/98 (1)
Buy C$ 34,280 12/97 93
Sell 7,524 12/97 (17)
Sell 12,859 03/98 209
Sell CK 129,490 10/97 (216)
Sell DG 4,898 11/97 (104)
Sell 2,104 12/97 1
Sell DK 2,245 10/97 0
Sell 7,893 11/97 (62)
Buy DM 41,939 10/97 27
Buy 10,652 11/97 151
Buy 46,798 12/97 245
Buy 6,447 01/98 (5)
Sell 25,400 10/97 124
Sell 19,064 11/97 (467)
Sell 32,080 12/97 (111)
Buy EC 1,746 10/97 3
Sell 1,746 10/97 29
Sell 2,346 01/98 2
Buy FF 861 10/97 0
Buy 5,323 12/97 3
Sell 27,602 10/97 (82)
Sell 22,281 11/97 (179)
Sell 604 12/97 0
Buy FM 27,818 10/97 232
Sell 156,602 10/97 71
Sell 19,343 11/97 (166)
Sell 5,058 12/97 (23)
Sell 14,451 01/98 6
Buy GD 57,700 10/97 8
Buy IL 1,030,308 10/97 (6)
Buy IP 7,310 10/97 (386)
Buy IR 4,478,000 12/97 (140)
Buy JY 76,800 10/97 2
Buy 458,000 12/97 (60)
Sell 76,800 10/97 43
Sell 527,408 11/97 201
Sell 76,800 12/97 (2)
Sell MR 9,370 12/97 270
Buy N$ 2,600 12/97 24
Sell 12,458 11/97 10
Buy PP 5,550 10/97 (1)
Buy SF 10,232 10/97 24
Sell 23,132 10/97 (299)
Sell 8,315 11/97 (247)
Sell 17,590 12/97 (63)
Sell 28,424 01/98 (72)
Buy SK 68,370 10/97 448
Buy 23,019 11/97 179
Sell 86,988 10/97 81
Sell 539 11/97 (3)
Sell 21,400 12/97 (70)
</TABLE>
26 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy SP 10,518 10/97 $ 0
Buy 449,222 11/97 166
Buy 1,143,532 12/97 (2)
Sell 509,125 12/97 (20)
----------
$ (92)
==========
</TABLE>
(d) Variable Rate Security. The rate listed is as of September 30, 1997.
(e) Premiums received on Written Options:
<TABLE>
<CAPTION>
Premiums Market
Type Par Received Value
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
Put - Indonesian Rupiah vs U.S. Dollar (OTC) IR 3,400,000 $ 12 $ 20
Strike @ 3,400.00 Exp. 10/30/97
</TABLE>
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
AP - Argentine Peso
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
CK - Czech Koruna
DG - Dutch Guilder
DK - Danish Krone
DM - German Mark
EC - European Currency Unit
FF - French Franc
FM - Finnish Markka
GD - Greek Drachma
IL - Italian Lira
IP - Irish Punt
IR - Indonesian Rupiah
JY - Japanese Yen
MP - Mexican Peso
MR - Malaysian Ringgit
N$ - New Zealand Dollar
PP - Philippines Peso
PZ - Polish Zloty
SF - Swiss Franc
SK - Swedish Krona
SP - Spanish Peseta
SR - South Africa Rands
(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 subject to outstanding forward sale commitment.
See accompanying notes 27
<PAGE>
Schedule of Investments
Global Bond Fund II
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ARGENTINA (e) 1.7%
- --------------------------------------------------------------------------------
<S> <C> <C>
Republic of Argentina
8.000% due 03/20/98 AP 60 $ 58
3.353% due 04/01/01(d) 279 258
----------
Total Argentina 316
(Cost $310) ----------
- --------------------------------------------------------------------------------
AUSTRALIA (c)(e) 2.6%
- --------------------------------------------------------------------------------
Commonwealth of Australia
13.000% due 07/15/00 A$ 400 348
9.500% due 08/15/03 100 86
10.000% due 02/15/06 50 46
----------
Total Australia 480
----------
(Cost $455)
- --------------------------------------------------------------------------------
BELGIUM (e) 0.9%
- --------------------------------------------------------------------------------
Kingdom of Belgium
5.100% due 11/21/04 (d) BF 5,800 171
----------
Total Belgium 171
(Cost $162) ----------
- --------------------------------------------------------------------------------
CANADA (c)(e) 11.5%
- --------------------------------------------------------------------------------
Commonwealth of Canada
3.700% due 04/02/98 C$ 560 398
8.000% due 11/01/98 555 417
8.500% due 03/01/00 1,067 836
9.000% due 12/01/04 110 96
4.250% due 12/01/26(g) 175 132
Rogers Cantel, Inc.
10.500% due 06/01/06 320 274
----------
Total Canada 2,153
(Cost $2,038) ----------
- --------------------------------------------------------------------------------
CROATIA 1.0%
- --------------------------------------------------------------------------------
Republic of Croatia
6.500% due 07/31/06 (d) $ 104 100
6.500% due 07/30/10(d) 90 85
----------
Total Croatia 185
(Cost $190) ----------
- --------------------------------------------------------------------------------
CZECH REPUBLIC (c)(e) 1.3%
- --------------------------------------------------------------------------------
Bayerische Landesbank
11.500% due 10/09/97 CK 8,000 243
----------
Total Czech Republic 243
(Cost $298) ----------
- --------------------------------------------------------------------------------
DENMARK (c)(e) 1.4%
- --------------------------------------------------------------------------------
Kingdom of Denmark
8.000% due 05/15/03 DK 1,600 268
----------
Total Denmark 268
(Cost $254) ----------
- --------------------------------------------------------------------------------
FINLAND (c)(e) 11.8%
- --------------------------------------------------------------------------------
Republic of Finland
3.490% due 03/13/98 FM 1,000 186
3.630% due 08/14/98 3,000 549
7.250% due 04/18/06 6,000 1,255
8.250% due 10/15/10 1,000 225
----------
Total Finland 2,215
(Cost $2,219) ----------
- --------------------------------------------------------------------------------
GERMANY (c)(e) 4.3%
- --------------------------------------------------------------------------------
Germany Unity Fund
8.000% due 01/21/02 DM 500 319
Republic of Germany
7.125% due 12/20/02 180 112
6.500% due 07/04/27 506 300
Treuhandanstalt
6.875% due 06/11/03 DM 140 86
----------
Total Germany 817
(Cost $868) ----------
- --------------------------------------------------------------------------------
GREECE (c)(e) 0.8%
- --------------------------------------------------------------------------------
Republic of Greece
11.100% due 06/17/03 (d) GD 7,400 27
14.000% due 10/23/03 33,600 122
----------
Total Greece 149
(Cost $162) ----------
- --------------------------------------------------------------------------------
HONG KONG 1.6%
- --------------------------------------------------------------------------------
Guangdong Enterprises
8.875% due 05/22/07 $ 300 306
----------
Total Hong Kong 306
(Cost $300) ----------
- --------------------------------------------------------------------------------
ITALY (c)(e) 5.4%
- --------------------------------------------------------------------------------
Republic of Italy
6.000% due 01/01/00 IL 1,735,000 1,023
----------
Total Italy 1,023
(Cost $966) ----------
- --------------------------------------------------------------------------------
JAMAICA 0.5%
- --------------------------------------------------------------------------------
Government of Jamaica
9.625% due 07/02/02 $ 100 101
----------
Total Jamaica 101
(Cost $100) ----------
- --------------------------------------------------------------------------------
JAPAN (c)(e) 1.9%
- --------------------------------------------------------------------------------
Government of Japan
4.500% due 06/20/03 JY 37,000 357
----------
Total Japan 357
(Cost $357) ----------
- --------------------------------------------------------------------------------
MEXICO (e) 3.6%
- --------------------------------------------------------------------------------
Republic of Mexico
18.950% due 10/23/97 MP 390 50
22.800% due 10/30/97 430 55
United Mexican States
6.250% due 12/31/19 700 579
----------
Total Mexico 684
(Cost $653) ----------
- --------------------------------------------------------------------------------
NETHERLANDS (c)(e) 1.7%
- --------------------------------------------------------------------------------
Kingdom of Netherlands
6.250% due 07/15/98 DG 500 257
8.250% due 02/15/07 100 60
----------
Total Netherlands 317
(Cost $311) ----------
- --------------------------------------------------------------------------------
NEW ZEALAND (c)(e) 2.3%
- --------------------------------------------------------------------------------
Commonwealth of New Zealand N$ 30 22
10.000% due 03/15/02
8.000% due 04/15/04 600 411
----------
Total New Zealand 433
(Cost $443) ----------
- --------------------------------------------------------------------------------
POLAND (e) 5.2%
- --------------------------------------------------------------------------------
Republic of Poland
21.670% due 10/22/97 PZ 40 12
22.160% due 11/05/97 1,100 315
21.850% due 11/12/97 280 80
22.050% due 11/19/97 340 96
21.500% due 12/03/97 420 118
21.640% due 04/22/98 450 116
</TABLE>
28 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
<S> <C> <C>
21.365% due 05/13/98 PZ 200 $ 51
21.550% due 06/26/98 800 199
----------
Total Poland 987
(Cost $1,029) ----------
- --------------------------------------------------------------------------------
ROMANIA (c)(e) 2.2%
- --------------------------------------------------------------------------------
Republic of Romania
7.750% due 06/17/02 DM 700 405
----------
Total Romania 405
(Cost $389) ----------
- --------------------------------------------------------------------------------
SOUTH AFRICA (e) 0.6%
- --------------------------------------------------------------------------------
South Africa T-Bill
16.300% due 10/17/97 SR 490 104
----------
Total South Africa 104
(Cost $109) ----------
- --------------------------------------------------------------------------------
SPAIN (c)(e) 4.5%
- --------------------------------------------------------------------------------
Kingdom of Spain
10.250% due 11/30/98 SP 90,000 640
10.000% due 02/28/05 25,300 214
----------
Total Spain 854
(Cost $922) ----------
- --------------------------------------------------------------------------------
SUPRANATIONAL (c)(e) 0.9%
- --------------------------------------------------------------------------------
European Bank for Reconstruction &
Development
9.000% due 04/22/98 PP 4,000 111
World Bank
10.250% due 04/11/02 2,000 54
----------
Total Supranational 165
(Cost $228) ----------
- --------------------------------------------------------------------------------
SWEDEN (c)(e) 10.6%
- --------------------------------------------------------------------------------
Kingdom of Sweden
11.000% due 01/21/99 SK 2,200 313
10.250% due 05/05/00 10,300 1,523
13.000% due 06/15/01 900 149
----------
Total Sweden 1,985
(Cost $1,890) ----------
- --------------------------------------------------------------------------------
UNITED KINGDOM (c)(e) 14.3%
- --------------------------------------------------------------------------------
Equitable
8.000% due 08/29/49 (d) BP 700 1,122
United Kingdom Gilt
8.000% due 12/07/00 100 167
8.500% due 12/07/05 768 1,398
----------
Total United Kingdom 2,687
(Cost $2,689) ----------
- --------------------------------------------------------------------------------
UNITED STATES (c)(e) 38.2%
- --------------------------------------------------------------------------------
Corporate Bonds and Notes 10.7%
AT&T Capital Corp.
5.900% due 11/13/97 $ 500 500
Dean Witter Discover
5.836% due 02/01/99(d) 250 251
Hewlett-Packard Finance
5.625% due 11/20/00 DM 100 58
Student Loan Marketing Assn.
6.040% due 10/25/07 (d) $ 900 900
TCI Communications, Inc.
6.394% due 04/01/02(d) 300 296
----------
2,005
----------
Mortgage-Backed Securities 12.7%
Government National Mortgage Assn.
6.000% due 11/20/26 977 994
6.875% due 11/20/21(d) 80 83
7.125% due 07/20/22(d) 1,267 1,307
----------
2,384
----------
U.S. Treasury Notes 14.8%
6.625% due 05/15/07 $ 2,690 2,779
----------
Total United States 7,168
(Cost $7,093) ----------
- --------------------------------------------------------------------------------
PURCHASED OTC CALL OPTIONS (c)(e)(h) 1.0%
- --------------------------------------------------------------------------------
Government of Japan (OTC)
4.500% due 06/20/03
Strike @ 94.77 Exp. 10/31/97 (h) JY 27,000 47
Kingdom of Sweden (OTC)
10.250% due 05/05/00
Strike @ 95.38 Exp. 01/31/98 (h) SK 6,900 135
----------
Total Purchased OTC Call Options 182
(Cost $183) ----------
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 19.7%
- --------------------------------------------------------------------------------
Discount Notes 15.4%
American Express Credit
5.480% due 11/05/97 $ 500 497
General Electric Capital Corp.
5.520% due 11/05/97 100 99
5.500% due 11/19/97 100 99
KFW International Finance, Inc.
5.500% due 10/15/97 900 898
National Rural Utilities Cooperative
5.510% due 11/13/97 600 596
New Center Asset Trust
5.520% due 10/09/97 700 699
----------
2,888
----------
Repurchase Agreements 2.4%
State Street Bank
5.000% due 10/01/97 446 446
----------
(Dated 09/30/97. Collateralized by U.S. Treasury
Note 5.750% 03/31/98 valued at $456,138
Repurchase proceeds are $446,062.)
U.S. Treasury Bills (b)(f) 1.9%
5.090% due 10/02/97-12/11/97 365 363
----------
Total Short-Term Instruments 3,697
(Cost $3,697) ----------
Total Investments (a) 151.5% $ 28,452
(Cost $28,315)
Other Assets and Liabilities (Net) (51.5%) (9,666)
----------
Net Assets 100.0% $ 18,786
----------
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 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. $ 559
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (422)
----------
Unrealized appreciation-net $ 137
----------
(b) Securities with an aggregate market value of $363
have been segregated with the custodian to cover margin
requirements for the following open future contracts at
September 30, 1997:
</TABLE>
See accompanying notes 29
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
Commonwealth of Australia 3 Year Note (12/97) 12 $ 10
U.S. Treasury 10 Year Note (12/97) 27 22
-------------
$ 32
-------------
</TABLE>
(c) Foreign forward currency contracts outstanding at September 30, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell A$ 118 10/97 $ 1
Buy BP 12 10/97 0
Sell 272 10/97 17
Sell 1,154 11/97 (27)
Sell 18 01/98 0
Buy C$ 1,781 12/97 5
Buy 100 03/98 (2)
Sell 1,092 12/97 (3)
Sell 50 03/98 1
Sell CK 6,790 10/97 (11)
Buy DG 10 11/97 0
Sell 104 11/97 (2)
Sell 32 12/97 0
Sell DK 265 10/97 0
Buy DM 997 10/97 0
Buy 615 11/97 10
Buy 4,196 12/97 15
Sell 747 10/97 7
Sell 993 11/97 (25)
Sell 1,970 12/97 (20)
Sell 1,319 01/98 1
Buy EC 122 10/97 0
Sell 122 10/97 2
Sell 190 01/98 0
Buy FF 111 10/97 0
Sell 137 10/97 0
Sell 134 11/97 (1)
Sell 139 12/97 0
Sell FM 5,526 10/97 3
Sell 2,437 11/97 (21)
Sell 983 01/98 0
Buy GD 11,800 10/97 2
Buy IL 58,842 10/97 0
Buy IR 132,800 10/97 (3)
Buy 132,800 11/97 (1)
Buy 407,000 12/97 (13)
Sell 132,800 10/97 1
Buy JY 5,500 10/97 0
Buy 6,000 11/97 (1)
Buy 22,000 12/97 (3)
Sell 5,500 10/97 3
Sell 28,946 11/97 12
Sell 5,500 12/97 0
Sell MR 540 12/97 16
Sell N$ 493 11/97 0
Sell 171 12/97 (1)
Buy PP 1,030 10/97 0
Buy SF 831 10/97 2
Sell 1,331 10/97 (13)
Sell 553 11/97 (17)
Sell 2,350 12/97 (9)
Sell 838 01/98 (2)
Buy SK 2,650 10/97 18
Buy 1,800 12/97 6
Sell 2,484 10/97 2
Sell 3,340 11/97 (26)
Buy SP 20,828 10/97 0
Buy 11,000 11/97 4
Buy 106,730 12/97 0
Sell 134,446 12/97 (5)
----------
$ (78)
----------
</TABLE>
(d) Variable Rate Security. The rate listed is as of September 30, 1997.
(e) Principal amount denoted in indicated currency:
A$ - Australian Dollar
AP - Argentine Peso
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
CK - Czech Koruna
DG - Dutch Guilder
DK - Danish Krone
DM - German Mark
EC - European Currency Unit
FF - French Franc
FM - Finnish Markka
GD - Greek Drachma
IL - Italian Lira
IP - Irish Punt
IR - Indonesian Rupiah
JY - Japanese Yen
MP - Mexican Peso
MR - Malaysian Ringgit
N$ - New Zealand Dollar
PP - Philippines Peso
PZ - Polish Zloty
SF - Swiss Franc
SK - Swedish Krona
SP - Spanish Peseta
SR - South Africa Rands
(f) Securities are grouped by coupon and represent a range of maturities.
(g) Principal amount of the security is adjusted for inflation.
(h) Security is subject to outstanding forward sale commitment.
10 See accompanying notes
<PAGE>
Schedule of Investments
Emerging Markets Bond Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ARGENTINA 22.4%
- --------------------------------------------------------------------------------
<S> <C> <C>
Republic of Argentina
6.750% due 03/31/05(d) $ 480 $ 457
5.500% due 03/31/23(d) 500 378
----------
Total Argentina 835
(Cost $832) ----------
- --------------------------------------------------------------------------------
AUSTRALIA 2.7%
- --------------------------------------------------------------------------------
Western Australia Treasury Corp.
5.500% due 12/18/97 100 99
----------
Total Australia 99
(Cost $99) ----------
- --------------------------------------------------------------------------------
BRAZIL 24.3%
- --------------------------------------------------------------------------------
Government of Brazil
6.938% due 04/15/12(d) 500 424
8.000% due 04/15/14 570 485
----------
Total Brazil 909
(Cost $894) ----------
- --------------------------------------------------------------------------------
BULGARIA 4.4%
- --------------------------------------------------------------------------------
Government of Bulgaria
2.250% due 07/28/12(d) 250 164
----------
Total Bulgaria 164
(Cost $162) ----------
- --------------------------------------------------------------------------------
CANADA 2.7%
- --------------------------------------------------------------------------------
Canadian Wheat Board
5.500% due 11/18/97 100 99
----------
Total Canada 99
(Cost $99) ----------
- --------------------------------------------------------------------------------
ECUADOR 5.3%
- --------------------------------------------------------------------------------
Government of Ecuador
6.688% due 02/27/15(d) 273 198
----------
Total Ecuador 198
(Cost $197) ----------
- --------------------------------------------------------------------------------
FRANCE 5.3%
- --------------------------------------------------------------------------------
Caisse d'Amortissement
5.550% due 10/10/97 100 100
Electricite de France
5.490% due 12/11/97 100 99
----------
Total France 199
(Cost $199) ----------
- --------------------------------------------------------------------------------
MEXICO 11.9%
- --------------------------------------------------------------------------------
United Mexican States
6.250% due 12/31/19 250 207
6.836% due 12/31/19 250 238
----------
Total Mexico 445
(Cost $443) ----------
- --------------------------------------------------------------------------------
NETHERLANDS 2.7%
- --------------------------------------------------------------------------------
Polysindo International Finance
9.375% due 07/30/07 100 99
----------
Total Netherlands 99
(Cost $102) ----------
- --------------------------------------------------------------------------------
POLAND 4.1%
- --------------------------------------------------------------------------------
Republic of Poland
3.000% due 10/27/24(d) 250 152
----------
Total Poland 152
(Cost $152) ----------
- --------------------------------------------------------------------------------
ROMANIA (c)(f) 4.0%
- --------------------------------------------------------------------------------
Republic of Romania
7.750% due 06/17/02 DM 260 150
----------
Total Romania 150
(Cost $142) ----------
- --------------------------------------------------------------------------------
VENEZUELA 12.8%
- --------------------------------------------------------------------------------
Government of Venezuela
6.750% due 12/18/07 $ 500 478
----------
Total Venezuela 478
(Cost $473) ----------
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 67.7%
- --------------------------------------------------------------------------------
Discount Notes 64.0%
Abbott Laboratories
5.490% due 10/21/97 100 100
AT&T Capital Corp.
5.490% due 10/15/97 100 100
BellSouth Telecommunications, Inc.
5.500% due 10/23/97 100 100
Central Illinois Public Services
5.500% due 11/17/97 100 99
E.I. Du Pont de Nemours
5.550% due 12/02/97 100 99
Emerson Electric Co.
5.480% due 10/17/97 100 100
Export Development Corp.
5.490% due 11/13/97 100 99
Federal Home Loan Mortgage Corp.
5.450% due 10/02/97 400 400
Florida Power Corp.
5.500% due 10/14/97 100 100
Ford Motor Credit Corp.
5.530% due 10/08/97 100 100
General Electric Capital Corp.
5.510% due 11/20/97 100 99
General Motors Acceptance Corp.
5.560% due 11/12/97 100 99
IBM Credit Corp.
5.500% due 10/21/97 100 100
KFW International Finance, Inc.
5.490% due 11/18/97 100 99
Motorola, Inc.
5.490% due 10/28/97 100 100
National Rural Utilities Cooperative
5.490% due 11/18/97 100 99
Pitney Bowes Credit Corp.
5.500% due 10/17/97 100 100
Procter & Gamble Co.
5.510% due 10/10/97 100 100
United Parcel Service Co.
5.500% due 12/03/97 100 99
Wisconsin Electric Power & Light
5.520% due 11/06/97 100 99
Wool International
5.530% due 10/08/97 100 100
----------
2,391
----------
Repurchase Agreements 3.4%
State Street Bank
5.000% due 10/01/97 131 131
----------
(Dated 09/30/97. Collateralized by U.S. Treasury
Note 6.750% 08/15/26 valued at $136,480.
Repurchase proceeds are $131,018.)
U.S. Treasury Bills (b) 0.3%
5.155% due 11/13/97 10 10
----------
Total Short-Term Instruments 2,532
(Cost $2,532) ----------
</TABLE>
See accompanying notes 31
<PAGE>
Schedule of Investments (Cont.)
Emerging Markets Bond Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Value
(000s)
================================================================================
<S> <C>
Total Investments (a) 170.3% $ 6,359
(Cost $6,326)
Written Options (e) 0.0% (6)
(Premiums $4)
Other Assets and Liabilities (Net) (70.3%) (2,618)
-----------------
Net Assets 100.0% $ 3,735
-----------------
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 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. $ 39
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (6)
-----------------
Unrealized appreciation-net $ 33
-----------------
(b) Securities with an aggregate market value of $10 have
been segregated with the custodian to cover margin
requirements for the following open future contracts at
September 30, 1997:
</TABLE>
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- ---------------------------------------------------------------------------------
<S> <C> <C>
German Mark 5 Year Future (DTB) 1 $ (1)
(c) Foreign forward currency contracts outstanding at September 30, 1997:
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell DM 177 10/97 $ (1)
Sell 266 08/98 (6)
Sell EC 32 10/97 (1)
Buy GD 9,900 10/97 1
Buy IR 176,000 10/97 (4)
Buy 176,000 11/97 (1)
Buy 32,000 12/97 (1)
Sell 176,000 10/97 1
Buy MP 265 10/97 0
Sell MR 210 12/97 6
Buy PZ 683 10/97 3
Buy SR 80 10/97 0
-----------------
$ (3)
-----------------
(d) Variable Rate Security. The rate listed is as of September 30, 1997.
(e) Premiums received on Written Options:
</TABLE>
<TABLE>
<CAPTION>
Premium Market
Type Par Receive Value
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
Put - Indonesian Rupiah vs U.S. Dollar (OTC) IR 1,020,000 $ 4 $ 6
Strike @ 3,400.00 Exp. 10/30/97
(f) Principal amount denoted in indicated currency:
DM - German Mark
EC - European Currency Unit
GD - Greek Drachma
IR - Indonesian Rupiah
MP - Mexican Peso
MR - Malaysian Ringgit
PZ - Polish Zloty
SR - South Africa Rand
</TABLE>
32 See accompanying notes
<PAGE>
Schedule of Investments
High Yield Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 81.0%
- -------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance 5.4%
Americo Life, Inc.
9.250% due 06/01/05 $ 2,000 $ 2,065
Arvin Capital
9.500% due 02/01/27 19,000 20,344
Bay View Capital Corp.
9.125% due 08/15/07 8,000 8,290
First Nationwide Holdings
12.500% due 04/15/03 5,000 5,638
10.625% due 10/01/03 4,350 4,807
Helicon Group
11.000% due 11/01/03(b) 2,000 2,115
Imperial Credit Industries, Inc.
9.875% due 01/15/07 2,300 2,335
ITT Publimedia BV
9.375% due 09/15/07 4,200 4,368
Polysindo International Finance
9.375% due 07/30/07 12,600 12,443
Reliance Group Holdings
9.000% due 11/15/00 14,000 14,653
Trizec Finance Ltd.
10.875% due 10/15/05 3,919 4,517
----------
81,575
==========
Industrials 63.3%
Abbey Healthcare Group
9.500% due 11/01/02 10,220 10,507
Albritton Communications
9.750% due 11/30/07 5,500 5,486
American Airlines
10.610% due 03/04/10 650 850
American Standard
9.250% due 12/01/16 8,690 9,092
Amerigas Partners L.P.
10.125% due 04/15/07 4,200 4,473
Ameriserv Food Co.
10.125% due 07/15/07 16,550 17,182
Ametek, Inc.
9.750% due 03/15/04 6,350 6,779
Amphenol Corp.
9.875% due 05/15/07 6,500 6,923
Anker Coal Group
9.750% due 10/01/07 2,000 2,040
Archibald Candy Corp.
10.250% due 07/01/04 1,000 1,055
Bell & Howell Co.
10.750% due 10/01/02 4,000 4,220
Benedek Broadcasting Corp.
11.875% due 03/01/05 14,765 16,648
Building Materials Corp.
0.000% due 07/01/04(c) 17,400 16,226
8.625% due 12/15/06 500 519
Cablevision Systems Corp.
8.125% due 08/15/09 7,000 7,114
9.875% due 02/15/13 2,000 2,165
10.500% due 05/15/16 11,000 12,439
9.875% due 04/01/23 4,000 4,340
Century Communications Corp.
8.750% due 10/01/07 5,000 4,959
CF Cable TV, Inc.
9.125% due 07/15/07 9,000 9,833
Clark Oil Refining Corp.
10.500% due 12/01/01 1,400 1,446
Clark R & M Holdings
0.000% due 02/15/00 14,000 11,078
Coleman
7.100% due 06/13/06 6,750 6,099
7.250% due 06/13/08 2,000 1,734
Comcast Cellular
9.500% due 05/01/07 20,125 21,131
Cumberland Farms
10.500% due 10/01/03 8,676 8,719
Delta Air Lines
10.790% due 03/26/14 2,264 2,898
Dimon, Inc.
8.875% due 06/01/06 3,000 3,214
Doane Products Co.
10.625% due 03/01/06 2,000 2,150
Envirosource, Inc.
9.750% due 06/15/03 10,770 10,834
EZ Communication, Inc.
9.750% due 12/01/05 8,200 9,061
Falcon Drilling, Inc.
9.750% due 01/15/01 6,500 6,906
Ferrellgas Partners L.P.
10.000% due 08/01/01 10,100 10,807
9.375% due 06/15/06 6,375 6,726
Foamex L.P.
9.875% due 06/15/07 1,700 1,768
Forcenergy, Inc.
9.500% due 11/01/06 4,300 4,526
8.500% due 02/15/07 4,100 4,100
Gardern State Newspapers
8.750% due 10/01/09 11,700 11,846
Globalstar L.P.
11.375% due 02/15/04 8,350 8,726
11.250% due 06/15/04 4,000 4,150
Goss Graphic Systems, Inc.
12.000% due 10/15/06 6,000 6,750
Granite Broadcasting Corp.
10.375% due 05/15/05 5,250 5,499
Griffin Gaming
0.000% due 06/30/00(c) 7,330 7,422
GST Equipment Funding
13.250% due 05/01/07 5,000 5,825
Gulf Canada Resources
9.250% due 01/15/04 12,575 13,330
HMH Properties, Inc.
9.500% due 05/15/05 12,750 13,435
8.875% due 07/15/07 8,500 8,755
Hollinger International Publishing
8.625% due 03/15/05 4,750 4,898
9.250% due 02/01/06 7,800 8,112
HS Resources
9.875% due 12/01/03 4,250 4,436
Huntsman Corp.
9.312% due 03/20/07(b) 6,500 6,679
Huntsman Packaging Corp.
9.125% due 10/01/07 3,000 3,075
Integrated Health Services
10.250% due 04/30/06 770 830
9.500% due 09/15/07 7,000 7,245
9.250% due 01/15/08 6,900 6,900
ISP Holdings, Inc.
9.000% due 10/15/03 22,500 23,648
J. Ray McDermott
9.375% due 07/15/06 10,400 10,881
J.Q. Hammons Hotels
8.875% due 02/15/04 11,500 11,716
Jones Intercable, Inc.
8.875% due 04/01/07 10,060 10,538
K-III Communications Co.
8.500% due 02/01/06 11,490 11,749
Kaiser Aluminum & Chemical
9.875% due 02/15/02 8,750 9,143
10.875% due 10/15/06 1,800 1,951
KCS Energy, Inc.
11.000% due 01/15/03 2,600 2,841
Keystone Consolidated Industries
9.625% due 08/01/07 3,800 3,900
L-3 Communications Corp.
10.375% due 05/01/07 2,250 2,430
Lenfest Communications
8.375% due 11/01/05 13,650 13,787
Magnum Hunter Resources, Inc.
10.000% due 06/01/07 3,250 3,323
Marcus Cable
0.000% due 08/01/04(c) 11,400 10,346
Marsh Supermarket, Inc.
8.875% due 08/01/07 7,250 7,232
</TABLE>
See accompanying notes 33
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
<S> <C> <C>
Moog, Inc.
10.000% due 05/01/06 $ 3,250 $ 3,461
Newsquest Capital
11.000% due 05/01/06 4,250 4,760
NL Industries
0.000% due 10/15/05(c) 12,000 11,865
Nuevo Energy Co.
9.500% due 04/15/06 3,000 3,218
Orion Network Systems, Inc.
11.250% due 01/15/07 11,875 13,143
0.000% due 01/15/07(c) 4,000 2,680
Owens & Minor
10.875% due 06/01/06 5,850 6,479
Pacific Lumber
10.500% due 03/01/03 9,750 10,140
Paperboard Industries
8.375% due 09/15/07 5,000 5,081
Parker Drilling Corp.
9.750% due 11/15/06 9,950 10,696
Pathmark Stores, Inc.
9.625% due 05/01/03 3,450 3,433
Phar-Mor, Inc.
11.720% due 09/11/02 8,000 8,260
Polymer Group, Inc.
9.000% due 07/01/07 12,000 12,180
Pride International, Inc.
9.375% due 05/01/07 7,450 7,990
Printpack, Inc.
9.875% due 08/15/04 6,450 6,805
Repap Wisconsin, Inc.
9.250% due 02/01/02 1,900 2,005
Revlon Consumer Products Corp.
9.375% due 04/01/01 7,500 7,800
10.500% due 02/15/03 2,500 2,672
Riviera Holdings Corp.
11.000% due 12/31/02 4,756 5,125
10.000% due 08/15/04 8,350 8,413
RJR Nabisco
8.000% due 07/15/01 2,000 2,057
8.625% due 12/01/02 5,500 5,794
Rogers Cablesystems, Inc.
10.000% due 03/15/05 7,500 8,325
Rogers Cantel Mobile
8.300% due 10/01/07 5,000 5,025
9.375% due 06/01/08 15,500 16,585
Salem Communications
9.500% due 10/01/07 4,350 4,350
SC International Services, Inc.
9.250% due 09/01/07 8,200 8,344
Sea Containers
9.500% due 07/01/03(b) 750 776
Shoppers Food Warehouse
9.750% due 06/15/04 6,000 6,143
Showboat, Inc.
9.250% due 05/01/08 9,750 10,140
Silgan Holdings, Inc.
9.000% due 06/01/09 11,450 11,751
Smith's Food & Drug Centers, Inc.
8.640% due 07/02/12 9,575 10,033
9.200% due 07/02/18 2,750 3,032
Southern Foods Group Capital
9.875% due 09/01/07 6,000 6,255
Specialty Retailers
8.500% due 07/15/05 3,100 3,193
9.000% due 07/15/07 1,000 1,025
Statia Terminals
11.750% due 11/15/03 5,250 5,572
Station Casinos
9.625% due 06/01/03 3,150 3,166
Stevens, JP & Co.
9.000% due 03/01/17 10,000 10,450
Stone Container
9.062% due 02/01/03(b) 10,000 10,119
11.500% due 10/01/04 2,000 2,158
Sun International Hotels
9.000% due 03/15/07 7,500 7,763
Synthetic Industries, Inc.
9.250% due 02/15/07 2,150 2,233
Teleport Communications
0.000% due 07/01/07(c) 18,150 14,339
Telewest Communications
9.625% due 10/01/06 11,000 11,426
Tenet Healthcare Corp.
10.125% due 03/01/05 8,300 9,172
8.625% due 01/15/07 3,500 3,640
TFM SA DE CV
9.750% due 06/30/03(b) 4,000 4,000
10.250% due 06/15/07 5,175 5,460
Trans-Resources, Inc.
11.875% due 07/01/02 7,080 7,540
Transamerican Energy
11.500% due 06/15/02 1,525 1,525
Unisys Corp.
12.000% due 04/15/03 14,900 16,781
11.750% due 10/15/04 5,000 5,669
US Air, Inc.
9.625% due 09/01/03 11,490 12,352
US Can Corp.
10.125% due 10/15/06 3,575 3,781
Vencor, Inc.
8.625% due 07/15/07 13,000 13,244
Vintage Petroleum
9.000% due 12/15/05 10,490 10,910
West Point Stevens
8.750% due 12/15/01 2,500 2,613
9.375% due 12/15/05 7,500 7,913
World Color Press, Inc.
9.125% due 03/15/03 13,085 13,739
Young Broadcasting, Inc.
9.000% due 01/15/06 11,000 11,055
8.750% due 06/15/07 4,000 3,920
----------
947,019
----------
Utilities 12.3%
AES Corp.
10.250% due 07/15/06 14,235 15,659
Beaver Valley Funding Corp.
9.000% due 06/01/17 34,000 36,988
Bell Cablemedia PLC
0.000% due 09/15/05(c) 2,000 1,744
California Energy
9.875% due 06/30/03 5,000 5,388
10.250% due 01/15/04(b) 17,815 19,359
Calpine Corp.
9.250% due 02/01/04 7,500 7,725
8.750% due 07/15/07 14,650 14,980
CMS Energy
8.125% due 05/15/02 8,000 8,210
Coho Energy, Inc.
8.875% due 10/15/07 5,500 5,458
Dial Call Communications
0.000% due 04/15/04(c) 15,000 14,081
Espirito Santo Centrais
10.000% due 07/15/07 6,500 6,546
First PV Funding
10.150% due 01/15/16 1,020 1,088
Niagara Mohawk Power
9.990% due 05/11/04 2,500 2,549
7.750% due 05/15/06 1,100 1,124
9.500% due 03/01/21 2,500 2,641
7.875% due 04/01/24 7,500 7,483
North Atlantic Energy
9.050% due 06/01/02 7,795 7,880
Public Service of New Hampshire
9.170% due 05/15/98 1,000 998
Sprint Spectrum, L.P.
8.845% due 02/10/06(b) 1,696 1,712
8.975% due 02/10/06(b) 2,967 2,999
9.095% due 02/10/06(b) 2,837 2,876
Vanguard Cellular Systems, Inc.
9.375% due 04/15/06 7,500 7,838
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/09 500 537
</TABLE>
34 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
<S> <C> <C>
10.732% due 01/01/13 $ 6,993 $ 7,678
-----------
183,541
-----------
Total Corporate Bonds and Notes 1,212,245
(Cost $1,157,260) -----------
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 3.1%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 2.3%
Asset Securitization Corp.
7.384% due 08/13/29 1,500 1,448
Federal Deposit Insurance Corp.
6.906% due 11/25/26(b) 400 411
Manufacturers Hanover Corp.
7.464% due 12/16/25(b) 853 854
8.144% due 12/16/25(b) 3,794 3,609
NationsBank Corp.
