<PAGE>
PIMCO Funds Shareholder Update
This Update is published twice a year to provide PIMCO Funds shareholders with
general market commentary and fund information. It also includes the semi-annual
report for the PIMCO Funds Pacific Investment Management Series.
[ARTWORK APPEARS HERE]
Investors searching for yield in today's bond market will want to consider the
opportunities discussed on page 4.
September 30, 1998
PIMCO Funds Pacific Investment Management Series Class D Shares
Short-Term
Low Duration
Real Return Bond
Total Return
Total Return Mortgage
High Yield
Municipal Bond
Foreign Bond
Strategic Balanced
StocksPLUS
Inside this update:
- --------------------------------------------------------------------------------
Page 2 Letter From PIMCO Funds Chairman
- --------------------------------------------------------------------------------
Page 3 Stock/Bond Update
- --------------------------------------------------------------------------------
Page 4 Today's Investor
Searching for Yield in Today's Market
- --------------------------------------------------------------------------------
Page 6 Manager Spotlight
Bill Gross of Pacific Investment Management
- --------------------------------------------------------------------------------
Page 7 In the News: Recent News on the PIMCO Funds
- --------------------------------------------------------------------------------
Page 7 Investor Services: PIMCO Funds is on the Web
- --------------------------------------------------------------------------------
Page 8 Fund Spotlight: PIMCO Tax-Efficient Equity Fund
- --------------------------------------------------------------------------------
Page 9 Overview: The PIMCO Funds Family
- --------------------------------------------------------------------------------
Page 10 PIMCO Funds Pacific Investment Management Series September 30, 1998
Semi-Annual Report
[LOGO OF PIMCO FUNDS APPEARS HERE]
<PAGE>
Chairman's Letter
Dear Fellow Shareholder:
Despite the negative impact of foreign events during the third quarter of 1998,
for the one-year period ended September 30, 1998 stocks were up 9.0% (as
measured by the Standard & Poor's 500 Index of stocks). The bond market actually
benefited from international unrest, as long-term Treasury securities reached
historically low yields and the overall market, as measured by the Lehman
Brothers Aggregate Bond Index, posted an 8.3% increase.
Overall, the funds in the PIMCO Funds Pacific Investment Management Series also
did well in this environment. For a complete analysis of each Fund's performance
and the related financial statements, turn to page 10.
In addition to this important shareholder information from the Trustees, this
update includes stock and bond market commentary from PIMCO Funds portfolio
managers, an interview with PIMCO's Bill Gross and a number of bond market
investment strategies that you may want to discuss with your financial advisor.
As always, we appreciate the trust you have placed in us through your
investments. 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
October 23, 1998
2
<PAGE>
Market Review
The Bond Market
Good Times for Bonds
Six months ago in our annual report to shareholders we predicted the yield on
long-term U.S. Treasury bonds could drop to 5%. This target was reached, and
then late in the third quarter yields went on to fall below 5% for the first
time since 1967. And, as bond prices move in the opposite direction of yields,
prices of Treasuries soared.
The Treasury market benefited from continued global turmoil. Asian financial
woes spread to Russia, and concern grew over problems in Brazil and Latin
America. Investor confidence was further unsettled by the unwillingness of the
International Monetary Fund to step in and buoy the failing Russian economy.
These uncertain conditions led to a massive flight to quality, as investors
around the world sought safety by pouring assets into U.S. Treasuries.
While Treasuries prospered, some other sectors of the fixed income market missed
out on the rally. For example, investment grade corporate bonds, along with high
yield bonds, were hurt by fears that global problems would affect U.S. corporate
earnings and growth. Although the municipal bond market did not benefit from the
global flight to quality, the sector is currently experiencing a resurgence,
with some non-taxable yields actually higher than Treasuries.
Going forward, we expect to see more troubled countries acting to defend their
currencies. Many will hike up interest rates, as Brazil has done. This typically
leads to slowing growth. Other countries may favor the route taken by
Malaysia--imposing capital controls--which hurts liquidity. In either case, we
expect to see an increase in financial uncertainties around the world. For
additional details on our view of the global economy please refer to the
interview with Bill Gross on page 6.
Domestically, we expect the economy to continue to slow. We believe the Federal
Reserve will need to act in order to buoy the U.S. economy and increase global
liquidity. As such, we expect further interest rate cuts, reducing the Fed Funds
rate to the 4-4.5% range in the coming year. If inflation remains in its current
low range, as we expect, the real rate of return on bonds should continue to be
historically high, making this a relatively attractive opportunity for bond
investors.
Plunging interest rates led to strong gains in the prices of bonds.
[LINE GRAPH APPEARS HERE]
- --------------------------------------------------------------------------------
30-Year Treasury Rates
9/97 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
5.872
5.924
6.02
5.894
5.886
5.959
5.795
5.882
5.877
5.946
5.934
5.978
5.973
5.901
5.803
5.788
5.663
5.67
5.633
5.6
5.626
5.747
5.687
5.714
5.632
5.541
5.434
5.339
5.289
5.23
5.148
9/98 5.11
The Stock Market
Equities Slow Down
After continuing its run in the first two quarters of 1998, the bull market
finally hit a speed bump in the third quarter. From a peak of 9337 on July 17,
the Dow Jones Industrial Average closed on September 30 at 7842. Though this has
been a significant short-term drop, the Dow has done very well relative to where
it was when the seven-year bull market began in October 1991. At that point the
Dow stood at a mere 2365.
This decline has been anticipated for several years, as the dramatic returns of
this decade have been unprecedented. But what precipitated the decline was
perhaps surprising: a global economic crisis that began in Asia last year and
spread to Russia and potentially Latin America and Canada as well.
The Asian currency crisis first appeared in 1997, causing a domestic stock
market correction last October, as investors feared Asian woes and cheap imports
would affect United States GDP. The market quickly recovered and continued to
rise through the second quarter of 1998, as investors' fears of `Asian
contagion' subsided. But, in the third quarter, the spread of the crisis to
other economies was not well received by investors--nor were reduced earnings
expectations for many corporations, especially those with international
exposure.
As a result, third quarter results were lackluster. Few sectors performed well,
with the exception of non-cyclical stocks such as health care and consumer
staples. Utility stocks declined only modestly, as they are considered a safer
harbor in volatile markets, and gold stocks rose.
Large-cap stocks, despite more international exposure, outperformed small-caps.
Internationally, most regions saw poor performance. Asia, Europe and Latin
America were all hard hit, with a few country-specific exceptions.
Looking ahead, we believe the long-anticipated decline will ultimately prove to
be healthy for the stock market. This descent could serve to temper runaway P/E
ratios and the "irrational exuberance" that Federal Reserve Chairman Alan
Greenspan warned against. We see a continued lowering of interest rates in the
near-term and believe that, currently, fundamentals remain sound for many
domestic companies. We also believe the correction has served to underscore the
importance of portfolio diversification and long-term investing.
Foreign economic unrest led to a sharp decline in the price of stocks.
[LINE GRAPH APPEARS HERE]
S&P 500 Index
9/97 965.04
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
1068.61
1099.16
1095.44
1122.7
1110.67
1122.72
1107.9
1121
1108.14
1108.73
1110.47
1090.82
1113.86
1098.84
1100.65
1133.2
1146.42
1164.33
1186.75
1140.8
1120.67
1089.45
1062.75
1081.18
1027.14
973.89
1009.6
1020.09
9/98 1044.75
3
<PAGE>
Today's
Investor Searching for Yield in Today's Bond Market
[ARTWORK APPEARS HERE]
While international uncertainties have shaken the stock market dramatically for
the past year, they have greatly benefited the bond market. Around the world,
many nervous stock investors re-allocated their assets, searching for a more
secure place to invest. Most of these assets were invested in what is perceived
as the safest haven of all, U.S. Treasury securities. As a result, the bond
market has thus far had a strong 1998. As global turmoil grew and money flew
into Treasuries, prices went up and yields--which move in the opposite direction
of price--came down to historic lows. This rally has benefited bond funds that
seek total return, as the overall value of their assets has gone up. However,
bond investors primarily seeking current income may be concerned. Should
investors expect yields to bounce back up again? If not, where are the best
yield opportunities going forward?
[ARTWORK APPEARS HERE]
Set Realistic Expectations
It is time for all investors--stock and bond alike--to adjust their
expectations. The U.S. can't remain immune to the problems plaguing the global
economy, and we are already seeing the effects in our financial markets.
Therefore, rather than comparing your returns and yields with what you earned on
investments over the last few years, you should start evaluating them relative
to long-term historical averages.
Focus on "Real" Yield
While today's bond yields may appear low, the "real" yield is actually quite
high. "Real" yield is the yield after taking into account the effect of
inflation. For example, a bond fund might yield 8%, but if inflation is 4%, an
investor's "real" yield would only be 4% (yield - inflation = real yield).
Today's 1-2% inflation is so low that "real" yields are very attractive when
compared to historical averages. For Treasury bonds, the historical average for
real yields is 1.8%--yet today, real yields are 3-5%. In addition, many expect
inflation to continue dropping to the 0-1% level.
- --------------------------------------------------------------------------------
Calculating Real Total Returns
- --------------------------------------------------------------------------------
1926-1997 September 30, 1998
- --------------------------------------------------------------------------------
Bond Yield 5.3% 5.0%
- --------------------------------------------------------------------------------
Inflation 3.1% 1.5%
- --------------------------------------------------------------------------------
"Real Yield" 2.2% 3.5%
"Real yield" based on yield of 30-year Treasury bonds, less the rate of
inflation (represented by the CPI). Yields are not representative of any PIMCO
Fund. Source: Ibbotson Associates. Past performance is no indication of future
results.
Today's Bond Market Options
Wherever bond investors turn, there is potential for attractive "real" yields.
In particular, there are several segments of the bond market offering timely
opportunities. Investors who can withstand some principal risk may want to
consider mutual funds that invest in municipal bonds, select corporate bonds,
"higher quality" below investment-grade bonds, and short-term bonds instead of
cash.
Municipal Market
Municipal bonds can offer investors higher after-tax yields than Treasuries at
still-attractive prices. Historically, muni bonds provided yields that were
between 82-85% of the yields on comparable U.S. Treasuries--and the yield from
municipal bonds and municipal bond funds is tax free.* Today, municipals look
even better. As of September 30, 1998, municipal bonds were yielding an
exceptionally high average of 98% of Treasuries. That means that you earn
government bond-like yields--for income which is not subject to federal income
taxes.
The municipal bond sector is currently experiencing opportunities due to several
factors. First of all, foreign investors seeking quality in U.S. Treasuries
bypassed municipal bonds, as these investors don't benefit from the tax-free
status. Secondly, the low interest rate environment has spurred state and local
governments to issue new bonds, creating an oversupply of municipal bonds. These
factors have helped hold down municipal bond prices and buoy yields to these
high relative levels.
4
<PAGE>
High-Quality Corporates
For investors who are willing to take on additional credit risk, higher yields
can be found in the corporate bond market. As of the end of September, the
spread for the yield on BB-rated industrial company bonds over the yield on
10-year U.S. Treasuries was 390 basis points (3.9%)--as wide as it has been
since December 1991. This spread obviously reflects the increased risk
associated with corporates, but some market analysts believe the spread is more
than warranted by fundamentals and that there are excellent opportunities among
quality companies.
The Spread Widens
The difference in treasury vs. corporate yields has expanded during the past
three years
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
SPREAD
WIDENS
PLOT POINTS TREASURY CORPORATE
----------- -------- ---------
<S> <C> <C>
9/95 6.2 8.83
5.71 8.59
6.27 8.86
6.91 9.11
6.83 8.85
6.3 8.51
6.69 8.79
6.49 8.28
6.21 8
5.81 8.1
5.65 8.14
5.5 8.4
9/98 4.81 8.71
</TABLE>
Source: Bloomberg for the three-year period ended 9/30/98. Treasury yield based
on 10-year Treasury bond yield. Corporate yield based on BB-rated corporate bond
yield. Past performance is no guarantee of future results. Yields are not
representative of any PIMCO Fund.
High Yield Market
The high yield market has been hit hard by market volatility and investor fears,
leading to some widely publicized disappointments from certain high yield bond
funds. But this market has recently moved back into more reasonable valuations,
and there appear to be opportunities for the careful investor. Keep in mind that
security selection and sector allocation will likely be the keys to positive
performance going forward.
Rather than over-reaching for yield and taking on too much risk, many financial
advisors recommend considering a mutual fund that takes a more conservative
approach to this higher risk market. Therefore, a fund that emphasizes higher
quality below-investment grade securities could be a prudent strategy. While
this more cautious approach may not provide the yields of recent years, it could
help protect against potential downturns.
Short-Term Bonds
For your cash requirements, shorter-term bond funds can be a more attractive
investment because they generally offer higher yields than money markets and
guaranteed CDs. Investing in shorter-term bond funds can also help temper the
volatility of more aggressive investments. For example, short-term bond funds
generally are much more stable in terms of net asset value (NAV) than long-term
bond funds and stock funds.
While the yields on one- and two-year Treasuries have declined, resulting in
good price appreciation for these bonds, they remain higher than the yields on
most CDs and money market accounts. It's important to note that, unlike CDs,
short-term bond funds are not guaranteed as to repayment of principal and
interest. In addition, their share prices can fluctuate, either up or down,
depending on market conditions.
Outperforming CDs
Short-term bond funds have delivered higher yields than CDs
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
OUTPERFORMING CDS
PLOT POINTS SHORT-TERM BOND FUNDS CDS
------------------ --------------------- ---
<S> <C> <C>
9/93 5.15 2.69
5.14 2.73
5.19 3
5.29 3.5
5.69 3.89
6.22 5.1
5.98 4.84
6.1 4.79
6.95 4.6
6.21 4.75
5.95 4.4
5.82 4.65
5.7 4.7
6.03 4.7
5.87 4.7
5.88 4.8
5.87 4.7
6.33 4.8
5.83 4.65
5.62 4.6
9/98 5.45 4.5
</TABLE>
Source: Lipper Analytical Services, Inc. and Banxquote Money Market for 6-month
CD yield. Short-term bond fund yield based on Lipper Short-Term Fund Average and
is calculated by Lipper Analytical Services. It does not take into account any
sales charges. Past performance is no guarantee of future results. Yields are
not representative of any PIMCO Fund.
Today's bond investor will most likely not see the yields they have in recent
years, but there are still plenty of attractive opportunities in virtually every
sector of the bond market. What is important to keep in mind is that on a
"real," or after-inflation basis, yields are at historically high levels. Now
could be the ideal time to consult with your financial advisor and re-evaluate
your bond portfolio holdings.
* Income from federal municipal bonds is subject to state and local taxes, and
may, at times, be subject to the alternative minimum tax.
5
<PAGE>
Manager
Spotlight
Managing Director and Founder of Pacific Investment Management Company
Bill Gross
Bill Gross is a Managing Director and founder of Pacific Investment Management
Company, a PIMCO Advisors institutional investment firm. He is also the
portfolio manager of the highly-rated PIMCO Total Return and Low Duration Funds,
and is leader of the team that manages the Short-Term, Strategic Balanced and
StocksPLUS Funds. 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: What do you see as the biggest threat to the U.S. economy?
A: Deflation. Simply stated, deflation is an annual price decrease in goods and
services, often accompanied by recession. This is a threat that most Americans
have only read about in their history books. But in the 1930s, deflation led the
U.S.--and much of the world--to bread lines and 25% unemployment. Once it was
overcome, many thought we would never see it again.
[PHOTO APPEARS HERE]
Q: What is the current condition of the global economy with regard to deflation?
A: While the U.S. is just now beginning to experience the symptoms of deflation,
much of the global economy has been bedridden for some time. Japan has been
"deflating" for nearly five years, and Southeast Asia caught the bug in
mid-1997. Since that time, one nation after another has succumbed to its
ravages, with Russia being its most recent victim. Not only was Russia forced to
devalue the ruble, but it defaulted on hundreds of billions of dollars of debt,
threatening countries in continents as far away as South America. North America
may be next.
Q: After an absence of more than fifty years, what caused deflation to return?
A: The germ of deflation was bred in an atmosphere of idyllic capitalistic
optimism after the fall of the Iron Curtain. Not only did Eastern Europe turn
capitalist, but Asia, South America and even Mexico took on a new glow that
promised expanding markets and escalating profits.
Hundreds of billions of dollars in loans poured out of U.S., Japanese and
European banks to finance nascent capitalism in emerging markets. The problem
was that there were limits to the ability of economic societies, especially
those in capitalistic infancy, to absorb new production. For example, only so
many cars can be bought in the short run because emerging nations have so few
roads on which to drive them.
When the collective global economy finally discovered it was producing too many
things for too few customers, it held a "garage sale." Prices came down,
inventory was sold and some of the bills were paid off. But under deflationary
conditions, the inventory did not sell at a high enough price to pay off all the
debts. In fact, because many emerging nations borrowed money denominated in U.S.
dollars instead of their own local currencies, their debts have skyrocketed as
the dollar has risen and their own currencies have done nothing but sink. This
is deflation at its worst, as country after country crumbles under the burden of
too much supply, sinking prices and an overarching burden of too much debt.
Q: But how does this affect the United States?
A: We are part of a global economy, and if an increasing number of countries are
effectively bankrupt, we have fewer and fewer potential customers. Keep in mind
that our stock market is fed by global profits and our consumers are
increasingly fed by our stock market. And that is the reason why the stock
market has been down--it smells a decline in corporate profits, if not the
economy itself, brought on by worldwide deflation that is difficult to reverse.
Q: How can we reverse deflation?
A: What's required is a dose of lower interest rates in the U.S. and Europe, as
well as a reversal of fiscal attitudes that stress the necessity for balanced
budgets at all costs and under all circumstances. That, of course, requires
strong political leadership and strong central bank policy. The world
desperately needs new policies, new solutions and strong leaders in order to
combat deflation in a global economy.
The views of Mr. Gross are not indicative of any future performance of any
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, PIMCO Advisors' institutional bond
management firm, was featured in the June 6th issue of Morningstar Mutual Funds.
It said the firm has "made strategic use of emerging markets and high yield
issues within an overall strategy of risk control" and it is "in the best
position to wring whatever excess returns are available out of the market." Also
in June, Barron's said the firm is "one of the world's leading money management
companies, with a terrific long-term record."
. In August 1998, Morningstar praised the PIMCO High Yield Fund, saying it had
"superior performance achieved with less credit risk."
. In a review of PIMCO Short-Term Fund, Morningstar (8/98) said it "has one of
the (ultra-short bond) category's better risk/reward profiles" and that
"investors will be hard put to find a more attractive ultra-short vehicle."
. Of the Low Duration Fund, Morningstar (8/98) said, "this offering is easily
one of the (short-term bond) category's most attractive options...it has managed
to consistently rank near the top of the category, and its trailing returns are
all excellent."
. The press is taking notice of the high-tech PIMCO Innovation Fund. In June,
Business Week, Barron's and SmartMoney featured the Fund and portfolio manager
Tony Rizza. And in May, Morningstar praised the Fund, saying its "aggressive
tendencies have fueled strong performance during technology rallies. What's
surprising, though, is that the Fund has also performed decently when tech has
hit a pothole."
. The insights of Bill Gross, manager of the PIMCO Total Return, Low Duration,
Short-Term, Strategic Balanced and StocksPLUS Funds, continue to be sought out
by the press. During the last quarter, his views appeared in The Wall Street
Journal, Barron's, Business Week, SmartMoney, and on CNN, CNBC and the Fox News
Network.
- --------------------------------------------------------------------------------
Investor
Services
PIMCO Funds 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 market 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.
Portfolio Manager Information
In the site's Investment Insight section you can learn about each of the PIMCO
Fund's institutional investment managers. You'll find details on a manager's
investment process and strategy, biographies on individual portfolio managers,
and timely updates regarding the managers' views on how the financial markets
are affecting fund performance.
[GRAPHIC APPEARS HERE]
Fund Information
The Fund Information section of the site contains daily share prices and
profiles on all of the PIMCO Funds. Profiles include performance data, a summary
of a fund's portfolio, Morningstar ratings and Lipper rankings, fund statistics
and much more.
Track Your Portfolio
A new feature of the site is "My Portfolio"--which enables you to track the
market value of your investment portfolio. In addition to your PIMCO Funds
investments, you can track other funds, stocks, futures and options. To access
this unique service simply click on "My Portfolio" on the Home page.
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.
7
<PAGE>
Fund
Spotlight
PIMCO Funds recently introduced a new stock fund, the Tax-Efficient Equity Fund.
Here are some details on this offering.
PIMCO Tax-Efficient Equity Fund:
Tax-Bite Protection
With the financial markets posting such strong gains over the past several
years, many people have not spent a lot of time considering how taxes can take
a bite out of their investment returns. But taxes, more than almost any other
factor, can play a dramatic role in a mutual fund's performance.
[GRAPHIC APPEARS HERE]
That's why PIMCO Funds launched its Tax-Efficient Equity Fund. The Fund
seeks to provide investors with the benefits of stock fund investing while
lessening investment taxes. The Fund is managed by PIMCO Advisors' Parametric
Portfolio Associates. Parametric is a specialist in privately managed,
tax-efficient portfolios for taxable endowments, trusts and high net worth
individuals.
The firm has developed an innovative approach to tax-sensitive investing,
which it utilizes in managing the Tax-Efficient Equity Fund.
Parametric starts by identifying stocks using its proprietary computer
ranking program. First, it seeks to identify companies that appear able to
provide sustained growth. Then it ranks these organizations based on a number of
factors, such as a company's past growth, current valuations, financial
soundness and volatility. Once the portfolio is in place, Parametric employs
numerous tax management techniques. These include using a low investment
turnover strategy, matching profits to losses when buying and selling
securities, and utilizing a low-dividend bias. To learn more about this Fund
call 1-800-426-0107.
TAX-EFFICIENT EQUITY QUICK FACTS
- --------------------------------------------------------------------------------
Objective:
Maximum after-tax growth of capital
Primary Portfolio:
A broadly diversified portfolio of large-cap stocks
PIMCO Advisors Manager:
Parametric Portfolio Associates
Proposed Symbol:
D Shares: PXTDX
- --------------------------------------------------------------------------------
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 it tracks. Funds
begin to be rated once they have a three-year record. The highest Morningstar
rating is five-stars, and the lowest rating is one-star. Following are the PIMCO
Fund family's five- and four-star rated Funds as of September 30, 1998.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
PIMCO STOCK FUNDS Overall 3 Year 5 Year 10 Year
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Equity Income **** 4 4 -
StocksPLUS ***** 5 5 -
Capital Appreciation **** 4 4 -
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
PIMCO BOND FUNDS Overall 3 Year 5 Year 10 Year
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Foreign Bond ***** 5 5 -
High Yield ***** 5 5 -
Total Return ***** 5 4 5
Low Duration ***** 5 5 5
Short-Term ***** 5 5 5
</TABLE>
The chart above is based on September 30, 1998 Morningstar ratings. During the
3-, 5- and 10-year periods there were 2,678, 1,584 and 713 domestic equity funds
and 1,491,940 and 346 taxable bond funds rated, respectively.
Morningstar proprietary ratings reflect historical risk-adjusted performance and
are subject to monthly changes. Therefore, past ratings are not a guarantee of
future results. Overall ratings are calculated from a fund's 3-, 5- and 10-year
(if applicable) average annual total returns in excess of 90-day Treasury bill
returns with appropriate fee adjustments and a risk factor that reflects fund
performance below 90-day T-bill returns. Ratings are based on institutional
class shares. Class D shares, which were initially offered in April 1998, have
not yet been rated by Morningstar. Had Class D shares been in existence for the
same time period as the institutional class shares, they may have received
different ratings due to Class D shares' higher expenses. 5-star ratings are
limited to the top 10% of funds in an investment category and the next 22.5%
earn 4 stars. Institutional class shares generally have a $5 million minimum
investment. Under special circumstances, institutional shares may be available.
Call for details.
8
<PAGE>
The PIMCO Funds Family
PIMCO Funds offers unique access to the institutional investment capabilities of
PIMCO Advisors L.P., manager of over $226 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.
<TABLE>
<CAPTION>
Stock Funds Objective Primary Portfolio Composition PIMCO Advisors Manager
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Strategic Total return S&P 500 Index stock futures backed by a portfolio Pacific Investment
Balanced of short-term, fixed income securities, and inter- Management Company
mediate-term investment grade bonds
- ------------------------------------------------------------------------------------------------------------------------------------
Equity Income Current income and long-term Stocks of companies with below-average P/Es NFJ Investment Group
growth and above-average dividends
- ------------------------------------------------------------------------------------------------------------------------------------
Value Long-term growth of capital Stocks of companies with below-average P/Es NFJ Investment Group
and income
- ------------------------------------------------------------------------------------------------------------------------------------
Renaissance Long-term growth of capital Stocks of companies with below-average Columbus Circle
and income valuations Investors
- ------------------------------------------------------------------------------------------------------------------------------------
Tax-Efficient Equity Maximum after-tax growth of A broadly diversified portfolio of at least 250 Parametric Portfolio
capital common stocks of companies with larger Associates
market capitalizations
- ------------------------------------------------------------------------------------------------------------------------------------
StocksPLUS Total return exceeding the S&P 500 Index stock index futures backed by a Pacific Investment
S&P 500 Index portfolio of short-term, fixed-income securities Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Capital Appreciation Growth of capital Stocks of larger-capitalized companies Cadence Capital Management
the manager believes are reasonably priced
- ------------------------------------------------------------------------------------------------------------------------------------
Mid-Cap Growth Growth of capital Stocks of medium-capitalized companies Cadence Capital Management
the manager believes are reasonably priced
- ------------------------------------------------------------------------------------------------------------------------------------
Innovation Capital appreciation Stocks of technology-related companies Columbus Circle Investors
<CAPTION>
Bond Funds Objective Primary Portfolio Composition PIMCO Advisors Manager
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Short-Term Maximum current income Money market securities and Pacific Investment
consistent with short-term bonds (up to 1 year duration) Management Company
preservation of capital
and daily liquidity
- ------------------------------------------------------------------------------------------------------------------------------------
Low Duration Maximum total return Shorter-term, investment grade bonds Pacific Investment
(1-3 year duration) Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Real Return Bond Maximum real return Inflation-indexed government bonds Pacific Investment
Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return Maximum total return Intermediate-term, investment grade bonds Pacific Investment
(3-6 year duration) Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return Maximum total return Mortgage-related securities Pacific Investment
Mortgage (2-6 year duration) Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
High Yield Maximum total return High-yield bonds (2-6 year duration) Pacific Investment
Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Municipal Bond High current income exempt from Investment grade municipal bonds Pacific Investment
federal income tax (3-10 year duration) Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Foreign Bond Maximum total return Intermediate-term, investment grade foreign bonds Pacific Investment
(3-7 year duration) Management Company
</TABLE>
9
<PAGE>
PIMCO Funds Financial Information
We are pleased to present an in-depth review of the PIMCO Funds as of September
30, 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 11-20 Fund Summary
A summary of a Fund's performance record and portfolio composition, and a review
by the Fund's investment manager.
Page 22-64 Schedule of Investments
The schedule of investments includes a listing of securities in the Fund's
portfolio as of September 30, 1998, including the number of shares or principal
amount and value as of that date.
<TABLE>
<CAPTION>
Schedule of
Bond Funds Fund Summary Investments
<S> <C> <C>
Short-Term Fund Page 11 Page 22
Low Duration Fund Page 12 Page 24
Real Return Fund Page 13 Page 30
Total Return Fund Page 14 Page 32
Total Return Mortgage Fund Page 15 Page 48
High Yield Fund Page 16 Page 49
Municipal Bond Fund Page 17 Page 53
Foreign Bond Fund Page 18 Page 56
Strategic Balanced Fund Page 19 Page 60
StocksPLUS Fund Page 20 Page 62
</TABLE>
Page 65 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 66-67 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 68-69 Statement of Operations
This statement lists a Fund's income, expenses, and gains and losses from
securities and currency transactions, and from appreciation or depreciation on
portfolio holdings.
Page 70-72 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 73 Statement of Cash Flows
For certain Funds that employ leveraging in the investment strategy, 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 74-80 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>
September 30, 1998 PIMCO Short-Term Fund
OBJECTIVE:
Maximum current income, consistent with preservation of capital and daily
liquidity.
PORTFOLIO:
Primarily short-term investment grade bonds.
DURATION RANGE:
0-1 years
FUND INCEPTION DATE:
10/7/87
TOTAL NET ASSETS:
$402 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/98
D Shares Lipper Ultra- Lipper Money
Short Obligation Market
Fund Avg. Index
- --------------------------------------------------------------------------------
1 year 5.5% 5.7% 5.2%
5 years 5.9% 5.4% 4.8%
10 years 6.2% 5.5% 5.4%
Inception 6.2% -- --
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
LIPPER
PIMCO MONEY MARKET
MONTH SHORT-TERM D INDEX
===== ============ ============
<S> <C> <C>
10/31/87 10,000.00 10,000.00
11/30/87 10,056.00 10,056.01
12/31/87 10,114.32 10,114.33
01/31/88 10,181.08 10,170.97
02/29/88 10,221.80 10,222.84
03/31/88 10,275.98 10,277.02
04/30/88 10,330.44 10,327.38
05/31/88 10,386.23 10,382.12
06/30/88 10,443.35 10,439.22
07/31/88 10,494.52 10,499.76
08/31/88 10,559.59 10,565.92
09/30/88 10,627.17 10,632.48
10/31/88 10,717.50 10,700.52
11/30/88 10,787.17 10,767.94
12/31/88 10,848.65 10,842.24
01/31/89 10,924.59 10,920.30
02/28/89 10,999.97 10,993.46
03/31/89 11,093.47 11,078.12
04/30/89 11,175.56 11,161.20
05/31/89 11,275.03 11,250.49
06/30/89 11,358.46 11,334.87
07/31/89 11,451.60 11,418.75
08/31/89 11,511.15 11,499.82
09/30/89 11,588.27 11,578.02
10/31/89 11,694.89 11,659.06
11/30/89 11,770.90 11,736.02
12/31/89 11,836.82 11,814.65
01/31/90 11,892.45 11,894.98
02/28/90 11,963.81 11,966.36
03/31/90 12,041.57 12,044.14
04/30/90 12,089.74 12,122.43
05/31/90 12,202.17 12,203.65
06/30/90 12,280.27 12,280.53
07/31/90 12,363.77 12,361.58
08/31/90 12,428.06 12,441.93
09/30/90 12,508.85 12,516.58
10/31/90 12,602.66 12,597.94
11/30/90 12,702.22 12,676.05
12/31/90 12,802.57 12,755.91
01/31/91 12,893.47 12,833.72
02/28/91 12,961.81 12,899.17
03/31/91 13,020.13 12,966.25
04/30/91 13,099.56 13,031.08
05/31/91 13,171.60 13,094.93
06/30/91 13,219.02 13,152.55
07/31/91 13,295.69 13,215.68
08/31/91 13,379.45 13,276.47
09/30/91 13,451.70 13,333.56
10/31/91 13,528.38 13,392.23
11/30/91 13,560.85 13,445.80
12/31/91 13,615.09 13,500.93
01/31/92 13,665.47 13,550.88
02/29/92 13,691.43 13,592.88
03/31/92 13,716.07 13,636.38
04/30/92 13,772.31 13,678.65
05/31/92 13,813.63 13,719.69
06/30/92 13,867.50 13,759.48
07/31/92 13,922.97 13,799.38
08/31/92 13,957.78 13,835.26
09/30/92 13,994.07 13,868.46
10/31/92 14,008.06 13,901.75
11/30/92 14,024.87 13,933.72
12/31/92 14,065.54 13,968.56
01/31/93 14,111.96 14,002.08
02/28/93 14,148.65 14,031.48
03/31/93 14,213.74 14,063.76
04/30/93 14,262.06 14,094.70
05/31/93 14,317.68 14,124.29
06/30/93 14,373.52 14,155.37
07/31/93 14,425.27 14,186.52
08/31/93 14,462.77 14,219.14
09/30/93 14,498.93 14,250.42
10/31/93 14,549.68 14,281.77
11/30/93 14,603.51 14,313.19
12/31/93 14,672.15 14,346.12
01/31/94 14,697.09 14,379.11
02/28/94 14,713.26 14,409.31
03/31/94 14,689.72 14,443.89
04/30/94 14,713.22 14,480.00
05/31/94 14,723.52 14,520.54
06/30/94 14,791.25 14,562.66
07/31/94 14,860.77 14,607.80
08/31/94 14,918.72 14,657.47
09/30/94 14,935.13 14,707.30
10/31/94 14,973.96 14,761.71
11/30/94 14,985.94 14,817.81
12/31/94 15,050.38 14,881.53
01/31/95 15,125.63 14,948.50
02/28/95 15,264.79 15,011.28
03/31/95 15,298.37 15,081.83
04/30/95 15,462.07 15,149.70
05/31/95 15,618.23 15,222.42
06/30/95 15,669.77 15,292.44
07/31/95 15,763.79 15,362.79
08/31/95 15,836.30 15,431.92
09/30/95 15,983.58 15,499.81
10/31/95 16,098.66 15,569.56
11/30/95 16,248.38 15,636.51
12/31/95 16,386.49 15,705.31
01/31/96 16,465.15 15,774.41
02/29/96 16,494.79 15,835.94
03/31/96 16,547.57 15,899.28
04/30/96 16,625.34 15,962.87
05/31/96 16,711.79 16,028.32
06/30/96 16,803.71 16,090.84
07/31/96 16,850.76 16,158.42
08/31/96 16,956.92 16,226.28
09/30/96 17,119.71 16,289.57
10/31/96 17,256.66 16,356.35
11/30/96 17,411.97 16,421.78
12/31/96 17,479.88 16,490.74
01/31/97 17,583.01 16,560.01
02/28/97 17,662.13 16,621.28
03/31/97 17,670.97 16,689.43
04/30/97 17,771.69 16,757.85
05/31/97 17,899.65 16,829.92
06/30/97 18,017.78 16,900.60
07/31/97 18,158.32 16,973.27
08/31/97 18,212.80 17,046.26
09/30/97 18,334.82 17,117,85
10/31/97 18,376.99 17,191.46
11/30/97 18,459.69 17,263.66
12/31/97 18,563.06 17,339.62
01/31/98 18,672.59 17,415.92
02/28/98 18,737.94 17,483.84
03/31/98 18,863.48 17,559.02
04/30/98 18,950.26 17,631.01
05/31/98 19,035.53 17,706.82
06/30/98 19,100.25 17,779.42
07/31/98 19,214.86 17,855.87
08/31/98 19,222.54 17,932.65
09/30/98 19,351.33 18,006.18
</TABLE>
*Past performance is not an indication of future results. These returns
represent the blended performance of the Fund's class D shares (for the period
from 4/8/98) and the prior performance of the Fund's institutional class shares,
adjusted for Class D expenses. Class D shares were first offered in April 1998.
The Fund may invest in foreign securities which involve potentially higher risks
including foreign currency fluctuations and political or economic uncertainty.
See page 21 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ------------------------------------
1 year or less 69%
- ------------------------------------
1-5 years 30%
- ------------------------------------
5-10 years 0%
- ------------------------------------
10-20 years 1%
- ------------------------------------
Duration 0.5 years
- ------------------------------------
Sector Breakdown
- ------------------------------------
Mortgage-Backed Securities 54.4%
- ------------------------------------
Corporate Bonds and Notes 22.8%
- ------------------------------------
Short-Term Instruments 8.0%
- ------------------------------------
Asset-Backed Securities 5.6%
- ------------------------------------
U.S. Government Agencies 4.5%
- ------------------------------------
Other 4.7%
- ------------------------------------
Quality Breakdown
- ------------------------------------
AAA 70%
- ------------------------------------
AA 2%
- ------------------------------------
A 15%
- ------------------------------------
BBB 7%
- ------------------------------------
BB 6%
- ------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
For the six-month period ended September 30, 1998, the Short-Term Fund posted a
return of 2.6%. Over the long term the fund outperformed the Lipper Ultra-Short
Obligation Fund Average for the 3-, 5-, 10-year and since inception periods
ended September 30, 1998.
As of September 30, 1998, the Fund's standardized yield was 5.6%+. This
yield outpaced the 7-day money market yield of 3.4% and outperformed the average
six-month CD yield of 4.5%, 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.
Holdings in mortgage-backed securities helped boost returns in the second
quarter, offering a higher yield than government securities of similar
durations. During the more challenging third quarter, however, the Fund
benefited from the diversified nature of its sector strategy. Small holdings of
dollar-denominated Latin American bonds, predominantly from Argentina and
Mexico, buffered the Fund from increased volatility and disappointing results in
the high yield sector.
The Fund's interest rate strategy also added to performance, as its
above-average duration helped it benefit from an anticipated Federal Reserve
easing and declining interest rate environment. The Fund was also successful
with its focus on high quality issues rated AA or better.
Looking ahead, the Fund manager anticipates maintaining its focus on
quality and above-index duration as it expects an ongoing slowdown in economic
growth and a continued decline in interest rates. Given this outlook, the
manager remains optimistic that the portfolio is well-positioned to achieve its
goals going forward.
See page 22 for financial details. 11
<PAGE>
September 30, 1998 PIMCO Low Duration Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily shorter-term, investment grade bonds.
DURATION RANGE:
1-3 years
FUND INCEPTION DATE:
5/11/87
TOTAL NET ASSETS:
$3,492 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/98
D Shares Lipper Shrt. Inv. Merrill Lynch
Grade Debt Fund 1-3 yr. Tsy.
Average Index
- --------------------------------------------------------------------------------
1 year 7.6% 6.7% 8.0%
5 years 6.5% 5.4% 6.0%
10 years 8.0% 7.0% 7.4%
Inception 8.0% -- --
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO Merrill Lynch
Month Low Duration D 1-3 yr. Tsy. Index
===== ============== ==================
<S> <C> <C>
05/31/87 10,000.00 10,000.00
06/30/87 10,091.00 10,108.97
07/31/87 10,125.31 10,158.49
08/31/87 10,121.26 10,166.55
09/30/87 10,093.93 10,127.39
10/31/87 10,254.43 10,350.99
11/30/87 10,367.22 10,413.51
12/31/87 10,425.28 10,479.85
01/31/88 10,595.21 10,647.83
02/29/88 10,669.38 10,735.16
03/31/88 10,733.40 10,758.11
04/30/88 10,775.26 10,771.59
05/31/88 10,796.81 10,756.21
06/30/88 10,895.06 10,867.58
07/31/88 10,949.53 10,875.74
08/31/88 10,991.14 10,898.91
09/30/88 11,090.06 11,025.50
10/31/88 11,189.87 11,135.51
11/30/88 11,201.06 11,105.60
12/31/88 11,248.11 11,131.74
01/31/89 11,339.22 11,219.17
02/28/89 11,353.96 11,218.94
03/31/89 11,394.83 11,270.32
04/30/89 11,527.01 11,442.77
05/31/89 11,761.01 11,613.79
06/30/89 12,015.05 11,830.60
07/31/89 12,188.06 12,005.62
08/31/89 12,128.34 11,931.78
09/30/89 12,186.58 12,002.55
10/31/89 12,344.98 12,183.76
11/30/89 12,453.62 12,298.53
12/31/89 12,513.40 12,347.72
01/31/90 12,502.13 12,357.97
02/28/90 12,584.65 12,415.56
03/31/90 12,648.83 12,457.39
04/30/90 12,637.45 12,481.80
05/31/90 12,847.23 12,672.77
06/30/90 12,982.12 12,806.08
07/31/90 13,121.03 12,965.91
08/31/90 13,143.34 13,004.68
09/30/90 13,211.68 13,111.38
10/31/90 13,304.17 13,255.42
11/30/90 13,459.82 13,385.84
12/31/90 13,601.15 13,548.20
01/31/91 13,723.56 13,672.30
02/28/91 13,829.23 13,753.52
03/31/91 13,942.63 13,846.21
04/30/91 13,637.45 13,977.34
05/31/91 14,108.55 14,061.76
06/30/91 14,302.49 14,118.85
07/31/91 14,456.96 14,241.83
08/31/91 14,660.80 14,437.22
09/30/91 14,848.46 14,593.44
10/31/91 14,973.19 14,750.17
11/30/91 15,131.90 14,903.42
12/31/91 15,383.09 15,130.55
01/31/92 15,392.32 15,107.40
02/29/92 15,464.67 15,159.52
03/31/92 15,469.31 15,154.22
04/30/92 15,574.50 15,292.88
05/31/92 15,728.69 15,432.35
06/30/92 15,871.82 15,589.88
07/31/92 16,078.15 15,764.83
08/31/92 16,181.05 15,903.25
09/30/92 16,338.01 16,054.65
10/31/92 16,339.64 15,958.64
11/30/92 16,344.54 15,932.63
12/31/92 16,511.26 16,083.99
01/31/93 16,663.16 16,250.94
02/28/93 16,856.45 16,389.88
03/31/93 16,947.48 16,439.05
04/30/93 17,023.74 16,540.97
05/31/93 17,039.06 16,494.66
06/30/93 17,204.34 16,616.23
07/31/93 17,259.39 16,654.77
08/31/93 17,423.36 16,800.00
09/30/93 17,486.08 16,854.60
10/31/93 17,603.24 16,887.64
11/30/93 17,615.56 16,891.86
12/31/93 17,735.35 16,954.19
01/31/94 17,827.57 17,063.04
02/28/94 17,747.35 16,954.01
03/31/94 17,665.71 16,869.58
04/30/94 17,603.88 16,809.86
05/31/94 17,580.99 16,833.73
06/30/94 17,612.64 16,883.56
07/31/94 17,772.92 17,028.75
08/31/94 17,844.01 17,088.70
09/30/94 17,813.67 17,049.90
10/31/94 17,808.33 17,088.27
11/30/94 17,808.33 17,012.05
12/31/94 17,794.08 17,050.50
01/31/95 17,954.23 17,287.84
02/28/95 18,176.86 17,525.38
03/31/95 18,245.93 17,623.17
04/30/95 18,470.36 17,780.19
05/31/95 18,800.98 18,090.81
06/30/95 18,893.10 18,188.14
07/31/95 18,894.99 18,263.44
08/31/95 19,095.28 18,372.11
09/30/95 19,261.41 18,461.39
10/31/95 19,402.02 18,617.21
11/30/95 19,623.20 18,781.78
12/31/95 19,850.83 18,926.03
01/31/96 19,991.77 19,086.90
02/29/96 19,857.82 19,006.16
03/31/96 19,843.92 18,989.25
04/30/96 19,847.89 19,005.20
05/31/96 19,861.79 19,044.16
06/30/96 20,058.42 19,180.90
07/31/96 20,120.60 19,256.47
08/31/96 20,215.17 19,322.52
09/30/96 20,496.16 19,497.78
10/31/96 20,787.20 19,717.32
11/30/96 21,063.67 19,868.35
12/31/96 21,002.59 18,868.35
01/31/97 21,172.71 19,961.54
02/28/97 21,253.16 20,007.45
03/31/97 21,161.78 19,999.64
04/30/97 21,413.60 20,163.04
05/31/97 21,589.19 20,300.55
06/30/97 21,753.27 20,440.43
07/31/97 22,099.15 20,665.07
08/31/97 22,081.47 20,684.08
09/30/97 22,271.37 20,841.07
10/31/97 22,431.72 20,995.92
11/30/97 22,492.29 21,046.94
12/31/95 22,660.98 21,190.69
01/31/98 22,828.67 21,396.45
02/28/98 22,901.72 21,414.85
03/31/98 22,995.62 21,502.01
04/30/98 23,112.90 21,602.64
05/31/98 23,256.20 21,717.78
06/30/98 23,307.36 21,830.71
07/31/98 23,412.24 21,932.88
08/31/98 23,498.87 22,208.58
09/30/98 23,971.20 22,502.84
</TABLE>
*Past performance is not an indication of future results. These returns
represent the blended performance of the Fund's Class D shares (for the period
from 4/8/98) and the prior performance of the Fund's institutional class shares,
adjusted for Class D expenses. Class D shares were first offered in April 1998.
The Fund may invest in foreign securities which involve potentially higher risks
including foreign currency fluctuations and political or economic uncertainty.
See page 21 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- -------------------------------------
1 year or less 31%
- -------------------------------------
1-5 years 64%
- -------------------------------------
5-10 years 5%
- -------------------------------------
Duration 2.4 years
- -------------------------------------
Sector Breakdown
- -------------------------------------
Mortgage-Backed Securities 57.4%
- -------------------------------------
Corporate Bonds and Notes 22.3%
- -------------------------------------
Short-Term Instruments 7.4%
- -------------------------------------
Sovereign Issues 4.0%
- -------------------------------------
U.S. Government Agencies 2.7%
- -------------------------------------
Other 6.2%
- -------------------------------------
Quality Breakdown
- -------------------------------------
AAA 89%
- -------------------------------------
AA 2%
- -------------------------------------
A 2%
- -------------------------------------
BBB 4%
- -------------------------------------
BB 3%
- -------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Low Duration Fund posted a strong return for the six-month period ended
September 30, 1998, with a return of 4.2%. The Fund outperformed the Lipper
Short Term Investment Grade Debt Fund Average of 3.8% for the same time period.
