<PAGE>
PIMCOFunds Annual Report
[PICTURE OF BLOCK LAYER APPEARS HERE]
Making sure you own core stock and bond funds is vital in developing a solid
foundation for your investment portfolio. Story on page 4.
March 31, 1998
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
Maintain a Sound Foundation for Your Portfolio
- --------------------------------------------------------------------------------
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; New Account Minimums
- --------------------------------------------------------------------------------
Page 9 Overview: Comprehensive Fund Family
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Page 10 PIMCO Funds Financial Information
<PAGE>
Chairman's Letter
Dear Fellow Shareholder:
Both the stock and bond markets posted strong returns for the one-year period
ended March 31, 1998, surprising many investors. The stock market, as measured
by the Standard & Poor's 500 Index of stocks, rose a remarkable 48%, and the
overall bond market, as measured by the Lehman Aggregate Bond Index, posted a
12% return.
POSITIVE CONDITIONS CONTINUE The last twelve months have been fruitful for
investors, as they watched their portfolios increase in value. There have been
ups and downs along the way, however. Last October, the Dow Jones Industrial
Average fell 554 points in reaction to the financial crisis in Asia, and the
ripple effects continue in the form of market volatility. For the most part,
though, investors have taken these events in stride, adhering to a long-term
investment horizon.
Bond yields fluctuated in a fairly narrow range throughout 1997 and early this
year. We expect this trend to persist, as long-term interest rates should remain
between 5 and 7% through the year 2000. Given this environment, we believe bonds
will post good returns in the coming several years.
LOOKING AHEAD As we enter the second quarter of 1998, there are few signs to
indicate that the financial markets are going to stop their ascent, although we
don't foresee it maintaining this feverish pace. Steady, if not slowing,
economic growth, combined with relatively low inflation and interest rates, are
close to ideal conditions for a sustained bond bull market. However, stock
market valuations are at record highs, and events perceived as negative by
investors could lead to increased volatility in the equity market.
On the next pages you will find a more complete review of the stock and bond
markets, followed by 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. Or, visit our Web site at www.pimcofunds.com.
Sincerely,
/s/ Brent R. Harris
Brent R. Harris
Chairman of the Board
April 23, 1998
<PAGE>
Market Review
The Bond Market
Smooth Sailing Ahead?
After surging in early 1997, interest rates fell, causing bond prices to rise.
[LINE GRAPH APPEARS HERE]
30-YEAR TREASURY RATES, MONTHLY (4/97 to 3/98)
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
6.295
6.431
6.44
6.274
6.154
6.156
6.114
6.034
6.055
6.085
5.926
5.923
5.901
5.839
5.729
5.81
5.971
5.801
5.921
5.85
6.02
5.894
5.886
5.959
The bull market reached beyond equities this past year, as the bond market also
posted impressive returns. Bond prices rose during 1997, as long-term interest
rates fell from 7.1% to 5.9%. High yield bonds led the bond market rally, and
almost every sector of the fixed income market participated.
There were several factors that contributed to the bond market's
performance in 1997, including the strong U.S. dollar, the potential for a
slowing U.S. economy due to the Asian financial crisis, low inflation, and a
reduced threat of a Federal Reserve interest rate hike. In addition, the
volatility in the stock market, combined with portfolio rebalancing stemming
from strong equity performance, caused many investors to reallocate assets into
bonds.
While yields were steady during the first three months of 1998, all was not
quiet on the fixed income front. Much of the excitement revolved around
investors trying to decipher what impact the Asian crisis would have on the U.S.
economy. The U.S. bond market rallied at the beginning of the year, as investors
from around the globe worried about the events in Asia and took shelter in the
safe haven of U.S. Treasury securities.
In February, interest rates increased on signs that the U.S. economy was
stronger than many had expected, which ignited fears that inflation pressures
were building. However, many of those fears were alleviated in March, when
statistics indicated that inflation was still muted. The bond market then
rallied back to yield levels where it started the year.
Looking ahead, the Asian crisis and an underlying global glut of goods are
key pieces in the link towards lower yields and higher bond prices. As a result,
we believe that U.S. inflation could dip below 1% and U.S. Treasury bonds could
approach 5% over the next 12-18 months. For additional details on our bond
market outlook, please refer to the interview with Bill Gross on page 6.
- --------------------------------------------------------------------------------
The Stock Market
Better-Than-Expected Returns
Despite some bumps in the road, stocks continued their seven year climb.
S & P 500 INDEX, MONTHLY (4/97 - 3/98)
[LINE GRAPH APPEARS HERE]
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
929.05
923.91
950.51
945.22
965.03
966.98
944.16
941.64
914.62
927.51
928.35
963.09
955.4
983.79
953.39
946.78
936.46
975.04
927.69
961.51
957.59
980.28
1012.46
1020.09
1034.21
1049.34
1055.69
1068.59
1099.16
1095.44
As the first quarter of 1998 ended, the U.S. stock market exceeded most
investors' expectations by posting very strong gains. The Standard & Poor's 500
Index returned 13.9% during the quarter. The market rebounded from fears that
the Asian crisis would hinder U.S. corporate profits for an extended period.
Evidence of a strong domestic economy, a benign inflation environment, and
a favorable interest rate outlook prompted the market to look beyond several
first-quarter earnings disappointments from some of America's largest companies.
Stock market investors were truly forward-looking, as they believed that the
current economic backdrop would allow healthy corporate earnings growth later
this year and into 1999. In fact, investors seemed to fear not being fully
invested in the stock market at all times. Money that was flowing out of
companies that were providing disappointing results was simply reinvested in
other stocks that were still performing well.
Despite disappointing earnings announcements from companies such as Intel
and Motorola, the technology sector provided very strong returns early in
1998's first quarter, rebounding from a weak fourth quarter in 1997. Financial
stocks also performed well, amid strong profits and takeover activity.
Strong equity returns were not limited to the U.S. markets. Many European
stocks soared, as investors embraced the low inflation, low interest rate
environment, and signaled their approval for the ongoing wave of corporate
restructuring. Several Asian markets rebounded vigorously in the first quarter
of 1998 from their dismal performances of 1997. However, the troubles in Asia
have probably not run their course, which could lead to further volatility in
these markets.
Looking ahead, we are cautiously optimistic about the prospects for the
stock market. The current environment is positive, but we could see an
acceleration in market unrest if inflation and interest rates move upwards.
Given this scenario, it's important for investors to maintain a long-term
outlook and ensure that their portfolios are adequately diversified.
3
<PAGE>
Today's Investor
Maintain a Sound Foundation for Your Portfolio
Start with a core stock and core bond fund
Whether you're an investment novice or a seasoned professional, the recent
gyrations in the financial markets may be unsettling. If this volatility has
caused you to wonder whether your investments can withstand the current climate,
you and your financial advisor should take a fresh look at your entire
portfolio. A key first step is to make sure you have a solid foundation of both
stock and bond fund investments.
A Variety of Investment Opportunities
Determining exactly which stock and bond funds to select as core investments is
not as simple as it may seem. Within the stock and bond security classes are any
number of sub-categories, each with its own potential risk and reward profile.
These sub-categories provide you with a wide variety of investment
opportunities.
The Bond Market
The bond market can be broadly dissected into four major sectors: government,
mortgage, corporate, and foreign. And securities within each sector are
typically available with varying maturities. Bonds are further divided according
to their credit quality--either investment grade or high yield.
Different bonds perform better in different economic conditions. And, bonds that
invest in foreign countries often perform out of step with U.S. bonds.
Top-Performing Bond Sectors by Year
No single sector of the bond market consistently outperforms.
Government High Yield Foreign Short-Term
- --------------------------------------------------------------------------------
1997 9.6% 12.8% 11.1% 6.7%
1996 2.8% 11.1% 11.8% 5.1%
1995 18.3% 19.9% 17.9% 11.0%
1994 -3.4% -1.2% -4.0% 0.6%
1993 10.7% 17.2% 13.4% 5.6%
1992 7.2% 18.2% 8.0% 6.4%
1991 15.3% 34.6% 11.1% 11.8%
1990 8.7% -4.4% 3.3% 9.7%
- --------------------------------------------------------------------------------
Past performance is no guarantee of future results. "Government Bonds" based on
the return of the Lehman Government Bond Index. "Short-Term Bonds" based on the
return of the Lehman 1-3 Year Government/Corporate Index. "Foreign Bonds" based
on the return of the Salomon Brothers Currency Hedged Non-U.S. Bond Index. "High
Yield Bonds" based on the return of the Merrill Lynch High Yield Index. It is
not possible to invest directly in an unmanaged index. Source: Lipper Analytical
Services, Inc. Performance is not representative of any PIMCO Fund.
Building a Foundation With Bonds
An actively managed mutual fund that primarily invests in intermediate-term,
investment grade bonds is typically considered the foundation of the fixed
income portion of a portfolio.
However, the fund should also have the flexibility to invest in all sectors,
maturities and quality levels of the bond market. By adapting to changing
economic and market conditions, this type of fund can rotate sectors, lengthen
or shorten maturities, and adjust quality to maximize investment opportunities.
How Bonds of Various Maturities React
To Changing Interest Rates
When interest rates fall, bond prices rise, and vice versa. The longer a bond's
maturity (date when it comes due), the more volatile its price will be when
interest rates rise or fall.
[GRAPH APPEARS HERE]
Average Annual Changes in Price
<TABLE>
<CAPTION>
Short-Term Intermediate-Term Long-Term
Govt. Bond Govt. Bond Govt. Bond
<S> <C> <C> <C>
Declining Interest Rates 1.4% 3.7% 6.8%
Rising Interest Rates -0.4% -2.6% -5.3%
</TABLE>
Data from 1926-1996. Past performance is no guarantee of future results.
Source: Ibbotson Associates.
Build Around the Bond Core
After selecting a core bond fund, you may want to supplement your fixed income
portfolio with more sector-specific holdings, such as a high yield or foreign
bond fund. That way, you can tailor your investments to best achieve your
financial goals, and can further diversify your overall portfolio.
Building on the Bond Foundation
[ARTWORK APPEARS HERE]
There is a variety of fixed income investment choices that can supplement a core
bond fund.
4
<PAGE>
The Stock Market
Within the stock market, you have the option of investing in small-, medium- or
large-sized companies. Beyond the different size categories, you could invest in
domestic or international stocks, stocks issued by companies in relatively
stable industries (such as utilities), or stocks of companies in high growth and
high volatility industries (such as technology). As with bonds, returns in
stocks vary cyclically based on market conditions.
The Stock Foundation
Stocks of large-capitalization companies, or large-caps, are typically
considered the foundation of the equity portion of a portfolio. Large-cap
companies are generally household names, and they also make up the greatest
share of the overall U.S. equity market. As such, they are an important
cornerstone of the stock portion of your investment portfolio.
Large-Caps Constitute the Bulk of the Stock Market
[PIE CHART APPEARS HERE]
U.S. Equity Market
Large Cap 75%
Mid-Cap 18%
Small-Cap 7%
While the total number of large-cap stocks is much less than the small- and
mid-cap stock universe, large-caps represent 75% of the capitalization of the
overall U.S. equity market.
Source: Russell Data Services.
Large-cap stocks are also a more conservative investment than small- and mid-cap
stocks, and their history of significant appreciation makes them competitive
with riskier small- and mid-caps.
Potential Risk and Reward by Company Size
Large-cap stocks have historically been less risky than small- and mid-cap
stocks, while providing solid returns (12/31/79-12/31/97).
[GRAPH APPEARS HERE]
RETURN
20 ______________________________________________________________
19 ______________________________________________________________
18 ______________________________________________________________
Large cap [ ]--------------------------------------------16.9%
17 ___________________|__________________________________________
| Mid cap [ ]----------------------------16.8%
16 ___________________|_______________|___________________________
| |
15 ___________________|_______________|__________________________
| | Small cap [ ]-----------14.50%
14 ___________________|_______________|________________|_________
| | |
13 ___________________|_______________|________________|_________
| | |
12 ___________________|_______________|________________|_________
| | |
11 ___________________|_______________|________________|_________
| | |
10 .__________________|__________.____|________________|_________.
15 | 20 | | 25
| | |
16.5% 19.46% 24.0%
Risk: Standard deviation of annual returns
Past performance is no guarantee of future results. "Large-Cap Stocks"
represented by the S&P 500 Index, an unmanaged index of common stocks. "Mid-Cap
Stocks" represented by Russell Mid-Cap Index. "Small-Cap Stocks" represented by
Russell 2000 Index. It is not possible to invest in an unmanaged index.
Volatility is measured by standard deviation of annual returns. Source: Ibbotson
Associates. Performance is not representative of any PIMCO Fund.
A side benefit of investing in large-cap U.S. stocks is that many of these
companies generate a significant portion of their sales in foreign countries. A
strong foreign presence can be similar to investing in an international stock
without actually owning one of those securities. For example, Coca-Cola's sales
in foreign countries accounted for 66% of its total sales in 1997.*
One of the best ways to access large-caps is through actively managed stock
funds. Along with instant diversification, active management can be an added
benefit. Unlike an index stock fund that seeks to mirror a given index, such as
the S&P 500, an actively managed fund portfolio will be closely monitored and
adjusted to meet changing economic and market conditions.
Supplement the Stock Core
As with the bond portion of your portfolio, once your core stock fund is in
place you may want to supplement your equity investments with other types of
stock funds, such as a small-cap or international. Again, this can help you to
better aim towards your financial goals, and will diversify your overall
portfolio.
Building on the Stock Foundation
[ARTWORK APPEARS HERE]
There is a variety of equity investment choices that can supplement a core stock
fund.
Keeping Your Balance
With the abundance of stock and bond funds to choose from, how do you decide
which ones should anchor your portfolio? Given the fact that the bull market in
stocks is now in its eighth year, it may be tempting to invest the bulk of your
portfolio in the equity market. But a portfolio that's top-heavy in stocks could
feel the brunt of the decline if the stock market enters a correction. By
working with your financial advisor to build the foundation of your portfolio
with stock and bond funds, you can diversify your assets and help protect them
against the risk of loss.
Review Your Portfolio Regularly
After your portfolio is in place, you should still speak regularly with your
financial advisor to determine if any changes need to be made. Your advisor can
review all of your individual holdings to make sure that they remain consistent
with your overall investment goals. And your advisor can make adjustments to
your portfolio over time, especially to any sector-specific holdings.
* Source: The Coca-Cola Company 1997 Annual Report.
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, Low Duration, and
Short-Term Funds and is leader of the team that manages the StocksPLUS Fund. Mr.
Gross' views on the financial markets are regularly featured in The Wall Street
Journal, Barron's, Money magazine and The New York Times. We recently spoke with
him regarding his latest outlook for the economy and the bond market.
Q: How would you describe economic conditions in the
United States?
A: The current environment is quite unique for a variety of reasons. First,
we've experienced eight years of economic growth with seemingly no end in sight.
Second, there have been three consecutive years of 20-plus percent gains in the
stock market, with the public expecting more than 30 percent return annually
through the turn of the century. But, the most dramatic difference is that
inflation is declining in the face of 4.7 percent unemployment--the tightest job
market in decades. Historically, declining unemployment levels have triggered
increasing rates of inflation.
Q: Does this mean you feel inflation is on the upswing?
A: Not at all. The Asian crisis has helped contain inflation, and it will
continue to affect U.S. prices. Because of the dramatic depreciation of many
Asian currencies against the dollar, the prices of many goods imported from that
region have declined noticeably. Those price declines have in turn helped keep
the cost of many U.S. manufactured goods down as well. If, as I expect, U.S.
economic growth is substantially affected by the Asian crisis, then unemployment
will likely increase in coming months, helping to alleviate wage pressures.
Q: How long could the current economic climate last?
A: Despite the fact that the Asian crisis may hinder world economic growth for
perhaps one to two years, there is little reason to believe that the U.S. dollar
can continue to appreciate at 10 to 15 percent annually as it has in the recent
past. Absent those types of gains, the inflation-lowering impact of reduced
import prices may fade beginning next year.
Q: What are your current predictions for the global economy?
A: I believe that U.S. consumers, supported by high employment, gains in real
personal income, and asset appreciation, will sustain U.S. economic growth at a
steady pace over the next six to nine months. However, the Asian crisis has
placed us in a period of global glut, meaning that there are too many goods
being produced relative to demand. As I believe that this glut is more than
cyclical in nature, I expect that Asia and the rest of the world will go through
a period of slower than average growth for the next several years.
Q: What do you think will happen in the bond market?
A: Along with the worldwide slowdown in growth will be sharply lower commodity
prices and pressure on corporate profit margins, which should trigger even lower
inflation and a continuation of the bond bull market. Over the next 12-18
months, U.S. inflation is likely to dip below 1% and U.S. Treasury bonds could
approach 5%. The Asian crisis, its conflicting solutions, and the underlying
global glut are key pieces in the link towards lower yields and higher bond
prices.
Q: What is your current strategy for the flagship PIMCO Total Return Fund?
A: We will underweight the investment grade corporate sector of the Fund's
portfolio, as we see corporate profits slowing and these bonds' returns trailing
those of U.S. government securities. Our international holdings will remain
selective, as we feel that foreign bonds currently offer less value than
domestic issues. The portfolio will, however, retain a small exposure to debt in
those emerging market countries that we believe are well insulated from any
further Asian turmoil.
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
The PIMCO Funds and their institutional portfolio managers are regularly
featured in the press. Here is a sample of some recent articles.
. Pacific Investment Management Company, a PIMCO Advisors investment management
firm, was featured as one of the premier taxable bond fund managers in both
Barron's (2/98) and Morningstar Investor (3/98). In addition, the firm was
featured in a November issue of Forbes. In the article, Forbes said, "When it
comes to producing results for investors, PIMCO regularly outperforms other
fixed-income giants."
. The insights of Bill Gross continue to be sought out by the press. In recent
months his views appeared in The Wall Street Journal, Business Week, Barron's,
Investment News, Bloomberg Personal Finance, The New York Times and on CNN and
CNBC.
. Morningstar praised PIMCO StocksPLUS Fund in its January 1998 review of the
Fund, saying, "Overall, the Fund's strategy and track record make it one of the
most attractive large-cap blend options around."
. In a review of PIMCO High Yield Fund, Morningstar said, "It's amazing that
PIMCO High Yield Fund's relative performance has been so good...This Fund is
hard to argue against" (3/98).
. The Wall Street Journal and Investor's Business Daily interviewed Tony Rizza,
a manager of PIMCO Growth and Innovation Funds, in March. Mr. Rizza provided his
top picks in the technology sector for the publications.
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 March 31, 1998.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
PIMCO STOCK FUNDS Overall 3 Year 5 Year 10 Year
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
StockPLUS ***** 5 - -
Renaissance ***** 5 5 -
Equity Income **** 5 4 -
Value **** 4 4 -
Capital Appreciation **** 5 4 -
Mid-Cap Growth **** 5 4 -
Small-Cap Value **** 5 4 -
- ---------------------------------------------------------------------------------------------------------------------
PIMCO BOND FUNDS Overall 3 Year 5 Year 10 Year
- ---------------------------------------------------------------------------------------------------------------------
Total Return ***** 4 4 5
High Yield ***** 5 5 -
Foreign Bond ***** 5 5 -
Low Duration **** 4 4 4
Short-Term **** 4 5 4
</TABLE>
The chart above is based on March 31, 1998 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 2,437, 1,363 and 698 domestic
equity funds and 1,403,831 and 329 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, ratings are based on institutional class shares, which
generally have a $5 million minimum investment. 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 expenses and sales charges. Under special
circumstances, institutional shares may be available. Call for details. 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
PIMCOFunds Is on the Web
www.pimcofunds.com
Have you had an opportunity to visit the PIMCO Funds Web site? If not, you're
missing the ability to access the most timely and comprehensive information
available on all of the PIMCO Funds. In addition, the site includes daily
commentary from our fund managers, with insights on the economy and other
factors affecting the financial markets. We can be found on the Worldwide Web at
www.pimcofunds.com.
[CHART APPEARS HERE]
The site is divided into three main sections:
Investment Insight provides complete details on each fund's investment manager,
including its investment process, biographies, a manager's update and more.
Fund Information contains profiles of all the PIMCO Funds, including performance
data, a summary of each fund's portfolio and fund share prices (NAVs), updated
each business day.
Resources features a document library that contains prospectuses, applications
and other forms that you can view, print or order. It also has information about
our convenient shareholder services, and a listing 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.
- --------------------------------------------------------------------------------
Announcing New Investment Minimums
Beginning April 1, 1998 new initial investment minimums went into effect for
PIMCO Funds (see table below). These changes were made in an effort to control
account maintenance expenses.
Per Fund Minimum Minimum Subsequent
Account Type Initial Investment Investments
Regular $2,500 $100
- --------------------------------------------------------------------
IRA 1,000 100
- --------------------------------------------------------------------
UGMA 1,000 100
- --------------------------------------------------------------------
Auto-Invest 1,000 50
- --------------------------------------------------------------------
Certain Qualified Plans* 50 50
* Employer-sponsored plans, including SIMPLE IRAs, SEPs, SAR-SEPs, and 401(k)s.
Direct Account Low Balance Fee
To help partially offset the relatively higher costs of servicing smaller
accounts, a quarterly fee of $4 (up to $16 annually) will now be applied to
direct accounts with balances that fall below our new investment minimums. A
direct account is an account where the shareholder receives statements directly
from PIMCO Funds.
The valuation of accounts and the deduction are expected to take place
during the last five business days of each calendar quarter--beginning in late
September. In summary:
. No fee will be charged on accounts with balances at or above the initial
investment minimums.
. No fee will be charged on accounts that fall below the minimum due solely to
market declines.
. No fee will be charged on any account of a shareholder if the aggregate value
of all the shareholder's PIMCO Funds direct accounts is at least $50,000.
. The fee will not apply to employer-sponsored retirement
plan accounts or 403(b)(7) custodial accounts.
A letter will be sent to direct account shareholders whose account balance is
below the minimum as of early September. If you have any questions regarding
these changes, please call us at 1-800-426-0107.
8
<PAGE>
The PIMCO Funds Family
PIMCO Funds offers unique access to the institutional investment capabilities of
PIMCO Advisors L.P., manager of over $217 billion. PIMCO Advisors owns seven
independent investment firms, each seeking the highest caliber performance in a
specific discipline. Six of these firms currently manage PIMCO Funds. Together,
their superior standard of expertise has attracted many prestigious clients,
including 46 of the 100 largest U.S. corporations. 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
- ----------------------------------------------------------------------------------------------------------------------------------
Municipal Bond High current income exempt from Investment grade municipal bonds Pacific Investment
federal income tax (3-10 year duration) Management Company
- ----------------------------------------------------------------------------------------------------------------------------------
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 Pacific Investment
grade foreign bonds Management Company
(3-6 year duration)
- ----------------------------------------------------------------------------------------------------------------------------------
Global Bond II Maximum total return Intermediate-term, investment Pacific Investment
grade 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 Pacific Investment
grade bonds Management Company
(3-6 year duration)
- ----------------------------------------------------------------------------------------------------------------------------------
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 preservation short-term bonds(up to 1 year duration) Management Company
of capital and daily liquidity
- ----------------------------------------------------------------------------------------------------------------------------------
Money Market Maximum current income consistent Short-term money market Pacific Investment
with preservation of capital instruments (duration less than 1 year) Management Company
and daily liquidity
<CAPTION>
Stock & Bond Funds Objective Primary Portfolio Composition PIMCO Advisors Manager
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Balanced Total return Stocks, bonds and money Cadence/NFJ/Pacific
market instruments Investment Management
Stock Funds Objective Primary Portfolio Composition PIMCO Advisors Manager
- -----------------------------------------------------------------------------------------------------------------------------------
Equity Income Current income and long-term growth Stocks of companies with NFJ Investment Group
below-average P/Es
and above-average dividends
- -----------------------------------------------------------------------------------------------------------------------------------
Renaissance Long-term growth of capital and income Income-producing stocks and Columbus Circle Investors
convertible securities
- -----------------------------------------------------------------------------------------------------------------------------------
StocksPLUS Total return exceeding the S&P 500 Index S&P 500 stock index futures Pacific Investment
backed by a portfolio Management Company
of short-term, fixed-income securities
- -----------------------------------------------------------------------------------------------------------------------------------
Value Long-term growth of capital and income Stocks of companies with NFJ Investment Group
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 income Stocks of smaller-capitalized NFJ Investment Group
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 in Blairlogie Capital
Developed developed markets Management
- -----------------------------------------------------------------------------------------------------------------------------------
International Capital appreciation Stocks of non-U.S. companies in Blairlogie Capital
developed and emerging markets Management
- -----------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Long-term growth of capital Stocks of non-U.S. companies in emerging Blairlogie Capital
markets Management
- -----------------------------------------------------------------------------------------------------------------------------------
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 March 31,
1998. 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 23-62 SCHEDULE OF INVESTMENTS
The schedule of investments includes a listing of securities in the Fund's
portfolio as of March 31, 1998, including the number of shares or principal
amount and value as of that date.
Schedule of
Bond Funds Fund Summary Investments
Long-Term U.S. Government Fund Page 11 Page 23
Foreign Bond Fund Page 12 Page 25
Global Bond Fund II Page 13 Page 29
Emerging Markets Bond Fund Page 14 Page 32
High Yield Fund Page 15 Page 34
Total Return Fund Page 16 Page 38
Real Return Bond Fund Page 17 Page 51
Low Duration Fund Page 18 Page 52
Short-Term Fund Page 19 Page 57
Money Market Fund Page 20 Page 59
StocksPLUS Fund Page 21 Page 60
PAGE 64-67 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
This is 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 FLOWS
This reports the increase or decrease in a Fund's cash balance during the
reporting period. Changes in cash balances are due to a variety of factors,
including investment operations, dividends, distributions and capital share
transactions.
PAGE 75-86 NOTES TO FINANCIAL STATEMENTS
These contain 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>
PIMCO Long-Term U.S. Government Fund
March 31, 1998
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily longer-term U.S. Government securities.
Duration
Range:
equal to or greater than 8 years
Total Net Assets:
$74 million
PIMCO Advisors Institutional Manager:
Pacific Investment Management Company
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
PERFORMANCE*
- -------------------------------------------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/98
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 19.8% 14.4% 18.9% 13.9% 17.9% 11.5% 19.9% 12.0%
3 years 12.8% 11.1% 12.5% 11.7% 12.5% 8.1% 12.0% 9.2%
5 years 9.6% 8.6% 9.3% 9.1% 9.4% 5.8% 8.7% 6.9%
Inception 12.7% 11.9% 12.6% 12.6% 12.6% -- -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO LEHMAN INT LEHMAN AGG.
LONG-TERM A LONG-TERM B LONG-TERM C & BOND INDEX
20-YEAR TREAS
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
09/30/91 10,395.42 10,885.25 10,385.25 10,831.37 10,567.97
12/31/91 11,286.57 11,818.40 11,818.40 11,549.88 11,103.86
03/31/92 10,989.53 11,507.36 11,507.36 11,125.87 10,961.87
06/30/92 11,490.87 12,032.32 12,032.32 11,563.76 11,404.21
09/30/92 12,492.86 13,081.53 13,081.53 12,299.69 11,894.10
12/31/92 12,633.11 13,228.38 13,228.38 12,442.71 11,925.73
03/31/93 13,563.52 14,202.64 14,202.64 13,217.18 12,418.72
06/30/93 14,403.22 15,081.91 15,081.91 13,901.34 12,748.04
09/30/93 15,220.58 15,937.78 15,937.78 14,703.08 13,080.68
12/31/93 14,979.72 15,685.57 15,685.57 14,505.41 13,088.42
03/31/94 14,123.89 14,789.42 14,789.42 13,650.57 12,713.32
06/30/94 13,760.55 14,408.96 14,408.96 13,258.50 12,582.16
09/30/94 13,692.98 14,338.19 14,338.19 13,160.62 12,658.91
12/31/94 13,872.84 14,526.53 14,526.53 13,411.34 12,706.68
03/31/95 14,900.79 15,602.93 15,602.93 14,269.38 13,347.64
06/30/95 16,504.70 17,282.41 17,282.41 15,759.02 14,160.88
09/30/95 16,943.92 17,742.33 17,742.33 16,127.51 14,438.89
12/31/95 18,293.06 19,113.15 19,113.15 17,364.12 15,054.19
03/31/96 17,110.76 17,917.01 17,917.01 16,270.82 14,787.23
06/30/96 17,089.52 17,894.79 17,894.79 16,267.63 14,871.28
09/30/96 17,386.67 18,205.94 18,205.94 16,505.37 15,146.41
12/31/96 18,382.57 19,248.77 19,248.77 17,263.24 15,600.70
03/31/97 17,865.40 18,669.54 18,686.39 16,721.40 15,513.56
06/30/97 18,834.08 19,643.17 19,658.98 17,632.52 16,083.29
09/30/97 19,866.61 20,861.30 20,698.10 18,607.66 16,617.64
12/31/97 21,072.51 21,891.15 21,911.01 19,746.80 17,106.87
03/31/98 21,401.25 22,191.06 22,209.00 20,043.10 17,371.61
</TABLE>
*Past performance is not an indication of future results. The adjusted returns
above include the effect of applicable sales charges. Excluding the 1-year
returns, these 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
- -------------------------------------
Maturity Profile
- -------------------------------------
1 year or less 46%
- -------------------------------------
1-5 years 23%
- -------------------------------------
5-10 years 1%
- -------------------------------------
10-20 years 4%
- -------------------------------------
20-30 years 26%
- -------------------------------------
Duration 10.3 years
- -------------------------------------
Sector Breakdown
- -------------------------------------
U.S. Treasury Obligations 45.6%
- -------------------------------------
Mortgage-Backed Securities 41.3%
- -------------------------------------
Short-Term Instruments 5.3%
- -------------------------------------
U.S. Government Agencies 5.2%
- -------------------------------------
Asset-Backed Securities 2.6%
- -------------------------------------
Quality Breakdown
- -------------------------------------
AAA 99%
- -------------------------------------
AA 1%
- -------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Long-Term U.S. Government Fund posted excellent results for the one-year
period ended March 31, 1998, as Class A shares returned 19.8%, Class B 18.9%,
and Class C 17.9%. These returns handily outperformed the Lipper General U.S.
Government Fund Average of 11.5% for the same time period.
During the last 12 months, yields on 30-year Treasury bonds fell to just under
6.0%, as expectations for future inflation declined amid uncertainty surrounding
the ongoing Asian crisis. Intermediate- and longer-term Treasury yields fell
from 7.1% to 5.9%, while short-term interest rates dropped only 0.58%. 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 sizeable allocation in mortgage-backed securities over the period
enhanced performance. These instruments outperformed Treasuries, due to their
higher yields and improving relative valuations. Both fixed- and adjustable-rate
mortgages provided incremental yield, as they benefited from lower 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 currently anticipates that long-term bonds will
continue to trade within a 5-7% range over the next several 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>
PIMCO Foreign Bond Fund
March 31, 1998
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:
$430 million
PIMCO Advisors Institutional Manager:
Pacific Investment Management Company
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------
PERFORMANCE*
- ---------------------------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/98
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 12.1% 7.1% 11.3% 6.3% 10.3% 4.9% 13.3%
3 years 17.1% 15.3% 16.8% 16.0% 16.8% 6.2% 13.4%
5 years 11.2% 10.2% 11.0% 10.7% 11.0% 6.9% 9.9%
Inception 11.5% 10.5% 11.3% 11.2% 11.3% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO JP MORGAN
FOREIGN A FOREIGN B FOREIGN C NON-U.S.
INDEX
====================================================================
<S> <C> <C> <C> <C>
12/31/92 9,550.00 10,000.00 10,000.00 10,000.00
03/31/93 9,878.15 10,343.61 10,343.61 10,279.82
06/30/93 10,203.26 10,684.04 10,684.04 10,549.32
09/30/93 10,658.04 11,160.25 11,160.25 10,936.18
12/31/93 11,116.33 11,640.13 11,640.13 11,390.20
03/31/94 10,647.29 11,149.00 11,149.00 10,977.44
06/30/94 10,201.30 10,681.98 10,681.98 10,668.57
09/30/94 10,181.87 10,661.64 10,661.64 10,645.46
12/31/94 10,304.70 10,790.26 10,790.26 10,812.73
03/31/95 10,450.80 10,943.24 10,943.24 11,297.46
06/30/95 11,059.64 11,580.77 11,580.77 11,814.42
09/30/95 11,649.30 12,198.22 12,198.22 12,258.02
12/31/95 12,491.43 13,080.03 13,080.03 12,784.57
03/31/96 12,728.88 13,328.67 13,328.67 12,892.71
06/30/96 13,236.35 13,860.05 13,860.05 13,245.18
09/30/96 14,077.09 14,740.40 14,740.40 13,810.02
12/31/96 14,850.99 15,550.78 15,550.78 14,338.69
03/31/97 14,962.54 15,647.17 15,651.79 14,533.41
06/30/97 15,470.03 16,147.51 16,152.28 15,017.79
09/30/97 15,956.54 16,622.37 16,627.28 15,545.25
12/31/97 16,202.27 16,845.11 16,850.09 15,962.23
03/31/98 16,779.07 17,312.79 17,417.93 16,463.71
</TABLE>
*Past performance is not an indication of future results. The adjusted returns
above include the effect of applicable sales charges. Excluding the 1-year
returns, these 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
- -------------------------------------
Maturity Profile
- -------------------------------------
1 year or less 74%
- -------------------------------------
1-5 years 14%
- -------------------------------------
5-10 years 10%
- -------------------------------------
10-20 years 2%
- -------------------------------------
Duration 5.6 years
- -------------------------------------
Top 10 Countries
- -------------------------------------
1. United States 6. Italy
- -------------------------------------
2. Germany 7. Australia
- -------------------------------------
3. United Kingdom 8. Greece
- -------------------------------------
4. Sweden 9. Finland
- -------------------------------------
5. Japan 10. France
- -------------------------------------
Quality Breakdown
- -------------------------------------
AAA 71%
- -------------------------------------
AA 14%
- -------------------------------------
A 7%
- -------------------------------------
BBB 3%
- -------------------------------------
BB 5%
- -------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Foreign Bond Fund turned in excellent performance for the 12-month period
ended March 31, 1998, posting returns of 12.1% for its Class A shares, and 11.3%
for its Class B shares and 10.3% for its Class C shares. These returns handily
outperformed the Lipper International Income Fund Average. 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 over the past year. The portfolio
benefited from an overweight position in Australia and Canada, two of the
world's top-performing bond markets during the past 12 months. The Fund's
underweight position in Japan also boosted returns, as that country
underperformed its benchmark index.
Within Europe, the Fund was helped by its 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 overweight position 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.
The Fund was also aided by its overweight position in Greece, which posted
strong returns on its announcement that it was targeting EMU entrance for 2001.
Greece's subsequent currency devaluation took the pressure off of short-term
interest rates, unlocking value in the 10-year bond sector with higher yields.
Declines in Argentina and Mexico due to the Asian currency crisis had a
negative impact on performance during 1997, but these countries enjoyed a strong
rebound during the first quarter of 1998.
Looking ahead, the manager currently forecasts further interest rate declines
across many of the world's major markets, and currently 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 25 for financial details.
<PAGE>
PIMCO Global Bond Fund II
March 31, 1998
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:
$42 million
PIMCO Advisors Institutional Manager:
Pacific Investment Management
Company
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
PERFORMANCE*
- ---------------------------------------------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/98
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 11.2% 6.2% 10.4% 5.4% 9.4% 7.6% 13.0%
Inception 12.3% 10.3% 11.7% 10.6% 11.7% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO JP MORGAN
GLOBAL II A GLOBAL II B GLOBAL II C GLOBAL
INDEX
======================================================================
<S> <C> <C> <C> <C>
09/30/95 9,550.00 10,000.00 10,000.00 10,000.00
12/31/95 10,028.75 10,503.37 10,503.37 10,302.08
03/31/96 10,046.16 10,516.36 10,516.36 10,278.86
06/30/96 10,255.05 10,724.46 10,725.43 10,471.15
09/30/96 10,799.65 11,261.89 11,262.90 10,814.25
12/31/96 11,284.87 11,757.63 11,748.07 11,188.25
03/31/97 11,301.18 11,741.79 11,742.73 11,254.79
06/30/97 11,721.94 12,156.10 12,157.08 11,638.15
09/30/97 12,143.22 12,569.37 12,570.38 12,043.43
12/31/97 12,220.94 12,625.93 12,626.94 12,404.56
03/31/98 12,569.24 12,663.04 12,962.82 12,714.40
</TABLE>
*Past performance is not an indication of future results. The adjusted returns
above include the effect of applicable sales charges. 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
- -------------------------------------
1 year or less 87%
- -------------------------------------
1-5 years 7%
- -------------------------------------
5-10 years 4%
- -------------------------------------
10-20 years 2%
- -------------------------------------
Duration 5.6 years
- -------------------------------------
Top 10 Countries
- -------------------------------------
1. United Kingdom 6. Greece
- -------------------------------------
2. United States 7. Italy
- -------------------------------------
3. Sweden 8. Spain
- -------------------------------------
4. France 9. Canada
- -------------------------------------
5. Germany 10. Finland
- -------------------------------------
Quality Breakdown
- -------------------------------------
AAA 77%
- -------------------------------------
AA 11%
- -------------------------------------
A 8%
- -------------------------------------
BBB 2%
- -------------------------------------
BB 2%
- -------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Global Bond Fund II posted strong results over the past 12 months, returning
11.2% for its Class A shares, and 10.4% for its Class B shares and 9.4% for its
Class C shares. These returns outperformed the Lipper Global Income Bond Fund
Average. 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 United States,
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 overweighted positions in the dollar-bloc nations of Australia and
Canada, two of the world's top-performing bond markets during the past 12
months. The Fund's underweight position in Japan also boosted returns, as that
country underperformed its benchmark index.
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 overweight position 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.
The Fund also benefited from its overweight position in Greece, which posted
strong returns on its announcement that it was targeting EMU entrance for 2001.
Greece's subsequent currency devaluation took the pressure off of short-term
interest rates, unlocking value in the 10-year bond sector with higher yields.
Declines in Argentina and Mexico due to the Asian currency crisis had a
negative impact on performance during 1997, but these countries enjoyed a strong
rebound during the first quarter of 1998.
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 currently anticipates that the Fund will
maintain an above-index duration in the coming months.
See page 29 for financial details. 13
<PAGE>
PIMCO Emerging Markets Bond Fund
March 31, 1998
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
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
PERFORMANCE*
- ---------------------------------------------------------------------------------------------------------------------
Total Return For period ended 3/31/98
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. Mkts.
Adjusted Adjusted Adjusted Debt Fund Avg. Bond Fund Index
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Inception 2.8% -1.8% 2.3% -2.6% 1.3% 3.0% 3.5%
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO JP MORGAN
EMERGING EMERGING EMERGING EMERGING
MARKETS A MARKETS B MARKETS C MARKETS
====================================================================
<S> <C> <C> <C> <C>
06/30/97 9,550.00 10,000.00 10,000.00 10,000.00
09/30/97 9,692.95 10,153.53 10,134.60 10,264.29
12/31/97 9,266.46 9,668.40 9,669.42 9,641.44
03/31/98 9,821.52 9,728.20 10,129.28 10,354.15
</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
- -------------------------------------
1 year or less 64%
- -------------------------------------
1-5 years 0%
- -------------------------------------
5-10 years 15%
- -------------------------------------
10-20 years 16%
- -------------------------------------
20-30 years 5%
- -------------------------------------
Duration 4.3 years
- -------------------------------------
Top 10 Countries
- -------------------------------------
1. Brazil 6. Croatia
- -------------------------------------
2. Argentina 7. Philippines
- -------------------------------------
3. United States 8. Bulgaria
- -------------------------------------
4. Mexico 9. Venezuela
- -------------------------------------
5. Russia 10. Peru
- -------------------------------------
Quality Breakdown
- -------------------------------------
AAA 6%
- -------------------------------------
BBB 19%
- -------------------------------------
BB 71%
- -------------------------------------
B 4%
- -------------------------------------
- --------------------------------------------------------------------------------
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 capital appreciation potential. From its
inception through March 31, 1998, the Fund returned 2.8% for its Class A shares,
and 2.3% for its Class B shares and 1.3% for its Class C shares.
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. In addition, relative value
strategies, such as managing the short-term portion of the portfolio, boosted
returns. Country selection focused on higher yielding markets, such as Bulgaria
and Brazil, as well as areas that the Fund's manager believed were improperly
valued in the market, such as Croatia, Poland and the Philippines. In general,
country selection added value, with underweighted positions in Venezuela and
Russia--the two worst performing markets--ultimately adding to relative returns.
Our allocations in short-term local currency instruments helped the Fund's
performance due to small investments in the Argentine peso and the Polish zloty.
Despite the first quarter's rebound in emerging country debt, yield increases
over 1997 levels have improved long-term value in fixed-income markets. This is
particularly true given that we believe that longer-term forces are still in
place to enhance countries' ability to repay debt. With this in mind, the
duration of the Fund will remain slightly above that of the index to capitalize
on this bullish outlook.
14 See page 32 for financial details.
<PAGE>
PIMCO High Yield Fund
March 31, 1998
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:
$2,211 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
PERFORMANCE*
- ---------------------------------------------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/98
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 14.8% 9.6% 13.9% 8.9% 12.9% 16.9% 12.7%
3 years 14.1% 12.4% 13.8% 13.0% 13.8% 14.3% 11.9%
5 years 12.4% 11.3% 12.1% 11.9% 12.2% 10.8% 10.3%
Inception 13.0% 12.0% 12.8% 12.7% 12.8% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
LEHMAN BB
PIMCO PIMCO PIMCO INT. CORP.
HIGH YIELD A HIGH YIELD B HIGH YIELD C INDEX
================================================================================
<S> <C> <C> <C> <C>
12/31/92 9,550.00 10,000.00 10,000.00 10,000.00
03/31/93 10,148.47 10,626.67 10,626.67 10,478.18
06/30/93 10,612.45 11,112.51 11,112.51 10,870.05
09/30/93 10,861.58 11,373.38 11,373.38 11,188.29
12/31/93 11,336.10 11,870.26 11,870.26 11,465.45
03/31/94 11,229.36 11,758.49 11,758.49 11,287.79
06/30/94 11,228.10 11,757.17 11,757.17 11,264.99
09/30/94 11,508.64 12,050.93 12,050.93 11,544.03
12/31/94 11,607.82 12,154.79 12,154.79 11,563.15
03/31/95 12,219.16 12,794.93 12,794.93 12,220.30
06/30/95 12,953.43 13,563.80 13,563.80 12,944.08
09/30/95 13,413.06 14,045.09 14,045.09 13,279.52
12/31/95 14,008.33 14,668.40 14,668.40 13,767.20
03/31/96 14,137.82 14,804.00 14,804.00 13,867.38
06/30/96 14,306.28 14,980.40 14,980.40 14,031.16
09/30/96 15,010.24 15,717.53 15,717.53 14,526.95
12/31/96 15,644.85 16,382.04 16,382.04 15,059.46
03/31/97 15,826.53 16,540.95 16,544.22 15,203.37
06/30/97 16,588.02 17,304.41 17,307.84 15,857.04
09/30/97 17,281.32 17,992.10 17,995.66 16,428.39
12/31/97 17,645.95 18,337.55 18,341.18 16,752.35
03/31/98 18,170.04 18,747.33 18,852.90 17,140.37
</TABLE>
*Past performance is not an indication of future results. The adjusted returns
above include the effect of applicable sales charges. Excluding the 1-year
returns, these 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
- -------------------------------------
Maturity Profile
- -------------------------------------
1 year or less 16%
- -------------------------------------
1-5 years 29%
- -------------------------------------
5-10 years 43%
- -------------------------------------
10-20 years 12%
- -------------------------------------
Duration 4.4 years
- -------------------------------------
Sector Breakdown
- -------------------------------------
Corporate Bonds and Notes 81.9%
- -------------------------------------
Asset-Backed Securities 5.4%
- -------------------------------------
Short-Term Instruments 5.3%
- -------------------------------------
Preferred Stock 4.5%
- -------------------------------------
Mortgage-Backed Securities 2.1%
- -------------------------------------
Other 0.8%
- -------------------------------------
Quality Breakdown
- -------------------------------------
BBB 7%
- -------------------------------------
BB 47%
- -------------------------------------
B 46%
- -------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The High Yield Fund gave a solid performance over the 12 months ended March 31,
1998, posting returns of 14.8% for the Class A shares, and 13.9% for the Class B
shares and 12.9% for the C shares. Although these shorter-term results did not
outpace the Lipper High Current Yield Fund Average, the Fund did outperform this
benchmark over the three-year period and since its inception.
In general, the Fund's manager invests in upper-tier high-yield bonds, which
helps limit the portfolio's exposure to defaults. During the last 12 months,
however, returns have been relatively stronger for the most speculative,
lower-tier high-yield bonds (bonds with the lowest credit quality rating).
That's because the strong economy made it more likely that firms issuing
lower-quality debt would be able to meet their obligations. Should the economy
begin to slow, as we expect it to later this year, market conditions should
become more favorable for upper-tier high-yield bonds and the Fund.
In recent months, holdings in the healthcare and media sectors generally
benefited the Fund's performance, as did underweightings in the gaming and
supermarket sectors. 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. The Fund's
small position in U.S.-dollar denominated Argentine and Mexican Brady bonds also
contributed to performance, after these securities recovered from Asian-induced
losses. Another area that benefited the Fund's returns was its defensive
position in floating-rate, senior-secured syndicated bank loans, which added
yield and principal stability.
Looking ahead, the manager currently anticipates maintaining its higher-
quality, high-yield portfolio, in order to capitalize on the expected strong
relative returns of these securities should the economy slow significantly.
See page 34 for financial details. 15
<PAGE>
PIMCO Total Return Fund
March 31, 1998
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily an intermediate-term portfolio of investment grade bonds.