8.122% due 05/25/28(b) 3,835 2,655
Red Mountain Funding Corp.
9.150% due 11/28/27 5,727 5,853
Resolution Trust Corp.
7.346% due 09/25/20(b) 707 593
9.250% due 06/25/23 3,384 3,407
9.050% due 08/25/23 872 879
9.500% due 05/25/24 93 93
8.500% due 03/25/25 21 20
6.900% due 02/25/27(b) 9,447 9,093
7.000% due 05/25/27 6,357 6,138
-----------
35,053
-----------
Other Mortgage-Backed Securities 0.5%
LTC Commercial Corp.
9.200% due 08/04/23 3,235 3,511
Structured Asset Securities Corp.
7.050% due 11/25/02 4,000 3,469
-----------
6,980
-----------
Stripped Mortgage-Backed Securities 0.3%
Federal National Mortgage Assn. (IO)
6.000% due 07/25/05 2,954 164
7.000% due 07/25/08 7,152 1,061
6.500% due 06/25/17 2,937 256
7.000% due 04/25/19 12,000 2,658
Fund America (IO)
9.590% due 10/20/21 1,732 242
-----------
4,381
-----------
Total Mortgage-Backed Securities 46,414
(Cost $45,676) -----------
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 1.0%
- --------------------------------------------------------------------------------
Airplanes Pass Through Trust
10.875% due 03/15/19 5,200 5,984
Arena Brands, Inc.
8.883% due 06/01/02(b) 84 84
8.967% due 06/01/02(b) 21 21
9.125% due 06/01/02(b) 2,779 2,786
9.383% due 06/01/02(b) 4,969 4,981
9.469% due 06/01/02(b) 74 74
-----------
Total Asset-Backed Securities 13,930
(Cost $13,354) -----------
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.1%
- --------------------------------------------------------------------------------
Republic of Argentina
6.750% due 03/31/05(b) 18,998 18,059
5.500% due 03/31/23(b) 9,000 6,795
Third Mexican Acceptance Corp.
7.370% due 03/15/98 1,000 975
United Mexican States
6.250% due 12/31/19 7,000 5,801
-----------
Total Sovereign Issues 31,630
(Cost $26,090) -----------
<CAPTION>
Value
(000s)
- --------------------------------------------------------------------------------
PREFERRED STOCK 6.0%
- --------------------------------------------------------------------------------
Shares
<S> <C> <C>
California Federal Bank 16,500 $ 1,886
Fresenius Medical Care 28,195 29,323
K-III Communications 70,000 7,070
Long Island Lighting Co. 30,000 3,113
Newscorp Overseas Ltd. 133,200 3,363
Sig Capital Trust 7,000 7,077
Time Warner, Inc. 34,427 39,343
-----------
Total Preferred Stock 91,175
(Cost $85,761) -----------
<CAPTION>
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 6.0%
- --------------------------------------------------------------------------------
Principal
Amount
(000s)
<S> <C> <C>
Discount Notes 5.5%
Ameritech Corp.
5.480% due 10/06/97 $ 4,600 4,596
Ford Motor Credit Corp.
5.490% due 10/06/97 200 200
5.500% due 10/10/97 15,000 14,979
General Motors Acceptance Corp.
5.510% due 11/12/97 1,800 1,788
5.570% due 01/05/98 26,300 25,908
Gillette Co.
6.350% due 10/01/97 3,900 3,900
IBM Credit Corp.
5.500% due 11/19/97 20,000 19,850
KFW International Finance, Inc.
5.480% due 10/20/97 3,200 3,191
National Rural Utilities Cooperative
5.500% due 11/06/97 3,200 3,182
New Center Asset Trust
5.510% due 11/19/97 4,300 4,268
SBC Communications, Inc.
5.500% due 11/07/97 1,000 994
-----------
82,856
-----------
Repurchase Agreements 0.5%
State Street Bank
5.000% due 10/01/97 6,568 6,568
(Dated 09/30/97. Collateralized by U.S. Treasury -----------
Note 6.250% 08/31/02 valued at $6,700,888.
Repurchase proceeds are $6,568,912.)
Total Short-Term Instruments 89,424
(Cost $89,425) -----------
Total Investments (a) 99.2% $ 1,484,708
(Cost $1,417,566)
Other Assets and Liabilities (Net) 0.8% 12,464
-----------
Net Assets 100.0% $ 1,497,172
-----------
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 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. $ 68,691
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (1,549)
-----------
Unrealized appreciation-net $ 67,142
-----------
</TABLE>
(b) Variable Rate Security. The rate listed is as of September 30, 1997.
(c) Security becomes interest bearing at a future date.
See accompanying notes 35
<PAGE>
Schedule of Investments
Total Return Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 16.5%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance 8.9%
Ahmanson (H.F.) & Co.
6.350% due 09/01/98 $ 6,000 $ 6,024
American Express Credit
8.500% due 08/15/01 250 269
6.800% due 12/15/03 1,500 1,536
American General Finance
7.250% due 04/15/00 500 511
5.875% due 07/01/00 75 74
Associates Corp. of North America
6.125% due 02/01/98 1,475 1,477
7.300% due 03/15/98 250 252
6.625% due 05/15/98 100 101
8.800% due 08/01/98 987 1,010
6.250% due 03/15/99 1,200 1,204
7.500% due 05/15/99 700 716
7.400% due 07/07/99 125 128
7.250% due 09/01/99 250 255
6.750% due 10/15/99 90 91
7.850% due 10/20/99 500 517
8.250% due 12/01/99 200 209
7.250% due 12/17/99 660 675
7.470% due 03/27/00 1,000 1,030
6.310% due 06/16/00 500 502
6.250% due 09/15/00 50 50
AT&T Capital Corp.
6.030% due 10/27/97 32,115 32,125
5.880% due 11/05/97 65,000 65,013
5.776% due 11/05/97(d) 10,000 10,001
5.900% due 11/05/97(d) 30,000 30,001
5.900% due 11/13/97 75,000 75,020
5.877% due 01/30/98(d) 12,500 12,505
5.806% due 02/03/98(d) 6,250 6,254
7.350% due 03/02/98 6,000 6,041
6.900% due 04/15/98 19,800 19,926
6.300% due 06/09/98 37,000 37,128
AVCO Financial Services
6.350% due 09/15/00 100 100
7.375% due 08/15/01 300 310
Bancomer
8.000% due 07/07/98 7,000 7,046
Banesto Delaware
8.250% due 07/28/02 28,900 30,896
BankAmerica Corp.
6.050% due 06/10/98 36,000 36,051
7.750% due 07/15/02 60 63
7.200% due 09/15/02 400 412
7.500% due 10/15/02 1,000 1,044
6.850% due 03/01/03 50 51
8.375% due 05/01/07 3 3
Bankers Trust Co.
8.625% due 04/01/18 151 156
Banponce Corp.
8.040% due 11/24/97 9,000 9,025
Barclays American Corp.
9.125% due 12/01/97 350 352
Bear Stearns
6.070% due 08/29/00(d) 37,500 37,500
6.750% due 04/15/03 105 106
Beneficial Corp.
9.600% due 10/16/98 250 259
BT Securities Corp.
6.032% due 08/16/99(d) 10,000 9,997
Charles Schwab
5.670% due 09/30/98 525 523
Chase Manhattan Corp.
8.500% due 02/15/02 200 216
8.000% due 05/01/05 200 203
Chemical Banking Corp.
6.125% due 11/01/08 400 380
Chrysler Financial Corp.
8.420% due 02/01/99 695 717
8.460% due 01/19/00 700 734
5.860% due 01/16/01 500 494
Chubb Capital Corp.
8.750% due 11/15/99 120 122
6.875% due 02/01/03 100 102
Citicorp
8.750% due 02/15/98 9,000 9,099
6.146% due 10/20/99(d) 10,000 10,065
6.119% due 10/25/99(d) 11,000 11,072
Commercial Credit Co.
6.750% due 05/15/00 100 101
6.000% due 06/15/00 300 299
8.250% due 11/01/01 2,500 2,667
7.750% due 03/01/05 50 53
Dean Witter Discover
5.690% due 03/02/99(d) 100 100
6.750% due 08/15/00 100 102
Exxon Capital Corp.
7.450% due 12/15/01 250 261
First Interstate Bancorp
8.875% due 01/01/09 311 313
Fleet Financial Group
9.900% due 06/15/01 200 222
Ford Motor Credit Corp.
8.000% due 12/01/97 260 261
7.240% due 04/01/98 11,000 11,086
5.750% due 04/30/98 300 300
5.810% due 11/09/98(d) 17,080 17,165
8.000% due 01/15/99 500 512
8.375% due 01/15/00 150 157
6.950% due 05/15/00 1,200 1,222
6.850% due 08/15/00 1,500 1,524
7.020% due 10/10/00 70,000 71,453
7.020% due 06/07/01 1,000 1,023
7.000% due 09/25/01 1,125 1,152
6.625% due 06/30/03 575 578
8.250% due 02/23/05 2,500 2,732
6.125% due 01/09/06 25 24
7.700% due 05/15/97 450 477
General Electric Capital Corp.
5.980% due 03/19/99 1,500 1,507
8.375% due 03/01/01 600 640
5.500% due 11/01/01 50 49
8.300% due 09/20/09 150 171
General Motors Acceptance Corp.
6.000% due 10/10/97 23,000 23,002
7.850% due 11/17/97 13,000 13,037
7.375% due 03/23/98 2,290 2,309
7.250% due 07/20/98 25,785 26,080
7.750% due 01/15/99 500 511
7.375% due 05/26/99 190 194
8.625% due 06/15/99 650 677
8.400% due 10/15/99 360 376
8.170% due 01/02/00 2,268 2,337
7.000% due 03/01/00 100 102
7.500% due 06/09/00 1,000 1,031
6.800% due 04/17/01 500 508
9.625% due 12/15/01 300 335
6.750% due 02/07/02 590 598
7.000% due 09/15/02 250 256
8.950% due 07/02/09 21,500 23,470
Goldman Sachs Mortgage Corp.
6.000% due 12/31/07 11,150 10,336
Great Western Bank
8.625% due 12/01/98 6,000 6,148
Household Finance Corp.
6.250% due 10/15/97 201 201
5.650% due 05/26/98 500 499
Inter-American Development Bank
8.875% due 06/01/09 200 239
International Bank for Reconstruction & Development
9.875% due 10/01/97 194 194
International Lease Finance
5.750% due 12/15/99 50 50
6.420% due 09/11/00 500 503
Key Bank N.A.
6.050% due 04/06/98 19,875 19,879
</TABLE>
36 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
<S> <C> <C>
Kimco Realty Corp.
6.500% due 10/01/03 $ 200 $ 196
Lehman Brothers, Inc.
6.730% due 02/27/98 45,000 45,165
7.850% due 05/11/98 4,350 4,401
6.375% due 06/01/98 100 100
6.875% due 06/08/98 5,800 5,828
6.404% due 06/22/98(d) 25,000 25,119
6.250% due 06/29/98 5,400 5,411
7.625% due 08/01/98 250 253
6.840% due 09/25/98 20,750 20,891
Mellon Bank
6.500% due 08/01/05 75 74
Merrill Lynch & Co.
6.375% due 03/30/99 400 402
6.620% due 06/06/00 500 506
6.500% due 04/01/01 100 101
5.850% due 01/15/02(d) 17,000 17,066
8.300% due 11/01/02 200 216
7.000% due 03/15/06 1,500 1,529
7.000% due 04/27/08 100 102
NationsBank Corp.
5.125% due 09/15/98 100 99
6.750% due 02/26/01 500 506
7.000% due 09/15/01 1,500 1,536
NBD Bank N.A.
7.500% due 02/28/98 1,000 1,008
NCNB Corp.
7.750% due 08/01/02 796 797
Northern Trust
9.000% due 05/15/98 200 204
Norwest Corp.
5.750% due 11/16/98 300 300
Norwest Financial, Inc.
6.500% due 11/15/97 1,500 1,502
6.230% due 09/01/98 100 100
7.000% due 01/15/03 300 307
6.000% due 02/01/04 50 49
PaineWebber
6.250% due 06/15/98 100 100
7.000% due 03/01/00 200 203
PNC Funding Corp.
6.875% due 03/01/03 100 101
Popular, Inc.
6.715% due 06/06/00 20,000 20,198
Reliance Group Holdings
9.000% due 11/15/00 9,000 9,420
Salomon, Inc.
5.650% due 10/15/97 6,000 6,000
5.919% due 10/31/97(d) 112,000 112,033
5.888% due 11/05/97(d) 13,000 13,004
5.890% due 11/10/97 99,000 99,030
7.000% due 01/20/98 7,000 7,026
5.500% due 01/31/98 1,000 1,000
5.650% due 02/10/98 1,165 1,165
5.700% due 02/11/98 1,300 1,300
5.850% due 07/24/98(d) 55,000 54,981
5.799% due 08/04/98(d) 15,000 15,006
5.250% due 10/15/98 400 397
6.088% due 11/19/98(d) 3,000 3,012
6.220% due 11/19/98 2,300 2,305
6.651% due 02/12/99(d) 1,000 1,003
7.000% due 05/15/99 6,635 6,717
6.500% due 03/01/00 14,350 14,400
6.625% due 11/30/00 70 71
3.650% due 02/14/02(h) 17,203 16,724
Sears Financial
0.000% due 07/12/98 3,480 3,318
Security Pacific Corp.
6.000% due 05/01/00 600 596
Signet Bank Corp.
5.938% due 04/15/98(d) 9,000 8,969
9.625% due 06/01/99 6,500 6,849
Smith Barney Holdings
6.625% due 06/01/00 95 96
Societe Generale
7.400% due 06/01/06 1,500 1,553
Sparbanken Sverige AB
7.773% due 10/29/49(d) 12,670 12,854
Swedbank
7.773% due 10/29/49(d) 12,000 12,281
Texaco Capital
9.000% due 11/15/97 1,000 1,004
Toyota Motor Credit Corp.
4.693% due 02/15/02(d) 40,000 38,781
Transamerica Financial
5.703% due 04/20/99(d) 500 499
Trizec Finance Ltd.
10.875% due 10/15/05 2,489 2,869
U.S. Life Corp.
6.750% due 01/15/98 100 100
U.S. West Financial, Inc.
8.400% due 09/15/99 50 52
Wachovia Bank
6.700% due 04/14/99 500 505
Wells Fargo & Co.
8.750% due 05/01/02 100 109
----------
1,336,165
----------
Industrials 4.4%
Allied Waste Industries, Inc.
7.562% due 06/12/03 10,000 10,000
American Home Products
7.700% due 02/15/00 300 309
Amerigas Partners L.P.
10.125% due 04/15/07 1,730 1,842
AMR Corp.
7.750% due 12/01/97 20,000 20,061
9.500% due 07/15/98 5,500 5,649
9.270% due 08/13/98 1,000 1,027
8.050% due 03/05/99 4,000 4,107
9.750% due 03/15/00 10,760 11,614
10.610% due 01/11/01 4,000 4,479
10.570% due 01/15/01 3,000 3,360
10.590% due 01/31/01 3,000 3,366
10.000% due 02/01/01 2,000 2,211
9.400% due 05/08/01 3,000 3,269
9.500% due 05/15/01 2,250 2,472
9.130% due 10/25/01 2,000 2,182
8.470% due 02/20/02 2,000 2,134
8.500% due 02/26/02 1,000 1,068
10.210% due 01/01/10 6,500 8,057
Arkla, Inc.
9.320% due 12/15/97 1,000 1,007
8.740% due 05/14/98 3,000 3,038
Baxter International
9.500% due 06/15/08 200 242
Blockbuster Entertainment
6.625% due 02/15/98 5,000 5,012
Boeing Co.
8.375% due 02/15/01 150 160
Boise Cascade Co.
9.900% due 03/15/00 65 70
BP America, Inc.
8.875% due 12/01/97 750 754
Building Materials Corp.
0.000% due 07/01/04(i) 20,320 18,948
Canadian Pacific Ltd.
9.450% due 08/01/21 2,750 3,387
CBS, Inc.
7.625% due 01/01/02 100 102
Cemex S.A.
4.250% due 11/01/97 4,500 4,472
Centerior Fuel Corp.
9.200% due 08/02/98 15,000 15,000
Century Communications Corp.
9.500% due 08/15/00 6,000 6,255
CF Cable TV, Inc.
9.125% due 07/15/07 1,600 1,748
Continental Cablevision
11.000% due 06/01/07 4,536 5,086
</TABLE>
See accompanying notes 37
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
<S> <C> <C>
Cumberland Farms
10.500% due 10/01/03 $ 3,698 $ 3,716
Dayton Hudson Co.
10.000% due 12/01/00 1,000 1,101
Delta Air Lines
10.140% due 08/14/12 1,000 1,226
Dimon, Inc.
8.875% due 06/01/06 3,000 3,214
E.I. Du Pont de Nemours
8.650% due 12/01/97 500 502
9.150% due 04/15/00 100 107
Eli Lilly & Co.
8.125% due 02/07/00 387 403
Federal Express
10.000% due 09/01/98 800 827
Ford Motor Co.
9.000% due 09/15/01 200 219
Gillette Co.
5.750% due 10/15/05 1,500 1,441
Global Marine
12.750% due 12/15/99 14,200 14,626
Gulf Canada Resources
9.250% due 01/15/04 1,250 1,325
9.625% due 07/01/05 2,000 2,183
HMH Properties, Inc.
9.500% due 05/15/05 2,000 2,108
Hollinger International Publishing
9.250% due 02/01/06 3,000 3,120
IBM Corp.
7.250% due 11/01/02 100 104
INDSPEC Chemical Corp.
0.000% due 12/01/03(i) 5,500 5,308
Integrated Health Services
7.469% due 09/16/04(d) 15,000 14,963
ISP Holdings, Inc.
9.000% due 10/15/03 5,000 5,255
ITT Corp.
6.250% due 11/15/00 70 69
K-III Communications Co.
8.500% due 02/01/06 4,000 4,090
Kaiser Aluminum & Chemical
9.875% due 02/15/02 250 261
Keystone Group
9.750% due 09/01/03 250 266
Lenfest Communications
8.375% due 11/01/05 5,000 5,050
Maxus Energy Corp.
9.875% due 10/15/02 300 315
Mazda Manufacturing Corp.
10.500% due 07/01/08 1,980 2,523
Mobil Corp.
8.375% due 02/12/01 40 43
Nabisco, Inc.
8.000% due 01/15/00 7,500 7,775
New York Times
7.625% due 03/15/05 1,000 1,058
News America Holdings Corp.
7.500% due 03/01/00 65 67
8.625% due 02/01/03 750 812
Nike, Inc.
6.510% due 06/16/00 1,000 1,009
Noranda, Inc.
7.000% due 07/15/05 1,800 1,814
Parker Drilling Corp.
7.910% due 11/29/02(d) 6,750 6,750
PDV America, Inc.
7.250% due 08/01/98 10,719 10,805
Pepsico, Inc.
5.463% due 07/01/98 400 398
7.750% due 10/01/98 500 509
7.625% due 11/01/98 1,500 1,527
Philip Morris Co.
7.375% due 02/15/99 115 117
8.625% due 03/01/99 200 207
7.500% due 01/15/02 50 52
6.800% due 12/01/03 48,345 48,297
Phillips Petroleum
9.500% due 11/15/97 500 502
Quantas Airways
6.625% due 06/30/98 25,000 25,118
Repap Wisconsin, Inc.
9.250% due 02/01/02 2,350 2,479
Revlon Consumer Products Corp.
9.375% due 04/01/01 5,255 5,465
RJR Nabisco
7.625% due 09/01/00 6,000 6,142
8.000% due 07/15/01 30,000 30,848
8.625% due 12/01/02 3,000 3,160
7.625% due 09/15/03 9,000 9,083
Rogers Cablesystems, Inc.
10.000% due 12/01/07 5,000 5,500
Rogers Cantel Mobile
11.125% due 07/15/02 5,000 5,188
9.375% due 06/01/08 2,750 2,943
Saferco
9.460% due 05/31/99 1,000 1,052
9.590% due 05/31/01 3,000 3,308
SCI Television
11.000% due 06/30/05 3,275 3,443
Sears Roebuck & Co.
9.250% due 04/15/98 2,125 2,163
7.960% due 02/18/99 500 513
5.820% due 02/22/99 125 125
6.800% due 05/07/01 500 507
6.790% due 05/21/01 500 507
9.400% due 08/02/01 250 275
Showboat, Inc.
9.250% due 05/01/08 1,000 1,040
Supervalu, Inc.
6.500% due 10/06/00 140 141
TCI Communications, Inc.
7.130% due 02/02/98 3,500 3,515
6.355% due 09/11/00(d) 22,000 21,940
Telecommunications, Inc.
9.875% due 04/01/98 3,000 3,057
Telewest Communications
9.625%due 10/01/06 5,000 5,194
Tenet Healthcare Corp.
9.625% due 09/01/02 6,250 6,859
10.125% due 03/01/05 1,000 1,105
Time Warner, Inc.
7.450% due 02/01/98 32,000 32,165
7.975% due 08/15/04 31,803 33,552
8.110% due 08/15/06 80,029 85,563
8.180% due 08/15/07 1,500 1,617
7.250% due 09/01/08 125 127
Transcontinental Gas Pipeline
9.125% due 02/01/17 2,000 2,086
United Air Lines
6.750% due 12/01/97 14,400 14,423
USX Corp.
6.375% due 07/15/98 16,200 16,245
9.800% due 07/01/01 300 333
Vons
6.625% due 05/15/98 6,006 5,991
Wal-Mart Stores
9.100% due 07/15/00 100 108
8.625% due 04/01/01 1,050 1,129
WMX Technologies
8.125% due 02/01/98 750 756
World Color Press, Inc.
9.125% due 03/15/03 5,000 5,250
Xerox Corp.
7.040% due 04/30/99 770 782
7.410% due 05/15/01 1,000 1,034
----------
660,383
----------
Utilities 3.2%
AES Corp.
10.250% due 07/15/06 4,500 4,950
Arkansas Power & Light
10.370% due 12/22/97 3,000 3,020
</TABLE>
38 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
<S> <C> <C>
Bell Atlantic Financial
6.625% due 11/30/97 $ 400 $ 400
5.300% due 09/01/98 1,000 996
California Energy
10.250% due 01/15/04(d) 12,985 14,110
Calpine Corp.
9.250% due 02/01/04 4,150 4,275
Carolina Power & Light
6.375% due 10/01/97 50 50
5.375% due 07/01/98 100 100
Central Maine Power Co.
6.250% due 11/01/98 1,000 996
Central Power & Light
6.000% due 10/01/97 850 850
Chesapeake & Potomac Telephone
8.000% due 10/15/29 1,125 1,240
Chesapeake Energy Corp.
12.000% due 03/01/01 7,000 7,560
Cincinnati Bell, Inc.
6.700% due 12/15/97 1,000 1,002
Cleveland Electric Illuminating Co.
9.450% due 12/01/97 5,000 5,028
8.150% due 11/30/98 7,500 7,642
7.190% due 07/01/00 10,000 10,124
9.375% due 03/01/17 3,000 3,132
CMS Energy
9.500% due 10/01/97(d) 31,600 31,603
9.875% due 10/01/99(d) 12,700 12,909
Coastal Corp.
8.750% due 05/15/99 4,300 4,455
Commonwealth Edison
8.000% due 10/15/03 7,550 7,673
8.125% due 01/15/07 10,000 10,188
9.875% due 06/15/20 11,700 13,577
Connecticut Light & Power
6.500% due 01/01/98 1,000 1,001
7.250% due 07/01/99 6,000 5,991
5.750% due 07/01/00 2,000 1,935
7.750% due 06/01/02 5,000 5,066
Consolidated Edison
7.600% due 01/15/00 100 103
Consolidated Natural Gas Co.
5.875% due 10/01/98 500 500
Consumers Energy Corp.
8.750% due 02/15/98 5,550 5,600
Duke Energy Corp.
8.000% due 11/01/99 40 41
Eastern Edison Co.
7.780% due 07/30/02 9,000 9,431
El Paso Electric Co.
7.250% due 02/01/99 10,956 11,010
El Paso Natural Gas
10.000% due 08/01/98 1,600 1,652
First PV Funding
10.150% due 01/15/16 6,763 7,214
Georgia Power
7.000% due 10/01/00 5,000 5,001
GTE Corp.
8.850% due 03/01/98 200 203
10.750% due 09/15/17 300 315
Gulf States Utilities
7.250% due 03/01/99 6,200 6,230
Long Island Lighting Co.
7.300% due 07/15/99 22,015 22,370
6.250% due 07/15/01 7,000 6,925
8.500% due 05/15/06 6,750 7,103
7.900% due 07/15/08 4,335 4,420
8.900% due 07/15/19 46,000 49,013
9.750% due 05/01/21 28,818 29,899
9.625% due 07/01/24 16,400 17,015
MCI Communications Corp.
6.250% due 03/23/99 600 602
New England Power
6.140% due 02/02/98 500 501
6.100% due 02/04/98 1,000 1,000
New Jersey Bell Telephone
7.850% due 11/15/29 70 81
New Orleans Public Service
8.670% due 04/01/05 2,230 2,258
New York Telephone Co.
6.250% due 02/15/04 150 148
North Atlantic Energy
9.050% due 06/01/02 4,872 4,919
Northern Illinois Gas Co.
6.450% due 08/01/01 1,450 1,460
Oklahoma Gas & Electric
6.375% due 01/01/98 100 100
Pacific Gas & Electric Co.
5.375% due 08/01/98 500 498
7.670% due 12/15/98 208 212
6.750% due 12/01/00 709 716
Pacific Northwest Bell
4.375% due 09/01/02 50 46
Pennsylvania Power & Light
5.500% due 04/01/98 250 250
Philadelphia Electric
6.125% due 10/01/97 500 500
5.375% due 08/15/98 12,000 11,941
Public Service Electric & Gas
8.750% due 07/01/99 40 42
Public Service of New Hampshire
9.170% due 05/15/98 16,000 16,243
Queststar Pipeline
9.375% due 06/01/21 200 229
Southern California Edison
5.875% due 02/01/98 343 343
5.450% due 06/15/98 400 399
Southwestern Bell Telephone Co.
5.550% due 03/10/98 1,000 1,000
6.125% due 03/01/00 50 50
System Energy Resources
6.000% due 04/01/98 801 801
Tennessee Valley Authority
0.000% due 04/15/42(i) 855 327
Texas Utilities Co.
5.750% due 07/01/98 11,750 11,741
6.258% due 05/01/99(d) 32,125 32,140
Texas-New Mexico Power
10.750% due 09/15/03 4,950 5,391
Toledo Edison Co.
8.180% due 07/30/02 1,400 1,461
8.700% due 09/01/02 10,000 10,439
7.850% due 03/31/03 7,000 7,213
7.875% due 08/01/04 500 517
Trident NGL, Inc.
10.250% due 04/15/03 7,500 8,053
Tuscon Electric Power
8.500% due 10/01/09 1,000 1,051
U.S. West Communications, Inc.
6.625% due 09/15/05 300 301
United Air Lines
10.670% due 05/01/04 2,050 2,431
Virginia Electric & Power Co.
9.375% due 06/01/98 7,500 7,667
6.250% due 08/01/98 200 201
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/13 991 1,088
----------
478,278
----------
Total Corporate Bonds and Notes 2,474,826
(Cost $2,445,688) ----------
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 7.7%
- --------------------------------------------------------------------------------
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/08 1,210 1,312
Federal Home Loan Bank
6.320% due 12/04/97 1,500 1,502
5.740% due 12/23/98(d) 250 250
8.600% due 06/25/99 20 21
Federal Home Loan Mortgage Corp.
5.950% due 06/19/98 20,000 20,054
7.125% due 07/21/99 235 240
6.610% due 08/07/00 1,000 1,005
</TABLE>
See accompanying notes 39
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
<S> <C> <C>
6.565% due 11/04/02 $ 2,000 $ 2,003
6.170% due 12/11/02 2,000 1,982
7.120% due 09/30/05 100 100
6.780% due 12/07/05 100 99
Federal National Mortgage Assn.
6.050% due 11/10/97 100 100
5.250% due 03/25/98 200 200
5.250% due 05/13/98 100 100
5.830% due 06/12/98 500,000 500,753
5.840% due 06/19/98 190,000 189,940
5.100% due 07/22/98 250 249
5.880% due 07/17/00 1,200 1,198
7.500% due 02/11/02 735 773
6.625% due 04/10/03 500 500
4.875% due 12/25/16 100 99
Government Trust Certificate - Greece
8.000% due 05/15/98 39 39
Student Loan Marketing Assn.
5.340% due 02/17/98(d) 100 100
7.000% due 03/03/98 30 30
6.000% due 06/30/98 264,500 265,242
4.385% due 02/20/00(d) 134,700 133,035
5.605% due 04/25/04(d) 30,463 30,490
----------
Total U.S. Government Agencies 1,151,416
(Cost $1,150,369) ----------
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 2.4%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/02(h) 303,440 302,682
U.S. Treasury Bonds
12.375% due 05/15/04 1,000 1,338
U.S. Treasury Notes
6.250% due 06/30/98 2,620 2,634
5.250% due 07/31/98 100 100
6.000% due 09/30/98 48,600 48,767
5.875% due 10/31/98 620 621
8.875% due 11/15/98 1,100 1,137
5.125% due 11/30/98 1,310 1,302
6.625% due 04/30/02 30 31
6.250% due 06/30/02 90 91
----------
Total U.S. Treasury Obligations 358,703
(Cost $357,982) ----------
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 54.7%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 13.1%
AFC Home Equity Loan Trust
6.550% due 01/25/27(d) 8,488 8,513
American Southwest Financial
12.250% due 11/01/14 80 91
12.500% due 04/01/15 841 936
12.000% due 05/01/15 1,258 1,410
11.400% due 09/01/15 1,042 1,089
Bear Stearns
9.200% due 11/01/18 45 46
9.500% due 06/25/23 1,113 1,139
6.375% due 10/25/23(d) 9,109 9,150
10.000% due 08/25/24 15,018 17,038
7.000% due 03/25/27 7,000 6,947
Capstead Mortgage Corp.
8.400% due 01/25/21 2,791 2,812
8.750% due 07/25/21 10,000 10,285
Centex Acceptance Corp.
11.000% due 11/01/15 286 300
Chase Mortgage Financial Corp.
8.250% due 10/25/10 3,897 3,951
9.500% due 04/25/24 992 990
8.000% due 06/25/24 86 86
7.500% due 10/25/24 47 47
Citicorp Mortgage Securities, Inc.
8.500% due 04/01/17 315 314
9.500% due 01/01/19 4,577 4,586
9.500% due 09/25/19 250 249
9.500% due 09/25/20 1,662 1,706
7.750% due 04/25/21 133 132
6.000% due 08/25/21 477 474
7.635% due 10/25/22(d) 24,291 24,830
7.250% due 02/25/27 360 364
CMC Securities Corp.
7.212% due 09/25/23(d) 16,560 16,878
7.735% due 04/25/25(d) 518 531
Collateralized Mortgage Obligation Trust
10.200% due 02/01/16 677 724
8.000% due 01/01/17 297 302
8.000% due 09/20/21 7,837 8,137
Collateralized Mortgage Securities Corp.
11.875% due 04/01/15 1,860 1,969
11.450% due 09/01/15 60 65
11.450% due 11/01/15(d) 345 346
8.750% due 04/20/19 1,088 1,148
Countrywide
8.231% due 07/25/24(d) 16,519 16,741
Donaldson, Lufkin & Jenrette
7.396% due 08/01/21(d) 7,812 7,866
7.860% due 12/25/22(d) 6,037 6,194
8.245% due 03/25/24(d) 2,279 2,332
6.500% due 04/25/24 27 27
8.057% due 05/25/24(d) 479 485
Drexel Mortgage Funding
9.500% due 11/20/17 1,986 2,082
8.600% due 03/01/18 800 809
Federal Home Loan Mortgage Corp.
5.000% due 07/15/02 427 427
6.500% due 07/15/02 1,502 1,498
4.750% due 10/15/02 186 185
5.000% due 03/15/03 928 927
5.250% due 03/15/03 1,577 1,576
5.000% due 04/15/03 1,581 1,579
7.000% due 10/15/03 6,303 6,418
5.450% due 03/15/04 10,319 10,314
5.500% due 11/15/04 11,983 11,972
8.750% due 10/15/05 14 14
10.750% due 11/30/05 574 587
6.500% due 07/15/06 1,075 1,071
6.500% due 08/15/06 710 714
6.500% due 11/15/06 156 157
6.500% due 05/15/08 1,000 996
4.500% due 08/15/08 13,424 13,366
5.000% due 02/15/11 1,065 1,064
5.500% due 11/15/11 3,461 3,459
4.875% due 12/15/11 2,046 2,044
5.150% due 12/25/11 16,250 16,185
5.000% due 01/15/12 1,859 1,856
8.500% due 08/15/13 2,000 2,151
6.050% due 09/15/13 2,521 2,515
8.500% due 09/15/13 5,941 6,419
5.500% due 12/15/13 2,571 2,569
7.000% due 04/25/15 1,647 1,657
11.000% due 11/30/15 10,964 12,755
6.900% due 03/15/16 5,848 5,862
6.210% due 08/15/17 345 345
6.350% due 03/25/18 200 200
5.250% due 05/15/18 1,369 1,355
9.500% due 01/15/19 461 466
6.500% due 05/15/19 615 617
8.500% due 10/15/19 631 636
9.000% due 11/15/19 2,846 2,878
7.000% due 02/15/20 1,173 1,178
8.500% due 03/15/20 1,566 1,581
9.125% due 06/15/20 2,896 2,975
8.500% due 09/15/20 16,603 16,938
5.500% due 10/15/20 200 188
8.750% due 10/15/20 500 511
9.500% due 11/15/20 10,622 11,406
6.000% due 12/15/20 400 388
8.750% due 12/15/20 1,265 1,343
9.000% due 12/15/20 6,473 6,888
8.500% due 06/15/21 50,803 53,559
6.950% due 07/15/21 700 699
8.000% due 07/15/21 9,206 9,549
</TABLE>
40 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
<S> <C> <C>
9.000% due 07/15/21 $ 3,767 $ 4,086
9.500% due 07/15/21 5,449 5,657
6.200% due 08/15/21 1,500 1,491
6.950% due 08/15/21 185 186
8.000% due 08/15/21 23,472 24,374
6.500% due 09/15/21 2,500 2,476
9.000% due 11/15/21 465 467
8.000% due 12/15/21 14,490 15,331
6.850% due 01/15/22 700 700
8.250% due 06/15/22 5,000 5,297
7.000% due 07/15/22 7,470 7,146
8.500% due 10/15/22 18,909 19,851
6.500% due 07/15/23 462 446
7.000% due 07/15/23 219 207
6.500% due 02/15/24 61 60
8.000% due 09/15/24 16,250 17,422
7.865% due 10/01/26(d) 9,148 9,559
Federal National Mortgage Assn.
