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PEGASUS FUNDS
Strength in Investing
SEMI-ANNUAL REPORT
June 30, 1997
PEGASUS FUNDS
<PAGE>
TABLE OF CONTENTS
1 Letter to Shareholders
3 Statements of Assets and Liabilities
11 Statements of Operations
15 Statements of Changes in Net Assets
21 Portfolios of Investments
120 Notes to Financial Statements
140 Financial Highlights
Pegasus Funds are not bank deposits or obligations of, or guaranteed or
endorsed by First Chicago NBD Corporation or any of its affiliates, and are
not federally insured or guaranteed by the U.S. government, FDIC, or any
governmental agency. Investment in the Funds involves risks, including the
possible loss of principal.
Pegasus Funds
(800) 688-3350
INVESTMENT ADVISER
First Chicago NBD Investment Management
Company (FCNIMCO)
Three First National Plaza, MS 0334
Chicago, IL 60670-0334
DISTRIBUTOR
BISYS Fund Services
3435 Stelzer Road
Columbus, OH 43219
THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS
UNLESS PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS.
<PAGE>
June 30, 1997
Dear Pegasus Shareholder,
We are pleased to present your Pegasus Semi-Annual Report dated
June 30, 1997.
We have had an exciting year so far:
* After a strong start in 1997, the stock market experienced a brief
correction over concerns about rising interest rates after the
Federal Reserve tightened short-term rates. Since then, the rally has
resumed as both economic growth and inflation have been reported in
the low single digit range. We continue to look for modest economic
growth and inflation for 1997.
* The Pegasus Fund Family continues to offer a wide array of investment
choices among multiple equity styles and fixed income objectives to
help you achieve your asset allocation goals.
* Our broad offering of mutual funds was further expanded in July with
the introduction of the High Yield Bond Fund, a value-added product
for specific fixed income needs.
The investment adviser to the Pegasus Funds, First Chicago NBD
Investment Management Company, brings to you the expertise and heritage of an
institution that has been managing money for over 100 years. Our investment
philosophy is a simple one: a disciplined investment approach that seeks
above average performance over time with average risk.
We look forward to serving your investment needs.
/s/ Marco Hanig
- ------------------
Marco Hanig
Managing Director
First Chicago NBD Investment Management Company
For more complete information about the High Yield Bond Fund, including
charges and expenses, please call 1-800-688-3350 for a prospectus. Read it
carefully before investing or sending money.
1
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2
<PAGE>
Pegasus Funds
- -----------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Managed Assets Managed Assets Managed Assets Equity Growth Mid-Cap
Conservative Fund Balanced Fund Growth Fund Income Fund Fund Opportunity Fund
----------------- ------------- -------------- ----------- ------ ----------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investment in securities:
At cost $85,224,290 $213,930,824 $4,173,060 $245,813,605 $423,813,486 $611,756,185
=========== ============ ========== ============ ============ ============
At value $91,475,528 $233,141,644 $4,456,537 $312,026,957 $614,301,931 $892,514,077
Cash 544,803 2,526,187 5,618 1,101,948 314,214 550,625
Receivable for securities
sold -- -- -- 3,241,440 -- --
Receivable for shares sold 206,704 202,479 19,038 -- 180,700 138,703
Income receivable 3,434 282,748 -- 1,172,811 500,688 661,086
Deferred organization
costs, net 49,746 14,291 -- 40,268 41,644 --
Prepaids and other assets 17,061 23,381 16,598 -- -- --
----------- ------------ ---------- ------------ ------------ ------------
TOTAL ASSETS 92,297,276 236,190,730 4,497,791 317,583,424 615,339,177 893,864,491
----------- ------------ ---------- ------------ ------------ ------------
LIABILITIES:
Payable for securities
purchased -- -- -- 743,571 355,984 --
Accrued investment
advisory fee 48,285 123,494 2,034 129,833 279,869 433,776
Accrued transfer agent
fees 2,329 6,434 970 -- 458 6,171
Accrued custodial fee 8,095 5,377 384 2,967 6,478 375
Administration fees
payable 11,143 28,499 469 38,950 70,016 108,444
Shareholder services fees
payable (Class A Shares) 8,253 17,635 333 2,602 12,589 25,380
Shareholder services fees
payable (Class B Shares) 2,138 784 388 467 169 285
12b-1 fees payable (Class
B Shares) 7,141 2,352 1,154 1,347 478 855
Dividends payable 330,916 1,791,618 16,783 1,137,121 314,214 266,628
Payable for fund shares
redeemed 48,797 10,179 5,000 21,322 41,536 288,577
Other payables and accrued
expenses -- -- -- 1,302 12,226 13,263
----------- ------------ ---------- ------------ ------------ ------------
TOTAL LIABILITIES 467,097 1,986,372 27,515 2,079,482 1,094,017 1,143,754
----------- ------------ ---------- ------------ ------------ ------------
NET ASSETS $91,830,179 $234,204,358 $4,470,276 $315,503,942 $614,245,160 $892,720,737
=========== ============ ========== ============ ============ ============
<FN>
See Notes to Financial Statements.
</TABLE>
3
<PAGE>
Pegasus Funds
- -----------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES -- (Continued)
June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Managed Assets Managed Assets Managed Assets Equity Growth Mid-Cap
Conservative Fund Balanced Fund Growth Fund Income Fund Fund Opportunity Fund
----------------- -------------- -------------- ----------- ------ ----------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value and
Maximum Offering
Price per Share:
Class A Shares:
Net assets $78,001,148 $ 88,009,650 $1,679,967 $ 11,714,419 $ 36,843,012 $125,492,030
Capital shares 4,859,016 7,056,570 151,523 812,396 2,509,386 6,250,792
----------- ------------ ---------- ------------ ------------ ------------
Net asset value per share 16.05 12.47 11.09 14.42 14.68 20.08
Maximum sales charge((1)) 0.84 0.66 0.58 0.76 0.77 1.06
=========== ============ ========== ============ ============ ============
Maximum offering price per
share $ 16.89 $ 13.13 $ 11.67 $ 15.18 $ 15.45 $ 21.14
=========== ============ ========== ============ ============ ============
Class B Shares:
Net assets $ 8,408,990 $ 4,097,209 $2,063,668 $ 2,180,809 $ 1,176,408 $ 1,524,309
Capital shares 523,202 297,967 188,571 151,289 80,855 140,149
----------- ------------ ---------- ------------ ------------ ------------
Net asset value per share $ 16.07 $ 13.75 $ 10.94 $ 14.41 $ 14.55 $ 10.88
=========== ============ ========== ============ ============ ============
Class I Shares:
Net assets $ 5,420,041 $142,097,499 $ 726,561 $301,608,715 $576,225,740 $765,704,397
Capital shares 336,512 11,407,686 65,262 20,972,148 39,261,984 38,092,445
----------- ------------ ---------- ------------ ------------ ------------
Net asset value per share $ 16.11 $ 12.46 $ 11.13 $ 14.38 $ 14.68 $ 20.10
=========== ============ ========== ============ ============ ============
COMPOSITION OF NET ASSETS:
Capital shares (unlimited
number of shares
authorized, par value
$.10 per share) $ 571,873 $ 1,876,222 $ 40,536 $ 2,193,583 $ 4,185,222 $ 4,448,339
Additional paid-in capital 75,715,340 202,074,206 4,131,643 215,255,848 388,453,002 576,518,505
Accumulated undistributed
net investment income
(loss) (24,566) 57,218 (2,557) 288,030 (11,160) (5,653)
Accumulated undistributed
net realized gains 9,316,294 10,985,892 17,177 31,586,893 31,129,652 31,001,654
Net unrealized
appreciation on
investments 6,251,238 19,210,820 283,477 66,179,588 190,488,444 280,757,892
----------- ------------ ---------- ------------ ------------ ------------
NET ASSETS $91,830,179 $234,204,358 $4,470,276 $315,503,942 $614,245,160 $892,720,737
=========== ============ ========== ============ ============ ============
<FN>
((1))All sales charges are 5.00% of Maximum Offering Price unless otherwise
noted.
See Notes to Financial Statements.
</TABLE>
4
<PAGE>
Pegasus Funds
- -----------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Small-Cap Intrinsic Value Growth and Value Equity Index International
Opportunity Fund Fund Fund Fund Equity Fund
---------------- --------------- ---------------- ------------ -------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investment in securities:
At cost $140,007,452 $398,215,440 $700,886,627 $492,831,072 $407,946,887
============ ============ ============ ============ ============
At value $179,097,481 $490,056,123 $964,708,984 $753,697,796 $480,701,001
Cash 109,555 6,106,707 2,306,221 2,784,423 743,677
Cash margin on deposit -- -- -- -- 546,719
Receivable for variation margin on
futures contracts -- -- -- -- 23,211
Receivable for securities sold 802,758 2,879,034 -- -- --
Receivable for shares sold 53,155 178,828 423,333 110,146 148,686
Income receivable 41,066 1,115,384 998,561 907,136 1,414,595
Reclaim receivable -- -- -- -- 438,865
Deferred organization costs, net 38,634 -- -- -- 30,502
Prepaids and other assets -- -- 109,166 157,813 163,353
------------ ------------ ------------ ------------ ------------
TOTAL ASSETS 180,142,649 500,336,076 968,546,265 757,657,314 484,210,609
------------ ------------ ------------ ------------ ------------
LIABILITIES:
Payable for securities purchased 3,717,661 1,790,268 -- 1,979,906 1,976,158
Unrealized depreciation on foreign
exchange contracts -- -- -- -- 54,633
Accrued investment advisory fee 97,271 236,105 470,724 61,248 311,756
Accrued transfer agent fees 242 12,195 22,891 2,387 1,386
Accrued custodial fee 51 1,377 1,304 914 36,609
Administration fees payable 20,894 59,026 117,681 91,872 58,454
Shareholder services fees payable
(Class A Shares) 1,903 7,937 19,558 14,181 3,777
Shareholder services fees payable
(Class B Shares) 71 194 378 142 280
12b-1 fees payable (Class B Shares) 211 582 1,135 425 839
Witholding tax payable -- -- -- -- 59,234
Dividends payable -- 2,232,646 2,302,157 2,801,040 --
Payable for fund shares redeemed 10,520 21,420 41,052 -- 12,216
Other payables and accrued expenses 19,810 47,652 -- -- --
------------ ------------ ------------ ------------ ------------
TOTAL LIABILITIES 3,868,634 4,409,402 2,976,880 4,952,115 2,515,342
------------ ------------ ------------ ------------ ------------
NET ASSETS $176,274,015 $495,926,674 $965,569,385 $752,705,199 $481,695,267
============ ============ ============ ============ ============
</TABLE>
5
<PAGE>
Pegasus Funds
- -----------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES -- (Continued)
June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Small-Cap Intrinsic Value Growth and Value Equity Index International
Opportunity Fund Fund Fund Fund Equity Fund
---------------- --------------- ---------------- ------------ -------------
<S> <C> <C> <C> <C> <C>
Net Asset Value and Maximum
Offering Price per Share:
Class A Shares:
Net assets $ 9,564,303 $ 44,498,955 $ 97,437,525 $ 70,272,235 $ 19,053,037
Capital shares 606,567 2,886,846 5,940,045 3,515,563 1,479,048
------------ ------------ ------------ ------------ ------------
Net asset value per share 15.77 15.41 16.40 19.99 12.88
Maximum sales charge((1)) 0.83 0.81 0.86 0.62* 0.68
============ ============ ============ ============ ============
Maximum offering price per share $ 16.60 $ 16.22 $ 17.26 $ 20.61 $ 13.56
============ ============ ============ ============ ============
Class B Shares:
Net assets $ 461,533 $ 1,364,892 $ 2,030,045 $ 813,676 $ 1,413,445
Capital shares 29,654 119,661 188,474 65,423 116,725
------------ ------------ ------------ ------------ ------------
Net asset value per share $ 15.56 $ 11.41 $ 10.77 $ 12.44 $ 12.11
============ ============ ============ ============ ============
Class I Shares:
Net assets $166,248,179 $450,062,827 $866,101,815 $681,619,288 $461,228,785
Capital shares 10,453,191 29,191,142 52,778,087 34,099,129 35,744,414
------------ ------------ ------------ ------------ ------------
Net asset value per share $ 15.90 $ 15.42 $ 16.41 $ 19.99 $ 12.90
============ ============ ============ ============ ============
COMPOSITION OF NET ASSETS:
Capital shares (unlimited number of
shares authorized, par value $.10
per share) $ 1,108,941 $ 3,219,765 $ 5,890,661 $ 3,768,011 $ 3,734,019
Additional paid-in capital 124,123,057 370,376,611 627,933,531 475,786,035 409,165,711
Accumulated undistributed net
investment income (loss) (337,938) (17,290) 56,044 133,309 (1,579,316)
Accumulated undistributed net
realized gains (losses) 12,289,926 32,506,905 67,866,792 12,151,120 (2,521,830)
Net unrealized appreciation on
investments 39,090,029 91,840,683 263,822,357 260,866,724 72,754,114
Net unrealized appreciation of
assets and liabilities
denominated in foreign currencies
and financial futures -- -- -- -- 142,569
------------ ------------ ------------ ------------ ------------
NET ASSETS $176,274,015 $495,926,674 $965,569,385 $752,705,199 $481,695,267
============ ============ ============ ============ ============
<FN>
((1)) All sales charges are 5.00% of Maximum Offering Price unless otherwise
noted.
* Sales charge is 3.00% of Maximum Offering Price.
See Notes to Financial Statements.
</TABLE>
6
<PAGE>
Pegasus Funds
- -----------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Intermediate Short Bond Income
Bond Fund Bond Fund Fund Fund
------------ --------- ----------- ------
<S> <C> <C> <C> <C>
ASSETS:
Investment in securities:
At cost $457,121,301 $1,014,882,957 $191,948,129 $139,501,513
============ ============== ============ ============
At value $461,827,655 $1,035,830,544 $192,204,091 $140,190,101
Cash 1,994,924 4,353,087 747,450 751,471
Receivable for shares sold 20,775 477,091 500 --
Income receivable 4,896,508 9,692,469 2,601,316 1,995,929
Reclaim receivable -- -- -- --
Deferred organization costs, net -- -- -- 26,593
Prepaids and other assets 86,234 110,687 120,214 32,864
------------ -------------- ------------ ------------
TOTAL ASSETS 468,826,096 1,050,463,878 195,673,571 142,996,958
------------ -------------- ------------ ------------
LIABILITIES:
Payable for securities purchased 2,392,267 6,000,000 -- --
Accrued investment advisory fee 151,256 335,194 56,346 48,200
Accrued transfer agent fees 3,473 3,651 1,251 1,909
Accrued custodial fee 659 1,358 2,736 459
Administration fees payable 56,721 125,698 24,148 18,074
Shareholder services fees payable (Class A Shares) 4,457 13,855 348 1,725
Shareholder services fees payable (Class B Shares) 47 203 14 100
12b-1 fees payable (Class B Shares) 141 609 42 193
Witholding tax payable -- -- -- --
Dividends payable 2,372,780 5,382,536 924,087 753,190
Payable for fund shares redeemed -- 50,860 -- --
Other payables and accrued expenses -- -- -- --
------------ -------------- ------------ ------------
TOTAL LIABILITIES 4,981,801 11,913,964 1,008,972 823,850
------------ -------------- ------------ ------------
NET ASSETS $463,844,295 $1,038,549,914 $194,664,599 $142,173,108
============ ============== ============ ============
<FN>
See Notes to Financial Statements.
</TABLE>
7
<PAGE>
Pegasus Funds
- -----------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES -- (Continued)
June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Intermediate Short Bond Income
Bond Fund Bond Fund Fund Fund
------------ --------- ---------- ------
<S> <C> <C> <C> <C>
Net Asset Value and Maximum Offering Price per Share:
Class A Shares:
Net assets $ 21,759,403 $ 68,509,357 $ 1,474,535 $ 7,175,410
Capital shares 2,115,707 6,681,136 145,970 920,189
------------ -------------- ------------ ------------
Net asset value per share 10.28 10.25 10.10 7.80
Maximum sales charge 0.32* 0.48* 0.10+ 0.24**
============ ============== ============ ============
Maximum offering price per share $ 10.60 $ 10.73 $ 10.20 $ 8.04
============ ============== ============ ============
Class B Shares:
Net assets $ 228,424 $ 1,130,761 $ 68,581 $ 409,140
Capital shares 22,404 110,234 6,850 52,425
------------ -------------- ------------ ------------
Net asset value per Share $ 10.20 $ 10.26 $ 10.01 $ 7.80
============ ============== ============ ============
Class I Shares:
Net assets $441,856,468 $ 968,909,796 $193,121,483 $134,588,559
Capital shares 42,950,934 94,476,511 19,119,174 17,237,177
------------ -------------- ------------ ------------
Net asset value per share $ 10.29 $ 10.26 $ 10.10 $ 7.81
============ ============== ============ ============
COMPOSITION OF NET ASSETS:
Capital shares (unlmited number of shares authorized,
par value $.10 per share) $ 4,508,904 $ 10,126,788 $ 1,927,199 $ 1,820,979
Additional paid-in capital 463,511,701 1,031,540,805 192,348,292 139,641,662
Accumulated undistributed net investment income
(loss) 22,274 (281,156) 16,786 319,387
Accumulated undistributed net realized gains (losses) (8,904,938) (23,784,110) 116,360 (297,508)
Net unrealized appreciation on investments 4,706,354 20,947,587 255,962 688,588
Net unrealized depreciation of assets and liabilities
denominated in foreign currencies and financial
futures -- -- -- --
------------ -------------- ------------ ------------
NET ASSETS $463,844,295 $1,038,549,914 $194,664,599 $142,173,108
============ ============== ============ ============
<FN>
+ Sales charges is 1.00% of Maximum Offering Price unless otherwise noted.
* Sales charge is 4.50% of Maximum Offering Price.
** Sales charge is 3.00% of Maximum Offering Price.
See Notes to Financial Statements.
</TABLE>
8
<PAGE>
Pegasus Funds
- -----------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Michigan
International Municipal Intermediate Municipal Municipal
Bond Fund Bond Fund Bond Fund Bond Fund
------------- --------- ---------------------- ---------
<S> <C> <C> <C> <C>
ASSETS:
Investment in securities:
At cost $75,538,915 $354,048,047 $379,706,979 $64,581,389
=========== ============ ============ ===========
At value $73,315,051 $367,206,220 $390,792,344 $66,300,025
Cash 299,314 1,093,153 1,478,903 114,805
Receivable for shares sold 51,206 58,961 -- 15,403
Income receivable 1,470,340 6,204,983 7,054,842 796,228
Reclaim receivable 41,712 -- -- --
Deferred organization costs, net 35,871 4,314 31,399 --
Prepaids and other assets 7,476 122,241 7,231 35,422
----------- ------------ ------------ -----------
TOTAL ASSETS 75,220,970 374,689,872 399,364,719 67,261,883
----------- ------------ ------------ -----------
LIABILITIES:
Payable for securities purchased -- -- -- --
Accrued investment advisory fee 43,221 93,629 129,149 21,755
Accrued transfer agent fees 11,464 3,626 1,059 962
Accrued custodial fee 2,705 4,198 4,898 1,412
Administration fees payable 9,052 41,376 48,431 8,158
Shareholder services fees payable (Class A Shares) 868 29,826 52,941 3,608
Shareholder services fees payable (Class B Shares) 17 162 145 51
12b-1 fees payable (Class B Shares) 48 453 507 152
Witholding tax payable 13,899 -- -- --
Dividends payable 306,008 1,550,133 1,504,811 253,236
Payable for fund shares redeemed 5,681 3,791 5,318 --
Other payables and accrued expenses 23,829 -- -- --
----------- ------------ ------------ -----------
TOTAL LIABILITIES 416,792 1,727,194 1,747,259 289,334
----------- ------------ ------------ -----------
NET ASSETS $74,804,178 $372,962,678 $397,617,460 $66,972,549
=========== ============ ============ ===========
<FN>
See Notes to Financial Statements.
</TABLE>
9
<PAGE>
Pegasus Funds
- -----------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES -- (Continued)
June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Michigan
International Municipal Intermediate Municipal Municipal
Bond Fund Bond Fund Bond Fund Bond Fund
------------- --------- ---------------------- ---------
<S> <C> <C> <C> <C>
Net Asset Value and Maximum Offering Price per Share:
Class A Shares:
Net assets $ 4,081,146 $ 30,817,584 $ 19,241,055 $17,507,535
Capital shares 401,019 2,477,600 1,588,746 1,657,070
----------- ------------ ------------ -----------
Net asset value per share 10.18 12.44 12.11 10.57
Maximum sales charge 0.48* 0.59* 0.37** 0.50*
=========== ============ ============ ===========
Maximum offering price per share $ 10.66 $ 13.03 $ 12.48 $ 11.07
=========== ============ ============ ===========
Class B Shares:
Net assets $ 72,439 $ 830,413 $ 628,542 $ 246,598
Capital shares 7,060 66,816 51,931 24,072
----------- ------------ ------------ -----------
Net asset Value per Share $ 10.26 $ 12.43 $ 12.10 $ 10.24
=========== ============ ============ ===========
Class I Shares:
Net assets $70,650,593 $341,314,681 $377,747,863 $49,218,416
Capital shares 6,902,479 27,458,324 31,176,724 4,658,809
----------- ------------ ------------ -----------
Net asset value per share $ 10.24 $ 12.43 $ 12.12 $ 10.56
=========== ============ ============ ===========
COMPOSITION OF NET ASSETS:
Capital shares (unlmited number of shares authorized,
par value $.10 per share) $ 731,056 $ 3,000,274 $ 3,281,740 $ 633,995
Additional paid-in capital 76,438,928 357,035,529 382,170,936 64,837,605
Accumulated undistributed net investment income
(loss) 121,436 1,072,678 523,752 92,869
Accumulated undistributed net realized gains (losses) (229,671) (1,303,976) 555,667 (310,556)
Net unrealized appreciation on investments 2,783,902 13,158,173 11,085,365 1,718,636
Net unrealized depreciation of assets and liabilities
denominated in foreign currencies and financial
futures (5,041,473) -- -- --
----------- ------------ ------------ -----------
NET ASSETS $74,804,178 $372,962,678 $397,617,460 $66,972,549
=========== ============ ============ ===========
<FN>
* Sales charge is 4.50% of Maximum Offering Price.
** Sales charge is 3.00% of Maximum Offering Price.
See Notes to Financial Statements.
</TABLE>
10
<PAGE>
Pegasus Funds
- -----------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For Six Months Ended June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Managed Assets Managed Assets Managed Assets Equity Growth Mid-Cap
Conservative Fund Balanced Fund Growth Fund Income Fund Fund Opportunity Fund
----------------- -------------- -------------- ----------- ------ ----------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest $1,978,429 $ 3,102,546 $ 27,808 $ 1,009,340 $ 204,757 $ 640,943
Dividends 208,327 734,295 12,918 5,343,922 2,840,539 3,252,301
---------- ----------- -------- ----------- ----------- ------------
TOTAL INVESTMENT INCOME 2,186,756 3,836,841 40,726 6,353,262 3,045,296 3,893,244
---------- ----------- -------- ----------- ----------- ------------
EXPENSES:
Investment advisory fees 267,185 588,537 7,563 777,880 1,692,653 2,380,669
Administration fees 61,658 135,816 1,745 233,364 423,163 595,167
Shareholder services
fees (Class A Shares) 83,279 69,400 1,059 17,842 37,982 128,186
Shareholder services
fees (Class B Shares) 8,559 3,260 1,005 2,273 962 907
12b-1 fees (Class B
Shares) 25,677 9,780 3,015 6,820 2,886 2,722
Professional fees 12,409 13,539 11,767 22,175 13,736 23,702
Custodian fees 9,318 40,459 11,901 27,481 19,197 47,214
Transfer and dividend
disbursing agent fees 69,881 146,169 2,463 13,798 68,137 208,596
Amortization of deferred
organization costs 9,050 4,590 -- 7,602 7,421 --
Registration, filing
fees and other
expenses 10,339 12,788 4,296 6,967 36,042 12,437
Less: Expense
reimbursement (33,257) (68,757) (28,567) -- -- --
---------- ----------- -------- ----------- ----------- ------------
NET EXPENSES 524,098 955,581 16,247 1,116,202 2,302,179 3,399,600
---------- ----------- -------- ----------- ----------- ------------
NET INVESTMENT INCOME 1,662,658 2,881,260 24,479 5,237,060 743,117 493,644
---------- ----------- -------- ----------- ----------- ------------
REALIZED AND UNREALIZED
GAINS ON INVESTMENTS:
Net realized gains on:
Investment transactions 2,457,935 8,541,725 17,177 17,572,483 23,227,927 25,637,110
Net change in unrealized
appreciation on:
Investment securities 1,582,200 6,938,185 275,931 8,197,403 63,937,357 84,531,120
---------- ----------- -------- ----------- ----------- ------------
NET REALIZED AND
UNREALIZED GAINS ON
INVESTMENTS 4,040,135 15,479,910 293,108 25,769,886 87,165,284 110,168,230
---------- ----------- -------- ----------- ----------- ------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $5,702,793 $18,361,170 $317,587 $31,006,946 $87,908,401 $110,661,874
========== =========== ======== =========== =========== ============
<FN>
See Notes to Financial Statements.
</TABLE>
11
<PAGE>
Pegasus Funds
- -----------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For Six Months Ended June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Small-Cap Intrinsic Value Growth and Value Equity Index International
Opportunity Fund Fund Fund Fund Equity Fund
---------------- --------------- ---------------- ------------ -------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest $ 144,080 $ 1,352,944 $ 648,447 $ 60,279 $ 909,759
Dividends 250,363 4,554,022 7,331,421 6,527,849 5,010,211(a)
----------- ----------- ------------ ------------ -----------
TOTAL INVESTMENT INCOME 394,443 5,906,966 7,979,868 6,588,128 5,919,970
----------- ----------- ------------ ------------ -----------
EXPENSES:
Investment advisory fees 513,922 1,275,963 2,581,691 354,488 1,713,852
Administration fees 110,126 318,991 645,423 531,731 321,347
Shareholder services fees
(Class A Shares) 10,053 40,192 94,330 72,789 18,415
Shareholder services fees
(Class B Shares) 334 781 1,220 463 1,405
12b-1 fees (Class B Shares) 1,003 2,342 3,660 1,389 4,215
Professional fees 14,113 17,403 24,270 25,726 17,798
Custodian fees 14,842 27,311 46,745 55,169 230,934
Transfer and dividend disbursing
agent fees 8,648 62,041 135,904 86,126 15,280
Registration, filing fees and
other expenses 26,831 19,383 104,133 10,138 5,626
Less: Expense reimbursement -- -- (14,628) -- --
----------- ----------- ------------ ------------ -----------
NET EXPENSES 699,872 1,764,407 3,622,748 1,138,019 2,328,872
----------- ----------- ------------ ------------ -----------
NET INVESTMENT INCOME (LOSS) (305,429) 4,142,559 4,357,120 5,450,109 3,591,098
----------- ----------- ------------ ------------ -----------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS:
Net realized gains (losses) on:
Investment transactions 7,546,304 30,668,193 46,511,476 126,503,804 (649,966)
Foreign currency transactions -- -- -- -- (2,309,169)
Futures transactions -- -- -- -- (360,424)
Net change in unrealized
appreciation (depreciation) on:
Investment securities 15,699,583 21,656,929 87,360,242 7,573,852 42,118,221
Assets and liabilities
denominated in foreign
currencies and financial
futures -- -- -- -- 1,690,796
----------- ----------- ------------ ------------ -----------
NET REALIZED AND UNREALIZED
GAINS (LOSSES) ON INVESTMENTS
AND FOREIGN CURRENCY
TRANSACTIONS 23,245,887 52,325,122 133,871,718 134,077,656 40,489,458
----------- ----------- ------------ ------------ -----------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $22,940,458 $56,467,681 $138,228,838 $139,527,765 $44,080,556
=========== =========== ============ ============ ===========
<FN>
(a) Net of foreign taxes withheld of $492,517.
See Notes to Financial Statements.
</TABLE>
12
<PAGE>
Pegasus Funds
- -----------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For Six Months Ended June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Short
Intermediate Bond Bond Income
Bond Fund Fund Fund Fund
------------ ---- ----- ------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest $15,463,472 $32,794,789 $5,616,255 $ 5,636,114
----------- ----------- ---------- -----------
TOTAL INVESTMENT INCOME 15,463,472 32,794,789 5,616,255 5,636,114
----------- ----------- ---------- -----------
EXPENSES:
Investment advisory fees 870,992 1,822,864 318,190 332,141
Administration fees 326,622 683,574 136,367 124,553
Shareholder services fees (Class A Shares) 25,230 72,476 2,005 10,744
Shareholder services fees (Class B Shares) 234 803 75 492
12b-1 fees (Class B Shares) 702 2,410 225 1,476
Professional fees 17,843 24,468 14,254 15,298
Custodian fees 32,690 55,259 18,091 11,378
Transfer and dividend disbursing agent fees 64,350 128,075 16,369 13,890
Amortization of deferred organization costs -- -- -- 4,887
Registration, filing fees and other expenses 762 3,905 19,532 13,593
Less: Expense reimbursement -- -- (1,547) --
----------- ----------- ---------- -----------
NET EXPENSES 1,399,425 2,793,834 523,561 528,452
----------- ----------- ---------- -----------
NET INVESTMENT INCOME 14,124,047 30,000,955 5,092,694 5,107,662
----------- ----------- ---------- -----------
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
AND FOREIGN CURRENCY TRANSACTIONS:
Net realized gains (losses) on:
Investment transactions 68,048 (383,861) 1,393 (260,634)
Foreign currency transactions -- -- -- --
Net change in unrealized appreciation (depreciation) on:
Investment securities (171,955) 808,307 18,311 (1,173,805)
Assets and liabilities denominated in foreign
currencies and financial futures -- -- -- --
----------- ----------- ---------- -----------
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS (103,907) 424,446 19,704 (1,434,439)
----------- ----------- ---------- -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $14,020,140 $30,425,401 $5,112,398 $ 3,673,223
=========== =========== ========== ===========
<FN>
See Notes to Financial Statements.
</TABLE>
13
<PAGE>
Pegasus Funds
- -----------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For Six Months Ended June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Michigan
International Municipal Intermediate Municipal
Bond Bond Municipal Bond
Fund Fund Bond Fund Fund
------------- --------- ------------ ---------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest $ 1,990,068 $10,617,395 $10,449,099 $1,714,687
----------- ----------- ----------- ----------
TOTAL INVESTMENT INCOME 1,990,068 10,617,395 10,449,099 1,714,687
----------- ----------- ----------- ----------
EXPENSES:
Investment advisory fees 240,423 751,159 783,295 123,692
Administration fees 51,519 281,684 293,736 46,384
Shareholder services fees (Class A Shares) 3,753 34,464 23,169 21,891
Shareholder services fees (Class B Shares) 68 939 775 207
12b-1 fees (Class B Shares) 205 2,817 2,325 620
Professional fees 15,467 25,503 27,224 15,672
Custodian fees 49,239 19,474 16,789 10,155
Transfer and dividend disbursing agent fees 3,562 27,734 9,448 10,046
Amortization of deferred organization costs 6,878 724 5,792 --
Registration, filing fees and other expenses 9,298 44,000 31,966 19,879
Less: Expense reimbursement (81,418) -- -- (14,123)
----------- ----------- ----------- ----------
NET EXPENSES 298,994 1,188,498 1,194,519 234,423
----------- ----------- ----------- ----------
NET INVESTMENT INCOME 1,691,074 9,428,897 9,254,580 1,480,264
----------- ----------- ----------- ----------
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
AND FOREIGN CURRENCY TRANSACTIONS:
Net realized gains (losses) on:
Investment transactions 9,122 1,054,576 508,026 (187,670)
Foreign currency transactions (238,336) -- -- --
Net change in unrealized appreciation (depreciation) on:
Investment securities 309,504 1,331,004 (208,877) 689,773
Assets and liabilities denominated in foreign
currencies and financial futures (3,790,296) -- -- --
----------- ----------- ----------- ----------
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS (3,710,006) 2,385,580 299,149 502,103
----------- ----------- ----------- ----------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $(2,018,932) $11,814,477 $ 9,553,729 $1,982,367
=========== =========== =========== ==========
<FN>
See Notes to Financial Statements.
</TABLE>
14
<PAGE>
Pegasus Funds
- -----------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Managed Assets Conservative Fund Managed Assets Balanced Fund
------------------------------------ ------------------------------------
Six Months Ended Six Months Ended
June 30, 1997 Year Ended June 30, 1997 Year Ended
(Unaudited) December 31, 1996 (Unaudited) December 31, 1996
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income (loss) $ 1,662,658 $ 2,249,353 $ 2,881,260 $ 3,706,735
Net realized gains on investments 2,457,935 7,593,376 8,541,725 8,885,279
Net change in unrealized appreciation
(depreciation) on investments 1,582,200 (3,598,969) 6,938,185 1,454,970
------------ ----------- ------------ ------------
Net increase in net assets from operations 5,702,793 6,243,760 18,361,170 14,046,984
------------ ----------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A Shares (1,489,592) (2,065,593) (958,230) (425,768)
Class B Shares (124,286) (116,907) (32,520) (9,258)
Class I Shares (92,532) (47,887) (1,889,766) (3,244,172)
------------ ----------- ------------ ------------
Total distribution from net investment
income (1,706,410) (2,230,387) (2,880,516) (3,679,198)
------------ ----------- ------------ ------------
From realized gains
Class A Shares -- (503,438) -- (821,598)
Class B Shares -- (40,850) -- (21,678)
Class I Shares -- (11,015) -- (5,862,553)
------------ ----------- ------------ ------------
Total distributions from realized gains -- (555,303) -- (6,705,829)
------------ ----------- ------------ ------------
Total distributions (1,706,410) (2,785,690) (2,880,516) (10,385,027)
------------ ----------- ------------ ------------
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued 24,341,435 25,295,850 138,198,111 58,464,843
Proceeds from shares issued in connection
with merger -- -- -- 10,706,448
Net asset value of shares issued in
reinvestment of distributions to
shareholders 1,607,857 2,188,938 2,780,254 8,112,803
------------ ----------- ------------ ------------
25,949,292 27,484,788 140,978,365 77,284,094
Less: payments for shares redeemed (14,653,870) (9,869,811) (52,515,413) (44,309,100)
------------ ----------- ------------ ------------
Net increase in net assets from capital
share transactions 11,295,422 17,614,977 88,462,952 32,974,994
------------ ----------- ------------ ------------
NET INCREASE IN NET ASSETS 15,291,805 21,073,047 103,943,606 36,636,951
NET ASSETS:
Beginning of period 76,538,374 55,465,327 130,260,752 93,623,801
------------ ----------- ------------ ------------
End of period $ 91,830,179 $76,538,374 $234,204,358 $130,260,752
============ =========== ============ ============
<CAPTION>
Managed Assets Growth Fund
----------------------------------------
Six Months Ended
June 30, 1997 For the period ended
(Unaudited) December 31, 1996(1)
---------------- --------------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income (loss) $ 24,479 $ (42)
Net realized gains on investments 17,177 --
Net change in unrealized appreciation
(depreciation) on investments 275,931 7,546
---------- --------
Net increase in net assets from operations 317,587 7,504
---------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A Shares (10,378) --
Class B Shares (9,945) --
Class I Shares (6,671) --
---------- --------
Total distribution from net investment income (26,994) --
---------- --------
From realized gains
Class A Shares -- --
Class B Shares -- --
Class I Shares -- --
---------- --------
Total distributions from realized gains -- --
---------- --------
Total distributions (26,994) --
---------- --------
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued 3,752,884 678,805
Proceeds from shares issued in connection with
merger -- --
Net asset value of shares issued in reinvestment of
distributions to shareholders 20,324 --
---------- --------
3,773,208 678,805
Less: payments for shares redeemed (279,834) --
---------- --------
Net increase in net assets from capital share
transactions 3,493,374 678,805
---------- --------
NET INCREASE IN NET ASSETS 3,783,967 686,309
NET ASSETS:
Beginning of period 686,309 --
---------- --------
End of period $4,470,276 $686,309
========== ========
<FN>
(1) For the period December 17, 1996 (commencement of operations) through
December 31, 1996
See Notes to Financial Statements.
</TABLE>
15
<PAGE>
Pegasus Funds
- -----------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Equity Income Fund Growth Fund
------------------------------------ ------------------------------------
Six Months Ended Six Months Ended
June 30, 1997 Year Ended June 30, 1997 Year Ended
(Unaudited) December 31, 1996 (Unaudited) December 31, 1996
---------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 5,237,060 $ 10,953,219 $ 743,117 $ 2,845,987
Net realized gains on investments 17,572,483 28,916,705 23,227,927 39,693,748
Net change in unrealized appreciation on
investments 8,197,403 16,384,426 63,937,357 37,068,731
------------ ------------ ------------ ------------
Net increase in net assets from operations 31,006,946 56,254,350 87,908,401 79,608,466
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A Shares (229,772) (182,781) (9,609) (43,133)
Class B Shares (22,915) (30,522) -- --
Class I Shares (5,061,616) (10,366,056) (758,995) (2,792,205)
------------ ------------ ------------ ------------
Total distributions from net investment
income (5,314,303) (10,579,359) (768,604) (2,835,338)
------------ ------------ ------------ ------------
From realized gains
Class A Shares -- (620,108) -- (978,254)
Class B Shares -- (111,649) -- (102,183)
Class I Shares -- (19,435,888) -- (35,960,890)
------------ ------------ ------------ ------------
Total distributions from realized gains -- (20,167,645) -- (37,041,327)
------------ ------------ ------------ ------------
Total distributions (5,314,303) (30,747,004) (768,604) (39,876,665)
------------ ------------ ------------ ------------
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 14,070,926 57,483,345 53,802,989 55,586,208
Proceeds from shares issued in connection
with merger -- -- -- 228,354,666
Net asset value of shares issued in
reinvestment of distributions to
shareholders 277,806 407,197 255,344 28,365,633
------------ ------------ ------------ ------------
14,348,732 57,890,542 54,058,333 312,306,507
Less: payments for shares redeemed (54,027,213) (41,301,635) (84,726,352) (92,806,272)
------------ ------------ ------------ ------------
Net increase (decrease) in net assets from
capital share transactions (39,678,481) 16,588,907 (30,668,019) 219,500,235
------------ ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS (13,985,838) 42,096,253 56,471,778 259,232,036
NET ASSETS:
Beginning of period 329,489,780 287,393,527 557,773,382 298,541,346
------------ ------------ ------------ ------------
End of period $315,503,942 $329,489,780 $614,245,160 $557,773,382
============ ============ ============ ============
<CAPTION>
Mid-Cap Opportunity Fund
------------------------------------
Six Months Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
---------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income $ 493,644 $ 1,595,621
Net realized gains on investments 25,637,110 57,875,884
Net change in unrealized appreciation on
investments 84,531,120 97,381,421
------------- -------------
Net increase in net assets from operations 110,661,874 156,852,926
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A Shares (107) (104,348)
Class B Shares -- (58)
Class I Shares (499,815) (1,491,567)
------------- -------------
Total distributions from net investment income (499,922) (1,595,973)
------------- -------------
From realized gains
Class A Shares -- (6,210,266)
Class B Shares -- (10,839)
Class I Shares -- (45,814,909)
------------- -------------
Total distributions from realized gains -- (52,036,014)
------------- -------------
Total distributions (499,922) (53,631,987)
------------- -------------
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 124,736,139 196,266,003
Proceeds from shares issued in connection with
merger -- --
Net asset value of shares issued in reinvestment of
distributions to shareholders 358,758 1,278,484
------------- -------------
125,094,897 197,544,487
Less: payments for shares redeemed (111,814,140) (182,439,666)
------------- -------------
Net increase (decrease) in net assets from capital
share transactions 13,280,757 15,104,821
------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS 123,442,709 118,325,760
NET ASSETS:
Beginning of period 769,278,028 650,952,268
------------- -------------
End of period $ 892,720,737 $ 769,278,028
============= =============
<FN>
See Notes to Financial Statements.
</TABLE>
16
<PAGE>
Pegasus Funds
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Small-Cap Opportunity Fund Intrinsic Value Fund
----------------------------------- ------------------------------------
Six Months Ended Six Months Ended
June 30, 1997 Year Ended June 30, 1997 Year Ended
(Unaudited) December 31, 1996 (Unaudited) December 31, 1996
-------------- ----------------- -------------- -----------------
<S> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income (loss) $ (305,429) $ (32,509) $ 4,142,559 $ 6,855,556
Net realized gains on investments and
foreign currency transactions 7,546,304 17,881,429 30,668,193 16,465,095
Net change in unrealized appreciation on
investments and foreign currency
translation 15,699,583 7,930,344 21,656,929 43,380,316
------------ ------------ ------------ ------------
Net increase in net assets from operations 22,940,458 25,779,264 56,467,681 66,700,967
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A Shares -- (10) (316,411) (425,708)
Class B Shares -- -- (9,488) (689)
Class I Shares -- (3,928) (3,892,043) (6,481,315)
------------ ------------ ------------ ------------
Total distributions from net investment
income -- (3,938) (4,217,942) (6,907,712)
------------ ------------ ------------ ------------
From realized gains
Class A Shares -- (556,174) -- (1,071,739)
Class B Shares -- (8,638) -- (6,170)
Class I Shares -- (12,459,929) -- (16,413,883)
Total distributions from realized gains -- (13,024,741) -- (17,491,792)
------------ ------------ ------------ ------------
Total distributions -- (13,028,679) (4,217,942) (24,399,504)
------------ ------------ ------------ ------------
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 35,393,280 33,354,228 115,234,904 144,922,924
Proceeds from shares issued in connection
with merger -- -- -- --
Net asset value of shares issued in
reinvestment of distributions to
shareholders -- 7,971,106 2,656,806 5,191,098
------------ ------------ ------------ ------------
35,393,280 41,325,334 117,891,710 150,114,022
------------ ------------ ------------ ------------
Less: payments for shares redeemed (14,707,807) (15,040,778) (54,126,292) (68,388,827)
------------ ------------ ------------ ------------
Net increase in net assets from capital
share transactions 20,685,473 26,284,556 63,765,418 81,725,195
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS 43,625,931 39,035,141 116,015,157 124,026,658
NET ASSETS:
Beginning of period 132,648,084 93,612,943 379,911,517 255,884,859
------------ ------------ ------------ ------------
End of period $176,274,015 $132,648,084 $495,926,674 $379,911,517
============ ============ ============ ============
<CAPTION>
Growth and Value Fund
-----------------------------------
Six Months Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
----------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income (loss) $ 4,357,120 $ 9,665,824
Net realized gains on investments and foreign
currency transactions 46,511,476 87,410,523
Net change in unrealized appreciation on
investments and foreign currency translation 87,360,242 36,502,219
----------- -----------
Net increase in net assets from operations 138,228,838 133,578,566
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A Shares (373,600) (611,802)
Class B Shares (5,698) (600)
Class I Shares (4,534,098) (8,481,780)
----------- -----------
Total distributions from net investment income (4,913,396) (9,094,182)
----------- -----------
From realized gains
Class A Shares -- (5,430,328)
Class B Shares -- (15,316)
Class I Shares -- (66,935,481)
----------- -----------
Total distributions from realized gains -- (72,381,125)
----------- -----------
Total distributions (4,913,396) (81,475,307)
----------- -----------
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 152,083,976 203,968,799
Proceeds from shares issued in connection with
merger -- --
Net asset value of shares issued in reinvestment of
distributions to shareholders 2,077,955 6,414,873
----------- -----------
154,161,931 210,383,672
Less: payments for shares redeemed (114,749,848) (206,812,138)
----------- -----------
Net increase in net assets from capital share
transactions 39,412,083 3,571,534
----------- -----------
NET INCREASE IN NET ASSETS 172,727,525 55,674,793
NET ASSETS:
Beginning of period 792,841,860 737,167,067
----------- -----------
End of period $ 965,569,385 $ 792,841,860
============= =============
<FN>
See Notes to Financial Statements.
17
<PAGE>
Pegasus Funds
STATEMENTS OF CHANGES IN NET ASSETS
</TABLE>
<TABLE>
<CAPTION>
Equity Index Fund International Equity Fund
------------------------------------ -----------------------------------
Six Months Ended Six Months Ended
June 30, 1997 Year Ended June 30, 1997 Year Ended
(Unaudited) December 31, 1996 (Unaudited) December 31, 1996
-------------- ----------------- ----------- -----------------
<S> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 5,450,109 $ 14,823,298 $ 3,591,098 $ 2,474,079
Net realized gains (losses) on investments
and foreign currency transactions 126,503,804 16,222,665 (3,319,559) (1,496,221)
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency translation 7,573,852 119,756,862 43,809,017 17,747,087
----------- ----------- ---------- ----------
Net increase in net assets from operations 139,527,765 150,802,825 44,080,556 18,724,945
----------- ----------- ---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A Shares (433,729) (232,541) (87,078) (29,678)
Class B Shares (5,662) (467) (3,688) (3,888)
Class I Shares (5,354,528) (14,255,449) (2,776,727) (2,296,031)
----------- ----------- ---------- ----------
Total distributions from net investment
income (5,793,919) (14,488,457) (2,867,493) (2,329,597)
----------- ----------- ---------- ----------
From realized gains
Class A Shares -- (524,957) -- --
Class B Shares -- (1,276) -- --
Class I Shares -- (12,759,806) -- --
----------- ----------- ---------- ----------
Total distributions from realized gains -- (13,286,039) -- --
----------- ----------- ---------- ----------
Total distributions (5,793,919) (27,774,496) (2,867,493) (2,329,597)
----------- ----------- ---------- ----------
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 116,514,377 443,667,634 65,939,592 161,993,251
Proceeds from shares issued in connection
with merger -- -- -- 144,968,119
Net asset value of shares issued in
reinvestment of distributions to
shareholders 4,129,221 12,236,347 1,038,142 1,196,154
----------- ----------- ---------- ----------
120,643,598 455,903,981 66,977,734 308,157,524
Less: payments for shares redeemed (371,488,895) (237,318,573) (28,459,758) (29,876,945)
----------- ----------- ---------- ----------
Net increase (decrease) in net assets from
capital share transactions (250,845,297) 218,585,408 38,517,976 278,280,579
----------- ----------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS (117,111,451) 341,613,737 79,731,039 294,675,927
NET ASSETS:
Beginning of period 869,816,650 528,202,913 401,964,228 107,288,301
----------- ----------- ---------- ----------
End of period $ 752,705,199 $ 869,816,650 $481,695,267 $401,964,228
============= ============= ============ ============
<FN>
See Notes to Financial Statements.
</TABLE>
18
<PAGE>
Pegasus Funds
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Intermediate Bond Fund Bond Fund
------------------------------------ ----------------------------------
Six Months Ended Six Months Ended
June 30, 1997 Year Ended June 30, 1997 Year Ended
(Unaudited) December 31, 1996 (Unaudited) December 31, 1996
---------------- ------------------ ----------- -----------------
<S> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 14,124,047 $ 24,856,790 $ 30,000,955 $ 40,606,005
Net realized gains (losses) on investments
and foreign currency transactions 68,048 1,800,673 (383,861) 4,524,736
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency translation (171,955) (4,413,650) 808,307 (10,189,588)
---------- ---------- ---------- ----------
Net increase (decrease) in net assets from
operations 14,020,140 22,243,813 30,425,401 34,941,153
---------- ---------- ---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A Shares (625,872) (767,604) (1,871,758) (2,223,311)
Class B Shares (5,433) (1,022) (19,465) (5,666)
Class I Shares (13,480,628) (24,369,891) (28,625,136) (38,376,142)
---------- ---------- ---------- ----------
Total distributions from net investment
income (14,111,933) (25,138,517) (30,516,359) (40,605,119)
---------- ---------- ---------- ----------
From realized gains
Class A Shares -- -- -- --
Class B Shares -- -- -- --
Class I Shares -- -- -- --
Total distributions from realized gains -- -- -- --
Total distributions (14,111,933) (25,138,517) (30,516,359) (40,605,119)
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 102,469,052 118,511,852 273,636,126 228,866,516
Proceeds from shares issued in connection
with merger -- -- -- 130,865,901
Net asset value of shares issued in
reinvestment of distributions to
shareholders 9,198,083 19,192,374 17,998,776 29,585,134
---------- ---------- ---------- ----------
111,667,135 137,704,226 291,634,902 389,317,551
Less: payments for shares redeemed (61,281,752) (126,568,756) (57,877,681) (96,335,513)
---------- ---------- ---------- ----------
Net increase (decrease) in net assets from
capital share transactions 50,385,383 11,135,470 233,757,221 292,982,038
NET INCREASE (DECREASE) IN NET ASSETS 50,293,590 8,240,766 233,666,263 287,318,072
---------- ---------- ---------- ----------
NET ASSETS:
Beginning of period 413,550,705 405,309,939 804,883,651 517,565,579
------------ ------------ ----------- -----------
End of period $463,844,295 $ 413,550,705 $1,038,549,914 $804,883,651
============ ============ ============= ===========
<CAPTION>
Short Bond Fund Income Fund
----------------------------------- ------------------------------------
Six Months Ended Six Months Ended
June 30, 1997 Year Ended June 30, 1997 Year Ended
(Unaudited) December 31, 1996 (Unaudited) December 31, 1996
---------------- ----------------- ---------------- -----------------
<S> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 5,092,694 $ 9,102,945 $ 5,107,662 $ 12,243,298
Net realized gains (losses) on investments
and foreign currency transactions 1,393 480,231 (260,634) (21,631)
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency translation 18,311 (2,046,522) (1,173,805) (5,355,005)
------------ ------------ ------------ ------------
Net increase (decrease) in net assets from
operations 5,112,398 7,536,654 3,673,223 6,866,662
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A Shares (43,509) (43,710) (245,573) (430,827)
Class B Shares (1,442) (375) (9,979) (22,400)
Class I Shares (5,112,652) (9,042,643) (4,619,677) (11,703,117)
------------ ------------ ------------ ------------
Total distributions from net investment
income (5,157,603) (9,086,728) (4,875,229) (12,156,344)
------------ ------------ ------------ ------------
From realized gains
Class A Shares -- (2,475) -- (92,572)
Class B Shares -- (119) -- (5,831)
Class I Shares -- (402,873) -- (2,526,588)
------------ ------------ ------------ ------------
Total distributions from realized gains -- (405,467) -- (2,624,991)
------------ ------------ ------------ ------------
Total distributions (5,157,603) (9,492,195) (4,875,229) (14,781,335)
------------ ------------ ------------ ------------
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 46,237,653 41,372,785 6,322,566 63,866,681
Proceeds from shares issued in connection
with merger -- -- -- --
Net asset value of shares issued in
reinvestment of distributions to
shareholders 1,993,054 3,635,168 264,976 605,194
------------ ------------ ------------ ------------
48,230,707 45,007,953 6,587,542 64,471,875
Less: payments for shares redeemed (26,036,934) (33,873,236) (59,624,171) (58,429,130)
------------ ------------ ------------ ------------
Net increase (decrease) in net assets from
capital share transactions 22,193,773 11,134,717 (53,036,629) 6,042,745
------------ ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS 22,148,568 9,179,176 (54,238,635) (1,871,928)
NET ASSETS:
Beginning of period 172,516,031 163,336,855 196,411,743 198,283,671
------------ ------------ ------------ ------------
End of period $194,664,599 $172,516,031 $142,173,108 $196,411,743
============ ============ ============ ============
<FN>
See Notes to Financial Statements.
</TABLE>
19
<PAGE>
Pegasus Funds
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
International Bond Fund Municipal Bond Fund
------------------------------------ -------- ---------------------------
Six Months Ended Six Months Ended
June 30, 1997 Year Ended June 30, 1997 Year Ended
(Unaudited) December 31, 1996 (Unaudited) December 31, 1996
---------------- ----------------- ---------------- -----------------
<S> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 1,691,074 $ 1,588,432 $ 9,428,897 $ 13,312,581
Net realized gains (losses) on investments
and foreign currency transactions (229,214) 255,095 1,054,576 2,185,933
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency translation (3,480,792) 651,325 1,331,004 (3,444,888)
----------- ----------- ------------ ------------
Net increase in net assets from operations (2,018,932) 2,494,852 11,814,477 12,053,626
----------- ----------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A Shares (69,314) (48,371) (700,913) (535,878)
Class B Shares (1,073) (540) (15,657) (15,695)
Class I Shares (1,523,272) (1,719,814) (8,694,437) (11,706,220)
----------- ----------- ------------ ------------
Total distributions from net investment
income (1,593,659) (1,768,725) (9,411,007) (12,257,793)
----------- ----------- ------------ ------------
From realized gains
Class A Shares -- -- -- (6,075)
Class B Shares -- -- -- (394)
Class I Shares -- -- -- (201,402)
Total distributions from realized gains -- -- -- (207,871)
Total distributions (1,593,659) (1,768,725 (9,411,007) (15,931,848)
----------- ----------- ------------ ------------
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 25,672,163 42,220,702 65,815,677 58,114,399
Proceeds from shares issued in connection
with merger -- -- -- 102,578,100
Net asset value of shares issued in
reinvestment of distributions to
shareholders 849,730 843,217 771,456 1,161,950
----------- ----------- ------------ ------------
26,521,893 43,063,919 66,587,133 161,854,449
Less: payments for shares redeemed (4,002,164) (2,888,294) (64,156,367) (37,670,935)
----------- ----------- ------------ ------------
Net increase (decrease) in net assets from
capital share transactions 22,519,729 40,175,625 2,430,766 124,183,514
----------- ----------- ------------ ------------
NET INCREASE IN NET ASSETS 18,907,138 40,901,752 4,834,236 120,305,292
NET ASSETS:
Beginning of period 55,897,040 14,995,288 368,128,442 247,823,150
----------- ----------- ------------ ------------
End of period $74,804,178 $55,897,040 $372,962,678 $368,128,442
=========== =========== ============ ============
<CAPTION>
Intermediate Municipal Bond Fund Michigan Municipal Bond Fund
------------------------------------ --------------------------------
Six Months Ended Six Months Ended
June 30, 1997 Year Ended June 30, 1997 Year Ended
(Unaudited) December 31, 1996 (Unaudited) December 31, 1996
--------------- ----------------- ---------------- -----------------
<S> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 9,254,580 $ 18,092,497 $ 1,480,264 $ 2,575,994
Net realized gains (losses) on investments
and foreign currency transactions 508,026 2,576,883 (187,670) (90,124)
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency translation (208,877) (5,510,989) 689,773 (530,540)
------------ ------------ ----------- ------------
Net increase in net assets from operations 9,553,729 15,158,391 1,982,367 1,955,330
------------ ------------ ----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A Shares (417,688) (761,652) (401,277) (868,350)
Class B Shares (11,721) (16,784) (3,460) (702)
Class I Shares (8,892,133) (16,723,347) (1,075,642) (1,615,892)
------------ ------------ ----------- ------------
Total distributions from net investment
income (9,321,542) (17,501,783) (1,480,379) (2,484,944)
From realized gains
Class A Shares -- (112,133) -- --
Class B Shares -- (3,569) -- --
Class I Shares -- (2,341,621) -- --
------------ ------------ ----------- ------------
Total distributions from realized gains -- (2,457,323) -- --
------------ ------------ ----------- ------------
Total distributions (9,321,542) (19,959,106) (1,480,379) (2,484,944)
------------ ------------ ----------- ------------
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 36,626,481 66,990,329 11,525,001 17,373,469
Proceeds from shares issued in connection
with merger -- -- -- --
Net asset value of shares issued in
reinvestment of distributions to
shareholders 397,443 730,366 463,004 854,735
------------ ------------ ----------- ------------
37,023,924 67,720,695 11,988,005 18,228,204
Less: payments for shares redeemed (33,268,672) (61,160,676) (6,111,118) (10,558,076)
------------ ------------ ----------- ------------
Net increase (decrease) in net assets from
capital share transactions 3,755,252 6,560,019 5,876,887 7,670,128
------------ ------------ ----------- ------------
NET INCREASE IN NET ASSETS 3,987,439 1,759,304 6,378,875 7,140,514
NET ASSETS:
Beginning of period 393,630,021 391,870,717 60,593,674 53,453,160
------------ ------------ ----------- ------------
End of period $397,617,460 $393,630,021 $66,972,549 $ 60,593,674
============ ============ =========== ============
<FN>
See Notes to Financial Statements.