Duration Range:
3-6 years
Total Net Assets:
$18,092 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/98
<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 12.1% 7.1% 11.3% 6.3% 10.3% 10.8% 12.0%
5 years 7.7% 6.7% 7.5% 7.2% 7.5% 6.2% 6.9%
10 years 9.9% 9.4% 9.8% 9.8% 9.8% 8.3% 8.9%
Inception 9.8% 9.3% 9.7% 9.7% 9.7% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO LEHMAN
TOTAL TOTAL TOTAL AGG. BOND
RETURN A RETURN B RETURN C INDEX
======== ============ ============ ============ =========
<S> <C> <C> <C> <C>
03/31/87 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
09/30/87 9,384.88 9,827.09 9,827.09 9,861.08
12/31/87 9,843.62 10,307.45 10,307.45 10,434.30
03/31/88 10,270.99 10,754.97 10,754.97 10,826.73
06/30/88 10,411.60 10,902.19 10,902.19 10,953.97
09/30/88 10,647.07 11,148.76 11,148.76 11,172.42
12/31/88 10,766.92 11,274.26 11,274.26 11,257.14
03/31/89 10,882.78 11,395.58 11,395.58 11,385.35
06/30/89 11,781.35 12,336.49 12,336.49 12,292.26
09/30/89 11,883.13 12,443.07 12,443.07 12,430.86
12/31/89 12,300.56 12,880.17 12,880.17 12,892.76
03/31/90 12,118.53 12,689.56 12,689.56 12,790.18
06/30/90 12,548.14 13,139.41 13,139.41 13,257.60
09/30/90 12,564.85 13,156.92 13,156.92 13,371.20
12/31/90 13,290.46 13,916.71 13,916.71 14,047.97
03/31/91 13,784.10 14,433.62 14,433.62 14,441.70
06/30/91 14,137.38 14,803.54 14,803.54 14,676.06
09/30/91 15,078.86 15,789.39 15,789.39 15,509.61
12/31/91 15,889.57 16,638.29 16,638.29 16,296.09
03/31/92 15,837.98 16,584.27 16,584.27 16,087.70
06/30/92 16,457.46 17,232.94 17,232.94 16,736.89
09/30/92 17,274.00 18,087.96 18,087.96 17,455.86
12/31/92 17,436.92 18,258.56 18,258.56 17,502.27
03/31/93 18,259.99 19,120.41 19,120.41 18,225.79
06/30/93 18,864.39 19,753.29 19,753.29 18,709.10
09/30/93 19,491.34 20,409.78 20,409.78 19,197.29
12/31/93 19,618.57 20,543.00 20,543.00 19,208.65
03/31/94 19,091.21 19,990.80 19,990.80 18,658.14
06/30/94 18,744.77 19,628.03 19,628.03 18,465.66
09/30/94 18,942.91 19,835.51 19,835.51 18,578.29
12/31/94 18,917.44 19,808.83 19,808.83 18,648.40
03/31/95 19,897.34 20,834.91 20,834.91 19,589.07
06/30/95 20,875.75 21,859.43 21,859.43 20,782.59
09/30/95 21,476.72 22,488.71 22,488.71 21,190.60
12/31/95 22,658.59 23,726.28 23,726.28 22,093.61
03/31/96 22,114.73 23,156.78 23,156.78 21,701.83
06/30/96 22,316.20 23,367.75 23,367.75 21,825.18
09/30/96 22,868.80 23,946.39 23,946.39 22,229.97
12/31/96 23,721.14 24,838.89 24,838.89 22,895.68
03/31/97 23,551.31 24,661.06 24,628.87 22,767.79
06/30/97 24,481.40 25,634.97 26,553.51 23,603.93
09/30/97 25,327.07 26,520.49 26,383.95 24,388.15
12/31/97 26,021.03 27,247.15 27,054.11 25,106.14
03/31/98 26,408.75 27,653.14 27,408.51 25,494.68
</TABLE>
*Past performance is not an indication of future results.The adjusted returns
above include the effect of applicable sales charges. Excluding the 1-year
returns, these 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 66%
- --------------------------------------------------------------------------------
1-5 years 24%
- --------------------------------------------------------------------------------
5-10 years 8%
- --------------------------------------------------------------------------------
10-20 years 1%
- --------------------------------------------------------------------------------
20-30 years 1%
- --------------------------------------------------------------------------------
Duration 5.0 years
- --------------------------------------------------------------------------------
Sector Breakdown
- --------------------------------------------------------------------------------
Mortgage-Backed Securities 42.5%
- --------------------------------------------------------------------------------
Corporate Bonds and Notes 23.4%
- --------------------------------------------------------------------------------
Short-Term Instruments 15.0%
- --------------------------------------------------------------------------------
U.S. Government Agencies 6.2%
- --------------------------------------------------------------------------------
Asset-Backed Securities 4.9%
- --------------------------------------------------------------------------------
Other 8.0%
- --------------------------------------------------------------------------------
Quality Breakdown
- --------------------------------------------------------------------------------
AAA 80%
- --------------------------------------------------------------------------------
AA 2%
- --------------------------------------------------------------------------------
A 9%
- --------------------------------------------------------------------------------
BBB 5%
- --------------------------------------------------------------------------------
BB 4%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Total Return Fund continues to build an impressive track record. For the 12
months ended March 31, 1998, the Fund's Class A shares returned 12.1%, while
Class B returned 11.3% and Class C returned 10.3%. 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-, 10-year and since inception periods ended March
31, 1998.
The Fund's manager was cautiously bullish throughout the period, 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 duration boosted returns, as yields
fell during the second half of 1997, causing bond prices to rise. In particular,
the portfolio's concentration in intermediate-term bonds throughout most of the
period helped performance, as yields on these instruments declined from 7.1% to
5.9%.
Our underweight position in the high-yield sector paid off during the
fourth quarter of 1997, when the Asian crisis broke and investors sold corporate
bonds to seek the protection of higher quality securities. As a result,
investors shifted to mortgage-backed securities due to their high yields and
relatively low volatility. The Fund's overweight position in this sector
enhanced returns.
The Fund's exposure to emerging markets also helped returns. Select
holdings in South American and Pacific Rim countries performed well. However,
the Fund's holdings in foreign developed countries detracted slightly from
performance, as they did not offer better value relative to domestic issues.
Looking ahead, the manager currently anticipates maintaining its bullish
long-term views and near-term caution. As such, the Fund's duration range is now
0.6 years above the index. In addition, the Fund currently plans to 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 38 for financial details.
<PAGE>
PIMCO Real Return Bond Fund
March 31, 1998
Objective:
Maximum real return, consistent with preservation of real capital and prudent
investment management.
Portfolio:
Primarily inflation-indexed bonds.
Total Net Assets:
$8 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For period ended 3/31/98
<TABLE>
<CAPTION>
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>
1 year 4.1% 1.0% 3.5% -1.5% 2.7% 6.5% 3.9%
Inception 3.6% 1.0% 2.9% -0.5% 3.1% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
LEHMAN
PIMCO PIMCO PIMCO INF. LINKED
REAL RETURN A REAL RETURN B REAL RETURN C TREAS. INDEX
================================================================================
<S> <C> <C> <C> <C>
12/31/96 9,700.00 10,000.00 10,000.00 10,000.00
03/31/97 9,656.97 9,932.64 9,933.60 9,895.55
06/30/97 9,731.33 10,003.11 10,002.09 9,977.65
09/30/97 9,881.62 10,138.41 10,148.53 10,122.85
12/31/97 9,997.23 10,237.77 10,254.07 10,241.20
03/31/98 10,055.22 9,781.79 10,365.00 10,276.98
</TABLE>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- --------------------------------------------------------------------------------
1 year or less 36%
- --------------------------------------------------------------------------------
1-5 years 60%
- --------------------------------------------------------------------------------
5-10 years 4%
- --------------------------------------------------------------------------------
Duration 2.1 years
- --------------------------------------------------------------------------------
Sector Breakdown
- --------------------------------------------------------------------------------
U.S. Treasury Obligations 67.5%
- --------------------------------------------------------------------------------
Asset-Backed Securities 10.8%
- --------------------------------------------------------------------------------
Corporate Bonds and Notes 9.4%
- --------------------------------------------------------------------------------
U.S. Government Agencies 5.8%
- --------------------------------------------------------------------------------
Short-Term Instruments 2.4%
- --------------------------------------------------------------------------------
Preferred Stock 2.4%
- --------------------------------------------------------------------------------
Other 1.7%
- --------------------------------------------------------------------------------
Quality Breakdown
- --------------------------------------------------------------------------------
AAA 90%
- --------------------------------------------------------------------------------
AA 3%
- --------------------------------------------------------------------------------
A 7%
- --------------------------------------------------------------------------------
*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.
- --------------------------------------------------------------------------------
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.
Over the past 12 months, the Fund returned 4.1% for its Class A shares,
3.5% for Class B shares, and 2.7% for Class C shares. The Fund has outperformed
its benchmark, the Lehman Brothers Inflation-Linked Bond Index, since its
inception.
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 past 12 months, as positions in Canadian and
Australian inflation-indexed bonds helped 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.
The Fund's moderately above-index duration slightly detracted from its
performance, as yields on U.S. inflation-protected securities rose during the
period. As the U.S. Treasury introduces inflation-indexed bonds with longer
maturities, such as the new 30-year securities, the manager anticipates
investing in those instruments.
Looking ahead, the Fund's manager currently 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 inefficiencies
that often appear in new investment markets.
See page 51 for financial details. 17
<PAGE>
PIMCO Low Duration Fund
March 31, 1998
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:
$3,002 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 3/31/98
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 8.5% 5.2% 7.7% 2.7% 7.0% 7.0% 7.5%
5 years 6.5% 5.9% 6.3% 6.0% 6.4% 5.3% 5.5%
10 years 8.2% 7.9% 8.1% 8.1% 8.1% 6.9% 7.2%
Inception 8.2% 7.9% 8.2% 8.2% 8.2% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO MERRILL LYNCH
LOW DURATION A LOW DURATION B LOW DURATION C 1-3 YR. TSY.
INDEX
============== ============== ============== =============
<S> <C> <C> <C> <C>
03/31/87 9,700.00 10,000.00 10,000.00 10,000.00
06/30/87 9,790.46 10,093.26 10,093.26 10,108.97
09/30/87 9,801.00 10,104.12 10,104.12 10,127.39
12/31/87 10,131.44 10,444.78 10,444.78 10,479.85
03/31/88 10,439.11 10,761.97 10,761.97 10,756.11
06/30/88 10,604.42 10,932.40 10,932.40 10,867.58
09/30/88 10,802.48 11,136.57 11,136.57 11,025.50
12/31/88 10,964.96 11,304.09 11,304.09 11,131.74
03/31/89 11,116.76 11,460.57 11,460.57 11,270.32
06/30/89 11,730.48 12,093.28 12,093.28 11,830.60
09/30/89 11,907.65 12,275.93 12,275.93 12,002.55
12/31/89 12,236.65 12,615.11 12,615.11 12,347.72
03/31/90 12,379.46 12,762.33 12,762.33 12,457.39
06/30/90 12,716.26 13,109.55 13,109.55 12,806.08
09/30/90 12,952.15 13,352.74 13,352.74 13,111.38
12/31/90 13,344.64 13,757.36 13,757.36 13,548.20
03/31/91 13,691.11 14,114.54 14,114.54 13,846.21
06/30/91 14,056.12 14,490.85 14,490.85 14,118.85
09/30/91 14,603.88 15,055.55 15,055.55 14,593.44
12/31/91 15,140.98 15,609.26 15,609.26 15,130.55
03/31/92 15,238.52 15,709.81 15,709.81 15,154.22
06/30/92 15,647.17 16,131.10 16,131.10 15,589.88
09/30/92 16,120.71 16,619.29 16,619.29 16,054.65
12/31/92 16,304.99 16,809.27 16,809.27 16,083.99
03/31/93 16,748.97 17,266.98 17,266.98 16,439.05
06/30/93 17,017.32 17,543.63 17,543.63 16,616.23
09/30/93 17,310.55 17,845.92 17,845.92 16,854.60
12/31/93 17,570.28 18,113.69 18,113.69 16,954.19
03/31/94 17,513.54 18,055.20 18,055.20 16,869.58
06/30/94 17,474.06 18,014.49 18,014.49 16,883.56
09/30/94 17,685.98 18,232.96 18,232.96 17,049.90
12/31/94 17,680.77 18,227.60 18,227.60 17,050.50
03/31/95 18,144.56 18,705.73 18,705.73 17,623.17
06/30/95 18,803.24 19,384.78 19,384.78 18,188.14
09/30/95 19,187.27 19,780.69 19,780.69 18,461.39
12/31/95 19,790.11 20,402.18 20,402.18 18,926.03
03/31/96 19,800.26 20,412.63 20,412.63 18,989.25
06/30/96 20,030.10 20,649.59 20,649.59 19,180.90
09/30/96 20,484.47 21,118.01 21,118.01 19,497.78
12/31/96 21,004.71 21,654.34 21,654.34 19,868.35
03/31/97 21,161.78 21,816.27 21,794.49 19,999.64
06/30/97 21,744.66 22,417.17 22,368.17 20,440.43
09/30/97 22,253.72 22,941.98 22,862.30 20,841.07
12/31/97 22,632.03 23,331.99 23,234.96 21,190.69
03/31/98 22,957.93 23,667.97 23,539.34 21,502.01
</TABLE>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- --------------------------------------------------------------------------------
1 year or less 51%
- --------------------------------------------------------------------------------
1-5 years 45%
- --------------------------------------------------------------------------------
5-10 years 4%
- --------------------------------------------------------------------------------
Duration 2.6 years
- --------------------------------------------------------------------------------
Sector Breakdown
- --------------------------------------------------------------------------------
Mortgage-Backed Securities 79.8%
- --------------------------------------------------------------------------------
Corporate Bonds and Notes 10.3%
- --------------------------------------------------------------------------------
Short-Term Instruments 4.8%
- --------------------------------------------------------------------------------
Sovereign Issues 2.3%
- --------------------------------------------------------------------------------
U.S. Government Agencies 1.7%
- --------------------------------------------------------------------------------
Other 1.1%
- --------------------------------------------------------------------------------
Quality Breakdown
- --------------------------------------------------------------------------------
AAA 86%
- --------------------------------------------------------------------------------
AA 1%
- --------------------------------------------------------------------------------
A 1%
- --------------------------------------------------------------------------------
BBB 8%
- --------------------------------------------------------------------------------
BB 4%
- --------------------------------------------------------------------------------
*Past performance is not an indication of future results. The adjusted returns
above include the effect of applicable sales charges. Excluding the 1-year
returns, these 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 INSIGHTS
- --------------------------------------------------------------------------------
The Low Duration Fund posted strong results for the 12-month period ended March
31, 1998, with Class A shares returning 8.5%, Class B returning 7.7%, and Class
C returning 7.0%. These results outperformed 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-, 10-year and since inception periods.
The Fund's above-index duration helped performance during the last year, as
interest rates declined, resulting in price appreciation for the areas in which
the Fund primarily invests. Sector selection and diversification were also key
factors driving the Fund's performance. A significant allocation to adjustable-
and fixed-rate mortgage-backed securities made the biggest contribution, due to
the generally higher yields these securities paid.
The Fund's relatively small allocation to non-U.S. markets also aided
returns. Specifically, dollar-denominated holdings of Latin American bonds
performed well. Additionally, currency-hedged holdings of dollar-bloc countries
helped boost returns, as investors responded positively to declining government
deficits, improving inflation, and stronger economic fundamentals.
Our small allocation to investment grade corporate bonds was a slight drag
on performance, as these securities underperformed Treasury notes. This was
offset by our small allocation to lower-grade corporate issues, which enhanced
performance during the period through premium yields and price gains.
Going forward, the manager currently anticipates maintaining the Fund's
above-index duration due to a positive view of long-term interest rates, and
will continue the focus on quality to provide competitive yields while seeking
minimal price volatility.
18 See page 52 for financial details.
<PAGE>
PIMCO Short-Term Fund
March 31, 1998
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:
$210 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 3/31/98
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 6.6% 4.5% 6.0% 1.0% 5.3% 5.9% 5.2%
5 years 6.0% 5.6% 5.9% 5.6% 6.0% 5.1% 4.5%
10 years 6.5% 6.3% 6.5% 6.5% 6.5% 5.6% 5.5%
Inception 6.6% 6.4% 6.5% 6.5% 6.5% -- --
</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 A SHORT-TERM B SHORT-TERM C MONEY MKT.
INDEX
============ ============ ============ ==========
<S> <C> <C> <C> <C>
09/30/87 9,800.00 10,000.00 10,000.00 10,000.00
12/31/87 9,917.83 10,120.24 10,120.24 10,114.33
03/31/88 10,083.34 10,289.12 10,289.12 10,277.02
06/30/88 10,255.29 10,464.58 10,464.58 10,439.22
09/30/88 10,443.68 10,656.82 10,656.82 10,632.48
12/31/88 10,669.81 10,887.56 10,887.56 10,842.24
03/31/89 10,919.22 11,142.06 11,142.06 11,078.12
06/30/89 11,188.20 11,416.53 11,416.53 11,334.87
09/30/89 11,423.52 11,656.66 11,656.66 11,578.02
12/31/89 11,677.09 11,915.40 11,915.40 11,814.65
03/31/90 11,887.09 12,129.68 12,129.68 12,044.14
06/30/90 12,131.06 12,378.64 12,378.64 12,280.53
09/30/90 12,366.88 12,619.26 12,619.26 12,516.58
12/31/90 12,665.80 12,924.28 12,924.28 12,755.91
03/31/91 12,889.89 13,152.95 13,152.95 12,966.25
06/30/91 13,096.92 13,364.21 13,364.21 13,152.55
09/30/91 13,336.76 13,608.94 13,608.96 13,333.56
12/31/91 13,508.77 13,784.46 13,784.46 13,500.93
03/31/92 13,619.32 13,897.27 13,897.27 13,636.38
06/30/92 13,780.95 14,062.20 14,062.20 13,759.48
09/30/92 13,916.99 14,201.01 14,201.01 13,868.46
12/31/92 13,998.49 14,284.18 14,284.18 13,968.56
03/31/93 14,155.81 14,444.70 14,444.70 14,063.76
06/30/93 14,326.60 14,618.98 14,619.98 14,155.37
09/30/93 14,461.98 14,757.10 14,757.10 14,250.42
12/31/93 14,645.64 14,944.54 14,944.54 14,346.12
03/31/94 14,674.07 14,973.54 14,973.54 14,443.89
06/30/94 14,786.50 15,088.26 15,088.26 14,562.66
09/30/94 14,942.10 15,247.04 15,247.04 14,707.30
12/31/94 15,069.61 15,377.15 15,377.15 14,881.53
03/31/95 15,328.65 15,641.48 15,641.48 15,081.83
06/30/95 15,712.12 16.032.78 16,032.78 15,292.44
09/30/95 16,040.40 16,367.75 16,367.75 15,499.81
12/31/95 16,456.71 16,792.56 16,792.56 16,681.87
03/31/96 16,630.55 16,969.95 16,969.95 15,875.54
06/30/96 16,901.02 17,245.94 17,245.94 16,063.61
09/30/96 17,233.46 17,585.16 17,585.16 16,263.63
12/31/96 17,609.21 17,968.58 17,968.58 16,456.30
03/31/97 17,798.15 18,161.38 18,154.14 16,631.35
06/30/97 18,143.86 18,514.14 18,492.06 16,816.64
09/30/97 18,457.61 18,834.29 18,800.61 17,017.55
12/31/97 18,680.94 19,062.19 19,014.94 17,227.73
03/31/98 18,977.97 19,365.28 19,303.96 17,559.00
</TABLE>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- --------------------------------------------------------------------------------
1 year or less 66%
- --------------------------------------------------------------------------------
1-5 years 30%
- --------------------------------------------------------------------------------
5-10 years 3%
- --------------------------------------------------------------------------------
10-20 years 1%
- --------------------------------------------------------------------------------
Duration 0.7 years
- --------------------------------------------------------------------------------
Sector Breakdown
- --------------------------------------------------------------------------------
Corporate Bonds and Notes 40.2%
- --------------------------------------------------------------------------------
Mortgage-Backed Securities 26.0%
- --------------------------------------------------------------------------------
Short-Term Instruments 21.3%
- --------------------------------------------------------------------------------
Asset-Backed Securities 7.1%
- --------------------------------------------------------------------------------
Sovereign Issues 3.2%
- --------------------------------------------------------------------------------
Other 2.2%
- --------------------------------------------------------------------------------
Quality Breakdown
- --------------------------------------------------------------------------------
AAA 43%
- --------------------------------------------------------------------------------
AA 4%
- --------------------------------------------------------------------------------
A 25%
- --------------------------------------------------------------------------------
BBB 20%
- --------------------------------------------------------------------------------
BB 8%
- --------------------------------------------------------------------------------
*Past performance is not an indication of future results. The adjusted returns
above include the effect of applicable sales charges. Excluding the 1-year
returns, these 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 INSIGHTS
- --------------------------------------------------------------------------------
For the 12-month period ended March 31, 1998, the Short-Term Fund posted returns
of 6.6% for its Class A shares, 6.0% for Class B shares, and 5.3% for Class C
shares. These results outpaced an average of 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 3-, 5-,
10-year and since inception periods ended March 31, 1998.
As of March 31, 1998 the Fund's standardized yield was 5.5% for Class A
shares, 4.9% for Class B, and 5.3% for Class C+. This yield outpaced the 7-day
money market yield of 3.4% and outperformed the average six-month CD yield of
4.7%, according to Banxquote Money Market. When comparing these yields, however,
shareholders should keep in mind that money market funds attempt to maintain a
fixed-share price and that CDs are guaranteed as to repayment of principal and
interest. The Fund's shares, on the other hand, are not guaranteed and its share
price can fluctuate, either up or down, depending on market conditions.
The Fund's holdings in mortgage-backed securities helped returns over the
past year, 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.
The Fund also benefited from small holdings of dollar-denominated Latin
American bonds, specifically from Argentina and Mexico. These securities
rebounded strongly after suffering adverse effects from the Asian currency
crisis.
Additionally, the Fund's above-index duration enhanced performance. In
recent months, the yield on one- and two-year Treasuries declined, 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 currently anticipates maintaining the
above-index duration in anticipation of slowing economic growth later this year
and a continued decline in interest rates. Given this outlook, the manager
remains optimistic about the Fund going forward.
See page 57 for financial details. 19
<PAGE>
PIMCO Money Market Fund
March 31, 1998
Objective:
Maximum current income, consistent with preservation of capital and daily
liquidity.
Total Net Assets:
$156 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/98
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Money- Lipper Money
(INCEP. 10/7/87) (INCEP. 10/7/87) (INCEP 10/7/87) Market Market
Adjusted Adjusted Average Index
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1 year 5.1% 4.2% -0.8% 4.1% 5.0% 5.2%
3 years 5.4% 5.0% 4.1% 5.4% 5.0% 5.2%
5 years 4.7% 4.5% 4.2% 4.7% 4.4% 4.5%
Inception 4.6% 4.4% 4.4% 4.6% -- --
</TABLE>
7-Day Yields
A Shares B Shares C Shares
- --------------------------------------------------------------------------------
As of 3/31/98 5.0% 4.2% 5.0%
As of 9/30/97 5.1% 4.2% 5.2%
As of 3/31/97 4.9% 4.2% 5.0%
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- --------------------------------------------------------------------------------
1 year or less 100%
- --------------------------------------------------------------------------------
Duration: 0.1 years
- --------------------------------------------------------------------------------
Sector Breakdown
- --------------------------------------------------------------------------------
Short-Term Instruments 100.0%
- --------------------------------------------------------------------------------
Quality Breakdown
- --------------------------------------------------------------------------------
A1/P1 100%
- --------------------------------------------------------------------------------
*Past performance is not an indication of future results. The adjusted returns
above include the effect of applicable sales charges. 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. Yield quotations more closely reflect the
current earnings of the Fund than the total return quotations.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Money Market Fund posted strong results for the 12-month period ended March
31, 1998, as Class A shares returned 5.1%, Class B returned 4.2%, and Class C
returned 4.1%. These results outpaced the Fund's benchmark, the Lipper Money
Market Fund Index. The Fund has also performed well over the long term, beating
its index over the 3-, 5-year and since inception periods.
The key factor in the Fund's excellent returns was its significant holdings
in high-quality domestic and Yankee commercial paper. The Fund's performance was
also 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, despite the fact that yields on three-month
Treasury bills declined during the same time period.
Looking ahead, the Fund's manager is currently forecasting lower short-term
interest 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.
20 See page 59 for financial details.
<PAGE>
PIMCO StocksPLUS Fund
March 31, 1998
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:
$678 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/98
<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>
1 year 47.1% 42.7% 46.1% 41.1% 45.4% 40.2% 48.0%
3 years 33.0% 31.7% 32.7% 32.1% 32.8% 27.9% 32.8%
Inception 24.5% 23.7% 24.2% 23.3% 24.3% -- --
</TABLE>
Change in Value of $10,000
Invested at the Fund's inception
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO S&P 500
STOCKSPLUS A STOCKSPLUS B STOCKSPLUS C INDEX
==============================================================================
<S> <C> <C> <C> <C>
03/31/93 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
09/30/93 10,006.08 10,315.55 10,315.55 10,288.44
12/31/93 10,294.46 10,612.84 10,612.84 10,526.98
03/31/94 9,849.93 10,154.57 10,154.57 10,127.78
06/30/94 9,944.59 10,252.16 10,252.16 10,170.41
09/30/94 10,618.31 10,946.71 10,946.71 10,667.72
12/31/94 10,594.78 10,922.45 10,922.45 10,666.04
03/31/95 11,686.13 12,047.55 12,047.55 11,704.55
06/30/95 12,887.77 13,286.36 13,286.36 12,821.95
09/30/95 13,956.07 14,387.70 14,387.70 13,840.81
12/31/95 14,887.02 15,347.45 15,347.45 14,674.12
03/31/96 15,667.67 16,152.23 16,152.23 15,461.76
06/30/96 16,383.66 16,890.37 16,890.37 16,155.62
09/30/96 16,886.23 17,408.48 17,408.48 16,654.93
12/31/96 18,321.45 18,888.09 18,888.09 18,043.28
03/31/97 18,709.14 19,245.20 19,264.43 18,527.03
06/30/97 21,976.49 22,586.91 22,596.66 21,761.47
09/30/97 23,643.93 24,250.99 24,288.00 23,391.58
12/31/97 24,251.58 24,820.89 24,887.92 24,063.12
03/31/98 27,518.27 27,919.59 28,200.50 27,419.64
</TABLE>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- --------------------------------------------------------------------------------
1 year or less 70%
- --------------------------------------------------------------------------------
1-5 years 29%
- --------------------------------------------------------------------------------
10-20 years 1%
- --------------------------------------------------------------------------------
Duration: 0.7 years
- --------------------------------------------------------------------------------
Sector Breakdown
- --------------------------------------------------------------------------------
Short-Term Instruments 34.3%
- --------------------------------------------------------------------------------
Corporate Bonds and Notes 26.1%
- --------------------------------------------------------------------------------
Mortgage-Backed Securities 20.5%
- --------------------------------------------------------------------------------
Asset-Backed Securities 7.5%
- --------------------------------------------------------------------------------
Sovereign Issues 4.5%
- --------------------------------------------------------------------------------
Other 7.1%
- --------------------------------------------------------------------------------
Quality Breakdown
- --------------------------------------------------------------------------------
AAA 81%
- --------------------------------------------------------------------------------
AA 1%
- --------------------------------------------------------------------------------
A 8%
- --------------------------------------------------------------------------------
BBB 6%
- --------------------------------------------------------------------------------
BB 4%
- --------------------------------------------------------------------------------
*Past performance is not an indication of future results. The adjusted returns
above include the effect of applicable sales charges. Excluding the 1-year
returns, these 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 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 able to use the remaining assets to invest in an actively
managed portfolio of short-term investment grade bonds in an effort to add
incremental return beyond that of the S&P 500.
The Fund produced excellent results for the 12-month period ended March 31,
1998, with Class A shares returning 47.1%, Class B returning 46.1%, and Class C
returning 45.4%. These results outperformed an average of funds with the same
objective (as measured by the Lipper Growth and Income Fund Average).
Over the last year, the Fund's investments in S&P 500 Index futures and swaps
captured most of the stock market's strong gains. In addition, the manager was
able to enhance these returns through various value-added techniques with the
fixed income portion of its portfolio. For example, an above-index duration on
the short-term portfolio used to back the Fund's S&P 500 Index exposure helped
performance, as interest rates fell over the year, boosting bond prices higher.
While prices of corporate bonds declined over the 12-month period due to lower
earnings expectations, an earlier yield advantage allowed these bonds to
modestly outperform Treasury securities of similar duration. A small allocation
to high yield securities also performed well, as those bonds outpaced the
investment grade sector.
The Fund's currency-hedged inflation-protected securities produced mixed
results, with Canadian and United Kingdom holdings adding to performance. A
modest allocation to dollar-denominated bonds from Argentina also boosted
returns. However, the Fund's New Zealand bonds slightly detracted from returns.
Looking ahead, the Fund's manager currently expects to see slowing economic
growth later this year. To maximize return in this type of environment, the
manager currently anticipates maintaining the Fund's above-index duration.
See page 60 for financial details. 21
<PAGE>
March 31, 1998
- --------------------------------------------------------------------------------
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 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). Class A shares for the Money Market Fund do not have an initial sales
charge. The adjusted figures for Class B shares include the effect of paying the
5% contingent deferred sales charge (CDSC), which declines from 5% in the first
year to 0% at the beginning of the seventh year. The adjusted figures for Class
C shares include the effect of paying the 1% CDSC, which may apply to shares
redeemed during the first year of ownership.
+Yield is calculated in accordance with current Securities and Exchange
Commission regulations and is based on the one-month period ended March 31,
1998.
Duration is a measurement of a Fund's price sensitivity expressed in years.
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.
For additional details on the PIMCO equity funds, contact your financial advisor
to receive a prospectus that contains more complete information, including
charges and expenses. Or contact PIMCO Funds Distributors LLC at 2187 Atlantic
Street, Stamford, CT 06902, 1-800-227-7337, www.pimcofunds.com. Please read the
prospectus carefully before you invest or send money.
22
<PAGE>
Schedule of Investments
Long-Term U.S. Government Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 8.2%
- -------------------------------------------------------------------------------
Student Loan Marketing Assn.
6.080% due 06/30/00 (b) $ 1,000 $ 1,002
5.735% due 07/25/04 (b) 708 708
5.795% due 10/25/05 (b) 4,385 4,384
----------
Total U.S. Government Agencies 6,094
(Cost $6,074) ==========
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 71.2%
- -------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/02 (c) 2,522 2,499
U.S. Treasury Bonds
9.125% due 05/15/18 9,100 12,382
8.875% due 02/15/19 1,800 2,406
8.125% due 05/15/21 2,150 2,708
6.875% due 08/15/25 6,750 7,524
6.000% due 02/15/26 13,600 13,579
6.500% due 11/15/26 3,100 3,307
6.625% due 02/15/27 1,250 1,356
6.125% due 11/15/27 2,500 2,564
U.S. Treasury Notes
5.750% due 11/15/00 3,100 3,106
6.625% due 03/31/02 1,500 1,550
----------
Total U.S. Treasury Obligations 52,981
(Cost $52,884) ==========
- -------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 64.5%
- -------------------------------------------------------------------------------
Collateralized Mortgage Obligations 34.3%
Bear Stearns
7.100% due 06/25/24 385 385
California Federal Bank
6.593% due 08/25/30 (b) 1,329 1,333
Federal Home Loan Mortgage Corp.
9.500% due 01/15/05 98 102
6.750% due 07/15/05 1,146 1,152
6.000% due 03/15/07 150 150
5.500% due 05/15/07 100 99
8.000% due 02/15/15 274 287
7.000% due 03/25/15 1,200 1,206
7.000% due 07/15/22 931 939
6.500% due 05/15/23 123 116
7.000% due 05/15/23 918 927
7.000% due 08/15/23 186 182
7.000% due 09/15/23 68 68
6.500% due 11/15/23 408 391
6.500% due 11/25/23 146 137
6.500% due 12/15/23 476 460
6.500% due 02/15/24 13 13
6.500% due 03/15/24 305 285
8.000% due 12/15/24 1,000 1,028
Federal Housing Administration
7.430% due 11/01/23 1,548 1,592
7.430% due 01/01/24 407 421
Federal National Mortgage Assn.
7.500% due 04/25/99 1,007 1,014
5.750% due 06/25/06 590 588
5.600% due 07/25/06 400 397
4.950% due 06/25/10 497 496
7.000% due 03/25/13 872 876
6.250% due 12/25/13 68 64
5.500% due 04/25/14 232 231
5.750% due 12/25/16 250 249
8.750% due 08/25/20 204 209
8.000% due 03/25/22 41 42
7.000% due 04/25/22 738 738
7.000% due 06/25/22 356 345
7.000% due 10/25/22 639 655
7.800% due 10/25/22 762 787
6.900% due 05/25/23 119 116
7.000% due 05/25/23 548 544
7.000% due 06/25/23 362 362
6.500% due 12/25/23 171 158
6.500% due 01/25/24 178 166
7.000% due 05/18/27 1,344 1,336
First Boston Mortgage Securities Corp.
7.300% due 07/25/23 1,246 1,252
General Electric Capital Mortgage
7.500% due 03/25/19 56 57
Independent National Mortgage Corp.
8.474% due 01/25/25 (b) 326 335
Prudential Home
6.500% due 12/25/22 22 22
6.950% due 09/25/23 59 58
6.500% due 01/25/24 1,158 1,054
Residential Funding
8.290% due 03/25/25 (b) 256 262
Resolution Trust Corp.
6.950% due 06/25/23 (b) 112 112
Vendee Mortgage
6.500% due 06/15/24 1,913 1,753
----------
25,551
==========
Federal Home Loan Mortgage Corporation 0.4%
7.642% due 05/01/22 (b) 163 168
7.850% due 06/01/22 (b) 143 149
----------
317
==========
Federal Housing Administration 6.3%
5.871% due 11/01/19 163 168
7.430% due 12/28/17-12/01/23 (d) 4,361 4,493
----------
4,661
==========
Federal National Mortgage Association 7.3%
6.199% due 04/23/28 (b) 1,500 1,510
6.213% due 11/01/35 (b) 433 436
8.006% due 10/01/24 (b) 316 327
8.500% due 09/01/27 3,000 3,143
----------
5,416
==========
Government National Mortgage Association 11.3%
7.000% due 02/20/24-11/20/26 (b)(d) 6,973 7,132
7.375% due 06/20/23-04/20/26 (b)(d) 1,291 1,325
----------
8,457
==========
Other Mortgage-Backed Securities 3.8%
Norwest Asset Securities Corp.
6.500% due 02/25/12 1,293 1,296
Resolution Trust Corp.
6.681% due 05/25/29 (b) 1,396 1,405
Ryland Acceptance Corp.
7.644% due 11/28/22 (b) 107 109
----------
2,810
==========
Stripped Mortgage-Backed Securities 1.1%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 09/15/99 138 7
7.000% due 03/15/03 1,715 272
7.000% due 07/15/04 218 6
6.500% due 08/15/06 252 19
6.500% due 10/15/06 394 39
6.500% due 11/15/06 515 39
6.000% due 10/15/07 464 38
7.000% due 02/15/26 223 19
Federal National Mortgage Assn. (IO)
6.500% due 02/25/07 264 25
6.500% due 08/25/20 861 79
6.500% due 09/25/21 898 129
7.000% due 12/25/21 500 70
Federal National Mortgage Assn. (PO)
0.000% due 09/25/23 60 59
----------
801
----------
Total Mortgage-Backed Securities 48,013
(Cost $46,705) ==========
- -------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.1%
- -------------------------------------------------------------------------------
Conti Mortgage Home Equity Loan Trust
6.190% due 10/15/11 (b) 744 743
5.794% due 10/15/12 (b) 1,000 1,000
General Electric Capital Mortgage
6.555% due 08/25/07 1,315 1,313
----------
Total Asset-Backed Securities 3,056
(Cost $3,053) ==========
See accompanying notes 23
<PAGE>
Schedule of Investments (Cont.)
Long-Term U.S. Government Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 8.1%
- -------------------------------------------------------------------------------
Repurchase Agreements 8.1%
State Street Bank
5.000% due 04/01/98 $ 129 $ 129
(Dated 03/31/98. Collateralized by U.S.
Treasury Note 5.500% 11/15/98 valued at
$132,600. Repurchase proceeds are $129,018.)
Daiwa Securities America
5.800% due 04/01/98 5,900 5,900
(Dated 03/31/98. Collateralized by U.S.
Treasury Note 6.500% 08/15/05 valued at
$5,988,163. Repurchase proceeds are
$5,900,951.)
----------
Total Short-Term Instruments 6,029
(Cost $6,029) ==========
Total Investments (a) 156.1% $ 116,173
(Cost $114,745)
Other Assets and Liabilities (Net) (56.1%) (41,734)
----------
Net Assets 100.0% $ 74,439
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1998, 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. $ 1,736
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (272)
----------
Unrealized appreciation-net $ 1,464
==========
(b) Variable rate security. The rate listed is as of March 31, 1998.
(c) Principal amount of the security is adjusted for inflation.
(d) Securities are grouped by coupon and represent a range of maturities.
24 See accompanying notes
<PAGE>
Schedule of Investments
Foreign Bond Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
ARGENTINA (e) 2.0%
- -------------------------------------------------------------------------------
Republic of Argentina
2.976% due 04/01/01 (d) AP 4,578 $ 4,302
8.726% due 04/10/05 (d) $ 4,424 4,424
----------
Total Argentina 8,726
(Cost $8,334) ==========
- -------------------------------------------------------------------------------
AUSTRALIA (c)(e) 6.4%
- -------------------------------------------------------------------------------
Australian Wheat Board
5.460% due 04/23/98 7,100 7,076
5.450% due 04/23/98 3,500 3,488
Commonwealth of Australia
9.500% due 08/15/03 A$ 500 393
10.000% due 02/15/06 2,070 1,745
8.750% due 08/15/08 3,800 3,088
7.500% due 09/15/09 15,630 11,769
----------
Total Australia 27,559
(Cost $28,390) ==========
- -------------------------------------------------------------------------------
AUSTRIA 0.2%
- -------------------------------------------------------------------------------
Oesterreichische
5.500% due 04/20/98 $ 1,000 997
----------
Total Austria 997
(Cost $997) ==========
- -------------------------------------------------------------------------------
BELGIUM (c)(e) 1.2%
- -------------------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/03 BF 200 6
5.100% due 11/21/04 (d) 183,200 5,284
----------
Total Belgium 5,290
(Cost $6,087) ==========
- -------------------------------------------------------------------------------
CANADA (c)(e) 3.2%
- -------------------------------------------------------------------------------
Commonwealth of Canada
6.000% due 04/02/98 C$ 7,840 5,523
8.000% due 06/01/23 6,152 5,638
Rogers Cantel, Inc.
10.500% due 06/01/06 2,500 1,962
Sears Canada
11.700% due 07/10/00 1,000 793
----------
Total Canada 13,916
(Cost $13,734) ==========
- -------------------------------------------------------------------------------
COLOMBIA (c)(e) 0.3%
- -------------------------------------------------------------------------------
Republic of Columbia
3.000% due 12/22/00 JY 150,000 1,141
----------
Total Colombia 1,141
(Cost $1,166) ==========
- -------------------------------------------------------------------------------
CROATIA 1.0%
- -------------------------------------------------------------------------------
Republic of Croatia
6.500% due 07/31/06 (d) $ 2,293 2,103
6.500% due 07/31/10 (d) 2,250 1,997
----------
Total Croatia 4,100
(Cost $4,311) ==========
- -------------------------------------------------------------------------------
DENMARK (c)(e) 1.5%
- -------------------------------------------------------------------------------
Kingdom of Denmark
8.000% due 05/15/03 DK 29,500 4,796
8.000% due 03/15/06 8,840 1,494
----------
Total Denmark 6,290
(Cost $6,865) ==========
- -------------------------------------------------------------------------------
FINLAND (c)(e) 5.8%
- -------------------------------------------------------------------------------
Republic of Finland
7.378% due 08/14/98 FM 46,000 8,090
7.250% due 04/18/06 68,000 14,015
6.000% due 04/25/08 3,000 576
8.250% due 10/15/10 10,000 2,274
----------
Total Finland 24,955
(Cost $25,043) ==========
- -------------------------------------------------------------------------------
FRANCE (c)(e) 5.7%
- -------------------------------------------------------------------------------
Caisse d'Amortissement
5.460% due 04/14/98 $ 2,300 2,295
5.520% due 04/27/98 9,100 9,064
Republic of France
7.750% due 10/25/05 FF 17,000 3,255
5.250% due 04/25/08 60,000 9,912
----------
Total France 24,526
(Cost $24,653) ==========
- -------------------------------------------------------------------------------
GERMANY (c)(e) 14.0%
- -------------------------------------------------------------------------------
KFW International Finance, Inc.
5.530% due 04/16/98 $ 14,600 14,566
Republic of Germany
5.000% due 11/12/02 DM 1,300 718
7.125% due 12/20/02 500 300
6.500% due 07/04/27 38,345 23,778
Treuhandanstalt
7.375% due 12/02/02 34,000 20,561
6.875% due 06/11/03 240 143
----------
Total Germany 60,066
(Cost $59,196) ==========
- -------------------------------------------------------------------------------
GREECE (c)(e) 6.1%
- -------------------------------------------------------------------------------
Hellenic Republic
11.200% due 05/19/03 (d) GD 100,000 311
11.100% due 06/17/03 (d) 107,400 339
11.000% due 10/23/03 (d) 376,000 1,188
8.800% due 06/19/07 7,501,700 24,470
----------
Total Greece 26,308
(Cost $28,198) ==========
- -------------------------------------------------------------------------------
ITALY (c)(e) 6.6%
- -------------------------------------------------------------------------------
Republic of Italy
6.000% due 01/01/00 IL36,440,000 20,499
7.250% due 11/01/26 11,515,000 7,759
----------
Total Italy 28,258
(Cost $28,720) ==========
- -------------------------------------------------------------------------------
JAPAN (c)(e) 7.8%
- -------------------------------------------------------------------------------
Bank of Tokyo
6.000% due 05/11/98 $ 900 900
6.040% due 05/11/98 1,000 1,000
6.430% due 06/19/98 8,000 8,000
Government of Japan
6.400% due 03/20/00 JY 1,174,600 9,812
4.500% due 06/20/03 265,000 2,311
2.600% due 09/20/07 1,055,000 8,458
Sanwa Bank Limited
6.160% due 05/11/98 $ 2,940 2,940
----------
Total Japan 33,421
(Cost $34,655) ==========
See accompanying notes 25
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
MEXICO (c)(e) 3.9%
- -------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 13,000 $ 7,046
Bancomer
8.000% due 07/07/98 $ 2,000 2,000
Petroleos Mexicanos
7.750% due 09/30/98 FF 22,000 3,600
United Mexican States
7.000% due 06/02/03 C$ 6,250 4,188
----------
Total Mexico 16,834
(Cost $17,625) ==========
- -------------------------------------------------------------------------------
NETHERLANDS (c)(e) 1.5%
- -------------------------------------------------------------------------------
Kingdom of Netherlands
6.250% due 07/15/98 DG 7,500 $ 3,627
5.750% due 01/15/04 4,880 2,473
8.250% due 02/15/07 400 237
----------
Total Netherlands 6,337
(Cost $7,173) ==========
- -------------------------------------------------------------------------------
NEW ZEALAND (c)(e) 2.5%
- -------------------------------------------------------------------------------
Commonwealth of New Zealand
8.000% due 04/15/04 N$ 9,350 5,337
4.500% due 02/15/16 (g) 10,000 5,269
----------
Total New Zealand 10,606
(Cost $12,727) ==========
- -------------------------------------------------------------------------------
SPAIN (c)(e) 1.8%
- -------------------------------------------------------------------------------
Kingdom of Spain
10.000% due 02/28/05 SP 947,100 7,809
----------
Total Spain 7,809
(Cost $8,242) ==========
- -------------------------------------------------------------------------------
SUPRANATIONAL (c)(e) 0.4%
- -------------------------------------------------------------------------------
European Bank for Reconstruction & Development
9.000% due 04/22/98 PP 49,000 1,271
World Bank
10.250% due 04/11/02 31,000 614
----------
Total Supranational 1,885
(Cost $3,039) ==========
- -------------------------------------------------------------------------------
SWEDEN (c)(e) 8.8%
- -------------------------------------------------------------------------------
Kingdom of Sweden
5.490% due 06/11/98 $ 3,500 3,462
10.250% due 05/05/00 SK 186,100 25,648
13.000% due 06/15/01 11,200 1,723
8.000% due 08/15/07 12,100 1,809
9.000% due 04/20/09 32,000 5,193
----------
Total Sweden 37,835
(Cost $39,532) ==========
- -------------------------------------------------------------------------------
UNITED KINGDOM (c)(e) 12.5%
- -------------------------------------------------------------------------------
United Kingdom Gilt
8.000% due 12/07/00 BP 1,000 1,734
6.750% due 11/26/04 190 330
8.500% due 12/07/05 16,051 30,879
7.250% due 12/07/07 11,404 20,919
----------
Total United Kingdom 53,862
(Cost $50,110) ==========
- -------------------------------------------------------------------------------
UNITED STATES 18.1%
- -------------------------------------------------------------------------------
Corporate Bonds and Notes 2.5%
J.P. Morgan & Co.
6.189% due 02/15/12 (g) $ 5,000 4,645
Salomon, Smith Barney Holdings
3.650% due 02/14/02 (g) 5,094 4,917
Tokai Capital Corp.
9.980% due 12/31/49 (d) 1,000 1,017
----------
10,579
==========
Mortgage-Backed Securities 6.0%
Collateralized Mortgage Obligation Trust
9.000% due 05/01/14 26 26
Federal Home Loan Mortgage Corp.
9.050% due 06/15/19 138 147
Government National Mortgage Assn.
7.000% due 11/20/21-09/20/25 (d)(f) 14,386 14,740
7.375% due 05/20/22-05/20/23 (d)(f) 1,103 1,135
Independent National Mortgage Corp.
8.304% due 11/25/24 (d) 228 236
Morgan Stanley Mortgage
8.150% due 07/20/21 4 4
PaineWebber Mortgage
7.000% due 10/25/23 768 769
Resolution Trust Corp.
10.261% due 05/25/24 (d) 116 117
7.750% due 04/25/28 1,970 1,968
Sears Mortgage
6.855% due 06/25/22 (d) 181 183
Structured Asset Securities Corp.
5.890% due 01/25/00 (d) 6,260 6,260
----------
25,585
==========
U.S. Government Agencies 3.3%
Federal Home Loan Bank
4.121% due 02/15/02 (d) 14,000 13,581
Student Loan Marketing Assn.