9.100% due 02/25/02 6,240 6,421
5.500% due 12/25/03 3,182 3,179
5.750% due 12/25/03 175 174
7.500% due 05/25/05 6,700 6,976
7.000% due 11/25/05 20 20
7.500% due 02/25/06 375 390
6.500% due 07/25/06 75 75
8.000% due 11/25/06 30 31
6.000% due 07/25/07 300 295
7.630% due 08/25/07(d) 126 119
7.000% due 10/25/07 200 205
7.000% due 02/25/08 1,055 1,048
10.500% due 08/25/08 7,146 8,655
7.000% due 11/25/09 3,996 3,999
4.950% due 06/25/10 5,420 5,402
6.750% due 11/25/10 1,300 1,299
7.000% due 01/25/11 500 507
5.000% due 05/25/12 2,290 2,283
4.900% due 12/25/12 1,507 1,500
6.750% due 05/25/13 7,906 7,920
6.400% due 09/25/14 668 669
10.000% due 12/25/14 1,166 1,198
6.000% due 11/25/15 12,878 12,842
9.670% due 01/25/17 559 577
9.200% due 12/25/17 1,269 1,303
7.000% due 01/25/18 1,730 1,741
9.300% due 05/25/18 2,010 2,148
6.175% due 06/25/18(d) 9 9
9.500% due 06/25/18 1,027 1,104
5.500% due 07/25/18 220 217
8.500% due 07/25/18 72 72
7.000% due 08/25/18 10,694 10,707
7.750% due 10/25/18 178 179
9.500% due 11/25/18 13,460 14,808
6.500% due 03/25/19 885 877
6.625% due 06/25/19 25 25
9.500% due 06/25/19 4,048 4,350
8.000% due 10/25/19 18,980 19,510
7.500% due 12/25/19 200 204
9.000% due 12/25/19 17,189 18,414
7.500% due 05/25/20 8,000 8,190
8.000% due 07/25/20 141 143
9.000% due 09/25/20 7,493 8,029
8.000% due 12/25/20 21,016 22,255
8.750% due 01/25/21 9,097 9,655
7.500% due 02/25/21 16,088 16,283
7.500% due 03/25/21 20,919 21,388
7.250% due 04/25/21 8,960 8,958
7.500% due 06/25/21 320 326
8.000% due 07/25/21 27,306 28,219
8.500% due 09/25/21 16,623 17,402
7.000% due 10/25/21 7,556 7,412
8.000% due 10/25/21 22,430 23,255
6.000% due 12/25/21 200 196
8.000% due 01/25/22 21,700 22,526
8.000% due 03/25/22 480 495
7.000% due 04/25/22 17,091 16,751
8.000% due 06/25/22 3,040 3,327
7.000% due 07/25/22 9,545 9,547
8.000% due 07/25/22 48,162 51,225
6.500% due 10/25/22 3,332 2,969
7.800% due 10/25/22 5,442 5,553
6.500% due 12/25/22 941 924
7.000% due 03/25/23 23,432 22,356
6.900% due 05/25/23 129 119
7.000% due 06/25/23 4,036 3,671
6.000% due 08/25/23 5,137 4,824
6.500% due 08/25/23 198 197
6.750% due 10/25/23 488 450
6.500% due 11/25/23 170 161
7.500% due 08/18/27 11,543 11,121
First Commonwealth Savings & Loan
10.375% due 04/01/05 22 23
General Electric Capital Mortgage
8.000% due 07/25/23 12,979 13,274
6.500% due 09/25/23 45 40
6.500% due 02/25/24 22 23
6.500% due 03/25/24 12,441 11,190
8.000% due 06/25/25 14,336 14,610
7.500% due 04/25/27 360 366
Glendale Federal Savings & Loan
7.416% due 03/01/28(d) 10,500 10,661
Greenwich
7.236% due 04/25/22(d) 2,607 2,627
7.205% due 07/25/22(d) 12,482 12,622
7.285% due 10/25/22(d) 327 329
7.370% due 04/25/23(d) 3,965 4,027
7.914% due 04/25/24(d) 5,671 5,764
8.219% due 06/25/24(d) 7,283 7,451
8.985% due 08/25/24(d) 10,490 10,778
8.767% due 11/25/24(d) 3,327 3,406
Imperial CMB Trust
5.945% due 09/25/26(d) 32,417 32,528
Independent National Mortgage Corp.
6.650% due 10/25/24 2,723 2,600
8.303% due 11/25/24(d) 12,262 12,591
7.288% due 07/25/25(d) 34,115 34,691
8.161% due 07/25/25(d) 37,893 38,651
International Mortgage Acceptance Corp.
12.250% due 03/01/14 596 648
J.P. Morgan & Co.
9.000% due 10/20/20 13,573 14,572
Kidder Peabody Acceptance Corp.
8.389% due 05/20/18 456 469
8.134% due 03/25/24(d) 21,948 22,291
8.134% due 09/25/24(d) 20,000 20,400
Marine Midland
8.000% due 04/25/23 74 75
8.000% due 10/25/23 350 359
Merrill Lynch Mortgage
9.470% due 04/27/18 6 6
7.300% due 06/15/21(d) 9,421 9,609
7.559% due 06/15/21(d) 8,842 9,077
8.104% due 06/25/22(d) 10,893 11,060
Morgan Stanley Mortgage
8.150% due 07/20/21 15 15
Nomura Asset Securities Corp.
7.998% due 05/25/24(d) 13,263 13,615
Norwest Mortgage
12.500% due 02/01/14 1,104 1,179
12.250% due 04/01/14 115 121
PaineWebber Mortgage
6.000% due 04/25/09 11,951 11,266
Prudential Bache
6.103% due 09/01/18(d) 555 553
9.000% due 01/01/19 540 547
8.400% due 03/20/21 5,169 5,357
Prudential Home
7.000% due 04/25/99 35 35
8.000% due 06/25/22 20,198 20,715
6.900% due 03/25/23 463 462
7.000% due 04/25/23 3,594 3,599
8.434% due 11/25/23(d) 1,245 1,277
8.449% due 11/25/23(d) 13,008 13,366
</TABLE>
See accompanying notes 41
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
=================================================================
<S> <C> <C>
7.000% due 02/25/24 $ 1,237 $ 1,238
6.000% due 05/25/24 28 28
7.750% due 10/25/24 7,010 7,087
7.500% due 06/25/25 8,561 8,650
PSB Financial Corp.
11.050% due 12/01/15 1,119 1,218
Residential Asset Securities Corp.
7.000% due 03/25/27(d) 320 323
7.250% due 05/25/27(d) 345 349
Residential Funding
6.750% due 01/25/06 53,161 53,170
8.080% due 02/25/07 122 125
7.000% due 08/25/08 20,634 20,844
6.500% due 09/25/08 7,000 6,778
8.500% due 05/25/17 136 141
8.000% due 01/25/23 10,000 10,306
7.250% due 07/25/23 115 116
7.750% due 07/25/24 10 10
8.000% due 10/25/24 15,417 15,827
7.500% due 09/25/25 18,183 18,523
5.987% due 10/25/27(d) 17,354 17,371
Resolution Trust Corp.
7.495% due 02/25/20(d) 270 270
7.346% due 09/25/20(d) 15,951 160
5.954% due 01/25/21(d) 1,140 1,119
8.693% due 06/25/21(d) 4,347 4,367
8.717% due 08/25/21 117 120
8.720% due 08/25/21(d) 13,329 13,766
8.722% due 08/25/21 8,000 8,346
7.570% due 09/25/21(d) 3,825 3,878
6.178% due 10/25/21(d) 352 351
6.625% due 10/25/21(d) 1,292 1,296
8.140% due 10/25/21(d) 315 319
8.625% due 10/25/21 300 306
7.634% due 01/25/22(d) 3,282 3,332
7.786% due 03/25/22(d) 6,691 6,745
8.494% due 05/25/22(d) 3,264 3,337
6.888% due 06/25/23(d) 4,922 4,930
7.500% due 08/25/23 334 335
9.450% due 05/25/24 19,693 19,907
10.621% due 05/25/24(d) 3,791 3,836
6.688% due 07/25/24(d) 2,553 2,558
7.100% due 12/25/24 1,500 1,521
7.750% due 03/25/25 5,000 5,000
7.580% due 07/25/28(d) 14,001 14,272
7.258% due 10/25/28(d) 31,282 32,152
7.338% due 10/25/28(d) 15,647 16,082
7.113% due 05/25/29(d) 5,821 5,826
7.575% due 05/25/29(d) 7,433 7,352
Rural Housing Trust
3.330% due 10/01/28 493 454
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/16 193 204
Ryland Acceptance Corp.
9.000% due 12/01/16 970 1,016
11.500% due 12/25/16 246 274
8.000% due 09/25/22 3,996 4,071
8.200% due 09/25/22 100 103
8.086% due 09/25/23(d) 11,809 12,093
14.000% due 11/25/31 2,096 2,334
Ryland Mortgage Securities Corp.
7.137% due 03/25/22(d) 4,874 4,880
7.908% due 07/25/22(d) 42,000 42,643
8.132% due 08/25/22(d) 4,472 4,554
7.500% due 08/25/24 79 80
7.358% due 08/25/29(d) 9,299 9,555
6.869% due 10/25/31(d) 16,627 16,616
Salomon Brothers Mortgage Securities
7.649% due 11/25/22(d) 1,790 1,827
8.402% due 07/01/24(d) 17,046 17,568
Santa Barbara Savings
9.500% due 11/20/18 5,403 5,452
Saxon Mortgage
7.780% due 09/25/22(d) 3,291 3,361
8.048% due 08/25/23(d) 51,690 53,144
8.313% due 09/25/24(d) 14,829 15,362
<CAPTION>
Principal
Amount Value
(000s) (000s)
=================================================================
<S> <C> <C>
Sears Mortgage
8.000% due 03/25/22 $ 1,660 $ 1,663
7.311% due 09/25/22(d) 3,858 3,919
7.716% due 12/25/22(d) 13,118 13,241
8.661% due 05/25/32(d) 15,999 16,234
Securitized Asset Sales, Inc.
7.869% due 10/25/23(d) 7,758 7,986
8.075% due 12/26/23(d) 8,157 8,343
5.944% due 02/25/28 24,500 24,216
Security Pacific National Bank
6.302% due 03/01/18(d) 159 154
Vendee Mortgage
7.000% due 02/15/00 6,231 6,298
7.750% due 03/15/16 600 615
7.750% due 05/15/18 550 568
Western Federal Savings & Loan
7.204% due 07/01/21(d) 11,621 11,810
-------------
1,965,443
-------------
Federal Home Loan Mortgage Corporation 6.9%
5.250% due 12/01/98 7 7
5.500% due 03/01/10 92 91
5.750% due 08/15/20 300 293
6.000% due 12/01/98-04/01/26(g) 5,300 5,103
6.114% due 07/01/27(d) 348 347
6.500% due 06/01/03-11/13/27(g) 198,959 193,882
6.775% due 11/01/03 70 69
7.000% due 05/01/00-10/14/27(d)(g) 212,799 212,375
7.190% due 10/25/23(d) 32,246 33,617
7.275% due 12/11/06 3,000 2,989
7.500% due 05/01/99-01/01/27(d)(g) 18,967 19,365
7.588% due 09/01/23(d) 4,496 4,620
7.593% due 04/01/23(d) 1,364 1,434
7.625% due 01/01/19(d) 20 21
7.633% due 05/01/23(d) 6,409 6,740
7.640% due 10/25/17(d) 5,868 5,966
7.708% due 11/01/23(d) 2,171 2,242
7.750% due 04/01/07 54 55
7.780% due 04/01/24(d) 1,946 2,046
7.789% due 07/01/23(d) 4,562 4,685
7.822% due 10/01/23(d) 1,219 1,257
7.861% due 09/01/23(d) 33,535 34,563
7.887% due 07/01/22(d) 2,313 2,426
7.901% due 10/01/23(d) 2,556 2,661
7.902% due 11/01/23(d) 1,255 1,292
7.930% due 04/01/24(d) 18,689 19,689
7.931% due 05/01/23(d) 3,397 3,570
7.938% due 08/01/23(d) 31 32
7.954% due 11/01/23(d) 1,971 2,035
7.971% due 06/01/24(d) 3,493 3,632
8.000% due 10/01/07-06/01/26(d)(g) 95,173 98,599
8.012% due 04/01/29(d) 4,830 5,107
8.023% due 10/01/23(d) 9,890 10,360
8.041% due 07/01/23(d) 1,577 1,632
8.045% due 01/01/24(d) 1,041 1,091
8.056% due 08/01/23(d) 19,795 20,566
8.069% due 09/01/23(d) 8,128 8,520
8.112% due 09/01/23(d) 8,402 8,770
8.117% due 01/01/24(d) 1,372 1,421
8.148% due 07/01/24(d) 6,059 6,365
8.157% due 08/01/23(d) 3,619 3,782
8.177% due 08/01/24(d) 964 1,007
8.201% due 08/01/23(d) 1,618 1,676
8.229% due 10/01/23(d) 5,927 6,248
8.250% due 08/01/07-12/01/09(g) 247 254
8.500% due 09/01/01-10/14/27(g) 235,732 246,802
8.750% due 02/01/01-09/01/10(g) 491 506
8.900% due 11/15/20 30,173 32,530
9.000% due 01/01/02-09/15/20(g) 1,480 1,560
9.250% due 06/01/09-08/01/09(g) 137 145
9.500% due 08/01/01-06/01/21(g) 3,533 3,752
10.000% due 06/01/04-11/15/19(g) 1,957 2,088
10.250% due 03/15/09-05/01/09(g) 2,436 2,658
11.000% due 12/01/99-07/01/19(g) 1,374 1,533
11.250% due 10/01/09-09/01/15(g) 205 230
11.500% due 03/01/00-05/01/00(g) 30 32
12.500% due 07/01/99 6 6
</TABLE>
42 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
=================================================================
<S> <C> <C>
13.250% due 10/01/13 $ 85 $ 99
14.000% due 04/01/16 37 42
15.500% due 08/01/11-11/01/11(g) 22 25
16.250% due 05/01/11-11/01/11(g) 18 21
-------------
1,034,531
-------------
Federal Housing Administration 0.7%
7.125% due 03/01/34 4,496 4,413
7.211% due 12/01/21 3,386 3,392
7.317% due 05/01/19-11/01/19(g) 12,080 12,182
7.375% due 03/01/19-01/01/24(g) 17,698 17,845
7.399% due 02/01/21 2,717 2,816
7.430% due 12/01/16-10/01/23(g) 63,142 65,406
7.650% due 11/01/18 181 188
-------------
106,242
-------------
Federal National Mortgage Association 4.3%
5.000% due 02/25/03 1,586 1,581
5.650% due 04/25/05 200 198
6.000% due 03/25/03-03/01/24(g) 6,989 6,833
6.049% due 08/01/29(d) 10,917 10,870
6.069% due 05/01/27-05/01/29(d)(g) 10,665 10,620
6.071% due 10/01/19-08/01/28(d)(g) 8,462 8,414
6.083% due 09/01/24(d) 5,235 5,247
6.100% due 08/01/18(d) 404 405
6.103% due 02/01/18-06/01/20(d)(g) 9,119 9,136
6.112% due 05/01/36(d) 790 787
6.114% due 01/01/27-11/01/28(d)(g) 44,257 44,069
6.115% due 11/01/35(d) 27,393 27,274
6.250% due 07/25/07 100 99
6.366% due 12/01/27(d) 1,822 1,814
6.369% due 07/01/20(d) 1,817 1,821
6.500% due 10/01/05-03/01/26(g) 475 473
6.750% due 08/01/03-09/25/22(g) 1,232 1,238
6.834% due 07/01/03 69 71
6.910% due 11/01/25(d) 15,186 15,756
6.950% due 03/25/26 300 303
7.000% due 05/25/99-11/01/26(g) 37,147 37,243
7.035% due 09/01/22(d) 4,173 4,302
7.057% due 09/01/22(d) 3,637 3,739
7.250% due 05/01/02-01/01/23(g) 11,620 11,704
7.299% due 09/01/25(d) 7,985 8,277
7.500% due 08/01/03-09/01/25(g) 98,372 100,518
7.592% due 01/01/26(d) 5,233 5,463
7.599% due 02/01/26(d) 2,839 2,966
7.646% due 03/01/26(d) 16,861 17,716
7.690% due 01/01/24(d) 1,730 1,818
7.750% due 06/01/09 237 245
7.812% due 11/01/25(d) 5,548 5,762
7.821% due 01/01/24(d) 1,478 1,549
7.825% due 03/01/25-11/01/25(d)(g) 20,907 21,826
7.829% due 05/01/26(d) 3,501 3,684
7.836% due 07/01/24(d) 24,937 25,824
7.896% due 12/01/23(d) 2,846 2,934
7.931% due 01/01/24(d) 424 449
7.932% due 11/01/23(d) 2,923 3,062
7.977% due 01/01/24(d) 6,577 6,904
8.000% due 09/01/01-12/01/26(g) 11,460 11,875
8.010% due 10/01/23(d) 1,055 1,112
8.023% due 09/01/24(d) 4,711 4,914
8.046% due 09/01/23(d) 7,112 7,430
8.066% due 11/01/23(d) 1,777 1,853
8.072% due 05/01/24(d) 6,676 6,958
8.104% due 12/01/23(d) 4,994 5,232
8.250% due 10/01/08-02/01/17(g) 1,014 1,058
8.500% due 07/01/99-12/01/25(g) 181,202 189,631
9.000% due 01/01/99-04/01/17(g) 2,740 2,874
9.500% due 12/01/06-07/01/22(g) 189 202
9.750% due 11/01/08 91 97
10.500% due 12/01/16-04/01/22(g) 1,145 1,257
12.000% due 05/01/16 23 27
13.000% due 09/01/13 64 75
13.250% due 09/01/11 23 26
14.500% due 11/01/11-01/01/13(g) 80 95
14.750% due 08/01/12-11/01/12(g) 352 408
15.500% due 10/01/12-12/01/12(g) 38 47
15.750% due 12/01/11-08/01/12(g) 190 222
16.000% due 09/01/12 229 290
-------------
648,677
-------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
===========================================================================
<S> <C> <C>
Government National Mortgage Association 28.8%
5.500% due 07/20/27-09/20/27(d)(g) $ 49,500 $ 49,468
5.650% due 10/15/12 13 12
6.000% due 10/15/08-06/20/27(d)(g) 614,658 597,723
6.500% due 10/15/08-12/17/27(d)(g) 1,358,211 1,340,520
6.875% due 12/20/22-12/20/25(d)(g) 384,967 395,801
7.000% due 07/15/08-09/20/27(d)(g) 341,792 351,015
7.125% due 07/20/22-09/20/24(d)(g) 353,261 363,849
7.375% due 06/20/21-05/20/26(d)(g) 297,579 307,226
7.500% due 08/15/05-07/15/26(g) 38,472 39,354
7.875% due 04/20/23(d) 830 863
8.000% due 08/15/05-11/19/27(g) 66,027 68,744
8.250% due 08/15/04-07/15/08(g) 671 706
8.500% due 06/15/01-11/19/27(g) 759,484 794,525
8.750% due 03/15/07-07/15/07(g) 175 184
9.000% due 09/15/01-07/20/22(g) 8,906 9,620
9.250% due 10/15/01-03/15/06(g) 515 538
9.500% due 04/15/01-08/15/23(g) 9,182 9,991
9.750% due 09/15/02-01/15/21(g) 382 409
10.000% due 06/20/01-03/20/20(g) 5,663 6,216
10.250% due 10/15/98-12/15/99(g) 141 143
10.500% due 06/15/04 144 157
10.750% due 08/15/98-09/15/98(g) 16 16
11.000% due 05/15/04-06/15/13(g) 94 103
11.250% due 03/15/01-12/20/15(g) 80 90
11.500% due 04/15/13-05/15/13(g) 16 18
12.000% due 03/20/99-03/15/15(g) 106 122
12.500% due 01/15/11 1 2
13.000% due 12/15/12-10/15/14(g) 46 54
13.250% due 10/20/14 20 23
13.500% due 11/15/12-12/15/12(g) 7 8
15.000% due 09/15/12-10/15/12(g) 21 25
16.000% due 01/15/12-04/15/12(g) 13 17
17.000% due 11/15/11-12/15/11(g) 123 149
--------------
4,337,691
--------------
Other Mortgage-Backed Securities 0.7%
Aames Mortgage Trust
7.275% due 05/15/20 405 413
Bank of America
9.000% due 03/01/08 100 99
Citibank, N.A.
8.000% due 07/25/18 102 105
Daiwa Mortgage
7.375% due 09/25/06(d) 1,654 1,666
DBL Mortgage Funding
9.500% due 08/01/19 24 25
First Interstate Bancorp
9.125% due 01/01/09 20 20
General Electric Credit Corp.
8.000% due 03/01/02 124 127
Georgia Federal Mortgage
10.500% due 11/01/14 2,026 2,073
German American Capital Corp.
8.360% due 09/30/02 4,624 4,718
6.499% due 07/01/18(d) 9,822 9,715
Great Western Savings & Loan
5.950% due 08/01/17(d) 221 214
Guardian
6.807% due 12/25/18(d) 467 402
Home Savings of America
8.464% due 08/01/06 99 98
5.795% due 05/25/27(d) 4,114 3,997
Imperial Savings & Loan
10.000% due 09/01/16 319 335
8.241% due 01/25/17 120 122
8.835% due 07/25/17(d) 434 435
LTC Commercial Corp.
7.100% due 11/28/12 3,951 3,886
Manufacturers Mortgage Housing
13.250% due 01/15/99 239 255
MDC Mortgage Funding
8.829% due 01/25/25(d) 1,977 2,017
Merrill Lynch Mortgage
9.250% due 12/15/09 39 40
7.920% due 06/15/21(d) 1,974 2,049
</TABLE>
See accompanying notes 43
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
=================================================================
<S> <C> <C>
Mid-State Trust
8.330% due 04/01/30 $ 34,217 $ 36,462
Resolution Trust Corp.
7.797% due 05/25/29(d) 6,951 7,014
Ryland Acceptance Corp.
7.555% due 11/28/22(d) 7,000 7,107
Salomon Brothers Mortgage Securities
11.500% due 09/01/15 1,861 2,042
Sears Mortgage
12.000% due 02/25/14 1,418 1,536
6.792% due 06/25/22(d) 1,102 1,109
7.444% due 10/25/22(d) 5,971 6,255
USGI Capital
8.500% due 11/25/07 12,536 12,876
Western Federal Savings & Loan
6.614% due 11/25/18(d) 347 344
6.664% due 03/25/19(d) 2,617 2,607
-------------
110,163
=============
Stripped Mortgage-Backed Securities 0.2%
Federal Home Loan Mortgage Corp.(IO)
6.500% due 12/15/02 19 0
10.038% due 09/15/05 43 4
6.500% due 11/15/06 3,316 279
6.500% due 03/15/07 5,935 423
5.750% due 09/15/07(d) 15,034 1,209
5.428% due 02/15/08(d) 1,037 115
11.651% due 01/15/16 48 5
6.500% due 08/15/16 5,980 388
7.000% due 04/15/18 4,780 413
9.993% due 11/15/18 300 44
8.845% due 01/15/21 540 116
9.000% due 05/15/22 272 58
Federal Home Loan Mortgage Corp.(PO)
0.000% due 06/15/21 6,392 5,889
Federal National Mortgage Assn.(IO)
33.862% due 04/25/02 1 0
6.750% due 09/25/04 103 7
7.000% due 06/25/05 8 1
10.458% due 07/25/05(d) 1,320 146
6.500% due 07/25/06 7,692 626
6.500% due 02/25/07 6,014 583
6.500% due 07/25/07 1,822 155
6.500% due 09/25/07 9,277 807
6.500% due 10/25/07 3,010 279
0.100% due 03/25/09(d) 58,766 1,479
7.000% due 05/25/12 26 0
7.000% due 08/25/15 5,350 359
7.000% due 08/25/16 1,293 98
6.500% due 08/25/20 2,666 618
10.070% due 01/25/21 186 48
9.032% due 08/25/21 2,659 640
0.950% due 11/25/21(d) 58,980 1,178
6.500% due 01/25/23 7,052 1,072
Federal National Mortgage Assn.(PO)
0.000% due 09/01/07 1,379 1,074
0.000% due 02/25/21 6,759 5,974
0.000% due 06/25/22 4,006 3,450
0.000% due 08/25/23 508 303
PaineWebber (IO)
13.595% due 08/01/19 322 116
Vendee Mortgage (IO)
0.542% due 06/15/23 226,156 5,126
-------------
33,082
-------------
Total Mortgage-Backed Securities 8,235,829 8,235,829
(Cost $8,138,133) =============
================================================================================
ASSET-BACKED SECURITIES 1.6%
================================================================================
AFC Home Equity Loan Trust
7.455% due 10/25/26(d) 13,135 13,315
Associates Manufactured Housing
7.000% due 03/15/27 900 924
Contimortgage Home Equity Loan Trust
6.990% due 03/15/21 350 351
Copelco Capital Funding Corp.
6.340% due 07/20/04 87 87
</TABLE>
CSXT Trade Receivables
5.050% due 09/25/99 500 497
Delta Air Lines Equipment Trust
9.230% due 07/02/02 12,862 13,604
10.500% due 01/02/07 7,701 9,135
10.570% due 01/02/07 15,881 19,813
9.550% due 01/02/08 7,773 8,603
10.000% due 06/05/13 10,828 13,305
Discover Card Trust
6.031% due 10/16/13(d) 400 408
EQCC Home Equity Loan Trust
6.100% due 10/15/03 23,720 23,810
6.710% due 07/15/11 330 333
Equivantage Home Equity Loan Trust
6.550% due 04/01/27 248 249
First Omni Bank
6.650% due 09/15/03(d) 1,500 1,528
Ford Motor Credit Corp.
5.500% due 02/15/03 1,300 1,273
Green Tree Financial Group
7.150% due 07/15/27 1,025 1,054
Green Tree Home Improvement Loan Trust
6.100% due 01/15/28 14,547 14,580
IMC Home Equity Loan Trust
7.507% due 07/25/26(d) 1,920 1,946
MBNA Master Credit Card Trust
6.050% due 11/15/02 245 245
Metlife Capital Equipment Loan Trust
6.850% due 05/20/08(d) 320 324
NationsBank Auto Owner Trust
6.375% due 07/15/00 1,700 1,714
NationsBank Corp.
5.850% due 06/15/02 505 507
Newcourt Receivable Asset Trust
6.240% due 12/20/04 47 47
OSCC Home Equity
6.950% due 05/15/07 112 113
Saxon Asset Securities Trust
6.475% due 11/25/20 350 351
Sears Credit Account Master Trust
6.050% due 01/16/08 500 496
Standard Credit Card Master Trust
6.750% due 06/07/00 290 293
7.250% due 04/07/08 300 314
The Money Store Home Equity Trust
6.230% due 12/15/08 17,091 17,064
7.550% due 02/15/20 500 518
UCFC Home Equity Loan
6.381% due 07/15/10 250 251
United Air Lines Equipment Trust
9.200% due 03/22/08 4,466 4,877
10.360% due 11/13/12 7,000 8,783
10.020% due 03/22/14 4,500 5,404
10.850% due 07/05/14 34,111 43,591
10.125% due 03/22/15 14,300 17,951
9.060% due 06/17/15 5,000 5,805
9.210% due 01/21/17 2,000 2,288
-------------
Total Asset-Backed Securities 235,751
(Cost $221,724) =============
<TABLE>
<CAPTION>
================================================================================
SOVEREIGN ISSUES 3.2%
===============================================================================
<S> <C> <C>
Banco Nacional de Obra y Servicios
6.875% due 10/01/98 19,500 19,442
City of Buenos Aires
11.250% due 04/11/07 5,000 5,581
Hydro Quebec
5.750% due 04/15/99(d) 10,000 9,984
9.400% due 02/01/21 500 623
9.500% due 11/15/30 2,370 3,003
Kingdom of Sweden
10.250% due 11/01/15 500 646
Providence of Newfoundland
9.000% due 06/01/19 500 604
Province of Nova Scotia
9.375% due 07/15/02 1,000 1,117
</TABLE>
44 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
================================================================================
<S> <C> <C>
Province of Ontario
6.125% due 06/28/00 $ 50 $ 50
7.750% due 06/04/02 200 212
7.625% due 06/22/04 1,000 1,064
7.000% due 08/04/05 1,000 1,032
Province of Quebec
8.780% due 03/30/98 400 406
7.500% due 07/15/02 6,000 6,251
Republic of Argentina
5.805% due 04/01/00(d) 26,520 26,121
5.641% due 04/01/01(d) 17,851 17,417
6.750% due 03/31/05(d) 373,296 355,564
Republic of Poland
6.938% due 10/27/24(d) 40,000 39,200
-------------
Total Sovereign Issues 488,317
(Cost $430,196) =============
<CAPTION>
================================================================================
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(f) 3.3%
================================================================================
<S> <C> <C>
City of Montreal
11.500% due 09/20/00 C$ 7,000 5,916
Commonwealth of Australia
8.750% due 01/15/01 A$ 4,235 3,387
9.750% due 03/15/02 3,665 3,094
10.000% due 10/15/02 6,940 5,974
10.000% due 02/15/06 1,600 1,456
Commonwealth of Canada
6.500% due 06/01/04 C$ 1,000 764
4.250% due 12/01/26(h) 197,908 148,690
Commonwealth of New Zealand
6.500% due 02/15/00 N$ 160,000 101,779
8.000% due 02/15/01 8,890 5,903
10.000% due 03/15/02 107,500 77,448
8.000% due 04/15/04 7,000 4,796
4.500% due 02/15/16(h) 23,000 14,270
Petroleos Mexicanos
7.750% due 09/30/98 FF 5,000 869
Province of Saskatchewan
9.125% due 02/15/21 C$ 3,000 3,699
Republic of Argentina
3.353% due 04/01/01(d) AP 53,359 49,369
Republic of Poland
21.670% due 10/22/97 PZ 11,000 3,171
21.640% due 04/22/98 58,000 14,986
21.365% due 05/13/98 193,800 49,424
Reynolds, R.J.
6.875% due 11/22/00 DM 9,500 5,565
United Kingdom Gilt
7.250% due 03/30/98 BP 280 453
7.000% due 11/06/01 230 377
9.000% due 07/12/11 400 785
8.000% due 06/07/21 40 76
-------------
Total Foreign Currency-Denominated Issues 502,251
(Cost $511,135) =============
<CAPTION>
================================================================================
PURCHASED PUT OPTIONS 0.0%
================================================================================
<S> <C> <C>
Eurodollar December Futures (CME)
Strike @ 91.00 Exp. 12/15/97 $ 1,800,000 23
-------------
Total Purchased Put Options 23
(Cost $32) =============
<CAPTION>
================================================================================
CONVERTIBLE PREFERRED STOCK 0.0%
================================================================================
<S> <C> <C>
Shares
Unocal Capital Trust 402 25
-------------
Total Convertible Preferred Stock 25
(Cost $21) =============
================================================================================
PREFERRED STOCK 0.1%
================================================================================
Banco Bilbao Vizcaya International 266,217 7,554
California Federal Bank 50,000 5,714
Time Warner, Inc. 1 1
-------------
Total Preferred Stock 13,269
(Cost $12,565) =============
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
<S> <C> <C>
=================================================================
SHORT-TERM INSTRUMENTS 21.4%
=================================================================
Certificates of Deposit 3.7%
Bankers Trust
5.900% due 07/07/98 $ 100,000 $ 100,111
5.970% due 08/28/98 10,000 10,006
Citibank Indonesia
19.128% due 10/24/97(f) IR 20,000,000 6,043
Deutsche Bank
5.930% due 06/16/98 $ 250,000 250,000
Landesbank Hessen-Thueringen
5.930% due 06/30/98 185,000 185,000
-------------
551,160
=============
Discount Notes 16.3%
Abbott Laboratories
5.490% due 10/24/97 5,900 5,879
American Express Credit
5.510% due 10/08/97 6,000 5,994
5.480% due 11/05/97 37,600 37,400
5.500% due 11/19/97 50,000 49,626
AT&T Capital Corp.
5.500% due 10/14/97 5,700 5,689
5.490% due 10/15/97 5,100 5,089
5.856% due 05/05/98 16,000 15,472
5.875% due 05/05/98 3,000 2,901
5.900% due 06/05/98 30,000 28,870
Caisse d'Amortissement
5.520% due 10/20/97 6,600 6,581
5.500% due 11/03/97 700 696
5.510% due 11/03/97 1,500 1,492
5.490% due 11/07/97 3,800 3,779
5.490% due 12/09/97 100 99
5.500% due 12/12/97 11,500 11,371
5.560% due 06/12/98 70,000 67,288
Campbell Soup Co.
5.490% due 10/07/97 500 500
5.480% due 10/08/97 8,300 8,291
5.540% due 06/12/98 50,000 48,063
Canadian Wheat Board
5.600% due 10/09/97 100 100
5.485% due 10/20/97 18,000 17,948
5.500% due 11/21/97 11,000 10,914
5.510% due 12/10/97 600 593
Dow Jones & Co., Inc.
5.500% due 10/06/97 2,400 2,398
E.I. Du Pont de Nemours
5.490% due 10/17/97 11,500 11,472
5.520% due 06/03/98 50,000 48,131
5.530% due 06/05/98 50,000 48,116
Electricite de France
5.490% due 11/05/97 1,000 995
5.490% due 12/11/97 6,700 6,626
Emerson Electric Co.
5.480% due 10/17/97 3,800 3,791
Export Development Corp.
5.500% due 10/16/97 500 499
Federal Farm Credit Bank
5.390% due 01/20/98 1,700 1,671
Federal Home Loan Mortgage Corp.
5.500% due 10/10/97 6,100 6,092
5.480% due 10/31/97 2,700 2,688
Federal National Mortgage Assn.
5.440% due 10/20/97 265 264
5.500% due 01/02/98 45 44
Florida Power Corp.
5.500% due 10/14/97 900 898
Ford Motor Credit Corp.
5.500% due 10/03/97 5,000 4,998
5.580% due 10/03/97 9,800 9,797
5.520% due 10/07/97 31,000 30,971
5.500% due 10/08/97 1,300 1,299
5.530% due 10/08/97 5,700 5,694
5.510% due 10/21/97 5,500 5,483
5.490% due 10/22/97 85,900 85,625
5.500% due 10/23/97 5,000 4,983
5.550% due 10/23/97 100 100
</TABLE>
See accompanying notes 45
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
=================================================================
<S> <C> <C>
General Electric Capital Corp.
5.500% due 10/22/97 $ 40,000 $ 39,882
5.510% due 11/13/97 40,700 40,432
5.540% due 11/13/97 20,700 20,563
5.500% due 11/19/97 24,100 23,920
5.510% due 11/20/97 6,900 6,847
5.560% due 06/09/98 128,000 123,099
5.560% due 06/11/98 70,000 67,299
General Motors Acceptance Corp.
5.560% due 10/10/97 13,100 13,082
5.520% due 10/20/97 11,000 10,968
5.580% due 10/24/97 22,200 22,121
5.580% due 11/05/97 89,900 89,412
5.540% due 11/19/97 100,000 99,246
5.560% due 11/19/97 31,700 31,460
5.570% due 01/05/98 39,500 38,911
5.540% due 01/15/98 75,000 73,767
5.580% due 06/10/98 82,000 78,848
Gillette Co.
6.350% due 10/01/97 30,000 30,000
5.480% due 10/08/97 19,100 19,080
IBM Credit Corp.
5.520% due 10/16/97 11,300 11,274
5.500% due 10/21/97 9,800 9,770
5.480% due 11/05/97 14,900 14,821
5.500% due 11/05/97 30,500 30,337
5.500% due 11/19/97 300 298
Kellogg Co.
5.500% due 12/03/97 25,000 24,754
5.500% due 12/17/97 3,500 3,458
KFW International Finance, Inc.
5.480% due 10/20/97 1,200 1,197
5.510% due 10/27/97 7,600 7,570
5.510% due 10/29/97 25,000 24,893
5.490% due 11/13/97 4,800 4,769
5.490% due 11/18/97 56,700 56,285
5.500% due 11/19/97 32,000 31,761
5.490% due 11/20/97 37,400 37,115
5.510% due 12/03/97 900 891
Kimberly-Clark Corp.
5.500% due 10/29/97 29,325 29,200
Minnesota Mining & Manufacturing Co.
5.490% due 10/15/97 27,000 26,942
Motorola, Inc.
5.490% due 10/22/97 18,000 17,942
5.490% due 10/23/97 5,855 5,835
5.500% due 10/23/97 9,900 9,867
5.490% due 10/29/97 25,000 24,893
National Rural Utilities Cooperative
5.500% due 10/03/97 5,500 5,498
5.470% due 10/23/97 16,650 16,594
5.480% due 10/24/97 900 897
5.490% due 10/24/97 3,200 3,189
5.480% due 10/28/97 19,200 19,121
5.500% due 11/17/97 1,600 1,589
5.490% due 11/18/97 12,300 12,210
5.490% due 12/02/97 56,900 56,349
5.520% due 12/08/97 800 792
5.510% due 12/10/97 5,300 5,242
5.500% due 12/11/97 400 396
5.500% due 12/12/97 4,100 4,054
New Center Asset Trust
5.500% due 10/06/97 58,900 58,870
5.510% due 10/08/97 74,000 73,921
5.500% due 10/09/97 40,000 39,951
5.510% due 10/10/97 2,000 1,997
5.520% due 10/10/97 900 899
5.520% due 10/22/97 50,000 49,839
Oesterreichische
5.520% due 10/16/97 9,000 8,979
Ontario Hydro
5.500% due 12/08/97 3,000 2,968
5.500% due 12/15/97 28,000 27,673
Pfizer, Inc.
5.500% due 10/31/97 9,000 8,959
Pitney Bowes Credit Corp.
5.550% due 10/20/97 1,500 1,496
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
=================================================================
<S> <C> <C>
Procter & Gamble Co.