The Fund's above-index duration continued to boost performance, as interest
rates fell during the period due to investor flight to Treasuries amid
tumultuous global economic and political conditions. The Fund benefited from
price gains in issues with maturities from two to seven years, where yields
declined the most. Sector selection and diversification were also key factors
driving the Fund's primarily defensive portfolio.
The Fund's allocation to mortgage-backed bonds detracted from returns, but
its seasoned higher coupon holdings did better than expected as significant
prepayment risk was already reflected in their pricing. Effective security
selection also minimized the impact of earnings weakness in the corporate
sector. Limited holdings of U.S. dollar-denominated Latin American issues
suffered from general emerging markets troubles and could not keep pace with the
rally in U.S. Treasuries.
Looking ahead, the Fund's manager currently anticipates a slowing U.S.
economy resulting from the impact of global financial turbulence. Further, the
manager expects interest rates to continue lower with further Federal Reserve
action likely. Given this environment, the manager expects to maintain the
Fund's above-index duration as well as an overall sector risk posture near
current levels until attractive opportunities develop.
12 See page 24 for financial details.
<PAGE>
September 30, 1998 PIMCO Real Return Bond Fund
OBJECTIVE:
Maximum real return, consistent with preservation of real capital and prudent
investment management.
PORTFOLIO:
Primarily inflation-indexed bonds.
FUND INCEPTION DATE:
1/29/97
TOTAL NET ASSETS:
$11 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/98
D Shares Lipper Short Lehman Brothers
U.S. Govt. Inflation Linked
Fund Avg. Tsy. Index
- --------------------------------------------------------------------------------
1 year 6.2% 6.8% 5.7%
Inception 5.2% -- --
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman Brothers
PIMCO Inflation Linked
Month Real Return D Tsy. Index
======== ============= ================
<S> <C> <C>
01/31/97 10,000.00 10,000.00
02/28/97 10,031.00 10,033.00
03/31/97 9,937.71 9,895.55
04/30/97 9,996.34 9,955.91
05/31/97 10,053.32 10,009.68
06/30/97 10,028.19 9,977.65
07/31/97 10,148.53 10,072.43
08/31/97 10,166.80 10,102.64
09/30/97 10,183.06 10,122.85
10/31/97 10,308.31 10,227.11
11/30/97 10,358.82 10,284.39
12/31/97 10,301.85 10,241.20
01/31/98 10,358.51 10,291.38
02/28/98 10,344.01 10,282.11
03/31/98 10,363.66 10,276.98
04/30/98 10,416.52 10,315.00
05/31/98 10,456.10 10,388.24
06/30/98 10,488.51 10,414.19
07/31/98 10,566.13 10,462.51
08/31/98 10,570.36 10,486.26
09/30/98 10,812.42 10,697.04
</TABLE>
*Past performance is not an indication of future results. These returns
represent the blended performance of the Fund's Class D shares (for the period
from 4/8/98) and the prior performance of the Fund's institutional class shares,
adjusted for Class D expenses. Class D shares were first offered in April 1998.
The Fund may invest in foreign securities which involve potentially higher risks
including foreign currency fluctuations and political or economic uncertainty.
See page 21 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- -------------------------------------
1 year or less 15%
- -------------------------------------
1-5 years 46%
- -------------------------------------
5-10 years 37%
- -------------------------------------
10-20 years 1%
- -------------------------------------
20-30 years 0%
- -------------------------------------
Over 30 years 1%
- -------------------------------------
Duration 3.0 years
- -------------------------------------
Sector Breakdown
- -------------------------------------
U.S. Treasury Obligations 42.7%
- -------------------------------------
U.S. Government Agencies 21.6%
- -------------------------------------
Short-Term Instruments 14.6%
- -------------------------------------
Corporate Bonds and Notes 11.6%
- -------------------------------------
Asset-Backed Securities 4.4%
- -------------------------------------
Other 5.1%
- -------------------------------------
Quality Breakdown
- -------------------------------------
AAA 89%
- -------------------------------------
AA 2%
- -------------------------------------
A 3%
- -------------------------------------
BBB 3%
- -------------------------------------
BB 3%
- -------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
Inflation-indexed Treasury securities are an investment offered by the U.S.
government that provide an effective hedge against the effects of inflation.
Specifically, these bonds adjust their total annual yield for changes in the
inflation rate (as measured by the Consumer Price Index). If held to maturity,
the government guarantees the return of the initial principal amount of the
bond.
For the six-month period ended September 30, 1998, the Fund returned 4.3%.
The Fund has outperformed its benchmark, the Lehman Brothers Inflation Linked
Treasury Index, since its inception.
Fund performance benefited from the manager's correct expectation of lower
interest rates during the period. In addition, the Fund was helped by an
overweighting in securities with intermediate range maturities. The Fund also
gained yield from investments in U.S. corporate and agency inflation-indexed
issues. Detracting from the Fund's strong six months was some exposure to
conventional corporate bonds, which reflected the period's corporate
profitability problems.
Looking ahead, the Fund's manager continues to emphasize the need for
investors to protect themselves against inflation - despite the fact that
inflation is at historic lows. The manager believes that now is the time for
investors to consider inflation-indexed bond funds because investing when
inflation is low will permit investors to take maximum advantage of the
adjustments to principal that will come if prices increase.
See page 30 for financial details. 13
<PAGE>
September 30, 1998 PIMCO Total Return Fund
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
FUND INCEPTION DATE:
5/11/87
TOTAL NET ASSETS:
$22,366 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/98
D Shares Lipper Inter. Lehman Brothers
Inv. Grade Debt Agg. Bond
Fund Avg. Index
- --------------------------------------------------------------------------------
1 year 12.2% 10.0% 11.5%
5 years 7.6% 6.3% 7.2%
10 years 10.1% 8.5% 9.3%
Inception 9.8% -- --
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman Bros.
PIMCO Aggregate Bond
MONTH Total Return D Index
=========== ============== ===============
<S> <C> <C>
05/31/87 10,000.00 10,000.00
06/30/87 10,125.00 10,137.63
07/31/87 10,097.66 10,129.84
08/31/87 10,072.42 10,075.63
09/30/87 9,818.59 9,861.08
10/31/87 10,128.86 10,212.28
11/30/87 10,200.78 10,294.08
12/31/87 10,290.54 10,434.30
01/31/88 10,708.34 10,801.09
02/29/88 10,828.27 10,929.30
03/31/88 10,728.65 10,826.73
04/30/88 10,670.72 10,768.31
05/31/88 10,615.23 10,695.92
06/30/88 10,866.81 10,953.97
07/31/88 10,849.42 10,896.52
08/31/88 10,899.33 10,925.08
09/30/88 11,103.15 11,172.42
10/31/88 11,275.25 11,382.76
11/30/88 11,171.51 11,244.48
12/31/88 11,218.44 11,257.14
01/31/89 11,354.18 11,419.11
02/28/89 11,279.24 11,336.34
03/31/89 11,330.00 11,385.35
04/30/89 11,580.39 11,623.60
05/31/89 11,859.48 11,929.04
06/30/89 12,255.58 12,292.26
07/31/89 12,511.73 12,553.56
08/31/89 12,292.77 12,367.57
09/30/89 12,351.78 12,430.86
10/31/99 12,644.51 12,736.95
11/30/89 12,751.99 12,858.35
12/31/89 12,774.95 12,892.76
01/31/90 12,557.77 12,739.55
02/28/90 12,587.91 12,780.77
03/31/90 12,575.32 12,790.18
04/30/90 12,394.24 12,673.01
05/31/90 12,797.05 12,048.23
06/30/90 13,010.76 13,257.60
07/31/90 13,218.93 13,440.99
08/31/90 13,007.43 13,261.49
09/30/90 13,017.84 13,371.20
10/31/90 13,194.88 13,540.96
11/30/90 13,524.75 13,832.45
12/31/90 13,758.73 14,047.97
01/31/91 13,892.19 14,221.63
02/28/91 14,082.51 14,343.03
03/31/91 14,257.13 14,441.70
04/30/91 14,486.67 14,598.16
05/31/91 14,590.98 14,683.52
06/30/91 14,609.95 14,676.06
07/31/91 14,817.41 14,879.58
08/31/91 15,216.00 15,201.57
09/30/91 15,572.05 15,509.61
10/31/91 15,727.77 15,682.29
11/30/91 15,859.88 15,826.08
12/31/91 16,395.95 16,296.09
01/31/92 16,258.22 16,074.40
02/29/92 16,398.04 16,178.91
03/31/92 16,330.81 16,087.70
04/30/92 16,412.47 16,203.91
05/31/92 16,748.92 16,509.67
06/30/92 16,956.61 16,736.89
07/31/92 17,366.96 17,078.36
08/31/92 17,511.10 17,251.36
09/30/92 17,784.28 17,455.86
10/31/92 17,624.22 17,224.42
11/30/92 17,634.79 17,228.32
12/31/92 17,939.87 17,502.27
01/31/93 18,266.38 17,837.90
02/28/93 18,670.07 18,150.16
03/31/93 18,774.62 18,225.79
04/30/93 18,934.20 18,352.70
05/31/93 18,973.97 18,376.07
06/30/93 19,381.91 18,709.10
07/31/93 19,496.26 18,814.92
08/31/93 19,934.92 19,144.70
09/30/93 20,010.68 19,197.29
10/31/93 20,148.75 19,269.02
11/30/93 19,967.41 19,105.10
12/31/93 20,129.15 19,208.65
01/31/94 20,368.68 19,468.00
02/28/94 20,000.01 19,129.77
03/31/94 19,572.01 18,658.14
04/30/94 19,374.33 18,509.15
05/31/94 19,277.46 18,506.56
06/30/94 19,202.28 18,465.66
07/31/94 19,592.09 18,832.45
08/31/94 19,643.03 18,855.82
09/30/94 19,389.63 18,578.29
10/31/94 19,362.49 18,561.74
11/30/94 19,360.55 18,520.51
12/31/94 19,348.93 18,648.40
01/31/95 19,691.41 19,017.46
02/28/95 20,148.25 19,469.62
03/31/95 20,335.63 19,589.07
04/30/95 20,687.43 19,862.70
05/31/95 21,337.02 20,631.33
06/30/95 21,319.95 20,782.59
07/31/95 21,326.35 20,736.17
08/31/95 21,650.51 20,986.43
09/30/95 21,916.81 21,190.60
10/31/95 22,243.37 21,466.18
11/30/95 22,719.38 21,787.85
12/31/95 23,105.61 22,093.61
01/31/96 23,290.45 22,240.33
02/29/96 22,717.51 21,853.74
03/31/96 22,535.77 21,701.83
04/30/96 22,436.61 21,579.78
05/31/96 22,371.54 21,535.96
06/30/96 22,725.01 21,825.18
07/31/96 22,779.55 21,884.90
08/31/96 22,754.50 21,848.22
09/30/96 23,271.02 22,228.97
10/31/96 23,869.09 22,721.37
11/30/96 24,427.62 23,110.56
12/31/96 24,117.39 22,895.68
01/31/97 24,201.80 22,965.79
02/28/97 24,250.21 23,022.92
03/31/97 23,949.51 22,767.79
04/30/97 24,375.81 23,108.61
05/31/97 24,619.56 23,327.06
06/30/97 24,902.69 23,603.93
07/31/97 25,592.49 24,240.46
08/31/97 25,364.72 24,033.69
09/30/97 25,770.56 24,388.15
10/31/97 26,074.65 24,741.95
11/30/97 26,189.38 24,855.88
12/31/97 26,490.56 25,106.14
01/31/98 26,895.86 25,428.46
02/28/98 26,815.17 25,408.17
03/31/98 26,898.30 25,496.62
04/30/98 26,997.82 25,629.71
05/31/98 27,305.60 25,872.83
06/30/98 27,565.00 26,092.25
07/31/98 27,650.45 26,147.75
08/31/98 28,084.57 26,573.29
09/30/98 28,918.68 27,195.53
</TABLE>
*Past performance is not an indication of future results. These returns
represent the blended performance of the Fund's Class D shares (for the period
from 4/8/98) and the prior performance of the Fund's institutional class shares
adjusted for Class D expenses. Class D shares were first offered in April 1998.
The Fund may invest in foreign securities which involve potentially higher risks
including foreign currency fluctuations and political or economic uncertainty.
See page 21 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- -------------------------------------
1 year or less 0%
- -------------------------------------
1-5 years 51%
- -------------------------------------
5-10 years 16%
- -------------------------------------
10-20 years 20%
- -------------------------------------
20-30 years 13%
- -------------------------------------
Duration 4.5 years
- -------------------------------------
Sector Breakdown
- -------------------------------------
Mortgage-Backed Securities 45.7%
- -------------------------------------
Corporate Bonds & Notes 32.1%
- -------------------------------------
U.S. Treasury Obligations 6.8%
- -------------------------------------
Asset-Backed Securities 6.2%
- -------------------------------------
U.S.Government Agencies 3.4%
- -------------------------------------
Other 5.8%
- -------------------------------------
Quality Breakdown
- -------------------------------------
AAA 67%
- -------------------------------------
AA 4%
- -------------------------------------
A 17%
- -------------------------------------
BBB 6%
- -------------------------------------
BB 6%
- -------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Total Return Fund continues to deliver solid returns for investors. For the
six-month period ended September 30, 1998, the Fund returned 7.5%. This return
exceeded the Lipper Intermediate Investment Grade Debt Fund Average of 5.8% for
the same time period.
The Fund's manager was cautiously bullish in the second and third quarter
of 1998, with concerns about global economic problems amidst a favorable
interest rate environment. This strategy proved prudent, as the Fund benefited
from a combination of falling interest rates and favorable allocation
strategies. The Fund's above-index duration boosted returns, as yields fell
during the past two quarters, causing bond prices to rise. In particular, the
portfolio's focus on higher quality securities helped the Fund's performance. In
the last six months, as the global financial crisis deepened and economic
problems spread to several countries around the globe, nervous investors sought
safety in higher quality bonds. This led to relative price appreciation for
these issues, which benefited the Fund.
Our underweight position in corporate bonds also helped the Fund, as that
sector underperformed during the third quarter due to fears of a weakening U.S.
economy.
The biggest detriment to performance was the Fund's 3% exposure to emerging
markets, primarily in Argentina and Korea. While prices there fell due to
general emerging markets concerns, the manager believes these are two countries
that have fundamentally solid economies and are likely to meet their debt
obligations. In fact, in September, these countries outperformed the average
emerging markets country. As these holdings are in U.S. dollar-denominated debt,
the Fund has no currency exposure with these positions.
Going forward, the manager believes interest rates will continue to fall,
benefiting bond prices. Therefore, the manager anticipates maintaining a
slightly above-index duration to take advantage of its secular view. In
addition, as the manager expects an increase in financial uncertainties around
the world, it currently intends to focus on high quality Treasury and mortgage
securities for further stability while continuing to underweight corporate
securities and maintain small exposures to emerging markets and non-U.S. dollar
assets.
14 See page 32 for financial details.
<PAGE>
September 30, 1998 PIMCO Total Return Mortgage Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Intermediate-term mortgage-related securities.
DURATION RANGE:
2-6 years
FUND INCEPTION DATE:
7/31/97
TOTAL NET ASSETS:
$4 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/98
D Shares Lipper U.S.Mortgage Lehman Bros. Mortgage
Fund Average Index
- --------------------------------------------------------------------------------
1 year 9.8% 8.3% 8.6%
Inception 9.9% -- --
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO
Total Return Lehman Bros.
MONTH Mortgage D Mortgage Index
- ----- ------------ --------------
<S> <C> <C>
07/31/97 10,000.00 10,000.00
08/31/97 10,007.00 9,976.24
09/30/97 10,162.11 10,102.76
10/31/97 10,310.48 10,214.77
11/30/97 10,355.84 10,248.30
12/31/97 10,474.93 10,341.69
01/31/98 10,587.02 10,444.58
02/28/98 10,603.95 10,466.67
03/31/98 10,641.07 10,510.99
04/30/98 10,711.30 10,570.46
05/31/98 10,801.27 10,640.73
06/30/98 10,869.32 10,691.47
07/31/98 10,909.54 10,745.67
08/31/98 11,038.27 10,843.17
09/30/98 11,159.69 10,974.07
</TABLE>
*Past performance is not an indication of future results. These returns
represent the blended performance of the Fund's Class D shares (for the period
from 4/8/98) and the prior performance of the Fund's institutional class shares,
adjusted for Class D expenses. Class D shares were first offered in April 1998.
See page 21 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- -------------------------------------
1 year or less 20%
- -------------------------------------
1-5 years 71%
- -------------------------------------
5-10 years 9%
- -------------------------------------
Duration 1.8 years
- -------------------------------------
Sector Breakdown
- -------------------------------------
Mortgage-Backed Securities 71.3%
- -------------------------------------
U.S. Treasury Obligations 22.5%
- -------------------------------------
Short-Term Instruments 6.2%
- -------------------------------------
Quality Breakdown
- -------------------------------------
AAA 100%
- -------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Total Return Mortgage Fund outperformed its market benchmark, the Lehman
Brothers Mortgage Index for the six-months ended September 30, 1998. The Fund's
Class D shares returned 4.9% versus 4.4% for the Index.
Skepticism about a near-term recovery in Asia drove bond investors to the
safety of the U.S. Treasury market, pushing the yields on 30-year Treasury bonds
to new lows. Treasuries in general outperformed all other fixed income sectors,
including mortgage-backed securities.
Most mortgage-backed securities underperformed Treasuries during the third
quarter as investors worried that lower interest rates would spark increased
mortgage prepayments. However, the Fund's defensive strategy of holding
securities with lower prepayment risk added to returns during the period. A
limited exposure to well-structured, collateralized mortgage obligations (CMOs)
also helped to increase returns and added prepayment protection. The Fund's use
of adjustable rate mortgages detracted slightly from returns for the quarter, as
borrowers continued to refinance into fixed-rate loans.
The Total Return Mortgage Fund's returns were enhanced as its duration was
longer than its benchmark during the period of falling interest rates.
Incremental returns were also added due to the broader maturity mix the Fund
held compared to the Index. Holdings of intermediate-term issues benefited the
Fund, as intermediate yields fell by the greatest amount during the period.
Going forward, the manager expects the Federal Reserve Board to cut interest
rates further in coming months. The manager currently anticipates targeting a
duration slightly above its benchmark to capitalize on falling rates and
maintaining exposure to lower-coupon mortgage-backed securities due to
attractive yield spreads and better prepayment protection. In addition, the
manager intends to continue holding well-structured CMOs in order to position
the portfolio for price appreciation and continue to use adjustable rate
mortgages as attractive substitutes for short-term holdings.
See page 48 for financial details. 15
<PAGE>
September 30, 1998 PIMCO High Yield Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily high yield bonds.
DURATION RANGE:
2-6 years
FUND INCEPTION DATE:
12/16/92
TOTAL NET ASSETS:
$2,470 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/98
D Shares Lipper High Lehman Bros. BB
Current Yield Int. Corp.
Fund Avg. Index
- --------------------------------------------------------------------------------
1 year 4.7% -1.8% 6.0%
3 years 10.3% 8.2% 9.5%
5 years 10.5% 7.8% 9.3%
Inception 11.4% -- --
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
LONG-TE
MONTH :
GRO PIMCO Lehman Bros. BB
OF $ High-Yield D Int. Corp. Index
======== ============ ================
<S> <C> <C>
12/31/92 10,000.00 10,000.00
01/31/93 10,224.00 10,211.00
02/28/93 10,409.05 10,361.10
03/31/93 10,616.19 10,478.18
04/30/93 10,725.54 10,566.20
05/31/93 10,800.62 10,644.39
06/30/93 11,091.16 10,870.05
07/31/93 11,166.58 10,979.84
08/31/93 11,288.29 11,107.20
09/30/93 11,341.35 11,188.29
10/31/93 11,641.89 11,338.21
11/30/93 11,728.04 11,367.69
12/31/93 11,825.39 11,465.45
01/31/94 12,073.72 11,656.93
02/28/94 12,067.68 11,644.10
03/31/94 11,703.24 11,287.79
04/30/94 11,597.91 11,221.20
05/31/94 11,679.09 11,231.30
06/30/94 11,691.94 11,264.99
07/31/94 11,798.34 11,402.42
08/31/94 11,893.90 11,523.29
09/30/94 11,972.40 11,544.03
10/31/94 11,974.80 11,570.58
11/30/94 11,923.31 11,491.90
12/31/94 12,062.81 11,563.15
01/31/95 12,177.41 11,749.32
02/28/95 12,507.41 12,106.50
03/31/95 12,686.27 12,220.30
04/30/95 12,959.03 12,464.70
05/31/95 13,330.95 12,831.16
06/30/95 13,436.26 12,944.08
07/31/95 13,612.28 13,061.87
08/31/95 13,713.01 13,137.63
09/30/95 13,900.88 13,279.52
10/31/95 14,099.66 13,384.42
11/30/95 14,267.45 13,553.07
12/31/95 14,504.29 13,767.20
01/31/96 14,734.90 13,990.23
02/29/96 14,746.69 13,939.87
03/31/96 14,625.77 13,867.38
04/30/96 14,685.73 13,861.83
05/31/96 14,731.26 13,881.24
06/30/96 14,787.24 14,031.16
07/31/96 14,914.41 14,106.93
08/31/96 15,153.04 14,221.19
09/30/96 15,501.56 14,526.95
10/31/96 15,651.93 14,728.87
11/30/96 15,986.88 15,026.40
12/31/96 16,141.95 15,059.46
01/31/97 16,303.37 15,202.52
02/28/97 16,549.55 15,386.47
03/31/97 16,327.79 15,203.37
04/30/97 16,497.59 15,391.89
05/31/97 16,868.79 15,655.09
06/30/97 17,113.39 15,857.04
07/31/97 17,549.78 16,329.58
08/31/97 17,539.25 16,174.45
09/30/97 17,830.40 16,428.39
10/31/97 17,842.88 16,484.25
11/30/97 18,008.82 16,599.64
12/31/97 18,208.72 16,752.35
01/31/98 18,516.45 15,953.38
02/28/98 18,610.88 17,031.37
03/31/98 18,752.32 17,140.37
04/30/98 18,795.45 17,227.79
05/31/98 18,887.55 17,339.77
06/30/98 19,021.65 17,445.54
07/31/98 19,217.58 17,538.26
08/31/98 18,441.19 17,052.26
09/30/98 18,669.86 17,413.76
</TABLE>
*Past performance is not an indication of future results. These returns
represent the blended performance of the Fund's Class D shares (for the period
from 4/8/98) and the prior performance of the Fund's institutional class shares
adjusted for Class D expenses. Class D shares were first offered in April 1998.
The investments made by the High Yield Fund may involve high risk and may have
speculative characteristics. See page 21 for Footnotes, which include additional
details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ------------------------------------
1 year or less 8%
- ------------------------------------
1-5 years 19%
- ------------------------------------
5-10 years 63%
- ------------------------------------
10-20 years 6%
- ------------------------------------
20-30 years 4%
- ------------------------------------
Duration 4.8 years
- ------------------------------------
Sector Breakdown
- ------------------------------------
Corporate Bonds and Notes 82.0%
- ------------------------------------
Short-Term Instruments 6.2%
- ------------------------------------
Asset-Backed Securities 4.5%
- ------------------------------------
Preferred Stock 3.6%
- ------------------------------------
Mortgage-Backed Securities 1.9%
- ------------------------------------
Other 1.8%
- ------------------------------------
Quality Breakdown
- ------------------------------------
AAA 1%
- ------------------------------------
BBB 4%
- ------------------------------------
BB 55%
- ------------------------------------
B 40%
- ------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
Despite a difficult period in the high yield market for the six-month period
ended September 30, 1998, the PIMCO High Yield Fund produced strong relative
results. During that time, the Fund returned -0.5%. This return compares quite
favorably to the Lipper High Current Yield Fund Average, which lost 6.9%. The
Fund also performed well over the long term, outperforming this benchmark over
the three- and five-year periods, and since its inception.
The Fund's manager invests primarily in upper-tier high yield bonds, which
helps to limit the portfolio's exposure to defaults. In recent months, this
strategy has paid off handsomely. Much of the high yield market suffered large
losses as the high yield corporate sector was hit by worries about growing
global turmoil and its effect on domestic profits.
The Fund managed to avoid the problems which beset many of its peers for
several reasons. Most importantly, the conservative industry orientation and
credit quality of the Fund minimized losses. During the past 12 months, the
manager sought downside protection by increasing holdings in non-cyclical bonds.
These sectors, most notably healthcare and utilities, are generally not impacted
by consumer discretionary spending and not as sensitive to economic downturns. A
favorite holding is Tenet Healthcare, one of the nation's most efficiently
operated networks of quality hospitals, which represents approximately 1.75% of
the portfolio.
The Fund's outperformance was also due to an underweighting in commodity
dependent industries - including paper, steel, chemicals and textiles. These
sectors are most vulnerable to downward price pressure from markets with
devaluing currencies, whose products are more price-competitive. Another aspect
of the Fund's conservative strategy is a bank loan orientation. Bank loan issues
by high-yield companies are one of the safest places in the high-yield
marketplace. Since they are the first in line for repayment, they tend to hold
up well in uncertain times. In addition, the Fund was helped by an above-index
duration which led to periods of appreciation as interest rates declined.
The Fund was negatively impacted by holdings of single B-rated credits.
However, seeking principal protection, the manager has increased holdings of
higher-rated securities and raised the average quality of bonds in the
portfolio. The single B-rated portion of the portfolio is now 40% as of 9/30,
down from 50% in the first quarter.
Going forward, the manager expects to be very cautious. However, it has
begun to see values in this market now that prices have come down dramatically.
Therefore, it currently anticipates selectively purchasing downtrodden issues
with strong fundamentals while maintaining an average quality rating of BB and
an average duration in an above-index range of 4.5-4.8 years.
16 See page 49 for financial details.
<PAGE>
September 30, 1998 PIMCO Municipal Bond Fund
OBJECTIVE:
High current income exempt from federal income tax, consistent with preservation
of capital.
PORTFOLIO:
Investment grade municipal bonds.
DURATION RANGE:
3-10 years
FUND INCEPTION DATE:
12/31/97
TOTAL NET ASSETS:
$57 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
Average Annual Total Return For period ended 9/30/98
D Shares Lipper Lehman Bros. General
Gen. Municipal Municipal Bond
Bond Fund Avg. Index
- --------------------------------------------------------------------------------
Inception 5.6% -- --
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman Bros.
PIMCO General
Municipal Municipal Bond
MONTH Bond D Index
========== ============== ================
<S> <C> <C>
12/31/97 10,000.00 10,000.00
01/31/98 10,115.00 10,103.00
02/28/98 10,065.44 10,106.03
03/31/98 10,070.47 10,115.12
04/30/98 10,000.98 10,069.61
05/31/98 10,196.00 10,228.71
06/30/98 10,227.61 10,268.60
07/31/98 10,235.79 10,294.27
08/31/98 10,423.11 10,453.83
09/30/98 10,559.65 10,584.50
</TABLE>
*Past performance is not an indication of future results. These returns
represent the blended performance of the Fund's Class D shares (for the period
from 4/8/98) and the prior performance of the Fund's institutional class shares,
adjusted for Class D expenses. Class D shares were first offered in April 1998.
See page 21 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ------------------------------------
1 year or less 6%
- ------------------------------------
1-5 years 17%
- ------------------------------------
5-10 years 57%
- ------------------------------------
10-20 years 20%
- ------------------------------------
Duration 7.2 years
- ------------------------------------
Sector Breakdown
- ------------------------------------
Municipal Bonds & Notes 99.9%
- ------------------------------------
Short-Term Instruments 0.1%
- ------------------------------------
Quality Breakdown
- ------------------------------------
AAA 59%
- ------------------------------------
AA 15%
- ------------------------------------
A 15%
- ------------------------------------
BBB 10%
- ------------------------------------
BB 1%
- ------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Municipal Bond Fund was launched on December 31, 1997. The Fund seeks to
provide high current income exempt from federal taxes. In addition, the Fund has
a secondary objective of capital appreciation. For the six months ended
September 30, 1998, the Fund returned 4.9%.
The manager maintained a relatively long duration for the Fund during recent
months, which allowed it to maximize the benefits of falling interest rates. The
Fund also benefited from its high average quality, with 90% of the portfolio
invested in securities rated A or better. This high-quality portfolio has helped
to limit downside risk, and the manager anticipates this strategy to continue.
The Fund was negatively impacted by holdings of callable bonds which dragged
down performance as yields fell. Supply in the municipal market continues to be
heavy as government entities seek to take advantage of the low interest rate
environment. This has kept prices low and allowed the manager to find
opportunities in the market.
Going forward, the duration of the portfolio will be slightly longer than the
index. We will seek opportunities for attractive municipal investments through
in-depth credit analysis. Our goal is to identify municipal bonds that are
"cheap" relative to their quality while focusing on issues with stable or
improving credit profiles.
See page 53 for financial details. 17
<PAGE>
September 30, 1998 PIMCO Foreign Bond Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management (non-U.S.).
PORTFOLIO:
Primarily investment grade foreign bonds.
DURATION RANGE:
3-7 years
FUND INCEPTION DATE:
12/3/92
TOTAL NET ASSETS:
$561 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/98
D Shares Lipper Intl. J.P. Morgan
Income Fund Non-U.S.
Average Index (Hedged)
- --------------------------------------------------------------------------------
1 year 10.1% 7.7% 14.2%
3 years 14.5% 6.9% 13.1%
5 years 10.2% 6.2% 10.2%
Inception 11.0% -- --
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
J.P. Morgan
PIMCO Non-U.S.
MONTH Foreign D Index (Hedged)
======== ========= ==============
<S> <C> <C>
12/31/92 10,000.00 10,000.00
01/31/93 10,079.00 10,091.00
02/28/93 10,296.71 10,273.65
03/31/93 10,331.72 10,279.82
04/30/93 10,327.58 10,280.84
05/31/93 10,417.43 10,338.42
06/30/93 10,660.16 10,549.32
07/31/93 10,824.33 10,667.47
08/31/93 11,083.03 10,889.36
09/30/93 11,122.93 10,936.18
10/31/93 11,284.21 11,081.63
11/30/93 11,312.42 11,159.20
12/31/93 11,589.57 11,390.20
01/31/94 11,601.16 11,333.25
02/28/94 11,290.25 11,078.25
03/31/94 11,089.28 10,977.44
04/30/94 10,980.61 10,899.49
05/31/94 10,815.90 10,778.51
06/30/94 10,612.56 10,668.57
07/31/94 10,675.18 10,738.98
08/31/94 10,566.29 10,635.88
09/30/94 10,580.02 10,645.46
10/31/94 10,617.06 10,686.97
11/30/94 10,769.94 10,837.66
12/31/94 10,695.63 10,812.73
01/31/95 10,764.08 10,930.59
02/28/95 10,830.82 11,071.60
03/31/95 10,834.07 11,297.46
04/30/95 11,095.17 11,477.09
05/31/95 11,526.77 11,853.54
06/30/95 11,453.00 11,814.42
07/31/95 11,667.17 11,963.28
08/31/95 11,885.35 12,067.36
09/30/95 12,050.55 12,258.02
10/31/95 12,248.18 12,395.32
11/30/95 12,724.64 12,666.77
12/31/95 12,909.14 12,784.57
01/31/96 13,221.54 12,939.27
02/29/96 12,935.96 12,786.59
03/31/96 13,141.64 12,892.71
04/30/96 13,455.73 13,047.43
05/31/96 13,502.82 13,136.15
06/30/96 13,651.35 13,245.18
07/31/96 13,779.67 13,344.52
08/31/96 14,113.14 13,522.00
09/30/96 14,504.08 13,810.02
10/31/96 14,857.98 14,037.88
11/30/96 15,213.08 14,318.64
12/31/96 15,289.15 14,338.69
01/31/97 15,527.66 14,517.93
02/28/97 15,606.85 14,610.84
03/31/97 15,407.08 14,533.41
04/30/97 15,545.74 14,690.37
05/31/97 15,621.92 14,766.76
06/30/97 15,931.23 15,017.79
07/31/97 16,162.24 15,256.57
08/31/97 16,091.12 15,274.88
09/30/97 16,433.86 15,545.25
10/31/97 16,236.66 15,644.73
11/30/97 16,450.98 15,757.38
12/31/97 16,686.23 15,962.23
01/31/98 16,921.50 16,174.49
02/28/98 17,072.11 16,318.48
03/31/98 17,280.39 16,463.71
04/30/98 17,335.68 16,547.68
05/31/98 17,476.10 16,774.38
06/30/98 17,559.99 16,846.51
07/31/98 17,833.92 17,003.18
08/31/98 17,685.90 17,338.14
09/30/98 18,085.60 17,749.06
</TABLE>
*Past performance is not an indication of future results. These returns
represent the blended performance of the Fund's Class D shares (for the period
from 4/8/98) and the prior performance of the Fund's institutional class shares,
adjusted for Class D expenses. Class D shares were first offered in April 1998.
Foreign investing involves potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. See page 21 for Footnotes,
which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- -----------------------------------------
1 year or less 0%
- -----------------------------------------
1-5 years 40%
- -----------------------------------------
5-10 years 50%
- -----------------------------------------
10-20 years 2%
- -----------------------------------------
20-30 years 8%
- -----------------------------------------
Duration 6.2 years
- -----------------------------------------
Top 10 Countries
- -----------------------------------------
1. United States 6. Germany
- -----------------------------------------
2. Australia 7. Greece
- -----------------------------------------
3. United Kingdom 8. Canada
- -----------------------------------------
4. Italy 9. Finland
- -----------------------------------------
5. Spain 10. New Zealand
- -----------------------------------------
Quality Breakdown
- -----------------------------------------
AAA 64%
- -----------------------------------------
AA 19%
- -----------------------------------------
A 6%
- -----------------------------------------
BBB 6%
- -----------------------------------------
BB 4%
- -----------------------------------------
B 1%
- -----------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Foreign Bond Fund returned 4.7% for the six-month period ended September 30,
1998. This return underperformed the Lipper International Income Fund Average's
7.0% for the period. However, the Fund has done well over the long term, as it
outperformed the Lipper Average for the three-year period and since its
inception.
One of the key factors detracting from the Fund's performance was the
heightened turmoil in emerging markets during the second and third quarters.
Russia's debt default heightened investor concern about the IMF's willingness
and ability to lend assistance to other struggling economies. With many
leveraged investors in the most volatile markets forced to liquidate positions,
many markets were dragged down far further than their fundamentals warranted.
But, several positive factors helped to boost the Fund's performance in
recent months. The Fund's bullish duration stance proved beneficial as global
yields declined during the period. The Fund's overweighting in 30-year German
bonds added to performance as core European markets also rallied on flight to
quality, low inflation and anticipation of the European Monetary Union. Further,
the Fund was helped by having no exposure to Russia and only modest exposure to
the better performing emerging markets.
An overweight position in Greece hurt performance as positive European
economic numbers were offset by investors' flight to quality. As yield premiums
in dollar-denominated Latin American and Eastern European issues continued to
widen, modest emerging market positions also declined. The Fund's limited
currency strategy also detracted from performance. In Europe, the Fund
overweighted the Norwegian krone versus the German deutschemark and the Swiss
franc, in addition to the yen versus the dollar and subsequently the
deutschemark. The yen underweight was a drag on performance as the yen
strengthened largely on technical factors.
Going forward, the manager anticipates holding a portfolio with a slightly
longer duration than the index to capitalize on further expected interest rate
declines. As the manager believes that under these turbulent market conditions
it is prudent to remain heavily weighted in higher quality securities to reduce
risk, it will continue to focus on high-quality foreign bond market
opportunities.
18 See page 56 for financial details.
<PAGE>
September 30, 1998 PIMCO Strategic Balanced Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital.
PORTFOLIO:
S&P 500 Index futures and short- and intermediate-term investment grade bonds.
FUND INCEPTION DATE:
6/28/96
TOTAL NET ASSETS:
$38 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/98
D Shares 60% S&P 500 Index and Lipper Lipper
40% Lehman Brothers Agg. Balanced Balanced
Bond Index Index Fund Avg.
- --------------------------------------------------------------------------------
1 year 9.5% 10.6% 4.7% 3.3%
Inception 17.9% -- -- --
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
PIMCO Lipper
Strategic Balanced
MONTH Balanced D Index
======= ========== ===========
06/30/96 10,000.00 10,000.00
07/31/96 9,731.65 9,742.60
08/31/96 9,880.75 9,896.32
09/30/96 10,347.99 10,262.39
10/31/96 10,626.27 10,480.06
11/30/96 11,212.71 10,968.43
12/31/96 11,007.05 10,833.52
01/31/97 11,467.43 11,165.02
02/28/97 11,531.71 11,206.33
03/31/97 11,155.50 10,880.23
04/30/97 11,661.10 11,207.72
05/31/97 12,145.20 11,666.12
06/30/97 12,503.64 12,040.60
07/31/97 13,266.73 12,725.71
08/31/97 12,797.94 12,322.31
09/30/97 13,255.30 12,813.97
10/31/97 13,068.49 12,580.75
11/30/97 13,409.17 12,810.98
12/31/97 13,611.45 13,000.58
01/31/98 13,797.83 13,091.59
02/28/98 14,345.47 13,611.32
03/31/98 14,822.64 14,027.83
04/30/98 14,952.03 14,124.62
05/31/98 14,787.28 13,961.96
06/30/98 15,216.37 14,235.04
07/31/98 15,122.03 14,068.49
08/31/98 13,711.14 12,855.78
09/30/98 14,513.24 13,411.15
*Past performance is not an indication of future results. These returns
represent the blended performance of the Fund's Class D shares (for the period
from 4/8/98) and the prior performance of the Fund's institutional class shares,
adjusted for Class D expenses. Class D shares were first offered in April 1998.
Foreign investing involves potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. See page 21 for Footnotes,
which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- -------------------------------------
1 year or less 52%
- -------------------------------------
1-5 years 45%
- -------------------------------------
5-10 years 3%
- -------------------------------------
10-20 years 0%
- -------------------------------------
Duration 2.4 years
- -------------------------------------
Sector Breakdown
- -------------------------------------
Mortgage-Backed Securities 37.3%
- -------------------------------------
Corporate Bonds & Notes 26.9%
- -------------------------------------
Short-Term Instruments 14.3%
- -------------------------------------
U.S. Treasury Obligations 8.0%
- -------------------------------------
Sovereign Issues 5.6%
- -------------------------------------
Other 7.9%
- -------------------------------------
Quality Breakdown
- -------------------------------------
AAA 78%
- -------------------------------------
AA 6%
- -------------------------------------
A 6%
- -------------------------------------
BBB 4%
- -------------------------------------
BB 6%
- -------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Strategic Balanced Fund returned -2.1% for Class D shares versus the -4.4%
return of the Lipper Balanced Fund Index. The equity portion of the portfolio
outperformed the S&P 500 Index, which declined 7.0% during the period as turmoil
in global financial markets negatively affected earnings expectations. The fixed
income portion outperformed the Lehman Brothers Aggregate Bond Index, which
gained 6.7% as declining yields created price appreciation for all Index asset
classes.
The equity portion of the portfolio seeks total return in excess of the
Standard & Poor's 500 Index (S&P 500). This exposure, mostly through futures
contracts, is sought through an enhanced index strategy. These futures are
purchased with a small percentage of the portfolio's assets, and the manager is
then free to use the remaining assets to invest in an actively managed portfolio
of short-term, investment grade bonds. The equity portfolio outperformed its
benchmark due to above-index duration and favorable futures pricing. Overall,
the Fund's large weighting in equities reduced its relative performance as stock
markets underperformed bond markets.
Our fixed income portfolio surpassed its benchmark with a cautiously bullish
strategy in the second and third quarter of 1998. This strategy was successful,
as the portfolio benefited from falling interest rates and favorable allocation
strategies. The portfolio's above-index duration boosted returns, as yields
fell, causing bond prices to rise, and the portfolio's focus on higher quality
securities helped performance. An underweight position in corporate bonds also
helped the portfolio, as that sector underperformed during the third quarter due
to fears of a weakening U.S. economy. The sector which most hurt the portfolio's
performance was a small exposure to dollar-denominated emerging market debt,
primarily in Argentina and Korea, two countries which the manager feels have
solid economies and are likely to meet their debt obligations.
At the end of the third quarter, the Fund's equity allocation was reduced
from 62% to 57%, based on the manager's consensus forecast of a near-term peak
in the current U.S. economic expansion. Going forward, for the equity portion of
the portfolio, the manager intends to target an above-neutral duration of 0.5
years to benefit from potential short-term interest rate declines. The manager
also currently intends to invest in short-duration mortgages, asset-backed
securities and corporate bonds to improve yields while limiting credit spread
exposure. In the fixed income portion, the manager anticipates targeting a
duration that is modestly above benchmark and maintaining an overweight position
in intermediate maturities. Finally, the manager plans to invest in mortgages
which are less prepayment-sensitive and underweight corporates due to pressures
on earnings.
See page 60 for financial details. 19
<PAGE>
September 30, 1998 PIMCO StocksPLUS Fund
OBJECTIVE:
Total return which exceeds that of the S&P 500 Index.
PORTFOLIO:
Primarily S&P 500 Index futures and short-term bonds.
DURATION RANGE:
0-1 years
FUND INCEPTION DATE:
5/14/93
TOTAL NET ASSETS:
$780 million
PIMCO ADVISORS INSTITUTIONAL MANAGER:
Pacific Investment Management Company
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 9/30/98
D Shares Lipper Growth &
Income Fund S&P 500
Average Index
- --------------------------------------------------------------------------------
1 year 8.1% -1.0% 9.1%
3 years 22.1% 16.7% 22.6%
5 years 20.3% 15.1% 19.9%
Inception 20.0% -- --
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO S&P 500
MONTH STOCKSPLUS D INDEX
----- ------------ -------
<S> <C> <C>
05/31/93 10,000.00 10,000.00
06/30/93 10,054.00 10,029.00
07/31/93 10,024.84 9,988.98
08/31/93 10,410.80 10,367.96
09/30/93 10,301.49 10,288.44
10/31/93 10,526.06 10,501.31
11/30/93 10,409.22 10,401.23
12/31/93 10,585.14 10,526.98
01/31/94 10,938.68 10,884.90
02/28/94 10,595.20 10,589.49
03/31/94 10,122.66 10,127.78
04/30/94 10,248.18 10,257.62
05/31/94 10,436.75 10,425.95
06/30/94 10,207.14 10,170.41
07/31/94 10,600.11 10,504.40
08/31/94 10,078.18 10,935.09
09/30/94 10,890.96 10,667.72
10/31/94 11,064.12 10,907.43
11/30/94 10,718.92 10,510.18
12/31/94 10,857.20 10,666.04
01/31/95 11,154.68 10,942.61
02/28/95 11,649.95 11,369.05
03/31/95 11,964.50 11,704.55
04/30/95 12,348.56 12,049.25
05/31/95 12,903.01 12,530.86
06/30/95 13,183.01 12,821.95
07/31/95 13,586.41 13,247.12
08/31/95 13,678.79 13,280.37
09/30/95 14,254.67 13,840.81
10/31/95 14,231.86 13,791.39
11/30/95 14,912.15 14,396.84
12/31/95 15,185.04 14,674.12
01/31/96 15,725.63 15,173.63
02/29/96 15,766.51 15,314.28
03/31/96 15,974.63 15,461.76
04/30/96 16,174.31 15,689.67
05/31/96 16,530.15 16,094.30
06/30/96 16,687.18 16,155.62
07/31/96 15,902.89 15,441.87
08/31/96 16,236.85 15,767.54
09/30/96 17,181.83 16,654.93
10/31/96 17,726.50 17,114.28
11/30/96 19,038.26 18,407.95
12/31/96 18,619.41 18,043.28
01/31/97 19,760.78 19,170.63
02/28/97 19,907.01 19,320.93
03/31/97 18,999.25 18,527.03
04/30/97 20,171.51 19,633.09
05/31/97 21,444.33 20,828.36
06/30/97 22,332.13 21,761.47
07/31/97 24,167.83 23,493.03
08/31/97 22,855.68 22,176.95
09/30/97 24,036.63 23,391.58
10/31/97 23,257.84 22,610.30
11/30/97 24,204.44 23,656.93
12/31/97 24,640.12 24,063.12
01/31/98 24,975.22 24,329.26
02/28/98 26,648.56 26,083.88
03/31/98 27,970.33 27,419.64
04/30/98 28,308.77 27,695.48
05/31/98 27,734.11 27,219.40
06/30/98 28,815.74 28,325.05
07/31/98 28,495.88 28,023.39
08/31/98 24,133.16 23,971.76
09/30/98 25,972.11 25,507.40
</TABLE>
*Past performance is not an indication of future results. These returns
represent the blended performance of the Fund's Class D shares (for the period
from 4/8/98) and the prior performance of the Fund's institutional class shares,
adjusted for Class D expenses. Class D shares were first offered in April 1998.