5.693% due 04/25/04 (d) 793 793
----------
14,374
==========
U.S. Treasury Obligations 6.3%
Treasury Inflation Protected Securities
3.625% due 07/15/02 (g) 26,233 25,987
U.S. Treasury Bonds
6.000% due 02/15/26 1,150 1,148
----------
27,135
----------
Total United States 77,673
(Cost $77,944) ==========
- -------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 45.3%
- -------------------------------------------------------------------------------
Commercial Paper 44.6%
Abbott Laboratories
5.520% due 04/03/98 6,000 5,999
5.500% due 04/14/98 7,300 7,286
American Express Credit
5.530% due 04/22/98 12,200 12,161
Ameritech Corp.
5.500% due 04/13/98 8,000 7,985
E.I. Du Pont de Nemours
5.510% due 04/07/98 8,600 8,592
5.450% due 04/08/98 2,800 2,797
5.510% due 04/28/98 6,400 6,374
Emerson Electric Co.
5.440% due 04/03/98 6,100 6,098
5.510% due 04/27/98 2,000 1,992
Federal National Mortgage Assn.
5.490% due 04/30/98 9,000 8,960
Florida Power Corp.
5.520% due 04/22/98 4,000 3,987
Ford Motor Credit Corp.
5.490% due 04/03/98 2,700 2,699
5.420% due 04/10/98 2,500 2,497
5.460% due 04/10/98 10,000 9,986
5.550% due 04/17/98 1,400 1,397
General Electric Capital Corp.
5.520% due 04/09/98 8,000 7,990
5.500% due 05/20/98 9,800 9,727
General Motors Acceptance Corp.
5.470% due 04/08/98 6,800 6,793
IBM Credit Corp.
5.530% due 04/09/98 4,400 4,395
Motorola, Inc.
5.500% due 04/09/98 12,000 11,985
National Rural Utilities Cooperative
5.500% due 04/07/98 5,000 4,995
5.430% due 04/09/98 1,600 1,598
5.510% due 06/15/98 10,000 9,884
26 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
New Center Asset Trust
5.540% due 04/09/98 $ 12,000 $ 11,985
5.570% due 05/13/98 4,500 4,471
Procter & Gamble Co.
5.450% due 04/09/98 1,500 1,498
5.510% due 05/14/98 3,000 2,980
Shell Oil Co.
5.490% due 04/30/98 19,000 18,916
Tampa Electric
5.470% due 04/03/98 1,300 1,300
Wisconsin Electric Power & Light
5.500% due 04/10/98 4,600 4,594
----------
191,921
==========
Repurchase Agreement 0.4%
State Street Bank
5.000% due 04/01/98 1,537 1,537
----------
(Dated 03/31/98. Collateralized by U.S. Treasury
Note 6.250% 03/31/99 valued at $1,569,993.
Repurchase proceeds are $1,537,213.)
U.S. Treasury Bills (b)(f) 0.3%
4.998% due 04/16/98-07/23/98 1,335 1,326
----------
Total Short-Term Instruments 194,784
(Cost $194,785) ==========
Total Investments (a) 156.6% $ 673,178
(Cost $681,526)
Other Assets and Liabilities (Net) (56.6%) (243,372)
----------
Net Assets 100.0% $ 429,806
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1998, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 4,928
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (13,556)
----------
Unrealized depreciation-net $ (8,628)
==========
(b) Securities with an aggregate market value of $1,326
have been segregated with the custodian to cover margin
requirements for the following open future contracts at
March 31, 1998:
Unrealized
Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Commonwealth of Australia 3 Year Note (06/98) 218 $ 141
Government of Japan 10 Year Note (06/98) 25 96
Kingdom of Spain 10 Year Note (06/98) 45 22
Republic of France 10 Year Note (06/98) 64 33
U.S. Treasury 10 Year Note (06/98) 342 (12)
----------
$ 280
==========
(c) Foreign forward currency contracts outstanding at March 31, 1998:
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- -------------------------------------------------------------------------------
Sell A$ 2,448 04/98 $ (12)
Buy BF 1,490 05/98 (1)
Sell 207,169 05/98 84
Buy BP 6,265 04/98 334
Buy 479 06/98 (2)
Sell 12,663 04/98 (544)
Sell 35 06/98 0
Buy C$ 39,183 06/98 85
Sell 22,583 04/98 (35)
Sell 5,439 06/98 7
Buy DG 1,140 05/98 (11)
Sell 1,935 05/98 15
Sell 4,898 06/98 19
Sell DK 11,788 04/98 34
Buy DM 48,287 04/98 (445)
Buy 2,303 05/98 (28)
Sell 1,694 04/98 2
Sell 2,349 05/98 27
Buy EC 2,346 04/98 2
Sell 2,346 04/98 35
Sell FF 45,422 05/98 148
Buy FM 16,428 04/98 (30)
Sell 67,596 04/98 274
Sell 44,402 05/98 99
Sell GD 552,751 04/98 190
Sell 327,723 05/98 0
Buy IL 1,030,308 04/98 (8)
Sell 1,680,336 04/98 1
Sell JY 495,228 05/98 167
Sell 758,191 06/98 132
Sell N$ 12,458 04/98 180
Sell 7,181 05/98 264
Buy NK 26,272 04/98 (50)
Buy 19,681 05/98 (30)
Buy 61,022 06/98 (73)
Sell SF 81,294 06/98 1,467
Sell SK 3,671 04/98 5
Buy SP 1,094,147 04/98 (113)
Sell 1,130,520 04/98 87
-----------
$ 2,276
===========
(d) Variable rate security. The rate listed is as of March 31, 1998.
(e) Principal amount denoted in indicated currency:
A$- Australian Dollar
AP- Argentine Peso
BF- Belgian Franc
BP- British Pound
C$- Canadian Dollar
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
JY- Japanese Yen
N$- New Zealand Dollar
NK- Norwegian Kron
PP- Philippines Peso
SF- Swiss Franc
SK- Swedish Krona
SP- Spanish Peseta
See accompanying notes 27
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
March 31, 1998
- -------------------------------------------------------------------------------
(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 March 31, 1998:
Fixed Notional Unrealized
Type Rate (%) Amount Appreciation
- -------------------------------------------------------------------------------
Receive the 10-year Swap Spread
and pay a fixed rate. The 10-year Swap
Spread is the difference between the 10-year
Swap Rate and the 10-year Treasury Rate.
Broker: Merrill Lynch
Exp. 04/18/02 .3700 $ 7,000 $ 38
Broker: Merrill Lynch
Exp. 04/23/02 .3700 3,000 16
Broker: Merrill Lynch
Exp. 05/30/02 .3700 6,000 33
Broker: Merrill Lynch
Exp. 06/05/02 .3575 3,000 18
Broker: Deutsche Bank AG New York
Exp. 06/06/02 .3650 7,000 40
----------
$ 145
==========
Notional Unrealized
Type Amount Depreciation
- --------------------------------------------------------------------------------
Receive floating rate based on 6 month
Drachma/ATHIMID and pay fixed rate.
Broker: Merrill Lynch
Exp. 03/13/00 GD 5,258,759 $ (794)
28 See accompanying notes
<PAGE>
Schedule of Investments
Global Bond Fund II
March 31, 1998
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
ARGENTINA (e) 1.7%
- ---------------------------------------------------------------------------
Republic of Argentina
2.976% due 04/01/01 (d) AP 314 $ 295
8.726% due 04/10/05 (d) $ 410 410
-----------
Total Argentina 705
(Cost $694) ===========
- ---------------------------------------------------------------------------
AUSTRALIA (c)(e) 1.1%
- ---------------------------------------------------------------------------
Commonwealth of Australia
9.500% due 08/15/03 A$ 100 79
10.000% due 02/15/06 50 42
10.000% due 10/15/07 220 191
8.750% due 08/15/08 200 163
-----------
Total Australia 475
(Cost $485) ===========
- ---------------------------------------------------------------------------
BELGIUM (c)(e) 0.4%
- ---------------------------------------------------------------------------
Kingdom of Belgium
5.100% due 11/21/04 (d) BF 5,800 167
-----------
Total Belgium 167
(Cost $192) ===========
- ---------------------------------------------------------------------------
CANADA (c)(e) 2.0%
- ---------------------------------------------------------------------------
Commonwealth of Canada
6.000% due 04/02/98 C$ 560 395
8.000% due 06/01/23 75 69
4.250% due 12/01/26 (g) 175 128
Rogers Cantel, Inc.
10.500% due 06/01/06 320 251
-----------
Total Canada 843
(Cost $832) ===========
- ---------------------------------------------------------------------------
CROATIA 0.8%
- ---------------------------------------------------------------------------
Republic of Croatia
6.500% due 07/31/06 (d) $ 185 170
6.500% due 07/31/10 (d) 180 160
-----------
Total Croatia 330
(Cost $344) ===========
- ---------------------------------------------------------------------------
DENMARK (c)(e) 0.6%
- ---------------------------------------------------------------------------
Kingdom of Denmark
8.000% due 05/15/03 DK 1,600 260
-----------
Total Denmark 260
(Cost $292) ===========
- ---------------------------------------------------------------------------
FINLAND (c)(e) 1.8%
- ---------------------------------------------------------------------------
Republic of Finland
7.378% due 08/14/98 FM 3,000 528
8.250% due 10/15/10 1,000 227
-----------
Total Finland 755
(Cost $768) ===========
- ---------------------------------------------------------------------------
FRANCE (c)(e) 9.7%
- ---------------------------------------------------------------------------
Caisse d'Amortissement
5.520% due 04/27/98 $ 1,500 1,494
Republic of France
5.250% due 04/25/08 FF 15,500 2,561
-----------
Total France 4,055
(Cost $4,092) ===========
- ---------------------------------------------------------------------------
GERMANY (c)(e) 4.4%
- ---------------------------------------------------------------------------
KFW International Finance, Inc.
5.520% due 04/01/98 $ 700 700
5.520% due 04/03/98 800 800
Republic of Germany
5.000% due 11/12/02 DM 600 331
-----------
Total Germany 1,831
(Cost $1,836) ===========
- ---------------------------------------------------------------------------
GREECE (c)(e) 3.8%
- ---------------------------------------------------------------------------
Hellenic Republic
11.100% due 06/17/03 (d) GD 7,400 23
11.000% due 10/23/03 (d) 33,600 106
8.800% due 06/19/07 445,500 1,453
-----------
Total Greece 1,582
(Cost $1,691) ===========
- ---------------------------------------------------------------------------
ITALY (c)(e) 2.8%
- ---------------------------------------------------------------------------
Republic of Italy
6.000% due 01/01/00 IL 1,735,000 976
7.250% due 11/01/26 310,000 209
-----------
Total Italy 1,185
(Cost $1,234) ===========
- ---------------------------------------------------------------------------
JAPAN (c)(e) 0.6%
- ---------------------------------------------------------------------------
Government of Japan
4.500% due 06/20/03 JY 15,000 131
Sanwa Bank Limited
6.160% due 05/11/98 130 130
-----------
Total Japan 261
(Cost $264) ===========
- ---------------------------------------------------------------------------
MEXICO (e) 0.8%
- ---------------------------------------------------------------------------
United Mexican States
7.000% due 06/02/03 C$ 500 335
-----------
Total Mexico 335
(Cost $357) ===========
- ---------------------------------------------------------------------------
NETHERLANDS (c)(e) 0.7%
- ---------------------------------------------------------------------------
Kingdom of Netherlands
6.250% due 07/15/98 DG 500 242
8.250% due 02/15/07 100 59
-----------
Total Netherlands 301
(Cost $354) ===========
- ---------------------------------------------------------------------------
NEW ZEALAND (c)(e) 0.9%
- ---------------------------------------------------------------------------
Commonwealth of New Zealand
10.000% due 03/15/02 N$ 30 18
8.000% due 04/15/04 600 342
-----------
Total New Zealand 360
(Cost $442) ===========
- ---------------------------------------------------------------------------
SPAIN (c)(e) 2.3%
- ---------------------------------------------------------------------------
Kingdom of Spain
10.250% due 11/30/98 SP 90,000 596
10.000% due 02/28/05 25,300 209
6.000% due 01/31/08 24,800 169
-----------
Total Spain 974
(Cost $1,111) ===========
- ---------------------------------------------------------------------------
SUPRANATIONAL (e) 0.3%
- ---------------------------------------------------------------------------
European Bank for Reconstruction & Development
9.000% due 04/22/98 PP 4,000 104
World Bank
10.250% due 04/11/02 2,000 40
-----------
Total Supranational 144
(Cost $228) ===========
See accompanying notes 29
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
March 31, 1998
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------
SWEDEN (c)(e) 12.8%
- ----------------------------------------------------------------------------
Kingdom of Sweden
5.520% due 04/02/98 $ 1,400 $ 1,400
10.250% due 05/05/00 SK 10,300 1,420
13.000% due 06/15/01 900 138
8.000% due 08/15/07 16,000 2,392
------------
Total Sweden 5,350
(Cost $5,416) ============
- ----------------------------------------------------------------------------
UNITED KINGDOM (c)(e) 22.8%
- ----------------------------------------------------------------------------
Equitable
8.000% due 08/29/49 (d) BP 700 1,244
United Kingdom Gilt
8.000% due 12/07/00 3,600 6,244
8.500% due 12/07/05 768 1,477
7.250% due 12/07/07 325 596
------------
Total United Kingdom 9,561
(Cost $9,339) ============
- ----------------------------------------------------------------------------
UNITED STATES (e) 18.1%
- ----------------------------------------------------------------------------
Corporate Bonds and Notes 3.9%
Dean Witter Discover
5.867% due 02/01/99 (d) $ 250 250
Hewlett-Packard Finance
5.625% due 11/20/00 DM 100 55
TCI Communications, Inc.
6.359% due 04/01/02 (d) $ 300 302
Tokai Capital Corp.
9.980% due 12/31/49 (d) 1,000 1,017
------------
1,624
============
U.S. Government Agencies 2.1%
Student Loan Marketing Assn.
6.010% due 10/25/07 (d) 900 900
------------
U.S. Treasury Obligations 6.0%
Treasury Inflation Protected Securities
3.625% due 07/15/02 (g) 2,321 2,299
U.S. Treasury Bonds
6.000% due 02/15/26 200 200
------------
2,499
============
Mortgage-Backed Securities 5.9%
Government National Mortgage Assn.
7.000% due 11/20/21-11/20/26 (d)(f) 2,393 2,452
------------
Asset-Backed Securities 0.2%
Daimler-Benz Vehicle Trust
5.850% due 07/20/03 89 89
------------
Total United States 7,564
(Cost $7,550) ============
- ----------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 55.2%
- ----------------------------------------------------------------------------
Commercial Paper 53.7%
Abbott Laboratories
5.520% due 04/03/98 $ 1,500 1,499
BellSouth Telecommunications, Inc.
5.510% due 04/14/98 200 200
5.510% due 04/22/98 600 598
5.490% due 05/20/98 700 695
Campbell Soup Co.
5.500% due 05/01/98 1,500 1,493
E.I. Du Pont de Nemours
5.500% due 04/28/98 800 797
Federal Home Loan Mortgage Corp.
5.530% due 04/21/98 4,000 3,988
Federal National Mortgage Assn.
5.430% due 04/29/98 300 299
Florida Power & Light Co.
5.490% due 05/27/98 1,000 991
Ford Motor Credit Corp.
5.550% due 04/02/98 600 600
5.540% due 04/08/98 800 799
General Electric Capital Corp.
5.530% due 04/09/98 800 799
5.540% due 04/15/98 700 698
IBM Credit Corp.
5.530% due 04/09/98 600 599
5.530% due 04/09/98 200 200
National Rural Utilities Cooperative
5.500% due 05/21/98 400 397
5.500% due 06/24/98 1,500 1,481
New Center Asset Trust
5.530% due 04/22/98 1,500 1,495
Pfizer, Inc.
5.490% due 04/28/98 1,500 1,494
Procter & Gamble Co.
5.510% due 04/14/98 1,000 998
5.520% due 05/13/98 800 795
Wisconsin Electric Power & Light
5.510% due 04/07/98 800 799
5.530% due 04/07/98 800 799
------------
22,513
============
Repurchase Agreement 0.8%
State Street Bank
5.000% due 04/01/98 317 317
------------
(Dated 03/31/98. Collateralized by U.S. Treasury
Note 6.250% 06/30/98 valued at $325,572.
Repurchase proceeds are $317,044.)
U.S. Treasury Bills (b)(f) 0.7%
5.047% due 04/16/98-07/23/98 295 292
------------
Total Short-Term Instruments 23,122
(Cost $23,123) ============
Total Investments (a) 143.6% $ 60,160
(Cost $60,644)
Other Assets and Liabilities (Net) (43.6%) (18,258)
------------
Net Assets 100.0% $ 41,902
============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1998, 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. $ 172
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (656)
------------
Unrealized depreciation-net $ (484)
============
(b) Securities with an aggregate market value of $292
have been segregated with the custodian to cover margin
requirements for the following open future contracts at
March 31, 1998:
Unrealized
Appreciation/
Type Contracts (Depreciation)
- ----------------------------------------------------------------------------
Commonwealth of Australia 3 Year Note (06/98) 48 $ 31
Government of Japan 10 Year Note (06/98) 1 5
Kingdom of Spain 10 Year Note (06/98) 5 3
U.S. Treasury 10 Year Note (06/98) 143 20
U.S. Treasury 30 Year Bond (06/98) 9 (2)
------------
$ 57
============
30 See accompanying notes
<PAGE>
=============================================================================
(c) Foreign forward currency contracts outstanding at March 31, 1998:
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- -----------------------------------------------------------------------------
Buy A$ 30 04/98 $ 0
Sell 356 04/98 1
Buy BP 8 04/98 0
Buy 17 06/98 0
Sell 1,513 04/98 (76)
Sell 32 06/98 0
Buy C$ 725 06/98 1
Sell 497 04/98 (3)
Sell DG 39 05/98 0
Sell 94 06/98 0
Sell DK 275 04/98 1
Buy DM 1,887 04/98 (18)
Buy 3,225 05/98 (37)
Sell 2,060 04/98 14
Buy EC 190 04/98 0
Sell 190 04/98 3
Buy FF 70 05/98 0
Sell 131 05/98 0
Buy FM 4,585 04/98 (24)
Buy 2,400 05/98 (12)
Sell 3,238 04/98 13
Sell 5,076 05/98 17
Sell GD 39,012 04/98 13
Sell 17,102 05/98 (1)
Buy IL 58,842 04/98 0
Sell 81,419 04/98 0
Sell JY 47,018 06/98 8
Sell N$ 459 04/98 7
Sell 171 05/98 6
Buy NK 3,324 06/98 (4)
Buy SF 506 06/98 (15)
Sell 4,384 06/98 47
Sell SK 422 04/98 1
Buy SP 15,266 04/98 (1)
Sell 118,541 04/98 12
------------
$ (47)
============
(d) Variable rate security. The rate listed is as of March 31, 1998.
(e) Principal amount denoted in indicated currency:
A$ - Australian Dollar
AP - Argentine Peso
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
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
JY - Japanese Yen
N$ - New Zealand Dollar
NK - Norwegian Kron
PP - Philippines Peso
SF - Swiss Franc
SK - Swedish Krona
SP - Spanish Peseta
(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 March 31, 1998:
Fixed Notional Unrealized
Type Rate (%) Amount Appreciation
- -------------------------------------------------------------------------------
Receive the 10-year Swap Spread and pay
a fixed rate. The 10-year Swap Spread is
the difference between the 10-year Swap
Rate and the 10-year Treasury Rate.
Broker: Merrill Lynch
Exp. 04/18/02 .3700 $ 1,000 $ 5
Notional Unrealized
Type Amount Depreciation
- -------------------------------------------------------------------------------
Receive floating rate based on 6 month
Drachma/ATHIMID and pay fixed rate.
Broker: Merrill Lynch
Exp. 03/12/00 GD 285,826 $ (43)
See accompanying notes 31
<PAGE>
Schedule of Investments
Emerging Markets Bond Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------
ARGENTINA (e) 15.7%
- ----------------------------------------------------------------------------
Republic of Argentina
11.750% due 02/12/07 AP 400 $ 413
11.375% due 01/30/17 $ 250 282
------------
Total Argentina 695
(Cost $637) ============
- ----------------------------------------------------------------------------
BRAZIL 21.6%
- ----------------------------------------------------------------------------
Government of Brazil
8.000% due 04/15/14 1,140 959
------------
Total Brazil 959
(Cost $981) ============
- ----------------------------------------------------------------------------
BULGARIA 4.4%
- ----------------------------------------------------------------------------
Government of Bulgaria
6.563% due 07/28/11 (d) 250 195
------------
Total Bulgaria 195
(Cost $186) ============
- ----------------------------------------------------------------------------
COLOMBIA 3.8%
- ----------------------------------------------------------------------------
Republic of Columbia
7.125% due 05/11/98 170 170
------------
Total Colombia 170
(Cost $170) ============
- ----------------------------------------------------------------------------
CROATIA 5.0%
- ----------------------------------------------------------------------------
Republic of Croatia
6.500% due 07/31/10 (d) 250 222
------------
Total Croatia 222
(Cost $223) ============
- ----------------------------------------------------------------------------
ECUADOR 3.1%
- ----------------------------------------------------------------------------
Government of Ecuador
3.500% due 02/28/25 (d) 250 137
------------
Total Ecuador 137
(Cost $136) ============
- ----------------------------------------------------------------------------
MEXICO 11.4%
- ----------------------------------------------------------------------------
United Mexican States
11.375% due 09/15/16 250 293
6.250% due 12/31/19 250 212
------------
Total Mexico 505
(Cost $497) ============
- ----------------------------------------------------------------------------
PERU 3.9%
- ----------------------------------------------------------------------------
Government of Peru
4.000% due 03/07/17 (d) 250 171
------------
Total Peru 171
(Cost $166) ============
- ----------------------------------------------------------------------------
PHILIPPINES 5.0%
- ----------------------------------------------------------------------------
Republic of Philippines
6.656% due 01/05/05 (d) 233 221
------------
Total Philippines 221
(Cost $225) ============
- ----------------------------------------------------------------------------
RUSSIA 10.7%
- ----------------------------------------------------------------------------
Republic of Russia
6.719% due 12/15/15 (d) 400 283
6.719% due 12/15/20 (d) 300 191
------------
Total Russia 474
(Cost $447) ============
- ----------------------------------------------------------------------------
UNITED STATES 13.3%
- ----------------------------------------------------------------------------
Corporate Bonds and Notes 6.0%
Korea Development Bank
6.625% due 11/21/03 300 266
------------
Asset-Backed Securities 7.3%
IMC Home Equity Loan Trust
5.765% due 05/21/12 (d) 174 174
NationsBank Auto Owner Trust
6.375% due 07/15/00 150 151
------------
325
------------
Total United States 591
(Cost $590) ============
- ----------------------------------------------------------------------------
VENEZUELA 4.4%
- ----------------------------------------------------------------------------
Government of Venezuela
6.750% due 03/31/07 (d) 214 195
------------
Total Venezuela 195
(Cost $191) ============
- ----------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 15.9%
- ----------------------------------------------------------------------------
Commercial Paper 13.5%
E.I. Du Pont de Nemours
5.450% due 04/09/98 100 100
Ford Motor Credit Corp.
5.460% due 04/10/98 100 100
National Rural Utilities Cooperative
5.500% due 05/26/98 200 198
Southwestern Public Service Co.
5.540% due 04/24/98 100 100
Wisconsin Electric Power & Light
5.500% due 04/10/98 100 100
------------
598
============
Repurchase Agreement 2.0%
State Street Bank
5.000% due 04/01/98 88 88
------------
(Dated 03/31/98. Collateralized by U.S. Treasury
Note 6.375% 04/30/99 valued at $93,096.
Repurchase proceeds are $88,012.)
U.S. Treasury Bills (b)(f) 0.4%
4.998% due 04/16/98-06/25/98 20 20
------------
Total Short-Term Instruments 706
(Cost $706) ============
Total Investments (a) 118.2% $ 5,241
(Cost $5,155)
Other Assets and Liabilities (Net) (18.2%) (808)
------------
Net Assets 100.0% $ 4,433
============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1998, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 103
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (49)
------------
Unrealized appreciation-net $ 54
============
32 See accompanying notes
<PAGE>
=============================================================================
(b) Securities with an aggregate market value of $20 have been
segregated with the custodian to cover margin requirements for
the following open future contracts at March 31, 1998:
Unrealized
Type Contracts Appreciation
- -----------------------------------------------------------------------------
U.S. Treasury 5 Year Note (06/98) 2 $ 1
(c) Foreign forward currency contracts outstanding at March 31, 1998:
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- -----------------------------------------------------------------------------
Buy DM 266 08/98 $ (2)
Sell DM 266 08/98 3
------------
$ 1
=============
(d) Variable rate security. The rate listed is as of March 31, 1998.
(e) Principal amount denoted in indicated currency:
AP - Argentine Peso
DM - German Mark
(f) Securities are grouped by coupon and represent a range of maturities.
See accompanying notes 33
<PAGE>
Schedule of Investments
High Yield Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 80.9%
- --------------------------------------------------------------------------------
Banking and Finance 6.7%
Americo Life, Inc.
9.250% due 06/01/05 $ 2,000 $ 2,070
Arvin Capital
9.500% due 02/01/27 19,000 21,422
Bay View Capital Corp.
9.125% due 08/15/07 8,000 8,360
First Nationwide Holdings
12.500% due 04/15/03 5,000 5,738
10.625% due 10/01/03 4,350 4,883
Forest City Enterprises
8.500% due 03/15/08 14,350 14,458
Fuji Bank
9.870% due 12/31/49 (b) 21,200 21,108
Helicon Group
11.000% due 11/01/03 (b) 2,000 2,165
Nextel Communications, Inc.
0.000% due 02/15/08 (c) 38,750 24,838
Polysindo International Finance
9.375% due 07/30/07 8,555 5,240
Reliance Group Holdings
9.000% due 11/15/00 13,800 14,443
SB Treasury Co. LLC
9.400% due 12/29/49 (b) 20,000 20,791
Trizec Finance Limited
10.875% due 10/15/05 2,441 2,703
--------------
148,219
==============
Industrials 61.4%
Abbey Healthcare Group
9.500% due 11/01/02 12,220 12,832
Advanced Lighting
8.000% due 03/15/08 5,200 5,246
AEI Holding Co.
10.000% due 11/15/07 9,580 10,131
Albritton Communications
9.750% due 11/30/07 5,500 5,830
American Airlines
10.610% due 03/04/10 650 860
American Standard
7.375% due 02/01/08 17,350 17,220
9.250% due 12/01/16 7,388 7,674
Amerigas Partners LP
10.125% due 04/15/07 4,200 4,505
Ameriserv Food Co.
8.875% due 10/15/06 1,000 1,035
10.125% due 07/15/07 16,550 17,936
Ametek, Inc.
9.750% due 03/15/04 6,350 6,763
Amphenol Corp.
9.875% due 05/15/07 6,500 7,036
Archibald Candy Corp.
10.250% due 07/01/04 1,000 1,060
Benedek Broadcasting Corp.
11.875% due 03/01/05 21,315 24,086
Benedek Communications
0.000% due 05/15/06 (c) 1,500 1,200
Beverly Enterprises, Inc.
9.000% due 02/15/06 12,700 13,303
Building Materials Corp.
0.000% due 07/01/04 (c) 17,400 16,334
8.625% due 12/15/06 500 521
8.000% due 10/15/07 3,750 3,816
Canadian Forest Oil Limited
8.750% due 09/15/07 5,000 5,125
Century Communications Corp.
8.750% due 10/01/07 5,000 5,213
CF Cable TV, Inc.
9.125% due 07/15/07 9,000 9,891
Chattem, Inc.
8.875% due 04/01/08 4,300 4,370
Clark R&M Holdings
8.375% due 11/15/07 5,000 5,063
Coleman
7.100% due 06/13/06 (d) 6,750 6,218
7.250% due 06/13/08 (d) 2,000 1,825
Columbus McKinnon
8.500% due 04/01/08 7,850 7,909
Comcast Cellular
9.500% due 05/01/07 20,125 21,232
Cross Timbers Oil Co.
8.750% due 11/01/09 5,500 5,665
CSC Holdings, Inc.
8.125% due 08/15/09 7,000 7,350
9.875% due 02/15/13 2,000 2,215
10.500% due 05/15/16 11,000 12,898
7.875% due 02/15/18 10,000 9,925
9.875% due 04/01/23 9,000 10,013
Cumberland Farms
10.500% due 10/01/03 5,577 5,521
Dailey International, Inc.
9.500% due 02/15/08 2,250 2,278
Delta Air Lines
10.790% due 03/26/14 2,264 2,973
Dialog Corp. PLC
11.000% due 11/15/07 3,350 3,702
Dimon, Inc.
8.875% due 06/01/06 1,700 1,764
Doane Products Co.
10.625% due 03/01/06 2,000 2,210
Echostar Communications
0.000% due 06/01/04 (c) 27,090 26,210
Envirosource, Inc.
9.750% due 06/15/03 12,068 12,370
Extended Stay America
9.150% due 03/15/08 11,500 11,658
Extendicare Health Services
9.350% due 12/15/07 5,400 5,630
EZ Communication, Inc.
9.750% due 12/01/05 2,500 2,769
Falcon Cable
0.000% due 04/15/10 (c) 11,700 7,409
8.375% due 04/15/10 7,150 7,131
Falcon Drilling, Inc.
9.750% due 01/15/01 6,500 6,939
Ferrellgas Partners LP
10.000% due 08/01/01 11,600 12,325
9.375% due 06/15/06 11,375 12,058
Fisher Scientific
7.125% due 12/15/05 6,500 6,143
9.000% due 02/01/08 18,900 19,207
Foamex LP
9.875% due 06/15/07 1,700 1,743
Foodmaker, Inc.
9.750% due 06/01/02 5,000 5,175
Forcenergy, Inc.
9.500% due 11/01/06 4,300 4,483
8.500% due 02/15/07 2,300 2,271
Gardern State Newspapers
8.750% due 10/01/09 17,250 17,681
Globalstar LP
11.375% due 02/15/04 8,350 8,788
11.250% due 06/15/04 5,500 5,789
10.750% due 11/01/04 3,106 3,203
Goss Graphic Systems, Inc.
12.000% due 10/15/06 6,000 6,840
Grand Casinos, Inc.
9.000% due 10/15/04 5,000 5,163
Granite Broadcasting Corp.
10.375% due 05/15/05 5,250 5,644
Grant Geophysical
9.750% due 02/15/08 2,000 1,980
Gruma SA de CV
7.625% due 10/15/07 3,750 3,714
GST Equipment Funding
13.250% due 05/01/07 5,000 5,938
Gulf Canada Resources
9.250% due 01/15/04 12,575 13,201
HMH Properties, Inc.
9.500% due 05/15/05 12,750 13,579
8.875% due 07/15/07 8,500 8,957
34 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
================================================================================
Hollinger International Publishing
8.625% due 03/15/05 $ 4,750 $ 4,999
9.250% due 02/01/06 7,800 8,327
Holmes Products
9.875% due 11/15/07 5,000 5,200
Houston Exploration Co.
8.625% due 01/01/08 7,000 6,983
Huntsman Packaging Corp.
9.125% due 10/01/07 6,250 6,469
Integrated Health Services
10.250% due 04/30/06 770 835
9.500% due 09/15/07 7,000 7,473
9.250% due 01/15/08 6,900 7,301
Intermedia Communications, Inc.
0.000% due 05/15/06 (c) 27,835 23,103
8.500% due 01/15/08 4,950 5,210
ISP Holdings, Inc.
9.000% due 10/15/03 23,370 24,597
ITC Deltacom, Inc.
11.000% due 06/01/07 5,000 5,700
J. Ray McDermott
9.375% due 07/15/06 10,400 11,232
J.Q. Hammons Hotels
8.875% due 02/15/04 11,500 11,744
Jones Intercable, Inc.
8.875% due 04/01/07 10,060 10,714
K Mart Corp.
9.350% due 01/02/20 15,125 16,250
9.780% due 01/05/20 9,575 10,531
K-III Communications Co.
8.500% due 02/01/06 18,190 18,690
L-3 Communications Corp.
10.375% due 05/01/07 2,250 2,503
Lenfest Communications
8.375% due 11/01/05 13,650 14,213
Lin Holdings Corp.
0.000% due 03/01/08 (c) 18,750 11,859
Lin Television Corp.
8.375% due 03/01/08 8,800 8,888
Magnum Hunter Resources, Inc.
10.000% due 06/01/07 7,000 6,860
Marcus Cable
0.000% due 08/01/04 (c) 11,400 10,887
Market Hub Partners
8.250% due 03/01/08 3,400 3,489
Marsh Supermarkets, Inc.
8.875% due 08/01/07 7,250 7,549
Moog, Inc.
10.000% due 05/01/06 3,250 3,543
Newpark Resources, Inc.
8.625% due 12/15/07 4,350 4,470
Newsquest Capital
11.000% due 05/01/06 2,550 2,875
NL Industries
0.000% due 10/15/05 (c) 12,000 12,300
Nuevo Energy Co.
9.500% due 04/15/06 5,000 5,363
Orion Network Systems, Inc.
0.000% due 01/15/07 (c) 11,000 8,635
11.250% due 01/15/07 15,875 18,336
Owens & Minor
10.875% due 06/01/06 5,850 6,559
Pacific Lumber
10.500% due 03/01/03 9,750 10,091
Perkins Family Restaurants
10.125% due 12/15/07 3,450 3,640
Perry-Judd
10.625% due 12/15/07 4,850 5,165
Phar-Mor, Inc.
11.720% due 09/11/02 10,000 10,650
Pharmerica, Inc.
8.375% due 04/01/08 6,300 6,332
Physician Sales and Service, Inc.
8.500% due 10/01/07 5,415 5,665
Plainwell, Inc.
11.000% due 03/01/08 500 516
Polymer Group
8.750% due 03/01/08 6,000 6,135
Polymer Group, Inc.
9.000% due 07/01/07 14,955 15,516
Pool Energy Services
8.625% due 04/01/08 4,000 4,030
Primedia, Inc.
7.625% due 04/01/08 8,250 8,126
Printpack, Inc.
9.875% due 08/15/04 6,450 6,982
Purina Mills, Inc.
9.000% due 03/15/10 3,000 3,113
Revlon Consumer Products Corp.
9.375% due 04/01/01 7,500 7,838
8.125% due 02/01/06 26,750 26,951
Riviera Holdings Corp.
10.000% due 08/15/04 4,350 4,394
RJR Nabisco
8.000% due 07/15/01 2,000 2,057
8.625% due 12/01/02 5,500 5,783
Rogers Cablesystems, Inc.
10.000% due 03/15/05 7,500 8,391
Rogers Cantel Mobile
9.375% due 06/01/08 15,500 16,508
Rogers Cantel, Inc.
8.300% due 10/01/07 12,385 12,416
Salem Communications
9.500% due 10/01/07 4,850 5,080
Satelites Mexicanos
9.391% due 06/30/04 (b) 10,000 10,100
SC International Services, Inc.
9.250% due 09/01/07 8,200 8,641
Scotsman Group, Inc.
8.625% due 12/15/07 4,000 4,110
Sea Containers
9.500% due 07/01/03 (b) 750 783
Showboat, Inc.
9.250% due 05/01/08 9,750 10,433
Silgan Holdings, Inc.
9.000% due 06/01/09 20,760 21,798
Smith's Food & Drug Centers, Inc.
8.640% due 07/02/12 9,575 10,437
9.200% due 07/02/18 9,000 10,197
Smithfield Foods
7.625% due 02/15/08 5,900 5,900
Stater Brothers Holdings
11.000% due 03/01/01 8,720 9,548
Station Casinos
9.625% due 06/01/03 3,150 3,276
Stevens, JP & Co.
9.000% due 03/01/17 9,500 9,928
Stone Container
11.500% due 10/01/04 2,000 2,155
Synthetic Industries, Inc.
9.250% due 02/15/07 7,150 7,508
Teleport Communications
0.000% due 07/01/07 (c) 18,150 15,700
Telewest Communications
9.625% due 10/01/06 12,750 13,515
Tenet Healthcare Corp.
8.625% due 12/01/03 1,050 1,118
8.000% due 01/15/05 2,000 2,065
10.125% due 03/01/05 13,800 15,249
8.625% due 01/15/07 3,500 3,644
Trans-Resources
10.750% due 03/15/08 15,650 16,159
Transamerican Energy
11.500% due 06/15/02 1,525 1,517
Unisys Corp.
12.000% due 04/15/03 14,900 16,912
11.750% due 10/15/04 5,000 5,800
7.875% due 04/01/08 6,500 6,516
United Defense Industries, Inc.
8.750% due 11/15/07 3,500 3,592
See accompanying notes 35
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
================================================================================
US Air, Inc.
10.000% due 07/01/03 $ 10,000 $ 10,613
9.625% due 09/01/03 16,083 17,490
9.330% due 01/01/06 5,362 5,730
US Can Corp.
10.125% due 10/15/06 600 641
Vencor, Inc.
8.625% due 07/15/07 2,900 3,277
Vintage Petroleum
9.000% due 12/15/05 10,490 11,015
West Point Stevens
8.750% due 12/15/01 2,000 2,090
9.375% due 12/15/05 10,000 10,663
Wheeling-Pittsburgh Corp.
9.250% due 11/15/07 5,600 5,733
World Color Press, Inc.
9.125% due 03/15/03 23,085 23,778
WorldCom, Inc.
9.375% due 01/15/04 10,000 10,600
Young Broadcasting, Inc.
9.000% due 01/15/06 11,000 11,523
8.750% due 06/15/07 4,000 4,100
-----------
1,357,666
===========
Utilities 12.8%
AES Corp.
10.250% due 07/15/06 14,235 15,730
8.500% due 11/01/07 2,500 2,594
Beaver Valley Funding Corp.
9.000% due 06/01/17 37,000 41,708
California Energy
9.875% due 06/30/03 5,000 5,352
10.250% due 01/15/04 17,815 19,218
9.500% due 09/15/06 5,000 5,444
Calpine Corp.
9.250% due 02/01/04 10,500 10,920
8.750% due 07/15/07 14,650 15,236
7.875% due 04/01/08 10,000 10,088
CMS Energy
8.125% due 05/15/02 9,500 9,763
7.000% due 01/15/05 12,000 11,532
Coho Energy, Inc.
8.875% due 10/15/07 7,500 7,069
Dial Call Communications
0.000% due 04/15/04 (c) 19,000 19,000
Espirito Santo Centrais
10.000% due 07/15/07 2,450 2,395
First PV Funding
10.150% due 01/15/16 808 854
Flag Limited
8.250% due 01/30/08 38,750 39,816
ITC Deltacom, Inc.
8.875% due 03/01/08 12,300 12,792
Long Island Lighting Co.
8.900% due 07/15/19 5,000 5,359
Mastec, Inc.
7.750% due 02/01/08 5,500 5,473
Niagara Mohawk Power
9.990% due 05/11/04 2,500 2,550
7.750% due 05/15/06 1,100 1,172
9.500% due 03/01/21 2,500 2,658
7.875% due 04/01/24 7,500 7,740
North Atlantic Energy
9.050% due 06/01/02 7,795 8,006
Philippine Long Distance Telephone Co.
10.625% due 06/02/04 1,000 1,063
9.250% due 06/30/06 2,000 1,985
7.850% due 03/06/07 4,450 4,172
8.350% due 03/06/17 5,000 4,506
Public Service of New Hampshire
9.170% due 05/15/98 1,000 1,004
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/09 (d) 500 548
10.732% due 01/01/13 (d) 6,993 7,877
-----------
283,624
-----------
Total Corporate Bonds and Notes 1,789,509
(Cost $1,720,628) ===========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 2.0%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 1.5%
Asset Securitization Corp.
7.384% due 08/13/29 $ 1,500 $ 1,485
Federal Deposit Insurance Corp.
6.875% due 11/25/26 (b) 400 428
Manufacturers Hanover Corp.
7.536% due 12/16/25 (b) 809 811
9.182% due 12/16/25 (b) 3,598 3,428
NationsBanc Mortgage Capital Corp.
8.122% due 05/25/28 (b) 3,835 2,709
Red Mountain Funding Corp.
9.150% due 11/28/27 5,727 5,904
Resolution Trust Corp.
9.250% due 06/25/23 3,332 3,348
9.050% due 08/25/23 774 777
6.900% due 02/25/27 8,437 8,170
7.000% due 05/25/27 6,133 6,001
-----------
33,061
===========
Other Mortgage-Backed Securities 0.3%
LTC Commercial Corp.
9.200% due 08/04/23 3,235 3,586
Resolution Trust Corp.
7.261% due 09/25/20 (b) 677 567
9.500% due 05/25/24 69 69
Structured Asset Securities Corp.
7.050% due 11/25/02 4,000 3,510
-----------
7,732
===========
Stripped Mortgage-Backed Securities 0.2%
Federal National Mortgage Assn. (IO)
6.000% due 07/25/05 1,912 101
7.000% due 07/25/08 6,033 867
6.500% due 06/25/17 2,219 184
7.000% due 04/25/19 12,000 2,316
7.000% due 12/25/21 10,000 1,391
Fund America (IO)
9.590% due 10/20/21 1,500 61
-----------
4,920
-----------
Total Mortgage-Backed Securities 45,713
(Cost $45,221) ===========
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.4%
- --------------------------------------------------------------------------------
Airplanes Pass Through Trust
10.875% due 03/15/19 26,570 29,626
Arena Brands, Inc.
9.156% due 06/01/02 (b) 2,758 2,765
9.625% due 06/01/02 (b) 53 53
9.656% due 06/01/02 (b) 4,969 4,981
Decision One
9.750% due 08/07/03 11,000 10,918
Federal-Mogul Corp.
10.190% due 12/31/98 (b) 25,000 24,904
Huntsman Corp.
9.250% due 03/20/07 (b) 6,500 6,598
Integrated Health Services
7.625% due 09/16/04 (b) 3,500 3,467
8.125% due 12/31/05 (b) 3,500 3,496
Morgan Stanley Aircraft Finance
8.700% due 03/15/23 18,000 17,945
Paragon Health Network, Inc.
8.125% due 04/29/05 (b) 5,000 5,028
8.563% due 04/29/06 (b) 5,000 5,028
TFM SA de CV
9.690% due 06/30/03 (b) 4,000 4,000
-----------
Total Asset-Backed Securities 118,809
(Cost $118,457) ===========
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 0.8%
- --------------------------------------------------------------------------------
Republic of Argentina
6.688% due 03/31/05 (b) 5,771 5,324
5.500% due 03/31/23 (b) 9,000 6,897
Republic of Croatia
6.500% due 07/31/06 (b) 5,616 5,151
-----------
Total Sovereign Issues 17,372
(Cost $14,862) ===========
36 See accompanying notes
<PAGE>
Value
(000s)
- --------------------------------------------------------------------------------
PREFERRED STOCK 4.5%
- --------------------------------------------------------------------------------
Shares
California Federal Bank 16,500 $ 1,871
Fresenius Medical Care 44,195 45,565
Long Island Lighting Co. 30,000 3,135
Newscorp Overseas Limited 133,200 3,322
Primedia, Inc. 120,000 12,183
Sig Capital Trust 7,000 7,182
Time Warner, Inc. 22,900 25,648
-----------
Total Preferred Stock 98,906
(Cost $95,795) ===========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.2%
- --------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 5.0%
Australian Wheat Board
5.460% due 04/23/98 $ 13,000 12,957
Caisse d'Amortissement
5.460% due 04/14/98 3,800 3,793
E.I. Du Pont de Nemours
5.510% due 04/06/98 5,900 5,895
5.450% due 04/08/98 17,700 17,681
Ford Motor Credit Corp.
5.470% due 04/03/98 600 600
5.480% due 04/06/98 9,000 8,993
General Electric Capital Corp.
5.520% due 04/09/98 11,000 10,987
General Motors Acceptance Corp.
5.470% due 04/08/98 13,600 13,586
5.530% due 04/08/98 5,400 5,394
5.570% due 04/08/98 10,000 9,989
KFW International Finance, Inc.
5.520% due 04/03/98 6,600 6,598
New Center Asset Trust
5.450% due 04/08/98 5,000 4,995
Procter & Gamble Co.
5.510% due 04/14/98 5,400 5,389
Wisconsin Electric Power & Light
5.510% due 04/07/98 4,500 4,496
-----------
111,353
===========
Repurchase Agreement 0.2%
State Street Bank
5.000% due 04/01/98 3,519 3,519
(Dated 03/31/98. Collateralized by -----------
U.S. Treasury Note 5.750% 12/31/98
valued at $3,593,100. Repurchase
proceeds are $3,519,489.)
Total Short-Term Instruments 114,872
(Cost $114,872) ===========
Total Investments (a) 98.8% $2,185,181
(Cost $2,109,835)
Other Assets and Liabilities (Net) 1.2% 25,479
-----------
Net Assets 100.0% $2,210,660
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1998, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 81,956
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (6,217)
-----------
Unrealized appreciation-net $ 75,739
===========
(b) Variable rate security. The rate listed is as of
March 31, 1998.
(c) Security becomes interest bearing at a future date.
(d) Restricted security.
See accompanying notes 37
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 28.2%
- --------------------------------------------------------------------------------
Banking and Finance 17.4%
Ahmanson (H.F.) & Co.
6.350% due 09/01/98 $ 6,000 $ 6,014
7.650% due 04/15/00 175 181
American Express Credit
8.500% due 08/15/01 250 269
6.800% due 12/15/03 1,500 1,539
American General Finance
7.250% due 04/15/00 500 511
5.875% due 07/01/00 75 75
Associates Corp. of North America
6.625% due 05/15/98 100 100
8.800% due 08/01/98 987 996
6.250% due 03/15/99 1,200 1,203
7.500% due 05/15/99 700 712
7.400% due 07/07/99 125 127
7.250% due 09/01/99 285 290
6.750% due 10/15/99 90 91
7.850% due 10/20/99 500 515
8.250% due 12/01/99 200 207
7.250% due 12/17/99 660 675
7.470% due 03/27/00 1,000 1,029
6.000% due 06/15/00 2,634 2,633
6.310% due 06/16/00 500 505
6.250% due 09/15/00 50 50
7.500% due 04/15/02 185 194
AT&T Capital Corp.