5.480% due 10/10/97 $ 82,200 $ 82,087
5.510% due 10/10/97 17,700 17,676
5.500% due 10/17/97 400 399
5.490% due 11/12/97 17,600 17,487
Tampa Electric
5.510% due 10/02/97 13,500 13,498
5.510% due 10/24/97 3,900 3,886
TCI Communications, Inc.
6.062% due 05/08/98 50,000 48,329
United Parcel Service Co.
5.480% due 11/03/97 200 199
Warner-Lambert
5.490% due 12/09/97 51,000 50,452
Wisconsin Electric Power & Light
5.520% due 10/30/97 4,800 4,779
5.520% due 11/06/97 2,100 2,088
-------------
2,462,442
-------------
Repurchase Agreements 0.2%
State Street Bank
5.000% due 10/01/97 31,202 31,202
(Dated 09/30/97. Collateralized by -------------
U.S. Treasury Note 6.250% 08/31/02
valued at $31,826,681.
Repurchase proceeds are $31,206,334.)
U.S. Treasury Bills (b)(g) 1.2%
5.562% due 10/01/97-12/11/97 177,090 176,492
-------------
Total Short-Term Instruments 3,221,296
(Cost $3,222,564) -------------
Total Investments (a) 110.9% $16,681,706
(Cost $16,490,409)
Written Options (e) (0.0%) (356)
(Premiums $6,014)
Other Assets and Liabilities (Net) (10.9%) (1,635,675)
-------------
Net Assets 100.0% $15,045,675
-------------
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 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. $ 238,448
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (47,151)
-------------
Unrealized appreciation-net $ 191,297
-------------
(b) Securities with an aggregate market value
of $94,491 have been segregated with the
custodian to cover margin requirements for the
following open future contracts at September
30, 1997:
Unrealized
Appreciation/
Type Contracts (Depreciation)
- ----------------------------------------------------------------
Eurodollar December Futures (12/97) 638 $ 283
Eurodollar March Futures (03/98) 685 214
Eurodollar June Futures (06/98) 570 (18)
Eurodollar September Futures (09/98) 860 1,368
U.S. Municipal Bond (12/97) 1,972 3,214
U.K. Gilt Future (12/97) 1,599 6,846
U.S. Treasury 2 Year Note (12/97) 28 20
U.S. Treasury 5 Year Note (12/97) 2,904 2,323
U.S. Treasury 10 Year Note (12/97) 23,612 13,264
U.S. Treasury 30 Year Bond (12/97) 20,949 35,174
-------------
$ 62,688
-------------
</TABLE>
46 See accompanying notes
<PAGE>
- --------------------------------------------------------------------------------
(c) Foreign forward currency contracts outstanding at September 30, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell A$ 60 10/01/97 $ 0
Sell BP 403 10/01/97 25
Sell 3,096 11/01/97 (103)
Buy C$ 97,336 03/01/98 (568)
Sell 133,671 12/01/97 (262)
Sell 161,146 03/01/98 2,521
Buy DG 102 11/01/97 2
Buy DM 9,733 10/01/97 (5)
Sell 9,733 10/01/97 34
Sell 44,132 11/01/97 (976)
Sell 9,733 12/01/97 1
Sell FF 7,642 10/01/97 (24)
Sell 14,470 11/01/97 (113)
Sell N$ 22,340 11/01/97 18
Sell 194,393 12/01/97 (1,744)
Sell 81,997 01/01/98 154
Buy SF 481 10/01/97 1
Sell 481 10/01/97 (1)
Sell 3,631 11/01/97 (107)
Sell 481 01/01/98 (1)
--------------
$ (1,148)
--------------
</TABLE>
(d) Variable Rate Security. The rate listed is as of September 30, 1997.
(e) Premiums received on Written Options:
<TABLE>
<CAPTION>
Premiums Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Put - CME Eurodollar December Futures (12/97) $ 10,288 $ 3,254 $ 51
Strike @ 93.75 Exp. 12/26/97
Put - CME Eurodollar December Futures (12/97) 9,413 2,159 47
Strike @ 93.50 Exp. 12/26/97
Call - CBOT U.S. Treasury 30 Year Bond (12/97) 1,500 601 258
------------------------
Strike @ 120.00 Exp. 12/26/97 $ 6,014 $ 356
------------------------
</TABLE>
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
AP - Argentine Peso
BP - British Pound
C$ - Canadian Dollar
DG - Dutch Guilder
DM - German Mark
FF - French Franc
IR - Indonesian Ruphia
N$ - New Zealand Dollar
PZ - Polish Zloty
SF - Swiss Franc
(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.
See accompanying notes 47
<PAGE>
Schedule of Investments
Real Return Bond Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 9.8%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance 9.8%
J.P. Morgan & Co.
5.485% due 02/15/12(c) $ 250 $ 240
Pacific Southwest Bank
6.060% due 06/15/02 172 172
Toyota Motor Credit Corp.
4.693% due 02/15/02(c) 400 388
-----------
Total Corporate Bonds and Notes 800
-----------
(Cost $812)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 144.7%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/02(e) 8,005 8,101
3.375% due 01/15/07(e) 3,773 3,704
-----------
Total U.S. Treasury Obligations 11,805
-----------
(Cost $11,850)
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(d) 7.4%
- --------------------------------------------------------------------------------
Commonwealth of Australia
4.000% due 08/20/05 (e) A$ 100 127
Commonwealth of Canada
4.250% due 12/01/26 (e) C$ 180 136
Commonwealth of New Zealand
4.500% due 02/15/16 (e) N$ 450 279
Republic of Poland
21.365% due 05/13/98 PZ 260 66
-----------
Total Foreign Currency-Denominated Issues 608
-----------
(Cost $617)
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 6.1%
- --------------------------------------------------------------------------------
Discount Notes 4.9%
General Motors Acceptance Corp.
5.540% due 11/03/97 $ 100 99
New Center Asset Trust
5.530% due 12/03/97 300 297
-----------
396
-----------
Repurchase Agreements 1.1%
State Street Bank
5.000% due 10/01/97 88 88
-----------
(Dated 09/30/97. Collateralized by
U.S. Treasury Note 5.250% 12/31/97
valued at $91,125. Repurchase
proceeds are 88,012.)
U.S. Treasury Bills 0.1%
5.060% due 10/02/97 10 10
-----------
Total Short-Term Instruments 494
(Cost $495) -----------
Total Investments (a) 168.0% $ 13,707
(Cost $13,774)
Other Assets and Liabilities (Net) (68.0%) (5,548)
Net Assets 100.0% $ 8,159
-----------
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 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. $ 2
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. $ (69)
-----------
Unrealized depreciation-net $ (67)
-----------
</TABLE>
(b) Foreign forward currency contracts outstanding at September 30, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell A$ 173 11/97 $ 3
Buy C$ 531 11/97 2
Buy 100 04/98 (1)
Sell 18 10/97 0
Sell 544 11/97 0
Sell 225 12/97 0
Sell DM 58 11/97 (1)
Sell N$ 199 11/97 0
Sell 242 01/98 0
--------------
$ 3
--------------
</TABLE>
(c) Variable Rate Security. The rate listed is as of September 30, 1997.
(d) Principal amount denoted in indicated currency:
A$ - Australian Dollar
C$ - Canadian Dollar
DM - German Mark
N$ - New Zealand Dollar
PZ - Polish Zloty
(e) Principal amount of the security is adjusted for inflation.
48 See accompanying notes
<PAGE>
Schedule of Investments
Low Duration Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 15.9%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance 5.1%
American General Finance
6.000% due 02/23/98 $ 1,000 $ 999
Associates Corp. of North America
7.250% due 05/15/98 500 504
7.500% due 05/15/99 1,000 1,023
AT&T Capital Corp.
6.490% due 05/17/99 10,000 10,060
Banc One Corp.
7.250% due 08/01/02 500 517
Bancomer
8.000% due 07/07/98 4,000 4,026
BankAmerica Corp.
7.200% due 09/15/02 100 103
7.875% due 12/01/02 100 106
Chase Manhattan Corp.
8.000% due 04/15/02 100 100
Chrysler Financial Corp.
6.100% due 11/03/97 2,000 2,001
8.330% due 02/02/98 5,490 5,539
6.280% due 07/17/98 3,000 3,012
Citicorp
9.750% due 08/01/99 100 106
Comercia Bank
6.750% due 05/12/98 500 502
Commercial Credit Co.
5.500% due 05/15/98 1,000 998
Ford Motor Credit Corp.
6.520% due 02/03/98 1,000 1,002
6.130% due 04/05/99(d) 1,000 994
7.500% due 11/15/99 100 103
Kansallis-Osake
7.850% due 09/30/43(d) 13,500 13,716
Kemper Corp.
8.800% due 11/01/98 100 103
Lehman Brothers, Inc.
0.000% due 05/16/98 2,000 1,926
6.120% due 05/14/99(d) 5,000 5,000
7.625% due 07/15/99(d) 50 51
Okobank
7.200% due 10/29/49(d) 750 765
PaineWebber
7.000% due 03/01/00 50 51
Salomon, Inc.
5.890% due 11/10/97 20,000 20,006
7.000% due 01/20/98 2,500 2,509
5.980% due 02/02/98 23,500 23,487
6.360% due 04/01/98 1,725 1,727
9.375% due 04/15/98 550 560
6.125% due 05/15/98 12,820 12,822
6.700% due 12/01/98 1,250 1,259
7.125% due 08/01/99 1,050 1,067
SGE Associates
8.070% due 07/20/00 17,697 18,281
Signet Bank Corp.
5.938% due 04/15/98(d) 2,865 2,855
Smith Barney Holdings
7.875% due 10/01/99 100 103
Toyota Motor Credit Corp.
4.693% due 02/15/02(d) 11,600 11,247
Transamerica Financial
6.940% due 04/27/98 700 703
------------
149,933
------------
Industrials 7.7%
Amerco, Inc.
6.850% due 09/18/98 7,000 7,034
American Home Products
7.700% due 02/15/00 100 103
AMR Corp.
9.500% due 07/15/98 1,000 1,027
9.270% due 08/13/98 2,000 2,054
8.100% due 11/01/98 2,000 2,044
8.730% due 11/02/98 3,000 3,079
9.910% due 03/01/01 2,500 2,760
9.440% due 05/15/01 5,000 5,468
9.125% due 10/24/01 1,000 1,091
Arkla, Inc.
9.200% due 12/18/97 1,000 1,007
Bausch & Lomb
6.480% due 12/17/97 275 275
Delta Air Lines
7.790% due 12/01/98 4,449 4,525
10.430% due 01/02/11 850 1,044
E.I. Du Pont de Nemours
8.500% due 02/10/98 100 101
Enserch Corp.
8.875% due 03/15/01 3,000 3,040
Ford Motor Co.
9.000% due 09/15/01 500 547
Hertz Corp.
6.625% due 07/15/00 100 101
IBM Corp.
6.375% due 06/15/00 100 101
Minnesota Mining & Manufacturing Co.
6.250% due 03/29/99 200 201
Nabisco, Inc.
8.300% due 04/15/99 2,900 2,980
8.000% due 01/15/00 16,675 17,286
Noranda, Inc.
6.563% due 08/18/00(d) 1,000 1,013
Philip Morris Co.
7.500% due 01/15/02 200 206
RJR Nabisco
8.625% due 12/01/02 4,000 4,214
Sears Roebuck & Co.
9.250% due 04/15/98 5,750 5,853
TCI Communications, Inc.
6.419% due 03/11/03(d) 3,000 3,002
Tenet Healthcare Corp.
7.875% due 01/15/03 2,300 2,355
Time Warner, Inc.
7.450% due 02/01/98 27,410 27,551
7.975% due 08/15/04 21,247 22,416
8.110% due 08/15/06 42,495 45,434
8.180% due 08/15/07 42,495 45,804
United Air Lines
6.750% due 12/01/97 11,875 11,894
USX Corp.
7.750% due 01/21/98 2,000 2,012
------------
227,622
------------
Utilities 3.1%
Alabama Power
7.250% due 08/01/07 100 102
Bell Atlantic Financial
6.000% due 06/01/98 500 500
Central Power & Light
6.625% due 01/01/98 100 100
Cleveland Electric Illuminating Co.
9.450% due 12/01/97 11,400 11,463
8.330% due 10/30/98 1,500 1,531
8.170% due 11/30/98 1,000 1,019
9.300% due 07/26/99 1,500 1,569
9.375% due 03/01/17 3,000 3,132
CMS Energy
9.500% due 10/01/97(d) 23,175 23,177
Consolidated Natural Gas Co.
8.750% due 06/01/99 400 417
Consumers Energy Corp.
8.750% due 02/15/98 5,000 5,045
El Paso Electric Co.
7.250% due 02/01/99 1,000 1,005
Gulf States Utilities
9.720% due 07/01/98 166 170
Long Island Lighting Co.
7.625% due 04/15/98 3,000 3,022
7.300% due 07/15/99 4,500 4,573
6.250% due 07/15/01 3,275 3,240
Louisiana Power & Light Co.
7.740% due 07/01/02 10,500 10,755
Mississippi Power & Light
8.800% due 04/01/05 1,000 1,010
</TABLE>
See accompanying notes 49
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
<S> <C> <C>
New York State Electric
6.500% due 09/01/98 $ 2,350 $ 2,356
North Atlantic Energy
9.050% due 06/01/02 5,288 5,339
Northern States Power Co.
5.875% due 10/01/97 100 100
Public Service Electric & Gas
6.000% due 01/01/98 1,000 1,000
Texas Utilities Co.
5.750% due 07/01/98 1,300 1,299
Toledo Edison Co.
9.300% due 04/01/98 5,000 5,077
United Illuminating
7.375% due 01/15/98 1,000 1,005
9.760% due 01/02/06 2,839 2,934
Western Massachusetts Electric
6.750% due 03/01/98 792 789
------------
91,729
------------
Total Corporate Bonds and Notes 469,284
(Cost $458,870)
<CAPTION>
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 7.8%
- --------------------------------------------------------------------------------
<S> <C> <C>
Federal Farm Credit Bank
5.630% due 05/26/98 1,945 1,946
Federal Home Loan Bank
5.090% due 05/11/98 2,000 1,995
6.010% due 12/04/98 4,000 4,001
5.030% due 04/19/99(d) 3,000 2,970
6.270% due 12/20/99 1,000 999
Federal Home Loan Mortgage Corp.
7.300% due 10/28/02 100 100
8.440% due 10/27/04 500 499
Federal National Mortgage Assn.
5.350% due 04/01/98 5,930 5,920
5.830% due 06/12/98 200,000 200,301
5.200% due 07/10/98 1,500 1,496
5.720% due 02/16/99(d) 5,000 4,996
5.720% due 01/29/01 2,000 1,970
4.875% due 12/25/16 1,000 991
Small Business Administration
7.750% due 01/25/13(d) 1,049 1,084
7.250% due 02/25/14(d) 1,368 1,439
Tennessee Valley Authority
0.000% due 10/15/98 1,000 942
------------
Total U.S. Government Agencies 231,649
------------
(Cost $230,932)
<CAPTION>
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.1%
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury Notes
8.125% due 02/15/98(b) 180 182
6.250% due 06/30/98 1,000 1,005
5.875% due 03/31/99 1,000 1,002
6.375% due 05/15/99 500 505
6.000% due 10/15/99 1,000 1,005
6.375% due 08/15/02 500 508
------------
Total U.S. Treasury Obligations 4,207
------------
(Cost $4,203)
<CAPTION>
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 71.3%
- --------------------------------------------------------------------------------
<S> <C> <C>
Collateralized Mortgage Obligations 11.6%
American Southwest Financial
5.100% due 06/02/99 11,273 11,181
Bear Stearns
8.200% due 09/25/22 876 883
8.000% due 05/25/23 110 110
Capstead Mortgage Corp.
7.400% due 04/25/18 3,160 3,160
7.800% due 02/25/22 353 354
7.500% due 02/25/23 3,105 3,141
Chase Mortgage Financial Corp.
10.000% due 11/25/09 1,166 1,208
8.000% due 06/25/24 11 11
7.500% due 10/25/24 47 47
Citicorp Mortgage Securities, Inc.
8.500% due 06/25/06 1,659 1,662
9.500% due 10/25/15 983 999
Collateralized Mortgage Obligation Trust
6.187% due 01/20/03(d) 26 25
7.985% due 05/01/17 17,359 17,671
9.500% due 06/25/20 699 736
Conseco Commercial Mortgage
9.700% due 07/15/04 533 535
Countrywide
6.500% due 03/25/24 1,274 1,276
6.125% due 01/25/35(d) 16,046 15,704
Dime Savings
7.147% due 11/01/18(d) 3,230 2,970
Donaldson, Lufkin & Jenrette
11.000% due 08/01/19 1,810 2,064
8.057% due 05/25/24(d) 4,747 4,802
Federal Home Loan Mortgage Corp.
9.000% due 01/15/04 248 249
9.000% due 12/15/05 406 410
10.000% due 09/15/09 14 15
12.500% due 09/30/13 1,515 1,742
5.400% due 08/15/14 2,849 2,846
7.000% due 04/25/15 1,734 1,744
11.000% due 11/30/15 6,852 7,972
8.000% due 04/15/19 263 263
10.000% due 07/15/19 525 581
8.500% due 09/15/19 1,415 1,429
5.650% due 11/15/19 1,473 1,470
9.000% due 11/15/19 2,803 2,919
7.950% due 02/15/20 1,864 1,884
9.000% due 02/15/20 589 592
8.250% due 03/15/20 210 212
7.500% due 04/15/20 2,900 2,978
8.000% due 04/15/20 2,500 2,581
10.000% due 05/15/20 350 386
7.500% due 12/15/20 2,000 2,042
9.000% due 12/15/20 9,877 10,479
9.500% due 01/15/21 2,819 3,023
8.000% due 04/15/21 3,336 3,460
9.000% due 05/15/21 539 568
Federal National Mortgage Assn.
8.950% due 05/25/03 115 120
9.000% due 07/25/03 844 874
9.400% due 07/25/03 182 191
5.750% due 02/25/05 3,960 3,950
8.500% due 09/25/06 279 279
6.875% due 06/25/09 4,083 4,112
7.250% due 07/25/15 886 884
5.750% due 04/25/16 3,840 3,793
8.000% due 01/25/19 16 16
7.500% due 02/25/19 36 36
8.000% due 05/25/19 498 499
8.750% due 05/25/19 158 163
9.000% due 05/25/19 507 508
9.300% due 05/25/19 71 73
9.000% due 07/25/19 651 670
9.000% due 08/25/19 854 855
9.500% due 03/25/20 2,786 3,274
9.500% due 05/25/20 1,450 1,663
8.000% due 07/25/20 6,117 6,196
8.500% due 01/25/21 20 20
9.000% due 03/25/21 8,945 9,607
9.000% due 04/25/21 300 320
8.000% due 03/25/22 192 198
5.000% due 01/25/24 466 457
8.500% due 03/18/27 3,152 3,195
First Boston Corp.
7.050% due 07/25/23 215 214
Fleet Mortgage
7.200% due 10/25/23 1,185 1,176
General Electric Capital Mortgage
7.750% due 04/25/07 1,227 1,251
6.350% due 03/25/17 22,637 22,635
6.500% due 07/25/18 403 404
</TABLE>
50 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
<S> <C> <C>
Glendale Federal Savings & Loan
7.503% due 03/25/30(d) $ 2,814 $ 2,852
Greenwich
8.767% due 11/25/24(d) 2,581 2,643
Homestead Mortgage Acceptance Corp.
11.450% due 09/01/15 1,518 1,655
Housing Securities, Inc.
6.750% due 02/25/21 17,827 17,873
Independent National Mortgage Corp.
8.303% due 11/25/24(d) 6,666 6,839
8.250% due 03/25/25 5,021 5,038
Nomura Asset Securities Corp.
6.625% due 01/25/09 4,871 4,885
Norwest Mortgage
12.375% due 01/01/14 260 276
12.500% due 02/01/14 609 651
12.250% due 04/01/14 460 484
Prudential Bache
6.103% due 09/01/18(d) 56 55
8.400% due 03/20/21 8,615 8,929
Prudential Home
6.500% due 04/25/00 71 71
7.500% due 09/25/07 878 897
7.000% due 11/25/07 2,172 2,186
7.000% due 06/25/23 3,014 2,987
6.750% due 01/25/24 631 630
Prudential Securities
8.000% due 12/25/20 1,087 1,105
Residential Accredit Loans, Inc.
7.300% due 12/25/26 2,734 2,755
Residential Asset Securitization Trust
7.050% due 07/25/26 15,423 15,470
Residential Funding
5.887% due 07/01/19(d) 1,438 1,380
7.069% due 09/01/19(d) 322 315
Resolution Trust Corp.
6.767% due 09/25/19(d) 2,721 2,722
5.954% due 01/25/21(d) 228 224
6.890% due 07/25/21(d) 28 29
6.389% due 09/25/21(d) 1,235 1,226
6.902% due 10/25/21(d) 1,469 1,471
6.988% due 03/25/22(d) 3,156 3,178
10.000% due 05/25/22 206 210
7.250% due 10/25/23 324 324
9.500% due 05/25/24 371 373
6.900% due 02/25/27(d) 6,982 6,721
6.058% due 09/25/27(d) 2,790 2,723
9.000% due 09/25/28 313 332
Ryland Acceptance Corp.
8.000% due 03/01/18 2,728 2,788
Salomon Brothers Mortgage Securities
7.269% due 12/25/17(d) 2,860 2,860
6.665% due 01/25/18(d) 47 47
9.549% due 10/25/18(d) 7,122 7,403
8.233% due 03/25/24(d) 4,425 4,562
Sears Mortgage
7.861% due 08/25/23(d) 1,038 1,061
8.661% due 05/25/32(d) 811 823
Securitized Asset Sales, Inc.
6.750% due 08/25/25 14,211 14,294
7.500% due 10/25/25 16,407 16,515
Shearson Lehman
9.600% due 03/25/21 1,329 1,351
Westam Mortgage Financial Corp.
6.500% due 10/02/17 6,195 6,210
------------
343,440
------------
Federal Home Loan Mortgage Corporation 6.4%
5.000% due 08/01/98 2 2
5.500% due 05/01/98-04/01/07(f) 65 64
6.000% due 03/01/11-03/01/26(f) 2,964 2,828
6.072% due 01/01/30-12/01/30(d)(f) 4,458 4,431
6.092% due 10/01/30(d) 460 457
6.100% due 01/01/17-06/01/17(d)(f) 773 769
6.103% due 09/01/15-06/01/30(d)(f) 5,079 5,052
6.104% due 01/01/20(d) 878 875
6.114% due 11/01/14-08/01/19(d)(f) 2,735 2,726
6.118% due 02/01/16(d) 152 151
6.125% due 01/01/20(d) 322 320
6.133% due 05/01/17(d) 271 270
6.500% due 01/01/02-11/13/27(f) 50,047 48,734
7.000% due 01/01/17-10/14/27(d)(f) 13,087 13,057
7.125% due 03/01/17(d) 381 389
7.250% due 07/01/07 30 30
7.500% due 09/01/06 179 182
7.592% due 02/01/20(d) 4,746 4,940
7.885% due 03/01/24(d) 323 339
7.902% due 11/01/23(d) 2,703 2,830
7.919% due 11/01/22(d) 3,847 4,009
7.971% due 06/01/24(d) 2,183 2,270
7.990% due 07/01/18(d) 651 686
8.000% due 07/01/06-10/14/27(f) 71,184 73,715
8.023% due 10/01/23(d) 4,053 4,244
8.035% due 09/01/23(d) 870 918
8.045% due 01/01/24(d) 4,182 4,381
8.063% due 12/01/22(d) 2,178 2,285
8.117% due 01/01/24(d) 2,740 2,838
8.250% due 10/01/07-11/01/07(f) 60 63
8.500% due 07/01/01-10/14/27(f) 2,166 2,258
8.750% due 02/01/01-04/01/02(f) 134 138
9.000% due 05/01/02-07/01/04(f) 70 73
9.250% due 07/01/01 11 11
9.500% due 03/01/01-12/01/04(f) 163 171
9.750% due 03/01/01-11/01/08(f) 1,384 1,485
10.000% due 04/01/01 11 12
10.500% due 07/01/00-02/01/16(f) 120 128
10.750% due 10/01/00-08/01/11(f) 678 746
11.250% due 10/01/14 7 8
11.500% due 10/01/15 2 3
11.750% due 11/01/10-08/01/15(f) 19 22
14.000% due 09/01/12-12/01/12(f) 6 8
------------
188,918
------------
Federal Housing Administration 0.5%
5.871% due 11/01/19 930 937
6.950% due 04/01/14 1,777 1,783
7.430% due 10/01/19-12/01/21(f) 12,029 12,356
9.680% due 02/01/24 387 415
------------
15,491
------------
Federal National Mortgage Association 3.1%
6.000% due 05/01/11-12/25/18(f) 453 448
6.131% due 04/01/18(d) 8,473 8,375
6.288% due 04/25/22(d) 496 501
6.500% due 06/01/08 40 39
6.889% due 01/01/21(d) 958 971
7.000% due 04/01/02-09/01/07(f) 322 326
7.217% due 11/01/17(d) 667 682
7.389% due 07/01/17(d) 1,076 1,116
7.422% due 11/01/18(d) 437 459
7.863% due 10/01/24(d) 12,730 13,180
7.882% due 04/01/24(d) 5,693 5,974
7.939% due 01/01/24(d) 6,781 7,129
8.000% due 03/01/04-12/01/24(f) 4,583 4,784
8.129% due 07/01/23(d) 3,913 4,076
8.500% due 03/01/08-08/01/26(f) 35,927 37,693
9.000% due 10/01/97-08/01/98(f) 699 706
10.000% due 02/01/04-06/01/19(f) 3,104 3,352
10.500% due 06/01/05-11/01/05(f) 475 510
11.000% due 10/01/98-09/01/00(f) 21 22
11.250% due 12/01/10-10/01/15(f) 279 312
12.000% due 01/01/15-10/01/15(f) 16 18
12.750% due 02/01/14-11/01/14(f) 111 130
13.000% due 07/01/15 9 10
13.250% due 09/01/11 25 28
13.500% due 04/01/14 9 11
15.500% due 10/01/12-12/01/12(f) 84 106
15.750% due 12/01/11 49 57
16.000% due 09/01/12-12/01/12(f) 29 37
------------
91,052
------------
Government National Mortgage Association 46.5%
5.000% due 08/20/26(d) 982 982
5.500% due 07/20/26(d) 1,722 1,733
6.000% due 01/20/26-09/20/26(d)(f) 25,585 26,034
6.500% due 05/15/23-07/20/27(d)(f) 244,572 241,456
</TABLE>
See accompanying notes 51
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
<S> <C> <C>
6.875% due 10/20/23-10/20/25(d)(f) $ 105,123 $ 110,164
7.000% due 03/15/11-11/15/25(d)(f) 34,062 35,057
7.125% due 08/20/22-09/20/24(d)(f) 97,369 100,347
7.375% due 05/20/22-06/20/25(d)(f) 47,682 49,284
7.500% due 02/15/22-12/15/23(f) 107,664 110,141
8.000% due 07/15/04-11/19/27(f) 216,258 223,153
8.500% due 01/15/25-11/19/27(f) 459,798 480,414
9.750% due 07/15/13-02/15/20(f) 1,299 1,406
10.750% due 10/15/98 12 12
11.750% due 07/15/13-09/15/15(f) 178 197
12.000% due 06/20/15 29 34
13.500% due 05/15/11-11/15/12(f) 39 47
16.500% due 12/15/11 1 1
------------
1,380,462
------------
Other Mortgage-Backed Securities 1.8%
First Boston Mortgage Securities Corp.
8.300% due 08/20/09 357 364
Fleet Finance, Inc.
5.450% due 03/20/23 1 1
Glendale Federal Savings & Loan
11.000% due 03/01/10 26 27
Great Western Savings & Loan
6.150% due 12/01/17(d) 545 532
Guardian
7.168% due 10/25/19(d) 276 205
6.854% due 12/25/19(d) 339 214
6.926% due 12/25/19(d) 2,210 1,462
6.963% due 02/25/20(d) 1,470 808
6.878% due 07/25/20(d) 1,353 949
Home Savings of America
5.795% due 05/25/27(d) 2,315 2,249
5.867% due 09/25/28(d) 1,610 1,573
Imperial Savings & Loan
8.835% due 07/25/17(d) 61 61
9.900% due 02/25/18 614 651
MDC Mortgage Funding
8.829% due 01/25/25(d) 2,072 2,114
Resolution Trust Corp.
7.113% due 05/25/19(d) 8,235 8,143
7.070% due 08/25/19(d) 6,450 6,444
10.337% due 08/25/21(d) 1,157 1,209
6.231% due 10/25/28(d) 3,345 3,387
7.337% due 05/25/29(d) 3,544 3,574
Ryland Acceptance Corp.
7.555% due 11/28/22(d) 10,068 10,222
Salomon Brothers Mortgage Securities
11.500% due 09/01/15 931 1,021
8.148% due 12/25/17(d) 449 439
Sears Mortgage
12.000% due 02/25/14 150 162
7.444% due 10/25/22(d) 5,613 5,879
Western Federal Savings & Loan
6.438% due 06/25/18(d) 55 54
6.614% due 11/25/18(d) 278 275
10.069% due 02/01/20(d) 75 79
------------
52,098
------------
Stripped Mortgage-Backed Securities 1.4%
Federal Home Loan Mortgage Corp.(IO)
7.000% due 07/15/04 1,529 54
6.250% due 09/15/04 5,683 290
6.000% due 02/15/06 8,684 458
9.982% due 07/15/06 78 1,037
10.195% due 08/15/06 20 306
11.944% due 12/15/06 39 773
6.000% due 10/15/07 3,355 270
6.000% due 02/15/08 9,337 818
7.000% due 07/15/12 1,441 18
6.500% due 02/25/13 4,256 133
6.500% due 08/25/13 7,968 364
7.000% due 08/15/18 7,321 1,545
7.500% due 12/15/18 6,327 714
7.000% due 04/15/19 7,370 516
6.500% due 05/15/19 16,282 1,796
6.500% due 06/15/19 16,269 1,484
10.496% due 04/15/21 46 731
6.500% due 04/15/22 9,742 1,200
7.000% due 05/15/23 930 143
4.000% due 01/15/24 20,919 5,324
Federal National Mortgage Assn.(IO)
6.000% due 07/25/05 3,821 213
7.272% due 09/25/06 65 1,126
6.000% due 02/25/08 11,029 1,056
256.000% due 11/01/08 50 315
6.500% due 03/25/09 12,101 2,098
0.100% due 03/25/09(d) 39,373 991
8.815% due 06/25/16 94 819
9.987% due 12/25/18 23 203
7.500% due 03/25/19 8,159 1,109
6.500% due 05/25/19 10,000 2,234
6.500% due 04/25/20 31,204 3,226
7.000% due 05/25/21 16,240 1,953
8.598% due 02/25/22 50 1,001
6.500% due 03/25/23 9,281 1,390
4.875% due 03/25/24(d) 15,713 1,270
Federal National Mortgage Assn.(PO)
0.000% due 07/25/22 4,510 3,886
0.000% due 09/25/22 91 74
Prudential Home(IO)
0.300% due 04/25/09(d) 95,202 876
Resolution Trust Corp.(PO)
0.000% due 09/25/00 896 818
------------
42,632
------------
Total Mortgage-Backed Securities 2,114,093
(Cost $2,098,513) ------------
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 0.1%
- --------------------------------------------------------------------------------
Delta Air Lines Equipment Trust
10.430% due 01/02/11 960 1,179
SCFC Boat Loan Trust
7.050% due 04/15/07 59 59
United Air Lines Equipment Trust
10.850% due 02/19/15 1,500 1,945
------------
Total Asset-Backed Securities 3,183
(Cost $3,026) ------------
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.3%
- --------------------------------------------------------------------------------
Banco Nacional de Obra y Servicios
6.875% due 10/01/98 10,000 9,970
Nacional Financiera
8.094% due 12/15/97(d) 2 1
5.875% due 02/17/98 2,000 1,976
6.250% due 12/03/98(d) 1,500 1,485
Petroleos Mexicanos
8.250% due 02/04/98 5,000 5,050
Province of Quebec
5.563% due 10/26/01(d) 250 248
Republic of Argentina
5.805% due 04/01/00(d) 1,318 1,298
6.750% due 03/31/05(d) 40,416 38,496
United Mexican States
5.820% due 06/28/01 10,000 9,323
------------
Total Sovereign Issues 67,847
(Cost $64,522) ------------
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(e) 1.4%
- --------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 3,500 2,022
Commonwealth of Canada
8.750% due 12/01/05 C$ 1,150 998
4.250% due 12/01/26(g) 51,538 38,721
------------
Total Foreign Currency-Denominated Issues 41,741
(Cost $43,023) ------------
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 32.2%
- --------------------------------------------------------------------------------
Certificates of Deposit 2.2%
Bankers Trust
5.900% due 07/14/98 $ 39,500 39,528
</TABLE>
52 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
<S> <C> <C>
Landesbank Hessen-Thueringen
5.930% due 06/30/98 $ 25,000 $ 25,000
------------
64,528
============
Discount Notes 29.4%
Abbott Laboratories
5.500% due 10/24/97 10,000 9,965
American Express Credit
5.500% due 11/19/97 14,100 13,994
Ameritech Corp.
5.480% due 10/24/97 19,900 19,830
AT&T Capital Corp.
5.500% due 10/14/97 3,200 3,194
BellSouth Telecommunications, Inc.
5.480% due 10/20/97 1,800 1,795
Caisse d'Amortissement
5.520% due 10/20/97 3,000 2,991
5.560% due 06/12/98 30,000 28,837
Canadian Wheat Board
5.485% due 10/20/97 500 499
5.490% due 11/04/97 38,000 37,803
5.490% due 11/18/97 6,800 6,750
5.500% due 11/21/97 10,100 10,021
Federal Home Loan Mortgage Corp.
5.480% due 10/31/97 12,100 12,045
Ford Motor Credit Corp.
5.500% due 10/03/97 31,300 31,290
5.500% due 10/10/97 5,000 4,993
5.490% due 10/15/97 30,000 29,936
5.510% due 10/15/97 13,900 13,870
5.500% due 10/23/97 13,400 13,355
General Electric Capital Corp.
5.500% due 11/12/97 23,100 22,952
5.500% due 11/19/97 19,800 19,652
5.520% due 11/19/97 47,000 46,647
5.560% due 06/09/98 23,000 22,119
5.560% due 06/11/98 29,000 27,881
General Motors Acceptance Corp.
5.520% due 10/08/97 50,000 49,946
5.520% due 10/20/97 4,700 4,686
5.540% due 11/03/97 37,000 36,812
5.510% due 11/12/97 4,000 3,974
5.730% due 02/23/98 5,000 4,888
5.580% due 06/10/98 18,000 17,308
Gillette Co.
5.490% due 11/17/97 12,000 11,914
IBM Credit Corp.
5.500% due 11/19/97 10,000 9,925
Kellogg Co.
5.500% due 12/03/97 4,200 4,159
KFW International Finance, Inc.
5.510% due 11/13/97 13,500 13,411
5.490% due 11/18/97 23,400 23,229
5.500% due 11/19/97 23,000 22,828
National Rural Utilities Cooperative
5.590% due 10/16/97 5,500 5,487
5.480% due 10/20/97 25,000 24,928
5.500% due 11/04/97 2,200 2,189
5.500% due 11/06/97 16,500 16,409
5.510% due 11/13/97 700 695
5.500% due 12/12/97 10,700 10,580
New Center Asset Trust
5.500% due 10/06/97 16,400 16,387
5.510% due 10/08/97 4,000 3,996
5.500% due 10/09/97 14,000 13,983
5.510% due 10/22/97 5,800 5,781
5.530% due 11/05/97 40,600 40,382
5.510% due 11/19/97 22,700 22,530
5.540% due 12/17/97 20,000 19,760
Oesterreichische
5.500% due 12/08/97 50,000 49,470
Ontario Hydro
5.500% due 12/15/97 10,000 9,883
Procter & Gamble Co.
5.490% due 11/12/97 32,400 32,192
United Parcel Service Co.
5.500% due 11/05/97 5,600 5,570
Western Australia Treasury Corp.
5.490% due 11/20/97 8,100 8,038
------------
871,759
============
Repurchase Agreements 0.6%
State Street Bank
5.000% due 10/01/97 17,131 17,131
(Dated 09/30/97. Collateralized by U.S. Treasury ------------
Note 6.250% 08/31/02 valued at $17,477,050.
