<PAGE>
Table of Contents
1 Letter to Shareholders
2 Statements of Assets and Liabilities
10 Statements of Operations
14 Statements of Changes in Net Assets
21 Portfolios of Investments
129 Notes to Financial Statements
148 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.
Pegasus Funds
I
<PAGE>
A MESSAGE FROM THE INVESTMENT ADVISER
- --------------------------------------------------------------------------------
JUNE 30, 1998
DEAR PEGASUS FUNDS SHAREHOLDER,
The year has proven both exciting and rewarding thus far:
Both the stock and bond markets continue to provide excellent returns with the
S&P 500* advancing almost 18 percent, the foreign markets, as measured by the
Morgan Stanley EAFE Index, advancing 16 percent and Lehman Brothers Aggregate
Index*** (bonds) providing a 4% return. We believe the domestic economic
picture remains healthy as does the European outlook. The primary dark cloud
remains the troubled Asian arena. We look for a continued positive domestic
environment although we do not expect the market to advance as sharply in the
second half of the year.
The Pegasus Family continues to grow with the recent launch of the Short
Municipal Bond Fund and the launch of an extended index fund in August of this
year. At that time the family will offer 9 equity funds, 10 fixed income funds,
9 money market funds, 3 managed asset funds (balanced funds) as well as a fixed
annuity and a group of variable funds.
In May of this year, the parent of the adviser, First Chicago NBD Corp.,
announced plans to merge with BANC ONE Corporation. BANC ONE also has a strong
and proven investment management organization which, when combined with your
adviser, should provide an increased variety of investment options supported by
a stronger, more experienced combined organization. As the merger progresses we
will provide you with more information.
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 while maintaining average risk.
I would like to thank you for the opportunity to serve your investment needs.
We appreciate that there are few greater trusts than the granting of one's
investment funds to an adviser.
LOGO
George F. Abel
Chief Investment Officer
First Chicago NBD Investment Management Company
* The S&P Index is an unmanaged index generally representative of the U.S.
stock market as a whole.
** Morgan Stanley EAFE Index is an unmanaged index generally representative of
the foreign equity market as a whole.
*** The Lehman Aggregate Bond Index is an unmanaged index generally
representative of the bond market as a whole.
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1998 (Unaudited)
----------------------------------------------------------------------
<TABLE>
<CAPTION>
MANAGED ASSETS MANAGED ASSETS MANAGED ASSETS EQUITY GROWTH MID-CAP SMALL-CAP
CONSERVATIVE FUND BALANCED FUND GROWTH FUND INCOME FUND FUND OPPORTUNITY FUND OPPORTUNITY FUND
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investment in
securities:
At cost $ 131,234,165 $ 269,667,298 $ 21,591,028 $ 268,676,272 $ 483,674,314 $ 775,778,748 $279,186,699
- -------------------------------------------------------------------------------------------------------------------------------
At value (Note
2) $ 135,152,771 $ 277,312,258 $ 21,877,936 $ 325,742,844 $ 846,249,295 $1,141,146,409 $328,144,452
Cash 374 90 -- -- -- 947 --
Receivable for
securities sold -- -- -- 2,129,354 1,461,381 13,585,027 26,523
Receivable for
fund shares sold 229,814 297,396 100,990 6,223 235,200 176,376 150,172
Income receiv-
able -- -- -- 553,690 360,245 644,528 116,359
Deferred organi-
zation costs,
net (Note 2) 31,496 4,857 -- 22,571 26,699 -- 22,914
Prepaids and
other assets 58,538 154,562 43,881 113,229 155,746 308,678 59,427
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 135,472,993 277,769,163 22,022,807 328,567,911 848,488,566 1,155,861,965 328,519,847
- -------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for se-
curities pur-
chased 116,722 137,126 58,754 28,269 144,976 8,840,454 611,237
Payable for
variation margin
on futures
contracts -- -- -- -- 43,250 110,490 6,450
Accrued invest-
ment advisory
fees 71,062 146,301 11,155 129,135 348,738 546,881 182,301
Accrued transfer
and dividend
disbursing agent
fees 11,962 14,065 1,915 904 2,514 14,318 1,481
Accrued custo-
dial fees 1,735 7,121 26 5,665 4,376 5,581 3,984
Administration
fees payable 16,399 33,762 2,574 38,740 87,233 136,720 39,115
Shareholder
services fees
payable (Class A
Shares) 54,503 99,203 5,371 8,405 70,180 186,893 19,615
Shareholder
services fees
payable (Class B
Shares) 13,174 9,277 6,208 2,346 2,211 3,871 2,136
12b-1 fees pay-
able (Class B
Shares) 40,248 27,831 18,613 6,983 7,749 11,611 7,021
Dividends pay-
able 19,096 5,812 846 10,680 -- -- --
Payable for fund
shares redeemed 135,157 51,148 13,463 4,264 50,747 27,013 27,028
Other payables
and accrued ex-
penses 7,018 8,842 3,924 11,896 11,410 21,714 5,118
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILI-
TIES 487,076 540,488 122,849 247,287 773,384 9,905,546 905,486
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 134,985,917 $ 277,228,675 $ 21,899,958 $ 328,320,624 $ 847,715,182 $1,145,956,419 $327,614,361
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
Pegasus Funds
2
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MANAGED ASSETS MID-CAP SMALL CAP
CONSERVATIVE MANAGED ASSETS MANAGED ASSETS EQUITY GROWTH OPPORTUNITY OPPORTUNITY
FUND BALANCED FUND GROWTH FUND INCOME FUND FUND FUND FUND
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, OF-
FERING PRICE AND RE-
DEMPTION PRICE PER
SHARE:
CLASS A SHARES:
Net Assets $100,507,996 $169,028,463 $ 9,404,036 $ 13,397,091 $109,752,170 $ 296,264,467 $ 33,523,431
Shares of beneficial
interest issued and
outstanding, $0.10 par
value, unlimited num-
ber of shares autho-
rized 6,814,414 14,298,714 787,670 1,074,534 6,471,853 14,048,016 2,008,892
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value per
share $ 14.75 $ 11.82 $ 11.94 $ 12.47 $ 16.96 21.09 16.69
Maximum sales charge
per share(1) 0.78 0.62 0.63 0.66 0.89 1.11 0.88
- -----------------------------------------------------------------------------------------------------------------------------
Maximum offering price
per share $ 15.53 $ 12.44 $ 12.57 $ 13.13 $ 17.85 $ 22.20 $ 17.57
- -----------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Net Assets $ 22,223,117 $ 15,874,569 $10,912,932 $ 3,637,767 $ 4,353,084 $ 6,632,015 $ 3,843,342
Shares of beneficial
interest issued and
outstanding, $0.10 par
value, unlimited num-
ber of shares autho-
rized 1,505,363 1,198,186 928,030 291,641 261,575 662,182 235,473
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value per
share $ 14.76 $ 13.25 $ 11.76 $ 12.47 $ 16.64 $ 10.02 $ 16.32
- -----------------------------------------------------------------------------------------------------------------------------
CLASS I SHARES:
Net Assets $ 12,254,804 $ 92,325,643 $ 1,582,990 $311,285,766 $733,609,928 $ 843,059,937 $290,247,588
Shares of beneficial
interest issued and
outstanding, $0.10 par
value, unlimited num-
ber of shares autho-
rized 827,727 7,823,748 131,935 25,036,361 43,204,399 39,827,125 17,165,059
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value per
share $ 14.81 $ 11.80 $ 12.00 $ 12.43 $ 16.98 $ 21.17 $ 16.91
- -----------------------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET AS-
SETS:
Shares of beneficial
interest, at par $ 914,750 $ 2,332,065 $ 184,764 $ 2,640,254 $ 4,993,783 $ 5,453,732 $ 1,940,942
Additional paid-in
capital 127,711,838 258,228,574 20,889,820 264,996,537 476,214,546 768,971,471 265,866,386
Accumulated undistrib-
uted net investment
income (loss) (50,152) (67,181) (6,770) 105,566 (643,890) (1,087,529) (691,121)
Accumulated undistrib-
uted net realized
gains on investments
and financial futures 2,490,875 9,090,257 545,236 3,511,695 4,602,262 6,643,274 11,379,261
Net unrealized appre-
ciation on investments
and financial futures 3,918,606 7,644,960 286,908 57,066,572 362,548,481 365,975,471 49,118,893
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $134,985,917 $277,228,675 $21,899,958 $328,320,624 $847,715,182 $1,145,956,419 $327,614,361
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Maximum sales charges are 5.00% of Maximum Offering Price per share unless
otherwise noted.
See accompanying Notes to Financial Statements.
Pegasus Funds
3
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTRINSIC VALUE GROWTH AND VALUE EQUITY INDEX INTERNATIONAL
FUND FUND FUND EQUITY FUND
---------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investment in securi-
ties:
At cost $558,528,597 $ 863,311,278 $537,820,412 $473,864,548
- -------------------------------------------------------------------------------------
At value (Note 2) $683,535,550 $1,231,148,642 $981,305,822 $605,266,393
Cash 4,147 -- -- --
Receivable for variation
margin on futures con-
tracts -- -- -- 302,445
Unrealized appreciation
on foreign exchange con-
tracts -- -- -- 5,176,242
Receivable for securi-
ties sold -- -- -- 11,100
Receivable for fund
shares sold 205,286 553,881 223,565 180,237
Income receivable 754,773 888,021 1,033,433 1,201,539
Reclaim receivable -- -- -- 770,214
Deferred organization
costs, net (Note 2) -- -- -- 17,836
Prepaids and other as-
sets 90,260 226,665 245,141 117,249
- -------------------------------------------------------------------------------------
TOTAL ASSETS 684,590,016 1,232,817,209 982,807,961 613,043,255
- -------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities
purchased 935,807 4,130,521 1,104,217 13,443,490
Payable for variation
margin on futures con-
tracts 79,410 204,206 -- --
Accrued investment advi-
sory fees 336,945 590,067 80,760 388,552
Accrued transfer and
dividend disbursing
agent fees 2,182 1,496 8,516 1,393
Accrued custodial fees 4,047 4,864 4,950 16,305
Administration fees pay-
able 84,236 147,517 121,141 72,853
Shareholder services
fees payable (Class A
Shares) 81,344 162,730 162,372 25,899
Shareholder services
fees payable (Class B
Shares) 3,012 5,465 1,498 1,461
12b-1 fees payable
(Class B Shares) 9,038 16,397 4,493 4,384
Withholding tax payable -- -- -- 28,447
Dividends payable 11,829 7,442 2,371 11,257
Payable for fund shares
redeemed 21,994 151,213 13,083 17,224
Other payables and ac-
crued expenses 9,556 24,504 14,267 5,351
- -------------------------------------------------------------------------------------
TOTAL LIABILITIES 1,579,400 5,446,422 1,517,668 14,016,616
- -------------------------------------------------------------------------------------
NET ASSETS $683,010,616 $1,227,370,787 $981,290,293 $599,026,639
- -------------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
Pegasus Funds
4
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTRINSIC
VALUE GROWTH AND VALUE EQUITY INDEX INTERNATIONAL
FUND FUND FUND EQUITY FUND
--------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, OFFER-
ING PRICE AND REDEMPTION
PRICE PER SHARE:
CLASS A SHARES:
Net Assets $132,278,364 $ 264,449,804 $281,046,761 $ 43,279,818
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue, unlimited number of
shares authorized 8,254,937 15,604,881 11,332,956 3,173,445
- --------------------------------------------------------------------------------------
Net asset value per
share $ 16.02 $ 16.95 $ 24.80 $ 13.64
Maximum sales charge per
share(1) 0.84 0.89 0.77(2) .72
- --------------------------------------------------------------------------------------
Maximum offering price
per share $ 16.86 $ 17.84 $ 25.57 $ 14.36
- --------------------------------------------------------------------------------------
CLASS B SHARES:
Net Assets $ 5,341,678 $ 9,612,670 $ 2,821,942 $ 2,455,836
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue, unlimited number of
shares authorized 469,782 938,778 188,271 191,940
- --------------------------------------------------------------------------------------
Net asset value per
share $ 11.37 $ 10.24 $ 14.99 $ 12.79
- --------------------------------------------------------------------------------------
CLASS I SHARES:
Net Assets $545,390,574 $ 953,308,313 $697,421,590 $553,870,240
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue, unlimited number of
shares authorized 34,019,695 56,215,982 28,108,761 40,467,425
- --------------------------------------------------------------------------------------
Net asset value per
share $ 16.03 $ 16.96 $ 24.81 $ 13.67
- --------------------------------------------------------------------------------------
COMPOSITION OF NET AS-
SETS:
Shares of beneficial in-
terest, at par $ 4,274,441 $ 7,275,964 $ 3,962,999 $ 4,383,281
Additional paid-in capi-
tal 536,475,198 820,536,740 517,428,905 485,870,239
Accumulated undistrib-
uted net investment in-
come (loss) (50,472) 171,187 208,288 444,303
Accumulated undistrib-
uted net realized gains
(losses) on investments
and financial futures 16,999,296 31,083,710 16,204,691 (22,695,869)
Net unrealized apprecia-
tion on investments and
financial futures 125,312,153 368,303,186 443,485,410 131,694,564
Net unrealized deprecia-
tion of assets and lia-
bilities denominated in
foreign currencies -- -- -- (669,879)
- --------------------------------------------------------------------------------------
TOTAL NET ASSETS $683,010,616 $1,227,370,787 $981,290,293 $599,026,639
- --------------------------------------------------------------------------------------
</TABLE>
(1)Maximum sales charges are 5.00% of Maximum Offering Price per share unless
otherwise noted.
(2)Maximum sales charge is 3.00% of Maximum Offering Price per share.
See accompanying Notes to Financial Statements.
Pegasus Funds
5
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE SHORT MULTI SECTOR INTERNATIONAL HIGH
BOND BOND BOND BOND BOND YIELD
FUND FUND FUND FUND FUND BOND FUND
--------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investment in securi-
ties:
At cost $573,245,664 $1,373,182,326 $253,166,456 $125,463,721 $93,590,168 $67,465,137
- ---------------------------------------------------------------------------------------------------------
At value (Note 2) $588,321,155 $1,437,458,015 $254,216,623 $129,914,423 $88,404,359 $67,702,287
Cash 3,132 28,957 385 2,038 -- 258
Receivable for securi-
ties sold -- -- 2,014,550 -- -- --
Receivable for fund
shares sold 94,953 436,407 -- 5,715 61,510 19,087
Income receivable 5,493,654 11,579,880 2,861,472 1,326,482 1,763,634 1,144,937
Reclaim receivable -- -- -- -- 90,469 --
Deferred organization
costs, net (Note 2) -- -- 8,602 15,092 22,001 20,586
Prepaid and other assets 199,658 280,267 83,581 107,030 31,420 42,684
- ---------------------------------------------------------------------------------------------------------
TOTAL ASSETS 594,112,552 1,449,783,526 259,185,213 131,370,780 90,373,393 68,929,839
- ---------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities
purchased 59,964 152,638 -- 29,908 131,774 425,576
Accrued investment advi-
sory fees 193,745 476,654 76,070 41,163 52,130 38,696
Accrued transfer and
dividend disbursing
agent fees 6,724 6,762 460 283 1,158 912
Accrued custodial fees 5,011 3,925 1,290 968 7,916 1,361
Administration fees pay-
able 81,584 178,744 32,601 15,435 10,964 8,292
Shareholder services
fees payable (Class A
Shares) 51,932 128,060 8,699 7,439 5,227 708
Shareholder services
fees payable (Class B
Shares) 403 3,346 179 369 942 130
12b-1 fees payable
(Class B Shares) 1,207 10,039 535 1,000 294 465
Dividends payable 12,325 56,544 111 1,568 712 2,797
Payable for fund shares
redeemed 4,531 63,739 -- -- 3,817 --
Other payables and ac-
crued expenses 15,526 26,690 7,227 11,752 25,841 8,770
- ---------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 432,952 1,107,141 127,172 109,885 240,775 487,707
- ---------------------------------------------------------------------------------------------------------
NET ASSETS $593,679,600 $1,448,676,385 $259,058,041 $131,260,895 $90,132,618 $68,442,132
- ---------------------------------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
Pegasus Funds
6
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE SHORT MULTI SECTOR INTERNATIONAL HIGH
BOND BOND BOND BOND BOND YIELD
FUND FUND FUND FUND FUND BOND FUND
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, OFFER-
ING PRICE AND REDEMPTION
PRICE PER SHARE:
CLASS A SHARES:
Net Assets $ 86,340,805 $ 238,038,439 $ 14,082,561 $ 12,159,376 $ 8,888,827 $ 1,574,353
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue,
unlimited number of
shares authorized 8,222,132 22,312,932 1,387,147 1,503,596 906,925 153,979
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value per
share $ 10.50 $ 10.67 $ 10.15 $ 8.09 $ 9.80 $ 10.22
Maximum Sales charge per
share 0.32 (3) 0.50 (2) 0.10 (1) 0.25(3) 0.46 (2) 0.48(2)
- -------------------------------------------------------------------------------------------------------------------------------
Maximum offering price
per share $ 10.82 $ 11.17 $ 10.25 $ 8.34 $ 10.26 $ 10.70
- -------------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Net Assets $ 728,387 $ 6,097,242 $ 273,648 $ 603,757 $ 145,004 $ 234,824
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue,
unlimited number of
shares authorized 69,980 571,538 27,205 74,393 14,685 22,931
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value per
share $ 10.41 $ 10.67 $ 10.06 $ 8.12 $ 9.87 $ 10.24
- -------------------------------------------------------------------------------------------------------------------------------
CLASS I SHARES:
Net Assets $506,610,408 $1,204,540,704 $244,701,832 $118,497,762 $ 81,098,787 $66,632,955
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue,
unlimited number of
shares authorized 48,223,568 112,881,477 24,119,996 14,643,039 8,226,968 6,465,920
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value per
share $ 10.51 $ 10.67 $ 10.15 $ 8.09 $ 9.86 $ 10.31
- -------------------------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET AS-
SETS:
Shares of beneficial in-
terest, at par $ 5,651,568 $ 13,576,595 $ 2,553,435 $ 1,622,103 $ 914,858 $ 664,283
Additional paid-in capi-
tal 581,965,194 1,392,882,653 255,365,610 123,488,970 94,682,936 67,278,089
Accumulated undistrib-
uted net investment in-
come (loss) (346,450) 33,049 (116,476) 29,174 282,542 84,865
Accumulated undistrib-
uted net realized gains
(losses) (8,453,781) (22,091,601) 205,305 1,669,946 (539,714) 177,745
Net unrealized apprecia-
tion on investments 14,863,069 64,275,689 1,050,167 4,450,702 4,803,204 237,150
Net unrealized deprecia-
tion of assets and lia-
bilities denominated in
foreign
currencies -- -- -- -- (10,011,208) --
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $593,679,600 $1,448,676,385 $259,058,041 $131,260,895 $ 90,132,618 $68,442,132
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1)Maximum sales charge is 1.00% of Maximum Offering Price per share.
(2)Maximum sales charge is 4.50% of Maximum Offering Price per share.
(3)Maximum sales charge is 3.00% of Maximum Offering Price per share.
See accompanying Notes to Financial Statements.
Pegasus Funds
7
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHORT INTERMEDIATE MICHIGAN
MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL
BOND FUND BOND FUND BOND FUND BOND FUND
-------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investment in securities:
At cost $412,563,862 $11,470,926 $435,512,398 $ 94,544,611
- -------------------------------------------------------------------------------
At value (Note 2) $438,193,064 $11,514,920 $454,484,024 $ 98,867,070
Cash -- -- -- 4,189
Receivable for fund shares
sold 193,000 -- 1,500 68,138
Income receivable 6,813,832 157,205 7,459,310 1,202,269
Deferred organization
costs, net (Note 2) 2,810 37,675 16,492 --
Prepaids and other assets 104,013 23,472 49,109 26,540
- -------------------------------------------------------------------------------
TOTAL ASSETS 445,306,719 11,733,272 462,010,435 100,168,206
- -------------------------------------------------------------------------------
LIABILITIES:
Payable for securities pur-
chased 149,941 1,028,922 6,967,873 20,000
Accrued investment advisory
fees 112,783 3,077 145,918 32,206
Accrued transfer and divi-
dend disbursing agent fees 1,076 213 1,239 2,143
Accrued custodial fees 1,919 1,476 3,179 1,602
Administration fees payable 48,558 1,154 53,790 12,077
Shareholder services fees
payable (Class A Shares) 24,021 14 12,459 11,776
Shareholder services fees
payable (Class B Shares) 1,015 -- 516 639
12b-1 fees payable (Class B
Shares) 3,013 -- 1,620 1,915
Dividends payable 52,017 -- 20,013 18,361
Payable for fund shares re-
deemed 16,944 -- -- --
Other payables and accrued
expenses 15,981 2,043 24,422 4,254
- -------------------------------------------------------------------------------
TOTAL LIABILITIES 427,268 1,036,899 7,231,029 104,973
- -------------------------------------------------------------------------------
NET ASSETS $444,879,451 $10,696,373 $454,779,406 $100,063,233
</TABLE>
- --------------------------------------------------------------------------------
See accompanying Notes to Financial Statements.
Pegasus Funds
8
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHORT INTERMEDIATE MICHIGAN
MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL
BOND FUND BOND FUND BOND FUND BOND FUND
---------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, OFFER-
ING PRICE AND REDEMPTION
PRICE PER SHARE:
CLASS A SHARES:
Net Assets $ 40,156,768 $ 72,967 $ 20,176,884 $ 18,692,737
Shares of beneficial
interest issued and
outstanding, $0.10 par
value, unlimited number
of shares authorized 3,124,215 7,245 1,640,534 1,706,520
- -----------------------------------------------------------------------------------
Net asset value per
share $ 12.85 $ 10.07 $ 12.30 $ 10.95
Maximum sales charge per
share(1) 0.61 0.47(3) 0.38(2) 0.52
- -----------------------------------------------------------------------------------
Maximum offering price
per share $ 13.46 $ 10.54 $ 12.68 $ 11.47
- -----------------------------------------------------------------------------------
CLASS B SHARES:
Net Assets $ 1,757,634 $ 100 $ 800,830 $ 1,436,391
Shares of beneficial
interest issued and
outstanding, $0.10 par
value, unlimited number
of shares authorized 136,862 10 65,162 135,407
- -----------------------------------------------------------------------------------
Net asset value per
share $ 12.84 $ 10.00 $ 12.29 $ 10.61
- -----------------------------------------------------------------------------------
CLASS I SHARES:
Net Assets $402,965,049 $10,623,306 $433,801,692 $ 79,934,105
Shares of beneficial
interest issued and
outstanding, $0.10 par
value, unlimited number
of shares authorized 31,369,953 1,053,205 35,260,701 7,298,664
- -----------------------------------------------------------------------------------
Net asset value per
share $ 12.85 $ 10.09 $ 12.30 $ 10.95
- -----------------------------------------------------------------------------------
COMPOSITION OF NET AS-
SETS:
Shares of beneficial in-
terest, at par $ 3,463,103 $ 106,046 $ 3,696,640 $ 914,059
Additional paid-in capi-
tal 414,514,341 10,532,383 431,767,870 94,955,144
Accumulated undistrib-
uted net investment in-
come 528,427 11,883 64,700 73,954
Accumulated undistrib-
uted net realized gains
(losses) 744,378 2,067 278,570 (202,383)
Net unrealized apprecia-
tion on investments 25,629,202 43,994 18,971,626 4,322,459
- -----------------------------------------------------------------------------------
TOTAL NET ASSETS $444,879,451 $10,696,373 $454,779,406 $100,063,233
- -----------------------------------------------------------------------------------
</TABLE>
(1) Maximum sales charges are 4.50% of Maximum Offering Price per share unless
otherwise noted.
(2) Maximum sales charge is 3.00% of Maximum Offering Price per share.
(3) Maximum sales charge is 1.00% of Maximum Offering Price per share.
See accompanying Notes to Financial Statements.
Pegasus Funds
9
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Six Months Ended June 30, 1998 (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 (NOTE
2)
Interest $2,776,935 $ 4,307,233 $179,323 $ 1,288,136 $ 63,774 $ 680,466
Dividends 303,100 940,681 93,073 5,285,855 2,260,859 3,537,746
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 3,080,035 5,247,914 272,396 6,573,991 2,324,633 4,218,212
- ---------------------------------------------------------------------------------------------------------------------
EXPENSES (NOTES 2, 3 AND
5):
Investment advisory fee 408,182 857,694 56,789 795,419 2,098,794 3,339,295
Administration fees 94,196 197,929 13,105 238,626 524,698 834,824
Shareholder services
fees (Class A Shares) 121,003 193,243 9,455 16,456 117,992 355,597
Shareholder services
fees (Class B Shares) 22,184 16,709 10,516 4,425 3,842 6,701
12b-1 fees (Class B
Shares) 66,552 50,127 31,547 13,275 11,527 20,103
Professional fees 14,484 19,051 12,205 17,914 21,655 27,618
Custodian fees 23,735 34,166 19,771 27,689 42,841 66,201
Transfer and dividend
disbursing agent fees 118,319 315,642 9,732 16,562 106,486 521,354
Amortization of
deferred organization
costs 9,050 4,590 -- 7,580 7,401 --
Registration, filing
fees and other expenses 38,751 58,903 14,172 9,623 33,230 134,169
Less: Expense
reimbursement (79,614) (169,430) (38,809) -- -- --
- ---------------------------------------------------------------------------------------------------------------------
NET EXPENSES 836,842 1,578,624 138,483 1,147,569 2,968,466 5,305,862
- ---------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME
(LOSS) 2,243,193 3,669,290 133,913 5,426,422 (643,833) (1,087,650)
- ---------------------------------------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gains on:
Investment transactions 2,435,818 9,154,521 567,182 15,331,938 42,245,908 58,155,469
Financial futures -- -- -- -- 409,432 2,418,624
Net change in unrealized
appreciation
(depreciation) on
investment securities
and financial futures 1,599,813 2,805,211 287,782 (8,479,760) 91,065,683 18,915,897
- ---------------------------------------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAINS ON
INVESTMENTS 4,035,631 11,959,732 854,964 6,852,178 133,721,023 79,489,990
- ---------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET
ASSETS FROM OPERATIONS $6,278,824 $15,629,022 $988,877 $12,278,600 $133,077,190 $78,402,340
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
Pegasus Funds
10
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Six Months Ended June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP INTERNATIONAL
OPPORTUNITY INTRINSIC VALUE GROWTH AND VALUE EQUITY INDEX EQUITY
FUND FUND FUND FUND FUND
---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 2)
Interest $ 289,442 $ 2,221,389 $ 1,082,192 $ 66,667 $ 1,337,881
Dividends 396,953 8,230,271 7,922,268 6,913,424 6,919,768*
- ------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 686,395 10,451,660 9,004,460 6,980,091 8,257,649
- ------------------------------------------------------------------------------------------------------
EXPENSES (NOTES 2, 3 AND
5):
Investment advisory fees 998,941 2,025,631 3,442,453 463,581 2,276,027
Administration fees 214,059 506,408 860,613 695,372 426,755
Shareholder services fees
(Class A Shares) 35,254 147,308 304,554 299,201 46,275
Shareholder services fees
(Class B Shares) 3,521 5,369 9,246 2,519 2,647
12b-1 fees (Class B
Shares) 10,564 16,108 27,739 7,557 7,941
Professional fees 15,446 20,882 28,621 24,157 31,344
Custodian fees 28,250 44,188 66,253 58,595 239,383
Transfer and dividend
disbursing agent fees 40,034 165,264 397,207 400,460 47,836
Amortization of deferred
organization costs 7,421 -- -- -- 6,221
Registration, filing fees
and other expenses 23,837 44,085 129,675 202,910 50,915
Less: Expense
reimbursement -- -- (32,656) (59,921) --
- ------------------------------------------------------------------------------------------------------
NET EXPENSES 1,377,327 2,975,243 5,233,705 2,094,431 3,135,344
- ------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME
(LOSS) (690,932) 7,476,417 3,770,755 4,885,660 5,122,305
- ------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED
GAINS (LOSSES) ON
INVESTMENTS
AND FOREIGN CURRENCY
TRANSACTIONS:
Net realized gains (losses)
on:
Investment transactions 11,127,791 14,695,972 61,549,050 20,424,184 (14,287,460)
Financial Futures (556,066) 2,312,821 4,878,273 -- (460,809)
Foreign currency
transactions -- -- -- -- 1,081,069
Net change in unrealized
appreciation/(depreciation)
on:
Investment securities and
financial futures 1,750,488 5,239,128 20,972,378 120,702,402 80,423,444
Assets and liabilities
denominated in foreign
currencies -- -- -- -- (1,305,010)
- ------------------------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAINS ON
INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS 12,322,213 22,247,921 87,399,701 141,126,586 65,451,231
- ------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $11,631,281 $29,724,338 $91,170,456 $146,012,246 $70,573,536
- ------------------------------------------------------------------------------------------------------
</TABLE>
*Net of foreign taxes withheld of $686,734.
See accompanying Notes to Financial Statements.
Pegasus Funds
11
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Six Months Ended June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTI
INTERMEDIATE SHORT SECTOR INTERNATIONAL HIGH YIELD
BOND FUND BOND FUND BOND FUND BOND FUND BOND FUND BOND FUND
----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE
2)
Interest $18,418,293 $45,310,873 $7,789,885 $4,481,932 $ 2,652,980* $2,494,999
Dividends -- -- -- -- 3,042 121,579
- ----------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 18,418,293 45,310,873 7,789,885 4,481,932 2,656,022 2,616,578
- ----------------------------------------------------------------------------------------------------
EXPENSES (NOTES 2, 3 AND
5):
Investment advisory
fees 1,107,234 2,670,788 452,408 271,441 311,525 205,711
Administration fees 415,213 1,001,545 193,889 101,791 66,755 44,081
Shareholder services
fees (Class A Shares) 100,464 230,478 15,865 14,330 9,512 1,094
Shareholder services
fees (Class B Shares) 734 5,746 347 693 175 191
12b-1 fees (Class B
Shares) 2,202 17,240 1,040 2,079 526 572
Professional fees 25,701 35,279 17,527 16,291 19,259 13,676
Custodian fees 46,720 83,998 24,506 11,711 55,770 10,951
Transfer and dividend
disbursing agent fees 119,289 261,650 19,773 26,847 16,295 1,102
Amortization of de-
ferred organization
costs -- -- -- 4,887 6,878 2,498
Registration, filing
fees and other expenses 83,569 137,517 53,372 10,603 12,769 26,190
Less: Expense reim-
bursement -- -- (16,174) -- (81,902) (28,453)
- ----------------------------------------------------------------------------------------------------
NET EXPENSES 1,901,126 4,444,241 762,553 460,673 417,562 277,613
- ----------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 16,517,167 40,866,632 7,027,332 4,021,259 2,238,460 2,338,965
- ----------------------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAINS (LOSS-
ES) ON
INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
- ----------------------------------------------------------------------------------------------------
Net realized gains
(losses) on:
Investment transactions 66,342 508,104 206,899 1,693,670 (351,084) 185,714
Foreign currency trans-
actions -- -- -- -- (164,953) --
Net change in unrealized
appreciation (deprecia-
tion) on:
Investment securities 1,705,817 9,249,153 (52,043) (708,561) 1,031,760 (371,491)
Assets and liabilities
denominated in foreign
currencies -- -- -- -- (1,387,151) --
- ----------------------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAINS (LOSS-
ES) ON INVESTMENTS
AND FOREIGN CURRENCY
TRANSACTIONS 1,772,159 9,757,257 154,856 985,109 (871,428) (185,777)
- ----------------------------------------------------------------------------------------------------
NET INCREASE IN NET AS-
SETS FROM OPERATIONS $18,289,326 $50,623,889 $7,182,188 $5,006,368 $ 1,367,032 $2,153,188
- ----------------------------------------------------------------------------------------------------
</TABLE>
*Net of foreign taxes withheld of $8,074.