</TABLE>
20
<PAGE>
Pegasus Managed Assets Conservative Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
COMMON STOCKS -- 4.77%
Banks -- 1.70%
Bank of Boston Corp. ............................ 5,000 $ 360,312
Citicorp ........................................ 3,000 361,688
First Union Corp. ............................... 2,000 185,000
National City Corp. ............................. 5,000 262,500
NationsBank Corp. ............................... 6,000 387,000
------------
1,556,500
------------
Drugs and Medicine -- 2.20%
Bristol-Myers Squibb Co. ........................ 8,000 648,000
Johnson & Johnson ............................... 6,000 386,250
Pfizer, Inc. .................................... 4,000 478,000
Warner Lambert Co. .............................. 4,000 497,000
------------
2,009,250
------------
International Oil -- 0.87%
British Petroleum PLC. .......................... 6,340 474,708
Texaco, Inc. .................................... 3,000 326,250
------------
800,958
------------
TOTAL COMMON STOCK .................................. 4,366,708
------------
(Cost $1,561,791)
MUTUAL FUNDS -- 95.23%
Pegasus Bond Fund ............................... 5,215,451 53,510,529
Pegasus International Bond Fund ................. 580,682 5,946,188
Pegasus Growth Fund ............................. 272,109 3,994,564
Pegasus Growth and Value Fund ................... 463,739 7,609,954
Pegasus International Equity Fund ............... 433,563 5,592,968
Pegasus Intrinsic Value Fund .................... 363,488 5,604,978
Pegasus Mid-Cap Opportunity Fund ................ 160,358 3,223,186
Pegasus Small-Cap Opportunity Fund .............. 102,293 1,626,453
------------
TOTAL MUTUAL FUNDS .................................. 87,108,820
------------
(Cost $83,662,499)
TOTAL INVESTMENTS ................................... $ 91,475,528
============
(Cost $85,224,290)
<FN>
See Notes to Financial Statements.
</TABLE>
21
<PAGE>
Pegasus Managed Assets Balanced Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 0.88%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97 (secured by U.S. Treasury
obligations with maturities ranging from 8/15/97
through 2/15/07 at various interest rates ranging
from 0.00% to 12.00%, all held at Chase Bank) ... $2,047,419 $2,047,419
(Cost $2,047,419) ----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 11.53%
U.S. Treasury Securities -- 9.00%
Principal Strips from U.S. Treasury Securities
due:
5/15/17 ..................................... 915,000 232,254
8/15/17 ..................................... 3,455,000 861,850
Strips from U.S. Treasury Securities due:
5/15/98 ..................................... 200,000 190,366
8/15/98 ..................................... 500,000 468,410
8/15/99 ..................................... 3,500,000 3,078,670
2/15/01 ..................................... 450,000 358,897
2/15/11 ..................................... 600,000 238,734
5/15/11 ..................................... 1,083,000 423,171
2/15/12 ..................................... 280,000 103,533
8/15/12 ..................................... 750,000 266,873
5/15/13 ..................................... 760,000 255,786
2/15/14 ..................................... 3,935,000 1,254,714
U.S. Treasury Bonds:
12.75%, 11/15/10 ............................ 1,145,000 1,588,871
10.375%, 11/15/12 ........................... 685,000 869,518
12.50%, 8/15/14 ............................. 120,000 176,456
U.S. Treasury Notes:
8.875%, 11/15/97 ............................ 800,000 809,248
7.875%, 4/15/98 ............................. 1,870,000 1,900,388
7.00%, 4/15/99 .............................. 500,000 507,890
7.75%, 11/30/99 ............................. 2,005,000 2,074,854
6.25%, 5/31/00 .............................. 950,000 950,447
6.625%, 7/31/01 ............................. 1,000,000 1,009,370
7.50%, 11/15/01 ............................. 700,000 729,421
6.25%, 2/15/03 .............................. 400,000 396,876
7.25%, 5/15/04 .............................. 2,150,000 2,241,031
----------
(Cost $20,160,151) 20,987,628
----------
Agency Obligations -- 2.53%
Federal Home Loan Mortgage Corp. Participation
Ctf.
#555238, 12.00%, 7/1/19 ..................... 123,888 138,975
Federal Home Loan Mortgage Corp. Gtd. Multi-Class
Mortgage Participation Ctfs.:
Series 99 Class Z, 9.50%, 1/15/21 ........... 76,804 81,598
Series 1051 Class D, 7.00%, 11/15/19 ........ 104,991 105,794
Series 1065 Class J, 9.00%, 4/15/21 ......... 100,000 106,456
Series 1144 Class KB, 8.50%, 9/15/21 ........ 250,000 261,110
Series 1295 Class JB, 4.50%, 3/15/07 ........ 300,000 269,028
Series 1370 Class F, 6.75%, 3/15/19 ......... 260,000 259,327
Series 1465 Class SA, IO, IF, 2/15/08 ....... 987,107 50,673
22
<PAGE>
Series 1575 Class FB, 7.00%, 8/15/08 ........ 298,345 305,384
Series 1575 Class SB, 3.00%, 8/15/08 ........ 99,448 64,587
Series 1583 Class NS, IF, 9/15/23 ........... 115,888 84,195
Series 1595 Class S, IO, IF, 10/15/13 ....... 1,239,073 53,622
Series 1602 Class O, 6.00%, 10/15/23 ........ 300,000 275,287
Series 1681 Class K, 7.00%, 8/15/23 ......... 416,716 406,549
Series 1689 Class SD, IF, 10/15/23 .......... 100,000 84,133
Federal Housing Administration Merrill Lynch
Project Pool 170
Pass thru Ctf., 7.43%, 8/1/20 ............... 222,254 225,077
Federal Housing Administration
Project #07335307, 7.43%, 1/1/22 ............ 224,037 227,890
Federal Housing Administration
Greystone 1996-2 Pool, 7.43%, 11/1/22 ....... 552 559
Federal National Mortgage Assn. Pass Thru
Securities
Pool #116612, IF, 3/1/19 .................... 92,291 96,427
Federal National Mortgage Assn. Pass Thru
Securities Guaranteed
REMIC Trust:
1989 Class 78-H, 9.40%, 11/25/19 ............ 250,000 271,774
1990 Class 140-K, HB, 652.145%, 12/25/20 .... 1,302 41,123
1991 Class 161-H, 7.50%, 2/25/21 ............ 104,094 105,006
1992-G Class 15-Z, 7.00%, 1/25/22 ........... 217,649 201,182
1992 Class 204-B, 6.00%, 10/25/20 ........... 250,000 238,222
1993 Class 13-G, 6.00%, 6/25/20 ............. 200,000 193,336
1993 Class 19-G, 5.00%, 5/25/19 ............. 250,000 232,361
1993 Class 38-S, IO, 5.255%, 11/25/22 ....... 663,856 17,299
1993 Class 44-S, IO, IF, 4/25/23 ............ 394,742 19,647
1993 Class 58-J, 5.50%, 4/25/23 ............. 131,532 126,736
1993 Class 94-K, 6.750%, 5/25/23 ............ 114,316 111,418
1993 Class 155-SB, IO, IF, 9/25/23 .......... 736,409 56,261
1993 Class 207-SC, IF, 11/25/23 ............. 284,327 191,873
1993 Class 209-KB, 5.659%, 8/25/08 .......... 373,990 349,815
1993 Class 220-SD, IF, 11/25/13 ............. 49,707 34,376
1994 Class 30-LA, 6.50%, 2/25/09 ............ 77,863 76,926
1994 Class 39-F, IF, 3/25/24 ................ 218,618 218,745
1994 Class 39-S, IF, 3/25/24 ................ 84,084 76,967
1994 Class 82-SA, IO, IF, 5/25/23 ........... 1,645,187 53,241
1996 Class 7-C, 6.50%, 12/25/10 ............. 200,000 189,287
----------
(Cost $5,996,999) 5,902,266
----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ........ 26,889,894
----------
(Cost $26,157,150)
CORPORATE BONDS AND NOTES -- 1.15%
Finance -- 0.85%
Associates Corp. of North America:
9.125%, 4/1/00 .............................. 85,000 90,393
8.150%, 8/1/09 .............................. 200,000 213,094
Case Equipment Loan Trust Asset Backed Ctf.
Series 1996-A, Class A2, 5.50%, 2/15/03 ..... 246,458 245,619
Green Tree Financial Corp. Asset Backed Ctf.
Series 1996-A, Class A, 5.70%, 2/15/26 ...... 27,063 27,111
23
<PAGE>
Merrill Lynch Home Equity Loan Asset Backed Ctf.
Series 1992-1, Class A, IF, 7/15/22 ......... 115,452 115,684
Merrill Lynch Trust 43-E, CMO
Series 43, Class E, 6.50%, 8/27/15 .......... 200,000 195,338
Onyx Acceptance Grantor Trust Auto Loan Pass Thru
Ctf.
Series 1996-1, Class A, 5.40%, 5/15/01 ...... 150,954 149,538
Superior Wholesale Inventory Trust Asset Backed
Ctf.
Series 1996-A, Class A, IF, 3/15/01 ......... 200,000 200,062
World Omni Automobile Trust Asset Backed Ctf.
Series 1995-A, Class A, 6.05%, 11/25/01 ..... 752,633 753,099
---------
(Cost $1,969,317) 1,989,938
---------
Industrial -- 0.15 %
Boeing Co., 7.95%, 8/15/24 ...................... 110,000 120,124
Proctor & Gamble Co., 8.00%, 10/26/29 ........... 220,000 237,202
---------
(Cost $360,750) 357,326
---------
Public Utility -- 0.15%
New England Telephone & Telegraph Co., 7.875%,
11/15/29 ...................................... 250,000 264,717
Nippon Telegraph & Telephone Corp., 9.50%,
7/27/98 ....................................... 80,000 82,757
---------
(Cost $356,303) 347,474
---------
TOTAL CORPORATE BONDS AND NOTES ..................... 2,694,738
---------
(Cost $2,686,370)
<CAPTION>
Shares
------
<S> <C> <C>
COMMON STOCKS -- 19.45%
Aerospace -- 0.22%
Boeing Co. ...................................... 9,500 504,094
---------
Air Transport -- 0.05%
Air Express International Corp. ................. 2,825 112,294
---------
Apparel -- 0.27%
Nine West Group, Inc.* .......................... 1,150 43,916
Russell Corp. ................................... 17,000 503,625
Tommy Hilfiger Corp.* ........................... 2,000 80,375
---------
627,916
---------
Banks -- 1.09%
BankAmerica Corp. ............................... 8,000 516,500
Barnett Banks, Inc. ............................. 6,000 315,000
Charter One Financial, Inc. ..................... 3,125 168,359
First Tennessee National Corp. .................. 2,000 96,000
MBNA Corp. ...................................... 4,000 146,500
Norwest Corp. ................................... 17,000 956,250
State Street Boston Corp. ....................... 5,200 240,500
TCF Financial Corp. ............................. 2,300 113,563
---------
2,552,672
---------
Business Machines -- 0.81%
Cisco System Inc.* .............................. 3,000 201,375
Comdisco Inc. ................................... 4,950 128,700
Diebold, Inc. ................................... 1,453 56,667
24
<PAGE>
Electronic Data Systems Corp. ................... 19,500 799,500
Microsoft Corp.* ................................ 4,000 505,500
Silicon Graphics* ............................... 7,000 105,000
Xilinx, Inc.* ................................... 1,650 80,953
---------
1,877,695
---------
Business Services -- 1.23%
Automatic Data Processing, Inc. ................. 15,600 733,200
CDI Corp.* ...................................... 1,700 70,869
Computer Associates International, Inc. ......... 4,000 222,750
Deluxe Corp. .................................... 19,000 648,375
DST Systems, Inc.* .............................. 3,000 99,938
First Data Corp. ................................ 4,500 197,719
G & K Services, Inc. Class A .................... 800 29,800
Interpublic Group of Companies, Inc. ............ 3,000 183,937
Omnicom Group, Inc. ............................. 1,980 122,018
SunGard Data Systems, Inc.* ..................... 3,200 148,800
Waste Management Inc. ........................... 13,000 417,625
---------
2,875,031
---------
Chemicals -- 0.59%
Great Lakes Chemical Corp. ...................... 6,000 314,250
Praxair, Inc. ................................... 5,000 280,000
RPM, Inc. ....................................... 3,765 69,182
Sigma-Aldrich Corp. ............................. 20,000 701,250
---------
1,364,682
---------
Construction -- 0.89%
Crane Co. ....................................... 4,456 186,317
Fluor Corp. ..................................... 12,000 662,250
Masco Corp. ..................................... 14,000 584,500
York International Corp. ........................ 14,000 644,000
---------
2,077,067
---------
Consumer Durables -- 0.43%
Durakon Industries, Inc.* ....................... 2,100 19,950
Leggett & Platt, Inc. ........................... 3,840 165,120
Newell Co. ...................................... 5,300 210,013
Rubbermaid, Inc. ................................ 20,000 595,000
---------
990,083
---------
Containers -- 0.39%
AptarGroup, Inc. ................................ 3,100 140,275
Crown Cork & Seal Co., Inc. ..................... 14,300 764,156
---------
904,431
---------
Drugs and Medicine -- 2.13%
Abbott Laboratories Corp. ....................... 10,000 667,500
Amgen, Inc.* .................................... 3,500 203,438
Bristol-Myers Squibb Co. ........................ 12,000 972,000
Columbia/HCA Healthcare Corp. ................... 6,250 245,703
Guidant Corp. ................................... 1,500 127,500
25
<PAGE>
Health Care & Retirement Corp.* ................. 2,891 96,487
Johnson & Johnson ............................... 3,300 212,438
Mylan Laboratories, Inc. ........................ 7,000 103,250
Pall Corp. ...................................... 5,800 134,850
Pfizer, Inc. .................................... 2,200 262,900
Quorum Health Group, Inc.* ...................... 4,500 160,875
Schering-Plough Corp. ........................... 19,200 919,200
Smithkline Beecham PLC ADR ...................... 3,300 302,362
Stryker Corp. ................................... 4,400 153,450
Sybron International Corp.* ..................... 4,200 167,475
United HealthCare Corp. ......................... 4,400 228,800
---------
4,958,228
---------
Electronics -- 1.60%
AMP, Inc. ....................................... 16,500 688,875
Belden, Inc. .................................... 5,700 194,156
Dynatech Corp.* ................................. 3,000 107,250
Hewlett Packard Co. ............................. 14,000 784,000
Intel Corp. ..................................... 2,400 340,350
Kemet Corp.* .................................... 4,500 111,937
Lucent Technologies, Inc. ....................... 6,500 468,406
Microchip Technology, Inc.* ..................... 2,800 83,300
Molex, Inc. Class A Non-Voting .................. 3,062 106,787
Motorola, Inc. .................................. 9,000 684,000
Teradyne, Inc.* ................................. 3,900 153,075
---------
3,722,136
---------
Energy and Utilities -- 1.18%
AES Corp.* ...................................... 3,500 247,625
Enron Corp. ..................................... 14,500 591,781
FPL Group, Inc. ................................. 14,000 644,875
MCN Corp. ....................................... 22,000 673,750
Pinnacle West Capital Co. ....................... 20,000 601,250
---------
2,759,281
---------
Energy Raw Materials -- 0.66%
Apache Corp. .................................... 5,076 164,970
Noble Affiliates, Inc. .......................... 3,400 131,537
Schlumberger Ltd. ............................... 7,000 875,000
Southwestern Energy Co. ......................... 6,276 81,588
Smith International Inc.* ....................... 1,600 97,200
Western Atlas, Inc.* ............................ 2,500 183,125
---------
1,533,420
---------
Food and Agriculture -- 1.30%
ConAgra, Inc. ................................... 11,000 705,375
CPC International, Inc. ......................... 8,000 738,500
PepsiCo, Inc. ................................... 27,000 1,014,187
Sysco Corp. ..................................... 16,000 584,000
---------
3,042,062
---------
26
<PAGE>
Insurance -- 0.84%
AFLAC, Inc. ..................................... 6,000 283,500
American International Group, Inc. .............. 3,000 448,125
Capital Re Corp. ................................ 3,100 165,850
CapMac Holdings, Inc. ........................... 2,100 70,612
Chubb Corp. ..................................... 9,000 601,875
Transatlantic Holdings, Inc. .................... 1,754 174,085
Unum Corp. ...................................... 5,000 210,000
---------
1,954,047
---------
International Oil -- 0.26%
British Petroleum PLC ADR ....................... 8,144 609,782
---------
Liquor -- 0.27%
Anheuser Busch Companies, Inc. .................. 15,000 629,063
---------
Media -- 0.64%
Banta Corp. ..................................... 4,435 120,299
Cabletron System Inc.* .......................... 3,000 84,938
Gannett Co., Inc. ............................... 5,000 493,750
Washington Post Co. Class B ..................... 2,000 796,000
---------
1,494,987
---------
Miscellaneous and Conglomerates -- 0.61%
Cognizant Corp. ................................. 17,000 688,500
Culligan Water Technologies, Inc.* .............. 1,700 76,075
Dentsply International, Inc. .................... 2,000 98,000
Elan PLC ADR* ................................... 6,000 271,500
Greenfield Industries, Inc. ..................... 2,100 56,700
Health Management Associates, Inc. Class A* ..... 1,593 45,401
Littlefuse, Inc.* ............................... 4,200 118,650
Wolverine Tube, Inc.* ........................... 2,550 71,081
---------
1,425,907
---------
Miscellaneous Finance -- 0.83%
CMAC Investment Corp. ........................... 4,100 195,775
Edwards (A.G.), Inc. ............................ 3,555 151,976
Everest Reinsurance Holdings, Inc. .............. 5,400 213,975
Executive Risk, Inc. ............................ 2,700 140,400
FINOVA Group, Inc. .............................. 2,335 178,628
First Financial Corp. ........................... 4,650 136,594
Idex Corp. ...................................... 4,006 132,198
MGIC Investment Corp. ........................... 800 38,350
PMI Group, Inc. ................................. 10,700 667,413
Scotsman Industries, Inc. ....................... 2,600 74,100
---------
1,929,409
---------
Motor Vehicles -- 0.22%
Borg Warner Automotive, Inc. .................... 3,700 200,031
Harley-Davidson, Inc. ........................... 2,926 140,265
Myers Industries, Inc. .......................... 3,520 59,400
Tower Automotive, Inc.* ......................... 2,500 107,500
---------
507,196
---------
27
<PAGE>
Non-Durables and Entertainment -- 0.42%
Kimberly Clark Corp. ............................ 11,000 547,250
Lancaster Colony Corp. .......................... 1,564 75,658
Oracle Systems Corp.* ........................... 2,000 100,750
Service Corp. International ..................... 8,100 266,288
---------
989,946
---------
Non-Ferrous Metals -- 0.06%
DT Industries, Inc. ............................. 4,000 143,000
---------
Producer Goods -- 0.64%
Dover Corp. ..................................... 11,200 688,800
Federal Signal Corp. ............................ 1,500 37,688
Hubbell, Inc. Class B ........................... 3,502 154,088
Illinois Tool Works, Inc. ....................... 5,600 279,650
Juno Lighting, Inc. ............................. 6,539 106,259
Teleflex, Inc. .................................. 3,380 105,625
Trimas Corp. .................................... 4,335 121,922
---------
1,494,032
---------
Retail -- 0.83%
Home Depot, Inc. ................................ 4,000 275,750
Kohls Corp.* .................................... 1,264 66,913
Nordstrom, Inc. ................................. 14,000 686,875
Proffitts, Inc.* ................................ 3,800 166,725
Toys R Us* ...................................... 13,000 455,000
Walgreen Co. .................................... 3,000 160,875
Zale Corp.* ..................................... 6,500 128,781
---------
1,940,919
---------
Soaps and Cosmetics -- 0.08%
Procter & Gamble Co. ............................ 1,400 197,750
---------
Telephone -- 0.49%
AirTouch Communications, Inc.* .................. 5,000 136,875
Century Telephone Enterprises, Inc. ............. 15,000 505,312
MCI Communications Corp. ........................ 13,000 497,656
---------
1,139,843
---------
Tobacco -- 0.10%
Philip Morris Companies, Inc. ................... 5,000 221,875
---------
Travel and Recreation -- 0.32%
Callaway Golf Co. ............................... 3,900 138,450
Carnival Corp. Class A .......................... 6,000 247,500
Disney (Walt) Co. ............................... 2,900 232,725
Gaylord Entertainment Co. Class A ............... 5,715 131,802
---------
750,477
---------
TOTAL COMMON STOCKS ................................. 45,329,325
----------
(Cost $34,552,617)
28
<PAGE>
MUTUAL FUNDS -- 66.99%
Pegasus Bond Fund ............................... 6,234,236 63,963,265
Pegasus Growth Fund ............................. 386,350 5,671,618
Pegasus Growth and Value Find ................... 1,235,701 20,277,850
Pegasus International Bond Fund ................. 1,017,961 10,423,921
Pegasus International Equity Fund ............... 1,716,559 22,143,606
Pegasus Intrinsic Value Fund .................... 1,430,745 22,062,094
Pegasus Mid-Cap Opportunity ..................... 254,345 5,112,329
Pegasus Small-Cap Opportunity Fund .............. 410,414 6,525,585
-----------
TOTAL MUTUAL FUNDS .................................. 156,180,268
-----------
(Cost $148,487,268)
TOTAL INVESTMENTS ................................... $ 233,141,644
=============
(Cost $213,930,824)
<FN>
* Non-income producing security.
See Notes to Financial Statements.
</TABLE>
29
<PAGE>
Pegasus Managed Assets Balanced Fund
PORTFOLIO OF INVESTMENTS - (Continued)
June 30, 1997
Notes to Portfolio of Investments
The Fund invests in securities whose value is derived from an underlying pool
of mortgages or consumer loans. Some of these securities are collateralized
mortgage obligations (CMOs). CMOs are debt securities issued by U.S.
government agencies or by financial institutions and other mortgage lenders
which are collateralized by a pool of mortgages held under an indenture.
Adjustable Rate (AR)
Inverse Floaters (IF) represent securities that pay interest at a rate that
increases (decreases) with a decline (increase) in a specified index.
Interest Only (IO) represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. The face amount shown
represents the par value on the underlying pool. The yields on these
securities are generally higher than prevailing market yields on other
mortgage-backed securities because their cash flow patterns are more volatile
and there is a greater risk that the initial investment will not be fully
recouped. These securities are subject to accelerated principal paydowns as a
result of prepayments or refinancing of the underlying pool of mortgage
instruments. As a result, interest income may be reduced considerably.
High Coupon Bonds (HB) (a.k.a. "IOettes") represent the right to receive
interest payments on an underlying pool of mortgages with similar risks as
those associated with IO securities. Unlike IO's the owner also has a right
to receive a very small portion of principal. The high interest rate results
from taking interest payments from other classes in the REMIC Trust and
allocating them to the small principal of the HB class.
Principal Only (PO) represents the right to receive the principal portion only
on an underlying pool of mortgage loans. The market value of these securities
is extremely volatile in response to changes in market interest rates. As
prepayments on the underlying mortgages of these securities increase, the yield
on these securities increases.
See Notes to Financial Statements.
30
<PAGE>
Pegasus Managed Assets Growth Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
MUTUAL FUNDS -- 100.00%
Pegasus Bond Fund ................................. 97,714 $ 1,002,541
Pegasus Growth Fund ............................... 28,448 417,620
Pegasus Growth and Value Fund ..................... 76,369 1,253,221
Pegasus International Bond Fund ................... 10,872 111,328
Pegasus International Equity Fund ................. 45,329 584,740
Pegasus Intrinsic Value Fund ...................... 37,921 584,740
Pegasus Mid-Cap Opportunity Fund .................. 16,625 334,171
Pegasus Small-Cap Opportunity Fund ................ 10,577 168,177
-----------
TOTAL MUTUAL FUNDS .................................. $ 4,456,537
===========
(Cost $4,173,060)
<FN>
See Notes to Financial Statements.
</TABLE>
31
<PAGE>
Pegasus Equity Income Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Face
Description Amount Market Value
----------- ------ -------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 4.70%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%%, 7/1/97 (secured by various U.S. Treasury
Strips with maturities ranging from 8/15/97
through 2/15/07 at various interest rates ranging
0.00% to 12.00%, all held at Chase Bank) ........ $14,662,763 $14,662,763
(Cost $14,662,763)
CONVERTIBLE BONDS -- 7.14%
Costco Wholesale Corp., 5.75%, 5/15/02 ............ 9,558,000 9,761,108
NAC RE Corp., 5.25%, 12/15/02 ..................... 3,095,000 3,462,531
Potomac Electric Power, 5.00%, 9/1/02 ............. 7,769,000 7,166,903
RLI Corp., 6.00%, 7/15/03 ......................... 1,350,000 1,895,062
----------
(Cost $20,869,568) 22,285,604
----------
Shares
------
NON-CONVERTIBLE PREFERRED STOCKS -- 3.65%
Finance -- 3.65 %
Salomon, Inc., 7.625% ........................... 324,400 11,394,550
----------
(Cost $8,705,900)
COMMON STOCKS -- 84.51%
Aerospace -- 2.82%
Lockheed Martin Corp. ........................... 85,000 8,802,813
----------
Banks -- 6.91%
Bank of New York Co., Inc. ...................... 97,000 4,219,500
Bankers Trust N.Y. Corp. ........................ 90,000 7,830,000
Mercantile Bankshares Corp. ..................... 180,000 7,200,000
Pacific Century Financial Corp. ................. 50,000 2,312,500
----------
21,562,000
----------
Chemicals -- 7.49%
Dow Chemical Co. ................................ 100,000 8,712,500
Du Pont (E.I.) De Nemours & Co., Inc. ........... 122,000 7,670,750
NCH Corp. ....................................... 111,900 6,993,750
----------
23,377,000
----------
Consumer Durables -- 0.31%
National Presto Industries, Inc. ................ 24,200 975,563
----------
Domestic Oil -- 3.50%
Atlantic Richfield Co. .......................... 110,000 7,755,000
MAPCO, Inc. ..................................... 100,000 3,150,000
----------
10,905,000
----------
Drugs and Medicine -- 3.33%
Mid Ocean Ltd. .................................. 197,950 10,380,003
----------
Energy And Utilities -- 6.36%
CINergy Corp. ................................... 130,000 4,525,625
Connecticut Energy Corp. ........................ 162,400 3,938,200
Sierra Pacific Resources ........................ 104,000 3,328,000
SJW Corp. ....................................... 10,000 525,000
Washington Water Power Co. ...................... 383,700 7,530,113
----------
19,846,938
----------
32
<PAGE>
Insurance -- 11.71%
American National Insurance Co. ................. 98,375 8,779,969
Lincoln National Corp. .......................... 100,000 6,437,500
Ohio Casualty Corp. ............................. 191,600 8,430,400
Old Republic International Corp. ................ 328,650 9,962,203
SAFECO Corp. .................................... 63,000 2,941,312
----------
36,551,384
----------
International Oil -- 10.19%
Amoco Corp. ..................................... 105,000 9,128,438
British Petroleum PLC ADR ....................... 49,604 3,714,099
Mobil Corp. ..................................... 142,000 9,922,250
Texaco, Inc. .................................... 83,000 9,026,250
----------
31,791,037
----------
Miscellaneous and Conglomerates -- 3.07%
Guinness PLC ADR ................................ 195,400 9,561,000
----------
Miscellaneous Finance -- 4.22%
Federal National Mortgage Association ........... 302,000 13,174,750
----------
Motor Vehicles -- 3.02%
Ford Motor Co. .................................. 249,597 9,422,287
----------
Non-Durables and Entertainment -- 4.22%
Luby's Cafeterias, Inc. ......................... 313,600 6,252,400
Sbarro, Inc. .................................... 248,500 6,895,875
----------
13,148,275
----------
Non-Ferrous Metals -- 1.64%
Phelps Dodge Corp. .............................. 60,000 5,111,250
----------
Railroads and Shipping -- 3.62%
Alexander & Baldwin, Inc. ....................... 280,500 7,328,063
Illinois Central Corp., Series A ................ 113,945 3,980,953
----------
11,309,016
----------
Real Property -- 1.06%
Amli Residential Properties Trust ............... 140,000 3,307,500
----------
Retail -- 2.36%
May Department Stores ........................... 72,500 3,425,625
Stanhome, Inc. VTG .............................. 120,000 3,945,000
----------
7,370,625
----------
Telephone -- 2.95%
GTE Corp. ....................................... 210,000 9,213,750
----------
Tires and Rubber Goods -- 1.99%
Bandag, Inc., Class A ........................... 125,400 6,105,412
Bandag, Inc. .................................... 2,100 102,900
----------
6,208,312
----------
Tobacco -- 1.55%
Loews Corp. ..................................... 48,300 4,836,037
----------
33
<PAGE>
Travel & Recreation -- 2.19%
National Health Investors, Inc. ................. 174,000 6,829,500
-----------
TOTAL COMMON STOCKS ................................. 263,684,040
-----------
(Cost $201,575,374)
TOTAL INVESTMENTS ................................... $312,026,957
============
(Cost $245,813,605)
<FN>
See Notes to Financial Statements.
</TABLE>
34
<PAGE>
Pegasus Growth Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Face
Description Amount Market Value
----------- ------ ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 2.56%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97, (secured by U.S. Treasury
obligations with maturities ranging from 8/15/97
through 2/15/97 at various interest rates ranging
from 0.00% to 12.00%, all held at Chase Bank) ... $15,737,359 $15,737,359
-----------
(Cost $15,737,359)
<CAPTION>
Shares
------
<S> <C> <C>
COMMON STOCKS -- 97.44%
Banks -- 5.86%
Norwest Corp. ................................... 290,000 16,312,500
MBNA Corp. ...................................... 260,000 9,522,500
State Street Boston Corp. ....................... 220,000 10,175,000
----------
36,010,000
----------
Business Machines -- 10.49%
Electronic Data Systems Corp. ................... 125,000 5,125,000
First Data Corp. ................................ 270,000 11,803,125
Microsoft Corp.* ................................ 240,000 30,330,000
Silicon Graphics* ............................... 405,000 6,075,000
Cisco System, Inc.* ............................. 165,000 11,075,625
----------
64,468,750
----------
Business Services -- 5.51%
Automatic Data Processing, Inc. ................. 250,000 11,750,000
Computer Associates International, Inc. ......... 210,000 11,694,375
Interpublic Group of Companies, Inc. ............ 170,000 10,423,125
----------
33,867,500
----------
Chemicals -- 2.01%
Praxair, Inc. ................................... 220,000 12,320,000
----------
Construction -- 3.12%
Fluor Corp. ..................................... 230,000 12,693,125
York International Corp. ........................ 140,000 6,440,000
----------
19,133,125
----------
Consumer Durables -- 1.92%
Newell Co. ...................................... 298,000 11,808,250
----------
Containers -- 1.74%
Crown Cork & Seal Co., Inc. ..................... 200,000 10,687,500
----------
Drugs and Medicine -- 18.39%
American Home Products Corp. .................... 100,000 7,650,000
Amgen, Inc.* .................................... 210,000 12,206,250
Columbia/HCA Healthcare Corp. ................... 369,000 14,506,312
Guidant Corp. ................................... 85,000 7,225,000
Johnson & Johnson ............................... 200,000 12,875,000
Mylan Laboratories, Inc. ........................ 430,000 6,342,500
Pall Corp. ...................................... 275,000 6,393,750
Pfizer, Inc. .................................... 100,000 11,950,000
Smithkline Beecham PLC ADR ...................... 200,000 18,325,000
35
<PAGE>
Stryker Corp. ................................... 181,400 6,326,325
United Healthcare Corp. ......................... 176,000 9,152,000
----------
112,952,137
-----------
Electronics -- 7.18%
Hewlett Packard Co. ............................. 200,000 11,200,000
Intel Corp. ..................................... 160,000 22,690,000
Lucent Technologies, Inc. ....................... 141,600 10,204,050
-----------
44,094,050
-----------
Energy And Utilities -- 3.51%
AES Corp.* ...................................... 134,800 9,537,100
Enron Corp. ..................................... 295,000 12,039,687
-----------
21,576,787
-----------
Energy Raw Materials -- 3.18%
Schlumberger,Ltd. ............................... 45,000 5,625,000
Western Atlas, Inc.* ............................ 190,000 13,917,500
-----------
19,542,500
-----------
Food and Agriculture -- 1.53%
PepsiCo,Inc. .................................... 250,000 9,390,625
-----------
Insurance -- 4.14%
AFLAC, Inc. ..................................... 200,000 9,450,000
Unum Corp. ...................................... 380,000 15,960,000
-----------
25,410,000
-----------
Media -- 1.20%
Cabletron System, Inc.* ......................... 260,000 7,361,250
-----------
Miscellaneous & Conglomerates -- 2.65%
Elan PLC ADR* ................................... 360,000 16,290,000
-----------
27,365,625
-----------
Miscellaneous Finance -- 0.26%
MGIC Investment Corp. ........................... 33,800 1,620,288
-----------
Non-Durables and Entertainment -- 6.12%
Kimberly-Clark Corp. ............................ 220,000 10,945,000
Oracle Systems Corp.* ........................... 190,000 9,571,250
Service Corp. International ..................... 520,000 17,095,000
-----------
37,611,250
-----------
Producer Goods -- 2.64%
Illinois Tool Works, Inc. ....................... 325,000 16,229,688
-----------
Retail -- 4.66%
Home Depot, Inc. ................................ 260,000 17,923,750
Walgreen Co. .................................... 200,000 10,725,000
-----------
28,648,750
-----------
Soaps and Cosmetics -- 2.19%
Procter & Gamble Co. ............................ 95,000 13,418,750
-----------
36
<PAGE>
Telephone -- 1.89%
AirTouch Communications, Inc.* .................. 425,000 11,634,375
-----------
Tobacco -- 2.17%
Philip Morris Companies,Inc. .................... 300,000 13,312,500
-----------
Travel and Recreation -- 5.08%
Carnival Corp. Class A .......................... 395,000 16,293,750
Disney (Walt) Co. ............................... 85,000 6,821,250
Gaylord Entertainment Co. Class A ............... 349,550 8,061,497
-----------
31,176,497
-----------
TOTAL COMMON STOCKS ................................. 598,564,572
-----------
(Cost $408,076,127)
TOTAL INVESTMENTS ................................... $614,301,931
============
(Cost $423,813,486)
<FN>
* Non-income producing security
See Notes to Financial Statements.
</TABLE>
37
<PAGE>
Pegasus Mid-Cap Opportunity Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 3.09%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97 (secured by various U.S. Treasury
obligations with maturities ranging from 8/15/07
through 2/15/07 at various interest rates ranging
from 0.00% to 12.00%, all held at Chase Bank) ... $27,563,629 $27,563,629
-----------
(Cost $27,563,629)
<CAPTION>
Shares
------
<S> <C> <C>
COMMON STOCKS -- 96.91%
Air Transport -- 1.27%
Air Express International Corp. ................. 286,237 11,377,921
----------
Apparel -- 1.72%
Nine West Group, Inc.* .......................... 123,064 4,699,507
Tommy Hilfiger Corp* ............................ 264,052 10,611,590
----------
15,311,097
----------
Banks -- 5.42%
Charter One Financial, Inc. ..................... 399,604 21,528,665
First Tennessee National Corp. .................. 202,038 9,697,824
TCF Financial Corp. ............................. 347,010 17,133,619
----------
48,360,108
----------
Business Machines -- 3.26%
Comdisco, Inc. .................................. 525,348 13,659,048
Diebold, Inc. ................................... 164,180 6,403,020
Xilinx, Inc.* ................................... 184,422 9,048,204
----------
29,110,272
----------
Business Services -- 6.10%
C D I Corp.* .................................... 232,142 9,677,420
DST Systems, Inc.* .............................. 368,267 12,267,894
G & K Services, Inc. Class A .................... 133,664 4,978,984
Omnicom Group, Inc. ............................. 199,868 12,316,866
Sungard Data Systems, Inc.* ..................... 326,346 15,175,089
----------
54,416,253
----------
Chemicals -- 0.80%
RPM, Inc. ....................................... 388,422 7,137,254
----------
Construction -- 2.27%
Crane Co. ....................................... 484,879 20,274,003
----------
Consumer Durables -- 2.13%
Durakon Industries, Inc.* ....................... 239,700 2,277,150
Leggett & Platt, Inc. ........................... 389,057 16,729,451
----------
19,006,601
----------
Containers -- 1.59%
AptarGroup, Inc. ................................ 312,910 14,159,178
----------
Drugs and Medicine -- 5.71%
Amerisource Health Corp. A* ..................... 151,200 7,541,100
Health Care & Retirement* ....................... 328,370 10,959,349
38
<PAGE>
Quorum Health Group, Inc.* ...................... 450,156 16,093,077
Sybron International Corp.* ..................... 411,341 16,402,222
----------
50,995,748
----------
Electronics -- 8.85%
Belden, Inc. .................................... 582,227 19,832,107
Dynatech Corp.* ................................. 327,789 11,718,457
KemetCorp.* ..................................... 484,194 12,044,326
Microchip Technology, Inc.* ..................... 236,922 7,048,430
Molex, Inc. Class A ............................. 331,181 11,549,937
Teradyne, Inc.* ................................. 428,018 16,799,707
-----------
78,992,964
-----------
Energy Raw Materials -- 5.60%
Apache Corp. .................................... 499,993 16,249,773
Noble Affiliates, Inc. .......................... 365,659 14,146,433
Smith International, Inc.* ...................... 181,924 11,051,883
Southwestern Energy Co. ......................... 654,955 8,514,415
-----------
49,962,504
-----------
Insurance -- 4.95%
Capital Re Corp. ................................ 328,436 17,571,326
CapMac Holdings, Inc ............................ 239,645 8,058,063
Transatlantic Holdings, Inc. .................... 187,354 18,594,884
-----------
44,224,273
-----------
Media -- 1.41%
Banta Corp. ..................................... 464,204 12,591,534
-----------
Miscellaneous and Conglomerates -- 6.71%
Culligan Water Tech., Inc.* ..................... 169,792 7,598,192
Dentsply Int'l, Inc. ............................ 208,507 10,216,843
Greenfield Industries, Inc. ..................... 225,228 6,081,156
Health Management Association, Inc. Class A* .... 170,252 4,852,182
Littelfuse, Inc.* ............................... 479,080 13,534,010
Wolverine Tube, Inc.* ........................... 292,694 8,158,845
Water Corporation* .............................. 262,300 9,410,013
-----------
59,851,241
-----------
Miscellaneous Finance -- 16.30%
CMAC Investment Corp. ........................... 418,408 19,978,982
Edwards (A.G.), Inc. ............................ 384,748 16,447,977
Everest Reinsurance Holdings, Inc. .............. 541,223 21,445,961
Executive Risk, Inc. ............................ 294,199 15,298,348
FINOVA Group, Inc. .............................. 258,335 19,762,627
First Financial Corp. ........................... 435,353 12,788,494
Idex Corp. ...................................... 410,686 13,552,638
PMI Group, Inc. ................................. 295,891 18,456,201
Scotsman Industries, Inc. ....................... 270,711 7,715,263
-----------
145,446,491
-----------
39
<PAGE>
Motor Vehicles -- 6.71%
Borg Warner Automotive .......................... 432,739 23,394,952
Harley-Davidson, Inc. ........................... 346,822 16,625,780
Myers Industries, Inc. .......................... 356,423 6,014,638
Tower Automotive, Inc.* ......................... 323,087 13,892,741
-----------
59,928,111
-----------
Non-Durables and Entertainment -- 1.29%
Lancaster Colony Corp. .......................... 328,361 11,530,713
-----------
Non-Ferrous Metals -- 1.91%
DT Industries, Inc. ............................. 476,232 17,025,294
-----------
Producer Goods -- 6.20%
Federal Signal Corp. ............................ 161,809 4,065,451
Hubbell, Inc. Class B ........................... 363,595 15,998,180
Juno Lighting, Inc. ............................. 666,537 10,831,226
Teleflex, Inc. .................................. 358,812 11,212,875
TriMas Corp. .................................... 470,027 13,219,509
-----------
55,327,241
-----------
Retail -- 4.80%
Kohls Corp.* .................................... 176,791 9,358,874
Proffitts, Inc.* ................................ 418,009 18,340,145
Zale Corp.* ..................................... 765,452 15,165,518
-----------
42,864,537
-----------
Travel and Recreation -- 1.91%
Callaway Golf Co. ............................... 480,482 17,057,111
-----------
TOTAL COMMON STOCKS ................................. 864,950,448
-----------
(Cost $584,192,556)
TOTAL INVESTMENTS ................................... $892,514,077
=============
(Cost $611,756,185)
<FN>
* Non-income producing security.
See Notes to Financial Statements.
</TABLE>
40
<PAGE>
Pegasus Small-Cap Opportunity Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 3.30%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97, (secured by various U.S. Treasury
obligations with maturities ranging from 8/15/97
through 2/15/07 at various interest rates ranging
from 0.00% to 12.00%, all held at Chase Bank) ... $5,902,955 $5,902,955
---------
(Cost $5,902,955)
<CAPTION>
Shares
------
<S> <C> <C>
COMMON STOCKS -- 96.70%
Apparel -- 1.01%
Culp, Inc. ...................................... 100,000 1,812,500
---------
Business Machines -- 5.93%
BDM International, Inc.* ........................ 80,000 1,840,000
Boole & Babbage, Inc. ........................... 55,450 1,178,313
Cort Business Services Corp.* ................... 156,400 4,613,800
Perceptron, Inc.* ............................... 110,000 2,983,750
----------
10,615,863
----------
Business Services -- 3.79%
Education Management Corp. ...................... 59,700 1,552,200
G & K Services, Inc., Class A ................... 26,700 994,575
Patterson Dental Co.* ........................... 65,000 2,230,313
RemedyTemp, Inc., Class A* ...................... 115,000 2,012,500
----------
6,789,588
----------
Chemicals -- 1.62%
Brady (W.H.) Co., Class A ....................... 100,000 2,900,000
----------
Containers -- 1.75%
Aptargroup, Inc. ................................ 69,200 3,131,300
----------
Domestic Oil -- 0.98%
Global Industries LTD* .......................... 75,000 1,751,948
----------
Drugs & Medicine -- 9.37%
Amerisource Health Corp., Class A* .............. 50,000 2,493,750
Arbor Health Care Co.* .......................... 65,000 2,015,000
Arrow International, Inc. ....................... 60,200 1,760,850
Chirex, Inc.* ................................... 150,000 1,781,250
EmCare Holdings, Inc.* .......................... 40,000 1,465,000
Marquette Medical Systems, Inc., Class A* ....... 115,000 2,530,000
Multicare Companies, Inc.* ...................... 110,000 3,011,250
Universal Health Services, Inc., Class B ........ 45,000 1,732,500
----------
16,789,600
----------
Electronics -- 10.61%
Allen Telecom, Inc.* ............................ 80,000 1,660,000
Altron, Inc.* ................................... 100,000 1,500,000
Belden, Inc. .................................... 95,000 3,235,937
Burr Brown Corp.* ............................... 80,000 2,760,000
DuPont Photomasks, Inc.* ........................ 60,000 3,240,000
Holphane Corp.* ................................. 120,000 2,400,000
41
<PAGE>
Methode Electronics, Inc., Class A .............. 120,000 2,385,000
MTS Systems Corp. ............................... 60,000 1,830,000
----------
19,010,937
----------
Energy Raw Materials -- 3.73%
Doncasters Plc Adr* ............................. 100,000 2,312,500
Swift Energy Co.* ............................... 100,000 2,387,500
Unit Corp.* ..................................... 190,000 1,983,125
----------
6,683,125
----------
Insurance -- 4.02%
Capital RE Corp. ................................ 75,000 4,012,500
CapMac Holdings, Inc. ........................... 95,000 3,194,375
----------
7,206,875
----------
Media -- 1.46%
SPSS, Inc.* ..................................... 90,000 2,610,000
----------
Miscellaneous & Conglomerates -- 17.41%
Essex International, Inc.* ...................... 125,000 3,484,375
General Cable Corp.* ............................ 100,000 2,562,500
Greenfield Industries, Inc. ..................... 50,000 1,350,000
IHOP Corp.* ..................................... 55,000 1,705,000
Littelfuse, Inc.* ............................... 90,000 2,542,500
OmniQuip International, Inc.* ................... 180,000 4,162,500
Pameco Corp., Class A* .......................... 100,000 1,775,000
Panavision, Inc. ................................ 130,000 2,591,875
Racing Champions Corp.* ......................... 30,000 465,000
Robbins & Myers, Inc. ........................... 95,000 3,087,500
Rural Metro Corp.* .............................. 60,000 1,741,872
SBS Technologies, Inc.* ......................... 90,000 2,081,250
Stewart Enterprises, Inc., Class A .............. 50,000 2,100,000
Wolverine Tube, Inc.* ........................... 55,000 1,533,125
----------
31,182,497
----------
Miscellaneous Finance -- 11.21%
Arm Financial Group ............................. 70,000 1,400,000
BA Merchant Services, Inc. ...................... 100,000 1,906,250
CMAC Investment Corp. ........................... 76,400 3,648,100
Delta Financial Corp. ........................... 75,000 1,434,375
Executive Risk, Inc. ............................ 55,000 2,860,000
First Financial Corp. ........................... 105,550 3,100,531
Idex Corp. ...................................... 84,000 2,772,000
Triad Guaranty, Inc.* ........................... 65,000 2,949,375
-----------
20,070,631
-----------
Motor Vehicles -- 5.96%
Borg Warner Automotive, Inc. .................... 75,000 4,054,687
Control Devices, Inc. ........................... 170,000 2,167,500
Dura Automotive Systems, Inc. ................... 100,000 2,800,000
Excel Industries, Inc. .......................... 85,000 1,657,500
-----------
10,679,687
-----------
42
<PAGE>
Non-Ferous Metals -- 2.10%
DT Industries, Inc. ............................. 105,000 3,753,750
-----------
Optical Photographic Equipment -- 0.51%
II-VI Inc.* ..................................... 43,600 915,600
-----------
Producer Goods -- 4.10%
Kuhlman Corp. ................................... 75,000 2,418,750
SPS Technologies, Inc.* ......................... 45,000 3,183,750
Watsco, Inc. .................................... 70,000 1,750,000
-----------
7,352,500
-----------
Retail -- 8.94%
Mens Warehouse, Inc.* ........................... 115,000 3,622,500
99 Cents Only Stores* ........................... 115,000 3,464,375
Pluma, Inc.* .................................... 220,000 3,382,500
Proffitts, Inc.* ................................ 90,000 3,948,750
Zale Corp.* ..................................... 80,000 1,585,000
-----------
16,003,125
-----------
Soaps & Cosmetics -- 1.04%
Alberto Culver Co., Class A ..................... 80,000 1,865,000
-----------
Trucking & Freight -- 1.16%
US Freightways Corp. ............................ 80,000 2,070,000
-----------
TOTAL COMMON STOCKS ................................. 173,194,526
-----------
(Cost $134,104,497)
TOTAL INVESTMENTS ................................... $179,097,481
============
(Cost $140,007,452)
<FN>
* Non-income producing security.
See Notes to Financial Statements.
</TABLE>
43
<PAGE>
Pegasus Intrinsic Value Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 1.18%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97 (secured by various U.S. Treasury
obligations with maturities ranging from 08/15/97
through 2/15/07 at various interest rates ranging
from 0.00% to 12.00%, all held at Chase Bank) ... $ 5,779,495 $ 5,779,495
---------
(Cost $5,779,495)
CONVERTIBLE BONDS -- 12.12%
Consolidated Natural Gas Co., 7.25%, 12/15/15 ..... 4,670,500 4,979,921
Costco Wholesale Corp., 5.75%, 5/15/02 ............ 14,801,000 15,115,521
Hasbro Inc., 6.00%, 11/15/98 ...................... 1,976,000 2,931,890
Leucadia National Corp., 5.25% 2/1/03 ............. 9,526,857 10,348,548
Nac Re Corp., 5.25%, 12/15/02 ..................... 16,384,560 18,330,227
Potomac Electric Power Co., 5.00%, 9/01/02 ........ 8,334,000 7,688,115
----------
(Cost $55,267,702) 59,394,222
----------
<CAPTION>
Shares
------
<S> <C> <C>
NON-CONVERTIBLE PREFERRED -- 1.10%
Finance -- 1.10%
Salomon Inc., 7.625% Preferred .................. 153,392 5,387,894
----------
(Cost $4,307,714)
COMMON STOCKS -- 85.60%
Aerospace-- 4.84%
Lockheed Martin Corp. ........................... 229,170 23,733,418
----------
Apparel -- 7.00%
Payless Shoesource, Inc.* ....................... 392,106 21,443,297
Unifi, Inc. ..................................... 343,655 12,844,106
----------
34,287,403
----------
Banks -- 3.37%
Mercantile Bankshares Corp. ..................... 134,306 5,372,240
Pacific Century Financial Corp. ................. 240,614 11,128,398
----------
16,500,638
----------
Business Services -- 1.21%
Grey Advertising, Inc. .......................... 17,996 5,938,680
----------
Chemicals -- 2.66%
NCH Corp. ....................................... 208,711 13,044,438
----------
Consumer Durables -- 0.89%
National Presto Industries, Inc. ................ 108,736 4,383,420
----------
Domestic Oil -- 4.04%
Atlantic Richfield Co. .......................... 71,026 5,007,333
MAPCO, Inc. ..................................... 469,681 14,794,952
----------
19,802,285
----------
Drugs and Medicine -- 3.83%
Block Drug, Inc., Class A ....................... 123,666 5,410,388
Mid Ocean Ltd. .................................. 254,743 13,358,086
----------
18,768,474
----------
44
<PAGE>
Energy and Utilities -- 6.20%
Equitable Resources, Inc. ....................... 130,885 3,713,862
Sierra Pacific Resources ........................ 342,090 10,946,880
SJW Corp. ....................................... 6,519 342,247
Southwest Gas Corporation ....................... 143,100 2,844,112
St. Joeseph Light & Power Co. ................... 89,095 1,458,931
Washington Water Power Co. ...................... 565,145 11,090,970
----------
30,397,002
----------
Energy Raw Materials -- 1.78%
Ashland Coal, Inc. .............................. 305,888 8,717,808
----------
Food and Agriculture -- 1.74%
Farmer Brothers Co. ............................. 67,320 8,549,640
----------
Insurance -- 15.54%
Allmerica Property & Casualty Co. ............... 404,220 13,238,205
AMBAC, Inc. ..................................... 77,870 5,947,321
American National Insurance Co. ................. 96,871 8,645,736
Citizens Corp. .................................. 448,855 12,399,619
Financial Security Assurance Holdings ........... 226,479 8,818,526
Old Republic International Corp. ................ 555,594 16,841,443
RLI Corp. ....................................... 15,500 564,781
Safeco Corp. .................................... 207,461 9,685,835
----------
76,141,466
----------
International Oil -- 0.84%
Amoco Corp. ..................................... 47,304 4,112,492
----------
Miscellaneous and Conglomerates -- 2.87%
Guiness Plc Adr ................................. 287,239 14,054,719
----------
Miscellaneous Finance -- 8.36%
Federal National Mortgage Association ........... 379,657 16,562,536
Fund American Enterprises Holdings, Inc. ........ 219,790 23,077,950
Leucadia National Corp. ......................... 42,355 1,310,358
----------
40,950,844
----------
Motor Vehicles -- 0.79%
Ford Motor Co. .................................. 102,156 3,856,389
----------
Non-Durables and Entertainment -- 5.42%
Hasbro, Inc. .................................... 201,220 5,709,618
Lubys Cafeterias, Inc. .......................... 470,066 9,371,941
Sbarro, Inc. .................................... 413,219 11,466,827
----------
26,548,386
----------
Producer Goods -- 0.36%
Tennant Co. ..................................... 52,586 1,748,485
----------
Railroads and Shipping -- 3.41%
Alexander & Baldwin, Inc. ....................... 450,553 11,770,697
Illinois Central Corp. Series A ................. 141,921 4,958,365
----------
16,729,062
----------
45
<PAGE>
Retail -- 2.82%
Stanhome, Inc., ................................. 257,416 8,462,551
May Department Stores Co. ....................... 113,700 5,372,325
----------
13,834,876
----------
Tires and Rubber Goods -- 2.96%
Bandag, Inc. Class A ............................ 295,788 4,401,178
Bandag, Inc. .................................... 1,976 96,824
----------
14,498,002
----------
Tobacco -- 4.67%
Loews Corp. ..................................... 228,680 22,896,585
-----------
TOTAL COMMON STOCKS ................................. 419,494,512
-----------
(Cost $332,860,529)
TOTAL INVESTMENTS ................................... $490,056,123
============
(Cost $398,215,440)
<FN>
* Non-income producing security.
See Notes to Financial Statements.