The Fund may invest in foreign securities which involve potentially higher risks
including foreign currency fluctuations and political or economic uncertainty.
See page 21 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- -------------------------------------
1 year or less 0%
- -------------------------------------
1-5 years 99%
- -------------------------------------
5-10 years 0%
- -------------------------------------
10-20 years 1%
- -------------------------------------
Duration: 0.8 years
- -------------------------------------
Sector Breakdown
- -------------------------------------
Corporate Bonds and Notes 34.6%
- -------------------------------------
Short-Term Instruments 33.0%
- -------------------------------------
Mortgage-Backed Securities 17.9%
- -------------------------------------
U.S.Treasury Obligations 5.7%
- -------------------------------------
Sovereign Issues 4.3%
- -------------------------------------
Other 4.5%
- -------------------------------------
Quality Breakdown
- -------------------------------------
AAA 46%
- -------------------------------------
AA 6%
- -------------------------------------
A 20%
- -------------------------------------
BBB 17%
- -------------------------------------
BB 11%
- -------------------------------------
- --------------------------------------------------------------------------------
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 overall stock
market. The manager is then free to use the remaining assets to invest in an
actively managed portfolio of short-term, investment grade bonds that can add
incremental return beyond that of the S&P 500 Index.
The S&P 500 Index fell substantially in late July and throughout August as
global financial uncertainty, including increased concerns about corporate
profitability, spread to the U.S. stock market. Although the S&P 500 Index
partially rebounded during September, its return for the six-month period ended
September 30, 1998 was down 7.0%. The Fund returned -7.2% for the same period.
This return outperformed the Lipper Growth and Income Fund Average of -12.2% for
the same time period.
An above-index duration on the fixed income portfolio used to back the
Fund's S&P 500 Index exposure enhanced the Fund's performance. The Fund's
duration strategy boosted returns, as the Federal Reserve Board cut interest
rates and Treasury yields fell during the past two quarters, causing bond prices
to rise.
Investment-grade and high yield corporate holdings detracted from overall
performance amid heightened concerns about credit risk and the effect a slowing
global economy would have on corporate profits. Another sector which hurt
performance was mortgage-backed security holdings, which performed poorly
relative to Treasuries as declining interest rates elevated prepayment risks.
Finally, a small allocation to select emerging market securities suffered the
greatest relative price decline as risk premiums in this sector increased
significantly due to economic and political instability.
Going forward, the Fund's manager expects to see a continued slowdown in
U.S. economic growth. To maximize return in this type of environment, the
manager currently anticipates maintaining the Fund's above-index duration in its
fixed income portfolio.
20 See page 62 for financial details.
<PAGE>
September 30, 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.
+Yield is calculated in accordance with current Securities and Exchange
Commission regulations and is based on the one-month period ended September 30,
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 Non-U.S. Index (Hedged) is an
index of currency-hedged foreign government bonds. The Lehman Brothers 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 Brothers
Inflation Linked Treasury Index is an index of inflation liked Treasury bonds.
The Lehman Brothers Aggregate Bond Index is an index of a variety of bonds. The
Lipper Money Market Index is an index of money market funds. The Standard &
Poor's 500 Index is an index of stocks of companies with large-capitalization
stocks.
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 information on the PIMCO equity funds, contact you 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, www.pimcofunds.com, 1-800-227-7337. Please
read the prospectus carefully before you invest or send money.
21
<PAGE>
Schedule of Investments
Short-Term Fund
September 30, 1998 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 23.5%
- --------------------------------------------------------------------------------
Banking & Finance 16.7%
AT&T Capital Corp.
5.850% due 01/05/99 $ 3,585 $ 3,588
Bankers Trust
5.788% due 05/11/03(d) 11,000 11,019
Capital One Bank
6.740% due 05/31/99 875 880
Caterpillar Financial
5.400% due 04/01/99(d) 2,000 2,002
Chrysler Financial Corp.
5.625% due 01/15/99 570 570
Dean Witter Discover
5.938% due 02/13/01(d) 5,000 5,009
Donaldson, Lufkin & Jenrette
6.438% due 01/05/99(d) 613 614
Ford Motor Credit Corp.
5.480% due 11/09/98(d) 2,600 2,600
5.330% due 03/23/99(d) 1,000 999
5.293% due 04/05/99(d) 1,500 1,496
7.750% due 10/01/99 1,795 1,835
General Motors Acceptance Corp.
8.400% due 10/15/99 2,450 2,525
5.772% due 01/08/02(d) 1,000 999
5.788% due 08/18/03(d) 1,575 1,575
Goldman Sachs & Co.
5.748% due 07/31/00(d) 8,000 8,005
Heller Financial, Inc.
5.738% due 07/06/99(d) 15,000 15,002
Lehman Brothers, Inc.
5.040% due 09/01/99(d) 3,000 3,000
Residential Funding
7.546% due 12/01/18(d) 1,810 1,846
Salomon, Inc.
6.030% due 02/11/99 500 501
Salomon, Smith Barney Holdings
3.650% due 02/14/02(g) 3,087 3,000
-----------
67,065
===========
Industrials 3.3%
Air Canada
6.425% due 07/31/05(d) 2,000 1,658
Amerco, Inc.
6.890% due 10/15/00 5,000 5,123
COFIRI International, Inc.
5.987% due 10/27/00(d) 2,000 1,995
Maytag Corp.
8.875% due 07/15/99 500 514
Occidental Petroleum
5.900% due 11/09/98 1,100 1,099
Sears Roebuck & Co.
5.492% due 03/10/99(d) 3,000 3,000
-----------
13,389
===========
Utilities 3.5%
Bridas Corp.
10.250% due 12/07/98 9,950 10,025
Niagara Mohawk Power
9.990% due 05/11/04 1,500 1,518
System Energy Resources
7.625% due 04/01/99 2,500 2,523
-----------
14,066
-----------
Total Corporate Bonds & Notes 94,520
(Cost $94,498) ===========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 4.7%
- --------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.702% due 04/25/04(d) 3,761 3,761
5.823% due 04/25/07(d) 15,000 14,996
-----------
Total U.S. Government Agencies 18,757
(Cost $18,756) ===========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 56.0%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 34.0%
Dime Savings
7.119% due 11/01/18(d) 415 382
Donaldson, Lufkin & Jenrette
6.460% due 10/17/20(d) 1,029 1,060
7.795% due 09/01/21(d) 59 60
7.040% due 06/25/22(d) 367 369
7.447% due 05/25/23(d) 391 395
Federal Home Loan Mortgage Corp.
6.210% due 02/25/00 5,000 5,000
6.000% due 03/15/05 2,978 3,000
6.000% due 02/15/07 1,375 1,387
5.750% due 10/15/16 204 205
Federal National Mortgage Assn.
6.500% due 10/18/06 1,600 1,613
6.000% due 02/25/08 2,350 2,377
5.661% due 07/25/08(d) 2,397 2,388
5.800% due 08/25/15 1,390 1,397
6.000% due 08/18/16 47,726 48,217
5.875% due 03/25/18 288 289
7.000% due 05/25/18 12,500 12,633
5.850% due 05/25/19 3,638 3,700
6.000% due 06/25/20 959 962
5.000% due 02/25/22 324 324
First Plus Home Loan Trust
6.060% due 11/10/11 5,000 5,046
General Electric Capital Mortgage
6.750% due 12/25/12 14,719 14,949
Greenwich
7.661% due 04/25/22(d) 167 170
7.127% due 10/25/22(d) 112 113
Housing Securities, Inc.
6.000% due 02/25/08 4,534 4,557
NationsBank Corp.
6.125% due 10/20/13 20,000 20,019
Prudential Bache
6.153% due 09/01/18(d) 40 40
Prudential Home
6.950% due 11/25/22 233 238
Resolution Trust Corp.
6.941% due 06/25/24(d) 458 457
Structured Asset Securities Corp.
7.000% due 01/20/21 5,271 5,330
Structured Mortgage Asset Residential Trust
6.500% due 08/25/21 461 464
------------
137,141
============
Federal Home Loan Mortgage Corporation 0.8%
6.250% due 10/15/16 3,000 3,020
------------
Federal National Mortgage Association 9.1%
6.000% due 12/18/14 11,994 12,056
6.150% due 09/25/16 14,131 14,236
8.500% due 01/01/26 3,300 3,446
8.000% due 06/01/27 6,552 6,810
6.143% due 05/01/36(d) 18 18
------------
36,566
============
Government National Mortgage Association 11.4%
7.000% due 08/20/25-11/20/26(d)(f) 773 31,581
8.500% due 06/20/27 13,417 14,062
------------
45,643
============
Other Mortgage-Backed Securities 0.3%
Federal National Mortgage Assn.
1.000% due 06/25/23 129 127
First Nationwide Trust
6.722% due 10/25/18(d) 30 30
Resolution Trust Corp.
6.756% due 05/25/29(d) 938 954
------------
1,111
============
22 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
Stripped Mortgage-Backed Securities 0.4%
Federal Home Loan Mortgage Corp.(IO)
7.000% due 06/15/19 $ 8,000 $ 565
Federal National Mortgage Assn.(IO)
7.000% due 07/25/06 2,346 234
6.500% due 12/25/06 5,810 412
6.500% due 06/25/17 3,028 189
6.500% due 10/25/23 2,379 272
----------
1,672
----------
Total Mortgage-Backed Securities 225,153
(Cost $224,204) ==========
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.8%
- --------------------------------------------------------------------------------
Bear Asset Trust Securities
6.686% due 06/15/03(d) 8,046 8,101
Columbia HCA Healthcare
6.475% due 06/16/99 8,231 8,209
Community Trust Bancorp, Inc.
6.500% due 09/15/03 2,833 2,853
Green Tree Financial Group
6.420% due 04/15/28 3,907 3,926
Nafin Finance Trust II
8.356% due 03/31/99(d) 26 25
----------
Total Asset-Backed Securities 23,114
(Cost $23,043) ==========
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.7%
- --------------------------------------------------------------------------------
Government of Brazil
6.750% due 01/01/01(d) 544 458
6.625% due 04/15/06(d) 5,820 3,317
Republic of Argentina
6.625% due 03/31/05(d) 6,110 4,827
United Mexican States
7.002% due 06/27/02(d) 7,000 6,447
----------
Total Sovereign Issues 15,049
(Cost $15,569) ==========
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(e) 1.1%
- --------------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26(g) C$ 2,290 1,545
Commonwealth of New Zealand
4.500% due 02/15/16(g) N$ 5,400 2,842
----------
Total Foreign Currency-Denominated Issues 4,387
(Cost $5,233) ==========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 8.3%
- --------------------------------------------------------------------------------
Commercial Paper 0.2%
Pfizer, Inc.
5.270% due 10/30/98 $ 700 697
----------
Repurchase Agreements 8.1%
State Street Bank
4.750% due 10/01/98 10,558 10,558
(Dated 09/30/98. Collateralized
by U.S. Treasury Note 6.625%
03/31/02 valued at $10,770,467.
Repurchase proceeds are
$10,559,393.)
First Boston
5.150% due 10/01/98 22,000 22,000
(Dated 09/30/98. Collateralized
by U.S. Treasury Note 4.500%
09/30/00 valued at $22,550,184.
Repurchase proceeds are
$22,003,147.)
----------
32,558
==========
U.S. Treasury Bills (b) 0.0%
4.925% due 12/03/98 10 10
----------
Total Short-Term Instruments 33,265
(Cost $33,265) ==========
Total Investments (a) 103.1% $ 414,245
(Cost $414,568)
Other Assets and Liabilities (Net) (3.1%) (12,466)
----------
Net Assets 100.0% $ 401,779
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 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. $ 2,634
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (2,957)
----------
Unrealized depreciation-net $ (323)
==========
(b) Securities with an aggregate market value of $10 have been segregated with
the custodian to cover margin requirements for the following open futures
contracts at September 30, 1998:
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
U.S. Treasury 2 Year Note (12/98) 11 $ 10
(c) Foreign forward currency contracts outstanding at September 30, 1998:
Principal
Amount Unrealized
Covered by Expiration Appreciation/
Type Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell C$ 2,390 10/98 $ 6
Sell N$ 5,404 12/98 (48)
----------
$ (42)
==========
(d) Variable rate security. The rate listed is as of September 30, 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.
See accompanying notes 23
<PAGE>
Schedule of Investments
Low Duration Fund
September 30, 1998 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 26.1%
- --------------------------------------------------------------------------------
Banking & Finance 11.6%
Associates Corp. of North America
5.788% due 08/27/01(d) $ 1,000 $ 1,003
6.875% due 06/20/02 20,000 21,258
6.950% due 08/01/02 1,000 1,056
AT&T Capital Corp.
5.950% due 02/16/99 50,000 50,077
6.490% due 05/17/99 10,000 10,055
Banc One Corp.
7.250% due 08/01/02 500 532
BankAmerica Corp.
7.200% due 09/15/02 100 106
7.875% due 12/01/02 100 109
Beneficial Corp.
6.650% due 09/12/02 5,000 5,218
6.575% due 12/16/02 5,440 5,673
CIT Group, Inc.
6.200% due 10/20/00 50,000 50,825
5.875% due 06/18/01 10,000 10,136
Citicorp
9.750% due 08/01/99 100 103
Ford Motor Credit Corp.
5.293% due 04/05/99(d) 1,000 997
7.500% due 11/15/99 100 102
5.968% due 03/21/01(d) 3,000 3,017
6.520% due 08/12/02 13,000 13,551
General Motors Acceptance Corp.
7.125% due 05/01/01 15,000 15,655
5.520% due 09/19/01(d) 5,000 4,973
5.694% due 12/10/01(d) 5,300 5,303
5.813% due 04/29/02(d) 2,000 2,000
5.788% due 11/12/02(d) 17,400 17,380
5.875% due 01/22/03 500 510
Great Western Financial
8.600% due 02/01/02 4,000 4,395
Hitachi Credit America
6.100% due 04/24/01 25,000 25,472
Household Finance Corp.
6.490% due 04/09/01 20,000 20,498
6.125% due 07/15/02 10,000 10,222
7.625% due 01/15/03 10,849 11,723
Kemper Corp.
8.800% due 11/01/98 100 100
Lehman Brothers, Inc.
6.120% due 05/14/99(d) 5,000 5,005
7.625% due 07/15/99(d) 50 50
7.110% due 09/27/99 45 45
Merrill Lynch & Co.
6.130% due 04/07/03 7,770 7,999
New England Educational Loan Marketing
5.788% due 11/30/99 20,000 20,021
Okobank
7.028% due 10/29/49(d) 750 756
PaineWebber
7.000% due 03/01/00 50 51
Rothmans Holdings
6.500% due 05/06/03 14,000 14,457
Salomon, Inc.
6.700% due 12/01/98 1,250 1,252
7.125% due 08/01/99 1,050 1,062
7.750% due 05/15/00 19,000 19,621
7.500% due 02/01/03 3,000 3,211
Salomon, Smith Barney Holdings
7.875% due 10/01/99 100 102
SGE Associates
8.070% due 07/20/00(k) 12,258 12,671
Toyota Motor Credit Corp .
5.388% due 02/15/02(h) 11,600 11,297
Travelers Group, Inc.
7.300% due 05/15/02 15,000 15,833
----------
405,482
==========
Industrials 8.7%
American Home Products Corp.
7.700% due 02/15/00 100 104
AMR Corp.
8.100% due 11/01/98 2,000 2,004
8.730% due 11/02/98 3,000 3,006
9.750% due 03/15/00 5,000 5,317
9.910% due 03/01/01 2,500 2,751
9.440% due 05/15/01 5,000 5,480
9.125% due 10/24/01 1,000 1,100
Century Communications Corp.
0.000% due 03/15/03(i) 5,250 3,721
Delta Air Lines
7.790% due 12/01/98 4,449 4,463
9.800% due 12/16/00 250 271
10.430% due 01/02/11 850 1,115
Federal-Mogul Corp.
7.500% due 07/01/04 28,600 29,270
Ford Motor Co.
9.000% due 09/15/01 500 554
Fred Meyer, Inc.
7.150% due 03/01/03 10,500 10,504
Hertz Corp.
6.625% due 07/15/00 100 102
IBM Corp.
6.375% due 06/15/00 100 103
INDSPEC Chemical Corp.
0.000% due 12/01/03(i) 4,625 4,787
ISP Holdings, Inc.
9.750% due 02/15/02 3,000 3,180
Langdell
9.978% due 07/30/99(d)(k) 5,000 4,975
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
Occidental Petroleum
6.400% due 04/01/03 15,945 16,586
Petroleos Mexicanos
11.157% due 07/15/05(d) 5,000 4,363
Philip Morris Cos., Inc.
9.000% due 01/01/01 7,000 7,529
7.500% due 01/15/02 200 213
Racers
6.156% due 01/11/99(d) 10,400 10,394
RJR Nabisco
8.625% due 12/01/02 4,000 4,186
Stater Brothers Holdings
11.000% due 03/01/01 3,875 4,011
TCI Communications, Inc.
6.200% due 03/11/03(d) 3,000 3,039
Tenet Healthcare Corp.
7.875% due 01/15/03 4,300 4,429
8.625% due 12/01/03 1,700 1,804
Time Warner, Inc.
7.975% due 08/15/04 21,247 23,820
8.110% due 08/15/06 42,495 48,939
8.180% due 08/15/07 42,495 49,750
Yorkshire Power
6.154% due 02/25/03 40,000 40,508
----------
303,589
==========
Utilities 5.8%
Alabama Power
7.250% due 08/01/07 100 104
California Energy
9.875% due 06/30/03 3,750 4,145
10.250% due 01/15/04 850 903
Central Maine Power Co.
6.380% due 02/24/00 10,000 10,202
Cleveland Electric Illuminating Co.
8.330% due 10/30/98 1,500 1,503
8.170% due 11/30/98 2,000 2,007
9.300% due 07/26/99 1,500 1,543
24 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CMS Energy
7.375% due 11/15/00 10,000 10,085
7.625% due 11/15/04 14,500 14,914
Connecticut Light & Power
7.750% due 06/01/02 11,700 12,280
8.590% due 06/05/03(k) 10,000 10,578
Consolidated Natural Gas Co.
8.750% due 06/01/99 400 409
El Paso Electric Co.
7.250% due 02/01/99 1,000 1,004
Flag Limited
8.250% due 01/30/08 2,000 1,915
Illinois Power Co.
6.250% due 07/15/02 10,000 10,309
6.000% due 09/15/03 12,500 12,794
Long Island Lighting Co.
7.300% due 07/15/99 4,500 4,567
6.250% due 07/15/01 4,775 4,930
Louisiana Power & Light Co.
7.740% due 07/01/02 10,500 10,719
New Orleans Public Service
8.000% due 03/01/06 400 421
Niagara Mohawk Power
7.000% due 10/01/00 22,000 22,270
7.125% due 07/01/01 2,000 2,032
7.250% due 10/01/02 10,000 10,199
9.500% due 03/01/21 1,725 1,835
North Atlantic Energy
9.050% due 06/01/02 4,930 5,225
Texas Utilities Co.
6.750% due 04/01/03 3,875 4,123
WorldCom, Inc.
6.125% due 08/15/01 40,000 41,091
---------
202,107
---------
Total Corporate Bonds & Notes 911,178
(Cost $883,874) =========
- --------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.4%
- -------------------------------------------------------------------------------
New York City Refunding Bonds, Series 1998 B
5.900% due 08/01/00 13,000 13,152
---------
Total Municipal Bonds & Notes 13,152
(Cost $12,995) =========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 3.1%
- --------------------------------------------------------------------------------
Federal Home Loan Bank
4.350% due 04/19/99(d) 3,000 2,988
Federal National Mortgage Assn.
5.720% due 01/29/01 2,000 2,003
Small Business Administration
7.750% due 01/25/13(d) 1,012 1,044
7.250% due 02/25/14(d) 1,234 1,282
Student Loan Marketing Assn.
5.684% due 06/30/00(d) 46,000 46,024
5.650% due 04/25/06(d) 4,952 4,934
5.823% due 04/25/07(d) 50,000 49,988
Tennessee Valley Authority
0.000% due 10/15/98 1,000 998
---------
Total U.S. Government Agencies 109,261
(Cost $109,111) =========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 2.7%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/02(h) 94,764 95,209
---------
Total U.S. Treasury Obligations 95,209
(Cost $93,871) =========
Principal
amount Value
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 67.4% (000s) (000s)
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 8.7%
American Southwest Financial
5.500% due 06/02/99 6,906 7,020
Capstead Mortgage Corp.
7.500% due 02/25/23 726 728
Chase Mortgage Financial Corp.
10.000% due 11/25/09 713 736
Citicorp Mortgage Securities, Inc.
9.500% due 10/25/15 355 356
Collateralized Mortgage Obligation Trust
6.187% due 01/20/03(d) 17 17
7.985% due 05/01/17 12,743 12,770
9.500% due 06/25/20 503 523
Countrywide
6.250% due 07/25/09 1,400 1,420
6.750% due 06/25/28 15,103 15,210
6.250% due 01/25/35(d) 9,260 9,284
Dime Savings
7.119% due 11/01/18(d) 2,659 2,452
Donaldson, Lufkin & Jenrette
11.000% due 08/01/19 1,347 1,501
7.978% due 05/25/24(d) 2,504 2,541
Federal Home Loan Mortgage Corp.
10.000% due 09/15/09 14 15
12.500% due 09/30/13 1,139 1,274
6.250% due 07/15/14 4,431 4,447
7.000% due 04/25/15 125 124
11.000% due 11/30/15 7,092 8,368
10.000% due 07/15/19 439 487
5.650% due 11/15/19 295 295
9.000% due 11/15/19 1,812 1,854
7.500% due 04/15/20 2,900 2,970
8.000% due 04/15/20 1,746 1,767
10.000% due 05/15/20 330 358
7.500% due 12/15/20 2,000 2,040
9.000% due 12/15/20 6,284 6,616
9.500% due 01/15/21 2,065 2,234
8.000% due 04/15/21 2,321 2,415
9.000% due 05/15/21 398 426
Federal National Mortgage Assn.
8.950% due 05/25/03 75 78
9.000% due 07/25/03 567 587
9.400% due 07/25/03 124 131
5.750% due 02/25/05 2,027 2,024
6.875% due 06/25/09 2,881 2,920
5.750% due 04/25/16 1,765 1,761
8.750% due 05/25/19 98 102
9.300% due 05/25/19 23 24
9.000% due 07/25/19 350 358
9.500% due 03/25/20 3,038 3,667
9.500% due 05/25/20 1,450 1,668
8.000% due 07/25/20 1,540 1,543
9.000% due 03/25/21 6,246 6,780
9.000% due 04/25/21 218 236
8.000% due 03/25/22 117 120
5.000% due 01/25/24 311 310
8.500% due 04/01/25 6,343 6,624
8.500% due 03/18/27 3,406 3,444
6.488% due 02/01/28(d) 12,510 12,902
Fleet Mortgage
7.200% due 10/25/23 539 547
General Electric Capital Mortgage
6.750% due 12/25/12 6,996 7,110
6.350% due 03/25/17 3,705 3,699
6.500% due 07/25/18 38 38
Glendale Federal Savings & Loan
7.308% due 03/25/30(d) 2,063 2,090
Greenwich
8.719% due 11/25/24(d) 1,269 1,334
Homestead Mortgage Acceptance Corp.
11.450% due 09/01/15 1,137 1,213
See accompanying notes 25
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 1998 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Independent National Mortgage Corp.
8.195% due 11/25/24(d) $ 2,673 $ 2,773
Mellon Residential Funding Corp.
6.400% due 05/25/28 2,661 2,691
NationsBank Corp.
6.125% due 10/20/13 40,000 40,038
Nomura Asset Securities Corp.
6.625% due 01/25/09 2,830 2,856
Norwest Mortgage
12.375% due 01/01/14 190 196
12.500% due 02/01/14 561 600
12.250% due 04/01/14 310 318
PNC Mortgage Securities Corp.
6.500% due 02/25/28 11,969 12,121
Prudential Bache
6.153% due 09/01/18(d) 40 40
8.400% due 03/20/21 6,260 6,595
Prudential Home
6.500% due 02/25/00 7 7
7.500% due 09/25/07 878 912
7.000% due 11/25/07 815 817
7.000% due 01/25/08 10,000 10,294
7.000% due 06/25/23 3,014 3,099
6.050% due 04/25/24 376 376
Prudential Securities
8.000% due 12/25/20 315 318
Residential Funding
6.500% due 06/25/08 3,000 3,024
6.500% due 04/25/09 94 95
5.899% due 07/01/19(d) 1,158 1,136
7.033% due 09/01/19(d) 181 179
Resolution Trust Corp.
6.817% due 09/25/19(d) 1,855 1,853
6.073% due 01/25/21(d) 187 186
6.518% due 09/25/21(d) 843 841
6.979% due 10/25/21(d) 171 172
6.999% due 10/25/21(d) 1,003 1,000
8.625% due 10/25/21 21,382 21,357
7.088% due 03/25/22(d) 2,259 2,251
10.000% due 05/25/22 90 91
6.900% due 02/25/27 5,539 5,406
6.113% due 09/27/27(d) 2,219 2,187
9.000% due 09/25/28 227 232
7.647% due 10/25/28(d) 133 137
Ryland Acceptance Corp.
9.450% due 10/01/16 167 166
8.000% due 03/01/18 2,453 2,545
Salomon Brothers Mortgage Securities
7.096% due 12/25/17(d) 2,391 2,394
9.549% due 10/25/18(d) 3,530 3,817
8.245% due 03/25/24(d) 2,537 2,601
Sears Mortgage
7.882% due 08/25/23(d) 524 536
Securitized Asset Sales, Inc.
6.750% due 08/25/25 7,622 7,672
Shearson Lehman
9.600% due 03/25/21 826 824
Union Planters Mortgage Finance Corp.
6.450% due 01/25/28 6,000 6,097
------------
302,408
============
Federal Home Loan Mortgage Corporation 22.5%
4.750% due 06/01/01 10 10
5.500% due 04/01/07 3 3
5.750% due 01/15/08 7,820 7,915
6.000% due 03/01/11-10/14/28(f) 270,846 270,932
6.130% due 01/01/17-06/01/17(d)(f) 661 669
6.131% due 11/01/14-06/01/30(d)(f) 7,547 7,632
6.143% due 05/01/17(d) 195 197
6.153% due 01/01/30-12/01/30(d)(f) 3,841 3,888
6.159% due 02/01/16(d) 127 128
6.166% due 10/01/30(d) 391 396
6.250% due 01/01/20(d) 254 257
6.500% due 04/01/00-10/14/28(f) 265,683 270,383
6.750% due 03/01/17(d) 306 312
7.000% due 01/01/17(d) 65 66
7.250% due 07/01/07 1 1
7.277% due 02/01/20(d) 3,550 3,626
7.496% due 07/01/18(d) 566 592
7.500% due 09/01/06 121 122
7.650% due 12/01/22(d) 1,413 1,469
7.697% due 09/01/23(d) 522 544
7.705% due 06/01/24(d) 1,291 1,318
7.719% due 11/01/22(d) 2,617 2,682
7.737% due 10/01/23(d) 2,475 2,558
7.744% due 11/01/23(d) 1,462 1,511
7.832% due 03/01/24(d) 193 202
7.840% due 01/01/24(d) 3,265 3,378
7.982% due 01/01/24(d) 1,682 1,715
8.000% due 07/01/06-06/01/27(f) 165,192 170,857
8.250% due 10/01/07-11/01/07(f) 45 47
8.500% due 07/01/01-11/01/25(f) 28,225 29,422
8.750% due 02/01/01-04/01/02(f) 60 63
9.000% due 05/01/02-07/01/04(f) 62 64
9.250% due 07/01/01 5 5
9.500% due 03/01/01-12/01/04(f) 105 112
9.750% due 03/01/01-11/01/08(f) 1,064 1,137
10.000% due 04/01/01-04/01/15(f) 18 19
10.500% due 07/01/00-02/01/16(f) 86 93
10.750% due 10/01/00-08/01/11(f) 527 574
11.500% due 10/01/15 2 2
11.750% due 11/01/10-08/01/15(f) 18 20
14.000% due 09/01/12-04/01/16(f) 15 16
14.500% due 12/01/10 6 7
15.000% due 08/01/11-12/01/11(f) 5 5
15.500% due 11/01/11 1 1
------------
784,950
============
Federal Housing Administration 0.4%
6.950% due 04/01/14 2,257 2,362
7.400% due 03/15/19 130 134
7.421% due 11/01/19 709 729
7.430% due 10/01/19-12/01/21(f) 11,763 12,286
------------
15,511
============
Federal National Mortgage Association 13.7%
6.000% due 05/01/11-12/25/20(f) 855 859
6.130% due 06/01/14-07/01/17(d)(f) 7,341 7,420
6.131% due 07/01/14-05/01/31(d)(f) 27,654 27,963
6.133% due 07/01/24(d) 1,473 1,490
6.134% due 07/01/20(d) 1,003 1,014
6.135% due 02/01/24(d) 1,059 1,071
6.142% due 08/01/29(d) 893 903
6.143% due 05/01/36(d) 1,536 1,558
6.150% due 04/01/18(d) 8,010 8,093
6.153% due 08/01/20(d) 1,053 1,065
6.164% due 06/01/24(d) 62 63
6.175% due 08/01/23(d) 1,136 1,149
6.288% due 04/25/22(d) 357 360
6.500% due 06/01/08-10/14/28(f) 39,918 39,280
6.774% due 01/01/21(d) 706 715
6.956% due 11/01/17(d) 483 494
7.000% due 10/01/01-09/01/07(f) 234 239
7.176% due 11/01/18(d) 256 264
7.245% due 07/01/17(d) 826 853
7.500% due 04/01/24-05/01/24(f) 15,051 15,550
7.683% due 04/01/24(d) 3,692 3,835
7.898% due 01/01/24(d) 4,522 4,713
7.914% due 01/01/24(d) 71 75
7.960% due 07/01/23(d) 3,019 3,138
7.998% due 10/01/24(d) 8,491 8,748
8.000% due 03/01/04-12/01/25(f) 11,621 12,089
8.500% due 03/01/08-08/01/26(f) 317,932 331,961
10.000% due 02/01/04-06/01/19(f) 2,154 2,330
10.500% due 06/01/05-11/01/05(f) 312 336
11.000% due 10/01/98-09/01/00(f) 11 11
11.250% due 12/01/10-10/01/15(f) 256 287
11.750% due 01/01/14-01/01/16(f) 40 48
12.000% due 01/01/15-10/01/15(f) 10 11
12.750% due 02/01/14-11/01/14(f) 87 102
13.000% due 07/01/15 9 10
13.250% due 09/01/11 20 23
13.500% due 04/01/14 9 11
26 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
14.500% due 08/01/14 $ 42 $ 51
15.500% due 10/01/12-12/01/12(f) 77 96
15.750% due 12/01/11 41 49
16.000% due 09/01/12-12/01/12(f) 22 28
------------
478,355
============
Government National Mortgage Association 20.2%
6.000% due 08/20/26(d) 824 839
6.500% due 05/15/23-10/21/28(d)(f) 277,079 283,153
6.550% due 11/15/13 22 22
6.875% due 04/20/16-06/20/27(d)(f) 78,898 80,529
7.000% due 03/15/11-09/20/26(d)(f) 159,933 163,234
7.500% due 02/15/22-01/15/27(f) 121,603 126,413
8.000% due 07/15/04-12/15/25(f) 44,924 47,478
8.500% due 04/15/22 17 18
9.750% due 07/15/13-02/15/20(f) 1,117 1,222
11.250% due 10/15/00 4 5
11.750% due 07/15/13-08/15/15(f) 129 145
12.000% due 06/20/15 18 20
12.250% due 01/15/14-03/15/14(f) 279 325
13.000% due 10/15/13 15 17
13.500% due 05/15/11-11/15/12(f) 29 34
16.000% due 12/15/11-04/15/12(f) 71 86
------------
703,540
============
Other Mortgage-Backed Securities 1.2%
First Boston Mortgage Securities Corp.
8.300% due 08/20/09 216 218
Glendale Federal Savings & Loan
11.000% due 03/01/10 20 21
Goldman Sachs Mortgage Securities
7.750% due 05/19/27 14,412 15,196
Great Western Savings & Loan
6.180% due 12/01/17(d) 462 460
Home Savings of America
5.838% due 05/25/27(d) 1,863 1,831
5.901% due 09/25/28(d) 1,310 1,296
Imperial Savings & Loan
8.844% due 07/25/17(d) 48 48
9.900% due 02/25/18 553 588
MDC Mortgage Funding
8.696% due 01/25/25(d) 691 715
Resolution Trust Corp.
7.290% due 05/25/19(d) 5,277 5,254
7.300% due 08/25/19(d) 4,945 4,946
10.334% due 08/25/21(d) 822 857
9.500% due 05/25/24 196 195
6.259% due 10/25/28(d) 2,741 2,806
7.307% due 05/25/29(d) 2,972 3,063
Salomon Brothers Mortgage Securities
11.500% due 09/01/15 678 737
8.046% due 12/25/17(d) 305 299
Sears Mortgage
12.000% due 02/25/14 109 109
7.416% due 10/25/22(d) 3,691 3,733
Western Federal Savings & Loan
6.514% due 06/25/18(d) 16 16
6.631% due 11/25/18(d) 147 148
10.069% due 02/01/20(d)(k) 53 55
------------
42,591
============
Stripped Mortgage-Backed Securities 0.7%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 07/15/04 314 4
6.250% due 09/15/04 2,416 64
6.000% due 02/15/06 3,388 116
9.982% due 07/15/06 49 434
10.195% due 08/15/06 13 154
11.944% due 12/15/06 27 411
6.000% due 10/15/07 1,868 129
6.000% due 02/15/08 5,649 405
6.500% due 02/25/13 418
6.500% due 08/25/13 2,578 45
7.000% due 08/15/18 7,321 521
7.500% due 12/15/18 4,308 89
7.000% due 04/15/19 3,255 144
6.500% due 05/15/19 10,341 794
6.500% due 06/15/19 9,341 544
10.496% due 04/15/21 22 407
6.500% due 04/15/22 6,446 574
7.000% due 05/15/23 637 70
4.000% due 01/15/24 20,919 5,274
Federal National Mortgage Assn. (IO)
6.000% due 07/25/05 1,476 60
7.272% due 09/25/06 57 728
6.000% due 02/25/08 7,233 544
56.000% due 11/01/08 39 148
0.100% due 03/25/09(d) 29,501 478
6.500% due 03/25/09 10,898 1,263
8.815% due 06/25/16 48 263
9.987% due 12/25/18 10 51
7.500% due 03/25/19 5,928 265
6.500% due 05/25/19 10,000 1,133
6.500% due 04/25/20 19,608 1,477
7.000% due 05/25/21 10,630 798
8.598% due 02/25/22 43 622
6.500% due 03/25/23 6,986 748
4.875% due 03/25/24(d) 12,336 1,048
Federal National Mortgage Assn. (PO)
0.000% due 07/25/22 2,770 2,700
0.000% due 09/25/22 60 55
Prudential Home (IO)
0.300% due 04/25/09(d) 78,078 486
Resolution Trust Corp. (PO)
0.000% due 09/25/00 555 557
------------
23,603
------------
Total Mortgage-Backed Securities 2,350,958
(Cost $2,310,836) ============
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 1.1%
- --------------------------------------------------------------------------------
Citicorp Mortgage Securities, Inc.
6.750% due 05/25/28 6,266 6,433
CMC Securities Corp.
7.250% due 11/25/27 8,927 9,250
Delta Air Lines Equipment Trust
10.430% due 01/02/11 960 1,259
Norwest Asset Securities Corp
6.250% due 10/25/13 20,000 20,122
SCFC Boat Loan Trust
7.050% due 04/15/07 39 39
United Air Lines Equipment Trust
10.850% due 02/19/15 1,500 2,081
------------
Total Asset-Backed Securities 39,184
(Cost $54,546) ============
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 4.7%
- --------------------------------------------------------------------------------
Banco Nacional de Obra y Servicios
6.875% due 10/01/98 10,000 10,000
Government of Brazil
6.625% due 04/15/06(d) 2,425 1,382
6.688% due 04/15/12(d) 18,500 9,250
8.000% due 04/15/14 6,961 4,133
Hydro Quebec
9.000% due 03/07/01 7,000 7,619
Nacional Financiera
6.250% due 12/03/98(d) 1,500 1,500
10.625% due 11/22/01 7,500 6,769
Province of Quebec
5.563% due 10/26/01(d) 250 247
Republic of Argentina
8.750% due 12/13/98 15,000 14,700
5.688% due 04/01/00(d) 848 669
6.625% due 03/31/05(d) 67,774 53,541
Republic of Korea
8.031% due 04/07/99(d) 40,000 38,350
United Mexican States
5.820% due 06/28/01 10,000 8,955
6.780% due 06/27/02(d) 9,000 7,853
------------
Total Sovereign Issues 164,968
(Cost $175,381) ============
See accompanying notes 27
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
September 30, 1998 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(g) 1.0%
- --------------------------------------------------------------------------------
Commonwealth of Canada
8.750% due 12/01/05 C$ 1,150 $ 924
4.250% due 12/01/26(h) 52,051 35,112
-------------
Total Foreign Currency-Denominated Issues 36,036
(Cost $41,249) =============
- --------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.2%
- --------------------------------------------------------------------------------
U.S. Treasury Note (OTC)
5.375% due 07/31/00
Strike @ 99.99 Exp. 02/26/99 $ 250,000 4,200
6.625% due 06/30/01
Strike @ 96.46 Exp. 11/12/98 30,000 2,556
-------------
Total Purchased Call Options 6,756
(Cost $3,075) =============
- --------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
- --------------------------------------------------------------------------------
U.S. Treasury 5 Year Note December Futures (CBOT)
Strike @ 106.00 Exp. 11/21/98 2,000 31
-------------
Total Purchased Put Options 31
(Cost $73) =============
- --------------------------------------------------------------------------------
PREFERRED STOCK 1.8%
- --------------------------------------------------------------------------------
Shares
Home Ownership Funding
0.133% due 01/01/00 3,000 3,008
Rhone-Poulenc SA
2.031% due 01/01/00 13,000 326
SI Financing Trust
2.375% due 01/01/00 806,600 21,577
TCI Communications, Inc.
2.180% due 01/01/00 1,000,000 25,438
2.430% due 01/01/00 200,000 5,450
2.500% due 01/01/00 300,000 8,194
-------------
Total Preferred Stock 63,993
(Cost $64,818) =============
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 8.7%
- --------------------------------------------------------------------------------
Principal
Amount Value
(000s) (000s)
Commercial Paper 6.1%
E.I. Du Pont de Nemours
5.460% due 11/03/98 $ 20,000 19,900
5.460% due 12/04/98 18,400 18,227
Emerson Electric Co.
5.520% due 10/21/98 10,000 9,969
Ford Motor Credit Corp.
5.500% due 10/06/98 10,000 9,993
5.520% due 10/16/98 1,300 1,298
5.480% due 11/18/98 2,700 2,675
5.480% due 12/02/98 12,000 11,891
5.390% due 01/08/99 2,000 1,971
5.420% due 01/08/99 1,300 1,281
General Electric Capital Corp.
5.500% due 11/17/98 6,000 5,957
5.490% due 11/19/98 11,900 11,811
5.520% due 11/19/98 4,700 4,665
General Motors Acceptance Corp.
5.510% due 11/16/98 6,000 5,958
KFW International Finance, Inc.
5.930% due 10/28/98 7,000 6,972
Motorola, Inc.
5.480% due 12/03/98 26,000 25,760
National Rural Utilities Cooperative
5.510% due 10/14/98 8,600 8,583
5.540% due 10/20/98 4,000 3,988
5.500% due 10/22/98 9,200 9,170
5.470% due 11/09/98 6,000 5,965
New Center Asset Trust
5.530% due 10/26/98 16,800 16,736
5.510% due 11/19/98 3,900 3,871
5.480% due 12/16/98 3,500 3,460
Pfizer, Inc.
5.500% due 10/20/98 10,000 9,971
Procter & Gamble Co.
5.240% due 11/09/98 8,500 8,452
5.400% due 12/29/98 5,100 5,034
Shell Oil Co.
5.490% due 10/13/98 110 110
-------------
213,668
=============
Repurchase Agreements 2.4%
State Street Bank
4.750% due 10/01/98 21,333 21,333
(Dated 09/30/98. Collateralized by
U.S. Treasury Note 5.750% 08/15/03
valued at $21,764,290. Repurchase
proceeds are $21,335,815.)
First Boston
5.150% due 10/01/98 64,000 64,000
(Dated 09/30/98. Collateralized by
U.S. Treasury Note 4.500% 09/30/00
valued at $65,599,256. Repurchase
proceeds are $64,009,156.)
-------------
85,333
=============
U.S. Treasury Bills (b)(f) 0.2%
4.984% due 10/15/98-12/03/98 5,315 5,296
-------------
Total Short-Term Instruments 304,297
(Cost $304,271) =============
Total Investments (a) 117.2% $ 4,095,023
(Cost $4,054,100)
Written Options (e) (0.0%) (3,013)
(Premiums $859)
Other Assets and Liabilities (Net) (17.2%) (599,807)
-------------
Net Assets 100.0% $ 3,492,203
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 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. $ 68,350
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (27,427)
-------------
Unrealized appreciation-net $ 40,923
=============
28 See accompanying notes
<PAGE>
(b) Securities with an aggregate market value of $5,296 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at September 30, 1998:
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
Eurodollar September Futures (09/00) 950 $ 2,491
Eurodollar December Futures (12/00) 1,380 3,508
Eurodollar March Futures (03/01) 1,380 3,381
Eurodollar June Futures (06/01) 1,880 4,268
Eurodollar September Futures (09/01) 440 913
Eurodollar December Futures (12/01) 440 847
Eurodollar March Futures (03/02) 440 814
Eurodollar June Futures (06/02) 440 770
United Kingdom 90 Day LIBOR (03/99) 500 174
United Kingdom 90 Day LIBOR (06/99) 12,500 382
-----------
$ 17,548
===========
(c) Foreign forward currency contracts outstanding at September 30, 1998:
Principal
Amount
Covered by Expiration Unrealized
Type Contract Month Appreciation
- --------------------------------------------------------------------------------
Sell C$ 53,696 10/98 $ 132
(d) Variable rate security. The rate listed is as of September 30, 1998.
(e) Premiums received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Put - OTC U.S. Treasury Note
5.375% due 07/00
Strike @ 99.66 Exp. 02/19/98 $ 5,000 $ 546 $ 30
Call - OTC U.S. Treasury Note
5.375% due 07/00
Strike @ 100.53 Exp. 02/26/99 2,500 313 2,983
--------------------------
$ 859 $ 3,013
==========================
(f) Securities are grouped by coupon and represent a range of maturities.
(g) Principal amount denoted in indicated currency:
C$- Canadian Dollar
(h) Principal amount of the security is adjusted for inflation.
(i) Security becomes interest bearing at a future date.
(j) Swap agreements outstanding at September 30, 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. 05/02/02 0.3700 $ 24,000 $ 393
(k) Restricted security.
See accompanying notes 29
<PAGE>
Schedule of Investments
Real Return Bond Fund
September 30, 1998 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 19.9%
- --------------------------------------------------------------------------------
Banking & Finance 16.1%
Ford Motor Credit Corp.
5.813% due 02/13/03(c) $ 350 $ 351
HRPT Properties Trust
6.288% due 07/09/99(c) 250 250
J.P. Morgan & Co.
6.189% due 02/15/12(f) 350 334
Residential Reinsurance
9.848% due 06/01/99(c) 357 355
Salomon, Smith Barney Holdings
3.650% due 02/14/02(f) 103 100
Toyota Motor Credit Corp.
5.388% due 02/15/02(f) 400 390
----------
1,780
==========
Industrials 3.8%
Langdell
9.978% due 07/30/99(c) 200 199
Petroleos Mexicanos
11.157% due 07/15/05(c) 250 218
----------
417
----------
Total Corporate Bonds & Notes 2,197
(Cost $2,242) ==========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 37.0%
- --------------------------------------------------------------------------------
Federal Home Loan Bank
5.388% due 02/15/02(c) 1,350 1,324
Federal National Mortgage Assn.
5.328% due 03/13/02(c) 2,000 1,964
New York City
6.023% due 08/01/02(c) 196 196
Student Loan Marketing Assn.
4.847% due 02/20/00(c) 250 248
5.607% due 07/25/04(c) 153 152
5.637% due 10/25/04(c) 193 193
----------
Total U.S. Government Agencies 4,077
(Cost $4,034) ==========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 73.3%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.375% due 01/15/07(f) 4,120 4,057
3.625% due 04/15/28(f) 4,036 4,026
----------
Total U.S. Treasury Obligations 8,083
(Cost $7,949) ==========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 6.0%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 1.0%
Federal Home Loan Mortgage Corp.