See accompanying Notes to Financial Statements.
Pegasus Funds
12
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Six Months Ended June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHORT INTERMEDIATE MICHIGAN
MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL
BOND BOND BOND BOND
FUND FUND(1) FUND FUND
---------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 2)
Interest $10,778,050 $64,813 10,297,441 $2,402,544
- -------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 10,778,050 64,813 10,297,441 2,402,544
- -------------------------------------------------------------------------------
EXPENSES (NOTES 2, 3 AND 5):
Investment advisory fee 808,429 5,304 815,792 178,574
Administration fees 303,161 1,989 305,922 66,965
Shareholder services fees
(Class A Shares) 45,801 14 24,154 23,353
Shareholder services fees
(Class B Shares) 1,852 -- 955 1,186
12b-1 fees (Class B Shares) 5,557 -- 2,864 3,557
Professional fees 19,934 1,200 18,170 14,106
Custodian fees 28,305 3,270 26,274 9,806
Transfer and dividend dis-
bursing agent fees 14,568 75 9,765 8,323
Amortization of deferred
organization costs 724 767 5,972 --
Registration, filing fees
and other expenses 86,786 1,028 27,623 29,920
Less: Expense reimbursement -- (5,594) -- (13,410)
- -------------------------------------------------------------------------------
NET EXPENSES 1,315,117 8,053 1,237,491 322,380
- -------------------------------------------------------------------------------
NET INVESTMENT INCOME 9,462,933 56,760 9,059,950 2,080,164
- -------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED
GAINS (LOSSES) ON INVEST-
MENTS AND FOREIGN CURRENCY
TRANSACTIONS:
Net realized gains (losses)
on investment transactions 1,051,755 2,067 276,327 65,158
Net change in unrealized ap-
preciation (depreciation) on
investment securities (1,132,435) 43,994 (470,858) 153,127
- -------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED
GAINS (LOSSES) ON INVEST-
MENTS AND FOREIGN CURRENCY
TRANSACTIONS: (80,680) 46,061 (194,531) 218,285
- -------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $9,382,253 $102,821 $8,865,419 $2,298,449
- -------------------------------------------------------------------------------
</TABLE>
(1)For the period May 1, 1998 (commencement of operations) through June 30,
1998.
See accompanying Notes to Financial Statements.
Pegasus Funds
13
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MANAGED ASSETS MANAGED ASSETS MANAGED ASSETS
CONSERVATIVE BALANCED GROWTH
FUND FUND FUND
---------------------------------------------------------------------------
Six Months Six Months
Ended Ended Six Months
June 30, Year Ended June 30, Year Ended Ended Year Ended
1998 Dec. 31, 1998 Dec. 31, June 30, 1998 Dec.
(Unaudited) 1997 (Unaudited) 1997 (Unaudited) 31,1997
---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 2,243,193 $ 3,449,327 $ 3,669,290 $ 6,042,494 $ 133,913 $ 75,049
Net realized gains on
investment transactions 2,435,818 10,320,662 9,154,521 34,007,379 567,182 655,347
Net change in
unrealized appreciation
(depreciation) on
investments 1,599,813 (2,350,245) 2,805,211 (7,432,886) 287,782 (8,420)
- ------------------------------------------------------------------------------------------------------------
Net increase in net as-
sets from operations 6,278,824 11,419,744 15,629,022 32,616,987 988,887 721,976
- ------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHARE-
HOLDERS (NOTE 2):
From net investment in-
come
Class A Shares (1,848,665) (2,888,131) (2,320,941) (2,416,016) (72,842) (35,453)
Class B Shares (284,618) (264,207) (141,547) (95,876) (55,847) (22,220)
Class I Shares (224,669) (251,568) (1,467,813) (3,393,246) (14,773) (14,555)
- ------------------------------------------------------------------------------------------------------------
Total distributions
from net investment in-
come (2,357,952) (3,403,906) (3,930,301) (5,905,138) (143,462) (72,228)
- ------------------------------------------------------------------------------------------------------------
From realized gains
Class A Shares (4,413,070) (9,151,629) (8,791,223) (11,944,679) (211,217) (76,865)
Class B Shares (956,057) (1,158,029) (731,665) (721,797) (246,016) (85,740)
Class I Shares (533,092) (912,087) (4,835,876) (9,490,570) (36,553) (20,902)
- ------------------------------------------------------------------------------------------------------------
Total distributions
from realized gains (5,902,219) (11,221,745) (14,358,764) (22,157,046) (493,786) (183,507)
- ------------------------------------------------------------------------------------------------------------
Total distributions to
shareholders (8,260,171) (14,625,651) (18,289,065) (28,062,184) (637,248) (255,735)
- ------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold 31,960,195 56,042,633 53,702,342 186,676,562 9,075,944 12,257,921
Net asset value of
shares issued in rein-
vestment of distribu-
tions to shareholders 8,001,893 14,019,019 18,045,293 25,044,722 597,435 216,893
- ------------------------------------------------------------------------------------------------------------
39,962,088 70,061,652 71,747,635 211,721,284 9,673,379 12,474,814
Less: payments for
shares redeemed (17,517,326) (28,871,617) (45,730,753) (92,665,003) (1,216,093) (536,321)
- ------------------------------------------------------------------------------------------------------------
Net increase in net as-
sets from capital share
transactions 22,444,762 41,190,035 26,016,882 119,056,281 8,457,286 11,938,493
- ------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET AS-
SETS 20,463,415 37,984,128 23,356,839 123,611,084 8,808,915 12,404,734
NET ASSETS:
Beginning of period 114,522,502 76,538,374 253,871,836 130,260,752 13,091,043 686,309
- ------------------------------------------------------------------------------------------------------------
End of period $134,985,917 $114,522,502 $277,228,675 $253,871,836 $21,899,958 $13,091,043
- ------------------------------------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
Pegasus Funds
14
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY INCOME FUND GROWTH FUND MID-CAP OPPORTUNITY FUND
--------------------------------------------------------------------
Six Months Six Months
Ended Ended Six Months
June Year Ended June Year Ended Ended
30, 1998 Dec. 31, 30, 1998 Dec. 31, June 30, 1998 Year Ended
(Unaudited) 1997 (Unaudited) 1997 (Unaudited) Dec. 31, 1997
--------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income
(loss) $ 5,426,422 $ 9,995,130 $ (643,833) $ 900,808 $ (1,087,650) $ 76,143
Net realized gains on
investment transactions
and financial futures 15,331,938 49,970,226 42,655,340 38,532,531 60,574,093 75,611,514
Net change in
unrealized appreciation
(depreciation) on in-
vestments and financial
futures (8,479,760) 3,000,172 91,065,683 104,439,823 18,915,897 143,184,993
- ----------------------------------------------------------------------------------------------------------------
Net increase in net as-
sets from operations 12,278,600 62,965,528 133,077,190 143,873,162 78,402,340 218,872,650
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHARE-
HOLDERS (NOTE 2):
From net investment in-
come
Class A Shares (214,466) (397,886) (175) (9,209) (379) --
Class B Shares (44,994) (50,051) -- -- -- --
Class I Shares (5,359,692) (9,614,170) -- (905,808) -- (76,268)
- ----------------------------------------------------------------------------------------------------------------
Total distributions
from net investment in-
come (5,619,152) (10,062,107) (175) (915,017) (379) (76,268)
- ----------------------------------------------------------------------------------------------------------------
From realized gains
Class A Shares (791,081) (2,206,498) (6,693,734) (3,354,983) (16,417,977) (15,608,413)
Class B Shares (226,136) (503,410) (248,827) (110,626) (714,014) (430,754)
Class I Shares (17,872,287) (54,205,468) (38,254,403) (35,824,761) (45,806,399) (56,800,760)
- ----------------------------------------------------------------------------------------------------------------
Total distributions
from realized gains (18,889,504) (56,915,376) (45,196,964) (39,290,370) (62,938,390) (72,839,927)
- ----------------------------------------------------------------------------------------------------------------
Total distributions to
shareholders (24,508,656) (66,977,483) (45,197,139) (40,205,387) (62,938,769) (72,916,195)
- ----------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold 13,788,413 36,443,621 60,633,737 120,290,702 160,606,189 340,892,729
Proceeds from shares
issued in connection
with merger 29,377,262 -- 97,388,726 228,354,666 14,935,571 --
Net asset value of
shares issued in rein-
vestment of distribu-
tions to shareholders 16,857,972 37,045,422 38,176,119 26,835,283 58,023,458 60,563,640
- ----------------------------------------------------------------------------------------------------------------
60,023,647 73,489,043 196,198,582 147,125,985 233,565,218 401,456,369
Less: payments for
shares redeemed (39,472,656) (78,967,179) (79,575,834) (165,354,759) (144,726,767) (275,036,455)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets from cap-
ital share transactions 20,550,991 (5,478,136) 116,622,748 (18,228,774) 88,838,451 126,419,914
- ----------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS 8,320,935 (9,490,091) 204,502,799 85,439,001 104,302,022 272,376,369
NET ASSETS:
Beginning of period 319,999,689 329,489,780 643,212,383 557,773,382 1,041,654,397 769,278,028
- ----------------------------------------------------------------------------------------------------------------
End of period $328,320,624 $319,999,689 $847,715,182 $643,212,383 $1,145,956,419 $1,041,654,397
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
Pegasus Funds
15
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL-CAP OPPORTUNITY
FUND INTRINSIC VALUE FUND GROWTH AND VALUE FUND
-----------------------------------------------------------------------
Six Months Six Months
Ended Ended Six Months
June 30, Year Ended June 30, Year Ended Ended
1998 Dec. 31, 1998 Dec. 31, June 30, 1998 Year Ended
(Unaudited) 1997 (Unaudited) 1997 (Unaudited) Dec. 31, 1997
-----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income
(loss) $ (690,932) $ (819,006) $ 7,476,417 $ 9,255,561 $ 3,770,755 $ 8,392,917
Net realized gains on
investment transactions
and financial futures 10,571,725 23,580,300 17,008,793 51,424,041 66,427,323 83,059,077
Net change in
unrealized appreciation
on investments and fi-
nancial futures 1,750,488 23,977,959 5,239,128 49,889,271 20,972,378 139,970,312
- ----------------------------------------------------------------------------------------------------------------
Net increase in net as-
sets from operations 11,631,281 46,739,253 29,724,338 110,568,873 91,170,456 231,422,306
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHARE-
HOLDERS (NOTE 2):
From net investment in-
come
Class A Shares (189) (10) (1,306,662) (824,689) (665,775) (717,201)
Class B Shares -- -- (58,007) (29,657) (15,012) (13,664)
Class I Shares -- (90) (6,452,751) (8,168,777) (3,374,627) (7,818,526)
- ----------------------------------------------------------------------------------------------------------------
Total distributions
from net investment in-
come (189) (100) (7,817,420) (9,023,123) (4,055,414) (8,549,391)
- ----------------------------------------------------------------------------------------------------------------
From realized gains
Class A Shares (408,876) (1,940,280) (1,495,637) (5,568,447) (10,573,869) (12,290,204)
Class B Shares (46,328) (140,872) (82,152) (275,342) (602,539) (544,023)
Class I Shares (3,499,880) (21,480,150) (6,112,348) (38,037,383) (37,007,198) (78,740,173)
- ----------------------------------------------------------------------------------------------------------------
Total distributions
from realized gains (3,955,084) (23,561,402) (7,690,137) (43,881,172) (48,183,606) (91,574,400)
- ----------------------------------------------------------------------------------------------------------------
Total distributions to
shareholders (3,955,273) (23,561,402) (15,507,557) (52,904,295) (52,239,020) (100,123,791)
- ----------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold 95,163,655 96,892,647 124,679,372 253,810,170 226,229,117 345,503,243
Proceeds from shares
issued in connection
with merger -- -- -- -- 48,560,921 --
Net asset value of
shares issued in rein-
vestment of distribu-
tions to shareholders 3,097,547 13,802,550 11,158,853 42,141,699 44,063,949 71,311,316
- ----------------------------------------------------------------------------------------------------------------
98,261,202 110,695,197 135,838,225 295,951,869 318,853,987 416,814,559
Less: payments for
shares redeemed (19,865,086) (24,978,895) (93,085,337) (107,487,017) (193,482,450) (277,887,120)
- ----------------------------------------------------------------------------------------------------------------
Net increase in net as-
sets from capital share
transactions 78,396,116 85,716,302 42,752,888 188,464,852 125,371,537 138,927,439
- ----------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET AS-
SETS 86,072,124 108,894,153 56,969,669 246,129,430 164,302,973 270,225,954
NET ASSETS:
Beginning of period 241,542,237 132,648,084 626,040,947 379,911,517 1,063,067,814 792,841,860
- ----------------------------------------------------------------------------------------------------------------
End of period $327,614,361 $241,542,237 $683,010,616 $626,040,947 $1,227,370,787 $1,063,067,814
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
Pegasus Funds
16
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY INDEX FUND INTERNATIONAL EQUITY FUND
-----------------------------------------------
Six Months Six Months
Ended Ended
June 30, 1998 Year Ended June 30, 1998 Year Ended
(Unaudited) December 31, 1997 (Unaudited) December 31, 1997
-----------------------------------------------
<S> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 4,885,660 $ 10,775,328 $ 5,122,305 $ 4,872,280
Net realized gains
(losses) on investment,
financial futures and
foreign currency trans-
actions 20,424,184 137,682,393 (13,667,200) (7,365,462)
Net change in
unrealized appreciation
on investments, finan-
cial futures and for-
eign currency transla-
tion 120,702,402 69,490,136 79,118,431 22,818,587
- ------------------------------------------------------------------------------------------
Net increase in net as-
sets from operations 146,012,246 217,947,857 70,573,536 20,325,405
- ------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHARE-
HOLDERS (NOTE 2):
From net investment in-
come
Class A Shares (1,101,194) (1,287,874) (335,291) (158,687)
Class B Shares (10,658) (13,913) (15,413) (7,361)
Class I Shares (3,700,705) (9,815,475) (4,717,204) (4,474,343)
- ------------------------------------------------------------------------------------------
Total distributions
from net investment in-
come (4,812,557) (11,117,262) (5,067,908) (4,640,391)
- ------------------------------------------------------------------------------------------
From realized gains
Class A Shares (1,644,640) (4,544,532) -- --
Class B Shares (26,097) (59,025) -- --
Class I Shares (4,089,881) (17,429,543) -- --
- ------------------------------------------------------------------------------------------
Total distributions
from realized gains (5,760,618) (22,033,100) -- --
- ------------------------------------------------------------------------------------------
Total distributions to
shareholders (10,573,175) (33,150,362) (5,067,908) (4,640,391)
- ------------------------------------------------------------------------------------------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold 136,399,028 315,400,642 72,898,895 163,775,810
Proceeds from shares
issued in connection
with merger -- -- -- 25,851,101
Net asset value of
shares issued in rein-
vestment of distribu-
tions to shareholders 7,748,206 22,770,868 1,878,933 1,647,758
- ------------------------------------------------------------------------------------------
144,147,234 338,171,511 74,777,828 191,274,669
Less: payments for
shares redeemed (133,342,099) (557,739,568) (57,709,683) (92,471,044)
- ------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets from cap-
ital share transactions 10,805,135 (219,568,057) 17,068,144 98,803,625
- ------------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS 146,244,206 (34,770,563) 82,573,773 114,488,639
NET ASSETS:
Beginning of period 835,046,087 869,816,650 516,452,867 401,964,228
- ------------------------------------------------------------------------------------------
End of period $981,290,293 $835,046,087 $599,026,639 $516,452,867
- ------------------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
Pegasus Funds
17
<PAGE>
THE PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND BOND FUND SHORT BOND FUND
------------------------------------------------------------------------
Six Months Six Months Six Months
Ended Ended Ended
June 30, 1998 Year Ended June 30, 1998 Year Ended June 30, 1998 Year Ended
(Unaudited) Dec. 31, 1997 (Unaudited) Dec. 31, 1997 (Unaudited) Dec. 31, 1997
------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 16,517,167 $ 29,517,324 $ 40,866,632 $ 65,309,976 $ 7,027,332 $ 11,395,674
Net realized gains on
investment transactions 66,342 452,863 508,104 800,544 206,899 144,722
Net change in
unrealized appreciation
(depreciation) on in-
vestments 1,705,817 8,278,943 9,249,153 34,887,256 (52,043) 864,560
- -------------------------------------------------------------------------------------------------------------------
Net increase in net as-
sets from operations 18,289,326 38,249,130 50,623,889 100,997,776 7,182,188 12,404,956
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS (NOTE 2):
From net investment in-
come
Class A Shares (2,415,775) (1,482,724) (5,614,300) (4,500,480) (342,968) (104,124)
Class B Shares (15,670) (12,737) (122,286) (73,502) ((6,641) (5,587)
Class I Shares (14,543,060) (27,921,135) (35,312,230) (60,755,009) (6,833,859) (11,327,998)
- -------------------------------------------------------------------------------------------------------------------
Total distributions
from net investment in-
come (16,974,505) (29,416,596) (41,048,816) (65,328,991) (7,183,468) (11,437,709)
- -------------------------------------------------------------------------------------------------------------------
From realized gains
Class A Shares -- -- -- -- (4,895) (1,700)
Class B Shares -- -- -- -- (95) (150)
Class I Shares -- -- -- -- (87,099) (167,344)
- -------------------------------------------------------------------------------------------------------------------
Total distributions
from realized gains -- -- -- -- (92,089) (169,194)
- -------------------------------------------------------------------------------------------------------------------
Total distributions in
excess to shareholders (16,974,505) (29,416,596) (41,048,816) (65,328,991) (7,275,557) (11,606,903)
- -------------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold 125,334,804 213,559,882 360,705,259 525,891,556 73,300,023 136,214,007
Proceeds from shares
issued in connection
with merger 6,897,367 -- -- -- -- --
Net asset value of
shares issued in rein-
vestment of distribu-
tions to shareholders 9,205,210 17,877,864 23,286,318 36,740,089 2,869,049 4,626,060
- -------------------------------------------------------------------------------------------------------------------
141,437,381 231,437,746 383,991,577 562,631,645 76,169,072 140,840,067
Less: payments for
shares redeemed (74,479,405) (128,414,182) (175,692,829) (172,381,516) (57,268,199) (73,903,614)
- -------------------------------------------------------------------------------------------------------------------
Net increase in net as-
sets from capital share
transactions 66,957,976 103,023,564 208,298,748 390,250,129 18,900,873 66,936,453
- -------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET
ASSETS 68,272,797 111,856,098 217,873,820 425,918,914 18,807,504 67,734,506
NET ASSETS:
Beginning of period 525,406,803 413,550,705 1,230,802,565 804,883,651 240,250,537 172,516,031
- -------------------------------------------------------------------------------------------------------------------
End of period $593,679,600 $525,406,803 $1,448,676,385 $1,230,802,565 $259,058,041 $240,250,537
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
Pegasus Funds
18
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTI SECTOR BOND FUND INTERNATIONAL BOND FUND HIGH YIELD BOND FUND
-------------------------------------------------------------------
Six Months Six Months Six Months
Ended Year Ended Ended Year Ended Ended
June 30, 1998 Dec. 31, June 30, 1998 Dec. 31, June 30, 1998 Period Ended
(Unaudited) 1997 (Unaudited) 1997 (Unaudited) Dec. 31, 1997(1)
-------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 4,021,259 $ 8,532,835 $ 2,238,460 $ 3,808,873 $ 2,338,965 $ 1,276,922
Net realized gains
(losses) on investment
transactions 1,693,670 263,190 (516,037) (342,342) 185,714 22,645
Net change in
unrealized appreciation
(depreciation) on
investments and foreign
currency translation (708,561) 1,982,422 (355,391) (6,075,834) (371,491) 608,641
- ---------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets from op-
erations 5,006,368 10,778,447 1,367,032 (2,609,303) 2,153,188 1,908,208
- ---------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHARE-
HOLDERS (NOTE 2):
From net investment in-
come
Class A Shares (324,770) (482,924) (171,409) (175,385) (35,675) (5,259)
Class B Shares (11,588) (22,582) (2,661) (2,562) (5,409) (955)
Class I Shares (3,738,671) (8,031,340) (1,879,441) (3,213,081) (2,238,746) (1,244,978)
- ---------------------------------------------------------------------------------------------------------------
Total distributions
from net investment in-
come (4,075,029) (8,536,846) (2,053,511) (3,391,028) (2,279,830) (1,251,192)
- ---------------------------------------------------------------------------------------------------------------
From realized gains
Class A Shares -- (18,808) -- (1,440) -- (127)
Class B Shares -- (1,207) -- (25) -- (20)
Class I Shares -- (230,025) -- (23,686) -- (22,498)
- ---------------------------------------------------------------------------------------------------------------
Total distributions
from realized gains (250,040) -- (25,151) -- (22,645)
- ---------------------------------------------------------------------------------------------------------------
Distributions in excess
of realized gains
Class A Shares -- -- -- -- -- (45)
Class B Shares -- -- -- -- -- (7)
Class I Shares -- -- -- -- -- (7,917)
- ---------------------------------------------------------------------------------------------------------------
Total distributions in
excess of realized
gains -- -- -- -- -- (7,969)
- ---------------------------------------------------------------------------------------------------------------
Total distributions to
shareholders (4,075,029) (8,786,886) (2,053,511) (3,416,179) (2,279,830) (1,281,806)
- ---------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold 21,378,036 10,311,300 10,936,793 45,230,134 20,832,461 50,855,077
Proceeds from shares
issued in connection
with merger 46,376,717 -- -- -- -- --
Net asset value of
shares issued in rein-
vestment of distribu-
tions to shareholders 1,297,696 724,616 1,020,404 1,766,090 695,530 373,896
- ---------------------------------------------------------------------------------------------------------------
69,052,449 11,035,916 11,957,197 46,996,224 21,527,991 51,228,973
Less: payments for
shares redeemed (41,631,684) (106,530,429) (9,517,780) (8,488,101) (2,756,231) (2,058,361)
- ---------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets from cap-
ital share transactions 27,420,765 (95,494,513) 2,439,417 38,508,123 18,771,760 49,170,612
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS 28,352,104 (93,502,952) 1,752,938 32,482,641 18,645,118 49,797,014
NET ASSETS:
Beginning of period 102,908,791 196,411,743 88,379,681 55,897,040 49,797,014 --
- ---------------------------------------------------------------------------------------------------------------
End of period $ 131,260,895 $102,908,791 $90,132,619 $88,379,681 $68,442,132 $49,797,014
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
(1)For the period June 30, 1997 (commencement of operations) through December
31, 1997.
See accompanying Notes to Financial Statements.
Pegasus Funds
19
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHORT
MUNICIPAL BOND INTERMEDIATE MUNICIPAL BOND MICHIGAN MUNICIPAL BOND
MUNICIPAL BOND FUND FUND FUND FUND
-----------------------------------------------------------------------------------------
Six Months
Ended Six Months Six Months
June 30, Year Ended For the Period Ended Ended Ended
1998 Dec. 31, June 30, 1998 June 30, 1998 Year Ended June 30, 1998 Year Ended
(Unaudited) 1997 (Unaudited)(1) (Unaudited) Dec. 31, 1997 (Unaudited) Dec. 31, 1997
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment
income $ 9,462,933 $ 18,742,515 $ 56,760 $ 9,059,950 $ 18,403,998 $ 2,080,164 $ 3,234,218
Net realized
gains (losses) on
investment trans-
actions 1,051,755 2,051,175 2,067 276,327 2,007,297 65,158 (144,655)
Net change in
unrealized
appreciation (de-
preciation) on
investments (1,132,435) 13,548,913 43,994 (470,858) 7,485,364 153,127 3,140,469
- --------------------------------------------------------------------------------------------------------------------------------
Net increase in
net assets from
operations 9,382,253 34,342,603 102,821 8,865,419 27,896,659 2,298,449 6,230,032
- --------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS (NOTE
2):
From net invest-
ment income
Class A Shares (840,419) (1,484,220) (188) (419,587) (839,467) (419,916) (814,513)
Class B Shares (28,819) (35,945) -- (13,679) (24,367) (18,162) (13,084)
Class I Shares (8,831,663) (17,510,743) (44,689) (8,929,552) (17,763,309) (1,669,087) (2,398,650)
- --------------------------------------------------------------------------------------------------------------------------------
Total distribu-
tions from net
investment income (9,700,901) (19,030,908) (44,877) (9,362,818) (18,627,143) (2,107.165) (3,226,247)
- --------------------------------------------------------------------------------------------------------------------------------
From realized
gains
Class A Shares -- -- -- -- (99,588) -- --
Class B Shares -- -- -- -- (3,661) -- --
Class I Shares -- -- -- -- (1,949,447) -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total distribu-
tions from real-
ized gains -- -- -- -- (2,052,696) -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total distribu-
tions in excess
of realized gains -- -- -- -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total distribu-
tions to share-
holders (9,700,901) (19,030,908) (44,877) (9,362,818) (20,679,839) (2,107.165) (3,226,247)
- --------------------------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from
shares sold 57,140,741 103,257,906 10,609,161 45,410,463 72,832,224 23,433,776 26,314,714
Proceeds from
shares issued in
connection with
merger 21,791,527 -- -- 43,750,365 -- -- --
Net asset value
of shares issued
in reinvestment
of distributions
to shareholders 821,609 1,503,756 29,268 554,434 2,436,698 572,747 987,581
- --------------------------------------------------------------------------------------------------------------------------------
79,753,877 104,761,662 10,638,429 89,715,262 75,268,922 24,006,523 27,302,295
Less: payments
for shares re-
deemed (26,410,779) (96,346,798) -- (31,380,959) (79,173,261) (5,297,524) (9,736,804)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (de-
crease) in net
assets from capi-
tal share trans-
actions 53,343,098 8,414,864 10,638,429 58,334,303 (3,904,339) 18,708,999 17,565,491
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN
NET ASSETS 53,024,450 23,726,559 10,696,373 57,836,904 3,312,481 18,900,283 20,569,276
NET ASSETS:
Beginning of pe-
riod 391,855,001 368,128,442 -- 396,942,502 393,630,021 81,162,950 60,593,674
- --------------------------------------------------------------------------------------------------------------------------------
End of period $444,879,451 $391,855,001 $10,696,373 $ 454,779,406 $ 396,942,502 $100,063,233 $81,162,950
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the period May 1, 1998 (commencement of operations) through June 30,
1998.
See accompanying Notes to Financial Statements.
Pegasus Funds
20
<PAGE>
PEGASUS MANAGED ASSETS CONSERVATIVE FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
MUTUAL FUNDS -- 100.00%
Pegasus Bond Fund...................................... 5,317,009 $ 56,732,483
Pegasus International Bond Fund........................ 1,231,024 12,137,892
Pegasus High Yield Bond Fund........................... 1,176,728 12,132,068
Pegasus Growth Fund.................................... 160,005 2,716,884
Pegasus Growth and Value Fund.......................... 1,113,780 18,889,707
Pegasus International Equity Fund...................... 794,196 10,856,655
Pegasus Intrinsic Value Fund........................... 841,148 13,483,596
Pegasus Mid-Cap Opportunity Fund....................... 257,270 5,446,401
Pegasus Small-Cap Opportunity Fund..................... 163,045 2,757,084
------------
TOTAL MUTUAL FUNDS
(Cost $131,234,165).................................... 135,152,771
------------
TOTAL INVESTMENTS
(Cost $131,234,165).................................... $135,152,771
============
</TABLE>
See Notes to Financial Statements
Pegasus Funds
21
<PAGE>
PEGASUS MANAGED ASSETS BALANCED FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
MUTUAL FUNDS -- 100.00%
Pegasus Bond Fund...................................... 7,271,544 $ 77,587,377
Pegasus Growth Fund.................................... 489,542 8,312,424
Pegasus Growth and Value Fund.......................... 3,430,160 58,175,519
Pegasus High-Yield Bond Fund........................... 1,608,019 16,578,681
Pegasus International Bond Fund........................ 1,682,684 16,591,269
Pegasus International Equity Fund...................... 2,441,029 33,368,867
Pegasus Intrinsic Value Fund........................... 2,591,191 41,536,784
Pegasus Mid-Cap Opportunity............................ 789,009 16,703,313
Pegasus Small-Cap Opportunity Fund..................... 500,179 8,458,024
------------
TOTAL MUTUAL FUNDS
(Cost $269,667,298).................................... 277,312,258
------------
TOTAL INVESTMENTS
(Cost $269,667,298).................................... $277,312,258
============
</TABLE>
See Notes to Financial Statements
Pegasus Funds
22
<PAGE>
PEGASUS MANAGED ASSETS GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
MUTUAL FUNDS -- 100.00%
Pegasus Bond Fund......................................... 286,869 $ 3,060,891
Pegasus Growth Fund....................................... 51,434 873,347
Pegasus Growth and Value Fund............................. 361,073 6,123,802
Pegasus High-Yield Bond Fund.............................. 63,522 654,908
Pegasus International Bond Fund........................... 66,485 655,546
Pegasus International Equity Fund......................... 256,029 3,499,922
Pegasus Intrinsic Value Fund.............................. 272,836 4,373,567
Pegasus Mid-Cap Opportunity Fund.......................... 82,706 1,750,895
Pegasus Small-Cap Opportunity Fund........................ 52,339 885,057
-----------
TOTAL MUTUAL FUNDS
(Cost $21,591,028)........................................ 21,877,936
-----------
TOTAL INVESTMENTS
(Cost $21,591,028)........................................ $21,877,936
===========
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
23
<PAGE>
PEGASUS EQUITY INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 4.50%
Pegasus Cash Management Fund Class I (in shares)...... 14,672,124 $ 14,672,124
------------
(Cost $14,672,124)
CONVERTIBLE BONDS -- 10.56%
NAC RE Corp., 5.25%, 12/15/02......................... $ 3,095,000 3,443,188
Pep Boys, Zero Coupon, 9/20/11........................ 9,400,000 5,158,250
Potomac Electric Power, 5.00%, 9/1/02................. 11,544,000 11,255,400
Roche Holding Inc., Zero Coupon, 5/6/12............... 30,100,000 14,542,213
------------
TOTAL CONVERTIBLE BONDS................................ 34,399,051
------------
(Cost $32,593,383)
<CAPTION>
SHARES
------
<S> <C> <C>
NON-CONVERTIBLE PREFERRED STOCKS -- 5.72%
FINANCE -- 5.72%
Salomon, Inc., 7.625%................................ 391,000 18,626,137
------------
(Cost $10,902,078)
COMMON STOCKS -- 79.22%
AEROSPACE -- 3.46%
Lockheed Martin Corp. ............................... 106,500 11,275,687
------------
APPAREL -- 1.27%
Unifi, Inc. ......................................... 120,800 4,137,400
------------
BANKS -- 2.52%
Pacific Century Financial Corp. ..................... 342,000 8,208,000
------------
CHEMICALS -- 2.51%
NCH Corp. ........................................... 127,800 8,187,188
------------
CONSUMER DURABLES -- 1.14%
National Presto Industries, Inc. .................... 95,400 3,714,638
------------
DOMESTIC OIL -- 2.40%
Atlantic Richfield Co. .............................. 100,200 7,828,125
------------
DRUGS AND MEDICINE -- 2.00%
Block Drug Inc., Class A............................. 62,300 2,367,400
Mid Ocean LTD........................................ 53,000 4,160,500
------------
6,527,900
------------
ENERGY AND UTILITIES -- 6.90%
CINergy Corp. .......................................