6.900% due 04/15/98 19,800 19,805
6.300% due 06/09/98 37,000 37,025
6.240% due 11/27/98 19,000 19,020
6.250% due 12/08/98 (d) 10,000 10,010
5.858% due 01/15/99 (d) 12,000 12,050
5.950% due 02/16/99 105,850 105,647
6.120% due 02/26/99 20,000 19,987
6.050% due 04/01/99 (d) 158,500 158,500
6.580% due 09/03/99 500 503
AVCO Financial Services
6.350% due 09/15/00 100 101
7.375% due 08/15/01 300 311
Bancomer
8.000% due 07/07/98 7,000 7,000
Banesto Delaware
8.250% due 07/28/02 28,900 30,880
BankAmerica Corp.
6.050% due 06/10/98 36,000 36,004
6.052% due 11/01/99 (d) 3,000 3,023
5.700% due 03/05/01 (d) 7,000 7,003
5.938% due 02/20/02 (d) 180 179
7.750% due 07/15/02 60 63
7.200% due 09/15/02 400 415
7.500% due 10/15/02 1,000 1,049
6.850% due 03/01/03 50 51
8.375% due 05/01/07 3 3
Bankers Trust Co.
8.625% due 04/01/18 124 127
Bear Stearns
5.825% due 09/10/99 (d) 25,000 25,047
6.750% due 08/15/00 50 51
5.560% due 08/25/00 (d) 1,400 1,406
5.860% due 08/29/00 (d) 37,500 37,732
6.750% due 04/15/03 105 107
Beneficial Corp.
9.600% due 10/16/98 250 255
5.782% due 11/27/00 (d) 70,000 69,898
6.050% due 01/09/01 (d) 9,000 9,005
5.795% due 01/23/02 (d) 5,000 4,994
6.069% due 03/01/02 (d) 15,000 15,017
BT Securities Corp.
5.915% due 08/16/99 (d) 10,000 9,985
Capital One Bank
6.356% due 06/08/98 (d) 900 900
6.830% due 08/16/99 275 277
Caterpillar Financial
6.350% due 12/01/98 125 125
Charles Schwab
5.670% due 09/30/98 525 524
Chase Manhattan Corp.
8.500% due 02/15/02 200 215
8.000% due 05/01/05 200 200
Chemical Banking Corp.
6.294% due 04/03/05 (d) 5,000 5,000
6.125% due 11/01/08 400 390
Chrysler Financial Corp.
8.420% due 02/01/99 695 709
5.350% due 02/04/99 (d) 9,000 8,997
6.350% due 06/22/99 8,000 8,028
8.460% due 01/19/00 700 729
6.250% due 03/06/00 14,735 14,772
5.410% due 07/28/00 (d) 100 100
5.860% due 01/16/01 500 497
5.742% due 07/17/02 (d) 20,000 19,993
5.867% due 02/03/03 (d) 15,000 15,018
Chubb Capital Corp.
8.750% due 11/15/99 80 80
6.875% due 02/01/03 100 103
Citicorp
9.750% due 08/01/99 2,200 2,304
6.025% due 10/20/99 (d) 10,000 10,042
6.021% due 10/25/99 (d) 11,000 11,046
5.855% due 05/23/00 (d) 25,000 25,073
7.070% due 05/25/00 1,250 1,258
6.109% due 06/01/00 5,000 5,015
5.922% due 11/28/00 (d) 5,000 5,016
5.932% due 02/01/01 (d) 10,000 10,042
5.750% due 05/24/01 (d) 39,000 38,977
5.705% due 11/13/01 (d) 10,000 9,992
5.956% due 06/27/02 (d) 11,450 11,416
5.715% due 08/15/02 (d) 11,500 11,503
5.754% due 11/12/02 (d) 30,000 29,951
Coast Savings
10.000% due 03/01/00 8,000 8,440
Commercial Credit Co.
6.750% due 05/15/00 100 101
6.000% due 06/15/00 300 300
8.250% due 11/01/01 2,500 2,665
7.750% due 03/01/05 50 54
Dean Witter Discover
5.749% due 03/02/99 (d) 100 100
6.750% due 08/15/00 100 102
Deutsche Bank Financial
7.500% due 04/25/09 3,000 3,207
Exxon Capital Corp.
7.450% due 12/15/01 250 263
First Chicago
5.855% due 02/10/00 (d) 20,000 20,044
5.768% due 03/11/02 (d) 10,000 10,008
First Interstate Bancorp
8.875% due 01/01/09 (k) 245 253
Fleet Financial Group
9.900% due 06/15/01 200 221
Ford Motor Credit Corp.
7.240% due 04/01/98 11,000 11,000
5.750% due 04/30/98 300 300
5.400% due 11/09/98 (d) 17,080 17,124
8.000% due 01/15/99 500 508
8.875% due 06/15/99 100 103
7.750% due 10/01/99 35 36
8.375% due 01/15/00 195 203
6.950% due 05/15/00 8,450 8,602
5.470% due 08/14/00 (d) 100 100
6.850% due 08/15/00 1,500 1,529
7.020% due 10/10/00 70,000 71,530
6.157% due 03/05/01 (d) 5,000 5,014
5.838% due 04/10/01 (d) 10,850 10,846
7.020% due 06/07/01 1,000 1,025
6.042% due 09/03/01 (d) 9,000 9,001
7.000% due 09/25/01 1,125 1,156
7.320% due 05/23/02 14,000 14,140
6.068% due 06/04/02 (d) 2,000 2,003
5.792% due 02/03/03 (d) 30,000 30,025
38 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
5.725% due 02/13/03 (d) $ 100,000 $ 100,116
6.625% due 06/30/03 575 586
5.876% due 06/02/04 (d) 1,500 1,501
8.250% due 02/23/05 2,500 2,768
6.125% due 01/09/06 25 25
7.700% due 05/15/97 450 495
General Electric Capital Corp.
5.980% due 03/19/99 1,500 1,503
8.375% due 03/01/01 600 639
5.500% due 11/01/01 50 49
8.300% due 09/20/09 150 174
General Motors Acceptance Corp.
7.250% due 07/20/98 25,785 25,899
7.750% due 01/15/99 500 507
5.700% due 02/09/99 12,600 12,575
7.375% due 05/26/99 190 193
5.958% due 06/04/99 (d) 5,000 5,000
7.375% due 06/09/99 10,000 10,150
8.625% due 06/15/99 650 670
6.700% due 06/24/99 3,700 3,728
6.625% due 07/07/99 10,000 10,069
7.375% due 09/09/99 1,000 1,018
6.150% due 09/20/99 20,300 20,366
8.000% due 10/01/99 10,850 11,115
6.050% due 10/04/99 2,550 2,549
6.375% due 10/12/99 2,000 2,009
8.400% due 10/15/99 360 373
6.250% due 10/18/99 1,000 1,003
8.170% due 01/02/00 1,447 1,491
8.625% due 01/10/00 5,000 5,212
7.000% due 03/01/00 100 102
7.875% due 03/15/00 5,650 5,835
7.500% due 06/09/00 1,000 1,030
5.500% due 01/16/01 15,000 14,759
8.625% due 01/18/01 15,000 15,946
8.500% due 01/19/01 3,675 3,899
6.800% due 04/17/01 500 509
6.700% due 04/30/01 3,000 3,045
7.125% due 05/01/01 95 98
5.645% due 10/22/01 (d) 25,000 24,948
9.625% due 12/15/01 300 334
6.750% due 02/07/02 590 601
5.750% due 04/29/02 (d) 41,240 41,204
7.000% due 09/15/02 250 258
5.875% due 01/22/03 30,500 30,165
8.950% due 07/02/09 21,500 23,811
Goldman Sachs
5.775% due 11/21/00 (d) 10,000 10,022
6.085% due 11/24/00 (d) 106,000 106,000
6.056% due 12/22/00 (d) 17,000 17,069
5.848% due 01/09/01 (d) 105,000 105,259
5.805% due 01/25/01 (d) 47,000 46,998
6.208% due 12/07/01 (d) 25,000 25,005
Goldman Sachs Mortgage Corp.
6.000% due 12/31/07 (k) 10,761 10,220
Great Western Bank
8.625% due 12/01/98 6,000 6,099
Hartford Life
7.650% due 06/15/27 15,000 16,024
Heller Financial
6.250% due 01/15/99 200,000 200,486
5.765% due 04/01/99 (d) 19,000 19,052
5.981% due 09/03/99 (d) 4,000 4,007
5.755% due 08/25/00 (d) 7,100 7,109
Household Bank
6.066% due 09/26/01 (d) 9,000 9,000
5.813% due 10/22/03 (d) 15,000 14,898
Household Finance Corp.
5.650% due 05/26/98 500 500
6.580% due 05/17/99 165 166
5.802% due 11/01/01 (d) 5,000 4,995
Inter-American Development Bank
9.450% due 09/15/98 200 203
8.875% due 06/01/09 200 244
International Lease Finance
5.750% due 12/15/99 50 50
6.420% due 09/11/00 500 504
Key Bank N.A.
6.050% due 04/06/98 19,875 19,875
Kimco Realty Corp.
6.500% due 10/01/03 200 200
Korean Export-Import Bank
6.500% due 10/06/99 7,000 6,684
Lehman Brothers, Inc.
7.850% due 05/11/98 4,350 4,358
6.375% due 06/01/98 100 100
6.875% due 06/08/98 5,800 5,810
6.400% due 06/22/98 (d) 25,000 25,038
6.250% due 06/29/98 5,400 5,405
7.625% due 08/01/98 250 251
6.840% due 09/25/98 20,750 20,829
5.740% due 01/12/99 (d) 600 599
5.550% due 09/01/99 (d) 10,000 9,973
7.110% due 09/27/99 20 20
5.938% due 01/18/00 (d) 50,000 50,178
6.112% due 04/03/00 (d) 30,000 30,016
6.525% due 07/27/00 (d) 3,000 3,042
5.983% due 02/27/01 (d) 49,000 48,933
6.442% due 08/28/02 (d) 6,500 6,582
MBNA Corp.
6.275% due 12/01/99 (d) 50,700 50,736
Mellon Bank
6.500% due 08/01/05 75 76
Merrill Lynch & Co.
6.375% due 03/30/99 400 402
6.200% due 07/19/99 10,000 10,021
5.695% due 04/17/00 (d) 5,000 5,011
6.620% due 06/06/00 500 506
6.450% due 06/20/00 350 353
5.925% due 08/03/00 (d) 5,000 5,019
5.675% due 10/03/00 (d) 20,000 19,978
5.990% due 12/05/00 (d) 89,000 89,025
6.500% due 04/01/01 100 101
5.694% due 01/15/02 (d) 17,000 17,014
8.300% due 11/01/02 200 217
7.000% due 03/15/06 1,500 1,557
7.000% due 04/27/08 100 104
NationsBank Corp.
5.125% due 09/15/98 100 100
6.750% due 02/26/01 500 509
7.000% due 09/15/01 1,500 1,542
6.088% due 06/17/02 (d) 10,000 9,942
7.750% due 08/01/02 796 797
Northern Trust
9.000% due 05/15/98 200 201
Norwest Corp.
5.750% due 11/16/98 300 300
Norwest Financial, Inc.
6.230% due 09/01/98 100 100
7.000% due 01/15/03 300 310
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
6.950% due 03/31/00 120 122
PNC Bank Corp.
5.725% due 01/24/02 (d) 19,000 19,057
PNC Funding Corp.
6.875% due 03/01/03 100 103
Polysindo International Finance
9.375% due 07/30/07 3,610 2,211
Popular, Inc.
6.715% due 06/06/00 20,000 20,199
Reliance Group Holdings
9.000% due 11/15/00 19,000 19,886
Salomon, Inc.
6.125% due 05/15/98 12,820 12,823
5.721% due 07/24/98 (d) 55,000 55,013
5.732% due 08/04/98 (d) 15,000 15,003
See accompanying notes 39
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
5.250% due 10/15/98 $ 400 $ 399
5.975% due 11/19/98 (d) 3,000 3,006
6.220% due 11/19/98 2,300 2,302
6.776% due 02/12/99 (d) 1,000 1,002
7.000% due 05/15/99 21,790 21,998
5.790% due 06/24/99 (d) 9,000 8,969
7.590% due 01/28/00 150 154
6.500% due 03/01/00 14,350 14,464
6.625% due 11/30/00 235 238
6.025% due 05/16/02 (d) 12,000 12,012
Salomon, Smith Barney Holdings
7.980% due 03/01/00 12,000 12,399
3.650% due 02/14/02 (h) 17,321 16,719
SB Treasury Co. LLC
9.400% due 12/29/49 (d) 17,000 17,672
Sears Financial
0.000% due 07/12/98 3,480 3,423
Sears Roebuck Acceptance
6.000% due 03/20/03 135,000 133,857
Security Pacific Corp.
6.000% due 05/01/00 600 599
Signet Bank Corp.
5.875% due 04/15/98 (d) 9,000 8,999
9.625% due 06/01/99 6,500 6,749
Smith Barney Holdings
6.625% due 06/01/00 95 96
Societe Generale
7.400% due 06/01/06 1,500 1,560
Sparbanken Sverige AB
7.664% due 10/29/49 (d) 12,670 12,717
Swedbank
7.664% due 10/29/49 (d) 12,000 12,161
Textron Financial Corp.
5.725% due 11/24/99 (d) 10,000 9,994
Tokai Capital Corp.
9.980% due 12/31/49 (d) 20,000 20,337
Toyota Motor Credit Corp.
6.969% due 02/15/02 (h) 40,000 38,528
Transamerica Financial
5.665% due 04/20/99 (d) 500 499
Trizec Finance Limited
10.875% due 10/15/05 2,489 2,757
U.S. Bancorp
5.747% due 01/16/02 (d) 49,000 48,997
U.S. West Financial, Inc.
8.400% due 09/15/99 50 52
Wachovia Bank
6.700% due 04/14/99 500 504
Wells Fargo & Co.
8.750% due 05/01/02 100 109
World Savings & Loan
9.900% due 07/01/00 250 258
Xerox Corp.
7.010% due 04/30/99 120 121
---------------
3,140,935
===============
Industrials 7.4%
Albertson's, Inc.
6.375% due 06/01/00 150 151
American Home Products
7.700% due 02/15/00 300 309
Amerigas Partners LP
10.125% due 04/15/07 1,730 1,855
AMR Corp.
9.500% due 07/15/98 5,500 5,557
9.270% due 08/13/98 1,000 1,012
8.050% due 03/05/99 4,000 4,074
9.750% due 03/15/00 10,760 11,476
10.610% due 01/11/01 4,000 4,443
10.570% due 01/15/01 3,000 3,339
10.590% due 01/31/01 3,000 3,345
10.000% due 02/01/01 2,000 2,187
9.400% due 05/08/01 3,000 3,263
9.500% due 05/15/01 2,250 2,457
9.130% due 10/25/01 2,000 2,186
8.470% due 02/20/02 2,000 2,142
8.500% due 02/26/02 1,000 1,072
10.210% due 01/01/10 6,500 8,131
Arkla, Inc.
8.740% due 05/14/98 3,000 3,008
Baxter International
9.500% due 06/15/08 200 246
Bellat Racers
5.875% due 04/01/03 20,000 20,000
Boise Cascade Co.
9.900% due 03/15/00 235 249
Building Materials Corp.
0.000% due 07/01/04 (i) 20,320 19,075
Canadian Pacific Limited
9.450% due 08/01/21 2,750 3,508
CBS, Inc.
7.625% due 01/01/02 100 101
Cemex SA
8.500% due 08/31/00 10,000 10,200
Centerior Fuel Corp.
9.200% due 08/02/98 (k) 15,000 15,074
9.540% due 08/02/99 (k) 10,000 10,431
9.750% due 08/02/00 (k) 8,000 8,520
Century Communications Corp.
9.500% due 08/15/00 6,000 6,278
CF Cable TV, Inc.
9.125% due 07/15/07 1,600 1,758
Coca-Cola Co.
6.375% due 08/01/01 200 202
Continental Cablevision
11.000% due 06/01/07 4,536 5,000
Cumberland Farms
10.500% due 10/01/03 3,666 3,629
Dayton Hudson Co.
10.000% due 12/01/00 1,000 1,094
Delta Air Lines
10.140% due 08/14/12 1,000 1,250
Dimon, Inc.
8.875% due 06/01/06 2,000 2,075
E.I. Du Pont de Nemours
9.150% due 04/15/00 100 106
Eli Lilly & Co.
8.125% due 02/07/00 387 400
Enron Corp.
5.775% due 11/18/99 (d) 35,000 34,984
Federal Express
10.000% due 09/01/98 800 813
Ford Motor Co.
9.000% due 09/15/01 200 218
Gaylord Containers
12.750% due 05/15/05 65,000 69,875
Gillette Co.
5.750% due 10/15/05 1,500 1,467
Gulf Canada Resources
9.250% due 01/15/04 7,250 7,614
9.625% due 07/01/05 2,000 2,165
HMH Properties, Inc.
9.500% due 05/15/05 2,000 2,130
Hollinger International Publishing
9.250% due 02/01/06 3,000 3,203
IBM Corp.
5.830% due 11/01/99 (d) 35,000 34,956
7.250% due 11/01/02 100 105
7.125% due 12/01/96 2,500 2,612
Imperial Chemical
6.000% due 09/05/98 (d) 79,000 78,968
6.000% due 12/05/98 (d) 77,000 76,969
6.000% due 03/05/99 (d) 72,700 72,793
INDSPEC Chemical Corp.
0.000% due 12/01/03 (i) 5,500 5,583
Ingersoll-Rand
6.255% due 02/15/01 295 297
40 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ISP Holdings, Inc.
9.750% due 02/15/02 $ 3,000 $ 3,195
9.000% due 10/15/03 5,000 5,263
ITT Corp.
6.250% due 11/15/00 70 69
K-III Communications Co.
8.500% due 02/01/06 4,000 4,110
Kellogg
5.750% due 02/02/01 74,850 74,265
Keystone Group
9.750% due 09/01/03 250 262
Lenfest Communications
8.375% due 11/01/05 5,000 5,206
Mallinckrodt, Inc.
6.300% due 03/15/11 (d) 10,000 9,989
Mazda Manufacturing Corp.
10.500% due 07/01/08 (k) 1,980 2,540
Mobil Corp.
8.375% due 02/12/01 40 43
Nabisco, Inc.
6.125% due 02/01/33 15,000 14,805
Nabisco, Inc.
6.800% due 09/01/01 3,000 3,063
New York Times
7.625% due 03/15/05 1,000 1,080
News America Holdings Corp.
7.500% due 03/01/00 65 67
8.625% due 02/01/03 750 816
Nike, Inc.
6.510% due 06/16/00 1,000 1,013
Noranda, Inc.
7.000% due 07/15/05 1,800 1,837
Owens Corning
7.000% due 05/15/00 200 203
PDV America, Inc.
7.250% due 08/01/98 10,719 10,761
Pepsico, Inc.
5.463% due 07/01/98 400 400
7.750% due 10/01/98 800 808
7.625% due 11/01/98 1,500 1,515
Philip Morris Co.
7.375% due 02/15/99 115 116
8.625% due 03/01/99 200 204
6.150% due 03/15/00 20,000 20,017
7.500% due 01/15/02 50 52
6.800% due 12/01/03 48,345 49,123
Quantas Airways
6.625% due 06/30/98 25,000 25,047
Revlon Consumer Products Corp.
9.375% due 04/01/01 5,255 5,491
RJR Nabisco
8.000% due 01/15/00 6,777 6,876
7.625% due 09/01/00 6,000 6,163
8.000% due 07/15/01 35,605 36,619
8.625% due 12/01/02 3,000 3,154
7.625% due 09/15/03 9,000 9,105
8.750% due 04/15/04 19,000 20,092
8.750% due 07/15/07 25,000 26,454
Rockwell
8.375% due 02/15/01 150 159
Rogers Cablesystems, Inc.
10.000% due 12/01/07 5,000 5,563
Rogers Cantel Mobile
9.375% due 06/01/08 2,750 2,929
Saferco
9.460% due 05/31/99 (k) 1,000 1,040
9.590% due 05/31/01 (k) 3,000 3,298
SCI Television
11.000% due 06/30/05 3,275 3,362
Sears Roebuck & Co.
9.250% due 04/15/98 2,125 2,127
7.960% due 02/18/99 500 508
5.820% due 02/22/99 125 125
6.800% due 05/07/01 500 508
6.790% due 05/21/01 500 509
9.400% due 08/02/01 250 274
Sears Roebuck Acceptance
5.817% due 06/27/00 (d) 5,000 5,005
6.120% due 12/13/01 260 259
Showboat, Inc.
9.250% due 05/01/08 1,000 1,080
Smithfield Foods
7.625% due 02/15/08 2,000 2,000
Supervalu, Inc.
6.500% due 10/06/00 140 141
TCI Communications, Inc.
6.375% due 09/15/99 39,175 39,305
5.860% due 02/02/00 (d) 50,000 49,979
6.185% due 09/11/00 (d) 47,000 46,728
6.656% due 12/20/00 (d) 10,000 10,008
Telecommunications, Inc.
9.875% due 04/01/98 3,000 3,000
8.250% due 01/15/03 125 134
Teleport Communications
0.000% due 07/01/07 (i) 28,000 24,220
Telewest Communications
9.625% due 10/01/06 5,000 5,300
Tenet Healthcare Corp.
9.625% due 09/01/02 6,250 6,781
10.125% due 03/01/05 1,000 1,105
Time Warner, Inc.
7.975% due 08/15/04 31,803 33,966
8.110% due 08/15/06 80,929 88,143
8.180% due 08/15/07 2,400 2,646
7.250% due 09/01/08 125 131
USX Corp.
6.375% due 07/15/98 16,200 16,219
9.800% due 07/01/01 300 330
Wal-Mart Stores
9.100% due 07/15/00 100 107
8.625% due 04/01/01 1,050 1,127
Williams Co.
5.909% due 01/30/00 (d) 23,000 23,010
WMX Technologies
6.700% due 05/01/01 10,000 10,068
World Color Press, Inc.
9.125% due 03/15/03 5,000 5,150
WorldCom, Inc.
9.375% due 01/15/04 21,203 22,475
Xerox Corp.
7.040% due 04/30/99 770 780
7.410% due 05/15/01 1,000 1,039
---------------
1,334,416
===============
Utilities 3.4%
AES Corp.
10.250% due 07/15/06 4,500 4,973
Bell Atlantic Financial
5.300% due 09/01/98 1,000 998
California Energy
9.875% due 06/30/03 5,000 5,352
10.250% due 01/15/04 39,985 43,134
9.500% due 09/15/06 5,000 5,444
Calpine Corp.
9.250% due 02/01/04 4,150 4,316
7.875% due 04/01/08 2,500 2,522
Carolina Power & Light
5.375% due 07/01/98 100 100
Central Maine Power Co.
6.250% due 11/01/98 1,000 998
6.350% due 09/20/99 15,000 14,947
Chesapeake & Potomac Telephone
8.000% due 10/15/29 1,125 1,317
Cleveland Electric Illuminating Co.
8.150% due 11/30/98 7,500 7,592
7.850% due 11/01/99 6,000 6,127
Cleveland Electric/Toledo Edison
7.190% due 07/01/00 18,600 18,890
CMS Energy
7.375% due 11/15/00 7,000 7,056
7.000% due 01/15/05 18,000 17,298
Coastal Corp.
8.750% due 05/15/99 4,300 4,418
See accompanying notes 41
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Commonwealth Edison
6.500% due 04/15/00 $ 185 $ 186
8.000% due 10/15/03 7,550 7,671
8.125% due 01/15/07 10,000 10,211
9.875% due 06/15/20 11,700 13,726
Connecticut Light & Power
7.250% due 07/01/99 6,000 5,996
5.750% due 07/01/00 2,000 1,945
7.750% due 06/01/02 5,000 5,113
Consolidated Edison
7.600% due 01/15/00 100 103
Consolidated Natural Gas Co.
5.875% due 10/01/98 500 500
Duke Energy Corp.
8.000% due 11/01/99 40 41
7.000% due 06/01/00 700 713
Eastern Edison Co.
7.780% due 07/30/02 9,000 9,521
El Paso Electric Co.
7.250% due 02/01/99 10,956 11,008
First PV Funding
10.150% due 01/15/16 5,361 5,664
Gulf States Utilities
7.250% due 03/01/99 6,200 6,201
Illinois Power
6.500% due 09/01/99 12,050 12,118
Long Island Lighting Co.
7.300% due 07/15/99 71,085 72,105
6.250% due 07/15/01 7,000 7,049
8.500% due 05/15/06 6,750 7,038
7.900% due 07/15/08 4,335 4,491
8.900% due 07/15/19 46,000 48,990
9.750% due 05/01/21 85,318 87,161
9.625% due 07/01/24 16,400 16,567
Louisiana Power & Light Co.
7.740% due 07/01/02 1,900 1,943
MCI Communications Corp.
6.250% due 03/23/99 600 600
New Jersey Bell Telephone
7.850% due 11/15/29 70 84
New Orleans Public Service
8.670% due 04/01/05 2,230 2,234
New York Telephone Co.
6.250% due 02/15/04 150 150
North Atlantic Energy
9.050% due 06/01/02 4,872 5,004
Northern Illinois Gas Co.
6.450% due 08/01/01 1,450 1,468
Ohio Edison
6.875% due 09/15/99 5,750 5,785
Pacific Gas & Electric Co.
5.375% due 08/01/98 500 499
7.670% due 12/15/98 208 210
6.750% due 12/01/00 709 709
Pacific Northwest Bell
4.375% due 09/01/02 50 47
Pennsylvania Power & Light
5.500% due 04/01/98 250 250
Philadelphia Electric
5.375% due 08/15/98 12,000 11,973
Public Service Electric & Gas
8.750% due 07/01/99 40 41
Public Service of New Hampshire
9.170% due 05/15/98 16,000 16,050
Queststar Pipeline
9.375% due 06/01/21 200 222
Southern California Edison
5.450% due 06/15/98 400 400
Southwestern Bell Telephone Co.
6.125% due 03/01/00 50 50
System Energy Resources
6.000% due 04/01/98 801 801
7.710% due 08/01/01 10,050 10,382
Tenneco
10.000% due 08/01/98 1,600 1,620
Texas Utilities
5.875% due 04/01/98 3,000 3,000
6.250% due 01/31/00 6,000 6,020
Texas Utilities Co.
5.750% due 07/01/98 11,750 11,743
Texas-New Mexico Power
10.750% due 09/15/03 4,950 5,389
Toledo Edison Co.
8.180% due 07/30/02 1,400 1,471
8.700% due 09/01/02 10,000 10,642
7.850% due 03/31/03 7,000 7,306
7.875% due 08/01/04 500 524
Trident NGL, Inc.
10.250% due 04/15/03 7,500 7,842
Tuscon Electric Power
8.500% due 10/01/09 1,000 1,036
U.S. West Communications, Inc.
6.625% due 09/15/05 300 306
United Air Lines
10.670% due 05/01/04 2,050 2,475
Virginia Electric & Power Co.
9.375% due 06/01/98 7,500 7,539
6.250% due 08/01/98 200 200
Western Massachusetts Electric
7.375% due 07/01/01 7,000 7,045
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/13 (k) 991 1,116
----------------
613,776
----------------
Total Corporate Bonds and Notes 5,089,127
(Cost $5,119,756) ================
- ----------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 7.5%
- ----------------------------------------------------------------------------
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/08 1,155 1,252
Federal Home Loan Bank
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 35,000 35,014
6.610% due 08/07/00 1,000 1,002
6.565% due 11/04/02 2,000 2,002
6.170% due 12/11/02 2,000 1,986
7.120% due 09/30/05 100 100
6.780% due 12/07/05 100 100
Federal National Mortgage Assn.
5.250% due 05/13/98 100 100
5.830% due 06/12/98 500,000 500,748
5.840% due 06/19/98 190,000 190,076
5.100% due 07/22/98 250 249
4.875% due 10/15/98 100 100
5.360% due 02/16/01 1,500 1,483
7.650% due 03/10/05 100 110
Government Trust Certificate - Greece
8.000% due 05/15/98 14 14
Resolution Funding
0.000% due 01/15/07 800 478
Student Loan Marketing Assn.
6.000% due 06/30/98 279,500 279,765
5.089% due 02/20/00 (d) 134,700 132,698
6.080% due 06/30/00 (d) 30,600 30,653
5.693% due 04/25/04 (d) 32,175 32,175
5.674% due 10/25/04 (d) 15,895 15,903
5.578% due 10/25/05 (d) 15,395 15,381
6.398% due 01/25/07 (d) 112,000 112,162
Tennessee Valley Authority
6.875% due 01/15/02 125 128
0.000% due 04/15/42 855 325
----------------
Total U.S. Government Agencies 1,354,275
(Cost $1,354,188) ================
42 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 3.8%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/02 (h) $ 329,321 $ 326,233
3.375% due 01/15/07 (h) 204 198
U.S. Treasury Bonds
12.375% due 05/15/04 1,000 1,339
U.S. Treasury Notes
5.375% due 05/31/98 2,500 2,500
6.125% due 08/31/98 5,055 5,069
5.875% due 10/31/98 3,250 3,256
8.875% due 11/15/98 300 306
8.875% due 02/15/99 390 401
5.875% due 02/28/99 2,500 2,508
6.250% due 03/31/99 110 111
6.375% due 09/30/01 413 422
7.875% due 11/15/04 293,000 327,428
U.S. Treasury Strips
0.000% due 02/15/99 225 214
0.000% due 05/15/21 44,508 11,093
0.000% due 11/15/21 22,146 5,341
--------------
Total U.S. Treasury Obligations 686,419
(Cost $690,826) ==============
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 51.1%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 11.9%
American Southwest Financial
9.000% due 06/04/13 55,823 61,545
12.250% due 11/01/14 70 79
12.500% due 04/01/15 698 777
12.000% due 05/01/15 1,176 1,311
11.400% due 09/01/15 921 962
Bear Stearns
9.500% due 06/25/23 750 753
6.381% due 10/25/23 (d) 8,087 8,165
10.000% due 08/25/24 15,018 16,691
7.000% due 03/25/27 7,000 7,049
Capstead Mortgage Corp.
8.750% due 07/25/21 10,000 10,266
Centex Acceptance Corp.
11.000% due 11/01/15 252 263
Chase Mortgage Financial Corp.
8.250% due 10/25/10 2,954 2,976
9.500% due 04/25/24 477 484
5.400% due 05/25/24 534 533
7.500% due 10/25/24 15 15
Citicorp Mortgage Securities, Inc.
8.500% due 04/01/17 262 262
9.500% due 01/01/19 4,799 4,781
9.500% due 09/25/19 250 249
9.500% due 09/25/20 627 644
6.000% due 08/25/21 302 300
7.570% due 10/25/22 (d) 21,202 21,503
7.250% due 02/25/27 360 364
CMC Securities Corp.
7.059% due 09/25/23 (d) 12,861 13,128
7.679% due 04/25/25 (d) 415 427
Collateralized Mortgage Obligation Trust
10.200% due 02/01/16 608 647
8.000% due 01/01/17 269 271
8.000% due 09/20/21 8,156 8,413
Collateralized Mortgage Securities Corp.
11.880% due 04/01/15 1,718 1,804
11.450% due 09/01/15 52 56
11.450% due 11/01/15 (d) 298 322
8.750% due 04/20/19 965 1,023
Countrywide
8.212% due 07/25/24 (d) 13,992 14,193
Donaldson, Lufkin & Jenrette
7.469% due 08/01/21 (d)(k) 7,092 7,145
7.971% due 12/25/22 (d) 4,862 5,024
8.093% due 03/25/24 (d) 1,558 1,607
6.500% due 04/25/24 18 18
7.411% due 05/25/24 (d) 352 356
Drexel Mortgage Funding
9.500% due 11/20/17 1,823 1,866
8.600% due 03/01/18 634 636
Federal Home Loan Mortgage Corp.
6.500% due 03/15/00 1,654 1,665
7.000% due 10/15/03 5,875 5,994
5.450% due 03/15/04 3,297 3,294
5.500% due 11/15/04 7,065 7,061
6.000% due 06/15/05 15,848 15,869
10.750% due 11/30/05 130 131
6.500% due 07/15/06 1,075 1,082
6.500% due 08/15/06 710 714
6.500% due 11/15/06 113 113
6.500% due 05/15/08 1,000 1,006
4.500% due 08/15/08 5,578 5,567
5.150% due 12/25/11 8,035 8,012
8.500% due 08/15/13 2,000 2,152
8.500% due 09/15/13 5,941 6,314
5.500% due 12/15/13 931 930
7.000% due 04/25/15 992 994
11.000% due 11/30/15 11,567 13,482
6.900% due 03/15/16 2,991 2,998
7.000% due 11/15/16 14,200 14,373
6.210% due 08/15/17 345 345
6.350% due 03/25/18 200 201
5.250% due 05/15/18 1,084 1,075
9.500% due 01/15/19 124 124
6.500% due 05/15/19 615 619
8.500% due 10/15/19 189 189
9.000% due 11/15/19 1,372 1,382
7.000% due 02/15/20 538 538
8.500% due 03/15/20 779 783
9.125% due 06/15/20 2,090 2,127
8.500% due 09/15/20 10,853 11,007
5.500% due 10/15/20 200 194
8.750% due 10/15/20 406 410
9.500% due 11/15/20 9,538 10,153
6.000% due 12/15/20 400 395
8.750% due 12/15/20 1,265 1,346
9.000% due 12/15/20 6,078 6,390
6.500% due 05/17/21 120 116
8.500% due 06/15/21 50,330 52,797
6.950% due 07/15/21 700 707
8.000% due 07/15/21 9,580 9,945
9.000% due 07/15/21 3,457 3,636
9.500% due 07/15/21 4,739 4,932
6.200% due 08/15/21 1,500 1,503
6.950% due 08/15/21 185 187
8.000% due 08/15/21 23,472 24,260
6.500% due 09/15/21 2,438 2,436
8.000% due 12/15/21 15,079 16,019
6.850% due 01/15/22 700 706
8.250% due 06/15/22 5,000 5,315
7.000% due 07/15/22 7,778 7,845
8.500% due 10/15/22 18,014 18,743
6.500% due 07/15/23 462 452
7.000% due 07/15/23 227 228
7.500% due 01/20/24 480 484
6.500% due 02/15/24 54 54
7.250% due 08/15/24 190 192
8.000% due 09/15/24 16,250 17,692
7.877% due 10/01/26 (d) 7,512 7,722
7.500% due 01/15/27 20,889 21,655
7.500% due 03/17/27 20,000 20,144
7.500% due 07/15/27 160 160
6.500% due 08/15/27 10,131 9,445
7.000% due 11/15/28 9,000 9,120
6.324% due 08/15/32 (d) 45,898 46,017
Federal National Mortgage Assn.
9.100% due 02/25/02 5,203 5,340
5.500% due 12/25/03 412 411
5.750% due 12/25/03 80 79
7.500% due 05/25/05 6,700 6,949
7.000% due 11/25/05 20 20
7.500% due 02/25/06 375 391
6.500% due 07/25/06 75 76
See accompanying notes 43
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
8.000% due 11/25/06 $ 30 $ 31
6.000% due 07/25/07 300 298
7.269% due 08/25/07 (d) 126 124
7.000% due 10/25/07 200 205
7.000% due 02/25/08 932 926
10.500% due 08/25/08 7,146 8,471
7.000% due 11/25/09 711 710
4.950% due 06/25/10 1,542 1,538
6.750% due 11/25/10 1,300 1,310
7.000% due 01/25/11 500 508
7.500% due 04/18/11 159 160
7.500% due 02/17/12 91 91
6.750% due 05/25/13 1,984 1,980
6.400% due 09/25/14 485 485
10.000% due 12/25/14 847 865
6.000% due 11/25/15 2,461 2,456
9.670% due 01/25/17 460 473
9.200% due 12/25/17 928 943
7.000% due 01/25/18 1,105 1,107
9.300% due 05/25/18 1,712 1,801
6.206% due 06/25/18 (d) 8 8
9.500% due 06/25/18 893 944
5.500% due 07/25/18 220 218
7.000% due 08/25/18 4,768 4,769
7.750% due 10/25/18 107 108
9.500% due 11/25/18 14,112 15,176
6.500% due 03/25/19 885 893
9.500% due 06/25/19 3,572 3,818
8.000% due 10/25/19 19,743 20,153
7.500% due 12/25/19 183 189
9.000% due 12/25/19 15,068 16,236
7.500% due 05/25/20 8,000 8,186
8.000% due 07/25/20 99 99
9.000% due 09/25/20 7,836 8,321
8.000% due 12/25/20 21,855 23,090
8.750% due 01/25/21 7,893 8,339
7.500% due 02/17/21 210 213
7.500% due 02/25/21 11,157 11,227
7.500% due 03/25/21 20,919 21,293
6.500% due 06/25/21 4,992 4,919
7.500% due 06/25/21 320 326
8.000% due 07/25/21 28,230 29,139
8.500% due 09/25/21 14,714 15,417
7.000% due 10/25/21 7,825 7,843
8.000% due 10/25/21 22,430 23,516
6.000% due 12/25/21 176 174
8.000% due 01/25/22 21,700 22,647
8.000% due 03/25/22 406 417
7.000% due 04/25/22 17,091 17,541
8.000% due 06/25/22 3,163 3,441
7.000% due 07/25/22 9,884 9,975
8.000% due 07/25/22 50,121 53,349
6.500% due 10/25/22 3,442 3,293
7.800% due 10/25/22 5,658 5,846
6.500% due 12/25/22 941 925
7.000% due 03/25/23 24,406 24,268
6.900% due 05/25/23 134 131
7.000% due 06/25/23 4,179 3,971
6.000% due 08/25/23 5,005 4,844
6.500% due 08/25/23 142 142
6.750% due 10/25/23 505 481
6.500% due 11/25/23 170 165
7.500% due 06/20/24 120 121
7.000% due 02/18/25 140 140
7.500% due 12/25/25 120 122
7.000% due 02/15/26 180 181
7.000% due 07/18/26 210 211
7.500% due 08/18/27 11,983 12,090
First Commonwealth Savings & Loan
10.375% due 04/01/05 21 22
General Electric Capital Mortgage
8.000% due 07/25/23 12,979 13,161
6.500% due 09/25/23 45 42
6.500% due 02/25/24 18 18
6.500% due 03/25/24 12,845 12,010
6.500% due 04/25/24 56,430 51,850
8.000% due 06/25/25 11,330 11,457
7.500% due 04/25/27 360 364
Glendale Federal Savings & Loan
7.394% due 03/01/28 (d) 9,304 9,281
Government National Mortgage Assn.
8.000% due 05/16/24 120 123
7.000% due 08/20/26 170 169
7.500% due 02/16/27 140 143
7.500% due 07/16/27 24,664 25,444
Greenwich
7.292% due 04/25/22 (d) 2,031 2,057
7.237% due 07/25/22 (d) 10,251 10,353
7.319% due 10/25/22 (d) 263 266
7.425% due 04/25/23 (d) 3,279 3,325
7.926% due 04/25/24 (d) 4,411 4,486
8.318% due 06/25/24 (d) 5,243 5,368
8.928% due 08/25/24 (d) 7,862 8,083
8.886% due 11/25/24 (d) 2,473 2,542
Headlands Mortgage Securities, Inc.
7.250% due 11/25/12 7,183 7,300
Imperial CMB Trust
5.992% due 09/25/26 (d) 23,067 23,183
Independent National Mortgage Corp.
6.650% due 10/25/24 2,723 2,672
8.278% due 11/25/24 (d) 9,747 9,997
7.310% due 07/25/25 (d) 27,949 28,705
8.079% due 07/25/25 (d) 27,684 28,255
International Mortgage Acceptance Corp.
12.250% due 03/01/14 540 587
J.P. Morgan & Co.
9.000% due 10/20/20 14,195 14,974
Kidder Peabody Acceptance Corp.
8.390% due 05/20/18 404 410
8.193% due 03/25/24 (d) 13,709 13,781
8.193% due 09/25/24 (d) 20,000 20,244
Marine Midland
8.000% due 04/25/23 23 24
8.000% due 10/25/23 350 358
Merrill Lynch Mortgage
6.875% due 06/15/21 (d) 8,470 8,653
7.714% due 06/15/21 (d) 7,949 8,144
8.173% due 06/25/22 (d) 6,702 6,763
Nascor
6.750% due 04/30/28 27,707 26,668
Nomura Asset Securities Corp.
8.076% due 05/25/24 (d) 10,687 10,978
Norwest Mortgage
12.500% due 02/01/14 1,049 1,121
12.250% due 04/01/14 94 98
PaineWebber Mortgage
6.000% due 04/25/09 11,951 11,572
PNC Mortgage Securities Corp.
7.000% due 06/25/13 14,000 14,042
Prudential Bache
6.213% due 09/01/18 (d) 479 478
9.000% due 01/01/19 535 535
8.400% due 03/20/21 4,646 4,819
Prudential Home
8.000% due 06/25/22 21,019 21,466
6.950% due 11/25/22 222 219
7.000% due 04/25/23 785 782
8.217% due 11/25/23 (d) 10,164 10,446
8.295% due 11/25/23 (d) 872 895
7.000% due 02/25/24 541 540
6.000% due 05/25/24 23 23
7.750% due 10/25/24 4,611 4,640
7.500% due 06/25/25 2,730 2,741
PSB Financial Corp.
11.050% due 12/01/15 977 1,044
Residential Asset Securities Corp.
6.450% due 10/25/12 8,000 8,000
7.000% due 03/25/27 (d) 245 246
7.250% due 05/25/27 (d) 345 349
44 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
=============================================================================
Residential Funding
6.750% due 01/25/06 $ 41,236 $ 41,342
7.000% due 08/25/08 18,545 18,747
6.500% due 09/25/08 7,000 6,954
6.500% due 01/25/13 215,551 215,180
8.500% due 05/25/17 109 113
8.000% due 01/25/23 10,000 10,333
7.250% due 07/25/23 6,334 6,340
7.750% due 07/25/24 6 6
7.993% due 10/25/24 (d) 12,158 12,401
7.500% due 09/25/25 18,183 18,649
5.400% due 10/25/27 (d) 11,938 11,814
Resolution Trust Corp.
7.573% due 02/25/20 (d) 197 198
7.261% due 09/25/20 (d) 15,471 155
6.043% due 01/25/21 (d) 1,055 1,046
8.457% due 06/25/21 (d) 2,320 2,333
8.718% due 08/25/21 (d) 21,412 21,940
7.940% due 09/25/21 (d) 3,307 3,355
6.260% due 10/25/21 (d) 268 268
6.688% due 10/25/21 (d) 1,240 1,242
8.143% due 10/25/21 (d) 275 278
8.625% due 10/25/21 300 304
7.549% due 01/25/22 (d) 2,898 2,908
7.772% due 03/25/22 (d) 6,691 6,752
8.521% due 05/25/22 (d) 2,871 2,946
6.950% due 06/25/23 (d) 2,524 2,524
7.437% due 08/25/23 (d) 2,001 2,006
7.500% due 08/25/23 240 240
9.450% due 05/25/24 19,693 19,786
10.261% due 05/25/24 (d) 2,323 2,349
6.688% due 07/25/24 (d) 460 461
7.100% due 12/25/24 1,500 1,535
7.750% due 03/25/25 5,000 4,992
7.491% due 07/25/28 (d) 14,001 13,974
7.251% due 10/25/28 (d) 27,951 28,255
7.334% due 10/25/28 (d) 13,398 13,600
7.108% due 05/25/29 (d) 5,203 5,272
7.583% due 05/25/29 (d) 6,810 6,944
Rural Housing Trust
3.330% due 10/01/28 385 355
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/16 170 179
Ryland Acceptance Corp.
9.000% due 12/01/16 877 909
11.500% due 12/25/16 207 208
8.000% due 09/25/22 2,593 2,599
8.200% due 09/25/22 100 103
14.000% due 11/25/31 1,853 2,053
Ryland Mortgage Securities Corp.
7.973% due 08/25/22 (d) 3,662 3,712
7.500% due 08/25/24 66 67
7.277% due 08/25/29 (d) 8,039 8,265
6.987% due 10/25/31 (d) 14,626 14,735
Salomon Brothers Mortgage Securities
7.605% due 11/25/22 (d) 1,543 1,574
8.391% due 07/01/24 (d) 13,973 14,471
Santa Barbara Savings
9.500% due 11/20/18 4,577 4,609
Saxon Mortgage
7.899% due 08/25/23 (d) 42,310 43,434
8.378% due 09/25/24 (d) 13,027 13,491
Sears Mortgage
8.000% due 03/25/22 627 626
7.220% due 09/25/22 (d) 3,263 3,315
7.852% due 12/25/22 (d) 8,162 8,248
8.457% due 05/25/32 (d) 13,095 13,050
Securitized Asset Sales, Inc.