6.500% due 01/25/28 100 107
Federal Housing Administration 3.0%
7.430% due 12/01/20 311 330
Federal National Mortgage Association 2.0%
6.500% due 06/25/09 223 223
----------
Total Mortgage-Backed Securities 660
(Cost $642) ==========
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 7.6%
- --------------------------------------------------------------------------------
Capital Equipment Receivables Trust
6.030% due 02/15/00 248 249
First Plus Home Loan Trust
5.765% due 10/10/06(c) 94 94
IMC Home Equity Loan Trust
5.796% due 05/21/12 (c) 163 164
NationsBank Auto Owner Trust
6.375% due 07/15/00 115 115
Pacific Southwest Bank
6.060% due 06/15/02 73 73
Premiere Auto Trust
6.150% due 03/06/00 139 139
----------
Total Asset-Backed Securities 834
(Cost $832) ==========
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(e) 2.0%
- --------------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26(f) C$ 99 67
Commonwealth of New Zealand
4.500% due 02/15/16(f) N$ 300 158
----------
Total Foreign Currency-Denominated Issues 225
(Cost $223) ==========
- --------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
- --------------------------------------------------------------------------------
Sanwa Communications (OTC)
Strike @ 1,270.00 Exp. 02/26/99 JY 35 1
----------
Total Purchased Call Options 1
(Cost $47) ==========
- --------------------------------------------------------------------------------
PREFERRED STOCK 0.6%
- --------------------------------------------------------------------------------
Shares
Sanwa International
0.000% due 01/01/00 15,000,000 67
----------
Total Preferred Stock 67
(Cost $88) ==========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 25.1%
- --------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 23.6%
Federal Home Loan Mortgage Corp.
5.240% due 10/16/98 $ 100 100
Federal Housing Administration
5.888% due 10/29/98 2,500 2,500
----------
2,600
==========
Repurchase Agreement 1.4%
State Street Bank
4.750% due 10/01/98 154 154
(Dated 09/30/98. Collateralized by ----------
U.S. Treasury Bond 6.500% 11/15/26
valued at $162,527. Repurchase
proceeds are $154,020.)
U.S. Treasury Bills 0.1%
4.920% due 12/03/98 10 10
----------
Total Short-Term Instruments 2,764
(Cost $2,764) ==========
Total Investments (a) 171.5% $ 18,908
(Cost $18,821)
Written Options (d) (0.0%) (1)
(Premiums $88)
Other Assets and Liabilities (Net) (71.5%) (7,880)
----------
Net Assets 100.0% $ 11,027
==========
30 See accompanying notes
<PAGE>
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 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. $ 290
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (203)
---------
Unrealized appreciation-net $ 87
=========
(b) Foreign forward currency contracts outstanding at September 30, 1998:
Principal
Amount Unrealized
Covered by Expiration Appreciation/
Type Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Buy C$ 265 10/98 $ 3
Sell 380 10/98 1
Sell JY 11,074 12/98 3
Sell N$ 562 12/98 (7)
--------------
$ 0
==============
(c) Variable rate security. The rate listed is as of September 30, 1998.
(d) Premiums received on written options:
Market
Type Par Premiums Value
- --------------------------------------------------------------------------------
Call - OTC Sanwa Communications
Strike @ 1,270.00 Exp. 02/26/99 JY 35 $ 88 $ 1
(e) Principal amount denoted in indicated currency:
C$- Canadian Dollar
JY- Japanese Yen
N$- New Zealand Dollar
(f) Principal amount of the security is adjusted for inflation.
See accompanying notes 31
<PAGE>
Schedule of Investments
Total Return Fund
September 30, 1998 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 39.7%
- --------------------------------------------------------------------------------
Banking & Finance 27.1%
Abbey National PLC
6.700% due 06/29/49 $ 5,000 $ 5,168
Abbey National Treasury Service
6.625% due 05/23/01 240 251
ABN-AMRO Bank NV
7.250% due 05/31/05 150 161
Aetna, Inc.
7.250% due 08/15/23 50 50
Ahmanson (H.F.) & Co.
7.650% due 04/15/00 175 181
Allstate Corp.
6.750% due 05/15/18 280 285
6.900% due 05/15/38 60,400 61,328
American Express Credit
8.500% due 08/15/01 350 381
6.800% due 12/15/03 1,500 1,565
American General Finance
7.250% due 04/15/00 500 514
5.875% due 07/01/00 75 76
6.250% due 12/18/02 1,080 1,114
AON Capital Trust `A'
8.205% due 01/01/27 725 805
Associates Corp. of North America
7.250% due 09/01/99 285 290
6.750% due 10/15/99 90 91
7.850% due 10/20/99 500 513
8.250% due 12/01/99 200 207
7.250% due 12/17/99 660 676
7.470% due 03/27/00 1,000 1,034
6.000% due 06/15/00 2,634 2,666
6.310% due 06/16/00 500 510
6.250% due 09/15/00 200 204
6.625% due 05/15/01 300 310
7.000% due 07/23/01 500 522
5.788% due 08/27/01(d) 2,000 2,005
6.450% due 10/15/01 23,600 24,441
7.500% due 04/15/02 185 198
6.500% due 07/15/02 750 782
6.000% due 07/15/05 60,365 62,231
AT&T Capital Corp.
6.020% due 12/04/98 20,200 20,212
6.250% due 12/08/98(d) 4,700 4,705
5.936% due 01/15/99(d) 14,500 14,527
6.390% due 01/22/99 9,600 9,625
5.610% due 02/01/99 11,000 11,003
5.950% due 02/16/99 140,850 141,068
6.120% due 02/26/99 20,000 20,045
6.061% due 04/01/99(d) 175,500 175,509
6.410% due 08/13/99 4,000 4,026
6.580% due 09/03/99 500 505
5.982% due 09/20/99(d) 9,000 9,002
6.160% due 12/03/99 1,000 1,006
6.060% due 03/21/00(d) 31,100 31,108
AVCO Financial Services
6.350% due 09/15/00 100 102
7.375% due 08/15/01 300 318
Banco Latino Americano SA
6.310% due 10/18/99 850 860
Banco Nacional de Comercio Exterior
8.000% due 04/14/00 4,600 4,145
Banco Nacional de Obra y Servicios
6.875% due 10/01/98 5,000 5,000
Banesto Delaware
8.250% due 07/28/02 28,900 31,984
BankAmerica Corp.
6.119% due 11/01/99(d) 3,000 3,014
5.708% due 03/05/01(d) 36,000 36,117
5.758% due 02/20/02(d) 35,180 35,114
7.750% due 07/15/02 60 65
7.200% due 09/15/02 400 426
7.500% due 10/15/02 1,000 1,077
6.850% due 03/01/03 50 53
6.875% due 06/01/03 100 106
8.375% due 05/01/07 3 3
Bankers Trust
6.750% due 10/03/01 500 517
8.125% due 05/15/02 300 325
5.769% due 07/03/02(d) 10,000 9,980
7.125% due 07/31/02 150 158
5.788% due 05/11/03(d) 82,800 82,946
8.625% due 04/01/18 100 102
Banponce Corp.
6.164% due 12/15/99 5,000 5,038
Bear Stearns
5.600% due 01/14/99(d) 5,000 5,001
5.410% due 03/09/99(d) 13,000 13,018
5.856% due 09/10/99(d) 25,000 25,037
7.625% due 09/15/99 300 306
5.600% due 06/12/00(d) 8,700 8,699
5.830% due 06/20/00(d) 7,700 7,696
6.750% due 08/15/00 50 51
5.350% due 08/25/00(d) 1,400 1,399
5.630% due 08/29/00(d) 39,800 39,819
5.841% due 02/16/01(d) 2,000 1,998
5.856% due 03/02/01(d) 7,500 7,491
5.875% due 01/28/02(d) 11,250 11,202
6.750% due 04/15/03 105 109
5.906% due 07/22/03(d) 19,000 19,031
8.750% due 03/15/04 75 85
6.062% due 03/18/05(d) 31,000 31,131
6.250% due 07/15/05 25,000 25,401
Beneficial Corp.
9.600% due 10/16/98 250 250
5.950% due 07/25/00 5,000 5,045
5.798% due 11/27/00(d) 90,000 90,040
5.830% due 01/09/01(d) 9,000 9,016
5.806% due 01/09/02(d) 500 501
5.858% due 01/23/02(d) 5,000 4,998
5.878% due 03/01/02(d) 40,000 40,104
BT Securities Corp.
5.989% due 08/16/99(d) 10,000 9,990
Capital One Bank
6.830% due 08/16/99 275 277
Caterpillar Financial
6.350% due 12/01/98 125 125
5.738% due 06/08/00(d) 500 500
5.741% due 05/29/01(d) 10,000 9,988
Central Hispano Financial Services
6.187% due 04/29/05(d) 5,000 5,012
Chase Manhattan Bank
5.875% due 08/04/99 400 401
Chase Manhattan Corp.
8.500% due 02/15/02 200 219
Chemical Banking Corp.
6.125% due 11/01/08 400 407
Chrysler Financial Corp.
8.420% due 02/01/99 695 701
5.650% due 02/04/99(d) 9,000 9,008
6.350% due 06/22/99 8,000 8,046
8.460% due 01/19/00 700 730
6.250% due 03/06/00 14,735 14,973
5.630% due 07/28/00(d) 100 100
6.625% due 08/15/00 300 308
5.860% due 01/16/01 500 505
5.686% due 06/11/01(d) 6,000 6,001
5.777% due 07/17/02(d) 20,000 20,015
5.792% due 08/08/02(d) 34,000 34,046
5.836% due 02/03/03(d) 15,000 15,021
5.822% due 03/06/03(d) 5,000 5,011
5.702% due 06/18/03(d) 35,000 35,027
Chubb Capital Corp.
8.750% due 11/15/99 80 82
6.875% due 02/01/03 100 107
Cincinnati Financial Corp.
6.900% due 05/15/28 34,125 36,727
32 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CIT Group, Inc.
6.200% due 10/20/00 $ 830 $ 844
6.750% due 05/14/01 30,000 31,026
Citicorp
9.750% due 08/01/99 2,200 2,275
6.088% due 10/20/99(d) 10,000 10,037
6.088% due 10/25/99(d) 11,000 11,043
5.918% due 05/23/00(d) 25,000 25,098
5.918% due 06/01/00(d) 5,000 5,020
5.941% due 11/28/00(d) 5,000 5,022
5.999% due 02/01/01(d) 10,000 10,047
5.813% due 05/24/01(d) 69,000 69,071
5.768% due 11/13/01(d) 10,000 10,005
5.738% due 06/27/02(d) 11,450 11,434
5.781% due 08/15/02(d) 11,500 11,522
5.813% due 11/12/02(d) 30,000 29,994
8.000% due 02/01/03 250 273
7.125% due 09/01/05 100 107
Comerica, Inc.
7.250% due 06/15/07 200 221
Commercial Credit Co.
6.750% due 05/15/00 100 102
6.000% due 06/15/00 300 304
5.550% due 02/15/01 300 303
8.250% due 11/01/01 2,500 2,718
7.750% due 03/01/05 50 56
Dean Witter Discover
5.592% due 03/02/99(d) 100 100
6.750% due 08/15/00 100 103
Deutsche Bank Financial
7.500% due 04/25/09 3,000 3,406
Donaldson, Lufkin & Jenrette
5.938% due 09/18/02(d) 13,600 13,621
6.170% due 07/15/03 20,000 20,234
Dow Capital BV
7.125% due 01/15/03 100 107
Edison Funding
6.400% due 12/17/98 27,000 27,216
6.000% due 12/20/99 5,000 5,061
Exxon Capital Corp.
7.450% due 12/15/01 250 268
First Chicago
5.918% due 02/10/00(d) 20,000 20,066
5.768% due 03/11/02(d) 10,000 10,056
First Chicago Corp.
5.828% due 02/18/03(d) 10,000 9,931
5.813% due 07/28/03(d) 50 50
First Interstate Bancorp
8.875% due 01/01/09(j) 192 203
First Union Corp.
6.375% due 01/15/09 500 521
Fleet Financial Group
9.900% due 06/15/01 200 223
Ford Holdings, Inc.
9.250% due 03/01/00 9,190 9,686
Ford Motor Credit Corp.
5.480% due 11/09/98(d) 17,580 17,583
8.000% due 01/15/99 500 504
5.330% due 03/23/99(d) 4,600 4,597
5.340% due 03/30/99(d) 18,000 17,982
5.293% due 04/05/99(d) 5,000 4,987
8.875% due 06/15/99 100 102
7.750% due 10/01/99 35 36
8.375% due 01/15/00 195 202
6.950% due 05/15/00 8,450 8,700
5.400% due 08/14/00(d) 75,800 75,943
6.850% due 08/15/00 1,500 1,541
7.020% due 10/10/00 70,000 72,661
6.250% due 11/08/00 750 765
5.907% due 03/05/01(d) 5,000 5,020
5.803% due 04/10/01(d) 10,850 10,851
7.020% due 06/07/01 1,000 1,047
5.690% due 07/13/01(d) 34,000 34,202
5.788% due 08/27/01(d) 17,000 16,989
5.828% due 09/03/01(d) 11,000 11,019
7.000% due 09/25/01 1,125 1,179
5.776% due 10/15/01(d) 10,000 10,013
5.813% due 01/17/02(d) 53,945 53,720
8.200% due 02/15/02 11,600 12,613
6.500% due 02/28/02 1,560 1,615
5.847% due 04/29/02(d) 42,000 42,012
7.320% due 05/23/02 14,000 14,158
5.838% due 06/04/02(d) 2,000 2,006
5.838% due 10/15/02(d) 4,000 4,004
7.750% due 11/15/02 5,000 5,436
5.828% due 02/03/03(d) 30,000 30,058
5.788% due 02/13/03(d) 100,000 100,181
5.813% due 02/13/03(d) 190,985 191,316
6.125% due 04/28/03 580 598
6.625% due 06/30/03 575 605
5.888% due 06/02/04(d) 1,500 1,504
8.250% due 02/23/05 2,500 2,872
5.875% due 04/28/05(d) 50,000 49,972
6.125% due 01/09/06 25 26
7.700% due 05/15/97 450 519
Fuji Bank
9.870% due 12/31/49(d) 10,000 4,445
General Electric Capital Corp.
5.980% due 03/19/99 1,500 1,505
8.375% due 03/01/01 665 716
5.500% due 11/01/01 50 50
8.300% due 09/20/09 150 184
7.100% due 08/13/12 35 41
General Motors Acceptance Corp.
5.330% due 03/16/99(d) 13,000 13,029
8.625% due 06/15/99 650 664
6.625% due 07/07/99 10,000 10,083
7.375% due 09/09/99 1,000 1,016
6.150% due 09/20/99 20,300 20,480
8.000% due 10/01/99 28,850 29,565
6.050% due 10/04/99 2,550 2,572
6.375% due 10/12/99 2,000 2,016
8.400% due 10/15/99 360 371
6.250% due 10/18/99 1,000 1,007
8.170% due 01/02/00 1,244 1,282
8.625% due 01/10/00 5,000 5,191
6.500% due 01/17/00 46,110 46,612
7.000% due 03/01/00 100 102
7.875% due 03/15/00 5,650 5,841
6.650% due 05/05/00 6,500 6,624
6.875% due 06/01/00 10,250 10,493
7.500% due 06/09/00 1,000 1,040
5.500% due 01/16/01 15,000 15,069
8.625% due 01/18/01 15,000 16,066
8.500% due 01/19/01 3,675 3,946
5.800% due 04/09/01 8,340 8,440
6.800% due 04/17/01 4,800 4,993
5.950% due 04/20/01 22,150 22,496
6.700% due 04/30/01 3,000 3,101
7.125% due 05/01/01 44,095 46,020
6.750% due 06/05/01 880 912
5.708% due 10/22/01(d) 25,000 24,971
9.625% due 12/15/01 300 338
5.772% due 01/08/02(d) 3,000 3,000
6.625% due 01/10/02 500 522
6.750% due 02/07/02 1,590 1,660
5.813% due 04/29/02(d) 168,184 168,204
7.000% due 09/15/02 250 265
6.625% due 10/01/02 5,000 5,262
5.788% due 11/12/02(d) 10,200 10,188
5.875% due 01/22/03 30,500 31,110
6.750% due 03/15/03 40,125 42,477
7.125% due 05/01/03 36,000 38,577
5.788% due 08/18/03(d) 31,990 31,997
5.550% due 09/15/03 32,000 32,243
6.625% due 10/20/03 2,000 2,109
8.950% due 07/02/09 21,500 24,258
See accompanying notes 33
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1998 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Goldman Sachs & Co.
5.748% due 07/31/00(d) $ 26,000 $ 26,016
5.845% due 11/21/00(d) 10,000 9,979
5.909% due 11/24/00(d) 108,000 108,304
6.200% due 12/15/00 6,500 6,686
5.791% due 12/22/00(d) 17,000 17,085
5.844% due 01/09/01(d) 105,000 104,789
5.867% due 01/25/01(d) 77,000 77,048
5.994% due 04/16/01(d) 18,000 18,020
5.958% due 12/07/01(d) 25,000 25,071
Goldman Sachs Mortgage Corp.
6.000% due 12/31/07(j) 10,361 10,425
Great Western Bank
8.625% due 12/01/98 6,000 6,029
Hartford Life
7.650% due 06/15/27 15,000 16,310
Heller Financial, Inc.
6.250% due 01/15/99 200,000 200,414
5.769% due 02/05/99(d) 50,000 50,050
5.749% due 02/26/99(d) 10,000 10,013
5.796% due 04/01/99(d) 19,000 19,027
5.938% due 04/27/99(d) 20,000 20,047
5.763% due 09/03/99(d) 4,000 4,008
6.405% due 10/15/99 10,000 10,130
5.808% due 12/01/99(d) 25,000 25,106
6.520% due 12/06/99 8,750 8,915
5.625% due 03/15/00 200 200
6.500% due 05/15/00 12,000 12,218
5.907% due 07/07/00(d) 60,000 60,035
5.829% due 08/25/00(d) 7,600 7,633
5.830% due 09/25/00(d) 13,500 13,517
Hitachi Credit America
5.813% due 05/15/00 25,000 25,048
5.969% due 07/07/00(d) 40,000 40,071
Household Bank
5.847% due 09/26/01(d) 9,000 9,011
5.875% due 10/22/03(d) 15,000 14,908
Household Capital Trust
6.038% due 06/26/04(d) 3,075 3,064
Household Finance Corp.
6.580% due 05/17/99 165 166
5.869% due 11/01/01(d) 5,000 5,001
5.816% due 05/07/02(d) 40,850 40,493
5.938% due 06/24/03(d) 35,000 35,072
5.948% due 06/24/03(d) 31,000 31,063
Inter-American Development Bank
8.875% due 06/01/09 200 259
International Lease Finance
5.750% due 12/15/99 50 50
7.000% due 05/15/00 500 513
6.420% due 09/11/00 500 513
5.930% due 07/15/03 14,000 14,365
J.P. Morgan & Co.
6.250% due 12/15/05 200 203
Kimco Realty Corp.
6.500% due 10/01/03 200 207
Korea Development Bank
5.875% due 12/01/98 60 60
6.750% due 12/01/05 55 38
7.250% due 05/15/06 50 38
Korean Export-Import Bank
6.500% due 10/06/99 7,000 6,622
LB Rheinland - PFALZ
5.000% due 02/23/28(d) 3,400 3,555
Lehman Brothers, Inc.
5.750% due 11/15/98 2,000 1,998
5.570% due 01/12/99(d) 600 600
7.410% due 05/25/99 500 503
5.040% due 09/01/99(d) 10,000 10,000
7.140% due 09/24/99 11,900 11,938
7.110% due 09/27/99 20 20
6.710% due 10/12/99 3,000 2,997
5.894% due 01/18/00(d) 55,000 54,610
6.150% due 03/15/00 7,700 7,635
6.007% due 04/03/00(d) 30,000 30,023
6.525% due 07/27/00(d) 8,000 7,949
5.540% due 08/11/00(d) 30,000 29,264
6.106% due 09/26/00(d) 5,000 5,011
6.066% due 11/06/00(d) 18,610 18,641
6.277% due 12/01/00(d) 500 503
5.877% due 02/27/01(d) 49,000 47,371
5.893% due 06/01/01(d) 100,000 96,035
6.461% due 08/28/02(d) 6,500 6,486
5.987% due 09/03/02(d) 14,000 14,028
Marine Midland Bank
5.813% due 12/20/00(d) 3,700 3,739
MBNA Corp.
6.088% due 12/01/99(d) 66,900 67,034
Mellon Bank Corp.
6.500% due 08/01/05 75 79
Merrill Lynch & Co.
6.375% due 03/30/99 400 402
8.250% due 11/15/99 250 258
5.758% due 04/17/00(d) 5,000 4,999
6.620% due 06/06/00 500 510
6.450% due 06/20/00 350 357
6.019% due 08/03/00(d) 5,000 5,020
5.738% due 09/25/00(d) 5,000 4,986
5.757% due 10/03/00(d) 20,000 19,988
5.800% due 12/05/00(d) 89,000 89,127
6.500% due 04/01/01 400 412
5.798% due 05/08/01 54,900 54,755
5.888% due 05/30/01(d) 3,800 3,810
5.758% due 06/04/01(d) 30,000 30,053
5.758% due 11/01/01(d) 30,000 30,021
5.768% due 11/09/01(d) 10,000 9,967
5.756% due 01/15/02(d) 17,000 16,932
8.300% due 11/01/02 200 222
6.875% due 03/01/03 140 149
5.838% due 06/24/03(d) 22,000 22,066
5.849% due 10/01/03(d) 5,000 5,008
7.000% due 03/15/06 1,500 1,617
7.000% due 04/27/08 100 109
MIC Financing Trust
8.375% due 02/01/27 36,000 39,101
Morgan Stanley Group, Inc.
6.375% due 12/15/03 150 157
Morgan Stanley, Dean Witter, Discover
and Co.
5.983% due 04/16/01(d) 25,000 25,029
5.838% due 12/19/01(d) 14,700 14,723
5.875% due 03/11/03(d) 10,000 10,004
Nacional Financiera
8.000% due 06/19/00 4,500 4,230
NationsBank Corp.
6.750% due 02/26/01 500 518
7.000% due 09/15/01 1,500 1,568
5.838% due 06/17/02(d) 10,000 9,961
NCNB Corp.
7.750% due 08/01/02 796 797
Norwest Corp.
5.750% due 11/16/98 300 300
5.625% due 02/05/01 400 404
Norwest Financial, Inc.
8.375% due 01/15/00 125 126
7.000% due 01/15/03 300 320
6.000% due 02/01/04 50 52
Okobank
6.049% due 05/23/06(d) 10,000 9,954
Paccar Financial Corp.
6.740% due 09/15/00 250 258
PaineWebber
5.987% due 10/04/99(d) 4,000 4,008
6.950% due 03/31/00 120 123
7.000% due 03/01/00 200 204
6.538% due 05/09/00(d) 5,000 5,027
5.938% due 02/18/02(d) 5,000 5,007
6.058% due 05/20/02(d) 1,000 1,002
Pitney Bowes Credit Corp.
6.540% due 07/15/99 400 404
34 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
PNC Bank Corp.
5.606% due 06/01/00(d) $ 217,000 $ 217,014
5.694% due 01/24/02(d) 49,000 48,933
5.719% due 08/15/02(d) 5,000 5,005
PNC Funding Corp.
6.875% due 03/01/03 100 106
Popular, Inc.
6.715% due 06/06/00 20,000 20,391
Prudential Insurance Co.
6.375% due 07/23/06 15,000 15,585
Reliance Group Holdings
9.000% due 11/15/00 19,000 19,595
9.750% due 11/15/03 10,000 10,350
Residential Reinsurance
9.848% due 06/01/99(d) 34,500 34,338
Salomon, Inc.
5.250% due 10/15/98 400 400
5.975% due 11/19/98(d) 3,000 3,003
6.220% due 11/19/98 37,455 37,481
6.554% due 02/12/99(d) 1,000 1,002
8.690% due 03/01/99 2,270 2,299
5.582% due 04/05/99(d) 5,500 5,503
7.000% due 05/15/99 26,090 26,386
5.540% due 06/24/99(d) 9,000 8,974
7.590% due 01/28/00 150 154
6.500% due 03/01/00 18,350 18,633
6.625% due 11/30/00 235 242
6.650% due 07/15/01 600 621
7.000% due 03/04/02 5,000 5,270
6.025% due 05/16/02(d) 19,000 19,042
Salomon, Smith Barney Holdings
7.980% due 03/01/00 12,000 12,382
5.875% due 02/01/01 4,000 4,032
3.650% due 02/14/02(h) 17,492 17,000
Sears Roebuck Acceptance
6.000% due 03/20/03 130,000 133,446
Security Pacific Corp.
6.000% due 05/01/00 600 606
11.500% due 11/15/00 4,000 4,482
Signet Bank Corp.
9.625% due 06/01/99 6,500 6,669
Smith Barney Holdings
6.625% due 06/01/00 95 97
Societe Generale
7.400% due 06/01/06 1,500 1,613
Sparbanken Sverige AB
7.531% due 10/29/49(d) 12,670 12,738
Sumitomo
9.400% due 12/29/49(d) 18,250 15,357
Swedbank
7.664% due 10/29/49(d) 12,000 12,161
Textron Financial Corp.
5.788% due 11/24/99(d) 10,000 10,011
Tokai Capital Corp.
9.980% due 12/29/49(d) 20,250 15,263
Toyota Motor Credit Corp.
5.388% due 02/15/02(h) 40,000 38,954
Transamerica Financial
5.234% due 04/20/99(d) 500 500
7.400% due 07/29/99 2,000 2,035
Trinet Corp. Realty Trust
6.750% due 03/01/03 45 46
Trizec Finance Limited
10.875% due 10/15/05 2,489 2,651
U.S. Bancorp
5.782% due 01/16/02(d) 49,000 48,998
Wachovia Bank
6.700% due 04/14/99 500 503
Wachovia Corp.
7.000% due 12/15/99 100 102
Wells Fargo & Co.
8.750% due 05/01/02 100 111
Westdeutsche
6.750% due 06/15/05 4,000 4,363
World Savings & Loan
9.900% due 07/01/00 250 255
Xerox Corp.
7.010% due 04/30/99 120 121
-----------
6,051,497
===========
Industrials 8.5%
Albertson's, Inc.
6.375% due 06/01/00 150 153
American Home Products Corp.
7.700% due 02/15/00 300 311
Amerigas Partners LP
10.125% due 04/15/07 1,730 1,702
AMR Corp.
8.050% due 03/05/99 4,000 4,042
9.750% due 03/15/00 10,760 11,442
10.610% due 01/11/01 4,000 4,460
10.570% due 01/15/01 3,000 3,330
10.590% due 01/31/01 3,000 3,337
10.000% due 02/01/01 2,000 2,190
9.400% due 05/08/01 3,000 3,304
9.500% due 05/15/01 2,250 2,489
9.130% due 10/25/01 2,000 2,200
8.470% due 02/20/02 2,000 2,200
8.500% due 02/26/02 1,000 1,101
10.210% due 01/01/10 6,500 8,323
Baxter International
9.500% due 06/15/08 200 258
Bellat Racers
5.969% due 04/01/03(d) 20,000 20,000
BOC Group PLC
5.875% due 01/29/01 250 255
Boeing Co.
8.375% due 02/15/01 150 161
6.350% due 06/15/03 500 529
Boise Cascade Co.
9.900% due 03/15/00 275 287
Building Materials Corp.
0.000% due 07/01/04(i) 20,320 20,218
Canadian Pacific Limited
9.450% due 08/01/21 2,750 3,680
Casino Magic Financial
11.500% due 10/15/01 9,260 9,376
CBS, Inc.
7.625% due 01/01/02 100 104
Cemex SA
10.750% due 11/05/99 1,000 977
10.750% due 07/15/00 5,000 4,806
8.500% due 08/31/00 10,000 9,486
Centerior Fuel Corp.
9.540% due 08/02/99(j) 10,000 10,416
9.750% due 08/02/00(j) 8,000 8,665
Century Communications Corp.
9.500% due 08/15/00 6,000 6,240
0.000% due 03/15/03 10,515 7,453
CF Cable TV, Inc.
9.125% due 07/15/07 1,600 1,801
Circus Circus Enterprises
6.750% due 07/15/03 4,500 4,264
Coca-Cola Co.
6.375% due 08/01/01 200 206
7.875% due 02/01/02 600 650
Coltec Industries Rights
7.500% due 04/15/08 4,400 4,186
Columbia HCA Healthcare
8.020% due 08/05/02 3,880 3,921
8.130% due 08/04/03 7,000 7,158
Continental Cablevision
11.000% due 06/01/07 4,536 4,925
CSC Holdings, Inc
7.625% due 07/15/18 20,000 19,463
Cumberland Farms
10.500% due 10/01/03 3,000 2,955
Dayton Hudson Corp.
10.000% due 12/01/00 1,000 1,098
See accompanying notes 35
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1998 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Delta Air Lines
10.140% due 08/14/12 $ 1,000 $ 1,331
Disney (Walt) Co.
6.375% due 03/30/01 250 260
6.750% due 03/30/06 100 110
E.I. Du Pont de Nemours
9.150% due 04/15/00 100 106
6.000% due 12/01/01 200 200
Eli Lilly & Co.
8.125% due 02/07/00 387 402
Enron Corp.
5.849% due 11/18/99(d) 35,000 35,036
Federal-Mogul Corp.
7.880% due 12/31/05 3,886 3,878
7.940% due 12/31/05 1,139 1,137
Ford Motor Co.
9.000% due 09/15/01 880 975
6.625% due 10/01/28 108,000 107,460
Fortune Brands
8.500% due 10/01/03 500 578
Fred Meyer, Inc.
7.150% due 03/01/03 6,000 6,002
7.375% due 03/01/05 39,325 41,586
General Motors Acceptance Corp.
9.625% due 12/01/00 225 246
7.100% due 03/15/06 250 275
Gillette Co.
5.750% due 10/15/05 1,500 1,549
Gulf Canada Resources
9.250% due 01/15/04 7,250 7,408
9.625% due 07/01/05 2,000 2,025
H.J. Heinz Co.
7.500% due 04/26/00 150 156
Harris Chemical
10.250% due 07/15/01 22,975 23,521
10.750% due 10/15/03 42,420 44,117
Hollinger International Publishing
9.250% due 02/01/06 3,000 3,098
IBM Corp.
5.732% due 11/01/99(d) 35,000 34,956
7.250% due 11/01/02 100 109
7.125% due 12/01/96 2,500 2,826
Imperial Chemical
5.750% due 12/05/98(d) 118,000 118,006
5.750% due 03/05/99(d) 98,700 98,896
INDSPEC Chemical Corp.
0.000% due 12/01/03(i) 5,500 5,693
Ingersoll-Rand Co.
6.255% due 02/15/01 295 303
Intermedia Communications, Inc.
0.000% due 05/15/06(i) 2,500 2,075
ISP Holdings, Inc.
9.750% due 02/15/02 4,500 4,770
9.000% due 10/15/03 5,000 5,213
ITT Corp.
6.250% due 11/15/00 70 69
K-III Communications Co.
8.500% due 02/01/06 4,000 4,060
Kellogg
5.750% due 02/02/01 74,850 76,144
Langdell
9.978% due 07/30/99(d) 9,800 9,751
Lenfest Communications
8.375% due 11/01/05 5,000 5,263
Loyola University of Chicago
6.030% due 06/15/00(d) 16,100 16,489
Mallinckrodt, Inc.
6.300% due 03/15/11(d) 10,000 10,244
Mazda Manufacturing Corp.
10.500% due 07/01/08(j) 1,980 2,648
Mobil Corp.
8.375% due 02/12/01 40 43
Nabisco, Inc.
6.800% due 09/01/01 3,000 3,060
6.125% due 02/01/33 15,000 15,211
New York Times Co.
7.625% due 03/15/05 1,000 1,136
News America Holdings Corp.
8.625% due 02/01/03 750 833
News Corp Limited
0.000% due 06/15/99(i) 900 845
Nike, Inc.
6.510% due 06/16/00 1,000 1,031
Noranda, Inc.
7.000% due 07/15/05 1,800 1,874
Owens Corning
7.000% due 05/15/00 200 205
Pennzoil Co.
9.625% due 11/15/98 5,000 5,193
Pepsico, Inc.
7.750% due 10/01/98 800 800
7.625% due 11/01/98 1,500 1,502
Petroleos Mexicanos
11.157% due 07/15/05(d) 16,000 13,960
Philip Morris Cos., Inc.
7.375% due 02/15/99 115 116
8.625% due 03/01/99 200 203
6.150% due 03/15/00 20,000 20,269
7.250% due 09/15/01 70 74
7.500% due 01/15/02 50 53
6.800% due 12/01/03 48,345 51,321
7.000% due 07/15/05 1,125 1,205
7.200% due 02/01/07 32,000 35,050
Procter & Gamble Co.
5.250% due 09/15/03 35,000 35,610
Racers
6.156% due 01/11/99(d) 79,000 78,951
7.709% due 04/28/03(d) 30,000 25,350
RJR Nabisco
8.000% due 01/15/00 6,777 6,810
7.625% due 09/01/00 6,000 6,246
8.000% due 07/15/01 35,630 36,426
8.625% due 12/01/02 4,370 4,574
7.625% due 09/15/03 9,000 8,938
8.750% due 04/15/04 23,800 24,495
8.250% due 07/01/04 2,000 1,917
8.750% due 07/15/07 25,000 25,476
Rogers Cablesystems, Inc.
10.000% due 12/01/07 5,000 5,525
Rogers Cantel Mobile
9.375% due 06/01/08 2,750 2,805
Saferco
9.460% due 05/31/99(j) 1,000 1,027
9.630% due 05/31/00(j) 6,500 6,983
9.590% due 05/31/01(j) 3,000 3,353
Sara Lee Corp.
6.300% due 11/07/05 500 535
Sears Roebuck & Co.
7.960% due 02/18/99 500 504
5.820% due 02/22/99 125 125
6.800% due 05/07/01 500 517
6.790% due 05/21/01 500 520
9.400% due 08/02/01(j) 250 277
Sears Roebuck Acceptance
5.856% due 06/27/00(d) 5,000 5,006
7.110% due 06/19/01 1,000 1,044
6.120% due 12/13/01 260 267
6.950% due 05/15/02 300 315
7.140% due 05/02/03 5,000 5,348
6.560% due 11/20/03 1,178 1,237
6.700% due 11/15/06 500 530
Shell Oil Co.
7.250% due 02/15/02 50 50
Smithfield Foods
7.625% due 02/15/08 2,000 1,970
36 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Smithkline Beecham
7.375% due 04/15/05 $ 150 $ 169
Stone Container Corp.
11.875% due 12/01/98 4,074 4,074
SUPERVALU, Inc.
6.500% due 10/06/00 140 145
TCI Communications, Inc.
7.250% due 06/15/99(d) 1,100 1,116
6.375% due 09/15/99 39,175 39,501
6.090% due 02/02/00(d) 50,000 50,051
5.945% due 09/11/00(d) 47,000 46,924
6.656% due 12/20/00(d) 10,000 10,026
6.375% due 05/01/03 3,200 3,343
Telecommunications, Inc.
7.375% due 02/15/00 12,000 12,343
8.250% due 01/15/03 43,125 48,008
Telewest Communications
9.625% due 10/01/06 5,000 5,050
Tenet Healthcare Corp.
7.625% due 06/01/08 27,000 28,013
Time Warner, Inc.
6.100% due 12/30/01 1,375 1,410
7.975% due 08/15/04 31,803 35,654
8.110% due 08/15/06 80,929 93,201
8.180% due 08/15/07 2,400 2,810
7.250% due 09/01/08 125 139
Transamerica Corp.
6.750% due 11/15/06 500 534
Union Pacific Corp.
5.945% due 05/22/00(d) 60,000 59,963
United Airlines
9.000% due 12/15/03 1,000 1,156
USA Waste Services, Inc.
6.125% due 07/15/01 22,000 22,507
USX Corp.
9.800% due 07/01/01 300 334
Wal-Mart Stores, Inc.
9.100% due 07/15/00 100 107
8.625% due 04/01/01 1,050 1,144
Westvaco Corp.
9.650% due 03/01/02 150 172
Williams Co.
5.909% due 01/30/00(d) 23,000 23,051
WMX Technologies
6.000% due 11/02/98 19,800 19,808
6.700% due 05/01/01 10,000 10,323
7.000% due 10/15/06 500 543
World Color Press, Inc.
9.125% due 03/15/03 5,000 5,025
WorldCom, Inc.
9.375% due 01/15/04 37,132 43,462
Xerox Corp.
7.040% due 04/30/99 770 777
6.500% due 06/29/00 280 287
5.750% due 07/21/00 500 508
7.410% due 05/15/01 1,000 1,054
------------
1,902,540
============
Utilities 4.1%
AES Corp.
10.250% due 07/15/06 4,500 4,680
Appalachian Power Co.
6.350% due 03/01/00 500 509
AT&T Corp.
7.125% due 01/15/02 75 80
7.000% due 05/15/05 200 220
Baltimore Gas & Electric
6.125% due 07/01/03 150 156
Beaver Valley Funding Corp.
8.250% due 06/01/03 825 859
BellSouth Telecommunications, Inc.
7.500% due 06/15/33 185 206
Bridas Corp.
10.250% due 12/07/98 430 433
California Energy
9.875% due 06/30/03 14,000 15,474
10.250% due 01/15/04 39,985 42,484
9.500% due 09/15/06 10,040 11,144
Calpine Corp.
9.250% due 02/01/04 4,150 4,171
7.875% due 04/01/08 2,500 2,413
Central Maine Power Co.
6.250% due 11/01/98 1,000 1,000
6.350% due 09/20/99 30,000 30,116
Chesapeake & Potomac Telephone
8.000% due 10/15/29 1,125 1,420
Cleveland Electric Illuminating Co.
8.150% due 11/30/98 7,500 7,527
7.850% due 11/01/99 6,000 6,132
9.500% due 05/15/05 13,000 14,365
Cleveland Electric/Toledo Edison
7.190% due 07/01/00 20,400 20,897
CMS Energy
7.375% due 11/15/00 57,535 58,024
7.000% due 01/15/05 18,000 18,130
Coastal Corp.
8.750% due 05/15/99 4,300 4,377
Commonwealth Edison
6.500% due 04/15/00 6,185 6,298
5.560% due 06/15/02(d) 1,000 1,001
8.000% due 10/15/03 7,550 7,654
8.125% due 01/15/07 10,000 10,225
9.875% due 06/15/20 11,700 14,234
Connecticut Light & Power
7.250% due 07/01/99 4,485 4,486
5.750% due 07/01/00 2,000 2,000
7.750% due 06/01/02 5,000 5,248
8.590% due 06/05/03 22,000 23,272
Consolidated Edison
7.600% due 01/15/00 100 103
5.788% due 12/15/01(d) 10,000 9,993
Consolidated Natural Gas Co.
5.875% due 10/01/98 500 500
Detroit Edison Co.
6.450% due 04/01/99 10,500 10,509
Duke Energy Corp.
8.000% due 11/01/99 40 41
7.000% due 06/01/00 700 722
6.750% due 08/01/25 25 25
Eastern Edison Co.
7.780% due 07/30/02 9,000 9,784
El Paso Electric Co.
7.250% due 02/01/99 10,956 11,001
First PV Funding
10.150% due 01/15/16 2,773 2,931
Gulf States Utilities
7.250% due 03/01/99 6,200 6,226
Illinois Power
6.500% due 09/01/99 12,050 12,162
Korea Electric Power
6.375% due 12/01/03 170 121
Long Island Lighting Co.
7.300% due 07/15/99 76,085 77,221
6.250% due 07/15/01 13,645 14,089
8.900% due 07/15/19 46,000 48,804
9.000% due 11/01/22 15,000 17,633
Louisiana Power & Light Co.
7.740% due 07/01/02 1,900 1,940
MCI Communications Corp.
6.250% due 03/23/99 600 602
6.125% due 04/15/02 1,250 1,293
National Power Corp.
9.625% due 05/15/28 16,000 10,272
National Rural Utilities Cooperative
6.250% due 04/15/03 50,000 51,748
New Jersey Bell Telephone
7.850% due 11/15/29 70 88
See accompanying notes 37
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1998 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
New York Telephone Co.
6.250% due 02/15/04 $ 150 $ 158
Niagara Mohawk Power
7.000% due 10/01/00 25,000 25,307
7.125% due 07/01/01 27,250 27,688
7.250% due 10/01/02 10,000 10,199
7.375% due 07/01/03 31,000 32,151
7.750% due 10/01/08 25,200 26,925
North Atlantic Energy
9.050% due 06/01/02 4,542 4,813
Northern Illinois Gas Co.
6.450% due 08/01/01 1,450 1,487
Ohio Edison
6.875% due 09/15/99 5,750 5,813
Pacific Gas & Electric Co.
7.670% due 12/15/98 208 209
6.750% due 12/01/00 709 709
Pacific Northwest Bell
4.375% due 09/01/02 50 49
Pennsylvania Power & Light
6.000% due 06/01/00 500 507
Philadelphia Electric
7.500% due 01/15/99 5,000 5,028
5.625% due 11/01/01 17,000 17,262
Public Service Electric & Gas
8.750% due 07/01/99 90 92
7.625% due 02/01/00 150 154
6.500% due 06/01/00 500 510
6.125% due 08/01/02 1,000 1,040
Queststar Pipeline
9.375% due 06/01/21 200 238
Southwestern Bell Telephone Co.
6.125% due 03/01/00 50 51
Sprint Corp.
8.125% due 07/15/02 10,378 11,509
System Energy Resources
7.380% due 10/01/00 5,000 5,165
7.710% due 08/01/01 14,850 15,708
Tennessee Valley Authority
0.000% due 04/15/42(i) 855 373
Texas Utilities Co.
6.250% due 01/31/00 6,000 6,073
6.270% due 02/01/00 11,000 11,164
5.958% due 04/24/00(d) 44,000 44,024
Texas-New Mexico Power
10.750% due 09/15/03 4,950 5,395
Toledo Edison Co.
8.180% due 07/30/02 1,400 1,519
8.700% due 09/01/02 10,000 10,927
7.850% due 03/31/03 7,000 7,582
7.875% due 08/01/04 500 543
Tuscon Electric Power
8.500% due 10/01/09 1,000 1,032
U.S. West Communications, Inc.
6.625% due 09/15/05 300 322
6.125% due 11/15/05 400 418
United Air Lines
10.670% due 05/01/04 2,050 2,558
Western Massachusetts Electric
6.875% due 01/01/00 700 708
7.375% due 07/01/01 7,000 7,219
Western Resources, Inc.
6.250% due 08/15/03 8,500 8,786
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/13(j) 991 1,149
WorldCom, Inc.
6.400% due 08/15/05 1,000 1,051
------------
910,658
------------
Total Corporate Bonds & Notes 8,864,695
(Cost $8,801,014) ============
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 4.2%
- --------------------------------------------------------------------------------
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/08 $ 1,155 $ 1,264
Federal Farm Credit Bank
5.600% due 05/03/99 500 502
Federal Home Loan Bank
5.540% due 07/15/99 295 297
5.010% due 09/21/00 970 977
5.755% due 03/25/03 50 52
6.500% due 11/29/05 100 109
Federal Home Loan Mortgage Corp.
6.565% due 11/04/02 2,000 2,003
6.170% due 12/11/02 2,000 2,005
7.050% due 06/08/05 200 208
6.780% due 12/07/05 100 100
6.600% due 02/02/06 250 251
Federal National Mortgage Assn.
4.875% due 10/15/98 100 100
5.360% due 02/16/01 1,500 1,524
5.780% due 09/17/03 100 100
6.625% due 03/21/06 200 221
7.040% due 03/27/07 1,000 1,031
New York City
6.008% due 08/01/02(d) 19,813 19,813
6.023% due 08/01/02(d) 15,674 15,634
Resolution Funding
0.000% due 01/15/07(i) 800 544
Student Loan Marketing Assn.