Connecticut Energy Corp. ............................ 134,500 3,749,188
Empire District Electric............................. 4,900 102,287
Sierra Pacific Resources............................. 104,000 3,776,500
SJW Corp. ........................................... 11,630 686,170
Southwest Gas Corp. ................................. 179,000 4,374,312
Washington Water Power Co. .......................... 436,500 9,793,969
------------
22,482,426
------------
FOOD AND AGRICULTURE -- 2.96%
Tate & Lyle PLC Sponsored............................ 303,600 9,639,755
------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
24
<PAGE>
PEGASUS EQUITY INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
INSURANCE -- 13.16%
American National Insurance Co. .................... 120,400 $ 12,672,100
Ohio Casualty Corp. ................................ 216,600 9,584,550
Old Republic International Corp. ................... 518,610 15,201,756
RLI Corp. .......................................... 44,000 1,790,250
SAFECO Corp. ....................................... 79,600 3,616,825
------------
42,865,481
------------
INTERNATIONAL OIL -- 7.11%
Amoco Corp. ........................................ 164,000 6,826,500
Mobil Corp. ........................................ 108,600 8,321,475
Texaco, Inc. ....................................... 134,500 8,027,969
------------
23,175,944
------------
LIQUOR -- 3.83%
Diageo PLC.......................................... 259,092 12,484,996
------------
MISCELLANEOUS FINANCE -- 7.63%
Associated Estates Realty........................... 159,900 2,988,131
Federal National Mortgage Association............... 274,600 16,681,950
PXRE Corp. ......................................... 172,600 5,178,000
------------
24,848,081
------------
NON-DURABLES AND ENTERTAINMENT -- 4.34%
Luby's Cafeterias, Inc. ............................ 353,750 6,212,734
Sbarro, Inc. ....................................... 291,800 7,915,075
------------
14,127,809
------------
NON-FERROUS METALS -- 1.08%
De Beers Consolidated Mines Ltd. ................... 4,900 85,750
Phelps Dodge Corp. ................................. 60,000 3,431,250
------------
3,517,000
------------
RAILROADS AND SHIPPING -- 5.83%
Alexander & Baldwin, Inc. .......................... 317,000 9,232,625
Canadian National Railway Co. ...................... 183,443 9,745,409
------------
18,978,034
------------
REAL PROPERTY -- 1.12%
Amli Residential Properties Trust................... 170,000 3,644,375
------------
RETAIL -- 2.22%
Enesco Group, Inc. ................................. 234,800 7,220,100
------------
TIRES AND RUBBER GOODS -- 1.71%
Bandag, Inc., Class A............................... 161,100 5,557,950
------------
</TABLE>
See Notes to Financial Statements
Pegasus Funds
25
<PAGE>
PEGASUS EQUITY INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
TOBACCO -- 6.03%
Loews Corp. ........................................ 107,700 $ 9,383,363
Philip Morris Companies, Inc. ...................... 132,800 5,229,000
UST, Inc. .......................................... 185,640 5,012,280
------------
19,624,643
------------
TOTAL COMMON STOCKS................................... 258,045,532
------------
(Cost $210,508,687)
TOTAL INVESTMENTS..................................... $325,742,844
============
(Cost $268,676,272)
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
26
<PAGE>
PEGASUS GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- 0.68%
Pegasus Cash Management Fund Class I (in shares)...... 5,421,401 $ 5,421,401
U.S. Treasury Bills, 9/17/98 (1)...................... $ 350,000 346,301
------------
TOTAL TEMPORARY CASH INVESTMENTS....................... 5,767,702
------------
(Cost $5,767,702)
<CAPTION>
SHARES
------
<S> <C> <C>
COMMON STOCKS -- 99.32%
BANKS -- 5.39%
Norwest Corp......................................... 438,000 16,370,250
MBNA Corp............................................ 444,000 14,652,000
State Street Boston Corp............................. 210,000 14,595,000
------------
45,617,250
------------
BUSINESS MACHINES -- 12.90%
Cisco System, Inc.*.................................. 292,500 26,928,281
Dell Computer Corp. ................................. 147,000 13,643,438
Microsoft Corp. *.................................... 436,000 47,251,500
Silicon Graphics *................................... 538,000 6,523,250
Sun Microsystems, Inc................................ 340,000 14,768,750
------------
109,115,219
------------
BUSINESS SERVICES -- 5.50%
Cendent Corp.*....................................... 455,000 9,498,125
Computer Associates International, Inc............... 360,000 20,002,500
Interpublic Group of Companies, Inc. ................ 280,500 17,022,844
------------
46,523,469
------------
CHEMICALS -- 1.03%
Praxair, Inc. ....................................... 186,000 8,707,125
------------
CONSUMER DURABLES -- 1.82%
Newell Co............................................ 70,000 3,486,875
Staples, Inc. ....................................... 412,700 11,942,506
------------
15,429,381
------------
DRUGS AND MEDICINE -- 17.71%
American Home Products Corp. ........................ 344,000 17,802,000
Amgen, Inc. *........................................ 270,000 17,651,250
Guidant Corp. ....................................... 194,000 13,834,625
Johnson & Johnson.................................... 170,000 12,537,500
Mylan Laboratories, Inc.............................. 450,000 13,528,125
Pfizer, Inc. ........................................ 204,000 22,172,250
Smithkline Beecham PLC ADR........................... 456,000 27,588,000
Stryker Corp. ....................................... 206,000 7,905,250
United Healthcare Corp............................... 265,000 16,827,500
------------
149,846,500
------------
ELECTRONICS -- 5.84%
Altera Corp.*........................................ 365,000 10,790,312
Intel Corp........................................... 341,000 25,276,625
Lucent Technologies, Inc. ........................... 160,000 13,310,000
------------
49,376,937
------------
ENERGY AND UTILITIES -- 2.20%
AES Corp. *.......................................... 355,000 18,659,688
------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
27
<PAGE>
PEGASUS GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------ ------
<S> <C> <C>
ENERGY RAW MATERIALS -- 3.75%
Baker Hughes, Inc......................................... 225,000 $7,776,563
Schlumberger, Ltd. ....................................... 90,000 6,148,125
Western Atlas, Inc. *..................................... 210,000 17,823,750
----------
31,748,438
----------
FOOD AND AGRICULTURE -- 1.95%
PepsiCo, Inc. ............................................ 400,000 16,475,000
----------
INSURANCE -- 3.18%
AFLAC, Inc. .............................................. 294,000 8,911,875
Unum Corp................................................. 324,300 17,998,650
----------
26,910,525
----------
MISCELLANEOUS & CONGLOMERATES -- 4.75%
Elan PLC ADR *............................................ 405,000 26,046,563
Tyco International Ltd.................................... 225,000 14,175,000
----------
40,221,563
----------
MISCELLANEOUS FINANCE -- 3.53%
Associates First Capital Corp............................. 115,000 8,840,625
Federal Home Loan Mortgage Corp. ......................... 227,000 10,683,188
MGIC Investment Corp. .................................... 182,000 10,385,375
----------
29,909,188
----------
NON-DURABLES AND ENTERTAINMENT -- 2.71%
Service Corp. International............................... 535,000 22,938,125
----------
PRODUCER GOODS -- 4.30%
General Electric Co....................................... 209,000 19,019,000
Illinois Tool Works, Inc. ................................ 261,000 17,405,437
----------
36,424,437
----------
RETAIL -- 7.72%
Dollar General Corp....................................... 425,000 16,814,062
Home Depot, Inc........................................... 300,000 24,918,750
Officemax, Inc.*.......................................... 570,000 9,405,000
Walgreen Co. ............................................. 343,000 14,170,188
----------
65,308,000
----------
SOAPS AND COSMETICS -- 1.60%
Procter & Gamble Co....................................... 149,000 13,568,312
----------
TELEPHONE -- 6.97%
AirTouch Communications, Inc.*............................ 528,000 30,855,000
Tellabs, Inc.............................................. 136,000 9,741,000
WorldCom, Inc. ........................................... 380,000 18,406,250
----------
59,002,250
----------
TOBACCO -- 1.60%
Philip Morris Companies, Inc. ............................ 343,000 13,505,625
----------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
28
<PAGE>
PEGASUS GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
TRAVEL AND RECREATION -- 4.87%
Carnival Corp. Class A.................................. 740,000 29,322,500
Disney (Walt) Co........................................ 113,000 11,872,061
------------
41,194,561
------------
TOTAL COMMON STOCKS....................................... 840,481,593
------------
(Cost $477,906,612)
TOTAL INVESTMENTS......................................... $846,249,295
============
(Cost $483,674,314)
</TABLE>
*Non-income producing security
(1)Securities represent the margin deposit for the future contracts.
FUTURES CONTRACTS
<TABLE>
<CAPTION>
EXPIRATION UNDERLYING FACE UNREALIZED
PURCHASED DATE AMOUNT OF VALUE (LOSS)
- --------- ---------- --------------- ----------
<S> <C> <C> <C>
22 S & P 500 Futures...................... 9/98 $6,286,500 $(26,500)
</TABLE>
Pegasus Funds
29
<PAGE>
PEGASUS MID-CAP OPPORTUNITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- 3.42%
Pegasus Cash Management Class I (in shares)........ 38,105,049 $ 38,105,049
U.S Treasury Bills, 9/24/98(1)..................... $ 950,000 939,142
--------------
TOTAL TEMPORARY CASH INVESTMENTS..................... 39,044,191
--------------
(Cost $39,044,191)
<CAPTION>
SHARES
------
<S> <C> <C>
COMMON STOCKS -- 96.58%
APPAREL -- 1.90%
Tommy Hilfiger Corp................................ 347,652 21,728,250
--------------
BANKS -- 8.86%
Associated Banc Corp. ............................. 420,752 15,830,794
Charter One Financial, Inc......................... 1,016,566 34,245,567
First Tennessee National Corp. .................... 350,276 11,055,586
Peoples Heritage Financial Group................... 584,900 13,818,263
TCF Financial Corp................................. 885,420 26,119,890
--------------
101,070,100
--------------
BUSINESS MACHINES -- 2.21%
Comdisco, Inc...................................... 628,196 11,935,724
Xilinx, Inc.*...................................... 389,072 13,228,448
--------------
25,164,172
--------------
BUSINESS SERVICES -- 10.29%
CDI Corp. ......................................... 356,542 9,537,498
DST Systems, Inc.*................................. 475,767 26,642,952
Hon Industries, Inc. .............................. 703,000 23,902,000
National Data Corp................................. 353,300 15,456,875
Omnicom Group, Inc. ............................... 294,496 14,687,988
Sungard Data Systems, Inc.......................... 709,092 27,211,406
--------------
117,438,719
--------------
CONSTRUCTION -- 4.10%
Applied Power, Inc. ............................... 500,000 17,187,500
Crane Co........................................... 609,835 29,615,112
--------------
46,802,612
--------------
CONSUMER DURABLES -- 1.69%
Leggett & Platt, Inc. ............................. 772,594 19,314,850
--------------
CONTAINERS -- 1.72%
AptarGroup, Inc. .................................. 315,910 19,645,653
--------------
DRUGS AND MEDICINE -- 4.72%
Health Care & Retirement........................... 368,461 14,531,181
Quorum Health Group, Inc.*......................... 602,034 15,953,901
Sybron International Corp.*........................ 926,382 23,391,145
--------------
53,876,227
--------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
30
<PAGE>
PEGASUS MID-CAP OPPORTUNITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
ELECTRONICS -- 6.93%
Belden, Inc........................................ 593,927 $ 18,189,014
Kemet Corp.*....................................... 385,344 5,069,701
Lexmark International.............................. 404,400 24,668,400
Microchip Technology, Inc.*........................ 491,022 12,827,950
Molex, Inc......................................... 7,812 195,300
Molex, Inc. Class A................................ 417,803 9,766,145
Teradyne, Inc.*.................................... 314,718 8,418,707
--------------
79,135,217
--------------
ENERGY RAW MATERIALS -- 2.65%
Apache Corp........................................ 505,069 15,909,674
Noble Affiliates, Inc. ............................ 377,059 14,328,242
--------------
30,237,916
--------------
FOOD AND AGRICULTURE -- 1.20%
US Foodservice, Inc. .............................. 390,500 13,691,906
--------------
INSURANCE -- 3.24%
Capital Re Corp.................................... 349,536 25,035,516
Transatlantic Holdings, Inc........................ 153,762 11,887,725
--------------
36,923,241
==============
INTERNATIONAL OIL -- 1.53%
Camco International, Inc. ......................... 146,900 11,439,838
Global Industries, Ltd............................. 360,000 6,075,000
--------------
17,514,838
--------------
MISCELLANEOUS AND CONGLOMERATES -- 7.23%
Dentsply International, Inc........................ 443,614 11,090,350
Essex International, Inc. ......................... 488,100 11,531,362
Health Management Association, Inc. Class A........ 257,767 8,619,084
Littelfuse, Inc.*.................................. 493,280 12,455,320
Water Corp......................................... 379,300 22,354,994
Young & Rubicam, Inc............................... 512,350 16,395,200
--------------
82,446,310
--------------
MISCELLANEOUS FINANCE -- 14.23%
CMAC Investment Corp. ............................. 263,508 16,205,742
Edwards (A.G.), Inc................................ 459,604 19,619,346
Everest Reinsurance Holdings, Inc. ................ 556,723 21,399,040
Executive Risk, Inc................................ 230,099 16,969,801
FINOVA Group, Inc. ................................ 466,340 26,406,502
Heller Financial Inc. ............................. 590,000 17,700,000
Idex Corp. ........................................ 447,692 15,445,375
Waddell & Reed Financial Class A................... 565,000 13,524,687
PMI Group, Inc..................................... 206,291 15,136,602
--------------
162,407,095
--------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
31
<PAGE>
PEGASUS MID-CAP OPPORTUNITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
MOTOR VEHICLES -- 5.93%
Borg Warner Automotive............................ 368,139 $ 17,693,681
Donaldson C., Inc. ............................... 457,700 10,813,162
Harley-Davidson, Inc.............................. 570,496 22,106,720
Tower Automotive, Inc. ........................... 397,587 17,046,543
--------------
67,660,106
--------------
NON-DURABLES AND ENTERTAINMENT -- 0.95%
Lancaster Colony Corp............................. 284,887 10,790,095
--------------
NON-FERROUS METALS -- 1.02%
DT Industries, Inc. .............................. 480,232 11,645,626
--------------
PRODUCER GOODS -- 6.78%
Ametek Inc. ...................................... 445,000 13,044,063
Harsco Corp. ..................................... 372,200 17,051,412
Hubbell, Inc. Class B............................. 367,097 15,280,413
Juno Lighting, Inc. .............................. 673,076 15,901,420
Teleflex, Inc..................................... 422,192 16,043,296
--------------
77,320,604
--------------
RETAIL -- 8.17%
Kohls Corp. ...................................... 274,710 14,250,581
Mens Wearhouse, Inc............................... 671,700 22,166,100
Proffitts, Inc.*.................................. 792,918 32,014,064
Zale Corp.*....................................... 778,952 24,780,411
--------------
93,211,156
--------------
TRAVEL AND RECREATION -- 1.23%
Galileo International, Inc. ...................... 312,400 14,077,525
--------------
TOTAL COMMON STOCKS................................. 1,102,102,218
--------------
(Cost $736,734,557)
TOTAL INVESTMENTS................................... $1,141,146,409
==============
(Cost $775,778,748)
</TABLE>
* Non-income producing security.
(1) Securities represent the margin deposit for the futures contracts.
FUTURES CONTRACTS
<TABLE>
<CAPTION>
EXPIRATION UNDERLYING FACE UNREALIZED
PURCHASED DATE AMOUNT AT VALUE GAIN
- --------- ---------- --------------- ----------
<S> <C> <C> <C>
164 Mid-Cap 400 Futures................... 9/98 $29,897,200 $607,810
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
32
<PAGE>
PEGASUS SMALL-CAP OPPORTUNITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- 2.91%
Pegasus Cash Management Fund Class I (in shares)...... 9,187,465 $9,187,465
U.S. Treasury Bills, 9/24/98(1)....................... $ 350,000 346,000
----------
TOTAL TEMPORARY CASH INVESTMENTS....................... 9,533,465
----------
(Cost $9,533,465)
<CAPTION>
SHARES
------
<S> <C> <C>
COMMON STOCKS -- 97.09%
BANKS -- 4.35%
GBC Bancorp California............................... 168,000 4,452,000
Financial Federal Corp. ............................. 182,000 4,879,875
Litchfield Financial Corp............................ 235,000 4,935,000
----------
14,266,875
----------
BUSINESS MACHINES -- 6.21%
Boole & Babbage, Inc. ............................... 206,675 4,934,366
Cort Business Services Corp.*........................ 200,000 6,300,000
National Instruments Corp............................ 145,900 5,215,925
Structural Dynamics Research Corp.................... 170,000 3,931,250
----------
20,381,541
----------
BUSINESS SERVICES -- 7.36%
Boron Lepore & Associates............................ 100,000 3,800,000
CDI Corp............................................. 106,200 2,840,850
Education Management Corp. .......................... 104,700 3,442,012
Patterson Dental Co.*................................ 118,500 4,340,062
RemedyTemp, Inc., Class A*........................... 187,800 5,457,938
Spartech Corp. ...................................... 200,000 4,287,500
----------
24,168,362
----------
CHEMICALS -- 0.76%
Eastern Environmental Services....................... 73,000 2,482,000
----------
CONSTRUCTION -- 1.30%
Crossmann Communities, Inc. ......................... 140,000 4,252,500
----------
CONTAINERS -- 1.30%
Aptargroup, Inc...................................... 68,800 4,278,500
----------
DRUGS & MEDICINE -- 6.70%
Arrow International, Inc............................. 143,000 3,923,562
Ballard Medical Products............................. 83,000 1,494,000
Hanger Orthopedic Group, Inc. ....................... 223,000 4,543,625
National Dentex Corp................................. 124,000 2,914,000
Omega Protein Corp................................... 315,000 4,843,125
Universal Health Services, Inc., Class B............. 73,000 4,261,375
----------
21,979,687
----------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
33
<PAGE>
PEGASUS SMALL-CAP OPPORTUNITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------ ------
<S> <C> <C>
ELECTRONICS -- 7.67%
Allen Telecom, Inc. .....................................
Altron, Inc. ............................................ 139,000 $ 1,789,625
Belden, Inc. ............................................ 142,000 4,348,750
Burr Brown Corp.*........................................ 115,000 2,415,000
DuPont Photomasks, Inc.*................................. 118,000 4,071,000
Holphane Corp.*.......................................... 133,000 3,391,500
Integrated Electrical Services, Inc. .................... 278,000 5,594,750
MTS Systems Corp. ....................................... 222,000 3,565,875
-----------
25,176,500
-----------
ENERGY RAW MATERIALS -- 5.09%
Doncasters PLC ADR....................................... 233,000 6,480,312
Omni Energy Services..................................... 232,000 3,161,000
Swift Energy Co.*........................................ 295,000 4,701,562
Unit Corp.*.............................................. 391,000 2,370,438
-----------
16,713,312
-----------
FOOD AND AGRICULTURE -- 0.56%
American Italian Pasta Co., Class A...................... 49,000 1,825,250
-----------
INSURANCE -- 5.15%
Capital RE Corp. ........................................ 89,000 6,374,625
Conning Corp. ........................................... 180,000 3,510,000
Stirling Cooke Brown Holdings LTD........................ 250,000 7,031,250
-----------
16,915,875
-----------
MEDIA -- 3.15%
Advanced Communications Systems.......................... 323,000 4,017,313
L-3 Communications Corp. ................................ 59,500 1,944,906
SPSS, Inc.*.............................................. 188,000 4,371,000
-----------
10,333,219
-----------
MISCELLANEOUS & CONGLOMERATES -- 16.49%
Arytesyn Technology, Inc. ............................... 170,000 2,720,000
Davox Corp. ............................................. 88,500 1,935,938
Essex International, Inc. ............................... 139,900 3,305,138
General Cable Corp.*..................................... 220,500 6,366,937
IHOP Corp.*.............................................. 86,000 3,558,250
Industrial Distribution Group............................ 227,000 3,518,500
Lecg, Inc. .............................................. 359,000 5,385,000
Littelfuse, Inc.*........................................ 125,000 3,156,250
OmniQuip International, Inc.*............................ 219,000 4,051,500
Pameco Corp., Class A.................................... 263,000 5,260,000
SBS Technologies, Inc. .................................. 141,000 4,247,625
Simpson Manufacturing Co. ............................... 142,000 5,484,750
Stoneridge, Inc. ........................................ 281,000 5,128,250
-----------
54,118,138
-----------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
34
<PAGE>
PEGASUS SMALL-CAP OPPORTUNITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
MISCELLANEOUS FINANCE -- 7.94%
Arm Financial Group..................................... 188,000 $ 4,159,500
Executive Risk, Inc. ................................... 96,000 7,080,000
Idex Corp. ............................................. 100,000 3,450,000
Triad Guaranty, Inc.*................................... 155,300 5,280,200
Unicapital Corp. ....................................... 318,000 6,081,750
------------
26,051,450
------------
MOTOR VEHICLES -- 4.73%
Control Devices, Inc. .................................. 304,582 3,959,566
Dura Automotive Systems, Inc............................ 206,000 6,617,750
Lithia Motors Inc., Class A............................. 335,000 4,941,250
------------
15,518,566
------------
NON-FEROUS METALS -- 0.92%
DT Industries, Inc...................................... 124,000 3,007,000
------------
OPTICAL PHOTOGRAPHIC EQUIPMENT -- 0.66%
II-VI, Inc. ............................................ 153,100 2,181,675
------------
PRODUCER GOODS -- 4.65%
Kuhlman Corp. .......................................... 123,000 4,866,188
SPS Technologies, Inc................................... 145,000 8,482,500
Watsco, Inc............................................. 54,000 1,900,125
------------
15,248,813
------------
RETAIL -- 6.47%
Mens Warehouse, Inc. ................................... 243,000 8,019,000
99 Cents Only Stores*................................... 143,000 5,934,500
Zale Corp.*............................................. 229,000 7,285,062
------------
21,238,562
------------
SOAPS & COSMETICS -- 1.59%
Wesley Jessen Visioncare................................ 225,300 5,210,063
------------
STEEL -- 1.26%
Reliance Steel & Aluminum Co. .......................... 107,000 4,132,875
------------
TRUCKING & FREIGHT -- 2.78%
C.H. Robinson Worldwide, Inc. .......................... 202,000 5,024,750
US Freightways Corp..................................... 125,000 4,105,474
------------
9,130,224
------------
TOTAL COMMON STOCKS....................................... 318,610,987
------------
(Cost $269,653,234)
TOTAL INVESTMENTS......................................... $328,144,452
============
(Cost $279,186,699)
</TABLE>
* Non-income producing security
(1) Securities represent the margin deposit for the futures contracts.
FUTURES CONTRACTS
<TABLE>
<CAPTION>
EXPIRATION UNDERLYING FACE UNREALIZED
PURCHASED DATE AMOUNT AT VALUE GAIN
--------- ---------- --------------- -----------
<C> <S> <C> <C> <C>
43 Mid-Cap 400 Futures.......... 9/98 $7,838,900 $161,140
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
35
<PAGE>
PEGASUS INTRINSIC VALUE FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- 2.66%
Pegasus Cash Management Fund Class I (in shares)...... 9,266,115 $ 9,266,115
U.S. Treasury Bills, 9/24/98(1)....................... $ 700,000 691,999
------------
TOTAL TEMPORARY CASH INVESTMENTS....................... 9,958,114
------------
(Cost $9,958,114)
CONVERTIBLE BONDS -- 9.94%
Nac Re Corp., 5.25%, 12/15/02........................ 16,384,560 18,227,823
Pep Boys, Zero Coupon, 9/20/11....................... 16,100,000 8,834,875
Potomac Electric Power Co., 5.00%, 9/1/02............ 15,264,000 14,882,400
Roche Holding, Inc., Zero Coupon, 5/6/12............. 55,270,000 26,702,595
------------
TOTAL CONVERTIBLE BONDS................................ 68,647,693
------------
(Cost $64,198,221)
<CAPTION>
SHARES
------
<S> <C> <C>
NON-CONVERTIBLE PREFERRED -- 1.17%
FINANCE -- 1.17%
Salomon, Inc., 7.625% Preferred...................... 181,247 8,631,888
------------
(Cost $5,356,956)
COMMON STOCKS -- 86.23%
AEROSPACE -- 4.55%
Lockheed Martin Corp................................. 289,000 30,597,875
APPAREL -- 5.42%
Payless Shoesource, Inc.*............................ 298,900 22,025,194
Unifi, Inc........................................... 552,300 18,916,275
------------
40,941,469
------------
BANKS -- 1.91%
Pacific Century Financial Corp. ..................... 627,700 15,064,800
------------
BUSINESS SERVICES -- 1.05%
Grey Advertising, Inc. .............................. 35,130 13,911,480
------------
CHEMICALS -- 2.19%
NCH Corp. ........................................... 228,711 14,651,798
------------
CONSUMER DURABLES -- 0.83%
National Presto Industries, Inc. .................... 139,400 5,427,887
------------
DOMESTIC OIL -- 0.91%
Atlantic Richfield Co. .............................. 71,026 5,548,906
------------
DRUGS AND MEDICINE -- 4.50%
Arch Coal, Inc. ..................................... 610,330 15,181,959
Block Drug, Inc., Class A............................ 154,119 5,856,522
------------
21,038,481
------------
ENERGY AND UTILITIES -- 6.79%
Sierra Pacific Resources............................. 342,090 12,422,143
SJW Corp. ........................................... 111,590 6,583,810
Southwest Gas Corporation............................ 509,200 12,443,575
St. Joeseph Light & Power Co. ....................... 393,450 7,328,006
Washington Water Power Co. .......................... 565,145 12,680,441
------------
51,457,975
------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
36
<PAGE>
PEGASUS INTRINSIC VALUE FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
FOOD AND AGRICULTURE -- 4.41%
Farmer Brothers Co. ..................................... 74,621 $ 17,834,419
Tate & Lyle PLC Sponsored................................ 440,800 13,996,061
------------
31,830,480
------------
INSURANCE -- 14.62%
American National Insurance Co........................... 227,690 23,964,372
Citizens Corp. .......................................... 573,500 17,957,719
Financial Security Assurance Holdings.................... 226,479 13,305,641
Ohio Casualty Corp....................................... 189,900 8,403,075
Old Republic International Corp.......................... 833,391 24,428,774
Safeco Corp.............................................. 207,461 9,426,509
------------
97,486,090
------------
INTERNATIONAL OIL -- 0.64%
Amoco Corp. ............................................. 94,608 3,938,058
------------
LIQUOR -- 2.57%
Diageo PLC............................................... 364,217 17,550,707
------------
MISCELLANEOUS FINANCE -- 14.89%
Associated Estates Realty................................ 172,700 3,227,331
Federal National Mortgage Association.................... 437,300 26,565,975
Fund American Enterprises Holdings, Inc. ................ 263,490 38,996,520
Leucadia National Corp. ................................. 847,570 28,022,783
PXRE Corp. .............................................. 669,925 20,097,750
------------
116,910,359
------------
NON-DURABLES AND ENTERTAINMENT -- 4.85%
Lubys Cafeterias, Inc. .................................. 470,066 8,255,534
Sbarro, Inc.............................................. 600,430 16,286,664
------------
24,542,198
------------
NON-FERROUS METALS
DeBeers Consolidated Mines Ltd........................... 590,000 10,325,000
------------
PRODUCER GOODS -- 0.31%
Tennant Co............................................... 81,086 3,588,056
------------
RAILROADS AND SHIPPING -- 4.13%
Alexander & Baldwin, Inc................................. 450,553 13,122,356
Canadian National Railway Co. ........................... 328,653 17,459,691
------------
30,582,047
------------
RETAIL -- 1.58%
Enesco Group, Inc. ...................................... 385,700 11,860,275
------------
TIRES AND RUBBER GOODS -- 2.79%
Bandag, Inc. Class A..................................... 389,800 13,448,100
------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
37
<PAGE>
PEGASUS INTRINSIC VALUE FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
TOBACCO -- 6.51%
Loews Corp............................................... 335,300 $ 29,213,014
UST, Inc. ............................................... 236,400 6,382,800
------------
35,595,814
------------
TOTAL COMMON STOCKS........................................ 596,297,855
------------
(Cost $479,015,306)
TOTAL INVESTMENTS.......................................... $683,535,550
============
(Cost $558,528,597)
</TABLE>
* Non-income producing security.
(1) Securities represent the margin deposit for the futures contracts.