7.821% due 10/25/23 (d) 5,708 5,867
7.857% due 12/26/23 (d) 5,530 5,675
5.944% due 02/25/28 16,320 16,270
Security Pacific National Bank
6.336% due 03/01/18 (d) 148 144
Vendee Mortgage
7.000% due 02/15/00 5,050 5,092
7.750% due 03/15/16 600 620
7.750% due 05/15/18 550 568
Western Federal Savings & Loan
7.104% due 07/01/21 (d) 9,263 9,300
--------------
2,158,509
==============
Federal Home Loan Mortgage Corporation 14.6%
5.250% due 12/01/98 1 1
5.500% due 04/01/01-03/01/10 (g) 466 462
5.750% due 08/15/20 300 296
6.000% due 12/01/98-05/13/28 (g) 450,567 435,078
6.199% due 07/01/27 (d) 9 9
6.500% due 06/01/03-05/13/28 (g) 1,853,556 1,833,473
6.775% due 11/01/03 70 70
7.000% due 01/01/00-03/01/26 (d)(g) 8,862 8,977
7.210% due 10/25/23 (d) 28,956 30,013
7.500% due 05/01/99-01/01/27 (d)(g) 16,080 16,519
7.540% due 10/25/17 (d) 2,665 2,651
7.589% due 09/01/23 (d) 4,012 4,140
7.611% due 07/01/23 (d) 3,817 3,931
7.625% due 01/01/19 (d) 20 20
7.706% due 05/01/23 (d) 5,425 5,595
7.733% due 04/01/23 (d) 1,210 1,250
7.747% due 10/01/23 (d) 5,166 5,332
7.750% due 04/01/07 50 51
7.757% due 10/01/23 (d) 3,140 3,242
7.820% due 08/01/23 (d) 25 25
7.834% due 01/01/24 (d) 942 973
7.839% due 04/01/24 (d) 16,224 16,919
7.844% due 04/01/29 (d) 3,887 4,061
7.848% due 09/01/23 (d) 27,091 27,786
7.870% due 06/01/24 (d) 2,875 2,952
7.873% due 09/01/23 (d) 6,189 6,390
7.889% due 11/01/23 (d) 1,907 1,967
7.900% due 05/01/23 (d) 2,809 2,903
7.909% due 07/01/22 (d) 1,795 1,854
7.939% due 11/01/23 (d) 976 1,001
7.950% due 10/01/23 (d) 1,213 1,262
7.974% due 10/01/23 (d) 2,007 2,097
7.996% due 01/01/24 (d) 1,137 1,166
8.000% due 10/01/07-06/01/26 (g) 4,510 4,677
8.031% due 07/01/23 (d) 1,355 1,412
8.047% due 08/01/23-07/01/24 (d)(g) 21,060 21,822
8.048% due 11/01/23 (d) 1,424 1,468
8.099% due 09/01/23 (d) 6,934 7,211
8.152% due 08/01/23 (d) 2,894 3,005
8.178% due 08/01/24 (d) 481 498
8.185% due 08/01/23 (d) 1,296 1,336
8.206% due 10/01/23 (d) 4,765 4,947
8.250% due 08/01/07-12/01/09 (g) 216 222
8.500% due 09/01/01-05/13/28 (g) 115,944 121,090
8.750% due 02/01/01-09/01/10 (g) 376 386
8.900% due 11/15/20 29,911 31,523
9.000% due 01/01/02-09/15/20 (g) 1,246 1,303
9.250% due 06/01/09-08/01/09 (g) 133 141
9.500% due 08/01/01-06/01/21 (g) 3,127 3,329
10.000% due 06/01/04-11/15/19 (g) 1,642 1,731
10.250% due 03/15/09-05/01/09 (g) 2,149 2,326
11.000% due 12/01/99-07/01/19 (g) 1,186 1,314
11.250% due 10/01/09-09/01/15 (g) 197 219
11.500% due 03/01/00-05/01/00 (g) 22 24
12.500% due 07/01/99 3 3
13.250% due 10/01/13 84 98
14.000% due 04/01/16 36 41
15.500% due 08/01/11-11/01/11 (g) 19 23
16.250% due 05/01/11-11/01/11 (g) 12 14
--------------
2,632,629
==============
Federal Housing Administration 0.8%
7.125% due 03/01/34 4,483 4,537
7.211% due 12/01/21 3,347 3,429
7.316% due 05/01/19-11/01/19 (g) 11,760 12,019
7.375% due 03/01/19-01/01/24 (g) 17,551 18,055
7.399% due 02/01/21 2,669 2,746
7.430% due 12/01/16-05/01/25 (g) 86,964 90,401
7.450% due 12/01/21 12,179 12,472
7.650% due 11/01/18 167 173
--------------
143,832
==============
See accompanying notes 45
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1998 Principal
Amount Value
(000s) (000s)
=============================================================================
Federal National Mortgage Association 6.3%
5.450% due 04/08/98 (d) $ 300 $ 300
5.650% due 04/25/05 200 199
6.000% due 11/01/03-03/01/24 (g) 9,330 9,149
6.199% due 05/01/27-05/01/36 (d)(g) 78,054 78,611
6.200% due 02/01/28 (d) 2,418 2,436
6.201% due 05/01/36 (d) 4,997 5,043
6.203% due 08/01/29 (d) 10,180 10,255
6.205% due 05/01/36 (d) 30,376 30,653
6.207% due 02/01/18-03/01/33 (d)(g) 62,588 63,093
6.210% due 05/01/36 (d) 35,161 35,483
6.213% due 04/01/18-11/01/35 (d)(g) 52,241 52,674
6.222% due 11/01/28 (d) 2,602 2,621
6.227% due 04/01/27 (d) 279 280
6.250% due 07/25/07-04/01/19 (d)(g) 1,112 1,124
6.500% due 11/01/03-05/13/28 (g) 543,922 537,671
6.750% due 08/01/03-09/25/22 (g) 1,150 1,158
6.834% due 07/01/03 69 71
6.921% due 11/01/25 (d) 12,874 13,429
6.950% due 03/25/26 300 304
7.000% due 05/25/99-12/20/27 (g) 48,700 49,159
7.250% due 05/01/02-01/01/23 (g) 11,497 11,664
7.251% due 09/01/22 (d) 3,226 3,299
7.285% due 09/01/22 (d) 3,891 3,995
7.337% due 09/01/25 (d) 6,485 6,684
7.500% due 08/01/03-09/01/25 (g) 92,052 94,726
7.690% due 01/01/24 (d) 1,716 1,781
7.725% due 03/01/25 (d) 8,875 9,113
7.728% due 01/01/24 (d) 1,159 1,199
7.730% due 12/01/23 (d) 1,965 2,003
7.737% due 11/01/23 (d) 2,480 2,563
7.744% due 11/01/25 (d) 6,206 6,377
7.750% due 06/01/09-02/01/26 (d)(g) 2,066 2,139
7.755% due 07/01/24 (d) 19,250 19,647
7.783% due 01/01/24 (d) 5,922 6,133
7.785% due 05/01/26 (d) 2,353 2,441
7.795% due 11/01/25 (d) 4,206 4,336
7.817% due 01/01/26 (d) 3,389 3,510
7.832% due 11/01/23 (d) 946 977
7.835% due 10/01/23 (d) 894 929
7.858% due 09/01/23 (d) 6,423 6,733
7.895% due 12/01/23 (d) 3,101 3,212
7.919% due 01/01/24 (d) 318 332
7.920% due 03/01/26 (d) 11,558 12,022
8.000% due 09/01/01-12/01/26 (g) 10,951 11,365
8.004% due 09/01/24 (d) 3,768 3,887
8.061% due 05/01/24 (d) 4,758 4,915
8.250% due 10/01/08-02/01/17 (g) 862 900
8.500% due 07/01/99-05/01/27 (g) 5,771 6,027
9.000% due 01/01/99-04/01/17 (g) 2,381 2,488
9.500% due 12/01/06-07/01/22 (g) 164 178
9.750% due 11/01/08 88 94
10.000% due 03/01/21-05/01/22 (g) 872 954
10.500% due 12/01/16-04/01/22 (g) 995 1,093
12.000% due 05/01/16 20 23
13.000% due 09/01/13 55 64
13.250% due 09/01/11 20 23
14.500% due 11/01/11-01/01/13 (g) 75 91
14.750% due 08/01/12-11/01/12 (g) 288 333
15.500% due 10/01/12-12/01/12 (g) 35 43
15.750% due 12/01/11-08/01/12 (g) 174 208
16.000% due 09/01/12 191 238
----------------
1,132,452
================
Government National Mortgage Association 16.6%
5.650% due 10/15/12 13 12
6.000% due 10/15/08-01/20/28 (d)(g) 633,162 624,713
6.500% due 10/15/08-04/20/28 (d)(g) 818,779 821,416
7.000% due 07/15/08-09/20/27 (d)(g) 1,151,453 1,179,581
7.375% due 06/20/21-05/20/26 (d)(g) 250,587 257,423
7.500% due 08/15/05-02/15/28 (g) 42,005 43,218
7.875% due 04/20/23 (d) 746 770
8.000% due 08/15/05-04/20/28 (g) 45,612 47,242
8.250% due 08/15/04-07/15/08 (g) 618 648
8.500% due 06/15/01-08/15/16 (g) 274 287
8.750% due 03/15/07-07/15/07 (g) 163 173
9.000% due 09/15/01-07/20/22 (g) 7,877 8,513
9.250% due 10/15/01-03/15/06 (g) 437 454
9.500% due 04/15/01-08/15/23 (g) 8,021 8,778
9.750% due 09/15/02-01/15/21 (g) 337 358
10.000% due 06/20/01-02/15/25 (g) 6,023 6,649
10.250% due 10/15/98-12/15/99 (g) 58 59
10.500% due 06/15/04 137 145
10.750% due 08/15/98-09/15/98 (g) 7 7
11.000% due 05/15/04-06/15/13 (g) 89 95
11.250% due 03/15/01-12/20/15 (g) 63 70
11.500% due 04/15/13-05/15/13 (g) 13 14
12.000% due 03/20/99-03/15/15 (g) 97 110
12.500% due 01/15/11 1 2
13.000% due 12/15/12-10/15/14 (g) 40 47
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) 18 21
16.000% due 01/15/12-04/15/12 (g) 9 11
17.000% due 11/15/11-12/15/11 (g) 114 137
----------------
3,000,984
================
Other Mortgage-Backed Securities 0.8%
Aames Mortgage Trust
7.275% due 05/15/20 405 411
Bank of America
9.000% due 03/01/08 85 85
Citibank, N.A.
8.000% due 07/25/18 91 91
Daiwa Mortgage
7.500% due 09/25/06 (d) 130 131
DBL Mortgage Funding
9.500% due 08/01/19 23 24
First Interstate Bancorp
9.125% due 01/01/09 (k) 15 16
General Electric Credit Corp.
8.000% due 03/01/02 (k) 100 102
German American Capital Corp.
8.360% due 09/30/02 3,737 3,830
6.581% due 07/01/18 (d) 9,490 9,365
Great Western Savings & Loan
6.060% due 08/01/17 (d) 203 199
Guardian
6.887% due 12/25/18 (d) 398 345
Home Savings of America
8.464% due 08/01/06 97 97
5.873% due 05/25/27 (d) 3,801 3,715
6.386% due 08/25/29 (d) 14,872 14,945
Imperial Savings & Loan
10.000% due 09/01/16 (k) 233 246
8.235% due 01/25/17 (d) 108 108
8.840% due 07/25/17 (d) 389 388
LTC Commercial Corp.
7.100% due 11/28/12 3,915 3,970
Manufacturers Mortgage Housing
13.250% due 01/15/99 237 252
MDC Mortgage Funding
8.841% due 01/25/25 (d) 993 1,019
Merrill Lynch Mortgage
9.250% due 12/15/09 27 27
7.495% due 06/15/21 (d) 1,775 1,830
Mid-State Trust
8.330% due 04/01/30 74,150 80,256
Morgan Stanley Mortgage
8.150% due 07/20/21 13 13
Resolution Trust Corp.
7.775% due 05/25/29 (d) 6,215 6,333
Ryland Acceptance Corp.
7.644% due 11/28/22 (d) 749 761
Salomon Brothers Mortgage Securities
11.500% due 09/01/15 1,632 1,775
Sears Mortgage
12.000% due 02/25/14 1,238 1,316
6.855% due 06/25/22 (d) 903 913
7.588% due 10/25/22 (d) 4,713 4,859
Structured Asset Securities Corp.
5.890% due 01/25/00 (d) 14,397 14,397
46 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
=============================================================================
Western Federal Savings & Loan
6.614% due 11/25/18 (d) $ 296 $ 296
6.664% due 03/25/19 (d) 2,092 2,100
----------------
154,215
================
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
10.038% due 09/15/05 32 3
6.500% due 11/15/06 2,573 195
6.500% due 03/15/07 3,516 260
5.750% due 09/15/07 (d) 12,960 1,040
5.428% due 02/15/08 (d) 940 103
11.651% due 01/15/16 32 3
6.500% due 08/15/16 3,644 264
7.000% due 04/15/18 3,531 289
9.993% due 11/15/18 224 28
8.845% due 01/15/21 469 92
9.000% due 05/15/22 240 45
Federal Home Loan Mortgage Corp. (PO)
0.000% due 06/15/21 4,380 4,173
Federal National Mortgage Assn. (IO)
6.750% due 09/25/04 79 4
7.000% due 06/25/05 6 0
10.458% due 07/25/05 (d) 968 93
6.500% due 07/25/06 5,715 440
6.500% due 02/25/07 4,582 434
6.500% due 07/25/07 1,411 109
6.500% due 09/25/07 6,863 589
6.500% due 10/25/07 2,354 206
0.950% due 03/25/09 (d) 51,708 1,218
7.000% due 08/25/15 3,792 215
7.000% due 08/25/16 946 63
6.500% due 08/25/20 2,666 555
10.070% due 01/25/21 158 35
9.032% due 08/25/21 2,208 471
0.950% due 11/25/21 (d) 50,615 899
6.500% due 01/25/23 5,364 902
Federal National Mortgage Assn. (PO)
0.000% due 09/01/07 1,250 1,007
0.000% due 02/25/21 5,355 4,905
0.000% due 06/25/22 3,209 2,873
0.000% due 08/25/23 489 342
PaineWebber (IO)
13.595% due 08/01/19 280 90
Vendee Mortgage (IO)
0.542% due 06/15/23 (d) 216,368 4,626
----------------
26,571
----------------
Total Mortgage-Backed Securities 9,249,192
(Cost $9,179,484) ================
- -----------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.8%
- -----------------------------------------------------------------------------
AFC Home Equity Loan Trust
7.402% due 10/25/26 (d) 9,544 9,689
6.550% due 01/25/27 (d) 3,529 3,528
Allied Waste Industries, Inc.
7.125% due 12/05/03 5,880 5,880
Arcadia Automobile Receivables Trust
6.300% due 07/16/01 9,000 9,048
Associates Manufactured Housing
7.000% due 03/15/27 900 923
Auto Receivables Trust
6.500% due 04/16/03 34,352 34,352
California Infrastructure
5.940% due 09/25/00 16,158 16,159
5.970% due 12/25/00 6,187 6,193
5.980% due 12/26/00 28,495 28,540
6.010% due 06/25/01 99,300 99,486
Case Equipment Loan Trust
6.150% due 09/15/02 2,474 2,484
Chase Manhattan Grantor Trust
6.000% due 09/17/01 3,568 3,576
5.900% due 11/15/01 9,971 9,988
6.610% due 09/15/02 5,340 5,387
Conti Mortgage Home Equity Loan Trust
5.588% due 10/15/12 (d) 38,000 38,006
6.990% due 03/15/21 350 356
Copelco Capital Funding Corp.
6.340% due 07/20/04 68 69
CSXT Trade Receivables
5.050% due 09/25/99 500 499
Daimler-Benz
6.050% due 03/20/05 12,339 12,333
Daimler-Benz Vehicle Trust
5.850% due 07/20/03 24,239 24,224
Delta Air Lines Equipment Trust
9.230% due 07/02/02 12,862 13,680
10.500% due 01/02/07 (k) 7,412 8,924
10.570% due 01/02/07 (k) 15,881 20,017
9.550% due 01/02/08 (k) 7,773 8,773
10.000% due 06/05/13 (k) 10,828 13,675
Discover Card Trust
6.062% due 10/16/13 (d) 400 408
EQCC Home Equity Loan Trust
6.100% due 10/15/03 5,463 5,472
6.710% due 07/15/11 330 335
Equivantage Home Equity Loan Trust
6.550% due 04/01/27 200 201
Federal-Mogul Corp.
7.690% due 06/30/99 813 812
7.750% due 06/30/99 3,049 3,043
7.914% due 06/30/99 (d) 14,638 14,610
7.940% due 12/31/05 1,319 1,316
8.000% due 12/31/05 (d) 4,945 4,935
8.164% due 12/31/05 (d) 23,737 23,691
First Omni Bank
6.650% due 09/15/03 (d) 1,500 1,532
First Security Auto Grantor Trust
6.100% due 04/15/03 3,767 3,766
First Union Master Credit Card Trust
5.858% due 09/15/03 88,750 89,006
Flag Limited
9.400% due 12/15/04 (d) 15,000 15,000
Ford Credit Grantor Trust
6.750% due 09/15/00 1,250 1,264
5.900% due 10/15/00 10,464 10,478
Ford Motor Credit Corp.
5.500% due 02/15/03 5,300 5,232
Fred Meyer, Inc.
8.750% due 03/19/03 (d) 110,000 108,350
General Motors Acceptance Corp.
6.500% due 04/15/02 43,011 43,253
Green Tree Financial Group
7.150% due 07/15/27 1,025 1,051
Green Tree Home Improvement Loan Trust
6.100% due 01/15/28 3,845 3,850
IMC Home Equity Loan Trust
5.765% due 05/21/12 (d) 47,110 47,111
7.429% due 07/25/26 (d) 1,475 1,499
Integrated Health Services
7.625% due 09/16/04 (d) 15,000 14,858
MBNA Master Credit Card Trust
6.050% due 11/15/02 245 246
Metlife Capital Equipment Loan Trust
6.850% due 05/20/08 (d) 320 330
National Medical Care
6.969% due 09/30/03 (d) 41,250 41,095
NationsBank Auto Owner Trust
6.375% due 07/15/00 1,700 1,707
NationsBank Corp.
5.850% due 06/15/02 349 350
Newcourt Receivable Asset Trust
6.240% due 12/20/04 35 35
Olympic Automobile Receivables Trust
5.700% due 04/15/00 1,802 1,804
5.650% due 01/15/01 818 819
OSCC Home Equity
6.950% due 05/15/07 92 93
Premiere Auto Trust
6.575% due 10/06/00 1,975 1,992
Saxon Asset Securities Trust
6.475% due 11/25/20 350 351
See accompanying notes 47
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1998 Principal
Amount Value
(000s) (000s)
==============================================================================
Sears Credit Account Master Trust
6.050% due 01/16/08 $ 500 $ 502
Standard Credit Card Master Trust
6.750% due 06/07/00 290 291
The Money Store Home Equity Trust
6.815% due 07/15/06 24,545 24,676
6.520% due 08/15/09 45,879 45,958
6.205% due 03/15/12 25,000 25,000
7.550% due 02/15/20 500 519
Total Renal Care
7.504% due 10/22/07 (d) 33,000 33,083
UCFC Home Equity Loan
6.381% due 07/15/10 250 250
United Air Lines Equipment Trust
9.200% due 03/22/08 4,309 4,877
10.360% due 11/13/12 7,000 9,097
10.020% due 03/22/14 4,500 5,572
10.850% due 07/05/14 34,111 44,611
10.125% due 03/22/15 14,300 18,386
9.060% due 06/17/15 5,000 5,486
9.210% due 01/21/17 2,000 2,369
WFS Financial Owner Trust
6.650% due 08/20/00 2,516 2,529
6.050% due 07/20/01 3,000 2,997
6.500% due 09/20/01 11,000 11,100
-------------
Total Asset-Backed Securities 1,062,987
(Cost $984,857) =============
- ------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.0%
- ------------------------------------------------------------------------------
Banco Nacional de Obra y Servicios
6.875% due 10/01/98 19,500 19,159
City of Buenos Aires
11.250% due 04/11/07 5,000 5,350
Hydro Quebec
5.594% due 04/15/99 (d) 10,000 9,985
9.400% due 02/01/21 500 650
9.500% due 11/15/30 2,370 3,178
Kingdom of Sweden
10.250% due 11/01/15 500 665
Providence of Newfoundland
9.000% due 06/01/19 500 620
Province of Nova Scotia
9.375% due 07/15/02 1,000 1,115
Province of Ontario
6.125% due 06/28/00 50 50
7.750% due 06/04/02 200 213
7.625% due 06/22/04 1,000 1,079
7.000% due 08/04/05 1,000 1,054
Province of Quebec
5.960% due 06/21/99 (d) 50,000 50,201
7.500% due 07/15/02 6,000 6,275
Republic of Argentina
5.719% due 04/01/00 (d) 21,611 21,140
5.615% due 04/01/01 (d) 15,365 14,805
6.688% due 03/31/05 (d) 369,408 340,778
8.726% due 04/10/05 (d) 25,600 25,600
Republic of Philippines
6.656% due 01/05/05 (d) 7,467 7,065
Republic of Poland
6.688% due 10/27/24 (d) 35,000 34,346
-------------
Total Sovereign Issues 543,328
(Cost $502,717) =============
- ------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(f) 2.3%
- ------------------------------------------------------------------------------
City of Montreal
11.500% due 09/20/00 C$ 7,000 5,611
Commonwealth of Australia
8.750% due 01/15/01 A$ 4,235 3,069
9.750% due 03/15/02 3,665 2,811
10.000% due 10/15/02 6,940 5,450
10.000% due 02/15/06 1,600 1,349
10.000% due 10/15/07 98,000 84,937
Commonwealth of Canada
6.500% due 06/01/04 C$ 1,000 750
4.250% due 12/01/26 (h) 120,542 87,938
Commonwealth of New Zealand
6.500% due 02/15/00 N$ 160,000 86,289
8.000% due 02/15/01 8,890 4,949
10.000% due 03/15/02 107,500 64,334
8.000% due 04/15/04 7,000 3,996
4.500% due 02/15/16 (h) 23,000 12,119
Petroleos Mexicanos
7.750% due 09/30/98 FF 5,000 818
Province of Saskatchewan
9.125% due 02/15/21 C$ 3,000 3,866
Republic of Argentina
2.976% due 04/01/01 (d) AP 45,927 43,164
Reynolds, R.J.
6.875% due 11/22/00 DM 9,500 5,271
-------------
Total Foreign Currency-Denominated Issues 416,721
(Cost $455,678) =============
- ------------------------------------------------------------------------------
PREFERRED STOCK 0.4%
- ------------------------------------------------------------------------------
Shares
Banco Bilbao Vizcaya International 266,217 7,288
Barclays Bank 215,500 6,182
California Federal Bank 50,000 5,669
Sanwa International 7,494,000,000 55,428
Time Warner, Inc. 0 1
Unocal Capital Trust 402 22
-------------
Total Preferred Stock 74,590
(Cost $77,347) =============
- ------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 18.1%
- ------------------------------------------------------------------------------
Principal
Amount
(000s)
Certificates of Deposit 5.5%
Bank of Tokyo
6.010% due 05/11/98 $ 55,000 55,000
6.040% due 05/11/98 95,000 94,991
6.050% due 05/13/98 5,000 5,000
6.470% due 06/18/98 20,000 20,000
Bankers Trust
5.900% due 07/07/98 120,000 119,953
5.900% due 07/14/98 39,500 39,500
5.970% due 08/28/98 10,000 9,996
Deutsche Bank
5.930% due 06/16/98 250,000 250,000
5.950% due 06/16/98 10,000 10,000
Landesbank Hessen-Thueringen
5.930% due 06/30/98 210,000 210,000
Sanwa Bank Limited
6.160% due 05/11/98 155,000 155,000
6.530% due 06/22/98 30,000 30,042
-------------
999,482
=============
Commercial Paper 9.7%
Abbott Laboratories
5.500% due 04/21/98 5,000 4,985
5.520% due 04/21/98 900 897
American Express Credit
5.540% due 04/03/98 15,000 14,995
5.520% due 04/15/98 3,400 3,393
5.520% due 04/27/98 1,700 1,693
AT&T Capital Corp.
5.856% due 05/05/98 16,000 15,912
5.875% due 05/05/98 3,000 2,983
5.900% due 06/05/98 30,000 29,697
Australian Wheat Board
5.460% due 04/06/98 9,600 9,593
5.450% due 04/23/98 2,200 2,193
5.530% due 04/23/98 100 100
48 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
=============================================================================
BellSouth Telecommunications, Inc.
5.510% due 04/22/98 $ 100 $ 100
5.520% due 04/28/98 400 398
5.490% due 05/08/98 11,800 11,733
Caisse d'Amortissement
5.520% due 04/27/98 1,700 1,693
5.510% due 05/04/98 1,300 1,293
5.560% due 06/12/98 70,000 69,217
5.640% due 06/12/98 30,000 29,665
Campbell Soup Co.
5.500% due 05/01/98 1,600 1,593
5.540% due 06/12/98 50,000 49,441
E.I. Du Pont de Nemours
5.510% due 04/06/98 2,800 2,798
5.510% due 04/07/98 22,500 22,479
5.440% due 04/09/98 7,500 7,491
5.540% due 04/28/98 12,600 12,548
5.530% due 05/04/98 18,300 18,207
5.520% due 06/03/98 50,000 49,510
5.530% due 06/05/98 50,000 49,495
Emerson Electric Co.
5.510% due 04/27/98 1,000 996
5.500% due 04/30/98 7,900 7,865
Export Development Corp.
5.430% due 04/09/98 8,800 8,789
5.520% due 04/22/98 2,000 1,994
Federal Farm Credit Bank
5.500% due 04/02/98 5,300 5,299
Federal Home Loan Mortgage Corp.
5.485% due 04/21/98 15,300 15,253
5.510% due 04/23/98 100 100
Federal National Mortgage Assn.
5.490% due 04/30/98 7,000 6,969
Florida Power Corp.
5.520% due 04/21/98 3,600 3,589
5.500% due 06/09/98 1,200 1,187
Ford Motor Credit Corp.
5.550% due 04/03/98 10,300 10,297
5.480% due 04/06/98 6,000 5,995
5.520% due 04/08/98 90,200 90,103
5.480% due 04/09/98 3,000 2,996
5.540% due 04/16/98 2,200 2,195
General Electric Capital Corp.
5.560% due 04/03/98 4,100 4,099
5.550% due 04/06/98 65,000 64,950
5.470% due 04/08/98 72,900 72,822
5.520% due 04/09/98 9,000 8,989
5.550% due 04/16/98 5,700 5,687
5.470% due 04/20/98 1,600 1,595
5.530% due 04/28/98 20,000 19,917
5.520% due 06/05/98 500 495
5.560% due 06/09/98 128,000 126,628
5.560% due 06/11/98 70,000 69,229
5.660% due 06/11/98 14,000 13,846
General Motors Acceptance Corp.
5.530% due 04/08/98 23,000 22,975
5.570% due 04/08/98 36,300 36,261
5.580% due 04/24/98 1,200 1,196
5.540% due 04/29/98 2,000 1,991
5.580% due 06/10/98 82,000 81,109
IBM Credit Corp.
5.490% due 04/08/98 500 499
5.530% due 04/16/98 7,100 7,084
Kellogg Co.
5.530% due 04/17/98 200 200
KFW International Finance, Inc.
5.520% due 04/03/98 100 100
5.510% due 04/07/98 25,000 24,977
5.520% due 04/16/98 100 100
5.530% due 04/16/98 700 698
5.530% due 05/05/98 80,000 79,582
Kingdom of Sweden
5.410% due 04/02/98 7,450 7,449
Motorola, Inc.
5.490% due 05/11/98 4,500 4,473
5.490% due 05/12/98 100 99
National Rural Utilities Cooperative
5.460% due 04/07/98 1,300 1,299
5.430% due 04/09/98 28,800 28,765
5.490% due 05/07/98 600 597
5.500% due 05/21/98 600 595
5.500% due 06/11/98 1,000 989
5.510% due 06/12/98 1,300 1,285
5.480% due 06/16/98 1,700 1,680
5.500% due 06/16/98 2,000 1,976
5.500% due 07/10/98 49,000 48,251
New Center Asset Trust
5.490% due 04/07/98 79,000 78,928
5.450% due 04/08/98 42,800 42,755
5.540% due 04/09/98 3,000 2,996
5.530% due 04/22/98 6,500 6,479
5.570% due 05/13/98 3,900 3,875
5.530% due 05/20/98 30,000 29,774
Oesterreichische
5.500% due 04/20/98 1,000 997
5.570% due 04/22/98 15,000 14,951
Ontario Hydro
5.520% due 04/06/98 16,000 15,988
5.500% due 05/21/98 9,000 8,931
Pfizer, Inc.
5.500% due 05/08/98 50,000 49,717
Procter & Gamble Co.
5.510% due 04/14/98 3,100 3,094
5.500% due 04/15/98 3,000 2,994
5.510% due 05/14/98 59,800 59,406
Shell Oil Co.
5.490% due 04/29/98 1,600 1,593
5.540% due 04/29/98 50,000 49,785
Southwestern Public Service Co.
5.530% due 05/08/98 800 795
TCI Communications, Inc.
6.062% due 05/08/98 50,000 49,688
Wisconsin Electric Power & Light
5.500% due 04/10/98 700 699
Wool International
5.490% due 05/29/98 5,000 4,956
------------
1,748,617
============
Repurchase Agreements 2.4%
State Street Bank
5.000% due 04/01/98 32,569 32,569
(Dated 03/31/98. Collateralized by
U.S. Treasury Note 6.125% 05/15/98
valued at $33,221,025. Repurchase
proceeds are $32,573,523.)
Daiwa Securities America
5.800% due 04/01/98 288,000 288,000
(Dated 03/31/98. Collateralized by
U.S. Treasury Note 6.250% 04/30/01
valued at $14,568,824. and U.S.
Treasury Note 6.000% 06/30/99 valued
at $25,935,030 and U.S. Treasury Note
5.625% 12/31/99 valued at $250,077,500.
Repurchase proceeds are $288,046,400.)
First Boston
5.800% due 04/01/98 106,300 106,300
(Dated 03/31/98. Collateralized by U.S.
Treasury Note 6.375% 05/15/99 valued
at $106,562,365. Repurchase proceeds are
$106,317,126.)
------------
426,869
============
U.S. Treasury Bills (b)(g) 0.5%
5.040% due 04/16/98-12/10/98 95,715 94,667
------------
Total Short-Term Instruments 3,269,635
Cost $3,269,580) ============
See accompanying notes 49
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1998
Value
(000s)
==============================================================================
Total Investments (a) 120.2% $21,746,274
(Cost $21,634,433)
Written Options (e) (0.0%) (1,459)
(Premiums $3,653)
Other Assets and Liabilities (Net) (20.2%) (3,653,104)
-------------
Net Assets 100.0% $18,091,711
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1998, 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. $ 204,637
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (94,860)
-------------
Unrealized appreciation-net $ 109,777
=============
(b) Securities with an aggregate market value of $94,667
have been segregated with the custodian to cover margin
requirements for the following open future contracts at
March 31, 1998:
Unrealized
Type Contracts Depreciation
- ------------------------------------------------------------------------------
Eurodollar June Futures (06/98) 240 $ (108)
U.S. Treasury 2 Year Note (06/98) 28 (3)
U.S. Treasury 5 Year Note (06/98) 6,455 (1,565)
U.S. Treasury 10 Year Note (06/98) 30,605 (124)
U.S. Treasury 30 Year Bond (06/98) 24,388 (1,645)
United Kingdom 90 Day Libor (06/98) 5,772 (1,410)
----------------
$ (4,855)
================
(c) Foreign forward currency contracts outstanding at March 31, 1998:
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- ------------------------------------------------------------------------------
Buy C$ 55,203 04/98 $ 343
Sell 192,964 06/98 (334)
Buy DM 5,724 05/98 (70)
Sell 14,199 05/98 162
Buy BP 18,789 04/98 (34)
Sell 38,587 04/98 (923)
Sell JY 7,507,000 06/98 2,584
Sell N$ 22,362 04/98 293
-----------------
$ 2,021
=================
(d) Variable rate security. The rate listed is as of March 31, 1998.
(e) Premiums received on written options:
Type Par Premium Value
- ------------------------------------------------------------------------------
Call - CBOT U.S. Treasury 30 Year Bond (06/98)
Strike @ 130.00 Exp. 05/16/98 $ 2,300 $ 959 $ 36
Put - CME Eurodollar June Futures (06/98)
Strike @ 94.00 Exp. 06/15/98 2,500 370 38
Call - CBOT U.S. Treasury 30 Year Bond (09/98)
Strike @ 132.00 Exp. 08/22/98 6,000 1,187 656
Call - OTC Sanwa Communications
Strike @ 1,270.00 Exp. 02/26/99 465 1,137 728
----------------------
$ 3,653 $ 1,459
======================
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
AP - Argentine Peso
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
FF - French Franc
JY - Japanese Yen
N$ - New Zealand Dollar
(g) Securities are grouped by coupon and represent a range of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Security becomes interest bearing at a future date.
(j) Swap agreements outstanding at March 31, 1998:
Fixed Notional Unrealized
Type Rate (%) Amount Appreciation
- --------------------------------------------------------------------------------
Receive the 10-year Swap Spread and pay
a fixed rate. The 10-year Swap Spread is
the difference between the 10-year Swap
Rate and the 10-year Treasury Rate.
Broker: Merrill Lynch
Exp. 04/11/02 .3625 $ 125,000 $ 719
Broker: Merrill Lynch
Exp. 04/11/02 .3650 187,500 1,060
Broker: Merrill Lynch
Exp. 04/18/02 .3700 88,000 480
Broker: Merrill Lynch
Exp. 04/23/02 .3700 131,000 714
Broker: Merrill Lynch
Exp. 05/02/02 .3700 120,000 654
Broker: Merrill Lynch
Exp. 05/30/02 .3700 230,000 1,254
Broker: Merrill Lynch
Exp. 06/05/02 .3575 193,000 1,149
Broker: Deutsche Bank AG New York
Exp. 06/06/02 .3650 100,000 565
Broker: J.P. Morgan
Exp. 11/28/02 .4600 59,400 108
-------------
$ 6,703
=============
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
- --------------------------------------------------------------------------------
Receive fixed rate equal to 6.405% and pay
floating rate based on 6 month A$-LIBOR.
Broker: Deutsche Bank AG New York
Exp. 10/08/07 A$ 137,000 $ 2,189
Receive floating rate based on 6 month
JY-LIBOR and pay fixed rate equal to
2.34%.
Broker: Deutsche Bank AG New York
Exp. 10/08/07 JY 24,500,000 (2,712)
-------------
$ (523)
=============
(k) Restricted security.
50 See accompanying notes
<PAGE>
Schedule of Investments
Real Return Bond Fund
March 31, 1998 Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 16.6%
- -----------------------------------------------------------------------------
Banking and Finance 16.6%
Ford Motor Credit
5.626% due 02/13/03 (d) $ 350 $ 350
J.P. Morgan & Co.
6.189% due 02/15/12 (f) 350 325
Salomon, Smith Barney Holdings
3.650% due 02/14/02 (f) 255 246
Toyota Motor Credit Corp.
4.816% due 02/15/02 (f) 400 385
------------
Total Corporate Bonds and Notes 1,306
(Cost $1,331) ============
- -----------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 10.3%
- -----------------------------------------------------------------------------
Federal Home Loan Bank
4.121% due 02/15/02 (d) 350 340
Student Loan Marketing Assn.
5.089% due 02/20/00 (d) 250 246
5.674% due 10/25/04 (d) 226 226
------------
Total U.S. Government Agencies 812
(Cost $811) ============
- -----------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 119.5%
- -----------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/02 (f) 6,000 6,054
3.625% due 07/15/02 (f) 404 400
3.375% due 01/15/07 (f) 3,060 2,968
------------
Total U.S. Treasury Obligations 9,422
(Cost $9,526) ============
- -----------------------------------------------------------------------------
ASSET-BACKED SECURITIES 19.1%
- -----------------------------------------------------------------------------
Capital Equipment Receivables Trust
6.030% due 02/15/00 250 251
First Plus Home Loan Trust
5.796% due 10/10/06 (d) 209 208
IMC Home Equity Loan Trust
5.765% due 05/21/12 (d) 262 262
NationsBank Auto Owner Trust
6.375% due 07/15/00 250 251
Pacific Southwest Bank
6.060% due 06/15/02 116 116
Premiere Auto Trust
6.150% due 03/06/00 250 251
The Money Store Home Equity Trust
6.815% due 07/15/06 164 164
------------
Total Asset-Backed Securities 1,503
(Cost $1,500) ============
- -----------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 3.2%
- -----------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26 (f) C$ 201 147
Commonwealth of New Zealand
4.500% due 02/15/16 (f) N$ 200 105
------------
Total Foreign Currency-Denominated Issues 252
(Cost $271) ============
- -----------------------------------------------------------------------------
PREFERRED STOCK 4.2%
- -----------------------------------------------------------------------------
Shares
Sanwa International 45,000 333
------------
Total Preferred Stock 333
(Cost $355) ============
- -----------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 4.2%
- -----------------------------------------------------------------------------
Commercial Paper 2.5%
BellSouth Telecommunications, Inc.
5.510% due 04/22/98 $ 100 $ 100
5.490% due 05/20/98 100 99
------------
199
============
Repurchase Agreement 1.7%
State Street Bank
5.000% due 04/01/98 131 131
------------
(Dated 03/31/98. Collateralized by U.S.
Treasury Note 5.250% 01/31/01 valued at
$134,552. Repurchase proceeds are $131,018.)
Total Short-Term Instruments 330
(Cost $330) ============
Total Investments (a) 177.1% $ 13,958
(Cost $14,124)
Written Options (e) (0.7%) (55)
(Premiums $88)
Other Assets and Liabilities (Net) (76.4%) (6,021)
------------
Net Assets 100.0% $ 7,882
============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1998, 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
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (179)
------------
Unrealized depreciation-net $ (169)
============
(b) Foreign forward currency contracts outstanding at March 31, 1998:
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- -----------------------------------------------------------------------------
Buy C$ 465 04/98 $ (5)
Sell 599 04/98 (1)
Sell 70 06/98 0
Sell JY 45,000 06/98 16
Sell N$ 199 04/98 3
------------
$ 13
============
(c) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
JY - Japanese Yen
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is as of March 31, 1998.
(e) Premiums received on written options:
Premiums
Type Par Received Value
- --------------------------------------------------------------------------------
Call - OTC Sanwa Communications
Strike @ 1,270 Exp. 02/26/99 $ 35 $ 88 $ 55
(f) Principal amount of the security is adjusted for inflation.
See accompanying notes 51
<PAGE>
Schedule of Investments
Low Duration Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 14.1%
- --------------------------------------------------------------------------------
Banking and Finance 5.3%
Associates Corp. of North America
7.250% due 05/15/98 $ 500 $ 501
7.500% due 05/15/99 1,000 1,016
AT&T Capital Corp.
6.260% due 04/30/98 30,000 30,011
5.950% due 02/16/99 50,000 49,904
6.490% due 05/17/99 10,000 10,025
Banc One Corp.
7.250% due 08/01/02 500 519
Bancomer
8.000% due 07/07/98 4,000 4,000
BankAmerica Corp.
7.200% due 09/15/02 100 104
7.875% due 12/01/02 100 107
Chrysler Financial Corp.
6.280% due 07/17/98 3,000 3,004
Citicorp
9.750% due 08/01/99 100 105
Comercia Bank
6.750% due 05/12/98 500 500
Commercial Credit Co.
5.500% due 05/15/98 1,000 999
Ford Motor Credit Corp.
5.460% due 04/05/99 (d) 1,000 994
7.500% due 11/15/99 100 102
Kansallis-Osake
7.830% due 09/30/43 (d) 13,500 13,534
Kemper Corp.
8.800% due 11/01/98 100 102
Lehman Brothers, Inc.
0.000% due 05/16/98 2,000 1,986
6.120% due 05/14/99 (d) 5,000 4,998
7.625% due 07/15/99 (d) 50 51
Okobank
7.028% due 10/29/49 (d) 750 761
PaineWebber
7.000% due 03/01/00 50 51
Salomon, Inc.
6.360% due 04/01/98 1,725 1,725
9.375% due 04/15/98 550 551
6.700% due 12/01/98 1,250 1,256
7.125% due 08/01/99 1,050 1,065
Salomon, Smith Barney Holdings
7.875% due 10/01/99 100 103
SGE Associates
8.070% due 07/20/00 (i) 15,032 15,477
Signet Bank Corp.
5.875% due 04/15/98 (d) 2,865 2,865
Toyota Motor Credit Corp.
6.969% due 02/15/02 (g) 11,600 11,173
Transamerica Financial
6.940% due 04/27/98 700 701
---------------
158,290
===============
Industrials 7.0%
Amerco, Inc.
6.850% due 09/18/98 7,000 7,020
American Home Products
7.700% due 02/15/00 100 103
AMR Corp.
9.500% due 07/15/98 1,000 1,010
9.270% due 08/13/98 2,000 2,024
8.100% due 11/01/98 2,000 2,027
8.730% due 11/02/98 3,000 3,046
9.750% due 03/15/00 5,000 5,333
9.910% due 03/01/01 2,500 2,750
9.440% due 05/15/01 5,000 5,462
9.125% due 10/24/01 1,000 1,093
Delta Air Lines
7.790% due 12/01/98 4,449 4,499
10.430% due 01/02/11 850 1,059
Enserch Corp.
8.875% due 03/15/01 3,000 3,000
Ford Motor Co.
9.000% due 09/15/01 500 544
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
Noranda, Inc.
6.563% due 08/18/00 (d) 1,000 1,010
Philip Morris Co.
7.500% due 01/15/02 200 207
RJR Nabisco
8.625% due 12/01/02 4,000 4,206
Sears Roebuck & Co.
9.250% due 04/15/98 5,750 5,755
TCI Communications, Inc.
6.606% due 03/11/03 (d) 3,000 3,014
Tenet Healthcare Corp.
7.875% due 01/15/03 2,300 2,369
Time Warner, Inc.
7.975% due 08/15/04 21,247 22,692
8.110% due 08/15/06 42,495 46,283
8.180% due 08/15/07 42,495 46,849
Yorkshire Power
6.154% due 02/25/03 40,000 39,738
---------------
211,496
===============
Utilities 1.8%
Alabama Power
7.250% due 08/01/07 100 103
Bell Atlantic Financial
6.000% due 06/01/98 500 500
Central Maine Power Co.
6.380% due 02/24/00 10,000 10,043
Cleveland Electric Illuminating Co.
8.330% due 10/30/98 1,500 1,518
8.170% due 11/30/98 1,000 1,012
9.300% due 07/26/99 1,500 1,554
Consolidated Natural Gas Co.
8.750% due 06/01/99 400 413
El Paso Electric Co.
7.250% due 02/01/99 1,000 1,005
Flag Limited
8.250% due 01/30/08 2,000 2,055
Gulf States Utilities
9.720% due 07/01/98 166 167
Long Island Lighting Co.
7.625% due 04/15/98 3,000 3,001
7.300% due 07/15/99 4,500 4,565
6.250% due 07/15/01 3,275 3,298
Louisiana Power & Light Co.
7.740% due 07/01/02 10,500 10,736
Mississippi Power & Light
8.800% due 04/01/05 1,000 1,001
Niagara Mohawk Power
9.500% due 03/01/21 1,725 1,834
North Atlantic Energy
9.050% due 06/01/02 5,288 5,431
Texas Utilities Co.
5.750% due 07/01/98 1,300 1,299
Toledo Edison Co.
9.300% due 04/01/98 5,000 5,000
---------------
54,535
---------------
Total Corporate Bonds and Notes 424,321
===============
(Cost $413,955)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.4%
- --------------------------------------------------------------------------------
Federal Farm Credit Bank
5.630% due 05/26/98 1,945 1,944
Federal Home Loan Bank
5.090% due 05/11/98 2,000 2,000
4.780% due 04/19/99 (d) 3,000 2,975
Federal National Mortgage Assn.
5.350% due 04/01/98 5,930 5,931
5.200% due 07/10/98 1,500 1,498
4.875% due 10/15/98 1,000 996
5.720% due 02/16/99 (d) 5,000 5,003
5.720% due 01/29/01 2,000 1,984
52 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Small Business Administration
7.750% due 01/25/13 (d) $ 1,031 $ 1,065
7.250% due 02/25/14 (d) 1,256 1,306
Student Loan Marketing Assn.
6.080% due 06/30/00 (d) 46,000 46,079
Tennessee Valley Authority
0.000% due 10/15/98 1,000 971
---------------
Total U.S. Government Agencies 71,752
===============
(Cost $71,491)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 109.7%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 9.4%
American Southwest Financial
5.100% due 06/02/99 9,863 9,826
Bear Stearns
8.200% due 09/25/22 132 132
Capstead Mortgage Corp.
7.500% due 02/25/23 2,149 2,167
Chase Mortgage Financial Corp.
10.000% due 11/25/09 951 983
7.500% due 10/25/24 15 15
Citicorp Mortgage Securities, Inc.
9.500% due 10/25/15 643 649
Collateralized Mortgage Obligation Trust
6.187% due 01/20/03 (d) 21 21
7.985% due 05/01/17 15,388 15,534
9.500% due 06/25/20 609 639
Countrywide
6.500% due 03/25/24 856 856
6.250% due 01/25/35 (d) 12,805 12,854
Dime Savings
7.178% due 11/01/18 (d) 3,001 2,752
Donaldson, Lufkin & Jenrette
11.000% due 08/01/19 1,648 1,872
7.411% due 05/25/24 (d) 3,481 3,527
Federal Home Loan Mortgage Corp.
9.000% due 12/15/05 158 158
10.000% due 09/15/09 14 15
12.500% due 09/30/13 1,139 1,245
6.250% due 07/15/14 5,217 5,221
5.400% due 08/15/14 1,392 1,390
7.000% due 04/25/15 1,044 1,046
11.000% due 11/30/15 7,229 8,426
10.000% due 07/15/19 525 576
8.500% due 09/15/19 212 212
5.650% due 11/15/19 878 878
9.000% due 11/15/19 2,334 2,432
7.950% due 02/15/20 822 824
8.250% due 03/15/20 91 91
7.500% due 04/15/20 2,900 2,981
8.000% due 04/15/20 2,500 2,559
10.000% due 05/15/20 350 381
7.500% due 12/15/20 2,000 2,053
9.000% due 12/15/20 8,275 8,649
9.500% due 01/15/21 2,478 2,659
8.000% due 04/15/21 2,979 3,078
9.000% due 05/15/21 479 506
Federal National Mortgage Assn.
8.950% due 05/25/03 96 100
9.000% due 07/25/03 711 735
9.400% due 07/25/03 153 159
5.750% due 02/25/05 3,960 3,950
6.875% due 06/25/09 3,526 3,551
5.750% due 04/25/16 3,023 3,003
8.750% due 05/25/19 132 137
9.300% due 05/25/19 53 55
9.000% due 07/25/19 531 546
9.500% due 03/25/20 2,921 3,492
9.500% due 05/25/20 1,450 1,661
8.000% due 07/25/20 4,272 4,309
9.000% due 03/25/21 7,622 8,117
9.000% due 04/25/21 269 284
8.000% due 03/25/22 162 167
5.000% due 01/25/24 386 380
8.500% due 04/01/25 8,861 9,282
8.500% due 03/18/27 3,288 3,394
Fleet Mortgage
7.200% due 10/25/23 868 864
General Electric Capital Mortgage
7.750% due 04/25/07 1,062 1,078
6.350% due 03/25/17 16,815 16,812
6.500% due 07/25/18 218 218
Glendale Federal Savings & Loan
7.308% due 03/25/30 (d) 2,652 2,686
Greenwich
8.886% due 11/25/24 (d) 1,919 1,973
Homestead Mortgage Acceptance Corp.