</TABLE>
46
<PAGE>
Pegasus Growth and Value Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 2.73%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97 (secured by U.S. Treasury obligations
with marturities ranging from 8/15/97 through
2/15/07 at various interest rates ranging
from 0.00% to 12.00%, all held at Chase Bank) ... $26,381,758 $26,381,758
-----------
(Cost $26,381,758)
<CAPTION>
Shares
------
<S> <C> <C>
COMMON STOCKS -- 97.27%
Aerospace -- 1.78%
Boeing Co. ...................................... 324,000 17,192,250
----------
Apparel -- 1.76%
Russell Corp. ................................... 572,000 16,945,500
----------
Banks -- 5.46%
BankAmerica Corp. ............................... 278,000 17,948,375
Barnett Banks, Inc. ............................. 203,000 10,657,500
Norwest Corp. ................................... 428,000 24,075,000
----------
52,680,875
----------
Business Machines -- 2.56%
Electronic Data Systems Corp. ................... 602,000 24,682,000
----------
Business Services -- 5.82%
Auto Data Processing, Inc. ...................... 409,000 19,223,000
Deluxe Corp. .................................... 652,000 22,249,500
Waste Management, Inc. .......................... 456,000 14,649,000
----------
56,121,500
----------
Chemicals -- 3.52%
Great Lakes Chemical Corp. ...................... 191,000 10,003,625
Sigma-Aldrich Corp. ............................. 682,000 23,912,625
----------
33,916,250
----------
Construction -- 5.76%
Fluor Corp. ..................................... 254,000 14,017,625
Masco Corp. ..................................... 471,000 19,664,250
York International Corp. ........................ 476,000 21,896,000
----------
55,577,875
----------
Consumer Durables -- 2.11%
Rubbermaid, Inc. ................................ 685,000 20,378,750
----------
Containers -- 2.07%
Crown Cork & Seal Co., Inc. ..................... 374,000 19,985,625
----------
Drugs and Medicine -- 9.20%
Abbott Laboratories Corp. ....................... 354,000 23,629,500
Bristol-Myers Squibb Co. ........................ 418,000 33,858,000
Schering-Plough Corp. ........................... 654,000 31,310,250
----------
88,797,750
----------
47
<PAGE>
Electronics -- 7.93%
AMP, Inc. ....................................... 560,000 23,380,000
Hewlett Packard Co. ............................. 321,000 17,976,000
Lucent Technologies, Inc. ....................... 177,000 12,755,063
Motorola, Inc. .................................. 294,000 22,344,000
----------
76,455,063
----------
Energy and Utilities -- 8.55%
Enron Corp. ..................................... 426,000 17,386,125
FPL Group Inc. .................................. 468,000 21,557,250
MCN Corp. ....................................... 746,500 22,861,563
Pinnacle West Capital Corp. ..................... 687,000 20,652,937
----------
82,457,875
----------
Energy Raw Materials -- 2.50%
Schlumberger Ltd. ............................... 193,000 24,125,000
----------
Food and Agriculture -- 9.86%
ConAgra, Inc. ................................... 391,000 25,072,875
CPC International, Inc. ......................... 261,000 24,093,563
PepsiCo, Inc. ................................... 687,000 25,805,437
Sysco Corp. ..................................... 551,000 20,111,500
----------
95,083,375
----------
Insurance -- 3.68%
American International Group, Inc. .............. 105,000 15,684,375
Chubb Corp. ..................................... 297,000 19,861,875
----------
35,546,250
----------
International Oil -- 2.02%
British Petroleum PLC ADR ....................... 259,770 19,450,279
----------
Liquor -- 2.22%
Anheuser-Busch Companies, Inc. .................. 510,000 21,388,125
----------
Media -- 4.41%
Gannett Co., Inc. ............................... 185,000 18,268,750
Washington Post Co. Class B ..................... 61,000 24,278,000
----------
42,546,750
----------
Miscellaneous & Conglomerates -- 2.49%
Cognizant Corp. ................................. 592,000 23,976,000
----------
Miscellaneous Finance -- 1.70%
PMI Group, Inc. ................................. 263,000 16,404,625
----------
Non-Durables and Entertainment -- 1.92%
Kimberly-Clark Corp. ............................ 373,000 18,556,750
----------
Producer Goods -- 2.40%
Dover Corp. ..................................... 377,000 23,185,500
----------
48
<PAGE>
Retail -- 4.10%
Nordstrom, Inc. ................................. 490,000 24,040,625
Toys R Us* ...................................... 443,000 15,505,000
----------
39,545,625
----------
Telephone -- 3.45%
Century Telephone Enterprises, Inc. ............. 495,000 16,675,313
MCI Communications Corp. ........................ 435,000 16,652,322
----------
33,327,635
------------
TOTAL COMMON STOCKS ................................. 938,327,226
-----------
(Cost $675,300,618)
TOTAL INVESTMENTS ................................... $964,708,984
============
(Cost $700,886,627)
<FN>
* Non-income producing security.
See Notes to Financial Statements.
</TABLE>
49
<PAGE>
Pegasus Equity Index Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 0.10%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97 (secured by various U.S. Treasury
obligations with maturities ranging from 8/15/97
through 2/15/07 at various interest rates ranging
from 0.00% to 12.00%, all held at Chase Bank) ... $ 784,442 $ 784,442
----------
(COST $784,442)
<CAPTION>
Shares
------
<S> <C> <C>
COMMON STOCKS -- 99.90%
Aerospace -- 2.16%
Boeing Co. ...................................... 78,808 4,181,750
General Dynamics Corp. .......................... 9,041 678,075
Lockheed Martin Corp. ........................... 21,247 2,200,392
McDonnell Douglas Corp. ......................... 25,346 1,736,201
Northrop Grumman Corp. .......................... 5,668 497,721
Raytheon Co. .................................... 25,596 1,305,396
Rockwell International Corp. .................... 24,874 1,467,566
Textron, Inc. ................................... 18,048 1,197,936
TRW, Inc. ....................................... 15,942 905,705
United Technologies Corp. ....................... 25,164 2,088,612
----------
16,259,354
----------
Air Transport -- 0.41%
AMR Corp.* ...................................... 9,148 846,190
Delta Air Lines, Inc. ........................... 8,935 732,670
Federal Express Corp.* .......................... 10,809 624,220
Southwest Airlines Co. .......................... 20,953 542,159
US Airways Group, Inc.* ......................... 9,100 318,500
----------
3,063,739
----------
Apparel -- 0.49%
Fruit of the Loom, Inc., Class A* ............... 8,497 263,407
Liz Claiborne, Inc. ............................. 5,553 258,909
Nike, Inc., Class B ............................. 32,790 1,914,116
Reebok International Ltd. ....................... 6,193 289,523
Stride Rite Corp. ............................... 31,537 406,039
V.F. Corp. ...................................... 6,227 527,738
----------
3,659,732
----------
Banks -- 8.00%
Banc One Corp. .................................. 46,576 2,256,025
Bank of Boston Corp. ............................ 16,796 1,210,362
The Bank of New York Co., Inc. .................. 41,443 1,802,770
BankAmerica Corp. ............................... 79,480 5,131,428
Bankers Trust New York Corp. .................... 8,060 701,220
Barnett Banks, Inc. ............................. 19,751 1,036,928
Chase Manhattan Corp. ........................... 48,403 4,698,116
Citicorp ........................................ 51,056 6,155,439
Comerica, Inc. .................................. 13,393 910,724
Corestates Financial Corp. ...................... 23,736 1,275,810
Dean Witter, Discover & Co. ..................... 65,100 2,803,369
50
<PAGE>
First Bank System, Inc. ......................... 14,804 1,263,892
First Chicago NBD Corp. ......................... 34,501 2,087,310
First Union Corp. ............................... 31,226 2,888,405
Fleet Financial Group, Inc. ..................... 28,149 1,780,424
Fifth Third Bancorp ............................. 10,741 881,097
J.P Morgan and Co., Inc. ........................ 20,177 2,105,974
Keycorp ......................................... 24,841 1,387,991
MBNA Corp. ...................................... 36,594 1,340,255
Mellon Bank Corp. ............................... 29,600 1,335,700
Norwest Corp. ................................... 39,316 2,211,525
NationsBank Corp. ............................... 80,698 5,205,021
National City Corp. ............................. 21,905 1,150,013
PNC Bank Corp. .................................. 37,920 1,578,420
Republic NY Corp. ............................... 6,691 719,283
Suntrust Banks, Inc. ............................ 24,492 1,348,591
U.S. Bancorp .................................... 18,337 1,175,860
Wachovia Corp. .................................. 18,053 1,052,716
Wells Fargo & Co. ............................... 10,450 2,816,275
----------
60,310,943
----------
Business Machines -- 6.32%
AutoDesk, Inc. .................................. 8,200 314,163
Bay Networks, Inc.* ............................. 18,433 489,626
Ceridian Corp.* ................................. 7,345 310,326
Cisco System, Inc.* ............................. 72,374 4,858,105
Compaq Computer Corp.* .......................... 30,341 3,011,344
Dell Computer Corp.* ............................ 20,161 2,367,657
Digital Equipment Corp.* ........................ 16,379 580,431
DSC Communications Corp.* ....................... 12,900 287,025
Honeywell, Inc. ................................. 14,096 1,069,534
International Business Machines Corp. ........... 109,972 9,918,100
Microsoft Corp.* ................................ 134,143 16,952,321
Novell, Inc.* ................................... 32,170 223,179
Pitney Bowes, Inc. .............................. 18,448 1,282,136
Seagate Technology* ............................. 27,865 980,499
Silicon Graphics* ............................... 15,729 235,935
Sun Microsystems, Inc.* ......................... 39,267 1,461,466
Tandem Computers, Inc.* ......................... 20,900 423,225
Xerox Corp. ..................................... 36,335 2,865,923
----------
47,630,995
----------
Business Services -- 1.92%
Allergan, Inc. .................................. 9,200 292,675
Automatic Data Processing, Inc. ................. 31,779 1,493,613
Block (H.& R.), Inc. ............................ 8,057 259,838
Browning-Ferris Industries, Inc. ................ 21,635 719,364
Computer Associates internatinal, Inc. .......... 40,902 2,277,730
Computer Sciences Corp* ......................... 7,676 553,632
Deluxe Corp. .................................... 8,215 280,336
Dun & Bradstreet Corp. .......................... 18,167 476,884
51
<PAGE>
Ecolab, Inc. .................................... 11,194 534,514
Equifax, Inc. ................................... 16,600 617,313
First Data Corp. ................................ 48,529 2,132,243
Harland (John H.) Co. ........................... 12,385 282,532
Interpublic Group of Companies, Inc. ............ 8,088 495,896
Laidlaw Inc., Class B ........................... 34,015 469,832
Moore Corp. Ltd. ................................ 16,725 329,273
National Service Industries, Inc. ............... 5,761 280,489
U.S. West Media Group* .......................... 69,144 1,400,166
Waste Management, Inc. .......................... 50,275 1,615,084
----------
14,511,414
----------
Chemicals -- 3.27%
Air Products & Chemicals, Inc. .................. 11,190 909,188
Dow Chemical Co. ................................ 27,321 2,380,342
DuPont (E I) de Nemours & Co., Inc. ............. 123,582 7,770,218
Grace (W.R.) & Co. .............................. 9,445 520,656
Great Lakes Chemical Corp. ...................... 8,546 447,597
Hercules, Inc. .................................. 14,810 709,029
Minnesota Mining and Manufacturing Co. .......... 46,893 4,783,086
Monsanto Co. .................................... 67,511 2,907,192
Morton International, Inc. ...................... 13,635 411,607
PPG Industries, Inc. ............................ 20,140 1,170,637
Praxair, Inc. ................................... 17,003 952,168
Rohm & Haas Co. ................................. 6,141 553,073
Sigma-Aldrich Corp. ............................. 11,005 385,863
Union Carbide Corp. ............................. 16,045 755,117
----------
24,655,773
----------
Construction -- 0.44%
Armstrong World Industries, Inc. ................ 4,556 334,297
Centex Corp. (with warrants to purchase interest
in CDC L.P. Class B units
and shares of 3333 Holdings Corp) ............. 6,612 268,612
Fluor Corp. ..................................... 8,470 467,438
Kaufman & Broad Home Corp. ...................... 20,233 355,342
Masco Corp. ..................................... 14,697 613,600
Owens-Corning Fiberglas Corp. ................... 8,129 350,563
Pulte Corp. ..................................... 4,465 154,322
Sherwin Williams Co. ............................ 15,416 475,969
Stanley Works ................................... 7,117 284,680
----------
3,304,823
----------
Consumer Durables -- 0.35%
Black & Decker Corp. ............................ 10,929 406,422
Jostens, Inc. ................................... 11,665 312,039
Maytag Corp. .................................... 11,800 308,275
Newell Co. ...................................... 16,158 640,261
Rubbermaid, Inc. ................................ 16,441 489,120
Whirlpool Corp. ................................. 8,355 455,869
----------
2,611,986
----------
52
<PAGE>
Containers -- 0.14%
Ball Corp. ...................................... 3,457 103,926
Crown Cork & Seal Co., Inc. ..................... 13,130 701,634
Stone Container Corp. ........................... 17,556 251,270
----------
1,056,830
----------
Domestic Oil -- 1.19%
Amerada Hess Corp. .............................. 8,560 475,615
Ashland Oil, Inc. ............................... 8,240 382,130
Atlantic Richfield Co. .......................... 34,960 2,464,680
Kerr-McGee Corp. ................................ 4,408 279,357
Oryx Energy Co.* ................................ 14,900 314,763
Pennzoil Co. .................................... 7,062 542,009
Phillips Petroleum Co. .......................... 29,271 1,280,606
Sun Co., Inc. ................................... 9,600 297,600
Union Pacific Resources Group ................... 33,906 843,411
Unocal Corp. .................................... 29,993 1,164,103
USX-Marathon Group .............................. 31,654 914,009
----------
8,958,283
----------
Drugs and Medicine -- 11.22%
Abbott Laboratories ............................. 85,599 5,713,733
ALZA Corp.* ..................................... 9,600 278,400
American Home Products Corp. .................... 70,310 5,378,715
Amgen, Inc.* .................................... 28,792 1,673,535
Bausch & Lomb, Inc. ............................. 6,800 320,450
Bard C R, Inc. .................................. 8,500 308,656
Baxter International, Inc. ...................... 31,385 1,639,866
Becton Dickinson & Co. .......................... 14,362 727,076
Biomet, Inc. .................................... 15,200 283,100
Bristol-Myers Squibb Co. ........................ 110,416 8,943,696
Columbia/HCA Healthcare Corp. ................... 77,833 3,059,810
Guidant Corp. ................................... 8,209 697,765
Healthsouth Corp.* .............................. 35,138 876,254
Humana, Inc.* ................................... 17,137 396,293
Johnson & Johnson ............................... 146,818 9,451,409
Lilly (Eli) & Co. ............................... 60,788 6,644,888
Mallinckrodt Group, Inc. ........................ 7,538 286,444
Manor Care, Inc. ................................ 9,600 313,200
Medtronic, Inc. ................................. 26,952 2,183,112
Merck & Co., Inc. ............................... 134,374 13,907,709
Pall Corp. ...................................... 12,129 281,999
Pfizer, Inc. .................................... 73,488 8,781,816
Pharmacia & Upjohn Co. .......................... 59,708 2,074,853
St. Jude Medical, Inc.* ......................... 8,137 317,343
Schering-Plough Corp. ........................... 82,812 3,964,625
Tenet Healthcare Corp.* ......................... 33,462 989,220
53
<PAGE>
United Healthcare Corp. ......................... 19,225 999,700
United States Surgical Co. ...................... 9,200 342,700
Warner Lambert Co. .............................. 29,763 3,698,053
----------
84,534,420
----------
Electronics -- 6.05%
3Com Corp.* ..................................... 36,689 1,651,005
Advanced Micro Devices, Inc.* ................... 16,022 576,792
AMP, Inc. ....................................... 23,240 970,270
Andrew Corp.* ................................... 12,000 337,500
Boston Scientific Corp.* ........................ 19,466 1,195,942
EMC Corp.* ...................................... 27,937 1,089,543
General Signal Corp. ............................ 6,700 292,288
General Instrument Corp.* ....................... 11,161 279,025
Harris Corp. .................................... 5,406 454,104
Hewlett-Packard Co. ............................. 114,555 6,415,080
Intel Corp. ..................................... 91,495 12,975,134
Johnson Controls, Inc. .......................... 9,804 402,577
LSI Logic Corp.* ................................ 15,985 511,520
Lucent Technologies, Inc. ....................... 71,414 5,146,271
Micron Technology, Inc. ......................... 23,749 948,475
Motorola, Inc. .................................. 66,101 5,023,676
National Semiconductor Corp.* ................... 15,132 463,418
Northern Telecom Ltd. ........................... 28,373 2,581,943
Parametric Technology Corp. ..................... 14,000 595,875
Perkin Elmer Corp. .............................. 6,969 554,471
Raychem Corp. ................................... 5,603 416,723
Thermo Electron Corp.* .......................... 16,777 576,709
Texas Instruments, Inc. ......................... 21,693 1,823,568
Thomas & Betts Corp. ............................ 6,000 315,375
----------
45,597,284
----------
Energy and Utilities -- 3.15%
American Electric Power Co., Inc. ............... 20,280 851,760
Baltimore Gas & Electric Co. .................... 17,663 471,381
Carolina Power & Light Co. ...................... 16,718 599,758
Central & SouthWest Corp. ....................... 20,293 431,226
CINergy Corp. ................................... 15,367 534,964
Coastal Corp. ................................... 10,572 562,298
Columbia Gas System, Inc. ....................... 7,993 521,543
Consolidated Edison Co. of New York, Inc. ....... 26,877 791,192
Consolidated Natural Gas Co. .................... 9,603 516,761
Dominion Resources, Inc. ........................ 20,419 747,846
DTE Energy, Inc. ................................ 15,571 430,149
Duke Power Co. .................................. 39,188 1,878,575
Edison International ............................ 47,428 1,179,771
Enron Corp. ..................................... 27,583 1,125,731
Enserch Corp. ................................... 13,800 307,050
Entergy Corp. ................................... 29,924 819,170
FPL Group, Inc. ................................. 21,280 980,210
54
<PAGE>
General Public Utilities Corp. .................. 13,640 489,335
Houston Industries, Inc. ........................ 32,902 705,336
Nicor, Inc. ..................................... 8,000 287,000
Noram Energy, Inc. .............................. 16,273 248,163
Northern States Power Co. ....................... 7,451 385,589
ONEOK, Inc. ..................................... 5,300 170,594
Ohio Edison Co. ................................. 16,491 359,710
PP&L Resources, Inc. ............................ 21,745 433,541
Pacific Enterprises ............................. 5,882 197,782
Pacific Gas & Electric Co. ...................... 52,151 1,264,662
PacifiCorp ...................................... 31,880 701,360
PECO Energy Co. ................................. 23,809 499,989
Public Service Enterprise Group, Inc. ........... 23,597 589,925
Sonat, Inc. ..................................... 10,691 547,914
Southern Co. .................................... 71,819 1,571,041
Texas Utilities Co. ............................. 24,549 845,406
Unicom Corp. .................................... 23,024 512,284
Union Electric Co. .............................. 12,821 483,191
Williams Companies, Inc. ........................ 15,222 665,963
----------
23,708,170
----------
Energy Raw Materials -- 1.26%
Baker Hughes, Inc. .............................. 15,450 597,722
Barricks Gold Corp. ............................. 38,235 841,170
Burlington Resources, Inc. ...................... 11,774 519,528
Dresser Industries, Inc. ........................ 19,462 724,959
Halliburton Co. ................................. 14,054 1,113,780
Helmerich & Payne, Inc. ......................... 8,137 468,894
Occidental Petroleum Corp. ...................... 37,520 940,345
Rowan Companies, Inc.* .......................... 15,553 438,400
Schlumberger Ltd. ............................... 27,487 3,435,875
Western Atlas, Inc.* ............................ 5,727 419,503
----------
9,500,176
----------
Food and Agriculture -- 6.10%
Archer Daniels Midland Co. ...................... 61,940 1,455,590
Cardinal Health Inc. ............................ 12,100 692,725
Campbell Soup Co. ............................... 51,986 2,599,300
Coca-Cola Co. ................................... 277,419 18,725,783
ConAgra, Inc. ................................... 26,079 1,672,315
CPC International, Inc. ......................... 15,615 1,441,460
Darden Restaurants, Inc. ........................ 37,561 340,397
General Mills, Inc. ............................. 17,041 1,109,795
Heinz (H.J.) Co. ................................ 38,896 1,794,078
Hershey Foods Corp. ............................. 16,857 932,403
Kellogg Co. ..................................... 23,572 2,018,353
PepsiCo, Inc. ................................... 172,243 6,469,877
Pioneer Hi-Bred International, Inc. ............. 9,739 779,120
Quaker Oats Co. ................................. 13,800 619,275
Ralston-Purina Group ............................ 13,177 1,082,985
55
<PAGE>
Sara Lee Corp. .................................. 55,509 2,310,562
Sysco Corp. ..................................... 24,140 881,110
Whitman Corp. ................................... 11,800 283,200
Wrigley (Wm.) Jr Co. ............................ 11,762 788,054
----------
45,996,382
----------
Gold -- 0.10 %
Battle Mountain Gold Co. ........................ 23,473 133,502
Homestake Mining Co. ............................ 14,681 191,771
Placer Dome, Inc. ............................... 27,977 458,123
----------
783,396
----------
Insurance -- 3.35%
Allstate Corp. .................................. 49,710 3,628,830
American General Corp. .......................... 27,019 1,290,173
American International Group, Inc. .............. 51,436 7,683,253
AON Corp. ....................................... 18,253 944,593
Chubb Corp. ..................................... 17,534 1,172,586
CIGNA Corp. ..................................... 7,816 1,387,340
General Re Corp. ................................ 9,795 1,782,690
ITT Hartford Group, Inc. ........................ 12,002 993,166
Jefferson-Pilot Corp. ........................... 6,463 451,602
Lincoln National Corp. .......................... 11,498 740,184
Marsh & McLennan Companies, Inc. ................ 17,928 1,279,611
SAFECO Corp. .................................... 12,451 581,306
St. Paul Companies .............................. 11,161 851,026
Torchmark Corp. ................................. 9,429 671,816
Transamerica Corp. .............................. 6,815 637,628
UNUM Corp. ...................................... 19,298 810,516
USF&G Corp. ..................................... 13,609 326,616
----------
25,232,936
----------
International Oil -- 6.53%
Amoco Corp. ..................................... 57,122 4,966,044
Chevron Corp. ................................... 71,912 5,316,993
Exxon Corp. ..................................... 274,540 16,884,210
Mobil Corp. ..................................... 87,924 6,143,690
Royal Dutch Petroleum Co., N.Y. Registry ........ 236,240 12,697,900
Texaco, Inc. .................................... 29,689 3,228,679
----------
49,237,516
----------
Liquor -- 0.58%
Anheuser-Busch Companies, Inc. .................. 54,233 2,274,396
Brown Forman Corp. Class B ...................... 10,768 525,613
Seagram Co. Ltd. ................................ 39,428 1,586,977
----------
4,386,986
----------
Media -- 1.67%
Adobe System, Inc. .............................. 8,000 280,500
Cabletron System, Inc.* ......................... 16,806 475,820
Comcast Corp. Class A Special ................... 32,185 687,954
56
<PAGE>
Donnelley (R.R.) & Sons Co. ..................... 14,361 525,971
Dow Jones & Co., Inc. ........................... 10,552 424,059
Gannett Co., Inc. ............................... 17,741 1,751,924
Knight-Ridder, Inc. ............................. 12,559 616,176
McGraw Hill Companies, Inc. ..................... 9,911 582,891
New York Times Co. Class A ...................... 13,915 688,793
Tele-Communications, Inc. Class A* .............. 69,863 1,039,212
Time Warner, Inc. ............................... 63,990 3,087,517
Times Mirror Co. Class A ........................ 10,951 605,043
Tribune Co. ..................................... 12,467 599,195
Viacom, Inc. Class B Non-Voting* ................ 39,626 1,188,781
----------
12,553,836
----------
Miscellaneous and Conglomerates -- 0.38%
Aegon NV NTFL5 .................................. 1 66
Case Corp. ...................................... 6,265 431,502
Cognizant Corp. ................................. 18,167 735,763
Eastman Chemical Co. ............................ 8,252 524,002
ITT Corp.* ...................................... 11,858 724,079
ITT Industries, Inc. ............................ 17,186 442,540
----------
2,857,952
----------
Miscellaneous Finance -- 3.65%
Aetna, Inc. ..................................... 16,312 1,669,941
Ahmanson (H.F.) & Co. ........................... 9,453 406,479
American Express Co. ............................ 52,022 3,875,639
Beneficial Corp. ................................ 7,157 508,594
Countrywide Credit Industry ..................... 11,500 358,656
Federal Home Loan Mortgage Corp. ................ 77,662 2,669,631
Federal National MTG Assn. ...................... 120,478 5,255,853
Golden West Financial Corp. ..................... 6,635 464,450
Great Western Financial Corp. ................... 14,925 802,219
Greentree Financial Corp. ....................... 14,689 523,296
Household International, Inc. ................... 11,776 1,382,944
MBIA, Inc. ...................................... 5,041 568,687
Merrill Lynch & Co., Inc. ....................... 35,652 2,125,751
MGIC Investment Corp. ........................... 12,386 593,754
Providian Financial Corp. ....................... 11,231 360,796
Schwab Charles Corp. ............................ 19,300 785,269
Salomon, Inc. ................................... 11,971 665,887
Travelers, Inc. ................................. 71,836 4,530,158
----------
27,548,004
----------
Motor Vehicles -- 2.02%
Autozone, Inc.* ................................. 16,849 397,005
Chrysler Corp. .................................. 80,806 2,651,446
Cummins Engine Co., Inc. ........................ 4,900 345,756
Dana Corp. ...................................... 11,898 452,124
Eaton Corp. ..................................... 8,305 725,130
Fleetwood Enterprises ........................... 9,505 283,368
Ford Motor Co. .................................. 132,359 4,996,552
57
<PAGE>
General Motors Corp. ............................ 85,784 4,777,097
Genuine Parts Co. ............................... 18,165 615,339
----------
15,243,817
----------
Non-Durables and Entertainment -- 2.01%
American Greetings Corp. Class A ................ 8,425 312,779
CUC International, Inc.* ........................ 44,371 1,145,326
Harcourt General, Inc. .......................... 7,111 338,661
Hasbro, Inc. .................................... 11,511 326,625
Kimberly-Clark Corp. ............................ 63,098 3,139,126
Mattel, Inc. .................................... 28,507 965,675
McDonalds Corp. ................................. 77,605 3,749,292
Oracle Systems Corp.* ........................... 75,990 3,827,996
Service Corp. International ..................... 31,789 1,045,063
Wendy's International, Inc. ..................... 12,594 326,657
----------
15,177,200
----------
Non-Ferrous Metals -- 0.91%
Alcan Aluminum Ltd. ............................. 22,182 769,438
Allegheny Teledyne, Inc. ........................ 18,840 508,680
Aluminum Co. of America ......................... 18,969 1,429,788
Asarco, Inc. .................................... 10,081 308,731
Cyprus Amax Mineral Co. ......................... 13,078 320,411
Engelhard Corp. ................................. 17,991 376,687
Freeport McMoran Copper Class B ................. 23,905 744,043
Inco Limited .................................... 18,558 557,900
Newmont Mining Corp. ............................ 18,815 733,785
Phelps Dodge Corp. .............................. 6,738 573,993
Reynolds Metals Co. ............................. 7,160 510,150
----------
6,833,606
----------
Optical Photographic Equipment -- 0.60%
Corning Inc. .................................... 28,111 1,563,674
Eastman Kodak Co. ............................... 38,623 2,964,315
----------
4,527,989
----------
Paper and Forest Products -- 0.94 %
Bemis, Inc. ..................................... 4,177 180,655
Boise Cascade Corp. ............................. 7,849 277,168
Champion International Corp. .................... 10,768 594,932
Georgia-Pacific Corp. ........................... 10,387 886,790
International Paper Co. ......................... 32,379 1,572,405
James River Corp. of Virginia ................... 9,604 355,348
Mead Corp. ...................................... 7,840 488,040
Temple-Inland, Inc. ............................. 7,723 417,042
Union Camp Corp. ................................ 6,604 330,200
Westvaco Corp. .................................. 11,910 374,421
Weyerhaeuser Co. ................................ 21,792 1,133,184
Willamette Industries, Inc. ..................... 6,985 488,950
----------
7,099,135
----------
58
<PAGE>
Producer Goods -- 6.16%
Alco Standard Corp. ............................. 16,392 408,775
Allied Signal, Inc. ............................. 32,276 2,711,184
Applied Materials Co.* .......................... 19,342 1,369,655
Avery Dennison Corp. ............................ 11,909 477,848
Briggs & Stratton Corp. ......................... 7,993 399,650
Caterpillar, Inc. ............................... 21,370 2,294,604
Conseco, Inc. ................................... 21,000 777,000
Cooper Industries, Inc. ......................... 12,499 621,825
Deere & Co. ..................................... 29,106 1,597,192
Dover Corp. ..................................... 12,069 742,244
Emerson Electric Co. ............................ 50,814 2,797,946
FMC Corp.* ...................................... 3,747 297,652
Foster Wheeler Corp. ............................ 7,400 299,700
General Electric Co. ............................ 362,428 23,693,731
Grainger (W.W.), Inc. ........................... 4,833 377,880
Harnischfeger Industries, Inc. .................. 7,400 307,100
Illinois Tool Works, Inc. ....................... 25,428 1,269,810
Ingersoll-Rand Co. .............................. 10,413 643,003
Millipore Corp. ................................. 6,800 299,200
Parker-Hannifin Corp. ........................... 8,651 525,008
Snap-On, Inc. ................................... 7,237 284,957
Tenneco, Inc. ................................... 18,607 840,803
Timken Co. ...................................... 15,122 537,776
Tyco International Ltd. ......................... 17,416 1,211,500
Westinghouse Electric Corp. ..................... 70,324 1,626,242
----------
46,412,285
----------
Railroads and Shipping -- 0.81%
Burlington Northern Santa Fe .................... 17,659 1,587,103
CSX Corp. ....................................... 23,142 1,284,381
Norfolk Southern Corp. .......................... 13,375 1,347,531
Union Pacific Corp. ............................. 27,045 1,906,673
----------
6,125,688
----------
Retail -- 4.51%
Albertsons, Inc. ................................ 26,979 984,734
American Stores Co. ............................. 16,247 802,196
Circuit City Stores, Inc. ....................... 14,591 518,892
Dayton Hudson Corp. ............................. 21,480 1,142,468
Dillard Department Stores Class A ............... 10,894 377,205
Federated Department Stores, Inc.* .............. 20,305 705,599
Gap, Inc. ....................................... 34,858 1,355,104
Home Depot, Inc. ................................ 53,328 3,676,299
Kmart Corp.* .................................... 59,393 727,564
Kroger Co.* ..................................... 27,858 807,882
Limited, Inc. ................................... 30,520 618,030
Lowes Companies, Inc. ........................... 20,725 769,416
May Department Stores Co. ....................... 27,699 1,308,778
Melville Corp. .................................. 18,345 940,181
59
<PAGE>
Mercantile Stores, Inc. ......................... 5,400 339,863
Nordstrom, Inc. ................................. 7,484 367,184
Penney (J.C.) & Co., Inc. ....................... 28,640 1,494,650
Price/Costco, Inc.* ............................. 25,426 835,879
Rite-Aid Corp. .................................. 13,649 680,744
Sears, Roebuck & Co. ............................ 44,812 2,408,645
Tandy Corp. ..................................... 6,580 368,480
TJX Companies, Inc. ............................. 17,138 452,015
Toys R Us* ...................................... 28,561 999,635
Wal Mart Stores, Inc. ........................... 252,421 8,534,985
Walgreen Co. .................................... 31,023 1,663,608
Winn-Dixie Stores, Inc. ......................... 18,270 680,558
Woolworth Corp.* ................................ 18,479 443,496
----------
34,004,090
----------
Soaps and Cosmetics -- 3.33%
Alberto-Culver Co. Cl B ......................... 11,000 308,000
Avon Products, Inc. ............................. 17,194 1,213,252
Clorox Co. ...................................... 4,786 631,752
Colgate-Palmolive Co. ........................... 32,872 2,144,898
Gillette Co. .................................... 62,223 5,895,629
International Flavors & Fragrances, Inc. ........ 10,688 539,744
Procter & Gamble Co. ............................ 74,848 10,572,280
Unilever N.V. ................................... 17,259 3,762,462
----------
25,068,017
----------
Steel -- 0.18%
Armco, Inc.* .................................... 85,322 330,623
Bethlehem Steel Corp.* .......................... 17,020 177,646
Nucor Corp. ..................................... 8,179 462,114
USX-U.S. Steel Group ............................ 5,637 197,647
Worthington Industries, Inc. .................... 9,134 167,266
----------
1,335,296
----------
Telephone -- 6.25%
AT&T Corp. ...................................... 180,664 6,334,534
AirTouch Communications, Inc.* .................. 56,025 1,533,684
ALLTEL Corp. .................................... 25,617 856,568
Ameritech Corp. ................................. 61,570 4,182,912
Bell Atlantic Corp. ............................. 48,882 3,708,922
Bellsouth Corp. ................................. 108,895 5,050,006
Frontier Corp. .................................. 18,361 366,072
GTE Corp. ....................................... 104,331 4,577,522
MCI Communications Corp. ........................ 74,188 2,840,006
NYNEX Corp. ..................................... 48,753 2,809,392
SBC Communications, Inc. ........................ 99,444 6,153,098
Sprint Corp. .................................... 49,944 2,628,303
60
<PAGE>
Tellabs, Inc.* .................................. 20,086 1,122,305
US WEST Communications Group .................... 51,184 1,928,997
Worldcom, Inc. .................................. 95,078 3,042,497
----------
47,134,818
----------
Tires and Rubber Goods -- 0.18%
Cooper Tire & Rubber Co. ........................ 12,703 279,466
Goodyear Tire & Rubber Co. ...................... 16,591 1,050,418
----------
1,329,884
----------
Tobacco -- 1.94%
Fortune Brands, Inc. ............................ 18,700 697,744
Loews Corp. ..................................... 13,695 1,371,212
Philip Morris Companies, Inc. ................... 269,385 11,953,959
UST, Inc. ....................................... 21,612 599,733
----------
14,622,648
----------
Travel and Recreation -- 1.23%
Brunswick Corp. ................................. 8,482 265,063
Disney (Walt) Co. ............................... 76,312 6,124,038
Harrahs Entertainment* .......................... 16,300 293,400
HFS, Inc.* ...................................... 17,521 1,016,218
Hilton Hotels Corp. ............................. 28,824 765,638
Marriott International, Inc. .................... 13,707 841,267
----------
9,305,624
----------
Trucking and Freight -- 0.10%
Caliber System, Inc. ............................ 11,953 445,250
PACCAR, Inc. .................................... 6,182 287,077
----------
732,327
----------
TOTAL COMMON STOCKS ................................. 752,913,354
-----------
(Cost $492,046,632)
TOTAL INVESTMENTS ................................... $753,697,796
============
(Cost $492,831,072)
<FN>
* Non-income producing security.
See Notes to Financial Statements.
</TABLE>
61
<PAGE>
Pegasus International Equity Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 7.27%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97 (secured by various U.S. Treasury
Strips with maturities ranging from 8/15/97
through 2/15/07, all held at Chase Bank) ........ $34,960,039 $34,960,039
----------
(Cost $34,960,039)
<CAPTION>
Shares
------
<S> <C> <C>
COMMON STOCKS -- 92.73%
Argentina -- 2.35%
Banks
Bco Frances Rio Pl ............................ 44,415 482,849
Bco De Galicia Bue 'B' ........................ 105,024 698,494
Construction
Astra Cia Argentin ............................ 235,670 489,074
Ciadea Sa ..................................... 30,520 133,694
Perez Companc Sa 'B' .......................... 248,760 1,985,345
Ypf Sa Class 'D' .............................. 103,300 3,145,866
Food & Agriculture
Molinos Rio Plata 'B' ......................... 61,742 245,763
Liquor & Tobacco
Ba Embotelladora 'B'* ......................... 150 11,401
Miscellaneous
Comercial Del Plata ........................... 87,590 292,586
Non-Ferrous Metals
Siderca Sa* ................................... 455,400 1,170,520
Siderar Sa 'A' ................................ 18,216 74,330
Telephone
Telefonica De Argentina Class 'B' ............. 745,600 2,580,088
----------
11,310,010
----------
Australia -- 1.58%
Banks
National Australia Bank ....................... 77,285 1,098,319
Westpac Bank Corp ............................. 100,910 602,502
Chemicals
Ici Australia ................................. 18,853 184,313
Construction
Boral Limited ................................. 46,518 145,319
Csr Limited ................................... 50,166 192,794
Pioneer International ......................... 60,480 231,978
Energy Raw Material
Broken Hill Pty ............................... 88,739 1,295,198
Santos Limited ................................ 60,978 254,445
Food & Agriculture
Amcor Limited ................................. 38,213 251,918
Goodman Fielder Limited ....................... 55,124 80,527
Liquor & Tobacco
Coca-Cola Amatil .............................. 24,555 316,398
Fosters Brewing Gp ............................ 71,247 131,301
Southcorp Holdings ............................ 24,447 90,839
62
<PAGE>
Media
News Corporation (Aust Listing) ............... 88,019 418,713
News Corporation Preferred Limited Voting
Shares ...................................... 61,181 239,251
Multi-Industry & Conglomerates
Pacific Dunlop Limited ........................ 73,167 214,866
Non-Ferrous Metals
Aberfoyle ..................................... 2,400 6,652
Rio Tinto Limited ............................. 26,587 449,738
Mim Holding Limited ........................... 64,970 95,397
North Ltd ..................................... 17,715 67,019
WMC Ltd ....................................... 65,446 409,388
Railroad & Shipping
Brambles Inds Limited ......................... 13,527 265,411
Real Property
Gen Property Tst Units (Aust Listing) ......... 55,200 109,585
Lend Lease Corp ............................... 6,261 131,331
Westfield Trust Units ......................... 24,738 50,408
Westfield Trust New Units* .................... 1,002 2,042
Retail
Coles Myer Limited ............................ 46,375 239,370
----------
7,575,022
----------
Belgium -- 3.29%
Banks
Generale De Banque ............................ 5,183 1,996,788
Generale De Banque NNPR Strip ................. 353 157
Kredietbank ................................... 3,400 1,371,349
Kredietbank VVPR .............................. 80 31,599
Chemicals
Solvay ........................................ 2,525 1,489,012
Energy & Utilities
Electrabel .................................... 12,825 2,750,507
Tractebel Inv Cap ............................. 3,175 1,324,756
Soc Gen Belgique .............................. 2,675 28,722
Insurance
Fortis Ag ..................................... 11,278 2,330,891
Fortis Ag VVPR Strip .......................... 908 202
International Oil
Petrofina Sa .................................. 5,180 1,963,212
Non-Ferrous Metals
Union Miniere* ................................ 6,606 619,255
Other Energy Sources
Gpe Bruxelles Lam ............................. 8,800 1,476,050
Producer Goods
Bekaert Sa .................................... 630 427,156
----------
15,809,656
----------
Brazil -- 1.20%
Banks
Unibanco Holdings* ............................ 14,000 519,750
63
<PAGE>
Miscellaneous
Aracruz Celolose ADR .......................... 4,500 91,688
Electrobas ADR ................................ 35,000 1,038,734
PAO De Acucar GDR ............................. 20,000 455,000
Sider Nacional ADR ............................ 6,000 196,739
Cemig Ca Energy ADR ........................... 6,800 342,353
Compania Vale ADR ............................. 21,000 468,161
Klabin Fabricadora ADR ........................ 4,000 38,642
Multicanal Partici ADR* ....................... 28,000 381,500
Petrol Brasileiros ADR ........................ 21,000 575,448
Telephone
Telecomunicacoex Brasileiras ADR .............. 11,000 1,669,250
----------
5,777,265
----------
Denmark -- 2.78%
Banks
Den Danske Bank ............................... 16,750 1,631,875
Unidanmark 'A' (Regd) ......................... 11,735 660,133
Business Machine
Iss International Series 'B'* ................. 8,042 288,656
Sophus Berendsen 'B' .......................... 6,927 1,002,896
Drugs & Medicine
Novo-Nordisk As 'B' ........................... 19,932 2,176,352
Food & Agriculture
Danisco ....................................... 17,858 1,093,449
Liquor & Tobacco
Carlsberg 'A' ................................. 7,300 401,842
Carlsberg 'B' ................................. 6,705 370,100
Railroad & Shipping
D/S 1912 'B' .................................. 54 1,934,181
D/S Svendborg 'B' ............................. 40 2,069,158
Telephone
Tele Danmark 'B' .............................. 33,385 1,737,041
----------
13,365,683
----------
Finland -- 4.03%
Banks
Merita Ltd 'A' ................................ 386,000 1,285,613
Construction
Metro AB 'A' .................................. 8,600 264,908
Metro AB 'B' .................................. 8,600 259,113
Rauma Oy ...................................... 3,592 82,292
Electronics
Nokia (AB) Oy Series 'K' ...................... 51,200 3,814,676
Nokia (AB) Oy Series 'A' ...................... 83,000 6,198,329
Food & Agriculture
Cultor Oy Series 2 ............................ 5,800 304,837
Cultor Oy Series 1 ............................ 9,200 487,077
64
<PAGE>
Insurance
Pohjola Series 'B' ............................ 11,500 340,954
Sampo 'A' ..................................... 6,900 670,837
Non-Ferrous Metals
Outokumpo Oy 'A' .............................. 58,100 1,152,100
Paper & Forest Products
UPM-Kymmene Oy ................................ 129,000 2,980,216
Producer Goods
Kone Corp 'B' ................................. 3,800 453,578
Retail
Kesko ......................................... 42,000 591,885
Stockmann Oy 'A' .............................. 5,000 300,332
Travel & Recreation
Amer Group 'A'* ............................... 11,000 198,007
----------
19,384,754
----------
France -- 4.89%
Banks
Banque National Paris ......................... 10,336 426,402
Cie De Suez ................................... 158,540 390,211
Cie Fin Paribas 'A' ........................... 6,021 416,378
Societe Generale .............................. 6,208 693,662
Chemicals
Air Liquide ('L') ............................. 4,999 794,433
Air Liquide ('L') (Regd) ...................... 1,095 174,016
Rhone Poulenc Sa'A' ........................... 17,824 728,633
Construction
Cie De St Gobain .............................. 5,008 731,034
Inmetal ....................................... 1,100 145,956
Lafarge (Br) .................................. 5,119 318,688
Consumer Durables
Bic ........................................... 2,100 343,744
Printemps (Av) ................................ 1,250 601,267
Drugs & Medicine
L'Oreal ....................................... 3,828 1,614,415
Sanofi ........................................ 6,945 681,377
Electronics
Alcatel Alsthom (Cge) ......................... 8,524 1,068,597
Csf (Thomson) ................................. 6,965 179,614
Legrand ....................................... 1,950 343,770
Schneider Sa (Ex-SB) .......................... 8,816 469,711
Energy & Utilities
Eaux (Cie Generale) ........................... 8,469 1,086,225
Eaux (Cie Generale) Wts* ...................... 8,469 5,078
Lyonnaise Des Eaux ............................ 3,306 333,363
Food & Agriculture
DaNone (Ex Bsn) ............................... 5,713 944,879
Eridania Beghin Sa ............................ 1,611 241,474
Insurance
Axa ........................................... 18,412 1,146,254
65
<PAGE>
International Oil
Elf Aquitaine (Soc Nat) ....................... 14,066 1,518,982
Total B ....................................... 12,139 1,228,180
Liquor & Tobacco
Lvmh Moet-Hennessy ............................ 5,050 1,359,068
Pernod-Ricard ................................. 3,864 199,422
Media
Canal Plus .................................... 1,550 302,030
Havas ......................................... 2,850 205,585
Multi-Industry & Conglomerates
Worms & Cie ................................... 2,800 165,970
Motor Veheciles
Peugeot Sa .................................... 3,843 371,802
Miscellaneous Finance
CIE Bancaire .................................. 1,634 208,740
Non-Ferrous Metals
Usinor Sacilor ................................ 15,950 287,978
Producer Goods
Michelin (Cgde) Class 'B' ..................... 7,589 456,172
Valeo ......................................... 3,450 214,489
Real Property
Sefimeg (Regd) ................................ 3,836 245,021
Retail
Carrefour ..................................... 2,579 1,874,858
Casino Guichard-Perrachon ..................... 4,250 210,584
Promodes ...................................... 1,133 441,742
Travel & Recreation
Accor ......................................... 2,351 352,394
----------
23,522,198
----------
Germany -- 5.72%
Air Transport
Lufthansa Ag .................................. 28,070 540,448
Banks
Bayer Vereinsbank ............................. 17,240 706,406
Deutsche Bank ................................. 26,290 1,544,932
Dresdner Bank ................................. 30,190 1,058,578
Chemicals
Basf (Var) .................................... 32,810 1,211,640
Bayer (Var) ................................... 40,250 1,552,222
Schering ...................................... 3,900 418,081
Construction
Hochtief ...................................... 10,470 468,662
Drugs and Medicine
Beiersdorf AG Ser 'A B C' ..................... 6,200 334,455
Electronics
Siemens AG .................................... 31,690 1,899,544
SAP AG ........................................ 3,250 652,412
SAP AG N/V Pref ............................... 2,200 453,879
66
<PAGE>
Energy & Utilities
Deutsche Telekom .............................. 109,500 2,692,673
Rwe AG ........................................ 16,160 695,539
Rwe AGN/V Pref ................................ 9,750 340,474
Veba .......................................... 26,250 1,483,830
Insurance
Allianz (Regd) ................................ 11,500 2,458,345
Munchener Ruckvers Reg Vink ................... 495 1,403,301
Miscellaneous
Metro AG* ..................................... 6,358 693,255
Motor Vehicles
Daimler-Benz (Var) ............................ 25,790 2,100,160
Volkswagen (Var) .............................. 1,356 1,028,750
Producer Goods
Linde ......................................... 556 432,347
Mannesmann (Var) .............................. 2,496 1,115,837
Man AG Non Vtg Pref (Var) ..................... 1,500 380,480
Steel
Preussag Br (Var) ............................. 2,174 640,023
Thyssen ....................................... 1,816 437,186
Viag (Var) .................................... 1,419 648,615
Viag (RFD 01/01/96)* .......................... 204 92,369
----------
27,484,443
----------
Hong Kong -- 2.18%
Air Transport
Cathay Pacific Airways ........................ 127,000 263,105
Banks
Bank of East Asia ............................. 8,716 36,339
Hang Seng Bank ................................ 97,000 1,383,518
Energy & Utilities
China Light & Power ........................... 88,700 502,619
Hong Kong Electric ............................ 20,000 80,544
Hong Kong & China Gas ......................... 259,123 518,428
Multi-Industry & Conglomerates
Hutchinson Wampoa ............................ 180,000 1,556,675
Miscellaneous Finance
Swire Pacific 'A' ............................. 85,000 765,268
Wharf (Holdings) .............................. 92,000 399,004
Wing Lung Bank ................................ 53,540 341,394
Real Property
Cheung Kong (Holdings) ........................ 123,000 1,214,555
Hopewell Holdings ............................. 217,000 137,248
Hysan Development ............................. 60,000 176,965
New World Development Co ...................... 75,089 447,784
Sun Hung Kai Properties ....................... 107,700 1,296,329
Telephone
Hong Kong Telecomm ............................ 569,896 1,360,874
----------
10,480,649
----------
67
<PAGE>
Ireland -- 3.97%
Banks
Allied Irish Banks ............................ 465,362 3,561,152
Bank of Ireland (Dublin Listing) .............. 187,790 2,053,941
Construction
CRH ........................................... 407,968 4,259,020
Food & Agriculture
Greencore Group ............................... 235,322 1,153,781
Kerry Group 'A' ............................... 162,538 1,569,323
Insurance
Irish Life .................................... 328,549 1,685,220
Media
Independent News (Dublin Listing) ............. 271,387 1,596,729
Paper & Forest Products
Smurfit(Jefferson) (Dublin Listing) ........... 1,097,051 3,177,646
----------
19,056,812
----------
Japan -- 18.81%
Air Transport
Japan Airlines Co* ............................ 110,000 500,830
Bank
Asahi Bank .................................... 114,000 971,336
Bank of Tokyo MITS -- Ex Mitsubishi Bank ...... 142,000 2,854,146
Dai-Ichi Kangyo Bank .......................... 155,000 2,113,082
Fuji Bank ..................................... 144,000 2,164,467
Industrial Bank of Japan ...................... 106,000 1,648,868
Joyo Bank ..................................... 62,000 342,969
Sakura Bank ................................... 127,000 974,447
Sumitomo Bank ................................. 150,000 2,464,388
Tokai Bank .................................... 97,000 1,000,262
Business Machine
CaNon Inc ..................................... 45,000 1,226,951
Fujitsu ....................................... 118,000 1,639,605
Ricoh ......................................... 75,000 983,134
Chemicals
Asahi Chemical Industries ..................... 140,000 838,067
Dainippon Ink & Chemical ...................... 82,000 353,998
Mitsubishi Gas Chemical ....................... 34,000 139,054
Sekisui Chemical .............................. 40,000 405,488
Shin-Etsu Chemical ............................ 32,000 850,126
Showa Denko Kk* ............................... 131,000 343,441
Sumitomo Chemical ............................. 135,000 612,296
Toray Industries Inc .......................... 147,000 1,049,541
Construction
Chichibu Onoda Cement ......................... 67,000 262,894
Daiwa House Industry .......................... 60,000 734,073
Fujita Corp ................................... 35,000 61,173
Haseko Corp* .................................. 136,000 217,495
Kajima Corp ................................... 36,000 211,098
Nihon Cement Co ............................... 34,000 162,824
68
<PAGE>
Obayashi Corp ................................. 35,000 234,598
Sato Kogyo Co ................................. 65,000 136,328
Sekisui House ................................. 106,000 1,074,543
Shimizu Corp .................................. 56,000 336,205
Taisei Corp ................................... 73,000 338,748
Toto .......................................... 40,700 501,503
Consumer Durables
Matsushita Electric Industries ................ 146,000 2,947,303
Sanyo Electric Co ............................. 154,000 691,741
Sharp Corp .................................... 63,000 869,877
Drugs & Medicine
Daiichi Pharm Co .............................. 45,000 794,372
Sankyo Co ..................................... 46,000 1,547,671
Takeda Chemical Industries .................... 78,000 2,194,878
Electronics
Hitachi ....................................... 201,000 2,248,361
Kyocera ....................................... 17,000 1,351,918
Mitsubishi Electric Corp ...................... 125,000 700,210
Omron Corp .................................... 36,000 764,485
Sony .......................................... 35,200 3,073,039
Energy & Utilities
Kansai Electric Power ......................... 59,100 1,141,405
Osaka Gas Co .................................. 241,000 692,904
Tokyo Electric Power .......................... 95,500 2,011,316
Tokyo Gas Co .................................. 137,000 380,722
Food & Agriculture
Ajinomoto Co .................................. 74,000 795,421
Yamazaki Baking Co ............................ 20,000 353,054
International Oil
Japan Energy Corp ............................. 138,000 361,793
Nippon Oil Co ................................. 120,000 657,520
Media
Dai Nippon Printing ........................... 59,000 1,335,401
Multi-Industry
Itochu Corp ................................... 167,000 900,454
Marubeni Corp ................................. 208,000 945,206
Mitsubishi .................................... 78,000 974,744
Sumitomo Corp ................................. 74,000 704,885
Miscellaneous Finance
Daiwa Securities .............................. 149,000 1,177,104
Mitsubishi Trust & Banking .................... 50,000 790,876
Nomura Securities ............................. 127,000 1,753,561
Yamaichi Securities ........................... 141,000 420,178
Motor Vehicles
Honda Motor Co ................................ 60,000 1,808,966
Nissan Motor Co ............................... 131,000 1,017,731
Toyota Motor Corp ............................. 182,000 5,375,862
69
<PAGE>
Non-Ferrous Metals
Mitsubishi Steel* ............................. 17,000 60,168
Tostem Corp ................................... 19,000 526,348
Paper & Forest Products
Daishowa Paper Manufacturing* ................. 13,000 71,572
Oji Paper Co .................................. 48,000 297,404
Producer Goods
Bridgestone Corp .............................. 53,000 1,232,019
Komatsu ....................................... 70,000 568,907
Kubota Corp ................................... 136,000 666,748
Mitsubishi Heavy Industries ................... 247,000 1,897,343
Denso Corp .................................... 52,000 1,245,128
Sumitomo Heavy Industries ..................... 83,000 335,830
Toyo Seikan Kaisha ............................ 15,400 341,833
Toyoda Auto Loom .............................. 20,000 454,426
Railroad & Shipping
East Japan Railway ............................ 38 195,263
Hankyu Corp ................................... 89,000 492,327
Hitachi Zosen Corp ............................ 12,000 47,820
Mitsui Osk Lines* ............................. 94,000 193,865
Nagoya Railroad Co ............................ 98,000 404,230
Tokyu Corp .................................... 148,000 919,584
Real Property
Mitsubishi Estate ............................. 153,000 2,219,522
Retail
Ito-Yokado Co ................................. 32,000 1,859,652
Mycal Corp .................................... 78,000 1,124,705
Seven-Elevan Japan Npv ........................ 28,000 2,119,024
Steel
Kawasaki Steel Corp ........................... 131,000 427,012
Kobe Steel* ................................... 142,000 271,764
Nippon Steel Corp ............................. 341,000 1,090,675
Nkk Corp* ..................................... 139,000 298,820
Sumitomo Metal Industries ..................... 262,000 746,412
Telephone
Nippon Tel & Tel .............................. 104 999,738
Travel & Recreation
Fuji Photo Film ............................... 14,000 564,013
Nikon ......................................... 13,000 219,261
----------
90,422,348
----------
Malaysia -- 1.59%
Air Transport
Malaysian Airline Systems ..................... 42,000 104,833
Banks
Ammb Holdings Berhad .......................... 66,000 410,538
Commerce Asset Holding ........................ 18,000 47,425
Commerce Asset Holding (Rts for Warrants)* .... 2,250 20
Commerce Asset Holding (Rts for Shares)* ...... 3,600 48
RHB Capital ................................... 114,000 361,331
70
<PAGE>
Malayan Bkg Berhad ............................ 55,000 577,456
Public Bank Berhad ............................ 14,000 19,968
Public Bank Berhad (Alien Market) ............. 223,000 348,106
Construction
Hume Inds (M) Berhad .......................... 39,000 179,239
United Engineers Berhad ....................... 68,000 490,332
Consumer Durables
Tech Res Inds Berhad .......................... 115,000 197,741
Energy & Utilities
Tenaga Nasional ............................... 161,000 784,587
Food & Agriculture
Golden Hope Plants ............................ 159,000 273,399
Nestle Malay Berhad ........................... 19,000 142,274
Liquor & Tobacco
Rothmans Pall Mall ............................ 17,000 167,036
Miscellaneous
Malayan Utd Inds .............................. 394,000 287,226
Motor Vehicles
Edaran Otomobil ............................... 51,000 434,429
Multi-Industry & Conglomerates
Sime Darby Berhad ............................. 138,200 459,936
Producer Goods
Leader Univ Holdings .......................... 121,333 218,245
Railroad & Shipping
Malaysian Int Ship (Alien Market) ............. 22,000 57,092
Real Property
Hong Leong Properties ......................... 212,000 241,061
Steel
Sungei Way Holdings ........................... 40,000 75,436
Telephone
Telekom Malaysia .............................. 209,000 977,098
Travel & Recreation
Landmarks Berhad .............................. 108,000 126,656
Magnum Corp Berhad ............................ 284,250 427,951
Resorts World Berhad .......................... 69,000 207,765
----------
7,617,228
----------
Mexico -- 4.25%
Banks
Gpo Financiero Banamex-Ac Series 'B'* ......... 184,000 481,136
Gpo Financiero Banamex-Ac Series 'L'* ......... 109,017 256,284
Construction
Cemex Sa Ser 'A' .............................. 278,937 1,190,508
Food & Agriculture
Grupo Ind Bimbo Series 'A' .................... 142,000 1,017,535
Gpo Modelo Sa de C Ser 'C' (Mexican) .......... 188,200 1,291,810
Liquor & Tobacco
Empresas La Modern 'A'* ....................... 128,500 667,175
71
<PAGE>
Media
Fomento Economico Mexico Series 'B' ........... 167,100 993,628
Grupo Televisa Ptg Certs Repr 1 A,L,D Shs* .... 70,200 1,062,551
Miscellaneous
Carso Global Telec Ser 'A1'* .................. 16,000 62,153
Miscellaneous Finance
Gpo Financiero Inbursa Ser 'B' ................ 558 2,336
Grupo Financiero Bancomer Series 'B' .......... 1,056,800 510,165
Grupo Financiero Bancomer Series 'L' .......... 2,037 730
Grupo Carso Series 'A1' ....................... 207,900 1,445,326
Multi-Industry
Desc Sa de Cv Ser 'B' ......................... 109,100 792,755
Apasco Sa Com (Mexican) ....................... 79,900 564,507
GPO Mexico Ser 'B' (Mexican) .................. 203,300 756,511
Multi-Industry & Conglomerates
AlfaSa Series 'A' (Cpo) ....................... 229,601 1,564,442
Desc Sa de Cv Ser 'C' ......................... 1,091 7,818
Non-Ferrous Metals
Industrias Penoles ............................ 164,000 781,393
Paper & Forest Products
Kimberly Clark Mexico 'A' ..................... 384,500 1,522,626
Retail
Cifra Sa De Cv 'B' ............................ 663,500 1,217,812
Cifra Sa De Cv 'A' ............................ 81,151 148,335
Telephone
Telefonos De Mexico Series 'L' (Ltd Vtg) ...... 1,717,300 4,101,909
----------
20,439,445
----------
Netherlands -- 4.74%
Air Transport
Klm ........................................... 6,716 207,377
Bank
ABN Amro Holding .............................. 101,856 1,902,663
Chemicals
Akzo Nobel Nv ................................. 7,042 966,813
Construction
Hollandsche Benton ............................ 1,000 228,497
Electronics
Philips Electronic ............................ 23,823 1,709,527
Food & Agriculture
Ahold (Kon) Nv ................................ 12,176 1,029,104
Unilever Nv Cva ............................... 11,497 2,424,594
Insurance
ING Groep Nv Cva .............................. 57,829 2,671,090
International Oil
Royal Dutch Petroleum (Br) .................... 147,364 7,679,118
Liquor & Tobacco
Heineken Nv ................................... 3,181 543,879
72
<PAGE>
Media
Elsevier Nv ................................... 55,249 924,895
Wolters Kluwer Cva ............................ 5,473 667,602
Miscellaneous
Oce Nv ........................................ 1,500 193,843
Paper & Forest Products
KNP BT (Kon) Nv ............................... 7,455 170,078
Steel
Kon Hoogovens Nv Cva .......................... 2,415 134,843
Telephone
Kon Ptt Nederland ............................. 34,098 1,340,028
----------
22,793,951
Norway -- 3.97%
Air Transport
Helicopter Service ............................ 6,000 77,451
Banks
Den Norske Bank ............................... 115,000 450,839
Christiana Bank ............................... 70,000 239,045
Chemicals
Dyno Industrier ............................... 18,700 485,330
Construction
Aker As 'B' ................................... 10,500 183,587
Drugs & Medicine
Nycomed Series 'A' ............................ 38,010 560,742
Nycomed Series 'B' ............................ 28,368 406,874
Energy & Utilities
Hafslund Ser 'A' .............................. 49,997 300,496
Hafslund Ser 'B' .............................. 30,219 164,288
Food & Agriculture
Orkla As 'A' .................................. 25,757 1,903,419
Orkla As 'B' .................................. 7,350 498,983
Insurance
Storebrand Asa'A'* ............................ 159,650 952,998
International Oil
Norsk Hydro As ................................ 124,670 6,794,799
Miscellaneous
Transocean Offshore ........................... 2,000 137,963
Motor Vehicles
Petroleum Geo Svs* ............................ 17,412 839,586
Non-Ferrous Metals
ElkeMAsa ..................................... 27,248 534,107
Paper & Forest Products
Norske Skogsindust 'A' ........................ 16,700 575,996
Producer Goods
Aker Asa Ser 'A' .............................. 26,100 513,387
Kvaerner As Series 'A' ........................ 20,600 1,247,966
Kvaerner As Series 'B' ........................ 7,900 442,438
73
<PAGE>
Railroad & Shipping
Bergesen Dy As 'A' ............................ 36,050 854,371
Bergesen Dy As 'B' Non-Voting ................. 15,150 358,014
Leif Hoegh & Co ............................... 18,447 395,610
Unitor As ..................................... 11,600 166,375
----------
19,084,664
----------
Singapore -- 2.88%
Air Transport
Singapore Airlines (Alien Market) ............. 212,000 1,897,821
Bank
Dev Bank Singapore (Alien Market) ............. 110,250 1,387,908
Overseas Chinese Bank (Alien Market) .......... 199,699 2,067,032
United Overseas Bank (Alien Market) ........... 148,404 1,525,712
Consumer Durables
Amcol Hldgs ................................... 29,000 53,138
Energy & Utilities
Singapore Telecom ............................. 1,034,000 1,909,123
Liquor & Tobacco
Fraser & Neave ................................ 67,400 480,806
Straits Trading Co ............................ 87,000 189,838
Media
Singapore Press Holdings (Alien Market) ....... 51,800 1,043,354
Motor Vehicles
Cycle & Carriage .............................. 52,000 538,238
Miscellaneous
Singapore Tech Ind ............................ 100,000 257,370
Multi-Industry & Conglomerates
Keppel Land Ltd ............................... 84,000 223,240
Producer Goods
Jurong Shipyard (Nl) .......................... 24,000 104,067
Keppel Corp ................................... 134,000 595,097
Keppel Corp 'A'* .............................. 33,500 145,260
Real Property
City Developments ............................. 131,600 1,288,527
DBS Land ...................................... 50,000 158,059
----------
13,864,590
----------
Spain -- 5.20%
Banks
Argentaria Corp Bc ............................ 22,133 1,241,566
Banco Bilbao Vizcaya (Regd) ................... 39,331 3,201,142
Banco Central Hispan (Regd) ................... 28,684 1,051,246
Banco Santander (Regd) ........................ 80,499 2,484,975
Construction
Fomento Const Y Contra ........................ 3,214 410,628
Energy & Utilities
Empresa Nac Electricid ........................ 43,308 3,642,617
Gas Natural Sdg Sa ............................ 6,161 1,348,491
Iberdrola Sa .................................. 127,933 1,617,973
Union Electrical Fenosa ....................... 64,228 585,201
74
<PAGE>
Insurance
Corporation Mapfre ............................ 7,596 404,927
International Oil
Repsol Sa ..................................... 52,224 2,212,249
Liquor & Tobacco
Tabacalera Sa Series 'A' (Regd) ............... 7,489 402,788
Non-Ferrous Metals
Acerinox Sa (Regd) ............................ 2,227 418,083
Producer Goods
Zardoya-Otis .................................. 4,120 543,189
Railroad & Shipping
Autopistas Cesa ............................... 50,297 683,987
Real Property
Vallehermoso Sa ............................... 8,664 234,170
Telephone
Telefonica De Espana .......................... 156,436 4,531,292
----------
25,014,524
----------
Switzerland-- 3.80%
Banks
Credit Suisse Group (Regd) .................... 9,034 1,161,899
Schweiz Bangesellsch (Br) ..................... 1,026 1,175,306
Schweiz Bangesellsch (Regd) ................... 1,052 241,018
Schweiz Bankverein (Regd) ..................... 4,100 1,098,227
Construction
Holderbank Fn Glarus (Br) ..................... 558 527,820
Consumer Durables
Smh Ag Neuenburg (Regd) ....................... 725 98,343
Smh Ag Neuenburg (Br) ......................... 165 94,392
Drugs & Medicine
Roche Holdings Genusscheine Npv ............... 329 2,980,036
Roche Holdings (Br) ........................... 80 1,100,250
Novartis Ag (Regd) ............................ 2,010 3,217,985
Novartis Ag (Br) .............................. 970 1,551,627
Electronics
Abb (Br) ...................................... 410 621,532
Adecco Sa (Br) ................................ 135 51,857
Sgs Holding (Br) .............................. 79 169,071
Food & Agriculture
Nestle Sa (Regd) .............................. 1,764 2,330,462
Valora Holding Ag ............................. 80 17,011
Insurance
Zurich Versicherun (Regd) ..................... 3,950 1,574,202
Non-Ferrous Metals
Alusuisse-Lonza Holdings (Regd) ............... 218 226,097
Producer Goods
Sulzer Ag Ptg ................................. 13 11,147
----------
18,248,282
----------
75
<PAGE>
Thailand -- 1.15%
Banks
Bk of Ayudhya (Alien Mkt) ..................... 89,000 139,143
Bangkok Bank (Fr) ............................. 169,100 1,161,930
Ind Fin Corp Thail ............................ 55,100 62,215
Ind Fin Corp Thail (Alien Mkt) ................ 104,000 132,484
Siam Commercial Bank (Fr) ..................... 83,500 341,671
Thai Farmers Bank (Alien Mkt) ................. 220,400 935,881
Construction
Land & House (Alien Mkt) ...................... 26,300 54,823
Siam Cement (Fr) .............................. 37,600 650,253
Tipco Asphalt (Alien Mkt) ..................... 26,500 138,101
Energy Raw Materials
Ptt Explortn & Prd (Alien Mkt) ................ 72,200 1,047,952
International Oil
Banpu Co (Alien Mkt) .......................... 13,000 189,693
Media
Shinawatra C & Comms (Alien Mkt) .............. 32,900 176,533
Miscellaneous
Robinson Dept Stores .......................... 59,000 20,953
Miscellaneous Finance
Dhana Siam Fin & Sec (Alien Mkt) .............. 14,000 7,431
Phatra Thanakit Co (Alien Mkt) ................ 134,400 166,022
Telephone
Thai Tel & Telecom (Alien Mkt)* ............... 110,000 52,017
Utd Commns Indust (Alien Mkt) ................. 79,900 256,001
----------
5,533,103
----------
United Kingdon -- 14.35%
Air Transport
British Airways ............................... 71,777 817,693
Aerospace
British Aerospace ............................. 20,774 462,084
Banks
Abbey National ................................ 71,613 977,322
Barclays ...................................... 114,464 2,270,790
Hsbc Holdings (UK Regd) ....................... 84,660 2,508,014
Hsbc Holdings (UK Regd) ....................... 121,260 3,730,515
Lloyds Bank ................................... 326,179 3,344,017
Chemicals
Boc Group ..................................... 39,831 692,738
Imperial Chemical Industries .................. 77,314 1,075,069
Construction
English China Clay ............................ 43,354 148,998
Hanson ........................................ 69,197 343,766
Rmc Group ..................................... 26,670 432,994
Redland ....................................... 110,297 625,047
76
<PAGE>
Taylor Woodrow ................................ 107,986 318,106
Drugs & Medicine
Glaxo Holdings ................................ 191,752 3,957,249
Smithkline Beecham ............................ 161,414 2,969,831
Zeneca Group .................................. 57,538 1,901,804
Electronics
General Electric Co ........................... 163,908 979,324
Energy & Utilities
British Gas ................................... 254,516 936,136
Centrica* ..................................... 254,516 310,281
Energy Group .................................. 55,358 590,568
National Power ................................ 78,850 685,021
Scottish Power ................................ 2,356 15,331
Thames Water .................................. 50,555 583,502
Food & Agriculture
Associated British Foods ...................... 66,299 572,121
Cadbury Schweppes ............................. 54,993 490,116
Kingfisher .................................... 48,396 549,320
Sainsbury (J) ................................. 102,221 620,111
Tesco ......................................... 135,902 835,742
Unilever ...................................... 46,426 1,330,148
Insurance
Prudential Corp ............................... 197,160 1,908,096
Royal & Sun Alliance .......................... 106,535 785,467
International Oil
British Petroleum ............................. 363,126 4,511,479
Liquor & Tobacco
BAT Industries ................................ 181,710 1,625,508
Bass .......................................... 69,324 845,706
Grand Metropolitan ............................ 151,962 1,470,674
Guinness ...................................... 179,219 1,753,853
Imperial Tobacco .............................. 31,370 201,788
Safeway ....................................... 122,780 710,091
Media
British Sky Broadcasting ...................... 94,124 689,263
Carlton Communications ........................ 36,450 307,869
Reed International ............................ 40,000 387,449
Reuters Holdings .............................. 158,821 1,673,183
Multi-Industry
Inchcape ...................................... 14,451 68,064
Producer Goods
Btr ........................................... 317,897 1,087,252
Rolls Royce ................................... 122,412 467,561
Rio Tinto Plc (Regd) .......................... 85,419 1,487,735
Smiths Industries ............................. 42,710 546,978
Real Property
Mepc .......................................... 124,143 1,018,594
77
<PAGE>
Retail
Argos ......................................... 30,245 275,594
Boots Co ...................................... 62,274 729,126
Great Univ Stores ............................. 68,436 692,500
Marks & Spencer ............................... 185,891 1,540,705
Sears ......................................... 175,691 195,910
Steel
British Steel ................................. 232,983 577,753
Telephone
British Telecom ............................... 367,698 2,729,342
Cable & Wireless .............................. 147,251 1,354,011
Vodafone Group ................................ 260,601 1,268,626
Travel & Recreation
Emi Group ..................................... 28,368 508,719
Granada ....................................... 80,310 1,055,915
Ladbroke Group ................................ 199,568 780,532
Rank Group .................................... 86,224 546,028
Thorn ......................................... 28,368 81,206
------------
68,956,335
------------
TOTAL COMMON STOCKS ................................. 445,740,962
------------
(COST $372,986,848)
TOTAL INVESTMENTS ................................... $480,701,001
============
(COST $407,946,887)
<FN>
* Non-income producing security.