FUTURES CONTRACTS
<TABLE>
<CAPTION>
EXPIRATION UNDERLYING FACE UNREALIZED
PURCHASED DATE AMOUNT OF VALUE GAIN
- --------- ---------- --------------- ----------
<S> <C> <C> <C>
5 S & P 500 Futures...................... 9/98 $10,287,000 $305,200
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
38
<PAGE>
PEGASUS GROWTH AND VALUE FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- 2.55%
Pegasus Cash Management Fund Class I (in shares).... 29,233,807 $ 29,233,807
U.S. Treasury Bills, 9/17/98(1)..................... $ 2,250,000 2,196,799
--------------
TOTAL TEMPORARY CASH INVESTMENTS.................... 31,430,606
--------------
(Cost $31,430,606)
<CAPTION>
SHARES
-----------
<S> <C> <C>
COMMON STOCKS -- 97.45%
AEROSPACE -- 1.40%
Boeing Co.......................................... 388,000 17,290,250
--------------
BANKS -- 5.21%
BankAmerica Corp................................... 311,000 26,882,063
Norwest Corp....................................... 998,000 37,300,250
--------------
64,182,313
--------------
BUSINESS MACHINES -- 4.40%
Compaq Computer Corp............................... 464,000 13,166,000
Electronic Data Systems Corp....................... 659,000 26,360,000
Gateway 2000, Inc.................................. 289,000 14,630,625
--------------
54,156,625
--------------
BUSINESS SERVICES -- 2.46%
Auto Data Processing, Inc.......................... 416,000 30,316,000
--------------
CHEMICALS -- 2.13%
Sigma-Aldrich Corp................................. 747,000 26,238,375
--------------
CONSTRUCTION -- 3.54%
Masco Corp......................................... 555,000 33,577,500
York International Corp............................ 230,000 10,019,375
--------------
43,596,875
--------------
CONSUMER DURABLES -- 2.54%
Newell Co.......................................... 628,000 31,282,250
--------------
CONTAINERS -- 1.61%
Crown Cork & Seal Co., Inc......................... 416,000 19,760,000
--------------
DRUGS AND MEDICINE -- 11.25%
Abbott Laboratories Corp........................... 654,000 26,732,250
American Home Products Corp........................ 630,000 32,602,500
Bristol-Myers Squibb Co............................ 352,000 40,458,000
Schering-Plough Corp............................... 423,000 38,757,375
--------------
138,550,125
--------------
ELECTRONICS -- 8.65%
AMP, Inc........................................... 782,000 26,881,250
Andrew Corp........................................ 580,600 10,487,087
First Data Corp.................................... 895,000 29,814,688
Hewlett Packard Co................................. 204,000 12,214,500
Intel Corp......................................... 366,000 27,129,750
--------------
106,527,275
--------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
39
<PAGE>
PEGASUS GROWTH AND VALUE FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
ENERGY AND UTILITIES -- 9.18%
Enron Corp........................................... 467,000 $ 25,247,187
FPL Group Inc........................................ 501,000 31,563,000
MCN Energy Group, Inc................................ 925,000 23,009,375
Pinnacle West Capital Corp........................... 737,000 33,165,000
--------------
112,984,562
--------------
ENERGY RAW MATERIALS -- 2.36%
Schlumberger Ltd..................................... 425,000 29,032,812
--------------
FOOD AND AGRICULTURE -- 8.50%
Bestfoods............................................ 572,000 33,211,750
ConAgra, Inc......................................... 1,086,000 34,412,625
PepsiCo, Inc......................................... 898,000 36,986,375
--------------
104,610,750
--------------
INSURANCE -- 4.33%
American International Group, Inc.................... 186,500 27,229,000
Chubb Corp........................................... 324,000 26,041,500
--------------
53,270,500
--------------
INTERNATIONAL OIL -- 3.52%
British Petroleum PLC ADR............................ 302,248 26,673,386
Mobil Corp........................................... 217,000 16,627,625
--------------
43,301,011
--------------
LIQUOR -- 2.35%
Anheuser-Busch Companies, Inc........................ 613,000 28,925,938
--------------
MEDIA -- 5.38%
Gannett Co., Inc..................................... 397,000 28,211,812
Washington Post Co. Class B.......................... 66,000 38,016,000
--------------
66,227,812
--------------
MISCELLANEOUS & CONGLOMERATES -- 2.96%
Cognizant Corp....................................... 578,000 36,414,000
--------------
MISCELLANEOUS FINANCE -- 3.38%
Federal Home Loan Mortgage Corp...................... 445,000 20,942,813
PMI Group, Inc....................................... 282,000 20,691,750
--------------
41,634,563
--------------
NON-DURABLES AND ENTERTAINMENT -- 2.33%
Kimberly-Clark Corp.................................. 626,000 28,717,750
--------------
PRODUCER GOODS -- 2.30%
Dover Corp........................................... 825,000 28,256,250
--------------
RETAIL -- 2.66%
Officemax, Inc....................................... 1,984,000 32,736,000
--------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
40
<PAGE>
PEGASUS GROWTH AND VALUE FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
TELEPHONE -- 5.01%
Bell Atlantic Corp.................................... 534,000 $ 24,363,750
Century Telephone Enterprises, Inc.................... 814,000 37,342,250
--------------
61,706,000
--------------
TOTAL COMMON STOCKS..................................... 1,199,718,036
--------------
(Cost $831,880,672)
TOTAL INVESTMENTS....................................... $1,231,148,642
==============
(Cost $863,311,278)
</TABLE>
* Non-income producing security.
(1) Securities represent the margin deposit on the futures contracts.
FUTURES CONTRACTS
<TABLE>
<CAPTION>
UNDERLYING
EXPIRATION FACE AMOUNT UNREALIZED
PURCHASED DATE AT VALUE GAIN
- -----------------------------------------------------
<S> <C> <C> <C>
96 S&P 500 Futures 9/98 $27,432,000 $465,822
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
41
<PAGE>
PEGASUS EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
COMMON STOCKS -- 100.00%
AEROSPACE -- 1.70%
Boeing Co. .............................................. 109,657 $ 4,886,590
General Dynamics Corp. .................................. 11,082 515,313
Goodrich B. F. Co. ...................................... 8,000 397,000
Lockheed Martin Corp. ................................... 21,247 2,249,526
Northrop Grumman Corp. .................................. 7,368 759,825
Raytheon Co. Class A..................................... 5,113 294,637
Raytheon Co. Class B..................................... 31,983 1,890,995
Rockwell International Corp. ............................ 24,874 1,195,506
Textron, Inc. ........................................... 18,048 1,293,816
TRW, Inc. ............................................... 15,942 870,832
United Technologies Corp. ............................... 25,164 2,327,670
------------
16,681,710
------------
AIR TRANSPORT -- 0.54%
AMR Corp.*............................................... 20,896 1,739,592
Delta Air Lines, Inc. ................................... 8,935 1,154,849
FDX Corp. ............................................... 17,431 1,093,795
Southwest Airlines Co. .................................. 18,329 542,997
US Airways Group, Inc. .................................. 9,100 721,175
------------
5,252,408
------------
APPAREL -- 0.34%
Fruit of the Loom, Inc., Class A*........................ 8,497 281,994
Liz Claiborne, Inc. ..................................... 5,553 290,144
Nike, Inc., Class B...................................... 32,790 1,596,463
Reebok International Ltd. ............................... 6,193 171,469
Russell Corp. ........................................... 10,900 329,044
V.F. Corp. .............................................. 12,454 641,381
------------
3,310,495
------------
BANKS -- 9.36%
Banc One Corp. .......................................... 77,093 4,302,753
BankAmerica Corp. ....................................... 75,580 6,532,946
BankBoston Corp. ........................................ 33,592 1,868,555
Bank of New York Co., Inc. .............................. 41,443 2,515,072
Bankers Trust New York Corp. ............................ 10,960 1,272,045
BB & T Corp. ............................................ 15,100 1,021,138
Chase Manhattan Corp. ................................... 91,806 6,931,353
Citicorp................................................. 50,156 7,485,783
Comerica, Inc. .......................................... 17,389 1,152,021
First Chicago NBD Corp. ................................. 32,601 2,889,264
First Union Corp. ....................................... 106,126 6,181,839
Fleet Financial Group, Inc. ............................. 28,249 2,358,791
Fifth Third Bancorp...................................... 24,166 1,522,458
Huntington Bankshares, Inc. ............................. 21,100 706,850
J.P Morgan and Co., Inc. ................................ 20,177 2,363,231
Keycorp.................................................. 48,382 1,723,609
MBNA Corp. .............................................. 54,891 1,811,403
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
42
<PAGE>
PEGASUS EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
Mellon Bank Corp. ....................................... 29,600 $ 2,060,900
Mercantile Bancorporation, Inc. ......................... 14,400 725,400
Morgan Stanley Dean Witter Discover & Co. ............... 65,000 5,939,375
Nationsbank Corp. ....................................... 103,221 7,896,406
National City Corp. ..................................... 36,805 2,613,155
Northern Trust Corp. .................................... 12,400 945,500
Norwest Corp. ........................................... 81,432 3,043,521
PNC Bank Corp. .......................................... 31,420 1,690,789
Republic NY Corp. ....................................... 13,382 842,230
State Street Corp. ...................................... 17,800 1,237,100
Summit Bancorp........................................... 19,400 921,500
Suntrust Banks, Inc. .................................... 24,492 1,991,506
Synovus Financial Corp. ................................. 28,950 687,563
U.S. Bancorp............................................. 81,186 3,490,998
Wachovia Corp. .......................................... 22,453 1,897,278
Wells Fargo & Co. ....................................... 8,850 3,265,650
------------
91,887,982
------------
BUSINESS MACHINES -- 7.82%
Apple Computer, Inc. .................................... 14,900 427,444
Bay Networks, Inc. ...................................... 18,433 594,464
Ceridian Corp.*.......................................... 7,345 431,519
Cisco System, Inc. ...................................... 116,311 10,707,881
Compaq Computer Corp.*................................... 189,126 5,366,455
Dell Computer Corp.*..................................... 73,444 6,816,521
Gateway 2000, Inc. ...................................... 17,400 880,875
Honeywell, Inc. ......................................... 14,096 1,177,897
International Business Machines Corp. ................... 106,672 12,247,279
Microsoft Corp.*......................................... 267,186 28,956,283
Novell, Inc.*............................................ 46,900 597,975
Pitney Bowes, Inc. ...................................... 36,896 1,775,620
Seagate Technology*...................................... 27,865 663,535
Sun Microsystems, Inc.*.................................. 39,267 1,705,660
Unisys Corp. ............................................ 24,600 694,950
Xerox Corp. ............................................. 36,335 3,692,544
------------
76,736,902
------------
BUSINESS SERVICES -- 1.59%
Automatic Data Processing, Inc. ......................... 31,779 2,315,895
Block (H.& R.), Inc. .................................... 16,457 693,251
Browning-Ferris Industries, Inc. ........................ 21,635 751,816
Cendant Corp. ........................................... 86,475 1,805,166
Computer Associates International, Inc. ................. 61,353 3,408,926
Computer Sciences Corp .................................. 15,352 982,528
Dun & Bradstreet Corp. .................................. 18,167 607,459
Ecolab, Inc. ............................................ 22,388 694,028
Equifax, Inc. ........................................... 16,600 602,788
Interpublic Group of Companies, Inc. .................... 12,132 736,261
KLA Tencor Corp. ........................................ 9,400 260,262
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
43
<PAGE>
PEGASUS EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
Moore Corp. ............................................. 10,200 $ 135,150
Omnicom Group, Inc. ..................................... 17,700 882,787
Waste Management, Inc. .................................. 50,275 1,759,625
------------
15,635,942
------------
CHEMICALS -- 2.21%
Air Products & Chemicals, Inc. .......................... 26,980 1,079,200
Dow Chemical Co. ........................................ 25,921 2,506,237
DuPont (E I) de Nemours & Co., Inc. ..................... 124,182 9,267,082
Hercules, Inc. .......................................... 8,610 354,086
Monsanto Co. ............................................ 67,511 3,772,177
Morton International, Inc. .............................. 13,635 340,875
Nalco Chemical Co. ...................................... 8,600 302,075
PPG Industries, Inc. .................................... 20,140 1,400,989
Praxair, Inc. ........................................... 17,003 795,953
Rohm & Haas Co. ......................................... 6,141 638,280
Sigma-Aldrich Corp. ..................................... 11,005 386,550
Union Carbide Corp. ..................................... 16,045 856,402
------------
21,699,906
------------
CONSTRUCTION -- 0.39%
Armstrong World Industries, Inc. ........................ 4,600 309,925
Centex Corp.............................................. 13,224 499,206
Fluor Corp. ............................................. 8,470 431,970
Kaufman & Broad Home Corp. .............................. 20,233 642,398
Masco Corp. ............................................. 18,597 1,125,119
Sherwin Williams Co. .................................... 15,416 510,655
Stanley Works............................................ 7,117 295,800
------------
3,815,073
------------
CONSUMER DURABLES -- 0.32%
Black & Decker Corp. .................................... 10,929 666,669
Maytag Corp. ............................................ 11,800 582,625
Newell Co. .............................................. 16,158 804,870
Rubbermaid, Inc. ........................................ 16,441 545,636
Whirlpool Corp. ......................................... 8,355 574,406
------------
3,174,206
------------
CONTAINERS -- 0.21%
Ball Corp. .............................................. 3,457 138,928
Crown Cork & Seal Co., Inc. ............................. 13,130 623,675
Owens Illinois, Inc. .................................... 15,300 684,675
Sealed Air Corp. ........................................ 9,548 350,889
Stone Container Corp. ................................... 17,556 274,313
------------
2,072,480
------------
DOMESTIC OIL -- 0.91%
Amerada Hess Corp. ...................................... 8,560 464,915
Ashland Oil, Inc. ....................................... 8,240 425,390
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
44
<PAGE>
PEGASUS EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
Atlantic Richfield Co. .................................. 34,960 $ 2,731,250
Oryx Energy Co.*......................................... 11,500 254,438
Pennzoil Co. ............................................ 7,062 357,514
Phillips Petroleum Co. .................................. 29,271 1,410,496
Sun Co., Inc. ........................................... 10,200 395,887
Union Pacific Resources Group............................ 39,806 699,093
Unocal Corp. ............................................ 29,993 1,072,250
USX-Marathon Group....................................... 31,654 1,086,128
------------
8,897,361
------------
DRUGS AND MEDICINE -- 11.74%
Abbott Laboratories...................................... 171,198 6,997,718
Alza Corp. .............................................. 10,200 441,150
American Home Products Corp. ............................ 142,620 7,380,585
Amgen, Inc.*............................................. 28,792 1,882,277
Baxter International, Inc. .............................. 31,385 1,688,905
Becton Dickinson & Co. .................................. 14,362 1,114,850
Biomet, Inc.*............................................ 13,200 436,425
Bristol-Myers Squibb Co. ................................ 109,116 12,541,520
Columbia/HCA Healthcare Corp. ........................... 77,833 2,266,886
Guidant Corp. ........................................... 16,418 1,170,809
HBO & Co. ............................................... 55,600 1,959,900
Healthsouth Corp. ....................................... 42,138 1,124,558
Humana, Inc.*............................................ 17,137 534,460
Johnson & Johnson........................................ 152,218 11,226,078
Lilly (Eli) & Co. ....................................... 124,776 8,243,015
Medtronic, Inc. ......................................... 53,904 3,436,380
Merck & Co., Inc. ....................................... 131,474 17,584,648
Pall Corp. .............................................. 15,700 321,850
Pfizer, Inc. ............................................ 141,976 15,431,016
Pharmacia & Upjohn Co. .................................. 59,708 2,754,031
Schering-Plough Corp. ................................... 82,812 7,587,649
Tenet Healthcare Corp.*.................................. 33,462 1,045,688
United Healthcare Corp. ................................. 25,225 1,601,788
Warner Lambert Co. ...................................... 92,589 6,423,362
------------
115,195,548
------------
ELECTRONICS -- 5.56%
3Com Corp.*.............................................. 36,689 1,125,894
Advanced Micro Devices, Inc.*............................ 16,022 273,375
AMP, Inc. ............................................... 23,240 798,875
Andrew Corp.*............................................ 12,000 216,750
Boston Scientific Corp.*................................. 21,666 1,551,827
E G & G, Inc. ........................................... 12,300 369,000
EMC Corp.*............................................... 55,874 2,503,854
First Data Corp. ........................................ 48,529 1,616,622
General Signal Corp. .................................... 8,100 291,600
Harris Corp. ............................................ 10,812 483,161
Hewlett-Packard Co. ..................................... 116,955 7,002,681
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
45
<PAGE>
PEGASUS EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
Intel Corp. ............................................. 179,590 $ 13,312,109
Johnson Controls, Inc. .................................. 9,804 560,666
Lucent Technologies, Inc. ............................... 142,828 11,881,504
Micron Technology, Inc. ................................. 23,749 589,272
Motorola, Inc. .......................................... 66,101 3,474,434
National Semiconductor Corp.*............................ 15,132 199,553
Northern Telecom Ltd. ................................... 61,946 3,572,186
Parametric Technology Corp. ............................. 28,000 759,500
Perkin Elmer Corp. ...................................... 4,800 298,500
Raychem Corp. ........................................... 11,206 331,277
Tektronix, Inc. ......................................... 7,700 272,388
Texas Instruments, Inc. ................................. 43,386 2,529,946
Thermo Electron Corp. ................................... 16,777 573,564
------------
54,588,538
------------
ENERGY AND UTILITIES -- 3.06%
Ameren Corp. ............................................ 12,821 509,635
American Electric Power Co., Inc. ....................... 20,280 920,205
Baltimore Gas & Electric Co. ............................ 17,663 548,657
Carolina Power & Light Co. .............................. 16,718 725,143
Central & SouthWest Corp. ............................... 20,293 545,374
CINergy Corp. ........................................... 15,367 537,845
Coastal Corp. ........................................... 10,572 738,058
Columbia Gas System, Inc. ............................... 11,989 666,888
Consolidated Edison, Inc. ............................... 26,877 1,238,022
Consolidated Natural Gas Co. ............................ 9,603 565,377
Dominion Resources, Inc. ................................ 20,419 832,074
DTE Energy, Inc. ........................................ 15,571 628,679
Duke Power Co. .......................................... 39,188 2,321,889
Edison International..................................... 47,428 1,402,090
Enron Corp. ............................................. 41,483 2,242,675
Entergy Corp. ........................................... 29,924 860,315
Firstenergy Corp. ....................................... 25,391 780,773
FPL Group, Inc. ......................................... 21,280 1,340,640
GPU, Inc. ............................................... 13,640 515,762
Houston Industries, Inc. ................................ 32,902 1,015,849
Northern States Power Co. ............................... 14,902 426,570
PacifiCorp............................................... 31,880 721,285
PECO Energy Co. ......................................... 23,809 694,925
Peoples Energy Corp. .................................... 3,600 139,050
P G & E Corp. ........................................... 52,151 1,646,016
PP&L Resources, Inc. .................................... 21,745 493,340
Public Service Enterprise Group, Inc. ................... 23,597 812,622
Sonat, Inc. ............................................. 10,691 412,940
Southern Co. ............................................ 79,419 2,198,913
Texas Utilities Co. ..................................... 27,654 1,151,098
Unicom Corp. ............................................ 23,024 807,279
Williams Companies, Inc. ................................ 46,044 1,553,985
------------
29,993,973
------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
46
<PAGE>
PEGASUS EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
ENERGY RAW MATERIALS -- 1.14%
Anadarko Petroleum Corp. ................................ 6,600 $ 443,438
Apache Corp. ............................................ 10,000 315,000
Baker Hughes, Inc. ...................................... 15,450 533,991
Barricks Gold Corp. ..................................... 38,235 733,634
Burlington Resources, Inc. .............................. 18,636 802,513
Dresser Industries, Inc. ................................ 19,462 857,544
Eastern Enterprises...................................... 4,900 210,087
Halliburton Co. ......................................... 28,108 1,252,563
Helmerich & Payne, Inc. ................................. 7,874 175,197
McDermott International, Inc. ........................... 9,400 323,712
Nacco Industries, Inc., Class A.......................... 2,600 336,050
Occidental Petroleum Corp. .............................. 37,520 1,013,040
Schlumberger Ltd. ....................................... 54,974 3,755,411
Western Atlas, Inc.*..................................... 5,727 486,079
------------
11,238,259
------------
FOOD AND AGRICULTURE -- 5.57%
Archer Daniels Midland Co. .............................. 65,037 1,260,092
Bestfoods................................................ 31,230 1,813,292
Cardinal Health, Inc. ................................... 12,100 1,134,375
Campbell Soup Co. ....................................... 51,986 2,761,756
Coca-Cola Co. ........................................... 271,419 23,206,325
ConAgra, Inc. ........................................... 52,158 1,652,757
Darden Restaurants, Inc. ................................ 37,561 596,281
General Mills, Inc. ..................................... 17,041 1,165,178
Heinz (H.J.) Co. ........................................ 39,296 2,205,488
Hershey Foods Corp. ..................................... 16,857 1,163,133
Kellogg Co. ............................................. 47,144 1,770,846
PepsiCo, Inc. ........................................... 172,243 7,094,259
Pioneer Hi-Bred International, Inc. ..................... 34,200 1,415,025
Quaker Oats Co. ......................................... 13,800 758,137
Ralston-Ralston Purina Group............................. 11,577 1,352,338
Sara Lee Corp. .......................................... 49,109 2,747,035
Sysco Corp. ............................................. 33,480 857,925
Tricon Global Restaurants................................ 17,224 545,786
Wrigley (Wm.) Jr Co. .................................... 12,062 1,182,076
------------
54,682,104
------------
GOLD -- 0.05%
Homestake Mining Co. .................................... 47,881 496,765
------------
INSURANCE -- 3.59%
Allstate Corp. .......................................... 48,010 4,395,916
American General Corp. .................................. 27,019 1,923,415
American International Group, Inc. ...................... 76,954 11,235,284
AON Corp. ............................................... 18,253 1,282,273
Chubb Corp. ............................................. 22,534 1,811,170
CIGNA Corp. ............................................. 23,448 1,617,912
Cincinnati Financial Corp. .............................. 18,000 690,750
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
47
<PAGE>
PEGASUS EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
General Re Corp. ........................................ 8,395 $ 2,128,133
Hartford Financial Services Group, Inc. ................. 12,102 1,384,166
Jefferson-Pilot Corp. ................................... 9,694 561,646
Lincoln National Corp. .................................. 11,498 1,050,630
Marsh & McLennan Companies, Inc. ........................ 26,892 1,625,285
Progressive Corp. (Ohio)................................. 7,900 1,113,900
SAFECO Corp. ............................................ 19,551 888,349
St. Paul Companies....................................... 22,084 928,908
Torchmark Corp. ......................................... 15,458 707,204
Transamerica Corp. ...................................... 6,815 784,577
UNUM Corp. .............................................. 19,298 1,071,039
------------
35,200,557
------------
INTERNATIONAL OIL -- 5.39%
Amoco Corp. ............................................. 106,844 4,447,381
Chevron Corp. ........................................... 76,612 6,363,584
Exxon Corp. ............................................. 270,640 19,300,015
Mobil Corp. ............................................. 84,624 6,484,314
Royal Dutch Petroleum Co., N.Y. Registry................. 235,340 12,899,574
Texaco, Inc. ............................................ 57,578 3,436,687
------------
52,931,555
------------
LIQUOR -- 0.50%
Anheuser-Busch Companies, Inc. .......................... 54,233 2,559,119
Brown Forman Corp. Class B............................... 10,768 691,844
Seagram Co. Ltd. ........................................ 39,428 1,614,084
------------
4,865,047
------------
MEDIA -- 2.48%
Adobe System, Inc. ...................................... 9,300 394,669
Clear Channel Communication.............................. 13,900 1,516,838
Comcast Corp. Class A Special............................ 38,985 1,582,549
Donnelley (R.R.) & Sons Co. ............................. 14,361 657,016
Dow Jones & Co., Inc. ................................... 10,552 588,274
Gannett Co., Inc. ....................................... 29,782 2,116,383
Knight-Ridder, Inc. ..................................... 12,559 691,530
McGraw Hill Companies, Inc. ............................. 9,911 808,366
MediaOne Group, Inc. .................................... 69,144 3,038,015
Meredith Corp. .......................................... 12,900 605,494
New York Times Co. Class A............................... 13,915 1,102,764
Tele-Communications, Inc. Class A........................ 53,863 2,070,359
Time Warner, Inc. ....................................... 61,690 5,270,639
Times Mirror Co. Class A................................. 10,951 688,544
Tribune Co. ............................................. 12,467 857,885
Viacom, Inc. Class B Non-Voting*......................... 39,626 2,308,214
------------
24,297,539
------------
MISCELLANEOUS AND CONGLOMERATES -- 1.37%
Ascend Communications, Inc. ............................. 21,200 1,050,725
Case Corp. .............................................. 6,265 302,286
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
48
<PAGE>
PEGASUS EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
Cognizant Corp. ......................................... 18,167 $ 1,144,521
Corning, Inc. ........................................... 28,111 976,857
Eastman Chemical Co. .................................... 8,252 513,687
ITT Industries, Inc. .................................... 17,186 642,327
Minnesota Mining & MFG Co. .............................. 46,893 3,854,018
Nextel Communications, Inc., Class A..................... 29,400 731,325
Oneok, Inc. ............................................. 4,300 171,463
Tyco International LTD................................... 63,632 4,008,816
------------
13,396,025
------------
MISCELLANEOUS FINANCE -- 4.66%
Aetna, Inc. ............................................. 16,312 1,241,751
Ahmanson (H.F.) & Co. ................................... 9,853 699,563
American Express Co. .................................... 51,022 5,816,508
Associates First Capital Corp. .......................... 38,989 2,997,279
Beneficial Corp. ........................................ 5,757 881,900
Countrywide Credit Industries, Inc. ..................... 11,500 583,625
Federal Home Loan Mortgage Corp. ........................ 77,662 3,654,968
Federal National Mortgage Association.................... 116,478 7,076,039
Franklin Resources, Inc. ................................ 28,400 1,533,600
Golden West Financial Corp. ............................. 6,635 705,383
Greentree Financial Corp. ............................... 14,689 628,873
Household International, Inc. ........................... 35,328 1,757,568
Lehman Brothers Holdings, Inc. .......................... 11,200 868,700
MBIA, Inc. .............................................. 10,082 754,890
Merrill Lynch & Co., Inc. ............................... 36,252 3,344,247
MGIC Investment Corp. ................................... 12,386 706,776
Providian Financial Corp. ............................... 11,231 882,336
Schwab (Charles) Corp. .................................. 28,950 940,875
SunAmerica, Inc. ........................................ 21,600 1,240,650
Travelers Group, Inc. ................................... 125,394 7,602,011
Washington Mutual, Inc. ................................. 41,298 1,793,882
------------
45,711,424
------------
MOTOR VEHICLES -- 2.07%
Autozone, Inc. .......................................... 16,849 538,115
Chrysler Corp. .......................................... 72,106 4,064,976
Cummins Engine Co., Inc. ................................ 6,900 353,625
Dana Corp. .............................................. 11,898 636,543
Eaton Corp. ............................................. 8,305 645,714
Ford Motor Co. .......................................... 137,159 8,092,381
General Motors Corp. .................................... 80,184 5,357,293
Genuine Parts Co. ....................................... 18,165 627,828
------------
20,316,475
------------
NON-DURABLES AND ENTERTAINMENT -- 1.55%
American Greetings Corp. Class A......................... 8,425 429,148
Harcourt General, Inc. .................................. 7,111 423,105
Hasbro, Inc. ............................................ 11,511 452,526
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
49
<PAGE>
PEGASUS EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
Kimberly-Clark Corp. .................................... 63,098 $ 2,894,621
Mattel, Inc. ............................................ 28,507 1,206,202
McDonalds Corp. ......................................... 77,605 5,354,745
Oracle Corp.*............................................ 113,985 2,799,757
Service Corp. International.............................. 31,789 1,362,953
Wendy's International, Inc. ............................. 14,500 340,750
------------
15,263,807
------------
NON-FERROUS METALS -- 0.53%
Alcan Aluminum Ltd. ..................................... 22,182 612,778
Allegheny Teledyne, Inc. ................................ 18,840 430,965
Aluminum Co. of America.................................. 18,969 1,250,768
Asarco, Inc. ............................................ 10,081 224,302
Cyprus Amax Mineral Co. ................................. 23,800 315,350
Engelhard Corp. ......................................... 17,991 364,318
Freeport McMoran Copper Class B.......................... 23,905 363,057
Laidlaw, Inc. ........................................... 34,015 414,558
Newmont Mining Corp. .................................... 18,815 444,504
Phelps Dodge Corp. ...................................... 6,738 385,329
Reynolds Metals Co. ..................................... 7,160 400,513
------------
5,206,442
------------
OPTICAL PHOTOGRAPHIC EQUIPMENT -- 0.29%
Eastman Kodak Co. ....................................... 38,623 2,821,893
------------
PAPER AND FOREST PRODUCTS -- 0.72%
Bemis, Inc. ............................................. 4,177 170,735
Boise Cascade Corp. ..................................... 11,100 363,525
Champion International Corp. ............................ 10,768 529,651
Georgia-Pacific Corp. ................................... 10,387 612,184
International Paper Co. ................................. 32,379 1,392,297
Fort James Corp. ........................................ 21,004 934,678
Mead Corp. .............................................. 15,680 497,840
Temple-Inland, Inc. ..................................... 7,723 416,077
Union Camp Corp. ........................................ 6,604 327,723
Westvaco Corp. .......................................... 11,910 336,457
Weyerhaeuser Co. ........................................ 21,792 1,006,518
Willamette Industries, Inc. ............................. 13,970 447,040
------------
7,034,725
------------
PRODUCER GOODS -- 5.54%
Allied Signal, Inc. ..................................... 64,552 2,864,495
Applied Materials Co.*................................... 38,684 1,141,178
Avery Dennison Corp. .................................... 11,909 640,109
CBS Corp. ............................................... 76,724 2,435,987
Caterpillar, Inc. ....................................... 42,740 2,259,878
Conseco, Inc. ........................................... 21,000 981,750
Cooper Industries, Inc. ................................. 12,499 686,664
Deere & Co. ............................................. 29,106 1,538,980
Dover Corp. ............................................. 24,138 826,726
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
50
<PAGE>
PEGASUS EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
Emerson Electric Co. .................................... 50,814 $ 3,067,895
FMC Corp.*............................................... 5,000 340,937
General Electric Co. .................................... 359,128 32,680,648
Grainger (W.W.), Inc. ................................... 9,666 481,488
Illinois Tool Works, Inc. ............................... 28,528 1,902,461
Ingersoll-Rand Co. ...................................... 15,619 688,212
Millipore Corp. ......................................... 11,100 302,475
Parker-Hannifin Corp. ................................... 12,976 494,710
Snap-On, Inc. ........................................... 7,800 282,750
Tenneco, Inc. ........................................... 18,607 708,229
------------
54,325,572
------------
RAILROADS AND SHIPPING -- 0.53%
Burlington Northern Santa Fe............................. 17,659 1,733,893
CSX Corp. ............................................... 23,242 1,057,511
Norfolk Southern Corp. .................................. 39,725 1,184,301
Union Pacific Corp. ..................................... 27,045 1,193,361
------------
5,169,066
------------
RETAIL -- 5.50%
Albertsons, Inc. ........................................ 26,979 1,397,849
American Stores Co. ..................................... 32,494 785,949
Circuit City Group....................................... 14,591 683,953
Consolidated Stores Corp. ............................... 11,900 431,375
Costco Companies, Inc. .................................. 25,426 1,603,427
CVS Corp. ............................................... 42,890 1,670,029
Dayton Hudson Corp. ..................................... 48,360 2,345,460
Dillards, Inc. Class A................................... 10,894 451,420
Federated Department Stores, Inc.*....................... 24,205 1,302,531
Gap, Inc. ............................................... 43,287 2,667,561
Home Depot, Inc. ........................................ 78,992 6,561,273
Kmart Corp.*............................................. 53,693 1,033,590
Kroger Co.*.............................................. 27,858 1,194,412
Limited, Inc. ........................................... 30,520 1,010,975
Longs Drug Stores Corp. ................................. 8,100 233,888
Lowes Companies, Inc. ................................... 41,450 1,681,316
May Department Stores Co. ............................... 27,699 1,814,284
Nordstrom, Inc. ......................................... 7,484 578,139
Penney (J.C.) & Co., Inc. ............................... 28,640 2,071,030
Rite-Aid Corp. .......................................... 27,298 1,025,381
Sears, Roebuck & Co. .................................... 44,812 2,736,333
Tandy Corp. ............................................. 13,160 698,303
TJX Companies, Inc. ..................................... 34,276 826,909
Toys R Us*............................................... 28,561 672,969
Wal Mart Stores, Inc. ................................... 246,521 14,976,151
Walgreen Co. ............................................ 62,046 2,563,275
Winn-Dixie Stores, Inc. ................................. 18,270 935,196
------------
53,952,978
------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
51
<PAGE>
PEGASUS EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
SOAPS AND COSMETICS -- 3.24%
Alberto-Culver Co. Class B............................... 14,900 $ 432,100
Avon Products, Inc. ..................................... 12,294 952,785
Clorox Co. .............................................. 9,572 912,929
Colgate-Palmolive Co. ................................... 32,872 2,892,736
Gillette Co. ............................................ 128,046 7,258,608
International Flavors & Fragrances, Inc. ................ 10,688 464,260
Procter & Gamble Co. .................................... 147,296 13,413,142
Unilever N.V. ........................................... 69,636 5,496,892
------------
31,823,452
------------
STEEL -- 0.14%
Armco, Inc.*............................................. 85,322 543,928
Nucor Corp. ............................................. 8,179 376,234
Worthington Industries, Inc. ............................ 30,034 452,387
------------
1,372,549
------------
TELEPHONE -- 6.83%
AT&T Corp. .............................................. 178,264 10,183,331
AirTouch Communications, Inc.*........................... 63,525 3,712,242
ALLTEL Corp. ............................................ 16,117 749,441
Ameritech Corp. ......................................... 123,140 5,525,908
Bell Atlantic Corp. ..................................... 169,448 7,731,065
Bellsouth Corp. ......................................... 106,595 7,155,189
Frontier Corp. .......................................... 18,361 578,372
GTE Corp. ............................................... 107,731 5,992,537
MCI Communications Corp. ................................ 73,988 4,300,552
SBC Communications, Inc. ................................ 201,188 8,047,520
Sprint Corp. ............................................ 49,944 3,521,052
Tellabs, Inc.*........................................... 20,086 1,438,660
US WEST Inc.*............................................ 57,072 2,682,399
Worldcom, Inc.*.......................................... 111,178 5,385,184
------------
67,003,452
------------
TIRES AND RUBBER GOODS -- 0.13%
Cooper Tire & Rubber Co. ................................ 12,703 261,999
Goodyear Tire & Rubber Co. .............................. 16,591 1,069,083
------------
1,331,082
------------
TOBACCO -- 1.31%
Fortune Brands, Inc. .................................... 18,700 718,781
Loews Corp. ............................................. 12,695 1,106,052
Philip Morris Companies, Inc. ........................... 266,085 10,477,097
UST, Inc. ............................................... 21,612 583,524
------------
12,885,454
------------
TRAVEL AND RECREATION -- 1.06%
Brunswick Corp. ......................................... 11,200 277,200
Disney (Walt) Co. ....................................... 76,312 8,017,530
Hilton Hotels Corp. ..................................... 28,824 821,484
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
52
<PAGE>
PEGASUS EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
Marriott International, Inc. Class A..................... 27,414 $ 887,528
Mirage Resorts, Inc...................................... 19,600 417,725
------------
10,421,467
------------
TRUCKING AND FREIGHT -- 0.06%
PACCAR, Inc.............................................. 11,782 615,609
------------
TOTAL COMMON STOCKS........................................ 981,305,822
------------
(Cost $537,820,412)
TOTAL INVESTMENTS.......................................... $981,305,822
============
(Cost $537,820,412)
</TABLE>
*Non-income producing security
See Notes to Financial Statements.