11.450% due 09/01/15 1,326 1,431
Housing Securities, Inc.
6.750% due 02/25/21 6,158 6,153
Independent National Mortgage Corp.
8.304% due 11/25/24 (d) 4,564 4,710
Nomura Asset Securities Corp.
6.625% due 01/25/09 3,994 4,006
Norwest Mortgage
12.375% due 01/01/14 215 223
12.500% due 02/01/14 609 651
12.250% due 04/01/14 378 391
Prudential Bache
6.213% due 09/01/18 (d) 47 47
8.400% due 03/20/21 7,741 8,030
Prudential Home
6.500% due 02/25/00 22 22
7.500% due 09/25/07 878 906
7.000% due 11/25/07 1,550 1,558
7.000% due 06/25/23 3,014 2,978
6.750% due 01/25/24 308 308
Prudential Securities
8.000% due 12/25/20 734 743
Residential Accredit Loans, Inc.
7.300% due 12/25/26 1,314 1,318
Residential Asset Securitization Trust
7.050% due 07/25/26 3,822 3,815
Residential Funding
5.899% due 07/01/19 (d) 1,339 1,300
7.042% due 09/01/19 (d) 250 246
Resolution Trust Corp.
6.817% due 09/25/19 (d) 2,346 2,337
6.043% due 01/25/21 (d) 211 209
6.884% due 07/25/21 (d) 13 13
6.309% due 09/25/21 (d) 1,100 1,092
6.970% due 10/25/21 (d) 1,339 1,343
8.625% due 10/25/21 24,000 24,292
7.019% due 03/25/22 (d) 2,805 2,808
10.000% due 05/25/22 145 146
7.250% due 10/25/23 60 59
6.900% due 02/25/27 6,236 6,039
6.113% due 09/27/27 (d) 2,580 2,543
9.000% due 09/25/28 273 282
Ryland Acceptance Corp.
8.000% due 03/01/18 2,728 2,779
Salomon Brothers Mortgage Securities
7.096% due 12/25/17 (d) 2,599 2,602
6.741% due 01/25/18 (d) 13 13
9.549% due 10/25/18 (d) 5,829 6,033
8.245% due 03/25/24 (d) 3,395 3,513
Sears Mortgage
7.882% due 08/25/23 (d) 807 826
8.457% due 05/25/32 (d) 664 662
Securitized Asset Sales, Inc.
6.750% due 08/25/25 10,849 10,894
7.500% due 10/25/25 3,928 3,928
Shearson Lehman
9.600% due 03/25/21 1,056 1,054
Westam Mortgage Financial Corp.
6.500% due 10/02/17 5,428 5,435
---------------
281,898
===============
See accompanying notes 53
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation 20.7%
5.500% due 05/01/98-04/01/07 (f) $ 10 $ 10
6.000% due 03/01/11-04/13/28 (f) 15,932 15,393
6.199% due 11/01/14-08/01/19 (d)(f) 2,537 2,557
6.207% due 01/01/30-12/01/30 (d)(f) 4,188 4,219
6.210% due 01/01/17-06/01/17 (d)(f) 944 951
6.213% due 09/01/15-06/01/30 (d)(f) 5,567 5,607
6.229% due 02/01/16-10/01/30 (d)(f) 591 595
6.250% due 01/01/20 (d) 293 295
6.500% due 01/01/02-05/13/28 (f) 250,031 247,298
7.000% due 01/01/17 (d) 81 83
7.125% due 03/01/17 (d) 347 354
7.250% due 07/01/07 12 12
7.500% due 09/01/06 141 142
7.581% due 02/01/20 (d) 4,318 4,490
7.714% due 11/01/22 (d) 3,163 3,238
7.742% due 11/01/23 (d) 2,125 2,193
7.747% due 10/01/23 (d) 3,367 3,476
7.834% due 01/01/24 (d) 3,783 3,908
7.842% due 03/01/24 (d) 251 261
7.870% due 06/01/24 (d) 1,797 1,845
7.995% due 07/01/18 (d) 581 605
7.996% due 01/01/24 (d) 2,269 2,327
7.997% due 09/01/23 (d) 730 758
8.000% due 07/01/06-04/13/28 (f) 224,917 233,068
8.027% due 12/01/22 (d) 1,834 1,901
8.250% due 10/01/07-11/01/07 (f) 54 56
8.500% due 07/01/01-04/13/28 (f) 80,786 84,525
8.750% due 02/01/01-04/01/02 (f) 91 93
9.000% due 05/01/02-07/01/04 (f) 66 68
9.250% due 07/01/01 6 6
9.500% due 03/01/01-12/01/04 (f) 135 141
9.750% due 03/01/01-11/01/08 (f) 1,190 1,269
10.000% due 04/01/01 7 7
10.500% due 07/01/00-02/01/16 (f) 106 110
10.750% due 10/01/00-08/01/11 (f) 595 649
11.250% due 10/01/14 7 8
11.500% due 10/01/15 2 2
11.750% due 11/01/10-08/01/15 (f) 18 22
14.000% due 09/01/12-12/01/12 (f) 6 8
---------------
622,550
===============
Federal Housing Administration 0.5%
5.871% due 11/01/19 717 738
6.950% due 04/01/14 1,748 1,828
7.430% due 10/01/19-12/01/21 (f) 11,890 12,232
9.680% due 02/01/24 381 428
---------------
15,226
===============
Federal National Mortgage Association 19.4%
6.000% due 05/01/11-12/25/18 (f) 378 375
6.135% due 04/01/18 (d) 8,246 8,282
6.199% due 04/23/28 (d) 45,000 45,295
6.256% due 04/25/22 (d) 435 439
6.500% due 06/01/08-04/13/28 (f) 2,033 2,011
6.875% due 01/01/21 (d) 834 846
7.000% due 04/01/02-09/01/07 (f) 282 285
7.150% due 11/01/17 (d) 603 616
7.232% due 11/01/18 (d) 389 407
7.290% due 07/01/17 (d) 954 987
7.500% due 04/01/24-05/01/24 (f) 17,550 18,043
7.788% due 10/01/24 (d) 10,565 10,983
7.801% due 04/01/24 (d) 4,656 4,824
7.894% due 01/01/24 (d) 5,828 6,059
8.000% due 03/01/04-12/01/25 (f) 14,838 15,451
8.008% due 07/01/23 (d) 3,580 3,746
8.500% due 03/01/08-08/01/26 (f) 437,861 458,940
9.000% due 08/01/98 90 90
10.000% due 02/01/04-06/01/19 (f) 2,639 2,847
10.500% due 06/01/05-11/01/05 (f) 417 442
11.000% due 10/01/98-09/01/00 (f) 14 15
11.250% due 12/01/10-10/01/15 (f) 271 299
12.000% due 01/01/15-10/01/15 (f) 10 11
12.750% due 02/01/14-11/01/14 (f) 108 125
13.000% due 07/01/15 9 10
13.250% due 09/01/11 22 25
13.500% due 04/01/14 9 11
15.500% due 10/01/12-12/01/12 (f) 81 100
15.750% due 12/01/11 45 54
16.000% due 09/01/12-12/01/12 (f) 25 32
---------------
581,650
===============
Government National Mortgage Association 57.3%
6.000% due 01/20/26-08/20/26 (d)(f) 18,663 19,049
6.500% due 05/15/23-04/20/28 (d)(f) 85,054 86,972
7.000% due 03/15/11-09/20/26 (d)(f) 218,604 224,203
7.375% due 05/20/22-06/20/25 (d)(f) 40,496 41,649
7.500% due 02/15/22-04/20/28 (f) 209,735 215,498
8.000% due 07/15/04-04/20/28 (f) 1,093,212 1,133,027
8.500% due 04/15/22 19 21
9.750% due 07/15/13-02/15/20 (f) 1,192 1,306
10.750% due 10/15/98 5 5
11.750% due 07/15/13-08/15/15 (f) 141 158
12.000% due 06/20/15 22 25
13.500% due 05/15/11-11/15/12 (f) 35 42
16.500% due 12/15/11 1 1
---------------
1,721,956
===============
Other Mortgage-Backed Securities 1.2%
First Boston Mortgage Securities Corp.
8.300% due 08/20/09 292 297
Glendale Federal Savings & Loan
11.000% due 03/01/10 24 25
Great Western Savings & Loan
6.250% due 12/01/17 (d) 511 504
Home Savings of America
5.873% due 05/25/27 (d) 2,139 2,090
5.982% due 09/25/28 (d) 1,454 1,437
Imperial Savings & Loan
8.840% due 07/25/17 (d) 54 54
9.900% due 02/25/18 607 643
MDC Mortgage Funding
8.841% due 01/25/25 (d) 1,041 1,068
Resolution Trust Corp.
6.463% due 05/25/19 (d) 7,301 7,248
7.300% due 08/25/19 (d) 5,844 5,844
10.334% due 08/25/21 (d) 1,028 1,075
9.500% due 05/25/24 275 275
6.259% due 10/25/28 (d) 3,060 3,127
7.307% due 05/25/29 (d) 3,286 3,357
Ryland Acceptance Corp.
7.644% due 11/28/22 (d) 1,077 1,095
Salomon Brothers Mortgage Securities
11.500% due 09/01/15 816 888
8.046% due 12/25/17 (d) 403 395
Sears Mortgage
12.000% due 02/25/14 126 134
7.588% due 10/25/22 (d) 4,524 4,664
Western Federal Savings & Loan
6.514% due 06/25/18 (d) 33 32
6.614% due 11/25/18 (d) 237 237
10.069% due 02/01/20 (d)(i) 63 66
---------------
34,555
===============
Stripped Mortgage-Backed Securities 1.2%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 07/15/04 726 21
6.250% due 09/15/04 3,743 161
6.000% due 02/15/06 5,493 269
9.982% due 07/15/06 63 763
10.195% due 08/15/06 16 237
11.944% due 12/15/06 33 612
6.000% due 10/15/07 2,542 194
6.000% due 02/15/08 7,262 610
6.500% due 02/25/13 2,140 35
6.500% due 08/25/13 5,235 166
7.000% due 08/15/18 7,321 1,317
7.500% due 12/15/18 5,181 519
7.000% due 04/15/19 5,284 317
6.500% due 05/15/19 13,054 1,392
6.500% due 06/15/19 12,487 1,077
10.496% due 04/15/21 31 573
6.500% due 04/15/22 7,803 972
7.000% due 05/15/23 775 116
4.000% due 01/15/24 20,919 5,138
54 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Federal National Mortgage Assn. (IO)
6.000% due 07/25/05 $ 2,473 $ 130
7.272% due 09/25/06 61 974
6.000% due 02/25/08 8,962 810
256.000% due 11/01/08 45 244
0.100% due 03/25/09 (d) 34,644 816
6.500% due 03/25/09 11,411 1,786
8.815% due 06/25/16 68 538
9.987% due 12/25/18 16 126
7.500% due 03/25/19 7,006 860
6.500% due 05/25/19 10,000 1,977
6.500% due 04/25/20 24,326 2,466
7.000% due 05/25/21 13,037 1,489
8.598% due 02/25/22 50 862
6.500% due 03/25/23 8,117 1,149
4.875% due 03/25/24 (d) 14,602 971
Federal National Mortgage Assn. (PO)
0.000% due 07/25/22 4,510 4,214
0.000% due 09/25/22 79 67
Prudential Home (IO)
0.300% due 04/25/09 (d) 86,887 715
Resolution Trust Corp. (PO)
0.000% due 09/25/00 619 566
---------------
35,249
---------------
Total Mortgage-Backed Securities 3,293,084
===============
(Cost $3,280,417)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 0.1%
- --------------------------------------------------------------------------------
Delta Air Lines Equipment Trust
10.430% due 01/02/11 960 1,197
SCFC Boat Loan Trust
7.050% due 04/15/07 49 49
United Air Lines Equipment Trust
10.850% due 02/19/15 1,500 1,944
----------------
Total Asset-Backed Securities 3,190
================
(Cost $3,000)
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.1%
- --------------------------------------------------------------------------------
Banco Nacional de Obra y Servicios
6.875% due 10/01/98 10,000 9,825
Nacional Financiera
6.250% due 12/03/98 (d) 1,500 1,470
10.625% due 11/22/01 7,500 8,055
Province of Quebec
5.563% due 10/26/01 (d) 250 248
Republic of Argentina
5.719% due 04/01/00 (d) 1,086 1,062
6.688% due 03/31/05 (d) 68,495 63,187
United Mexican States
5.820% due 06/28/01 10,000 9,510
----------------
Total Sovereign Issues 93,357
================
(Cost $91,617)
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(e) 1.4%
- --------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 3,500 1,897
Commonwealth of Canada
8.750% due 12/01/05 C$ 1,150 982
4.250% due 12/01/26 (g) 51,514 37,580
----------------
Total Foreign Currency-Denominated Issues 40,459
================
(Cost $42,943)
- --------------------------------------------------------------------------------
PREFERRED STOCK 0.1%
- --------------------------------------------------------------------------------
Shares
Home Ownership Funding 3,000 2,873
----------------
Total Preferred Stock 2,873
================
(Cost $2,878)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 6.7%
- --------------------------------------------------------------------------------
Commercial Paper 6.4%
E.I. Du Pont de Nemours
5.510% due 04/27/98 $ 2,000 $ 1,992
Federal Home Loan Mortgage Corp.
5.485% due 04/21/98 3,400 3,390
Ford Motor Credit Corp.
5.480% due 04/06/98 5,000 4,996
5.520% due 04/08/98 4,000 3,996
5.520% due 05/07/98 13,400 13,326
General Electric Capital Corp.
5.530% due 04/22/98 25,000 24,919
KFW International Finance, Inc.
5.510% due 05/19/98 27,000 26,802
National Rural Utilities Cooperative
5.500% due 05/21/98 1,700 1,687
New Center Asset Trust
5.530% due 04/22/98 40,000 39,871
5.530% due 05/20/98 49,000 48,631
Pfizer, Inc.
5.490% due 04/28/98 19,700 19,619
Procter & Gamble Co.
5.510% due 04/14/98 1,200 1,198
5.500% due 04/15/98 1,000 998
---------------
191,425
===============
Repurchase Agreement 0.2%
State Street Bank
5.000% due 04/01/98 7,143 7,143
---------------
(Dated 03/31/98. Collateralized by U.S.
Treasury Note 6.125% 05/15/98 valued at
$7,290,425. Repurchase proceeds are
$7,143,992.)
U.S. Treasury Bills (b)(f) 0.1%
4.961% due 04/16/98-07/23/98 1,625 1,619
---------------
Total Short-Term Instruments 200,187
===============
(Cost $200,188)
Total Investments (a) 137.6% $4,129,223
(Cost $4,106,489)
Other Assets and Liabilities (Net) (37.6%) (1,127,585)
---------------
Net Assets 100.0% $3,001,638
===============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1998, 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. $ 33,608
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (12,502)
---------------
Unrealized appreciation-net $ 21,106
===============
(b) Securities with an aggregate market value of $1,619
have been segregated with the custodian to cover margin
requirements for the following open future contracts at
March 31, 1998:
Unrealized
Type Contracts Depreciation
- --------------------------------------------------------------------------------
U.S. Treasury 10 Year Note (06/98) 1,400 $ (534)
See accompanying notes 55
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 1998
(c) Foreign forward currency contracts outstanding at March 31, 1998:
Principal
Amount
Covered Expiration Unrealized
Type by Contract Month Appreciation
- --------------------------------------------------------------------------------
Sell C$ 53,696 06/98 $ 61
Sell DM 3,544 05/98 41
---------------
$ 102
===============
(d) Variable rate security. The rate listed is as of March 31, 1998.
(e) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
DM - German Mark
(f) Securities are grouped by coupon and represent a range of maturities.
(g) Principal amount of the security is adjusted for inflation.
(h) Swap agreements outstanding at March 31, 1998:
Fixed Notional Unrealized
Type Rate (%) Amount Appreciation
- --------------------------------------------------------------------------------
Receive the 10-year Swap Spread
and pay a fixed rate. The 10-year Swap
Spread is the difference between the
10-year Swap Rate and the 10-year Treasury Rate.
Broker: Merrill Lynch
Exp. 04/11/02 .3625 $ 30,000 $ 173
Broker: Merrill Lynch
Exp. 04/11/02 .3650 45,000 254
Broker: Merrill Lynch
Exp. 04/18/02 .3700 13,000 71
Broker: Merrill Lynch
Exp. 04/23/02 .3700 29,000 158
Broker: Merrill Lynch
Exp. 05/02/02 .3700 24,000 131
Broker: Merrill Lynch
Exp. 05/30/02 .3700 53,000 289
Broker: Merrill Lynch
Exp. 06/05/02 .3575 42,000 250
Broker: Deutsche Bank AG New York
Exp. 06/06/02 .3650 88,000 497
--------------
$ 1,823
===============
(i) Restricted security.
56 See accompanying notes
<PAGE>
Schedule of Investments
Short-Term Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
- ------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 40.8%
- ------------------------------------------------------------------------------
Banking and Finance 23.5%
Ahmanson (H.F.) & Co.
6.330% due 04/15/98 $ 5,800 $ 5,800
Associates Corp. of North America
8.800% due 08/01/98 646 652
6.375% due 08/15/98 1,600 1,602
AT&T Capital Corp.
5.900% due 07/10/98 100 100
5.870% due 08/28/98 500 500
5.850% due 01/05/99 3,585 3,579
6.160% due 12/03/99 1,000 998
Banco Latino
6.600% due 04/17/98 300 300
Capital One Bank
6.740% due 05/31/99 875 879
Caterpillar Financial
5.460% due 04/01/99 (d) 2,000 2,002
Chrysler Financial Corp.
5.625% due 01/15/99 570 568
Dean Witter Discover
5.875% due 02/13/01 (d) 5,000 5,014
Donaldson, Lufkin & Jenrette
6.438% due 05/25/26 (d) 838 837
Edison Funding
6.000% due 12/20/99 5,000 4,999
Ford Motor Credit Corp.
5.400% due 11/09/98 (d) 2,600 2,607
5.500% due 03/23/99 (d) 1,000 998
5.460% due 04/05/99 (d) 1,500 1,492
General Motors Acceptance Corp.
6.000% due 12/30/98 1,575 1,576
Kansallis-Osake
7.830% due 09/30/43 (d) 5,000 5,013
Lehman Brothers, Inc.
6.840% due 09/25/98 1,000 1,004
5.550% due 09/01/99 (d) 3,000 2,992
Residential Funding
7.526% due 12/01/18 (d) 2,045 2,086
Salomon, Inc.
6.000% due 07/28/98 250 250
6.030% due 02/11/99 500 500
Salomon, Smith Barney Holdings
3.650% due 02/14/02 (g) 3,057 2,950
------------
49,298
============
Industrials 12.6%
Air Canada
6.425% due 07/31/05 (d) 2,000 1,890
Amerco, Inc.
6.850% due 09/18/98 1,000 1,003
6.890% due 10/15/00 5,000 5,014
COFIRI International, Inc.
6.112% due 10/27/00 (d) 2,000 1,995
Neodata Services
12.000% due 05/01/03 5,000 5,475
Occidental Petroleum
5.900% due 11/09/98 1,100 1,100
RJR Nabisco
8.750% due 04/15/04 4,800 5,076
Sears Roebuck & Co.
5.643% due 03/10/99 (d) 3,000 2,994
USX Corp.
6.375% due 07/15/98 2,000 2,002
------------
26,549
============
Utilities 4.7%
Beaver Valley Funding Corp.
8.250% due 06/01/03 944 969
Delmarva Power & Light
5.690% due 06/24/98 1,000 1,000
Gulf States Utilities
9.720% due 07/01/98 1,200 1,210
Niagara Mohawk Power
9.990% due 05/11/04 1,500 1,530
System Energy Resources
7.625% due 04/01/99 2,500 2,531
7.710% due 08/01/01 2,500 2,583
------------
9,823
------------
Total Corporate Bonds and Notes 85,670
(Cost $85,495) ============
- -----------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 26.3%
- -----------------------------------------------------------------------------
Collateralized Mortgage Obligations 4.7%
Dime Savings
7.178% due 11/01/18 (d) 468 429
Donaldson, Lufkin & Jenrette
6.150% due 10/17/20 (d) 1,202 1,237
7.829% due 09/01/21 (d) 73 75
7.233% due 06/25/22 (d) 418 421
7.649% due 05/25/23 (d) 607 616
Federal Home Loan Mortgage Corp.
5.750% due 10/15/16 225 224
Federal National Mortgage Assn.
5.800% due 08/25/15 2,079 2,072
5.875% due 03/25/18 378 378
5.000% due 02/25/22 402 394
Greenwich
7.678% due 04/25/22 (d) 184 188
7.319% due 10/25/22 (d) 150 152
Manufacturers Hanover Corp.
7.536% due 12/16/25 (d) 2,291 2,298
Prudential Bache
6.213% due 09/01/18 (d) 47 47
Prudential Home
6.750% due 01/25/24 617 615
Resolution Trust Corp.
8.907% due 12/25/20 (d) 158 160
6.884% due 07/25/21 (d) 7 7
7.024% due 06/25/24 (d) 589 591
------------
9,904
============
Federal National Mortgage Association 11.7%
6.199% due 05/01/36 (d) 6,174 6,231
6.203% due 08/01/29 (d) 988 996
6.205% due 05/01/36 (d) 16,719 16,871
6.210% due 05/01/36 (d) 588 594
------------
24,692
============
Government National Mortgage Association 7.6%
6.000% due 02/20/26-01/20/27 (d)(f) 10,816 11,019
7.000% due 09/20/23-08/20/25 (d)(f) 4,920 5,043
------------
16,062
============
Other Mortgage-Backed Securities 0.9%
Federal National Mortgage Assn.
1.000% due 06/25/23 317 309
First Nationwide Trust
6.722% due 10/25/18 (d) 38 38
Resolution Trust Corp.
8.625% due 10/25/21 424 425
6.681% due 05/25/29 (d) 1,047 1,054
------------
1,826
============
Stripped Mortgage-Backed Securities 1.4%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 06/15/19 8,000 1,192
Federal National Mortgage Assn. (IO)
6.000% due 10/25/03 211 1
7.000% due 07/25/06 2,617 327
6.500% due 12/25/06 6,968 592
7.000% due 05/25/13 424 4
6.500% due 06/25/17 3,988 331
6.500% due 10/25/23 2,738 419
------------
2,866
------------
Total Mortgage-Backed Securities 55,350
(Cost $55,003) ============
See accompanying notes 57
<PAGE>
Schedule of Investments (Cont.)
Short-Term Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
- ------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 7.2%
- ------------------------------------------------------------------------------
Community Trust Bancorp, Inc.
6.500% due 09/15/03 $ 3,900 $ 3,913
Green Tree Financial Group
6.420% due 04/15/28 8,207 8,245
LIBOR-Index Certificates
9.040% due 10/01/03 (d) 1,000 1,000
9.277% due 10/01/03 (d) 2,000 2,000
-------------
Total Asset-Backed Securities 15,158
(Cost $15,123) =============
- -----------------------------------------------------------------------------
SOVEREIGN ISSUES 3.3%
- -----------------------------------------------------------------------------
Government of Malaysia
5.875% due 10/19/05 (d) 1,250 1,187
Nafinsa Finance Trust II
8.356% due 03/31/99 (d) 34 30
Republic of Argentina
6.688% due 03/31/05 (d) 6,175 5,696
-------------
Total Sovereign Issues 6,913
(Cost $6,505) =============
- -----------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(e) 2.1%
- -----------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26 (g) C$ 2,267 1,654
Commonwealth of New Zealand
4.500% due 02/15/16 (g) N$ 5,400 2,845
-------------
Total Foreign Currency-Denominated Issues 4,499
(Cost $5,214) =============
- -----------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 21.6%
- -----------------------------------------------------------------------------
Certificates of Deposit 2.6%
Banco Latino
6.550% due 04/14/98 $ 1,500 1,500
Bank of Tokyo
6.050% due 05/13/98 4,000 4,000
-------------
5,500
=============
Commercial Paper 18.6%
Abbott Laboratories
5.520% due 04/21/98 900 897
Caisse d'Amortissement
5.520% due 04/27/98 7,000 6,972
E.I. Du Pont de Nemours
5.450% due 04/09/98 500 499
5.540% due 04/28/98 1,500 1,494
Emerson Electric Co.
5.500% due 04/23/98 2,500 2,492
General Electric Capital Corp.
5.500% due 05/20/98 10,000 9,925
General Motors Acceptance Corp.
5.740% due 06/10/98 1,000 989
KFW International Finance, Inc.
5.520% due 04/01/98 3,900 3,900
5.520% due 04/03/98 2,700 2,699
5.510% due 04/24/98 400 399
National Rural Utilities Cooperative
5.500% due 05/21/98 200 198
New Center Asset Trust
5.510% due 06/03/98 2,200 2,178
Southwestern Public Service Co.
5.530% due 05/08/98 1,100 1,094
TCI Communications, Inc.
6.062% due 05/08/98 2,200 2,186
Wisconsin Electric Power & Light
5.530% due 04/07/98 3,200 3,197
-------------
39,119
=============
Repurchase Agreement 0.4%
State Street Bank
5.000% due 04/01/98 807 807
(Dated 03/31/98. Collateralized by U.S.
Treasury Note 6.250% 06/30/98 Valued at
$824,105. Repurchase proceeds are
$807,112.)
U.S. Treasury Bills (b)(f) 0.0%
4.977% due 04/16/98-06/25/98 20 20
-------------
Total Short-Term Instruments 45,446
(Cost $45,447) =============
Total Investments (a) 101.3% $ 213,036
(Cost $212,787)
Other Assets and Liabilities (Net) (1.3%) (2,840)
-------------
Net Assets 100.0% $ 210,196
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1998, 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. $ 1,992
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (1,162)
--------------
Unrealized appreciation-net $ 830
==============
(b) Securities with an aggregate market value of $20 have
been segregated with the custodian to cover margin
requirements for the following open future contracts at
March 31, 1998:
Unrealized
Type Contracts Depreciation
- ------------------------------------------------------------------------------
United Kingdom 90 Day LIBOR 10 $ (1)
U.S. Treasury 2 Year Note (06/98) 11 (1)
--------------
$ (2)
==============
(c) Foreign forward currency contracts outstanding at March 31, 1998:
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- ------------------------------------------------------------------------------
Sell C$ 2,390 06/24/98 $ (9)
Sell N$ 4,940 04/15/98 71
Sell 381 05/05/98 14
--------------
$ 76
==============
(d) Variable rate security. The rate listed is as of March 31, 1998.
(e) Principal amount denoted in indicated currency:
C$- Canadian Dollar
N$- New Zealand Dollar
(f) Securities are grouped by coupon and represent a range of maturities.
(g) Principal amount of the security is adjusted for inflation.
58 See accompanying notes
<PAGE>
Schedule of Investments
Money Market Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 125.3%
- -----------------------------------------------------------------------------
Commercial Paper 99.4%
Abbott Laboratories
5.500% due 04/03/98 $ 8,000 $ 7,998
Air Products & Chemicals
5.480% due 06/26/98 9,000 8,882
American Greetings
5.570% due 04/20/98 3,950 3,938
BellSouth Telecommunications, Inc.
5.490% due 04/23/98 8,500 8,471
E.I. Du Pont de Nemours
5.420% due 05/12/98 6,000 5,963
Eastman Kodak Co.
5.510% due 06/02/98 5,000 4,953
Emerson Electric Co.
5.500% due 04/24/98 6,500 6,477
Federal National Mortgage Assn.
5.520% due 04/13/98 37,789 37,719
Ford Motor Credit Corp.
5.460% due 04/24/98 5,800 5,780
Franklin Resources
5.510% due 06/09/98 8,000 7,916
General Electric Capital Corp.
5.530% due 04/22/98 6,000 5,981
Goldman Sachs & Co.
5.450% due 04/27/98 6,000 5,976
Hershey Foods Corp.
5.450% due 04/03/98 6,000 5,998
Motorola, Inc.
5.510% due 04/07/98 8,000 7,993
National Rural Utilities Cooperative
5.500% due 06/16/98 8,000 7,907
Procter & Gamble Co.
5.490% due 04/15/98 6,039 6,026
Times Mirror Co.
5.460% due 04/23/98 8,000 7,973
USAA Capital Corp.
5.400% due 06/17/98 3,200 3,163
Xerox Corp.
5.420% due 04/29/98 6,000 5,975
-------------
155,089
=============
Repurchase Agreements 25.9%
Goldman Sachs
5.700% due 04/01/98 39,200 39,200
(Dated 03/31/98. Collateralized by U.S.
Treasury Bond 6.500% 11/15/26 valued at
$39,297,495. Repurchase proceeds are
$39,206,206).
State Street Bank
5.000% due 04/01/98 1,286 1,286
(Dated 03/31/98. Collateralized by U.S.
Treasury Note 5.875% 04/30/98 valued at
$1,316,691. Repurchase proceeds are
$1,286,179.)
-------------
40,486
-------------
Total Short-Term Instruments 195,575
(Cost $195,575) =============
Total Investments (a) 125.3% $ 195,575
(Cost $195,575)
Other Assets and Liabilities (Net) (25.3%) (39,483)
-------------
Net Assets 100.0% $ 156,092
=============
See accompanying notes 59
<PAGE>
Schedule of Investments
StocksPLUS Fund
March 31, 1998
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
CORPORATE BONDS AND NOTES 25.7%
- -----------------------------------------------------------------------------
Banking and Finance 18.4%
Advanta National Bank
6.097% due 01/15/99 (d) $ 2,000 $ 1,971
AT&T Capital Corp.
6.260% due 02/18/99 10,000 10,006
6.920% due 04/29/99 5,725 5,764
Capital One Bank
6.730% due 06/04/98 2,000 2,002
6.163% due 08/13/98 (d) 7,500 7,507
Caterpillar Financial
5.460% due 04/01/99 (d) 2,000 2,002
Columbia HCA Healthcare Corp.
6.410% due 06/15/00 5,000 4,855
Den Danske Bank
6.000% due 06/30/00 (d) 450 450
Edison Funding
6.000% due 09/20/99 15,000 14,985
Ford Motor Credit Corp.
5.400% due 11/09/98 (d) 500 501
5.340% due 03/30/99 (d) 250 250
5.460% due 04/05/99 (d) 340 338
5.470% due 08/14/00 (d) 17,000 17,048
General Motors Acceptance Corp.
5.530% due 03/16/99 (d) 2,000 2,011
Goldman Sachs & Co.
5.805% due 01/25/01 (d) 10,000 10,000
Heller Financial
6.250% due 12/15/98 15,500 15,509
Kansallis-Osake
7.830% due 09/30/43 (d) 1,500 1,504
Lehman Brothers, Inc.
6.250% due 06/29/98 2,000 2,002
8.875% due 11/01/98 1,685 1,711
5.610% due 08/11/00 (d) 9,400 9,432
Merrill Lynch & Co.
5.938% due 10/10/00 (d) 3,000 3,020
Residential Reinsurance
11.494% due 12/15/08 (d) 2,500 2,525
Salomon, Inc.
5.740% due 04/05/99 (d) 500 498
6.456% due 06/27/01 (d) 6,800 6,807
Salomon, Smith Barney Holdings
3.650% due 02/14/02 (g) 2,038 1,967
-------------
124,665
=============
Industrials 5.9%
Air Canada
6.425% due 07/31/05 (d) 12,000 11,340
Amerco, Inc.
6.800% due 09/18/98 6,000 6,018
Centerior Fuel Corp.
9.200% due 08/02/98 (i) 1,000 1,005
COFIRI International, Inc.
6.112% due 10/27/00 (d) 2,000 1,995
Falcon Drilling, Inc.
9.750% due 01/15/01 2,000 2,135
Merita
6.073% due 12/01/05 (d) 1,000 991
RJR Nabisco
8.000% due 07/15/01 500 514
TCI Communications, Inc.
6.546% due 04/03/02 (d) 11,600 11,669
6.606% due 03/11/03 (d) 4,000 4,018
-------------
39,685
=============
Utilities 1.4%
Beaver Valley Funding Corp.
8.250% due 06/01/03 2,759 2,832
Cleveland Electric Illuminating Co.
8.170% due 11/30/98 1,000 1,012
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 3,085
North Atlantic Energy
9.050% due 06/01/02 1,308 1,343
-------------
9,277
-------------
Total Corporate Bonds and Notes 173,627
(Cost $173,042) =============
- -----------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.5%
- -----------------------------------------------------------------------------
Student Loan Marketing Assn.
5.795% due 10/25/05 (d) 16,731 16,731
-------------
Total U.S. Government Agencies 16,731
(Cost $16,670) =============
- -----------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 3.1%
- -----------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/02 (g) 21,491 21,289
-------------
Total U.S. Treasury Obligations 21,289
(Cost $21,398) =============
- -----------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 20.1%
- -----------------------------------------------------------------------------
Collateralized Mortgage Obligations 3.9%
Bank Mart
7.504% due 03/01/19 (d)(i) 8,736 9,017
Citicorp Mortgage Securities, Inc.
7.586% due 09/25/18 (d) 82 82
Countrywide
6.500% due 02/25/24 122 121
Donaldson, Lufkin & Jenrette
6.150% due 10/17/20 (d) 341 351
Federal National Mortgage Assn.
6.924% due 04/25/20 (d) 346 349
Greenwich
7.319% due 10/25/22 (d) 38 38
Manufacturers Hanover Corp.
7.536% due 12/16/25 (d) 2,224 2,230
PaineWebber Mortgage
6.532% due 02/25/01 (d) 1,690 1,680
Prudential Home
7.050% due 05/25/24 1,274 1,277
Red Mountain Funding Corp.
6.450% due 11/28/27 171 170
Residential Funding
6.174% due 03/25/18 (d) 3,728 3,694
Resolution Trust Corp.
7.650% due 01/25/20 (d) 840 855
7.164% due 05/25/21 (d) 65 65
6.309% due 09/25/21 (d) 1,283 1,274
8.000% due 07/25/24 3,246 3,279
6.650% due 05/25/29 (d) 605 607
Sears Mortgage
8.457% due 05/25/32 (d) 32 32
Structured Asset Securities Corp.
7.750% due 02/25/28 1,209 1,236
-------------
26,357
=============
Federal Home Loan Mortgage Corporation 9.4%
6.712% due 07/01/19 (d) 2,163 2,210
7.710% due 12/01/22 (d) 1,194 1,244
7.896% due 06/01/22 (d) 841 869
8.500% due 06/01/12-06/01/25 (f) 57,157 59,280
-------------
63,603
=============
Federal National Mortgage Association 2.8%
6.190% due 05/01/17 (d) 438 443
6.199% due 11/01/18-05/01/36 (d)(f) 4,157 4,192
6.207% due 07/01/18 (d) 713 722
6.210% due 05/01/36 (d) 7,766 7,837
6.213% due 04/01/18-11/01/35 (d)(f) 5,064 5,102
7.452% due 05/01/22 (d) 743 767
9.000% due 01/01/99 11 11
-------------
19,074
=============
Government National Mortgage Association 3.2%
6.000% due 02/20/26-02/20/28 (d)(f) 18,777 19,075
7.000% due 09/20/22 (d) 2,570 2,642
-------------
21,717
=============
60 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
Other Mortgage-Backed Securities 0.5%
California Federal Savings & Loan
6.644% due 01/01/19 (d) $ 61 $ 61
Fund America
7.605% due 06/25/23 (d) 212 219
Great Western Savings & Loan
6.458% due 01/25/18 (d) 90 90
J.P. Morgan & Co.
6.999% due 01/25/18 (d) 784 783
Resolution Trust Corp.
7.043% due 12/25/23 (d) 39 39
Structured Asset Securities Corp.
6.854% due 09/25/36 (d) 1,516 1,550
Western Federal Savings & Loan
6.414% due 10/25/18 (d) 354 354
6.953% due 03/25/19 (d) 61 61
6.630% due 06/25/19 (d) 507 508
-------------
3,665
=============
Stripped Mortgage-Backed Securities 0.3%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 08/15/13 34 0
92.576% due 07/15/16 71 648
Federal National Mortgage Assn. (IO)
6.000% due 11/25/00 831 58
7.000% due 07/25/06 523 65
6.500% due 02/25/21 (d) 6,444 670
7.000% due 07/25/21 1,224 207
Prudential Home (IO)
4.299% due 02/25/22 2 3
-------------
1,651
-------------
Total Mortgage-Backed Securities 136,067
(Cost $135,569) =============
- -----------------------------------------------------------------------------
ASSET-BACKED SECURITIES 7.3%
- -----------------------------------------------------------------------------
Community Trust Bancorp, Inc.
6.500% due 09/15/03 4,550 4,565
Green Tree Financial Group
6.420% due 04/15/28 4,559 4,581
6.220% due 02/15/29 17,627 17,685
LIBOR-Index Certificates
6.479% due 08/31/98 (d) 3,000 3,000
9.277% due 10/01/03 (d) 2,500 2,500
Standard Credit Card Master Trust
8.875% due 09/07/99 17,300 17,470
-------------
Total Asset-Backed Securities 49,801
(Cost $49,848) =============
- -----------------------------------------------------------------------------
SOVEREIGN ISSUES 4.4%
- -----------------------------------------------------------------------------
Republic of Argentina
6.688% due 03/31/05 (d) 17,195 15,862
8.726% due 04/10/05 (d) 5,000 5,000
Republic of Poland
6.688% due 10/27/24 (d) 9,400 9,224
-------------
Total Sovereign Issues 30,086
(Cost $29,654) =============
- -----------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(e) 1.3%
- -----------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26 (g) C$ 5,151 3,758
Commonwealth of New Zealand
4.500% due 02/15/16 (g) N$ 9,750 5,137
Kingdom of Sweden
10.250% due 05/05/00 SK 1,000 138
-------------
Total Foreign Currency-Denominated Issues 9,033
(Cost $10,455) =============
- -----------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 33.7%
- -----------------------------------------------------------------------------
Certificates of Deposit 3.5%
Banco Latino
6.550% due 04/14/98 $ 6,200 6,199
6.430% due 05/28/98 1,900 1,900
Bank of Tokyo
6.470% due 06/18/98 15,500 15,500
-------------
23,599
=============
Commercial Paper 25.2%
Abbott Laboratories
5.500% due 04/03/98 3,400 3,399
American Express Credit
5.520% due 04/15/98 20,600 20,556
Ameritech Corp.
5.510% due 04/06/98 12,300 12,291
AT&T Capital Corp.
5.856% due 05/05/98 10,900 10,840
BellSouth Telecommunications, Inc.
5.510% due 04/14/98 3,000 2,994
5.520% due 04/14/98 1,000 998
E.I. Du Pont de Nemours
5.450% due 04/08/98 4,000 3,996
5.440% due 04/09/98 6,100 6,093
5.450% due 04/09/98 1,600 1,598
5.540% due 04/28/98 1,400 1,394
Emerson Electric Co.
5.500% due 04/24/98 2,700 2,691
5.500% due 04/30/98 3,300 3,285
Federal Home Loan Mortgage Corp.
5.485% due 04/21/98 7,800 7,776
5.530% due 04/21/98 7,200 7,178
General Electric Capital Corp.
5.520% due 04/09/98 5,000 4,994
5.470% due 04/20/98 5,000 4,986
5.530% due 04/22/98 5,700 5,682
5.530% due 05/06/98 3,600 3,581
General Motors Acceptance Corp.
5.740% due 06/10/98 7,000 6,924
IBM Credit Corp.
5.490% due 04/08/98 4,200 4,196
KFW International Finance, Inc.
5.550% due 04/16/98 900 898
5.510% due 04/17/98 10,000 9,975
Motorola, Inc.
5.490% due 05/12/98 4,500 4,472
New Center Asset Trust
5.540% due 04/09/98 5,800 5,793
5.530% due 04/22/98 3,600 3,588
5.510% due 06/03/98 5,700 5,644
Pitney Bowes Credit Corp.
5.482% due 05/18/98 10,000 9,928
Procter & Gamble Co.
5.510% due 04/14/98 3,500 3,493
Shell Oil Co.
5.490% due 04/30/98 7,000 6,969
TCI Communications, Inc.
6.062% due 05/08/98 2,300 2,286
Wisconsin Electric Power & Light
5.510% due 04/07/98 2,300 2,298
-------------
170,796
=============
Repurchase Agreements 1.7%
State Street Bank
5.000% due 04/01/98 3,566 3,566
(Dated 03/31/98. Collateralized by U.S.
Treasury
Note 6.125% 05/15/98 valued at $3,640,100.
Repurchase proceeds are $3,566,495.)
Daiwa Securities America
5.800% due 04/01/98 8,000 8,000
(Dated 03/31/98. Collateralized by Treasury
Inflation Protected Security 3.375% 01/15/07
valued at $8,115,335. Repurchase proceeds are
$8,001,289).
-------------
11,566
=============
U.S. Treasury Bills (b)(f) 3.3%
5.018% due 04/16/98-07/23/98 22,230 22,042
-------------
Total Short-Term Instruments 228,003
(Cost $228,003) =============
See accompanying notes 61
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
March 31, 1998
Value
(000s)
- -----------------------------------------------------------------------------
Total Investments (a) 98.1% $ 664,637
(Cost $664,639)
Other Assets and Liabilities (Net) 1.9% 13,075
-------------
Net Assets 100.0% $ 677,712
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1998, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 2,546
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost (2,396)
over value. -------------
Unrealized appreciation-net $ 150
=============
(b) Securities with an aggregate market value of $22,042
have been segregated with the custodian to cover margin
requirements for the following open future contracts at
March 31, 1998:
Unrealized
Appreciation/
Type Contracts (Depreciation)
- -----------------------------------------------------------------------------
S&P 500 Index (06/98) 1,989 $ 10,480
United Kingdom 90 Day LIBOR Future (06/98) 300 (30)
-------------
$ 10,450
=============
(c) Foreign forward currency contracts outstanding at March 31, 1998:
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell C$ 2,128 04/98 $ (13)
Sell 3,317 06/98 (13)
Sell N$ 7,905 04/98 115
Sell 1,668 05/98 61
Sell SK 1,843 04/98 1
-------------
$ 151
=============
(d) Variable rate security. The rate listed is as of March 31, 1998.
(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 March 31, 1998:
Fixed Notional Unrealized
Type Rate (%) Amount Appreciation
- -----------------------------------------------------------------------------
Receive the 10-year Swap Spread
and pay a fixed rate. The 10-year
Swap Spread is the difference
between the 10-year Swap Rate and
the 10-year Treasury Rate.
Broker: Merrill Lynch
Exp. 04/18/02 .3700 $ 8,000 $ 43
Broker: Merrill Lynch
Exp. 04/23/02 .3700 3,000 16
Broker: Merrill Lynch
Exp. 05/30/02 .3700 6,000 33
Broker: Merrill Lynch
Exp. 06/05/02 .3575 4,000 24
Broker: Deutsche Morgan Grenfell
Exp. 06/05/02 .3650 8,000 45
Broker: J.P. Morgan
Exp. 11/28/02 .4600 20,800 38
-------------
$ 199
=============
Notional Unrealized
Type Amount Appreciation
- -----------------------------------------------------------------------------
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR.
Broker: Deutsche Morgan Grenfell
Exp. 06/30/98 $ 50,595 $ 0
Broker: Morgan Stanley
Exp. 09/30/98 59,258 0
--------------
$ 0
==============
(i) Restricted security.