4.847% due 02/20/00(d) 134,700 133,595
5.684% due 06/30/00(d) 38,700 38,720
5.877% due 01/25/03(d) 45,333 45,371
5.702% due 04/25/04(d) 25,952 25,952
5.617% due 10/25/04(d) 31,806 31,710
5.637% due 10/25/04(d) 59,434 59,296
5.533% due 10/25/05(d) 13,340 13,277
5.727% due 10/25/05(d) 42,545 42,349
5.650% due 04/25/06(d) 131,696 131,222
5.760% due 01/25/07(d) 133,128 133,278
5.823% due 04/25/07(d) 227,480 227,424
------------
Total U.S. Government Agencies 928,929
(Cost $929,121) ============
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 8.3%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/02(h) 666,887 670,013
3.375% due 01/15/07(h) 690 680
3.625% due 04/15/28(h) 116,205 115,914
U.S. Treasury Bonds
11.125% due 08/15/03 800 1,033
11.875% due 11/15/03 18,000 24,086
12.375% due 05/15/04 1,000 1,393
11.625% due 11/15/04 270,000 373,360
12.000% due 08/15/13 8,845 13,873
13.250% due 05/15/14 5,000 8,505
11.750% due 11/15/14 40 64
9.250% due 02/15/16 75 111
8.875% due 02/15/19 51,000 74,603
8.500% due 02/15/20 7,142 10,180
8.125% due 05/15/21 225,000 312,117
8.125% due 08/15/21 1,890 2,625
8.000% due 11/15/21 75,555 103,888
6.750% due 08/15/26 510 626
U.S. Treasury Notes
5.000% due 02/15/99 2,000 2,003
5.875% due 03/31/99 2,000 2,013
6.375% due 07/15/99 500 507
5.625% due 10/31/99 170 172
5.875% due 11/15/99 2,000 2,028
7.875% due 11/15/99 125 129
7.750% due 11/30/99 2,000 2,071
7.750% due 01/31/00 2,000 2,083
38 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
5.500% due 04/15/00 $ 2,000 $ 2,030
6.250% due 05/31/00 245 252
6.250% due 08/31/00 340 352
6.125% due 09/30/00 2,640 2,728
5.750% due 10/31/00 2,000 2,054
5.625% due 11/30/00 4,500 4,615
5.250% due 01/31/01 4,000 4,078
5.375% due 02/15/01 1,295 1,325
6.500% due 08/31/01 1,300 1,374
6.375% due 09/30/01 2,720 2,870
6.625% due 03/31/02 2,000 2,144
5.750% due 10/31/02 1,750 1,839
5.750% due 11/30/02 100 105
5.625% due 12/31/02 105,100 110,224
6.500% due 05/15/05 950 1,067
6.500% due 08/15/05 685 772
6.875% due 05/15/06 815 942
6.125% due 08/15/07 575 644
U.S. Treasury Strips
0.000% due 05/15/01 390 348
0.000% due 11/15/08 1,630 1,010
0.000% due 05/15/17 1,530 567
0.000% due 08/15/17 650 237
0.000% due 05/15/18 1,310 458
------------
Total U.S. Treasury Obligations 1,866,112
(Cost $1,837,645) ============
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 56.4%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 14.9%
American Southwest Financial
0.000% due 06/04/13(i) 64,050 70,896
12.250% due 11/01/14 63 71
12.500% due 04/01/15 559 622
12.000% due 05/01/15 1,031 1,150
11.400% due 09/01/15 773 808
Bear Stearns
6.438% due 10/25/23(d) 6,273 6,279
10.000% due 08/25/24 12,256 13,167
7.000% due 03/25/27 7,000 7,205
Capstead Mortgage Corp.
8.750% due 07/25/21 10,000 10,049
Centex Acceptance Corp.
11.000% due 11/01/15 223 223
Chase Mortgage Financial Corp.
8.250% due 10/25/10 2,032 2,029
9.500% due 04/25/24 26 26
Citicorp Mortgage Securities, Inc.
9.500% due 09/25/19 250 249
6.000% due 08/25/21 52 51
7.374% due 10/25/22(d) 17,147 17,672
7.250% due 02/25/27 227 229
CMC Securities Corp.
6.930% due 09/25/23(d) 9,025 9,256
7.753% due 04/25/25(d) 297 298
Collateralized Mortgage Obligation Trust
10.200% due 02/01/16 535 571
8.000% due 01/01/17 215 216
8.000% due 09/20/21 8,431 8,742
Collateralized Mortgage Securities Corp.
11.880% due 04/01/15 1,527 1,554
11.450% due 09/01/15 46 47
11.450% due 11/01/15(d) 251 285
8.750% due 04/20/19 816 859
Countrywide
6.500% due 07/25/13 5,676 5,843
7.933% due 07/25/24(d) 12,406 12,584
6.750% due 11/25/25 25,567 25,703
Donaldson, Lufkin & Jenrette
7.413% due 08/01/21(d) 6,242 6,318
8.006% due 12/25/22(d) 3,465 3,595
8.207% due 03/25/24(d) 1,032 1,075
6.500% due 04/25/24 10 10
7.978% due 05/25/24(d) 253 257
Drexel Mortgage Funding
9.500% due 11/20/17 1,439 1,497
8.600% due 03/01/18 492 495
Federal Home Loan Mortgage Corp.
7.000% due 05/15/99 44 44
6.500% due 03/15/00 1,003 1,012
7.000% due 10/15/03 5,432 5,608
7.500% due 11/01/03 12,698 13,027
5.500% due 11/15/04 2,188 2,187
6.000% due 06/15/05 13,709 13,817
6.500% due 07/25/05 24,593 24,627
6.500% due 07/15/06 1,075 1,109
6.500% due 08/15/06 710 732
6.500% due 05/15/08 1,000 1,031
4.500% due 08/15/08 456 454
6.400% due 10/15/08 183 16
6.000% due 03/15/09 265 274
8.500% due 08/15/13 2,000 2,110
8.500% due 09/15/13 5,941 6,268
7.000% due 04/25/15 119 118
11.000% due 11/30/15 11,347 13,389
6.900% due 03/15/16 211 211
5.400% due 05/25/16 70,422 71,193
7.000% due 06/15/16 139 139
7.000% due 11/15/16 13,044 13,214
6.210% due 08/15/17 274 275
6.350% due 03/25/18 200 204
5.250% due 05/15/18 847 846
6.500% due 12/15/18 5,610 5,674
6.500% due 05/15/19 615 627
5.000% due 08/15/19 178 176
7.000% due 02/15/20 151 151
9.125% due 06/15/20 1,120 1,133
5.250% due 07/15/20 770 767
8.500% due 09/15/20 1,527 1,529
5.500% due 10/15/20 200 200
8.750% due 10/15/20 60 60
9.500% due 11/15/20 7,714 8,465
6.000% due 12/15/20 345 348
8.750% due 12/15/20 1,265 1,377
9.000% due 12/15/20 5,283 5,592
6.500% due 05/15/21 189 192
6.500% due 05/17/21 120 119
8.500% due 06/15/21 46,339 48,746
6.950% due 07/15/21 700 723
8.000% due 07/15/21 10,036 10,447
9.000% due 07/15/21 3,012 3,226
9.500% due 07/15/21 3,981 4,123
6.200% due 08/15/21 1,500 1,528
6.950% due 08/15/21 185 196
7.000% due 08/15/21 299 304
8.000% due 08/15/21 23,472 24,275
6.500% due 09/15/21 1,966 1,996
7.000% due 09/15/21 251 258
8.000% due 09/15/21 73 74
7.000% due 10/15/21 25 26
8.000% due 12/15/21 15,692 16,873
6.850% due 01/15/22 700 734
8.250% due 06/15/22 5,000 5,307
7.000% due 07/15/22 8,008 8,320
7.000% due 07/15/22 229 233
8.500% due 10/15/22 13,946 14,610
6.500% due 07/15/23 363 363
7.000% due 07/15/23 235 247
7.250% due 07/15/23 25 25
7.500% due 01/20/24 403 411
5.000% due 02/15/24 116 113
6.500% due 02/15/24 32 32
7.250% due 08/15/24 190 194
See accompanying notes 39
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1998 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
8.000% due 09/15/24 16,250 17,633
7.000% due 11/17/25 40 41
7.599% due 10/01/26(d) 4,954 5,141
7.500% due 01/15/27 21,685 22,964
7.500% due 03/17/27 20,000 21,600
7.500% due 06/20/27 16,746 18,509
7.500% due 07/15/27 160 161
6.500% due 08/15/27 10,522 10,636
6.500% due 10/15/27 32,300 32,848
6.500% due 01/25/28 8,691 9,276
6.500% due 04/15/28 154,931 157,384
6.500% due 05/15/28 48,000 48,598
6.500% due 06/15/28 47,542 48,539
6.500% due 06/20/28 20,547 20,567
6.500% due 07/15/28 24,471 24,793
6.500% due 08/15/28 222,614 225,680
7.000% due 11/15/28 9,000 9,523
6.337% due 08/15/32(d) 39,807 39,958
Federal Housing Administration
7.430% due 01/01/24 1,058 1,098
Federal National Mortgage Assn.
9.100% due 02/25/02 4,158 4,273
7.500% due 05/25/05 6,700 7,036
7.000% due 11/25/05 9 9
7.500% due 02/25/06 375 389
6.500% due 05/01/06 347 353
6.500% due 07/25/06 75 77
8.000% due 11/25/06 30 31
6.000% due 07/25/07 300 308
7.652% due 08/25/07(d) 105 105
7.000% due 10/25/07 200 210
7.000% due 02/25/08 469 468
10.500% due 08/25/08 7,146 8,521
6.750% due 11/25/10 1,300 1,328
7.000% due 01/25/11 500 510
7.500% due 01/20/12 38 38
7.500% due 02/17/12 34 34
6.400% due 09/25/14 46 46
10.000% due 12/25/14 377 379
9.670% due 01/25/17 281 286
9.200% due 12/25/17 482 486
7.000% due 01/25/18 145 145
9.300% due 05/25/18 1,384 1,474
6.238% due 06/25/18(d) 6 6
6.500% due 06/25/18 8,775 8,790
9.500% due 06/25/18 713 763
5.500% due 07/25/18 178 178
7.750% due 10/25/18 20 20
9.500% due 11/25/18 14,680 15,744
6.000% due 12/25/18 75 76
6.500% due 03/25/19 885 904
6.250% due 04/18/19 18,764 18,819
9.500% due 06/25/19 2,803 3,043
5.650% due 07/25/19 4,659 4,671
6.350% due 08/25/19 435 438
8.000% due 10/25/19 12,929 13,190
7.500% due 12/25/19 147 156
9.000% due 12/25/19 12,076 13,004
7.500% due 05/25/20 6,519 6,731
6.000% due 06/25/20 9,593 9,617
8.000% due 07/25/20 36 36
7.000% due 09/25/20 25,000 25,566
9.000% due 09/25/20 7,343 7,876
8.000% due 12/25/20 22,579 24,230
8.750% due 01/25/21 6,200 6,687
7.500% due 02/17/21 210 212
7.500% due 02/25/21 3,268 3,267
7.500% due 03/25/21 20,919 21,297
9.000% due 03/25/21 983 1,068
7.000% due 05/25/21 300 312
6.500% due 06/25/21 5,184 5,342
7.500% due 06/25/21 320 323
8.000% due 07/25/21 21,183 22,341
8.500% due 09/25/21 11,029 11,715
7.000% due 10/25/21 8,056 8,412
8.000% due 10/25/21 22,430 23,593
6.500% due 11/25/21 31 31
6.000% due 12/25/21 129 130
8.000% due 01/25/22 21,700 22,577
8.000% due 03/25/22 292 300
7.000% due 04/25/22 17,091 17,823
10.000% due 05/01/22 272 297
7.000% due 06/25/22 2,307 2,364
8.000% due 06/25/22 3,292 3,677
7.000% due 07/25/22 10,175 10,475
8.000% due 07/25/22 51,814 56,696
6.500% due 10/25/22 313 32
6.500% due 10/25/22 3,556 3,631
7.800% due 10/25/22 5,882 6,173
6.500% due 12/25/22 747 747
7.000% due 03/25/23 25,273 25,617
6.900% due 05/25/23 138 145
7.000% due 06/25/23 4,303 4,272
6.000% due 08/25/23 4,003 4,049
6.500% due 08/25/23 81 82
1.000% due 09/25/23 350 317
6.750% due 10/25/23 519 566
7.500% due 10/25/23 132 134
6.500% due 11/25/23 170 168
7.250% due 02/25/24 50 51
7.500% due 06/20/24 120 124
7.000% due 02/18/25 140 142
7.000% due 05/25/25 520 522
7.500% due 12/25/25 120 123
7.000% due 02/15/26 180 183
7.000% due 07/18/26 210 212
7.000% due 12/18/26 14,066 14,604
6.000% due 05/17/27 5,470 5,295
7.500% due 08/18/27 2,619 2,626
6.500% due 03/01/28 674 685
6.500% due 07/18/28 67,412 69,287
First Commonwealth Savings & Loan
10.375% due 04/01/05 20 21
First Union Residential Securitization, Inc.
6.750% due 08/25/28 9,048 9,204
General Electric Capital Mortgage
6.750% due 12/25/12 6,256 6,353
6.500% due 09/25/23 1,175 1,170
6.500% due 02/25/24 13 13
6.500% due 03/25/24 13,262 13,417
6.500% due 04/25/24 58,591 60,145
7.500% due 04/25/27 213 214
7.000% due 11/25/27 15,000 15,492
6.550% due 06/25/28 23,450 23,858
6.500% due 10/25/28 19,500 19,680
General Motors Acceptance Corp.
6.700% due 03/15/08 1,000 1,062
Government National Mortgage Assn.
7.500% due 07/20/20 356 359
7.000% due 01/15/24 554 574
8.000% due 05/16/24 120 123
7.000% due 08/20/26 161 164
7.500% due 02/16/27 131 134
7.500% due 07/16/27 25,603 26,685
6.500% due 06/20/28 10,000 10,050
6.500% due 07/20/28 34,369 35,517
6.500% due 09/20/28 25,000 24,563
Greenwich
7.176% due 04/25/22(d) 1,497 1,516
7.079% due 07/25/22(d) 7,607 7,692
7.127% due 10/25/22(d) 195 198
7.259% due 04/25/23(d) 2,561 2,595
7.846% due 04/25/24(d) 3,351 3,413
8.147% due 06/25/24(d) 3,740 3,834
8.861% due 08/25/24(d) 5,526 5,821
8.719% due 11/25/24(d) 1,636 1,720
40 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Headlands Mortgage Securities, Inc.
7.250% due 11/25/12 $ 5,442 $ 5,509
6.750% due 03/25/28 57,000 58,425
Imperial CMB Trust
5.992% due 09/25/26(d) 15,997 16,127
Independent National Mortgage Corp.
6.650% due 10/25/24 2,723 2,770
7.800% due 11/25/24(d) 6,505 6,671
7.319% due 07/25/25(d) 19,853 20,364
7.918% due 07/25/25(d) 17,994 18,365
International Mortgage Acceptance Corp.
12.250% due 03/01/14 540 613
J.P. Morgan & Co.
9.000% due 10/20/20 14,735 15,224
Kidder Peabody Acceptance Corp.
8.390% due 05/20/18 375 379
8.193% due 03/25/24(d) 4,962 4,955
8.145% due 09/25/24(d) 20,000 20,156
Marine Midland
8.000% due 10/25/23 350 352
Mellon Residential Funding Corp.
6.350% due 06/25/28 22,000 22,223
Merrill Lynch Mortgage
7.307% due 06/15/21(d) 7,804 8,170
7.794% due 06/15/21(d) 7,325 7,636
8.161% due 06/25/22(d) 5,322 5,345
Morgan Stanley Mortgage Trust
8.250% due 07/01/18 7,841 8,051
Mortgage Capital Trust
8.875% due 04/01/18 131 134
NationsBank Corp.
6.125% due 10/20/13 18,000 18,017
Nomura Asset Securities Corp.
8.001% due 05/25/24(d) 9,505 9,779
Norwest Mortgage
12.500% due 02/01/14 1,104 1,179
12.250% due 04/01/14 78 80
PaineWebber Mortgage
6.000% due 04/25/09 11,951 12,023
PNC Mortgage Securities Corp.
7.000% due 05/25/28 13,078 13,416
6.750% due 09/25/28 4,000 4,103
Prudential Bache
6.153% due 09/01/18(d) 418 412
8.400% due 03/20/21 3,756 3,957
Prudential Home
8.000% due 06/25/22 20,791 21,070
6.950% due 11/25/22 222 227
6.750% due 10/25/23 8,353 8,627
7.970% due 11/25/23(d) 165 167
8.150% due 11/25/23(d) 6,144 6,340
5.900% due 12/25/23 18,403 18,422
6.050% due 04/25/24 6,668 6,678
6.000% due 05/25/24 18 18
PSB Financial Corp.
11.050% due 12/01/15 883 960
Residential Asset Securities Corp.
7.000% due 03/25/27(d) 150 151
7.250% due 05/25/27(d) 345 348
Residential Funding
7.000% due 08/25/08 15,939 16,191
6.500% due 09/25/08 7,000 7,169
6.250% due 10/25/08 4,419 4,433
6.450% due 10/25/12 8,000 8,053
6.500% due 01/25/13 195,330 198,698
8.500% due 05/25/17 89 93
8.000% due 01/25/23 8,677 8,913
7.750% due 07/25/24 2 2
8.000% due 10/25/24(d) 10,662 11,138
7.400% due 09/25/25 85 86
7.500% due 09/25/25 18,183 18,766
5.948% due 10/25/27(d) 8,188 8,227
7.250% due 10/25/27 24,000 24,142
6.750% due 05/25/28 60,741 61,809
6.750% due 09/25/28 61,993 61,916
6.500% due 10/25/28 52,100 52,426
Resolution Trust Corp.
7.647% due 02/25/20(d) 157 158
7.063% due 09/25/20(d) 12,418 1,863
6.073% due 01/25/21(d) 934 931
8.229% due 06/25/21(d) 1,832 1,848
8.701% due 08/25/21(d) 38 38
8.704% due 08/25/21 8,000 8,205
8.704% due 08/25/21(d) 13,329 13,524
7.250% due 09/25/21(d) 2,784 2,787
5.686% due 10/25/21(d) 186 186
6.688% due 10/25/21(d) 588 591
8.139% due 10/25/21(d) 242 243
8.625% due 10/25/21 267 267
7.371% due 01/25/22(d) 2,463 2,457
7.736% due 03/25/22(d) 6,691 6,752
8.551% due 05/25/22(d) 2,429 2,528
7.437% due 08/25/23(d) 2,001 2,005
9.450% due 05/25/24 19,693 19,660
10.561% due 05/25/24(d) 594 593
7.100% due 12/25/24 1,500 1,595
7.750% due 03/25/25 1,285 1,310
7.302% due 07/25/28(d) 14,001 14,128
7.198% due 10/25/28(d) 23,712 24,251
7.412% due 10/25/28(d) 11,178 11,541
7.179% due 05/25/29(d) 4,551 4,630
7.544% due 05/25/29(d) 5,676 5,838
Rural Housing Trust
3.330% due 10/01/28 259 243
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/16 149 159
Ryland Acceptance Corp.
9.000% due 12/01/16 701 724
11.500% due 12/25/16 159 159
8.200% due 09/25/22 97 98
14.000% due 11/25/31 1,495 1,664
Ryland Mortgage Securities Corp.
7.805% due 08/25/22(d) 3,012 3,054
7.500% due 08/25/24 38 38
7.221% due 08/25/29(d) 6,184 6,358
6.926% due 10/25/31(d) 11,610 11,701
Salomon Brothers Mortgage Securities
7.605% due 11/25/22(d) 1,219 1,244
8.068% due 07/01/24(d) 11,024 11,420
5.928% due 06/25/27(d) 3,749 3,746
Santa Barbara Savings
9.500% due 11/20/18 3,773 3,785
Saxon Mortgage
7.910% due 08/25/23(d) 29,961 30,756
8.312% due 09/25/24(d) 11,470 11,879
Sears Mortgage
6.712% due 09/25/22(d) 2,297 2,355
Securitized Asset Sales, Inc.
7.697% due 10/25/23(d) 3,989 4,100
7.652% due 12/26/23(d) 4,108 4,244
5.944% due 02/25/28 9,608 9,629
Security Pacific National Bank
6.279% due 03/01/18(d) 126 126
Southern Pacific Secured Assets Corp.
5.818% due 06/25/28(d) 94,856 94,407
Structured Asset Mortgage Investments, Inc.
6.921% due 06/25/28(d) 49,976 51,210
6.250% due 08/25/28(d) 10,695 10,700
Union Planters Mortgage Finance Corp.
6.750% due 01/25/28 4,000 4,306
6.800% due 01/25/28 15,000 15,736
Vendee Mortgage
7.000% due 02/15/00 3,789 3,830
7.750% due 03/15/16 600 616
7.750% due 05/15/18 550 574
Western Federal Savings & Loan
6.985% due 06/25/21(d) 7,978 8,137
------------
3,335,688
============
See accompanying notes 41
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------------------------
<S> <C> <C>
Federal Home Loan Mortgage Corporation 14.7%
5.250% due 12/01/98-04/15/16(g) $ 3,001 $ 2,998
5.500% due 04/01/01-03/01/10(g) 395 394
5.750% due 08/15/20 300 303
6.000% due 12/01/98-10/14/28(g) 1,635,865 1,641,558
6.145% due 12/01/26(d) 9,262 9,376
6.250% due 03/15/28 38,700 39,104
6.500% due 06/01/03-10/14/28(g) 1,288,633 1,312,645
6.750% due 04/01/17-01/17/25(g) 25,008 25,201
6.775% due 11/01/03 70 70
7.000% due 01/01/00-03/01/26(g) 21,632 22,078
7.210% due 10/25/23(d) 24,562 25,485
7.327% due 05/01/27(d) 2,810 2,918
7.428% due 07/01/22(d) 1,604 1,672
7.479% due 09/01/23(d) 3,277 3,352
7.500% due 05/01/99-10/14/28(g) 17,133 17,672
7.510% due 07/01/23(d) 1,002 1,025
7.520% due 07/01/23(d) 3,129 3,203
7.557% due 08/01/23(d) 1,967 2,008
7.568% due 09/01/23(d) 19,718 20,072
7.569% due 08/01/23(d) 10,890 11,108
7.589% due 05/01/23(d) 6,119 6,335
7.609% due 04/01/23-08/01/24(d)(g) 1,330 1,380
7.625% due 01/01/19(d) 18 18
7.635% due 09/01/23(d) 4,860 5,028
7.642% due 08/01/23(d) 18 19
7.666% due 08/01/23-07/01/24(d)(g) 4,375 4,531
7.687% due 09/01/23(d) 3,854 3,990
7.705% due 06/01/24(d) 2,066 2,109
7.734% due 10/01/23(d) 3,132 3,262
7.737% due 10/01/23(d) 3,797 3,925
7.738% due 10/01/23(d) 2,265 2,340
7.750% due 04/01/07 46 46
7.756% due 04/01/24(d) 13,405 13,924
7.766% due 11/01/23(d) 1,328 1,345
7.820% due 04/01/29(d) 2,933 3,056
7.822% due 11/01/23(d) 797 816
7.825% due 10/01/23(d) 1,206 1,245
7.840% due 01/01/24(d) 813 841
7.857% due 10/01/23(d) 1,591 1,621
7.974% due 11/01/23(d) 851 876
7.982% due 01/01/24(d) 843 859
8.000% due 10/01/07-06/01/26(g) 5,742 5,959
8.250% due 08/01/07-12/01/09(g) 177 182
8.500% due 09/01/01-01/01/28(g) 48,524 50,558
8.750% due 02/01/01-12/10/10(g) 289 298
8.900% due 11/15/20 24,735 26,341
9.000% due 01/01/02-09/15/20(g) 1,079 1,129
9.250% due 06/01/09-08/01/09(g) 80 85
9.500% due 08/01/01-06/01/21(g) 2,554 2,714
9.750% due 11/01/04-05/01/09(g) 74 77
10.000% due 06/01/04-11/15/19(g) 1,354 1,440
10.250% due 03/15/09-05/01/09(g) 1,875 2,033
11.000% due 12/01/99-07/01/19(g) 983 1,078
11.250% due 10/01/09-09/01/15(g) 189 210
11.500% due 03/01/00-05/01/00(g) 16 17
12.500% due 07/01/99 1 1
13.250% due 10/01/13 83 95
14.000% due 04/01/16 29 33
15.500% due 08/01/11-11/01/11(g) 18 20
16.250% due 05/01/11 6 7
--------------
3,292,085
==============
Federal Housing Administration 0.8%
6.155% due 12/01/21 12,056 12,617
7.125% due 03/01/34 4,475 4,862
7.211% due 12/01/21 2,852 2,925
7.316% due 05/01/19 5,049 5,408
7.375% due 03/01/19-01/01/24(g) 17,429 18,775
7.400% due 02/01/21 2,607 2,711
7.430% due 12/01/16-05/01/25(g) 90,557 95,721
7.465% due 11/01/19 45,345 47,357
7.650% due 11/01/18 166 175
--------------
190,551
==============
Federal National Mortgage Association 7.8%
5.500% due 11/12/28 2,000 1,940
5.650% due 04/25/05 200 200
6.000% due 12/01/00-12/10/28(g) 493,426 493,337
6.125% due 04/01/19(d) 999 1,010
6.130% due 07/01/17(d) 105 106
6.131% due 02/01/18-05/01/36(d)(g) 93,809 94,913
6.132% due 08/01/29-05/01/36(d)(g) 69,261 70,095
6.136% due 05/01/29(d) 1,504 1,521
6.138% due 05/01/36(d) 72,224 73,245
6.142% due 08/01/29(d) 9,197 9,304
6.143% due 05/01/36(d) 71,840 72,858
6.148% due 04/01/19(d) 161 163
6.153% due 03/01/33(d) 51,651 52,262
6.156% due 11/01/28(d) 2,359 2,386
6.167% due 09/01/24-10/26/28(d)(g) 122,367 123,780
6.175% due 07/01/24(d) 804 813
6.231% due 04/01/27(d) 239 243
6.250% due 07/25/07 100 102
6.390% due 05/25/36 5,027 4,926
6.500% due 11/01/03-10/14/28(g) 452,742 460,462
6.600% due 09/25/18 6,500 6,595
6.750% due 08/01/03-09/25/22(g) 746 755
6.834% due 07/01/03 68 72
6.900% due 07/25/99 1,272 1,279
6.950% due 03/25/26 300 305
7.000% due 05/25/99-12/20/27(g) 71,702 73,904
7.062% due 09/01/22(d) 2,332 2,390
7.132% due 09/01/22(d) 2,293 2,356
7.223% due 11/01/25(d) 9,062 9,273
7.250% due 05/01/02-01/01/23(g) 11,391 11,672
7.266% due 09/01/25(d) 4,030 4,133
7.373% due 09/01/24(d) 2,601 2,707
7.455% due 07/01/24(d) 12,928 13,187
7.500% due 08/01/03-07/01/28(g) 83,837 86,614
7.502% due 11/01/25(d) 2,690 2,799
7.585% due 03/01/25(d) 6,018 6,212
7.595% due 11/01/25(d) 4,135 4,270
7.673% due 05/01/26(d) 1,544 1,613
7.690% due 01/01/24(d) 1,491 1,551
7.691% due 01/01/26(d) 2,365 2,460
7.724% due 01/01/24(d) 735 762
7.727% due 12/01/23(d) 1,372 1,388
7.735% due 11/01/23-05/01/24(d)(g) 5,411 5,569
7.736% due 09/01/23(d) 5,249 5,416
7.750% due 06/01/09 215 225
7.756% due 02/01/26(d) 1,049 1,091
7.775% due 01/01/24(d) 4,205 4,362
7.813% due 10/01/23(d) 612 637
7.825% due 11/01/23(d) 280 290
7.860% due 12/01/23(d) 1,969 2,048
7.897% due 03/01/26(d) 7,482 7,820
7.914% due 01/01/24(d) 286 299
8.000% due 09/01/01-12/01/26(g) 8,787 9,129
8.250% due 10/01/08-02/01/17(g) 768 800
8.500% due 07/01/99-05/01/27(g) 4,587 4,771
9.000% due 01/01/99-04/01/17(g) 1,659 1,756
9.500% due 12/01/06-07/01/22(g) 133 143
9.750% due 11/01/08 86 93
10.000% due 09/01/03-05/01/22(g) 906 988
10.500% due 12/01/16-04/01/22(g) 843 949
12.000% due 05/01/16 17 20
13.000% due 09/01/13 48 57
13.250% due 09/01/11 19 21
14.500% due 11/01/11-01/01/13(g) 71 87
14.750% due 08/01/12-11/01/12(g) 244 277
15.500% due 10/01/12-12/01/12(g) 31 39
15.750% due 12/01/11-08/01/12(g) 158 187
16.000% due 09/01/12 171 214
--------------
1,747,251
==============
</TABLE>
42 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------------------------
<S> <C> <C>
Government National Mortgage Association 17.4%
4.500% due 01/20/24-05/20/28(d)(g) $ 52,646 $ 53,586
5.000% due 04/20/28-08/20/28(d)(g) 66,673 66,981
5.650% due 10/15/12 13 13
6.000% due 10/15/08-08/20/27(d)(g) 439,045 444,106
6.500% due 10/15/08-10/21/28(d)(g) 1,495,067 1,527,567
6.750% due 06/20/28 19,322 20,629
6.875% due 06/20/21-06/20/27(d)(g) 739,649 755,700
7.000% due 07/15/08-03/15/28(d)(g) 915,392 933,130
7.375% due 04/20/23(d) 533 548
7.500% due 08/15/05-02/15/28(g) 40,830 42,415
8.000% due 05/15/01-10/15/25(g) 2,990 3,135
8.250% due 08/15/04-05/15/22(g) 701 742
8.500% due 06/15/01-01/20/27(g) 15,694 16,478
8.750% due 01/15/99-07/15/07(g) 140 147
9.000% due 06/15/01-07/20/22(g) 7,181 7,704
9.250% due 10/15/01-05/20/21(g) 406 429
9.500% due 04/15/01-08/15/23(g) 6,485 7,034
9.750% due 09/15/02-01/15/21(g) 224 238
10.000% due 04/15/01-02/15/25(g) 5,551 6,116
10.250% due 10/15/98-02/20/19(g) 47 51
10.500% due 06/15/04 125 135
11.000% due 05/15/04-03/15/19(g) 142 157
11.250% due 03/15/01-12/20/15(g) 60 66
11.500% due 04/15/13-05/15/13(g) 8 9
12.000% due 03/20/99-03/15/15(g) 85 95
12.500% due 01/15/11 1 2
13.000% due 12/15/12-10/15/14(g) 40 46
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) 102 122
--------------
3,887,444
==============
Other Mortgage-Backed Securities 0.7%
Aames Mortgage Trust
7.275% due 05/15/20 270 274
Bank of America
9.000% due 03/01/08 74 73
Citibank, N.A
8.000% due 07/25/18 82 84
DBL Mortgage Funding
9.500% due 08/01/19 23 24
First Interstate Bancorp
9.125% due 01/01/09 12 12
General Electric Capital Mortgage
7.250% due 07/25/11 13,000 13,144
General Electric Credit Corp.
8.000% due 03/01/02(j) 78 80
German American Capital Corp.
8.360% due 09/30/02 3,364 3,552
6.581% due 07/01/18(d) 9,330 9,295
Great Western Savings & Loan
5.980% due 08/01/17(d) 179 176
Guardian
6.976% due 12/25/18(d) 285 249
Home Savings of America
8.464% due 08/01/06 90 93
5.838% due 05/25/27(d) 3,383 3,325
6.438% due 08/20/29(d) 13,187 13,256
Imperial Savings & Loan
10.000% due 09/01/16(j) 195 205
8.238% due 01/25/17(d) 99 99
8.844% due 07/25/17(d) 353 352
LTC Commercial Corp.
8.059% due 11/28/12 3,883 4,021
MDC Mortgage Funding
8.696% due 01/25/25(d) 659 683
Merrill Lynch Mortgage
9.250% due 12/15/09 15 15
8.153% due 06/15/21(d) 1,635 1,704
Mid-State Trust
8.330% due 04/01/30 74,786 84,371
Morgan Stanley Mortgage
8.150% due 07/20/21 11 11
Resolution Trust Corp.
7.107% due 05/25/29(d) 5,459 5,545
Salomon Brothers Mortgage Securities
11.500% due 09/01/15 1,435 1,561
Sears Mortgage
12.000% due 02/25/14 1,030 1,036
6.738% due 06/25/22(d) 667 675
7.416% due 10/25/22(d) 4,138 4,184
Structured Asset Securities Corp.
5.794% due 01/25/00(d) 2,605 2,607
Western Federal Savings & Loan
6.631% due 11/25/18(d) 184 185
6.682% due 03/25/19(d) 1,468 1,472
--------------
152,363
==============
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
10.038% due 09/15/05 15 1
6.500% due 11/15/06 1,964 112
6.500% due 03/15/07 2,737 167
5.750% due 09/15/07(d) 10,107 610
5.428% due 02/15/08(d) 855 52
11.651% due 01/15/16 22 1
6.500% due 08/15/16 2,756 128
7.000% due 04/15/18 2,714 112
9.993% due 11/15/18(d) 100 5
8.845% due 01/15/21 385 66
9.000% due 05/15/22 192 21
Federal Home Loan Mortgage Corp. (PO)
0.000% due 06/15/21 1,476 1,455
Federal National Mortgage Assn. (IO)
6.750% due 09/25/04 55 2
7.000% due 06/25/05 15 1
10.458% due 07/25/05(d) 514 22
6.500% due 07/25/06 4,507 197
7.272% due 09/25/06 4 57
6.500% due 02/25/07 3,513 306
6.500% due 07/25/07 1,622 99
6.500% due 09/25/07 4,474 365
6.500% due 10/25/07 1,797 128
0.950% due 03/25/09(d) 44,031 713
7.000% due 08/25/15 2,613 85
7.000% due 08/25/16 709 28
6.500% due 08/25/20 2,666 373
10.070% due 01/25/21 108 13
9.032% due 08/25/21 1,439 233
0.950% due 11/25/21(d) 43,780 742
6.500% due 01/25/23 4,042 562
Federal National Mortgage Assn. (PO)
0.000% due 09/01/07 1,107 992
0.000% due 02/25/21 3,700 3,685
0.000% due 06/25/22 2,277 2,153
0.000% due 08/25/23 407 349
PaineWebber (IO)
13.595% due 08/01/19 239 75
Vendee Mortgage (IO)
0.542% due 06/15/23(d) 202,805 3,987
17,897
--------------
Total Mortgage-Backed Securities 12,623,279
(Cost $12,375,186) ==============
</TABLE>
See accompanying notes 43
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
September 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 7.7%
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
AFC Home Equity Loan Trust
7.294% due 10/25/26(d) $ 6,974 $ 7,105
Americredit Automobile Receivable Trust
6.540% due 05/12/01 500 509
Arcadia Automobile Receivables Trust
6.300% due 07/16/01 9,000 9,061
Aspetuck Trust
5.781% due 02/01/99(d) 80,000 79,400
5.816% due 09/01/99(d) 100,000 100,000
Asset-Backed Securities Investment Trust
6.790% due 08/17/03 26,606 26,722
Associates Manufactured Housing
7.000% due 03/15/27 900 929
Auto Receivables Trust
6.500% due 04/16/03 23,021 23,021
California Infrastructure
5.940% due 09/25/00 3,676 3,680
5.970% due 12/26/00 4,340 4,370
5.980% due 12/26/00 20,584 20,681
6.010% due 06/25/01 73,864 74,234
6.150% due 06/25/02 19,500 19,827
Capital Equipment Receivables Trust
6.030% due 02/15/00 5,000 5,035
Case Equipment Loan Trust
6.150% due 09/15/02 1,515 1,520
Chase Manhattan Auto Owner Trust
5.750% due 10/15/01 500 505
Chase Manhattan Grantor Trust
6.000% due 09/17/01 2,133 2,144
5.900% due 11/15/01 6,142 6,167
6.610% due 09/15/02 3,948 4,003
Chase Mortgage Financial Corp.
6.750% due 10/25/28 30,000 29,850
Citicorp Mortgage Securities, Inc.
6.750% due 04/25/28 16,297 16,750
Community Program Loan Trust
4.500% due 10/01/18 26,867 26,136
4.500% due 04/01/29 26,000 23,122
Conti Mortgage Home Equity Loan Trust
5.811% due 10/15/12(d) 31,024 31,167
6.990% due 03/15/21 350 368
5.730% due 06/15/28(d) 7,427 7,427
Copelco Capital Funding Corp.
6.340% due 07/20/04 49 50
CS First Boston Mortgage Securities Corp.
6.750% due 09/25/28 6,960 7,369
CSXT Trade Receivables
5.050% due 09/25/99 500 500
Daimler-Benz Vehicle Trust
5.850% due 07/20/03 15,298 15,317
6.050% due 03/20/05 9,313 9,407
Delta Air Lines Equipment Trust
9.230% due 07/02/02(j) 10,099 10,930
10.500% due 01/02/07(j) 7,412 8,988
10.570% due 01/02/07(j) 15,881 20,186
9.550% due 01/02/08(j) 7,773 9,104
10.000% due 06/05/13 10,828 14,362
Discover Card Trust
5.800% due 09/16/03 500 509
6.031% due 10/16/13(d) 400 405
EQCC Home Equity Loan Trust
6.710% due 07/15/11 330 339
Equivantage Home Equity Loan Trust
6.550% due 04/01/27 158 163
Federal-Mogul Corp.
7.880% due 12/31/05(d) 23,636 23,591
7.940% due 12/31/05 1,340 1,337
First Omni Bank
6.650% due 09/15/03(d) 1,500 1,558
First Security Auto Grantor Trust
6.100% due 04/15/03 2,744 2,772
First Union Master Credit Card Trust
5.760% due 09/15/03 88,750 88,949
Flag Limited
7.588% due 12/15/04 94 94
7.650% due 12/15/04(d) 13,073 12,778
7.588% due 01/30/05 3,778 3,693
Ford Credit Grantor Trust
6.750% due 09/15/00 1,250 1,266
5.900% due 10/15/00 7,350 7,383
Ford Motor Credit Corp.
5.500% due 02/15/03 5,300 5,357
Fred Meyer, Inc.
6.688% due 03/19/03(d) 84,519 83,781
6.750% due 03/19/03 30,481 30,214
General Motors Acceptance Corp.
6.500% due 04/15/02 30,194 30,430
Green Tree Financial Group
7.150% due 07/15/27 1,025 1,054
IMC Home Equity Loan Trust
5.796% due 05/21/12(d) 29,401 29,429
7.482% due 07/25/26(d) 1,143 1,163
Independent National Mortgage Corp.
8.750% due 12/25/24 30 32
8.000% due 06/25/25 100 101
Integrated Health Services
7.687% due 09/16/04(d) 15,000 15,260
Korea National Housing
9.062% due 05/23/01 60,000 49,200
Lyondell Petroleum
7.687% due 06/17/99(d) 20,000 19,900
7.687% due 06/17/00(d) 27,000 26,865
7.687% due 06/17/03(d) 20,000 19,900
MBNA Master Credit Card Trust
5.572% due 01/15/02 73,635 73,814
6.050% due 11/15/02 245 250
Metlife Capital Equipment Loan Trust
6.850% due 05/20/08(d) 320 339
Money Store Home Equity Trust
6.815% due 07/15/06 73 74
6.520% due 08/15/09 31,273 31,436
6.205% due 03/15/12 25,000 25,114
7.550% due 02/15/20 500 520
Morgan Stanley Capital
5.886% due 07/25/27(d) 3,501 3,503
National Medical Care
7.250% due 09/30/03(d) 51,250 50,930
NationsBanc Montgomery Funding Corp.
6.500% due 10/25/28 9,000 9,068
NationsBank Auto Owner Trust
6.375% due 07/15/00 911 916
NationsBank Corp.
5.850% due 06/15/02 224 225
Newcourt Receivable Asset Trust
6.240% due 12/20/04 24 24
Norwest Asset Securities Corp
6.500% due 04/25/13 22,079 22,792
6.500% due 06/25/13 11,438 11,805
6.250% due 10/25/13 50,000 50,305
7.500% due 03/25/27 26,622 27,636
6.750% due 05/25/28 27,707 28,410
6.750% due 07/25/28 12,657 12,980
6.200% due 09/25/28 19,077 19,184
6.500% due 10/25/28 20,000 20,138
Olympic Automobile Receivables Trust
5.650% due 01/15/01 520 520
OSCC Home Equity
6.950% due 05/15/07 75 75
Premiere Auto Trust
6.575% due 10/06/00 1,975 1,998
Residential Asset Securities Corp.
6.750% due 03/25/28 40,000 41,016
Saxon Asset Securities Trust
6.475% due 11/25/20 274 276
</TABLE>
44 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Sears Credit Account Master Trust
6.050% due 01/16/08 $ 500 $ 520
7.000% due 07/15/08 500 541
Total Renal Care Holdings
7.437% due 03/31/08(d) 48,000 47,940
UCFC Home Equity Loan
6.381% due 07/15/10 104 104
United Air Lines Equipment Trust
9.200% due 03/22/08 4,309 5,073
10.360% due 11/13/12 7,000 9,241
10.020% due 03/22/14 5,825 7,105
10.850% due 07/05/14 34,111 45,640
10.125% due 03/22/15 14,300 18,602
9.060% due 06/17/15 5,000 5,875
9.210% due 01/21/17 2,000 2,442
USAA Auto Loan Grantor Trust
5.800% due 01/15/05 9,311 9,391
WFS Financial Owner Trust
6.650% due 08/20/00 1,713 1,722
6.050% due 07/20/01 1,966 1,972
6.500% due 09/20/01 10,777 10,907
Ziff-Davis, Inc.
7.469% due 03/31/06 40,000 40,025
------------
Total Asset-Backed Securities 1,717,917
(Cost $1,693,486) ============
- -----------------------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.2%
- -----------------------------------------------------------------------------------------------
Banco Nacional de Obra y Servicios
6.875% due 10/01/98 19,500 19,500
Central Bank Philippines
6.000% due 06/01/08(d) 12,240 8,690
City of Buenos Aires
11.250% due 04/11/07 5,000 3,917
Government of Brazil
6.625% due 04/15/06(d) 25,026 14,265
6.688% due 04/15/12(d) 81,700 40,850
8.000% due 04/15/14 13,342 7,923
Hydro Quebec
5.656% due 04/15/99(d) 10,000 9,993
7.375% due 02/01/03 150 163
9.400% due 02/01/21 500 669
8.500% due 12/01/29 5,085 6,384
9.375% due 04/15/30 600 822
9.500% due 11/15/30 2,370 3,289
Kingdom of Sweden
10.250% due 11/01/15 500 727
Nacional Financiera
9.000% due 01/25/99 13,260 13,161
Providence of Newfoundland
9.000% due 06/01/19 500 654
Province of Nova Scotia
9.375% due 07/15/02 1,000 1,130
Province of Ontario
6.125% due 06/28/00 50 51
7.750% due 06/04/02 200 219
7.625% due 06/22/04 1,000 1,125
7.000% due 08/04/05 1,000 1,102
5.500% due 10/01/08 10,000 10,050
Province of Quebec
6.090% due 06/21/99(d) 50,000 50,129
7.500% due 07/15/02 6,000 6,466
8.800% due 04/15/03 100 114
5.838% due 06/11/04(d) 15,500 15,461
7.125% due 02/09/24 710 765
Republic of Argentina
8.399% due 08/15/99(d) 17,500 16,395
5.688% due 04/01/00(d) 16,965 13,379
5.635% due 04/01/01(d) 45,690 38,164
6.625% due 03/31/05(d) 341,220 269,564
8.726% due 04/10/05(d) 43,650 37,648
Republic of Columbia
8.750% due 10/06/99 500 490
Republic of Korea
8.281% due 04/08/00(d) 64,044 58,761
Republic of Philipines
6.500% due 12/01/17 4,216 3,041
Republic of Philippines
6.563% due 01/05/05(d) 11,879 9,394
Republic of Poland
4.000% due 10/27/14 25,000 21,408
State of Israel
6.200% due 06/15/03 25 26
United Mexican States
7.002% due 06/27/02(d) 44,000 40,525
------------
Total Sovereign Issues 726,414
(Cost $760,430) ============
- -----------------------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(f) 2.1%
- -----------------------------------------------------------------------------------------------
City of Montreal
11.500% due 09/20/00 C$ 7,000 5,107
Commonwealth of Australia
8.750% due 01/15/01 A$ 4,235 2,742
9.750% due 03/15/02 3,665 2,528
10.000% due 10/15/02 6,940 4,919
10.000% due 02/15/06 1,600 1,240
10.000% due 10/15/07 23,000 18,512
Commonwealth of Canada
6.500% due 06/01/04 C$ 1,000 706
4.250% due 12/01/26(h) 121,800 82,163
Commonwealth of New Zealand
6.500% due 02/15/00 N$ 160,000 81,010
8.000% due 02/15/01 8,890 4,682
10.000% due 03/15/02 107,500 61,027
8.000% due 04/15/04 7,000 3,888
4.500% due 02/15/16(h) 23,000 12,103
Federal National Mortgage Assn.
6.875% due 06/07/02 BP 15,000 26,351
Petroleos Mexicanos
7.750% due 09/30/98 FF 5,000 893
Province of Saskatchewan
9.125% due 02/15/21 C$ 3,000 4,099
Republic of Argentina
3.044% due 04/01/01(d) AP 7,392 5,668
Reynolds, R.J.