See Notes to Financial Statements.
</TABLE>
78
<PAGE>
Notes to Portfolio of Investments
(a) Forward Foreign Currency Contracts
As of June 30, 1997, the International Equity Fund had entered into one
forward foreign currency exchange contract that obligates the Fund to deliver
currency at a specified future date.
Outstanding contracts as of June 30, 1997 are as follows:
<TABLE>
<CAPTION>
U.S. Dollar U.S. Dollar Unrealized
Currency To Value As Of Currency To Value As Of Depreciation
Settlement Date Be Delivered June 30, 1997 Be Received June 30, 1997 at 6/30/97
--------------- ------------ ------------- ----------- ------------- ----------
<S> <C> <C> <C> <C> <C>
Nov. 19, 1997 ..................... 165,000,000 $6,032,894 5,978,261 $5,978,261 $(54,633)
Thailand Bahts U.S. Dollars
</TABLE>
(b) Financial Futures Contracts
Outstanding contracts as of June 30, 1997 as follows:
<TABLE>
<CAPTION>
Market Value Unrealized
Number Covered by Appreciation
Type of Contracts Expiration Date Contracts at 6/30/97
---- ------------ --------------- ----------- ----------
<S> <C> <C> <C> <C>
Financial Futures purchased long:
Japanese Yen -- TOPIX ((1)) ...................... 131 September 12, 1997 $17,721,572 $333,916
=========== ========
<FN>)
((1) Exchange traded local currency denominated futures contracts.
</TABLE>
79
<PAGE>
Pegasus Intermediate Bond Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- 4.72%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97, (secured by various U.S. Treasury
obligations with maturities ranging from 8/15/97
through 2/15/07 at various interest rates ranging
from 0.00% to 12.00%, all held at Chase Bank) ... $21,822,537 $21,822,537
----------
(Cost $ 21,822,537)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 82.43%
U.S. Treasury Securities -- 49.23%
Strips from U.S. Treasury Securities due:
5/15/98 ..................................... 6,600,000 6,282,078
11/15/98 .................................... 7,600,000 7,014,344
2/15/99 ..................................... 9,660,000 8,773,502
2/15/01 ..................................... 3,300,000 2,631,915
5/15/05 ..................................... 5,660,000 3,389,604
8/15/08 ..................................... 5,350,000 2,553,662
11/15/10 .................................... 5,000,000 2,027,550
U.S. Treasury Bonds:
12.75%, 11/15/10 ............................ 13,131,000 18,221,364
10.375%, 11/15/12 ........................... 7,765,000 9,856,658
12.50%, 8/15/14 ............................. 1,000,000 1,470,470
U.S. Treasury Notes:
5.875%, 7/31/97 ............................. 5,000,000 5,001,550
8.625%, 8/15/97 ............................. 3,000,000 3,011,731
8.75%, 10/15/97 ............................. 9,950,000 10,041,739
5.25%, 12/31/97 ............................. 19,140,000 19,116,075
7.875%, 1/15/98 ............................. 13,710,000 13,872,737
8.125%, 2/15/98 ............................. 8,300,000 8,420,599
7.875%, 4/15/98 ............................. 10,425,000 10,594,406
5.125%, 4/30/98 ............................. 3,320,000 3,303,931
7.00%, 4/15/99 .............................. 1,000,000 1,015,780
9.125%, 5/15/99 ............................. 8,700,000 9,160,839
6.875%, 7/31/99 ............................. 8,000,000 8,116,240
7.75%, 11/30/99 ............................. 31,000,000 32,080,040
7.125%, 2/29/00 ............................. 19,800,000 20,233,026
6.25%, 05/31/00 ............................. 2,900,000 2,901,363
8.75%, 08/15/00 ............................. 15,000,000 16,042,950
7.25%, 5/15/04 .............................. 1,000,000 1,042,340
3.375%, 1/15/07 ............................. 1,212,252 1,183,839
----------- -----------
(Cost $227,484,538) 226,523,252 227,360,332
----------- -----------
Agency Obligations -- 33.20%
Federal Home Loan Mortgage Corp. Participation
Ctf.:
#170269,12.00%, 8/1/15 ...................... 1,040,628 1,166,982
#252600, 7.50%, 9/1/08 ...................... 208,732 211,575
#252601, 8.00%, 6/1/01 ...................... 271,536 273,955
#555238, 12.00%, 7/1/19 ..................... 470,146 527,397
80
<PAGE>
Federal Home Loan Mortgage Corp. Gtd. Multi-Class
Mortgage Participation Ctfs.:
Series 10 Class D, 10.00%, 7/15/18 .......... 611,005 616,922
Series 11 Class D, 9.50%, 7/15/19 ........... 1,300,000 1,415,142
Series 18 Class A, 9.00%, 11/15/19 .......... 11,488 11,464
Series G-21 Class SD, IF, 8/25/22 ........... 2,100,000 1,874,695
Series 23 Class E, 9.40%, 8/15/19 ........... 270,604 276,463
Series G-29 Class SD, IF, IO, 4/25/24 ....... 10,662,726 343,692
Series 30 Class C, 9.50%, 5/15/18 ........... 168,982 169,753
Series 32 Class B, 9.50%, 8/15/19 ........... 432,526 433,032
Series 38 Class C, 9.50%, 1/15/19 ........... 121,032 122,373
Series 39 Class E, 10.00%, 10/15/19 ......... 221,807 223,885
Series 41 Class I, HB, 84.00%, 5/15/20 ...... 71,451 236,868
Series 47 Class F, 10.00%, 6/15/20 .......... 500,000 544,030
Series 99 Class Z, 9.50%, 1/15/21 ........... 1,536,084 1,631,966
Series 204 Class E, HB, IF, 5/15/23 ......... 7,008 165,524
Series 1072 Class A, HB, 1008.50%, 5/15/06 .. 15,982 365,925
Series 1079 Class S, IF, 5/15/21 ............ 733,166 806,629
Series 1084 Class F, AR, 5/15/21 ............ 500,000 509,922
Series 1084 Class S, IF, 5/15/21 ............ 350,000 434,241
Series 1098 Class M, HB, 10.08%, 6/15/06 .... 2,457 56,292
Series 1144 Class KB, 8.50%, 9/15/21 ........ 2,000,000 2,088,876
Series 1172 Class L, HB, 1167.776%, 11/15/21 15,195 509,356
Series 1196 Class B, HB, IF, 1/15/22 ........ 42,078 543,900
Series 1295 Class JB, 4.50%, 3/15/07 ........ 1,500,000 1,345,140
Series 1298 Class L, HB, 981.86%, 6/15/07 ... 6,000 238,567
Series 1329 Class S, IO, IF, 8/15/99 ........ 3,255,765 155,880
Series 1378 Class H, 10.00%, 1/15/21 ........ 1,500,000 1,692,494
Series 1389 Class SA, IF, 10/15/07 .......... 403,027 306,136
Series 1414 Class LB, IF, 11/15/07 .......... 1,225,830 1,159,479
Series 1418 Class B, 6.50%, 11/15/19 ........ 1,250,000 1,230,500
Series 1465 Class SA, IO, IF, 02/15/08 ...... 16,741,330 859,416
Series 1470 Class F, AR, 02/15/23 ........... 987,665 966,026
Series 1489 Class L, 5.50%, 4/15/08 ......... 1,107,607 1,083,639
Series 1506 Class F, AR, 5/15/08 ............ 1,930,583 1,950,644
Series 1506 Class SD, IO, IF, 5/15/08 ....... 9,581,164 466,028
Series 1506 Class S, IF, 05/15/08 ........... 329,766 299,453
Series 1531 Class K, 6.00%, 4/15/08 ......... 1,040,448 993,139
Series 1583 Class NS, IF, 9/15/23 ........... 982,727 713,970
Series 1586 Class A, 6.00%, 9/15/08 ......... 1,306,199 1,266,689
Series 1595 Class S, IO, IF, 10/15/13 ....... 16,417,717 710,493
Series 1628 Class S, IF, 12/15/23 ........... 2,500,000 1,434,350
Series 1635 Class O, AR, 12/15/08 ........... 2,254,078 2,259,325
Series 1640 Class A, 5.50%, 10/15/07 ........ 1,563,851 1,518,397
Series 1646 Class MB, AR, 10/15/22 .......... 1,285,681 1,239,527
Series 1647 Class FB, AR, 12/15/08 .......... 1,243,939 1,117,281
Series 1647 Class SB, IF, 12/15/08 .......... 666,396 651,983
Series 1655 Class F, AR, 12/15/08 ........... 970,128 978,824
Series 1655 Class SA, IF, 12/15/08 .......... 223,945 169,777
81
<PAGE>
Series 1689 Class SD, IF, 10/15/23 .......... 1,500,000 1,262,000
Series 1694 Class SE, IF, 5/15/23 ........... 1,038,856 943,454
Series 1723 Class F, IF, 05/15/24 ........... 1,728,782 1,703,915
Series 1796-A, Class S, IF, 2/15/09 ......... 1,391,843 1,086,500
Series 1807 Class G, 9.00%, 1/1/06 .......... 1,073,090 1,133,767
Series 1849 Class A, PO, 12/15/08 ........... 1,000,000 540,150
Series 1854 Class SE, IO, IF, 12/15/23 ...... 2,500,000 712,500
Series 1900 Class FA, AR, 03/015/09 ......... 3,000,000 3,017,985
Series 1900 Class I, PO, 10/15/08 ........... 1,000,000 644,619
Series 1956 Class A, 7.00%, 12/20/21 ........ 1,486,025 1,481,015
Series 1993 Class SJ, IF, IO, 03/15/12 ...... 5,906,433 498,326
Federal Housing Administration Project #07335307,
7.43%, 1/1/22 ............................... 984,693 1,001,630
Federal Housing Administration Greystone 1996-2,
7.43%, 11/1/22 .............................. 1,949,090 1,973,454
Federal National Mortgage Assn. Mortgage Backed
Securities
Stripped Trust 50, Class 2, IO, 10.50%, 3/25/19 204,467 67,741
Federal National Mortgage Assn. Pass Thru
Securities:
Guaranteed REMIC Trust:
1988 Class 7-Z, 9.25%, 4/25/18 .............. 589,321 621,276
1988 Class 17-B, 9.40%, 10/25/17 ............ 59,005 60,191
1989 Class 26-D, 10.00%, 5/25/04 ............ 650,770 679,510
1989 Class 27-D, 10.00%, 1/25/16 ............ 503,555 510,136
1989 Class 70-G, 8.00%, 10/25/19 ............ 2,000,000 2,071,818
1989 Class 73-C, PO, 10/25/19 ............... 243,763 212,492
1989 Class 78-H, 9.40%, 11/25/19 ............ 1,750,000 1,902,415
1990 Class 1-D, 8.80%, 1/25/20 .............. 814,263 854,611
1990 Class 60-K, 5.50%, 6/25/20 ............. 1,202,826 1,139,449
1990 Class 63-H, 9.50%, 6/25/20 ............. 755,000 817,878
1990 Class 93-G, 5.50%, 8/25/20 ............. 1,239,243 1,173,799
1990 Class 94-H, HB, 505.00%, 8/25/20 ....... 17,854 313,842
1990 Class 95-J, HB, 1118.04%, 8/25/20 ...... 7,750 340,773
1990 Class 102-J, 6.50%, 8/25/20 ............ 4,114,077 4,007,370
1990 Class 120-H, 9.00%, 10/25/20 ........... 900,000 973,163
1990 Class 134-SC, IF, 11/25/20 ............. 511,651 585,690
1990 Class 140-K, HB, 652.145%, 12/25/20 .... 15,191 479,770
1991 Class 4-N, HB, 758.75%, 1/25/06 ........ 2,562 43,843
1991 Class 7-K, HB, 908.50%, 2/25/21 ........ 1,357 39,805
1991 Class 20-M, HB, 908.75%, 3/25/06 ....... 1,373 27,547
1991 Class 33-J, HB, 1008.25%, 4/25/06 ...... 3,220 74,003
1991 Class 161-H, 7.50%, 2/25/21 ............ 416,377 420,024
1992 Class 13-S, HB, IF, 1/25/99 ............ 7,126 47,478
1992 Class 27-SQ, HB, IF, 5/25/22 ........... 2,881 481,182
1992 Class 85S, IF, 06/25/99 ................ 872,614 922,520
1992 Class 137-BA, 3.50%, 1/25/17 ........... 1,278,147 1,229,342
1992 Class 199-S, IO, IF, 11/25/99 .......... 6,816,525 275,953
1992 Class 204-B, 6.00%, 10/25/20 ........... 2,000,000 1,905,780
1992 Class 206-FA, IF, 06/25/18 ............. 1,250,000 1,210,494
1993 Class 8-SB, IO, IF, 8/25/06 ............ 9,252,810 422,483
82
<PAGE>
1993 Class 12-S, IO, IF, 2/25/23 ............ 3,625,613 230,995
1993 Class 12-SB, HB, IF, 2/25/23 ........... 39,988 354,284
1993 Class 19-G, 5.00%, 5/25/19 ............. 3,530,000 3,280,937
1993 Class 38-S, IO, IF, 5.25%, 11/25/22 .... 17,730,772 462,046
1993 Class 58-J, 5.50%, 4/25/23 ............. 1,183,786 1,140,622
1993 Class 94-K, 6.75%, 5/25/23 ............. 762,106 742,783
1993 Class 113-S, IO, IF, 7/25/23 ........... 6,428,404 419,511
1993 Class 139-S, IF, 08/25/23 .............. 2,597,473 1,699,142
1993 Class 152-D, PO, 8/25/23 ............... 700,000 610,070
1993 Class 155-LA, 6.50%, 5/25/23 ........... 1,550,753 1,529,130
1993 Class 155-SB, IO, IF, 9/25/23 .......... 6,627,681 506,348
1993 Class 156-SD, IF, 10/25/19 ............. 1,000,000 695,354
1993 Class 174-SB, IF, 11/25/07 ............. 1,394,135 1,273,589
1993 Class 187-FE, AR, 11/25/16 ............. 1,180,000 1,154,884
1993 Class 207-SC, IF, 11/25/23 ............. 2,350,434 1,586,153
1993 Class 209-KB, 5.659%, 8/25/08 .......... 3,599,652 3,366,971
1993 Class 214-L, 6.00%, 12/25/08 ........... 1,390,606 1,339,668
1993 Class 220-SD, IF, 11/25/13 ............. 1,242,669 859,401
1993 Class 223-FB, AR, 12/25/23 ............. 721,333 694,744
1993 Class 223-SB, IF, 12/25/23 ............. 651,339 546,549
1994 Class 12SB, IF, 01/25/09 ............... 2,188,734 1,961,758
1994 Class 19-C, 5.00%, 1/25/24 ............. 2,082,214 1,889,917
1994 Class 26-G, PO, 2/25/24 ................ 2,199,391 1,346,956
1994 Class 30-LA, 6.50%, 2/25/09 ............ 1,946,576 1,923,154
1994 Class 36-SG, IO, IF, 8/25/23 ........... 3,480,275 297,529
1994 Class 39-F, AR, 3/25/24 ................ 983,780 984,352
1994 Class 39-S, IF, 3/25/24 ................ 378,377 346,353
1994 Class 82-SA, IO, IF, 5/25/23 ........... 17,496,231 566,213
1995 Class 13-B, 6.50%, 3/25/09 ............. 2,357,920 2,293,087
1996 Class 20-L, PO, 9/25/08 ................ 1,655,000 979,581
1996 Class 24-K, PO, 2/25/08 ................ 1,500,000 1,035,993
1996 Class 46-A, 5.00%, 2/25/09 ............. 2,053,734 1,966,304
1997 Class 20, IO, IF, 03/25/27 ............. 18,942,108 1,149,786
1997 Class 29PL, IO, 7.50%, 08/18/26 ........ 1,700,000 791,554
1997 Class 32C, PO, 10/25/21 ............... 1,800,000 1,501,178
1997 Class 50FD6, 8.75%, 04/18/27 ........... 2,392,267 2,391,501
1997 Class MI, A, IF, 01/17/03 .............. 2,217,424 2,226,848
1992-G Class 42-Z, 7.00%, 7/25/22 ........... 704,702 671,193
1993-G Class 8-PG, 6.50%, 7/25/18 ........... 1,000,000 985,690
1993-G Class 19-K, 6.50%, 6/25/19 ........... 2,802,790 2,734,962
1993-G Class 27-SE, IF, 8/25/23 ............. 1,535,674 764,090
1993-G Class 13G, 6.00%, 06/25/20 ........... 1,000,000 966,680
1994-G Class 13-ZB, 7.00%, 11/17/24 ......... 2,634,689 2,454,055
Series 215 Class PM, 7.875%, 11/25/21 ....... 1,200,000 1,251,142
Series G-22 Class G, 6.00%, 12/25/16 ........ 1,500,000 1,413,701
Series X-G1C, Class C, 8.80%, 01/25/25 ...... 1,000,000 1,112,453
Series X, Class VO, IF, 12/25/22 ............ 2,000,000 1,745,174
83
<PAGE>
Federal National Mortgage Assn. Pass Thru Pool:
#111366, Adjustable Rate, 8/1/19 ............ 436,849 458,704
#116612, Adjustable Rate, 3/1/19 ............ 1,255,157 1,311,412
#160330, 6.345%, 3/1/99 ..................... 2,335,145 2,327,859
#303306, 12.50%, 1/1/16 ..................... 1,001,204 1,157,951
#303532, Adjustable Rate, 3/1/29 ............ 2,121,376 2,102,685
#54844, Adjustable Rate, 09/01/27 ........... 1,934,746 1,913,385
Government National Mortgage Assn. Pass Thru
Pool:
#297628, 8.00%, 9/15/22 ..................... 1,573,171 1,589,672
#313110, 7.50%, 11/15/22 .................... 1,873,034 1,929,336
----------- -----------
(Cost $148,807,197) 307,570,333 153,315,098
----------- -----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ........ 534,093,585 380,675,430
----------- -----------
(Cost $376,339,561)
<CAPTION>
CORPORATE BONDS AND NOTES -- 11.41%
Finance -- 11.41%
<S> <C> <C>
American Express Credit Corp., 8.50%, 6/15/99 ... 300,000 311,385
Associates Corp. of North America:
9.125%, 4/1/00 .............................. 1,675,000 1,781,279
8.15%, 8/1/09 ............................... 3,625,000 3,862,329
Case Equipment Loan Trust Asset Backed Ctf.:
1994 Series A, Class A2, 4.65%, 8/15/99 ..... 225,389 225,087
1994 Series C, Class A2, 8.10%, 6/15/01 ..... 1,403,405 1,429,593
1996 Series A, Class A2, 5.50%, 2/15/03 ..... 5,748,763 5,729,217
Chase Manhattan Grantor Trust Automobile Loan
Pass Thru Ctfs.
Series 1995-B, Class A, 5.90%, 11/15/01 ..... 648,035 649,578
Collaterized Mortgage Obligation Trust CMO:
Series 12, Class D, 9.50%, 2/1/17 ........... 319,206 328,530
Series 16, Class Q, IF, 3/20/18 ............. 193,495 209,710
Collaterized Mortgage Securities Corp. CMO:
Series 88-2 Class B, 8.80%, 4/20/19 ......... 397,933 413,227
First USA Credit Card Master Trust Asset Backed
Pass Thru Ctf.
Series 1995-1, Class A, AR, 10/15/01 ........ 2,000,000 2,004,500
Green Tree Financial Corp. Loan Trust Asset
Backed Ctf.
Series 1996-A, Class A, 5.70%, 2/15/26 ...... 288,673 289,181
Merrill Lynch Home Equity Loan Asset Backed Pass
Thru Ctf.
Series 1992-1, Class A, AR, 7/15/22 ......... 1,385,420 1,388,205
Merrill Lynch MBS Inc. Project Pass Thru Ctf.
Series 144-S, 7.43%, 7/25/24 ................ 540,749 538,197
Merrill Lynch Trust 43-E CMO, Series 43, Class E,
6.50%, 8/27/15 .............................. 1,500,000 1,465,032
Morgan Stanley Mortgage Trust, CMO:
Series 35-2, HB, IF, 4/20/21 ................ 2,777 454,665
Series 37-2, HB, IF, 7/20/21 ................ 2,737 410,612
Series 39-3, PO, 12/20/21 ................... 523,647 403,150
Navistar Financial Corp. Owner Trust Asset Backed
Pass Thru Ctf.
Series 1995-A, Class A2, 6.55%, 11/20/01 .... 1,489,914 1,496,424
Olympic Automobile Receivables Trust Asset Backed
Pass Thru Ctf. ................................
Series 1996-C, Class A4, 6.80%, 03/15/02 .... 4,500,000 4,551,615
84
<PAGE>
Olympic Automobile Receivables Trust Asset Backed
Pass Thru Ctf. ................................
Series 1996-C, Class A5, 7.00%, 03/15/04 .... 2,650,000 2,692,400
Onyx Acceptance Grantor Trust Auto Loan Pass Thru
Ctf.
Series 1996-1, Class A, 5.40%, 5/15/01 ...... 754,770 747,690
Onyx Acceptance Grantor Trust Auto Loan Pass Thru
Ctf.
Series 1997-1, Class A, 6.55%, 09/15/03 ..... 2,511,341 2,517,620
Rural Housing Trust 1987-1, Senior Mortgage Pass
Thru Ctf.
Sub Class 3-B, 7.33%, 4/1/26 ................ 414,083 416,902
Standard Credit Card Master Trust Asset Backed
Ctf.
Series 1995-10, Class A, 5.90%, 2/7/01 ...... 2,520,000 2,513,473
Superior Wholesale Inventory Fing Trust Asset
Backed Ctf.
Series 1996-A, Class A, AR, 3/15/01 ......... 2,000,000 2,000,620
Toyota Auto Receivable Grantor Trust Asset Backed
Ctf.
Series 1995-A, Class A, 5.85%, 3/15/01 ...... 454,150 453,582
Western Financial Owner Trust Asset Backed Pass
Thru Ctf.
Series 1996-C, Class A4, 6.80%, 12/20/03 .... 6,000,000 6,062,640
World Omni Automobile Asset Backed Ctf. .........
Series 1997-A, Class A4, 6.90%, 06/25/03 .... 3,000,000 3,041,100
World Omni Automobile LSE SEC Trust Asset Backed
Ctf.
Series 1995-A, Class A, 6.05%, 11/25/01 ..... 4,290,007 4,292,666
----------- -----------
TOTAL CORPORATE BONDS AND NOTES ..................... 51,364,494 52,680,209
----------- -----------
(Cost $52,188,761)
FOREIGN -- 1.44%
African Development Bank Note, 9.30%, 7/1/00 ...... 983,000 1,052,095
Metropolis of Tokyo, 8.70%, 10/5/99 ............... 1,500,000 1,576,602
National Australia Bank Ltd., 9.70%, 10/15/98 ..... 400,000 417,220
Ontario Province of Canada Senior Unsubordinated
Debenture,
7.375%, 01/27/03 ...................... 3,500,000 3,603,562
----------- -----------
(Cost $6,770,442) 6,383,000 6,649,479
----------- -----------
TOTAL INVESTMENTS ................................... $461,827,655
============
(Cost $457,121,301)
<FN>
See Notes to Financial Statements.
</TABLE>
85
<PAGE>
Notes to Portfolio of Investments
(a) The Fund invests in securities whose value is derived froMAn underlying
pool of mortgages or consumer loans. Some of these securities are
collateralized mortgage obligations (CMOs). CMOs are debt securities
issued by U.S. government agencies or by financial institutions and other
mortgage lenders which are collateralized by a pool of mortgages held
under an indenture. Descriptions of certain collateralized mortgage
obligations are as follows:
Adjustable Rate (AR)
Inverse Floaters (IF) represent securities that pay interest at a rate
that increases (decreases) with a decline (increase) in a specified
index.
Interest Only (IO) represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. The face amount shown
represents the par value on the underlying pool. The yields on these
securities are generally higher than prevailing market yields on other
mortgage-backed securities because their cash flow patterns are more
volatile and there is a greater risk that the initial investment will not
be fully recouped. These securities are subject to accelerated principal
paydowns as a result of prepayments or refinancing of the underlying pool
of mortgage instruments. As a result, interest income may be reduced
considerably.
High Coupon Bonds (HB) (a.k.a. "IOettes") represent the right to receive
interest payments on an underlying pool of mortgages with similar risks
as those associated with IO securities. Unlike IO's, the owner also has a
right to receive a very small portion of principal. The high interest
rate results from taking interest payments from other classes in the
REMIC Trust and allocating them to the small principal of the HB class.
Principal Only (PO) represents the right to receive the principal portion
only on an underlying pool of mortgage loans. The market value of these
securities is extremely volatile in response to changes in market
interest rates. As prepayments on the underlying mortgages of these
securities increase, the yield on these securities increases.
(b) Based upon estimated future cash flows, income is currently not being
recognized on certain IO, HB, and CMO securities with an aggregate market
value of $841,090. The book cost of certain IO and HB securities includes
AWrite down in the amount of $2,239,420 taken during 1993 to properly
state the net realizable value of the securities. The write down results
in a lower cost of investments than the tax cost disclosed in Note 4 in
Notes to Financial Statements.
See Notes to Financial Statements.
<PAGE>
Pegasus Bond Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- 7.78%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/2/97 (secured by various U.S. Treasury
obligations with maturities ranging from 8/15/97
through 2/15/07 at various interest rates ranging
from 0.00% to 12.00%, all held at Chase Bank) ... $43,554,610 $ 43,554,610
Prudential Securities, Inc, Revolving Repurchase
Agreement, 6.15%, 7/1/97 (secured by various U.S.
Treasury & Agency obligations with maturies
ranging from 7/2/97 through 6/26/07 at various
interest rates ranging from 0.00% to 8.20%, all
held at The Bank of New York) ................... 20,000,000 20,000,000
Lehman Brothers Inc., Revolving Repurchase
Agreement, 6.10%, 7/1/97 (secured by U.S.
Treasury & Agency obligations with maturities
ranging from 7/01/97 through 5/01/04 at various
interest rates ranging from 0.00% to 13.00%, all
held at Chase Bank) ............................. 17,000,000 17,000,000
----------
(Cost $80,554,610) 80,554,610
----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 80.74%
U.S. Treasury Securities -- 43.11%
Principal Strips from U.S. Treasury Securities
due:
5/15/17 ..................................... 10,420,000 2,644,909
8/15/17 ..................................... 33,315,000 8,310,427
Strips from U.S. Treasury Securities due:
5/15/98 ..................................... 1,800,000 1,713,294
8/15/98 ..................................... 1,500,000 1,405,230
11/15/98 .................................... 1,700,000 1,568,998
2/15/99 ..................................... 10,805,000 9,813,425
8/15/99 ..................................... 9,000,000 7,916,580
8/15/00 ..................................... 5,000,000 4,122,890
2/15/01 ..................................... 2,450,000 1,953,998
5/15/05 ..................................... 3,950,000 2,365,537
2/15/11 ..................................... 5,525,000 2,198,342
5/15/11 ..................................... 9,338,000 3,648,730
2/15/12 ..................................... 4,555,000 1,684,257
2/15/13 ..................................... 10,700,000 3,665,713
5/15/13 ..................................... 10,594,000 3,565,517
8/15/13 ..................................... 3,500,000 1,156,855
2/15/14 ..................................... 20,400,000 6,504,744
2/15/15 ..................................... 2,000,000 593,840
5/15/18 ..................................... 15,620,000 3,700,378
11/15/18 .................................... 49,840,000 11,394,919
U.S. Treasury Bonds:
10.75%, 5/15/03 ............................. 1,000,000 1,207,660
11.125%, 8/15/03 ............................ 3,500,000 4,315,395
11.625%, 11/15/04 ........................... 5,000,000 6,478,100
12.75%, 11/15/10 ............................ 67,700,000 93,944,582
10.375%, 11/15/12 ........................... 15,965,000 20,265,492
12.50%, 8/15/14 ............................. 1,300,000 1,911,611
9.875%, 11/15/15 ............................ 1,000,000 1,315,000
7.50%, 11/15/16 ............................. 5,395,000 5,765,043
8.75%, 5/15/17 .............................. 9,945,000 11,965,028
7.875%, 2/15/21 ............................. 2,500,000 2,787,500
87
<PAGE>
U.S. Treasury Notes:
3.375%, 1/15/07 Inflation Protection Series . 3,030,630 2,959,598
5.875%, 7/31/97 ............................. 2,100,000 2,100,651
8.625%, 8/15/97 ............................. 18,900,000 18,973,899
8.75%, 10/15/97 ............................. 6,150,000 6,206,703
5.25%, 12/31/97 ............................. 8,410,000 8,399,488
7.875%, 1/15/98 ............................. 8,292,000 8,390,426
8.125%, 2/15/98 ............................. 3,000,000 3,043,590
7.875%, 4/15/98 ............................. 21,125,000 21,468,281
5.00%, 1/31/99 .............................. 6,450,000 6,353,250
7.00%, 4/15/99 .............................. 9,600,000 9,751,488
9.125%, 5/15/99 ............................. 2,400,000 2,527,128
6.875%, 7/31/99 ............................. 7,410,000 7,517,667
7.75%, 11/30/99 ............................. 43,405,000 44,917,230
7.125%, 2/29/00 ............................. 26,300,000 26,875,181
6.75%, 4/30/00 .............................. 6,200,000 6,281,344
6.125%, 7/31/00 ............................. 4,000,000 3,986,240
8.75%, 8/15/00 .............................. 12,250,000 13,101,742
7.75%, 2/15/01 .............................. 2,000,000 2,091,560
7.50%, 11/15/01 ............................. 6,800,000 7,085,804
5.75%, 8/15/03 .............................. 1,250,000 1,207,025
7.25%, 5/15/04 .............................. 9,000,000 9,381,060
6.50%, 8/15/05 .............................. 4,000,000 3,988,760
------------
(Cost $440,636,274) 446,492,109
------------
Agency Obligations -- 37.63%
Federal Home Loan Mortgage Corp. Participation
Ctfs.:
#170269, 12.00%, 8/1/15 ..................... 1,315,737 1,475,495
#200070, 7.50%, 4/1/02 ...................... 195,325 195,888
#274081, 7.50%, 7/1/16 ...................... 78,602 79,060
#289711, 7.50%, 4/1/17 ...................... 120,190 120,842
#555238, 12.00%, 7/1/19 ..................... 619,442 694,873
Federal Home Loan Mortgage Corp. Gtd. Multi-Class
Mortgage Participation Ctfs.:
Series 10 Class D, 10.00%, 7/15/18 .......... 384,061 387,779
Series 11 Class D, 9.50%, 7/15/19 ........... 3,000,000 3,265,713
Series 13 Class SA, IF, 4/25/23 ............. 1,681,783 1,505,643
Series G-21 Class SD, IF, 8/25/22 ........... 3,450,000 3,079,856
Series 22 Class C, 9.50%, 4/15/20 ........... 1,104,876 1,200,695
Series 23 Class E, 9.40%, 8/15/19 ........... 405,906 414,695
Series 23 Class F, 9.60%, 4/15/20 ........... 1,575,000 1,715,928
Series G-29 Class SD, IO, IF, 4/25/24 ....... 18,366,546 592,009
Series 32 Class B, 9.50%, 8/15/19 ........... 159,170 159,356
Series 38 Class C, 9.50%, 1/15/19 ........... 181,548 183,560
Series 41 Class I, HB, 84.00%, 5/15/20 ...... 95,268 315,824
Series 47 Class F, 10.00%, 6/15/20 .......... 500,000 544,030
Series 48 Class BE, IF, IO, 01/25/23 ........ 15,887,574 1,449,741
Series 99 Class Z, 9.50%, 1/15/21 ........... 1,536,084 1,631,966
Series 204 Class E, HB, IF, 5/15/23 ......... 21,745 513,597
88
<PAGE>
Series 1045 Class G, HB, 1066.2085%, 2/15/21 3,648 121,100
Series 1051 Class D, 7.00%, 11/15/19 ........ 769,935 775,825
Series 1065 Class J, 9.00%, 4/15/21 ......... 2,000,000 2,129,114
Series 1072 Class A, HB, 1008.50%, 5/15/06 .. 24,056 550,790
Series 1079 Class S, IF, 5/15/21 ............ 977,554 1,075,505
Series 1084 Class F, AR, 5/15/21 ............ 2,350,000 2,396,633
Series 1084 Class S, IF, 5/15/21 ............ 1,645,000 2,040,933
Series 1089 Class C, HB, IO, IF, 6/15/21 .... 61,514 855,994
Series 1098 Class M, HB, 10.08%, 6/15/06 .... 11,058 253,314
Series 1144 Class KB, 8.50%, 9/15/21 ........ 2,000,000 2,088,876
Series 1172 Class L, HB, 1167.776%, 11/15/21 17,594 589,783
Series 1196 Class B, HB, IF, 1/15/22 ........ 64,312 831,306
Series 1295 Class JB, 4.50%, 3/15/07 ........ 2,400,000 2,152,224
Series 1297 Class H, 7.50%, 1/15/20 ......... 1,901,091 1,897,707
Series 1298 Class L, HB, 981.8667%, 6/15/07 . 9,000 357,850
Series 1329 Class S, IO, IF, 8/15/99 ........ 3,798,893 181,883
Series 1370 Class F, 6.75%, 3/15/19 ......... 600,000 598,446
Series 1378 Class H, 10.00%, 1/15/21 ........ 3,800,000 4,287,650
Series 1378 Class JZ, 7.50%, 11/15/21 ....... 3,331,178 3,356,206
Series 1389 Class SA, IF, 10/15/07 .......... 1,249,383 949,023
Series 1414 Class LA, AR, 11/15/07 .......... 2,002,047 1,928,069
Series 1414 Class LB, IF, 11/15/07 .......... 2,761,444 2,611,975
Series 1418 Class B, 6.50%, 11/15/19 ........ 2,250,000 2,214,900
Series 1465 Class SA, IO, IF, 2/15/08 ....... 18,162,764 932,386
Series 1470 Class F, AR, 2/15/23 ............ 1,975,331 1,932,051
Series 1483 Class E, 6.50%, 2/15/20 ......... 3,407,500 3,358,125
Series 1489 Class L, 5.50%, 4/15/08 ......... 1,324,889 1,296,218
Series 1506 Class F, AR, 5/15/08 ............ 2,392,255 2,417,113
Series 1506 Class S, IF, 5/15/08 ............ 494,648 449,179
Series 1506 Class SD, IO, IF, 5/15/08 ....... 17,391,020 845,899
Series 1531 Class K, 6.00%, 4/15/08 ......... 1,127,152 1,075,900
Series 1544 Class TA, IF, 07/15/08 .......... 1,862,666 1,815,210
Series 1561 Class SC, IF, 8/15/08 ........... 1,575,139 1,393,471
Series 1575 Class FB, AR, 8/15/08 ........... 2,685,107 2,748,454
Series 1575 Class SB, IF, 8/15/08 ........... 895,036 581,284
Series 1583 Class NS, IF, 9/15/23 ........... 1,270,128 922,772
Series 1586 Class A, 6.00%, 9/15/08 ......... 1,401,775 1,359,374
Series 1595 Class S, IO, IF, 10/15/13 ....... 11,647,286 504,048
Series 1601 Class S, IF, 10/15/08 ........... 2,648,070 2,638,140
Series 1602 Class O, 6.00%, 10/15/23 ........ 2,463,000 2,260,103
Series 1604 Class SE, IF, 11/15/08 .......... 935,165 798,975
Series 1606 Class LC, AR, 5/15/08 ........... 1,883,250 1,946,320
Series 1606 Class LD, IF, 05/15/08 .......... 424,411 312,889
Series 1612 Class SD, IF, 11/15/08 .......... 3,202,495 2,385,859
Series 1628 Class S, IF, 12/15/23 ........... 2,550,000 1,463,037
Series 1633 Class SE, IF, 12/15/23 .......... 1,278,652 1,280,854
Series 1635 Class O, IF, 12/15/08 ........... 4,508,156 4,518,650
Series 1640 Class A, 5.50%, 10/15/07 ........ 865,109 839,964
Series 1646 Class MB, IF, 10/15/22 .......... 2,571,363 2,479,053
Series 1647 Class FB, AR, 12/15/08 .......... 746,606 730,458
89
<PAGE>
Series 1647 Class SB, IF, 12/15/08 .......... 2,096,926 1,883,417
Series 1655 Class F, AR, 12/15/08 ........... 1,494,755 1,508,154
Series 1655 Class SA, IF, 12/15/08 .......... 344,875 261,457
Series 1681 Class K, 7.00%, 8/15/23 ......... 1,041,789 1,016,374
Series 1686 Class SH, IF, 2/15/24 ........... 1,535,892 1,037,068
Series 1686 Class SL, IF, 2/15/24 ........... 1,201,836 1,029,117
Series 1689 Class SD, IF, 10/15/23 .......... 1,725,000 1,451,299
Series 1694 Class SE, IF, 5/15/23 ........... 1,355,933 1,231,412
Series 1701 Class S, IF, 03/15/09 ........... 4,137,943 3,734,493
Series 1706 Class LA, 7.00%, 3/15/24 ........ 4,258,897 4,223,050
Series 1716 Class F, IF, 04/15/09 ........... 2,524,525 2,536,983
Series 1723 Class F, IF, 05/15/04 ........... 5,013,466 4,941,353
Series 1796-A, Class S, IF, 2/15/09 ......... 1,000,000 780,620
Series 1807 Class G, 9.00%, 1/1/06 .......... 2,074,640 2,191,949
Series 1825 Class C, 5.7999%, 12/15/23 ...... 2,000,000 1,817,612
Series 1849 Class A, PO, 12/15/08 ........... 3,015,568 1,628,859
Series 1854 Class C, PO, 4/15/08 ............ 2,725,000 1,750,221
Series 1854 Class SE, IO, IF, 12/15/23 ...... 9,886,816 2,817,743
Series 1900 Class FA, IF, 03/15/09 .......... 10,820,440 10,885,309
Series 1900 Class I, IF, PO, 10/15/08 ....... 4,412,727 2,844,528
Series 1930 Class SJ, IF, IO, 07/15/16 ...... 13,764,763 1,161,333
Series 1946 Class 1, IO, 10/15/08 ........... 3,006,111 1,796,807
Series 1956 Class A, 7.00%, 12/20/21 ........ 4,656,211 4,640,515
Series 1993 Class SJ, IO, IF, 03/15/12 ...... 26,262,954 2,215,805
Federal Housing Adminstration Merrill Lynch
Project
Pass Thru Ctfs., 7.43%, 8/1/20 ................ 1,331,878 1,348,793
Federal Housing Administration Project #07335307,
7.43%, 1/1/22 ................................. 1,772,448 1,802,934
Federal Housing Administration Greystone, 7.43%,
11/1/22 ....................................... 2,581,654 2,613,925
Federal National Mortgage Assn. Mortgage Backed
Securities,
Stripped Trust:
23, Class 2, IO, 10.00%, 9/1/17 ............. 970,224 304,893
50, Class 2, IO, 10.50%, 3/25/19 ............ 129,137 42,784
Federal National Mortgage Assn. Pass Thru
Securities:
Pool #44699, 7.00%, 4/1/17 .................. 261,601 258,987
Pool #50966, 7.00%, 1/1/24 .................. 1,811,516 1,788,961
Pool #54844, Adjustable Rate, 9/01/27 ....... 5,589,513 5,527,799
Pool #70226, Adjustable Rate, 1/1/19 ........ 506,078 496,273
Pool #116612, Adjustable Rate, 3/1/19 ....... 1,956,568 2,044,260
Pool #160330, 6.345%, 3/1/99 ................ 2,335,145 2,327,859
Pool #303306, 12.50%, 1/1/16 ................ 1,516,975 1,754,472
Pool #303532, Adjustable Rate, 3/1/29 ....... 5,696,288 5,646,098
Federal National Mortgage Assn. Pass Thru
Securities
Guaranteed Remic Trust:
1988 Class 7-Z, 9.25%, 4/25/18 .............. 602,132 634,782
1988 Class 17-B, 9.40%, 10/25/17 ............ 339,516 346,339
1989 Class 27-D, 10.00%, 1/25/16 ............ 275,921 279,527
1989 Class 34-E, 9.85%, 8/25/14 ............. 791,865 811,595
1989 Class 70-G, 8.00%, 10/25/19 ............ 2,000,000 2,071,818
1989 Class 73-C, PO, 10/25/19 ............... 1,148,500 1,001,166
90
<PAGE>
1989 Class 78-H, 9.40%, 11/25/19 ............ 1,250,000 1,358,868
1990 Class 1-D, 8.80%, 1/25/20 .............. 2,742,780 2,878,690
1990 Class 60-K, 5.50%, 6/25/20 ............. 721,696 683,670
1990 Class 63-H, 9.50%, 6/25/20 ............. 900,000 974,954
1990 Class 93-G, 5.50%, 8/25/20 ............. 1,487,092 1,408,559
1990 Class 94-H, HB, 505.00%, 8/25/20 ....... 30,143 529,860
1990 Class 95-J, HB, 1118.04%, 8/25/20 ...... 15,500 681,545
1990 Class 102-J, 6.50%, 8/25/20 ............ 3,577,459 3,484,670
1990 Class 120-H, 9.00%, 10/25/20 ........... 3,100,000 3,352,005
1990 Class 134-SC, IF, 11/25/20 ............. 860,777 985,337
1990 Class 140-K, HB, 652.1454%, 12/25/20 ... 16,276 514,044
1991 Class 4-N, HB, 758.75%, 1/25/06 ........ 7,260 124,234
1991 Class 7-K, HB, 908.50%, 2/25/21 ........ 5,428 159,218
1991 Class 24-Z, 5.00%, 3/25/21 ............. 1,365,951 1,184,348
1991 Class 33-J, HB, 1008.25%, 4/25/06 ...... 6,899 158,577
1991 Class 144-PZ, 8.50%, 6/25/21 ........... 2,424,036 2,534,783
1992 Class 13-S, HB, IF, 1/25/99 ............ 24,065 160,345
1992 Class 27-SQ, HB, IF, 5/25/22 ........... 5,705 952,742
1992 Class 85-S, IF, 6/25/99 ................ 3,490,458 3,690,080
1992 Class 134-B, IO, 9.00%, 8/15/22 ........ 858,291 261,779
1992 Class 135-LC, 7.50%, 9/25/07 ........... 1,000,000 1,024,896
1992 Class 137-BA, 3.50%, 1/25/17 ........... 1,491,171 1,434,232
1992 Class 186-M, 6.00%, 9/25/07 ............ 1,025,831 964,619
1992 Class 199-S, IO, IF, 11/25/99 .......... 9,782,687 396,033
1992 Class 201-SB, IF, 10/25/22 ............. 500,000 461,823
1992 Class 204-B, 6.00%, 10/25/20 ........... 4,300,000 4,097,427
1992 Class 206-FA, IF, 6/25/18 .............. 3,484,000 3,373,888
1992 Class 215-PM, 7.875%, 11/25/21 ......... 1,600,000 1,668,189
1993 Class 8-SB, IO, IF, 8/25/06 ............ 9,622,922 439,383
1993 Class 12-S, IO, 6.25%, 2/25/23 ......... 5,731,668 365,176
1993 Class 12-SB, HB, IF, 2/25/23 ........... 45,320 401,522
1993 Class 13-G, 6.00%, 6/25/20 ............. 2,000,000 1,933,360
1993 Class 19-G, 5.00%, 5/25/19 ............. 3,265,000 3,034,635
1993 Class 19-K, 6.50%, 6/25/19 ............. 3,397,321 3,315,106
1993 Class 27-SE, IF, 8/25/23 ............... 1,343,715 668,579
1993 Class 32-K, 6.00%, 3/25/23 ............. 1,915,747 1,800,701
1993 Class 38-S, IO, IF, 11/25/22 ........... 18,883,038 492,073
1993 Class 44-S, IO, IF, 4/25/23 ............ 10,556,396 525,402
1993 Class 58-J, 5.50%, 4/25/23 ............. 1,578,381 1,520,830
1993 Class 94-K, 6.75%, 5/25/23 ............. 1,143,159 1,114,175
1993 Class 113-S, IO, IF, 7/25/23 ........... 7,178,848 468,484
1993 Class 139-SG, IF, 8/25/23 .............. 3,779,324 2,472,252
1993 Class 152-D, PO, 8/25/23 ............... 1,000,000 871,529
1993 Class 155-LA, 6.50%, 5/25/23 ........... 4,070,727 4,013,965
1993 Class 155-SB, IO, IF, 9/25/23 .......... 9,205,112 703,261
1993 Class 156-SD, IF, 10/25/19 ............. 1,250,000 869,193
1993 Class 107-F, IF, 6/25/08 ............... 956,087 921,473
1993 Class 174-SB, IF, 11/25/07 ............. 1,510,313 1,379,721
91
<PAGE>
1993 Class 175-FE, AR, 9/25/08 .............. 1,000,000 967,146
1993 Class 186-SA, IF, 9/25/08 .............. 963,534 1,005,662
1993 Class 187-SA, IF, 9/25/23 .............. 987,304 960,348
1993 Class X-188A, IO, 8/25/06 .............. 6,745,833 538,958
1993 Class 189-SH, IF, 3/25/22 .............. 2,000,000 1,734,742
1993 Class 206-SD, IF, 11/25/23 ............. 1,250,000 1,092,666
1993 Class 207-SC, IF, 11/25/23 ............. 3,411,920 2,302,480
1993 Class 209-KB, 5.659%, 8/25/08 .......... 6,063,310 5,671,378
1993 Class 214-L, 6.00%, 12/25/08 ........... 903,894 870,785
1993 Class 220-SD, IF, 11/25/13 ............. 2,087,684 1,443,794
1993 Class 221-FH, IF, 12/25/08 ............. 2,000,000 2,038,994
1993 Class 223-FB, AR, 12/25/23 ............. 7,114,174 6,851,938
1993 Class 223-SB, IF, 12/25/23 ............. 3,081,707 2,585,909
1993 Class X-225C-FP, AR, 12/25/22 .......... 1,600,000 1,396,139
1993 Class XG23A-A, PO, 7/25/20 ............. 6,700,000 5,727,194
1994 Class 12-FB, IF, 1/25/09 ............... 353,022 345,905
1994 Class 12-SB, IF, 1/25/09 ............... 2,376,956 2,130,461
1994 Class 13-ZB, 7.00%, 11/17/24 ........... 2,634,689 2,454,055
1994 Class 19-C, 5.00%, 1/25/24 ............. 2,819,317 2,558,947
1994 Class 26-G, PO, 2/25/24 ................ 2,278,569 1,395,446
1994 Class 30-LA, 6.50%, 2/25/09 ............ 1,790,850 1,769,301
1994 Class 32-F, IF, 3/25/09 ................ 1,618,924 1,570,665
1994 Class 32-S, IF, 3/25/09 ................ 2,914,062 2,700,604
1994 Class 33-FA, IF, 3/25/09 ............... 2,910,683 2,828,331
1994 Class 36-SG, IO, IF, 8/25/23 ........... 7,651,123 654,095
1994 Class 39-F, AR, 3/25/24 ................ 1,093,089 1,093,724
1994 Class 39-S, IF, 3/25/24 ................ 420,419 384,837
1994 Class 76-FA, IF, 4/25/24 ............... 2,252,007 2,184,749
1994 Class 82-SA, IO, IF, 5/25/23 ........... 35,494,902 1,148,686
1995 Class 13-B, 6.50%, 3/25/09 ............. 3,763,604 3,660,120
1995 Class XG1C C, 8.80%, 1/25/25 ........... 1,774,000 1,973,492
1996 Class 7-C 6.50%, 12/25/10 .............. 1,000,000 946,435
1996-20, Class L, PO, 9/25/08 ............... 3,165,000 1,873,338
1996 Class 24-K, PO, 2/25/08 ................ 3,775,000 2,607,249
1996 Class 24-B, PO, 10/25/08 ............... 3,800,000 2,065,543
1996 Class 46-A, 5.00%, 2/25/09 ............. 5,750,000 5,505,217
1997 Class 20, IO, IF, 3/25/27 .............. 64,734,653 3,929,393
1997 Class 20-S, IF, 3/25/27 ................ 3,054,459 1,763,385
1997 Class 29-PL, IO, 7.50%, 8/18/26 ........ 7,875,000 3,666,758
1997 Class 32-C, PO, 10/25/21 ............... 4,400,000 3,669,547
1997 Class 48-FB, IF, 3/25/25 ............... 4,686,626 4,686,626
1997 Class 50-FD, 6.0875%, 4/18/27 .......... 6,000,000 5,998,080
1997 Class M1-B, IF, 10/17/09 ............... 3,750,000 3,817,125
1992-G Class 15-Z, 7.00%, 1/25/22 ........... 1,813,742 1,676,520
1992-G Class 31-W, 8.00%, 9/25/21 ........... 2,234,769 2,261,899
1992-G Class 35-G, 1184.775%, HB, IO, 7/25/22 733,699 1,373,496
1992-G Class 42-Z, 7.00%, 7/25/22 ........... 2,466,457 2,349,177
1992-G Class 59-C, 6.00%, 12/25/21 .......... 3,700,000 3,558,919
1992-G Class 59-F, AR, 10/25/22 ............. 1,709,415 1,661,642
1992-G Class 61-GJ, IF, 10/25/22 ............ 3,816,281 3,762,822
92
<PAGE>
1992-G Class 61-Z, 7.00%, 10/25/22 .......... 1,074,053 968,504
Government National Mortgage Assn. Pass Thru
Securities
Guaranteed Remic Trust:
1994 Class 4-SA, IO, IF, 10/16/22 ........... 6,454,360 387,835
1996 Class 15-OB, 9.00%, 11/20/21 ........... 4,528,250 4,840,441
1996 Class 26-S, IO, IF, 12/16/20 ........... 24,806,696 1,457,393
Government National Mortgage Assn. Pass Thru
Pool:
#023594, 8.50%, 7/15/08 ..................... 357,137 378,356
#190923, 9.00%, 12/15/16 .................... 358,594 385,489
#297628, 8.00%, 9/15/22 ..................... 2,809,551 2,894,003
#313110, 7.50%, 11/15/22 .................... 2,170,976 2,193,747
#345288, 7.50%, 3/15/23 ..................... 723,265 730,078
------------
(Cost $377,380,406) 389,806,988
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ........ 836,299,097
------------
(Cost $818,016,680)
CORPORATE BONDS AND NOTES -- 9.85%
Finance -- 8.82%
ABN Amro Bank NV, 7.25%, 5/31/05 ................ 2,000,000 2,021,710
Associates Corp. of North America:
9.125%, 4/1/00 .............................. 2,350,000 2,499,107
8.15%, 8/1/09 ............................... 3,085,000 3,286,975
American Re Corp., Series B, 7.45%, 12/15/26 .... 1,500,000 1,485,300
Case Equipment Loan Trust Asset Backed Ctf.:
5.50%, 2/15/03 .............................. 6,270,337 6,249,018
7.30%, 3/15/02 .............................. 1,957,859 1,984,271
Chase Manhattan Grantor Trust, Series 95-B,
5.90%, 11/15/01 ............................... 756,041 757,841
Chase Manhattan Corp., Subordinated Note, 9.75%,
11/1/01 ....................................... 2,000,000 2,223,724
Chevy Chase Automobile Recievable Trust Asset
Backed Pass
Thru Ctf.:
Series 1995-2, Class A, 5.80%, 6/15/02 ...... 974,243 974,691
Collateralized Mortgage Obligation Trust CMO:
Trust 12-D, 9.50%, 2/1/17 ................... 638,411 657,060
Trust 16-Q, IF, 3/20/18 ..................... 343,076 371,826
Dayton Hudson Credit Card Master Trust Asset
Backed Ctf.