62 See accompanying notes
62
<PAGE>
(This Page Intentionally Left Blank)
63
<PAGE>
<TABLE>
<CAPTION>
Financial Highlights
A, B and C Classes Net Asset Net Realized Dividends Dividends in
Value Net and Unrealized Total Income From Net Excess of Net
Selected Per Share Data Beginning Investment Gain (Loss) on From Investment Investment Investment
for the Period Ended: of Period Income Investments Operations Income Income
<S> <C> <C> <C> <C> <C> <C>
Long-Term U.S. Government Fund
Class A
03/31/98.................... $ 9.39 $ 0.48 (a) $ 1.34 (a) $ 1.82 $ (0.58) $ 0.00
01/20/97-03/31/97........... 9.67 0.32 (0.47) (0.15) (0.13) 0.00
Class B
03/31/98.................... 9.39 0.39 (a) 1.35 (a) 1.74 (0.50) 0.00
01/20/97-03/31/97........... 9.67 0.29 (0.47) (0.18) (0.10) 0.00
Class C
03/31/98.................... 9.39 0.39 (a) 1.35 (a) 1.74 (0.50) 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
03/31/98.................... $ 10.41 $ 0.61 (a) $ 0.62 (a) $ 1.23 $ (0.59) $ 0.00
01/20/97-03/31/97........... 10.59 0.59 (0.72) (0.13) (0.05) 0.00
Class B
03/31/98.................... 10.41 0.53 (a) 0.61 (a) 1.14 (0.50) 0.00
01/20/97-03/31/97........... 10.59 0.58 (0.72) (0.14) (0.04) 0.00
Class C
03/31/98.................... 10.41 0.52 (a) 0.62 (a) 1.14 (0.50) 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
03/31/98.................... $ 10.84 $ 0.64 (a) $ 0.51 (a) $ 1.15 $ 0.00 $ (0.54)
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 (b) 0.95 1.27 (0.31) 0.00
Class B
03/31/98.................... 10.84 0.66 (a) 0.41 (a) 1.07 0.00 (0.46)
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 (b) 0.92 1.22 (0.26) 0.00
Class C
03/31/98.................... 10.84 0.55 (a) 0.52 (a) 1.07 0.00 (0.46)
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 (b) 0.92 1.22 (0.26) 0.00
Emerging Markets Bond Fund
Class A
07/31/97-03/31/98........... $ 10.00 $ 0.44 (a) $ (0.18) (a) $ 0.26 $ (0.44) $ 0.00
Class B
07/31/97-03/31/98........... 10.00 0.40 (a) (0.20) (a) 0.20 (0.38) 0.00
Class C
07/31/97-03/31/98........... 10.00 0.38 (a) (0.18) (a) 0.20 (0.38) 0.00
High Yield Fund
Class A
03/31/98.................... $ 11.10 $ 0.93 (a) $ 0.66 (a) $ 1.59 $ (0.94) $ 0.00
01/13/97-03/31/97........... 11.18 0.17 (0.05) 0.12 (0.20) 0.00
Class B
03/31/98.................... 11.10 0.84 (a) 0.66 (a) 1.50 (0.85) 0.00
01/13/97-03/31/97........... 11.18 0.15 (0.05) 0.10 (0.18) 0.00
Class C
03/31/98.................... 11.10 0.85 (a) 0.65 (a) 1.50 (0.85) 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
03/31/98.................... $ 10.27 $ 0.58 (a) $ 0.63 (a) $ 1.21 $ (0.57) $ (0.02)
01/13/97-03/31/97........... 10.40 0.12 (0.12) 0.00 (0.13) 0.00
Class B
03/31/98.................... 10.27 0.50 (a) 0.63 (a) 1.13 (0.50) (0.01)
01/13/97-03/31/97........... 10.40 0.11 (0.12) (0.01) (0.12) 0.00
Class C
03/31/98.................... 10.27 0.51 (a) 0.63 (a) 1.14 (0.51) (0.01)
01/13/97-03/31/97........... 10.40 0.11 (0.12) (0.01) (0.12) 0.00
</TABLE>
64 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Financial Highlights
A, B and C Classes Distributions Distributions
From Net in Excess of Tax Basis Net Asset
Selected Per Share Data Realized Net Realized Return of Total Value End of
for the Period Ended: Capital Gains Capital Gains Capital Distributions Period Total Return
<S> <C> <C> <C> <C> <C> <C>
Long-Term U.S. Government Fund
Class A
03/31/98....................... $ (0.06) $ 0.00 $ 0.00 $ (0.64) $ 10.57 19.78%
01/20/97-03/31/97.............. 0.00 0.00 0.00 (0.13) 9.39 (1.72)
Class B
03/31/98....................... (0.06) 0.00 0.00 (0.56) 10.57 18.85
01/20/97-03/31/97.............. 0.00 0.00 0.00 (0.10) 9.39 (1.92)
Class C
03/31/98....................... (0.06) 0.00 0.00 (0.56) 10.57 18.86
01/20/97-03/31/97.............. 0.00 0.00 0.00 (0.10) 9.39 (1.83)
Foreign Bond Fund
Class A
03/31/98....................... $ (0.31) $ 0.00 $ 0.00 $ (0.90) $ 10.74 12.14%
01/20/97-03/31/97.............. 0.00 0.00 0.00 (0.05) 10.41 (1.21)
Class B
03/31/98....................... (0.31) 0.00 0.00 (0.81) 10.74 11.29
01/20/97-03/31/97.............. 0.00 0.00 0.00 (0.04) 10.41 (1.34)
Class C
03/31/98....................... (0.31) 0.00 0.00 (0.81) 10.74 11.29
01/20/97-03/31/97.............. 0.00 0.00 0.00 (0.04) 10.41 (1.32)
Global Bond Fund II
Class A
03/31/98....................... $ (1.53) $ 0.00 $ 0.00 $ (2.07) $ 9.92 11.21%
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
03/31/98....................... (1.53) 0.00 0.00 (1.99) 9.92 10.39
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
03/31/98....................... (1.53) 0.00 0.00 (1.99) 9.92 10.39
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
07/31/97-03/31/98.............. $ (0.15) $ 0.00 $ 0.00 $ (0.59) $ 9.67 2.84%
Class B
07/31/97-03/31/98.............. (0.15) 0.00 0.00 (0.53) 9.67 2.29
Class C
07/31/97-03/31/98.............. (0.15) 0.00 0.00 (0.53) 9.67 2.29
High Yield Fund
Class A
03/31/98....................... $ 0.00 $ (0.09) $ 0.00 $ (1.03) $ 11.66 14.80%
01/13/97-03/31/97.............. 0.00 0.00 0.00 (0.20) 11.10 1.06
Class B
03/31/98....................... 0.00 (0.09) 0.00 (0.94) 11.66 13.94
01/13/97-03/31/97.............. 0.00 0.00 0.00 (0.18) 11.10 0.86
Class C
03/31/98....................... 0.00 (0.09) 0.00 (0.94) 11.66 13.95
01/13/97-03/31/97.............. 0.00 0.00 0.00 (0.18) 11.10 0.88
Total Return Fund
Class A
03/31/98....................... $ (0.27) $ 0.00 $ 0.00 $ (0.86) $ 10.62 12.11%
01/13/97-03/31/97.............. 0.00 0.00 0.00 (0.13) 10.27 0.02
Class B
03/31/98....................... (0.27) 0.00 0.00 (0.78) 10.62 11.26
01/13/97-03/31/97.............. 0.00 0.00 0.00 (0.12) 10.27 (0.10)
Class C
03/31/98....................... (0.27) 0.00 0.00 (0.79) 10.62 11.28
01/13/97-03/31/97.............. 0.00 0.00 0.00 (0.12) 10.27 (0.11)
<CAPTION>
Financial Highlights
Ratio of Net
A, B and C Classes Ratio of Investment
Expenses to Income to
Selected Per Share Data Net Assets End Average Net Average Net Portfolio
for the Period Ended: of Period (000s) Assets Assets Turnover Rate
<S> <C> <C> <C> <C>
Long-Term U.S. Government Fund
Class A
03/31/98...................... $ 6,161 0.91% 4.49% 177%
01/20/97-03/31/97............. 1,204 1.12+ 6.91+ 402
Class B
03/31/98...................... 7,516 1.66 4.64 177
01/20/97-03/31/97............. 454 1.87+ 4.95+ 402
Class C
03/31/98...................... 7,258 1.66 4.64 177
01/20/97-03/31/97............. 275 1.88+ 5.52+ 402
Foreign Bond Fund
Class A
03/31/98...................... $ 9,582 0.95% 5.88% 280%
01/20/97-03/31/97............. 704 0.97+ 4.95+ 984
Class B
03/31/98...................... 10,631 1.70 5.13 280
01/20/97-03/31/97............. 1,221 1.75+ 3.73+ 984
Class C
03/31/98...................... 17,080 1.70 5.13 280
01/20/97-03/31/97............. 1,788 1.76+ 4.09+ 984
Global Bond Fund II
Class A
03/31/98...................... $ 6,816 0.95% 5.88% 369%
10/01/96-03/31/97............. 7,652 2.05+ 5.60+ 307
09/30/96...................... 7,360 1.27 (c) 4.88 (d) 1,246
Class B
03/31/98...................... 4,473 1.70 5.12 369
10/01/96-03/31/97............. 3,925 2.57+ 4.22+ 307
09/30/96...................... 3,240 2.49 (c) 4.09 (d) 1,246
Class C
03/31/98...................... 6,096 1.70 5.12 369
10/01/96-03/31/97............. 5,323 2.43+ 4.14+ 307
09/30/96...................... 3,459 2.49 (c) 4.09 (d) 1,246
Emerging Markets Bond Fund
Class A
07/31/97-03/31/98............. $ 317 1.26%+ 6.93%+ 695%
Class B
07/31/97-03/31/98............. 304 2.01+ 6.33+ 695
Class C
07/31/97-03/31/98............. 136 2.01+ 6.11+ 695
High Yield Fund
Class A
03/31/98...................... $ 70,858 0.90% 8.02% 37%
01/13/97-03/31/97............. 28,873 0.92+ 8.28+ 67
Class B
03/31/98...................... 156,099 1.65 7.27 37
01/13/97-03/31/97............. 60,269 1.67+ 7.52+ 67
Class C
03/31/98...................... 284,836 1.65 7.36 37
01/13/97-03/31/97............. 205,297 1.68+ 7.56+ 67
Total Return Fund
Class A
03/31/98...................... $ 533,893 0.90% 5.46% 206%
01/13/97-03/31/97............. 115,742 0.91+ 6.08+ 173
Class B
03/31/98...................... 186,932 1.65 4.74 206
01/13/97-03/31/97............. 74,130 1.67+ 5.28+ 173
Class C
03/31/98...................... 405,037 1.65 4.83 206
01/13/97-03/31/97............. 329,104 1.67+ 5.32+ 173
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Reflects voluntary waiver of investment advisory fee of $12,041 (.01
per share) by the Advisor.
(c) The Ratio of Expenses to Average Net Assets without the waiver would have
been 1.57%.
(d) The Ratio of Net Investment Income to Average Net Assets without the waiver
would have been 4.58%.
See accompanying notes 65
<PAGE>
Financial Highlights
A, B and C Classes (Cont.)
<TABLE>
<CAPTION>
Net Asset Net Realized Total Income Dividends Dividends in Distributions
Selected Per Share Data Value Net and Unrealized From From Net Excess of Net From Net
for the Period Ended: Beginning Investment Gain (Loss) on Investment Investment Investment Realized
of Period Income (Loss) Investments Operations Income Income Capital Gains
----------- ------------- -------------- ------------ ---------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Real Return Bond Fund
Class A
03/31/98............... $ 9.93 $ 0.40 (a) $ 0.03 (a) $ 0.43 $ (0.42) $ (0.03) $ (0.14)
01/29/97-03/31/97...... 10.00 0.11 (a) (0.10) (a) 0.01 (0.08) 0.00 0.00
Class B
03/31/98............... 9.93 0.33 (a) 0.03 (a) 0.36 (0.36) (0.02) (0.14)
01/29/97-03/31/97...... 10.00 0.09 (0.10) (0.01) (0.06) 0.00 0.00
Class C
03/31/98............... 9.93 0.35 (a) 0.04 (a) 0.39 (0.38) (0.03) (0.14)
01/29/97-03/31/97...... 10.00 0.09 (0.10) (0.01) (0.06) 0.00 0.00
Low Duration Fund
Class A
03/31/98............... $ 9.98 $ 0.60 (a) $ 0.23 (a) $ 0.83 $ (0.58) $ (0.02) $ (0.03)
01/13/97-03/31/97...... 10.02 0.12 (0.03) 0.09 (0.12) (0.01) 0.00
Class B
03/31/98............... 9.98 0.53 (a) 0.22 (a) 0.75 (0.50) (0.02) (0.03)
01/13/97-03/31/97...... 10.02 0.10 (0.03) 0.07 (0.11) 0.00 0.00
Class C
03/31/98............... 9.98 0.55 (a) 0.23 (a) 0.78 (0.53) (0.02) (0.03)
01/13/97-03/31/97...... 10.02 0.11 (0.03) 0.08 (0.11) (0.01) 0.00
Short-Term Fund
Class A
03/31/98............... $ 10.00 $ 0.55 (a) $ 0.09 (a) $ 0.64 $ (0.56) $ (0.01) $ (0.01)
01/20/97-03/31/97...... 10.04 0.10 (0.03) 0.07 (0.10) (0.01) 0.00
Class B
03/31/98............... 10.00 0.50 (a) 0.08 (a) 0.58 (0.50) (0.01) (0.01)
01/20/97-03/31/97...... 10.04 0.09 (0.03) 0.06 (0.10) 0.00 0.00
Class C
03/31/98............... 10.00 0.54 (a) 0.07 (a) 0.61 (0.53) (0.01) (0.01)
01/20/97-03/31/97...... 10.04 0.09 (0.03) 0.06 (0.10) 0.00 0.00
Money Market Fund
Class A
03/31/98............... $ 1.00 $ 0.05 (a) $ 0.00 (a) $ 0.05 $ (0.05) $ 0.00 $ 0.00
01/13/97-03/31/97...... 1.00 0.01 0.00 0.01 (0.01) 0.00 0.00
Class B
03/31/98............... 1.00 0.04 (a) 0.00 (a) 0.04 (0.04) 0.00 0.00
01/13/97-03/31/97...... 1.00 0.01 0.00 0.01 (0.01) 0.00 0.00
Class C
03/31/98............... 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00 0.00
01/13/97-03/31/97...... 1.00 0.01 0.00 0.01 (0.01) 0.00 0.00
StocksPLUS Fund
Class A
03/31/98............... $ 11.46 $ 1.66 (a) $ 3.41 (a) $ 5.07 $ (1.38) $ 0.00 $ (1.09)
01/20/97-03/31/97...... 11.91 (0.10) (0.20) (0.30) (0.15) 0.00 0.00
Class B
03/31/98............... 11.44 1.61 (a) 3.35 (a) 4.96 (1.30) 0.00 (1.09)
01/20/97-03/31/97...... 11.91 (0.13) (0.20) (0.33) (0.14) 0.00 0.00
Class C
03/31/98............... 11.45 1.64 (a) 3.35 (a) 4.99 (1.32) 0.00 (1.09)
01/20/97-03/31/97...... 11.91 (0.12)(a) (0.20)(a) (0.32) (0.14) 0.00 0.00
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
66 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Net Ratio of Net
Distributions Net Asset Assets Ratio of Investment
in Excess of Tax Basis Value End of Expenses to Income to
Net Realized Return of Total End of Total Period Average Net Average Net
Capital Gains Capital Distributions Period Return (000s) Assets Assets
------------- --------- ------------- --------- ------ ------ ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Real Return Bond Fund
Class A
03/31/98............... $ 0.00 $ 0.00 $ (0.59) $ 9.77 4.12% $ 370 0.92% 4.06%
01/29/97-03/31/97...... 0.00 0.00 (0.08) 9.93 0.15 1 0.90+ 6.14+
Class B
03/31/98............... 0.00 0.00 (0.52) 9.77 3.50 1,496 1.67 3.32
01/29/97-03/31/97...... 0.00 0.00 (0.06) 9.93 (0.08) 509 1.59+ 3.43+
Class C
03/31/98............... 0.00 0.00 (0.55) 9.77 3.73 490 1.42 3.56
01/29/97-03/31/97...... 0.00 0.00 (0.06) 9.93 (0.07) 148 1.62+ 5.13+
Low Duration Fund
Class A
03/31/98............... $ 0.00 $ 0.00 $ (0.63) $ 10.18 8.49% $109,531 0.90% 5.93%
01/13/97-03/31/97...... 0.00 0.00 (0.13) 9.98 0.85 59,348 0.91+ 5.84+
Class B
03/31/98............... 0.00 0.00 (0.55) 10.18 7.68 17,624 1.65 5.16
01/13/97-03/31/97...... 0.00 0.00 (0.11) 9.98 0.68 5,296 1.67+ 5.03+
Class C
03/31/98............... 0.00 0.00 (0.58) 10.18 8.01 68,766 1.40 5.46
01/13/97-03/31/97...... 0.00 0.00 (0.12) 9.98 0.75 63,606 1.42+ 5.36+
Short-Term Fund
Class A
03/31/98............... $ 0.00 $ 0.00 $ (0.58) $ 10.06 6.64% $ 24,182 0.85% 5.48%
01/20/97-03/31/97...... 0.00 0.00 (0.11) 10.00 0.66 2,533 0.86+ 5.07+
Class B
03/31/98............... 0.00 0.00 (0.52) 10.06 5.96 1,258 1.60 4.97
01/20/97-03/31/97...... 0.00 0.00 (0.10) 10.00 0.58 114 1.62+ 4.83+
Class C
03/31/98............... 0.00 0.00 (0.55) 10.06 6.33 6,763 1.15 5.33
01/20/97-03/31/97...... 0.00 0.00 (0.10) 10.00 0.63 1,359 1.14+ 4.78+
Money Market Fund
Class A
03/31/98............... $ 0.00 $ 0.00 $ (0.05) $ 1.00 5.10% $ 41,375 0.60% 5.02%
01/13/97-03/31/97...... 0.00 0.00 (0.01) 1.00 1.01 43,589 0.57+ 4.44+
Class B
03/31/98............... 0.00 0.00 (0.04) 1.00 4.21 2,937 1.50 4.15
01/13/97-03/31/97...... 0.00 0.00 (0.01) 1.00 0.83 3,143 1.41+ 3.62+
Class C
03/31/98............... 0.00 0.00 (0.05) 1.00 5.14 55,696 0.60 5.05
01/13/97-03/31/97...... 0.00 0.00 (0.01) 1.00 1.02 85,398 0.58+ 4.47+
StocksPLUS Fund
Class A
03/31/98............... $ 0.00 $ 0.00 $ (2.47) $ 14.06 47.07% $ 62,970 1.05% 13.34%
01/20/97-03/31/97...... 0.00 0.00 (0.15) 11.46 (2.59) 5,790 1.10+ (10.69)+
Class B
03/31/98............... 0.00 0.00 (2.39) 14.01 46.11 99,039 1.80 12.60
01/20/97-03/31/97...... 0.00 0.00 (0.14) 11.44 (2.81) 8,281 1.88+ (15.13)+
Class C
03/31/98............... 0.00 0.00 (2.41) 14.03 46.38 96,960 1.55 12.85
01/20/97-03/31/97...... 0.00 0.00 (0.14) 11.45 (2.71) 11,254 1.65+ (12.79)+
<CAPTION>
Portfolio
Turnover Rate
-------------
<S> <C>
Real Return Bond Fund
Class A
03/31/98............... 967%
01/29/97-03/31/97...... 160
Class B
03/31/98............... 967
01/29/97-03/31/97...... 160
Class C
03/31/98............... 967
01/29/97-03/31/97...... 160
Low Duration Fund
Class A
03/31/98............... 309%
01/13/97-03/31/97...... 240
Class B
03/31/98............... 309
01/13/97-03/31/97...... 240
Class C
03/31/98............... 309
01/13/97-03/31/97...... 240
Short-Term Fund
Class A
03/31/98............... 48%
01/20/97-03/31/97...... 77
Class B
03/31/98............... 48
01/20/97-03/31/97...... 77
Class C
03/31/98............... 48
01/20/97-03/31/97...... 77
Money Market Fund
Class A
03/31/98............... N/A
01/13/97-03/31/97...... N/A
Class B
03/31/98............... N/A
01/13/97-03/31/97...... N/A
Class C
03/31/98............... N/A
01/13/97-03/31/97...... N/A
StocksPLUS Fund
Class A
03/31/98............... 30%
01/20/97-03/31/97...... 47
Class B
03/31/98............... 30
01/20/97-03/31/97...... 47
Class C
03/31/98............... 30
01/20/97-03/31/97...... 47
</TABLE>
See accompanying notes 67
<PAGE>
Statement of Assets and Liabilities
March 31, 1998
Amounts in thousands, except per share amounts
<TABLE>
<CAPTION>
Emerging
Long-Term U.S. Global Bond Markets High
Gov't Fund Foreign Bond Fund Fund II Bond Fund Yield Fund
--------------- ----------------- ----------- --------- ------------
<S> <C> <C> <C> <C> <C>
Assets:
Investments, at value................................. $ 116,173 $ 673,178 $ 60,160 $ 5,241 $ 2,185,181
Cash and foreign currency............................. 23 1,867 224 203 1,050
Receivable for investments and foreign currency sold.. 10,385 61,321 5,813 105 14,279
Receivable for Fund shares sold....................... 350 3,709 3 0 6,513
Variation margin receivable........................... 0 193 63 0 0
Interest and dividends receivable..................... 1,307 8,378 523 56 36,500
Other assets.......................................... 0 0 3 2 0
128,238 748,646 66,789 5,607 2,243,523
Liabilities:
Payable for investments and foreign currency purchased $ 53,459 $ 316,688 $ 24,772 $ 1,166 $ 26,775
Written options outstanding........................... 0 0 0 0 0
Payable for Fund shares redeemed...................... 230 591 31 2 2,043
Dividends payable..................................... 49 413 10 2 2,557
Accrued investment advisor's fee...................... 16 89 8 2 457
Accrued administrator's fee........................... 18 95 11 2 520
Accrued distribution fee.............................. 9 17 7 0 287
Accrued servicing fee................................. 4 8 4 0 106
Variation margin payable.............................. 0 0 0 0 0
Other liabilities..................................... 14 939 44 0 118
53,799 318,840 24,887 1,174 32,863
Net Assets............................................ $ 74,439 $ 429,806 $ 41,902 $ 4,433 $ 2,210,660
Net Assets Consist of:
Paid in capital....................................... $ 72,038 $ 411,893 $ 42,190 $ 4,512 $ 2,193,777
Undistributed (overdistributed) net investment income. 488 20,944 141 27 (2,529)
Accumulated undistributed net realized gain (loss).... 461 (63) (12) (195) (56,082)
Net unrealized appreciation (depreciation)............ 1,452 (2,968) (417) 89 75,494
$ 74,439 $ 429,806 $ 41,902 $ 4,433 $ 2,210,660
Shares Issued and Outstanding:
Class A............................................... 583 892 688 34 6,077
Class B............................................... 711 990 449 31 13,388
Class C............................................... 686 1,591 616 14 24,429
Institutional Classes................................. 5,060 36,555 2,471 380 145,700
Net Asset Value and Redemption Price* Per Share
(Net Assets Per Share Outstanding):
Class A............................................... $ 10.57 $ 10.74 $ 9.92 $ 9.67 $ 11.66
Class B............................................... 10.57 10.74 9.92 9.67 11.66
Class C............................................... 10.57 10.74 9.92 9.67 11.66
Institutional Class................................... 10.57 10.74 9.92 9.67 11.66
Administrative Class.................................. 10.57 10.74 0 0 11.66
Cost of Investments Owned............................. $ 114,745 $ 681,526 $ 60,644 $ 5,155 $ 2,109,835
Cost of Foreign Currency Held......................... $ 0 $ 1,841 $ 218 $ 0 $ 0
</TABLE>
68 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Money
Total Return Real Return Low Duration Short-Term Market
Fund Bond Fund Fund Fund Fund
------------ ----------- ------------ ----------- --------
<S> <C> <C> <C> <C> <C>
Assets:
Investments, at value................................. $ 21,746,274 $ 13,958 $ 4,129,223 $ 213,036 $ 195,575
Cash and foreign currency............................. 40,257 2 826 142 201
Receivable for investments and foreign currency sold.. 2,523,370 17 108,405 231 0
Receivable for Fund shares sold....................... 222,430 1 6,790 1,911 20,803
Variation margin receivable........................... 24,440 0 481 4 0
Interest and dividends receivable..................... 176,822 43 22,254 2,021 6
Other assets.......................................... 6,179 7 1,823 117 0
24,739,772 14,028 4,269,802 217,462 216,585
Liabilities:
Payable for investments and foreign currency purchased $ 6,604,539 $ 6,082 $ 1,247,421 $ 5,059 $ 0
Written options outstanding........................... 1,459 55 0 0 0
Payable for Fund shares redeemed...................... 17,120 3 16,677 1,894 60,059
Dividends payable..................................... 15,275 1 2,736 221 306
Accrued investment advisor's fee...................... 3,713 2 647 44 19
Accrued administrator's fee........................... 2,877 2 502 39 40
Accrued distribution fee.............................. 463 1 43 3 2
Accrued servicing fee................................. 231 0 41 6 10
Variation margin payable.............................. 0 0 0 0 0
Other liabilities..................................... 2,384 0 97 0 57
6,648,061 6,146 1,268,164 7,266 60,493
Net Assets............................................ $ 18,091,711 $ 7,882 $ 3,001,638 $ 210,196 $ 156,092
Net Assets Consist of:
Paid in capital....................................... $ 17,814,558 $ 8,022 $ 2,975,977 $ 208,978 $ 156,072
Undistributed (overdistributed) net investment income. 111,760 (25) 736 741 20
Accumulated undistributed net realized gain (loss).... 40,149 6 (16) (85) 0
Net unrealized appreciation (depreciation)............ 125,244 (121) 24,941 562 0
$ 18,091,711 $ 7,882 $ 3,001,638 $ 210,196 $ 156,092
Shares Issued and Outstanding:
Class A............................................... 50,287 38 10,761 2,403 41,376
Class B............................................... 17,607 153 1,732 125 2,937
Class C............................................... 38,151 50 6,756 672 55,697
Institutional Classes................................. 1,597,980 566 275,659 17,689 56,085
Net Asset Value and Redemption Price* Per Share
(Net Assets Per Share Outstanding):
Class A............................................... $ 10.62 $ 9.77 $ 10.18 $ 10.06 $ 1.00
Class B............................................... 10.62 9.77 10.18 10.06 1.00
Class C............................................... 10.62 9.77 10.18 10.06 1.00
Institutional Class................................... 10.62 9.77 10.18 10.06 1.00
Administrative Class.................................. 10.62 0 10.18 10.06 1.00
Cost of Investments Owned............................. $ 21,634,433 $ 14,124 $ 4,106,489 $ 212,787 $ 195,575
Cost of Foreign Currency Held......................... $ 35,189 $ 0 $ 0 $ 56 $ 0
<CAPTION>
StocksPLUS Fund
---------------
<S> <C>
Assets:
Investments, at value................................. $ 664,637
Cash and foreign currency............................. 1,629
Receivable for investments and foreign currency sold.. 1,231
Receivable for Fund shares sold....................... 4,608
Variation margin receivable........................... 2,460
Interest and dividends receivable..................... 9,818
Other assets.......................................... 200
684,583
Liabilities:
Payable for investments and foreign currency purchased $ 5,139
Written options outstanding........................... 0
Payable for Fund shares redeemed...................... 1,062
Dividends payable..................................... 133
Accrued investment advisor's fee...................... 220
Accrued administrator's fee........................... 168
Accrued distribution fee.............................. 96
Accrued servicing fee................................. 51
Variation margin payable.............................. 0
Other liabilities..................................... 2
6,871
Net Assets............................................ $ 677,712
Net Assets Consist of:
Paid in capital....................................... $ 591,465
Undistributed (overdistributed) net investment income. 43,808
Accumulated undistributed net realized gain (loss).... 31,583
Net unrealized appreciation (depreciation)............ 10,856
$ 677,712
Shares Issued and Outstanding:
Class A............................................... 4,478
Class B............................................... 7,068
Class C............................................... 6,909
Institutional Classes................................. 29,716
Net Asset Value and Redemption Price* Per Share
(Net Assets Per Share Outstanding):
Class A............................................... $ 14.06
Class B............................................... 14.01
Class C............................................... 14.03
Institutional Class................................... 14.09
Administrative Class.................................. 14.06
Cost of Investments Owned............................. $ 664,639
Cost of Foreign Currency Held......................... $ 1,612
</TABLE>
*With respect to the Retail Classes, the redemption price varies by the length
of time the shares are held.
See accompanying notes 69
<PAGE>
Statement of Operations
For the year or period ended March 31, 1998
<TABLE>
<CAPTION>
Amounts in thousands Long-Term Foreign Global Emerging
U.S. Bond Bond Markets
Gov't Fund Fund Fund II Bond Fund
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Investment Income:
Interest...................................................................... $ 2,634 $ 22,152 $ 1,383 $ 207
Dividends..................................................................... 0 0 0 0
Total Income............................................................... 2,634 22,152 1,383 207
Expenses:
Investment advisory fees...................................................... 117 812 50 11
Administration fees........................................................... 130 850 88 11
Distribution fees-Class B..................................................... 21 43 32 1
Distribution fees-Class C..................................................... 20 68 43 1
Servicing fees-Class A........................................................ 8 10 21 0
Servicing fees-Class B........................................................ 7 15 11 0
Servicing fees-Class C........................................................ 7 23 14 0
Distribution fees-Administrative Class........................................ 5 1 0 0
Trustees' fees................................................................ 0 4 0 0
Reorganization costs.......................................................... 0 0 0 0
Custodian and transfer agent fees............................................. 0 0 0 0
Registration fees............................................................. 0 0 0 0
Miscellaneous................................................................. 7 0 0 0
Total Expenses............................................................. 322 1,826 259 24
Net Investment Income (Loss).................................................. 2,312 20,326 1,124 183
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments....................................... 2,751 (124) 487 (170)
Net realized gain (loss) on futures contracts and written options............. 522 767 263 22
Net realized gain (loss) on foreign currency transactions..................... 0 19,408 502 40
Net change in unrealized appreciation (depreciation) on investments........... 1,824 (2,815) (196) 87
Net change in unrealized appreciation (depreciation) on futures
contracts and written options.............................................. 36 462 83 1
Net change in unrealized appreciation (depreciation) on translation
of assets and liabilities denominated in foreign currencies................ 0 348 (65) 1
Net Gain (Loss)............................................................... 5,133 18,046 1,074 (19)
Net Increase (Decrease) in Assets Resulting from Operations................... $ 7,445 $ 38,372 $ 2,198 $ 164
</TABLE>
70 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Low
High Total Real Return Duration
Yield Fund Return Fund Bond Fund Fund
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Investment Income:
Interest...................................................................... $ 126,284 $ 993,323 $ 376 $ 202,520
Dividends..................................................................... 6,121 1,329 0 0
Total Income............................................................... 132,405 994,652 376 202,520
Expenses:
Investment advisory fees...................................................... 3,671 38,328 19 7,416
Administration fees........................................................... 4,258 29,220 22 5,666
Distribution fees-Class B..................................................... 760 865 7 72
Distribution fees-Class C..................................................... 1,812 2,633 3 308
Servicing fees-Class A........................................................ 122 679 1 193
Servicing fees-Class B........................................................ 253 288 3 24
Servicing fees-Class C........................................................ 604 878 1 153
Distribution fees-Administrative Class........................................ 60 692 0 73
Trustees' fees................................................................ 17 185 0 37
Reorganization costs.......................................................... 0 0 0 0
Custodian and transfer agent fees............................................. 0 0 0 0
Registration fees............................................................. 0 0 0 0
Miscellaneous................................................................. 10 176 3 42
Total Expenses............................................................. 11,567 73,944 59 13,984
Net Investment Income (Loss).................................................. 120,838 920,708 317 188,536
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments....................................... 17,622 156,245 24 19,479
Net realized gain (loss) on futures contracts and written options............. 0 455,420 (3) 3,387
Net realized gain (loss) on foreign currency transactions..................... 0 32,489 31 2,558
Net change in unrealized appreciation (depreciation) on investments........... 53,329 158,814 (53) 43,345
Net change in unrealized appreciation (depreciation) on futures
contracts and written options.............................................. 0 35,424 33 (3,327)
Net change in unrealized appreciation (depreciation) on translation
of assets and liabilities denominated in foreign currencies................ 0 2,015 (1) (1,195)
Net Gain (Loss)............................................................... 70,951 840,407 31 64,247
Net Increase (Decrease) in Assets Resulting from Operations................... $ 191,789 $1,761,115 $ 348 $ 252,783
<CAPTION>
Short-Term Money StocksPLUS
Fund Market Fund Fund
----------- ----------- -----------
<S> <C> <C> <C>
Investment Income:
Interest...................................................................... $ 12,824 $ 7,811 $ 69,130
Dividends..................................................................... 0 0 0
Total Income............................................................... 12,824 7,811 69,130
Expenses:
Investment advisory fees...................................................... 487 205 1,919
Administration fees........................................................... 411 424 1,393
Distribution fees-Class B..................................................... 6 21 335
Distribution fees-Class C..................................................... 12 0 251
Servicing fees-Class A........................................................ 23 38 84
Servicing fees-Class B........................................................ 2 7 112
Servicing fees-Class C........................................................ 10 59 126
Distribution fees-Administrative Class........................................ 10 1 3
Trustees' fees................................................................ 2 2 5
Reorganization costs.......................................................... 0 0 0
Custodian and transfer agent fees............................................. 0 0 0
Registration fees............................................................. 0 0 0
Miscellaneous................................................................. 0 2 4
Total Expenses............................................................. 963 759 4,232
Net Investment Income (Loss).................................................. 11,861 7,052 64,898
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments....................................... 96 0 522
Net realized gain (loss) on futures contracts and written options............. 30 0 83,632
Net realized gain (loss) on foreign currency transactions..................... 796 0 1,469
Net change in unrealized appreciation (depreciation) on investments........... 490 0 (112)
Net change in unrealized appreciation (depreciation) on futures
contracts and written options.............................................. 17 0 21,478
Net change in unrealized appreciation (depreciation) on translation
of assets and liabilities denominated in foreign currencies................ (52) 0 (67)
Net Gain (Loss)............................................................... 1,377 0 106,922
Net Increase (Decrease) in Assets Resulting from Operations................... $ 13,238 $ 7,052 $ 171,820
</TABLE>
See accompanying notes 71
<PAGE>
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
Amounts in thousands Long-Term U.S. Gov't Fund Foreign Bond Fund Global Bond Fund II
------------------------- ------------------------- -------------------------
Six Months
Year Ended Year Ended Year Ended Year Ended Year Ended Ended
Increase (Decrease) March 31, March 31, March 31, March 31, March 31, March 31,
in Net Assets from: 1998 1997 1998 1997 1998 1997 (a)
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income........................... $ 2,312 $ 1,963 $ 20,326 $ 17,013 $ 1,124 $ 388
Net realized gain (loss)........................ 3,273 (431) 20,051 25,654 1,252 816
Net change in unrealized
appreciation (depreciation).................. 1,860 (602) (2,005) (7,478) (178) (575)
Net increase (decrease) resulting
from operations.............................. 7,445 930 38,372 35,189 2,198 629
Distributions to Shareholders:
From net investment income
Class A....................................... (183) (10) (249) (1) (411) (151)
Class B....................................... (133) (2) (311) (2) (182) (56)
Class C....................................... (127) (1) (485) (3) (240) (69)
Institutional Classes......................... (2,308) (1,773) (18,761) (7,980) (100) 0
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......................... (1) 0 0 0 0 0
From net realized capital gains
Class A....................................... (27) 0 (161) 0 (856) (302)
Class B....................................... (25) 0 (238) 0 (598) (133)
Class C....................................... (26) 0 (362) 0 (783) (165)
Institutional Classes......................... (239) 0 (9,712) (24,345) 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 (693) 0 0 0 0
Tax basis return of capital
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............................. (3,069) (2,479) (30,279) (32,331) (3,170) (876)
Fund Share Transactions:
Receipts for shares sold
Class A....................................... 6,175 1,237 9,138 715 5,409 1,518
Class B....................................... 8,001 469 9,586 1,236 1,255 778
Class C....................................... 8,501 281 15,595 1,809 1,717 1,967
Institutional Classes......................... 53,037 6,985 230,423 155,533 24,247 0
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
Class A....................................... 116 1 373 1 1,055 171
Class B....................................... 121 1 455 2 578 138
Class C....................................... 116 1 771 3 942 215
Institutional Classes......................... 2,095 2,113 21,446 23,548 100 0
Cost of shares redeemed
Class A....................................... (1,612) 0 (703) (6) (6,982) (1,285)
Class B....................................... (1,248) 0 (702) 0 (940) (178)
Class C....................................... (1,794) (1) (1,194) (2) (1,407) (236)
Institutional Classes......................... (25,373) (20,121) (102,098) (205,567) 0 0
Net increase (decrease) resulting from
Fund share transactions...................... 48,135 (9,034) 183,090 (22,728) 25,974 3,088
Total Increase (Decrease) in Net Assets......... 52,511 (10,583) 191,183 (19,870) 25,002 2,841
Net Assets:
Beginning of period............................. 21,928 32,511 238,623 258,493 16,900 14,059
End of period *................................. $ 74,439 $ 21,928 $ 429,806 $ 238,623 $ 41,902 $ 16,900
*Including net undistributed (overdistributed)
investment income of:........................ $ 488 $ 438 $ 20,944 $ 12,308 $ 141 $ 701
<CAPTION>
Emerging
Markets
Bond Fund High Yield Fund
---------------- ---------------------------
Period From Year Ended Year Ended
July 31, 1997 to March 31, March 31,
March 31, 1998 1998 1997
<S> <C> <C> <C>
Operations:
Net investment income........................... $ 183 $ 120,838 $ 68,899
Net realized gain (loss)........................ (108) 17,622 15,566
Net change in unrealized
appreciation (depreciation).................. 89 53,329 1,240
Net increase (decrease) resulting
from operations.............................. 164 191,789 85,705
Distributions to Shareholders:
From net investment income
Class A....................................... (9) (3,926) (502)
Class B....................................... (6) (7,402) (820)
Class C....................................... (4) (17,859) (3,086)
Institutional Classes......................... (165) (92,108) (64,509)
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 0 0
Class B....................................... 0 0 0
Class C....................................... 0 0 0
Institutional Classes......................... 0 0 (9,254)
In excess of net realized capital gains
Class A....................................... (3) (500) 0
Class B....................................... (4) (944) 0
Class C....................................... (2) (1,935) 0
Institutional Classes......................... (51) (8,860) 0
Tax basis return of capital
Class A....................................... 0 0 0
Class B....................................... 0 0 0
Class C....................................... 0 0 0
Institutional Classes......................... 0 0 0
Total Distributions............................. (244) (133,534) (78,171)
Fund Share Transactions:
Receipts for shares sold
Class A....................................... 353 64,633 5,390
Class B....................................... 294 101,900 12,160
Class C....................................... 132 131,535 15,420
Institutional Classes......................... 3,907 1,055,297 428,723
Issued in reorganization
Class A....................................... 0 0 29,527
Class B....................................... 0 0 49,852
Class C....................................... 0 0 204,339
Issued as reinvestment of distributions
Class A....................................... 9 2,723 271
Class B....................................... 7 4,397 412
Class C....................................... 6 12,300 1,819
Institutional Classes......................... 212 92,015 70,223
Cost of shares redeemed
Class A....................................... (54) (27,260) (6,044)
Class B....................................... 0 (14,335) (1,524)
Class C....................................... (3) (75,236) (14,308)
Institutional Classes......................... (350) (244,929) (292,419)
Net increase (decrease) resulting from
Fund share transactions...................... 4,513 1,103,040 503,841
Total Increase (Decrease) in Net Assets......... 4,433 1,161,295 511,375
Net Assets:
Beginning of period............................. 0 1,049,365 537,990
End of period *................................. $ 4,433 $ 2,210,660 $ 1,049,365
*Including net undistributed (overdistributed)
investment income of:........................ $ 27 $ (2,529) $ 1,003
</TABLE>
(a) Formerly the Global Income Fund of the PIMCO Advisors Funds.
72 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Total Return Fund Real Return Bond Fund Low Duration Fund
---------------------------- ------------------------ -------------------------
Year Ended Year Ended Year Ended Period From Year Ended Year Ended
March 31, March 31, March 31, January 29, March 31, March 31,
1998 1997 1998 1997 to 1998 1997
March 31, 1997
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income........................... $ 920,708 $ 770,314 $ 317 $ 63 $ 188,536 $ 177,362
Net realized gain (loss)........................ 644,154 (57,928) 52 1 25,424 1,645
Net change in unrealized
appreciation (depreciation).................. 196,253 15,459 (21) (67) 38,823 4,354
Net increase (decrease) resulting
from operations.............................. 1,761,115 727,845 348 (3) 252,783 183,361
Distributions to Shareholders:
From net investment income
Class A....................................... (14,462) (1,116) (18) 0 (4,396) (618)
Class B....................................... (5,314) (717) (32) (1) (474) (48)
Class C....................................... (16,492) (3,419) (21) 0 (3,236) (636)
Institutional Classes......................... (859,162) (746,270) (248) (45) (173,398) (170,941)
In excess of net investment income
Class A....................................... (397) (28) (1) 0 (154) (18)
Class B....................................... (146) (18) (2) 0 (16) (1)
Class C....................................... (453) (85) (2) 0 (113) (19)
Institutional Classes......................... (23,600) (18,643) (18) 0 (6,077) (5,089)
From net realized capital gains
Class A....................................... (8,102) 0 (6) 0 (280) 0
Class B....................................... (3,479) 0 (14) 0 (34) 0
Class C....................................... (9,011) 0 (11) 0 (182) 0
Institutional Classes......................... (383,580) 0 (68) 0 (7,963) 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
Tax basis return of capital
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............................. (1,324,198) (770,296) (441) (46) (196,323) (177,370)
Fund Share Transactions:
Receipts for shares sold
Class A....................................... 460,620 35,013 1,170 0 351,735 21,468
Class B....................................... 119,773 10,459 1,292 514 17,368 1,783
Class C....................................... 149,964 13,775 1,136 149 58,311 15,897
Institutional Classes......................... 6,481,902 3,842,343 4,626 5,636 1,500,985 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....................................... 21,051 900 24 0 4,564 615
Class B....................................... 6,517 513 34 1 384 33
Class C....................................... 18,558 2,316 33 0 2,754 495
Institutional Classes......................... 1,055,758 614,904 333 45 156,993 150,514
Cost of shares redeemed
Class A....................................... (65,456) (8,458) (818) 0 (307,185) (16,266)
Class B....................................... (15,356) (2,564) (323) 0 (5,522) (1,047)
Class C....................................... (102,973) (23,590) (812) 0 (57,029) (14,179)
Institutional Classes......................... (3,674,270) (2,096,015) (5,016) 0 (1,726,995) (1,434,149)
Net increase (decrease) resulting from
Fund share transactions...................... 4,456,088 2,888,934 1,679 6,345 (3,637) 262,714
Total Increase (Decrease) in Net Assets......... 4,893,005 2,846,483 1,586 6,296 52,823 268,705
Net Assets:
Beginning of period............................. 3,198,706 10,352,223 6,296 0 2,948,815 2,680,110
End of period *................................. $ 8,091,711 $ 13,198,706 $ 7,882 $ 6,296 $ 3,001,638 $ 2,948,815
*Including net undistributed (overdistributed)
investment income of:........................ $ 111,760 $ (25,279) $ (25) $ 19 $ 736 $ (7,032)
<CAPTION>
Short-Term Fund Money Market Fund StocksPLUS Fund
-------------------------- ------------------------- --------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
March 31, March 31, March 31, March 31, March 31, March 31,
1998 1997 1998 1997 1998 1997
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income........................... $ 11,861 $ 7,616 $ 7,052 $ 2,257 $ 64,898 $ 22,028
Net realized gain (loss)........................ 922 282 0 0 85,623 19,189
Net change in unrealized
appreciation (depreciation).................. 455 620 0 0 21,299 (10,645)
Net increase (decrease) resulting
from operations.............................. 13,238 8,518 7,052 2,257 171,820 30,572
Distributions to Shareholders:
From net investment income
Class A....................................... (498) (10) (1,970) (263) (4,008) (70)
Class B....................................... (37) (1) (115) (16) (5,278) (93)
Class C....................................... (216) (4) (3,020) (617) (5,834) (161)
Institutional Classes......................... (10,902) (7,441) (1,947) (1,361) (35,403) (21,960)
In excess of net investment income
Class A....................................... (9) 0 (1) 0 0 0
Class B....................................... (1) 0 0 0 0 0
Class C....................................... (3) 0 (1) 0 0 0
Institutional Classes......................... (196) (161) (1) 0 0 0
From net realized capital gains
Class A....................................... (15) 0 0 0 (3,306) 0
Class B....................................... (1) 0 0 0 (4,591) 0
Class C....................................... (9) 0 0 0 (4,963) 0
Institutional Classes......................... (258) 0 0 0 (25,779) (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
Tax basis return of capital
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............................. (12,145) (7,617) (7,055) (2,257) (89,162) (31,077)
Fund Share Transactions:
Receipts for shares sold
Class A....................................... 38,492 4,435 1,983,452 303,692 70,046 6,245
Class B....................................... 6,129 197 14,945 3,657 81,066 8,743
Class C....................................... 9,964 1,403 1,189,852 262,815 82,851 15,506
Institutional Classes......................... 315,947 188,897 128,183 48,825 227,214 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 reinvested of distributions
Class A....................................... 474 5 1,226 192 6,748 64
Class B....................................... 14 1 94 15 9,234 86
Class C....................................... 193 4 2,314 605 10,335 156
Institutional Classes......................... 9,124 6,258 1,423 1,078 54,528 28,068
Cost of shares redeemed
Class A....................................... (17,369) (1,898) (1,986,890) (274,948) (23,650) (182)
Class B....................................... (4,998) (83) (15,245) (3,028) (5,397) (33)
Class C....................................... (4,767) (44) (1,221,867) (230,072) (14,121) (3,565)
Institutional Classes......................... (309,134) (140,838) (97,031) (52,339) (165,636) (36,518)
Net increase (decrease) resulting from
Fund share transactions...................... 44,069 58,337 456 129,694 333,218 110,472
Total Increase (Decrease) in Net Assets......... 45,162 59,238 453 129,694 415,876 109,967
Net Assets:
Beginning of period............................. 165,034 105,796 155,639 25,945 261,836 151,869
End of period *................................. $ 210,196 $ 165,034 $ 156,092 $ 155,639 $ 677,712 $ 261,836
*Including net undistributed (overdistributed)
investment income of:........................ $ 741 $ (208) $ 20 $ 0 $ 43,808 $ 2,028
</TABLE>
See accompanying notes 73
<PAGE>
Statement of Cash Flows
For the year or period ended March 31, 1998
<TABLE>
<CAPTION>
Amounts in thousands Long-Term U.S. Global Bond
Government Fund Foreign Bond Fund Fund II Real Return Fund
---------------- ------------------ ------------ ----------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Cash and Foreign Currency from:
Financing Activities
Sales of Fund shares...................................... $ 75,371 $ 262,712 $ 32,648 $ 8,260
Redemptions of Fund shares................................ (29,799) (104,424) (9,327) (6,966)
Distributions paid........................................ (584) (6,293) (500) (16)
Proceeds from financing transactions...................... 25,250 197,159 9,698 6,014
Net increase (decrease) from financing activities......... 70,238 349,154 32,519 7,292
Operating Activities
Purchases of long-term securities and foreign currency.... (159,413) (1,563,581) (129,780) (112,985)
Proceeds from sales of long-term securities and foreign
currency................................................ 92,209 1,319,344 113,901 101,095
Net (purchases)/sales of short-term securities............ (4,291) (123,948) (17,608) 4,257
Net investment income..................................... 2,312 20,326 1,124 317
Change in other assets and liabilities (net).............. (1,037) (308) (2) 25
Net increase (decrease) from operating activities......... (70,220) (348,167) (32,365) (7,291)
Net Increase in Cash and Foreign Currency................. 18 987 154 1
Cash and Foreign Currency
Beginning of period....................................... 5 880 70 1
End of period............................................. $ 23 $ 1,867 $ 224 $ 2
</TABLE>
74 See accompanying notes
<PAGE>
Notes to Financial Statements
March 31, 1998
1. Organization
PIMCO Funds: Pacific Investment Management Series (the "Trust") was established
as a Massachusetts business trust on February 19, 1987. The Trust is registered
under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end
investment management company. The Trust currently consists of 25 separate
investment funds (the "Funds"). The Trust may offer up to six classes of shares
for certain Funds. Each share class has identical voting rights (except that
shareholders of a class have exclusive voting rights regarding any matter
relating solely to that class of shares). Financial statements 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, Municipal Bond 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 March 31, 1998. As used
in the financial statements, "Institutional Classes" refers to the Institutional
and Administrative Classes and "Retail Classes" refers to the A, B, C, and D
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 asked quotations obtained from a quotation
reporting system or from established market makers. Fixed income securities,
including those to be purchased under firm commitment agreements, are normally
valued on the basis of quotes obtained from brokers and dealers or pricing
services. Short-term investments which mature in 60 days or less are valued at
amortized cost, which approximates market value. Certain fixed income securities
for which daily market quotations are not readily available may be valued,
pursuant to guidelines established by the Board of Trustees, with reference to
fixed income securities whose prices are more readily obtainable.