Repurchase proceeds are $17,133,379.)
U.S. Treasury Bills (b) 0.0%
5.085% due 11/13/97 225 224
------------
Total Short-Term Instruments 953,642
(Cost $953,556) ============
Total Investments (a) 131.1% $ 3,885,646
(Cost $3,856,645)
Other Assets and Liabilities (Net) (31.1%) (921,800)
------------
Net Assets 100.0% $ 2,963,846
============
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 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. $ 37,359
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value. (8,358)
------------
Unrealized appreciation-net $ 29,001
============
</TABLE>
(b) Securities with an aggregate market value of $406
have been segregated with the custodian to cover margin
requirements for the following open future
contracts at September 30, 1997:
<TABLE>
<CAPTION> Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
Eurodollar December Futures (12/97) 170 $ 60
Eurodollar March Futures (03/98) 200 70
Eurodollar June Futures (06/98) 200 75
U.S. Treasury 5 Year Note (12/97) 12 12
U.S. Treasury 30 Year Bond (12/97) 37 73
--------------
$ 290
==============
</TABLE>
(c) Foreign forward currency contracts outstanding at September 30, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy C$ 15,079 03/98 $ (88)
Sell 15,072 12/97 (14)
Sell 57,490 03/98 963
Sell DM 3,544 12/97 (50)
Buy DG 403 11/97 9
--------------
$ 820
==============
</TABLE>
(d) Variable Rate Security. The rate listed is as of September 30, 1997.
(e) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
DM - German Mark
DG - Dutch Guilder
(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 53
<PAGE>
Schedule of Investments
Short-Term Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 44.3%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance 28.3%
Ahmanson (H.F.) & Co.
6.330% due 04/15/98 $ 5,800 $ 5,820
Associates Corp. of North America
8.800% due 08/01/98 646 661
6.375% due 08/15/98 1,600 1,607
AT&T Capital Corp.
5.900% due 11/13/97 1,400 1,400
5.775% due 02/02/98(d) 3,000 3,001
7.800% due 02/10/98 2,000 2,015
5.900% due 07/10/98 100 100
5.870% due 08/28/98 500 500
5.850% due 01/05/99 3,585 3,577
6.160% due 12/03/99 1,000 1,000
Banco Latino
6.600% due 04/17/98 300 301
Capital One Bank
6.048% due 01/02/98(d) 3,800 3,801
6.740% due 05/31/99 875 882
Caterpillar Financial
5.550% due 04/01/99(d) 2,000 2,003
Chrysler Financial Corp.
5.625% due 01/15/99 570 568
Donaldson, Lufkin & Jenrette
6.375% due 05/25/26(d) 1,102 1,100
Ford Motor Credit Corp.
5.810% due 11/09/98(d) 2,600 2,613
5.960% due 03/23/99(d) 1,000 999
6.130% due 04/05/99(d) 1,500 1,490
General Motors Acceptance Corp.
6.000% due 12/30/98 1,575 1,576
Kansallis-Osake
7.850% due 09/30/43(d) 5,000 5,080
Lehman Brothers, Inc.
6.840% due 09/25/98 1,000 1,007
6.200% due 09/01/99(d) 3,000 2,998
Residential Funding
7.453% due 12/01/18(d) 2,277 2,321
Salomon, Inc.
5.790% due 11/26/97 1,700 1,700
5.650% due 02/10/98 1,000 1,000
5.750% due 03/31/98 800 800
6.000% due 07/28/98 250 250
6.030% due 02/11/99 500 500
3.650% due 02/14/02(g) 3,036 2,951
-----------
53,621
===========
Industrials 11.3%
Air Canada
6.300% due 07/31/05(d) 2,000 1,885
Amerco, Inc.
6.850% due 09/18/98 1,000 1,005
COFIRI International, Inc.
6.140% due 10/27/00(d) 2,000 1,996
Delta Air Lines
9.875% due 01/01/98 1,000 1,010
Occidental Petroleum
5.900% due 11/09/98 1,100 1,099
RJR Nabisco
8.750% due 04/15/04 4,800 5,077
Sears Roebuck & Co.
5.643% due 03/10/99(d) 3,000 2,997
TCI Communications, Inc.
7.130% due 02/02/98 1,300 1,305
7.130% due 02/03/98 3,000 3,013
USX Corp.
6.375% due 07/15/98 2,000 2,006
-----------
21,393
===========
Utilities 4.7%
Beaver Valley Funding Corp.
8.250% due 06/01/03 1,021 1,045
CMS Energy
9.875% due 10/01/99(d) 2,000 2,033
Consumers Energy Corp.
8.750% due 02/15/98 2,000 2,018
Delmarva Power & Light
5.690% due 06/24/98 1,000 999
Gulf States Utilities
9.720% due 07/01/98 1,200 1,229
Niagara Mohawk Power
9.990% due 05/11/04 1,500 1,529
-----------
8,853
-----------
Total Corporate Bonds and Notes 83,867
(Cost $83,579) ===========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 22.8%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 5.8%
Dime Savings
7.147% due 11/01/18(d) 504 463
Donaldson, Lufkin & Jenrette
7.200% due 10/17/20(d) 1,352 1,375
7.835% due 09/01/21(d) 83 83
7.097% due 06/25/22(d) 499 502
7.483% due 05/25/23(d) 684 693
Federal National Mortgage Assn.
5.800% due 08/25/15 2,700 2,692
Greenwich
7.643% due 04/25/22(d) 243 246
7.285% due 10/25/22(d) 187 188
Manufacturers Hanover Corp.
7.464% due 12/16/25(d) 2,416 2,419
Prudential Bache
6.103% due 09/01/18(d) 56 55
Prudential Home
6.750% due 01/25/24 1,262 1,260
Resolution Trust Corp.
8.861% due 12/25/20(d) 322 325
6.890% due 07/25/21(d) 14 14
6.934% due 06/25/24(d) 662 665
-----------
10,980
===========
Federal National Mortgage Association 3.5%
6.110% due 05/01/36(d) 6,622 6,593
-----------
Government National Mortgage Association 9.4%
6.000% due02/20/26-01/20/27(d)(f) 11,714 11,873
7.000% due08/20/25(d) 1,528 1,566
7.125% due09/20/23(d) 4,256 4,384
-----------
17,823
===========
Other Mortgage-Backed Securities 2.1%
Federal National Mortgage Assn.
1.000% due 06/25/23 607 586
First Nationwide Trust
6.722% due 10/25/18(d) 54 54
Guardian
6.926% due 12/25/19(d) 331 219
6.815% due 02/25/20(d) 432 236
6.963% due 02/25/20(d) 407 224
7.401% due 01/25/21(d) 525 361
Resolution Trust Corp.
8.625% due 10/25/21 868 871
6.684% due 05/25/29(d) 1,122 1,124
Ryland Acceptance Corp.
7.065% due 12/25/21(d) 176 176
-----------
3,851
===========
Stripped Mortgage-Backed Securities 2.0%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 06/15/19 8,000 1,447
Federal National Mortgage Assn. (IO)
6.000% due 10/25/03 1,967 30
7.000% due 07/25/06 3,211 443
6.500% due 12/25/06 8,441 845
7.000% due 05/25/13 1,505 34
6.500% due 06/25/17 5,277 460
6.500% due 10/25/23 3,130 487
L.F. Rothchild Mortgage (PO)
0.000% due 04/01/17 103 102
-----------
3,848
-----------
Total Mortgage-Backed Securities 43,095
(Cost $43,187) ===========
</TABLE>
54 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 9.1%
- --------------------------------------------------------------------------------
<S> <C> <C>
Community Trust Bancorp, Inc.
6.500% due 09/15/03 $ 5,124 $ 5,148
Green Tree Financial Group
6.420% due 04/15/28 9,000 9,072
LIBOR-Index Certificates
9.040% due 10/01/03(d) 1,000 1,000
9.262% due 10/01/03(d) 2,000 2,000
-----------
Total Asset-Backed Securities 17,220
(Cost $17,142) ===========
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.9%
- --------------------------------------------------------------------------------
Government of Malaysia
5.688% due 10/19/05(d) 1,250 1,243
Nafinsa Finance Trust II
8.262% due 03/31/99(d) 144 146
Republic of Argentina
6.750% due 03/31/05(d) 6,240 5,944
-----------
Total Sovereign Issues 7,333
(Cost $6,600) ===========
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(e) 2.7%
- --------------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26(g) C$ 2,268 1,704
Commonwealth of New Zealand
4.500% due 02/15/16(g) N$ 5,400 3,350
-----------
Total Foreign Currency-Denominated Issues 5,054
(Cost $5,210) ===========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 17.6%
- --------------------------------------------------------------------------------
Certificates of Deposit 1.5%
Banco Latino
6.400% due 03/27/98 $ 1,400 1,400
6.550% due 04/14/98 1,500 1,502
-----------
2,902
===========
Discount Notes 15.5%
Caisse d'Amortissement
5.500% due 11/12/97 1,900 1,888
Canadian Wheat Board
5.510% due 12/10/97 1,900 1,879
Federal National Mortgage Assn.
5.490% due 10/17/97 3,600 3,591
General Motors Acceptance Corp.
5.540% due 11/12/97 900 894
Kellogg Co.
5.500% due 12/17/97 2,200 2,174
KFW International Finance, Inc.
5.500% due 11/19/97 9,000 8,933
National Rural Utilities Cooperative
5.480% due 10/28/97 300 299
5.520% due 12/08/97 400 396
5.500% due 12/12/97 6,900 6,824
New Center Asset Trust
5.520% due 10/10/97 300 300
TCI Communications, Inc.
6.062% due 05/08/98 2,200 2,126
-----------
29,304
===========
Repurchase Agreements 0.6%
State Street Bank
5.000% due 10/01/97 1,156 1,156
(Dated 09/30/97. Collateralized by U.S. Treasury -----------
Note 6.250% 08/31/02 valued at $1,181,019.
Repurchase proceeds are $1,156,161.)
U.S. Treasury Bills (b) 0.0%
5.010% due 10/02/97 10 10
-----------
Total Short-Term Instruments 33,372
(Cost $33,364) ===========
Total Investments (a) 100.4% $ 189,941
(Cost $189,082)
Other Assets and Liabilities (Net) (0.4%) (776)
-----------
Net Assets 100.0% $ 189,165
===========
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 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. $ 1,894
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (1,035)
-----------
Unrealized appreciation-net $ 859
===========
(b) Securities with an aggregate market value of $10
have been segregated with the custodian to cover margin
requirements for the following open future contracts at
September 30, 1997:
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 2 Year Note (12/97) 11 $ 7
</TABLE>
(c) Foreign forward currency contracts outstanding at September 30, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell C$ 2,064 12/97 $ 0
Sell N$ 4,940 11/97 4
Sell 381 12/97 (2)
Sell SK 1,055 11/97 (8)
-------------
$ (6)
=============
</TABLE>
(d) Variable Rate Security. The rate listed is as of September 30, 1997.
(e) Principal amount denoted in indicated currency:
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 55
<PAGE>
Schedule of Investments
Money Market Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 1.3%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance 0.8%
Chrysler Financial Corp.
5.710% due 01/12/98 $ 500 $ 500
Lehman Brothers, Inc.
5.750% due 02/15/98 721 720
-----------
1,220
===========
Industrials 0.5%
Phillips Petroleum
9.500% due 11/15/97 750 753
-----------
Total Corporate Bonds and Notes 1,973
(Cost $1,973) ===========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 67.7%
- --------------------------------------------------------------------------------
Discount Notes 67.4%
Archer Daniels Midland
6.350% due 10/01/97 2,500 2,500
Australian Wheat Board
5.500% due 10/10/97 6,000 5,992
Becton Dickinson & Co.
5.550% due 10/23/97 6,000 5,980
Emerson Electric Co.
5.500% due 11/07/97 6,000 5,966
Federal National Mortgage Assn.
5.650% due 10/07/97 2,850 2,847
Ford Motor Credit Corp.
5.500% due 10/02/97 7,500 7,499
General Electric Capital Corp.
5.500% due 10/07/97 8,200 8,192
IBM Credit Corp.
5.540% due 01/22/98 7,500 7,370
Kellogg Co.
5.520% due 11/06/97 6,000 5,967
KFW International Finance, Inc.
5.510% due 10/15/97 6,500 6,486
Monsanto Co.
5.500% due 11/12/97 6,500 6,458
National Rural Utilities Cooperative
5.580% due 01/20/98 7,500 7,371
Oesterreichische
5.500% due 12/08/97 6,000 5,938
Pitney Bowes Credit Corp.
5.550% due 01/15/98 6,500 6,394
Wells Fargo & Co.
5.480% due 10/20/97 7,500 7,478
Western Australia Treasury Corp.
5.480% due 10/31/97 5,500 5,475
-----------
97,913
===========
Repurchase Agreements 0.3%
State Street Bank
5.000% due 10/01/97 381 381
(Dated 09/30/97. Collateralized by U.S. Treasury -----------
Note 5.750% 12/31/98 valued at $390,715.
Repurchase proceeds are $381,053.)
Total Short-Term Instruments 98,294
(Cost $98,294) ===========
Total Investments 69.0% $ 100,267
(Cost $100,267)
Other Assets and Liabilities (Net) 31.0% 44,993
-----------
Net Assets 100.0% $ 145,260
===========
</TABLE>
56 See accompanying notes
<PAGE>
Schedule of Investments
StocksPLUS Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 30.7%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance 20.5%
Advanta Corp.
6.136% due 01/15/99(d) $ 2,000 $ 1,983
Ahmanson (H.F.) & Co.
6.180% due 01/15/98 9,300 9,316
AT&T Capital Corp.
6.260% due 02/18/99 10,000 10,026
6.920% due 04/29/99 5,200 5,264
Capital One Bank
8.125% due 02/27/98 2,000 2,017
6.730% due 06/04/98 2,000 2,010
6.163% due 08/13/98(d) 7,500 7,512
Caterpillar Financial
5.550% due 04/01/99(d) 2,000 2,003
Chrysler Financial Corp.
6.190% due 10/27/97 2,000 2,001
Den Danske Bank
6.000% due 06/30/00(d) 450 445
Ford Motor Credit Corp.
5.810% due 11/09/98(d) 500 502
5.680% due 03/30/99(d) 250 250
6.130% due 04/05/99(d) 340 338
6.080% due 08/14/00(d) 17,000 17,006
General Motors Acceptance Corp.
5.970% due 03/16/99(d) 2,000 2,013
Kansallis-Osake
7.850% due 09/30/43(d) 1,500 1,524
Lehman Brothers, Inc.
6.540% due 01/05/98 5,000 5,010
6.250% due 06/29/98 2,000 2,004
8.875% due 11/01/98 1,685 1,733
6.100% due 08/11/00(d) 9,400 9,403
Merrill Lynch & Co.
7.000% due 10/10/00(d) 3,000 3,066
Residential Reinsurance
11.440% due 12/15/08(d) 2,500 2,514
Salomon, Inc.
5.790% due 11/26/97 2,000 2,001
7.000% due 01/20/98 250 251
5.650% due 02/10/98 390 390
8.910% due 02/16/98 3,000 3,040
5.750% due 03/31/98 2,000 2,001
5.888% due 04/05/99(d) 500 498
6.331% due 06/27/01(d) 6,800 6,818
3.650% due 02/14/02(g) 2,024 1,968
-----------
104,907
===========
Industrials 7.8%
Air Canada
6.300% due 07/31/05(d) 12,000 11,310
Amerco, Inc.
6.800% due 09/18/98 6,000 6,031
Centerior Fuel Corp.
9.200% due 08/02/98 1,000 1,000
COFIRI International, Inc.
6.140% due 10/27/00(d) 2,000 1,996
Falcon Drilling, Inc.
9.750% due 01/15/01 2,000 2,125
Merita
6.163% due 12/01/05(d) 1,000 1,000
RJR Nabisco
8.000% due 07/15/01 500 514
TCI Communications, Inc.
6.359% due 04/03/02(d) 11,600 11,620
6.419% due 03/11/03(d) 4,000 4,003
-----------
39,599
===========
Utilities 2.4%
Beaver Valley Funding Corp.
8.250% due 06/01/03 2,981 3,051
Cleveland Electric Illuminating Co.
8.170% due 11/30/98 1,000 1,019
El Paso Electric Co.
7.250% due 02/01/99 1,000 1,005
Gulf States Utilities
9.720% due 07/01/98 3,059 3,133
North Atlantic Energy
9.050% due 06/01/02 1,308 1,320
Texas Utilities Co.
6.258% due 05/01/99(d) 2,500 2,501
-----------
12,029
-----------
Total Corporate Bonds and Notes 156,535
(Cost $155,789) ===========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 4.2%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/02(g) 21,345 21,292
-----------
Total U.S. Treasury Obligations 21,292
(Cost $21,241) ===========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 15.6%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 6.5%
Bank Mart
7.590% due 03/01/19(d) 10,264 10,511
Citicorp Mortgage Securities, Inc.
8.500% due 06/25/06 963 972
7.634% due 09/25/18(d) 90 90
Countrywide
6.500% due 02/25/24 774 773
Donaldson, Lufkin & Jenrette
7.200% due 10/17/20(d) 383 390
Federal National Mortgage Assn.
7.816% due 04/25/20(d) 486 491
Greenwich
7.285% due 10/25/22(d) 47 47
Manufacturers Hanover Corp.
7.464% due 12/16/25(d) 2,344 2,347
PaineWebber Mortgage
6.557% due 02/25/01(d) 2,002 1,994
Prudential Home
7.050% due 05/25/24(d) 1,986 1,995
Red Mountain Funding Corp.
6.450% due 11/28/27 1,630 1,614
Residential Funding
6.135% due 03/25/18(d) 4,175 4,099
Resolution Trust Corp.
7.588% due 01/25/20(d) 890 905
7.097% due 05/25/21(d) 73 73
6.389% due 09/25/21(d) 1,441 1,430
8.000% due 07/25/24 3,343 3,379
6.525% due 05/25/29(d) 792 793
Sears Mortgage Securities
8.661% due 05/25/32(d) 39 39
Structured Asset Securities Corp.
7.750% due 02/25/28 1,437 1,468
-----------
33,410
===========
Federal Home Loan Mortgage Corporation 1.1%
6.615% due 07/01/19(d) 2,323 2,339
7.891% due 06/01/22(d) 1,010 1,059
7.870% due 12/01/22(d) 1,358 1,428
8.500% due 04/01/25-06/01/25(f) 634 664
-----------
5,490
===========
Federal National Mortgage Association 3.9%
6.103% due 04/01/18(d) 135 135
6.110% due 05/01/17-05/01/36(d)(f) 8,912 8,858
6.113% due 07/01/18(d) 727 728
6.114% due 11/01/18-02/01/31(d)(f) 8,003 7,972
6.115% due 08/01/29-11/01/35(d)(f) 1,245 1,240
7.288% due 05/01/22(d) 802 821
9.000% due 01/01/99 36 36
-----------
19,790
===========
Government National Mortgage Association 2.6%
5.500% due 04/20/26-05/20/26(d)(f) 962 959
6.000% due 02/20/26-05/20/26(d)(f) 9,439 9,570
7.125% due 09/20/22(d) 2,871 2,960
-----------
13,489
===========
</TABLE>
See accompanying notes 57
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
<S> <C> <C>
Other Mortgage-Backed Securities 1.0%
California Federal Savings & Loan
6.645% due 01/01/19(d) $ 70 $ 69
Fund America
7.667% due 06/25/23(d) 230 235
Great Western Savings & Loan
6.357% due 01/25/18(d) 100 99
Guardian
7.401% due 01/25/21(d) 1,221 839
J.P. Morgan & Co.
6.756% due 01/25/18(d) 861 853
Resolution Trust Corp.
6.933% due 12/25/23(d) 47 47
Structured Asset Securities Corp.
6.810% due 09/25/36(d) 1,605 1,606
Western Federal Savings & Loan
6.414% due 10/25/18(d) 520 516
6.837% due 03/25/19(d) 71 71
6.614% due 06/25/19(d) 656 654
-----------
4,989
===========
Stripped Mortgage-Backed Securities 0.5%
Federal Home Loan Mortgage Corp.(IO)
7.000% due 08/15/13 138 3
92.576% due 07/15/16 95 1,068
Federal National Mortgage Assn.(IO)
6.000% due 11/25/00 1,014 82
7.000% due 07/25/06 642 89
6.500% due 02/25/21(d) 8,037 916
7.000% due 07/25/21 1,418 248
Prudential Home(IO)
4.299% due 02/25/22 17 36
-----------
2,442
-----------
Total Mortgage-Backed Securities 79,610
(Cost $78,758) ===========
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 10.7%
- --------------------------------------------------------------------------------
Community Trust Bancorp, Inc.
6.500% due 09/15/03 5,978 6,006
Green Tree Financial Group
6.420% due 04/15/28 5,000 5,040
6.220% due 02/15/29 20,000 20,086
LIBOR-Index Certificates
6.413% due 08/31/98(d) 3,000 3,000
9.262% due 10/01/03(d) 2,500 2,500
Standard Credit Card Master Trust
8.875% due 09/07/99 17,300 17,743
-----------
Total Asset-Backed Securities 54,375
(Cost $54,196) ===========
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 5.0%
- --------------------------------------------------------------------------------
Republic of Argentina
6.750% due 03/31/05(d) 17,376 16,551
Republic of Poland
6.938% due 10/27/24(d) 9,400 9,212
-----------
Total Sovereign Issues 25,763
(Cost $24,685) ===========
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(e) 2.0%
- --------------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26 (g) C$ 5,154 3,872
Commonwealth of New Zealand
4.500% due 02/15/16 (g) N$ 9,750 6,049
Kingdom of Sweden
10.250% due 05/05/00 SK 1,000 148
-----------
Total Foreign Currency-Denominated Issues 10,069
(Cost $10,449) ===========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 37.8%
- --------------------------------------------------------------------------------
Certificates of Deposit 2.2%
Banco Latino
6.400% due 03/31/98 $ 3,100 $ 3,099
6.550% due 04/14/98 6,200 6,206
6.430% due 05/28/98 1,900 1,900
-----------
11,205
===========
Discount Notes 30.7%
Abbott Laboratories
5.490% due 10/22/97 2,100 2,093
American Express Credit
5.500% due 11/12/97 16,600 16,494
Ameritech Corp.
5.480% due 10/06/97 1,000 999
AT&T Capital Corp.
5.856% due 05/05/98 10,900 10,541
Caisse d'Amortissement
5.500% due 11/12/97 6,700 6,657
Canadian Wheat Board
5.490% due 10/08/97 600 599
5.490% due 11/14/97 1,300 1,291
E.I. Du Pont de Nemours
5.490% due 10/17/97 5,100 5,088
Federal Home Loan Mortgage Corp.
5.500% due 10/10/97 4,700 4,694
General Electric Capital Corp.
5.540% due 10/09/97 9,900 9,888
General Motors Acceptance Corp.
5.520% due 10/08/97 16,000 15,983
IBM Credit Corp.
5.500% due 11/05/97 10,300 10,245
5.500% due 11/19/97 6,500 6,451
KFW International Finance, Inc.
5.480% due 10/20/97 2,200 2,194
5.490% due 11/13/97 10,000 9,934
5.490% due 11/18/97 6,600 6,552
National Rural Utilities Cooperative
5.500% due 10/10/97 2,000 1,997
5.500% due 10/27/97 3,300 3,287
5.510% due 10/28/97 1,000 996
5.500% due 11/06/97 8,500 8,453
New Center Asset Trust
5.500% due 10/06/97 5,000 4,996
5.510% due 11/19/97 9,600 9,528
TCI Communications, Inc.
6.062% due 05/08/98 2,300 2,223
Western Australia Treasury Corp.
5.480% due 11/03/97 15,300 15,223
-----------
156,406
===========
Repurchase Agreements 0.5%
State Street Bank
5.000% due 10/01/97 2,619 2,619
-----------
(Dated 09/30/97. Collateralized by U.S. Treasury
Note 6.250% 08/31/02 valued at $2,676,300.
Repurchase proceeds are $2,619,364.)
U.S. Treasury Bills (b)(f) 4.4%
5.357% due 10/01/97-12/11/97 22,790 22,700
-----------
Total Short-Term Instruments 192,930
(Cost $192,890) ===========
Total Investments (a) 106.0% $ 540,574
(Cost $538,009)
Other Assets and Liabilities (Net) (6.0%) (30,428)
-----------
Net Assets 100.0% $ 510,146
===========
</TABLE>
58 See accompanying notes
<PAGE>
- -------------------------------------------------------------------------------
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 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. $ 3,360
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (795)
------------
Unrealized appreciation-net $ 2,565
============
</TABLE>
(b) Securities with an aggregate market value of $22,700 have been segregated
with the custodian to cover margin requirements for the following open future
contracts at September 30, 1997:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Appreciation
- -------------------------------------------------------------------------------
<S> <C> <C>
S&P 500 Index (12/97) 802 $ 8,159
</TABLE>
(c) Foreign forward currency contracts outstanding at September 30, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
Sell C$ 2,128 11/97 $ (3)
Sell 2,814 12/97 0
Sell N$ 7,905 11/97 6
Sell 1,668 12/97 (9)
Sell SK 6 10/97 0
Sell 1,843 11/97 (14)
----------
$ (20)
==========
</TABLE>
(d) Variable Rate Security. The rate listed is as of September 30, 1997.
(e) Principal amount denoted in indicated currency:
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.
(h) Swap agreements outstanding at September 30, 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: Morgan Stanley
Exp. 06/30/98 $ 48,378 $ 0
Broker: Deutsche Bank AG London
Exp. 03/31/98 51,554 0
Broker: Lehman Brothers
Exp. 12/31/97 34,318 0
-----------
$ 0
-----------
</TABLE>
See accompanying notes 59
<PAGE>
Financial Highlights
A, B and C Classes
<TABLE>
<CAPTION>
Selected Per Share Data
for the Period Ended:
Net Asset Net Realized Dividends Dividends in
Value Net and Unrealized Total Income From Net Excess of Net
Beginning Investment Gain (Loss) on From Investment Investment Investment
of Period Income Investments Operations Income Income
--------- ---------- -------------- --------------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C>
Long-Term U.S.
Government Fund
Class A
09/30/97 (a) $ 9.39 $ 0.29 (b) $ 0.75 (b) $ 1.04 $ (0.29) $ 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
01/20/97-03/31/97 9.67 0.32 (0.47) (0.15) (0.13) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
Class B
09/30/97 (a) 9.39 0.25 (b) 0.75 (b) 1.00 (0.25) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
01/20/97-03/31/97 9.67 0.29 (0.47) (0.18) (0.10) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
Class C
09/30/97 (a) 9.39 0.25 (b) 0.75 (b) 1.00 (0.25) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
01/20/97-03/31/97 9.67 0.29 (0.47) (0.18) (0.10) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
Foreign Bond Fund
Class A
09/30/97 (a) $ 10.41 $ 0.22 (b) $ 0.47 (b) $ 0.69 $ (0.21) $ 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
01/20/97-03/31/97 10.59 0.59 (0.72) (0.13) (0.05) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
Class B
09/30/97 (a) 10.41 0.18 (b) 0.47 (b) 0.65 (0.17) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
01/20/97-03/31/97 10.59 0.58 (0.72) (0.14) (0.04) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
Class C
09/30/97 (a) 10.41 0.18 (b) 0.46 (b) 0.64 (0.16) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
01/20/97-03/31/97 10.59 0.58 (0.72) (0.14) (0.04) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
Global Bond Fund II
Class A
09/30/97 (a) $ 10.84 $ 0.26 (b) $ 0.54 (b) $ 0.80 $ (0.25) $ 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
10/01/96-03/31/97 10.96 0.66 (0.16) 0.50 (0.22) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
09/30/96 10.00 0.32 (c) 0.95 1.27 (0.31) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
Class B
09/30/97 (a) 10.84 0.21 (b) 0.55 (b) 0.76 (0.21) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
10/01/96-03/31/97 10.96 0.62 (0.16) 0.46 (0.18) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
09/30/96 10.00 0.30 (c) 0.92 1.22 (0.26) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
Class C
09/30/97 (a) 10.84 0.20 (b) 0.56 (b) 0.76 (0.21) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
10/01/96-03/31/97 10.96 0.62 (0.16) 0.46 (0.18) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
09/30/96 10.00 0.30 (c) 0.92 1.22 (0.26) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
Emerging Markets Bond Fund
Class A
07/31/97-09/30/97 (a) $ 10.00 $ 0.11 (b) $ 0.04 (b) $ 0.15 $ (0.11) $ 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
Class B
07/31/97-09/30/97 (a) 10.00 0.09 (b) 0.04 (b) 0.13 (0.09) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
Class C
07/31/97-09/30/97 (a) 10.00 0.09 (b) 0.04 (b) 0.13 (0.09) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
High Yield Fund
Class A
09/30/97 (a) $ 11.10 $ 0.48 (b) $ 0.52 (b) $ 1.00 $ (0.48) $ 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
01/13/97-03/31/97 11.18 0.17 (0.05) 0.12 (0.20) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
Class B
09/30/97 (a) 11.10 0.44 (b) 0.52 (b) 0.96 (0.44) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
01/13/97-03/31/97 11.18 0.15 (0.05) 0.10 (0.18) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
Class C
09/30/97 (a) 11.10 0.44 (b) 0.52 (b) 0.96 (0.44) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
01/13/97-03/31/97 11.18 0.15 (0.05) 0.10 (0.18) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
Total Return Fund
Class A
09/30/97 (a) $ 10.27 $ 0.30 (b) $ 0.46 (b) $ 0.76 (0.30) $ 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
01/13/97-03/31/97 10.40 0.12 (0.12) 0.00 (0.13) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
Class B
09/30/97 (a) 10.27 0.26 (b) 0.46 (b) 0.72 (0.26) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
01/13/97-03/31/97 10.40 0.11 (0.12) (0.01) (0.12) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
Class C
09/30/97 (a) 10.27 0.26 (b) 0.46 (b) 0.72 (0.26) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
01/13/97-03/31/97 10.40 0.11 (0.12) (0.01) (0.12) 0.00
- -------------------------- --------- ---------- -------------- --------------- ---------- -------------
</TABLE>
+ Annualized
(a) Unaudited
(b) Per share amounts based on average number of shares outstanding during the
period.
(c) Reflects voluntary waiver of investment advisory fee of $12,041 (.01 per
share) by the Advisor.
60 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions 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>
Long-Term U.S. Government Fund
Class A
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 10.14 11.19%
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
01/20/97-03/31/97 0.00 0.00 0.00 (0.13) 9.39 (1.72)
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
Class B
09/30/97 (a) 0.00 0.00 0.00 (0.25) 10.14 10.76
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
01/20/97-03/31/97 0.00 0.00 0.00 (0.10) 9.39 (1.92)
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
Class C
09/30/97 (a) 0.00 0.00 0.00 (0.25) 10.14 10.77
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
01/20/97-03/31/97 0.00 0.00 0.00 (0.10) 9.39 (1.83)
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
Foreign Bond Fund
Class A
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.21) $ 10.89 6.65%
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
01/20/97-03/31/97 0.00 0.00 0.00 (0.05) 10.41 (1.21)
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
Class B
09/30/97 (a) 0.00 0.00 0.00 (0.17) 10.89 6.23
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
01/20/97-03/31/97 0.00 0.00 0.00 (0.04) 10.41 (1.34)
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
Class C
09/30/97 (a) 0.00 0.00 0.00 (0.16) 10.89 6.23
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
01/20/97-03/31/97 0.00 0.00 0.00 (0.04) 10.41 (1.32)
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
Global Bond Fund II
Class A
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.25) $ 11.39 7.44%
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
10/01/96-03/31/97 (0.40) 0.00 0.00 (0.62) 10.84 4.55
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
09/30/96 0.00 0.00 0.00 (0.31) 10.96 15.01
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
Class B
09/30/97 (a) 0.00 0.00 0.00 (0.21) 11.39 7.04
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
10/01/96-03/31/97 (0.40) 0.00 0.00 (0.58) 10.84 4.17
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
09/30/96 0.00 0.00 0.00 (0.26) 10.96 14.54
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
Class C
09/30/97 (a) 0.00 0.00 0.00 (0.21) 11.39 7.05
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
10/01/96-03/31/97 (0.40) 0.00 0.00 (0.58) 10.84 4.17
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
09/30/96 0.00 0.00 0.00 (0.26) 10.96 14.54
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
Emerging Markets Bond Fund
Class A
07/31/97-09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.11) $ 10.04 1.50%
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
Class B
07/31/97-09/30/97 (a) 0.00 0.00 0.00 (0.09) 10.04 1.34
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
Class C
07/31/97-09/30/97 (a) 0.00 0.00 0.00 (0.09) 10.04 1.35
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
High Yield Fund
Class A
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.48) $ 11.62 9.18%
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
01/13/97-03/31/97 0.00 0.00 0.00 (0.20) 11.10 1.06
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
Class B
09/30/97 (a) 0.00 0.00 0.00 (0.44) 11.62 8.77
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
01/13/97-03/31/97 0.00 0.00 0.00 (0.18) 11.10 0.86
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
Class C
09/30/97 (a) 0.00 0.00 0.00 (0.44) 11.62 8.78
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
01/13/97-03/31/97 0.00 0.00 0.00 (0.18) 11.10 0.88
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
Total Return Fund
Class A
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.30) $ 10.73 7.52%
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
01/13/97-03/31/97 0.00 0.00 0.00 (0.13) 10.27 0.02
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
Class B
09/30/97 (a) 0.00 0.00 0.00 (0.26) 10.73 7.11
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
01/13/97-03/31/97 0.00 0.00 0.00 (0.12) 10.27 (0.10)
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
Class C
09/30/97 (a) 0.00 0.00 0.00 (0.26) 10.73 7.12
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
01/13/97-03/31/97 0.00 0.00 0.00 (0.12) 10.27 (0.11)
- ----------------------------------- ------------- ------------- --------- ------------- ------------ ------------
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income to
Net Assets End Average Net Average Net Portfolio
of Period (000s) Assets Assets Turnover Rate
--------------- ----------- ------------ -------------
<S> <C> <C> <C> <C>
Long-Term U.S. Government Fund
Class A
09/30/97 (a) $ 2,720 0.90%+ 5.78%+ 150%
- --------------------------------------- -------------- ----------- ------------ -------------
01/20/97-03/31/97 1,204 1.12+ 6.91+ 402
- --------------------------------------- -------------- ----------- ------------ -------------
Class B
09/30/97 (a) 1,994 1.65+ 4.93+ 150
- --------------------------------------- -------------- ----------- ------------ -------------
01/20/97-03/31/97 454 1.87+ 4.95+ 402
- --------------------------------------- -------------- ----------- ------------ -------------
Class C
09/30/97 (a) 1,499 1.65+ 4.93+ 150
- --------------------------------------- -------------- ----------- ------------ -------------
01/20/97-03/31/97 275 1.88+ 5.52+ 402
- --------------------------------------- -------------- ----------- ------------ -------------
Foreign Bond Fund
Class A
09/30/97 (a) $ 3,309 0.95%+ 4.12%+ 64%
- --------------------------------------- --------------- ----------- ------------ -------------
01/20/97-03/31/97 704 0.97+ 4.95+ 984
- --------------------------------------- --------------- ----------- ------------ -------------
Class B
09/30/97 (a) 6,205 1.70+ 3.39+ 64
- --------------------------------------- --------------- ----------- ------------ -------------
01/20/97-03/31/97 1,221 1.75+ 3.73+ 984
- --------------------------------------- --------------- ----------- ------------ -------------
Class C
09/30/97 (a) 9,572 1.70+ 3.33+ 64
- --------------------------------------- --------------- ----------- ------------ -------------
01/20/97-03/31/97 1,788 1.76+ 4.09+ 984
- --------------------------------------- --------------- ----------- ------------ -------------
Global Bond Fund II
Class A
09/30/97 (a) $ 8,761 0.95%+ 4.51%+ 133%
- --------------------------------------- --------------- ----------- ------------ -------------
10/01/96-03/31/97 7,652 2.05+ 5.60+ 307
- --------------------------------------- --------------- ----------- ------------ -------------
09/30/96 7,360 1.27 (d) 4.88 (e) 1,246
- --------------------------------------- --------------- ----------- ------------ -------------
Class B
09/30/97 (a) 4,474 1.70+ 3.70+ 133
- --------------------------------------- --------------- ----------- ------------ -------------
10/01/96-03/31/97 3,925 2.57+ 4.22+ 307
- --------------------------------------- --------------- ----------- ------------ -------------
09/30/96 3,240 2.49 (d) 4.09 (e) 1,246
- --------------------------------------- --------------- ----------- ------------ -------------
Class C
09/30/97 (a) 5,550 1.70+ 3.67+ 133
- --------------------------------------- --------------- ----------- ------------ -------------
10/01/96-03/31/97 5,323 2.43+ 4.14+ 307
- --------------------------------------- --------------- ----------- ------------ -------------
09/30/96 3,459 2.49 (d) 4.09 (e) 1,246
- --------------------------------------- --------------- ----------- ------------ -------------
Emerging Markets Bond Fund
Class A
07/31/97-09/30/97 (a) $ 144 1.25%+ 5.81%+ 312%
- --------------------------------------- --------------- ----------- ------------ -------------
Class B
07/31/97-09/30/97 (a) 58 2.00+ 4.70+ 312
- --------------------------------------- --------------- ----------- ------------ -------------
Class C
07/31/97-09/30/97 (a) 80 2.00+ 4.11+ 312
- --------------------------------------- --------------- ----------- ------------ -------------
High Yield Fund
Class A
09/30/97 (a) $ 49,258 0.90%+ 8.43%+ 17%
- --------------------------------------- --------------- ----------- ------------ -------------
01/13/97-03/31/97 28,873 0.92+ 8.28+ 67
- --------------------------------------- --------------- ----------- ------------ -------------
Class B
09/30/97 (a) 100,636 1.65+ 7.68+ 17
- --------------------------------------- --------------- ----------- ------------ -------------
01/13/97-03/31/97 60,269 1.67+ 7.52+ 67
- --------------------------------------- --------------- ----------- ------------ -------------
Class C
09/30/97 (a) 242,856 1.65+ 7.71+ 17
- --------------------------------------- --------------- ----------- ------------ -------------
01/13/97-03/31/97 205,297 1.68+ 7.56+ 67
- --------------------------------------- --------------- ----------- ------------ -------------
Total Return Fund
Class A
09/30/97 (a) $ 241,075 0.90%+ 5.68%+ 85%
- --------------------------------------- --------------- ----------- ------------ -------------
01/13/97-03/31/97 115,742 0.91+ 6.08+ 173
- --------------------------------------- --------------- ----------- ------------ -------------
Class B
09/30/97 (a) 107,136 1.65+ 4.95+ 85
- --------------------------------------- --------------- ----------- ------------ -------------
01/13/97-03/31/97 74,130 1.67+ 5.28+ 173
- --------------------------------------- --------------- ----------- ------------ -------------
Class C
09/30/97 (a) 342,949 1.65+ 5.00+ 85
- --------------------------------------- --------------- ----------- ------------ -------------
01/13/97-03/31/97 329,104 1.67+ 5.32+ 173
- --------------------------------------- --------------- ----------- ------------ -------------
</TABLE>
(d)The Ratio of Expenses to Average Net Assets without the waiver would have
been 1.57%.