Series A, 6.10%, 2/25/02 .................... 1,500,000 1,505,130
First USA Credit Card Master Trust, VR, 10/15/01 4,100,000 4,109,225
Ford Credit Grantor Trust, Series 94-A, 6.35%,
5/15/99 ....................................... 582,649 584,443
Government National Mortgage Assn. Backed Trust I
CMO, Class A, Zero Coupon, PO, 5/20/17 ........ 239,356 192,106
Green Tree Financial Corp. Loan Trust Asset
Backed Ctf.:
Series 1995-A, Class A6, 7.30%, 7/15/25 ..... 3,000,000 3,023,340
Series 1996-A, Class A, 5.70%, 2/15/26 ...... 378,883 379,550
Merrill Lynch Trust Series 43 Class E CMO, 6.50%,
8/27/15 ....................................... 4,000,000 3,906,752
Merrill Lynch Home Equity Loan, 1992-1, Class A,
Variable Rate,
7/15/22 ..................................... 1,731,775 1,735,256
Merrill Lynch MBS 144-S, 7.43%, 7/25/24 ......... 4,686,493 4,664,373
93
<PAGE>
Morgan Stanley Mortgage Trust CMO:
Series 35-2, HB, IF, 4/20/21 ................ 3,644 596,725
Series 37-2, HB, IF, 7/20/21 ................ 4,038 605,625
Series 39-3, PO, 12/20/21 ................... 673,261 518,336
Navistar, Class A-2, 6.55%, 11/20/01 ............ 1,915,603 1,923,974
Olympic Automobile Receivables Trust Asset Backed
Pass Thru Ctf. ................................
Series 1996-C, Class A5, 7.00%, 12/15/01 .... 3,500,000 3,556,000
Series 1996-C, Class A4, 6.80%, 3/15/02 ..... 7,000,000 7,080,290
ONYX Acceptance CMO Trust, 5.40%, 2/15/01 ....... 754,770 747,690
ONYX Accpetance Grantor Trust Auto Loan Pass Thru
Ctf.
Series 1997-1, Class A5, 6.55%, 9/15/03 ..... 5,157,219 5,170,112
PaineWebber CMO Trust:
Series H-4, 8.75%, 4/1/18 ................... 706,307 734,148
Series P-4, 8.50%, 8/1/19 ................... 2,815,246 2,917,293
Rural Housing Trust 1987-1 Sr. Mortgage Pass Thru
Ctf.,
Class 3-B, 7.33%, 4/1/26 .................... 925,474 931,777
Salomon Inc. Note, 6.70%, 12/1/98 ............... 2,500,000 2,512,285
Sears Credit Account Master Trust Asset Backed
Ctf.
Series 1995-3, Class A, 7.00%, 10/15/04 ..... 1,600,000 1,627,504
Standard Credit Card Master Trust Asset Backed
Ctf.,
Series 1994-2, Class A, 7.25%, 4/7/08 ....... 1,800,000 1,841,724
Superior Wholesale, 1996-A, Adjustable Rate,
3/15/01 ....................................... 2,700,000 2,700,837
Toyota Auto Receivables Grantor Trust, Series
95-A
Class A, 5.85%, 3/15/01 ..................... 455,141 454,572
Western Financial Asset Backed Pass Thru Ctf.
Series 1996-C, Class A4, 6.80%, 12/20/03 .... 4,150,000 4,193,326
World Omni Automobile LSE SEC Trust, Series 95-5
Class A, 6.05%, 11/25/01 .................... 6,021,063 6,024,796
World Omni Asset Backed Pass Thru Ctf.
Series 1997-A, Class A4, 6.90%, 6/25/03 ..... 4,600,000 4,663,020
------------
(Cost $89,744,615) 91,411,732
------------
Industrial -- 0.80%
Boeing Co., 7.95%, 8/15/24 ...................... 1,730,000 1,889,229
Dayton Hudson Co., 7.875%, 6/15/23 .............. 1,800,000 1,791,094
General Motors Corp., 8.80%, 3/1/21 ............. 2,695,000 3,068,257
Monsanto Co., 8.20%, 4/15/25 .................... 1,500,000 1,540,953
------------
(Cost $7,519,813) 8,289,533
------------
Public Utility -- 0.23%
Nippon Telegraph & Telephone Corp., 9.50%,
7/27/98 ....................................... 1,355,000 1,401,693
West Texas Utilities, 6.375%, 10/1/05 ........... 1,000,000 960,967
------------
(Cost $2,388,783) 2,362,660
------------
TOTAL CORPORATE BONDS AND NOTES ..................... 102,063,925
------------
(Cost $99,653,211)
94
<PAGE>
FOREIGN -- 1.63%
African Development Bank Note, 9.30%, 7/1/00 ...... 1,572,000 1,682,496
Kingdom of Belgium Put Euro Dollar, 9.20%, 6/28/00 2,000,000 2,383,750
Metropolis of Tokyo, 8.70%, 10/5/99 ............... 2,250,000 2,364,903
National Australia Bank Ltd, 9.70%, 10/15/98 ...... 800,000 834,440
Province of Ontario Eurobond, 7.375%, 1/27/03 ..... 4,400,000 4,530,192
Province of Quebec, 9.125%, 8/22/01 ............... 2,515,000 2,713,056
Quebec Province of Canada, 6.50%, 1/17/06 ......... 2,500,000 2,404,075
--------------
(Cost $16,658,456) 16,912,912
--------------
TOTAL INVESTMENTS ................................... $1,035,830,544
==============
(Cost $1,014,882,957)
<FN>
See Notes to Financial Statements.
</TABLE>
95
<PAGE>
Notes to Portfolio of Investments
(a) The Fund invests in securities whose value is derived froMAn underlying
pool of mortgages or consumer loans. Some of these securities are
collateralized mortgage obligations (CMOs). CMOs are debt securities
issued by U.S. government agencies or by financial institutions and other
mortgage lenders which are collateralized by a pool of mortgages held
under an indenture. Descriptions of certain collateralized mortgage
obligations are as follows:
Adjustable Rate (AR)
Inverse Floaters (IF) represent securities that pay interest at a rate
that increases (decreases) with a decline (increase) in a specified
index.
Interest Only (IO) represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. The face amount shown
represents the par value on the underlying pool. The yields on these
securities are generally higher than prevailing market yields on other
mortgage-backed securities because their cash flow patterns are more
volatile and there is a greater risk that the initial investment will not
be fully recouped. These securities are subject to accelerated principal
paydowns as a result of prepayments or refinancing of the underlying pool
of mortgage instruments. As a result, interest income may be reduced
considerably.
High Coupon Bonds (HB) (a.k.a. "IOettes") represent the right to receive
interest payments on an underlying pool of mortgages with similar risks
as those associated with IO securities. Unlike IO's, the owner also has a
right to receive a very small portion of principal. The high interest
rate results from taking interest payments from other classes in the
REMIC Trust and allocating them to the small principal of the HB class.
Principal Only (PO) represents the right to receive the principal portion
only on an underlying pool of mortgage loans. The market value of these
securities is extremely volatile in response to changes in market
interest rates. As prepayments on the underlying mortgages of these
securities increase, the yield on these securities increases.
(b) Based upon estimated future cash flows, income is currently not being
recognized on certain IO, HB, and CMO securities with an aggregate market
value of $1,446,028. The book cost of certain IO and HB securities
includes AWrite down in the amount of $5,725,668 taken during 1993 to
properly state the net realizable value of the securities. The write down
results in a lower cost of investments than the tax cost disclosed in
Note 4 in Notes to Financial Statements.
See Notes to Financial Statements.
96
<PAGE>
Pegasus Short Bond Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 0.14%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97 (secured by various U.S. Treasury
obligations with maturities ranging from 8/15/97
through 2/15/07 at various interest rates ranging
from 0.00% to 12.00%, all held at Chase Bank) ... $ 260,813 $ 260,813
(Cost $260,813) ------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 71.19%
U.S. Treasury Securities -- 55.00%
Strip from U.S. Treasury Note Principal due:
8/15/98 ....................................... 500,000 468,410
U.S. Treasury Notes:
7.875%, 1/15/98 ............................... 765,000 774,081
5.625%, 1/31/98 ............................... 17,610,000 17,530,227
7.875%, 4/15/98 ............................... 1,000,000 1,037,190
6.125%, 5/15/98 ............................... 7,600,000 7,622,572
9.00%, 5/15/98 ................................ 4,500,000 4,621,635
6.00%, 5/31/98 ................................ 700,000 701,309
8.25%, 7/15/98 ................................ 2,200,000 2,253,625
5.25%, 7/31/98 ................................ 3,000,000 2,981,250
6.25%, 7/31/98 ................................ 6,265,000 6,290,436
6.125%, 8/31/98 ............................... 6,040,000 6,055,100
5.50%, 11/15/98 ............................... 5,000,000 4,970,300
8.875%, 2/15/99 ............................... 1,000,000 1,043,750
7.00%, 4/15/99 ................................ 1,000,000 1,015,780
6.375%, 4/30/99 ............................... 7,000,000 7,039,375
6.25%, 5/31/99 ................................ 3,000,000 3,009,375
6.75%, 5/31/99 ................................ 2,200,000 2,225,432
6.875%, 7/31/99 ............................... 1,000,000 1,014,530
6.875%, 8/31/99 ............................... 2,000,000 2,029,680
7.125%, 9/30/99 ............................... 1,000,000 1,020,470
7.50%, 10/31/99 ............................... 4,035,000 4,149,755
7.875%, 11/15/99 .............................. 3,000,000 3,048,750
7.75%, 11/30/99 ............................... 8,750,000 9,054,850
7.75%, 12/31/99 ............................... 1,000,000 1,035,780
7.75%, 1/31/00 ................................ 9,100,000 9,431,331
8.50%, 2/15/00 ................................ 960,000 1,012,502
7.125%, 2/29/00 ............................... 2,000,000 2,043,740
6.875%, 3/31/00 ............................... 500,000 508,125
6.75%, 4/30/00 ................................ 1,700,000 1,722,304
----------- -----------
(Cost $105,774,773) 104,425,000 105,711,664
----------- -----------
Agency Obligations -- 16.19%
Federal Home Loan Bank
Series GI98, 4.83%, 09/21/98 .................. 500,000 492,265
Federal Home Loan Mortgage Corp. Gtd. Multi-Class
Mortgage Participation Ctfs.:
Series 2 Class Z, 9.30%, 3/15/19 ............ 982,115 1,035,243
Series 10 Class D, 10.00%, 7/15/18 .......... 87,287 88,132
Series 11 Class C, 9.50%, 4/15/19 ........... 338,724 348,204
Series 26 Class F, 9.50%, 2/15/20 ........... 1,279,206 1,358,070
97
<PAGE>
Series 81 Class A, 8.125%, 11/15/20 ......... 339,766 349,078
Series 85 Class C, 8.60%, 1/15/21 ........... 758,439 785,004
Series 99 Class Z, 9.50%, 1/15/21 ........... 768,042 815,983
Series 192 Class H, 9.00%, 7/15/21 .......... 219,610 222,885
Series 1045 Class G, HB, 1066.208%, 2/15/21 . 1,824 60,551
Series 1096 Class D, 7.00%, 6/15/20 ......... 344,861 346,044
Series 1424 Class IF, 11/15/22 .............. 876,888 835,785
Series 1477 Class F, 6.65%, 5/15/18 ......... 300,000 300,105
Series 1490 Class PE, 5.75%, 07/15/06 ....... 250,000 247,793
Series 1497 Class CC, 5.50%, 07/15/14 ....... 1,000,000 995,590
Series 1541 Class EA, 4.00%, 12/15/16 ....... 1,000,000 954,420
Series 1552 Class F, 6.00%,06/15/19 ......... 553,000 539,656
Series 1555 Class PK, 7.00%, 07/15/07 ....... 2,000,000 2,000,500
Series 1559 Class VF, 6.25%, 2/15/20 ........ 500,000 492,825
Series 1560 Class X, Accrual Bond, 6.00%,
11/15/16 .................................. 943,409 931,333
Series 1561 Class EA, IF, 06/15/07 .......... 500,000 493,895
Series 1570 Class D, P/O, 7/15/20 ........... 252,596 232,997
Series 1578 Class C, 5.50%, 11/15/12 ........ 334,199 333,911
Series 1614 Class G, 5.80%,2/15/19 .......... 1,100,000 1,083,951
Series 1623 Class PC, 5.00%, 11/15/07 ....... 233,752 233,380
Series 1669 Class C, 5.10%, 8/15/12 ......... 490,571 489,453
Series 1671 Class D, 5.75%, 11/15/16 ........ 250,000 249,180
Series 1698 Class PE, 6.00%, 11/15/05 ....... 250,000 247,260
Series 1727 Class E, 6.50%, 4/15/18 ......... 1,000,000 998,930
Series 1807 Class G, 9.00%, 1/1/06 .......... 715,393 755,844
Federal National Mortgage Assn. Medium Term Note,
4.92%, 9/28/98 ................................ 220,000 217,421
Federal National Mortgage Assn. Mortgage Backed
Securities Stripped Trust 268, Class 2,
IO,9.00%, 12/25/21 ............................ 205,461 65,043
Federal National Mortgage Assn. Pass Thru
Securities:
Pool #070226, AR, 1/1/19 ...................... 303,647 297,764
Pool #111366, AR, 8/1/19 ...................... 352,839 370,491
Pool #116612, AR, 3/1/19 ...................... 701,411 732,848
Federal National Mortgage Assn. Pass Thru
Securities Gtd. REMIC Trust:
1994-23 Class PJ, 6.00%, 01/25/02 ........... 250,000 246,810
1997 32C, Class GP, P/O, 10/25/21 ........... 700,000 583,792
1997 Class A, IF, 01/17/03 .................. 377,434 379,038
1988 Class 7-Z, 9.25%, 4/25/18 .............. 640,566 675,300
1988 Class 15-A, 9.00%, 6/25/18 ............. 133,681 139,793
1988 Class 16-B, 9.50%, 6/25/18 ............. 815,016 868,816
1988 Class 17-B, 9.40%, 10/25/17 ............ 29,503 30,096
1989 Class 27-D, 10.00%, 1/25/16 ............ 68,981 69,882
1989 Class 31-D, 9.15%, 8/25/18 ............. 141,253 143,350
1989 Class 73-C, PO, 10/25/19 ............... 187,510 163,456
1990 Class 77-C, 9.00%, 7/25/19 ............. 216,931 222,661
1990 Class 94-C, 8.00%, 1/25/19 ............. 34,340 34,406
1991 Class 16-G, 8.00%, 3/25/04 ............. 158,986 158,789
1991 Class 41-O, 9.00%, 8/25/06 ............. 375,000 385,515
98
<PAGE>
1991 Class 56-K, 8.60%, 2/25/20 ............. 669,026 678,933
1992 Class 13-S, HB, IF, 1/25/99 ............ 3,029 20,179
1992 Class 137-BA, 3.50%, 1/25/17 ........... 213,024 204,890
1993 Class 85-PD, 5.50%, 7/25/03 ............ 249,544 248,798
1993 Class 86-E, 6.00%, 1/25/07 ............. 1,425,000 1,413,401
1993 Class 103-PC, 5.30%, 11/25/11 .......... 27,123 27,055
1993 Class 107-D, 6.50%, 12/25/06 ........... 900,000 895,491
1993 Class 252-C, 5.40%, 1/25/12 ............ 115,777 115,447
1994 Class 17-E, 6.00%, 2/25/07 ............. 425,000 419,403
1994 Class 32-PB, 5.50%, 3/25/03 ............ 2,017,872 2,013,271
Federal National Mortgage Assn. Debenture, 4.70%,
9/10/98 ....................................... 1,000,000 985,412
------------
(Cost $30,843,538) 31,125,818
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ........ 136,837,482
------------
(Cost $136,618,311)
CORPORATE BONDS AND NOTES -- 28.67%
Finance -- 27.03%
Association Corp of North America
5.25%, 09/01/98 ............................... 675,000 668,565
Associates Corp. of North America
9.125%, 4/1/00 ................................ 835,000 887,981
Association Corp of North America Medium Term
Note
6.80%, 12/15/97 ............................... 800,000 803,551
8.50%, 01/10/00 ............................... 500,000 522,586
7.55%, 08/23/01 ............................... 250,000 256,555
Association Corp of North America Medium Term
Note
Series G, 5.49%, 01/28/99 ..................... 270,000 266,846
Association Corp of North America Medium Term
Note
Tranche #00455, 7.48%, 07/27/02 ............... 300,000 307,635
American Express Credit Corp
7.375%, 02/01/99 .............................. 295,000 300,077
Beneficial Finance Corp. Medium Term Note:
9.125%, 2/15/98 ............................... 1,326,000 1,350,666
8.90%, 7/27/98 ................................ 500,000 514,494
Tranche #00659, 7.34%, 11/26/99 ............... 200,000 203,841
Case Equipment Loan Trust Asset Backed Pass Thru
Ctf.,
Series 1994-C, Class A2, 8.10%, 06/15/01 ...... 750,822 764,832
Case Equipment Loan Trust Asset Backed Pass Thru
Ctf.,
Series 1995-A, Class A, 7.30%, 03/15/02 ....... 340,294 344,885
Chrysler Financial Corp.,
5.625%, 01/15/99 .............................. 900,000 892,849
Citicorp Mortgage Securities, Inc. Remic Pass
Thru Ctf.,
Series 89-16, Class A-1, AR, 4/1/19 ........... 247,441 244,347
Collaterized Mortgage Obligations Trust CMO,
Trust 12, Class D, 9.50%, 2/1/17 .............. 159,603 164,265
Ford Credit Auto Owner Trust Asset Backed Pass
Thru Ctf.,
Series 1996-A, Class A4, 6.75%, 09/15/00 ...... 507,000 512,182
Ford Credit Grantor Trust Asset Backed Ctf.,
Series 1994-B, Class A, 7.30%, 10/15/99 ....... 205,504 207,446
99
<PAGE>
Ford Holdings Inc.,
9.25%, 3/1/00 ................................. 3,516,000 3,746,769
Ford Motor Credit Co.:
7.25%, 5/15/99 ................................ 784,000 796,450
8.00%, 01/15/99 ............................... 400,000 410,233
8.875%, 06/15/99 .............................. 1,000,000 1,045,339
9.50%, 4/15/00 ................................ 830,000 889,674
Ford Motor Credit Co. Medium Term Note,
Tranche #TR 00493, 6.45%, 7/21/97 ............. 300,000 300,145
Tranche #00281, 7.47%, 7/29/99 ................ 1,000,000 1,019,846
Tranche #00442, 7.59%, 4/6/00 ................. 300,000 307,542
General Electric Capital Corp. Medium Term Note,
8.10%, 01/26/99 ............................... 5,000,000 5,148,575
Greentree Collateralized Mortgage Obligation,
Series 1997-3, Class A2, 6.49%, 07/15/28 ...... 3,000,000 3,008,430
Golden Sachs Group, Private Placement Note 144A,
6.20%, 02/15/01 ............................... 1,500,000 1,470,958
Lehman Brothers Holdings Inc.,
5.75%, 02/15/98 ............................... 550,000 549,081
MBNA Master Credit Card Trust Asset Backed Ctf.,
Trust 92-1, Series 1992-1A, 7.25%, 6/15/99 .... 375,000 376,196
Trust 93-3, Series 1993-3A, 5.40%, 9/15/00 .... 650,000 645,463
Merrill Lynch Home Equity Loan Asset Backed Pass
Thru Ctf.,
Series 1992-1, Class A, IF, 7/15/22 ........... 577,258 578,419
Morgan Stanley Mortgage Trust, CMO, Series 38-4,
PO, 11/20/21 .................................. 50,151 38,340
Navistar Financial Corp. Owner Trust Asset Backed
Pass Thru Ctf.,
Series 1995-A, Class A2, 6.55%, 11/20/01 ...... 1,230,243 1,235,619
Olympic Automobile Rec. Trust Asset Backed Pass
Thru Ctf.,
Series 1996-D Class A3, 5.95%, 06/15/01 ....... 1,200,000 1,198,704
Olympic Automobile Rec. Trust Asset Backed Pass
Thru Ctf.,
Series 1996-C Class A2, 6.30%, 01/15/00 ....... 345,302 347,098
Olympic Automobile Rec. Trust Asset Backed Pass
Thru Ctf.,
Series 1996-C Class A5, 7.00%, 03/15/04 ....... 1,150,000 1,168,400
Olympic Automobile Rec. Trust Asset Backed Pass
Thru Ctf.,
Series 1996-B Class A4, 6.70%, 03/15/02 ....... 1,500,000 1,513,890
Olympic Automobile Rec. Trust Asset Backed Pass
Thru Ctf.,
Series 1996-C Class A4, 6.80%, 03/15/02 ....... 1,000,000 1,011,470
Ryland Acceptance Corp. Four, CMO, Series 78,
Class 78-B, 9.55%,3/1/16 ...................... 266,499 273,136
Standard Credit Card Master Trust Asset Backed
Ctf.,
Series 1991-6, Class A, 7.875%, 01/07/00 ...... 2,725,000 2,792,089
Standard Credit Card Master Trust Asset Backed
Ctf.,
Series 1993-3, Class A, 5.50%, 02/07/00 ....... 1,900,000 1,885,750
Standard Credit Card Master Trust Asset Backed
Ctf.,
Series 1995-6, Class A, 6.75%, 06/07/00 ....... 856,000 864,098
Standard Credit Card Master Trust Asset Backed
Ctf.,
Series 1995-10, Class A, 5.90%, 02/07/01 ...... 450,000 448,834
100
<PAGE>
Standard Credit Card Trust, Series 1991-3,
Participation Ctf.,
Class A,8.875%, 9/7/99 ........................ 2,275,000 2,343,796
Western Financial Owner Trust Asset Backed Pass
Thru Ctf.,
Series 1996-B, Class A2, 6.20%, 05/20/99 ...... 406,043 407,399
Western Financial Owner Trust Asset Backed Pass
Thru Ctf.,
Series 1996-B, Class A4, 6.95%, 11/20/03 ...... 917,000 929,930
Western Financial Asset Backed Pass Thru Ctf.,
Series 1996-C, Class A4, 6.80%, 12/20/03 ...... 4,000,000 4,041,760
Western Financial Grantor Trust Auto Receivable
P/T Ctf:
1993-4, Class A1, 4.60%, 4/1/99 ............... 194,892 194,311
1993-3, Class A, 6.65%, 12/1/99 ............... 237,119 239,120
World Omni Automobile LSE SEC Trust Asset Backed
Pass Thru Cft.,
Series 1995-A, Class A, 6.05%, 11/25/01 ....... 1,505,266 1,506,199
------------
51,946,666
------------
(Cost $51,916,417)
Industrial -- 1.64%
KFW International,
9.375%, 07/15/98 .............................. 800,000 824,690
Texaco Capital, Inc.:
8.65%, 1/30/98 ................................ 2,000,000 2,030,966
9.00%, 11/15/97 ............................... 300,000 303,474
------------
(Cost $3,152,589) 3,159,130
------------
TOTAL CORPORATE BONDS AND NOTES ..................... 55,105,796
(Cost $55,069,005) ------------
TOTAL INVESTMENTS ................................... $192,204,091
============
(Cost $191,948,129)
</TABLE>
101
<PAGE>
Notes to Portfolio of Investments
The Fund invests in securities whose value is derived froMAn underlying pool
of mortgages or consumer loans. Some of these securities are collateralized
mortgage obligations (CMOs). CMOs are debt securities issued by U.S.
government agencies or by financial institutions and other mortgage lenders
which are collateralized by a pool of mortgages held under an indenture.
Adjustable Rate (AR)
Inverse Floaters (IF) represent securities that pay interest at a rate that
increases (decreases) with a decline (increase) in a specified index.
Interest Only (IO) represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. The face amount shown
represents the par value on the underlying pool. The yields on these
securities are generally higher than prevailing market yields on other
mortgage-backed securities because their cash flow patterns are more volatile
and there is a greater risk that the initial investment will not be fully
recouped. These securities are subject to accelerated principal paydowns as a
result of prepayments or refinancing of the underlying pool of mortgage
instruments. As a result, interest income may be reduced considerably.
High Coupon Bonds (HB) (a.k.a. "IOettes") represent the right to receive
interest payments on an underlying pool of mortgages with similar risks as
those associated with IO securities. Unlike IO's the owner also has a right
to receive a very small portion of principal. The high interest rate results
from taking interest payments from other classes in the REMIC Trust and
allocating them to the small principal of the HB class.
Principal Only (PO) represents the right to receive the principal
portion only on an underlying pool of mortgage loans. The market value of
these securities is extremely volatile in response to changes in market
interest rates. As prepayments on the underlying mortgages of these
securities increase, the yield on these securities increases.
102
<PAGE>
Pegasus Income Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 0.37%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97, (secured by U.S. Treasury
obligations with maturities ranging from 8/15/97
through 2/15/07 at various interest rates ranging
from 0.00% to 12.00%, all held at Chase Bank).... $ 512,209 $ 512,209
(Cost $512,209)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 45.27%
U.S. Treasury Securities -- 37.25%
U.S. Treasury Bonds:
12.75%, 11/15/10 ............................ 6,900,000 9,574,854
10.375%, 11/15/12 ........................... 5,000,000 6,346,850
7.875%, 2/15/21 ............................. 4,675,000 5,212,625
8.125%, 5/15/21 ............................. 5,770,000 6,604,861
6.50%, 11/15/26 ............................. 2,555,000 2,449,606
U.S. Treasury Notes:
7.75%, 1/31/00 .............................. 5,450,000 5,648,435
8.50%, 2/15/00 .............................. 6,010,000 6,338,687
6.75%, 4/30/00 .............................. 5,000,000 5,065,600
6.125%, 7/31/00 ............................. 5,000,000 4,982,800
------------
(Cost $52,314,253) 52,224,318
------------
Agency Obligations -- 8.02%
Federal Home Loan Bank, Series EG01, 5.94%,
1/30/01 ....................................... 3,000,000 2,947,632
Federal Home Loan Mortgage Corp. Debentures,
7.35%, 3/22/05 ................................ 8,000,000 8,299,840
-----------
(Cost $11,100,480) 11,247,472
-----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ........ 63,471,790
-----------
(Cost $63,414,733)
CORPORATE BONDS AND NOTES -- 51.19%
Finance -- 43.24%
ABN AMRO Bank N.V., 7.25%, 5/31/05 .............. 4,800,000 4,852,104
Advanta Mortgage Loan Trust Asset Backed Ctf.,
Series 1994-3, Class A2, 7.60%, 7/25/10 ..... 2,511,227 2,535,611
American RE Corp., 7.45%, 12/15/26 .............. 6,000,000 5,941,200
Chemical Master Credit Card Trust 1 Asset Backed
Ctf.,
Series 1995-3, Class A, 6.23%, 8/15/02 ...... 2,500,000 2,461,025
Chevy Chase Auto Receivables Trust Asset Backed
Pass Thru Ctf.,
Series 1995-2, Class A, 5.80%, 6/15/02 ...... 1,461,364 1,462,037
Dayton Hudson Credit Card Master Trust Assest
Backed Ctf.,
Series 1995-1, Class A, 6.10%, 2/25/02 ...... 2,500,000 2,508,550
Ford Motor Credit Co., 9.25%, 6/15/98 ........... 470,000 483,784
General Electric Capital Corp., 8.85%, 4/1/05 ... 3,500,000 3,915,317
Goldman Sachs Group, Note 144A, 6.10%, 4/15/98 .. 3,000,000 2,996,490
Grand Metro Investment Corp. Guaranteed Note,
7.45%, 4/15/35 .............................. 4,500,000 4,695,912
Green Tree Financial Corp. Asset Backed Pass Thru
Ctf.,
Series 1994-B1, Class A1, 7.15%, 7/15/14 .... 538,875 543,953
MBNA Master Credit Card Trust Asset Backed Pass
Thru Ctf.,
Series 1994-C, Class A, Adjustable Rate, .... 31,655,000 1,667,330
Mellon Financial Corp., 7.625%, 11/15/99 ........ 2,310,000 2,367,244
103
<PAGE>
National Rural Utilities Coop Financial Corp.,
6.75%, 9/1/01 ................................. 4,290,000 4,301,977
Norwest Corp., Senior Medium Term Note, 7.75%,
3/1/02 ........................................ 1,500,000 1,559,098
Olympic Automobile Receivables Trust Asset Backed
Pass Thru Ctf.
Series 1995-D, Class A5, 6.15%, 7/15/01 ..... 2,300,000 2,295,377
Series 1996-C, Class A5, 7.00%, 12/15/01 .... 3,000,000 3,048,000
Salomon Inc., 6.70%, 12/1/98 .................... 3,700,000 3,718,182
Security Pacific Acceptance Corp. Asset Backed
Pass Thru Ctf.,
Series 1995-1, Class A3, 7.25%, 4/10/20 ..... 2,000,000 2,033,240
Standard Credit Card Trust Participation Ctf.,
Series 1991-3, Class A, 8.875%, 9/7/99 ...... 3,100,000 3,193,744
Western Financial Asset Backed Pass Thru Ctf.,
Series 1996-C, Class A4, 6.80%, 12/20/03 .... 4,000,000 4,041,760
------------
(Cost $60,177,899) 60,621,935
------------
Industrial -- 2.17%
Beckman Instruments, 7.05%, 6/1/26 .............. 3,000,000 3,041,262
------------
(Cost $2,990,596)
Public Utility -- 5.78%
Bell Telephone Co. Pennsylvania, 8.35%, 12/15/30 4,000,000 4,664,668
US West Capital Funding Inc., Put, 6.95%, 1/15/37 2,500,000 2,479,285
West Texas Utilities Co. First Mortgage, 6.375%,
10/1/05 ....................................... 1,000,000 960,967
------------
(Cost $7,972,454) 8,104,920
------------
TOTAL CORPORATE BONDS AND NOTES ..................... 71,768,117
------------
(Cost $71,140,949)
FOREIGN -- 3.17%
Chevron Canada Finance Ltd., 5.60%, 4/01/98 ......... 4,450,000 4,437,985
------------
(Cost $4,433,622)
TOTAL INVESTMENTS ................................... $140,190,101
============
(Cost $139,501,513)
</TABLE>
104
<PAGE>
Pegasus International Bond Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 3.72%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97 (secured by various U.S. Treasury
Strips with maturities ranging from 8/15/97
through 2/15/07, all held at Chase Bank) ........ 2,729,742 2,729,742
(Cost $2,729,742)
Par
---
<CAPTION>
<S> <C> <C>
FOREIGN BONDS -- 88.53%
Australia -- 2.86%
Australia (Commonwealth), 9%, 09/15/04 ............ 2,500,000 2,098,617
-----------
Austria -- 1.33%
Republic of Austria, 6%, 04/01/98 ................. 600,000 351,041
Republic of Austria, 7%, 01/20/03 ................. 7,000,000 626,865
-----------
977,906
-----------
Belgium -- 2.27%
Belgium Government, Series 19, 6.50%, 03/31/05 .... 56,000,000 1,661,151
-----------
Canada -- 7.33%
Canada Government, 9.75%, 10/01/97 ................ 200,000 147,526
Canada Government, 10.75%, 03/15/98 ............... 500,000 380,013
Canada Government, 6.50%, 06/01/04 ................ 3,800,000 2,824,332
Ontario Hydro, 8.625%, 02/06/02 ................... 2,500,000 2,022,079
-----------
5,373,950
-----------
Denmark -- 1.95%
Kingdom of Denmark, 9%, 11/15/98 .................. 2,000,000 321,624
Kingdom of Denmark, 7%, 11/15/07 .................. 7,000,000 1,109,006
-----------
1,430,630
-----------
Finland -- 2.87%
Republic of Finland, 5.50%, 02/09/01 .............. 2,000,000 1,193,664
Republic of Finland, 6.%, 01/29/02 ................ 30,000,000 310,015
Republic of Finland, 7.25%, 04/18/06 .............. 3,000,000 600,132
-----------
2,103,811
-----------
France -- 8.69%
Government of France, 5.75%, 03/12/01 ............. 10,000,000 1,790,345
Government of France, 5.50%, 04/25/04 ............. 20,100,000 3,501,019
Government of France, 6.50%, 04/25/11 ............. 6,000,000 1,079,726
-----------
6,371,090
-----------
Germany -- 9.22%
Deutsche Bundespost, 5.75%, 04/02/01 .............. 5,500,000 3,311,614
Deutsche Bundespost, 7.50%, 08/02/04 .............. 600,000 388,297
Federal Republic of Germany, 9%, 10/20/00 ......... 600,000 395,596
Federal Republic of Germany, 6%, 01/05/06 ......... 4,500,000 2,662,502
-----------
6,758,009
-----------
International -- 11.23%
Asian Development Bank, 3.125%, 06/29/05 .......... 300,000,000 2,759,328
Asian Development Bank, 5%, 02/05/03 .............. 40,000,000 404,614
Council of Europe 6.875%, 03/05/01 ................ 30,000,000 311,326
105
<PAGE>
European Investment Bank, 7.50%, 11/04/02 ......... 600,000 386,162
European Investment Bank, 8%, 06/10/03 ............ 1,300,000 2,233,907
Inter-American Development Bank, 2.25%, 02/05/02 .. 200,000,000 1,782,749
Inter-American Development Bank, 7.25%, 05/15/00 .. 35,000,000 357,096
-----------
8,235,182
-----------
Italy -- 7.82%
Italian Government, 8.50%, 01/01/99 ............... 5,500,000,000 3,333,617
Italian Government, 9.50%, 02/01/06 ............... 3,500,000,000 2,402,586
-----------
5,736,203
-----------
Japan -- 10.57%
Export-Import Bank of Japan, 4.375%, 10/01/03 ..... 30,000,000 296,251
Export-Import Bank of Japan, 2.875%, 07/28/05 ..... 400,000,000 3,622,301
Government of Japan, 4.50%, 12/20/04 .............. 40,000,000 402,307
International Bank of Reconstruction & Development,
5.25%, 03/20/02 ................................. 100,000,000 1,013,174
International Bank of Reconstruction & Development,
4.75%, 12/20/04 ................................. 200,000,000 2,046,010
Japan Development Bank, 6.50%, 09/20/01 ........... 35,000,000 366,272
-----------
7,746,315
-----------
Netherlands -- 4.62%
Netherland Government, 5.75%, 01/15/04 ............ 6,000,000 3,166,401
Unilever NV, 9.875%, 09/04/97 ..................... 1,300,000 223,644
-----------
3,390,045
-----------
New Zealand -- 2.93%
New Zealand Government, 8%, 04/15/04 .............. 3,000,000 2,144,810
-----------
Spain -- 3.78%
Spanish Government, 8%, 05/30/04 .................. 370,000,000 2,773,678
-----------
South Africa -- 1.45%
Republic of South Africa, 9.625%, 12/15/99 ........ 1,000,000 1,061,250
-----------
Sweden -- 1.75%
Swedish Government, 8%, 08/15/07 .................. 9,000,000 1,279,399
-----------
United Kingdom -- 7.86%
Barclays Bank, 10.25%, 12/10/97 ................... 120,000 202,222
Exchequer, 12.25%, 03/26/99 ....................... 250,000 450,921
United Kingdom Treasury, 7%, Stock 2001 ........... 2,000,000 3,315,079
United Kingdom Treasury, 8%, Stock 2013 ........... 1,000,000 1,793,804
-----------
5,762,026
-----------
TOTAL FOREIGN BONDS ................................. 64,904,072
-----------
(Cost $67,127,935)
U.S. Government Obligation -- 7.75%
United States Treasury Bill, 06/25/98 ............... 6,000,000 5,681,238
-----------
(Cost $5,681,238)
TOTAL INVESTMENTS ................................... $73,315,052
===========
(Cost $75,538,915)
<FN>
See Notes to Financial Statements.
</TABLE>
106
<PAGE>
Pegasus Municipal Bond Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
MUNICIPAL BONDS -- 99.82%
Alabama -- 2.22%
Courtland Industrial Development Board Solid Waste
Disposal Revenue, Series A, 6.50%, 9/1/25 ....... $ 5,000,000 $ 5,171,550
Huntsville General Obligation Unlimited Tax
Warrants Series A, 5.50%, 2/1/20 ................ 3,000,000 2,978,760
------------
8,150,310
------------
Alaska -- 0.93%
Alaska Student Loan Revenue State Assisted Series A
(AMBAC Insured), 6.125%, 7/1/05 ................. 800,000 831,520
FairBanks North Star Boro Refunding Series S (MBIA
Insured), 5.45%, 3/1/06 ......................... 2,500,000 2,600,475
------------
3,431,995
------------
Arizona -- 2.21%
Maricopa County General Obligation Unlimited Tax
School District No. 28 Series B (FGIC Insured),
6.00%, 7/1/14 ................................... 2,500,000 2,599,050
Salt River Project Agricultural Improvement Power
District Revenue, Electric System Series D,
6.00%, 1/1/08 ................................... 625,000 679,581
Salt River Project Agricultural Refunding Series B,
5.25%, 1/1/19 ................................... 5,000,000 4,834,300
------------
8,112,931
------------
California -- 6.51%
Anaheim California Public Finance Authority Lease
Revenue Series C (FSA Insured), 6.00%, 9/1/16 ... 2,000,000 2,158,260
Northern California Public Power Agency Revenue
Refunding Geothermal Project A (AMBAC Insured):
5.60%, 7/1/06 ................................... 3,500,000 3,735,690
5.65%, 7/1/07 ................................... 4,800,000 5,142,768
Orange Co. Recovery CTFS PRTN CA Series A (MBIA
Insured),
5.80%, 7/1/16 ................................... 5,315,000 5,421,140
Sacramento Cogeneration Authority Revenue:
7.00%, 7/1/05 ................................... 1,500,000 1,660,440
6.20%, 7/1/06 ................................... 2,500,000 2,644,775
Sacramento, California M.U.D. (MBIA Insured)
5.75%, 1/1/...................................... 103,000,000 3,132,120
------------
23,895,193
------------
Colorado -- 5.23 %
Denver City & Co. Airport Revenue:
Series B, 7.25%, 11/15/05 ....................... 3,000,000 3,328,230
Series C, 6.50%, 11/15/06 ....................... 2,000,000 2,092,020
Series D, 7.75%, 11/15/13 ....................... 6,925,000 8,410,135
Series A, 8.50%, 11/15/23 ....................... 2,500,000 2,832,900
Series A, 8.00%, 11/15/25 ....................... 2,295,000 2,547,702
------------
19,210,987
------------
Connecticut -- 0.94%
Connecticut Housing Finance Authority Revenue
Mortgage Subseries D-1, 5.90%, 5/15/16 .......... 3,400,000 3,451,544
------------
107
<PAGE>
Florida -- 11.18%
Lakeland Electric & Water Revenue Refunding Series
B (FGIC Insured) 6.00%, 10/1/11 ................. 4,000,000 4,359,040
Lee County Transportation Facilities Revenue (MBIA
Insured), 5.75%, 10/1/27 ........................ 9,640,000 9,754,427
Florida Ports Fing Community Revenue (MBIA
Insured), 5.375%, 6/1/16 2,000,000 1,939,860
Florida State Board of Education Capital Outlay
General Obligation Unlimited Tax Refunding:
Series C, 5.75%, 6/1/13 ......................... 5,000,000 5,115,600
Series F, 5.50%, 6/1/26 ......................... 8,250,000 8,126,250
Series F, 6.40%, 6/1/19 ......................... 11,000,000 11,742,610
------------
41,037,787
------------
Georgia -- 10.10%
Fulton County School District General Obligation
Unlimited Tax Refunding, 6.375%, 5/1/10 ......... 5,000,000 5,617,300
Gainesville Water & Sewer Revenue Series B (FGIC
Insured), 6.00%, 11/15/12 ....................... 3,950,000 4,301,155
Georgia General Obligation Unlimited Tax:
7.10%, 9/1/09 ................................... 8,500,000 10,128,175
6.75%, 9/1/11 ................................... 10,000,000 11,677,100
Georgia State Housing And Finance Authority Revenue
Series B, 6.10%, 12/1/12 ........................ 650,000 672,444
Rockdale Country Water and Sewer Authority Revenue
(FSA Insured), 5.00%, 7/1/18 .................... 5,000,000 4,672,150
------------
37,068,324
------------
Hawaii -- 1.18%
Hawaii Airport Systems Revenue Refunding Third
Series (AMBAC Insured) .......................... 4,200,000 4,343,052
------------
Illinois -- 9.95%
Chicago Metropolitan Water Capital Improvement,
5.50%, 12/1/12 .................................. 1,000,000 1,021,370
Chicago O'Hare International Airport Revenue
Series A (AMBAC Insured):
5.625%, 1/1/13 .................................. 5,000,000 5,049,350
5.625%, 1/1/14 .................................. 5,000,000 5,029,550
Cook County Community College Participation Ctfs.