Securities Transactions and Investment Income. Securities transactions are
recorded as of the trade date. Securities purchased or sold on a when-issued or
delayed delivery basis may be settled a month or more after the trade date.
Realized gains and losses from securities sold are recorded on the identified
cost basis. Dividend income is recorded on the ex-dividend date, 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.
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 realized capital gains
earned by a Fund, if any, will be distributed no less frequently than once each
year.
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 dividends and distributions.
Foreign Currency. Foreign currencies, investments, and other assets and
liabilities are translated into U.S. dollars at the exchange rates prevailing at
the end of the period. Fluctuations in the value of these assets and liabilities
resulting from changes in exchange rates are recorded as unrealized foreign
currency gains (losses). Realized gains (losses) and unrealized appreciation
(depreciation) on investment securities and income and expenses are translated
on the respective dates of such transactions. The effect of changes in foreign
currency exchange rates on investments in securities are not segregated in the
Statements of Operations from the effects of changes in market prices of those
securities, but are included with the net realized and unrealized gain or loss
on investment securities.
Multiclass Operations. Each class offered by the Trust has equal rights as to
assets. 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.
75
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1998
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.
Financing Transactions. A Fund may enter into financing transactions consisting
of the sale by the Fund of securities, together with a commitment to repurchase
similar securities at a future date. The difference between the selling price
and the future purchase price is an adjustment to interest income. 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
the amounts of $35,777,922, $284,512,443, $22,596,434, $610,266,695, $6,014,338,
$985,680 and $139,408 for the Long-Term U.S. Government, Foreign Bond, Global
Bond II, Total Return, Real Return Bond, Low Duration and StocksPLUS Funds,
respectively, related to these financing transactions.
Futures and Options. Certain Funds are authorized to enter into futures
contracts and options. A Fund may use futures contracts and options to manage
its exposure to the securities markets or to movements in interest rates and
currency values. 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 counterparty 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 counterparties to meet the terms of their contracts and from
unanticipated movements in the value of a foreign currency relative to the U.S.
dollar.
Stripped Mortgage Backed Securities (SMBS). 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 is highly
sensitive to changes in interest rates.
Swaps. Certain Funds are authorized to enter into interest rate, total return
and currency exchange swap agreements in order to obtain a desired return at a
lower cost than if the Fund had invested directly in the asset that yielded the
desired return. Swaps involve commitments to exchange components of income
(generally interest or returns) pegged to the underlying assets based on a
notional principal amount. Swaps are marked to market daily based upon
quotations from market makers and the change, if any, is recorded as unrealized
gains or losses in the Statement of Operations. A Fund bears the risk of loss of
the amount expected to be received under a swap agreement in the event of the
default or bankruptcy of a counterparty.
Delayed Delivery Transactions. A Fund may purchase or sell securities on a
when-issued or delayed delivery basis. These transactions involve a commitment
by a Fund to purchase or sell securities for a predetermined price or yield,
with payment and delivery taking place beyond the customary settlement period.
When delayed delivery purchases are outstanding, a Fund will set aside and
maintain until the settlement date in a segregated account, liquid assets in an
amount sufficient to meet the purchase price. When purchasing a security on a
delayed delivery basis, a Fund assumes the rights and risks of ownership of the
security, including the risk of price and yield fluctuations, and takes such
fluctuations into account when determining its net asset value. A Fund may
dispose of or renegotiate a delayed delivery transaction after it is entered
into, and may sell when-issued securities before they are delivered, which may
result in a capital gain or loss. When the Fund has sold a security on a delayed
delivery basis, the Fund does not participate in future gains and losses with
respect to the security. Forward sales commitments are accounted for by the Fund
in the same manner as forward currency contracts discussed above.
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
76
<PAGE>
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.
Reverse Repurchase Agreements. Certain Funds are authorized to enter into
reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells
to a financial institution a security that it holds with an agreement to
repurchase the same security at an agreed-upon price and date. A reverse
repurchase agreement involves the risk that the market value of the security
sold by the Fund may decline below the repurchase price of the security.
3. Fees, Expenses, and Related Party Transactions Investment Advisory Fee.
Pacific Investment Management Company (PIMCO) is a wholly owned subsidiary
partnership of PIMCO Advisors L.P. which 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. Pacific Investment Management Company (PIMCO) is a wholly
owned subsidiary partnership of PIMCO Advisors L.P. which 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 and Global Bond II Funds, 0.55%
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 and
Global Bond II Funds, 0.40% for the Emerging Markets Bond and 0.25% for all
other Funds.
Distribution and Servicing Fees. PIMCO Funds Distributors LLC, ("PFD"), formerly
PIMCO Funds Distribution Company, 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 PFD was 0.25% during
1998.
Pursuant to the Distribution and Servicing Plans adopted by the Retail
Classes of the Trust, the Trust compensates PFD 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 PFD distribution and servicing
fees at an effective rate as set forth below (calculated as a percentage of each
Fund's average daily net assets attributable to each class):
<TABLE>
<CAPTION>
Effective Rate Allowable Rate
-----------------------------------------------------------------
Distribution Servicing Distribution Servicing
Fee (%) Fee (%) Fee (%) Fee (%)
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class A
Money Market Fund -- 0.10 -- 0.20
All other Funds -- 0.25 -- 0.25
Class B
All Funds 0.75 0.25 0.75 0.25
Class C
Long-Term U.S. Gov't., Foreign Bond,
Global Bond II, 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>
PFD 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 A, B and C Class shares. For the period ended March 31,
1998, the funds were informed that PFD received $3,275,303 representing
commissions (sales charges) and contingent deferred sales charges related to the
Retail Classes.
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"
77
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1998
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 March 31, 1998 were as follows (amounts in thousands):
U.S. Government/Agency All Other
---------------------------------------------------
Purchases Sales Purchases Sales
- --------------------------------------------------------------------------------
Long-Term U.S. Gov't Fund $ 169,248 $ 100,758 $ 18,050 $ 419
Foreign Bond Fund 112,168 64,477 1,117,065 1,106,425
Global Bond Fund II 16,102 16,290 90,463 80,854
Emerging Markets Bond Fund 10,130 10,143 21,072 16,442
High Yield Fund 0 0 1,543,696 516,227
Total Return Fund 30,659,485 27,541,592 8,211,135 3,429,448
Real Return Bond Fund 79,685 74,873 25,079 22,060
Low Duration Fund 11,277,496 9,399,379 286,925 480,145
Short-Term Fund 55,931 34,614 97,694 53,391
StocksPLUS Fund 145,322 44,353 271,673 68,671
5. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows
(amounts in thousands):
<TABLE>
<CAPTION>
Emerging
Long-Term Foreign Markets Total Real Low
U.S. Gov't. Bond Bond Return Return Duration
- ------------------------------------------------------------------------------------------------------------------
Premium
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balance at 3/31/97 $ 34 $ 0 $ 0 $ 30,218 $ 0 $ 3,711
Sales 0 19 65 14,996 88 0
Closing Buys (34) 0 0 0 0 0
Expirations 0 (19) (65) (36,693) 0 (3,711)
Exercised 0 0 0 (4,868) 0 0
- ------------------------------------------------------------------------------------------------------------------
Balance at 3/31/98 $ 0 $ 0 $ 0 $ 3,653 $ 88 $ 0
==================================================================================================================
</TABLE>
6. Federal Income Tax Matters
As of March 31, 1998, 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. As of
March 31 1998, $13,760,932 of capital loss carryforwards in the High Yield Fund
expired.
Additionally, the Foreign Bond, Emerging Markets Bond, Low Duration and
Short-Term Funds realized capital losses and/or foreign currency losses during
the period November 1, 1997 through March 31, 1998 which the Fund elected to
defer to the following fiscal year pursuant to income tax regulations. The
amounts are $115,196, $161,447, $547,213 and $85,720 respectively.
Each Fund will resume capital gain distributions in the future to the
extent gains are realized in excess of the available carryforwards.
Capital Loss Carryforwards
(amounts in thousands)
-------------------------------------------------------
Realized Acquired
Losses Losses Expiration
- --------------------------------------------------------------------------------
High Yield Fund $ -- $ 50,541 03/31/02
-- 5,495 03/31/01
Total Return Fund -- 988 03/31/04
-- 8,185 03/31/02
78
<PAGE>
7. Institutional Class Summaries
The following amounts relate to the Statement of Assets and Liabilities and the
Statement of Changes in Net Assets (amounts in thousands):
<TABLE>
<CAPTION>
Long-Term U.S. Gov't Fund Foreign Bond Fund Global Bond Fund II
---------------------------------------------------------------------------------------------------
Six Months
Year Ended Year Ended Year Ended Year Ended Year Ended Ended
March 31, 1998 March 31, 1997 March 31, 1998 March 31, 1997 March 31, 1998 March 31, 1997
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares Issued and Outstanding
Institutional class........... 4,591 2,129 36,526 22,559 2,471 0
Administrative class.......... 469 0 29 3 0 0
5,060 2,129 36,555 22,562 2,471 0
Distributions to Shareholders:
From net investment income
Institutional Class........... $ 2,186 $ 1,773 $ 18,748 $ 7,980 $ 100 $ 0
Administrative Class.......... 122 0 13 0 0 0
In excess of net investment income
Institutional Class........... 1 0 0 0 0 0
Administrative Class.......... 0 0 0 0 0 0
From net realized capital gains
Institutional Class........... 218 0 9,705 24,345 0 0
Administrative Class.......... 21 0 7 0 0 0
In excess of net realized capital
gains
Institutional Class........... 0 693 0 0 0 0
Administrative Class.......... 0 0 0 0 0 0
Tax basis return of capital
Institutional Class........... 0 0 0 0 0 0
Administrative Class.......... 0 0 0 0 0 0
$ 2,548 $ 2,466 $ 28,473 $ 32,325 $ 100 $ 0
<CAPTION>
Emerging
Markets
Bond Fund High Yield Fund Total Return Fund
-------------------------------------------------------------------------------------------------
Period from
July 31, 1997 to Year Ended Year Ended Year Ended Year Ended
March 31, 1998 March 31, 1998 March 31, 1997 March 31, 1998 March 31, 1997
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Shares Issued and Outstanding
Institutional class........... 380 139,702 67,081 1,552,606 1,219,656
Administrative class.......... 0 5,998 940 45,374 14,719
380 145,700 68,021 1,597,980 1,234,375
Distributions to Shareholders:
From net investment income
Institutional Class........... $ 165 $ 90,115 $ 64,102 $ 843,692 $ 737,816
Administrative Class.......... 0 1,993 407 15,470 8,454
In excess of net investment income
Institutional Class........... 0 0 0 23,175 18,432
Administrative Class.......... 0 0 0 425 211
From net realized capital gains
Institutional Class........... 0 0 9,166 375,236 0
Administrative Class.......... 0 0 88 8,344 0
In excess of net realized capital
gains
Institutional Class........... 51 8,670 0 0 0
Administrative Class.......... 0 190 0 0 0
Tax basis return of capital
Institutional Class........... 0 0 0 0 0
Administrative Class.......... 0 0 0 0 0
$ 216 $ 100,968 $ 73,763 1,266,342 $ 764,913
</TABLE>
<TABLE>
<CAPTION>
Real Return Bond Fund Low Duration Fund Short-Term Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Period from
Year Ended Jan. 29, 1997 to Year Ended Year Ended Year ended Year Ended
March 31, 1998 March 31, 1997 March 31, 1998 March 31, 1997 March 31, 1998 March 31, 1997
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares Issued and Outstanding
Institutional class....... 566 568 271,121 280,193 17,177 15,648
Administrative class...... 0 0 4,538 2,361 512 451
566 568 275,659 282,554 17,689 16,099
Distributions to Shareholders:
From net investment income
Institutional Class....... $ 248 $ 45 $171,675 $170,430 $ 10,663 $ 7,220
Administrative Class...... 0 0 1,723 511 239 221
In excess of net investment income
Institutional Class....... 18 0 6,016 5,074 192 156
Administrative Class...... 0 0 61 15 4 5
From net realized capital gains
Institutional Class....... 68 0 7,885 0 251 0
Administrative Class...... 0 0 78 0 7 0
In excess of net realized capital
gains
Institutional Class....... 0 0 0 0 0 0
Administrative Class...... 0 0 0 0 0 0
Tax basis return of capital
Institutional Class....... 0 0 0 0 0 0
Administrative Class...... 0 0 0 0 0 0
$ 334 $ 45 $187,438 $176,030 $ 11,356 $ 7,602
<CAPTION>
Money Market Fund StocksPLUS Fund
----------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
March 31, 1998 March 31, 1997 March 31, 1998 March 31, 1997
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares Issued and Outstanding
Institutional class....... 55,336 23,497 29,564 20,574
Administrative class...... 749 12 152 60
56,085 23,509 29,716 20,634
Distributions to Shareholders:
From net investment income
Institutional Class....... $ 1,932 $ 1,360 $ 35,277 $ 21,952
Administrative Class...... 15 1 126 8
In excess of net investment income
Institutional Class....... 1 0 0 0
Administrative Class...... 0 0 0 0
From net realized capital gains
Institutional Class....... 0 0 25,683 8,793
Administrative Class...... 0 0 96 0
In excess of net realized capital
gains
Institutional Class....... 0 0 0 0
Administrative Class...... 0 0 0 0
Tax basis return of capital
Institutional Class....... 0 0 0 0
Administrative Class...... 0 0 0 0
$ 1,948 $ 1,361 $ 61,182 $ 30,753
</TABLE>
79
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1998
8. Shares of Beneficial Interest
The Trust may issue an unlimited number of shares of beneficial interest with a
$.0001 par value. Changes in shares of beneficial interest were as follows
(amounts in thousands):
<TABLE>
<CAPTION>
Long-Term U.S. Gov't Fund Foreign Bond Fund
---------------------------------------------- ---------------------------------------------
Year Ended 3/31/98 Year Ended 3/31/97 Year Ended 3/31/98 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.................... 4,747 $ 48,113 712 $ 6,985 21,531 $ 230,125 14,462 $ 155,503
Administrative Class................... 478 4,924 0 0 28 298 3 30
Class A................................ 597 6,175 128 1,237 855 9,138 69 715
Class B................................ 769 8,001 48 469 896 9,586 117 1,236
Class C................................ 817 8,501 29 281 1,458 15,595 172 1,809
Shares issued in reorganization
Class A................................ 0 0 0 0 0 0 0 0
Class B................................ 0 0 0 0 0 0 0 0
Class C................................ 0 0 0 0 0 0 0 0
Issued as reinvestment of distributions
Institutional Class.................... 194 1,998 215 2,113 2,017 21,425 2,246 23,548
Administrative Class................... 9 97 0 0 2 21 0 0
Class A................................ 11 116 0 1 35 373 0 1
Class B................................ 12 121 0 1 43 455 0 2
Class C................................ 11 116 0 1 73 771 0 3
Cost of shares redeemed
Institutional Class.................... (2,479) (25,182) (2,062) (20,121) (9,581) (102,060) (18,761) (205,567)
Administrative Class................... (18) (191) 0 0 (4) (38) 0 0
Class A................................ (154) (1,612) 0 0 (66) (703) (1) (6)
Class B................................ (118) (1,248) 0 0 (66) (702) 0 0
Class C................................ (171) (1,794) 0 (1) (112) (1,194) 0 (2)
Net increase (decrease) resulting from
Fund share transactions................. 4,705 $ 48,135 (930) $ (9,034) 17,109 $ 183,090 (1,693) $ (22,728)
<CAPTION>
Real Return Bond Fund Low Duration Fund
---------------------------------------------- ---------------------------------------------
Period From
Year Ended 3/31/98 1/29/97 to 3/31/98 Year Ended 3/31/98 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.................... 465 $ 4,626 564 $ 5,636 144,295 $ 1,467,244 139,451 $ 1,394,715
Administrative Class................... 0 0 0 0 3,319 33,741 2,251 22,564
Class A................................ 118 1,170 0 0 34,531 351,735 2,135 21,468
Class B................................ 131 1,292 51 514 1,705 17,368 178 1,783
Class C................................ 114 1,136 15 149 5,739 58,311 1,581 15,897
Shares issued in reorganization
Class A................................ 0 0 0 0 0 0 5,364 53,912
Class B................................ 0 0 0 0 0 0 454 4,564
Class C................................ 0 0 0 0 0 0 6,149 61,795
Issued as reinvestment of distributions
Institutional Class.................... 34 333 4 45 15,257 155,141 15,036 149,996
Administrative Class................... 0 0 0 0 182 1,852 52 518
Class A................................ 2 24 0 0 448 4,564 61 615
Class B................................ 3 34 0 1 38 384 3 33
Class C................................ 3 33 0 0 271 2,754 49 495
Cost of shares redeemed
Institutional Class.................... (501) (5,016) 0 0 (168,625) (1,713,570) (143,424) (1,432,178)
Administrative Class................... 0 0 0 0 (1,324) (13,425) (197) (1,971)
Class A................................ (83) (818) 0 0 (30,163) (307,185) (1,615) (16,266)
Class B................................ (32) (323) 0 0 (542) (5,522) (104) (1,047)
Class C................................ (82) (812) 0 0 (5,625) (57,029) (1,407) (14,179)
Net increase (decrease) resulting from
Fund share transactions................. 172 $ 1,679 634 $ 6,345 (494) $ (3,637) 26,017 $ 262,714
</TABLE>
80
<PAGE>
<TABLE>
<CAPTION>
Emerging
Global Bond Fund II Markets Bond
----------------------------------------------------- --------------------------
Period From
Year Ended 3/31/98 Year Ended 3/31/97 7/31/97 to 3/31/98
Shares Amount Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------- --------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class................... 2,462 $ 24,247 0 $ 0 395 $ 3,907
Administrative Class.................. 0 0 0 0 0 0
Class A............................... 499 5,409 136 1,518 37 353
Class B............................... 117 1,255 70 778 31 294
Class C............................... 158 1,717 177 1,967 14 132
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................... 10 100 0 0 22 212
Administrative Class.................. 0 0 0 0 0 0
Class A............................... 105 1,055 16 171 1 9
Class B............................... 58 578 13 138 1 7
Class C............................... 94 942 19 215 1 6
Cost of shares redeemed
Institutional Class................... 0 0 0 0 (37) (350)
Administrative Class.................. 0 0 0 0 0 0
Class A............................... (623) (6,982) (118) (1,285) (6) (54)
Class B............................... (88) (940) (16) (178) 0 0
Class C............................... (128) (1,407) (21) (236) 0 (3)
Net increase (decrease) resulting from
Fund share transactions................ 2,664 $ 25,974 276 $ 3,088 459 $ 4,513
<CAPTION>
High Yield Fund Total Return Fund
------------------------------------------------ ----------------------------------------------
Year Ended 3/31/98 Year Ended 3/31/97 Year Ended 3/31/98 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................... 85,745 $ 991,624 37,480 $ 414,058 569,689 $ 6,060,910 358,561 $ 3,709,839
Administrative Class.................. 5,481 63,673 1,323 14,665 39,423 420,992 12,842 132,504
Class A............................... 5,603 64,633 480 5,390 43,181 460,620 3,360 35,013
Class B............................... 8,820 101,900 1,083 12,160 11,221 119,773 1,002 10,459
Class C............................... 11,386 131,535 1,380 15,420 14,063 149,964 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................... 7,846 90,586 6,306 69,870 97,133 1,031,930 58,681 606,425
Administrative Class.................. 123 1,429 31 353 2,241 23,828 820 8,479
Class A............................... 236 2,723 25 271 1,979 21,051 88 900
Class B............................... 381 4,397 37 412 613 6,517 49 513
Class C............................... 1,066 12,300 163 1,819 1,747 18,558 223 2,316
Cost of shares redeemed
Institutional Class...................(20,969) (238,595) (25,767) (286,865) (333,872) (3,556,685) (193,748) (2,001,935)
Administrative Class.................. (546) (6,334) (506) (5,554) (11,009) (117,585) (9,113) (94,080)
Class A............................... (2,364) (27,260) (537) (6,044) (6,141) (65,456) (810) (8,458)
Class B............................... (1,243) (14,335) (136) (1,524) (1,444) (15,356) (244) (2,564)
Class C............................... (6,522) (75,236) (1,272) (14,308) (9,698) (102,973) (2,256) (23,590)
Net increase (decrease) resulting from
Fund share transactions................ 95,043 $ 1,103,040 45,399 $ 503,841 419,126 $ 4,456,088 278,567 $ 2,888,934
<CAPTION>
Short-Term Fund Money Market Fund
--------------------------------------------- ------------------------------------------------
Year Ended 3/31/98 Year Ended 3/31/97 Year Ended 3/31/98 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.................. 30,985 $ 311,342 18,060 $ 180,257 126,866 $ 126,866 48,817 $ 48,817
Administrative Class................. 458 4,605 867 8,640 1,317 1,317 8 8
Class A.............................. 3,832 38,492 441 4,435 1,983,452 1,983,452 303,692 303,692
Class B.............................. 610 6,129 19 197 14,945 14,945 3,657 3,657
Class C.............................. 991 9,964 140 1,403 1,189,852 1,189,852 262,815 262,815
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.................. 904 9,089 625 6,243 1,408 1,408 1,077 1,077
Administrative Class................. 3 35 1 15 15 15 1 1
Class A.............................. 47 474 1 5 1,226 1,226 192 192
Class B.............................. 1 14 0 1 94 94 15 15
Class C.............................. 19 193 0 4 2,314 2,314 605 605
Cost of shares redeemed
Institutional Class..................(30,360) (305,111) (13,294) (132,676) (96,437) (96,437) (52,332) (52,332)
Administrative Class................. (401) (4,023) (820) (8,162) (594) (594) (7) (7)
Class A.............................. (1,729) (17,369) (189) (1,898) (1,986,890) (1,986,890) (274,948) (274,948)
Class B.............................. (497) (4,998) (8) (83) (15,245) (15,245) (3,028) (3,028)
Class C.............................. (474) (4,767) (4) (44) (1,221,867) (1,221,867) (230,072) (230,072)
Net increase (decrease) resulting from
Fund share transactions............... 4,389 $ 44,069 5,839 $ 58,337 456 $ 456 129,694 $ 129,694
<CAPTION>
StocksPLUS Fund
------------------------------------------------------
Year Ended 3/31/98 Year Ended 3/31/97
Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class..................... 16,854 $ 225,911 7,685 $ 91,156
Administrative Class.................... 98 1,303 64 746
Class A................................. 5,189 70,046 515 6,245
Class B................................. 6,014 81,066 720 8,743
Class C................................. 6,158 82,851 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..................... 4,247 54,317 2,419 28,060
Administrative Class.................... 17 211 1 8
Class A................................. 531 6,748 5 64
Class B................................. 731 9,234 7 86
Class C................................. 816 10,335 13 156
Cost of shares redeemed
Institutional Class..................... (12,110) (165,345) (3,137) (36,460)
Administrative Class.................... (22) (291) (5) (58)
Class A................................. (1,748) (23,650) (15) (182)
Class B................................. (400) (5,397) (3) (33)
Class C................................. (1,049) (14,121) (306) (3,565)
Net increase (decrease) resulting from
Fund share transactions.................. 25,326 $ 333,218 9,239 $ 110,472
</TABLE>
81
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1998
9. Financial Highlights-Institutional Classes
<TABLE>
<CAPTION>
Net Asset Net Realized/ Dividends Dividends in
Value Net Unrealized Total Income From Net Excess of Net
Selected Per Share Data for Beginning Investment Gain (Loss) on From Investment Investment Investment
the Period Ended: of Period Income (Loss) Investments Operations Income Income
--------- ------------- -------------- --------------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C>
Long-Term U.S. Government Fund
Institutional Class
03/31/98.................... $ 9.39 $ 0.52 (a) $ 1.34 (a) $ 1.86 $ (0.62) $ 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)
Administrative Class
09/23/97-03/31/98........... 10.17 0.26 (a) 0.51 (a) 0.77 (0.31) 0.00
Foreign Bond Fund
Institutional Class
03/31/98.................... $ 10.41 $ 0.66 (a) $ 0.61 (a) $ 1.27 $ (0.63) $ 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
Administrative Class
03/31/98.................... 10.41 0.63 (a) 0.61 (a) 1.24 (0.60) 0.00
01/28/97-03/31/97........... 10.54 0.59 (0.67) (0.08) (0.05) 0.00
Global Bond Fund II
Institutional Class
02/25/98-03/31/98........... $ 9.82 $ 0.06 (a) $ 0.09 (a) $ 0.15 $ 0.00 $ (0.05)
Emerging Markets Bond Fund
Institutional Class
07/31/97-03/31/98........... $ 10.00 $ 0.46 (a) $ (0.18) (a) $ 0.28 $ (0.46) $ 0.00
High Yield Fund
Institutional Class
03/31/98.................... $ 11.10 $ 0.98 (a) $ 0.65 (a) $ 1.63 $ (0.98) $ 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
Administrative Class
03/31/98.................... 11.10 0.95 (a) 0.65 (a) 1.60 (0.95) 0.00
03/31/97.................... 10.94 0.85 (a) 0.38 (a) 1.23 (0.94) 0.00
03/31/96.................... 10.41 1.02 (a) 0.54 (a) 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
03/31/98.................... $ 10.27 $ 0.64 (a) $ 0.62 (a) $ 1.26 $ (0.62) $ (0.02)
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)
Administrative Class
03/31/98.................... 10.27 0.61 (a) 0.63 (a) 1.24 (0.60) (0.02)
03/31/97.................... 10.29 0.66 (a) (0.02)(a) 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)
</TABLE>
+ Annualized
(a) Per share amounts based in average number of shares outstanding during the
period.
82
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions
From Net in Excess of Tax Basis Net Asset
Realized Net Realized Return of Total Value End Net Assets End
Capital Gains Capital Gains Capital Distributions of Period Total Return of Period (000s)
------------- ------------- --------- ------------- --------- ------------ ----------------
<S> <C> <C> <C> <C> <C> <C> <C>
Long-Term U.S. Government Fund
Institutional Class
03/31/98 $ (0.06) $ 0.00 $ 0.00 $ (0.68) $ 10.57 20.23% $ 48,547
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/97 0.00 (0.33) 0.00 (1.01) 9.39 4.48 19,995
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/96 (0.50) (0.16) 0.00 (1.38) 9.96 14.83 32,511
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/95 0.00 0.00 0.00 (0.62) 9.85 5.50 32,349
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/94 (0.70) (0.17) 0.00 (1.96) 9.96 4.13 25,978
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
Administrative Class
09/23/97-03/31/98 (0.06) 0.00 0.00 (0.37) 10.57 7.60 4,957
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
Foreign Bond Fund
Institutional Class
03/31/98 $ (0.31) $ 0.00 $ 0.00 $ (0.94) $ 10.74 12.64% $ 392,198
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/97 (1.49) 0.00 0.00 (1.89) 10.41 17.69 234,880
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/96 (0.25) (0.03) 0.00 (0.87) 10.50 21.80 258,493
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/95 0.00 0.00 (0.61) (0.61) 9.38 (1.85) 232,700
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/94 (0.06) (0.37) 0.00 (0.98) 10.18 7.79 498,521
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
Administrative Class
03/31/98 (0.31) 0.00 0.00 (0.91) 10.74 12.34 315
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
01/28/97-03/31/97 0.00 0.00 0.00 (0.05) 10.41 (0.72) 30
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
Global Bond Fund II
Institutional Class
02/25/98-03/31/98 $ 0.00 $ 0.00 $ 0.00 $ (0.05) $ 9.92 1.02% $ 24,517
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
Emerging Markets Bond Fund
Institutional Class
07/31/97-03/31/98 $ (0.15) $ 0.00 $ 0.00 $ (0.61) $ 9.67 3.10% $ 3,676
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
High Yield Fund
Institutional Class
03/31/98 $ 0.00 $ (0.09) $ 0.00 $ (1.07) $ 11.66 15.26% $ 1,628,930
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/97 (0.13) 0.00 0.00 (1.10) 11.10 12.04 744,498
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/96 (0.05) 0.00 0.00 (1.06) 10.94 15.70 536,983
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/95 0.00 (0.02) 0.00 (0.97) 10.42 8.81 336,310
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/94 (0.07) 0.00 0.00 (0.97) 10.52 10.65 219,976
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
Administrative Class
03/31/98 0.00 (0.09) 0.00 (1.04) 11.66 14.98 69,937
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/97 (0.13) 0.00 0.00 (1.07) 11.10 11.76 10,428
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/96 (0.05) 0.00 0.00 (1.03) 10.94 15.54 1,007
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
01/16/95-03/31/95 0.00 0.00 0.00 (0.21) 10.41 4.66 41
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
Total Return Fund
Institutional Class
03/31/98 $ (0.27) $ 0.00 $ 0.00 $ (0.91) $ 10.62 12.63% $ 16,484,119
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/97 0.00 0.00 0.00 (0.68) 10.27 6.60 12,528,536
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/96 (0.12) 0.00 0.00 (0.83) 10.29 11.14 10,247,605
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/95 0.00 0.00 (0.02) (0.63) 10.02 4.22 7,239,735
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/94 (0.30) (0.02) 0.00 (1.18) 10.25 4.55 5,008,160
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
Administrative Class
03/31/98 (0.27) 0.00 0.00 (0.89) 10.62 12.36 481,730
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/97 0.00 0.00 0.00 (0.66) 10.27 6.34 151,194
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
03/31/96 (0.12) 0.00 0.00 (0.81) 10.29 10.99 104,618
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
09/07/94-03/31/95 0.00 0.00 (0.01) (0.36) 10.01 3.76 9,037
---------------------------- ------------ ------------ ---------- ---------- --------- ------- --------------
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income to
Average Net Average Net Portfolio
Assets Assets Turnover Rate
----------- ------------ -------------
<S> <C> <C> <C>
Long-Term U.S. Government Fund
Institutional Class
03/31/98 0.51% 4.88% 177%
---------------------------- ------------ ------------ ----------
03/31/97 0.63 7.63 402
---------------------------- ------------ ------------ ----------
03/31/96 0.56 6.80 238
---------------------------- ------------ ------------ ----------
03/31/95 0.50 6.62 89
---------------------------- ------------ ------------ ----------
03/31/94 0.50 5.37 98
---------------------------- ------------ ------------ ----------
Administrative Class
09/23/97-03/31/98 0.76+ 4.87+ 177
---------------------------- ------------ ------------ ----------
Foreign Bond Fund
Institutional Class
03/31/98 0.50% 6.32% 280%
---------------------------- ------------ ------------ ----------
03/31/97 0.50 7.88 984
---------------------------- ------------ ------------ ----------
03/31/96 0.52 5.83 1,234
---------------------------- ------------ ------------ ----------
03/31/95 0.47 6.44 299
---------------------------- ------------ ------------ ----------
03/31/94 0.54 5.12 260
---------------------------- ------------ ------------ ----------
Administrative Class
03/31/98 0.75 6.07 280
---------------------------- ------------ ------------ ----------
01/28/97-03/31/97 0.79+ 7.63+ 984
---------------------------- ------------ ------------ ----------
Global Bond Fund II
Institutional Class
02/25/98-03/31/98 0.55%+ 6.24%+ 369%
---------------------------- ------------ ------------ ----------
Emerging Markets Bond Fund
Institutional Class
07/31/97-03/31/98 0.86%+ 7.21%+ 695%
---------------------------- ------------ ------------ ----------
High Yield Fund
Institutional Class
03/31/98 0.50% 8.52% 37%
---------------------------- ------------ ------------ ----------
03/31/97 0.50 8.77 67
---------------------------- ------------ ------------ ----------
03/31/96 0.47 9.28 66
---------------------------- ------------ ------------ ----------
03/31/95 0.48 9.37 78
---------------------------- ------------ ------------ ----------
03/31/94 0.50 8.40 112
---------------------------- ------------ ------------ ----------
Administrative Class
03/31/98 0.75 8.21 37
---------------------------- ------------ ------------ ----------
03/31/97 0.76 8.48 67
---------------------------- ------------ ------------ ----------
03/31/96 0.80 9.16 66
---------------------------- ------------ ------------ ----------
01/16/95-03/31/95 0.73+ 10.12+ 78
---------------------------- ------------ ------------ ----------
Total Return Fund
Institutional Class
03/31/98 0.43% 6.06% 206%
---------------------------- ------------ ------------ ----------
03/31/97 0.43 6.60 173
---------------------------- ------------ ------------ ----------
03/31/96 0.42 6.85 221
---------------------------- ------------ ------------ ----------
03/31/95 0.41 6.72 98
---------------------------- ------------ ------------ ----------
03/31/94 0.41 6.27 177
---------------------------- ------------ ------------ ----------
Administrative Class
03/31/98 0.68 5.74 206
---------------------------- ------------ ------------ ----------
03/31/97 0.68 6.35 173
---------------------------- ------------ ------------ ----------
03/31/96 0.68 6.64 221
---------------------------- ------------ ------------ ----------
09/07/94-03/31/95 0.66+ 6.54+ 98
---------------------------- ------------ ------------ ----------
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
83
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1998
9. Financial Highlights-Institutional Classes (Cont.)
<TABLE>
<CAPTION>
Net Asset Net Realized/
Selected Per Share Data for the Period Ended: Value Net Unrealized Total Income
Beginning Investment Gain (Loss) on From Investment
of Period Income (Loss) Investments Operations
----------- -------------- ---------------- -----------------
<S> <C> <C> <C> <C>
Real Return Bond Fund
Institutional Class
03/31/98.......................................... $ 9.93 $ 0.44 (a) $ 0.05 (a) $ 0.49
01/29/97-03/31/97................................. 9.92 0.11 (0.02) 0.09
Low Duration Fund
Institutional Class
03/31/98.......................................... $ 9.98 $ 0.65 (a) $ 0.23 (a) $ 0.88
03/31/97.......................................... 9.95 0.64 0.03 0.67
03/31/96.......................................... 9.76 0.66 0.21 0.87
03/31/95.......................................... 10.04 0.65 (0.30) 0.35
03/31/94.......................................... 10.30 0.62 (0.16) 0.46
Administrative Class
03/31/98.......................................... 9.98 0.63 (a) 0.22 (a) 0.85
03/31/97.......................................... 9.95 0.62 0.03 0.65
03/31/96.......................................... 9.76 0.63 0.21 0.84
12/31/94-03/31/95................................. 9.67 0.18 0.07 0.25
Short-Term Fund
Institutional Class
03/31/98.......................................... $ 10.00 $ 0.62 (a) $ 0.06 (a) $ 0.68
03/31/97.......................................... 9.92 0.61 0.08 0.69
03/31/96.......................................... 9.79 0.69 0.12 0.81
03/31/95.......................................... 9.92 0.56 (0.13) 0.43
03/31/94.......................................... 10.03 0.48 (0.12) 0.36
Administrative Class
03/31/98.......................................... 10.00 0.59 (a) 0.07 (a) 0.66
03/31/97.......................................... 9.92 0.58 0.08 0.66
02/01/96-03/31/96................................. 9.98 0.11 (0.07) 0.04
Money Market Fund
Institutional Class
03/31/98.......................................... $ 1.00 $ 0.05 (a) $ 0.00 (a) $ 0.05
03/31/97.......................................... 1.00 0.05 0.00 0.05
11/01/95-03/31/96................................. 1.00 0.02 0.00 0.02
10/31/95.......................................... 1.00 0.06 0.00 0.06
10/31/94.......................................... 1.00 0.03 0.00 0.03
10/31/93.......................................... 1.00 0.03 0.00 0.03
Administrative Class
03/31/98.......................................... 1.00 0.05 (a) 0.00 (a) 0.05
03/31/97.......................................... 1.00 0.05 0.00 0.05
11/01/95-03/31/96................................. 1.00 0.02 0.00 0.02
01/24/95-10/31/95................................. 1.00 0.05 0.00 0.05
StocksPLUS Fund
Institutional Class
03/31/98.......................................... $ 11.46 $ 1.90 (a) $ 3.23 (a) $ 5.13
03/31/97.......................................... 11.16 1.27 0.82 2.09
03/31/96.......................................... 10.48 0.91 2.48 3.39
03/31/95.......................................... 9.52 1.03 0.69 1.72
05/14/93-03/31/94................................. 10.00 0.34 0.10 0.44
Administrative Class
03/31/98.......................................... 11.46 1.89 (a) 3.19 (a) 5.08
01/07/97-03/31/97................................. 11.56 0.14 (0.09) 0.05
<CAPTION>
Dividends Dividends in
From Net Excess of Net
Investment Investment
Income Income
------------ -------------
<S> <C> <C>
Real Return Bond Fund
Institutional Class
03/31/98.......................................... $ (0.48) $ (0.03)
01/29/97-03/31/97................................. (0.08) 0.00
Low Duration Fund
Institutional Class
03/31/98.......................................... $ (0.63) $ (0.02)
03/31/97.......................................... (0.63) (0.01)
03/31/96.......................................... (0.68) 0.00
03/31/95.......................................... (0.54) 0.00
03/31/94.......................................... (0.64) (0.03)
Administrative Class
03/31/98.......................................... (0.60) (0.02)
03/31/97.......................................... (0.60) (0.02)
03/31/96.......................................... (0.65) 0.00
12/31/94-03/31/95................................. (0.14) 0.00
Short-Term Fund
Institutional Class
03/31/98.......................................... $ (0.60) $ (0.01)
03/31/97.......................................... (0.59) (0.02)
03/31/96.......................................... (0.65) (0.03)
03/31/95.......................................... (0.55) (0.01)
03/31/94.......................................... (0.47) 0.00
Administrative Class
03/31/98.......................................... (0.58) (0.01)
03/31/97.......................................... (0.57) (0.01)
02/01/96-03/31/96................................. (0.10) 0.00
Money Market Fund
Institutional Class
03/31/98.......................................... $ (0.05) $ 0.00
03/31/97.......................................... (0.05) 0.00
11/01/95-03/31/96................................. (0.02) 0.00
10/31/95.......................................... (0.06) 0.00
10/31/94.......................................... (0.03) 0.00
10/31/93.......................................... (0.03) 0.00
Administrative Class
03/31/98.......................................... (0.05) 0.00
03/31/97.......................................... (0.05) 0.00
11/01/95-03/31/96................................. (0.02) 0.00
01/24/95-10/31/95................................. (0.05) 0.00
StocksPLUS Fund
Institutional Class
03/31/98.......................................... $ (1.41) $ 0.00
03/31/97.......................................... (1.27) 0.00
03/31/96.......................................... (1.05) 0.00
03/31/95.......................................... (0.76) 0.00
05/14/93-03/31/94................................. (0.34) (0.01)
Administrative Class
03/31/98.......................................... (1.39) 0.00
01/07/97-03/31/97................................. (0.15) 0.00
</TABLE>
84
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions
From Net in Excess of Tax Basis Net Asset
Realized Net Realized Return of Total Value End
Capital Gains Capital Gains Capital Distributions Of Period
--------------- --------------- ----------- ------------- ---------
<S> <C> <C> <C> <C> <C>
Real Return Bond Fund
Institutional Class
03/31/98............................ $ (0.14) $ 0.00 $ 0.00 $ (0.65) $ 9.77
01/29/97-03/31/97................... 0.00 0.00 0.00 (0.08) 9.93
Low Duration Fund
Institutional Class
03/31/98............................ $ (0.03) $ 0.00 $ 0.00 $ (0.68) $ 10.18
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
Administrative Class
03/31/98............................ (0.03) 0.00 0.00 (0.65) 10.18
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
03/31/98............................ $ (0.01) $ 0.00 $ 0.00 $ (0.62) $ 10.06
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
Administrative Class
03/31/98............................ (0.01) 0.00 0.00 (0.60) 10.06
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
03/31/98............................ $ 0.00 $ 0.00 $ 0.00 $ (0.05) $ 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
Administrative Class
03/31/98............................ 0.00 0.00 0.00 (0.05) 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................... 0.00 0.00 0.00 (0.05) 1.00
StocksPLUS Fund
Institutional Class
03/31/98............................ $ (1.09) $ 0.00 $ 0.00 $ (2.50) $ 14.09
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
03/31/98............................ (1.09) 0.00 0.00 (2.48) 14.06
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>
Real Return Bond Fund
Institutional Class
03/31/98............................ 4.70% $ 5,526 0.52% 4.46% 967%
01/29/97-03/31/97................... 0.09 5,638 0.51+ 6.54+ 160
Low Duration Fund
Institutional Class
03/31/98............................ 9.00% $ 2,759,531 0.43% 6.39% 309%
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
Administrative Class
03/31/98............................ 8.73 46,186 0.68 6.16 309
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
03/31/98............................ 7.06% $ 172,846 0.45% 6.12% 48%
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
Administrative Class
03/31/98............................ 6.80 5,147 0.70 5.86 48
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
03/31/98............................ 5.40% $ 55,335 0.35% 5.29% 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
Administrative Class
03/31/98............................ 5.12 749 0.60 5.04 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................... 4.21 10 0.68+ 5.94+ N/A
StocksPLUS Fund
Institutional Class
03/31/98............................ 47.75% $ 416,600 0.65% 13.74% 30%
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
03/31/98............................ 47.19 2,143 0.90 13.49 30
01/07/97-03/31/97................... 0.34 682 0.95+ 4.83+ 47
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
85
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1998
10. 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>
PIMCO High PIMCO Advisors
Yield Fund High Income
Fund 01/17/97 25,309 $ 283,718 $ 283,718 $ 791,932 $ 1,075,650 $ 12,610
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PIMCO Total PIMCO Advisors
Return Fund 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
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PIMCO Low PIMCO Advisors
Duration Fund Short-Intermediate
Fund 01/17/97 11,967 $ 120,271 $ 120,271 $ 2,829,201 $ 2,949,472 $ 448
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PIMCO Money PIMCO Advisors
Market Fund Money Market
Fund 01/17/97 69,202 $ 69,202 $ 69,202 $ 25,027 $ 94,229 $ --
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</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.
86
<PAGE>
Report of Independent Accountants
To the Trustees and Shareholders of the PIMCO Funds:
Pacific Investment Management Series
In our opinion, the accompanying statement of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and of cash flows and the financial highlights present
fairly, in all material respects, the financial position of the Long-Term U.S.
Government Fund, Foreign Bond Fund, Global Bond Fund II, Emerging Markets Bond
Fund, High Yield Fund, Total Return Fund, Real Return Bond Fund, Low Duration
Fund, Short-Term Fund, Money Market Fund and StocksPLUS Fund (hereafter referred
to as the "Funds") at March 31, 1998, and the results of each of their
operations, the changes in each of their net assets and cash flows for the Long-
Term U.S. Government Fund, Foreign Bond Fund, Global Bond Fund II and Real
Return Bond Fund and the financial highlights for each of the periods indicated,
in conformity with generally accepted accounting principles. These financial
statements and the financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Funds' management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with generally
accepted auditing standards which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at March 31, 1998 by
correspondence with the custodian and brokers and the application of alternative
auditing procedures where confirmations from brokers were not received, provide
a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Kansas City, Missouri
May 22, 1998
87
<PAGE>
Federal Income Tax Information
(unaudited)
As required by the Internal Revenue Code regulations, shareholders must be
notified within 60 days of the Trust's fiscal year end (March 31, 1998)
regarding the status of the dividend received deduction for corporations.
Dividend Received Deduction. Corporate shareholders are generally entitled to
take the dividend received deduction on the portion of a Fund's dividend
distribution that qualifies under tax law. The percentage of the following
Fund's fiscal 1998 ordinary income dividends that qualifies for the corporate
dividend received deduction is set forth below:
Total Return Fund 0.12%
High Yield Fund 4.03%
Shareholders are advised to consult their own tax advisor with respect to the
tax consequences of their investment in the Trust. In January 1999, you will be
advised on IRS form 1099-DIV as to the federal tax status of the dividends and
distributions received by you in calendar year 1998.
88
<PAGE>
PIMCO Funds: Access to the highest standard
PIMCO Funds offers unique access to the institutional investment capabilities of
PIMCO Advisors L.P., manager of $217 billion. PIMCO Advisors owns seven
independent investment firms, each seeking the highest caliber performance in a
specific discipline. Six of these firms currently manage PIMCO Funds. Together,
their superior standard of expertise has attracted many prestigious clients,
including 46 of the 100 largest U.S. corporations. To learn more about PIMCO
Funds, speak to your financial advisor, or call 1-800-227-7337.
[ARTWORK APPEARS HERE]
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Manager Pacific Investment Management Company, 840 Newport
Center Drive, Suite 360, Newport Beach, CA 92660
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Distributor PIMCO Funds Distributors LLC, 2187 Atlantic Street,
Stamford, CT 06902
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Custodian Investors Fiduciary Trust Company, 801 Pennsylvania,
Kansas City, MO 64105
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Shareholder Shareholder Services, Inc., P.O. Box 5866, Denver,
Servicing Agent and CO 80217
Transfer Agent
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Independent Price Waterhouse LLP, 1055 Broadway, Kansas City,
Accountant MO, 64105
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Legal Counsel Dechert Price & Rhoads, 1500 K Street N.W.,
Washington, DC, 20005
- --------------------------------------------------------------------------------
For Account For PIMCO Funds account information contact your
Information financial advisor, or if you receive account statements
directly from PIMCO Funds, you can also call
1-800-426-0107. Telephone representatives are available
Monday-Friday 8:30 am to 8:00 pm eastern time.
- --------------------------------------------------------------------------------
This is a copy of a report by PIMCO Funds to its shareholders. Distribution of
this report to persons other than shareholders of the Trust is authorized only
when accompanied by the Trust's Prospectus. This report does not offer for sale
or solicit orders to buy any securities.
This material is authorized for use only when preceded or accompanied by a
current PIMCO Funds prospectus, which describes in greater detail the investment
policies, management fees and other matters of interest to prospective
investors. Please read the prospectus carefully before you invest or send money.
P I M C O
---------
FUNDS
-----
PIMCO Funds
Distributors LLC
2187 Atlantic Street
Stamford, CT 06902