Pegasus Funds
53
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE AMOUNT MARKET VALUE
----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- 5.18%
Pegasus Cash Management Fund Class I (in shares)..... 26,000,000 $26,000,000
Salomon Brothers, Revolving Repurchase Agreement,
5.95%, 7/1/98 (secured by various U.S. Treasury
Notes with maturities ranging from 8/15/98 through
5/15/08 at various interest rates ranging from 0.00%
to 12.00%, all held at Chase Bank).................. $ 5,336,812 5,336,812
-----------
TOTAL TEMPORARY CASH INVESTMENTS ..................... 31,336,812
-----------
(Cost $31,336,812)
COMMON STOCKS -- 94.82% SHARES
------
ARGENTINA -- 1.87%
BANKS
Bco Frances Rio Pl................................. 51,945 381,842
Bco De Galicia Bue "B'............................. 182,153 801,569
CONSTRUCTION
Astra Cia Argentin................................. 290,820 468,276
Perez Companc Sa "B'............................... 299,760 1,501,978
Renault Argentina.................................. 36,624 72,524
Ypf Sa Class "D'................................... 127,300 3,806,727
ENERGY RAW MATERIALS
Comercial Del Plata................................ 116,786 130,816
FOOD & AGRICULTURE
Molinos Rio Plata "B'.............................. 61,742 135,231
LIQUOR & TOBACCO
Ba Embotelladora "B'*.............................. 150 2
NON-FERROUS METALS
Siderca Sa......................................... 488,521 830,585
Siderar Sa "A'..................................... 18,216 69,229
TELEPHONE
Telefonica De Argentina Class "B'.................. 965,600 3,119,262
-----------
11,318,042
-----------
AUSTRALIA -- 1.29%
BANKS
National Australia Bank............................ 96,820 1,277,053
Westpac Bank Corp.................................. 130,510 796,057
CHEMICALS
Orica Limited...................................... 18,853 111,493
CONSTRUCTION
Boral Limited...................................... 70,041 131,419
Csr Limited........................................ 50,166 144,764
Pioneer International.............................. 60,480 144,191
ENERGY RAW MATERIAL
Broken Hill Pty.................................... 120,112 1,015,274
Santos Limited..................................... 82,465 255,331
FOOD & AGRICULTURE
Amcor Limited...................................... 50,613 221,588
Goodman Fielder Limited............................ 55,433 80,668
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
54
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
LIQUOR & TOBACCO
Coca-Cola Amatil........................................ 24,929 $ 166,722
Fosters Brewing Gp...................................... 71,247 167,654
Southcorp Holdings...................................... 24,807 72,046
MEDIA
News Corporation (Aust Listing)......................... 70,119 496,736
News Corporation Preferred Limited Voting Shares........ 120,521 983,654
MULTI-INDUSTRY & CONGLOMERATES
Pacific Dunlop Limited.................................. 92,967 150,257
NON-FERROUS METALS
Rio Tinto Limited....................................... 35,868 426,455
Mim Holdings Limited.................................... 109,423 52,853
North Ltd............................................... 18,300 37,623
WMC Ltd................................................. 81,722 245,946
RAILROAD & SHIPPING
Brambles Inds Limited................................... 13,527 265,453
REAL PROPERTY
Gen Property Tst Units (Aust Listing)................... 56,140 90,736
Lend Lease Corp......................................... 9,661 195,330
Westfield Trust Units................................... 26,752 51,355
Westfield Trust New Units............................... 870 1,659
RETAIL
Coles Myer Limited...................................... 46,811 182,622
Woolworth Limited....................................... 22,733 73,906
----------
7,838,846
----------
BELGIUM -- 4.54%
BANKS
Generale De Banque...................................... 5,883 4,367,585
Kredietbank............................................. 41,700 3,731,819
KBC Bankverzekerin VVPR Strip*.......................... 60 5
CHEMICALS
Solvay.................................................. 28,640 2,270,572
CONSTRUCTION
Glaverbel Mecansa....................................... 1,500 214,458
ENERGY RAW MATERIALS
GPE Bruxelles Lam....................................... 11,265 2,273,586
ENERGY & UTILITIES
Electrabel.............................................. 14,667 4,158,474
Tractebel Inv Cap....................................... 22,375 3,277,176
Soc Gen Belgique p/wts exp 11/15/99*.................... 2,975 1,039
INSURANCE
Fortis Ag............................................... 13,048 3,331,254
INTERNATIONAL OIL
Petrofina Sa............................................ 5,709 2,343,589
MISCELLANEOUS FINANCE
Soc Gen De Belgique..................................... 932 159,049
NON-FERROUS METALS
Union Miniere*.......................................... 7,710 476,565
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
55
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
PRODUCER GOODS
Bekaert Sa............................................... 930 $ 772,292
RETAIL
Delhaize Le Lion......................................... 1,800 125,773
-----------
27,503,237
-----------
BRAZIL -- 2.53%
BANKS
Unibanco Hldgs GDS....................................... 52,000 1,534,000
ENERGY
Petrol Brasileiros ADR................................... 56,000 1,040,973
ENERGY AND UTILITIES
Eletrobras Cent El ADR................................... 77,000 1,175,028
Cebtraus Geradiras Di Sul Do ADR*........................ 7,700 55,589
Cemig CA Energ ADR....................................... 30,349 939,377
FOOD AND AGRICULTURE
PAO De Acucar GDR........................................ 20,000 452,500
MEDIA
Multicanal Partici ADR*.................................. 28,000 138,250
MISCELLANEOUS
RCA -- Stock Portfolia Receipt*.......................... 40,000 3,458,392
NON-FERROUS METALS
Compania Vale ADR........................................ 21,000 426,678
PAPER AND FOREST PRODUCTS
Aracruz Celolose ADR..................................... 19,500 223,031
Klabin Fabricadora ADR................................... 8,000 33,200
STEEL
Sider Nacional ADR....................................... 6,000 147,000
TELEPHONE
Telecomunicacoex Brasileiras ADR......................... 52,000 5,677,750
-----------
15,301,767
-----------
CHILE -- 0.42%
AIR TRANSPORT
Linea Aerea Nacional Chile Sa ADR........................ 10,000 81,250
BANKS
Banco Santander ADR...................................... 14,000 180,250
ENERGY & UTILITIES
Enersis Sa ADR........................................... 45,000 1,099,688
Gener Sa ADR............................................. 10,000 182,500
TELEPHONE
Compania De Telecommunicaciones Chile ADR................ 50,000 1,015,625
Compania De Telecommunicaciones Chile ADR Rights*........ 3,162 1,087
-----------
2,560,400
-----------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
56
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------- ------------
<S> <C> <C>
DENMARK -- 3.01%
BANKS
Den Danske Bank......................................... 16,750 $ 2,009,411
Unidanmark "A' (Regd)................................... 11,735 1,054,561
BUSINESS MACHINE
Iss International Series "B'............................ 8,042 467,761
DRUGS & MEDICINE
Novo-Nordisk As "B'..................................... 19,932 2,747,636
FOOD & AGRICULTURE
Danisco................................................. 17,858 1,199,706
LIQUOR & TOBACCO
Carlsberg "B'........................................... 13,905 1,010,976
MULTI-INDUSTRY
Ratin A/S "B'........................................... 6,927 1,465,576
RAILROAD & SHIPPING
D/S 1912 "B'............................................ 270 2,316,412
D/S Svendborg "B'....................................... 200 2,442,920
RETAIL
Sophus Berendsen "B'.................................... 6,927 287,072
TELEPHONE
Tele Danmark "B'........................................ 33,385 3,204,021
-----------
18,206,052
-----------
FINLAND -- 6.18%
BANKS
Merita Ltd "A'.......................................... 396,000 2,612,821
CONSTRUCTION
Metra AB "B'............................................ 17,116 561,540
Rauma Oy................................................ 8,661 177,593
ELECTRONICS
Nokia (AB) Oy Series "A'................................ 204,000 15,003,051
Nokia (AB) Oy Series "K'................................ 102,400 7,540,275
FOOD & AGRICULTURE
Cultor Oy Series 2...................................... 51,000 818,010
INSURANCE
Pohjola Series "B'...................................... 22,900 1,139,473
Sampo "A'............................................... 36,400 1,724,966
NON-FERROUS METALS
Outokumpo Oy "A'........................................ 59,800 762,966
PAPER & FOREST PRODUCTS
UPM-Kymmene Oy.......................................... 168,500 4,637,487
PRODUCER GOODS
Kone Corp "B'........................................... 5,400 757,862
RETAIL
Kesko................................................... 62,000 977,493
Stockmann OYJ "A'....................................... 15,000 448,375
Stockmann OYJ "B'....................................... 2,500 58,325
TRAVEL & RECREATION
Amer Group "A'*......................................... 11,000 212,522
-----------
37,432,761
-----------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
57
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
FRANCE -- 6.96%
BANKS
Banque National Paris.................................... 16,627 $1,358,534
Banque Paribas........................................... 10,218 1,093,453
Societe Generale......................................... 9,075 1,886,738
CHEMICALS
Air Liquide ("L')........................................ 1,232 203,749
Air Liquide ("L') (Regd)................................. 5,624 930,177
Rhone Poulenc Sa "A'..................................... 22,927 1,293,098
CONSTRUCTION
Cie De St Gobain......................................... 6,784 1,257,828
Imetal................................................... 1,100 151,190
Lafarge Ords (Br)........................................ 6,520 673,996
CONSUMER DURABLES
Bic...................................................... 4,200 298,708
Printemps (Av)........................................... 1,250 1,046,141
DRUGS & MEDICINE
L'Oreal.................................................. 3,828 2,129,259
Sanofi................................................... 6,945 816,717
ELECTRONICS
Alcatel Alsthom (Cge).................................... 14,706 2,994,211
Csf (Thomson)............................................ 6,965 264,959
Legrand.................................................. 1,950 516,041
Schneider Sa (Ex-SB)..................................... 8,816 702,973
ENERGY & UTILITIES
Vivendi.................................................. 11,339 2,421,201
Suez Lyonnaise Eaux...................................... 9,904 1,629,909
FOOD & AGRICULTURE
Danone (Ex Bsn).......................................... 7,913 2,181,758
Eridania Beghin Sa....................................... 1,611 355,719
INSURANCE
Axa...................................................... 25,512 2,869,348
INTERNATIONAL OIL
Elf Aquitaine (Soc Nat).................................. 16,072 2,259,533
Total B.................................................. 19,129 2,486,821
LIQUOR & TOBACCO
Lvmh Moet-Hennessy....................................... 5,822 1,165,165
Pernod-Ricard............................................ 3,864 267,782
MEDIA
Canal Plus............................................... 1,584 296,049
Havas.................................................... 2 170
MOTOR VEHICLES
Peugeot Sa............................................... 5,723 1,230,543
MISCELLANEOUS FINANCE
Dexia France............................................. 1,540 207,336
NON-FERROUS METALS
Usinor................................................... 26,950 416,328
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
58
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
PRODUCER GOODS
Michelin (Cgde) Class "B'.......... 17,937 $ 1,035,392
Valeo.............................. 3,471 354,791
RETAIL
Carrefour.......................... 2,579 1,631,596
Promodes........................... 1,133 627,776
TELEPHONE
France Telecom..................... 19,000 1,310,447
TRAVEL & RECREATION
Accor.............................. 6,191 1,732,571
-----------
42,098,006
-----------
GERMANY -- 8.38%
AIR TRANSPORT
Lufthansa Ag....................... 34,070 855,037
BANKS
Bayer Vereinsbank.................. 19,240 1,636,169
Deutsche Bank...................... 34,500 2,921,455
Dresdner Bank...................... 30,190 1,627,386
CHEMICALS
Basf (Var)...........................36,560 1,731,757
Bayer (Var)........................ 49,770 2,567,036
Schering........................... 5,640 664,601
CONSTRUCTION
Hochtief........................... 11,470 549,660
DRUGS AND MEDICINE
Beiersdorf AG Ser "ABC'............ 6,200 394,663
ELECTRONICS
Siemens AG......................... 35,990 2,189,267
SAP AG............................. 4,850 2,942,188
SAP AG N/V Pref.................... 4,000 2,719,062
ENERGY & UTILITIES
Deutsche Telekom................... 120,250 3,244,357
Rwe AG............................. 18,460 1,094,284
Rwe AG N/V Pref.................... 9,750 419,161
Veba............................... 32,400 2,207,825
INSURANCE
Allianz (Regd)..................... 15,030 4,954,394
Allianz (RFD 01/01/98)*............ 406 132,707
Munchener Ruckvers Reg Vink........ 6,690 3,317,140
MOTOR VEHICLES
Daimler-Benz (Var)................. 33,979 3,331,950
Volkswagen (Var)................... 2,968 2,852,844
RETAIL
Metro AG........................... 23,091 1,400,785
PRODUCER GOODS
Linde.............................. 556 389,655
Mannesmann (Var)................... 28,260 2,866,653
Man AG Non Vtg Pref (Var).......... 2,900 785,636
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
59
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
STEEL
Preussag Br (Var)....................................... 2,594 $ 925,487
Thyssen................................................. 2,466 624,344
Viag (Var).............................................. 2,023 1,367,321
-----------
50,712,824
-----------
HONG KONG -- 0.91%
AIR TRANSPORT
Cathay Pacific Airways.................................. 127,000 89,326
BANKS
Bank of East Asia....................................... 8,716 9,449
Hang Seng Bank.......................................... 100,800 569,787
ENERGY & UTILITIES
CLP Holdings............................................ 96,700 440,534
Hong Kong Electric...................................... 20,000 61,947
Hong Kong & China Gas................................... 285,035 323,712
Hong Kong & China Gas Warrants 09/30/99*................ 12,956 886
MULTI-INDUSTY & CONGLOMERATES
Hutchinson Whampoa...................................... 191,000 1,008,172
MISCELLANEOUS FINANCE
Guoco Group............................................. 6,000 6,311
Swire Pacific "A'....................................... 90,500 341,627
Wharf (Holdings)........................................ 101,000 99,715
Wing Lung Bank.......................................... 53,540 124,374
REAL PROPERTY
Cheung Kong (Holdings).................................. 129,000 634,297
Hopewell Holdings....................................... 217,000 23,244
Hysan Development....................................... 60,000 49,557
Hysan Development Warrants 04/30/99*.................... 6,000 50
New World Development Co................................ 85,907 166,302
Sun Hung Kai Properties................................. 110,700 470,026
TELEPHONE
Hong Kong Telecomm...................................... 587,896 1,103,930
-----------
5,523,247
-----------
IRELAND -- 4.62%
BANKS
Allied Irish Banks...................................... 471,401 6,805,397
Bank of Ireland (Dublin Listing)........................ 189,271 3,867,625
CONSTRUCTION
CRH..................................................... 413,270 5,862,427
FOOD & AGRICULTURE
Greencore Group......................................... 235,322 1,280,117
Kerry Group "A'......................................... 162,538 2,244,465
INSURANCE
Irish Life.............................................. 333,022 3,065,770
MEDIA
Independent News (Dublin Listing)....................... 276,452 1,484,578
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
60
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
PAPER & FOREST PRODUCTS
Smurfit (Jefferson) (Dublin Listing).................. 1,121,051 $ 3,330,639
-----------
27,941,019
-----------
ITALY -- 0.99%
BANKS
BCA Comm Italiana..................................... 80,000 478,411
Credito Italiano...................................... 80,000 418,779
ENERGY & UTILITIES
T.I.M. SPA............................................ 170,000 1,039,577
Telecom Italia SPA.................................... 110,000 809,738
INSURANCE
Assic Generali........................................ 26,000 845,433
INA (Ist Naz Ass)..................................... 200,000 568,198
INTERNATIONAL OIL
ENI (regd)............................................ 116,000 760,260
MEDIA
Mediaset.............................................. 80,000 510,590
MISCELLANEOUS FINANCE
IMI SPA............................................... 36,000 567,073
-----------
5,998,059
-----------
JAPAN -- 11.33%
AIR TRANSPORT
Japan Airlines Co*.................................... 110,000 305,941
BANKS
Asahi Bank............................................ 114,000 501,063
Bank of Tokyo MITS--Ex Mitsubishi Bank................ 156,000 1,651,216
Dai-Ichi Kangyo Bank.................................. 155,000 910,221
Fuji Bank............................................. 144,000 642,260
Industrial Bank of Japan.............................. 106,000 664,481
Joyo Bank............................................. 62,000 228,728
Sakura Bank........................................... 127,000 329,430
Sumitomo Bank......................................... 150,000 1,459,091
Tokai Bank............................................ 97,000 533,977
BUSINESS MACHINES
Canon Inc............................................. 69,000 1,566,091
Fujitsu............................................... 128,000 1,346,543
Ricoh................................................. 75,000 789,530
CHEMICALS
Asahi Chemical Industries............................. 140,000 504,377
Dainippon Ink & Chemical.............................. 82,000 251,108
Sekisui Chemical...................................... 40,000 204,633
Shin-Etsu Chemical.................................... 32,000 553,374
Showa Denko Kk*....................................... 131,000 132,147
Sumitomo Chemical..................................... 135,000 416,327
Toray Industries Inc.................................. 147,000 762,618
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
61
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------- ------------
<S> <C> <C>
CONSTRUCTION
Daiwa House Industry.................................... 60,000 $ 529,596
Obayashi Corp........................................... 35,000 148,287
Sekisui House........................................... 157,000 1,216,089
Shimizu Corp............................................ 56,000 161,401
Toto.................................................... 40,000 242,966
CONSUMER DURABLES
Matsushita Electric Industries.......................... 197,000 3,165,399
Sanyo Electric Co....................................... 154,000 466,045
Sharp Corp.............................................. 63,000 510,228
DRUGS & MEDICINE
Daiichi Pharm Co........................................ 82,000 1,081,241
Sankyo Co............................................... 58,000 1,320,604
Takeda Chemical Industries.............................. 90,000 2,392,910
ELECTRONICS
Hitachi................................................. 233,000 1,519,364
Kyocera................................................. 17,000 830,493
Mitsubishi Electric Corp................................ 125,000 287,315
Omron Corp.............................................. 36,000 549,915
Sony.................................................... 42,500 3,659,437
Tokyo Electron.......................................... 10,000 306,229
ENERGY & UTILITIES
Kansai Electric Power................................... 59,100 1,026,271
Osaka Gas Co............................................ 271,000 695,147
Tokyo Electric Power.................................... 102,300 2,004,943
Tokyo Gas Co............................................ 137,000 305,026
FOOD & AGRICULTURE
Ajinomoto Co............................................ 74,000 647,837
INTERNATIONAL OIL
Japan Energy Corp....................................... 138,000 146,169
Nippon Oil Co........................................... 120,000 387,362
MEDIA
Dai Nippon Printing..................................... 74,000 1,181,035
MULTI-INDUSTRY
Itochu Corp............................................. 167,000 360,990
Marubeni Corp........................................... 208,000 415,146
Mitsubishi.............................................. 78,000 483,337
Sumitomo Corp........................................... 74,000 355,644
MISCELLANEOUS FINANCE
Daiwa Securities........................................ 149,000 640,941
Mitsubishi Trust & Banking.............................. 50,000 424,758
Nomura Securities....................................... 127,000 1,477,861
Orix Corp............................................... 7,000 472,601
MOTOR VEHICLES
Honda Motor Co.......................................... 64,000 2,278,056
Nissan Motor Co......................................... 131,000 412,487
Toyota Motor Corp....................................... 186,000 4,811,326
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
62
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
NON-FERROUS METALS
Tostem Corp............................................. 19,000 $ 246,150
PAPER & FOREST PRODUCTS
Daishowa Paper Manufacturing*........................... 13,000 83,554
Oji Paper Co............................................ 48,000 208,899
PRODUCER GOODS
Bridgestone Corp........................................ 53,000 1,252,585
Komatsu................................................. 70,000 339,950
Kubota Corp............................................. 136,000 313,579
Mitsubishi Heavy Industries............................. 247,000 932,579
Denso Corp.............................................. 61,000 1,010,916
Sumitomo Heavy Industries............................... 83,000 189,581
Toyo Seikan Kaisha...................................... 15,000 183,737
RAILROADS & SHIPPING
East Japan Railway...................................... 38 178,521
Hankyu Corp............................................. 89,000 364,888
Mitsui Osk Lines*....................................... 94,000 159,844
Nagoya Railroad Co...................................... 98,000 296,574
Tokyu Corp.............................................. 148,000 448,953
REAL PROPERTY
Mitsubishi Estate....................................... 153,000 1,344,958
RETAIL
Ito-Yokado Co........................................... 38,000 1,787,945
Mycal Corp.............................................. 78,000 494,578
Seven-Elevan Japan Npv.................................. 28,000 1,666,462
STEEL
Kawasaki Steel Corp..................................... 131,000 235,976
Nippon Steel Corp....................................... 341,000 599,517
NKK Corp................................................ 139,000 133,206
Sumitomo Metal Industries............................... 262,000 420,982
TELEPHONE
Nippon Tel & Tel........................................ 494 4,093,381
TRAVEL & RECREATION
Fuji Photo Film......................................... 24,000 835,249
Nikon................................................... 13,000 93,483
-----------
68,583,657
-----------
MEXICO -- 4.42%
BANKS
Gpo Financiero Banamex-Ac Series "B'*................... 384,000 727,315
Gpo Financiero Banamex-Ac Series "L'*................... 109,017 171,787
CONSTRUCTION
Cemex Sa Ser "A'........................................ 383,937 1,431,320
Cemex Sa (CPO).......................................... 191,768 717,046
FOOD & AGRICULTURE
Grupo Ind Bimbo Series "A'.............................. 583,777 1,156,375
Gpo Modelo Sa de C Ser "C' (Mexican).................... 218,200 1,809,018
LIQUOR & TOBACCO
Empresas La Modern "A'*................................. 153,500 884,851
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
63
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
MEDIA
Fomento Economico Mexico SA ADR.................... 33,420 $ 1,052,730
Grupo Televisa Ptg Certs Repr 1 A,L,D Shs*......... 125,200 2,357,418
MISCELLANEOUS FINANCE
Grupo Financiero Bancomer Series "B'*.............. 2,756,800 1,015,465
MULTI-INDUSTRY
Desc Sa de Cv Ser "B'*............................. 309,100 1,584,020
Apasco Sa Com (Mexican)............................ 79,900 416,126
GPO Mexico Ser "B' (Mexican)....................... 203,300 556,550
MULTI-INDUSTRY & CONGLOMERATES
Alfa Sa Series "A' (Cpo)............................. 259,601 1,063,129
GPO Carso Series "A1'.............................. 428,900 1,763,609
NON-FERROUS METALS
Industrias Penoles................................. 164,000 520,140
PAPER & FOREST PRODUCTS
Kimberly Clark Mexico "A'.......................... 584,500 2,029,416
RETAIL
Cifra Sa De Cv Series "V'*......................... 1,284,860 1,881,671
TELEPHONE
Telefonos De Mexico Series "L' (Ltd Vtg)........... 2,340,300 5,586,383
-----------
26,724,370
-----------
NETHERLANDS -- 5.41%
AIR TRANSPORT
KLM................................................ 10,016 406,702
BANKS
ABN Amro Holding................................... 113,128 2,647,151
CHEMICALS
Oce................................................ 6,000 255,429
CHEMICALS
Akzo Nobel Nv...................................... 8,742 1,943,314
CONSTRUCTION
Hollandsche Benton................................. 10,000 208,433
ELECTRONICS
Philips Electronic................................. 26,861 2,257,979
FOOD & AGRICULTURE
Ahold (kon) Nv..................................... 37,630 1,207,950
Unilever........................................... 57,108 4,531,084
INSURANCE
ING Groep Nv Cva................................... 70,584 4,621,811
INTERNATIONAL OIL
Royal Dutch Petroleum (Br)......................... 147,364 8,171,507
Royal Dutch Petroleum NY Registry.................. 16,800 920,850
LIQUOR & TOBACCO
Heineken Nv........................................ 19,881 780,884
MEDIA
Elsevier Nv........................................ 74,349 1,122,058
Wolters Kluwer Cva................................. 5,473 751,177
</TABLE>
See Notes to Financial Statements
Pegasus Funds
64
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
PAPER & FOREST PRODUCTS
KNP BT (Kon) Nv......................................... 7,455 $ 192,402
STEEL
Kon Hoogovens Nv Cva.................................... 3,715 160,710
TELEPHONE
Koninklijke KPN......................................... 39,598 1,524,181
TNT Post Groep*......................................... 39,598 1,012,228
-----------
32,715,851
-----------
NORWAY -- 3.02%
AIR TRANSPORT
Helicopter Service...................................... 6,000 60,989
BANKS
Den Norske Bank......................................... 115,000 602,460
Christiana Bank......................................... 70,000 292,824
CHEMICALS
Dyno Industrier......................................... 18,700 333,862
CONSTRUCTION
Aker As "B'............................................. 10,500 149,833
DRUGS & MEDICINE
Nycomed Amersham........................................ 220,125 1,635,116
ENERGY & UTILITIES
Hafslund Ser "A'........................................ 49,997 270,394
Hafslund Ser "B'........................................ 30,219 119,324
FOOD & AGRICULTURE
Orkla ASA "A'........................................... 103,028 2,396,612
Orkla ASA "B'........................................... 29,400 618,763
INSURANCE
Storebrand Asa "A'*..................................... 159,650 1,414,758
INTERNATIONAL OIL
Norsk Hydro As.......................................... 124,670 5,483,275
MOTOR VEHICLES
Petroleum Geo Svs....................................... 34,824 1,084,628
NON-FERROUS METALS
Elkem Asa............................................... 27,248 326,683
PAPER & FOREST PRODUCTS
Norske Skogsindust "A'.................................. 16,700 515,785
PRODUCER GOODS
Aker Asa Ser "A'........................................ 26,100 409,857
Kvaerner As Series "A'.................................. 20,600 697,983
Kvaerner As Series "B'.................................. 7,900 243,994
Transocean Offshore..................................... 4,000 177,232
RAILROAD & SHIPPING
Bergesen Dy As "A'...................................... 36,050 685,903
Bergesen Dy As "B' Non-Voting........................... 15,150 283,315
Bona Shipholding........................................ 1,025 7,347
Leif Hoegh & Co......................................... 18,447 269,245
Unitor As............................................... 11,600 170,821
-----------
18,251,002
-----------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
65
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
SINGAPORE -- 1.52%
AIR TRANSPORT
Singapore Airlines (Alien Market)..................... 329,000 $1,538,401
BANKS
Dev Bank Singapore (Alien Market)..................... 244,725 1,354,368
Overseas Chinese Bank (Alien Market).................. 229,299 780,399
United Overseas Bank (Alien Market)................... 264,404 821,626
ELECTRONICS
Creative Technology*.................................. 15,000 182,009
Elec & Eltek Intl Co Ltd.............................. 40,000 135,200
ENERGY & UTILITIES
Singapore Telecom..................................... 1,348,000 1,914,908
LIQUOR & TOBACCO
Fraser & Neave........................................ 87,400 234,863
Straits Trading Co.................................... 127,000 74,795
MOTOR VEHICLES
Cycle & Carriage...................................... 102,000 248,739
MULTI-INDUSTRY & CONGLOMERATES
Singapore Tech Ind.................................... 160,000 118,380
PRODUCER GOODS
Keppel Corp........................................... 350,750 527,325
REAL PROPERTY
City Developments..................................... 330,600 923,616
DBS Land.............................................. 328,000 271,799
Keppel Land Ltd....................................... 114,000 104,588
----------
9,231,015
----------
SPAIN -- 6.53%
BANKS
Argentaria Corp Bc.................................... 88,532 1,989,353
Banco Bilbao Vizcaya (Regd)........................... 123,510 6,349,360
Banco Central Hispan (Regd)........................... 68,251 2,148,865
Banco Santander (Regd)................................ 171,654 4,400,953
CONSTRUCTION
Fomento Const Y Contra................................ 15,656 808,929
ENERGY & UTILITIES
Endesa Sa (Regd)...................................... 181,632 3,980,504
Gas Natural Sdg Sa.................................... 25,444 1,841,528
Iberdrola Sa.......................................... 138,600 2,254,321
Union Electrical Fenosa............................... 64,228 828,599
INSURANCE
Corporation Mapfre.................................... 16,992 597,145
INTERNATIONAL OIL
Repsol Sa............................................. 52,224 2,882,571
LIQUOR & TOBACCO
Tabacalera Sa Series "A' (Regd)....................... 37,445 768,027
NON-FERROUS METALS
Acerinox Sa (Regd).................................... 2,627 350,404
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
66
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
PRODUCER GOODS
Zardoya-Otis............................................ 22,660 $ 674,960
Zardoya-Otis New (B/R 07/29/98)*........................ 22,660 112,197
RAILROADS & SHIPPING
Autopistas Cesa......................................... 52,811 819,297
Autopistas Cesa New (B/R 07/10/98)*..................... 52,811 40,361
REAL PROPERTY
Vallehermoso Sa......................................... 9,664 356,032
TELEPHONE
Telefonica De Espana.................................... 179,128 8,295,887
-----------
39,499,292
-----------
SWEDEN -- 1.47%
APPAREL
Hennes & Mauritz Ser "B'................................ 14,000 893,548
BANKS
Svenska Handelsbkn Ser "A'.............................. 29,000 1,345,463
Svenska Hankelsbkn (B/R into Balder 06/17/98)*.......... 29,000 29,091
DRUGS & MEDICINE
Astra AB Ser "A'........................................ 75,000 1,532,926
ELECTRONICS
Ericsson (LM) Tel....................................... 100,000 2,921,650
MOTOR VEHICLES
Volvo (AB).............................................. 18,000 536,054
PAPER & FOREST PRODUCTS
Mo Och Domsjo AB Ser "B'................................ 5,000 142,948
Stora Kopparbergs Ser "A'............................... 50,000 786,839
RAILROADS & SHIPPING
ABB Ser "A'............................................. 51,000 722,638
-----------
8,911,156
-----------
SWITZERLAND -- 4.11%
BANKS
Credit Suisse Group (Regd).............................. 9,524 2,119,150
UBS AG (Regd)........................................... 10,807 4,018,539
CONSTRUCTION
Holderbank Fn Glarus (Br)............................... 558 710,003
CONSUMER DURABLES
Smh Ag Neuenburg (Regd)................................. 725 120,928
Swatch Group (Br)....................................... 165 127,491
DRUGS & MEDICINE
Roche Holdings AG Genusscheine Npv...................... 483 4,743,033
Novartis Ag (Regd)...................................... 2,171 3,612,582
Novartis Ag (Br)........................................ 970 1,615,376
ELECTRONICS
Abb (Br)................................................ 550 812,230
FOOD & AGRICULTURE
Nestle Sa (Regd)........................................ 1,874 4,010,390
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
67
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
INSURANCE
Schw Ruckversicher (Regd)............................... 30 $ 75,870
Zurich Versicherun (Regd)............................... 4,094 2,612,713
NON-FERROUS METALS
Alusuisse-Lonza Holdings (Regd)......................... 248 314,576
-----------
24,892,882
-----------
THAILAND -- 0.00%
BANKS
Siam Commercial Bank Wts (expire 12/31/02)*............. 27,833 1,746
-----------
UNITED KINGDOM -- 15.31%
AIR TRANSPORT
British Airways......................................... 83,582 900,193
AEROSPACE
British Aerospace....................................... 83,601 641,647
BANKS
Abbey National.......................................... 71,613 1,276,115
Barclays................................................ 115,565 3,337,722
Hsbc Holdings (UK Regd)................................. 86,894 2,110,950
Hsbc Holdings (UK Regd)................................. 162,331 4,119,622
LLoyds Bank............................................. 364,360 5,088,419
CHEMICALS
Boc Group............................................... 40,408 551,502
Imperial Chemical Industries............................ 77,314 1,246,126
CONSTRUCTION
English China Clay...................................... 44,238 152,789
Hanson.................................................. 69,197 419,969
Rmc Group............................................... 26,670 463,234
Taylor Woodrow.......................................... 109,591 367,534
DRUGS & MEDICINE
Glaxo Welcome Ord....................................... 210,829 6,345,906
Smithkline Beecham...................................... 348,700 4,244,280
Zeneca Group............................................ 57,538 2,472,058
ELECTRONICS
General Electric Co..................................... 227,008 1,956,312
ENERGY & UTILITIES
BG...................................................... 284,572 1,647,587
Centrica*............................................... 254,516 431,030
National Power.......................................... 78,850 742,006
Scottish Power.......................................... 22,356 197,322
Thames Water............................................ 63,355 1,156,445
FOOD & AGRICULTURE
Associated British Foods................................ 66,299 623,897
Cadbury Schweppes....................................... 54,993 851,495
Kingfisher.............................................. 48,396 784,071
Sainsbury (J)........................................... 127,180 1,128,904
Tesco................................................... 158,205 1,542,878
Unilever Ord............................................ 229,704 2,466,288
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
68
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
INSURANCE
Prudential Corp........................................ 197,160 $ 2,598,799
Royal & Sun Alliance................................... 147,158 1,501,437
INTERNATIONAL OIL
British Petroleum...................................... 398,706 5,804,234
LIQUOR & TOBACCO
BAT Industries......................................... 218,340 2,180,340
Bass................................................... 67,253 1,256,772
Diageo Ord............................................. 343,423 4,088,369
Imperial Tobacco....................................... 31,370 230,562
Safeway................................................ 152,821 1,004,630
MEDIA
British Sky Broadcasting............................... 94,124 678,046
Carlton Communications................................. 56,450 503,429
Reed International..................................... 40,000 361,398
Reuters Holdings....................................... 150,644 1,724,260
PRODUCER GOODS
Btr.................................................... 258,291 733,708
Rio Tinto.............................................. 95,719 1,078,823
Rolls Royce............................................ 125,264 517,806
Smiths Industries...................................... 42,710 597,173
REAL PROPERTY
Mepc................................................... 124,143 1,095,733
RETAIL
Argos.................................................. 30,245 315,399
Boots Co............................................... 62,274 1,035,926
Great Univ Stores...................................... 68,436 902,637
Marks & Spencer........................................ 211,891 1,933,867
Sears.................................................. 237,891 211,361
STEEL
British Steel.......................................... 232,983 515,071
TELEPHONE
British Telecom........................................ 428,698 5,275,216
Cable & Wireless....................................... 179,538 2,185,287
Vodafone Group......................................... 280,189 3,557,644
TRAVEL & RECREATION
Emi Group.............................................. 51,062 447,711
Granada................................................ 80,310 1,479,331
Ladbroke Group......................................... 199,568 1,101,330
Rank Group............................................. 89,318 486,201
Thorn.................................................. 4,052 15,550
------------
92,684,351
------------
TOTAL COMMON STOCKS...................................... 573,929,581
------------
(Cost $442,527,736)
TOTAL INVESTMENTS........................................ $605,266,393
============
(Cost $473,864,548)
</TABLE>
* Non-income producing security
See Notes to Financial Statements.