District #508 Series C (MBIA Insured),
7.70%, 12/1/04 .................................. 5,000,000 5,919,850
DuPage Co. Forest Preservation District
Ref1,750,000.00%, 11/1/03 ....................... 1,882,720
Illinois Health Facilities Authority Revenue
Northwestern Memorial Hospital Series A,
5.60%, 8/15/06 .................................. 1,000,000 1,046,450
Illinois Health Facilities Authority Revenue
Refunding (FGIC Insured), 6.00%, 8/15/05 ........ 1,000,000 1,076,400
Illinois Housing Development Series A,
5.95%, 7/1/21 ................................... 2,000,000 2,014,980
108
<PAGE>
Illinois State Sales Tax Revenue Refunding
Series Q, 5.75%, 6/15/06 ........................ 5,000,000 5,314,400
Northlake Illinois Public Imp. General Obligation
(MBIA Insured), 5.60%, 12/1/14 .................. 4,000,000 4,042,280
Winnebago & Boone Counties General Obligation
Unlimited Tax 7.35%, 2/1/04 ..................... 3,600,000 4,149,108
------------
36,546,458
------------
Indiana -- 3.58%
Ball State University Revenue Student Fee Series G
(FGIC Insured), 6.125%, 7/1/09 .................. 400,000 421,604
Indiana State Vocational Technology Revenue
Series D, 5.90%, 7/1/06 ......................... 1,000,000 1,070,590
Indiana Transportation Finance Authority, Series A
Series A, 6.25%, 11/1/16 ........................ 130,000 135,610
Series A, 6.25%, 11/1/16 ........................ 1,370,000 1,503,781
Series A, 5.00%, 11/1/16 ........................ 9,500,000 8,943,490
St. Joseph Co. Hospital Authority Facilities
Revenue (MBIA Insured), Memorial Hospital
South Bend Project, 6.25%, 8/15/12 .............. 1,000,000 1,061,130
------------
13,136,205
------------
Massachusetts -- 1.76%
Massachusetts State Housing Finance Agency Revenue
Single Family Series 47 (AMBAC Insured),
6.00%, 12/1/15.................................. 4,000,000 4,096,240
Massachusetts State Industrial Finance Agency
Revenue (MBIA Insured), 6.00%, 1/1/15 ........... 2,265,000 2,373,788
------------
6,470,028
------------
Michigan -- 7.54%
Caledonia Community Schools General Obligation
Unlimited Tax (MBIA Insured), 5.85%, 5/1/22 ..... 1,500,000 1,527,360
Grand Rapids Water Supply System Revenue (FGIC
Insured), 6.30%, 1/1/04 ......................... 250,000 267,240
Kalamazoo Hospital Finance Authority,
(AMBAC Insured), 5.875%, 5/15/26 ................ 4,675,000 4,734,606
Michigan State Building Authority Revenue Series I,
6.40%, 10/1/04 .................................. 600,000 648,336
Michigan State Building Authority Revenue
Series II, 6.75%, 10/1/11 ....................... 5,150,000 5,596,145
Michigan State Hospital Finance Authority Revenue
Detroit Medical Center, 6.50%, 8/15/18 .......... 6,500,000 6,897,605
Michigan State Housing Development Authority
Revenue:
Series C, 6.375%, 12/1/11 ....................... 1,450,000 1,517,265
Series D, 5.95%, 12/1/16 ........................ 5,000,000 5,086,800
Rochester Community School District School Building
& Site Unlimited Tax, 6.50%, 5/1/06 ............. 250,000 271,778
Royal Oak Hospital Finance Authority Revenue,
William Beaumont Hospital:
Series G, 5.60%, 11/15/11 ....................... 850,000 860,990
Saranac Community School District, 6.00%, 5/1/13 .. 250,000 260,838
------------
27,668,963
------------
Minnesota -- 1.81%
Minnesota State Housing Finance Agency Series D
(MBIA Insured) 5.90%, 8/1/15 .................... 6,540,000 6,644,836
------------
109
<PAGE>
Missouri -- 1.09%
Sikeston Electric Revenue Refunding (MBIA Insured),
6.00%, 6/1/05 ................................... 3,710,000 4,011,697
------------
Nevada -- 1.25%
Clark County Industrial Development Revenue Project
C Refunding (AMBAC Insured), 7.20%, 10/1/22 ..... 4,115,000 4,600,858
------------
New Jersey -- 0.12%
Gloucester Co. Improvement Authority Gtd. Revenue,
Solid Waste Landfill Project Series AA,
6.20%, 9/1/07 ................................... 400,000 423,928
------------
New Mexico -- 0.95%
New Mexico Mortgage Finance Authority Revenue,
5.90%, 7/1/16 ................................... 3,445,000 3,483,412
------------
New York -- 3.92%
New York State Dormitory Authority Revenue,
5.875%, 7/1/08 .................................. 5,000,000 5,224,650
New York State Location Assistance Corp. Refunding
Series E, 5.00%, 4/1/21 ......................... 9,500,000 8,867,585
Tri-Borough Bridge & Tunnel Authority Revenue
General Purpose Series X, 6.625%, 1/1/12 ........ 250,000 285,555
------------
14,377,790
------------
North Carolina -- 2.62%
North Carolina Housing Finance Agency Single Family
Revenue:
Series BB, 6.50%, 9/1/26 ........................ 4,315,000 4,490,362
Series FF, 6.25%, 3/1/28 ........................ 5,000,000 5,128,650
------------
9,619,012
------------
Ohio -- 3.19%
Columbus School District Private Placement,
Installment Lease
Agreement, 9.39%, 5/1/97
Franklin Co. Hospital Revenue, Children's Hospital
Series A, 6.50%, 5/1/07 ......................... 950,000 1,025,193
Montgomery County Hospital Revenue Refunding (MBIA
Insured), 5.625%, 4/1/16 ........................ 4,500,000 4,532,040
Ohio General Obligation State of Public & Sewer
Imports Unlimited Tax, 6.00%, 8/1/07 ............ 1,000,000 1,095,690
Ohio Housing Financial Agency Mortgage Revenue
Residential GNMA Series A-1, 6.20%, 9/1/14 ...... 1,670,000 1,737,552
Ohio State Building Authority Revenue, State
Facilities Adult Correctional Building Fun
Series A, 6.125%, 10/1/09 ....................... 250,000 267,670
Ohio State Community Turnpike Revenue Series A
(MBIA Insured), 5.70%, 2/15/17 .................. 3,000,000 3,053,610
------------
11,711,755
------------
Pennsylvania -- 0.55%
Pennsylvania State Higher Educational Facilities
Authority Revenue (MBIA Insured),
5.625%, 5/1/14 .................................. 2,000,000 2,022,560
------------
Rhode Island -- 1.39%
Rhode Island Depositors Economic Protection
Series A (MBIA Insured), 6.30%, 8/1/05 .......... 4,640,000 5,100,056
------------
110
<PAGE>
South Carolina -- 0.55%
Greenville Hospital System Facilities Revenue SC
Health Hospital Nursing Home Improvements
Series A, 5.60%, 5/1/10.......................... 2,000,000 2,033,960
------------
South Dakota -- 2.01%
Heartland Consumers Power District Electric Revenue
Refunding Electric Light & Power Improvements,
6.00%, 1/1/17 ................................... 2,500,000 2,668,550
South Dakota Housing Development Authority
Series A, 5.70%, 5/1/08 ......................... 2,300,000 2,351,681
South Dakota Housing Development Authority Revenue
Series C, 6.25%, 5/1/15 ......................... 1,000,000 1,031,760
South Dakota State Building Authority Lease Revenue
(AMBAC Insured), 6.625%, 9/1/12 ................. 1,200,000 1,331,916
------------
7,383,907
------------
Tennessee -- 1.54%
Knox County Health, Educational, & Housing
Facilities Revenue (MBIA Insured),
7.25%, 1/1/09 ................................... 1,360,000 1,608,826
Memphis General Obligation Unlimited Tax,
5.25%, 7/1/13 ................................... 3,775,000 3,748,763
Metropolitan Government Nashville /Davis County
Revenue Refunding, 7.00%, 1/1/14 ................ 295,000 298,679
------------
5,656,268
------------
Texas -- 8.17%
Austin Utility System Revenue (AMBAC Insured),
6.50%, 5/15/11 .................................. 250,000 273,148
Harris Co. Flood Control District Refunding General
Obligation Limited, 6.25%,10/1/05 ............... 250,000 264,215
Houston General Obligation Refunding Series C,
6.00%, 3/1/05 ................................... 400,000 420,944
Richardson Hospital Authority, 6.50%, 12/1/12 ..... 3,925,000 4,036,274
San Antonio Hotel Occupancy Tax Revenue
(FGIC Insured), 5.70%, 8/15/26 .................. 10,000,000 10,052,400
San Antonio Water Revenue Refunding (MBIA Insured),
6.50%, 5/15/10 .................................. 250,000 272,400
Texas College Student Loan, 6.50%, 8/1/07 ......... 4,000,000 4,226,800
Texas General Obligation Unlimited Tax:
7.70%, 8/1/06 ................................... 1,305,000 1,356,247
Series B, 5.625%, 10/1/12 ....................... 5,000,000 5,126,350
Texas General Obligation Refunding Series A
Unlimited Tax, 6.00%, 10/1/05 ................... 1,000,000 1,084,790
Texas Turnpike Austin Dallas Northway RV
(FGIC Insured) President George Bush Turnpike
Highway Improvements, 5.25%, 1/1/23 ............. 3,000,000 2,872,050
------------
29,985,618
------------
Virginia -- 3.04%
Virginia State Housing Development Authority
Revenue, 5.60%, 11/1/10 ......................... 1,500,000 1,503,840
Virginia State Housing Development Commonwealth
Series H, 6.20%, 1/1/08 ......................... 1,000,000 1,031,120
111
<PAGE>
Virginia State Transportation Board Contract
Revenue:
#58 Corridor Series B, 5.125%, 5/15/16,320,000 .. 6,320,000 6,090,710
#58 Corridor, 6.00%, 5/15/19 .................... 2,500,000 2,537,175
------------
11,162,845
------------
Utah -- 1.55%
Utah Housing Finance Agency Single Family Revenue:
Series A-2, 6.25%, 7/1/25 ....................... 5,545,000 5,696,101
------------
Washington -- 0.58%
Washington General Obligation Unlimited Tax
Refunding, 5.75%, 9/1/09 ........................ 2,000,000 2,138,180
------------
West Virginia -- 1.24%
Braxton Co. Solid Waste Disposal Revenue,
6.125%, 4/1/26 .................................. 4,475,000 4,567,767
------------
Wisconsin -- 0.70%
Wisconsin Housing & Economic Development Authority
Revenue Series A, 6.15%, 9/1/17 ................. 1,495,000 1,525,408
Wisconsin State Transportation Revenue Series B,
5.75%, 7/1/12 ................................... 1,000,000 1,057,960
------------
2,583,368
------------
Wyoming -- 0.22%
Wyoming Community Development Authority Series D,
7.60%, 6/1/17 ................................... 800,000 813,968
------------
TOTAL MUNICIPAL BONDS ............................... 366,541,663
------------
(Cost $353,383,490)
TEMPORARY CASH INVESTMENT -- 0.18%
Pegasus Municipal Money Market Fund ............... 664,557
------------
(Cost $664,557)
TOTAL INVESTMENTS ................................... $367,206,220
============
(Cost $354,048,047)
</TABLE>
112
<PAGE>
Pegasus Intermediate Municipal Bond Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
MUNICIPAL BONDS -- 98.79%
Alabama -- 0.93 %
Courtland Industrial Development Board Solid Waste
Disposal Revenue, Series A, 6.50%, 9/1/25 ....... $ 3,500,000 $ 3,620,085
------------
Alaska -- 0.26 %
Alaska Student Loan Revenue State Assisted Series
A, 5.50%, 7/1/04 ................................ 1,000,000 1,014,270
------------
Arizona -- 0.56 %
Maricopa Co. General Obligation School District
No. 41 Series C (FGIC Insured), 6.10%, 7/1/14 ... 2,000,000 2,179,740
------------
California -- 4.80%
MSR Public Power Agency San Juan Project Revenue
Refunding Series F (AMBAC Insured),
5.55%, 7/1/02 ................................... 1,615,000 1,702,404
Northern California Power Agency Refunding
Series B-1, 8.00%, 7/1/24
Orange Co. Recovery CTFS PRTN CA Series A
(MBIA Insured), 5.70%, 7/1/10 ................... 4,000,000 4,154,400
Sacramento Cogeneration Authority Revenue:
5.60%, 7/1/99 ................................... 3,300,000 3,347,949
5.80%, 7/1/01 ................................... 1,300,000 1,342,536
5.90%, 7/1/02 ................................... 1,000,000 1,038,950
University of California Revenues Refunding
Multiple Purpose (MBIA Insured), 6.20%, 9/1/01 .. 6,675,000 7,171,019
------------
18,757,258
------------
Colorado -- 8.33%
Adams Co. Single Family Mortgage Revenue,
8.875%, 8/1/03 .................................. 1,230,000 1,503,810
Colorado Water Power Development Authority Revenue
(AMBAC Insured) Revolving Fund, Series A,
6.00%, 9/1/10 ................................... 3,410,000 3,710,012
Denver City & Co. Airport Revenue:
Series D, 7.30%, 11/15/00 ....................... 2,900,000 3,122,923
Series C, 6.55%, 11/15/03 ....................... 1,145,000 1,218,303
Series B, 7.25%, 11/15/05 ....................... 2,000,000 2,218,820
Series A (MBIA Insured), 8.50%. 11/15/07 ........ 2,000,000 2,258,940
Series A, 8.00%, 11/15/25 ....................... 1,360,000 1,514,768
Denver City & Co. General Obligation Refunding
Water Unlimited Tax, 7.00%, 10/1/99 ............. 8,665,000 9,198,764
Jefferson Co. School District No. R-001 General
Obligation (AMBAC Insured), 5.90%, 12/15/05 ..... 3,500,000 3,710,735
Poudre Valley Hospital Revenue (AMBAC Insured),
6.625%, 12/1/11 ................................. 3,750,000 4,111,763
------------
32,568,838
------------
District of Columbia -- 1.61 %
Series B-3 (MBIA Insured), 5.20%, 6/1/04 ........ 2,000,000 2,035,940
District of Columbia General Obligation Unlimited
Tax Series A (AMBAC Insured), 7.25%, 6/1/00 ..... 1,000,000 1,096,440
District of Columbia Hospital Revenue Series A,
8.75%, 1/1/15 ................................... 2,750,000 3,173,857
------------
6,306,237
------------
Florida -- 1.44 %
Lakeland Electric & Water Revenue Series B (FGIC
Insured),
6.00%, 10/1/10 .................................. 5,170,000 5,637,265
------------
113
<PAGE>
Hawaii -- 3.29 %
Hawaii State Airports System Revenue, Series II,
7.00%, 7/1/18 ................................... 10,000,000 10,732,500
Hawaii State Department of Budget & Finance
Revenue, 5.60%, 7/1/02 .......................... 2,065,000 2,118,318
------------
12,850,818
------------
Illinois -- 7.06 %
Chicago Metropolitan Water General Obligation
Unlimited Tax Refunding, 5.00%, 12/1/02 ......... 4,500,000 4,608,045
Chicago O'Hare International Airport Revenue
Series A (AMBAC Insured), 5.625%, 1/1/13 ........ 5,000,000 5,049,350
Metropolitan Pier & Exposition Authority Dedicated
State Tax Revenue:
6.40%, 6/1/03 ................................... 10,495,000 11,418,455
6.50%, 6/1/05 ................................... 2,960,000 3,277,874
Regional Transit Authority (AMBAC Insured),
Series A, 8.00%, 6/1/03 ......................... 2,785,000 3,254,969
------------
27,608,693
------------
Indiana -- 3.75%
Indianapolis Airport Authority Revenue, 7.10%,
1/15/17 ......................................... 6,900,000 7,628,364
Indiana Bond Bank Revenue, 6.00%, 2/1/04 .......... 3,670,000 3,913,872
Indiana State Office Building Commission Revenue
Limited Tax, ....................................
6.50%, 7/1/99 ................................... 3,000,000 3,108,450
------------
14,650,686
------------
Maryland -- 2.51%
Maryland State Community Development Administration
Department Revenue Fifth Series, 5.95%, 4/1/16 .. 3,000,000 3,054,540
Maryland State Public Improvement General
Obligation Second Series,
5.25%, 6/15/02 .................................. 2,500,000 2,596,500
Montgomery County Public Improvement Series A,
5.20%, 10/1/01 .................................. 4,000,000 4,142,200
------------
9,793,240
------------
Massachusetts -- 4.26%
Massachusetts Bay Transit Authority Series A,
7.00%, 3/1/22 ................................... 3,500,000 3,874,080
Massachusetts General Obligation Unlimited Tax:
Series B, 9.25%, 7/1/00 ......................... 2,000,000 2,271,160
Series A, 6.25%, 7/1/02 ......................... 4,500,000 4,844,070
New England Educational Loan Refunding Senior A:
6.50%, 9/1/02 ................................... 5,250,000 5,638,972
------------
16,628,282
------------
Michigan -- 6.77%
Michigan State Building Authority Revenue Refunding
Series I, 6.75%, 10/1/11 ........................ 5,575,000 6,057,962
Michigan State Hospital Financing Authority Revenue
Refunding:
Detroit Medical Center Obligation Group A
6.25%, 8/15/13 .................................. 6,750,000 7,039,440
Royal Oak Hospital Financing Authority Revenue
Refunding:
Wm. Beaumont Hospital,
6.25%, 1/1/11 ................................... 5,445,000 5,917,408
6.25%, 1/1/12 ................................... 6,850,000 7,437,593
------------
26,452,403
------------
114
<PAGE>
Minnesota -- 4.97%
Minnesota Housing Finance Agency Revenue:
Series D, 5.90%, 8/1/15 ......................... 2,575,000 2,616,277
Series G, 6.25%, 7/1/26 ......................... 3,475,000 3,571,953
Series L, 6.25%, 7/1/27 ......................... 12,910,000 13,244,498
------------
19,432,728
------------
Missouri -- 1.39%
Kansas City Utility System Revenue Refunding,
(FGIC Insured), 6.375%, 9/1/23 ................. 5,000,000 5,430,750
------------
Nevada -- 3.02%
Clark County General Obligation Limited Tax, 7.00%,
9/1/00 .......................................... 6,705,000 7,234,494
Las Vegas General Obligation Refunding Limited Tax,
6.40%, 10/1/03 .................................. 2,250,000 2,453,648
Nevada General Obligation Limited Tax:
Series C, 5.90%, 4/1/01 ......................... 1,000,000 1,051,820
Series A, 6.00%, 5/1/02 ......................... 1,000,000 1,061,210
------------
11,801,172
------------
New Jersey -- 1.85%
New Jersey State Transit Fund Authority, 5.00%,
6/15/04 ......................................... 7,090,000 7,225,348
------------
New York -- 10.88%
New York City General Obligation Unlimited Tax
Refunding Series I, 5.75%, 3/15/07 .............. 6,500,000 6,699,290
New York City General Obligation Unlimited Tax
Series A, 6.00%, 8/1/06 ......................... 5,000,000 5,260,600
New York City Municipal Water Authority Series C,
(FGIC Insured), 7.00%, 6/15/16 .................. 3,805,000 4,219,745
New York State Dormitory Authority Revenue
Series A, 5.20%, 5/15/05 ........................ 4,300,000 4,313,502
New York State Environment Pollution Control
Facilities, 6.50%, 6/15/14 ...................... 7,000,000 7,533,610
New York State Location Assistance Corp.
Series B, 7.50%, 4/1/20 ......................... 4,255,000 4,796,747
Tri-Borough Bridge & Tunnel Authority Revenue
General Purpose Series Y, 5.90%, 1/1/08 ......... 9,000,000 9,683,820
------------
42,507,314
------------
North Carolina -- 1.41%
North Carolina University and College Improvements
Unlimited Tax General Obligation, 5.00%, 6/1/01.. 2,535,000 2,604,282
North Carolina Municipal Power Agency
(MBIA Insured), 7.25%, 1/1/07 ................... 2,500,000 2,921,375
------------
5,525,657
------------
Ohio -- 1.05%
Ohio State Highway Capital Improvements General
Obligation Unlimited Tax, Series B,
5.00%, 5/1/05 ................................... 4,000,000 4,086,840
------------
115
<PAGE>
Pennsylvania -- 8.72%
Geisinger Authority Health System Revenue Series A,
5.50%, 7/1/03 ................................... 2,895,000 2,985,903
Pennsylvania Intergovernmental Coop Authority
Special Tax Revenue (FGIC Insured):
6.00%, 6/15/00 .................................. 7,000,000 7,332,080
6.80%, 6/15/22 .................................. 9,375,000 10,347,563
Philadelphia Gas Works Revenue Fourteenth Series
(CAPMAC Insured), 7.00%, 7/1/02 ................. 12,090,000 13,421,955
------------
34,087,501
------------
South Carolina -- 2.03%
Beaufort County School District General Obligation
Unlimited Tax Series B (MBIA Insured),
4.75%, 3/1/03 ................................... 2,800,000 2,829,624
South Carolina State Public Service Authority
Revenue Refunding Series A, 5.00%, 7/1/01 ....... 5,000,000 5,103,500
------------
7,933,124
------------
Tennessee -- 2.20%
Hamilton County General Obligation Unlimited Tax
Series A, 5.00%, 5/1/09 ......................... 3,370,000 3,377,246
Memphis-Shelby County Airport Authority Revenue
Refunding, 6.75%, 9/1/12 ........................ 2,000,000 2,166,880
Tennesse State General Obligation Refunding
Series B, 5.00%, 5/1/00 ......................... 3,000,000 3,065,370
------------
8,609,496
------------
Texas -- 3.52%
Dallas Independent School District General
Obligation Unlimited Tax, 8.70%, 8/1/00 ......... 1,000,000 1,125,870
Humble Independent School District General
Obligation Unlimited Tax Refunding,
6.00%, 2/15/04 .................................. 2,035,000 2,164,833
Texas A & M University Permanent Fund Revenue,
5.60%, 7/1/05 ................................... 5,000,000 5,302,400
Texas State General Obligation Unlimited Tax
Refunding Series B, 5.625%, 10/1/11 ............. 5,000,000 5,144,800
------------
13,737,903
------------
Virginia -- 1.38%
Virginia Beach General Obligation Unlimited Tax
Series A, 6.85%, 5/1/99 ......................... 1,100,000 1,147,850
Loudoun County Sanitation Authority Water and Sewer
Refunding, (FGIC Insured), 6.25%, 1/1/16 ......... 4,000,000 4,254,360
------------
5,402,210
------------
Washington -- 3.99%
Seattle General Obligation Limited Tax Series A,
5.75%, 1/15/17 .................................. 10,000,000 10,212,700
Snohomish County Mukilteo Refunding General
Obligation, (FGIC Insured), 5.70%, 12/1/12 ...... 5,140,000 5,368,319
------------
15,581,019
------------
116
<PAGE>
Wisconsin -- 6.81%
Durand Hospital Facilities Revenue, Chippewa Valley
Hospital and Nursing Project, 7.10%, 9/1/12 ..... 5,850,000 6,752,713
Wisconsin Clean Water Revenue Series 2,
6.00%, 6/1/07 ................................... 2,500,000 2,716,975
Wisconsin General Obligation Unlimited Tax
Series B:
7.00%, 5/1/01 ................................... 3,950,000 4,316,599
7.00%, 5/1/02 ................................... 4,155,000 4,612,091
7.00%, 5/1/03 ................................... 4,625,000 5,200,951
Wisconsin State Health & Educational Facilities
Authority Revenue:
(MBIA Insured), 5.10%, 8/15/05 .................. 3,000,000 3,025,620
------------
26,624,949
------------
TOTAL MUNICIPAL BONDS ............................... 386,053,826
(Cost $374,968,461) ------------
TEMPORARY CASH INVESTMENT -- 1.21%
Pegasus Municipal Money Market Fund ............... 4,738,518
(Cost $4,738,518) ------------
TOTAL INVESTMENTS ................................... $390,792,344
(Cost $379,706,979) ============
<FN>
See Notes to Financial Statements.
</TABLE>
117
<PAGE>
Pegasus Michigan Municipal Bond Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
MUNICIPAL BONDS -- 97.97%
Michigan -- 91.30%
Allegan Public School District General Obligation
(AMBAC Insured), Unlimited Tax, 5.75%, 5/1/12 ... $ 200,000 $ 206,842
Dearborn Economic Division Oakwood Obligation Group
Series, 5.60%, 11/15/08 ......................... 1,690,000 1,764,664
Dearborn School District, General Obligation,
Unlimited Tax, 6.00%, 5/1/14 .................... 1,000,000 1,032,390
Dearborn Sewage Disposal (MBIA Insured),
5.125%, 4/1/14 .................................. 1,830,000 1,773,837
Detroit Sewer Disposal Revenue (FGIC Insured),
6.00%, 7/1/00 ................................... 1,225,000 1,283,959
Detroit Wayne Co. (FGIC Insured), Public
Improvements, 5.50%, 2/1/17 ..................... 1,800,000 1,786,050
Dexter Community Schools, 5.80%, 5/1/19 ........... 2,000,000 2,028,080
Dickinson Co. Economic Development Corporation
Pollution Control Revenue, 5.85%, 10/1/18 ....... 3,000,000 3,017,160
Eastern Michigan University General Sinking Fund,
6.375%, 6/1/14 .................................. 1,000,000 1,070,490
Ferndale School District, 5.50%, 5/1/11 ........... 1,000,000 1,018,480
Hartland Consolidated School District General
Obligation (AMBAC Insured), Unlimited Tax, 6.00%,
5/1/11 .......................................... 650,000 680,725
Huron Valley School District (FGIC Insured),
Unlimited Tax, 5.875%, 5/1/16 ................... 1,000,000 1,027,730
Kalamazoo Economic Development, Friendship Vlg-A:
6.125%, 5/15/12 ................................. 1,250,000 1,268,125
6.125%, 5/15/17 ................................. 600,000 600,600
Kalamazoo Hospital Finance Authority Revenue (FGIC
Insured),
5.25%, 6/1/17 ................................... 1,000,000 950,770
Lansing Building Authority (AMBAC Insured), 6.00%,
6/1/05 .......................................... 1,000,000 1,084,750
Livingston Co. General Obligation Bldg. Authority
Limited Tax,
5.80%, 7/1/08 ................................... 1,330,000 1,408,802
Marysville Public School District, General
Obligation, Unlimited Tax,
5.60%, 5/1/09 ................................... 620,000 640,224
Michigan General Obligation Environmental
Protection Program, 6.25%, 11/1/08 .............. 450,000 494,618
Michigan Higher Education Student Loan
(AMBAC Insured), 5.75%,6/1/13 ................... 1,000,000 1,006,390
Michigan Municipal Bond Authority Revenue, 5.70%,
8/1/07 .......................................... 1,145,000 1,200,555
Michigan Municipal Bond Authority Revenue (FGIG
Insured), 6.00%, 12/1/13 ........................ 1,500,000 1,570,770
Michigan State Hospital Finance Authority Revenue
(AMBAC Insured):
6.00%, 9/1/11 ................................... 1,250,000 1,302,650
5.375%, 8/15/16 ................................. 1,000,000 968,590
Michigan State Hospital Finance Authority Revenue:
Mercy Mt. Clemens, 6.25%, 5/15/11 ............... 500,000 522,520
Daughters of Charity, 5.25%, 11/1/15 ............ 1,000,000 967,350
Mercy Health Services, 5.625%, 8/15/16 .......... 2,000,000 1,991,740
Henry Ford Hospital, 5.75%, 9/1/17 .............. 750,000 753,645
Detroit Medical Center, 6.50%, 8/15/18 .......... 2,000,000 2,122,340
118
<PAGE>
Michigan State Housing Development Authority
Revenue:
6.375%, 12/1/11 ................................. 750,000 784,793
6.00%, 12/1/15 .................................. 4,750,000 4,848,895
A/R, 4/1/19 ..................................... 2,800,000 2,800,000
Michigan State University Revenue, 6.25%, 8/15/15 . 2,000,000 2,113,720
Newaygo Public Schools General Obligation Unlimited
Tax, 6.00%, 5/1/12 .............................. 300,000 312,846
Norway Vulcan Area Schools, 5.75%, 5/1/13 ......... 250,000 254,313
Novi Community Schools, 6.125%, 5/1/13 ............ 750,000 786,743
Oak Park School District (AMBAC Insured),
6.00%, 6/1/09 ................................... 250,000 264,835
Ottawa Co. General Obligation Water Supply System,
6.00%, 8/1/08 ................................... 1,950,000 2,068,365
Perry Public Schools, General Obligation, Unlimited
Tax, 6.00%, 5/1/12 .............................. 250,000 260,512
Rockford Public Schools, 5.875%, 5/1/12 ........... 500,000 514,680
Royal Oak Hospital Finance Authority
Revenue-William Beaumont Hospital-G, 5.60%,
11/15/11 ........................................ 2,000,000 2,025,860
Saranac Community School District, 6.00%, 5/1/13 .. 250,000 260,837
Traverse City Area Public School District,
Series I, 5.70%, 5/1/12 ......................... 2,400,000 2,477,304
University of Michigan Revenue, 6.20%, 12/1/03 .... 1,000,000 1,080,690
University of Michigan Revenue, 5.75%, 12/1/12 .... 850,000 86,532
University of Michigan University Revenues,
5.50%, 12/1/21 .................................. 450,000 437,324
Wayne State University (AMBAC Insured):
5.50%, 11/15/07 ................................. 1,000,000 1,037,020
5.65%, 11/15/15 ................................. 800,000 807,960
Wayne Westland Community Schools (FGIC Insured),
Unlimited Tax, 5.75%, 5/1/11 .................... 350,000 358,806
Western University Revenue (FGIC Insured),
6.25%, 11/15/12 ................................. 250,000 266,983
Wyoming Public School, 5.875%, 5/1/13 ............. 350,000 361,043
-----------
60,531,907
-----------
Puerto Rico -- 6.67%
Puerto Rico Commonwealth General Obligation
(MBIA Insured) Unlimited Tax, Public Improvements,
6.25%, 7/1/12 ................................... 1,000,000 1,114,540
Puerto Rico Commonwealth, General Obligation,
5.75%, 7/1/17 ................................... 3,280,000 3,306,896
-----------
TOTAL MUNICIPAL BONDS ............................... 4,421,436
(Cost $63,234,707) -----------
TEMPORARY CASH INVESTMENT -- 2.03%
Pegasus Michigan Tax-Exempt Money Market Fund ..... 1,346,682 1,346,682
(Cost $1,346,682) -----------
TOTAL INVESTMENTS ................................... $66,300,025
(Cost $64,581,389) ===========
<FN>
See Notes to Financial Statements.
</TABLE>
119
<PAGE>
Pegasus Funds
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
(1) Organization and Commencement of Operations
The Pegasus Funds (Pegasus), formerly "The Woodward Funds", was
organized as a Massachusetts business trust on April 21, 1987, and registered
under the Investment Company Act of 1940, as amended (the "Act"), as an
open-end management investment company. As of June 30, 1997, the Trust
consisted of twenty-seven separate series of which there were twenty asset
allocation, equity and bond funds, as described below. Given that the High
Yield Bond Fund commenced operations with an initial seed investment on
June 30, 1997, financial statements as of that date were not prepared.
<TABLE>
<CAPTION>
Commencement
Date
------------
<S> <C>
ASSET ALLOCATION FUNDS
Managed Assets Conservative Fund 1/23/86
Managed Assets Balanced Fund 1/1/94
Managed Assets Growth Fund 12/17/96
EQUITY FUNDS
Equity Income Fund 1/27/95
Growth Fund 1/27/95
Mid-Cap Opportunity Fund 6/1/91
Small-Cap Opportunity Fund 1/27/95
Intrinsic Value Fund 6/1/91
Growth and Value Fund 6/1/91
Equity Index Fund 7/10/92
International Equity Fund 12/3/94
BOND FUNDS
Intermediate Bond Fund 6/1/91
Bond Fund 6/1/91
Short Bond Fund 9/17/94
Income Fund 3/5/93
High Yield Bond Fund 6/30/97
International Bond Fund 1/27/95
MUNICIPAL BOND FUNDS
Municipal Bond Fund 3/1/88
Intermediate Municipal Bond Fund 3/1/88
Michigan Municipal Bond Fund 2/1/93
</TABLE>
During the period August 23, 1996 through September 23, 1996 various
portfolios of Pegasus and the Prairie Funds reorganized pursuant to an
Agreement and Plan of Reorganization (the "Plan"). Shareholders of each
reorganizing portfolio approved the Plan as required which called for the
transfer of the assets, subject to the liabilities, of each Prairie portfolio
to the corresponding Pegasus Fund. The Plan also called for the issuance of
shares by each Pegasus Fund to the shareholders of the corresponding Prairie
Fund, such shares being equal in value to the net assets so transferred.
In accordance with generally accepted accounting principles, the
historical cost of investment securities was carried foward to the surviving
fund (the Prairie Fund or Pegasus Fund which is the accounting survivor for
performance measurement purposes as noted in the table that follows) and the
results of operations for pre-combination periods for the surviving fund was
not restated. The financial statements do not reflect the expenses of the
reorganization. The combination of the funds was treated as a tax free
business combination and accordingly was accounted for by a method of
accounting for tax free mergers of investment companies (sometimes referred
to as the pooling without restatement method).
120
<PAGE>
The following table sets forth the date on which such reorganizations
occurred and the name of the surviving fund (for the number of shares issued
in connection with the various mergers and net assets transferred, see Note
6):
<TABLE>
<CAPTION>
Former Current
Woodward Former Prairie Pegasus Date of Merger
Fund Fund Fund /Name Change
-------- -------------- ------- --------------
<S> <C> <C> <C>
-- * Managed Assets Income Managed Assets Conservative September 21, 1996
* Balanced Managed Assets Managed Assets Balanced August 26, 1996
-- * Equity Income Equity Income September 21, 1996
Capital Growth * Growth Growth August 26, 1996
* Opportunity -- Mid-Cap Opportunuity September 23, 1996
-- * Special Opportunities Small-Cap Opportunity September 21, 1996
* Intrinsic Value -- Intrinsic Value September 23, 1996
* Growth/Value -- Growth and Value September 23, 1996
* Equity Index -- Equity Index September 23, 1996
* International Equity International Equity International Equity August 26, 1996
* Intermediate Bond -- Intermediate Bond September 23, 1996
* Bond Bond Bond August 26, 1996
* Short Bond -- Short Bond September 23, 1996
-- * Intermediate Bond Income September 21, 1996
-- * International Bond International Bond September 21, 1996
Municipal Bond * Municipal Bond Municipal Bond September 14, 1996
-- * Intermediate Municipal Bond Intermediate Municipal Bond September 21, 1996
* Michigan Municipal Bond -- Michigan Municipal Bond September 23, 1996
<FN>
* Surviving fund for accounting and performance measurement purposes.
</TABLE>
On the date of reorganization, unrealized appreciation (depreciation)
transferred from the Non-surviving funds amounted to $1,342,149, $43,749,490,
$3,808,550, $(796,831), and $1,597,784 for the Prairie Managed Assets,
Woodward Capital Growth, Prairie International Equity, Prairie Bond, and
Woodward Municipal Bond Funds, respectively. The Woodward Municipal Bond Fund
also had a capital loss of $1,708,301 which was transferred into the
surviving fund on the reorganization date.
The number of shares redeemed in connection with the reorganization
totaled 877,085, 16,316,879, 13,340,453, 13,043,015 and 9,810,385 for the
Prairie Managed Assets, Woodward Capital Growth, Prairie International
Equity, Prairie Bond and Woodward Municipal Bond Funds, respectively.
(2) Significant Accounting Policies
The following is a summary of significant accounting policies followed
by Pegasus in preparation of its financial statements. The policies are in
conformity with generally accepted accounting principles for investment
companies. Following generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities, the disclosure of contingent assets and
liabilities at the date of the financial statements and reported amounts of
revenues and expenses during the reporting period. Actual results could
differ from those estimates.
121
<PAGE>
Investments
The Funds value investment securities at market value which is
determined by a pricing service based upon quoted market prices or dealer
quotes at the close of the respective domestic and foreign securities
exchange. Securities for which market prices or dealer quotes are not readily
available are valued by the investment advisor, First Chicago NBD Investment
Management Company (FCNIMCO), in accordance with procedures approved by the
Board of Trustees. Fixed income securities with maturities less than 60 days
are carried at amortized cost, which approximates market value. Shares of
open-end management investment companies (mutual funds) in which the Funds
invest are valued at their respective net asset values as determined under
the 1940 Act. Such mutual funds value securities in their portfolios for
which market quotations are readily available at their current market value
(generally the last reported sale price) and all other securities and assets
at fair value pursuant to methods established in good faith by the Board of
Trustees or Directors of the underlying mutual fund. Money market funds in
which the funds also invest generally value securities in their portfolios on
an amortized cost basis, which approximates market.
Investment security purchases and sales are accounted for on the day
after trade date.
Pegasus invests in securities subject to repurchase agreements. Such
transactions are entered into only with institutions included on the Federal
Reserve System's list of institutions with whom the Federal Reserve Open
Market Desk will do business. FCNIMCO, acting under the supervision of the
Board of Trustees, has established the following additional policies and
procedures relating to Pegasus' investments in securities subject to
repurchase agreements: 1) the value of the underlying collateral is required
to equal or exceed 102% of the funds advanced under the repurchase agreement
including accrued interest; 2) collateral is marked to market daily by
FCNIMCO to assure its value remains at least equal to 102% of the repurchase
agreement amount; and 3) funds are not disbursed by Pegasus or its agent
unless collateral is presented or acknowledged by the collateral custodian.
Investment Income
Interest income is recorded daily on the accrual basis adjusted for
amortization of premium and accretion of discount on debt instruments. Bond
premiums and discounts are amortized/accreted as required by the Internal
Revenue Code as amended (the Code). Premiums and discounts on mortgage-backed
securities are amortized/accreted using the effective interest rate method.
As prepayments on the underlying mortgages increase or decrease the expected
life, the yield is adjusted to amortize/accrete the security to its new
expected life. Dividends are recorded on the ex-dividend date.
For the International Equity Fund dividends are recorded on the
ex-dividend date or upon receipt of ex-dividend notification in the case of
certain foreign securities. For the International Equity Fund and the
International Bond Fund, investment income is recorded net of foreign taxes
withheld where recovery of such taxes is uncertain.
Forward Foreign Currency Contracts
The International Equity Fund and the International Bond Fund may
enter into a forward foreign currency contract which is an agreement between
two parties to buy and sell a currency at a set price on a future date. The
market value of the contract will fluctuate with changes in currency exchange
rates. The contract is "marked-to-market" daily using the prevailing exchange
rate and the change in market value is recorded as an unrealized gain or
loss. When the contract is closed, a realized gain or loss is recorded equal
to the difference between the value of the contract at the time it was
entered into and the value at the time it was closed.
The International Equity Fund and the International Bond Fund may enter
into forward foreign currency contracts with the objective of minimizing its
risk from adverse changes in the relationship between currencies or to
enhance income. The International Equity Fund and the International Bond Fund
may also enter into a forward contract in a foreign currency of dividend
payments in order to "lock in" the U. S. dollar price of a security or the
U.S. dollar equivalent of such dividend or interest payments.
These contracts involve market risk in excess of the amounts reflected
in the International Equity Fund's and the International Bond Fund's
Statement of Assets and Liabilities. The face or contract amount in U.S.
dollars, as reflected in notes to the Portfolio of Investments of the
International Equity Fund, reflects the total
122
<PAGE>
exposure the fund has in that particular currency contract. Losses may arise
due to changes in the value of the foreign currency or if the counterparty
does not perform under the contract.
Futures contracts
The International Equity Fund may engage in futures contracts for
the purpose of hedging against changes in the value of its portfolio
securities and in the value of securities it intends to purchase. Upon
entering into a futures contract, the Fund is required to deposit with the
broker an amount of cash or cash equivalents equal to a certain percentage of
the contract amount. This is known as the "initial margin". Subsequent
payments ("variation margin") are made or received by the Fund each day,
depending on the daily fluctuation of the value of the contract. The daily
changes in the value of the contract are recorded as unrealized gains or
losses. The International Equity Fund recognizes, when the contract is
closed, a realized gain or loss equal to the difference between the value of
the contract at the time it was opened and the time it was closed. Futures
contracts open at June 30, 1997 and their related unrealized market
appreciation (depreciation) are set forth in the notes to the Portfolio of
Investments of the International Equity Fund.
There are several risks in connection with the use of futures contracts
as a hedging device. The change in value of futures contracts primarily
corresponds with the value of their underlying instruments or indices, which
may not correlate with the change in value of the hedged investments. In
addition, there is the risk that the Fund may not be able to enter into a
closing transaction because of an illiquid secondary market.
Foreign Currency Translations
The accounting records of the International Equity Fund and the
International Bond Fund are maintained in U.S. dollars. Foreign
currency-denominated assets and liabilities are "marked-to-market" daily
using the prevailing exchange rate and the change in value is recorded as an
unrealized gain or loss. Upon receipt or payment, a realized gain or loss is
recorded equal to the difference between the original value and the
settlement value of the asset or liability. Purchases and sales of
securities, income, and expenses are translated into U.S. dollars at
prevailing exchange rates on the respective dates of the transactions.
Net realized gains and losses on foreign currency transactions
represent gains and losses from sales and maturities of forward foreign
currency contracts, disposition of foreign currencies and currency gains and
losses realized between trade and settlement dates on securities transactions
and between the ex, pay and settlement dates on dividend income. Exchange
rate fluctuations on investments are not segregated in the statement of
operations from changes arising in market price movements. The effects of
changes in foreign currency exchange rates on investments in securities are
included within the net realized gain or loss on securities sold and net
unrealized appreciation or depreciation on investment securities held.
Federal Income Taxes
It is Pegasus' policy to comply with the requirements of
Subchapter M of the Code applicable to regulated investment companies and to
distribute net investment income and realized gains to its shareholders.
Therefore, no federal income tax provision is required in the accompanying
financial statements.
Net investment income and net realized gains (losses) may differ for
financial statement and tax purposes primarily due to differing treatments
for foreign currency transactions, wash sales and post-October 31 capital
losses. Also, due to the timing of dividend distributions, the fiscal year in
which amounts are distributed may differ from the year that the net
investment income or realized gains were recorded by the Fund. Certain
book-to-tax timing differences for the Funds are reflected as excess
distributions in the Statements of Changes in Net Assets. These distributions
do not constitute a tax return of capital.
During the period ended June 30, 1997, the Mid-Cap Opportunity,
Intrinsic Value and Equity Index Funds made redemptions in kind to
shareholders which resulted in GAAP-basis realized gains of approximately $2
million, $2 million and $115 million, respectively. For tax purposes these
realized gains were distributed only to the redeeming shareholders with the
transfer of specific fund assets. These transactions resulted in permanent
book-tax differences that were reclassified to paid-in capital in the
respective funds.
123
<PAGE>
As of December 31, 1996, the following Pegasus Funds had capital loss
carryforwards and related expiration dates as follows:
<TABLE>
<CAPTION>
Fund 2002 2003 2004 Total
---- ---- ---- ---- -----
<S> <C> <C> <C> <C>
Bond $15,659,343 $1,041,792 $ -- $16,701,135
Intermediate Bond 3,916,956 2,190,497 168,406 6,275,859
Income -- -- 30,819 30,819
Municipal Bond 96,878 333,098 1,928,844 2,358,820
Michigan Municipal Bond 29,400 -- 94,571 123,971
International Equity -- 97,147 1,083,369 1,180,516
</TABLE>
Shareholder Dividends
Dividends from net investment income are declared and paid
quarterly by the Equity Funds (with the exception of the Managed Assets
Conservative and Equity Income Funds which pay dividends monthly) and monthly
by the Bond Funds. Net realized capital gains are distributed annually.
Distributions from net investment income and net realized gains are made
during each year to avoid the 4% excise tax imposed on regulated investment
companies by the Code. However, to the extent that net realized capital gains
of a Fund can be reduced by capital loss carryovers, if any, such gains will
not be distributed.
Deferred Organization Costs
Organization costs are being amortized on a straight-line basis
over the five year period beginning with the commencement of operations of
each Series.
Concentration of Risk
Investing in securities of foreign issuers and currency transactions
may involve certain considerations and risks not typically associated with
investing in U.S. companies and U.S. government securities. These risks include
revaluation of currencies, adverse fluctuations in foreign currency values and
possible adverse political, social and economic developments, including those
particular to a specific industry, country or region, which could cause the
securities and their markets to be less liquid and price more volatile than
those of comparable U.S. companies and U. S. government securities.
Although the Intermediate Municipal Bond Fund has a diversified
investment portfolio, it currently has investments in excess of 10% of its
total investments in the Commonwealth of Pennsylvania. The Michigan Municipal
Bond Fund does not have a diversified portfolio since 91% of its investments
are within the State of Michigan. Such concentrations within a particular state
may subject the funds more significantly to economic changes occurring within
those states.
Expenses
Expenses directly attributable to a Fund are charged to that Fund's
operations; expenses which are applicable to all Funds are allocated among
them on the basis of relative average daily net assets. Fund expenses
directly attributable to a class of shares are charged to that class;
expenses which are applicable to all classes are allocated among them.
Pegasus monitors the rate at which expenses are charged to ensure that
a proper amount of expense is charged to income each year. This percentage is
subject to revision if there is a change in the estimate of the future net
assets of Pegasus or a change in expectations as to the level of actual
expenses.
When Issued/To Be Announced (TBA) Securities.
The Bond Funds may purchase securities on a "when issued" basis.
These securities have been registered by a municipality or government agency,
but have not yet been issued to the public. These transactions involve a
commitment by the Funds to purchase particular securities, with payment and
delivery taking place at a future date, for which all specific information,
such as the face amount and maturity date of such investment security, is not
known at the time of the trade. These transactions are subject to market
fluctuations and the risk that the value at delivery may be more or less than
the purchase price at which the transactions were entered. The current value
of these securities is determined in the same manner as that of other
portfolio securities. Although the Bond Funds generally purchase these
securities with the intention of acquisition, such securities may be sold
before the settlement date.
124
<PAGE>
Multiple Classes of Capital Shares of Beneficial Interest
The Fund offers Class A, Class B and Class I shares. Each class of
shares has equal rights as to earnings, assets and voting privileges except
that each class bears different distribution and shareholder service
expenses. Each class of shares has exclusive voting rights with respect to
matters that effect only that class. Income, expenses (other than expenses
attributable to a specific class) and realized and unrealized gains or losses
on investments are allocated to each class of shares based on relative net
assets. Dividends are declared separately for each class. No class has
preferential dividend rights; differences in per share dividend rates are
generally due to differences in separate class expenses. Class B shares
automatically convert to Class A shares at the beginning of the eighth year
(the third year in the case of the Short Bond Fund and the seventh year in
the case of the Equity Index, Income, Intermediate Bond and Intermediate
Municipal Bond Funds) after the date of purchase.
(3) Investment Advisory Fee, Administration Fee and Other Transactions With
Affiliates
FCNIMCO is the investment advisor pursuant to the Advisory
Agreement whereby FCNIMCO has agreed to provide the day-to-day management of
each of the Fund's investments. For its advisory services to Pegasus, FCNIMCO
is entitled to a fee, computed daily and payable monthly.
The Trust has a Co-Administration Agreement with NBD Bank, FCNIMCO and
BISYS Fund Services (BISYS) (collectively, the "Co-Administrators") pursuant
to which the Co-Administrators have agreed to assist in all aspects of the
Funds' operations for an administration fee, at an annual rate of 0.15% of
each Fund's average daily net assets.
BISYS serves as the Trust's principal underwriter and distributor of
the Funds' shares.
NBD Bank, an affiliate of FCNIMCO, is also compensated for its services
as Pegasus' custodian and is reimbursed for certain out of pocket expenses
incurred on behalf of Pegasus.
See Note 5 for a summary of fee rates and expenses pursuant to these
agreements.
Pegasus maintains an unfunded, Nonqualified deferred compensation plan.
This plan allows for an individual trustee to elect to defer receipt of all
or a percentage of fees which otherwise would be payable for services
performed.
125
<PAGE>
(4) Investment Securities Transactions
The following summarizes the securities transactions entered into by
the Funds, excluding short-term investments, for the period ended June 30,
1997:
<TABLE>
<CAPTION>
Federal Tax
Purchases Sales Cost
--------- ----- -----------
<S> <C> <C> <C>
Managed Assets Conservative ......................... $ 9,883,801 $ 40,561,601 $ 85,224,290
Managed Assets Balanced ............................. 76,045,799 58,056,400 214,110,749
Managed Assets Growth ............................... 2,829,003 184,143 4,173,060
Equity Income ....................................... 56,169,646 90,556,263 245,813,605
Growth .............................................. 51,095,087 91,405,283 423,845,773
Mid-Cap Opportunity ................................. 134,283,493 131,784,708 612,561,144
Small-Cap Opportunity ............................... 66,227,758 44,553,757 140,007,746
Intrinsic Value ..................................... 159,418,299 89,877,534 398,215,440
Growth and Value .................................... 158,569,250 127,930,558 701,032,394
Equity Index ........................................ 62,832,052 53,806,651 496,681,471
International Equity ................................ 669,482,532 36,286,881 407,952,543
Intermediate Bond ................................... 68,003,208 30,954,766 459,639,310
Bond Fund ........................................... 166,476,155 31,706,549 1,021,412,070
Short Bond .......................................... 80,304,498 53,860,668 191,948,129
Income Fund ......................................... 46,129,343 103,006,455 139,505,138
International Bond .................................. 2,668,214,489 1,621,280 75,538,915
Municipal Bond ...................................... 93,804,359 87,229,288 354,048,047
Intermediate Municipal Bond ......................... 109,368,349 108,229,870 379,706,979
Michigan Municipal Bond ............................. 20,970,656 14,512,078 64,581,389
</TABLE>
At June 30, 1997, accumulated net unrealized appreciation
(depreciation) on investments based on Federal Tax Cost was as follows:
<TABLE>
<CAPTION>
Net Unrealized
Unrealized Unrealized Appreciation/
Appreciation Depreciation (Depreciation)
------------ ------------ --------------
<S> <C> <C> <C>
Managed Assets Conservative ......................... $ 6,534,343 $ (283,105) $ 6,251,238
Managed Assets Balanced ............................. 20,058,031 (1,027,136) 19,030,895
Managed Assets Growth ............................... 286,430 (2,953) 283,477
Equity Income ....................................... 66,830,798 (617,446) 66,213,352
Growth .............................................. 202,486,282 (12,030,124) 190,456,158
Mid-Cap Opportunity ................................. 289,275,012 (9,322,080) 279,952,932
Small-Cap Opportunity ............................... 40,797,927 (1,708,192) 39,089,735
Intrinsic Value ..................................... 93,948,750 (2,108,067) 91,840,683
Growth and Value .................................... 266,060,000 (2,383,410) 263,676,590
Equity Index ........................................ 268,444,256 (11,427,931) 257,016,325
International Equity ................................ 94,134,717 (21,386,259 72,748,458
Intermediate Bond ................................... 9,090,856 (6,902,511) 2,188,345
Bond Fund ........................................... 28,757,996 (14,339,522) 14,418,474
Short Bond .......................................... 720,028 (464,066) 255,962
Income Fund ......................................... 1,437,889 (752,926) 684,963
International Bond .................................. 828,181 (3,052,045) (2,223,864)
Municipal Bond ...................................... 13,186,598 (28,425) 13,158,173
Intermediate Municipal Bond ......................... 11,104,309 (18,944) 11,085,365
Michigan Municipal Bond ............................. 1,734,532 (15,896) 1,718,636
<FN>
* For the International Equity and International Bond Funds, the Gross
Unrealized Appreciation and Depreciation is inclusive of foreign exchange
gains and losses on foreign equity and bond holdings.
</TABLE>
126
<PAGE>
(5) Expenses
Following is a summary of total expense rates charged for the
period ended June 30, 1997.
<TABLE>
<CAPTION>
Managed Assets Managed Assets Managed Assets
Effective Date Conservative Balanced Growth
- -------------- -------------- -------------- --------------
<S> <C> <C> <C>
CLASS A SHARES
Expense Rates:
January 1 1.22% 1.21% 1.20%
June 2 1.25% 1.25% 1.25%
CLASS B SHARES
Expense Rates:
January 1 1.97% 1.96% 1.95%
June 2 2.00% 2.00% 2.00%
CLASS I SHARES
Expense Rates:
January 1 0.97% 0.96% 0.95%
June 2 1.00% 1.00% 1.00%
</TABLE>
For the period ended June 30, 1997, FCNIMCO voluntarily agreed to
reimburse a portion of the operating expenses of the Funds to the extent that
the Funds' expenses exceeded the following amounts (as a percentage of each
Fund's daily average net assets):
<TABLE>
<CAPTION>
Managed Assets Managed Assets Managed Assets
Conservative Balanced Growth
-------------- -------------- --------------
<S> <C> <C> <C>
Class A Shares 1.25% 1.25% 1.25%
Class B Shares 2.00% 2.00% 2.00%
Class I Shares 1.00% 1.00% 1.00%
</TABLE>
Following is a summary of advisory fee rates payable to FCNIMCO and
amounts paid to FCNIMCO and BISYS pursuant to the agreements described in
Note 3 for the period ended June 30, 1997. The rates are stated as a
percentage of each fund's average net assets.
<TABLE>
<CAPTION>
Managed Assets Managed Assets Managed Assets
Effective Date Conservative Balanced Growth
-------------- -------------- -------------- --------------
<S> <C> <C> <C>
FCNIMCO Advisory Fee:
January 1 0.65% 0.65% 0.65%
Amounts Paid:
Advisory Fee to FCNIMCO 267,185 588,537 7,563
Administration Fee to FCNIMCO and BISYS 61,658 135,816 1,745
Other Fees & Out of Pocket Expenses to FCNIMCO 9,318 40,459 11,901
Expense Reimbursements by FCNIMCO (33,257) (68,757) (28,567)
</TABLE>
127
<PAGE>
Following is a summary of total expense rates charged for the period
ended June 30, 1997.
<TABLE>
<CAPTION>
Equity Mid-Cap Small-Cap
Effective Date Income Growth Opportunity Opportunity
- -------------- ------ ------ ----------- -----------
<S> <C> <C> <C> <C>
CLASS A SHARES
Expense Rates:
January 1 0.95% 1.04% 1.06% 1.20%
May 1 0.95% 1.04% 1.10% 1.17%
CLASS B SHARES
Expense Rates:
January 1 1.70% 1.79% 1.81% 1.95%
May 1 1.70% 1.79% 1.85% 1.92%
CLASS I SHARES
Expense Rates:
January 1 0.70% 0.79% 0.81% 0.95%
May 1 0.70% 0.79% 0.85% 0.92%
</TABLE>
For the period ended June 30, 1997, FCNIMCO voluntarily agreed to
reimburse a portion of the operating expenses of the Funds to the extent that
the Funds' expenses exceeded the following amounts (as a percentage of each
Fund's average net assets):
<TABLE>
<CAPTION>
Equity Mid-Cap Small-Cap
Income Growth Opportunity Opportunity
------ ------ ----------- -----------
<S> <C> <C> <C> <C>
Class A Shares 1.14% 1.34% 1.36% 1.75%
Class B Shares 1.89% 2.09% 2.11% 2.50%
Class I Shares 1.01% 0.98% 0.92% 1.10%
</TABLE>
Following is a summary of advisory fee rates payable to FCNIMCO and
amounts paid to FCNIMCO and BISYS pursuant to the agreements described in
Note 3 for the period ended June 30, 1997. The rates are stated as a
percentage of each fund's average net assets.
<TABLE>
<CAPTION>
Equity Mid-Cap Small-Cap
Effective Date Income Growth Opportunity Opportunity
- -------------- ------ ------ ----------- -----------
<S> <C> <C> <C> <C>
FCNIMCO Advisory Fee:
January 1 0.50% 0.60% 0.60% 0.70%
Amounts Paid:
Advisory Fee to FCNIMCO $777,880 1,692,653 2,380,669 513,922
Administration Fee to FCNIMCO and BISYS 233,364 423,163 595,167 110,126
Other Fees & Out of Pocket Expenses to FCNIMCO 27,481 19,197 47,214 14,842
</TABLE>
128
<PAGE>
Following is a summary of total expense rates charged for the period
ended June 30, 1997.