(e)The Ratio of Net Investment Income to Average Net Assets without the waiver
would have been 4.58%.
See accompanying notes 61
<PAGE>
Financial Highlights
A, B and C Classes (Cont.)
<TABLE>
<CAPTION>
Selected Per Share Data Net Asset Net Realized Dividends Dividends in
for the Period Ended: Value Net and Unrealized Total Income From Net Excess of Net
Beginning Investment Gain (Loss) on From Investment Investment Investment
of Period Income (Loss) Investments Operations Income Income
------------ ------------- ---------------- --------------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
Real Return Bond Fund
Class A
09/30/97 (a) $ 9.93 $ 0.21 (b) $ 0.02(b) $ 0.23 $ (0.21) $ 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
01/29/97-03/31/97 10.00 0.11 (b) (0.10)(b) 0.01 (0.08) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
Class B
09/30/97 (a) 9.93 0.18 (b) 0.02 (b) 0.20 (0.18) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
01/29/97-03/31/97 10.00 0.09 (0.10) (0.01) (0.06) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
Class C
09/30/97 (a) 9.93 0.19 (b)(c) 0.02 (b) 0.21 (0.19) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
01/29/97-03/31/97 10.00 0.09 (0.10) (0.01) (0.06) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
Low Duration Fund
Class A
09/30/97 (a) $ 9.98 $ 0.29 (b) $ 0.22 (b) $ 0.51 $ (0.29) $ 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
01/13/97-03/31/97 10.02 0.12 (0.03) 0.09 (0.12) (0.01)
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
Class B
09/30/97 (a) 9.98 0.25 (b) 0.22 (b) 0.47 (0.25) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
01/13/97-03/31/97 10.02 0.10 (0.03) 0.07 (0.11) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
Class C
09/30/97 (a) 9.98 0.27 (b) 0.21 (b) 0.48 (0.26) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
01/13/97-03/31/97 10.02 0.11 (0.03) 0.08 (0.11) (0.01)
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
Short-Term Fund
Class A
09/30/97 (a) $ 10.00 $ 0.29 (b) $ 0.08 (b) $ 0.37 $ (0.29) $ 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
01/20/97-03/31/97 10.04 0.10 (0.03) 0.07 (0.10) (0.01)
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
Class B
09/30/97 (a) 10.00 0.26 (b) 0.08 (b) 0.34 (0.26) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
01/20/97-03/31/97 10.04 0.09 (0.03) 0.06 (0.10) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
Class C
09/30/97 (a) 10.00 0.27 (b)(d) 0.08 (b) 0.35 (0.27) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
01/20/97-03/31/97 10.04 0.09 (0.03) 0.06 (0.10) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
Money Market Fund
Class A
09/30/97 (a) $ 1.00 $ 0.03 (b)(e) $ 0.00 (b) $ 0.03 $ (0.03) $ 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
01/13/97-03/31/97 1.00 0.01 0.00 0.01 (0.01) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
Class B
09/30/97 (a) 1.00 0.02 (b) 0.00 (b) 0.02 (0.02) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
01/13/97-03/31/97 1.00 0.01 0.00 0.01 (0.01) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
Class C
09/30/97 (a) 1.00 0.03 (b)(f) 0.00 (b) 0.03 (0.03) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
01/13/97-03/31/97 1.00 0.01 0.00 0.01 (0.01) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
StocksPLUS Fund
Class A
09/30/97 (a) $ 11.46 $ 1.12 (b) $ 1.89 (b) $ 3.01 $ (0.30) $ 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
01/20/97-03/31/97 11.91 (0.10) (0.20) (0.30) (0.15) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
Class B
09/30/97 (a) 11.44 1.08 (b) 1.89 (b) 2.97 (0.27) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
01/20/97-03/31/97 11.91 (0.13) (0.20) (0.33) (0.14) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
Class C
09/30/97 (a) 11.45 1.09 (b)(g) 1.89 (b) 2.98 (0.28) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
01/20/97-03/31/97 11.91 (0.12) (0.20) (0.32) (0.14) 0.00
- -------------------------- ------------ ------------- ---------------- --------------- ------------ -------------
</TABLE>
+ Annualized
(a) Unaudited
(b) Per share amounts based on average number of shares outstanding during the
period.
(c) Reflects voluntary waiver of distribution fee of $586 (.01 per share) by the
Distributor.
(d) Reflects voluntary waiver of distribution fee of $5,771 (.02 per share) by
the Distributor.
(e) Reflects voluntary waiver of distribution fee of $14,946 (.00 per share) by
the Distributor.
(f) Reflects voluntary waiver of distribution fee of $30,556 (.00 per share) by
the Distributor.
(g) Reflects voluntary waiver of distribution fee of $40,185 (.02 per share) by
the Distributor.
62 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions
From Net Distribution Tax Basis Net Asset
Realized from Return of Total Value End of
Capital Gains Equalization Capital Distributions Period Total Return
------------ ------------- ----------- --------------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
Real Return Bond Fund
Class A
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.21) $ 9.95 2.33%
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
01/29/97-03/31/97 0.00 0.00 0.00 (0.08) 9.93 0.15
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
Class B
09/30/97 (a) 0.00 0.00 0.00 (0.18) 9.95 2.07
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
01/29/97-03/31/97 0.00 0.00 0.00 (0.06) 9.93 (0.08)
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
Class C
09/30/97 (a) 0.00 0.00 0.00 (0.19) 9.95 2.17
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
01/29/97-03/31/97 0.00 0.00 0.00 (0.06) 9.93 (0.07)
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
Low Duration Fund
Class A
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 10.20 5.17%
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
01/13/97-03/31/97 0.00 0.00 0.00 (0.13) 9.98 0.85
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
Class B
09/30/97 (a) 0.00 0.00 0.00 (0.25) 10.20 4.77
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
01/13/97-03/31/97 0.00 0.00 0.00 (0.11) 9.98 0.68
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
Class C
09/30/97 (a) 0.00 0.00 0.00 (0.26) 10.20 4.91
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
01/13/97-03/31/97 0.00 0.00 0.00 (0.12) 9.98 0.75
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
Short-Term Fund
Class A
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 10.08 3.71%
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
01/20/97-03/31/97 0.00 0.00 0.00 (0.11) 10.00 0.66
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
Class B
09/30/97 (a) 0.00 0.00 0.00 (0.26) 10.08 3.44
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
01/20/97-03/31/97 0.00 0.00 0.00 (0.10) 10.00 0.58
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
Class C
09/30/97 (a) 0.00 0.00 0.00 (0.27) 10.08 3.56
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
01/20/97-03/31/97 0.00 0.00 0.00 (0.10) 10.00 0.63
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
Money Market Fund
Class A
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.03) $ 1.00 2.52%
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
01/13/97-03/31/97 0.00 0.00 0.00 (0.01) 1.00 1.01
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
Class B
09/30/97 (a) 0.00 0.00 0.00 (0.02) 1.00 2.09
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
01/13/97-03/31/97 0.00 0.00 0.00 (0.01) 1.00 0.83
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
Class C
09/30/97 (a) 0.00 0.00 0.00 (0.03) 1.00 2.52
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
01/13/97-03/31/97 0.00 0.00 0.00 (0.01) 1.00 1.02
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
StocksPLUS Fund
Class A
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.30) $ 14.17 26.38%
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
01/20/97-03/31/97 0.00 0.00 0.00 (0.15) 11.46 (2.59)
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
Class B
09/30/97 (a) 0.00 0.00 0.00 (0.27) 14.14 26.01
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
01/20/97-03/31/97 0.00 0.00 0.00 (0.14) 11.44 (2.81)
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
Class C
09/30/97 (a) 0.00 0.00 0.00 (0.28) 14.15 26.08
- -------------------------- ------------ ------------- ----------- --------------- ------------ -------------
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
Expenses to Income to
Net Assets End Average Net Average Net Portfolio
of Period (000s) Assets Assets Turnover Rate
---------------- ------------- ------------- ---------------
<S> <C> <C> <C> <C>
- -------------------------- ---------------- ------------- ------------- ---------------
Real Return Bond Fund
Class A
09/30/97 (a) $ 652 0.91%+ 4.20%+ 341%
- -------------------------- ---------------- ------------- ------------- ---------------
01/29/97-03/31/97 1 0.90+ 6.14+ 160
- -------------------------- ---------------- ------------- ------------- ---------------
Class B
09/30/97 (a) 926 1.66+ 3.59+ 341
- -------------------------- ---------------- ------------- ------------- ---------------
01/29/97-03/31/97 509 1.59+ 3.43+ 160
- -------------------------- ---------------- ------------- ------------- ---------------
Class C
09/30/97 (a) 508 1.41+(h) 3.85+(l) 341
- -------------------------- ---------------- ------------- ------------- ---------------
01/29/97-03/31/97 148 1.62+ 5.13+ 160
- -------------------------- ---------------- ------------- ------------- ---------------
Low Duration Fund
Class A
09/30/97 (a) $72,176 0.90%+ 5.66%+ 132%
- -------------------------- ---------------- ------------- ------------- ---------------
01/13/97-03/31/97 59,348 0.91+ 5.84+ 240
- -------------------------- ---------------- ------------- ------------- ---------------
Class B
09/30/97 (a) 8,487 1.65+ 4.95+ 132
- -------------------------- ---------------- ------------- ------------- ---------------
01/13/97-03/31/97 6,296 1.67+ 5.03+ 240
- -------------------------- ---------------- ------------- ------------- ---------------
Class C
09/30/97 (a) 59,625 1.40+ 5.32+ 132
- -------------------------- ---------------- ------------- ------------- ---------------
01/13/97-03/31/97 63,606 1.42+ 5.36+ 240
- -------------------------- ---------------- ------------- ------------- ---------------
Short-Term Fund
Class A
09/30/97 (a) $ 7,554 0.85%+ 5.57%+ 24%
- -------------------------- ---------------- ------------- ------------- ---------------
01/20/97-03/31/97 2,533 0.86+ 5.07+ 77
- -------------------------- ---------------- ------------- ------------- ---------------
Class B
09/30/97 (a) 609 1.60+ 4.95+ 24
- -------------------------- ---------------- ------------- ------------- ---------------
01/20/97-03/31/97 114 1.62+ 4.83+ 77
- -------------------------- ---------------- ------------- ------------- ---------------
Class C
09/30/97 (a) 3,721 1.15+(i) 5.31+(m) 24
- -------------------------- ---------------- ------------- ------------- ---------------
01/20/97-03/31/97 1,359 1.14+ 4.78+ 77
- -------------------------- ---------------- ------------- ------------- ---------------
Money Market Fund
Class A
09/30/97 (a) $44,690 0.60%+(j) 5.05%+(n) N/A
- -------------------------- ---------------- ------------- ------------- ---------------
01/13/97-03/31/97 43,589 0.57+ 4.44+ N/A
- -------------------------- ---------------- ------------- ------------- ---------------
Class B
09/30/97 (a) 2,584 1.50+ 4.12+ N/A
- -------------------------- ---------------- ------------- ------------- ---------------
01/13/97-03/31/97 3,143 1.41+ 3.62+ N/A
- -------------------------- ---------------- ------------- ------------- ---------------
Class C
09/30/97 (a) 59,700 0.60+(j) 5.04+(o) N/A
- -------------------------- ---------------- ------------- ------------- ---------------
01/13/97-03/31/97 85,398 0.58+ 4.47+ N/A
- -------------------------- ---------------- ------------- ------------- ---------------
StocksPLUS Fund
Class A
09/30/97 (a) $34,474 1.05%+ 5.21%+ 14%
- -------------------------- ---------------- ------------- ------------- ---------------
01/20/97-03/31/97 5,790 1.10+ (10.69)+ 47
- -------------------------- ---------------- ------------- ------------- ---------------
Class B
09/30/97 (a) 44,617 1.80+ 13.95+ 14
- -------------------------- ---------------- ------------- ------------- ---------------
01/20/97-03/31/97 8,281 1.88+ (15.13)+ 47
- -------------------------- ---------------- ------------- ------------- ---------------
Class C
09/30/97 (a) 51,686 1.55+(k) 14.27+(p) 14
- -------------------------- ---------------- ------------- ------------- ---------------
01/20/97-03/31/97 11,254 1.65+ (12.79)+ 47
- -------------------------- ---------------- ------------- ------------- ---------------
</TABLE>
(h) The Ratio of Expenses to Average Net Assets without the waiver would have
been 1.66%.
(i) The Ratio of Expenses to Average Net Assets without the waiver would have
been 1.60%.
(j) The Ratio of Expenses to Average Net Assets without the waiver would have
been 0.70%.
(k) The Ratio of Expenses to Average Net Assets without the waiver would have
been 1.80%.
(l) The Ratio of Net Investment Income to Average Net Assets without the waiver
would have been 3.60%.
(m) The Ratio of Net Investment Income to Average Net Assets without the waiver
would have been 4.86%.
(n) The Ratio of Net Investment Income to Average Net Assets without the waiver
would have been 4.95%.
(o) The Ratio of Net Investment Income to Average Net Assets without the waiver
would have been 4.94%.
(p) The Ratio of Net Investment Income to Average Net Assets without the waiver
would have been 14.02%.
See accompanying notes 63
<PAGE>
Financial Highlights
Institutional and Administrative Classes
Selected Per Share Data
for the Period Ended:
<TABLE>
<CAPTION>
Net Asset Net Realized Dividends Dividends in
Value Net and Unrealized Total Income From Net Excess of Net
Beginning Investment Gain (Loss) on From Investment Investment Investment
of Period Income Investments Operations Income Income
--------- ---------- -------------- --------------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C>
Long-Term U.S. Government Fund
Institutional Class
09/30/97 (a) $ 9.39 $ 0.31(b) $ 0.75(b) $ 1.06 $ (0.31) $ 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/97 9.96 0.79 (0.35) 0.44 (0.68) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/96 9.85 0.83 0.66 1.49 (0.68) (0.04)
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/95 9.96 0.60 (0.09) 0.51 (0.60) (0.02)
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/94 11.36 0.62 (0.06) 0.56 (1.05) (0.04)
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/93 10.82 0.70 1.66 2.36 (0.70) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
Administrative Class
09/23/97 - 09/30/97 (a) 10.17 0.01(b) (0.03)(b) (0.02) (0.01) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
Foreign Bond Fund
Institutional Class
09/30/97 (a) $ 10.41 $ 0.23(b) $ 0.48(b) $ 0.71 $ (0.23) $ 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/97 10.50 0.80 1.00 1.80 (0.40) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/96 9.38 0.96 1.03 1.99 (0.34) (0.25)
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/95 10.18 0.38 (0.57) (0.19) 0.00 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/94 10.34 0.55 0.27 0.82 (0.55) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
12/03/92-03/31/93 10.00 0.16 0.34 0.50 (0.16) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
Administrative Class
09/30/97 (a) 10.41 0.22(b) 0.47(b) 0.69 (0.21) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
01/28/97-03/31/97 10.54 0.59 (0.67) (0.08) (0.05) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
Emerging Markets Bond Fund
Institutional Class
07/31/97-09/30/97 (a) $ 10.00 $ 0.11(b) $ 0.04(b) $ 0.15 $ (0.11) $ 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
High Yield Fund
Institutional Class
09/30/97 (a) $ 11.10 $ 0.51(b) $ 0.52(b) $ 1.03 $ (0.51) $ 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/97 10.94 0.92 0.34 1.26 (0.97) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/96 10.42 1.04 0.54 1.58 (1.01) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/95 10.52 0.99 (0.12) 0.87 (0.93) (0.02)
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/94 10.41 0.90 0.18 1.08 (0.90) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
12/16/92-03/31/93 10.00 0.24 0.41 0.65 (0.24) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
Administrative Class
09/30/97 (a) 11.10 0.50(b) 0.51(b) 1.01 (0.49) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/97 10.94 0.85(b) 0.38(b) 1.23 (0.94) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/96 10.41 1.02(b) 0.54(b) 1.56 (0.98) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
01/16/95-03/31/95 10.14 0.23 0.25 0.48 (0.21) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
Total Return Fund
Institutional Class
09/30/97 (a) $ 10.27 $ 0.33(b) $ 0.46(b) $ 0.79 $ (0.33) $ 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/97 10.29 0.68 (0.02) 0.66 (0.66) (0.02)
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/96 10.02 0.81 0.29 1.10 (0.61) (0.10)
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/95 10.25 0.64 (0.24) 0.40 (0.56) (0.05)
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/94 10.91 0.68 (0.16) 0.52 (0.71) (0.15)
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/93 10.46 0.76 0.76 1.52 (0.76) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
Administrative Class
09/30/97 (a) 10.27 0.32(b) 0.46(b) 0.78 (0.32) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/97 10.29 0.66(b) (0.02)(b) 0.64 (0.64) (0.02)
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
03/31/96 10.01 0.80 0.29 1.09 (0.60) (0.09)
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
09/07/94-03/31/95 10.00 0.31 0.06 0.37 (0.32) (0.03)
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
Real Return Bond Fund
Institutional Class
09/30/97 (a) $ 9.93 $ 0.24(b) $ 0.02(b) $ 0.26 $ (0.24) $ 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
01/29/97-03/31/97 9.92 0.11 (0.02) 0.09 (0.08) 0.00
- ----------------------------------- --------- ---------- -------------- --------------- ---------- -------------
</TABLE>
+ Annualized
(a) Unaudited
(b) Per share amounts based on average number of shares outstanding
during the period.
64 See accompanying notes
<PAGE>
Financial Highlights
Institutional and Administrative Classes
Selected Per Share Data
for the Period Ended:
<TABLE>
<CAPTION>
Distributions 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
------------- ------------- --------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Long-Term U.S. Government Fund
Institutional Class
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 10.14
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/97 0.00 (0.33) 0.00 (1.01) 9.39
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/96 (0.50) (0.16) 0.00 (1.38) 9.96
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/95 0.00 0.00 0.00 (0.62) 9.85
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/94 (0.70) (0.17) 0.00 (1.96) 9.96
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/93 (1.12) 0.00 0.00 (1.82) 11.36
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
Administrative Class
09/23/97 - 09/30/97 (a) 0.00 0.00 0.00 (0.01) 10.14
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
Foreign Bond Fund
Institutional Class
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.23) $ 10.89
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/97 (1.49) 0.00 0.00 (1.89) 10.41
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/96 (0.25) (0.03) 0.00 (0.87) 10.50
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/95 0.00 0.00 (0.61) (0.61) 9.38
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/94 (0.06) (0.37) 0.00 (0.98) 10.18
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
12/03/92-03/31/93 0.00 0.00 0.00 (0.16) 10.34
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
Administrative Class
09/30/97 (a) 0.00 0.00 0.00 (0.21) 10.89
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
01/28/97-03/31/97 0.00 0.00 0.00 (0.05) 10.41
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
Emerging Markets Bond Fund
Institutional Class
07/31/97-09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.11) $ 10.04
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
High Yield Fund
Institutional Class
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.51) $ 11.62
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/97 (0.13) 0.00 0.00 (1.10) 11.10
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/96 (0.05) 0.00 0.00 (1.06) 10.94
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/95 0.00 (0.02) 0.00 (0.97) 10.42
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/94 (0.07) 0.00 0.00 (0.97) 10.52
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
12/16/92-03/31/93 0.00 0.00 0.00 (0.24) 10.41
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
Administrative Class
09/30/97 (a) 0.00 0.00 0.00 (0.49) 11.62
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/97 (0.13) 0.00 0.00 (1.07) 11.10
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/96 (0.05) 0.00 0.00 (1.03) 10.94
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
01/16/95-03/31/95 0.00 0.00 0.00 (0.21) 10.41
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
Total Return Fund
Institutional Class
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.33) $ 10.73
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/97 0.00 0.00 0.00 (0.68) 10.27
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/96 (0.12) 0.00 0.00 (0.83) 10.29
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/95 0.00 0.00 (0.02) (0.63) 10.02
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/94 (0.30) (0.02) 0.00 (1.18) 10.25
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/93 (0.31) 0.00 0.00 (1.07) 10.91
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
Administrative Class
09/30/97 (a) 0.00 0.00 0.00 (0.32) 10.73
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/97 0.00 0.00 0.00 (0.66) 10.27
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
03/31/96 (0.12) 0.00 0.00 (0.81) 10.29
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
09/07/94-03/31/95 0.00 0.00 (0.01) (0.36) 10.01
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
Real Return Bond Fund
Institutional Class
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.24) $ 9.95
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
01/29/97-03/31/97 0.00 0.00 0.00 (0.08) 9.93
- ---------------------------------------- ------------- ------------- --------- ------------- -------------
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income to
Net Assets End Average Net Average Net Portfolio
Total Return of Period (000s) Assets Assets Turnover Rate
------------ ---------------- ------------- ------------ -------------
<S> <C> <C> <C> <C> <C>
Long-Term U.S. Government Fund
Institutional Class
09/30/97 (a) 11.40% $ 34,856 0.50%+ 6.26%+ 150%
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/97 4.48 19,995 0.63 7.63 402
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/96 14.83 32,511 0.56 6.80 238
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/95 5.50 32,349 0.50 6.62 89
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/94 4.13 25,978 0.50 5.37 98
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/93 23.42 22,946 0.50 6.16 320
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
Administrative Class
09/23/97 - 09/30/97 (a) (0.18) 3,322 0.75+ 5.69%+ 150
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
Foreign Bond Fund
Institutional Class
09/30/97 (a) 6.88% $ 312,524 0.50%+ 4.39%+ 64%
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/97 17.69 234,880 0.50 7.88 984
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/96 21.80 258,493 0.52 5.83 1,234
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/95 (1.85) 232,700 0.47 6.44 299
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/94 7.79 498,521 0.54 5.12 260
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
12/03/92-03/31/93 16.23+ 178,895 0.65+ 4.97+ 123
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
Administrative Class
09/30/97 (a) 6.73 239 0.75+ 4.14+ 64
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
01/28/97-03/31/97 (0.72) 30 0.79+ 7.63+ 984
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
Emerging Markets Bond Fund
Institutional Class
07/31/97-09/30/97 (a) 1.56% $ 3,453 0.85%+ 7.12%+ 312%
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
High Yield Fund
Institutional Class
09/30/97 (a) 9.40% $ 1,080,857 0.50%+ 8.94%+ 17%
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/97 12.04 744,498 0.50 8.77 67
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/96 15.70 536,983 0.47 9.28 66
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/95 8.81 336,310 0.48 9.37 78
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/94 10.65 219,976 0.50 8.40 112
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
12/16/92-03/31/93 24.43+ 24,069 0.50+ 8.24+ 30
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
Administrative Class
09/30/97 (a) 9.27 23,565 0.75+ 8.76+ 17
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/97 11.76 10,428 0.76 8.48 67
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/96 15.54 1,007 0.80+ 9.16+ 66
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
01/16/95-03/31/95 4.66 41 0.73+ 10.12+ 78
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
Total Return Fund
Institutional Class
09/30/97 (a) 7.77% $ 4,126,441 0.43%+ 6.22%+ 85%
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/97 6.60 2,528,536 0.43 6.60 173
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/96 11.14 10,247,605 0.42 6.85 221
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/95 4.22 7,239,735 0.41 6.72 98
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/94 4.55 5,008,160 0.41 6.27 177
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/93 15.29 3,155,441 0.43 7.07 90
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
Administrative Class
09/30/97 (a) 7.63 228,074 0.68+ 5.96+ 85
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/97 6.34 151,194 0.68 6.35 173
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
03/31/96 10.99 104,618 0.68 6.64 221
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
09/07/94-03/31/95 3.76 9,037 0.66+ 6.54+ 98
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
Real Return Bond Fund
Institutional Class
09/30/97 (a) 2.66% $ 6,073 0.51%+ 4.85%+ 341%
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
01/29/97-03/31/97 0.09 5,638 0.51+ 6.54+ 160
- ---------------------------------------- ------------ ---------------- ------------- ------------ -------------
</TABLE>
See accompanying notes 65
<PAGE>
Financial Highlights
Institutional and Administrative Classes (Cont.)
Selected Per Share Data
for the Period Ended:
<TABLE>
<CAPTION>
Net Asset Net Realized Dividends Dividends in
Value Net and Unrealized Total Income From Net Excess of Net
Beginning Investment Gain (Loss) on From Investment Investment Investment
of Period Income Investments Operations Income Income
--------------- --------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Low Duration Fund
Institutional Class
09/30/97 (a) $ 9.98 $ 0.31(b) $ 0.22(b) $ 0.53 $ (0.31) $ 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/97 9.95 0.64 0.03 0.67 (0.63) (0.01)
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/96 9.76 0.66 0.21 0.87 (0.68) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/95 10.04 0.65 (0.30) 0.35 (0.54) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/94 10.30 0.62 (0.16) 0.46 (0.64) (0.03)
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/93 10.20 0.75 0.22 0.97 (0.74) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
Administrative Class
09/30/97 (a) 9.98 0.30(b) 0.22(b) 0.52 (0.30) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/97 9.95 0.62 0.03 0.65 (0.60) (0.02)
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/96 9.76 0.63 0.21 0.84 (0.65) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
12/31/94-03/31/95 9.67 0.18 0.07 0.25 (0.14) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
Short-Term Fund
Institutional Class
09/30/97 (a) $ 10.00 $ 0.31(b) $ 0.08(b) $ 0.39 $ (0.31) $ 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/97 9.92 0.61 0.08 0.69 (0.59) (0.02)
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/96 9.79 0.69 0.12 0.81 (0.65) (0.03)
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/95 9.92 0.56 (0.13) 0.43 (0.55) (0.01)
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/94 10.03 0.48 (0.12) 0.36 (0.47) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/93 10.01 0.37 0.02 0.39 (0.37) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
Administrative Class
09/30/97 (a) 10.00 0.30(b) 0.07(b) 0.37 (0.29) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/97 9.92 0.58 0.08 0.66 (0.57) (0.01)
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
02/01/96-03/31/96 9.98 0.11 (0.07) 0.04 (0.10) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
Money Market Fund
Institutional Class
09/30/97 (a) $ 1.00 $ 0.03(b) $ 0.00(b) $ 0.03 $ (0.03) $ 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/97 1.00 0.05 0.00 0.05 (0.05) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
11/01/95-03/31/96 1.00 0.02 0.00 0.02 (0.02) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
10/31/95 1.00 0.06 0.00 0.06 (0.06) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
10/31/94 1.00 0.03 0.00 0.03 (0.03) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
10/31/93 1.00 0.03 0.00 0.03 (0.03) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
10/31/92 1.00 0.04 0.00 0.04 (0.04) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
Administrative Class
09/30/97 (a) 1.00 0.03(b) 0.00(b) 0.03 (0.03) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/97 1.00 0.05 0.00 0.05 (0.05) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
11/01/95-03/31/96 1.00 0.02 0.00 0.02 (0.02) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
01/24/95-10/31/95(b) 1.00 0.05 0.00 0.05 (0.05) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
StocksPLUS Fund
Institutional Class
09/30/97 (a) $ 11.46 $ 1.16(b) $ 1.89(b) $ 3.05 $ (0.32) $ 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/97 11.16 1.27 0.82 2.09 (1.27) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/96 10.48 0.91 2.48 3.39 (1.05) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
03/31/95 9.52 1.03 0.69 1.72 (0.76) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
05/14/93-03/31/94 10.00 0.34 0.10 0.44 (0.34) (0.01)
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
Administrative Class
09/30/97 (a) 11.46 1.12(b) 1.89(b) 3.01 (0.30) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
01/07/97-03/31/97 11.56 0.14 (0.09) 0.05 (0.15) 0.00
- ---------------------- --------------- --------------- --------------- --------------- --------------- ---------------
</TABLE>
+ Annualized
(a) Unaudited
(b) Per share amounts based on average number of shares outstanding during the
period.
66 See accompanying notes
<PAGE>
Financial Highlights
Institutional and Administrative Classes (Cont.)