Pegasus Funds
69
<PAGE>
PEGASUS INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
NOTES TO PORTFOLIO INVESTMENTS
(A) FORWARD FOREIGN CURRENCY CONTRACTS
As of June 30, 1998, the Fund had entered into two forward foreign currency
exchange contracts that obligate the Fund to deliver currencies at specified
future dates.
Outstanding contracts as of June 30, 1998 are as follows:
<TABLE>
<CAPTION>
U.S. U.S.
DOLLAR DOLLAR
VALUE AS VALUE AS UNREALIZED
CURRENCY TO OF JUN. CURRENCY TO OF JUN. APPRECIATION
SETTLEMENT DATE BE RECEIVED 30, 1998 BE DELIVERED 30, 1998 AT 6/30/98
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
July 3, 1998..... 5,470,341,944 $3,077,461 3,066,507 $3,066,507 $10,954
Italian lira U.S. Dollars
July 31, 1998.... 12,689,292 $2,098,781 2,094,738 $2,094,738 $ 4,043
French Franc U.S. Dollars
</TABLE>
(B) FINANCIAL FUTURES CONTRACTS
Outstanding contracts as of June 30, 1998 are as follows:
<TABLE>
<CAPTION>
MARKET
VALUE UNREALIZED
NUMBER OF EXPIRATION COVERED BY APPRECIATION
TYPE CONTRACTS DATE CONTRACTS AT 6/30/98
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Financial Futures purchased
long:
Japanese Yen - TOPIX*...... 175 Sept. 15, 1998 $15,440,248 $292,719
</TABLE>
* Exchange traded local currency denominated futures contracts.
Pegasus Funds
70
<PAGE>
PEGASUS INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 2.44%
Pegasus Cash Management Fund Class I (in shares)..... 14,367,674 $ 14,367,674
------------
(Cost $14,367,674)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 77.85%
U.S. Treasury Securities -- 39.87%
Strips from U.S. Treasury Securities due:
11/15/98........................................... $ 7,600,000 7,453,624
2/15/99............................................ 7,660,000 7,408,675
2/15/01............................................ 3,300,000 2,859,846
8/15/01............................................ 2,250,000 1,895,693
8/15/08............................................ 5,350,000 3,045,006
11/15/10........................................... 5,000,000 2,494,500
11/15/11........................................... 2,250,000 1,057,725
2/15/13............................................ 1,000,000 437,090
U.S. Treasury Bonds:
10.375% 11/15/09................................... 2,700,000 3,378,378
12.75%, 11/15/10................................... 39,926,000 56,863,408
10.375%, 11/15/12.................................. 14,045,000 18,807,098
12.50%, 8/15/14.................................... 1,000,000 1,557,500
U.S. Treasury Notes:
7.00%, 4/15/99..................................... 1,000,000 1,011,250
9.125%, 5/15/99.................................... 8,700,000 8,963,697
6.875%, 7/31/99.................................... 8,000,000 8,111,280
7.75%, 11/30/99.................................... 31,000,000 31,925,040
7.75%, 1/31/00..................................... 3,000,000 3,099,360
7.125%, 2/29/00.................................... 35,900,000 36,797,500
6.25%, 5/31/00..................................... 2,900,000 2,938,048
8.75%, 8/15/00..................................... 21,350,000 22,711,063
8.00%, 5/15/01..................................... 2,500,000 2,661,725
6.625%, 3/31/02.................................... 360,000 372,881
7.25%, 5/15/04..................................... 1,000,000 1,085,000
7.25%, 8/15/04..................................... 340,000 369,910
7.875%, 11/15/04................................... 385,000 432,401
6.875%, 5/15/06.................................... 600,000 649,686
6.50%, 10/15/06.................................... 350,000 371,655
3.625%, 7/15/02 Inflation Protection Series........ 4,664,248 4,613,221
3.375%, 1/15/07 Inflation Protection Series........ 1,223,628 1,185,010
------------
(Cost $230,005,305) 234,557,268
------------
Agency Obligations -- 37.98%
Federal Home Loan Mortgage Corp. Participation Ctf.:
#170269,12.00%, 8/1/15............................. 826,959 933,546
#252600, 7.50%, 9/1/08............................. 170,741 173,563
#252601, 8.00%, 6/1/01............................. 145,334 147,514
#555238, 12.00%, 7/1/19............................ 362,131 408,821
Federal Home Loan Mortgage Corp. Gtd. Multi-Class
Mortgage Participation Ctfs.:
Series 11 Class D, 9.50%, 7/15/19.................. 1,300,000 1,402,285
Series 23 Class E, 9.40%, 8/15/19.................. 123,681 124,876
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
71
<PAGE>
PEGASUS INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Series 24-Z 6025, 11/25/23......................... $ 800,000 $ 789,496
Series G-29 Class SD, IF, IO, 4/25/24.............. 7,666,402 258,917
Series 41 Class I, HB, 84.00%, 5/15/20............. 53,830 169,360
Series 46 Class B, 7.80%, 9/15/20.................. 1,186,109 1,225,234
Series 47 Class F, 10.00%, 6/15/20................. 485,116 521,536
Series 99 Class Z, 9.50%, 1/15/21.................. 1,146,693 1,232,706
Series 204 Class E, HB, IF, 5/15/23................ 6,315 146,384
Series 1072 Class A, HB, 1008.50%, 5/15/06......... 11,903 241,494
Series 1079 Class S, IF, 5/15/21................... 557,241 656,536
Series 1084 Class F, AR, 5/15/21................... 399,036 406,831
Series 1084 Class S, IF, 5/15/21................... 279,325 370,184
Series 1098 Class M, HB, 1008%, 6/15/06............ 1,819 37,130
Series 1144 Class KB, 8.50%, 9/15/21............... 2,250,000 2,350,505
Series 1172 Class L, HB, 1167.776%, 11/15/21....... 10,847 296,461
Series 1196 Class B, HB, IF, 1/15/22............... 31,616 431,931
Series 1250 Class J, 7.00%, 5/15/22................ 1,100,000 1,117,370
Series 1295 Class JB, 4.50%, 3/15/07............... 1,500,000 1,426,226
Series 1298 Class L, HB, 981.86%, 6/15/07.......... 6,000 171,842
Series 1329 Class S, IO, IF, 8/15/99............... 2,317,734 65,627
Series 1347 Class BH, 7.75%, 12/15/21.............. 1,000,000 1,041,986
Series 1389 Class SA, IF, 10/15/07................. 403,027 373,718
Series 1414 Class LB, IF, 11/15/07................. 919,631 925,445
Series 1418 Class B, 6.50%, 11/15/19............... 1,250,000 1,255,666
Series 1446 Class G, 7.15%, 2/15/20................ 4,500,000 4,604,121
Series 1450 Class F, 12/15/07...................... 583,450 582,837
Series 1465 Class SA, IO, IF, 2/15/08.............. 11,500,551 475,893
Series 1470 Class F, AR, 2/15/23................... 677,147 672,247
Series 1483 Class FB, AR, 12/15/22................. 2,491,196 2,514,575
Series 1484 Class O, 6.00%, 4/15/23................ 729,392 718,085
Series 1487 Class IB, AR, 3/15/23.................. 767,498 742,587
Series 1489 Class L, 5.50%, 4/15/08................ 459,855 454,973
Series 1506 Class F, AR, 5/15/08................... 1,334,891 1,347,354
Series 1506 Class SD, IO, IF, 5/15/08.............. 7,062,786 361,841
Series 1506 Class S, IF, 5/15/08................... 228,015 226,627
Series 1513 Class TA, AR, 5/15/08.................. 1,447,246 1,438,931
Series 1531 Class K, 6.00%, 4/15/08................ 873,515 858,930
Series 1543 Class KC, AR, 9/15/22.................. 523,301 517,747
Series 1565 Class K, 8/15/08....................... 828,061 719,351
Series 1583 Class NS, IF, 9/15/23.................. 866,804 812,269
Series 1586 Class A, 6.00%, 9/15/08................ 1,048,010 1,043,695
Series 1589 Class Z, 6.25%, 9/15/23................ 6,723,054 6,413,081
Series 1595 Class S, IO, IF, 10/15/13.............. 12,156,719 504,686
Series 1600 Class SC, AR, 10/15/08................. 850,000 914,906
Series 1603 Class IF, AR, 1/15/23.................. 3,000,000 3,063,537
Series 1619 Class CS, AR, 11/15/23................. 1,111,862 1,136,727
Series 1628 Class S, IF, 12/15/23.................. 2,500,000 1,960,333
Series 1635 Class O, AR, 12/15/08.................. 2,207,874 2,228,517
Series 1640 Class A, 5.50%, 10/15/07............... 1,214,368 1,199,234
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
72
<PAGE>
PEGASUS INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Series 1646 Class MB, AR, 10/15/22................ $ 2,238,038 $ 2,222,309
Series 1646 Class MD, AR, 10/15/22................ 952,357 976,285
Series 1647 Class FB, AR, 12/15/08................ 603,612 598,988
Series 1647 Class SB, IF, 12/15/08................ 1,126,742 1,124,088
Series 1655 Class F, AR, 12/15/08................. 1,798,061 1,831,426
Series 1655 Class SA, IF, 12/15/08................ 217,052 199,690
Series 1666 Class E, 6.00%, 12/15/19.............. 250,000 250,127
Series 1685 Class Z, 6.00%, 11/25/23.............. 518,436 484,228
Series 1689 Class SD, IF, 10/15/23................ 1,500,000 1,543,029
Series 1694 Class SE, IF, 5/15/23................. 1,148,804 1,139,623
Series 1700 Class GA, PO, 2/15/24................. 2,274,398 1,547,644
Series 1709 Class C, 5.50%, 12/15/19.............. 1,618,411 1,605,614
Series 1796-A, Class S, IF, 2/15/09............... 1,391,843 1,300,462
Series 1807 Class G, 9.00%, 1/1/06................ 814,729 864,571
Series 1849 Class A, PO, 12/15/08................. 1,000,000 681,115
Series 1854 Class SE, IO, IF, 12/15/23............ 2,500,000 526,650
Series 1859 Class SB, IO, AR, 10/15/23............ 6,340,714 1,091,212
Series 1900 Class FA, AR, 3/15/09................. 3,000,000 3,020,916
Series 1900 Class I, PO, 10/15/08................. 897,672 715,310
Series 1927 Class F, AR, 10/15/23................. 2,491,846 2,507,438
Series 1956 Class A, 7.00%, 12/20/21.............. 1,295,574 1,306,190
Series 1967, P/O, 10/15/08........................ 3,500,000 2,851,016
Series 1993 Class SJ, IF, IO, 3/15/12............. 5,610,339 461,349
Series 2002 Class A, PO, 11/15/22................. 3,500,000 2,505,678
Series 2017 Class SE, AR, 12/15/08................ 889,650 826,082
Series 2023 Class PN, IO, 7.00%, 3/15/28.......... 7,920,795 1,962,686
Federal Housing Administration Project #07335307,
7.43%, 1/1/22..................................... 966,177 984,293
Federal Housing Administration Greystone 1996-2,
7.43%, 11/1/22.................................... 1,897,084 1,944,511
Federal National Mortgage Assn. Mortgage Backed
Securities Stripped Trust 50, Class 2, IO, 10.50%,
3/25/19........................................... 152,848 42,254
Federal National Mortgage Assn. Pass Thru
Securities:
Guaranteed Remic Trust:
1988 Class 7-Z, 9.25%, 4/25/18.................... 436,689 460,100
1988 Class 17-B, 9.40%, 10/25/17.................. 19,388 19,539
1989 Class 26-D, 10.00%, 5/25/04.................. 443,686 463,359
1989 Class 70-G, 8.00%, 10/25/19.................. 2,000,000 2,087,594
1989 Class 73-C, PO, 10/25/19..................... 151,308 140,246
1989 Class 78-H, 9.40%, 11/25/19.................. 1,750,000 1,905,953
1989 Class 83, 8.50%, 11/25/19.................... 1,216,450 1,264,712
1989 Class 89-H, 9.00%, 11/25/19.................. 1,388,757 1,455,122
1990 Class 1-D, 8.80%, 1/25/20.................... 613,968 649,479
1990 Class 60-K, 5.50%, 6/25/20................... 878,475 848,006
1990 Class 63-H, 9.50%, 6/25/20................... 755,000 805,723
1990 Class 93-G, 5.50%, 8/25/20................... 856,654 838,439
1990 Class 94-H, HB, 5.05%, 8/25/20............... 13,489 187,235
1990 Class 95-J, HB, 1118.04%, 8/25/20............ 6,535 225,060
1990 Class 102-J, 6.50%, 8/25/20.................. 3,040,770 3,048,630
1990 Class 120-H, 9.00%, 10/25/20................. 1,000,000 1,093,625
1990 Class 134-SC, IF, 11/25/20................... 375,799 437,603
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
73
<PAGE>
PEGASUS INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
1990 Class 140-K, HB, 652.145%, 12/25/20.......... $ 13,307 $ 341,248
1991 Class 4-N, HB, 758.75%, 1/25/06.............. 1,845 28,345
1991 Class 7-K, HB, 908.50%, 2/25/21.............. 1,039 25,533
1991 Class 20-M, HB, 908.75%, 3/25/06............. 989 17,373
1991 Class 33-J, HB, 1008.25%, 4/25/06............ 2,283 46,611
1991 Class 161-H, 7.50%, 2/25/21.................. 165,334 165,940
1992 Class 13-S, HB, IF, 1/25/99.................. 3,933 12,263
1992 Class 27-G, AR, 5/25/22...................... 219,525 335,873
1992 Class 42-Z, 7.00%, 7/25/22................... 755,645 769,107
1992 Class 66-HB, 4.00%, 6/25/20.................. 1,000,000 940,643
1992 Class 66-JB, 5.00%, 11/25/21................. 2,800,000 2,560,074
1992 Class 85S, IF, 06/25/99...................... 591,003 617,186
1992 Class 137-BA, 3.50%, 1/25/17................. 246,065 244,248
1992 Class 142, 5.50%, 9/25/22.................... 700,000 650,827
1992 Class 199-S, IO, IF, 11/25/99................ 4,693,283 140,883
1992 Class 204-B, 6.00%, 10/25/20................. 2,000,000 1,990,046
1992 Class 206-FA, IF, 6/25/18.................... 1,250,000 1,204,115
1992 Class 210-D, 7.20%, 1/25/15.................. 1,634,000 1,650,613
1993 Class 3-B, 3.00%, 9/25/23.................... 2,035,387 1,811,751
1993 Class 5-Z, 6.50%, 2/25/23.................... 989,116 977,776
1993 Class 8-PG, 6.50%, 7/25/18................... 1,000,000 1,001,603
1993 Class 8-SB, IO, IF, 8/25/06.................. 5,979,889 234,005
1993 Class 10-G, 5.00%, 4/25/20................... 1,868,560 1,853,543
1993 Class 12-C, PO, 2/25/23...................... 2,745,101 2,560,946
1993 Class 12-S, IO, 6.25%, 2/25/23............... 2,334,671 116,974
1993 Class 12-SB, HB, IF, 2/25/23................. 25,750 185,532
1993 Class 13-G, 6.00%, 6/25/20................... 1,000,000 996,603
1993 Class 19-G, 5.00%, 5/25/19................... 3,530,000 3,445,262
1993 Class 19-K, 6.50%, 6/25/19................... 1,522,098 1,523,670
1993 Class 22-SA, AR, 9/25/09..................... 745,279 749,015
1993 Class 27-SE, AR, 8/25/23..................... 1,535,674 1,146,556
1993 Class 38-S, IO, IF, 5.52%, 11/25/22.......... 2,727,951 20,061
1993 Class 55-FA, IF, 5/25/08..................... 6,750,000 6,861,058
1993 Class 58-J, 5.50%, 4/25/23................... 378,904 374,019
1993 Class 94-K, 6.75%, 5/25/23................... 242,420 242,758
1993 Class 113-S, IO, IF, 7/25/23................. 4,877,833 247,896
1993 Class 139-S, IF, 8/25/23..................... 2,597,473 2,305,159
1993 Class 152-D, PO, 8/25/23..................... 672,342 654,740
1993 Class 155-LA, 6.50%, 5/25/23................. 500,115 501,354
1993 Class 155-SB, IO, IF, 9/25/23................ 4,259,100 222,219
1993 Class 156-SD, IF, 10/25/19................... 1,000,000 896,228
1993 Class 156-FA, AR, 5/25/16.................... 2,093,870 2,097,639
1993 Class 170-FA, AR, 9/25/08.................... 556,580 550,206
1993 Class 174-SB, IF, 11/25/07................... 1,394,135 1,393,788
1993 Class 187-FE, AR, 11/25/16................... 1,180,000 1,168,638
1993 Class 207-SC, IF, 11/25/23................... 2,206,384 1,955,207
1993 Class 209-KB, 5.659%, 8/25/08................ 2,935,043 2,858,853
1993 Class 214-L, 6.00%, 12/25/08................. 969,962 954,601
1993 Class 220-SD, IF, 11/25/13................... 1,242,669 1,110,208
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
74
<PAGE>
PEGASUS INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
1993 Class 223-FB, AR, 12/25/23.................... $ 721,333 $ 716,345
1993 Class 223-SB, IF, 12/25/23.................... 651,339 645,574
1994 Class 12SB, IF, 1/25/09....................... 1,741,786 1,703,162
1994 Class 13-ZB, 7.00%, 11/17/24.................. 2,825,151 2,821,620
1994 Class 19-C, 5.00%, 1/25/24.................... 1,335,835 1,306,900
1994 Class 26-G, PO, 2/25/24....................... 2,199,391 1,866,720
1994 Class 30-LA, 6.50%, 2/25/09................... 801,696 804,695
1994 Class 36-SG, IO, IF, 8/25/23.................. 3,480,275 202,771
1994 Class 39-F, AR, 3/25/24....................... 862,835 865,139
1994 Class 39-S, IF, 3/25/24....................... 331,860 330,857
1994 Class 41, AR, 3/25/24......................... 375,159 372,697
1994 Class 82-SA, IO, IF, 5/25/23.................. 12,033,587 386,290
1995 Class 13-B, 6.50%, 3/25/09.................... 2,089,861 2,099,011
1996 Class 20-L, PO, 9/25/08....................... 1,655,000 1,231,151
1996 Class 24-K, PO, 2/25/08....................... 1,900,000 1,575,180
1996 Class 27-FA, AR, 3/25/17...................... 1,833,238 1,848,073
1996 Class 39, PO, 9/25/08......................... 1,750,000 1,256,570
1996 Class 46-A, 5.00%, 2/25/09.................... 1,089,810 1,068,733
1996 Class 46-PE, PO, 9/25/06...................... 1,414,752 1,224,499
1996 Class 69-FA, AR, 10/18/23..................... 557,732 559,855
1997 Class 20, IO, IF, 3/25/27..................... 14,361,792 763,114
1997 Class 29PL, IO, 7.50%, 8/18/26................ 1,700,000 553,974
1997 Class 32C, PO, 10/25/21....................... 1,800,000 1,610,017
1997 Class 50FD6, 8.75%, 4/18/27................... 701,035 702,041
1997 Class 59-FA, 6.75%, 3/25/25................... 4,108,677 4,113,809
1997 Class 70, PO, 9/25/22......................... 2,000,000 1,427,762
1997 Class 81-PI, IO, 7.00%, 12/18/27.............. 10,030,256 2,621,748
1997 Class 97-85L, IO, 6.50%, 12/25/20............. 5,255,205 661,473
1997 Class MI, A, IF, 1/17/03...................... 1,881,872 1,903,481
1997-M4 Class A, AR, 3/17/04....................... 6,097,198 6,188,656
Series G-22 Class G, 6.00%,12/25/16................ 1,234,668 1,220,353
Series X-188A, Class F, AR, 2/25/08................ 2,487,762 2,521,471
Series X-G1C, Class C, 8.80%, 1/25/25.............. 900,621 1,025,726
Series 215PM, 7.875%, 11/25/21..................... 1,200,000 1,278,577
Series X, Class VO, IF, 12/25/22................... 2,000,000 2,043,598
Federal National Mortgage Assn. Pass Thru Pool:
#111366, AR, 8/1/19................................ 343,978 358,988
#116612, AR, 3/1/19................................ 1,017,152 1,051,144
#160330, 6.345%, 3/1/99............................ 2,294,388 2,294,817
#303306, 12.50%, 1/1/16............................ 740,960 864,054
#303532, AR, 3/1/29................................ 1,826,955 1,839,885
#411183, 8.50%, 11/1/26............................ 891,683 945,636
#54844, AR, 9/01/27................................ 1,637,684 1,649,103
Government National Mortgage Assn. Pass Thru Pool:
#297628, 8.00%, 9/15/22............................ 1,491,180 1,553,865
#313110, 7.50%, 11/15/22........................... 1,324,546 1,366,174
------------
(Cost $214,166,528) 223,465,578
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS.......... 458,022,846
------------
(Cost $444,171,833)
</TABLE>
See Notes to Financial Statements.