<TABLE>
<CAPTION>
Intrinsic Growth and Equity International
Effective Date Value Value Index Equity
--------- ---------- ------ -------------
<S> <C> <C> <C> <C>
CLASS A SHARES
Expense Rates:
January 1 1.06% 1.05% 0.54% 1.30%
May 1 1.06% 1.11% 0.57% 1.37%
June 2 1.06% 1.10% 0.57% 1.37%
CLASS B SHARES
Expense Rates:
January 1 1.81% 1.80% 1.29% 2.05%
May 1 1.81% 1.86% 1.32% 2.12%
June 2 1.81% 1.85% 1.32% 2.12%
CLASS I SHARES
Expense Rates:
January 1 0.81% 0.80% 0.29% 1.05%
May 1 0.81% 0.86% 0.32% 1.12%
June 2 0.81% 0.85% 0.32% 1.12%
</TABLE>
For the period ended June 30, 1997, FCNIMCO voluntarily agreed to
reimburse a portion of the operating expenses of the Funds to the extent that
the Funds' expenses exceeded the following amounts (as a percentage of each
Fund's average net assets):
<TABLE>
<CAPTION>
Intrinsic Growth and Equity International
Value Value Index Equity
--------- ---------- ------ -------------
<S> <C> <C> <C> <C>
Class A Shares 1.27% 1.10% 0.60% 1.71%
Class B Shares 2.02% 2.02% 1.35% 2.46%
Class I Shares 1.01% 0.85% 0.37% 1.18%
</TABLE>
Following is a summary of advisory fee rates payable to FCNIMCO and
amounts paid to FCNIMCO and BISYS pursuant to the agreements described in
Note 3 for the period ended June 30, 1997. The rates are stated as a
percentage of each fund's average net assets.
<TABLE>
<CAPTION>
Intrinsic Growth and Equity International
Effective Date Value Value Index Equity
-------------- --------- ---------- ------- -------------
<S> <C> <C> <C> <C>
FCNIMCO Advisory Fee:
January 1 0.60% 0.60% 0.10% 0.80%
Amounts Paid:
Advisory Fee to FCNIMCO. $1,275,963 $2,581,691 $354,488 $1,713,852
Administration Fee to FCNIMCO and BISYS 318,991 645,423 531,731 321,347
Other Fees & Out of Pocket Expenses to FCNIMCO 27,311 46,745 55,169 230,934
Expense Reimbursements by FCNIMCO -- (14,628) -- --
</TABLE>
129
<PAGE>
Following is a summary of total expense rates charged for the period
ended June 30, 1997.
<TABLE>
<CAPTION>
Intermediate Short
Effective Date Bond Bond Bond Income
- -------------- ------------ ---- ----- ------
<S> <C> <C> <C> <C>
CLASS A SHARES
Expense Rates:
January 1 0.85% 0.84% 0.82% 0.87%
May 1 0.86% 0.86% 0.84% 0.87%
June 2 0.86% 0.86% 0.82% 0.87%
CLASS B SHARES
Expense Rates:
January 1 1.60% 1.59% 1.57% 1.62%
May 1 1.61% 1.61% 1.59% 1.62%
June 2 1.61% 1.61% 1.57% 1.62%
CLASS I SHARES
Expense Rates:
January 1 0.60% 0.59% 0.57% 0.62%
May 1 0.61% 0.61% 0.59% 0.62%
June 2 0.61% 0.61% 0.57% 0.62%
</TABLE>
For the period ended June 30, 1997, FCNIMCO voluntarily agreed to
reimburse a portion of the operating expenses of the Funds to the extent that
the Funds' expenses exceeded the following amounts (as a percentage of each
Fund's average net assets):
<TABLE>
<CAPTION>
Intermediate Short
Bond Bond Bond Income
------------ ---- ----- ------
<S> <C> <C> <C> <C>
Class A Shares 1.05% 1.09% 0.86% 1.09%
Class B Shares 1.80% 1.84% 1.61% 1.84%
Class I Shares 0.61% 0.93% 0.57% 0.93%
</TABLE>
Following is a summary of advisory fee rates payable to FCNIMCO and
amounts paid to FCNIMCO and BISYS pursuant to the agreements described in
Note 3 for the period ended June 30, 1997. The rates are stated as a
percentage of each fund's average net assets.
<TABLE>
<CAPTION>
Intermediate Short
Effective Date Bond Bond Bond Income
-------------- ------------ ---- ---- ------
<S> <C> <C> <C> <C>
FCNIMCO Advisory Fee:
January 1 0.40% 0.40% 0.35% 0.40%
Amounts Paid:
Advisory Fee to FCNIMCO $870,992 $1,822,864 $318,190 $332,141
Administration Fee to FCNIMCO and BISYS 326,622 683,574 136,367 124,553
Other Fees & Out of Pocket Expenses to FCNIMCO 32,690 55,259 18,091 11,378
Expense Reimbursements by FCNIMCO -- -- (1,547) --
</TABLE>
130
<PAGE>
Following is a summary of total expense rates charged for the period
ended June 30, 1997.
<TABLE>
<CAPTION>
International Municipal Intermediate Michigan
Effective Date Bond Bond Municipal Bond Municipal Bond
- -------------- ------------- --------- -------------- --------------
<S> <C> <C> <C> <C>
CLASS A SHARES
Expense Rates:
January 1 1.09% 0.85% 0.85% 0.94%
May 1 1.09% 0.85% 0.84% 0.94%
June 2 1.09% 0.85% 0.84% 0.91%
CLASS B SHARES
Expense Rates:
January 1 1.84% 1.60% 1.60% 1.69%
May 1 1.84% 1.60% 1.59% 1.69%
June 2 1.84% 1.60% 1.59% 1.66%
CLASS I SHARES
Expense Rates:
January 1 0.84% 0.60% 0.60% 0.69%
May 1 0.84% 0.60% 0.59% 0.69%
June 2 0.84% 0.60% 0.59% 0.66%
</TABLE>
For the period ended June 30, 1997, FCNIMCO voluntarily agreed to
reimburse a portion of the operating expenses of the Funds to the extent that
the Funds' expenses exceeded the following amounts (as a percentage of each
Fund's average net assets):
<TABLE>
<CAPTION>
International Municipal Intermediate Michigan
Bond Bond Municipal Bond Municipal Bond
------------- --------- -------------- --------------
<S> <C> <C> <C> <C>
Class A Shares 1.48% 0.97% 0.99% 0.94%
Class B Shares 2.23% 1.72% 1.74% 1.66%
Class I Shares 0.84% 0.70% 0.75% 0.82%
</TABLE>
Following is a summary of advisory fee rates payable to FCNIMCO and
amounts paid to FCNIMCO and BISYS pursuant to the agreements described in
Note 3 for the period ended June 30, 1997. The rates are stated as a
percentage of each fund's average net assets.
<TABLE>
<CAPTION>
International Municipal Intermediate Michigan
Effective Date Bond Bond Municipal Bond Municipal Bond
-------------- ------------ --------- -------------- --------------
<S> <C> <C> <C> <C>
FCNIMCO Advisory Fee:
January 1 0.70% 0.40% 0.40% 0.40%
Amounts Paid:
Advisory Fee to FCNIMCO $240,423 $751,159 $783,295 $123,692
Administration Fee to FCNIMCO and BISYS 51,519 281,684 293,736 46,384
Other Fees & Out of Pocket Expenses to FCNIMCO 49,239 19,474 16,789 10,155
Expense Reimbursements by FCNIMCO (81,418) -- -- (14,123)
</TABLE>
131
<PAGE>
The Funds' Class A shares and Class B shares have a Shareholder
Services Plan (the"Plan") pursuant to which the Funds pay BISYS (the
"Distributor") a fee, at an annual rate not to exceed 0.25% of the value
of the average daily net assets of the outstanding Class A shares and Class B
shares. Pursuant to the terms of the Plan, the Distributor has agreed to
provide certain shareholder services to the holders of these shares.
Additionally, under the terms of the Plan, the Distributor may make payments
to other shareholder service agents which may include FCNIMCO, and its
affiliates. For the period ended June 30, 1997, the Funds paid the following
amounts under the Plan to BISYS:
<TABLE>
<CAPTION>
Amounts paid
------------
<S> <C>
Managed Assets Conservative $ 91,838
Managed Assets Balanced 72,660
Managed Assets Growth 2,064
Equity Income 20,115
Growth 38,944
Mid-Cap Opportunity 129,093
Small-Cap Opportunity 10,387
Intrinsic Value 40,973
Growth and Value 95,550
Equity Index 73,252
International Equity 19,820
Intermediate Bond 25,464
Bond Fund 73,279
Short Bond 2,080
Income Fund 11,236
International Bond 3,821
Municipal Bond 35,403
Intermediate Municipal Bond 23,944
Michigan Municipal Bond 22,098
</TABLE>
The Funds' Class B shares have a Distribution Plan adopted pursuant to
Rule 12b-1 under the Act (the "12b-1 Plan") pursuant to which the Funds have
agreed to pay the Distributor for advertising, marketing and distributing
Class B Shares of the Funds at an annual rate not to exceed 0.75% of the
value of the average daily net assets of the Funds' outstanding Class B
Shares. Under the terms of the 12b-1 Plan, the Distributor may make payments
to FCNIMCO, and its affiliates in respect of these services. A contingent
deferred sales charge (CDSC) payable to the Distributor is imposed on
redemptions of Class B shares depending on the number of years such shares
were held by the investor. For the period ended June 30, 1997, the Funds made
the following payments under the 12b-1 plan, all of which was retained by the
Distributor:
<TABLE>
<CAPTION>
12b-1 Fees CDSC
paid paid
---------- ----
<S> <C> <C>
Managed Assets Conservative $25,677 $22,262
Managed Assets Balanced 9,780 13,515
Managed Assets Growth 3,015 5,600
Equity Income 6,820 2,411
Growth 2,886 3,972
Mid-Cap Opportunity 2,722 9,105
Small-Cap Opportunity 1,003 2,740
Intrinsic Value 2,342 6,562
Growth and Value 3,660 10,013
Equity Index 1,389 2,243
International Equity 4,215 2,681
Intermediate Bond 702 589
Bond Fund 2,410 5,945
Short Bond 225 238
Income Fund 1,476 129
International Bond 205 549
Municipal Bond 2,817 3,835
Intermediate Municipal Bond 2,325 775
Michigan Municipal Bond 620 1,458
</TABLE>
132
<PAGE>
(6) Capital Share Transactions
Transactions in shares of the Funds are summarized below:
<TABLE>
<CAPTION>
Managed Assets Conservative Fund
------------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
------------------- -------------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 14,901,719 965,552 $ 21,035,492 1,395,287
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 1,422,386 91,642 2,064,528 138,061
Shares Redeemed (11,067,377) (716,318) (8,804,666) (591,724)
------------- ---------- ------------ ---------
Net Increase $ 5,256,728 340,876 $ 14,295,354 941,624
============= ========== ============ =========
Class B Shares:
Shares Issued $ 2,598,816 166,830 $ 3,341,366 234,768
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 117,691 7,568 118,027 7,867
Shares Redeemed (379,315) (24,577) (280,570) (18,618)
------------- ---------- ------------ ---------
Net Increase $ 2,337,192 149,821 $ 3,178,823 224,017
============= ========== ============ =========
Class I Shares:
Shares Issued $ 6,840,900 442,213 $ 918,992 59,611
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 67,780 4,338 6,383 428
Shares Redeemed (3,207,178) (207,603) (784,575) (51,259)
------------- -------- ------------ ---------
Net Increase $ 3,701,502 238,948 $ 140,800 8,780
============= ========== ============ =========
Net Increase in Fund $ 11,295,422 729,645 $ 17,614,977 1,174,421
============= ========== ============ =========
<CAPTION>
Managed Assets Balanced Fund
-----------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
------------- -----------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 66,133,373 5,613,705 $ 8,426,899 711,227
Shares Issued in Connection with Merger -- -- 9,463,276 852,362
Dividends Reinvested 949,079 77,650 817,537 72,314
Shares Redeemed (11,158,835) (937,750) (2,536,126) (221,289)
------------- ---------- ------------ ---------
Net Increase $ 55,923,617 4,753,605 $ 16,171,586 1,414,614
============= ========== ============ =========
Class B Shares:
Shares Issued $ 2,079,572 158,133 $ 1,032,698 80,980
Shares Issued in Connection with Merger -- -- 807,188 66,363
Dividends Reinvested 32,538 2,412 9,168 716
Shares Redeemed (131,057) (10,132) (6,339) (515)
------------- ---------- ------------ ---------
Net Increase $ 1,981,053 150,413 $ 1,842,715 147,544
============= ========== ============ =========
Class I Shares:
Shares Issued $ 69,985,166 5,999,673 $ 49,005,246 4,288,634
Shares Issued in Connection with Merger -- -- 435,984 39,271
Dividends Reinvested 1,798,637 148,568 7,286,098 648,042
Shares Redeemed (41,225,521) (3,503,396) (41,766,635) (3,653,436)
------------- ---------- ------------ --------
Net Increase $ 30,558,282 2,644,845 $ 14,960,693 1,322,511
============= ========== ============ =========
Net Increase in Fund $ 88,462,952 7,548,863 $ 32,974,994 2,884,669
============= ========== ============ =========
<CAPTION>
Managed Assets Growth Fund
-----------------------------------------
Period Ended December 17, 1996
June 30, 1997 to
(Unaudited) December 31, 1996
-------------------- -----------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 1,753,254 168,516 $ 75,494 7,476
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 10,378 966 -- --
Shares Redeemed (273,815) (25,436) -- --
----------- ------- --------- ------
Net Increase $ 1,489,817 144,046 $ 75,494 7,476
=========== ======= ========= ======
Class B Shares:
Shares Issued $ 1,930,725 186,571 $ 16,600 1,659
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 9,945 933 -- --
Shares Redeemed (6,019) (591) -- --
----------- ------- --------- ------
Net Increase $ 1,934,651 186,913 $ 16,600 1,659
=========== ======= ========= ======
Class I Shares:
Shares Issued $ 68,905 6,591 $ 586,711 58,671
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 10 -- -- --
Shares Redeemed -- -- -- --
----------- ------- --------- ------
Net Increase $ 68,906 6,591 $ 586,711 58,671
=========== ======= ========= ======
Net Increase in Fund $ 3,493,374 337,550 $ 678,805 67,806
=========== ======= ========= ======
</TABLE>
133
<PAGE>
(6) Capital Share Transactions -- (Continued)
<TABLE>
<CAPTION>
Equity Income Fund
-----------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
-------------- -----------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 3,795,342 278,433 $ 11,093,531 852,135
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 197,214 14,379 160,285 12,297
Shares Redeemed (6,312,648) (455,456) (1,604,818) (124,553)
------------ ---------- ------------ ---------
Net Increase (Decrease) $ (2,320,092) (162,644) $ 9,648,998 739,879
============ ========== ============ ==========
Class B Shares:
Shares Issued $ 520,979 38,302 $ 1,308,057 102,562
Dividends Reinvested 21,596 1,564 28,902 2,231
Shares Redeemed (404,966) (30,452) (152,379) (11,467)
-------- ---------- ------------ ----------
Net Increase (Decrease) $ 137,608 9,414 $ 1,184,580 93,326
============ ========== ============ ==========
Class I Shares:
Shares Issued $ 9,754,605 715,798 $ 45,081,757 3,527,231
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 58,996 4,386 218,010 16,975
Shares Redeemed (47,309,598) (3,487,977) (39,544,438) (3,063,638)
----------- ---------- ----------- ----------
Net Increase (Decrease) $(37,495,997) (2,767,793) $ 5,755,329 480,568
============= ========== ============ ==========
Net Increase (Decrease) in Fund $(39,678,481) (2,921,023) $ 16,588,907 1,313,773
============= ========== ============ ==========
<CAPTION>
Growth Fund
-------------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
----------------- -----------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 14,130,860 1,065,950 $ 13,444,141 1,080,205
Shares Issued in Connection with Merger -- -- 5,930,465 512,787
Dividends Reinvested 8,852 674 841,743 72,662
Shares Redeemed (5,540,454) (398,268) (2,311,238) (186,293)
------------ ---------- ------------ ----------
Net Increase (Decrease) $ 8,599,258 668,356 $ 17,905,111 1,479,361
============ ========== ============ ==========
Class B Shares:
Shares Issued $ 495,728 36,664 $ 782,000 62,854
Dividends Reinvested -- -- 94,605 8,218
Shares Redeemed (535,702) (42,952) (79,233) (6,367)
------------- ---------- ------------ ---------
Net Increase (Decrease) $ (39,974) (6,288) $ 797,372 64,705
============ ========== ============ ==========
Class I Shares:
Shares Issued $ 9,176,401 2,945,839 $ 41,360,067 3,369,088
Shares Issued in Connection with Merger -- -- 222,424,201 19,236,854
Dividends Reinvested 246,492 18,087 27,429,285 2,372,057
Shares Redeemed (78,650,196) (5,920,709) (90,415,801) (7,318,686)
------------ ---------- ------------ ----------
Net Increase (Decrease) $(39,227,303) (2,956,783) $200,797,752 17,659,313
============ ========== ============ ==========
Net Increase (Decrease) in Fund $(30,668,019) (2,294,715) $219,500,235 19,203,379
============ ========== ============ ==========
<CAPTION>
Mid-Cap Opportunity
----------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
-------------------- ----------------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 26,935,862 1,511,049 $ 23,692,655 1,355,358
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 13,026 749 108,810 6,534
Shares Redeemed (8,294,765) (457,788) (15,056,564) (907,440)
------------- ---------- -------------- -----------
Net Increase (Decrease) $ 18,654,123 1,054,010 $ 8,744,901 454,452
============== ========== ============== ===========
Class B Shares:
Shares Issued $ 1,220,715 125,777 $ 162,993 16,148
Dividends Reinvested -- -- 86 9
Shares Redeemed (17,388) (1,784) -- --
------------- ---------- -------------- -----------
Net Increase (Decrease) $ 1,203,327 123,993 $ 163,079 16,157
============== ========== ============== ===========
Class I Shares:
Shares Issued $ 96,579,562 5,361,186 $ 172,410,355 10,192,078
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 345,732 18,476 1,169,588 69,096
Shares Redeemed (103,501,987) (5,762,388) (167,383,102) (10,003,854)
------------- ---------- ------------- -----------
Net Increase (Decrease) $ (6,576,693) (382,726) $ 6,196,841 257,320
============== ========== ============== ===========
Net Increase (Decrease) in Fund $ 13,280,757 795,277 $ 15,104,821 727,929
============== ========== ============== ===========
</TABLE>
134
<PAGE>
(6) Capital Share Transactions -- (Continued)
<TABLE>
<CAPTION>
Small-Cap Opportunity
------------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
-------------------- --------------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 4,120,307 294,426 $ 6,588,789 492,296
Dividends Reinvested -- -- 548,267 40,137
Shares Redeemed (2,553,243) (176,625) (1,261,317) (98,737)
------------- --------- ------------- ---------
Net Increase $ 1,567,064 117,801 $ 5,875,739 433,696
============= ========= ============= =========
Class B Shares:
Shares Issued $ 296,986 21,591 $ 88,109 6,603
Dividends Reinvested -- -- 8,638 638
Shares Redeemed (1,039) (69) (5,113) (378)
------------- --------- ------------- ---------
Net Increase $ 295,947 21,522 $ 91,634 6,863
============= ========= ============= =========
Class I Shares:
Shares Issued $ 30,975,987 2,206,092 $ 26,677,330 1,999,204
Dividends Reinvested -- -- 7,414,201 538,441
Shares Redeemed (12,153,525) (868,654) (13,774,348) (1,044,928)
------------- --------- ------------- ---------
Net Increase $ 18,822,462 1,337,438 $ 20,317,183 1,492,717
============= ========= ============= =========
Net Increase in Fund $ 20,685,473 1,476,761 $ 26,284,556 1,933,276
============= ========= ============= =========
<CAPTION>
Intrinsic Value Fund
---------------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
-------------------- ---------------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 22,280,540 1,567,046 $ 4,813,365 337,213
Dividends Reinvested 298,929 20,287 392,449 30,190
Shares Redeemed (4,765,207) (332,957) (3,069,127) (237,189)
------------- --------- ------------- ----------
Net Increase $ 17,814,262 1,254,376 $ 2,136,687 130,214
============= ========= ============= ==========
Class B Shares:
Shares Issued $ 1,090,839 102,359 $ 181,790 17,729
Dividends Reinvested 9,458 862 690 68
Shares Redeemed (14,428) (1,356) -- --
------------- --------- ------------- ----------
Net Increase $ 1,085,869 101,865 $ 182,480 17,797
============= ========= ============= ==========
Class I Shares:
Shares Issued $ 91,863,525 6,411,002 $ 139,927,769 10,692,276
Dividends Reinvested 2,348,419 160,249 4,797,959 367,462
Shares Redeemed (49,346,657) (3,452,171) (65,319,700) (5,010,787)
------------- --------- ------------- ----------
Net Increase $ 44,865,287 3,119,080 $ 79,406,028 6,048,951
============= ========= ============= ==========
Net Increase in Fund $ 63,765,418 4,475,321 $ 81,725,195 6,196,962
============= ========= ============= ==========
<CAPTION>
Growth and Value Fund
----------------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
-------------------- ---------------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 31,873,710 2,127,176 $ 16,028,372 1,124,155
Dividends Reinvested 363,268 23,594 560,494 39,583
Shares Redeemed (5,873,413) (390,524) (10,821,842) (772,283)
------------- -------- ------------- ----------
Net Increase $ 26,363,565 1,760,246 $ 5,767,024 391,455
============== ========= ============== ==========
Class B Shares:
Shares Issued $ 1,686,335 172,077 $ 196,222 19,580
Dividends Reinvested 5,326 519 601 64
Shares Redeemed (37,296) (3,766) -- --
------------- ---------- ------------ -------------
Net Increase $ 1,654,365 168,830 $ 196,823 19,644
============= ========== ============ ============
Class I Shares:
Shares Issued $ 118,523,931 8,041,831 $ 187,744,205 13,228,960
Dividends Reinvested 1,709,361 114,079 5,853,778 413,067
Shares Redeemed (108,839,139) (7,319,512) (195,990,296) (13,908,643)
------------- ---------- ------------- -----------
Net Increase $ 11,394,153 836,398 $ (2,392,313) (266,616)
============= ========== ============= ============
Net Increase in Fund $ 39,412,083 2,765,474 $ 3,571,534 144,483
============= ========== ============= ============
</TABLE>
135
<PAGE>
(6) Capital Share Transactions -- (Continued)
<TABLE>
<CAPTION>
Equity Index Fund
---------------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
--------------------- ---------------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 44,131,918 2,520,168 $ 31,801,287 1,957,460
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 433,554 22,978 206,905 12,734
Shares Redeemed (20,376,758) (1,137,406) (2,209,647) (143,624)
------------- ----------- ------------- -----------
Net Increase $ 24,188,714 1,405,740 $ 29,798,545 1,826,570
============= =========== ============= ===========
Class B Shares:
Shares Issued $ 627,814 54,262 $ 111,829 10,652
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 5,530 464 466 44
Shares Redeemed -- -- -- --
------------- ----------- ------------- -----------
Net Increase $ 633,344 54,726 $ 112,295 10,696
============= =========== ============= ===========
Class I Shares:
Shares Issued $ 71,754,645 3,966,903 $ 411,754,518 27,064,141
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 3,690,137 199,257 12,028,976 766,473
Shares Redeemed (351,112,137) (19,890,570) (235,108,926) (15,057,677)
------------- ----------- ------------- -----------
Net Increase (Decrease) $(275,667,355) (15,724,410) $ 188,674,568 12,772,937
============= =========== ============= ===========
Net Increase (Decrease) in Fund $(250,845,297) (14,263,944) $ 218,585,408 14,610,203
============= =========== ============= ===========
<CAPTION>
International Equity Fund
------------------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
-------------------- --------------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 7,898,916 669,473 $ 5,469,113 471,883
Shares Issued in Connection with Merger -- -- 5,000,559 437,253
Dividends Reinvested 83,234 6,514 25,480 2,217
Shares Redeemed (1,412,099) (117,393) (925,372) (80,361)
------------- ---------- ------------ ----------
Net Increase $ 6,570,051 558,594 $ 9,569,780 830,992
============= ========== ============ ==========
Class B Shares:
Shares Issued $ 344,678 30,736 $ 207,457 19,628
Shares Issued in Connection with Merger -- -- 902,000 83,241
Dividends Reinvested 3,667 305 3,879 363
Shares Redeemed (180,157) (16,378) (12,832) (1,174)
------------- ---------- ------------ ----------
Net Increase $ 168,188 14,663 $ 1,100,504 102,058
============= ========== ============ ==========
Class I Shares:
Shares Issued $ 57,695,997 4,887,170 $156,316,681 13,690,888
Shares Issued in Connection with Merger -- -- 139,065,560 12,158,206
Dividends Reinvested 951,241 75,296 1,166,795 101,789
Shares Redeemed (26,867,503) (2,285,457) (28,938,741) (2,506,907)
------------- ---------- ------------ ----------
Net Increase (Decrease) $ 31,779,736 2,677,009 $267,610,295 23,443,976
============= ========== ============ ==========
Net Increase (Decrease) in Fund $ 38,517,976 3,250,265 $278,280,579 24,377,026
============= ========== ============ ==========
</TABLE>
136
<PAGE>
(6) Capital Share Transactions -- (Continued)
<TABLE>
<CAPTION>
Intermediate Bond Fund
---------------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
-------------------- ---------------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 5,057,844 493,841 $ 8,796,002 850,551
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 561,872 54,943 608,725 59,665
Shares Redeemed (2,183,290) (213,145) (2,595,255) (254,168)
------------ ---------- ------------- -----------
Net Increase (Decrease) $ 3,436,426 335,639 $ 6,809,472 656,048
============ ========== ============= ===========
Class B Shares:
Shares Issued $ 120,076 11,812 $ 120,890 11,847
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 3,336 330 726 71
Shares Redeemed (16,757) (1,656) -- --
------------ ---------- ------------- -----------
Net Increase (Decrease) $ 106,655 10,486 $ 121,616 11,918
============ ========== ============= ===========
Class I Shares:
Shares Issued $ 97,291,132 9,484,546 $ 109,594,960 10,695,590
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 8,632,875 844,199 18,582,923 1,823,614
Shares Redeemed (59,081,705) (5,761,832) (123,973,501) (12,103,697)
------------ ---------- ------------- -----------
Net Increase (Decrease) $ 46,842,302 4,566,913 $ 4,204,382 415,507
============ ========== ============= ===========
Net Increase (Decrease) in Fund $ 50,385,383 4,913,037 $ 11,135,470 1,083,473
============ ========== ============= ===========
<CAPTION>
Bond Fund
--------------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
-------------------- --------------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 27,929,901 2,738,790 $ 18,025,833 1,759,192
Shares Issued in Connection with Merger -- -- 3,578,204 54,183
Dividends Reinvested 1,578,659 155,256 1,569,989 154,343
Shares Redeemed (8,050,470) (787,232) (7,420,659) (728,002)
------------ ---------- ------------ ----------
Net Increase (Decrease) $ 21,458,090 2,106,814 $ 15,753,367 1,539,716
============ ========== ============ ==========
Class B Shares:
Shares Issued $ 901,873 88,416 $ 158,728 15,396
Shares Issued in Connection with Merger -- -- 119,311 11,877
Dividends Reinvested 16,133 1,584 3,723 365
Shares Redeemed (71,355) (6,990) (4,168) (416)
------------ ---------- ------------ ----------
Net Increase (Decrease) $ 846,651 83,012 $ 277,594 27,222
============ ========== ============ ==========
Class I Shares:
Shares Issued $244,804,352 23,990,707 $210,681,955 20,613,883
Shares Issued in Connection with Merger -- -- 127,168,386 12,587,564
Dividends Reinvested 16,403,984 1,612,494 28,011,422 2,757,955
Shares Redeemed (49,755,856) (4,880,111) (88,910,686) (8,695,219)
------------ ---------- ------------ ----------
Net Increase (Decrease) $211,452,480 20,723,090 $276,951,077 27,264,183
============ ========== ============ ==========
Net Increase (Decrease) in Fund $233,757,221 22,912,916 $292,982,038 28,831,121
============ ========== ============ ==========
<CAPTION>
Short Bond Fund
--------------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
-------------------- ---------------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 914,924 90,314 $ 486,197 47,796
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 42,531 4,225 35,923 3,549
Shares Redeemed (514,050) (50,754) (244,422) (24,031)
------------ --------- ------------- ---------
Net Increase (Decrease) $ 433,405 43,785 $ 277,698 27,314
============ ========= ============= =========
Class B Shares:
Shares Issued $ 32,500 3,248 $ 55,979 5,552
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 610 60 375 38
Shares Redeemed (20,443) (2,048) -- --
------------ --------- ------------- ---------
Net Increase (Decrease) $ 12,667 1,260 $ 56,354 5,590
============ ========= ============= =========
Class I Shares:
Shares Issued $ 45,290,229 4,496,910 $ 40,830,609 4,022,313
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 1,949,913 193,657 3,598,870 355,518
Shares Redeemed (25,502,441) (2,527,513) (33,628,814) (3,310,328)
------------ --------- ------------- ---------
Net Increase (Decrease) $ 21,737,701 2,163,054 $ 10,800,665 1,067,503
============ ========= ============= =========
Net Increase (Decrease) in Fund $ 22,193,773 2,208,099 $ 11,134,717 1,100,407
============ ========= ============= =========
</TABLE>
137
<PAGE>
(6) Capital Share Transactions -- (Continued)
<TABLE>
<CAPTION>
Income Fund
-------------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
-------------------- --------------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 1,453,270 186,524 $ 6,282,665 802,997
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 237,392 30,629 325,086 41,392
Shares Redeemed (3,254,483) (418,873) (3,419,713) (467,477)
------------ ---------- ------------ ----------
Net Increase $ (1,563,821) (201,720) $ 3,188,038 376,912
============ ========== ============ ==========
Class B Shares:
Shares Issued $ 115,267 14,844 $ 352,863 42,575
Dividends Reinvested 7,292 940 12,777 1,628
Shares Redeemed (212,667) (27,347) (93,950) (11,916)
------------ ---------- ------------ ----------
Net Increase $ (90,108) (11,563) $ 271,690 32,287
============ ========== ============ ==========
Class I Shares:
Shares Issued $ 4,754,029 610,321 $ 57,231,153 7,271,595
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 20,290 2,614 267,331 33,983
Shares Redeemed (56,157,021) (7,207,579) (54,915,467) (6,929,097)
------------ ---------- ------------ ----------
Net Increase $(51,382,700) (6,594,644) $ 2,583,017 376,481
============ ========== ============ ==========
Net Increase in Fund $(52,036,629) (6,807,927) $ 6,042,745 785,680
============ ========== ============ ==========
<CAPTION>
International Bond Fund
---------------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
------------------- -------------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 2,379,036 234,140 $ 1,566,208 146,224
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 68,001 6,708 47,338 4,420
Shares Redeemed (261,093) (25,760) (107,494) (10,002)
------------ --------- ------------ ---------
Net Increase $ 2,185,945 215,088 $ 1,506,052 140,642
============ ========= ============ =========
Class B Shares:
Shares Issued $ 27,798 2,724 $ 41,186 3,768
Dividends Reinvested 1,060 104 541 50
Shares Redeemed -- -- -- --
------------ --------- ------------ ---------
Net Increase $ 28,858 2,828 $ 41,727 3,818
============ ========= ============ =========
Class I Shares:
Shares Issued $ 23,265,329 2,230,025 $ 40,613,308 3,806,690
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 780,669 76,455 795,338 73,443
Shares Redeemed (3,741,072) (366,536) (2,780,800) (259,630)
------------ --------- ------------ ---------
Net Increase $ 20,304,926 1,939,944 $ 38,627,846 3,620,503
============ ========= ============ =========
Net Increase in Fund $ 22,519,729 2,157,860 $ 40,175,625 3,764,963
============ ========= ============ =========
<CAPTION>
Municipal Bond Fund
----------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
-------------------- -------------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 6,100,854 495,150 $ 13,282,083 1,066,331
Shares Issued in Connection with Merger -- -- 11,575,160 947,394
Dividends Reinvested 384,733 31,062 457,891 37,159
Shares Redeemed (5,185,353) (422,576) (3,271,199) (264,538)
------------- ---------- ------------- ----------
Net Increase $ 1,300,234 103,636 $ 22,043,935 1,786,346
============= ========== ============= ==========
Class B Shares:
Shares Issued $ 201,284 16,281 $ 435,395 34,380
Dividends Reinvested 12,610 1,026 14,804 1,201
Shares Redeemed (59,959) (4,869) -- --
------------- ---------- ------------- ----------
Net Increase $ 153,935 12,438 $ 450,199 35,581
============= ========== ============= ==========
Class I Shares:
Shares Issued $ 59,513,539 4,839,026 $ 44,396,921 3,630,551
Shares Issued in Connection with Merger -- -- 91,002,940 7,456,140
Dividends Reinvested 374,113 30,560 689,255 56,095
Shares Redeemed (58,911,055) (4,774,379) (34,399,736) (2,790,753)
------------- ---------- ------------- ----------
Net Increase $ 976,597 95,207 $ 101,689,380 8,352,033
============= ========== ============= ==========
Net Increase in Fund $ 2,430,766 211,281 $ 124,183,514 10,173,960
============= ========== ============= ==========
</TABLE>
138
<PAGE>
(6) Capital Share Transactions -- (Continued)
<TABLE>
<CAPTION>
Intermediate Municipal Bond Fund
------------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
-------------------- --------------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 1,993,884 165,691 $ 5,404,061 366,796
Dividends Reinvested 294,928 24,522 524,344 43,521
Shares Redeemed (2,107,874) (175,537) (3,525,775) (287,987)
------------ ---------- ------------ ----------
Net Increase (Decrease) $ 180,938 14,676 $ 2,402,630 122,330
============ ========== ============ ==========
Class B Shares:
Shares Issued $ 40,661 3,352 $ 306,006 24,466
Dividends Reinvested 8,065 671 10,793 886
Shares Redeemed (31,769) (2,641) (31,817) (2,637)
------------ ---------- ------------ ----------
Net Increase $ 16,957 1,382 $ 284,982 22,715
============ ========== ============ ==========
Class I Shares:
Shares Issued $ 34,591,936 2,867,477 $ 61,280,262 5,150,519
Dividends Reinvested 94,450 7,852 195,229 16,192
Shares Redeemed (31,129,029) (2,584,633) (57,603,084) (4,790,142)
------------ ---------- ------------ ----------
Net Increase $ 3,557,357 290,696 $ 3,872,407 376,569
============ ========== ============ ==========
Net Increase in Fund $ 3,755,252 306,754 $ 6,560,019 521,614
============ ========== ============ ==========
</TABLE>
<TABLE>
<CAPTION>
Michigan Municipal Bond Fund
-----------------------------------------------
Period Ended
June 30, 1997 Year Ended
(Unaudited) December 31, 1996
-------------------- -------------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 651,199 62,331 $ 911,973 79,044
Dividends Reinvested 313,014 29,953 657,970 63,485
Shares Redeemed (2,165,833) (206,844) (3,759,125) (354,815)
----------- --------- ----------- ---------
Net Increase (Decrease) $(1,201,620) (114,560) $(2,189,182) (212,286)
=========== ========= =========== =========
Class B Shares:
Shares Issued $ 154,774 15,320 $ 110,019 10,827
Dividends Reinvested 1,442 142 63 6
Shares Redeemed (22,479) (2,223) -- --
----------- --------- ----------- ---------
Net Increase $ 133,737 13,239 $ 110,082 10,833
=========== ========= =========== =========
Class I Shares:
Shares Issued $10,719,028 1,023,291 $16,351,477 1,572,801
Dividends Reinvested 148,548 14,214 196,702 18,959
Shares Redeemed (3,922,806) (376,034) (6,798,951) (652,256)
----------- --------- ----------- ---------
Net Increase $ 6,944,770 661,471 $ 9,749,228 939,504
=========== ========= =========== =========
Net Increase in Fund $ 5,876,887 560,150 $ 7,670,128 738,051
=========== ========= =========== =========
</TABLE>
139
<PAGE>
Pegasus Funds
- ------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout the Period
<TABLE>
<CAPTION>
Investment Operations
----------------------------------------------------------------
Net Realized Total
Net Asset and Unrealized Income From
Value Net Gain (Loss) from Net
Beginning Investment on Investment Investment
of Period Income Investments Operations Income
--------- ------ ----------- ---------- ------
<S> <C> <C> <C> <C> <C>
MANAGED ASSETS CONSERVATIVE FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $15.34 0.31 0.72 $ 1.03 (0.32)
December 31, 1996 $14.54 0.56 0.89 $ 1.45 (0.56)
December 31, 1995 $12.13 0.64 2.48 $ 3.12 (0.68)
December 31, 1994 $13.11 0.73 (0.98) $(0.25) (0.72)
December 31, 1993 $12.68 0.72 0.61 $ 1.33 (0.72)
December 31, 1992 $12.56 0.79 0.26 $ 1.05 (0.77)
Class B Shares
For the period ended 6/30/97 (unaudited) $15.36 0.25 0.72 $ 0.97 (0.27)
December 31, 1996 $14.56 0.44 0.89 $ 1.33 (0.44)
For the period ended 12/31/95(2) $12.42 0.45 2.17 $ 2.62 (0.45)
For the period ended 12/2/94(1) $13.05 0.51 (0.91) $(0.40) (0.54)
Class I Shares
For the period ended 6/30/97 (unaudited) $15.38 0.32 0.74 $ 1.06 (0.33)
December 31, 1996 $14.57 0.60 0.89 $ 1.49 (0.59)
For the period ended 12/31/1995(4) $12.42 0.57 2.18 $ 2.75 (0.57)
- ------------------------------------------------------------------------------------------------------------
MANAGED ASSETS BALANCED FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $11.63 0.16 0.85 $ 1.01 (0.17)
December 31, 1996 $11.24 0.35 1.06 $ 1.41 (0.34)
December 31, 1995 $ 9.53 0.35 1.83 $ 2.18 (0.35)
December 31, 1994 $10.00 0.28 (0.48) $(0.20) (0.27)
Class B Shares
For the period ended 6/30/97 (unaudited) $12.81 0.13 0.94 $ 1.07 (0.13)
For the period ended 12/31/96(5) $12.16 0.08 0.81 $ 0.89 (0.07)
Class I Shares
For the period ended 6/30/97 (unaudited) $11.59 0.17 0.88 $ 1.05 (0.18)
December 31, 1996 $11.24 0.39 1.02 $ 1.41 (0.38)
December 31, 1995 $ 9.53 0.35 1.83 $ 2.18 (0.35)
December 31, 1994 $10.00 0.28 (0.48) $(0.20) (0.27)
- ------------------------------------------------------------------------------------------------------------
MANAGED ASSETS GROWTH FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $10.08 0.09 1.02 $ 1.11 (0.10)
For the period ended 12/31/1996(6) $10.00 -- 0.08 $ 0.08 --
Class B Shares
For the period ended 6/30/97 (unaudited) $ 9.99 0.07 0.97 $ 1.04 (0.09)
For the period ended 12/31/1996(6) $10.00 -- (0.01) $(0.01) --
Class I Shares
For the period ended 6/30/97 (unaudited) $10.13 0.14 0.97 $ 1.11 (0.11)
For the period ended 12/31/1996(6) $10.00 -- 0.13 $ 0.13 --
<CAPTION>
Less Distributions
- ------------------------------------------------------------------------
From Net
Realized In Excess
In Excess Gain on of Net
of Net Investments & Realized
Investment Foreign Currency Gain on Return of Total
Income Transactions Investments Capital Distributions
- ---------- ---------------- ------------ --------- -------------
<S> <C> <C> <C> <C>
-- -- -- -- $(0.32)
-- (0.09) -- -- $(0.65)
-- (0.03) -- -- $(0.71)
-- (0.01) -- -- $(0.73)
-- (0.18) -- -- $(0.90)
-- (0.16) -- -- $(0.93)
-- -- -- -- $(0.27)
-- (0.09) -- -- $(0.53)
-- (0.03) -- -- $(0.48)
-- (0.01) -- -- $(0.55)
-- -- -- -- $(0.33)
-- (0.09) -- -- $(0.68)
-- (0.03) -- -- $(0.60)
- -----------------------------------------------------------------------------
-- -- -- -- $(0.17)
-- (0.68) -- -- $(1.02)
-- (0.12) -- -- $(0.47)
-- -- -- -- $(0.27)
-- -- -- -- $(0.13)
(0.17) -- -- $(0.24)
-- -- -- -- $(0.18)
-- (0.68) -- -- $(1.06)
-- (0.12) -- -- $(0.47)
-- -- -- -- $(0.27)
- -----------------------------------------------------------------------------
-- -- -- -- $(0.10)
-- -- -- -- --
-- -- -- -- $(0.09)
-- -- -- -- --
-- -- -- -- $(0.11)
-- -- -- -- --
<FN
See Notes to Financial Statements.
</TABLE>
140
<PAGE>
<TABLE>
<CAPTION>
Ratios/Supplemental Data
- ---------------------------------------------------------------------------------------
Net
Conversion Assets Ratio of
to Net Change Net Asset End of Expenses
Class A In Net Value, End Total Period to Average
Shares Asset Value of Period Return(a) (000's omitted) Net Assets(%)
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
-- 0.71 $16.05 13.64%+ $ 78,001 1.22%+
-- 0.80 $15.34 10.11% $ 69,301 1.18%
-- 2.41 $14.54 26.40% $ 51,997 1.17%
-- (0.98) $12.13 (1.92)% $ 44,367 0.63%
-- 0.43 $13.11 10.70% $ 51,586 0.39%
-- 0.12 $12.68 8.68% $ 34,262 0.02%
-- 0.71 $16.07 12.92%+ $ 8,409 1.97%+
-- 0.80 $15.36 9.26% $ 5,736 1.93%
-- 2.14 $14.56 21.42%++ $ 2,175 1.92%+
(12.10)(3) - -- (3.13)%++ -- 1.21%+
-- 0.73 $16.11 13.92%+ $ 5,420 0.97%+
-- 0.81 $15.38 10.43% $ 1,501 0.93%
-- 2.15 $14.57 22.55%++ $ 1,294 0.77%+
- ---------------------------------------------------------------------------------------
-- 0.84 $12.47 17.40%+ $ 88,010 1.22%+
-- 0.39 $11.63 12.99% $ 26,775 1.09%
-- 1.71 $11.24 23.18% $ 9,986 0.91%
-- (0.47) $ 9.53 (1.95)% $ 8,168 0.85%
-- 0.94 $13.75 16.78%+ $ 4,097 1.96%+
-- 0.65 $12.81 7.30%++ $ 1,890 1.96%+
-- 0.87 $12.46 18.08%+ $142,097 0.97%+
-- 0.35 $11.59 13.04% $101,596 0.94%
-- 1.71 $11.24 23.18% $ 83,638 0.91%
-- (0.47) $ 9.53 (1.95)% $ 45,999 0.85%
- ---------------------------------------------------------------------------------------
-- 1.01 $11.09 22.06%+ $ 1,680 1.21%+
-- 0.08 $10.08 0.80%++ $ 75 1.20%+
-- 0.95 $10.94 20.88%+ $ 2,064 1.96%+
-- (0.01) $ 9.99 (0.10)%++ $ 17 1.95%+
-- 1.00 $11.13 22.00%+ $ 727 0.96%+
-- 0.13 $10.13 1.30%++ $ 594 0.95%+
</TABLE>
<TABLE>
<CAPTION>
Ratios/Supplemental Data (Continued)
- ---------------------------------------------------------------------------------------
Ratio of
Ratio of Net Investment
Expenses to Income to
Ratio of Net Average Net Average Net
Investment Assets(%) Assets(%)
Income to without Fee without Fee Average
Average Net Waivers/ Waivers/ Portfolio Commission
Assets(%) Reimbursed Exp. Reimbursed Exp. Turover(%) Rate
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
4.07%+ 1.30%+ 3.99%+ 26.41% $0.06
3.64% 1.33% 3.49% 63.41% $0.05
4.88% 1.54% 4.51% 8.23%++ --
5.77% 1.67% 4.73% 28.69%++ --
5.54% 1.65% 4.28% 16.40% --
6.24% 1.88% 4.38% 22.14% -
3.32%+ 2.05%+ 3.24%+ 26.41% $0.06
2.89% 2.07% 2.75% 63.41% $0.05
3.89%+ 2.12%+ 3.70%+ 8.23%++ --
4.10%+ 2.17%+ 3.14%+ 28.69% -
4.32%+ 1.05% 4.24%+ 26.41% $0.06
3.89% 1.19% 3.63% 63.41% $0.05
5.12%+ 1.22%+ 4.66%+ 8.23%++ -
- ------------------------------------------------------------------------
3.06%+ 1.28%+ 3.00%+ 41.66% $0.05
3.13% 1.16% 3.06% 50.50% $0.07
3.40% 1.09% 3.22% 31.76% --
3.41% 1.56% 2.70% 37.49% -
2.31%+ 2.02%+ 2.25%+ 41.66% $0.05
1.35%+ 2.03%+ 1.28%+ 50.50% $0.07+
3.31%+ 1.03%+ 3.25%+ 41.66% $0.05
3.28% 1.01% 3.21% 50.50% $0.07
3.40% 1.09% 3.22% 31.76% --
3.41% 1.56% 2.70% 37.49% -
- ------------------------------------------------------------------------
2.20%+ 2.48% 0.93%+ 10.88% -
(0.45)%+ (3.50)%+ (2.75)%+ 0.00% -
1.45%+ 3.09% 0.46%+ 10.88% --
(1.20)%+ (4.25)%+ (3.50)%+ 0.00% -
2.45%+ 2.93% 0.67%+ 10.88% --
(0.20)%+ (3.25)%+ (2.50)%+ 0.00% --
<FN>
See Notes to Financial Statements.
</TABLE>
141
<PAGE>
<TABLE>
<CAPTION>
Investment Operations
--------------------------------------------------------------------
Net Realized Total
Net Asset and Unrealized Income From
Value Net Gain (Loss) from Net
Beginning Investment on Investment Investment
of Period Income Investments Operations Income
--------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
EQUITY INCOME FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $13.29 0.22 1.13 $ 1.35 (0.22)
December 31, 1996 $12.22 0.39 1.90 $ 2.29 (0.38)
For the period ended 12/31/1995(7) $10.00 0.36 2.57 $ 2.93 (0.36)
Class B Shares
For the period ended 6/30/97 (unaudited) $13.28 0.19 1.11 $ 1.29 (0.17)
December 31, 1996 $12.22 0.30 1.88 $ 2.18 (0.28)
For the period ended 12/31/1995(7) $10.00 0.29 2.56 $ 2.85 (0.29)
Class I Shares
For the period ended 6/30/97 (unaudited) $13.25 0.23 1.14 $ 1.37 (0.24)
December 31, 1996 $12.21 0.45 1.87 $ 2.32 (0.44)
For the period ended 12/31/1995(7) $10.00 0.42 2.55 $ 2.97 (0.42)
- -------------------------------------------------------------------------------------------------------------
GROWTH FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $12.64 0.00 2.04 $ 2.04 --
December 31, 1996 $11.97 0.05 1.04 $ 1.09 (0.06)
For the period ended 12/31/1995(7) $10.00 0.11 2.86 $ 2.97 (0.11)
Class B Shares
For the period ended 6/30/97 (unaudited) $12.56 (0.04) 2.03 $ 1.99 --
December 31, 1996 $11.95 (0.02) 0.99 $ 0.97 --
For the period ended 12/31/1995(7) $10.00 0.06 2.84 $ 2.90 (0.06)
Class I Shares
For the period ended 6/30/97 (unaudited) $12.63 0.02 2.06 $ 2.05 (0.02)
December 31, 1996 $11.97 0.09 1.02 $ 1.11 (0.09)
For the period ended 12/31/1995(7) $10.00 0.15 2.86 $ 3.01 (0.15)
- -------------------------------------------------------------------------------------------------------------
MID-CAP OPPORTUNITY FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $17.61 (0.01) 2.48 $ 2.47 --
December 31, 1996 $15.15 0.02 3.74 $ 3.76 (0.02)
December 31, 1995 $13.34 0.06 2.57 $ 2.63 (0.06)
December 31, 1994 $14.49 0.07 (0.54) $(0.47) (0.07)
December 31, 1993 $12.37 0.10 2.87 $ 2.97 (0.10)
December 31, 1992(22) $10.95 0.08 1.88 $ 1.96 (0.08)
Class B Shares
For the period ended 6/30/97 (unaudited) $ 9.57 (0.01) 1.32 $ 1.31 --
December 31, 1996(8) $10.00 0.00 0.79 $ 0.79 (0.01)
Class I Shares
For the period ended 6/30/97 (unaudited) $17.61 0.01 2.48 $ 2.49 (0.01)
December 31, 1996 $15.15 0.04 3.74 $ 3.78 (0.04)
December 31, 1995 $13.34 0.06 2.57 $ 2.63 (0.06)
December 31, 1994 $14.49 0.07 (0.54) $(0.47) (0.07)
December 31, 1993 $12.37 0.10 2.87 $ 2.97 (0.10)
December 31, 1992 $10.40 0.11 2.43 $ 2.54 (0.11)
<CAPTION>
Less Distributions
- -----------------------------------------------------------------------------
From Net
Realized In Excess
In Excess Gain on of Net
of Net Investments & Realized
Investment Foreign Currency Gain on Return of Total
Income Transactions Investments Capital Distributions
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
-- -- -- -- $(0.22)
-- (0.84) -- - $(1.22)
(0.01) (0.34) -- - $(0.71)
-- -- -- -- $(0.17)
-- (0.84) -- -- $(1.12)
-- (0.34) -- -- $(0.63)
-- -- -- -- $(0.24)
-- (0.84) -- -- $(1.28)
-- (0.34) -- -- $(0.76)
- -----------------------------------------------------------------------------
-- -- -- -- --
-- (0.36) -- -- $(0.42)
-- (0.89) -- -- $(1.00)
-- -- -- -- --
-- (0.36) -- -- $(0.36)
-- (0.89) -- -- $(0.95)
-- -- -- -- $(0.02)
-- (0.36) -- -- $(0.45)
-- (0.89) -- -- $(1.04)
- -----------------------------------------------------------------------------
-- -- -- -- --
-- (1.28) -- -- $(1.30)
-- (0.76) -- -- $(0.82)
-- (0.49) (0.02) (0.10) $(0.68)
-- (0.75) -- -- $(0.85)
-- (0.46) -- -- $(0.54)
-- -- -- -- --
-- (1.21) -- -- $(1.22)
-- -- -- -- $(0.01)
-- (1.28) -- -- $(1.32)
-- (0.76) -- -- $(0.82)
-- (0.49) (0.02) (0.10) $(0.68)
-- (0.75) -- -- $(0.85)
-- (0.46) -- -- $(0.57)
<FN>
See Notes to Financial Statements.
</TABLE>
142
<PAGE>
<TABLE>
<CAPTION>
Ratios/Supplemental Data
- --------------------------------------------------------------------------------------
Net
Conversion Assets Ratio of
to Net Change Net Asset End of Expenses
Class A In Net Value End Total Period to Average
Shares Asset Value of Period Return(a) (000's omitted) Net Assets(%)
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
-- 1.13 $14.42 20.46%+ $ 11,714 0.95%+
-- 1.07 $13.29 19.29% $ 12,956 0.91%
-- 2.22 $12.22 29.78%++ $ 2,873 1.11%+
-- 1.13 $14.41 19.74%+ $ 2,181 1.70%+
-- 1.06 $13.28 18.28% $ 1,885 1.66%
-- 2.22 $12.22 28.97%++ $ 593 1.90%+
-- 1.13 $14.38 20.82%+ $301,609 0.70%+
-- 1.04 $13.25 19.58% $314,649 0.66%
-- 2.21 $12.21 30.27%++ $283,927 0.65%+
- --------------------------------------------------------------------------------------
-- 2.04 $14.68 32.38%+ $ 36,843 1.04%+
-- 0.67 $12.64 20.10% $ 23,273 1.04%
-- 1.97 $11.97 29.98%++ $ 4,329 1.21%+
-- 1.99 $14.55 31.68%+ $ 1,176 1.79%+
-- 0.61 $12.56 19.04% $ 1,094 1.79%
-- 1.95 $11.95 29.15%++ $ 268 2.04%+
-- 2.05 $14.68 32.72%+ $576,226 0.79%+
-- 0.66 $12.63 20.36% $533,406 0.79%
-- 1.97 $11.97 30.38%++ $293,944 0.80%+
- --------------------------------------------------------------------------------------
-- 2.47 $20.08 28.00%+ $125,492 1.07%+
-- 2.46 $17.61 24.91% $ 91,516 0.93%
-- 1.81 $15.15 19.88% $ 71,858 0.89%
-- (1.15) $13.34 (3.27)% $ 64,326 0.90%
-- 2.12 $14.49 24.01% $ 53,977 0.86%
-- 1.42 $12.37 27.93% $ 5,111 0.85%+
-- 1.31 $10.88 27.30%+ $ 1,524 1.82%+
-- (0.43) $ 9.57 7.94%++ $ 154 1.81%+
-- 2.48 $20.09 28.46%+ $765,704 0.82%+
-- 2.46 $17.61 25.03% $677,608 0.81%
-- 1.81 $15.15 19.88% $579,094 0.89%
-- (1.15) $13.34 3.27% $460,673 0.90%
-- 2.12 $14.49 24.01% $311,688 0.86%
-- 1.97 $12.37 24.56% $161,312 0.84%
<CAPTION>
Ratios/Supplemental Data (Continued)
- ------------------------------------------------------------------------------
Ratio of
Ratio of Net Investment
Expenses to Income to
Ratio of Net Average Net Average Net
Investment Assets(%) Assets(%)
Income to without fee without Fee Average
Average Net Waivers/ Waivers/ Portfolio Commission
Assets(%) Reimbursed Exp. Reimbursed Exp. Turover(%) Rate
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
3.18%+ -- -- 19.11% $0.05
3.29% 0.95% 3.25% 61.41% $0.04
3.33%+ 1.44%+ 2.99%+ 44.07%++ --
2.43%+ -- -- 19.11% $0.05
2.54% 1.81% 2.39% 61.41% $0.04
2.65%+ 2.65%+ 1.90%+ 44.07%++ --
3.43%+ -- -- 19.11% $0.05
3.54% 0.74% 3.46% 61.41% $0.04
4.08%+ 0.77%+ 3.96%+ 44.07%++ --
- ------------------------------------------------------------------------------
0.04%+ -- -- 9.00% $0.05
0.43% 1.07% 0.40% 61.95% $0.02
0.86%+ 1.39%+ 0.68%+ 106.02%++ --
(0.71)%+ -- -- 9.00% $0.05
(0.32)% 1.89% (0.42)% 61.95% $0.02
0.02%+ 2.60%+ (0.54)%+ 106.02%++ --
0.29%+ -- -- 9.00% $0.05
0.68% 0.85% 0.62% 61.95% $0.02
1.46%+ 0.92%+ 1.34%+ 106.02%++ --
- ------------------------------------------------------------------------------
(0.09)%+ -- -- 16.95% $0.04
0.12% -- -- 34.87% $0.04
0.37% -- -- 53.55% --
0.53% -- -- 37.51% --
0.71% -- -- 33.99% --
1.05%+ -- -- 34.44%+ --
(0.84)%+ -- -- 16.95% $0.04
(0.59)%+ -- -- 34.87% $0.04
0.17%+ -- -- 16.95% $0.04
0.24% -- -- 34.87% $0.04
0.37% -- -- 53.55% --
0.53% -- -- 37.51% --
0.71% -- -- 33.99% --
1.09% -- -- 34.44% --
<FN>
See Notes to Financial Statements.