6.875% due 11/22/00 DM 9,500 5,804
United Kingdom Gilt
7.400% due 01/08/99 BP 27,022 45,910
7.000% due 06/07/02 50,000 89,752
------------
Total Foreign Currency-Denominated Issues 459,104
(Cost $510,546) ============
- -----------------------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.3%
- -----------------------------------------------------------------------------------------------
U.S. Treasury Note (OTC)
5.375% due 07/31/00
Strike @ 99.96 Exp. 02/19/99 $ 127,000 $ 2,176
5.375% due 07/31/00
Strike @ 100.00 Exp. 02/19/99 30,000 503
5.375% due 07/31/00
Strike @ 99.99 Exp. 02/26/99 250,000 4,200
6.625% due 06/30/01
Strike @ 96.46 Exp. 11/12/98 135,200 11,519
5.750% due 11/30/02
Strike @ 93.89 Exp. 10/29/98 75,000 8,399
5.500% due 02/28/03
Strike @ 94.39 Exp. 12/02/98 2,000 213
5.500% due 02/28/03
Strike @ 92.99 Exp. 11/23/98 125,000 14,354
</TABLE>
See accompanying notes 45
<PAGE>
Schedule Of Investments (Cont.)
Total Return Fund
September 30, 1998 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
5.250% due 08/15/03
Strike @ 92.16 Exp. 08/20/99 $ 1,500,000 $ 2
5.250% due 08/15/03
Strike @ 99.29 Exp. 08/20/99 127,000 6,438
5.250% due 08/15/03
Strike @ 100.00 Exp. 08/20/99 250,000 11,078
5.250% due 08/15/03
Strike @ 99.47 Exp. 08/27/99 380,000 18,624
-------------
Total Purchased Call Options 77,506
=============
(Cost $36,605)
- --------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
- --------------------------------------------------------------------------------
U.S. Treasury 5 Year Note December Futures (CBOT)
5.375% due 07/31/00
Strike @ 106.00 Exp. 11/21/98 3,001,200 125
-------------
Total Purchased Put Options 125
(Cost $293) =============
- --------------------------------------------------------------------------------
PREFERRED STOCK 0.2%
- --------------------------------------------------------------------------------
Shares
Banco Bilbao Vizcaya International
2.438% due 01/01/00 266,217 7,221
Barclays Bank
2.875% due 01/01/00 215,500 5,899
CSC Holdings, Inc.
11.932% due 01/01/00 21,127 2,324
Home Ownership Funding
0.133% due 01/01/00 1,125 1,128
Sanwa International
0.000% due 01/01/00 3,006,000,000 13,409
TCI Communications, Inc.
2.430% due 01/01/00 622,553 16,965
2.500% due 01/01/00 49,000 1,338
Unocal Capital Trust
3.125% due 01/01/00 402 21
-------------
Total Preferred Stock 48,305
(Cost $58,536) =============
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.5%
- --------------------------------------------------------------------------------
Principal
Amount
(000s)
Certificates of Deposit 0.2%
Bank of Tokyo
5.890% due 10/05/98 $ 17,000 $ 17,000
5.940% due 01/19/99 15,000 15,000
-------------
32,000
=============
Commercial Paper 0.1%
Federal Home Loan Mortgage Corp.
5.240% due 10/16/98 300 299
Federal Housing Administration
5.888% due 10/29/98 18,900 18,900
New Center Asset Trust
5.220% due 12/17/98 1,300 1,285
Pfizer, Inc.
5.270% due 10/30/98 100 100
Procter & Gamble Co.
5.140% due 12/29/98 1,500 1,480
-------------
22,064
=============
Repurchase Agreements 0.7%
State Street Bank
4.750% due 10/01/98 24,945 24,945
(Dated 09/30/98. Collateralized by U.S. Treasury
Note 6.375% 03/31/01 valued at $25,446,625.
Repurchase proceeds are $24,948,291.)
First Boston
5.150% due 10/01/98 $ 134,400 $ 134,400
(Dated 09/30/98. Collateralized by U.S. Treasury
Note 4.500% 09/30/00 valued at $137,759,040.
Repurchase proceeds are $134,419,227.)
-------------
159,345
=============
U.S. Treasury Bills (b)(g) 0.5%
4.959% due 12/03/98-08/19/99 117,076 116,369
-------------
Total Short-Term Instruments 329,778
(Cost $329,617) =============
Total Investments (a) 123.6% $ 27,642,164
(Cost $27,332,479)
Written Options (e) (0.2%) (51,236)
(Premiums $15,248)
Other Assets and Liabilities (Net) (23.4%) (5,224,865)
-------------
Net Assets 100.0% $ 22,366,063
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 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. $ 498,202
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (188,517)
-------------
Unrealized appreciation-net $ 309,685
=============
(b) Securities with an aggregate market value of $116,369 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at September 30, 1998:
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
Eurodollar March Futures (03/01) 50 $ 122
Eurodollar March Futures (03/02) 2,682 4,735
Eurodollar June Futures (06/01) 50 116
Eurodollar June Futures (06/02) 1,075 1,627
Eurodollar September Futures (09/00) 1,050 2,780
Eurodollar September Futures (09/01) 1,707 3,557
Eurodollar December Futures (12/00) 1,050 2,546
Eurodollar December Futures (12/01) 1,607 2,810
U.S. Treasury 5 Year Note (12/98) 11,754 43,403
U.S. Treasury 10 Year Note (12/98) 33,667 122,508
U.S. Treasury 10 Year Note (03/99) 37 174
U.S. Treasury 30 Year Bond (12/98) 16,553 52,066
U.S. Treasury 30 Year Bond (12/99) 500 2,051
United Kingdom 90 Day LIBOR (12/98) 4,472 1,404
United Kingdom 90 Day LIBOR (03/99) 1,000 403
United Kingdom 90 Day LIBOR (12/99) 562 1,306
-------------
$ 241,608
=============
(c) Foreign forward currency contracts outstanding at September 30, 1998:
Principal
Amount Unrealized
Covered by Expiration Appreciation/
Type Contract Month (Depreciation)
Sell BP 19,798 10/98 $ (1,327)
Sell C$ 137,761 10/98 339
Sell DM 8,475 11/98 (352)
Sell N$ 19,132 12/98 (190)
-------------
$ (1,530)
=============
46 See accompanying notes
<PAGE>
- --------------------------------------------------------------------------------
(d) Variable rate security. The rate listed is as of September 30, 1998.
(e) Premiums received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 128.00 Exp. 11/21/98 $ 3,365 $1,634 $13,512
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 112.00 Exp. 11/21/98 1,000 510 16
Call - CBOT U.S. Treasury Bond December Futures
Strike @ 130.00 Exp. 11/21/98 3,000 828 7,922
Put - CBOT U.S. Treasury Bond December Futures
Strike @ 114.00 Exp. 11/21/98 1,500 578 23
Call - OTC U.S. Treasury Note
5.375% due 07/00
Strike @ 100.51 Exp. 02/19/99 1,270 139 1,543
Put - OTC U.S. Treasury Note
5.375% due 07/00
Strike @ 99.62 Exp. 02/19/98 2,540 278 13
Call - OTC U.S. Treasury Note
5.375% due 07/00
Strike @ 100.79 Exp. 02/19/98 300 40 294
Put - OTC U.S. Treasury Note
5.375% due 07/00
Strike @ 99.96 Exp. 02/19/99 600 61 7
Call - CBOT U.S. Treasury Bond March Futures
Strike @ 138.00 Exp. 02/20/99 1,500 660 1,219
Call - OTC Sanwa Communications
Strike @ 1,270.00 Exp. 02/26/99 465 1,137 17
Call - OTC U.S. Treasury Note
5.375% due 07/00
Strike @ 100.53 Exp. 02/26/99 2,500 313 2,982
Put - OTC U.S. Treasury Note
5.375% due 07/00
Strike @ 99.66 Exp. 02/26/99 5,000 547 30
Call - OTC U.S. Treasury Note
5.250% due 08/03
Strike @ 101.25 Exp. 08/20/99 1,270 466 4,279
Put - OTC U.S. Treasury Note
5.250% due 08/03
Strike @ 97.97 Exp. 08/20/99 2,540 1,012 41
Put - OTC U.S. Treasury Note
5.250% due 08/03
Strike @ 98.59 Exp. 08/20/99 5,000 1,719 135
Call - OTC U.S. Treasury Note
5.250% due 08/03
Strike @ 101.79 Exp. 08/20/99 2,500 1,172 7,347
Call - OTC U.S. Treasury Note
5.250% due 08/03
Strike @ 101.60 Exp. 08/27/99 2,500 858 7,720
Call - OTC U.S. Treasury Note
5.250% due 08/03
Strike @ 101.60 Exp. 08/27/99 1,300 446 4,014
Put - OTC U.S. Treasury Note
5.250% due 08/03
Strike @ 97.94 Exp. 08/27/99 7,600 2,850 122
-------------------
$ 15,248 $ 51,236
-------------------
(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) Restricted security.
(k) Swap agreements outstanding at September 30, 1998:
Contract Notional Unrealized
Type Spread Lock 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. 05/02/02 0.3700 $120,000 $ 1,967
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 $ 3,979
Receive floating rate based on 6 month
JY-LIBOR and pay fixed rate equal to 2.340%
Broker: Deutsche Bank AG New York
Exp. 10/08/07 JY 24,500,000 (17,133)
Receive floating rate based on 6 month
JY-LIBOR and pay fixed rate equal to 2.295%.
Broker: Deutsche Bank AG New York
Exp. 04/14/08 JY 11,635,000 (7,840)
Receive floating rate based on 6 month
JY-LIBOR and pay fixed rate equal to 2.305%.
Broker: Deutsche Bank AG New York
Exp. 04/15/08 JY 7,563,000 (5,146)
Receive floating rate based on 6 month
JY-LIBOR and pay fixed rate equal to 1.495%.
Broker: Deutsche Bank AG New York
Exp. 09/16/08 JY 7,000,000 837
---------------
$ (25,303)
===============
See accompanying notes 47
<PAGE>
Schedule of Investments
Total Return Mortgage Fund
September 30, 1998 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 25.5%
- --------------------------------------------------------------------------------
U.S. Treasury Notes
6.750% due 04/30/00 $ 700 $ 724
6.250% due 08/31/02 250 267
----------
Total U.S. Treasury Obligations 991
(Cost $974) ==========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 81.0%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 33.4%
Countrywide Home Loans
6.750% due 11/25/27 70 71
Donaldson, Lufkin & Jenrette
6.500% due 04/25/24 13 13
Federal Home Loan Mortgage Corp.
5.500% due 06/15/13 30 30
6.153% due 02/01/18(b) 231 232
4.500% due 03/15/21 105 103
3.500% due 12/15/22 22 21
6.500% due 05/15/23 99 103
6.500% due 03/15/24 94 98
8.000% due 06/15/26 60 65
Federal National Mortgage Assn.
5.600% due 11/25/16 208 208
5.000% due 04/25/20 71 70
7.500% due 11/25/20 48 48
7.500% due 03/25/23 82 92
6.656% due 04/25/23(b) 25 25
6.500% due 09/25/23 32 32
6.750% due 09/25/23 46 46
Vendee Mortgage
7.750% due 05/15/22 32 37
----------
1,294
==========
Federal Home Loan Mortgage Corporation 16.4%
6.000% due 06/01/28-10/14/28(c) 442 443
7.000% due 02/01/27 187 192
----------
635
==========
Federal National Mortgage Association 2.6%
6.618% due 11/01/18(b) 72 74
7.000% due 11/25/19 26 26
----------
100
==========
Government National Mortgage Association 28.3%
6.875% due 03/20/16-03/20/27(b)(c) 198 203
6.880% due 02/20/18(b) 75 77
7.000% due 12/20/21-11/20/26(b)(c) 260 265
7.500% due 05/15/27-08/15/27(c) 533 552
----------
1,097
==========
Stripped Mortgage-Backed Securities 0.3%
Federal National Mortgage Assn. (IO)
7.000% due 12/25/16 299 11
----------
Total Mortgage-Backed Securities 3,137
(Cost $3,032) ==========
SHORT-TERM INSTRUMENTS 7.0%
Commercial Paper 2.6%
Federal Home Loan Bank
5.180% due 10/23/98 100 100
----------
Repurchase Agreement 4.4%
State Street Bank
4.750% due 10/01/98 172 172
(Dated 09/30/98. Collateralized by U.S. Treasury ----------
Note 5.750% 10/31/02 valued at $176,550.
Repurchase proceeds are $172,023.)
Total Short-Term Instruments 272
(Cost $272) ==========
Total Investments (a) 113.5% $ 4,400
(Cost $4,278)
Other Assets and Liabilities (Net) (13.5%) (526)
----------
Net Assets 100.0% $ 3,874
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 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. $ 127
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (5)
----------
Unrealized appreciation-net $ 122
==========
(b) Variable rate security. The rate listed is as of September 30, 1998.
(c) Securities are grouped by coupon and represent a range of maturities.
48 See accompanying notes
<PAGE>
Schedule of Investments
High Yield Fund
September 30, 1998 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 81.7%
- --------------------------------------------------------------------------------
Banking & Finance 3.3%
Arvin Capital
9.500% due 02/01/27 $ 19,000 $ 22,181
Bay View Capital Corp.
9.125% due 08/15/07 8,000 7,720
Forest City Enterprises
8.500% due 03/15/08 14,350 14,135
Fuji Bank
9.870% due 12/31/49(b) 26,000 11,556
General Motors Acceptance Corp.
5.813% due 04/29/02(b) 800 800
Helicon Group
11.000% due 11/01/03(b) 2,000 2,090
SB Treasury Co. LLC
9.400% due 12/29/49(b) 24,800 20,869
Trizec Finance Limited
10.875% due 10/15/05 2,441 2,599
------------
81,950
------------
Industrials 63.4%
Abbey Healthcare Group
9.500% due 11/01/02 16,120 15,072
Advanced Lighting
8.000% due 03/15/08 6,350 5,810
AEI Holding Co.
10.000% due 11/15/07 9,580 8,933
Albritton Communications
9.750% due 11/30/07 5,500 5,665
American Airlines
10.610% due 03/04/10 650 885
American Commercial Lines
10.250% due 06/30/08 6,550 6,485
American Standard
7.375% due 02/01/08 10,800 10,854
9.250% due 12/01/16 7,388 7,573
Amerigas Partners LP
10.125% due 04/15/07 4,200 4,132
Amphenol Corp.
9.875% due 05/15/07 7,100 6,958
Ball Corp.
7.750% due 08/01/06 12,250 12,648
8.250% due 08/01/08 8,450 8,725
Benedek Broadcasting Corp.
11.875% due 03/01/05 25,940 27,821
Benedek Communications
0.000% due 05/15/06(c) 1,500 1,072
Beverly Enterprises, Inc.
9.000% due 02/15/06 17,200 17,286
Buckeye Technologies, Inc.
8.000% due 10/15/10 14,100 13,818
Building Materials Corp.
0.000% due 07/01/04(c) 4,150 4,129
7.750% due 07/15/05 18,450 18,035
8.000% due 10/15/07 3,750 3,703
8.625% due 12/15/06 500 493
Call-Net Enterprises, Inc.
8.000% due 08/15/08 12,575 12,009
Canadian Forest Oil Limited
8.750% due 09/15/07 5,000 4,525
Century Communications Corp.
0.000% due 01/15/08(c) 5,000 2,375
0.000% due 03/15/03(c) 10,400 7,371
8.750% due 10/01/07 5,000 5,350
CF Cable TV, Inc.
9.125% due 07/15/07 9,000 10,130
Chattem, Inc.
8.875% due 04/01/08 4,300 4,193
Circus Circus Enterprises
6.750% due 07/15/03 17,400 16,489
Clark R&M Holdings
8.625% due 08/15/08 7,000 6,510
8.375% due 11/15/07 5,000 4,575
Coltec Industries Rights
7.500% due 04/15/08 38,000 36,146
Columbus McKinnon
8.500% due 04/01/08 16,500 15,592
Comcast Cellular
9.500% due 05/01/07 4,100 4,223
Comcast Corp.
9.500% due 01/15/08 6,837 7,213
Container Corp. of America
11.250% due 05/01/04 1,425 1,503
Cross Timbers Oil Co.
8.750% due 11/01/09 5,500 5,087
CSC Holdings, Inc.
9.875% due 02/15/13 2,000 2,170
7.875% due 02/15/18 10,000 9,850
9.875% due 04/01/23 9,000 10,035
10.500% due 05/15/16 11,000 12,485
Cumberland Farms
10.500% due 10/01/03 4,701 4,630
Dailey International, Inc.
9.500% due 02/15/08 4,750 2,779
Delta Air Lines
10.790% due 03/26/14 2,264 3,021
Dialog Corp. PLC
11.000% due 11/15/07 3,350 3,484
Doane Products Co.
10.625% due 03/01/06 1,300 1,398
Echostar Communications Corp.
0.000% due 06/01/04(c) 31,090 30,312
Envirosource, Inc.
9.750% due 06/15/03 12,068 10,921
Extended Stay America
9.150% due 03/15/08 11,500 11,327
Extendicare Health Services
9.350% due 12/15/07 7,150 6,721
EZ Communication, Inc.
9.750% due 12/01/05 2,500 2,688
Falcon Cable
0.000% due 04/15/10(c) 11,700 8,015
Falcon Holding Group LP
8.375% due 04/15/10 7,150 7,186
Federal-Mogul Corp.
7.500% due 07/01/04 24,000 24,560
7.750% due 07/01/06 9,100 9,399
Ferrellgas Partners LP
9.375% due 06/15/06 3,625 3,516
Fisher Scientific
9.000% due 02/01/08 23,475 22,624
7.125% due 12/15/05 6,500 6,082
Foamex LP
9.875% due 06/15/07 1,700 2,050
Forcenergy, Inc.
9.500% due 11/01/06 4,300 3,160
Gardern State Newspapers
8.750% due 10/01/09 22,500 21,938
Globalstar LP
11.375% due 02/15/04 8,350 5,678
11.250% due 06/15/04 5,500 3,768
10.750% due 11/01/04 3,106 2,019
Goss Graphic Systems, Inc.
12.000% due 10/15/06 6,450 5,934
Granite Broadcasting Corp.
10.375% due 05/15/05 1,500 1,517
Grupo Televisa SA
11.375% due 05/15/03 1,300 1,186
0.000% due 05/15/08(c) 6,475 4,419
Gulf Canada Resources
9.250% due 01/15/04 12,575 12,849
9.625% due 07/01/05 2,000 2,025
HMH Properties, Inc.
7.875% due 08/01/05 22,150 22,261
Hollinger International Publishing
9.250% due 02/01/06 7,800 8,054
8.625% due 03/15/05 5,350 5,524
See accompanying notes 49
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 1998 (Unaudited) Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Holmes Products Corp.
9.875% due 11/15/07 $ 5,200 $ 4,758
Huntsman Packaging Corp.
9.125% due 10/01/07 8,050 7,648
Impsat Corp.
12.375% due 06/15/08 7,400 5,439
Integrated Health Services
9.500% due 09/15/07 2,950 2,758
Intermedia Communications, Inc.
8.500% due 01/15/08 4,950 4,913
0.000% due 05/15/06(c) 32,585 27,044
ISP Holdings, Inc.
9.000% due 10/15/03 23,370 24,363
ITC Deltacom, Inc.
11.000% due 06/01/07 3,250 3,534
IXC Communications, Inc.
9.000% due 04/15/08 8,500 8,436
J. Ray McDermott
9.375% due 07/15/06 10,400 10,894
J.Q. Hammons Hotels
8.875% due 02/15/04 11,500 10,868
Jones Intercable, Inc.
8.875% due 04/01/07 10,060 10,563
K Mart Corp.
9.350% due 01/02/20 15,374 15,876
9.780% due 01/05/20 9,575 10,275
8.130% due 12/16/03 1,250 1,298
K-III Communications Co.
8.500% due 02/01/06 18,190 18,463
L-3 Communications Corp.
10.375% due 05/01/07 5,750 6,311
Lenfest Communications
8.375% due 11/01/05 13,650 14,367
Les, Inc.
9.250% due 06/01/08 18,100 18,281
Level 3 Communications, Inc.
9.125% due 05/01/08 30,200 28,690
Lin Holdings Corp.
0.000% due 03/01/08(c) 18,750 12,328
Lin Television Corp.
8.375% due 03/01/08 8,800 8,536
Magnum Hunter Resources, Inc.
10.000% due 06/01/07 3,900 3,140
Marcus Cable
0.000% due 08/01/04(c) 11,400 11,229
Market Hub Partners
8.250% due 03/01/08 10,700 10,647
Marsh Supermarkets, Inc.
8.875% due 08/01/07 7,250 7,214
McLeodusa, Inc.
0.000% due 03/01/07(c) 16,650 12,155
MJD Communications, Inc.
9.500% due 05/01/08 6,525 6,492
Navistar International Corp.
8.000% due 02/01/08 13,000 13,000
Newpark Resources, Inc.
8.625% due 12/15/07 5,050 4,823
Newsquest Capital
11.000% due 05/01/06 2,550 2,869
Ocean Rig Norway
10.250% due 06/01/08 6,325 4,712
Optel, Inc.
11.500% due 07/01/08 6,800 6,358
Orion Network Systems, Inc.
0.000% due 01/15/07(c) 20,350 13,533
11.250% due 01/15/07 15,875 15,478
Owens & Minor, Inc.
10.875% due 06/01/06 950 1,009
P&L Coal Holdings
8.875% due 05/15/08 30,000 30,600
Packard Bioscience Co.
9.375% due 03/01/07 2,950 2,714
Perkins Family Restaurants
10.125% due 12/15/07 3,450 3,450
Perry-Judd
10.625% due 12/15/07 5,550 5,522
Petroleos Mexicanos
11.157% due 07/15/05(b) 8,600 7,504
Phar-Mor, Inc.
11.720% due 09/11/02 10,255 10,358
Pharmerica, Inc.
8.375% due 04/01/08 6,300 5,765
Physician Sales and Service, Inc.
8.500% due 10/01/07 8,415 8,478
Polymer Group, Inc.
9.000% due 07/01/07 20,555 19,733
8.750% due 03/01/08 6,200 5,890
Pool Energy Co.
8.625% due 04/01/08 8,650 7,742
Primedia, Inc.
7.625% due 04/01/08 8,250 8,044
Printpack, Inc.
9.875% due 08/15/04 5,450 5,409
Qwest Communications International, Inc.
0.000% due 02/01/08(c) 6,800 5,100
0.000% due 10/15/07(c) 8,340 6,464
R.H. Donnelley, Inc.
9.125% due 06/01/08 4,600 4,646
Racers
8.375% due 10/01/07 21,500 23,237
Regal Cinemas, Inc.
9.500% due 06/01/08 12,150 12,211
Renaissance Media Group
0.000% due 04/15/08(c) 21,250 14,131
Revlon Consumer Products
8.125% due 02/01/06 26,750 26,483
Riviera Holdings Corp.
10.000% due 08/15/04 1,850 1,610
RJR Nabisco
8.000% due 07/15/01 2,000 2,045
8.625% due 12/01/02 11,500 12,036
Rogers Cablesystems, Inc.
10.000% due 03/15/05 7,500 8,288
Rogers Cantel Mobile
9.375% due 06/01/08 15,500 15,810
Rogers Cantel, Inc.
8.300% due 10/01/07 12,385 11,890
Salem Communications
9.500% due 10/01/07 4,850 4,899
Satelites Mexicanos
9.391% due 06/30/04(b) 9,985 6,540
SC International Services, Inc.
9.250% due 09/01/07 8,200 8,015
Scotsman Group, Inc.
8.625% due 12/15/07 4,000 3,915
Sea Containers
10.500% due 07/01/03 1,000 1,040
Silgan Holdings, Inc.
9.000% due 06/01/09 20,760 20,085
Smith's Food & Drug Centers, Inc.
8.640% due 07/02/12 9,575 9,623
9.200% due 07/02/18 9,000 11,049
Smithfield Foods
7.625% due 02/15/08 5,900 5,812
Stater Brothers Holdings
11.000% due 03/01/01 6,720 6,955
Stone Container
11.500% due 10/01/04 2,000 1,995
Sun Healthcare Group, Inc.
9.375% due 05/01/08 5,300 4,797
9.500% due 07/01/07 1,550 1,418
Supercanal Holdings
11.500% due 05/15/05 4,800 2,904
Synthetic Industries, Inc.
9.250% due 02/15/07 9,850 9,850
Telewest Communications
9.625% due 10/01/06 12,750 12,878
50 See accompanying notes
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 1998 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Tenet Healthcare Corp.
8.000% due 01/15/05 $ 2,000 $ 2,060
8.625% due 01/15/07 3,500 3,649
7.625% due 06/01/08 20,000 20,750
8.625% due 12/01/03 1,050 1,114
TFM SA de CV
11.750% due 06/15/09(c) 7,800 3,841
Trans-Resources, Inc.
10.750% due 03/15/08 15,650 15,180
U.S. Can Corp.
10.125% due 10/15/06 600 618
Unisys Corp.
7.875% due 04/01/08 6,500 6,516
12.000% due 04/15/03 14,900 16,688
11.750% due 10/15/04 5,000 5,650
United Defense Industry, Inc.
8.750% due 11/15/07 3,500 3,526
United Refining Co.
10.750% due 06/15/07 2,950 2,375
US Air, Inc.
9.330% due 01/01/06 6,593 6,840
9.625% due 09/01/03 18,083 20,408
Vintage Petroleum
9.000% due 12/15/05 10,490 10,647
Westpoint Stevens, Inc.
7.875% due 06/15/05 5,500 5,603
7.875% due 06/15/08 13,950 14,264
World Color Press, Inc.
9.125% due 03/15/03 24,035 24,155
Young Broadcasting, Inc.
9.000% due 01/15/06 11,000 11,083
8.750% due 06/15/07 4,200 4,190
Ziff-Davis, Inc.
8.500% due 05/01/08 24,250 23,401
------------
1,566,768
============
Utilities 15.0%
AES Corp.
10.250% due 07/15/06 14,235 14,804
8.500% due 11/01/07 2,500 2,375
Beaver Valley Funding Corp.
9.000% due 06/01/17 37,000 42,584
Bridas Corp.
12.500% due 11/15/99 4,500 4,523
California Energy
9.875% due 06/30/03 5,000 5,526
9.500% due 09/15/06 5,000 5,550
Calpine Corp.
9.250% due 02/01/04 10,500 10,553
7.875% due 04/01/08 15,000 14,475
8.750% due 07/15/07 14,650 15,016
CMS Energy
7.000% due 01/15/05 12,000 12,087
8.125% due 05/15/02 9,500 9,838
Coho Energy, Inc.
8.875% due 10/15/07 17,552 16,060
Espirito Santo Centrais
10.000% due 07/15/07 2,450 1,390
Flag Limited
8.250% due 01/30/08 38,850 37,199
GST Network
0.000% due 05/01/08(c) 8,000 3,880
Intermedia Communications
0.000% due 07/15/07(c) 6,250 4,500
ITC Deltacom
8.875% due 03/01/08 12,300 12,177
Mastec, Inc.
7.750% due 02/01/08 5,600 5,236
Metronet Communications Corp.
0.000% due 06/15/08(c) 8,975 4,981
Nextel Communications, Inc.
0.000% due 02/15/08(c) 38,750 22,959
Niagara Mohawk Power
9.500% due 03/01/21 2,500 2,659
7.875% due 04/01/24 7,500 7,586
9.990% due 05/11/04 2,500 2,530
7.750% due 05/15/06 1,100 1,229
7.625% due 10/01/05 10,000 10,428
7.750% due 10/01/08 27,000 28,848
North Atlantic Energy
9.050% due 06/01/02 7,265 7,699
Orange PLC
8.000% due 08/01/08 47,450 46,264
Rural Cellular Corp.
9.625% due 05/15/08 8,800 8,448
Wilmington Trust Co. - Tucson Electric(d)
10.211% due 01/01/09 500 565
10.732% due 01/01/13 6,993 8,106
------------
370,075
------------
Total Corporate Bonds & Notes 2,018,793
(Cost $2,069,972) ============
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.3%
- --------------------------------------------------------------------------------
U.S. Treasury Strips
0.000% due 08/15/26 29,700 6,911
------------
Total U.S. Treasury Obligations 6,911
(Cost $5,875) ============
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 1.9%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 1.5%
Asset Securitization Corp.
7.384% due 08/13/29(b) 1,500 1,662
Federal Deposit Insurance Corp.
6.875% due 11/25/26(b) 400 443
Green Tree Financial Corp.
8.000% due 07/15/18 7,000 7,234
NationsBanc Mortgage Capital Corp.
8.060% due 05/25/28(b) 3,835 3,310
Red Mountain Funding Corp.
9.150% due 11/28/27 5,727 6,131
Resolution Trust Corp.
6.900% due 02/25/27 7,494 7,314
7.000% due 05/25/27 5,928 6,121
9.250% due 06/25/23 3,286 3,296
9.050% due 08/25/23 678 684
------------
36,195
============
Other Mortgage-Backed Securities 0.3%
LTC Commercial Corp.
9.200% due 08/04/23 3,235 3,930
Resolution Trust Corp.
9.500% due 05/25/24 49 49
6.880% due 09/25/20(b) 585 526
Structured Asset Securities Corp.
7.050% due 11/25/02 4,000 3,724
------------
8,229
============
Stripped Mortgage-Backed Securities 0.1%
Federal National Mortgage Assn. (IO)
7.000% due 04/25/19 12,000 1,141
6.500% due 06/25/17 1,685 105
6.000% due 07/25/05 1,141 46
7.000% due 07/25/08 5,141 517
7.000% due 12/25/21 9,324 717
Fund America (IO)
9.590% due 10/20/21 1,204 26
------------
2,552
------------
Total Mortgage-Backed Securities 46,976
(Cost $46,188) ============
See accompanying notes 51
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
September 30, 1998 (Unaudited) Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.4%
- --------------------------------------------------------------------------------
Airplanes Pass Through Trust
10.875% due 03/15/19 $ 26,570 $ 30,180
Apria Healthcare Group
7.938% due 08/09/01(b) 8,750 8,498
BCP SA
9.900% due 03/31/06 10,000 9,813
Decision One
8.450% due 08/07/03 11,000 10,931
Federal-Mogul Corp.
8.063% due 09/30/06(b) 5,000 4,987
Huntsman Corp.
9.187% due 03/20/07(b) 3,500 3,535
Morgan Stanley Aircraft Finance
8.700% due 03/15/23 21,750 21,119
NTL Group
8.594% due 01/31/99(b) 4,211 4,187
8.688% due 01/31/99(b) 5,789 5,761
TFM SA de CV
9.690% due 06/30/03(b) 4,000 4,000
Varig SA
10.500% due 06/02/05 1,849 1,572
11.500% due 06/02/05 5,847 4,970
------------
Total Asset-Backed Securities 109,553
(Cost $102,092) ============
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 1.6%
- --------------------------------------------------------------------------------
Republic of Argentina
6.625% due 03/31/05(b) 5,711 4,511
5.750% due 03/31/23(b) 9,000 6,030
Republic of Korea
8.875% due 04/15/08(b) 28,550 24,571
Republic of Poland
3.750% due 10/27/24(b) 5,000 3,450
------------
Total Sovereign Issues 38,562
(Cost $40,070) ============
- --------------------------------------------------------------------------------
PREFERRED STOCK 3.6%
- --------------------------------------------------------------------------------
Shares
CSC Holdings, Inc.
11.932% due 01/01/00 160,043 17,605
Fresenius Medical Care
7.875% due 01/01/00 21,175 20,432
9.000% due 12/01/06 28,395 28,324
Newscorp Overseas Limited
2.156% due 01/01/00 133,200 3,272
Primedia, Inc.
8.625% due 01/01/00 50,000 4,563
9.200% due 12/01/06 70,000 6,738
Sig Capital Trust
9.500% due 08/15/27 7,000 6,939
-------------
Total Preferred Stock 87,873
(Cost $91,377) =============
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 6.1%
- --------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 6.0%
Abbott Laboratories
5.490% due 10/06/98 12,200 12,191
E.I. Du Pont de Nemours
5.400% due 10/14/98 8,000 7,985
5.490% due 10/20/98 3,100 3,091
Ford Motor Credit Corp.
5.470% due 11/19/98 5,800 5,757
5.490% due 11/19/98 200 199
5.470% due 12/04/98 11,600 11,491
General Electric Capital Corp.
5.500% due 11/13/98 10,300 10,232
5.500% due 11/18/98 20,400 20,250
General Motors Acceptance Corp.
5.490% due 11/19/98 13,700 13,598
IBM Credit Corp.
5.560% due 10/07/98 11,500 11,489
KFW International Finance, Inc.
5.390% due 10/28/98 3,100 3,087
5.450% due 12/22/98 3,900 3,854
Motorola, Inc.
5.480% due 10/13/98 300 299
5.480% due 12/03/98 3,000 2,972
National Rural Utilities Cooperative
5.490% due 10/26/98 600 598
5.490% due 10/28/98 700 697
New Center Asset Trust
5.530% due 10/26/98 1,800 1,793
5.510% due 11/19/98 2,100 2,084
5.480% due 12/16/98 3,200 3,165
Oesterreich Kontrollbank
5.220% due 11/30/98 18,300 18,138
Pfizer, Inc.
5.270% due 10/30/98 15,000 14,936
Washington Post
5.420% due 12/16/98 1,000 989
-------------
148,895
=============
Repurchase Agreements 0.1%
State Street Bank
4.750% due 10/01/98 656 656
(Dated 09/30/98. Collateralized by U.S. Treasury
Note 5.750% 11/15/00 valued at $669,700.
Repurchase proceeds are $656,087.)
First Boston
5.150% due 10/01/98 2,300 2,300
(Dated 09/30/98. Collateralized by U.S. Treasury
Note 4.500% 09/30/00 valued at $2,357,532.
Repurchase proceeds are $2,300,329.)
2,956
-------------
Total Short-Term Instruments 151,851
(Cost $151,845) =============
Total Investments (a) 99.6% $ 2,460,519
(Cost $2,507,419)
Other Assets and Liabilities (Net) 0.4% 9,614
-------------
Net Assets 100.0% $ 2,470,133
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 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. $ 47,100
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (94,000)
-------------
Unrealized depreciation-net $ (46,900)
=============
(b) Variable rate security. The rate listed is as of September 30, 1998.
(c) Security becomes interest bearing at a future date.
(d) Restricted security.
52 See accompanying notes
<PAGE>
Schedule of Investments
Municipal Bond Fund
September 30, 1998 (Unaudited)
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 98.1%
- --------------------------------------------------------------------------------
Alabama 0.4%
Mobile, Alabama General Obligation Bonds,
(MBIA Insured), Series 1998, 4.380%, 02/15/08(b) $ 325 $ 217
----------
Arizona 4.2%
Santa Cruz County, Arizona Utility Revenue Bonds,
Series 1997, 4.750%, 08/01/20 100 102
Scottsdale, Arizona Industrial Development Authority
Hospital Revenue Bonds, (AMBAC Insured),
Series 1997 A, 6.500%, 09/01/04 1,130 1,280
Show Low, Arizona Industrial Development
Authority Hospital Revenue Bond, Series 1998,
5.500%, 12/01/17 1,000 1,044
----------
2,426
==========
California 12.1%
City of San Jose Redevelopment Agency Merged
Area Project, Tax Allocation Bonds, (MBIA Insured),
Series 1993, 6.000%, 08/01/15 500 583
Irvine, California Special Assessment Bond,
Series 1998, 4.800%, 09/02/04. 150 151
Irvine, California Special Assessment Bond,
Series 1998, 4.900%, 09/02/05. 310 313
Irvine, California Special Assessment Bond,
Series 1998, 5.000%, 09/02/06. 150 152
Los Angeles County Transportation Commission,
Sales Tax Revenue Refunding Bonds, Series 1991 B,
6.500%, 07/01/13 1,000 1,086
Los Angeles, California Convention & Exhibition
Center Authority Lease Revenue Bonds, (MBIA Insured),
Series 1993, 6.125%, 08/15/11 1,000 1,180
Northern California Power Agency, Revenue Bond,
Series 1998, 3.500%, 07/01/32 1,200 1,200
Orange County, California Improvement Bond,
Series 1998 A, 4.900%, 09/02/05 300 304
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A, 4.900%, 09/02/03 150 154
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A, 5.000%, 09/02/04 150 154
Sacramento County, California Refunding Bonds,
Series 1998, 4.900%, 09/02/05 300 302
San Jose, California Redevelopment Agency
Tax Allocation Bond, Series 1998, 5.000%, 08/01/21 1,000 1,004
West Sacramento, California Refunding Bonds,
Series 1998, 5.000%, 09/02/04 350 358
----------
6,941
==========
Colorado 5.1%
Colorado Public Highway Authority Revenue Bond,
Series 1997 A, 5.000%, 09/01/26 1,500 1,504
Denver, Colorado Health & Hospital Revenue Bonds,
Series 1998 A, 5.000%, 12/01/09 1,390 1,423
----------
2,927
==========
Florida 6.1%
Dade County, Florida General Obligation Bonds,
(AMBAC Insured), Series 1988, 7.600%, 10/01/06 1,690 2,112
Gainesville, Florida Revenue Bonds, Series 1979,
6.200%, 10/01/02 300 313
Jacksonville Electric Authority, Bulk Power Supply
System Revenue Bonds, (Prerefunded 10/01/00),
Scherer 4-1-A Project, Issue One, Series 1991,
6.750%, 10/01/21 1,000 1,074
----------
3,499
==========
Georgia 0.2%
Dawson County, Georgia School District General
Obligation Bond, Series 1997, 4.900%, 04/01/12 105 108
----------
Illinois 3.8%
Chicago, Illinois Wastewater Transmission
Revenue Bond, Series 1998 A, 5.000%, 01/01/19 1,000 1,009
State of Illinois, Sales Tax Revenue Refunding
Bonds, Series 1992 Q, 6.000%, 6/15/12 1,000 1,157
----------
2,166
==========
Indiana 6.2%
Indiana Local Public Improvement Bonds Bank,
Transportation Revenue Bonds, Series 1992,
6.750%, 02/01/14 1,000 1,225
Indiana Transportation Revenue Bonds,
Series 1996, 6.000%, 11/01/11 2,000 2,312
----------
3,537
==========
Michigan 2.5%
Michigan State Building Authority Revenue Bonds,
Series 1997, 5.000%, 10/15/14 100 103
Michigan State Environmental Protection General
Obligation Bonds, Series 1992, 6.250%, 11/01/12 1,100 1,321
----------
1,424
==========
Minnesota 1.8%
New Richland, Minnesota Revenue Bond,
Series 1998, 4.500%, 08/02/04 1,000 1,014
----------
Mississippi 0.3%
Mississippi State Department of Corrections,
Certificate Participation Bonds, (AMBAC Insured),
Series 1997, 4.600%, 01/01/08 150 154
----------
Missouri 0.2%
Kansas City Water Revenue Bonds, Series 1998 B,
4.750%, 12/01/03 100 104
----------
New Hampshire 2.1%
New Hampshire Turnpike System, Refunding
Revenue Bonds, (FGIC Insured), Series 1991 A,
6.750%, 11/01/11 1,000 1,185
----------
New Jersey 0.3%
New Jersey State Tranportation Revenue Bonds,
(FSA Insured), Series 1997 A, 5.000%, 06/15/18 150 152
----------
New Mexico 2.8%
Bernalillo County, New Mexico General
Obligation Bonds, Series 1997, 4.750%, 12/01/13 150 156
Los Alamos County, Utility Revenue Bonds,
Series 1994 A, 6.000%, 07/01/08 1,000 1,110
Santa Fe County, El Castillo Retirement Nursing
Home Bonds, Series 1998 A, 5.250%, 05/15/07 315 313
----------
1,579
==========
See accompanying notes 53
<PAGE>
Schedule of Investments (Cont.)
Municipal Bond Fund
September 30, 1998 (Unaudited) Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
New York 18.5%
New York City General Obligation Bonds,
(FGIC Insured), Series 1992, 3.550%, 10/01/21(b) $ 800 $ 800
New York City General Obligation Bonds,
(Morgan Guaranty Trust Insured), Series 1993,
3.200%, 08/15/19(b) 100 100
New York City General Obligation Bonds,
Series 1993, 4.150%, 08/15/18(b) 100 100
New York City General Obligation Bonds,
Series 1995 B, 6.750%, 08/15/03 1,000 1,120
New York City General Obligation Bonds,
Series 1996 A, 7.000%, 08/01/07 1,000 1,198
New York City Municipal Water and Sewer System
Revenue Bonds, Series 1998, 4.750%, 06/15/25 1,000 969
New York Metropolitan Transit Authority Commuter
Revenue Bonds, Series 1997, 5.500%, 07/01/21 1,000 1,040
New York State Dorm Authority Mental Health Services
Revenue Bonds, Series 1997 B, 6.000%, 08/15/05 1,850 2,032
New York State Dorm Authority Revenue Bonds,
Series 1998 B, 4.900%, 02/15/09 100 102
New York State Environmental Facilities Special
Obligation Revenue Bonds, Series 1996,
5.125%, 04/01/22 1,000 1,014
State of New York Thruway Authority Revenue
Bonds, (AMBAC-TCRS Insured), Series 1996,
6.000%, 04/01/05 1,000 1,116
State of New York Thruway Authority Revenue Bonds,
(MBIA Insured), Series 1995 A, 5.500%, 04/01/15 1,000 1,059
----------
10,650
==========
North Carolina 3.8%
North Carolina Municipal Power Agency, Catawaba
Electric Revenue Bonds, (AMBAC Insured),
Series 1992, 6.000%, 01/01/08 1,000 1,126
North Carolina State School Improvement Bonds,
Series 1998, 4.750%, 04/01/12 1,000 1,035
----------
2,161
==========
North Dakota 1.9%
Mercer County Pollution Control Revenue Bonds,
Series 1991, 6.900% 02/01/19 1,000 1,076
----------
Ohio 3.9%
Cleveland Water and Sewer Refunding and
Improvement Revenue Bonds, (MBIA Insured),
Series 1993 G, Number 1, 5.500%, 01/01/21 1,000 1,089
Ohio State Water Development Authority Pollution
Control Revenue Bonds, (MBIA Insured),
Series 1995, 6.000%, 06/01/05 1,000 1,116
----------
2,205
==========
Pennsylvania 3.3%
Delaware County, Pennsylvania Hospital Revenue Bonds,
Series 1998, 4.900%, 12/01/08 100 102
Philadelphia Gas Revenue Bonds, (FSA Insured),
Series 1998 C, 4.600%, 07/01/08 100 103
Pittsburgh, Pennsylvania General Obligation Bonds,
(AMBAC Insured), Series 1993 A, 5.500%, 09/01/14 1,525 1,685
----------
1,890
==========
Puerto Rico 1.8%
Puerto Rico Industrial Tourist Educational,
Medical and Environmental Control,
Series 1998, 5.000%, 10/01/18 1,000 1,018
----------
South Carolina 1.8%
Piedmont Municipal Power Agency Electric
Revenue Bonds, (MBIA Insured), Series 1996 B,
5.250%, 01/01/13 1,000 1,049
----------
Tennessee 3.6%
Memphis-Shelby County Tennessee Airport Authority
Special Facilities and Project Revenue Bonds,
Series 1997, 5.350%, 09/01/12 1,000 1,054
Nashville & Davidson County, Tennessee Revenue
Bonds, Series 1998, 4.450%, 08/01/07 1,000 1,005
----------
2,059
==========
Texas 10.6%
Beaumont, Texas Independent School District General
Obligation Bonds, Series 1997, 5.000%, 02/15/16 150 152
Board of Regents of the University of Texas System,
Revenue Financing System Refunding Bonds,
Prefunded and Unrefunded Series 1991 B,
6.750%, 08/15/13 735 801
Houston, Texas Revenue Bonds, Series 1998,
0.000%, 09/15/09 175 110
Houston, Texas, Water & Sewer System Revenue
Bonds, Series 1993 B, 5.000%, 12/01/18 2,000 2,018
Lone Star, Texas Improvement Authority Revenue
Bonds, (Royal Bank of Canada Insured),
Series 1984 B-3, 3.450%, 12/01/14 (b) 200 200
Pflugerville, Texas Independent School District
General Obligation Bonds, Series 1997, 5.000%,
08/15/17 150 152
San Antonio, Texas Refunding Bonds,
Series 1998, 5.000%, 02/01/14 1,380 1,408
University of Texas Revenue Bonds,
Series 1996, 5.250%, 08/15/07 1,000 1,079
Waco, Texas General Obligation Bonds,
Series 1997, 4.800%, 02/01/11 150 154
----------
6,074
==========
Virginia 0.3%
Pocahontas Parkway Association, Virginia Highway
Revenue Bonds, Series 1998 A, 5.250%, 08/15/09 200 203
----------
Washington State 0.2%
King County, Washington Public Hospital Facilities
Revenue Bonds, Series 1998, 4.750%, 09/01/10 100 101
----------
Washington, DC 0.3%
District of Columbia Revenue Bonds,
Series 1997, 4.750%, 02/01/11 150 154
----------
Total Municipal Bonds & Notes 56,073
(Cost $52,577) ==========
54 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.1%
- --------------------------------------------------------------------------------
State Street Global Advisors Tax Free Money Market
3.257% due 10/01/98 $ 75 $ 75
----------
Total Short-Term Instruments 75
(Cost $75) ==========
Total Investments (a) 98.2% $ 56,148
(Cost $52,652)
Other Assets and Liabilities (Net) 1.8% 1,012
----------
Net Assets 100.0% $ 57,160
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 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. $ 3,496
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. 0
----------
Unrealized appreciation-net $ 3,496
==========
(b) Variable rate security. The rate listed is as of September 30, 1998.