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- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
ASSET BACKED -- 16.14%
Advanta Mortgage Loan Trust Asset Backed
Certificate:
1994 Series, Class A2, 7.60%, 7/25/10............. $ 36,926 $ 36,871
Arcadia Automobile Receivables Trust Asset Backed
Pass Thru Ctfs:
1997 Series B, Class A3, 6.30%, 7/16/01........... 2,000,000 2,008,666
1997 Series C, Class A2, 6.05%, 11/15/00.......... 781,280 782,907
1998 Series A, Class AY, 6.00%, 11/15/03.......... 2,000,000 2,001,356
1998 Series B, Class A3, 5.95%, 11/15/02.......... 2,400,000 2,400,751
1998 Series B, Class A4, 6.00%, 11/15/03.......... 3,000,000 3,001,992
Case Equipment Loan Trust Asset Backed Ctf. :
1994 Series C, Class A2, 8.10%, 6/15/01........... 644,956 647,375
1995 Series B, Class A3, 6.15%, 9/15/02........... 960,462 964,067
1996 Series A, Class A2, 5.50%, 2/15/03........... 4,030,963 4,024,634
Chase Manhattan Grantor Trust Automobile Loan Pass
Thru Ctfs.:
Series 1995-B, Class A, 5.90%, 11/15/01........... 294,215 294,577
Chemical Master Credit Card Asset Backed
Certificate:
Series 1995, Class A, 6.23%, 8/15/02.............. 250,000 254,339
Chevy Chase Auto Receivable Trust Asset Backed Pass
Thru Ctf.:
Series 1997-4, Class A, 6.25%, 6/15/04............ 1,253,872 1,257,876
Collaterized Mortgage Obligation Trust CMO:
Series 12, Class D, 9.50%, 2/1/17................. 231,376 234,070
Series 16, Class Q, IF, 3/20/18................... 151,716 161,850
Collaterized Mortgage Securities Corp. CMO:
Series 88-2 Class B, 8.80%, 4/20/19............... 307,736 323,129
CPS Auto Trust Asset Backed Pass Thru Ctf.:
Series 1997-4, Class A1, 6.07%, 3/15/03........... 2,291,240 2,293,659
First USA Credit Card Master Trust Asset Backed
Pass Thru Ctf.:
Series 1995-1, Class A, AR, 10/15/01.............. 2,000,000 2,001,786
Ford Credit Auto Owner Trust Asset Backed Pass Thru
Ctf.:
Series 1997-B, Class A2, 5.95%, 1/15/00........... 1,700,000 1,702,385
Green Tree Financial Corp. Loan Trust Asset Backed
Ctf.:
Series 1993-4, Class A2, 5.85%, 1/15/19........... 1,100,530 1,101,183
Series 1994-B, Class A2, 7.30%, 11/15/19.......... 60,976 61,038
Series 1994-B1, Class A1, 7.15%, 7/15/14.......... 78,928 80,311
MBNA Master Credit Card Trust Asset Backed Ctf.:
Series 1994-C, Class A, AR, 3/15/04............... 345,000 347,000
Merrill Lynch Home Equity Loan Asset Backed Pass
Thru Ctf.:
Series 1992-1, Class A, AR, 7/15/22............... 817,673 818,788
Merrill Lynch MBS Inc. Project Pass Thru Ctf.:
Series 144-S, 7.43%, 7/25/24...................... 533,826 544,503
Merrill Lynch Trust 43-E CMO,:
Series 43, Class E, 6.50%, 8/27/15................ 1,700,000 1,698,820
Morgan Stanley Mortgage Trust, CMO:
Series 35-2, HB, IF, 4/20/21...................... 2,045 315,407
Series 37-2, HB, IF, 7/20/21...................... 1,992 428,327
Series 39-3, PO, 12/20/21......................... 381,971 315,909
National Rural Utilities Collateral Trust, 7.30%,
9/15/06........................................... 175,000 187,516
Navistar Financial Corp. Owner Trust Asset Backed
Pass Thru Ctf.:
Series 1995-A, Class A2, 6.55%, 11/20/01.......... 577,741 579,185
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
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PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Newcourt Receivables Trust Asset Backed Pass Thru
Ctf.:
Series 1997-1, Class A2, 6.04%, 6/20/00........... $ 2,000,000 $ 2,004,286
Olympic Automobile Receivables Trust Asset Backed
Pass Thru Ctf.:
Series 1995-E, Class 4, 5.85%, 3/15/01............ 3,119,614 3,122,712
Series 1995-B, Class A2, 7.35%, 10/15/01.......... 576,698 581,700
Series 1995-C, Class A2, 6.20%, 1/15/02........... 3,238,757 3,248,807
Series 1996-C, Class A4, 6.80%, 3/15/02........... 4,500,000 4,560,224
Series 1996-C, Class A5, 7.00%, 3/15/04........... 2,650,000 2,722,199
Onyx Acceptance Grantor Trust Auto Loan Pass Thru
Ctf.:
Series 1996-1, Class A, 5.40%, 5/15/01............ 1,962,007 1,956,474
Series 1997-1, Class A, 6.55%, 9/15/03............ 1,611,807 1,625,394
Rural Housing Trust 1987-1, Senior Mortgage Pass
Thru Ctf.:
Sub Class 3-B, 7.33%, 4/1/26...................... 342,235 350,486
Sears Credit Account Master Trust Asset Backed
Ctf.:
Series 1998-1A, 5.80%, 8/15/05.................... 1,000,000 997,500
Series 1995-3, Class A, 7.00%, 10/15/04........... 300,000 306,613
Standard Credit Card Master Trust Asset Backed
Ctf.:
Series 1991-6, Class A, 7.875%, 1/7/00............ 1,000,000 1,007,693
Series 1995-10, Class A, 5.90%, 2/7/01............ 2,520,000 2,523,931
Superior Wholesale Inventory Fing Trust Asset
Backed Ctf.:
Series 1996-A, Class A, AR, 3/15/01............... 2,200,000 2,200,000
Toyota Auto Receivable Grantor Trust Asset Backed
Ctf.:
Series 1995-A, Class A, 5.85%, 3/15/01............ 174,711 174,873
Western Financial Owner Trust Asset Backed Pass
Thru Ctf.:
Series 1996-A, Class A3, 6.05%, 6/01/00........... 278,765 279,257
Series 1997-C, Class A2, 5.95%, 6/20/00........... 3,017,432 3,018,129
Series 1997-B, Class A2, 6.05%, 7/20/00........... 2,855,575 2,859,553
Series 1997-D, Class A2, 6.20%, 9/20/00........... 2,000,000 2,003,127
Series 1996-A, Class A4, 6.15%, 6/01/01........... 3,685,000 3,697,170
Series 1997-B, Class A3, 6.30%, 7/20/01........... 4,000,000 4,038,332
Series 1996-D, Class A3, 6.05%, 7/20/01........... 2,526,227 2,533,338
Series 1995-4, Class A1, 6.20%, 2/01/02........... 1,068,248 1,071,403
Series 1996-C, Class A4, 6.80%, 12/20/03.......... 6,000,000 6,082,758
Series 1998-B, Class A4, 6.05%, 4/20/03........... 2,900,000 2,899,321
World Omni Automobile Asset Backed Ctf.:
Series 1997-A, Class A4, 6.90%, 6/25/03........... 4,297,776 4,368,947
World Omni Automobile LSE SEC Trust Asset Backed
Ctf.:
Series 1995-A, Class A, 6.05%, 11/25/01........... 1,302,882 1,303,286
Series 1997-B, Class A1, 6.07%, 11/25/03.......... 2,500,000 2,505,450
------------
TOTAL ASSET BACKED................................... 94,913,240
------------
(Cost $94,010,664)
CORPORATE BONDS AND NOTES -- 2.43%
Finance -- 2.01%
ABN Amro Bank NV Chicago:
7.25%, 5/31/05.................................... 200,000 211,485
American Express Credit Corp.:
8.50%, 6/15/99.................................... 300,000 307,317
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
77
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PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Associates Corp. of North America:
9.125%, 4/1/00.................................... $ 1,675,000 $ 1,761,236
8.15%, 8/1/09..................................... 3,625,000 4,160,884
5.96%, 5/15/37.................................... 1,750,000 1,771,455
6.625%, 6/15/05................................... 300,000 306,447
Cit Group Holdings:
8.375%, 11/1/01................................... 200,000 214,312
Citicorp Subordinated Notes:
6.75%, 8/15/05.................................... 250,000 257,285
Commercial Credit Group Inc.:
9.60%, 5/15/99.................................... 200,000 206,542
Ford Motor Credit Corporation:
8.20%, 2/15/02.................................... 2,000,000 2,136,274
Mellon Financial Corporation Note:
7.625%, 11/15/99.................................. 200,000 204,471
Midland Bank:
8.625%, 12/15/04.................................. 170,000 191,342
Norwest Financial Incorporated Senior Note:
7.00%, 1/15/03.................................... 100,000 103,876
------------
TOTAL FINANCE........................................ 11,832,925
------------
(Cost $11,545,495)
Industrial -- 0.42%
Bellsouth Telecommunications Put Notes:
6.00%, 6/15/02.................................... 1,900,000 1,905,189
Dillard Investment Company:
9.25%, 2/1/01..................................... 200,000 215,425
Rockwell International Corp.:
8.8750%, 9/15/99.................................. 200,000 206,974
Wal Mart Stores Inc.:
8.6250%, 4/1/01................................... 150,000 160,800
------------
TOTAL INDUSTRIAL..................................... 2,488,388
------------
(Cost $2,475,360)
------------
TOTAL CORPORATE BONDS AND NOTES...................... 14,321,313
------------
(Cost $14,020,855)
FOREIGN -- 1.14%
African Development Bank Note, 9.30%, 7/1/00........ 983,000 1,044,192
Metropolis of Tokyo, 8.70%, 10/5/99................. 1,500,000 1,553,765
National Australia Bank Ltd., 9.70%, 10/15/98....... 400,000 404,436
Ontario Province of Canada Senior Unsubordinated
Debenture,
7.375%, 1/27/03.................................... 3,500,000 3,693,690
------------
TOTAL FOREIGN........................................ 6,696,082
------------
(Cost $6,674,638)
TOTAL INVESTMENTS.................................... $588,321,155
============
(Cost $573,245,664)
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
78
<PAGE>
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PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS
(a) 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. 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 of 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 $2,116,310. The book cost of certain IO and HB securities include a write
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.
Pegasus Funds
79
<PAGE>
PEGASUS BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ------------ ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- 3.65%
Pegasus Cash Management Fund Class I (in shares).... 50,940,256 $ 50,940,256
Salomon Brothers, Revolving Repurchase Agreement,
6.03%, 7/1/98 (Secured by various U.S. Treasury
Bills and Strips with maturities ranging from
8/15/98 through 5/15/08, all held at Chase Bank)... $ 1,479,334 1,479,334
------------
(Cost $52,419,590) 52,419,590
------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 81.62%
U.S. Treasury Securities -- 40.84%
Strips from U.S. Treasury Securities due:
11/15/98.......................................... 1,700,000 1,667,258
2/15/99........................................... 10,805,000 10,450,488
8/15/99........................................... 9,000,000 8,467,830
8/15/00........................................... 5,000,000 4,454,750
2/15/01........................................... 2,450,000 2,123,219
2/15/11........................................... 12,025,000 5,911,250
5/15/11........................................... 9,338,000 4,523,887
11/15/11.......................................... 8,900,000 4,183,890
2/15/12........................................... 4,555,000 2,108,282
2/15/13........................................... 14,200,000 6,206,678
5/15/13........................................... 10,594,000 4,562,730
8/15/13........................................... 3,500,000 1,484,945
2/15/14........................................... 40,000,000 16,471,600
2/15/15........................................... 2,000,000 778,120
5/15/17........................................... 10,420,000 3,558,326
8/15/17........................................... 33,315,000 11,214,828
5/15/18........................................... 26,820,000 8,651,864
11/15/18.......................................... 49,840,000 15,626,834
U.S. Treasury Bonds:
10.75%, 5/15/03................................... 1,000,000 1,218,590
11.125%, 8/15/03.................................. 3,500,000 4,358,060
11.625%, 11/15/04................................. 5,000,000 6,611,700
10.375%, 11/15/09................................. 6,950,000 8,696,194
12.75%, 11/15/10.................................. 154,270,000 219,714,419
10.375%, 11/15/12................................. 36,215,000 48,494,058
12.50%, 8/15/14................................... 1,300,000 2,024,750
9.875%, 11/15/15.................................. 1,000,000 1,456,560
7.50%, 11/15/16................................... 5,395,000 6,476,536
8.75%, 5/15/17.................................... 9,945,000 13,393,130
7.875%, 2/15/21................................... 2,500,000 3,172,275
U.S. Treasury Notes:
3.375%, 1/15/07 Inflation Protection Series....... 3,059,070 2,962,526
5.00%, 1/31/99.................................... 6,450,000 6,432,843
7.00%, 4/15/99.................................... 9,600,000 9,708,000
6.875%, 7/31/99................................... 7,410,000 7,541,972
9.125%, 5/15/99................................... 2,400,000 2,472,744
6.875%, 7/31/99................................... 7,410,000 7,513,073
7.75%, 11/30/99................................... 43,405,000 44,700,205
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
80
<PAGE>
PEGASUS BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
7.75%, 1/31/00..................................... $ 2,000,000 $ 2,066,240
7.125%, 2/29/00.................................... 30,300,000 31,057,500
6.75%, 4/30/00..................................... 6,200,000 6,330,758
6.125%, 7/31/00.................................... 4,000,000 4,047,480
8.75%, 8/15/00..................................... 12,250,000 13,030,938
5.625%, 11/30/00................................... 2,200,000 2,204,818
7.50%, 11/15/01.................................... 6,800,000 7,202,696
3.625%, 7/15/02, Inflation Index Series............ 8,365,585 8,274,066
5.75%, 8/15/03..................................... 1,250,000 1,263,275
7.25%, 5/15/04..................................... 9,000,000 9,765,000
------------
(Cost $554,232,429) 587,095,212
------------
Agency Obligations -- 40.77%
Federal Home Loan Mortgage Corp. Participation
Ctfs.:
#170269, 12.00%, 8/1/15............................ 1,045,581 1,180,346
#200070, 7.50%, 4/1/02............................. 137,418 139,666
#274081, 7.50%, 7/1/16............................. 65,412 66,928
#289711, 7.50%, 4/1/17............................. 87,408 89,428
#555238, 12.00%, 7/1/19............................ 477,126 538,643
Federal Home Loan Mortgage Corp. Gtd. Multi-Class
Mortgage Participation Ctfs.:
Series 11 Class D, 9.50%, 7/15/19.................. 3,000,000 3,236,043
Series 13 Class SA, IF, 4/25/23.................... 815,321 779,605
Series 22 Class C, 9.50%, 4/15/20.................. 1,104,876 1,216,313
Series 23 Class E, 9.40%, 8/15/19.................. 185,521 187,314
Series 23 Class F, 9.60%, 4/15/20.................. 1,575,000 1,706,186
Series G-29 Class FE, IF, 4/25/24.................. 3,849,531 3,879,623
Series G-29 Class SD, IO, IF, 4/25/24.............. 13,205,377 445,985
Series 41 Class I, HB, 84.00%, 5/15/20............. 71,774 225,813
Series 47 Class F, 10.00%, 6/15/20................. 485,116 521,536
Series 48 Class BE, IF, IO, 01/25/23............... 12,905,765 1,064,119
Series 56 Class A, 7.00%, 12/20/21................. 4,059,464 4,092,727
Series 99 Class Z, 9.50%, 1/15/21.................. 1,146,693 1,232,706
Series 134 Class IO, 9.00%, 08/15/22............... 651,616 144,574
Series 204 Class E, HB, IF, 5/15/23................ 19,596 454,208
Series 1045 Class G, HB, 1066.2085%, 2/15/21....... 2,795 78,232
Series 1051 Class D, 7.00%, 11/15/19............... 333,997 335,391
Series 1065 Class J, 9.00%, 4/15/21................ 1,857,562 1,988,487
Series 1072 Class A, HB, 1008.50%, 5/15/06......... 17,916 363,497
Series 1079 Class S, IF, 5/15/21................... 742,988 875,381
Series 1084 Class F, AR, 5/15/21................... 1,875,469 1,912,105
Series 1084 Class S, IF, 5/15/21................... 1,312,829 1,739,864
Series 1098 Class M, HB, 1008%, 6/15/06............ 8,184 167,088
Series 1144 Class KB, 8.50%, 9/15/21............... 2,000,000 2,089,338
Series 1172 Class L, HB, 1167.776% 11/15/21........ 1,256,000 343,274
Series 1190 Class G, 5.00%, 11/15/20............... 1,934,549 1,917,182
Series 1196 Class B, HB, IF, 1/15/22............... 48,322 660,170
Series 1250 Class J, 7.00%, 5/15/22................ 1,550,000 1,574,476
Series 1295 Class JB, 4.50%, 3/15/07............... 2,400,000 2,281,961
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
81
<PAGE>
PEGASUS BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Series 1297 Class H, 7.50%, 1/15/20................. $ 2,048,677 $ 2,092,574
Series 1298 Class L, HB, 981.8667%, 6/15/07......... 9,000 257,764
Series 1329 Class S, IO, IF, 8/15/99................ 2,704,379 76,574
Series 1347 Class HB, 7.75%, 12/15/21............... 1,244,970 1,297,241
Series 1370 Class F, 6.75%, 3/15/19................. 600,000 602,822
Series 1378 Class JZ, 7.50%, 11/15/21............... 3,589,786 3,788,860
Series 1389 Class SA, IF, 10/15/07.................. 1,249,383 1,158,527
Series 1414 Class LA, AR, 11/15/07.................. 1,501,958 1,474,880
Series 1414 Class LB, IF, 11/15/07.................. 2,071,666 2,084,763
Series 1418 Class B, 6.50%, 11/15/19................ 2,250,000 2,260,199
Series 1435 Class FA, IF, 12/15/22.................. 2,146,179 2,199,001
Series 1465 Class SA, IO, IF, 2/15/08............... 12,477,012 516,299
Series 1470 Class F, AR, 2/15/23.................... 1,354,293 1,344,494
Series 1483 Class E, 6.50%, 2/15/20................. 3,407,500 3,425,297
Series 1483 Class FB, IF, 12/15/22.................. 4,982,391 5,029,151
Series 1487 Class IB, IF, 3/15/23................... 1,710,107 1,654,602
Series 1489 Class L, 5.50%, 4/15/08................. 550,066 544,226
Series 1498 Class I, IF, 4/15/23.................... 1,250,000 1,303,446
Series 1506 Class F, AR, 5/15/08.................... 1,654,112 1,669,555
Series 1506 Class S, IF, 5/15/08.................... 342,022 339,940
Series 1506 Class SD, IO, IF, 5/15/08............... 12,819,846 656,786
Series 1531 Class K, 6.00%, 4/15/08................. 946,308 930,508
Series 1543 Class JC, IF, 7/15/23................... 1,500,000 1,267,371
Series 1544 Class TA, IF, 07/15/08.................. 2,866,674 2,829,301
Series 1546 Class SD, IF, 7/15/23................... 869,091 869,437
Series 1561 Class SC, IF, 8/15/08................... 1,483,744 1,479,655
Series 1564 Class FB, 5.33%, 8/15/08................ 1,236,828 1,209,132
Series 1565 Class K, IF, 8/15/08.................... 1,478,681 1,284,555
Series 1575 Class FB, AR, 8/15/08................... 2,983,452 3,112,772
Series 1575 Class SB, IF, 8/15/08................... 994,484 793,197
Series 1583 Class NS, IF, 9/15/23................... 1,222,521 1,145,606
Series 1586 Class A, 6.00%, 9/15/08................. 1,124,693 1,120,063
Series 1587 Class FA, IF, 10/15/08.................. 2,181,992 2,158,464
Series 1589 Class Z, 6.25%, 09/15/23................ 13,978,573 13,334,077
Series 1595 Class D, 7.00%, 10/15/13................ 1,471,502 1,518,814
Series 1595 Class S, IO, IF, 10/15/13............... 8,624,389 358,042
Series 1601 Class S, IF, 10/15/08................... 2,377,097 2,509,549
Series 1602 Class O, 6.00%, 10/15/23................ 2,763,000 2,730,626
Series 1602 Class T, 6.50%, 5/15/21................. 2,686,778 2,660,222
Series 1603 Class IF, IF, 01/15/20.................. 7,000,000 7,148,253
Series 1604 Class SE, IF, 11/15/08.................. 935,165 889,983
Series 1606 Class LC, AR, 5/15/08................... 1,883,250 1,935,622
Series 1606 Class LD, IF, 5/15/08................... 424,411 380,081
Series 1612 Class SD, IF, 11/15/08.................. 4,352,495 3,898,813
Series 1619 Class SC, IF, 11/15/23.................. 5,049,876 4,971,820
Series 1619 Class SD, IF, 11/15/23.................. 1,853,103 1,894,544
Series 1624 Class FB, IF, 12/15/08.................. 2,801,133 2,823,396
Series 1628 Class S, IF, 12/15/23................... 2,550,000 1,999,539
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
82
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June 30,1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ------------ ------------
<S> <C> <C>
Series 1633 Class SE, IF, 12/15/23................ $ 1,278,652 $ 1,445,545
Series 1635 Class O, IF, 12/15/08................. 4,415,747 4,457,034
Series 1640 Class A, 5.50%, 10/15/07.............. 671,778 663,406
Series 1646 Class MB, IF, 10/15/22................ 2,571,363 2,553,291
Series 1646 Class MD, IF, 10/15/22................ 2,380,892 2,440,711
Series 1647 Class FB, AR, 12/15/08................ 676,265 671,085
Series 1647 Class SB, IF, 12/15/08................ 1,899,365 1,894,892
Series 1655 Class F, AR, 12/15/08................. 1,448,751 1,475,634
Series 1655 Class SA, IF, 12/15/08................ 532,212 489,641
Series 1669 Class KE, IF, 05/15/23................ 1,877,649 1,889,943
Series 1679 Class O, 6.40%, 2/15/09............... 1,997,620 1,999,018
Series 1681 Class K, 7.00%, 8/15/23............... 1,065,304 1,069,508
Series 1685 Class Z, 6.00%, 11/15/23.............. 3,240,225 3,026,422
Series 1686 Class SH, IF, 2/15/24................. 1,535,892 1,391,896
Series 1686 Class SL, IF, 2/15/24................. 1,157,463 1,134,959
Series 1689 Class SD, IF, 10/15/23................ 1,725,000 1,774,483
Series 1694 Class SE, IF, 5/15/23................. 1,636,872 1,623,790
Series 1700 Class GA, PO, 02/15/24................ 11,008,085 7,490,595
Series 1706 Class LA, 7.00%, 3/15/24.............. 2,013,034 2,033,873
Series 1716 Class F, IF, 04/15/09................. 2,524,525 2,585,747
Series 1796-A, Class S, IF, 2/15/09............... 1,000,000 934,345
Series 1807 Class G, 9.00%, 1/1/06................ 1,575,144 1,671,503
Series 1825 Class C, 5.7999%, 12/15/23............ 2,000,000 1,964,258
Series 1854 Class C, PO, 4/15/08.................. 2,554,881 2,054,947
Series 1854 Class SE, IO, IF, 12/15/23............ 9,886,816 2,082,757
Series 1859 Class SB, IO, IF, 10/15/23............ 15,124,855 2,602,927
Series 1900 Class FA, IF, 03/15/09................ 10,820,440 10,895,880
Series 1900 Class I, IF, PO, 10/15/08............. 3,961,180 3,156,466
Series 1927 Class F, IF, 10/15/23................. 6,068,830 6,106,803
Series 1930 Class SJ, IF, PO, 7/15/16............. 11,879,341 1,098,887
Series 1933 Class SJ, IO, IF, 3/15/12............. 24,946,372 2,051,390
Series 1946 Class l, IO, 10/15/08................. 3,006,111 2,348,834
Series 1948 Class A, PO, 12/15/08................. 3,015,568 2,053,949
Series 1967 Class PC, PO, 10/15/08................ 9,000,000 7,331,184
Series 1987 Class SI, IF, 5/15/24................. 3,426,985 3,612,104
Series 1995 Class EJ, IO, 7.00% 10/20/17.......... 6,585,259 1,165,104
Series 2002 Class A, PO, 11/15/22................. 8,800,000 6,299,990
Series 2017 Class SE, IF, 12/15/08................ 2,000,000 1,857,094
Series 2023 Class PN, IO, 7.00%, 3/15/28.......... 28,122,217 6,968,376
Federal Housing Administration Merrill Lynch
Project Pass Thru Ctfs., 7.43%, 8/1/20............ 1,306,769 1,325,965
Federal Housing Administration Project #07335307,
7.43%, 1/1/22..................................... 1,959,214 1,995,949
Federal Housing Administration Greystone, 7.43%,
11/1/22........................................... 2,512,769 2,575,588
Federal National Mortgage Assn. Mortgage Backed
Securities, Stripped Trust:
K, Class 2, HB, 2.56%, 11/1/08.................... 30,080,293 1,988,486
23, Class 2, IO, 10.00%, 9/1/17................... 729,531 205,022
50, Class 2, IO, 10.50%, 3/25/19.................. 96,536 26,687
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
83
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June 30, 1998
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<TABLE>
<CAPTION>
FACE
DESCRIPTION AMOUNT MARKET VALUE
----------- ---------- ------------
<S> <C> <C>
Federal National Mortgage Assn. Pass Thru Securities:
Pool #44699, 7.00%, 4/1/17.......................... $ 193,323 $ 197,281
Pool #50966, 7.00%, 1/1/24.......................... 1,612,905 1,640,608
Pool #54844, AR, 9/01/27............................ 4,731,295 4,764,286
Pool #70226, AR, 1/1/19............................. 439,714 436,416
Pool #116612, AR, 3/1/19............................ 1,585,560 1,638,548
Pool #160330, 6.345%, 3/1/99........................ 2,294,388 2,294,817
Pool #303306, 12.50%, 1/1/16........................ 1,122,667 1,309,173
Pool #303532, AR, 3/1/29............................ 4,905,714 4,940,431
Federal National Mortgage Assn. Pass Thru Securities
Guaranteed Remic Trust:
1988 Class 7-Z, 9.25%, 4/25/18...................... 446,182 470,102
1988 Class 17-B, 9.40%, 10/25/17.................... 111,558 112,428
1989 Class 34-E, 9.85%, 8/25/14..................... 297,784 300,853
1989 Class 70-G, 8.00%, 10/25/19.................... 2,000,000 2,087,594
1989 Class 73-C, PO, 10/25/19....................... 712,892 660,776
1989 Class 78-H, 9.40%, 11/25/19.................... 1,500,000 1,633,674
1989 Class 83-H, 8.50%, 11/25/19.................... 2,432,901 2,529,423
1989 Class 89-H, 9.00%, 11/25/19.................... 2,777,515 2,910,244
1990 Class 1-D, 8.80%, 1/25/20...................... 2,068,103 2,187,718
1990 Class 60-K, 5.50%, 6/25/20..................... 527,085 508,804
1990 Class 63-H, 9.50%, 6/25/20..................... 900,000 960,465
1990 Class 93-G, 5.50%, 8/25/20..................... 1,027,984 1,006,126
1990 Class 94-H, HB, 505.00%, 8/25/20............... 22,774 316,108
1990 Class 95-J, HB, 1118.04%, 8/25/20.............. 13,069 450,121
1990 Class 102-J, 6.50%, 8/25/20.................... 2,644,148 2,650,983
1990 Class 120-H, 9.00%, 10/25/20................... 4,025,000 4,401,841
1990 Class 134-SC, IF, 11/25/20..................... 632,226 736,202
1990 Class 140-K, HB, 652.1454%, 12/25/20........... 14,257 365,627
1991 Class 4-N, HB, 758.75%, 1/25/06................ 5,228 80,321
1991 Class 7-K, HB, 908.50%, 2/25/21................ 4,155 102,129
1991 Class 24-Z, 5.00%, 3/25/21..................... 2,244,211 2,141,448
1991 Class 33-J, HB, 1008.25%, 4/25/06.............. 4,893 99,884
1991 Class 126-ZB, 7.50%, 9/25/21................... 1,065,374 1,095,962
1991 Class 144-PZ, 8.50%, 6/25/21................... 2,638,299 2,739,902
1992 Class 13-S, HB, IF, 1/25/99.................... 13,283 41,415
1992 Class 15-Z, 7.00%, 1/25/22..................... 1,944,858 2,000,720
1992 Class 27-G, HB, IF, 5/25/22.................... 4,445 680,129
1992 Class 42-Z, 7.00%, 07/25/22.................... 2,644,757 2,691,873
1992 Class 59-G, IF, 10/25/22....................... 4,367,745 4,281,879
1992 Class 61-GJ, IF, 10/25/22...................... 3,684,476 3,659,768
1992 Class G61-Z, 7.00%, 10/25/22................... 1,004,214 1,005,758
1992 Class 66-JB, 5.00%, 11/25/21................... 4,500,000 4,114,404
1992 Class 85-S, IF, 6/25/99........................ 2,364,011 2,468,746
1992 Class 135-LC, 7.50%, 9/25/07................... 1,000,000 1,038,014
1992 Class 137-BA, 3.50%, 1/25/17................... 287,076 284,955
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
84
<PAGE>
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PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
1992 Class 143-FI, 04/25/97......................... $ 4,075,065 $ 3,983,812
1992 Class 143-MA, 5.50%, 9/25/22................... 3,500,000 3,254,136
1992 Class 163-M, 7.75%, 9/25/22.................... 2,000,000 2,135,546
1992 Class 186-M, 6.00%, 9/25/07.................... 326,851 325,257
1992 Class 199-S, IO, IF, 11/25/99.................. 6,735,532 202,187
1992 Class 201-SB, IF, 10/25/22..................... 500,000 517,294
1992 Class 204-B, 6.00%, 10/25/20................... 4,300,000 4,278,599
1992 Class 206-FA, IF, 6/25/18...................... 3,484,000 3,356,109
1992 Class 215-PM, 7.875%, 11/25/21................. 1,600,000 1,704,770
1993 Class 5-Z, 6.50%, 2/25/23...................... 1,978,232 1,955,551
1993 Class 8-SB, IO, IF, 8/25/06.................... 6,219,085 243,365
1993 Class 12-S, IO, 6.25%, 2/25/23................. 3,690,841 184,922
1993 Class 12-SB, HB, IF, 2/25/23................... 29,183 210,270
1993 Class 13-G, 6.00%, 6/25/20..................... 2,000,000 1,993,206
1993 Class 19-G, 5.00%, 5/25/19..................... 3,265,000 3,186,624
1993 Class 19-K, 6.50%, 6/25/19..................... 1,844,967 1,846,873
1993 Class 22-F, IF, 9/25/22........................ 195,141 194,110
1993 Class 32-K, 6.00%, 3/25/23..................... 566,281 557,727
1993 Class 38-S, IO, IF, 11/25/22................... 2,905,232 21,365
1993 Class 44-S, IO, IF, 4/25/23.................... 5,416,774 218,133
1993 Class 55-FA, IF, 05/25/08...................... 12,000,000 12,197,436
1993 Class 58-J, 5.50%, 4/25/23..................... 505,205 498,692
1993 Class 59-FA, IF, 5/25/08....................... 3,970,000 4,057,943
1993 Class 63-FA, IF, 5/25/08....................... 1,473,026 1,449,105
1993 Class 72-F, IF, 5/25/08........................ 2,500,000 2,463,975
1993 Class 79-FE, IF, 1/25/22....................... 1,500,000 1,534,637
1993 Class 94-K, 6.75%, 5/25/23..................... 363,629 364,137
1993 Class 107-F, IF, 6/25/08....................... 956,087 939,790
1993 Class 113-S, IO, IF, 7/25/23................... 5,447,266 276,836
1993 Class 129-FB, IF, 8/25/08...................... 1,000,000 985,068
1993 Class 139-SG, IF, 8/25/23...................... 3,779,324 3,354,006
1993 Class 155-LA, 6.50%, 5/25/23................... 1,312,803 1,316,054
1993 Class 155-SB, IF, IO, 9/25/23.................. 9,937,899 518,510
1993 Class 156-FA, IF, 05/25/16..................... 8,724,459 8,740,163
1993 Class 156-SD, IF, 10/25/19..................... 1,250,000 1,120,285
1993 Class 152-D, PO, 08/25/23...................... 960,489 935,342
1993 Class 160-FE, IF, 6/25/23...................... 993,676 983,417
1993 Class 170-FA, IF, 9/25/08...................... 1,113,160 1,100,413
1993 Class 174-SB, IF, 11/25/07..................... 1,510,313 1,509,937
1993 Class 175-FE, AR, 9/25/08...................... 1,000,000 987,437
1993 Class 175-S, IF, 05/25/07...................... 3,470,939 3,498,210
1993 Class 186-SA, IF, 9/25/08...................... 2,658,882 2,871,138
1993 Class 187-SA, IF, 9/25/23...................... 987,304 1,024,625
1993 Class X-188A, IO, IF, 8/25/06.................. 3,800,239 220,684
1993 Class 189-SH, IF, 3/25/22...................... 2,000,000 2,019,566
1993 Class 193-B, 3.00%, 9/25/23.................... 5,607,264 4,991,172
1993 Class 199-FA, IF, 10/25/23..................... 8,000,000 8,066,192
1993 Class 206-SD, IF, 11/25/23..................... 1,250,000 1,328,940
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
85
<PAGE>
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PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
1993 Class 207-SC, IF, 11/25/23..................... $ 3,469,717 $ 3,074,721
1993 Class 209-KB, 5.659%, 8/25/08.................. 4,943,833 4,815,496
1993 Class 214-L, 6.00%, 12/25/08................... 630,475 620,491
1993 Class 220-SD, IF, 11/25/13..................... 2,087,684 1,865,149
1993 Class 221-FH, IF, 12/25/08..................... 2,000,000 2,069,696
1993 Class 223-FB, AR, 12/25/23..................... 7,114,174 7,064,972
1993 Class 223-SB, IF, 12/25/23..................... 3,081,707 3,054,434
1993 Class X-225C-FP, AR, 12/25/22.................. 1,600,000 1,634,878
1993 Class XG23A-A, PO, 7/25/20..................... 3,892,550 3,729,005
1993 Class 230-FA, IF, 12/25/23..................... 4,953,519 4,992,092
1993 Class 247-AB, 5.75%, 1/25/23................... 2,047,183 2,027,291
1994 Class 8-G, PO, 11/25/23........................ 1,860,424 1,532,995
1994 Class 12-FB, IF, 1/25/09....................... 280,933 278,774
1994 Class 12-SB, IF, 1/25/09....................... 1,891,572 1,849,627
1994 Class 13-ZB, 7.00%, 11/17/24................... 2,825,151 2,821,620
1994 Class 19-C, 5.00%, 1/25/24..................... 1,808,720 1,769,542
1994 Class 26-G, PO, 2/25/24........................ 2,278,569 1,933,922
1994 Class 30-LA, 6.50%, 2/25/09.................... 737,560 740,319
1994 Class 32-F, IF, 3/25/09........................ 1,434,877 1,416,909
1994 Class 32-S, IF, 3/25/09........................ 4,495,948 4,541,932
1994 Class 33-FA, IF, 3/25/09....................... 2,910,683 2,884,283
1994 Class 36-SG, IO, IF, 8/25/23................... 7,651,123 445,777
1994 Class 39-F, AR, 3/25/24........................ 1,150,447 1,153,519
1994 Class 39-S, IF, 3/25/24........................ 442,480 441,142
1994 Class 63-T, IF, 04/25/24....................... 799,901 780,687
1994 Class 76-FA, IF, 4/25/24....................... 2,145,771 2,144,421
1994 Class 82-SA, IO, IF, 5/25/23................... 24,412,742 783,673
1995 Class 13-B, 6.50%, 3/25/09..................... 3,335,740 3,350,344
1995 Class XG1C C, 8.80%, 1/25/25................... 1,597,702 1,819,637
1996 Class 7-C, 6.50%, 12/25/10..................... 1,000,000 992,639
1996 Class 20-L, PO, 9/25/08........................ 3,165,000 2,354,437
1996 Class 24-K, PO, 2/25/08........................ 5,275,000 4,373,197
1996 Class 24-B, PO, 10/25/08....................... 3,800,000 2,569,818
1996 Class 27-FC, IF, 3/25/17....................... 2,399,234 2,418,649
1996 Class 39-J, PO, 9/25/08........................ 6,599,000 4,738,346
1996 Class 46-A, 5.00%, 2/25/09..................... 3,051,228 2,992,217
1996 Class 46-PE, PO, 9/25/06....................... 3,161,764 2,736,576
1997 Class 20, IO, IF, 3/25/27...................... 49,081,423 2,607,941
1997 Class 20-SA, IF, 11/25/23...................... 3,054,459 2,567,679
1997 Class 29-PL, IO, 7.50%, 8/18/26................ 7,875,000 2,566,203
1997 Class 32-AP, PO, 05/25/18...................... 1,361,881 1,312,203
1997 Class 32-C, PO, 10/25/21....................... 4,400,000 3,935,598
1997 Class 40-PC, PO, 5/18/20....................... 3,504,889 2,932,576
1997 Class 50-FD, 6.0875%, 4/18/27.................. 1,758,254 1,760,777
1997 Class 59-FA, IF, 03/25/25...................... 9,860,824 9,873,140
1997 Class 70, PO, 9/25/22.......................... 5,000,000 3,569,405
1997 Class 81, PI, IO, 12/18/27..................... 24,464,039 6,394,508
1997 Class 85, IO, 6.50%, 12/25/20.................. 21,097,897 2,655,592
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
86
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PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- --------------
<S> <C> <C>
1997 Class M1-B, IF, 10/17/09.................... $ 3,750,000 $ 3,855,450
1992-G Class 31-W, 8.00%, 9/25/21................ 2,420,253 2,510,364
1992-G Class 17H, HB, IF, 06/25/21............... 78,139 1,082,834
1992-G Class 35-G, 1184.775%, HB, 7/25/22........ 21,689 698,611
1992-G Class 59-C, 6.00%,12/25/21................ 2,747,963 2,732,830
1993-G Class 1-KA, 7.90%, 1/25/23................ 2,400,000 2,601,127
1993-G Class 12-C, PO, 2/25/23................... 5,490,203 5,121,892
1993-G Class 22-SA, IF, 9/25/09.................. 1,341,503 1,348,226
1993-G Class 27-SE, IF, 8/25/23.................. 1,343,715 1,003,236
Government National Mortgage Assn. Pass Thru
Securities Guaranteed Remic Trust:
1994 Class 4-SA, IO, IF, 10/16/22................ 5,199,130 279,718
1996 Class 15-OB, 9.00%, 11/20/21................ 4,528,250 4,708,402
1996 Class 26-S, IO, IF, 12/16/20................ 19,057,900 910,644
Government National Mortgage Assn. Pass Thru Pool:
#023594, 8.50%, 7/15/08.......................... 299,960 320,407
#190923, 9.00%, 12/15/16......................... 301,359 326,158
#297628, 8.00%, 9/15/22.......................... 2,236,770 2,330,797
#313110, 7.50%, 11/15/22......................... 1,827,873 1,885,319
#345288, 7.50%, 3/15/23.......................... 579,230 597,010
--------------
(Cost $572,131,957)................................ 586,108,023
--------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS 1,173,203,235
--------------
(Cost $1,126,364,386)..............................