</TABLE>
143
<PAGE>
<TABLE>
<CAPTION>
Investment Operations
---------------------------------------------------------------------
Net Realized Total
Net Asset and Unrealized Income From
Value Net Gain (Loss) from Net
Beginning Investment on Investment Investment
of Period Income Investments Operations Income
---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SMALL-CAP OPPORTUNITY FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $13.70 (0.04) 2.11 $ 2.07 --
December 31, 1996 $12.20 (0.02) 3.02 $ 3.00 --
For the period ended 12/31/1995(7) $10.00 0.02 2.45 $ 2.47 (0.02)
Class B Shares
For the period ended 6/30/97 (unaudited) $13.58 (0.06) 2.04 $ 1.98 --
December 31, 1996 $12.12 (0.04) 3.00 $ 2.96 --
For the period ended 12/31/1995(7) $10.00 (0.03) 2.40 $ 2.37 --
Class I Shares
For the period ended 6/30/97 (unaudited) $13.80 (0.03) 2.13 $ 2.10 --
December 31, 1996 $12.19 (0.01) 3.13 $ 3.12 --
For the period ended 12/31/1995(7) $10.00 0.06 2.44 $ 2.50 (0.06)
- -----------------------------------------------------------------------------------------------------------------
INTRINSIC VALUE FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $13.70 0.11 1.72 $ 1.83 (0.12)
December 31, 1996 $11.89 0.28 2.50 $ 2.78 (0.28)
December 31, 1995 $10.48 0.29 2.24 $ 2.53 (0.30)
December 31, 1994 $11.05 0.31 (0.38) $(0.07) (0.30)
December 31, 1993 $10.40 0.29 1.23 $ 1.52 (0.28)
December 31, 1992(22) $10.70 0.22 0.33 $ 0.55 (0.21)
Class B Shares
For the period ended 6/30/97 (unaudited) $10.18 0.08 1.26 $ 1.34 (0.11)
December 31, 1996(8) $10.00 0.04 0.79 $ 0.83 (0.06)
Class I Shares
For the period ended 6/30/97 (unaudited) $13.71 0.14 1.71 $ 1.85 (0.14)
December 31, 1996 $11.89 0.29 2.51 $ 2.80 (0.29)
December 31, 1995 $10.48 0.29 2.24 $ 2.53 (0.30)
December 31, 1994 $11.05 0.31 (0.38) $(0.07) (0.30)
December 31, 1993 $10.40 0.29 1.23 $ 1.52 (0.28)
December 31, 1992 $ 9.89 0.29 1.14 $ 1.43 (0.28)
- -----------------------------------------------------------------------------------------------------------------
GROWTH AND VALUE FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $14.12 0.05 2.30 $ 2.35 (0.07)
December 31, 1996 $13.16 0.16 2.37 $ 2.53 (0.16)
December 31, 1995 $10.67 0.21 2.76 $ 2.97 (0.22)
December 31, 1994 $11.16 0.23 (0.17) $ 0.06 (0.21)
December 31, 1993 $10.51 0.20 1.24 $ 1.44 (0.20)
December 31, 1992(22) $10.16 0.17 0.45 $ 0.62 (0.17)
Class B Shares
For the period ended 6/30/97 (unaudited) $ 9.32 0.05 1.45 $ 1.50 (0.05)
December 31, 1996(8) $10.00 0.01 0.62 $ 0.63 (0.03)
Class I Shares
For the period ended 6/30/97 (unaudited) $14.12 0.08 2.30 $ 2.38 (0.09)
December 31, 1996 $13.16 0.18 2.36 $ 2.54 (0.17)
December 31, 1995 $10.67 0.21 2.76 $ 2.97 (0.22)
December 31, 1994 $11.16 0.23 (0.17) $ 0.06 (0.21)
December 31, 1993 $10.51 0.20 1.24 $ 1.44 (0.20)
December 31, 1992 $ 9.86 0.22 0.75 $ 0.97 (0.22)
<CAPTION>
Less Distributions
- -----------------------------------------------------------------------------
From Net
Realized In Excess
In Excess Gain on of Net
of Net Investments & Realized
Investment Foreign Currency Gain on Return of Total
Income Transactions Investments Capital Distributions
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
-- -- -- -- $ 0.00
-- (1.50) -- -- $(1.50)
-- (0.25) -- -- $(0.27)
-- -- -- -- $ 0.00
-- (1.50) -- -- $(1.50)
-- (0.25) -- -- $(0.25)
-- -- -- -- $ 0.00
(0.01) (1.50) - -- $(1.51)
-- (0.25) -- -- $(0.31)
- -----------------------------------------------------------------------------<PAGE>
-- -- -- -- $(0.12)
-- (0.69) -- -- $(0.97)
-- (0.82) -- -- $(1.12)
-- (0.20) -- -- $(0.50)
-- (0.59) -- -- $(0.87)
-- (0.64) -- -- $(0.85)
-- -- -- -- $(0.11)
-- (0.59) -- -- $(0.65)
-- -- -- -- $(0.14)
-- (0.69) -- -- $(0.98)
-- (0.82) -- -- $(1.12)
-- (0.20) -- -- $(0.50)
-- (0.59) -- -- $(0.87)
-- (0.64) -- -- $(0.92)
- -----------------------------------------------------------------------------
-- -- -- -- $(0.07)
-- (1.41) -- -- $(1.57)
-- (0.26) -- -- $(0.48)
-- (0.30) (0.01) (0.03) $(0.55)
-- (0.59) -- -- $(0.79)
-- (0.10) -- -- $(0.27)
-- -- -- -- $(0.05)
-- (1.28) -- -- $(1.31)
-- -- -- -- $(0.09)
-- (1.41) -- -- $(1.58)
-- (0.26) -- -- $(0.48)
-- (0.30) (0.01) (0.03) $(0.55)
-- (0.59) -- -- $(0.79)
-- (0.10) -- -- $(0.32)
<FN>
See Notes to Financial Statements.
</TABLE>
144
<PAGE>
<TABLE>
<CAPTION>
Ratios/Supplemental Data
- ----------------------------------------------------------------------------------------
Net
Conversion Assets Ratio of
to Net Change Net Asset End of Expenses
Class A In Net Value End Total Period to Average
Shares Asset Value of Period Return(a) (000's omitted) Net Assets(%)
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
-- 2.07 $15.77 30.18%+ $ 9,564 1.19%+
-- 1.50 $13.70 24.59% $ 6,697 1.13%
-- 2.20 $12.20 24.80%++ $ 672 1.25%+
-- 1.98 $15.56 29.22%+ $ 462 1.94%+
-- 1.46 $13.58 24.42% $ 110 1.88%
-- 2.12 $12.12 23.76%++ $ 15 2.00%+
-- 2.10 $15.90 30.50%+ $166,248 0.94%+
-- 1.61 $13.80 25.63% $125,840 0.88%
2.19 $12.19 25.08%++ $ 92,926 0.85%+
- ----------------------------------------------------------------------------------------
-- 1.71 $15.41 26.92%+ $ 44,499 1.06%+
-- 1.81 $13.70 23.79% $ 22,370 0.94%
-- 1.41 $11.89 24.38% $ 17,858 0.91%
-- (0.57) $10.48 (0.60)% $ 15,730 0.91%
-- 0.65 $11.05 14.71% $ 14,098 0.86%
-- (0.30) $10.40 6.82% $ 4,729 0.85%+
-- 1.23 $11.41 26.36%+ $ 1,365 1.81%+
-- 0.18 $10.18 8.31%++ $ 182 1.81%+
-- 1.71 $15.42 27.04%+ $450,063 0.81%+
-- 1.82 $13.71 23.99% $357,360 0.83%
-- 1.41 $11.89 24.38% $238,027 0.91%
-- (0.57) $10.48 (0.60)% $204,298 0.91%
-- 0.65 $11.05 14.71% $178,457 0.86%
-- 0.51 $10.40 14.56% $102,532 0.84%
- ----------------------------------------------------------------------------------------
-- 2.28 $16.40 33.38%+ $ 97,438 1.07%+
-- 0.96 $14.12 19.24% $ 59,027 0.91%
-- 2.49 $13.16 28.04% $ 49,872 0.84%
-- (0.49) $10.67 0.55% $ 42,274 0.84%
-- 0.65 $11.16 13.79% $ 29,467 0.83%
-- 0.35 $10.51 8.19% $ 4,338 0.83%+
-- 1.45 $10.77 32.58%+ $ 2,030 1.82%+
-- (0.68) $ 9.32 6.10%++ $ 183 1.80%+
-- 2.29 $16.41 33.74%+ $866,102 0.82%+
-- 0.96 $14.12 19.35% $733,632 0.80%
-- 2.49 $13.16 28.04% $687,295 0.84%
-- (0.49) $10.67 0.55% $529,097 0.84%
-- 0.65 $11.16 13.79% $400,168 0.83%
-- 0.65 $10.51 9.87% $283,007 0.83%
<CAPTION>
Ratios/Supplemental Data (Continued)
- -----------------------------------------------------------------------------
Ratio of
Ratio of Net Investment
Expense to Income to
Ratio of Net Average Net Average Net
Investment Assets(%) Assets(%)
Income to without fee without Fee Average
Average Net Waivers/ Waivers/ Portfolio Commission
Assets(%) Reimbursed Exp. Reimbursed Exp. Turover(%) Rate
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
(0.65)%+ -- -- 30.95% $0.05
(0.29)% 1.24% (0.40)% 93.82% $0.05
0.19%+ 2.56%+ (1.12)%+ 38.89%++ --
(1.40)%+ -- -- 30.95% $0.05
(1.04)% 3.04% (2.20)% 93.82% $0.05
(0.51)%+ 9.52%+ (8.04)%+ 38.89%++ --
(0.40)%+ -- -- 30.95% $0.05
(0.04)% 1.02% (0.18)% 93.82% $0.05
0.59%+ 1.09%+ 0.36%+ 38.89%++ --
- -----------------------------------------------------------------------------
1.75%+ -- -- 21.73% $0.05
2.16% -- -- 34.24% $0.04
2.49% -- -- 45.55% --
2.92% -- -- 58.62% --
2.67% -- -- 63.90% --
3.12%+ -- -- 48.52%+ --
1.00%+ -- -- 21.73% $0.05
0.25%+ -- -- 34.24%+ $0.04
2.00%+ -- -- 21.73% $0.05
2.27% -- -- 34.24% $0.04
2.49% -- -- 45.55% --
2.92% -- -- 58.62% --
2.67% -- -- 63.90% --
2.78% -- -- 48.52% --
- -----------------------------------------------------------------------------
0.79%+ -- -- 15.20% $0.04
1.17% -- -- 43.21% $0.04
1.73% -- -- 26.80% --
2.07% -- -- 28.04% --
1.84% -- -- 42.31% --
2.49%+ -- -- 16.28%+ --
0.04%+ -- -- 15.20% $0.04
0.25%+ -- -- 43.21%+ $0.04
1.04%+ -- -- 15.20% $0.04
1.28% -- -- 43.21% $0.04
1.73% -- -- 26.80% --
2.07% -- -- 28.04% --
1.84% -- -- 42.31% --
2.20% -- -- 16.28% --
<FN>
See Notes to Financial Statements.
</TABLE>
145
<PAGE>
<TABLE>
<CAPTION>
Investment Operations
--------------------------------------------------------------------
Net Realized Total
Net Asset and Unrealized Income From
Value Net Gain (Loss) from Net
Beginning Investment on Investment Investment
of Period Income Investments Operations Income
--------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
EQUITY INDEX FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $16.75 0.13 3.25 $ 3.38 (0.14)
December 31, 1996 $14.15 0.30 2.85 $ 3.15 (0.29)
December 31, 1995 $10.65 0.30 3.65 $ 3.95 (0.31)
December 31, 1994 $11.15 0.31 (0.20) $ 0.11 (0.30)
December 31, 1993 $10.52 0.28 0.75 $ 1.03 (0.27)
December 31, 1992(23) $10.00 0.12 0.52 $ 0.64 (0.12)
Class B Shares
For the period ended 6/30/97 (unaudited) $10.50 0.09 1.98 $ 2.07 (0.13)
December 31, 1996(8) $10.00 0.05 0.76 $ 0.81 (0.06)
Class I Shares
For the period ended 6/30/97 (unaudited) $16.75 0.15 3.24 $ 3.39 (0.15)
December 31, 1996 $14.15 0.31 2.85 $ 3.16 (0.30)
December 31, 1995 $10.65 0.30 3.65 $ 3.95 (0.31)
December 31, 1994 $11.15 0.31 (0.20) $ 0.11 (0.30)
December 31, 1993 $10.52 0.28 0.75 $ 1.03 (0.27)
December 31, 1992(23) $10.00 0.12 0.52 $ 0.64 (0.12)
- --------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $11.77 0.02 1.15 $ 1.17 (0.06)
December 31, 1996 $11.05 0.10 0.72 $ 0.82 (0.10)
December 31, 1995 $10.01 0.10 1.05 $ 1.15 (0.11)
Class B Shares
For the period ended 6/30/97 (unaudited) $11.08 (0.02) 1.08 $ 1.06 (0.03)
December 31, 1996(5) $10.84 0.04 0.24 $ 0.28 (0.04)
Class I Shares
For the period ended 6/30/97 (unaudited) $11.79 0.04 1.15 $ 1.19 (0.08)
December 31, 1996 $11.05 0.11 0.74 $ 0.85 (0.11)
December 31, 1995 $10.01 0.10 1.05 $ 1.15 (0.11)
December 31, 1994(9) $10.00 0.01 -- $ 0.01 --
- --------------------------------------------------------------------------------------------------------------
INTERMEDIATE BOND FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $10.29 0.32 (0.01) $ 0.31 (0.32)
December 31, 1996 $10.37 0.64 (0.07) $ 0.57 (0.65)
December 31, 1995 $ 9.21 0.59 1.16 $ 1.75 (0.59)
December 31, 1994 $10.41 0.56 (1.20) $(0.64) (0.55)
December 31, 1993 $10.28 0.59 0.26 $ 0.85 (0.59)
December 31, 1992(22) $10.32 0.49 0.13 $ 0.62 (0.49)
Class B Shares
For the period ended 6/30/97 (unaudited) $10.20 0.26 0.01 $ 0.27 (0.28)
December 31, 1996(8) $10.00 0.15 0.20 $ 0.35 (0.15)
Class I Shares
For the period ended 6/30/97 (unaudited) $10.29 0.33 0.00 $ 0.33 (0.33)
December 31, 1996 $10.37 0.64 (0.07) $ 0.57 (0.65)
December 31, 1995 $ 9.21 0.59 1.16 $ 1.75 (0.59)
December 31, 1994 $10.41 0.56 (1.20) $(0.64) (0.55)
December 31, 1993 $10.28 0.59 0.26 $ 0.85 (0.59)
December 31, 1992 $10.55 0.71 (0.10) $ 0.61 (0.71)
<CAPTION>
Less Distributions
- -----------------------------------------------------------------------------
From Net
Realized In Excess
In Excess Gain on of Net
of Net Investments & Realized
Investment Foreign Currency Gain on Return of Total
Income Transactions Investments Capital Distributions
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
-- -- -- -- $(0.14)
-- (0.26) - -- $(0.55)
-- (0.14) - -- $(0.45)
-- (0.23) (0.08) -- $(0.61)
-- (0.13) -- -- $(0.40)
-- -- -- -- $(0.12)
-- -- -- -- $(0.13)
-- (0.25) -- -- $(0.31)
-- -- -- -- $(0.15)
-- (0.26) -- -- $(0.56)
-- (0.14) -- -- $(0.45)
-- (0.23) (0.08) -- $(0.61)
-- (0.13) -- -- $(0.40)
-- -- -- -- $(0.12)
- -----------------------------------------------------------------------------
-- -- -- -- $(0.06)
-- - -- -- $(0.10)
-- - -- -- $(0.11)
-- -- -- -- $(0.03)
-- -- -- -- $(0.04)
-- -- -- -- $(0.08)
-- -- -- -- $(0.11)
-- -- -- -- $(0.11)
-- -- -- -- $ 0.00
- -----------------------------------------------------------------------------
-- -- -- -- $(0.32)
-- -- -- -- $(0.65)
-- -- -- -- $(0.59)
-- (0.01) -- -- $(0.56)
-- (0.13) -- -- $(0.72)
-- (0.17) -- -- $(0.66)
-- -- -- -- $(0.28)
-- -- -- -- $(0.15)
-- -- -- -- $(0.33)
-- -- -- -- $(0.65)
-- -- -- -- $(0.59)
-- (0.01) -- -- $(0.56)
-- (0.13) -- -- $(0.72)
-- (0.17) -- -- $(0.88)
<FN>
See Notes to Financial Statements.
</TABLE>
146
<PAGE>
<TABLE>
<CAPTION>
Ratios/Supplemental Data
- --------------------------------------------------------------------------------------
Net
Conversion Assets Ratio of
to Net Change Net Asset End of Expenses
Class A In Net Value End Total Period to Average
Shares Asset Value of Period Return(a) (000's omitted) Net Assets(%)
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
-- 3.24 $19.99 40.44%+ $ 70,272 0.55%+
-- 2.60 $16.75 22.49% $ 35,336 0.37%
-- 3.50 $14.15 37.35% $ 4,007 0.15%
-- (0.50) $10.65 1.02% $ 1,197 0.17%
-- 0.63 $11.15 9.77% $ 960 0.20%
-- 0.52 $10.52 13.61%+ $ 151 0.22%+
-- 1.94 $12.44 39.52%+ $ 814 1.30%+
-- 0.50 $10.50 8.09%++ $ 113 1.29%+
-- 3.24 $19.99 40.64%+ $681,619 0.30%+
-- 2.60 $16.75 22.58% $834,368 0.21%
-- 3.50 $14.15 37.35% $524,195 0.15%
-- (0.50) $10.65 1.02% $339,611 0.17%
-- 0.63 $11.15 9.77% $324,369 0.20%
-- 0.52 $10.52 13.61%+ $241,907 0.22%+
- --------------------------------------------------------------------------------------
-- 1.11 $12.88 19.92%+ $ 19,053 1.37%+
-- 0.72 $11.77 7.50% $ 10,836 1.23%
-- 1.04 $11.05 11.47% $ 988 1.16%
-- 1.03 $12.11 19.16%+ $ 1,413 2.12%+
-- 0.24 $11.08 2.62%++ $ 1,131 2.05%+
-- 1.11 $12.90 20.24%+ $461,229 1.12%+
-- 0.74 $11.79 7.90% $389,997 1.10%
-- 1.04 $11.05 11.47% $106,300 1.16%
-- 0.01 $10.01 1.26%+ $ 36,545 1.15%+
- --------------------------------------------------------------------------------------
-- (0.01) $10.28 6.12%+ $ 21,759 0.85%+
-- (0.08) $10.29 5.65% $ 18,324 0.79%
-- 1.16 $10.37 19.48% $ 11,654 0.73%
-- (1.20) $ 9.21 6.31% $ 11,983 0.74%
-- 0.13 $10.41 8.41% $ 16,491 0.74%
-- (0.04) $10.28 11.17%+ $ 4,509 0.75%+
-- - $10.20 5.46%+ $ 228 1.60%+
-- 0.20 $10.20 3.50%++ $ 122 1.60%+
-- 0.00 $10.29 6.46%+ $441,856 0.60%+
-- (0.08) $10.29 5.78% $395,105 0.67%
-- 1.16 $10.37 19.48% $393,656 0.73%
-- (1.20) $ 9.21 (6.31)% $381,036 0.74%
-- 0.13 $10.41 8.41% $413,299 0.74%
-- (0.27) $10.28 6.00% $215,923 0.74%
<CAPTION>
Ratios/Supplemental Data (Continued)
- -----------------------------------------------------------------------------
Ratio of
Ratio of Net Investment
Expenses to Income to
Ratio of Net Average Net Average Net
Investment Assets(%) Assets(%)
Income to without Fee without Fee Average
Average Net Waivers/ Waivers/ Portfolio Commission
Assets(%) Reimbursed Exp. Reimbursed Exp. Turover(%) Rate
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1.33%+ -- -- 7.45% $0.03
1.89% -- -- 12.25% $0.03
2.39% -- -- 10.66% --
2.71% -- -- 24.15% --
2.59% -- -- 16.01% --
2.71%+ -- -- 0.50%++ --
0.58%+ -- -- 7.45% $0.03
0.57%+ -- -- 12.25%+ $0.03
1.58%+ -- -- 7.45% $0.03
2.05% -- -- 12.25% $0.03
2.39% -- -- 10.66% --
2.71% -- -- 24.15% --
2.59% -- -- 16.01% --
2.71%+ -- -- 0.50%++ --
- -----------------------------------------------------------------------------
1.51%+ -- -- 8.40% $0.07
0.88% 1.23% 0.88% 6.37% $0.07
1.43% 1.24% 1.35% 2.09% --
0.75%+ -- -- 8.40% $0.07
0.75%+ 2.05%+ 0.75%+ 6.37%+ $0.07
1.69%+ -- -- 8.40% $0.07
1.01% 1.10% 1.01% 6.37% $0.07
1.43% 1.24% 1.35% 2.09% --
1.18%+ 1.92%+ 0.41%+ 0.30%++ --
- -----------------------------------------------------------------------------
6.26%+ -- -- 9.24% --
6.17% -- -- 31.62% --
5.98% -- -- 36.47% --
5.73% -- -- 54.60% --
5.44% -- -- 92.80% --
7.04%+ -- -- 56.30%+ --
5.51%+ -- -- 9.24% --
1.52%+ -- -- 31.62% --
6.51%+ -- -- 9.24% --
6.29% -- -- 31.62% --
5.98% -- -- 36.47% --
5.73% -- -- 54.60% --
5.44% -- -- 92.80% --
6.91% -- -- 56.30% --
<FN>
See Notes to Financial Statements.
</TABLE>
147
<PAGE>
<TABLE>
<CAPTION>
Investment Operations
---------------------------------------------------------------------
Net Realized Total
Net Asset and Unrealized Income From
Value Net Gain (Loss) from Net
Beginning Investment on Investment Investment
of Period Income Investments Operations Income
---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
BOND FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $10.27 0.32 (0.02) $ 0.30 (0.32)
December 31, 1996 $10.45 0.67 (0.18) $ 0.49 (0.67)
December 31, 1995 $ 9.01 0.63 1.45 $ 2.08 (0.64)
December 31, 1994 $10.32 0.61 (1.31) $(0.70) (0.59)
December 31, 1993 $10.25 0.76 0.38 $ 1.14 (0.76)
December 31, 1992(22) $10.23 0.56 0.15 $ 0.71 (0.56)
Class B Shares
For the period ended 6/30/97 (unaudited) $10.27 0.28 - $ 0.28 (0.29)
December 31, 1996(5) $10.00 0.21 0.27 $ 0.48 (0.21)
Class I Shares
For the period ended 6/30/97 (unaudited) $10.27 0.33 -- $ 0.33 (0.34)
December 31, 1996 $10.45 0.68 (0.18) $ 0.50 (0.68)
December 31, 1995 $ 9.01 0.63 1.45 $ 2.08 (0.64)
December 31, 1994 $10.32 0.61 (1.31) $(0.70) (0.59)
December 31, 1993 $10.25 0.76 0.38 $ 1.14 (0.76)
December 31, 1992 $10.55 0.83 (0.17) $ 0.66 (0.83)
- -------------------------------------------------------------------------------------------------------------
SHORT BOND FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $10.11 0.26 - $ 0.26 (0.27)
December 31, 1996 $10.23 0.55 (0.10) $ 0.45 (0.55)
December 31, 1995 $ 9.84 0.58 0.39 $ 0.97 (0.58)
December 31, 1994(10) $10.00 0.17 (0.16) $ 0.01 (0.17)
Class B Shares
For the period ended 6/30/97 (unaudited) $10.02 0.22 0.00 $ 0.22 (0.23)
December 31, 1996(8) $10.00 0.12 0.04 $ 0.16 (0.12)
Class I Shares
For the period ended 6/30/97 (unaudited) $10.11 0.28 (0.01) $ 0.27 (0.28)
December 31, 1996 $10.23 0.55 (0.10) $ 0.45 (0.55)
December 31, 1995 $ 9.84 0.58 0.39 $ 0.97 (0.58)
December 31, 1994(10) $10.00 0.17 (0.16) $ 0.01 (0.17)
- -------------------------------------------------------------------------------------------------------------
INCOME FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $ 7.84 0.23 (0.05) $ 0.18 (0.22)
December 31, 1996 $ 8.18 0.41 (0.25) $ 0.16 (0.40)
For the period ended 12/31/1995(11) $ 7.68 0.44 0.72 $ 1.16 (0.44)
January 31, 1995 $ 8.25 0.52 (0.57) $(0.05) (0.52)
For the period ended 1/31/1994(12) $ 8.36 0.47 (0.09) $ 0.38 (0.47)
Class B Shares
For the period ended 6/30/97 (unaudited) $ 7.85 0.20 (0.05) $ 0.15 (0.20)
December 31, 1996 $ 8.18 0.45 (0.23) $ 0.22 (0.45)
For the period ended 12/31/1995(13) $ 8.13 0.24 0.27 $ 0.51 (0.24)
For the period ended 12/2/1994(14) $ 8.16 0.40 (0.55) $(0.15) (0.40)
Class I Shares
For the period ended 6/30/97 (unaudited) $ 7.85 0.25 (0.03) $ 0.22 (0.23)
December 31, 1996 $ 8.18 0.46 (0.24) $ 0.22 (0.45)
For the period ended 12/31/1995(11) $ 7.68 0.47 0.72 $ 1.19 (0.47)
January 31, 1995 $ 8.25 0.52 (0.57) $(0.05) (0.52)
For the period ended 1/31/1994(12) $ 8.36 0.47 (0.09) $ 0.38 (0.47)
<CAPTION>
Less Distributions
- -----------------------------------------------------------------------------
From Net
Realized In Excess
In Excess Gain on of Net
of Net Investments & Realized
Investment Foreign Currency Gain on Return of Total
Income Transactions Investments Capital Distributions
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
-- -- -- -- $(0.32)
-- -- -- -- $(0.67)
-- -- -- -- $(0.64)
-- (0.02) -- -- $(0.61)
-- (0.31) -- -- $(1.07)
-- (0.13) -- -- $(0.69)
-- -- -- -- $(0.29)
-- -- -- -- $(0.21)
-- -- -- -- $(0.34)
-- -- -- -- $(0.68)
-- -- -- -- $(0.64)
-- (0.02) -- -- $(0.61)
-- (0.31) -- -- $(1.07)
-- (0.13) -- -- $(0.96)
- -----------------------------------------------------------------------------
-- - -- -- $(0.27)
-- (0.02) -- -- $(0.57)
-- - -- -- $(0.58)
-- -- -- -- $(0.17)
-- -- -- -- $(0.23)
-- (0.02) -- -- $(0.14)
-- -- -- -- $(0.28)
-- (0.02) -- -- $(0.57)
-- - -- -- $(0.58)
-- -- -- -- $(0.17)
- -----------------------------------------------------------------------------
-- -- -- -- $(0.22)
-- (0.10) -- -- $(0.50)
-- (0.22) -- -- $(0.66)
-- -- -- -- $(0.52)
-- (0.02) -- -- $(0.49)
-- -- -- -- $(0.20)
-- (0.10) -- -- $(0.55)
-- (0.22) -- -- $(0.46)
-- -- -- -- $(0.40)
-- -- -- -- $(0.23)
-- (0.10) -- -- $(0.55)
-- (0.22) -- -- $(0.69)
-- -- -- -- $(0.52)
-- (0.02) -- -- $(0.49)
<FN>
See Notes to Financial Statements.
</TABLE>
148
<PAGE>
<TABLE>
<CAPTION>
Ratios/Supplemental Data
- ----------------------------------------------------------------------------------------
Net
Conversion Assets Ratio of
to Net Change Net Asset End of Expenses
Class A In Net Value End Total Period to Average
Shares Asset Value of Period Return(a) (000's omitted) Net Assets(%)
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
-- (0.02) $10.25 6.12%+ $ 68,509 0.85%+
-- (0.18) $10.27 4.98% $ 46,977 0.78%
-- 1.44 $10.45 23.75% $ 31,714 0.74%
-- (1.31) $ 9.01 (6.99)% $ 32,053 0.74%
-- 0.07 $10.32 11.39% $ 45,410 0.73%
-- 0.02 $10.25 9.59%+ $ 9,392 0.74%+
-- (0.01) $10.26 5.48%+ $ 1,131 1.60%+
-- 0.27 $10.27 4.81%++ $ 280 1.59%+
-- (0.01) $10.26 6.44%+ $968,910 0.60%+
-- (0.18) $10.27 5.08% $757,627 0.66%
-- 1.44 $10.45 23.75% $485,851 0.74%
-- (1.31) $ 9.01 (6.99)% $395,116 0.74%
-- 0.07 $10.32 11.39% $455,786 0.73%
-- (0.30) $10.25 6.56% $312,366 0.73%
- ----------------------------------------------------------------------------------------
-- (0.01) $10.10 5.22%+ $ 1,475 0.82%+
-- (0.12) $10.11 (4.45)% $ 1,033 0.80%
-- 0.39 $10.23 10.07% $ 766 0.75%
-- (0.16) $ 9.84 0.21%+ $ 308 0.75%+
-- (0.01) $10.01 4.54%+ $ 69 1.57%+
-- 0.02 $10.02 2.04%++ $ 56 1.57%+
-- (0.01) $10.10 5.50%+ $193,121 0.57%+
-- (0.12) $10.11 4.56% $171,427 0.70%
-- 0.39 $10.23 10.07% $162,571 0.75%
-- (0.16) $ 9.84 0.21%+ $ 63,931 0.75%+
- ----------------------------------------------------------------------------------------
-- (0.04) $ 7.80 4.68%+ $ 7,175 0.87%+
-- (0.34) $ 7.84 2.75% $ 8,798 0.84%
-- 0.50 $ 8.18 15.55%++ $ 6,095 0.94%+
-- (0.57) $ 7.68 (0.45)% $ 69 0.04%
-- (0.11) $ 8.25 5.16%+ $ 65 --
-- (0.05) $ 7.80 3.88%+ $ 409 1.62%+
-- (0.33) $ 7.85 2.09% $ 502 1.58%
-- 0.05 $ 8.18 6.41%++ $ 259 1.60%+
7.61(3) -- -- (1.82)%++ -- --
-- (0.04) $ 7.81 4.94%+ $134,589 0.62%+
-- (0.33) $ 7.85 3.14% $187,112 0.57%
-- 0.50 $ 8.18 15.90%++ $191,930 0.55%+
-- (0.57) $ 7.68 (0.48)% $ 7,101 0.04%
-- (0.11) $ 8.25 5.16%++ $ 5,128 --
<CAPTION>
Ratios/Supplemental Data (Continued)
- -----------------------------------------------------------------------------
Ratio of
Ratio of Net Investment
Expenses to Income to
Ratio of Net Average Net Average Net
Investment Assets(%) Assets(%)
Income to without Fee without Fee Average
Average Net Waivers/ Waivers/ Portfolio Commission
Assets(%) Reimbursed Exp. Reimbursed Exp. Turover(%) Rate
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6.35%+ -- -- 5.27% --
6.59% -- -- 24.92% --
6.39% -- -- 41.91% --
6.36% -- -- 75.67% --
7.20% -- -- 115.20% --
8.12%+ -- -- 90.45%+ --
5.60%+ -- -- 5.27% --
3.01%+ -- -- 24.92%+ --
6.60%+ -- -- 5.27% --
6.71% -- -- 24.92% --
6.39% -- -- 41.91% --
6.36% -- -- 75.67% --
7.20% -- -- 115.20% --
8.08% -- -- 90.45% --
- ----------------------------------------------------------------------
5.36%+ -- -- 36.43% --
5.35% 0.82% 5.33% 109.58% --
5.74% 0.81% 5.68% 30.94% --
5.92%+ 0.93%+ 5.74%+ 10.20%++ --
4.61%+ -- -- 36.43% --
1.47%+ 1.59%+ 1.45%+ 109.58%+ --
5.61%+ -- -- 36.43% --
5.45% 0.72% 5.43% 109.58% --
5.74% 0.81% 5.68% 30.94% --
5.92%+ 0.93%+ 5.74%+ 10.20%++ --
- ----------------------------------------------------------------------
5.92%+ -- -- 28.34% --
5.75% 0.90% 5.69% 103.93% --
5.72%+ 1.15%+ 5.51%+ 173.26%++ --
6.70% 2.78% 3.96% 71.65% --
5.96%+ 3.67%+ 2.29%+ 26.54%++ --
5.17%+ -- -- 28.34% --
5.01% 1.67% 4.92% 103.93% --
5.00%+ 1.78%+ 4.83%+ 173.26%++ --
6.48%+ 2.58%+ 3.90%+ 71.65%++ --
6.17%+ -- -- 28.34% --
6.02% 0.66% 5.93% 103.93% --
6.34%+ 0.67%+ 6.22%+ 173.26%++ --
6.70% 2.78% 3.96% 71.65% --
6.21%+ 2.64%+ 3.57%+ 26.54%++ --
<FN>
See Notes to Financial Statements.
</TABLE>
149
<PAGE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------
Investment Operations
Net Realized Total
Net Asset and Unrealized Income From
Value Net Gain (Loss) from Net
Beginning Investment on Investment Investment
of Period Income Investments Operations Income
--------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INTERNATIONAL BOND FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $10.79 0.19 (0.58) $(0.39) (0.22)
December 31, 1996 $10.75 0.54 0.04 $ 0.58 (0.54)
For the period ended 12/31/1995(7) $10.00 0.98 1.10 $ 2.08 (0.98)
Class B Shares
For the period ended 6/30/97 (unaudited) $10.87 0.16 (0.58) $(0.42) (0.19)
December 31, 1996 $10.81 0.47 0.06 $ 0.53 (0.47)
For the period ended 12/31/1995(7) $10.00 0.91 1.16 $ 2.07 (0.91)
Class I Shares
For the period ended 6/30/97 (unaudited) $10.85 0.25 (0.62) $(0.37) (0.23)
December 31, 1996 $10.81 0.59 0.04 $ 0.63 (0.59)
For the period ended 12/31/1995(7) $10.00 1.02 1.16 $ 2.18 (1.02)
- -----------------------------------------------------------------------------------------------------------------
MUNICIPAL BOND FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $12.36 0.29 0.08 $ 0.37 (0.29)
December 31, 1996 $12.64 0.59 (0.18) $ 0.41 (0.58)
For the period ended 12/31/1995(15) $12.06 0.48 0.82 $ 1.30 (0.48)
02/28/95 $12.13 0.60 (0.07) $ 0.53 (0.60)
02/28/94 $13.25 0.63 (0.15) $ 0.48 (0.63)
02/28/93 $12.49 0.70 1.01 $ 1.71 (0.70)
02/29/92 $12.10 0.76 0.47 $ 1.23 (0.76)
Class B Shares
For the period ended 6/30/97 (unaudited) $12.36 0.23 0.08 $ 0.31 (0.25)
December 31, 1996 $12.65 0.52 (0.21) $ 0.31 (0.49)
For the period ended 12/31/95(16) $12.17 0.34 0.72 $ 1.06 (0.34)
For the period ended 12/2/94(17) $12.14 0.41 (0.70) $(0.29) (0.41)
02/28/94(18) $12.37 0.03 (0.23) $(0.20) (0.03)
Class I Shares
For the period ended 6/30/97 (unaudited) $12.36 0.30 0.07 $ 0.37 (0.30)
December 31, 1996 $12.63 0.65 (0.20) $ 0.45 (0.61)
For the period ended 12/31/95(15) $12.06 0.52 0.81 $ 1.33 (0.52)
For the period ended 2/28/95(19) $12.06 0.05 -- $ 0.05 (0.05)
- -----------------------------------------------------------------------------------------------------------------
INTERMediaTE MUNICIPAL BOND FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $12.10 0.27 (0.01) $ 0.28 (0.27)
December 31, 1996 $12.25 0.53 (0.09) $ 0.44 (0.51)
For the period ended 12/31/95(15) $11.79 0.44 0.56 $ 1.00 (0.44)
February 28, 1995 $12.18 0.55 (0.36) $ 0.19 (0.55)
February 28, 1994 $12.79 0.61 0.01 $ 0.62 (0.61)
February 28, 1993 $12.25 0.64 0.68 $ 1.32 (0.64)
February 29, 1992 $11.95 0.76 0.37 $ 1.13 (0.76)
Class B Shares
For the period ended 6/30/97 (unaudited) $12.10 0.22 -- $ 0.22 (0.23)
December 31, 1996 $12.25 0.44 (0.09) $ 0.35 (0.42)
For the period ended 12/31/95(15) $11.80 0.37 0.55 $ 0.92 (0.37)
For the period ended 2/28/95(16) $11.57 0.04 0.23 $ 0.27 (0.04)
For the period ended 12/2/94(17) $12.18 0.37 (0.72) $(0.35) (0.37)
For the period ended 2/28/94(18) $12.32 0.03 (0.14) $(0.11) (0.03)
Class I Shares
For the period ended 6/30/97 (unaudited) $12.11 0.28 (0.01) $ 0.29 (0.29)
December 31, 1996 $12.25 0.56 (0.08) $ 0.48 (0.54)
For the period ended 12/31/95(15) $11.80 0.47 0.55 $ 1.02 (0.47)
For the period ended 2/28/95(19) $11.57 0.04 0.23 $ 0.27 (0.04)
<CAPTION>
Less Distributions
- -----------------------------------------------------------------------------
From Net
Realized In Excess
In Excess Gain on of Net
of Net Investments & Realized
Investment Foreign Currency Gain on Return of Total
Income Transactions Investments Capital Distributions
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
-- -- -- -- $(0.22)
-- -- -- -- $(0.54)
(0.01) (0.34) -- -- $(1.33)
-- -- -- -- $(0.19)
-- -- -- -- $(0.47)
(0.01) (0.34) -- -- $(1.26)
-- -- -- -- $(0.23)
-- -- -- -- $(0.59)
(0.01) (0.34) -- -- $(1.37)
- -----------------------------------------------------------------------------
-- -- -- -- $(0.29)
-- (0.01) (0.10) -- $(0.69)
-- (0.24) -- -- $(0.72)
-- -- -- -- $(0.60)
-- (0.96) (0.01) -- $(1.60)
-- (0.25) -- -- $(0.95)
-- (0.08) -- -- $(0.84)
-- -- -- -- $(0.25)
-- (0.01) (0.10) -- $(0.60)
-- (0.24) -- -- $(0.58)
-- -- -- -- $(0.41)
-- -- -- -- $(0.03)
-- -- -- -- $(0.30)
-- (0.01) (0.10) -- $(0.72)
-- (0.24) -- -- $(0.76)
-- -- -- -- $(0.05)
- -----------------------------------------------------------------------------
-- -- -- -- $(0.27)
-- (0.08) -- -- $(0.59)
-- (0.10) -- -- $(0.54)
-- (0.03) -- -- $(0.58)
-- (0.62) -- -- $(1.23)
-- (0.14) -- -- $(0.78)
-- (0.07) -- -- $(0.83)
-- -- -- -- $(0.23)
-- (0.08) -- -- $(0.50)
-- (0.10) -- -- $(0.47)
-- -- -- -- $(0.04)
-- (0.03) -- -- $(0.40)
-- -- -- -- $(0.03)
-- -- -- -- $(0.29)
-- (0.08) -- -- $(0.62)
-- (0.10) -- -- $(0.57)
-- -- -- -- $(0.04)
<FN>
See Notes to Financial Statements.
</TABLE>
150
<PAGE>
<TABLE>
<CAPTION>
Ratios/Supplemental Data
- ----------------------------------------------------------------------------------------
Net
Conversion Assets Ratio of
to Net Change Net Asset End of Expenses
Class A In Net Value End Total Period to Average
Shares Asset Value of Period Return(a) (000's omitted) Net Assets(%)
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
-- (0.61) $10.18 (7.22)%+ $ 4,081 1.11%+
-- 0.04 $10.79 5.62% $ 2,006 1.15%
-- 0.75 $10.75 21.10%++ $ 487 1.33%+
-- (0.61) $10.26 (7.70)%+ $ 72 1.86%+
-- 0.06 $10.87 5.01% $ 46 1.90%
-- 0.61 $10.81 20.90%++ $ 4 2.03%+
-- (0.61) $10.24 (7.00)%+ $ 70,651 0.86%+
-- 0.04 $10.85 5.99% $ 53,845 0.90%
-- 0.81 $10.81 22.13%++ $ 14,504 0.95%+
- ----------------------------------------------------------------------------------------
-- 0.08 $12.44 6.02%+ $ 30,818 0.85%+
-- (0.28) $12.36 3.36% $ 29,352 0.83%
-- 0.58 $12.64 10.95%++ $ 7,426 0.89%+
-- (0.07) $12.06 4.45% $ 6,840 1.98%
-- (1.12) $12.13 3.70% $ 9,234 --
-- 0.76 $13.25 14.37% $ 11,290 --
-- 0.39 $12.49 10.50% $ 6,591 --
-- 0.07 $12.43 5.14%+ $ 830 1.60%+
-- (0.29) $12.36 2.56% $ 672 1.58%
-- 0.48 $12.65 8.81%++ $ 238 1.66%+
(11.44)(3) -- -- (4.30)%++ -- 3.18%+
-- (0.23) $12.14 (1.64)%++ -- 0.50%+
-- 0.07 $12.43 6.12%+ $341,315 0.60%+
-- (0.27) $12.36 3.76% $338,104 0.58%
-- 0.57 $12.63 11.20%++ $240,160 0.54%+
-- -- $12.06 0.39%++ $220,143 0.65%+
- ----------------------------------------------------------------------------------------
-- 0.01 $12.11 4.70%+ $ 19,241 0.85%+
-- (0.15) $12.10 3.69% $ 19,049 0.83%
-- 0.48 $12.25 8.58%++ $ 17,777 0.83%+
-- (0.39) $11.79 1.64% $ 17,243 0.29%
-- (0.61) $12.18 4.94% $ 28,826 0.06%
-- 0.54 $12.79 11.26% $ 27,885 --
-- 0.30 $12.25 9.78% $ 18,310 --
-- -- $12.10 3.82%+ $ 629 1.60%+
-- (0.15) $12.10 2.90% $ 611 1.58%
-- 0.45 $12.25 7.75%++ $ 341 1.71%+
-- 0.23 $11.80 2.30%++ $ 6 1.36%+
(11.43)(17) -- $11.43 (2.98)%++ -- 0.76%+
-- (12.18) $12.18 (0.93)%++ $ 12 0.75%+
-- 0.01 $12.12 4.90%+ $377,748 0.60%+
-- (0.14) $12.11 4.05% $373,970 0.58%
-- 0.45 $12.25 8.76%++ $373,753 0.55%+
-- 0.23 $11.80 2.37%++ $365,801 0.50%+
<CAPTION>
Ratios/Supplemental Data (Continued)
- --------------------------------------------------------------------------------
Ratio of
Ratio of Net Investment
Expenses to Income to
Ratio of Net Average Net Average Net
Investment Assets(%) Assets(%)
Income to without Fee without Fee Average
Average Net Waivers/ Waivers/ Portfolio Commission
Assets(%) Reimbursed Exp. Reimbursed Exp. Turover(%) Rate
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
4.71%+ 1.26%+ 4.48%+ 2.34% --
4.74% 1.94% 3.95% 97.82% --
4.91%+ 3.65%+ 2.59%+ 48.03%++ --
4.17%+ 2.01%+ 3.94%+ 2.34% --
3.99% 4.08% 1.81% 97.82% --
4.39%+ 8.69%+ (2.28)%+ 48.03%++ --
4.94%+ 1.01%+ 4.71%+ 2.34% --
4.99% 1.40% 4.49% 97.82% --
5.71%+ 1.93%+ 4.73%+ 48.03%++ --
- --------------------------------------------------------------------------------
4.70%+ -- -- 23.62% --
4.54% 0.89% 4.48% 64.51% --
4.57%+ 1.04%+ 4.43%+ 69.31%++ --
5.09% 3.89% 3.18% 60.78% --
4.85% 1.44% 3.41% 175.06% --
5.49% 1.59% 3.90% 88.53% --
5.99% 2.75% 3.24% 66.28% --
3.95%+ -- -- 23.62% --
3.79% 1.70% 3.67% 64.51% --
3.61%+ 2.04%+ 3.23%+ 69.31%++ --
4.51%+ 5.85%+ 1.84%+ 60.78%++ --
4.10%+ 2.91%+ 1.69%+ 175.06%++ --
4.95%+ -- -- 23.62% --
4.79% 0.68% 4.69% 64.51% --
4.95%+ 0.67%+ 4.81%+ 69.31%++ --
5.45%+ 0.79%+ 5.31%+ 60.78%++ --
- --------------------------------------------------------------------------------
4.49%+ -- -- 28.38% --
4.37% 0.88% 4.32% 52.95% --
4.30%+ 0.97%+ 4.16%+ 44.75%++ --
4.73% 1.38% 3.64% 128.02% --
4.78% 1.27% 3.57% 167.95% --
5.16% 1.31% 3.85% 63.67% --
6.15% 1.72% 4.43% 86.91% --
3.74%+ -- -- 28.38% --
3.62% 1.68% 3.52% 52.95% --
3.36%+ 2.01%+ 3.06%+ 44.75%++ --
3.72%+ 1.64%+ 3.44%+ 128.02%++ --
4.03%+ 2.00%+ 2.79%+ 128.02%++ --
1.68%+ 3.00%+ (0.57)%+ 167.95%++ --
4.74%+ -- -- 28.38% --
4.62% 0.64% 4.56% 52.95% --
4.78%+ 0.68%+ 4.65%+ 44.75%++ --
4.79%+ 0.60%+ 4.69%+ 128.02%++ --
<FN>
See Notes to Financial Statements.
</TABLE>
151
<PAGE>
<TABLE>
<CAPTION>
Investment Operations
--------------------------------------------------------------------
Net Realized Total
Net Asset and Unrealized Income From
Value Net Gain (Loss) from Net
Beginning Investment on Investment Investment
of Period Income Investments Operations Income
--------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MICHIGAN MUNICIPAL BOND FUND
Class A Shares
For the period ended 6/30/97 (unaudited) $10.48 0.24 0.09 $ 0.33 (0.24)
December 31, 1996 $10.60 0.48 (0.14) $ 0.34 (0.46)
December 31, 1995 $ 9.54 0.48 1.06 $ 1.54 (0.48)
December 31, 1994 $10.60 0.50 (1.06) $(0.56) (0.50)
December 31, 1993(21) $10.00 0.44 0.59 $ 1.03 (0.43)
Class B Shares
For the period ended 6/30/97 (unaudited) $10.18 0.20 0.07 $ 0.27 (0.21)
For the period ended 12/31/96(8) $10.00 0.07 0.17 $ 0.24 (0.06)
Class I Shares
For the period ended 6/30/97 (unaudited) $10.48 0.25 0.08 $ 0.33 (0.25)
December 31, 1996 $10.60 0.49 (0.14) $ 0.35 (0.47)
December 31, 1995 $ 9.54 0.48 1.06 $ 1.54 (0.48)
December 31, 1994 $10.60 0.50 (1.06) $(0.56) (0.50)
December 31, 1993(21) $10.00 0.44 0.59 $ 1.03 (0.43)
<CAPTION>
Less Distributions
- -----------------------------------------------------------------------------
From Net
Realized In Excess
In Excess Gain on of Net
of Net Investments & Realized
Investment Foreign Currency Gain on Return of Total
Income Transactions Investments Capital Distributions
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
-- -- -- -- $(0.24)
-- -- -- -- $(0.46)
-- -- -- -- $(0.48)
-- -- -- -- $(0.50)
-- -- -- -- $(0.43)
-- -- -- -- $(0.21)
-- -- -- -- $(0.06)
-- -- -- -- $(0.25)
-- -- -- -- $(0.47)
-- -- -- -- $(0.48)
-- -- -- -- $(0.50)
-- -- -- -- $(0.43)
<FN>
See Notes to Financial Statements.
</TABLE>
152
<PAGE>
<TABLE>
<CAPTION>
Ratios/Supplemental Data
- --------------------------------------------------------------------------------------
Net
Conversion Assets Ratio of
to Net Change Net Asset End of Expenses
Class A In Net Value End Total Period to Average
Shares Asset Value of Period Return(a) (000's omitted) Net Assets(%)
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
-- 0.09 $10.57 6.28%+ $17,508 0.95%+
-- (0.12) $10.48 3.32% $18,575 0.88%
-- 1.06 $10.60 16.49% $21,034 0.79%
-- (1.06) $ 9.54 (5.42)% $21,106 0.53%
-- 0.60 $10.60 11.50%+ $26,342 0.19%+
-- 0.06 $10.24 5.36%+ $ 247 1.70%+
-- 0.18 $10.18 2.45%++ $ 110 1.69%+
-- 0.08 $10.56 6.52%+ $49,218 0.70%+
-- (0.12) $10.48 3.44% $41,909 0.77%
-- 1.06 $10.60 16.49% $32,419 0.79%
-- (1.06) $ 9.54 (5.42)% $24,157 0.53%
-- 0.60 $10.60 11.50%+ $15,772 0.19%+
<CAPTION>
Ratios/Supplemental Data (Continued)
- ------------------------------------------------------------------------------
Ratio of
Ratio of Net Investment
Expenses to Income to
Ratio of Net Average Net Average Net
Investment Assets(%) Assets(%)
Income to without fee without Fee Average
Average Net Waivers/ Waivers/ Portfolio Commission
Assets(%) Reimbursed Exp. Reimbursed Exp. Turover(%) Rate
4.62%+ 0.96%+ 4.61%+ 27.40% --
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
4.62%+ 0.96%+ 4.61%+ 27.40% --
4.57% 0.96% 4.49% 24.90% --
4.71% 1.04% 4.46% 26.97% --
5.01% 1.05% 4.49% 25.93% --
5.12%+ 1.21%+ 4.10%+ 41.70%++ --
3.87%+ 1.71%+ 3.86%+ 27.40% --
2.01%+ 1.77%+ 1.93%+ 24.49%+ --
4.75%+ 0.71%+ 4.74%+ 27.40% --
4.68% 0.85% 4.60% 24.49% --
4.71% 1.04% 4.46% 26.97% --
5.01% 1.05% 4.49% 25.93% --
5.12%+ 1.21%+ 4.10%+ 41.70%++ --
<FN>
See Notes to Financial Statements.
</TABLE>
153
<PAGE>
Notes to Financial Highlights
(1) For the period February 8, 1994 (initial offering date of Class B
Shares) through December 2, 1994. On December 2, 1994, the Fund
terminated its offering of Class B Shares under the then-current sales
load schedule and such shares converted to Class A Shares.
(2) For the period March 3, 1995 (re-offering date of Class B Shares)
through December 31, 1995.
(3) On December 2, 1994, the Fund terminated its offering of Class B Shares
under the then-current sales load schedule and such shares converted to
Class A Shares.
(4) For the period March 3, 1995 (initial offering date of Class I Shares)
through December 31, 1995.
(5) For the period August 24, 1996 (initial offering date of Class B Shares)
through December 31, 1996.
(6) For the period December 17, 1996 (commencement of operations) through
December 31, 1996.
(7) For the period January 27, 1995 (commencement of operations) through
December 31, 1995.
(8) For the period September 23, 1996 (initial offering date of Class B
Shares) through December 31, 1996.
(9) For the period December 3, 1994 (commencement of operations) through
December 31, 1994.
(10) For the period September 17, 1994 (commencement of operations) through
December 31, 1994.
(11) For the period February 1, 1995 (commencement of operations) through
December 31, 1995. Effective February 1, 1995, the Fund changed its
fiscal year end from January 31 to December 31.
(12) For the period March 5, 1993 (commencement of operations) through
January 31, 1994.
(13) For the period May 31, 1995 (re-offering date of Class B Shares) through
December 31, 1995. Effective February 1, 1995, the Fund changed its
fiscal year end from January 31, to December 31.
(14) For the period February 8, 1994 (initial offering date of Class B
Shares) through December 2, 1994. On December 2, 1994, the Fund
terminated its offering of Class B Shares and such shares converted to
Class A shares.
(15) For the period March 1, 1995 through December 31, 1995. Effective March
1, 1995, the Fund changed its fiscal year end from February 28 to
December 31.
(16) For the period April 4, 1995 (re-offering date of Class B Shares)
through December 31, 1995. Effective March 1, 1995, the Fund changed its
fiscal year end from February 28 to December 31.
(17) For the period March 1, 1994 through December 2, 1994. On December 2,
1994, the Fund terminated its offering of Class B Shares and such shares
converted to Class A Shares.
(18) For the period February 8, 1994 (initial offering date of Class B
Shares) through February 28, 1994.
(19) For the period February 1, 1995 (initial offering date of Class I
Shares) to February 28, 1995.
(20) For the period January 30, 1995 (re-offering date of Class B Shares)
through February 28, 1995.
(21) For the period February 1, 1993 (commencement of operations) through
December 31, 1993.
(22) For the period May 1, 1992 (initial offering date of Class A shares)
through December 31, 1992.
(23) For the period July 10, 1992 (inception) through December 31, 1992.
(a) Total returns as presented do not include any applicable sales load
or redemption charges.
+ Annualized.
++ Not Annualized.
154
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