See accompanying notes 55
<PAGE>
Schedule of Investments
Foreign Bond Fund
September 30, 1998 (Unaudited) Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ARGENTINA (e) 1.2%
- --------------------------------------------------------------------------------
Republic of Argentina
3.044% due 04/01/01(d) AP 3,402 $ 2,608
8.726% due 04/10/05(d) $ 4,240 3,657
3.044% due 04/01/07(d) AP 799 536
-----------
Total Argentina 6,801
(Cost $7,641) ===========
- --------------------------------------------------------------------------------
AUSTRALIA (c)(e) 14.7%
- --------------------------------------------------------------------------------
Commonwealth of Australia
8.750% due 08/15/08 A$ 108,291 82,564
-----------
Total Australia 82,564
(Cost $79,043) ===========
- --------------------------------------------------------------------------------
AUSTRIA 1.6%
- --------------------------------------------------------------------------------
Oesterreich Kontrollbank
5.220% due 11/30/98 $ 8,800 8,723
-----------
Total Austria 8,723
(Cost $8,723) ===========
- --------------------------------------------------------------------------------
BELGIUM (c)(e) 1.1%
- --------------------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/03 BF 200 7
5.100% due 11/21/04(d) 183,200 6,092
-----------
Total Belgium 6,099
(Cost $6,081) ===========
- --------------------------------------------------------------------------------
CANADA (c)(e) 3.8%
- --------------------------------------------------------------------------------
Commonwealth of Canada
6.000% due 06/01/08 C$ 24,800 17,501
Province of British Columbia
5.480% due 11/09/98 $ 1,100 1,093
Rogers Cantel, Inc.
10.500% due 06/01/06 C$ 2,500 1,747
Sears Canada
11.700% due 07/10/00 1,000 721
-----------
Total Canada 21,062
(Cost $20,631) ===========
- --------------------------------------------------------------------------------
COLOMBIA (c)(e) 0.2%
- --------------------------------------------------------------------------------
Republic of Colombia
3.000% due 12/22/00 JY 150,000 1,114
-----------
Total Colombia 1,114
(Cost $1,163) ===========
- --------------------------------------------------------------------------------
CROATIA 0.0%
- --------------------------------------------------------------------------------
Republic of Croatia
6.563% due 07/31/06(d) $ 49 34
-----------
Total Croatia 34
(Cost $44) ===========
- --------------------------------------------------------------------------------
DENMARK (c)(e) 2.6%
- --------------------------------------------------------------------------------
Kingdom of Denmark
6.000% due 11/15/02 DK 53,500 8,928
7.000% due 11/15/07 30,300 5,609
-----------
Total Denmark 14,537
(Cost $13,086) ===========
- --------------------------------------------------------------------------------
FINLAND (c)(e) 3.7%
- --------------------------------------------------------------------------------
Republic of Finland
6.000% due 04/25/08 FM 92,000 20,496
-----------
Total Finland 20,496
(Cost $18,815) ===========
- --------------------------------------------------------------------------------
FRANCE (c) 0.4%
- --------------------------------------------------------------------------------
Electricite de France
5.490% due 10/14/98 $ 2,400 2,395
-----------
Total France 2,395
(Cost $2,395) ===========
- --------------------------------------------------------------------------------
GERMANY (c)(e) 6.1%
- --------------------------------------------------------------------------------
KFW International Finance, Inc.
5.450% due 12/22/98 9,000 8,893
Republic of Germany
6.500% due 07/04/27 DM 34,115 25,437
-----------
Total Germany 34,330
(Cost $28,835) ===========
- --------------------------------------------------------------------------------
GREECE (c)(e) 4.9%
- --------------------------------------------------------------------------------
Hellenic Republic
11.200% due 05/19/03(d) GD 100,000 348
11.100% due 06/17/03(d) 107,400 374
11.000% due 10/23/03(d) 376,000 1,321
8.800% due 06/19/07 7,197,100 25,465
-----------
Total Greece 27,508
(Cost $27,367) ===========
- --------------------------------------------------------------------------------
ITALY (c)(e) 11.7%
- --------------------------------------------------------------------------------
Republic of Italy
6.000% due 01/01/00 IL62,570,000 38,865
4.750% due 05/01/03 16,810,000 10,527
5.000% due 05/01/08 10,710,000 6,826
7.250% due 11/01/26 12,240,000 9,619
-----------
Total Italy 65,837
(Cost $59,483) ===========
- --------------------------------------------------------------------------------
JAPAN (c) 2.8%
- --------------------------------------------------------------------------------
Bank of Tokyo
5.940% due 01/19/99 $ 9,600 9,600
5.938% due 07/30/99 5,940 5,940
-----------
Total Japan 15,540
(Cost $15,540) ===========
- --------------------------------------------------------------------------------
MEXICO (c)(e) 0.7%
- --------------------------------------------------------------------------------
Petroleos Mexicanos
7.750% due 09/30/98 FF 22,000 3,930
-----------
Total Mexico 3,930
(Cost $3,702) ===========
- --------------------------------------------------------------------------------
NETHERLANDS (c)(e) 0.5%
- --------------------------------------------------------------------------------
Kingdom of Netherlands
5.750% due 01/15/04 DG 4,880 2,834
-----------
Total Netherlands 2,834
(Cost $2,719) ===========
- --------------------------------------------------------------------------------
NEW ZEALAND (c)(e) 2.9%
- --------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/16(g) N$ 15,000 7,893
International Bank for Reconstruction & Development
7.250% due 06/20/02 5,150 2,653
7.250% due 05/27/03 10,670 5,536
-----------
Total New Zealand 16,082
(Cost $16,805) ===========
- --------------------------------------------------------------------------------
NORWAY (c)(e) 0.8%
- --------------------------------------------------------------------------------
Norwegian Treasury Bills
4.400% due 03/17/99 NK 35,000 4,665
-----------
Total Norway 4,665
(Cost $4,662) ===========
56 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
SOUTH KOREA 2.9%
- --------------------------------------------------------------------------------
Korean Export-Import Bank
7.250% due 06/25/01 $ 1,945 $ 1,702
6.500% due 02/10/02 800 648
Republic of Korea
8.875% due 04/15/08(d) 15,950 13,727
-----------
Total South Korea 16,077
(Cost $17,975) ===========
- --------------------------------------------------------------------------------
SPAIN(c)(e) 7.9%
- --------------------------------------------------------------------------------
Kingdom of Spain
5.250% due 01/31/03 SP 1,491,000 11,125
6.000% due 01/31/08 3,363,600 26,614
6.000% due 01/31/29 858,200 6,548
-----------
Total Spain 44,287
(Cost $40,653) ===========
- --------------------------------------------------------------------------------
SUPRANATIONAL(e) 0.1%
- --------------------------------------------------------------------------------
World Bank
10.250% due 04/11/02 PP 31,000 585
-----------
Total Supranational 585
(Cost $1,178) ===========
- --------------------------------------------------------------------------------
SWEDEN(c)(e) 1.9%
- --------------------------------------------------------------------------------
Kingdom of Sweden
10.250% due 05/05/00 SK 9,000 1,246
13.000% due 06/15/01 11,200 1,729
6.500% due 05/05/08 54,300 7,837
-----------
Total Sweden 10,812
(Cost $10,434) ===========
- --------------------------------------------------------------------------------
UNITED KINGDOM(c)(e) 13.6%
- --------------------------------------------------------------------------------
Federal National Mortgage Assn.
6.875% due 06/07/02 BP 10,230 17,971
Middleweb PLC
10.500% due 05/30/08 4,300 5,650
Orange PLC
8.625% due 08/01/08 4,810 7,774
United Kingdom Gilt
8.500% due 12/07/05 9,656 19,783
7.250% due 12/07/07 12,569 25,111
-----------
Total United Kingdom 76,289
(Cost $71,546) ===========
- --------------------------------------------------------------------------------
UNITED STATES 59.2%
- --------------------------------------------------------------------------------
Asset-Backed Securities 1.5%
Conti Mortgage Home Equity Loan Trust
5.811% due 10/15/12(d) $ 4,899 4,921
Emergent Home Equity Loan Trust
6.745% due 05/15/12 3,300 3,338
-----------
8,259
===========
Corporate Bonds & Notes 15.5%
Associates Corp. of North America
5.788% due 08/27/01(d) 5,000 5,013
6.000% due 04/15/03 700 722
AT&T Capital Corp.
6.061% due 04/01/99(d) 7,800 7,801
6.410% due 08/13/99 4,310 4,339
CSFP Credit
6.199% due 11/19/04(h) 19,000 18,620
Ford Motor Credit Corp.
8.200% due 02/15/02 1,580 1,718
6.125% due 04/28/03 3,300 3,402
Fuji Bank
9.870% due 12/31/49(d) 2,200 978
General Motors Acceptance Corp.
5.694% due 12/10/01(d) $ 2,000 $ 2,001
6.750% due 02/07/02 1,000 1,044
5.788% due 11/12/02(d) 5,100 5,094
J.P. Morgan & Co.
6.189% due 02/15/12(g) 5,000 4,775
Lehman Brothers, Inc.
5.877% due 02/27/01(d) 4,900 4,737
Merrill Lynch & Co.
5.758% due 11/01/01(d) 6,230 6,234
National Power Corp.
9.625% due 05/15/28 2,200 1,412
Residential Reinsurance
9.848% due 06/01/99(d) 2,250 2,239
RJR Nabisco
8.625% due 12/01/02 4,100 4,291
Salomon, Smith Barney Holdings
3.650% due 02/14/02(g) 5,145 5,000
Sumitomo
9.400% due 12/29/49(d) 5,200 4,376
Tokai Capital Corp.
9.980% due 12/29/49(d) 4,500 3,392
-----------
87,188
===========
Mortgage-Backed Securities 19.2%
Collateralized Mortgage Obligation Trust
9.000% due 05/01/14 6 6
Federal Home Loan Mortgage Corp.
9.050% due 06/15/19 113 122
6.000%due 10/14/28 88,090 88,090
Federal National Mortgage Assn.
5.500% due 02/25/05 943 948
Government National Mortgage Assn.
6.500% due 12/20/25-11/20/26(b)(d) 1,681 1,710
6.875% due 05/20/22-05/20/23(b)(d) 932 957
7.000% due 11/20/21-12/20/26(b)(d) 14,042 14,315
Independent National Mortgage Corp.
8.195% due 11/25/24(d) 134 139
Morgan Stanley Mortgage
8.150% due 07/20/21 3 3
Resolution Trust Corp.
10.561% due 05/25/24(d) 30 30
7.750% due 04/25/28 275 274
Sears Mortgage
6.738% due 06/25/22(d) 133 135
Structured Asset Securities Corp.
5.794% due 01/25/00(d) 1,133 1,133
-----------
107,862
===========
U.S. Government Agencies 7.7%
Federal Home Loan Bank
5.388% due 02/15/02(d) 14,000 13,733
Student Loan Marketing Assn.
5.877% due 01/25/03(d) 7,072 7,078
5.702% due 04/25/04(d) 639 639
5.823% due 04/25/07(d) 21,700 21,695
-----------
43,145
===========
U.S. Treasury Obligations 15.3%
Treasury Inflation Protected Securities
3.625% due 07/15/02(g) 80,295 80,671
U.S. Treasury Notes
5.750% due 11/30/02 5,300 5,577
-----------
86,248
-----------
Total United States 332,702
(Cost $334,356) ===========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 36.4%
- --------------------------------------------------------------------------------
Commercial Paper 36.0%
American Express Credit
5.450% due 10/01/98 1,800 1,800
5.490% due 10/06/98 4,500 4,497
BellSouth Telecommunications, Inc.
5.490% due 10/06/98 3,600 3,597
Coca-Cola Co.
5.420% due 11/06/98 12,500 12,432
See accompanying notes 57
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
September 30, 1998 (Unaudited) Principal
Amount Value
(000s) (000s)
================================================================================
E.I. Du Pont de Nemours
5.490% due 10/20/98 $ 2,200 $ 2,194
5.500% due 10/22/98 3,500 3,489
5.500% due 10/27/98 2,200 2,191
5.270% due 10/29/98 5,400 5,378
5.430% due 11/03/98 10,000 9,950
5.490% due 11/05/98 1,600 1,592
Emerson Electric Co.
5.380% due 10/28/98 12,400 12,350
Federal Home Loan Mortgage Corp.
5.460% due 10/16/98 10,000 9,977
Ford Motor Credit Corp.
5.510% due 10/02/98 8,200 8,199
5.510% due 10/09/98 5,000 4,994
5.490% due 10/15/98 4,000 3,991
5.390% due 01/08/99 5,000 4,928
General Electric Capital Corp.
5.490% due 10/19/98 5,000 4,986
5.510% due 11/02/98 2,900 2,886
5.280% due 11/04/98 5,200 5,174
5.500% due 11/18/98 2,700 2,680
5.490% due 11/19/98 2,100 2,084
IBM Credit Corp.
5.510% due 10/21/98 9,100 9,072
5.220% due 11/18/98 5,000 4,965
5.480% due 11/18/98 4,000 3,971
Motorola, Inc.
5.480% due 10/13/98 800 799
5.520% due 10/13/98 1,500 1,497
5.480% due 12/03/98 3,600 3,567
5.270% due 12/17/98 13,500 13,349
National Rural Utilities Cooperative
5.490% due 10/09/98 2,000 1,998
5.510% due 10/19/98 1,200 1,197
5.320% due 12/11/98 6,000 5,938
New Center Asset Trust
5.520% due 11/10/98 10,400 10,336
5.520% due 11/19/98 500 496
5.460% due 12/17/98 1,500 1,483
Pfizer, Inc.
5.500% due 10/20/98 2,800 2,792
Procter & Gamble Co.
5.510% due 12/16/98 1,400 1,384
5.310% due 12/28/98 16,000 15,796
5.400% due 12/29/98 7,500 7,402
SBC Communications, Inc.
5.480% due 11/17/98 7,000 6,950
------------
202,361
============
Repurchase Agreement 0.1%
State Street Bank
4.750% due 10/01/98 664 664
------------
(Dated 09/30/98. Collateralized by U.S. Treasury
Note 5.750% 10/31/02 valued at $679,450.
Repurchase proceeds are $664,088.)
U.S. Treasury Bills (b) 0.3%
4.980% due 10/15/98-12/03/98 1,745 1,740
------------
Total Short-Term Instruments 204,765
(Cost $204,751) ============
Total Investments (a) 181.7% $ 1,020,068
(Cost $997,628)
Other Assets and Liabilities (Net) (81.7%) (458,764)
------------
Net Assets 100.0% $ 561,304
============
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 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. $ 33,012
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (10,572)
------------
Unrealized appreciation-net $ 22,440
============
(b) Securities are grouped by coupon and represent a range of maturities.
(c) Foreign forward currency contracts outstanding at September 30, 1998:
Principal
Amount Unrealized
Covered by Expiration Appreciation/
Type Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Buy A$ 93 10/98 $ (2)
Sell 3,265 10/98 (56)
Sell BF 216,993 12/98 (410)
Buy BP 1,181 10/98 26
Sell 12,582 10/98 (764)
Buy 1,644 12/98 32
Sell C$ 41,042 10/98 855
Buy 36,617 10/98 (90)
Sell DG 5,458 12/98 (33)
Sell DK 109 10/98 (1)
Buy DM 80,150 10/98 393
Sell 300 10/98 0
Buy 37,781 11/98 197
Sell 105,974 11/98 (2,991)
Buy FF 21,407 12/98 69
Sell 57,301 12/98 (642)
Buy FM 7,286 10/98 82
Sell 7,520 10/98 (98)
Buy GD 3,997,000 10/98 126
Sell 1,031,713 10/98 (124)
Buy IL 434,290 10/98 3
Sell 9,237 10/98 0
Sell 891,800 11/98 (4)
Sell JY 16,467 10/98 0
Buy 1,010,101 11/98 416
Sell 4,373,330 11/98 (1,747)
Sell 4,563,084 12/98 859
Sell N$ 11,196 10/98 147
Sell 15,006 12/98 (114)
Buy NK 270,996 10/98 1,256
Buy 107,882 11/98 407
Buy 13,119 12/98 29
Sell 35,282 12/98 (12)
Sell S$ 22,080 10/98 (259)
Sell SF 28,499 10/98 (652)
Sell SK 235 10/98 0
Sell SP 184,242 12/98 (15)
------------
$ (3,117)
============
(d) Variable rate security. The rate listed is as of September 30, 1998.
58 See accompanying notes
<PAGE>
================================================================================
(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
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
S$ - Singapore Dollar
SF - Swiss Franc
SK - Swedish Krona
SP - Spanish Peseta
(f) Swap agreements outstanding at September 30, 1998:
Notional Unrealized
Type Amount Appreciation
- --------------------------------------------------------------------------------
Receive fixed rate equal to 5.701% and pay floating
rate on 3 month LIBOR.
Broker: Merrill Lynch
Exp. 09/07/05 $ 26,640 $ 902
(g) Principal amount of the security is adjusted for inflation.
(h) Restricted security.
See accompanying notes 59
<PAGE>
Schedule of Investments
Strategic Balanced Fund
September 30, 1998 (Unaudited) Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 29.3%
- --------------------------------------------------------------------------------
Banking & Finance 18.6%
Advanta National Bank
6.125% due 01/15/99(d) $ 400 $ 398
AT&T Capital Corp.
6.580% due 09/03/99 300 303
Ford Motor Credit Corp.
5.968% due 03/21/01(d) 500 503
Lehman Brothers, Inc.
5.570% due 01/12/99(d) 342 342
6.330% due 08/01/00 1,205 1,197
Merrill Lynch & Co.
5.849% due 10/01/03(d) 2,000 2,003
NationsBank Corp.
7.033% due 02/18/02(d) 100 98
Okobank
7.312% due 09/27/49(d) 500 504
Republic New York Corp.
5.799% due 10/28/02(d) 100 100
Salomon, Smith Barney Holdings
3.650% due 02/14/02(h) 1,111 1,080
Sparbanken Sverige AB
7.531% due 10/29/49(d) 500 503
----------
7,031
==========
Industrials 4.8%
Gulf Canada Resources
9.000% due 08/15/99 300 306
Imperial Chemical
5.750% due 12/05/98(d) 500 500
Occidental Petroleum
6.013% due 04/03/08 600 600
RJR Nabisco
8.625% due 12/01/02 100 105
Sequa Corp.
9.625% due 10/15/99 300 307
----------
1,818
==========
Utilities 5.9%
Cleveland Electric/Toledo Edison
7.190% due 07/01/00 500 512
System Energy Resources
7.710% due 08/01/01 650 688
Texas Utilities Co.
6.410% due 11/21/01 1,000 1,037
----------
2,237
----------
Total Corporate Bonds & Notes 11,086
(Cost $11,052) ==========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.4%
- --------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.684% due 06/30/00(d) 900 900
----------
Total U.S. Government Agencies 900
(Cost $899) ==========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 8.7%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/02(h) 2,241 2,252
U.S. Treasury Notes
5.750% due 10/31/02 1,000 1,051
----------
Total U.S. Treasury Obligations 3,303
(Cost $3,253) ==========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 40.7%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 23.3%
Federal Home Loan Mortgage Corp.
6.500% due 11/15/00 361 363
6.600% due 12/15/03 100 100
6.500% due 01/15/04 418 419
5.500% due 07/15/05 544 545
6.750% due 03/15/17 496 498
7.000% due 05/15/23 1,589 1,673
6.500% due 08/15/23 187 194
6.500% due 03/15/24 281 293
Federal National Mortgage Assn.
6.500% due 10/25/04 497 500
5.750% due 02/25/15 109 109
5.700% due 06/25/17 2,566 2,573
8.000% due 07/25/20 719 721
6.500% due 06/25/21 198 204
4.000% due 01/25/22 126 120
5.000% due 04/25/22 48 47
7.000% due 06/25/23 245 270
6.500% due 12/25/23 136 146
Residential Funding
7.500% due 06/25/27 25 25
----------
8,800
==========
Federal Housing Administration 6.7%
7.430% due 01/25/23 2,367 2,544
----------
Federal National Mortgage Association 1.2%
6.210% due 03/01/29(d) 442 447
----------
Government National Mortgage Association 8.6%
6.500% due 10/21/28 1,000 1,022
6.875% due 06/20/27(d) 1,305 1,332
7.000% due07/20/23-01/20/27 (d)(g) 891 908
----------
3,262
==========
Stripped Mortgage-Backed Securities 0.9%
Collateralized Mortgage Obligation Trust(PO)
0.000% due 04/23/17 21 21
Federal Home Loan Mortgage Corp.(IO)
7.000% due 05/15/04 607 9
7.000% due 02/15/17 835 33
Federal National Mortgage Assn.(IO)
6.500% due 05/25/05 1,069 103
6.500% due 09/25/08 678 71
Federal National Mortgage Assn.(PO)
0.000% due 11/25/22 100 99
----------
336
----------
Total Mortgage-Backed Securities 15,389
(Cost $14,991) ==========
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.7%
- --------------------------------------------------------------------------------
Conti Mortgage Home Equity Loan Trust
5.811% due 10/15/12(d) 1,143 1,148
Ford Motor Credit Corp.
6.500% due 11/15/99 272 272
Green Tree Financial Group
6.420% due 04/15/28 130 131
6.220% due 02/15/29 183 184
Premiere Auto Trust
8.050% due 04/04/00 432 433
----------
Total Asset-Backed Securities 2,168
(Cost $2,163) ==========
60 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 6.1%
- --------------------------------------------------------------------------------
Government of Brazil
6.625% due 04/15/06(d) $ 291 $ 166
Hydro Quebec
5.813% due 09/29/49(d) 200 170
Republic of Argentina
6.625% due 03/31/05(d) 1,316 1,040
Republic of Korea
8.281% due 04/08/00(d) 1,000 918
----------
Total Sovereign Issues 2,294
(Cost $2,506) ==========
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(e) 0.2%
- --------------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26(h) C$ 104 70
----------
Total Foreign Currency-Denominated Issues 70
(Cost $70) ==========
- --------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.3%
- --------------------------------------------------------------------------------
U.S. Treasury Note (OTC)
5.750% due 11/30/02
Strike @ 94.39 Exp. 12/02/98 $ 1,000 107
----------
Total Purchased Call Options 107
(Cost $79) ==========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 15.5%
- --------------------------------------------------------------------------------
Commercial Paper 10.2%
Coca-Cola Co.
5.440% due 11/12/98 300 298
E.I. Du Pont de Nemours
5.270% due 10/29/98 1,000 996
Federal Home Loan Mortgage Corp.
5.240% due 10/16/98 200 199
5.350% due 10/16/98 300 299
5.390% due 11/06/98 100 99
Ford Motor Credit Corp.
5.500% due 10/06/98 700 699
General Electric Capital Corp.
5.490% due 11/18/98 400 397
Procter & Gamble Co.
5.240% due 11/09/98 500 497
5.310% due 12/28/98 400 395
----------
3,879
==========
Repurchase Agreement 2.0%
State Street Bank
4.750% due 10/01/98 766 766
----------
(Dated 09/30/98. Collateralized by U.S. Treasury
Note 5.750% 10/31/02 valued at $786,450.
Repurchase proceeds are $766,101.)
U.S. Treasury Bills 3.3%(b)(g)
4.920% due 10/01/98-02/04/99 1,263 1,257
----------
Total Short-Term Instruments 5,902
(Cost $5,901) ==========
Total Investments (a) 108.9% $ 41,219
(Cost $40,914)
Other Assets and Liabilities (Net) (8.9%) (3,374)
----------
Net Assets 100.0% $ 37,845
==========
================================================================================
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 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. $ 695
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (390)
----------
Unrealized appreciation-net $ 305
==========
(b) Securities with an aggregate market value of $1,256 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at September 30, 1998:
Unrealized
Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar September Futures (09/00) 1 $ 3
Eurodollar December Futures (12/00) 1 2
Eurodollar March Futures (03/01) 1 2
Eurodollar June Futures (06/01) 1 2
Eurodollar September Futures (09/01) 4 7
Eurodollar December Futures (12/01) 4 6
Eurodollar March Futures (03/02) 4 6
Eurodollar June Futures (06/02) 4 6
Mini S&P 500 Index (12/98) 4 (4)
S&P 500 Index (12/98) 58 229
U.S. Treasury 5 Year Note (12/98) 21 105
U.S. Treasury 10 Year Note (12/98) 14 62
U.S. Treasury 30 Year Bond (12/98) 13 56
United Kingdom 90 Day LIBOR Future (03/99) 2 2
United Kingdom 90 Day LIBOR Future (06/99) 2 2
----------
$ 486
==========
(c) Foreign forward currency contracts outstanding at September 30, 1998:
Principal
Amount
Covered by Expiration Unrealized
Type Contract Month Appreciation
- --------------------------------------------------------------------------------
Sell C$ 109 10/98 $ 0
(d) Variable rate security. The rate listed is as of September 30, 1998.
(e) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
(f) Swap agreements outstanding at September 30, 1998:
Notional Unrealized
Type Amount Appreciation
- --------------------------------------------------------------------------------
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR.
Broker: Lehman Brothers
Exp. 07/31/99 $ 6,335 $ 0
(g) Securities are grouped by coupon and represent a range of maturities.
(h) Principal amount of the security is adjusted for inflation.
See accompanying notes 61
<PAGE>
Schedule of Investments
StocksPLUS Fund
September 30, 1998 (Unaudited) Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 39.0%
- --------------------------------------------------------------------------------
Banking & Finance 25.5%
Advanta National Bank
6.125% due 01/15/99(d) $ 2,000 $ 1,990
AT&T Capital Corp.
6.260% due 02/18/99 10,000 10,027
6.920% due 04/29/99 5,725 5,767
Bankers Trust
5.788% due 05/11/03(d) 20,000 20,035
Caterpillar Financial
5.400% due 04/01/99(d) 2,000 2,002
CIT Group, Inc.
6.200% due 10/20/00 10,000 10,165
Den Danske Bank
6.000% due 06/30/00(d) 450 451
Edison Funding
6.000% due 09/20/99 15,000 15,143
Ford Motor Credit Corp.
5.480% due 11/09/98(d) 500 500
5.340% due 03/30/99(d) 250 250
5.293% due 04/05/99(d) 340 339
7.020% due 10/10/00 11,000 11,418
5.813% due 02/13/03(d) 15,000 15,026
General Motors Acceptance Corp.
5.330% due 03/16/99(d) 2,000 2,004
5.788% due 08/18/03(d) 15,300 15,303
Goldman Sachs & Co.
5.867% due 01/25/01(d) 10,000 10,006
Heller Financial, Inc.
5.830% due 09/25/00(d) 15,500 15,519
HRPT Properties Trust
6.288% due 07/09/99(d) 5,000 5,001
Lehman Brothers, Inc.
8.875% due 11/01/98 1,685 1,687
5.540% due 08/11/00(d) 9,400 9,169
MBNA Corp.
5.992% due 10/18/99(d) 10,000 10,006
6.008% due 09/13/01(d) 4,000 4,001
Merrill Lynch & Co.
5.938% due 10/10/00(d) 3,000 3,004
5.919% due 02/04/03(d) 6,000 5,989
Residential Reinsurance
9.848% due 06/01/99(d) 2,000 1,991
Salomon, Inc
5.582% due 04/05/99(d) 500 500
Salomon, Smith Barney Holdings
5.875% due 02/01/01 5,000 5,041
3.650% due 02/14/02(g) 2,058 2,000
5.938% due 03/26/03(d) 5,000 4,991
Sanwa Business Credit
6.338% due 07/13/01(d) 10,000 9,988
-------------
199,313
=============
Industrials 11.2%
Air Canada
6.425% due 07/31/05(d) 12,000 9,944
Black & Decker Corp.
6.606% due 12/20/01(d) 7,250 7,323
Cemex SA
10.750% due 07/15/00 3,650 3,509
COFIRI International, Inc.
5.987% due 10/27/00(d) 2,000 1,995
Columbia HCA Healthcare
6.410% due 06/15/00 5,000 4,909
Merita
6.073% due 12/01/05(d) 1,000 996
Occidental Petroleum
5.850% due 11/09/98 6,000 5,996
Petroleos Mexicanos
7.600% due 06/15/00 2,050 1,932
RJR Nabisco
8.300% due 04/15/99 2,300 2,307
8.000% due 07/15/01 500 511
TCI Communications, Inc.
7.250% due 06/15/99(d) 30,000 30,424
6.140% due 04/03/02(d) 11,600 11,718
6.200% due 03/11/03(d) 4,000 4,052
Tenneco, Inc.
10.075% due 02/01/01 1,400 1,510
-------------
87,126
=============
Utilities 2.3%
Beaver Valley Funding Corp.
8.250% due 06/01/03 2,413 2,511
Niagara Mohawk Power
7.000% due 10/01/00 5,000 5,061
7.125% due 07/01/01 9,000 9,145
North Atlantic Energy
9.050% due 06/01/02 1,220 1,293
-------------
18,010
-------------
Total Corporate Bonds & Notes 304,449
(Cost $305,015) =============
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 1.8%
- --------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.727% due 10/25/05(d) 14,496 14,429
-------------
Total U.S. Government Agencies 14,429
(Cost $14,446) =============
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 6.5%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/02(g) 21,704 21,806
U.S. Treasury Notes
5.750% due 11/30/02 27,200 28,620
-------------
Total U.S. Treasury Obligations 50,426
(Cost $48,997) =============
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 20.2%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 2.5%
Bank Mart
7.457% due 03/01/19(d)(h) 7,718 8,275
Citicorp Mortgage Securities, Inc.
7.419% due 09/25/18(d) 68 68
Donaldson, Lufkin & Jenrette
6.460% due 10/17/20(d) 292 301
Federal National Mortgage Assn.
7.723% due 04/25/20(d) 83 84
Greenwich
7.127% due 10/25/22(d) 28 28
PaineWebber Mortgage
6.511% due 02/25/01(d) 1,277 1,279
Prudential Home
7.050% due 05/25/24 467 468
Red Mountain Funding Corp.
6.450% due 11/28/27 11 11
Residential Funding
6.196% due 03/25/18(d) 2,873 2,876
Resolution Trust Corp.
7.588% due 01/25/20(d) 759 784
7.227% due 05/25/21(d) 55 55
6.518% due 09/25/21(d) 984 981
8.000% due 07/25/24 3,157 3,221
6.588% due 05/25/29(d) 422 423
Structured Asset Securities Corp.
7.750% due 02/25/28 756 771
-------------
19,625
=============
Federal Home Loan Mortgage Corporation 4.6%
6.764% due 07/01/19(d) 1,805 1,837
7.370% due 06/01/22(d) 682 710
7.500% due 10/14/28 30,000 30,909
7.635% due 12/01/22(d) 994 1,031
8.500% due 06/01/12-06/01/25(f) 1,512 1,571
-------------
36,058
=============
62 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Federal National Mortgage Association 2.2%
6.130% due 05/01/17(d) $ 375 $ 379
6.131% due 04/01/18-05/01/36(d)(f) 7,309 7,396
6.132% due 08/01/29-11/01/35(d)(f) 1,062 1,075
6.143% due 05/01/36(d) 7,041 7,141
6.153% due 07/01/18(d) 650 657
7.373% due 05/01/22(d) 446 452
------------
17,100
============
Government National Mortgage Association 10.2%
6.000% due 12/20/27(d) 8,971 9,102
6.500% due 01/20/28-10/21/28(d)(f) 55,195 56,421
6.875% due 02/20/26-05/20/26(d)(f) 10,844 11,019
7.000% due 09/20/22(d) 2,160 2,210
------------
78,752
============
Other Mortgage-Backed Securities 0.6%
California Federal Savings & Loan
6.645% due 01/01/19(d) 48 48
Fund America
7.415% due 06/25/23(d) 183 191
General Electric Capital Mortgage
6.300% due 09/25/23 2,000 2,030
Great Western Savings & Loan
6.381% due 01/25/18(d) 81 82
J.P. Morgan & Co.
6.999% due 01/25/18(d) 716 718
Resolution Trust Corp.
7.048% due 12/25/23(d) 29 29
Structured Asset Securities Corp.
6.845% due 09/25/36(d) 1,346 1,376
Western Federal Savings & Loan
6.537% due 10/25/18(d) 199 200
6.895% due 03/25/19(d) 50 50
6.631% due 06/25/19(d) 292 292
------------
5,016
============
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
992.576% due 07/15/16 51 245
Federal National Mortgage Assn. (IO)
6.000% due 11/25/00 633 28
7.000% due 07/25/06 469 47
6.500% due 02/25/21(d) 5,088 512
7.000% due 07/25/21 1,090 97
------------
929
------------
Total Mortgage-Backed Securities 157,480
(Cost $155,668) ============
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 2.1%
- --------------------------------------------------------------------------------
Community Trust Bancorp, Inc.
6.500% due 09/15/03 3,306 3,328
Green Tree Financial Group
6.420% due 04/15/28 2,170 2,181
6.220% due 02/15/29 10,445 10,499
------------
Total Asset-Backed Securities 16,008
(Cost $15,925) ============
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 4.9%
- --------------------------------------------------------------------------------
Republic of Argentina
6.625% due 03/31/05(d) 17,014 13,441
8.726% due 04/10/05(d) 7,000 6,038
Republic of Korea
8.031% due 04/07/99(d) 10,000 9,588
United Mexican States
7.002% due 06/27/02(d) 10,000 9,210
------------
Total Sovereign Issues 38,277
(Cost $42,173) ============
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(e) 1.1%
- --------------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26(g) C$ 5,205 $ 3,511
Commonwealth of New Zealand
4.500% due 02/15/16(g) N$ 9,750 5,131
Kingdom of Sweden
10.250% due 05/05/00 SK 1,000 138
------------
Total Foreign Currency-Denominated Issues 8,780
(Cost $10,494) ============
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 37.2%
- --------------------------------------------------------------------------------
Commercial Paper 28.7%
Canadian Wheat Board
5.450% due 12/11/98 $ 4,000 3,958
Coca-Cola Co.
5.420% due 11/06/98 10,000 9,946
E.I. Du Pont de Nemours
5.490% due 10/07/98 26,100 26,076
5.430% due 11/03/98 6,000 5,970
5.250% due 11/04/98 2,500 2,488
Federal Home Loan Mortgage Corp.
5.460% due 10/16/98 10,000 9,977
Florida Power Corp.
5.490% due 10/19/98 4,200 4,188
Ford Motor Credit Corp.
5.510% due 10/09/98 7,000 6,991
General Electric Capital Corp.
5.520% due 10/01/98 14,000 14,000
5.470% due 11/06/98 5,000 4,973
5.500% due 11/13/98 2,800 2,782
5.500% due 11/18/98 3,100 3,077
General Motors Acceptance Corp.
5.520% due 10/29/98 5,900 5,875
5.500% due 11/18/98 1,000 993
IBM Credit Corp.
5.560% due 10/07/98 3,500 3,497
5.480% due 11/24/98 1,800 1,785
KFW International Finance, Inc.
5.490% due 10/09/98 20,800 20,775
5.390% due 10/28/98 10,000 9,959
Motorola, Inc.
5.490% due 10/06/98 10,000 9,992
5.480% due 10/13/98 1,800 1,797
5.490% due 10/19/98 7,000 6,981
5.480% due 12/03/98 5,900 5,845
National Rural Utilities Cooperative
5.490% due 10/28/98 2,600 2,589
5.500% due 10/29/98 1,700 1,693
5.420% due 12/07/98 4,500 4,456
New Center Asset Trust
5.530% due 11/13/98 7,000 6,954
5.490% due 12/17/98 2,200 2,175
Pfizer, Inc.
5.500% due 10/20/98 5,100 5,085
5.490% due 10/30/98 10,000 9,956
Procter & Gamble Co.
5.240% due 11/09/98 7,000 6,960
5.480% due 11/12/98 3,400 3,378
SBC Communications, Inc.
5.290% due 11/06/98 4,900 4,874
Washington Post
5.510% due 10/23/98 4,200 4,186
Wisconsin Electric Power & Light
5.290% due 10/21/98 9,400 9,372
------------
223,603
============
See accompanying notes 63
<PAGE>
Schedule of Investments (Cont.)
StocksPlUS Fund
September 30, 1998 (Unaudited) Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Repurchase Agreements 1.4%
State Street Bank
4.750% due 10/01/98 $ 1,068 $ 1,068
(Dated 09/30/98. Collateralized by U.S. Treasury
Note 7.750% 12/31/99 valued at $1,093,057.
Repurchase proceeds are $1,068,141.)
First Boston
5.150% due 10/01/98 10,000 10,000
(Dated 09/30/98. Collateralized by U.S. Treasury
Note 4.500% 09/30/00 valued at $10,250,448.
Repurchase proceeds are $10,001,430.) ----------
11,068
==========
U.S. Treasury Bills (b)(f) 7.1%
4.745% due 10/01/98-02/04/99 55,863 55,463
----------
Total Short-Term Instruments 290,134
(Cost $290,127) ==========
Total Investments (a) 112.8% $ 879,983
(Cost $882,845)
Other Assets and Liabilities (Net) (12.8%) (99,527)
----------
Net Assets 100.0% $ 780,456
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At September 30, 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. $ 5,259
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (8,121)
----------
Unrealized depreciation-net $ (2,862)
----------
(b) Securities with an aggregate market value of $55,463
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
September 30, 1998:
Unrealized
Contracts Appreciation
- --------------------------------------------------------------------------------
S&P 500 Index (12/98) 2,623 $ 5,008
United Kingdom 90 Day LIBOR Future (03/99) 8 6
United Kingdom 90 Day LIBOR Future (06/99) 58 57
----------
$ 5,071
==========
(c) Foreign forward currency contracts outstanding at September 30, 1998:
Principal
Amount Unrealized
Covered by Expiration Appreciation/
Type Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell C$ 5,545 10/98 $ 14
Sell N$ 9,711 12/98 (77)
Sell SK 1,843 10/98 (2)
----------
$ (65)
==========
(d) Variable rate security. The rate listed is as of September 30, 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) Restricted security.
64 See accompanying notes
<PAGE>
Financial Highlights
<TABLE>
<CAPTION>
Real Return Total Return
Selected per share data for the Short-Term Low Duration Bond Total Return Mortgage
period ended September 30, 1998 Fund (a) (b) Fund (a) (b) Fund (a) (b) Fund (a) (b) Fund (a) (b)
------------- -------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Net Asset Value Beginning of Period $ 10.07 $ 10.19 $ 9.77 $ 10.66 $ 10.27
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Net Investment Income (c) 0.26 0.30 0.26 0.29 0.27
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Net Realized / Unrealized Gain (Loss) on Investments (c) (0.03) 0.10 0.15 0.44 0.18
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Total Income from Investment Operations 0.23 0.40 0.41 0.73 0.45
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Dividends from Net Investment Income (0.26) (0.30) (0.26) (0.30) (0.26)
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Total Distributions (0.26) (0.30) (0.26) (0.30) (0.26)
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Net Asset Value End of Period $ 10.04 $ 10.29 $ 9.92 $ 11.09 $ 10.46
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Total Return 2.58% 4.24% 4.33% 7.52% 4.88%
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Net Assets End of Period (000s) $ 408 $ 1,715 $ 108 $ 4,909 $ 104
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Ratio of Expenses to Average Net Assets+ 0.74% 0.75% 0.92% 0.75% 0.90%
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Ratio of Net Investment Income (Loss)
to Average Net Assets+ 5.46% 6.12% 5.43% 5.65 5.31%
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Portfolio Turnover Rate 49% 128% 445% 103% 102%
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
</TABLE>
<TABLE>
<CAPTION>
Municipal Foreign Strategic
Selected per share data for the High Yield Bond Bond Balanced StocksPLUS
period ended September 30, 1998 Fund (a) (b) Fund (a) (b) Fund (a) (b) Fund (a) (b) Fund (a) (b)
------------- -------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Net Asset Value Beginning of Period $ 11.68 $ 9.98 $ 10.83 $ 12.72 $ 14.10
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Net Investment Income (c) 0.44 0.19 0.29 0.14 0.20
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Net Realized / Unrealized Gain (Loss) on Investments (c) (0.53) 0.27 0.10 (0.52) (1.21)
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Total Income (Loss) from Investment Operations (0.09) 0.46 0.39 (0.38) (1.01)
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Dividends from Net Investment Income (0.44) (0.19) (0.27) (0.13) (0.17)
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Total Distributions (0.44) (0.19) (0.27) (0.13) (0.17)
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Net Asset Value End of Period $ 11.15 $ 10.25 $ 10.95 $ 12.21 $ 12.92
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Total Return (0.46)% 4.85% 4.66% (2.09)% (7.15)%
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Net Assets End of Period (000s) $ 1,242 $ 105 $ 4,247 $ 98 $ 399
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Ratio of Expenses to Average Net Assets+ 0.89% 0.84% 0.94% 1.06% 1.04%
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Ratio of Net Investment Income (Loss)
to Average Net Assets+ 8.06% 3.94% 5.81% 2.38% 3.09%
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
Portfolio Turnover Rate 30% 41% 161% 21% 63%
- -------------------------------------------------------- ------------- -------------- ------------- ------------- -------------
</TABLE>
+ Annualized
(a) Unaudited
(b) Commenced operations on April 8, 1998.
(c) Per share amounts based on average number of shares outstanding during the
period.