Selected Per Share Data
for the Period Ended:
<TABLE>
<CAPTION>
Distributions 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
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Low Duration Fund
Institutional Class
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 10.20
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/97 0.00 0.00 0.00 (0.64) 9.98
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/96 0.00 0.00 0.00 (0.68) 9.95
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/95 0.00 0.00 (0.09) (0.63) 9.76
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/94 (0.05) 0.00 0.00 (0.72) 10.04
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/93 (0.13) 0.00 0.00 (0.87) 10.30
- ------------------------------ ------------- ------------- ------------- ------------- -------------
Administrative Class
09/30/97 (a) 0.00 0.00 0.00 (0.30) 10.20
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/97 0.00 0.00 0.00 (0.62) 9.98
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/96 0.00 0.00 0.00 (0.65) 9.95
- ------------------------------ ------------- ------------- ------------- ------------- -------------
12/31/94-03/31/95 0.00 0.00 (0.02) (0.16) 9.76
- ------------------------------ ------------- ------------- ------------- ------------- -------------
Short-Term Fund
Institutional Class
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.31) $ 10.08
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/97 0.00 0.00 0.00 (0.61) 10.00
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/96 0.00 0.00 0.00 (0.68) 9.92
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/95 0.00 0.00 0.00 (0.56) 9.79
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/94 0.00 0.00 0.00 (0.47) 9.92
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/93 0.00 0.00 0.00 (0.37) 10.03
- ------------------------------ ------------- ------------- ------------- ------------- -------------
Administrative Class
09/30/97 (a) 0.00 0.00 0.00 (0.29) 10.08
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/97 0.00 0.00 0.00 (0.58) 10.00
- ------------------------------ ------------- ------------- ------------- ------------- -------------
02/01/96-03/31/96 0.00 0.00 0.00 (0.10) 9.92
- ------------------------------ ------------- ------------- ------------- ------------- -------------
Money Market Fund
Institutional Class
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.03) $ 1.00
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/97 0.00 0.00 0.00 (0.05) 1.00
- ------------------------------ ------------- ------------- ------------- ------------- -------------
11/01/95-03/31/96 0.00 0.00 0.00 (0.02) 1.00
- ------------------------------ ------------- ------------- ------------- ------------- -------------
10/31/95 0.00 0.00 0.00 (0.06) 1.00
- ------------------------------ ------------- ------------- ------------- ------------- -------------
10/31/94 0.00 0.00 0.00 (0.03) 1.00
- ------------------------------ ------------- ------------- ------------- ------------- -------------
10/31/93 0.00 0.00 0.00 (0.03) 1.00
- ------------------------------ ------------- ------------- ------------- ------------- -------------
10/31/92 0.00 0.00 0.00 (0.04) 1.00
- ------------------------------ ------------- ------------- ------------- ------------- -------------
Administrative Class
09/30/97 (a) 0.00 0.00 0.00 (0.03) 1.00
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/97 0.00 0.00 0.00 (0.05) 1.00
- ------------------------------ ------------- ------------- ------------- ------------- -------------
11/01/95-03/31/96 0.00 0.00 0.00 (0.02) 1.00
- ------------------------------ ------------- ------------- ------------- ------------- -------------
01/24/95-10/31/95 (b) 0.00 0.00 0.00 (0.05) 1.00
- ------------------------------ ------------- ------------- ------------- ------------- -------------
StocksPLUS Fund
Institutional Class
09/30/97 (a) $ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 14.19
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/97 (0.52) 0.00 0.00 (1.79) 11.46
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/96 (1.62) (0.04) 0.00 (2.71) 11.16
- ------------------------------ ------------- ------------- ------------- ------------- -------------
03/31/95 0.00 0.00 0.00 (0.76) 10.48
- ------------------------------ ------------- ------------- ------------- ------------- -------------
05/14/93-03/31/94 (0.10) (0.47) 0.00 (0.92) 9.52
- ------------------------------ ------------- ------------- ------------- ------------- -------------
Administrative Class
09/30/97 (a) 0.00 0.00 0.00 (0.30) 14.17
- ------------------------------ ------------- ------------- ------------- ------------- -------------
01/07/97-03/31/97 0.00 0.00 0.00 (0.15) 11.46
- ------------------------------ ------------- ------------- ------------- ------------- -------------
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income to
Net Assets End Average Net Average Net Portfolio
Total Return of Period (000s) Assets Assets Turnover Rate
---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
Low Duration Fund
Institutional Class
09/30/97 (a) 5.41% $2,797,292 0.43%+ 6.19%+ 132%
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/97 6.97 2,797,001 0.43 6.46 240
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/96 9.13 2,677,574 0.42 6.88 209
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/95 3.60 2,332,032 0.41 6.46 77
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/94 4.56 2,298,255 0.43 6.05 43
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/93 9.91 1,403,594 0.45 7.21 68
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Administrative Class
09/30/97 (a) 5.28 26,266 0.68+ 5.94+ 132
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/97 6.71 23,564 0.68 6.21 240
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/96 8.83 2,536 0.69 6.73 209
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
12/31/94-03/31/95 2.53 771 0.66+ 6.93+ 77
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Short-Term Fund
Institutional Class
09/30/97 (a) 3.91% $ 172,603 0.45%+ 6.13%+ 24%
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/97 7.12 156,515 0.47 6.12 77
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/96 8.49 101,797 0.58 6.86 215
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/95 4.46 90,114 0.50 5.67 79
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/94 3.66 73,176 0.50 4.87 46
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/93 3.94 46,905 0.50 3.67 55
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Administrative Class
09/30/97 (a) 3.79 4,678 0.70+ 5.92+ 24
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/97 6.86 4,513 0.72 5.87 77
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
02/01/96-03/31/96 0.41 3,999 0.52+ 4.44+ 215
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Money Market Fund
Institutional Class
09/30/97 (a) 2.66% $ 37,641 0.35%+ 5.28%+ N/A
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/97 5.19 23,497 0.40 5.08 N/A
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
11/01/95-03/31/96 2.58 25,935 0.33+ 5.44+ N/A
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
10/31/95 5.67 7,741 0.40 5.53 N/A
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
10/31/94 3.53 7,454 0.40 3.52 N/A
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
10/31/93 2.83 5,836 0.40 2.78 N/A
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
10/31/92 3.85 7,817 0.40 4.02 N/A
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Administrative Class
09/30/97 (a) 2.48 645 0.60+ 5.13+ N/A
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/97 4.94 12 0.66 4.83 N/A
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
11/01/95-03/31/96 2.47 10 0.61+ 5.95+ N/A
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/24/95-10/31/95 (b) 4.21 10 0.68+ 5.94+ N/A
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
StocksPLUS Fund
Institutional Class
09/30/97 (a) 26.68% $ 378,234 0.65%+ 17.21%+ 14%
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/97 19.44 235.829 0.65 11.78 47
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/96 34.07 151,869 0.70 15.23 102
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
03/31/95 18.64 46,498 0.50 11.89 177
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
05/14/93-03/31/94 1.55 14,330 0.50+ 4.00+ 33
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
Administrative Class
09/30/97 (a) 26.20 1,135 0.90+ 16.96+ 14
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
01/07/97-03/31/97 0.34 682 0.95+ 4.83+ 47
- ------------------------------- ---------------- ---------------- ---------------- ---------------- ----------------
</TABLE>
See accompanying notes 67
<PAGE>
Statement of Assets and Liabilities
September 30, 1997 (Unaudited)
$ in thousands
<TABLE>
<CAPTION>
Emerging
Long-Term U.S. Foreign Global Markets
Gov't Fund Bond Fund Bond Fund II Bond Fund
-------------- --------- ------------ ---------
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 52,447 $ 593,136 $ 28,452 $ 6,359
- ----------------------------------------------------- -------------- --------- ------------ ---------
Cash and foreign currency 0 1,219 41 6
- ----------------------------------------------------- -------------- --------- ------------ ---------
Receivable for investments and foreign currency sold 24,350 55,540 4,406 3
- ----------------------------------------------------- -------------- --------- ------------ ---------
Receivable for Fund shares sold 1,827 1,138 3 10
- ----------------------------------------------------- -------------- --------- ------------ ---------
Interest and dividends receivable 498 6,403 492 56
- ----------------------------------------------------- -------------- --------- ------------ ---------
Variation margin receivable 0 28 0 0
- ----------------------------------------------------- -------------- --------- ------------ ---------
Other assets 0 1 3 0
- ----------------------------------------------------- -------------- --------- ------------ ---------
79,122 657,465 33,397 6,434
===================================================== ============== ========= ============ =========
Liabilities:
Payable for investments and foreign currency purchased $ 19,842 $ 324,502 $ 14,559 $ 2,691
- ----------------------------------------------------- -------------- --------- ------------ ---------
Written options outstanding 0 20 0 6
- ----------------------------------------------------- -------------- --------- ------------ ---------
Payable for Fund shares redeemed 14,773 555 21 0
- ----------------------------------------------------- -------------- --------- ------------ ---------
Dividends payable 92 376 10 0
- ----------------------------------------------------- -------------- --------- ------------ ---------
Accrued investment advisor's fee 10 66 4 1
- ----------------------------------------------------- -------------- --------- ------------ ---------
Accrued administrator's fee 11 69 7 1
- ----------------------------------------------------- -------------- --------- ------------ ---------
Accrued distribution fee 2 9 6 0
- ----------------------------------------------------- -------------- --------- ------------ ---------
Accrued servicing fee 1 4 0 0
- ----------------------------------------------------- -------------- --------- ------------ ---------
Variation margin payable 0 15 4 0
- ----------------------------------------------------- -------------- --------- ------------ ---------
Other liabilities 0 0 0 0
- ----------------------------------------------------- -------------- --------- ------------ ---------
34,731 325,616 14,611 2,699
===================================================== ============== ========= ============ =========
Net Assets $ 44,391 $ 331,849 $ 18,786 $ 3,735
===================================================== ============== ========= ============ =========
Net Assets Consist of:
Paid in capital 43,929 309,493 17,162 3,717
- ----------------------------------------------------- -------------- --------- ------------ ---------
Undistributed (overdistributed) net investment income 443 12,312 697 0
- ----------------------------------------------------- -------------- --------- ------------ ---------
Accumulated undistributed net realized gain (loss) (664) (836) 1,267 (9)
- ----------------------------------------------------- -------------- --------- ------------ ---------
Net unrealized appreciation (depreciation) 683 10,880 (340) 27
- ----------------------------------------------------- -------------- --------- ------------ ---------
$ 44,391 $ 331,849 $ 18,786 $ 3,735
===================================================== ============== ========= ============ =========
Shares Issued and Outstanding
Class A 268 304 769 14
- ----------------------------------------------------- -------------- --------- ------------ ---------
Class B 197 570 393 6
- ----------------------------------------------------- -------------- --------- ------------ ---------
Class C 148 878 487 8
- ----------------------------------------------------- -------------- --------- ------------ ---------
Institutional Classes 3,764 28,707 0 344
- ----------------------------------------------------- -------------- --------- ------------ ---------
Net Asset Value and Redemption Price* Per Share
(Net Assets Per Share Outstanding)
Class A $ 10.14 $ 10.89 $ 11.39 $ 10.04
- ----------------------------------------------------- -------------- --------- ------------ ---------
Class B 10.14 10.89 11.39 10.04
- ----------------------------------------------------- -------------- --------- ------------ ---------
Class C 10.14 10.89 11.39 10.04
- ----------------------------------------------------- -------------- --------- ------------ ---------
Institutional Class 10.14 10.89 0 10.04
- ----------------------------------------------------- -------------- --------- ------------ ---------
Administrative Class 10.14 10.89 0 0.00
- ----------------------------------------------------- -------------- --------- ------------ ---------
Cost of Investments Owned 51,589 588,881 28,315 6,326
===================================================== ============== ========= ============ =========
Cost of Foreign Currency Held 0 1,075 41 4
===================================================== ============== ========= ============ =========
</TABLE>
* With respect to Retail Classes, the redemption price varies by the length of
time shares are held.
68 See accompanying notes
<PAGE>
Statement of Assets and Liabilities
September 30, 1997 (Unaudited)
$ in thousands
<TABLE>
<CAPTION>
High Total Real Return Low Duration
Yield Fund Return Fund Bond Fund Fund
------------ ------------ ----------- -----------
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 1,484,708 $ 16,681,706 $ 13,707 $ 3,885,646
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Cash and foreign currency 1,283 30,106 0 1,534
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Receivable for investments and foreign currency sold 4,687 722,867 3,915 30,115
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Receivable for Fund shares sold 901 23,241 2 5,675
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Interest and dividends receivable 27,337 120,661 65 23,140
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Variation margin receivable 0 0 0 0
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Other assets 0 0 8 0
- ------------------------------------------------------ ------------ ------------ ----------- -----------
1,518,916 17,578,581 17,697 3,946,110
====================================================== ============ ============ =========== ===========
Liabilities:
Payable for investments and foreign currency purchased $ 18,123 $ 2,453,009 $ 9,533 $ 947,007
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Written options outstanding 0 356 0 0
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Payable for Fund shares redeemed 507 47,947 0 31,424
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Dividends payable 2,055 14,275 1 2,567
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Accrued investment advisor's fee 299 3,058 2 616
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Accrued administrator's fee 345 2,323 2 468
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Accrued distribution fee 209 316 0 36
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Accrued servicing fee 77 137 0 28
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Variation margin payable 0 11,299 0 23
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Other liabilities 129 186 0 95
- ------------------------------------------------------ ------------ ------------ ----------- -----------
21,744 2,532,906 9,538 982,264
====================================================== ============ ============ =========== ===========
Net Assets $ 1,497,172 $ 15,045,675 $ 8,159 $ 2,963,846
====================================================== ============ ============ =========== ===========
Net Assets Consist of:
Paid in capital 1,500,639 14,591,210 8,190 2,932,050
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Undistributed (overdistributed) net investment income 1,010 (25,420) 20 (6,991)
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Accumulated undistributed net realized gain (loss) (71,729) 215,245 (20) 6,785
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Net unrealized appreciation (depreciation) 67,252 264,640 (31) 32,002
- ------------------------------------------------------ ------------ ------------ ----------- -----------
$ 1,497,172 $ 15,045,675 $ 8,159 $ 2,963,846
====================================================== ============ ============ =========== ===========
Shares Issued and Outstanding
Class A 4,239 22,472 66 7,078
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Class B 8,661 9,988 93 832
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Class C 20,901 31,971 51 5,848
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Institutional Classes 95,045 1,338,125 610 276,890
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Net Asset Value and Redemption Price* Per Share
(Net Assets Per Share Outstanding)
Class A $ 11.62 $ 10.73 $ 9.95 $ 10.20
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Class B 11.62 10.73 9.95 10.20
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Class C 11.62 10.73 9.95 10.20
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Institutional Class 11.62 10.73 9.95 10.20
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Administrative Class 11.62 10.73 0 10.20
- ------------------------------------------------------ ------------ ------------ ----------- -----------
Cost of Investments Owned 1,417,566 16,490,409 13,774 3,856,645
====================================================== ============ ============ =========== ===========
Cost of Foreign Currency Held 0 10,514 0 0
====================================================== ============ ============ =========== ===========
<CAPTION>
Short-Term Fund Money Market Fund StocksPLUS Fund
--------------- ----------------- ---------------
<S> <C> <C> <C>
Assets:
Investments, at value $ 189,941 $ 100,267 $ 540,574
- ------------------------------------------------------ --------------- ----------------- ---------------
Cash and foreign currency 324 175 68
- ------------------------------------------------------ --------------- ----------------- ---------------
Receivable for investments and foreign currency sold 117 0 564
- ------------------------------------------------------ --------------- ----------------- ---------------
Receivable for Fund shares sold 272 47,729 1,269
- ------------------------------------------------------ --------------- ----------------- ---------------
Interest and dividends receivable 1,780 36 10,996
- ------------------------------------------------------ --------------- ----------------- ---------------
Variation margin receivable 0 0 0
- ------------------------------------------------------ --------------- ----------------- ---------------
Other assets 0 0 1
- ------------------------------------------------------ --------------- ----------------- ---------------
192,434 148,207 553,472
====================================================== =============== ================= ===============
Liabilities:
Payable for investments and foreign currency purchased $ 0 $ 0 $ 8,219
- ------------------------------------------------------ --------------- ----------------- ---------------
Written options outstanding 0 0 0
- ------------------------------------------------------ --------------- ----------------- ---------------
Payable for Fund shares redeemed 3,021 2,455 31,741
- ------------------------------------------------------ --------------- ----------------- ---------------
Dividends payable 171 372 19
- ------------------------------------------------------ --------------- ----------------- ---------------
Accrued investment advisor's fee 39 15 176
- ------------------------------------------------------ --------------- ----------------- ---------------
Accrued administrator's fee 33 31 125
- ------------------------------------------------------ --------------- ----------------- ---------------
Accrued distribution fee 2 2 46
- ------------------------------------------------------ --------------- ----------------- ---------------
Accrued servicing fee 2 8 25
- ------------------------------------------------------ --------------- ----------------- ---------------
Variation margin payable 1 0 2,975
- ------------------------------------------------------ --------------- ----------------- ---------------
Other liabilities 0 64 0
- ------------------------------------------------------ --------------- ----------------- ---------------
3,269 2,947 43,326
====================================================== =============== ================= ===============
Net Assets $ 189,165 $ 145,260 $ 510,146
====================================================== =============== ================= ===============
Net Assets Consist of:
Paid in capital 187,657 145,260 431,852
- ------------------------------------------------------ --------------- ----------------- ---------------
Undistributed (overdistributed) net investment income (193) 0 26,302
- ------------------------------------------------------ --------------- ----------------- ---------------
Accumulated undistributed net realized gain (loss) 652 0 41,170
- ------------------------------------------------------ --------------- ----------------- ---------------
Net unrealized appreciation (depreciation) 1,049 0 10,822
- ------------------------------------------------------ --------------- ----------------- ---------------
$ 189,165 $ 145,260 $ 510,146
====================================================== =============== ================= ===============
Shares Issued and Outstanding
Class A 750 44,690 2,433
- ------------------------------------------------------ --------------- ----------------- ---------------
Class B 60 2,585 3,156
- ------------------------------------------------------ --------------- ----------------- ---------------
Class C 369 59,701 3,652
- ------------------------------------------------------ --------------- ----------------- ---------------
Institutional Classes 17,590 38,286 26,733
- ------------------------------------------------------ --------------- ----------------- ---------------
Net Asset Value and Redemption Price* Per Share
(Net Assets Per Share Outstanding)
Class A $ 10.08 $ 1.00 $ 14.17
- ------------------------------------------------------ --------------- ----------------- ---------------
Class B 10.08 1.00 14.14
- ------------------------------------------------------ --------------- ----------------- ---------------
Class C 10.08 1.00 14.15
- ------------------------------------------------------ --------------- ----------------- ---------------
Institutional Class 10.08 1.00 14.19
- ------------------------------------------------------ --------------- ----------------- ---------------
Administrative Class 10.08 1.00 14.17
- ------------------------------------------------------ --------------- ----------------- ---------------
Cost of Investments Owned 189,082 100,267 538,009
====================================================== =============== ================= ===============
Cost of Foreign Currency Held 0 0 0
====================================================== =============== ================= ===============
</TABLE>
* With respect to Retail Classes, the redemption price varies by the length of
time shares are held.
See accompanying notes 69
<PAGE>
Statement of Operations
For the period ended September 30, 1997 (Unaudited)
$ in thousands
<TABLE>
<CAPTION>
Emerging
Long-Term U.S. Foreign Global Markets
Gov't Fund Bond Fund Bond Fund II Bond Fund
-------------- --------- ------------ ---------
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 1,186 $ 6,754 $ 520 $ 45
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Dividends 0 0 0 0
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Total Income 1,186 6,754 520 45
================================================================= ============== ========= ============ =========
Expenses:
Investment advisory fees 44 344 24 3
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Administration fees 47 355 43 2
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Distribution fees - Class B 4 12 16 0
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Distribution fees - Class C 4 20 21 0
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Servicing fees - Class A 2 2 12 0
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Servicing fees - Class B 1 4 5 0
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Servicing fees - Class C 1 7 7 0
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Distribution Fees - Administrative Class 0 0 0 0
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Trustees' fees 0 2 0 0
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Reorganization costs 0 0 0 0
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Custodian and transfer agent fees 0 0 0 0
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Registration fees 0 0 0 0
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Miscellaneous 0 0 0 0
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Total expenses 103 746 128 5
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Net Investment Income 1,083 6,008 392 40
================================================================= ============== ========= ============ =========
Net Realized and Unrealized Gain (Loss):
Net realized gain on investments 840 1,039 283 0
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Net realized gain (loss) on futures contracts and written options 522 667 270 (1)
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Net realized gain (loss) on foreign currency transactions 0 (1,043) 545 (7)
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Net change in unrealized appreciation (depreciation) on
investments 1,055 4,476 455 33
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Net change in unrealized appreciation (depreciation)
on futures contracts and written options 36 416 57 (3)
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Net change in unrealized appreciation (depreciation) on
translation of assets and liabilities denominated in foreign
currencies 0 6,953 (614) (3)
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Net gain 2,453 12,508 996 19
- ----------------------------------------------------------------- -------------- --------- ------------ ---------
Net Increase in Assets Resulting from Operations $ 3,536 $ 18,516 $ 1,388 $ 59
================================================================= ============== ========= ============ =========
</TABLE>
70 See accompanying notes
<PAGE>
Statement of Operations
For the period ended September 30, 1997 (Unaudited)
$ in thousands
<TABLE>
<CAPTION>
High Total Real Return Low Duration
Yield Fund Return Fund Bond Fund Fund
---------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 53,107 $ 476,771 $ 204 $ 97,276
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Dividends 3,283 561 0 0
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Total Income 56,390 477,332 204 97,276
============================================================ ========== =========== =========== ============
Expenses:
Investment advisory fees 1,497 17,946 10 3,668
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Administration fees 1,749 13,578 11 2,783
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Distribution fees - Class B 288 330 3 25
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Distribution fees - Class C 833 1,254 1 148
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Servicing fees - Class A 46 219 1 80
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Servicing fees - Class B 96 110 1 8
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Servicing fees - Class C 278 418 1 73
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Distribution Fees - Administrative Class 18 229 0 33
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Trustees' fees 9 109 0 23
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Reorganization costs 1 0 0 0
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Custodian and transfer agent fees 0 0 0 0
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Registration fees 0 0 0 0
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Miscellaneous 2 124 0 36
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Total expenses 4,817 34,317 28 6,877
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Net Investment Income 51,573 443,015 176 90,399
============================================================ ========== =========== =========== ============
Net Realized and Unrealized Gain (Loss):
Net realized gain on investments 6,591 51,657 (38) 12,352
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Net realized gain (loss) on futures contracts and written
options 0 203,941 0 3,576
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Net realized gain (loss) on foreign currency transactions 0 22,817 21 263
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Net change in unrealized appreciation (depreciation) on
investments 45,087 235,342 46 48,872
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Net change in unrealized appreciation (depreciation)
on futures contracts and written options 0 106,430 0 (2,504)
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Net change in unrealized appreciation (depreciation) on
translation of assets and liabilities denominated in
foreign currencies 0 (6,124) (10) (484)
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Net gain 51,678 614,063 19 62,075
- ------------------------------------------------------------ ---------- ----------- ----------- ------------
Net Increase in Assets Resulting from Operations $ 103,251 $ 1,057,078 $ 195 $ 152,474
============================================================ ========== =========== =========== ============
<CAPTION>
Short-Term Fund Money Market Fund StocksPLUS Fund
--------------- ----------------- ---------------
<S> <C> <C> <C>
Investment Income:
Interest $ 6,185 $ 3,675 $ 36,816
- ------------------------------------------------------------ --------------- ----------------- ---------------
Dividends 0 0 0
- ------------------------------------------------------------ --------------- ----------------- ---------------
Total Income 6,185 3,675 36,816
============================================================ =============== ================= ===============
Expenses:
Investment advisory fees 235 98 839
- ------------------------------------------------------------ --------------- ----------------- ---------------
Administration fees 195 201 582
- ------------------------------------------------------------ --------------- ----------------- ---------------
Distribution fees - Class B 1 10 95
- ------------------------------------------------------------ --------------- ----------------- ---------------
Distribution fees - Class C 4 0 80
- ------------------------------------------------------------ --------------- ----------------- ---------------
Servicing fees - Class A 9 15 24
- ------------------------------------------------------------ --------------- ----------------- ---------------
Servicing fees - Class B 0 3 32
- ------------------------------------------------------------ --------------- ----------------- ---------------
Servicing fees - Class C 3 31 40
- ------------------------------------------------------------ --------------- ----------------- ---------------
Distribution Fees - Administrative Class 4 0 1
- ------------------------------------------------------------ --------------- ----------------- ---------------
Trustees' fees 1 1 3
- ------------------------------------------------------------ --------------- ----------------- ---------------
Reorganization costs 0 0 1
- ------------------------------------------------------------ --------------- ----------------- ---------------
Custodian and transfer agent fees 0 0 0
- ------------------------------------------------------------ --------------- ----------------- ---------------
Registration fees 0 0 0
- ------------------------------------------------------------ --------------- ----------------- ---------------
Miscellaneous 0 2 0
- ------------------------------------------------------------ --------------- ----------------- ---------------
Total expenses 452 361 1,697
- ------------------------------------------------------------ --------------- ----------------- ---------------
Net Investment Income 5,733 3,314 35,119
============================================================ =============== ================= ===============
Net Realized and Unrealized Gain (Loss):
Net realized gain on investments 47 0 143
- ------------------------------------------------------------ --------------- ----------------- ---------------
Net realized gain (loss) on futures contracts and written
options 11 0 28,324
- ------------------------------------------------------------ --------------- ----------------- ---------------
Net realized gain (loss) on foreign currency transactions 389 0 714
- ------------------------------------------------------------ --------------- ----------------- ---------------
Net change in unrealized appreciation (depreciation) on
investments 1,052 0 2,342
- ------------------------------------------------------------ --------------- ----------------- ---------------
Net change in unrealized appreciation (depreciation)
on futures contracts and written options 26 0 19,187
- ------------------------------------------------------------ --------------- ----------------- ---------------
Net change in unrealized appreciation (depreciation) on
translation of assets and liabilities denominated in
foreign currencies (135) 0 (263)
- ------------------------------------------------------------ --------------- ----------------- ---------------
Net gain 1,390 0 50,447
- ------------------------------------------------------------ --------------- ----------------- ---------------
Net Increase in Assets Resulting from Operations $ 7,123 $ 3,314 $ 85,566
============================================================ =============== ================= ===============
</TABLE>
See accompanying notes 71
<PAGE>
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
$ in thousands Long-Term U.S. Gov't Fund Foreign Bond Fund
---------------------------------- ----------------------------------
Increase (Decrease) in Net Assets from: Period Ended Year Ended Period Ended Year Ended
Sept. 30, 1997 March 31, 1997 Sept. 30, 1997 March 31, 1997
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Operations
Net investment income $ 1,083 $ 1,963 $ 6,008 $ 17,013
- ------------------------------------------ ---------------------------------- ----------------------------------
Net realized gain (loss) 1,362 (431) 663 25,654
- ------------------------------------------ ---------------------------------- ----------------------------------
Net change in unrealized
appreciation (depreciation) 1,091 (602) 11,845 (7,478)
- ------------------------------------------ ---------------------------------- ----------------------------------
Net increase (decrease) resulting
from operations 3,536 930 18,516 35,189
- ------------------------------------------ ---------------------------------- ----------------------------------
Distributions to Shareholders:
From net investment income
Class A (54) (10) (40) (1)
- ------------------------------------------ ---------------------------------- ----------------------------------
Class B (27) (2) (56) (2)
- ------------------------------------------ ---------------------------------- ----------------------------------
Class C (21) (1) (88) (3)
- ------------------------------------------ ---------------------------------- ----------------------------------
Institutional Classes (977) (1,773) (5,820) (7,980)
- ------------------------------------------ ---------------------------------- ----------------------------------
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 0 (24,345)
- ------------------------------------------ ---------------------------------- ----------------------------------
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 (693) 0 0
- ------------------------------------------ ---------------------------------- ----------------------------------
Total Distributions (1,079) (2,479) (6,004) (32,331)
- ------------------------------------------ ---------------------------------- ----------------------------------
Fund Share Transactions
Receipts for shares sold
Class A 1,635 1,237 2,582 715
- ------------------------------------------ ---------------------------------- ----------------------------------
Class B 1,508 469 5,076 1,236
- ------------------------------------------ ---------------------------------- ----------------------------------
Class C 1,288 281 7,773 1,809
- ------------------------------------------ ---------------------------------- ----------------------------------
Institutional Classes 34,081 6,985 95,099 155,533
- ------------------------------------------ ---------------------------------- ----------------------------------
Issued in reorganization
Class A 0 0 0 0
- ------------------------------------------ ---------------------------------- ----------------------------------
Class B 0 0 0 0
- ------------------------------------------ ---------------------------------- ----------------------------------
Class C 0 0 0 0
- ------------------------------------------ ---------------------------------- ----------------------------------
Issued as reinvestment of distributions
Class A 23 1 36 1
- ------------------------------------------ ---------------------------------- ----------------------------------
Class B 20 1 45 2
- ------------------------------------------ ---------------------------------- ----------------------------------
Class C 14 1 81 3
- ------------------------------------------ ---------------------------------- ----------------------------------
Institutional Classes 683 2,113 4,270 23,548
- ------------------------------------------ ---------------------------------- ----------------------------------
Cost of shares redeemed
Class A (285) 0 (103) (6)
- ------------------------------------------ ---------------------------------- ----------------------------------
Class B (72) 0 (290) 0
- ------------------------------------------ ---------------------------------- ----------------------------------
Class C (137) (1) (312) (2)
- ------------------------------------------ ---------------------------------- ----------------------------------
Institutional Classes (18,752) (20,121) (33,543) (205,567)
- ------------------------------------------ ---------------------------------- ----------------------------------
Net increase (decrease) resulting from
Fund share transactions 20,006 (9,034) 80,714 (22,728)
- ------------------------------------------ ---------------------------------- ----------------------------------
Total Increase (Decrease) in Net Assets 22,463 (10,583) 93,226 (19,870)
- ------------------------------------------ ---------------------------------- ----------------------------------
Net Assets
Beginning of period 21,928 32,511 238,623 258,493
- ------------------------------------------ ---------------------------------- ----------------------------------
End of period * $ 44,391 $ 21,928 $ 331,849 $ 238,623
- ------------------------------------------ ---------------------------------- ----------------------------------
*Including net undistributed
(overdistributed) investment income of: $ 443 $ 438 $ 12,312 $ 12,308
- ------------------------------------------ ---------------------------------- ----------------------------------
<CAPTION>
Emerging
Markets
$ in thousands Global Bond Fund II Bond Fund
---------------------------------- ----------------
Increase (Decrease) in Net Assets from: Period Ended Year Ended Period Ended
Sept. 30, 1997 March 31, 1997 Sept. 30, 1997
(Unaudited) (Unaudited)
<S> <C> <C> <C>
Operations
Net investment income $ 392 $ 388 $ 40
- ------------------------------------------ ---------------------------------- ----------------
Net realized gain (loss) 1,098 816 (8)
- ------------------------------------------ ---------------------------------- ----------------
Net change in unrealized
appreciation (depreciation) (102) (575) 27
- ------------------------------------------ ---------------------------------- ----------------
Net increase (decrease) resulting
from operations 1,388 629 59
- ------------------------------------------ ---------------------------------- ----------------
Distributions to Shareholders:
From net investment income
Class A (212) (151) (1)
- ------------------------------------------ ---------------------------------- ----------------
Class B (79) (56) 0
- ------------------------------------------ ---------------------------------- ----------------
Class C (104) (69) 0
- ------------------------------------------ ---------------------------------- ----------------
Institutional Classes 0 0 (40)
- ------------------------------------------ ---------------------------------- ----------------
In excess of net investment income
Class A 0 0 0
- ------------------------------------------ ---------------------------------- ----------------
Class B 0 0 0
- ------------------------------------------ ---------------------------------- ----------------
Class C 0 0 0
- ------------------------------------------ ---------------------------------- ----------------
Institutional Classes 0 0 0
- ------------------------------------------ ---------------------------------- ----------------
From net realized capital gains
Class A 0 (302) 0
- ------------------------------------------ ---------------------------------- ----------------
Class B 0 (133) 0
- ------------------------------------------ ---------------------------------- ----------------
Class C 0 (165) 0
- ------------------------------------------ ---------------------------------- ----------------
Institutional Classes 0 0 0
- ------------------------------------------ ---------------------------------- ----------------
In excess of net realized capital gains
Class A 0 0 0
- ------------------------------------------ ---------------------------------- ----------------
Class B 0 0 0
- ------------------------------------------ ---------------------------------- ----------------
Class C 0 0 0
- ------------------------------------------ ---------------------------------- ----------------
Institutional Classes 0 0 0
- ------------------------------------------ ---------------------------------- ----------------
Total Distributions (395) (876) (41)
- ------------------------------------------ ---------------------------------- ----------------
Fund Share Transactions
Receipts for shares sold
Class A 4,634 1,518 155
- ------------------------------------------ ---------------------------------- ----------------
Class B 513 778 57
- ------------------------------------------ ---------------------------------- ----------------
Class C 946 1,967 78
- ------------------------------------------ ---------------------------------- ----------------
Institutional Classes 0 0 3,400
- ------------------------------------------ ---------------------------------- ----------------
Issued in reorganization
Class A 0 0 0
- ------------------------------------------ ---------------------------------- ----------------
Class B 0 0 0
- ------------------------------------------ ---------------------------------- ----------------
Class C 0 0 0
- ------------------------------------------ ---------------------------------- ----------------
Issued as reinvestment of distributions
Class A 151 171 0
- ------------------------------------------ ---------------------------------- ----------------
Class B 63 138 0
- ------------------------------------------ ---------------------------------- ----------------
Class C 103 215 1
- ------------------------------------------ ---------------------------------- ----------------
Institutional Classes 0 0 39
- ------------------------------------------ ---------------------------------- ----------------
Cost of shares redeemed
Class A (4,181) (1,285) (13)
- ------------------------------------------ ---------------------------------- ----------------
Class B (237) (178) 0
- ------------------------------------------ ---------------------------------- ----------------
Class C (1,099) (236) 0
- ------------------------------------------ ---------------------------------- ----------------
Institutional Classes 0 0 0
- ------------------------------------------ ---------------------------------- ----------------
Net increase (decrease) resulting from
Fund share transactions 893 3,088 3,717
- ------------------------------------------ ---------------------------------- ----------------
Total Increase (Decrease) in Net Assets 1,886 2,841 3,735
- ------------------------------------------ ---------------------------------- ----------------
Net Assets
Beginning of period 16,900 14,059 0
- ------------------------------------------ ---------------------------------- ----------------
End of period * $ 18,786 $ 16,900 $ 3,735
- ------------------------------------------ ---------------------------------- ----------------
*Including net undistributed
(overdistributed) investment income of: $ 697 $ 701 $ 0
- ------------------------------------------ ---------------------------------- ----------------
</TABLE>
72 See accompanying notes
<PAGE>
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
$ in thousands High Yield Fund
----------------------------------
Increase (Decrease) in Net Assets from: Period Ended Year Ended
Sept. 30, 1997 March 31, 1997
(Unaudited)
<S> <C> <C>
Operations
Net investment income $ 51,573 $ 68,899
- ------------------------------------------ ----------------------------------
Net realized gain (loss) 6,591 15,566
- ------------------------------------------ ----------------------------------
Net change in unrealized
appreciation (depreciation) 45,087 1,240
- ------------------------------------------ ----------------------------------
Net increase (decrease) resulting
from operations 103,251 85,705
- ------------------------------------------ ----------------------------------
Distributions to Shareholders:
From net investment income
Class A (1,561) (502)
- ------------------------------------------ ----------------------------------
Class B (2,954) (820)
- ------------------------------------------ ----------------------------------
Class C (8,564) (3,086)
- ------------------------------------------ ----------------------------------
Institutional Classes (38,490) (64,509)
- ------------------------------------------ ----------------------------------
In excess of net investment income
Class A 0 0
- ------------------------------------------ ----------------------------------
Class B 0 0
- ------------------------------------------ ----------------------------------
Class C 0 0
- ------------------------------------------ ----------------------------------
Institutional Classes 0 0
- ------------------------------------------ ----------------------------------
From net realized capital gains
Class A 0 0
- ------------------------------------------ ----------------------------------
Class B 0 0
- ------------------------------------------ ----------------------------------
Class C 0 0
- ------------------------------------------ ----------------------------------
Institutional Classes 0 (9,254)
- ------------------------------------------ ----------------------------------
In excess of net realized capital gains
Class A 0 0
- ------------------------------------------ ----------------------------------
Class B 0 0
- ------------------------------------------ ----------------------------------
Class C 0 0
- ------------------------------------------ ----------------------------------
Institutional Classes 0 0
- ------------------------------------------ ----------------------------------
Total Distributions (51,569) (78,171)
- ------------------------------------------ ----------------------------------
Fund Share Transactions
Receipts for shares sold
Class A 25,619 5,390
- ------------------------------------------ ----------------------------------
Class B 41,404 12,160
- ------------------------------------------ ----------------------------------
Class C 47,099 15,420
- ------------------------------------------ ----------------------------------
Institutional Classes 406,830 428,723
- ------------------------------------------ ----------------------------------
Issued in reorganization
Class A 0 29,527
- ------------------------------------------ ----------------------------------
Class B 0 49,852
- ------------------------------------------ ----------------------------------
Class C 0 204,339
- ------------------------------------------ ----------------------------------
Issued as reinvestment of distributions
Class A 982 271
- ------------------------------------------ ----------------------------------
Class B 1,490 412
- ------------------------------------------ ----------------------------------
Class C 5,186 1,819
- ------------------------------------------ ----------------------------------
Institutional Classes 34,982 70,223
- ------------------------------------------ ----------------------------------
Cost of shares redeemed
Class A (7,877) (6,044)
- ------------------------------------------ ----------------------------------
Class B (5,898) (1,524)
- ------------------------------------------ ----------------------------------
Class C (24,723) (14,308)
- ------------------------------------------ ----------------------------------
Institutional Classes (128,969) (292,419)
- ------------------------------------------ ----------------------------------
Net increase (decrease) resulting from
Fund share transactions 396,125 503,841
- ------------------------------------------ ----------------------------------
Total Increase (Decrease) in Net Assets 447,807 511,375
- ------------------------------------------ ----------------------------------
Net Assets
Beginning of period 1,049,365 537,990
- ------------------------------------------ ----------------------------------
End of period * $ 1,497,172 $ 1,049,365
- ------------------------------------------ ----------------------------------
*Including net undistributed
(overdistributed) investment income of: $ 1,010 $ 1,003
- ------------------------------------------ ----------------------------------
</TABLE>
72 See accompanying notes
<PAGE>
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
$ in thousands Total Return Fund Real Return Bond Fund Low Duration Fund
---------------------------- --------------------------- ---------------------------
Increase (Decrease) in Net Assets from: Period Ended Year Ended Period Ended Year Ended Period Ended Year Ended
Sept. 30, 1997 March 31, Sept. 30, 1997 March 31, Sept. 30, 1997 March 31,
(Unaudited) 1997 (Unaudited) 1997 (Unaudited) 1997
<S> <C> <C> <C> <C> <C> <C>
Operations
Net investment income $ 443,015 $ 770,314 $ 176 $ 63 $ 90,399 $ 177,362
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Net realized gain (loss) 278,415 (57,928) (17) 1 16,191 1,645
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Net change in unrealized
appreciation (depreciation) 335,648 15,459 36 (67) 45,884 4,354
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Net increase (decrease) resulting
from operations 1,057,078 727,845 195 (3) 152,474 183,361
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Distributions to Shareholders:
From net investment income
Class A (4,971) (1,116) (9) 0 (1,801) (618)
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Class B (2,177) (717) (16) (1) (166) (48)
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Class C (8,363) (3,419) (9) 0 (1,557) (636)
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Institutional Classes (427,646) (746,270) (143) (45) (86,834) (170,941)
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
In excess of net investment income
Class A 0 (28) 0 0 0 (18)
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Class B 0 (18) 0 0 0 (1)
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Class C 0 (85) 0 0 0 (19)
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Institutional Classes 0 (18,643) 0 0 0 (5,089)
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
From net realized capital gains
Class A 0 0 0 0 0 0
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Class B 0 0 0 0 0 0
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Class C 0 0 0 0 0 0
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Institutional Classes 0 0 0 0 0 0
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
In excess of net realized capital gains
Class A 0 0 0 0 0 0
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Class B 0 0 0 0 0 0
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Class C 0 0 0 0 0 0
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Institutional Classes 0 0 0 0 0 0
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Total Distributions (443,157) (770,296) (177) (46) (90,358) (177,370)
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Fund Share Transactions
Receipts for shares sold
Class A 136,897 35,013 653 0 106,951 21,468
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Class B 34,079 10,459 609 514 4,916 1,783
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Class C 48,412 13,775 659 149 31,965 15,897
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Institutional Classes 2,551,465 3,842,343 278 5,636 755,518 1,417,279
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Issued in reorganization
Class A 0 90,184 0 0 0 53,912
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Class B 0 66,992 0 0 0 4,564
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Class C 0 342,162 0 0 0 61,795
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Issued as reinvestment of distributions
Class A 4,376 900 9 0 1,717 615
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Class B 1,529 513 11 1 114 33
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Class C 5,668 2,316 9 0 1,186 495
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Institutional Classes 344,066 614,904 142 45 72,267 150,514
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Cost of shares redeemed
Class A (22,843) (8,458) (10) 0 (97,161) (16,266)
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Class B (6,310) (2,564) (205) 0 (1,977) (1,047)
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Class C (54,631) (23,590) (310) 0 (38,387) (14,179)
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Institutional Classes (1,809,660) (2,096,015) 0 0 (884,194) (1,434,149)
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Net increase (decrease) resulting from
Fund share transactions 1,233,048 2,888,934 1,845 6,345 (47,085) 262,714
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Total Increase (Decrease) in Net Assets 1,846,969 2,846,483 1,863 6,296 15,031 268,705
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
Net Assets
Beginning of period 13,198,706 10,352,223 6,296 0 2,948,815 2,680,110
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
End of period * $15,045,675 $13,198,706 $ 8,159 $ 6,296 $2,963,846 $2,948,815
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
*Including net undistributed
(overdistributed) investment income of: $ (25,420) $ (25,279) $ 20 $ 19 $ (6,991) $ (7,032)
- --------------------------------------- ---------------------------- --------------------------- ---------------------------
</TABLE>
<TABLE>
<CAPTION>
Short-Term Fund Money Market Fund StocksPLUS Fund
---------------------------- --------------------------- --------------------------
Period Ended Year Ended Period Ended Year Ended Period Ended Year Ended
Sept. 30, 1997 March 31, Sept. 30, 1997 March 31, Sept. 30, 1997 March 31,
(Unaudited) 1997 (Unaudited) 1997 (Unaudited) 1997
<S> <C> <C> <C> <C> <C> <C>
Operations
Net investment income $ 5,733 $ 7,616 $ 3,314 $ 2,257 $ 35,119 $ 22,028
- --------------------------------------- -------------------------- -------------------------- --------------------------
Net realized gain (loss) 447 282 0 0 29,181 19,189
- --------------------------------------- -------------------------- -------------------------- --------------------------
Net change in unrealized
appreciation (depreciation) 943 620 0 0 21,266 (10,645)
- --------------------------------------- -------------------------- -------------------------- --------------------------
Net increase (decrease) resulting
from operations 7,123 8,518 3,314 2,257 85,566 30,572
- --------------------------------------- -------------------------- -------------------------- --------------------------
Distributions to Shareholders:
From net investment income
Class A (174) (10) (754) (263) (594) (70)
- --------------------------------------- -------------------------- -------------------------- --------------------------
Class B (9) (1) (56) (16) (678) (93)
- --------------------------------------- -------------------------- -------------------------- --------------------------
Class C (68) (4) (1,537) (617) (849) (161)
- --------------------------------------- -------------------------- -------------------------- --------------------------
Institutional Classes (5,468) (7,441) (967) (1,361) (8,722) (21,960)
- --------------------------------------- -------------------------- -------------------------- --------------------------
In excess of net investment income
Class A 0 (0) 0 0 0 0
- --------------------------------------- -------------------------- -------------------------- --------------------------
Class B 0 (0) 0 0 0 0
- --------------------------------------- -------------------------- -------------------------- --------------------------
Class C 0 (0) 0 0 0 0
- --------------------------------------- -------------------------- -------------------------- --------------------------
Institutional Classes 0 (161) 0 0 0 0
- --------------------------------------- -------------------------- -------------------------- --------------------------
From net realized capital gains
Class A 0 0 0 0 0 0
- --------------------------------------- -------------------------- -------------------------- --------------------------
Class B 0 0 0 0 0 0
- --------------------------------------- -------------------------- -------------------------- --------------------------
Class C 0 0 0 0 0 0
- --------------------------------------- -------------------------- -------------------------- --------------------------
Institutional Classes 0 0 0 0 0 (8,793)
- --------------------------------------- -------------------------- -------------------------- --------------------------
In excess of net realized capital gains
Class A 0 0 0 0 0 0
- --------------------------------------- -------------------------- -------------------------- --------------------------
Class B 0 0 0 0 0 0
- --------------------------------------- -------------------------- -------------------------- --------------------------
Class C 0 0 0 0 0 0
- --------------------------------------- -------------------------- -------------------------- --------------------------
Institutional Classes 0 0 0 0 0 0
- --------------------------------------- -------------------------- -------------------------- --------------------------
Total Distributions (5,719) (7,617) (3,314) (2,257) (10,843) (31,077)
- --------------------------------------- -------------------------- -------------------------- --------------------------
Fund Share Transactions
Receipts for shares sold
Class A 10,316 4,435 809,718 303,692 27,945 6,245
- --------------------------------------- -------------------------- -------------------------- --------------------------
Class B 674 197 6,460 3,657 33,288 8,743
- --------------------------------------- -------------------------- -------------------------- --------------------------
Class C 3,995 1,403 542,673 262,815 40,503 15,506
- --------------------------------------- -------------------------- -------------------------- --------------------------
Institutional Classes 157,873 188,897 60,087 48,825 143,851 91,902
- --------------------------------------- -------------------------- -------------------------- --------------------------
Issued in reorganization
Class A 0 0 0 14,653 0 0
- --------------------------------------- -------------------------- -------------------------- --------------------------
Class B 0 0 0 2,499 0 0
- --------------------------------------- -------------------------- -------------------------- --------------------------
Class C 0 0 0 52,050 0 0
- --------------------------------------- -------------------------- -------------------------- --------------------------
Issued as reinvestment of distributions
Class A 156 5 458 192 556 64
- --------------------------------------- -------------------------- -------------------------- --------------------------
Class B 6 1 46 15 655 86
- --------------------------------------- -------------------------- -------------------------- --------------------------
Class C 57 4 1,201 605 810 156
- --------------------------------------- -------------------------- -------------------------- --------------------------
Institutional Classes 4,433 6,258 749 1,078 8,143 28,068
- --------------------------------------- -------------------------- -------------------------- --------------------------
Cost of shares redeemed
Class A (5,496) (1,898) (809,074) (274,948) (2,744) (182)
- --------------------------------------- -------------------------- -------------------------- --------------------------
Class B (188) (83) (7,065) (3,028) (1,343) (33)
- --------------------------------------- -------------------------- -------------------------- --------------------------
Class C (1,709) (44) (569,571) (230,072) (5,672) (3,565)
- --------------------------------------- -------------------------- -------------------------- --------------------------
Institutional Classes (147,390) (140,838) (46,061) (52,339) (72,405) (36,518)
- --------------------------------------- -------------------------- -------------------------- --------------------------
Net increase (decrease) resulting from
Fund share transactions 22,727 58,337 (10,379) 129,694 173,587 110,472
- --------------------------------------- -------------------------- -------------------------- --------------------------
Total Increase (Decrease) in Net Assets 24,131 59,238 (10,379) 129,694 248,310 109,967
- --------------------------------------- -------------------------- -------------------------- --------------------------
Net Assets
Beginning of period 165,034 105,796 155,639 25,945 261,836 151,869
- --------------------------------------- -------------------------- -------------------------- --------------------------
End of period * $ 189,165 $ 165,034 $ 145,260 $ 155,639 $ 510,146 $ 261,836
- --------------------------------------- -------------------------- -------------------------- --------------------------
*Including net undistributed
(overdistributed) investment income of: $ (209) $ (208) $ 0 $ 0 $ 26,302 $ 2,028
- --------------------------------------- -------------------------- -------------------------- --------------------------
</TABLE>
See accompanying notes 73
<PAGE>
Statement of Cash Flows
For the period ended September 30, 1997 (Unaudited)
$ in thousands
<TABLE>
<CAPTION>
Global Bond Fund II
--------------------
<S> <C>
Decrease in Cash and Foreign Currency from:
Financing Activities
Sales of Fund shares $ 6,113
- --------------------------------------------------------------------- -------------------
Redemptions of Fund shares (5,524)
- --------------------------------------------------------------------- -------------------
Cash distributions paid (82)
- --------------------------------------------------------------------- -------------------
Proceeds from financing transactions 8,173
- --------------------------------------------------------------------- -------------------
Net increase from financing activities 8,680
===================================================================== ===================
Operating Activities
Purchases of long-term securities and foreign currency (66,638)
- --------------------------------------------------------------------- -------------------
Proceeds from sales of long-term securities and foreign currency 55,029
- --------------------------------------------------------------------- -------------------
Purchases of short-term securities (net) 2,599
- --------------------------------------------------------------------- -------------------
Net investment income 392
- --------------------------------------------------------------------- -------------------
Change in other receivables/payables (net) (91)
- --------------------------------------------------------------------- -------------------
Net decrease from operating activities (8,709)
- --------------------------------------------------------------------- -------------------
Net Decrease in Cash and Foreign Currency (29)
===================================================================== ===================
Cash and Foreign Currency
Beginning of period 70
- --------------------------------------------------------------------- -------------------
End of period $ 41
===================================================================== ===================
</TABLE>
74 See accompanying notes
<PAGE>
Notes to Financial Statements
September 30, 1997 (Unaudited)
1. Organization
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 management investment company. The
Trust currently consists of 24 separate investment funds (the "Funds"): the
Total Return Fund; the Total Return Fund II; the Total Return Fund III; the
Total Return Mortgage Fund; the Moderate Duration Fund; the Low Duration Fund;
the Low Duration Fund II; the Low Duration Fund III; the Low Duration Mortgage
Fund; 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 Emerging Markets Bond Fund; the Emerging Markets 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, Total
Return Mortgage, Moderate Duration, Low Duration II, Low Duration III, Low
Duration Mortgage, Global Bond, Strategic Balanced and International Bond Funds
are provided separately. The Commercial Mortgage Securities, Emerging Markets
Bond II and StocksPLUS Short Strategy Funds had not commenced operations as of
September 30, 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.