See accompanying notes 65
<PAGE>
Statement of Assets and Liabilities
September 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
Amounts in thousands, except per share amounts Short-Term Fund Low Duration Fund Real Return Bond Fund Total Return Fund
--------------- ----------------- --------------------- -----------------
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 414,245 $ 4,095,023 $ 18,908 $ 27,642,164
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Cash and foreign currency 0 16,995 12 38,121
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Receivable for investments and foreign currency
sold 2,777 13,661 1,327 41,842
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Receivable for Fund shares sold 4,703 45,520 47 84,686
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Variation margin receivable 7 2,434 0 66,083
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Interest and dividends receivable 3,512 37,315 127 231,555
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Other assets 251 4,259 20 0
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
425,495 4,215,207 20,441 28,104,451
================================================== =============== ================= ===================== =================
Liabilities:
Payable for investments and foreign currency
purchased $ 22,739 $ 683,192 $ 9,386 $ 5,368,211
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Notes payable 0 0 0 0
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Written options outstanding 0 3,013 1 51,236
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Payable for Fund shares redeemed 522 32,120 8 260,212
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Dividends payable 241 3,101 10 23,550
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Accrued investment advisor's fee 102 721 2 4,684
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Accrued administrator's fee 90 570 3 3,668
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Accrued distribution fee 5 80 3 729
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Accrued servicing fee 14 58 1 336
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Variation margin payable 0 0 0 0
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Other liabilities 3 149 0 25,762
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
23,716 723,004 9,414 5,738,388
================================================== =============== ================= ===================== =================
Net Assets $ 401,779 $ 3,492,203 $ 11,027 $ 22,366,063
================================================== =============== ================= ===================== =================
Net Assets Consist of:
Paid in capital $ 401,406 $ 3,430,476 $ 10,998 $ 21,160,678
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Undistributed (overdistributed) net investment
income 696 802 0 111,594
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Accumulated undistributed net realized gain (loss) (325) (535) (129) 609,836
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Net unrealized appreciation (depreciation) 2 61,460 158 483,955
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
$ 401,779 $ 3,492,203 $ 11,027 $ 22,366,063
================================================== =============== ================= ===================== =================
Net Assets:
Class D 408 1,715 108 4,909
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Other Classes 401,371 3,490,488 10,919 22,361,154
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Shares Issued and Outstanding:
Class D 41 167 11 443
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding):
Class D $ 10.04 $ 10.29 $ 9.92 $ 11.09
- -------------------------------------------------- --------------- ----------------- --------------------- -----------------
Cost of Investments Owned $ 414,568 $ 4,054,100 $ 18,821 $ 27,332,479
================================================== =============== ================= ===================== =================
Cost of Foreign Currency Held $ 0 $ 6,149 $ 0 $ 37,146
================================================== =============== ================= ===================== =================
</TABLE>
66 See accompanying notes
<PAGE>
Statement of Assets and Liabilities
September 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
Total Return
Amounts in thousands, except per share amounts Mortgage Fund High Yield Fund Municipal Bond Fund Foreign Bond Fund
--------------- ----------------- --------------------- -----------------
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 4,400 $ 2,460,519 $ 56,148 $ 1,020,068
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Cash and foreign currency 1 661 58 2,514
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Receivable for investments and foreign currency
sold 2 211 104 226,285
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Receivable for Fund shares sold 0 9,767 311 1,412
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Variation margin receivable 0 0 0 0
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Interest and dividends receivable 38 48,317 787 21,098
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Other assets 2 0 0 1,226
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
4,443 2,519,475 57,408 1,272,603
================================================= =============== ================= ===================== =================
Liabilities:
Payable for investments and foreign currency
purchased $ 567 $ 43,306 $ 105 $ 709,019
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Notes payable 0 0 0 0
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Written options outstanding 0 0 0 0
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Payable for Fund shares redeemed 0 1,589 28 1,233
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Dividends payable 0 2,613 44 606
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Accrued investment advisor's fee 1 508 12 115
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Accrued administrator's fee 1 577 16 127
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Accrued distribution fee 0 318 19 26
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Accrued servicing fee 0 115 10 14
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Variation margin payable 0 0 0 0
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Other liabilities 0 316 14 159
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
569 49,342 248 711,299
================================================= =============== ================= ===================== =================
Net Assets $ 3,874 $ 2,470,133 $ 57,160 $ 561,304
================================================= =============== ================= ===================== =================
Net Assets Consist of:
Paid in capital $ 3,714 $ 2,565,118 $ 53,651 $ 533,190
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Undistributed (overdistributed) net investment
income 24 (2,527) (1) 21,778
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Accumulated undistributed net realized gain
(loss) 12 (45,696) 14 (2,617)
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Net unrealized appreciation (depreciation) 124 (46,762) 3,496 8,953
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
$ 3,874 $ 2,470,133 $ 57,160 $ 561,304
================================================= =============== ================= ===================== =================
Net Assets:
Class D 104 1,242 105 4,247
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Other Classes 3,770 2,468,891 57,055 557,057
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Shares Issued and Outstanding:
Class D 10 111 10 388
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding):
Class D $ 10.46 $ 11.15 $ 10.25 $ 10.95
- ------------------------------------------------- --------------- ----------------- --------------------- -----------------
Cost of Investments Owned $ 4,278 $ 2,507,419 $ 52,652 $ 997,628
================================================= =============== ================= ===================== =================
Cost of Foreign Currency Held $ 0 $ 0 $ 0 $ 1,165
================================================= =============== ================= ===================== =================
<CAPTION>
Amounts in thousands, except per share amounts Strategic Balanced Fund StocksPLUS Fund
------------------------ ---------------
<S> <C> <C>
Assets:
Investments, at value $ 41,219 $ 879,983
- ------------------------------------------------- ------------------------ ---------------
Cash and foreign currency 26 0
- ------------------------------------------------- ------------------------ ---------------
Receivable for investments and foreign currency
sold 19 1,911
- ------------------------------------------------- ------------------------ ---------------
Receivable for Fund shares sold 0 3,021
- ------------------------------------------------- ------------------------ ---------------
Variation margin receivable 0 0
- ------------------------------------------------- ------------------------ ---------------
Interest and dividends receivable 689 11,804
- ------------------------------------------------- ------------------------ ---------------
Other assets 1 553
- ------------------------------------------------- ------------------------ ---------------
41,954 897,272
================================================= ======================== ===============
Liabilities:
Payable for investments and foreign currency
purchased $ 3,618 $ 94,613
- ------------------------------------------------- ------------------------ ---------------
Notes payable 0 0
- ------------------------------------------------- ------------------------ ---------------
Written options outstanding 0 0
- ------------------------------------------------- ------------------------ ---------------
Payable for Fund shares redeemed 0 812
- ------------------------------------------------- ------------------------ ---------------
Dividends payable 0 0
- ------------------------------------------------- ------------------------ ---------------
Accrued investment advisor's fee 13 260
- ------------------------------------------------- ------------------------ ---------------
Accrued administrator's fee 8 206
- ------------------------------------------------- ------------------------ ---------------
Accrued distribution fee 0 142
- ------------------------------------------------- ------------------------ ---------------
Accrued servicing fee 0 73
- ------------------------------------------------- ------------------------ ---------------
Variation margin payable 470 20,667
- ------------------------------------------------- ------------------------ ---------------
Other liabilities 0 43
- ------------------------------------------------- ------------------------ ---------------
4,109 116,816
================================================= ======================== ===============
Net Assets $ 37,845 780,456
================================================= ======================== ===============
Net Assets Consist of:
Paid in capital $ 35,038 763,123
- ------------------------------------------------- ------------------------ ---------------
Undistributed (overdistributed) net investment
income 2,037 43,968
- ------------------------------------------------- ------------------------ ---------------
Accumulated undistributed net realized gain
(loss) (37) (29,410)
- ------------------------------------------------- ------------------------ ---------------
Net unrealized appreciation (depreciation) 807 2,775
- ------------------------------------------------- ------------------------ ---------------
$ 37,845 $ 780,456
================================================= ======================== ===============
Net Assets:
Class D 98 399
- ------------------------------------------------- ------------------------ ---------------
Other Classes 37,747 780,057
- ------------------------------------------------- ------------------------ ---------------
Shares Issued and Outstanding:
Class D 8 31
- ------------------------------------------------- ------------------------ ---------------
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding):
Class D $ 12.21 $ 12.92
- ------------------------------------------------- ------------------------ ---------------
Cost of Investments Owned $ 40,914 $ 882,845
================================================= ======================== ---------------
Cost of Foreign Currency Held $ 25 $ 1,867
================================================= ======================== ===============
</TABLE>
See accompanying notes 67
<PAGE>
Statement of Operations
For the six months ended September 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
Real Return
Amounts in thousands Short-Term Fund Low Duration Fund Bond Fund Total Return Fund
------------------- ------------------ ------------------ ------------------
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 13,399 $ 111,564 $ 345 $ 664,267
- --------------------------------------------------- ------------------- ------------------ ------------------ ------------------
Dividends 0 1,546 0 1,887
- --------------------------------------------------- ------------------- ------------------ ------------------ ------------------
Total Income 13,399 113,110 345 666,154
=================================================== =================== ================== ================== ==================
Expenses:
Investment advisory fees 538 4,069 14 25,346
- --------------------------------------------------- ------------------- ------------------ ------------------ ------------------
Administration fees 465 3,192 17 19,734
- --------------------------------------------------- ------------------- ------------------ ------------------ ------------------
Servicing fees - Class D 0 1 0 2
- --------------------------------------------------- ------------------- ------------------ ------------------ ------------------
Distribution and/or servicing fees - Other Classes 82 711 21 5,176
- --------------------------------------------------- ------------------- ------------------ ------------------ ------------------
Trustees' fees 2 12 0 77
- --------------------------------------------------- ------------------- ------------------ ------------------ ------------------
Miscellaneous 0 6 1 24
- --------------------------------------------------- ------------------- ------------------ ------------------ ------------------
Total Expenses 1,087 7,991 53 50,359
- --------------------------------------------------- ------------------- ------------------ ------------------ ------------------
Net Investment Income (Loss) 12,312 105,119 292 615,795
=================================================== =================== ================== ================== ==================
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (738) (8,258) (51) 64,756
- --------------------------------------------------- ------------------- ------------------ ------------------ ------------------
Net realized gain (loss) on
futures contracts and written options 27 5,063 (3) 462,352
- --------------------------------------------------- ------------------- ------------------ ------------------ ------------------
Net realized gain (loss) on foreign currency
transactions 471 2,676 (9) 42,579
- --------------------------------------------------- ------------------- ------------------ ------------------ ------------------
Net change in unrealized appreciation
(depreciation) on investments (454) 20,497 188 166,622
- --------------------------------------------------- ------------------- ------------------ ------------------ ------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written
options 13 15,929 54 208,283
- --------------------------------------------------- ------------------- ------------------ ------------------ ------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies (119) 93 (10) (16,194)
- --------------------------------------------------- ------------------- ------------------ ------------------ ------------------
Net Gain (800) 36,000 169 928,398
- --------------------------------------------------- ------------------- ------------------ ------------------ ------------------
Net Increase (Decrease) in Assets
Resulting from Operations $ 11,512 $ 141,119 $ 461 $ 1,544,193
=================================================== =================== ================== ================== ==================
</TABLE>
68 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Total Return
Amounts in thousands Mortgage Fund High Yield Fund Municipal Bond Fund
------------------- --------------------- ---------------------
<S> <C> <C> <C>
Investment Income:
Interest $ 116 $ 105,276 $ 722
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Dividends 0 2,634 0
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Total Income 116 107,910 722
============================================================= =================== ===================== =====================
Expenses:
Investment advisory fees 5 3,040 37
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Administration fees 5 3,449 49
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Servicing fees - Class D 0 0 0
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Distribution and/or servicing fees - Other Classes 0 2,556 88
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Trustees' fees 0 9 1
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Miscellaneous 0 0 0
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Total Expenses 10 9,054 175
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Net Investment Income (Loss) 106 98,856 547
============================================================= =================== ===================== =====================
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 17 10,386 14
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Net realized gain (loss) on
futures contracts and written options 0 0 0
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Net realized gain (loss) on foreign currency transactions 0 0 0
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Net change in unrealized appreciation
(depreciation) on investments 63 (122,256) 1,170
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written options 0 0 0
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies 0 0 0
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Net Gain 80 (111,870) 1,184
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Net Increase (Decrease) in Assets
Resulting from Operations $ 186 $ (13,014) $ 1,731
============================================================= =================== ===================== =====================
<CAPTION>
Strategic
Amounts in thousands Foreign Bank Fund Balanced Fund StocksPLUS Fund
------------------- --------------------- ---------------------
<S> <C> <C> <C>
Investment Income:
Interest $ 16,223 $ 621 $ 13,025
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Dividends 0 0 0
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Total Income 16,223 621 13,025
============================================================= =================== ===================== =====================
Expenses:
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Investment advisory fees 621 78 1,492
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Administration fees 673 50 1,170
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Servicing fees - Class D 2 0 0
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Distribution and/or servicing fees - Other Classes 194 0 1,162
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Trustees' fees 2 0 3
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Miscellaneous 7 0 0
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Total Expenses 1,499 128 3,827
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Net Investment Income (Loss) 14,724 493 9,198
============================================================= =================== ===================== =====================
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 10,754 (29) (517)
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Net realized gain (loss) on
futures contracts and written options 2,452 (1,606) (61,381)
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Net realized gain (loss) on foreign currency transactions (15,760) 5 905
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Net change in unrealized appreciation
(depreciation) on investments 32,061 143 (2,511)
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written options (280) 238 (5,378)
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies (19,860) 1 (192)
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Net Gain 9,367 (1,248) (69,074)
- ------------------------------------------------------------- ------------------- --------------------- ---------------------
Net Increase (Decrease) in Assets
Resulting from Operations $ 24,091 $ (755) $ (59,876)
============================================================= =================== ===================== =====================
See accompanying notes 69
</TABLE>
<PAGE>
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
Amounts in thousands Short-Term Fund Low Duration Fund
---------------------------------- ------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
Increase (Decrease) in Net Assets from: September 30, 1998 March 31, 1998 September 30, 1998 March 31, 1998
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 12,312 $ 11,861 $ 105,119 $ 188,536
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Net realized gain (loss) (240) 922 (519) 25,424
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Net change in unrealized appreciation (depreciation) (560) 455 36,519 38,823
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Net increase (decrease) resulting from operations 11,512 13,238 141,119 252,783
====================================================== ================================== ====================================
Distributions to Shareholders:
From net investment income
Class D (5) 0 (22) 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Other Classes (12,352) (11,653) (105,031) (181,504)
- ------------------------------------------------------ ---------------------------------- ------------------------------------
In excess of net investment income
Class D 0 0 0 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Other Classes 0 (209) 0 (6,360)
- ------------------------------------------------------ ---------------------------------- ------------------------------------
From net realized capital gains
Class D 0 0 0 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Other Classes 0 (283) 0 (8,459)
- ------------------------------------------------------ ---------------------------------- ------------------------------------
In excess of net realized capital gains
Class D 0 0 0 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Other Classes 0 0 0 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Total Distributions (12,357) (12,145) (105,053) (196,323)
====================================================== ================================== ====================================
Fund Share Transactions:
Receipts for shares sold
Class D 403 0 1,868 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Other Classes 593,853 370,532 1,478,854 1,928,399
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Issued in reorganization
Class D 0 0 0 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Other Classes 0 0 0 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Issued as reinvestment of distributions
Class D 5 0 21 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Other Classes 7,426 9,805 88,302 164,695
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Cost of shares redeemed
Class D 0 0 (192) 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Other Classes (409,259) (336,268) (1,114,354) (2,096,731)
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Net increase (decrease) resulting from Fund
share transactions 192,428 44,069 454,499 (3,637)
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Total Increase (Decrease) in Net Assets 191,583 45,162 490,565 52,823
====================================================== ================================== ====================================
Net Assets:
Beginning of period 210,196 165,034 3,001,638 2,948,815
- ------------------------------------------------------ ---------------------------------- ------------------------------------
End of period * $ 401,779 $ 210,196 $ 3,492,203 $ 3,001,638
- ------------------------------------------------------ ---------------------------------- ------------------------------------
*Including net undistributed (overdistributed)
investment income of: $ 696 $ 741 $ 802 $ 736
- ------------------------------------------------------ ---------------------------------- ------------------------------------
<CAPTION>
Real Return Bond Fund
----------------------------------
Six Months Ended Year Ended
September 30, 1998 March 31, 1998
(Unaudited)
<S> <C> <C>
Operations:
Net investment income (loss) $ 292 $ 317
- ------------------------------------------------------ ----------------------------------
Net realized gain (loss) (63) 52
- ------------------------------------------------------ ----------------------------------
Net change in unrealized appreciation (depreciation) 232 (21)
- ------------------------------------------------------ ----------------------------------
Net increase (decrease) resulting from operations 461 348
====================================================== ==================================
Distributions to Shareholders:
From net investment income
Class D (3) 0
- ------------------------------------------------------ ----------------------------------
Other Classes (289) (319)
- ------------------------------------------------------ ----------------------------------
In excess of net investment income
Class D 0 0
- ------------------------------------------------------ ----------------------------------
Other Classes 0 (23)
- ------------------------------------------------------ ----------------------------------
From net realized capital gains
Class D 0 0
- ------------------------------------------------------ ----------------------------------
Other Classes 0 (99)
- ------------------------------------------------------ ----------------------------------
In excess of net realized capital gains
Class D 0 0
- ------------------------------------------------------ ----------------------------------
Other Classes 0 0
- ------------------------------------------------------ ----------------------------------
Total Distributions (292) (441)
====================================================== ==================================
Fund Share Transactions:
Receipts for shares sold
Class D 104 0
- ------------------------------------------------------ ----------------------------------
Other Classes 4,881 8,224
- ------------------------------------------------------ ----------------------------------
Issued in reorganization
Class D 0 0
- ------------------------------------------------------ ----------------------------------
Other Classes 0 0
- ------------------------------------------------------ ----------------------------------
Issued as reinvestment of distributions
Class D 3 0
- ------------------------------------------------------ ----------------------------------
Other Classes 232 424
- ------------------------------------------------------ ----------------------------------
Cost of shares redeemed
Class D 0 0
- ------------------------------------------------------ ----------------------------------
Other Classes (2,244) (6,969)
- ------------------------------------------------------ ----------------------------------
Net increase (decrease) resulting from Fund
share transactions 2,976 1,679
- ------------------------------------------------------ ----------------------------------
Total Increase (Decrease) in Net Assets 3,145 1,586
====================================================== ==================================
Net Assets:
Beginning of period 7,882 6,296
- ------------------------------------------------------ ----------------------------------
End of period * $ 11,027 $ 7,882
- ------------------------------------------------------ ----------------------------------
*Including net undistributed (overdistributed)
investment income of: $ 0 $ (25)
- ------------------------------------------------------ ----------------------------------
</TABLE>
70 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Amounts in thousands Total Return Fund Total Return Mortgage Fund
---------------------------------- ------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
Increase (Decrease) in Net Assets from: September 30, 1998 March 31, 1998 September 30, 1998 March 31, 1998
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Net investment income (loss) $ 615,795 $ 920,708 $ 106 $ 140
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Net realized gain (loss) 569,687 644,154 17 22
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Net change in unrealized appreciation (depreciation) 358,711 196,253 63 61
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Net increase (decrease) resulting from operations 1,544,193 1,761,115 186 223
====================================================== ================================== ====================================
Distributions to Shareholders:
From net investment income
Class D (52) 0 (3) 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Other Classes (615,909) (895,430) (104) (140)
- ------------------------------------------------------ ---------------------------------- ------------------------------------
In excess of net investment income
Class D 0 0 0 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Other Classes 0 (24,596) 0 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
From net realized capital gains
Class D 0 0 0 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Other Classes 0 (404,172) 0 (2)
- ------------------------------------------------------ ---------------------------------- ------------------------------------
In excess of net realized capital gains
Class D 0 0 0 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Other Classes 0 0 0 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Total Distributions (615,961) (1,324,198) (107) (142)
====================================================== ================================== ====================================
Fund Share Transactions:
Receipts for shares sold
Class D 4,873 0 100 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Other Classes 5,557,611 7,212,259 0 3,365
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Issued in reorganization
Class D 0 0 0 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Other Classes 0 0 0 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Issued as reinvestment of distributions
Class D 52 0 3 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Other Classes 490,317 1,101,884 104 142
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Cost of shares redeemed
Class D (159) 0 0 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Other Classes (2,706,574) (3,858,055) 0 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Net increase (decrease) resulting from Fund
share transactions 3,346,120 4,456,088 207 3,507
- ------------------------------------------------------ ---------------------------------- ------------------------------------
Total Increase (Decrease) in Net Assets 4,274,352 4,893,005 286 3,588
====================================================== ================================== ====================================
Net Assets:
Beginning of period 18,091,711 13,198,706 3,588 0
- ------------------------------------------------------ ---------------------------------- ------------------------------------
End of period * $ 22,366,063 $ 18,091,711 $ 3,874 $ 3,588
- ------------------------------------------------------ ---------------------------------- ------------------------------------
*Including net undistributed (overdistributed)
investment income of: $ 111,594 $ 111,760 $ 25 $ 25
- ------------------------------------------------------ ---------------------------------- ------------------------------------
<CAPTION>
Amounts in thousands High Yield Fund Municipal Bond Fund
---------------------------------- --------------------------------------
Six Months Ended Year Ended Six Months Ended Period from
Increase (Decrease) in Net Assets from: September 30, 1998 March 31, 1998 September 30, 1998 December 31, 1998
(Unaudited) (Unaudited) March 31, 1987
<S> <C> <C> <C> <C>
Net investment income (loss) $ 98,856 $ 120,838 $ 547 $ 33
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Net realized gain (loss) 10,386 17,622 14 (1)
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Net change in unrealized appreciation (depreciation) (122,256) 53,329 1,170 (9)
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Net increase (decrease) resulting from operations (13,014) 191,789 1,731 23
==================================================== ================================== ======================================
Distributions to Shareholders:
From net investment income
Class D (15) 0 (2) 0
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Other Classes (98,839) (121,295) (545) (33)
- ---------------------------------------------------- ---------------------------------- --------------------------------------
In excess of net investment income
Class D 0 0 0 0
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Other Classes 0 0 0 0
- ---------------------------------------------------- ---------------------------------- --------------------------------------
From net realized capital gains
Class D 0 0 0 0
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Other Classes 0 0 0 0
- ---------------------------------------------------- ---------------------------------- --------------------------------------
In excess of net realized capital gains
Class D 0 0 0 0
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Other Classes 0 (12,239) 0 0
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Total Distributions (98,854) (133,534) (547) (33)
==================================================== ================================== ======================================
Fund Share Transactions:
Receipts for shares sold
Class D 1,357 0 100 0
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Other Classes 698,436 1,353,365 8,576 3,000
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Issued in reorganization
Class D 0 0 0 0
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Other Classes 0 0 47,296 0
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Issued as reinvestment of distributions
Class D 15 0 2 0
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Other Classes 83,519 111,435 402 33
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Cost of shares redeemed
Class D (114) 0 0 0
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Other Classes (411,872) (361,760) (3,423) 0
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Net increase (decrease) resulting from Fund
share transactions 371,341 1,103,040 52,953 3,033
- ---------------------------------------------------- ---------------------------------- --------------------------------------
Total Increase (Decrease) in Net Assets 259,473 1,161,295 54,137 3,023
==================================================== ================================== ======================================
Net Assets:
Beginning of period 2,210,660 1,049,365 3,023 0
- ---------------------------------------------------- ---------------------------------- --------------------------------------
End of period * $ 2,470,133 $ 2,210,660 $ 57,160 $ 3,023
- ---------------------------------------------------- ---------------------------------- --------------------------------------
*Including net undistributed (overdistributed)
investment income of: $ (2,527) $ (2,529) $ (1) $ 0
- ---------------------------------------------------- ---------------------------------- --------------------------------------
</TABLE>
See accompanying notes 71
<PAGE>
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
Amounts in thousands Foreign Bond Fund Strategic Balanced Fund
---------------------------------- ----------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
Increase (Decrease) in Net Assets from: September 30, 1998 March 31, 1998 September 30, 1998 March 31, 1998
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 14,724 $ 20,326 $ 493 $ 3,200
- ----------------------------------------------------- ---------------------------------- ----------------------------------
Net realized gain (loss) (2,554) 20,051 (1,630) 3,171
- ----------------------------------------------------- ---------------------------------- ----------------------------------
Net change in unrealized appreciation (depreciation) 11,921 (2,005) 382 630
- ----------------------------------------------------- ---------------------------------- ----------------------------------
Net increase (decrease) resulting from operations 24,091 38,372 (755) 7,001
- ----------------------------------------------------- ---------------------------------- ----------------------------------
Distributions to Shareholders:
From net investment income
Class D (48) 0 (1) 0
- ----------------------------------------------------- ---------------------------------- ----------------------------------
Other Classes (13,842) (19,806) (474) (2,495)
- ----------------------------------------------------- ---------------------------------- ----------------------------------
From net realized capital gains
Class D 0 0 0 0
- ----------------------------------------------------- ---------------------------------- ----------------------------------
Other Classes 0 (10,473) 0 (811)
- ----------------------------------------------------- ---------------------------------- ----------------------------------
Total Distributions (13,890) (30,279) (475) (3,306)
- ----------------------------------------------------- ---------------------------------- ----------------------------------
Fund Share Transactions:
Receipts for shares sold
Class D 4,301 0 100 0
- ----------------------------------------------------- ---------------------------------- ----------------------------------
Other Classes 168,449 264,742 173 29,336
- ----------------------------------------------------- ---------------------------------- ----------------------------------
Issued as reinvestment of distributions
Class D 47 0 1 0
- ----------------------------------------------------- ---------------------------------- ----------------------------------
Other Classes 10,187 23,045 9 617
- ----------------------------------------------------- ---------------------------------- ----------------------------------
Cost of shares redeemed
Class D (164) 0 0 0
- ----------------------------------------------------- ---------------------------------- ----------------------------------
Other Classes (61,523) (104,697) (14) (5,202)
- ----------------------------------------------------- ---------------------------------- ----------------------------------
Net increase (decrease) resulting from Fund share
transactions 121,297 183,090 269 24,751
- ----------------------------------------------------- ---------------------------------- ----------------------------------
Total Increase (Decrease) in Net Assets 131,498 191,183 (961) 28,446
- ----------------------------------------------------- ---------------------------------- ----------------------------------
Net Assets:
Beginning of period 429,806 238,623 38,806 10,360
- ----------------------------------------------------- ---------------------------------- ----------------------------------
End of period * $ 561,304 $ 429,806 $ 37,845 $ 38,806
- ----------------------------------------------------- ---------------------------------- ----------------------------------
*Including net undistributed (overdistributed)
investment income of: $ 21,778 $ 20,944 $ 2,037 $ 2,019
- ----------------------------------------------------- ---------------------------------- ----------------------------------
<CAPTION>
StocksPLUS Fund
----------------------------------
Six Months Ended Year Ended
September 30, 1998 March 31, 1998
(Unaudited)
<S> <C> <C>
Operations:
Net investment income (loss) $ 9,198 $ 64,898
- ------------------------------------------------------------------- ----------------- --------------
Net realized gain (loss) (60,993) 85,623
- ------------------------------------------------------------------- ----------------- --------------
Net change in unrealized appreciation (depreciation) (8,081) 21,299
- ------------------------------------------------------------------- ----------------- --------------
Net increase (decrease) resulting from operations (59,876) 171,820
- ------------------------------------------------------------------- ----------------- --------------
Distributions to Shareholders:
From net investment income
Class D (3) 0
- ------------------------------------------------------------------- ----------------- --------------
Other Classes (9,035) (50,523)
- ------------------------------------------------------------------- ----------------- --------------
From net realized capital gains
Class D 0 0
- ------------------------------------------------------------------- ----------------- --------------
Other Classes 0 (38,639)
- ------------------------------------------------------------------- ----------------- --------------
Total Distributions (9,038) (89,162)
- ------------------------------------------------------------------- ----------------- --------------
Fund Share Transactions:
Receipts for shares sold
Class D 410 0
- ------------------------------------------------------------------- ----------------- --------------
Other Classes 284,068 461,177
- ------------------------------------------------------------------- ----------------- --------------
Issued as reinvestment of distributions
Class D 3 0
- ------------------------------------------------------------------- ----------------- --------------
Other Classes 8,120 80,845
- ------------------------------------------------------------------- ----------------- --------------
Cost of shares redeemed
Class D (5) 0
- ------------------------------------------------------------------- ----------------- --------------
Other Classes (120,938) (208,804)
- ------------------------------------------------------------------- ----------------- --------------
Net increase (decrease) resulting from Fund share transactions 171,658 333,218
- ------------------------------------------------------------------- ----------------- --------------
Total Increase (Decrease) in Net Assets 102,744 415,876
- ------------------------------------------------------------------- ----------------- --------------
Net Assets:
Beginning of period 677,712 261,836
- ------------------------------------------------------------------- ----------------- --------------
End of period * $ 780,456 $ 677,712
- ------------------------------------------------------------------- ----------------- --------------
*Including net undistributed (overdistributed) investment
income of: $ 43,968 $ 43,808
- ------------------------------------------------------------------- ----------------- --------------
</TABLE>
72 See accompanying notes
<PAGE>
Statement of Cash Flows
For the year or period ended September 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
Amounts in thousands
Real Return Bond Fund Foreign Bond Fund
------------------------ -----------------------
<S> <C> <C>
Increase (Decrease) in Cash and Foreign Currency from:
Financing Activities
Sales of Fund shares $ 4,939 $ 175,047
- --------------------------------------------------------------------------- ------------------------ -----------------------
Redemptions of Fund shares (2,239) (61,045)
- --------------------------------------------------------------------------- ------------------------ -----------------------
Cash distributions paid (48) (3,463)
- --------------------------------------------------------------------------- ------------------------ -----------------------
Proceeds from financing transactions 9,564 222,438
- --------------------------------------------------------------------------- ------------------------ -----------------------
Net increase (decrease) from financing activities 12,216 332,977
=========================================================================== ======================== =======================
Operating Activities
Purchases of long-term securities and foreign currency (77,457) (1,049,494)
- --------------------------------------------------------------------------- ------------------------ -----------------------
Proceeds from sales of long-term securities and foreign currency 67,426 708,493
- --------------------------------------------------------------------------- ------------------------ -----------------------
Purchases of short-term securities (net) (2,387) 7,182
- --------------------------------------------------------------------------- ------------------------ -----------------------
Net investment income 292 14,724
- --------------------------------------------------------------------------- ------------------------ -----------------------
Change in other receivables/payables (net) (80) (13,235)
- --------------------------------------------------------------------------- ------------------------ -----------------------
Net increase (decrease) from operating activities (12,206) (332,330)
=========================================================================== ======================== =======================
Net Increase in Cash and Foreign Currency 10 647
=========================================================================== ======================== =======================
Cash and Foreign Currency
Beginning of period 2 1,867
- --------------------------------------------------------------------------- ------------------------ -----------------------
End of period $ 12 $ 2,514
=========================================================================== ======================== =======================
</TABLE>
See accompanying notes 73
<PAGE>
Notes to Financial Statements
September 30, 1998 (Unaudited)
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:
Institutional, Administrative, A, B, C and D. 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). The Commercial
Mortgage Securities and StocksPLUS Short Strategy Funds had not commenced
operations as of September 30, 1998. Information presented in these financial
statements pertains to the Class D shares of the Trust. Certain detailed
financial information for the Institutional, Administrative, A, B, and C Classes
(the "Other Classes") is provided separately and is available upon request.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements 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 and Strategic Balanced
Funds, are declared on each day the Trust is open for business and are
distributed to shareholders monthly. Dividends from net investment income, if
any, of the StocksPLUS and Strategic Balanced Funds 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 Statements of Changes in Net Assets have been reclassified to paid
in capital. In addition, other amounts have been reclassified between
undistributed net investment income, accumulated undistributed net realized
gains or losses and paid in capital to more appropriately conform financial
accounting to tax characterizations of dividend 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.
74
<PAGE>
Multiclass Operations. Each class offered by the Trust has equal rights as to
assets and voting privileges. Income and non-class specific expenses of each
Fund, except the StocksPLUS and Strategic Balanced Funds, 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 and Strategic Balanced Funds are
allocated daily to each class of shares based on the relative net assets of each
class. Realized and unrealized capital gains and losses of each Fund are
allocated daily to each class of shares based on the relative net assets of each
class.
Federal Income Taxes. Each Fund intends to qualify as a regulated investment
company and distribute all of its taxable income and net realized gains, if
applicable, to shareholders. Accordingly, no provision for Federal income taxes
has been made.
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
amounts of $4,841,002, $15,578,323, $958,768,306, $23,125,500, $506,949,577,
$1,822,540, $138,319 for the Low Duration, Real Return Bond, Total Return, High
Yield, Foreign Bond, Strategic Balanced 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 counter party to
meet the terms of the contract. Futures contracts and purchased options are
valued based upon their quoted daily settlement prices. The premium received for
a written option is recorded as an asset with an equal liability which is marked
to market based on the option's quoted daily settlement price. Fluctuations in
the value of such instruments are recorded as unrealized appreciation
(depreciation) until terminated, at which time realized gains and losses are
recognized.
Forward Currency Transactions. Certain Funds are authorized to enter into
forward foreign exchange contracts for the purpose of hedging against foreign
exchange risk arising from the Fund's investment or anticipated investment in
securities denominated in foreign currencies. A Fund also may enter into these
contracts for purposes of increasing exposure to a foreign currency or to shift
exposure to foreign currency fluctuations from one country to another. All
commitments are marked to market daily at the applicable translation rates and
any resulting unrealized gains or losses are recorded. Realized gains or losses
are recorded at the time the forward contract matures or by delivery of the
currency. Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of a foreign currency relative to the U.S.
dollar.
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.
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.
75
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1998 (Unaudited)
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 to the rate of inflation. The
interest rate on these bonds is generally fixed at issuance at a rate lower than
typical bonds. Over the life of an inflation-indexed bond, however, interest
will be paid based on a principal value which is adjusted for inflation. Any
increase in the principal amount of an inflation-indexed bond will be considered
interest income, even though principal is not received 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.
Restricted Securities. Certain funds are permitted to invest in securities that
are subject to legal or contractual restrictions on resale. These securities
generally may be resold in transactions exempt from registration or to the
public if the securities are registered. Disposal of these securities may
involve time-consuming negotiations and expense, and prompt sale at an
acceptable price may be difficult.
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
0.40% for the StocksPLUS and Strategic Balanced Funds and 0.25% for all other
Funds.
Administration Fee. PIMCO 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 Class D is charged at the annual rate of
0.25% for the Short-Term, Total Return and Low Duration, Funds, 0.35% for the
Municipal Bond, 0.45% for the Foreign Bond and 0.40% for all other Funds. The
Administration Fee for the Institutional and Administrative Classes is charged
at the annual rate of 0.18% for the Total Return and Low Duration Funds, 0.20%
for the Short-Term Fund and 0.25% for all other Funds. The Administration Fee
for the A, B and C Classes is charged at an annual rate of 0.35% for the
Short-Term and Municipal Bond Funds, 0.45% for the Foreign Bond Fund and 0.40%
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
current fiscal year.
76
<PAGE>
Pursuant to the Distribution and Servicing Plans adopted by the A, B, C and
D Classes of the Trust, the Trust compensates PFD or an affiliate with respect
to Class D 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 A, B, C and D Classes. The
Trust paid 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
Class D
Short-Term, Low Duration and
Total Return Funds -- 0.25 -- 0.50
Municipal Bond Fund -- 0.25 -- 0.60
Foreign Bond Fund -- 0.25 -- 0.70
All other Funds -- 0.25 -- 0.65
</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 September
30, 1998, PFD received $3,015,157 representing commissions (sales charges) and
contingent deferred sales charges.
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 cost of
borrowing money, including interest expense; (v) fees and expenses of the
Trustees who are not "interested persons" of PIMCO or the Trust, and any counsel
retained exclusively for their benefit; (vi) extraordinary expenses, including
cost 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 Multiple Class 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 in person and $500 for each meeting
attended telephonically, plus reimbursement of related expenses. In addition,
each committee chair receives an annual retainer of $1,500. These expenses are
allocated to the Funds of the Trust according to their respective net assets.
4. Purchases and Sales of Securities
Purchases and sales of securities (excluding short-term investments) for the
period ended September 30, 1998 were as follows (amounts in thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
------------------------------------------------------------
Purchases Sales Purchases Sales
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Short-Term Fund $ 240,970 $ 30,181 $ 140,330 $ 105,375
Low Duration Fund 3,891,728 4,601,476 1,154,565 123,601
Real Return Bond Fund 65,713 63,739 5,381 4,318
Total Return Fund 21,070,030 17,926,804 8,892,839 2,213,781
Total Return Mortgage Fund 3,779 3,345 168 0
High Yield Fund 5,760 7,121 965,248 602,127
Municipal Bond Fund 0 0 63,027 13,274
Foreign Bond Fund 374,478 196,631 837,914 680,177
Strategic Balanced Fund 3,884 1,008 13,266 4,967
StocksPLUS Fund 267,354 194,934 250,111 110,473
</TABLE>
77
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1998 (Unaudited)
5. Shares of Beneficial Interest
The Trust may issue an unlimited number of shares of beneficial interest with a
$.0001 par value. Changes in shares of beneficial interest were as follows
(shares and amounts in thousands):
<TABLE>
<CAPTION>
Short-Term Fund
-----------------------------------------------------
Six Months Ended Year Ended
9/30/98 3/31/98
Shares Amount Shares Amount
- ----------------------------------------------------------------------- -----------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 40 $ 403 0 $ 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Other classes 59,003 593,853 36,876 370,532
- ----------------------------------------------------------------------- -----------------------------------------------------
Shares issued in reorganization
Class D 0 0 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Other classes 0 0 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Issued as reinvestment of distributions
Class D 1 5 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Other classes 802 7,426 974 9,805
- ----------------------------------------------------------------------- -----------------------------------------------------
Cost of shares redeemed
Class D 0 0 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Other classes (40,735) (409,259) (33,461) (336,268)
- ----------------------------------------------------------------------- -----------------------------------------------------
Net increase (decrease) resulting from Fund share transactions 19,111 $ 192,428 4,389 $ 44,069
======================================================================= ======================================================
<CAPTION>
Low Duration Fund
-----------------------------------------------------
Six Months Ended Year Ended
9/30/98 3/31/98
Shares Amount Shares Amount
- ----------------------------------------------------------------------- -----------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 184 $ 1,868 0 $ 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Other classes 145,243 1,478,854 189,589 1,928,399
- ----------------------------------------------------------------------- -----------------------------------------------------
Shares issued in reorganization
Class D 0 0 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Other classes 0 0 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Issued as reinvestment of distributions
Class D 2 21 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Other classes 8,669 88,302 16,196 164,695
- ----------------------------------------------------------------------- -----------------------------------------------------
Cost of shares redeemed
Class D (19) (192) 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Other classes (109,496) (1,114,354) (206,279) (2,096,731)
- ----------------------------------------------------------------------- -----------------------------------------------------
Net increase (decrease) resulting from Fund share transactions 44,583 $ 454,499 (494) $ (3,637)
======================================================================= =====================================================
<CAPTION>
High Yield Fund
-----------------------------------------------------
Six Months Ended Year Ended
9/30/98 3/31/98
Shares Amount Shares Amount
- ----------------------------------------------------------------------- -----------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 120 $ 1,357 0 $ 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Other classes 60,590 698,436 117,035 1,353,365
- ----------------------------------------------------------------------- -----------------------------------------------------
Shares issued in reorganization
Class D 0 0 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Other classes 0 0 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Issued as reinvestment of distributions
Class D 1 15 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Other classes 7,299 83,519 9,652 111,435
- ----------------------------------------------------------------------- -----------------------------------------------------
Cost of shares redeemed
Class D (10) (114) 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Other classes (35,970) (411,872) (31,644) (361,760)
- ----------------------------------------------------------------------- -----------------------------------------------------
Net increase (decrease) resulting from Fund share transactions 32,030 $ 371,341 95,043 $1,103,040
======================================================================= =====================================================
<CAPTION>
Municipal Bond Fund
-----------------------------------------------------
Six Months Ended Period Ended
9/30/98 3/31/98
Shares Amount Shares Amount
- ----------------------------------------------------------------------- -----------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 10 $ 100 0 $ 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Other classes 851 8,576 300 3,000
- ----------------------------------------------------------------------- -----------------------------------------------------
Shares issued in reorganization
Class D 0 0 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Other classes 4,715 47,296 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Issued as reinvestment of distributions
Class D 0 2 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Other classes 40 402 3 33
- ----------------------------------------------------------------------- -----------------------------------------------------
Cost of shares redeemed
Class D 0 0 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Other classes (340) (3,423) 0 0
- ----------------------------------------------------------------------- -----------------------------------------------------
Net increase (decrease) resulting from Fund share transactions 5,276 $ 52,953 303 $ 3,033
======================================================================= =====================================================
</TABLE>
78
<PAGE>
<TABLE>
<CAPTION>
Real Return Bond Fund
---------------------------------------------
Six Months Ended Year Ended
9/30/98 3/31/98
Shares Amount Shares Amount
- ----------------------------------------------------------------------- ---------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 11 $ 104 0 $ 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 500 4,881 828 8,224
- ----------------------------------------------------------------------- ---------------------------------------------
Shares issued in reorganization
Class D 0 0 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 0 0 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Issued as reinvestment of distributions
Class D 0 3 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 23 232 42 424
- ----------------------------------------------------------------------- ---------------------------------------------
Cost of shares redeemed
Class D 0 0 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes (229) (2,244) (698) (6,969)
- ----------------------------------------------------------------------- ---------------------------------------------
Net increase (decrease) resulting from Fund share transactions 305 $ 2,976 172 $ 1,679
======================================================================= =============================================
<CAPTION>
Total Return Fund
---------------------------------------------
Six Months Ended Year Ended
9/30/98 3/31/98
Shares Amount Shares Amount
- ----------------------------------------------------------------------- ---------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 453 $ 4,873 0 $ 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 518,175 5,557,611 677,577 7,212,259
- ----------------------------------------------------------------------- ---------------------------------------------
Shares issued in reorganization
Class D 0 0 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 0 0 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Issued as reinvestment of distributions
Class D 5 52 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 45,531 490,317 103,713 1,101,884
- ----------------------------------------------------------------------- ---------------------------------------------
Cost of shares redeemed
Class D (15) (159) 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes (251,229) (2,706,574) (362,164) (3,858,055)
- ----------------------------------------------------------------------- ---------------------------------------------
Net increase (decrease) resulting from Fund share transactions 312,920 $3,346,120 419,126 $4,456,088
======================================================================= =============================================
<CAPTION>
Total Return Mortgage Fund
---------------------------------------------
Six Months Ended Year Ended
9/30/98 3/31/98
Shares Amount Shares Amount
- ----------------------------------------------------------------------- ---------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 10 $ 100 0 $ 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 0 0 336 3,365
- ----------------------------------------------------------------------- ---------------------------------------------
Shares issued in reorganization
Class D 0 0 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 0 0 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Issued as reinvestment of distributions
Class D 0 3 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 10 104 14 142
- ----------------------------------------------------------------------- ---------------------------------------------
Cost of shares redeemed
Class D 0 0 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 0 0 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Net increase (decrease) resulting from Fund share transactions 20 $ 207 350 $ 3,507
======================================================================= =============================================
<CAPTION>
Foreign Bond Fund
---------------------------------------------
Six Months Ended Year Ended
9/30/98 3/31/98
Shares Amount Shares Amount
- ----------------------------------------------------------------------- ---------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 398 $ 4,301 0 $ 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 15,572 168,449 24,768 264,742
- ----------------------------------------------------------------------- ---------------------------------------------
Shares issued in reorganization
Class D 0 0 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 0 0 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Issued as reinvestment of distributions
Class D 4 47 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 941 10,187 2,170 23,045
- ----------------------------------------------------------------------- ---------------------------------------------
Cost of shares redeemed
Class D (15) (164) 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes (5,692) (61,523) (9,829) (104,697)
- ----------------------------------------------------------------------- ---------------------------------------------
Net increase (decrease) resulting from Fund share transactions 11,208 $ 121,297 17,109 $ 183,090
======================================================================= =============================================
<CAPTION>
Strategic Balanced Fund
---------------------------------------------
Six Months Ended Year Ended
9/30/98 3/31/98
Shares Amount Shares Amount
- ----------------------------------------------------------------------- ---------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 7 $ 100 0 $ 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 14 173 2,472 29,336
- ----------------------------------------------------------------------- ---------------------------------------------
Shares issued in reorganization
Class D 0 0 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 0 0 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Issued as reinvestment of distributions
Class D 0 1 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 1 9 53 617
- ----------------------------------------------------------------------- ---------------------------------------------
Cost of shares redeemed
Class D 0 0 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes (1) (14) (448) (5,202)
- ----------------------------------------------------------------------- ---------------------------------------------
Net increase (decrease) resulting from Fund share transactions 21 $ 269 2,077 $ 24,751
======================================================================= =============================================
<CAPTION>
StocksPLUS Fund
---------------------------------------------
Six Months Ended Year Ended
9/30/98 3/31/98
Shares Amount Shares Amount
- ----------------------------------------------------------------------- ---------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 31 $ 410 0 $ 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 20,431 284,068 34,313 461,177
- ----------------------------------------------------------------------- ---------------------------------------------
Shares issued in reorganization
Class D 0 0 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 0 0 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Issued as reinvestment of distributions
Class D 0 3 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes 583 8,120 6,342 80,845
- ----------------------------------------------------------------------- ---------------------------------------------
Cost of shares redeemed
Class D 0 (5) 0 0
- ----------------------------------------------------------------------- ---------------------------------------------
Other classes (8,685) (120,938) 15,329 (208,804)
- ----------------------------------------------------------------------- ---------------------------------------------
Net increase (decrease) resulting from Fund share transactions 12,360 $ 171,658 25,326 $ 333,218
======================================================================= =============================================
</TABLE>
79
<PAGE>
Notes to Financial Statements (Cont.)
September 30, 1998 (Unaudited)
6. Reorganization
The 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
Acquiring by Acquiring Acquired Acquiring Fund After Unrealized
Acquiring Fund Acquired Fund Date Fund Fund Fund Fund Acquisition Appreciation
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
PIMCO Municipal
Bond Fund PIMCO Tax Exempt Fund 06/26/98 4,715 $ 47,296 $ 47,296 $ 4,295 $ 51,585 $ 2,335
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
7. 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 Low Duration, Short-Term, Foreign Bond, 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 $547,213, $85,720 and
$115,196, respectively.
Each Fund will resume capital gains distributions in the future to the
extent gains are realized in excess of the available carryforwards.
<TABLE>
<CAPTION>
Capital Loss Carryforwards
(amounts in thousands)
---------------------------------------------
Realized Acquired
Losses Losses Expiration
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
Total Return Fund $ 0 $ 988 03/31/04
0 8,185 03/31/02
High Yield Fund 0 50,541 03/31/02
0 5,495 03/31/01
</TABLE>
8. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows (amounts in
thousands):
<TABLE>
<CAPTION>
Low Duration Real Return Total Return
Fund Bond Fund Fund
----------------------------------------------
Premium
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
Balance at 03/31/98 $ 0 $ 88 $ 3,653
Sales 859 0 17,788
Closing Buys 0 0 0
Expirations 0 0 (5,423)
Exercised 0 0 (770)
- ---------------------------------------------------------------------------
Balance at 09/30/98 $ 859 $ 88 $ 15,248
===========================================================================
</TABLE>
80
<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 $226 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.
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Manager Pacific Investment Management Company, 840 Newport
Center Drive, Suite 300, 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 PricewaterhouseCoopers LLP, 1055 Broadway,
Accountant Kansas City, MO, 64105
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Legal Counsel Dechert Price & Rhoads, 1775 Eye Street, N.W.,
Washington, DC, 20006
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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.
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Web Site https://www.pimcofunds.com
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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 preceded or accompanied by the Trust's 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. This report does not offer for sale or solicit orders
to buy any securities.
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PIMCO Funds
Distributors LLC
2187 Atlantic Street
Stamford, CT 06902