2. Significant Accounting Policies
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. 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.
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 ask 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 of securities by the Fund, 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 counterparty 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 $6,881,438, $282,986,697, $8,173,068, $14,858,917,
$1,357,092 and $41,854 for the Long-Term U.S. Government, Foreign Bond, Global
Bond II, Total Return, Low Duration and StocksPLUS Funds, respectively, related
to these financing transactions.
Securities Transactions and Investment Income. Securities transactions are
recorded as of the trade date. Securities purchased or sold on a when-issued or
delayed-delivery basis may be settled a month or more after the trade date.
Realized gains and losses from securities sold are recorded on the identified
cost basis. Dividend income is recorded on the ex-dividend date, except certain
dividends from foreign securities where the ex-dividend date may have passed,
are recorded as soon as the Fund is informed of the ex-dividend date. Interest
income, adjusted for the accretion of discounts and amortization of premiums, is
recorded on the accrual basis.
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 proportions 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 may be
extremely sensitive to changes in interest rates.
Dividends and Distributions to Shareholders. Dividends from net investment
income, if any, 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, if any, 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
75
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1997 (Unaudited)
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 dividends and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles. These differences are primarily due to differing
treatments for 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 or losses and paid in capital to more appropriately conform financial
accounting to tax characterizations of dividend distributions.
Multiclass Operations. Each class offered by the Trust has equal rights as to
assets and voting privileges. 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. 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. 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.
Federal Income Taxes. Each Fund intends to qualify as a regulated investment
company and distribute all of its taxable income and net realized gains, if
applicable, to shareholders. Accordingly, no provision for Federal income taxes
has been made.
Futures and Options. Certain Funds are authorized to enter into futures
contracts and options. A Fund may use futures contracts to manage its exposure
to the stock and bond markets or change in interest rates and currency values,
or for gaining exposure to markets. 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 Transactions. Certain Funds are authorized to enter into
forward foreign exchange contracts for the purpose of hedging against foreign
exchange risk arising from the Fund's investment or anticipated investment in
securities denominated in foreign currencies. 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. 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 a counterparty to meet the terms of a contract and from
unanticipated movements in the value of a foreign currency relative to the U.S.
dollar.
Swaps. Certain Funds are authorized to enter into interest rate, index and
currency exchange swap agreements. PIMCO uses these agreements in order to
obtain a desired return at a lower cost to the Fund than if the Fund had
invested directly in an instrument that yielded the desired return. The
agreements involve elements of credit risk identified as the cost of replacing
those agreements for which PIMCO is in a net receivable position in the event of
counterparty default.
At September 30, 1997, the StocksPLUS Fund was party to S & P 500 Index
swap agreements. The agreements involve the contractual exchange of payments
whereby the Funds receive proceeds based on the total return of the S & P 500
Index and pay an amount based on LIBOR. The differential to be paid or received
is recognized daily over the life of the agreement. For the period ended
September 30, 1997, the Total Return, Low Duration and StocksPLUS Funds had net
income of $2,638,875, $1,390,565 and $23,722,135, respectively, from swap
transactions. These amounts are included in interest income of the Funds.
For assets and liabilities other than investments in securities, net
realized and unrealized gains and losses from foreign currency transactions
arise from changes in currency exchange rates.
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
76
<PAGE>
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 September 30, 1997 which are covered by purchased call options
(amounts in thousands):
<TABLE>
<CAPTION>
Principal
Foreign Bond Fund Amount Value Proceeds
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
Government of Japan JY 1,276,600 $ 12,178 $ 12,250
Kingdom of Sweden SK 80,000 11,832 11,666
--------------------
$ 24,010 $ 23,916
====================
Principal
Global Bond Fund II Amount Value Proceeds
- ---------------------------------------------------------------
Government of Japan JY 27,000 $ 261 $ 262
Kingdom of Sweden SK 6,900 1,020 1,006
--------------------
$ 1,281 $ 1,268
====================
</TABLE>
Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities
whose principal value is periodically adjusted 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.
Repurchase Agreements. Each Fund may engage in repurchase transactions. Under
the terms of a typical repurchase agreement, the Fund takes possession of an
underlying debt obligation subject to an obligation of the seller to repurchase,
and the Fund to resell, the obligation at an agreed-upon price and time. The
market value of the collateral must be equal at all times to the total amount of
the repurchase obligations, including interest. Generally, in the event of
counterparty default, the Fund has the right to use the collateral to offset
losses incurred.
3. 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. The Advisory Fee is charged at an annual rate of 0.15% for the
Money Market Fund, 0.40% for the StocksPLUS Fund, 0.45% for the Emerging Markets
Bond Fund and 0.25% for all other Funds.
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 the annual rate of
0.35% for the Short-Term and Money Market Funds, 0.45% for the Foreign Bond
Fund, 0.50% for the Emerging Markets Bond Fund 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
Moderate Duration, Short-Term and Money Market Funds, 0.30% for the Global Bond
Fund, 0.40% for the Emerging Markets Bond Fund and 0.25% for all other Funds.
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 pays 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 II,
Emerging Markets Bond,
High Yield and Total
Return Funds 0.75 0.25 0.75 0.25
Real Return Bond and
StocksPLUS Funds 0.50 0.25 0.75 0.25
Low Duration Fund 0.50 0.25 0.50 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 period ended
September 30, 1997, the Funds were informed that PFDCO received $1,257,300
representing commissions (sales charges) and contingent deferred sales charges
related to the Retail Classes.
77
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1997 (Unaudited)
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. The ratio of
expenses to average net assets per share class, as disclosed in Financial
Highlights, may differ from the annual fund operating expenses per share class
as disclosed in the Prospectus for the reasons set forth above. 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.
4. Purchases and Sales of Securities
Purchases and sales of securities (excluding short-term investments) for the
period ended September 30, 1997 were as follows (amount 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 $ 72,010 $ 57,027 $ 7,835 $ 139
Foreign Bond Fund 14,054 1,135 788,751 751,833
Global Bond Fund II 3,530 3,778 59,789 58,843
Emerging Markets Bond Fund 0 0 6,217 2,825
High Yield Fund 0 0 589,016 200,334
Total Return Fund 12,069,472 10,598,666 1,555,135 985,942
Real Return Bond Fund 24,428 17,011 11,594 11,588
Low Duration Fund 3,916,454 3,374,650 86,040 282,512
Short-Term Fund 16,494 13,729 71,142 27,580
StocksPLUS Fund 41,972 9,377 202,959 35,726
</TABLE>
5. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows
(amount in thousands):
<TABLE>
<CAPTION>
Emerging
Long-Term Foreign Markets Total Low
U.S. Gov't Bond Bond Return Duration
--------------------------------------------------
Premium
--------------------------------------------------
<S> <C> <C> <C> <C> <C>
Balance at 3/31/97 $ 34 $ 0 $ 0 $30,218 $ 3,711
Sales 0 12 4 8,810 0
Closing Buys (34) 0 0 0 0
Expirations 0 0 0 (29,786) (3,711)
Exercised 0 0 0 (3,228) 0
--------------------------------------------------
Balance at 9/30/97 $ 0 $ 12 $ 4 $ 6,014 $ 0
--------------------------------------------------
</TABLE>
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 or acquired in prior years. 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 ended March 31, 1997 for which the Fund
elected to defer them to the following fiscal year pursuant to income tax
regulations. The amounts are $1,913,570 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>
78
<PAGE>
7. Institutional Class 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>
Emerging Low
Long-Term Foreign Markets High Yield Total Return Real Return Duration
U.S. Gov't Fund Bond Fund Bond Fund Fund Fund Bond Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares Issued and Outstanding
Institutional Class 3,436 28,685 344 93,017 1,316,864 610 274,314
- -----------------------------------------------------------------------------------------------------------------------------
Administrative Class 328 22 0 2,028 21,261 0 2,576
- -----------------------------------------------------------------------------------------------------------------------------
3,764 28,707 344 95,045 1,338,125 610 276,890
- -----------------------------------------------------------------------------------------------------------------------------
For the period ended 9/30/97
Distributions to Shareholders
From net investment income
Institutional Class $ 975 $ 5,817 $ 40 $ 37,864 $ 422,171 $ 143 $ 86,047
- -----------------------------------------------------------------------------------------------------------------------------
Administrative Class 2 3 0 626 5,475 0 787
- -----------------------------------------------------------------------------------------------------------------------------
977 5,820 40 38,490 427,646 143 86,834
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Money
Short-Term Market StocksPLUS
Fund Fund FUND
- ---------------------------------------------------------------------
<S> <C> <C> <C>
Shares Issued and Outstanding
Institutional Class 17,126 37,641 26,653
- ---------------------------------------------------------------------
Administrative Class 464 645 80
- ---------------------------------------------------------------------
17,590 38,286 26,733
- ---------------------------------------------------------------------
For the period ended 9/30/97
Distributions to Shareholders
From net investment income
Institutional Class $ 5,366 $ 967 $ 8,699
- ---------------------------------------------------------------------
Administrative Class 102 0 23
- ---------------------------------------------------------------------
5,468 967 8,722
- ---------------------------------------------------------------------
<CAPTION>
Low
Long-Term Foreign High Yield Total Return Real Return Duration Short-Term
U.S. Gov't Fund Bond Fund Fund Fund Bond Fund
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
For the period ended 3/31/97
Distributions to Shareholders
From net investment income
Institutional Class $ 1,773 $ 7,980 $ 64,102 $ 737,816 $ 45 $170,430 $7,220
- --------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 407 8,454 0 511 221
- --------------------------------------------------------------------------------------------------------------------------
1,773 7,980 64,509 746,270 45 170,941 7,441
- --------------------------------------------------------------------------------------------------------------------------
In excess of net investment income
Institutional Class 0 0 0 18,432 0 5,074 156
- --------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 0 211 0 15 5
- --------------------------------------------------------------------------------------------------------------------------
0 0 0 18,643 0 5,089 161
- --------------------------------------------------------------------------------------------------------------------------
From net realized capital gains
Institutional Class 0 24,345 9,166 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 88 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------
0 24,345 9,254 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------
In excess of net realized capital gains
Institutional Class 693 0 0 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 0 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------
693 0 0 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Money
Market StocksPLUS
Fund Fund
- ----------------------------------------------------------------
<S> <C> <C>
For the period ended 3/31/97
Distributions to Shareholders
From net investment income
Institutional Class $ 1,360 $ 21,952
- ----------------------------------------------------------------
Administrative Class 1 8
- ----------------------------------------------------------------
1,361 21,960
- ----------------------------------------------------------------
In excess of net investment income
Institutional Class 0 0
- ----------------------------------------------------------------
Administrative Class 0 0
- ----------------------------------------------------------------
0 0
- ----------------------------------------------------------------
From net realized capital gains
Institutional Class 0 8,793
- ----------------------------------------------------------------
Administrative Class 0 0
- ----------------------------------------------------------------
0 8,793
- ----------------------------------------------------------------
In excess of net realized capital gains
Institutional Class 0 0
- ----------------------------------------------------------------
Administrative Class 0 0
- ----------------------------------------------------------------
0 0
- ----------------------------------------------------------------
</TABLE>
79
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1997 (Unaudited)
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
- -------------------------------------------------------------------------------------------------------------
Period Ended 9/30/97 Year Ended 3/31/97
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 3,103 $ 30,755 712 $ 6,985
- -------------------------------------------------------------------------------------------------------------
Administrative Class 328 3,326 0 0
- -------------------------------------------------------------------------------------------------------------
Class A 166 1,635 128 1,237
- -------------------------------------------------------------------------------------------------------------
Class B 154 1,508 48 469
- -------------------------------------------------------------------------------------------------------------
Class C 131 1,288 29 281
- -------------------------------------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Institutional Class 69 683 215 2,113
- -------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Class A 2 23 0 1
- -------------------------------------------------------------------------------------------------------------
Class B 2 20 0 1
- -------------------------------------------------------------------------------------------------------------
Class C 1 14 0 1
- -------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Institutional Class (1,866) (18,752) (2,062) (20,121)
- -------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Class A (28) (285) 0 0
- -------------------------------------------------------------------------------------------------------------
Class B (7) (72) 0 0
- -------------------------------------------------------------------------------------------------------------
Class C (14) (137) 0 (1)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) resulting from Fund share transactions 2,041 $ 20,006 (930) $ (9,034)
=============================================================================================================
<CAPTION>
Foreign Bond Fund
- --------------------------------------------------------------------------------------------------------------
Period Ended 9/30/97 Year Ended 3/31/97
Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 8,893 $94,892 14,462 $155,503
- --------------------------------------------------------------------------------------------------------------
Administrative Class 20 207 3 30
- --------------------------------------------------------------------------------------------------------------
Class A 242 2,582 69 715
- --------------------------------------------------------------------------------------------------------------
Class B 475 5,076 117 1,236
- --------------------------------------------------------------------------------------------------------------
Class C 729 7,773 172 1,809
- --------------------------------------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0
- --------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0
- --------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0
- --------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Institutional Class 399 4,266 2,246 23,548
- --------------------------------------------------------------------------------------------------------------
Administrative Class 0 4 0 0
- --------------------------------------------------------------------------------------------------------------
Class A 3 36 0 1
- --------------------------------------------------------------------------------------------------------------
Class B 4 45 0 2
- --------------------------------------------------------------------------------------------------------------
Class C 7 81 0 3
- --------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Institutional Class (3,164) (33,534) (18,761) (205,567)
- --------------------------------------------------------------------------------------------------------------
Administrative Class (1) (9) 0 0
- --------------------------------------------------------------------------------------------------------------
Class A (10) (103) (1) (6)
- --------------------------------------------------------------------------------------------------------------
Class B (27) (290) 0 0
- --------------------------------------------------------------------------------------------------------------
Class C (29) (312) 0 (2)
- --------------------------------------------------------------------------------------------------------------
Net increase (decrease) resulting from Fund share transactions 7,541 $ 80,714 (1,693) $(22,728)
==============================================================================================================
<CAPTION>
Real Return Bond Fund
- -------------------------------------------------------------------------------------------------------------
Period Ended 9/30/97 Period Ended 3/31/97
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 29 $ 278 564 $ 5,636
- -------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Class A 66 653 0 0
- -------------------------------------------------------------------------------------------------------------
Class B 61 609 51 514
- -------------------------------------------------------------------------------------------------------------
Class C 66 659 15 149
- -------------------------------------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Institutional Class 14 142 4 45
- -------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Class A 1 9 0 0
- -------------------------------------------------------------------------------------------------------------
Class B 1 11 0 1
- -------------------------------------------------------------------------------------------------------------
Class C 1 9 0 0
- -------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Institutional Class 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Administrative Class 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Class A (1) (10) 0 0
- -------------------------------------------------------------------------------------------------------------
Class B (21) (205) 0 0
- -------------------------------------------------------------------------------------------------------------
Class C (31) (310) 0 0
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) resulting from Fund share transactions 186 $ 1,845 634 $ 6,345
=============================================================================================================
<CAPTION>
Low Duration Fund
- -----------------------------------------------------------------------------------------------------------------
Period Ended 9/30/97 Year Ended 3/31/97
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 73,550 $744,927 139,451 $ 1,394,715
- -----------------------------------------------------------------------------------------------------------------
Administrative Class 1,050 10,591 2,251 22,564
- -----------------------------------------------------------------------------------------------------------------
Class A 10,550 106,951 2,135 21,468
- -----------------------------------------------------------------------------------------------------------------
Class B 485 4,916 178 1,783
- -----------------------------------------------------------------------------------------------------------------
Class C 3,158 31,965 1,581 15,897
- -----------------------------------------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 5,364 53,912
- -----------------------------------------------------------------------------------------------------------------
Class B 0 0 454 4,564
- -----------------------------------------------------------------------------------------------------------------
Class C 0 0 6,149 61,795
- -----------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Institutional Class 7,054 71,486 15,036 149,996
- -----------------------------------------------------------------------------------------------------------------
Administrative Class 77 781 52 518
- -----------------------------------------------------------------------------------------------------------------
Class A 170 1,717 61 615
- -----------------------------------------------------------------------------------------------------------------
Class B 11 114 3 33
- -----------------------------------------------------------------------------------------------------------------
Class C 117 1,186 49 495
- -----------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Institutional Class (86,483) (874,976) (143,424) (1,432,178)
- -----------------------------------------------------------------------------------------------------------------
Administrative Class (912) (9,218) (197) (1,971)
- -----------------------------------------------------------------------------------------------------------------
Class A (9,587) (97,161) (1,615) (16,266)
- -----------------------------------------------------------------------------------------------------------------
Class B (195) (1,977) (104) (1,047)
- -----------------------------------------------------------------------------------------------------------------
Class C (3,799) (38,387) (1,407) (14,179)
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) resulting from Fund share transactions (4,754) $ (47,085) 26,017 $ 262,714
=================================================================================================================
</TABLE>
80
<PAGE>
<TABLE>
<CAPTION>
Emerging
Global Bond Fund II Markets Bond
------------------------------------------ --------------------
Period Ended 9/30/97 Period Ended 3/31/97 Period Ended 9/30/97
Shares Amount Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------- --------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 0 $ 0 0 $ 0 340 $ 3,400
- --------------------------------------------------------------------------------------------------------- -------------------
Administrative Class 0 0 0 0 0 0
- --------------------------------------------------------------------------------------------------------- -------------------
Class A 422 4,634 136 1,518 16 155
- --------------------------------------------------------------------------------------------------------- -------------------
Class B 46 513 70 778 6 57
- --------------------------------------------------------------------------------------------------------- -------------------
Class C 85 946 177 1,967 8 78
- --------------------------------------------------------------------------------------------------------- -------------------
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 0 0 0 0 4 39
- --------------------------------------------------------------------------------------------------------- -------------------
Administrative Class 0 0 0 0 0 0
- --------------------------------------------------------------------------------------------------------- -------------------
Class A 13 151 16 171 0 0
- --------------------------------------------------------------------------------------------------------- -------------------
Class B 6 63 13 138 0 0
- --------------------------------------------------------------------------------------------------------- -------------------
Class C 9 103 19 215 0 1
- --------------------------------------------------------------------------------------------------------- -------------------
Cost of shares redeemed
Institutional Class 0 0 0 0 0 0
- --------------------------------------------------------------------------------------------------------- -------------------
Administrative Class 0 0 0 0 0 0
- --------------------------------------------------------------------------------------------------------- -------------------
Class A (372) (4,181) (118) (1,285) (1) (13)
- --------------------------------------------------------------------------------------------------------- -------------------
Class B (21) (237) (16) (178) 0 0
- --------------------------------------------------------------------------------------------------------- -------------------
Class C (99) (1,099) (21) (236) 0 0
- --------------------------------------------------------------------------------------------------------- -------------------
Net increase (decrease) resulting from Fund share transactions 89 $ 893 276 $ 3,088 373 $ 3,717
========================================================================================================= ===================
<CAPTION>
High Yield Fund Total Return Fund
------------------------------------------ --------------------------------------------
Period Ended 9/30/97 Year Ended 3/31/97 Period Ended 9/30/97 Year Ended 3/31/97
Shares Amount Shares Amount Shares Amount Shares Amount
- ------------------------------------------------------------------------------------ --------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 34,342 $ 393,380 37,480 $ 414,058 233,249 $ 2,458,153 358,561 $ 3,709,839
- ------------------------------------------------------------------------------------ --------------------------------------------
Administrative Class 1,168 13,450 1,323 14,665 8,849 93,312 12,842 132,504
- ------------------------------------------------------------------------------------ --------------------------------------------
Class A 2,248 25,619 480 5,390 12,957 136,897 3,360 35,013
- ------------------------------------------------------------------------------------ --------------------------------------------
Class B 3,618 41,404 1,083 12,160 3,225 34,079 1,002 10,459
- ------------------------------------------------------------------------------------ --------------------------------------------
Class C 4,127 47,099 1,380 15,420 4,584 48,412 1,329 13,775
- ------------------------------------------------------------------------------------ --------------------------------------------
Shares issued in reorganization
Class A 0 0 2,634 29,527 0 0 8,630 90,184
- ------------------------------------------------------------------------------------ --------------------------------------------
Class B 0 0 4,447 49,852 0 0 6,410 66,992
- ------------------------------------------------------------------------------------ --------------------------------------------
Class C 0 0 18,228 204,339 0 0 32,743 342,162
- ------------------------------------------------------------------------------------ --------------------------------------------
Issued as reinvestment of distributions
Institutional Class 3,015 34,541 6,306 69,870 32,022 338,693 58,681 606,425
- ------------------------------------------------------------------------------------ --------------------------------------------
Administrative Class 38 441 31 353 508 5,373 820 8,479
- ------------------------------------------------------------------------------------ --------------------------------------------
Class A 86 982 25 271 413 4,376 88 900
- ------------------------------------------------------------------------------------ --------------------------------------------
Class B 130 1,490 37 412 144 1,529 49 513
- ------------------------------------------------------------------------------------ --------------------------------------------
Class C 453 5,186 163 1,819 536 5,668 223 2,316
- ------------------------------------------------------------------------------------ --------------------------------------------
Cost of shares redeemed
Institutional Class (11,420) (127,621) (25,767) (286,865) (168,064) (1,780,010) (193,748) (2,001,935)
- ------------------------------------------------------------------------------------ --------------------------------------------
Administrative Class (118) (1,348) (506) (5,554) (2,814) (29,650) (9,113) (94,080)
- ------------------------------------------------------------------------------------ --------------------------------------------
Class A (696) (7,877) (537) (6,044) (2,164) (22,843) (810) (8,458)
- ------------------------------------------------------------------------------------ --------------------------------------------
Class B (518) (5,898) (136) (1,524) (599) (6,310) (244) (2,564)
- ------------------------------------------------------------------------------------ --------------------------------------------
Class C (2,178) (24,723) (1,272) (14,308) (5,188) (54,631) (2,256) (23,590)
- ------------------------------------------------------------------------------------ --------------------------------------------
Net increase (decrease) resulting
from Fund share transactions 34,295 $ 396,125 45,399 $ 503,841 117,658 $ 1,233,048 278,567 $ 2,888,934
==================================================================================== ============================================
<CAPTION>
Short-Term Fund Money Market Fund
--------------------------------------------- --------------------------------------------
Period Ended 9/30/97 Year Ended 3/31/97 Period Ended 9/30/97 Year Ended 3/31/97
Shares Amount Shares Amount Shares Amount Shares Amount
- ------------------------------------------------------------------------------------- --------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 15,309 $ 153,726 18,060 $ 180,257 59,441 $ 59,441 48,817 $ 48,817
- ------------------------------------------------------------------------------------- --------------------------------------------
Administrative Class 412 4,147 867 8,640 646 646 8 8
- ------------------------------------------------------------------------------------- --------------------------------------------
Class A 1,028 10,316 441 4,435 809,718 809,718 303,692 303,692
- ------------------------------------------------------------------------------------- --------------------------------------------
Class B 67 674 19 197 6,460 6,460 3,657 3,657
- ------------------------------------------------------------------------------------- --------------------------------------------
Class C 398 3,995 140 1,403 542,673 542,673 262,815 262,815
- ------------------------------------------------------------------------------------- --------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0 0 0 14,653 14,653
- ------------------------------------------------------------------------------------- --------------------------------------------
Class B 0 0 0 0 0 0 2,499 2,499
- ------------------------------------------------------------------------------------- --------------------------------------------
Class C 0 0 0 0 0 0 52,050 52,050
- ------------------------------------------------------------------------------------- --------------------------------------------
Issued as reinvestment of distributions
Institutional Class 440 4,419 625 6,243 749 749 1,077 1,077
- ------------------------------------------------------------------------------------- --------------------------------------------
Administrative Class 1 14 1 15 0 0 1 1
- ------------------------------------------------------------------------------------- --------------------------------------------
Class A 15 156 1 5 458 458 192 192
- ------------------------------------------------------------------------------------- --------------------------------------------
Class B 1 6 0 1 46 46 15 15
- ------------------------------------------------------------------------------------- --------------------------------------------
Class C 6 57 0 4 1,201 1,201 605 605
- ------------------------------------------------------------------------------------- --------------------------------------------
Cost of shares redeemed
Institutional Class (14,271) (143,369) (13,294) (132,676) (46,048) (46,048) (52,332) (52,332)
- ------------------------------------------------------------------------------------- --------------------------------------------
Administrative Class (401) (4,021) (820) (8,162) (13) (13) (7) (7)
- ------------------------------------------------------------------------------------- --------------------------------------------
Class A (547) (5,496) (189) (1,898) (809,074) (809,074) (274,948) (274,948)
- ------------------------------------------------------------------------------------- --------------------------------------------
Class B (19) (188) (8) (83) (7,065) (7,065) (3,028) (3,028)
- ------------------------------------------------------------------------------------- --------------------------------------------
Class C (170) (1,709) (4) (44) (569,571) (569,571) (230,072) (230,072)
- ------------------------------------------------------------------------------------- --------------------------------------------
Net increase (decrease) resulting
from Fund share transactions 2,269 $ 22,727 5,839 $ 58,337 (10,379) $ (10,379) 129,694 $ 129,694
===================================================================================== ============================================
<CAPTION>
StocksPLUS Fund
-----------------------------------------
Period Ended 9/30/97 Year Ended 3/31/97
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 10,745 $ 143,556 7,685 $ 91,156
- -----------------------------------------------------------------------------------
Administrative Class 22 295 64 746
- -----------------------------------------------------------------------------------
Class A 2,092 27,945 515 6,245
- -----------------------------------------------------------------------------------
Class B 2,484 33,288 720 8,743
- -----------------------------------------------------------------------------------
Class C 3,032 40,503 1,276 15,506
- -----------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0
- -----------------------------------------------------------------------------------
Class B 0 0 0 0
- -----------------------------------------------------------------------------------
Class C 0 0 0 0
- -----------------------------------------------------------------------------------
Issued as reinvestment of distributions
Institutional Class 583 8,121 2,419 28,060
- -----------------------------------------------------------------------------------
Administrative Class 2 22 1 8
- -----------------------------------------------------------------------------------
Class A 40 556 5 64
- -----------------------------------------------------------------------------------
Class B 46 655 7 86
- -----------------------------------------------------------------------------------
Class C 59 810 13 156
- -----------------------------------------------------------------------------------
Cost of shares redeemed
Institutional Class (5,250) (72,360) (3,137) (36,460)
- -----------------------------------------------------------------------------------
Administrative Class (3) (45) (5) (58)
- -----------------------------------------------------------------------------------
Class A (204) (2,744) (15) (182)
- -----------------------------------------------------------------------------------
Class B (98) (1,343) (3) (33)
- -----------------------------------------------------------------------------------
Class C (422) (5,672) (306) (3,565)
- -----------------------------------------------------------------------------------
Net increase (decrease) resulting
from Fund share transactions 13,128 $ 173,587 9,239 $ 110,472
===================================================================================
</TABLE>
81
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1997 (Unaudited)
9. 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 Acquired 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.
82
<PAGE>
(This Page Intentionally Left Blank)
<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 $130 billion in assets
($29 billion in mutual funds), PIMCO Advisors consists of six institutional
investment firms, each specializing in a particular investment discipline or
style. Together their reputation has attracted many prestigious institutional
clients, including 35 of the 100 largest U.S. corporations.
[PICTURE APPEARS HERE]
<TABLE>
<S> <C>
Manager Pacific Investment Management Company, 840 Newport Center
Drive, Suite 360, 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 Shareholder Services, Inc., P.O. Box 5866, Denver, CO
Servicing Agent and 80217
Transfer Agent
Independent Price Waterhouse LLP, 1055 Broadway, Kansas City, MO,
Accountant 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.
</TABLE>
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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