ASSET BACKED -- 10.57%
Case Equipment Loan Trust Asset Backed Ctf.:
5.50%, 2/15/03................................... 5,175,622 5,167,497
7.30%, 3/15/02................................... 759,345 765,529
Chase Manhattan Grantor Trust
Series 95-B, 5.90%, 11/15/01..................... 343,250 343,674
Series 95-A, 6.00%, 09/17/01..................... 1,706,946 1,709,079
Chase Manhattan Corp., Subordinated Note, 9.75%,
11/1/01.......................................... 2,000,000 2,223,830
Chevy Chase Automobile Recievable Trust Asset
Backed Pass Thru Ctf.:
Series 1995-2, Class A, 5.80%, 6/15/02........... 484,572 484,801
Collateralized Mortgage Obligation Trust CMO:
Trust 12-D, 9.50%, 2/1/17........................ 462,753 468,140
Trust 16-Q, IF, 3/20/18.......................... 269,000 286,969
CPS Auto Trust
Series 1997-4, Class-A1, 6.07%, 03/15/03......... 5,891,760 5,897,980
Dayton Hudson Credit Card Master Trust Asset
Backed Ctf.
Series A, 6.10%, 2/25/02......................... 1,900,000 1,902,913
First USA Credit Card Master Trust, VR, 10/15/01.. 4,100,000 4,103,661
Ford Motor Credit Corporation Note, 8.20%,
2/15/02.......................................... 4,000,000 4,272,548
Government National Mortgage Assn. Backed Trust I
CMO, Class A, Zero Coupon, PO, 5/20/17........... 174,758 153,758
Green Tree Financial Corp. Loan Trust Asset Backed
Ctf.:
Series 1995-A, Class A6, 7.30%, 7/15/25.......... 3,000,000 3,179,307
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
87
<PAGE>
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- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
DESCRIPTION AMOUNT MARKET VALUE
----------- ---------- --------------
<S> <C> <C>
Series 1994-A, Class A2, 7.30%, 11/15/19.......... $ 108,536 $ 108,647
Series 1993-4, Class A2, 5.85%, 01/15/19.......... 1,414,967 1,415,806
Merrill Lynch Trust Series 43 Class E CMO, 6.50%,
8/27/15........................................... 4,000,000 3,997,224
Merrill Lynch Home Equity Loan, 1992-1, Class A,
AR, 7/15/22....................................... 1,022,091 1,023,485
Merrill Lynch MBS 144-S, 7.43%, 7/25/24............ 4,626,495 4,719,025
Morgan Stanley Mortgage Trust CMO:
Series 35-2, HB, IF, 4/20/21...................... 2,684 413,947
Series 37-2, HB, IF, 7/20/21...................... 2,938 631,747
Series 39-3, PO, 12/20/21......................... 491,106 406,169
Navistar, Class A-2, 6.55%, 11/20/01............... 742,810 744,667
Newcourt Receivables Asset Trust
Series 1997-1, Class-A, 6.04%, 06/20/00........... 4,250,000 4,259,108
Olympic Automobile Receivables Trust Asset Backed
Pass Thru Ctf.
Series 1996-C, Class A5, 7.00%, 03/15/04.......... 3,500,000 3,595,358
Series 1996-C, Class A4, 6.80%, 3/15/02........... 7,000,000 7,093,681
Series 1997-A, Class-A2, 6.125%, 08/15/00......... 1,638,721 1,641,249
ONYX Acceptance CMO Trust, 5.40%, 05/15/01......... 2,452,509 2,445,593
ONYX Accpetance Grantor Trust Auto Loan Pass Thru
Ctf.
Series 1997-1, Class A5, 6.55%, 9/15/03........... 3,309,960 3,337,863
PaineWebber CMO Trust:
Series H-4, 8.75%, 4/1/18......................... 517,915 543,045
Series P-4, 8.50%, 8/1/19......................... 2,796,039 2,925,031
Rural Housing Trust 1987-1 Sr. Mortgage Pass Thru
Ctf., Class 3-B, 7.33%, 4/1/26.................... 764,895 783,336
Salomon Inc. Note, 6.70%, 12/1/98 2,500,000 2,508,540
Sears Credit Account Master Trust Asset Backed Ctf.
Series 1995-3, Class A, 7.00%, 10/15/04........... 1,600,000 1,635,269
Series 1998-1, Class A, 5.80%, 8/15/05............ 2,800,000 2,793,000
Standard Credit Card Master Trust Asset Backed
Ctf.,
Series 1994-2, Class A, 7.25%, 4/7/08............. 1,800,000 1,936,978
Superior Wholesale, 1996-A, A, 3/15/01............. 2,700,000 2,700,000
Toyota Auto Receivables Grantor Trust, Series 95-A
Class A, 5.85%, 3/15/01........................... 175,091 175,254
Union Acceptance Corp.
Series 1997-D, Class-A3, 6.26%, 02/08/02.......... 1,700,000 1,709,899
Western Financial Asset Backed Pass Thru Ctf.
Series 1994-4, Class-A1, 7.10%, 01/01/00.......... 1,853,659 1,858,873
Series 1995-4, Class-A1, 6.20%, 2/01/02........... 3,022,837 3,031,763
Series 1996-A, Class-A3, 6.05%, 06/01/00.......... 929,217 930,855
Series 1996-B, Class-A3, 6.65%, 8/20/00........... 2,212,455 2,220,780
Series 1996-C, Class A4, 6.80%, 12/20/03.......... 4,150,000 4,207,241
Series 1996-D, Class-A3, 6.05%, 07/20/01.......... 5,894,531 5,911,123
Series 1997-A, Class-A3, 6.50, 9/20/01............ 2,253,386 2,269,527
Series 1997-B, Class-A2, 6.05%, 07/20/00.......... 6,053,820 6,062,251
Series 1997-B, Class A3, 6.30%, 07/20/01.......... 6,000,000 6,057,497
Series 1997-C, Class-A2, 5.95%, 06/20/00.......... 3,017,432 3,018,129
Series 1997-D, Class-A2, 6.20%, 12/01/10.......... 13,500,000 13,521,109
Series 1998-B, Class-A4, 6.05%, 4/20/03........... 6,000,000 5,998,596
</TABLE>
See Notes to Financial Statements.
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88
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- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
DESCRIPTION AMOUNT MARKET VALUE
----------- ---------- ------------------
<S> <C> <C>
World Omni Asset Backed Pass Thru Ctf.
Series 1995-A, Class A, 6.05%, 11/25/01....... $1,591,306 $ 1,591,799
Series 1997-A, Class A4, 6.90%, 6/25/03....... 4,597,620 4,673,757
Series 1997-B, Class-A1, 6.07%, 11/25/03...... 6,000,000 6,013,080
------------------
TOTAL ASSET BACKED............................... 151,869,987
------------------
(Cost $149,245,070)
CORPORATE BONDS AND NOTES -- 2.97%
Finance -- 2.00%
ABN Amro Bank NV, 7.25%, 5/31/05............... 2,000,000 2,114,846
Associates Corp. of North America:
9.125%, 4/1/00................................ 2,350,000 2,470,987
8.15%, 8/1/09................................. 3,085,000 3,541,056
5.96%, 5/15/37................................ 7,300,000 7,389,498
American Re Corp., Series B, 7.45%, 12/15/26... 1,500,000 1,669,515
Arcadia Automobile Receivable Trust
Series 1998-A, Class AY, 6.00%, 11/15/03...... 3,600,000 3,602,441
Series 1998-B, Class A-3, 5.95%, 11/15/02..... 3,000,000 3,000,939
Series 1998-B, Class A-4, 6.00%, 11/15/03..... 5,000,000 5,003,320
------------------
(Cost $28,317,268).............................. 28,792,602
------------------
Industrial -- 0.97%
BellSouth Telecommunications, 7.95%, 8/15/24... 3,500,000 3,509,559
Boeing Co., 7.95%, 8/15/24..................... 1,730,000 2,137,284
Dayton Hudson Co., 7.875%, 6/15/23............. 1,800,000 1,921,284
General Motors Corp., 8.80%, 3/1/21............ 2,695,000 3,339,967
Monsanto Co., 8.20%, 4/15/25................... 1,500,000 1,662,780
Nippon T&T, 9.50%, 07/27/98.................... 1,355,000 1,357,818
------------------
(Cost $12,525,959).............................. 13,928,692
------------------
TOTAL CORPORATE BONDS AND NOTES.................. 42,721,294
------------------
(Cost $40,843,227)
FOREIGN -- 1.20%
African Development Bank Note, 9.30%, 7/1/00.... 1,572,000 1,669,857
Kingdom of Belgium Put Euro Dollar, 9.20%,
6/28/00........................................ 1,990,129 2,525,456
Metropolis of Tokyo, 8.70%, 10/5/99............. 2,250,000 2,330,647
National Australia Bank Ltd, 9.70%, 10/15/98.... 800,000 808,872
Province of Ontario Eurobond, 7.375%, 1/27/03... 4,400,000 4,643,496
Province of Quebec, 9.125%, 8/22/01............. 2,515,000 2,720,206
Quebec Province of Canada, 6.50%, 1/17/06....... 2,500,000 2,545,375
------------------
(Cost $16,486,157).............................. 17,243,909
------------------
TOTAL INVESTMENTS................................ $ 1,437,458,015
==================
(Cost $1,373,182,326)
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
89
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- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS
(a) 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. 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 of 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 $2,807,640. The book cost of certain IO and HB securities includes a
write 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.
Pegasus Funds
90
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- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 1.90%
Pegasus Cash Management Fund Class I (in shares).... 4,842,088 $ 4,842,088
------------
(Cost $4,842,088)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 62.84%
U.S. Treasury Securities -- 48.70%
U.S. Treasury Notes:
8.875%, 2/15/99.................................... $ 1,000,000 1,020,310
7.00%, 4/15/99..................................... 1,000,000 1,011,250
6.375%, 4/30/99.................................... 14,645,000 14,747,954
6.375%, 5/15/99.................................... 6,000,000 6,043,140
6.25%, 5/31/99..................................... 3,000,000 3,019,230
6.75%, 5/31/99..................................... 2,200,000 2,223,716
6.875%, 7/31/99.................................... 1,000,000 1,013,910
5.875%, 8/31/99.................................... 6,300,000 6,324,633
6.875%, 8/31/99.................................... 2,000,000 2,030,000
7.125%, 9/30/99.................................... 4,000,000 4,076,240
7.50%, 10/31/99.................................... 2,935,000 3,007,905
7.875%, 11/15/99................................... 1,000,000 1,030,620
7.75%, 11/30/99.................................... 9,750,000 10,040,940
5.625%, 11/30/99................................... 2,000,000 2,003,126
7.75%, 12/31/99.................................... 1,000,000 1,031,560
7.75%, 1/31/00..................................... 700,000 698,469
7.75%, 1/31/00..................................... 9,100,000 9,401,392
8.50%, 2/15/00..................................... 960,000 1,003,651
7.125%, 2/29/00.................................... 7,000,000 7,175,000
6.875%, 3/31/00.................................... 500,000 511,095
6.75%, 4/30/00..................................... 1,700,000 1,735,853
6.25%, 4/30/01..................................... 21,200,000 21,594,108
6.50%, 5/31/01..................................... 3,000,000 3,076,860
6.625%, 6/30/01.................................... 2,000,000 2,058,440
7.875%, 8/15/01.................................... 3,900,000 4,155,918
6.25%, 10/31/01.................................... 1,500,000 1,531,170
7.50%, 11/15/01.................................... 3,000,000 3,177,660
5.875%, 11/30/01................................... 2,000,000 2,020,626
6.25%, 2/28/02..................................... 5,900,000 6,036,443
3.625%, 7/15/02.................................... 1,014,580 1,003,480
------------
(Cost $123,353,952) 123,804,701
------------
Agency Obligations -- 14.14%
Federal Home Loan Bank
Series GI98, 4.83%, 09/21/98....................... 500,000 499,220
Series 2 Class Z, 9.30%, 3/15/19................... 761,523 801,687
Series 11 Class C, 9.50%, 4/15/19.................. 199,052 202,375
Series 26 Class F, 9.50%, 2/15/20.................. 996,510 1,070,394
Series 81 Class A, 8.125%, 11/15/20................ 250,585 259,436
Series 85 Class C, 8.60%, 1/15/21.................. 595,900 624,855
Series 99 Class Z, 9.50%, 1/15/21.................. 1,146,693 1,232,706
Series 192 Class H, 9.00%, 7/15/21................. 56,550 56,565
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
91
<PAGE>
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- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Series 1045 Class G, HB, 1066.208%, 2/15/21........ $ 1,398 $ 39,117
Series 1424 Class IF, 11/15/22..................... 1,088,182 1,067,084
Series 1477 Class F, 6.65%, 5/15/18................ 300,000 304,495
Series 1490 Class PE, 5.75%, 07/15/06.............. 213,840 213,504
Series 1497 Class CC, 5.50%, 07/15/14.............. 422,125 421,442
Series 1541 Class E, 6.00%, 12/15/16............... 500,000 500,332
Series 1541 Class EA, 4.00%, 12/15/16.............. 1,000,000 980,823
Series 1544 Class E, 6.25%, 6/15/08................ 241,165 242,000
Series 1552 Class F, 6.00%, 06/15/19............... 553,000 553,406
Series 1555 Class PK, 7.00%, 07/15/07.............. 2,000,000 2,028,754
Series 1559 Class VF, 6.25%, 2/15/20............... 500,000 503,860
Series 1560 Class X, Accrual Bond, 6.00%, 11/15/16. 1,001,597 1,002,251
Series 1561 Class EA, IF, 06/15/07................. 500,000 504,670
Series 1570 Class D, PO, 7/15/20................... 154,156 147,246
Series 1606 Class G, 5.75%, 1/15/08................ 260,000 258,607
Series 1614 Class G, 5.80%, 2/15/19................ 1,100,000 1,098,276
Series 1671 Class D, 5.75%, 11/15/16............... 156,934 156,807
Series 1679 Class A, 5.25%, 9/15/06................ 344,923 342,237
Series 1698 Class PE, 6.00%, 11/15/05.............. 250,000 250,343
Series 1727 Class E, 6.50%, 4/15/18................ 1,000,000 1,009,763
Series 1807 Class G, 9.00%, 1/1/06................. 543,153 576,380
Federal National Mortgage Assn. Mortgage Backed
Securities
Stripped Trust 268, Class 2, IO, 9.00%, 12/25/21... 150,751 33,887
Federal National Mortgage Assn. Pass Thru
Securities:
Pool #070226, AR, 1/1/19........................... 263,829 261,850
Pool #111366, AR, 8/1/19........................... 277,828 289,952
Pool #116612, AR, 3/1/19........................... 568,408 587,404
Federal National Mortgage Assn. Pass Thru Securities
Gtd. Remic Trust:
1997 32C, Class GP, PO, 10/25/21................... 700,000 626,118
1997 Class A, IF, 01/17/03......................... 320,319 323,997
1988 Class 7-Z, 9.25%, 4/25/18..................... 474,662 500,108
1988 Class 15-A, 9.00%, 6/25/18.................... 97,653 103,116
1988 Class 16-B, 9.50%, 6/25/18.................... 594,781 639,624
1988 Class 17-B, 9.40%, 10/25/17................... 9,694 9,770
1989 Class 31-D, 9.15%, 8/25/18.................... 9,827 9,813
1989 Class 73-C, PO, 10/25/19...................... 116,391 107,882
1989 Class 89-H, 9.00%, 11/25/19................... 1,157,298 1,212,602
1990 Class 77-C, 9.00%, 7/25/19.................... 129,798 133,023
1991 Class 41-O, 9.00%, 8/25/06.................... 256,078 259,697
1991 Class 56-K, 8.60%, 2/25/20.................... 83,041 83,022
1992 Class 13-S, HB, IF, 1/25/99................... 1,672 5,212
1992 Class 137-BA, 3.50%, 1/25/17.................. 41,011 40,708
1993 Class 93-E, 6.25%, 4/25/07.................... 175,000 176,151
1993 Class 85-PD, 5.50%, 7/25/03................... 39,589 39,464
1993 Class 86-E, 6.00%, 1/25/07.................... 1,333,522 1,332,313
1993 Class 26-PE, 5.90%, 7/25/15................... 481,625 480,663
1993 Class 107-D, 6.50%, 12/25/06.................. 1,900,000 1,922,098
1993 Class 127-E, 6.00%, 10/25/16.................. 474,606 474,095
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
92
<PAGE>
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- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
1994 Class 12-PD, 5.50%, 7/25/04.................. $ 491,550 $ 489,550
1994 Class 17-E, 6.00%, 2/25/07................... 425,000 424,870
1994 Class 15- E, 5.50%, 2/25/19.................. 786,000 780,162
1994 Class 23-PJ, 6.00%, 1/25/02.................. 488,660 488,353
1994 Class 33-E, 5.50%, 11/25/07.................. 125,000 123,983
1994 Class 36-GA, 6.50%, 2/25/20.................. 500,000 506,881
1995 Class PK, 6.35%, 3/15/11..................... 1,203,936 1,208,683
Federal National Mortgage Assn. Debenture,
4.70%, 9/10/98.................................... 1,000,000 997,653
Federal National Mortgage Assn. Medium Term Note,
5.75%, 11/25/16................................... 610,000 608,383
Government National Mortgage Assn. Pass Thru
Securities
Gtd. Remic Trust 1997 Class 13-PA, 6.00%, 1/16/20. 3,714,195 3,716,026
------------
(Cost $35,769,932) 35,945,745
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS......... 159,750,446
------------
(Cost $159,123,884)
ASSET BACKED SECURITIES -- 19.87%
Arcadia Automobile Receivable Trust
6.50%, 6/17/02.................................... 600,000 607,892
BM Mortgage Securities Inc. Mortgage Backed Pass
Thru Ctf.,
Series 1998-2, Class 1A10, 6.60%, 06/25/28........ 1,600,000 1,611,499
Case Equipment Loan Trust Asset Backed Pass Thru
Ctf.,
Series 1994-C, Class A2, 8.10%, 06/15/01.......... 237,967 238,859
Case Equipment Loan Trust Asset Backed Pass Thru
Ctf.,
Series 1995-A, Class A, 7.30%, 03/15/02........... 131,981 133,056
Case Equipment Loan Trust Asset Backed Pass Thru
Ctf.,
Series 1996-B, Class A3, 6.65%, 09/15/03.......... 424,695 427,546
Chase Credit Card Trust
6.30%, 4/15/03.................................... 1,880,000 1,901,906
Chase Manhattan Auto Owner Trust
6.50%, 12/17/01................................... 375,000 381,508
Chevy Chase Auto Receivable Trust
6.20%, 3/20/04.................................... 752,004 755,135
Chevy Chase Auto Receivable Trust
5.91%, 4/15/00.................................... 1,000,000 998,242
Citicorp Mortgage Securities, Inc. Remic Pass Thru
Ctf.,
Series 89-16, Class A-1, AR, 4/1/19............... 173,591 172,834
Citicorp Mortgage Securities, Inc. Remic Pass Thru
Ctf.,
Series 94-9, Class A-3, 5.75%, 6/25/09............ 2,040,000 2,024,421
Collateralized Mortgage Obligations Trust CMO,
Trust 12, Class D, 9.50%, 2/1/17.................. 115,688 117,035
Discover Card Trust Series 93-B Class A,
6.75%, 2/16/02.................................... 700,000 707,877
Discover Card Master Trust
Series 95-2 Class A, 6.55%, 2/15/03............... 550,000 558,251
First Security Series 98-A Class A,
5.97%, 4/15/04.................................... 916,585 918,769
Ford Credit Auto Owner Trust Asset Backed Pass Thru
Ctf.,
Series 1996-A, Class A3, 6.50%, 11/15/99.......... 160,762 161,012
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
93
<PAGE>
PEGASUS SHORT BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Ford Credit Auto Owner Trust Asset Backed Pass
Thru Ctf.,
Series 1996-A, Class A4, 6.75%, 09/15/00......... $ 607,000 $ 612,404
Greentree Collateralized Mortgage Obligation,
Series 1997-3, Class A2, 6.49%, 07/15/28......... 2,223,308 2,229,556
Key Auto Finance Trust
5.85%, 03/15/03.................................. 255,524 255,752
MBNA Master Credit Card Trust Asset Backed Ctf.,
Trust 93-3, Series 1993-3A, 5.40%, 9/15/00....... 592,500 590,926
Merrill Lynch Home Equity Loan Asset Backed Pass
Thru Ctf.,
Series 1992-1, Class A, IF, 7/15/22.............. 340,697 341,162
Morgan Stanley Mortgage Trust, CMO,
Series 38-4, PO, 11/20/21........................ 61,402 50,528
Navistar Financial Corp. Owner Trust Asset Backed
Pass Thru Ctf.,
Series 1995-A, Class A2, 6.55%, 11/20/01......... 477,049 478,241
Navistar Financial Corp. Owner Trust Asset Backed
Pass Thru Ctf.,
Series 1997-A, Class A3, 6.75%, 3/15/02.......... 500,000 506,707
Newcourt Receivables Asset Trust
Series 1997-1, Class A, 6.04%, 06/20/00.......... 1,400,000 1,403,000
Olympic Automobile Rec. Trust Asset Backed Pass
Thru Ctf.,
Series 1996-D Class A3, 5.95%, 06/15/01.......... 1,200,000 1,201,792
Olympic Automobile Rec. Trust Asset Backed Pass
Thru Ctf.,
Series 1996-D Class A4, 6.05%, 08/15/02.......... 500,000 501,992
Olympic Automobile Rec. Trust Asset Backed Pass
Thru Ctf.,
Series 1996-C Class A5, 7.00%, 03/15/04.......... 1,150,000 1,181,332
Olympic Automobile Rec. Trust Asset Backed Pass
Thru Ctf.,
Series 1996-B Class A4, 6.70%, 03/15/02.......... 2,000,000 2,019,826
Olympic Automobile Rec. Trust Asset Backed Pass
Thru Ctf.,
Series 1996-C Class A4, 6.80%, 03/15/02.......... 2,750,000 2,786,803
Olympic Automobile Rec. Trust Asset Backed Pass
Thru Ctf.,
Series 1996-B Class A3, 6.50%, 12/15/00.......... 511,431 512,640
Olympic Automobile Rec. Trust Asset Backed Pass
Thru Ctf.,
Series 1997-A Class A4, 6.625%, 12/15/02......... 1,435,000 1,457,563
Olympic Automobile Rec. Trust Asset Backed Pass
Thru Ctf.,
Series 1995-C Class A2, 6.20%, 1/15/02........... 731,463 733,733
Onyx Acceptance Trust Auto Loan Backed Pass Thru
Ctf.,
Series 1997-3 Class A, 6.30%, 5/15/04............ 374,618 376,724
Onyx Acceptance Trust Auto Loan Backed Pass Thru
Ctf.,
Series 1997-3 Class A, 6.35%, 1/15/04............ 1,497,707 1,507,357
Premier Auto Trust Asset Backed Pass Thru Ctf.,
Series 1996-4 Class A3, 6.20%, 11/06/00.......... 775,122 777,093
Premier Auto Trust Asset Backed Pass Thru Ctf.,
Series 1997-2 Class A3, 6.13%, 9/06/00........... 445,000 446,238
Ryland Acceptance Corp. Four, CMO, Series 78,
Class 78-B, 9.55%, 3/1/16........................ 122,137 123,398
Sears Credit Account Master Trust
Series 1995-4 Class A, 6.25%, 1/15/03............ 1,466,667 1,470,147
Sears Credit Account Master Trust
Series 1996-1 Class A, 6.20%, 2/16/06............ 1,000,000 1,011,786
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
94
<PAGE>
PEGASUS SHORT BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Sears Credit Account Master Trust
Series 1996-4 Class A, 6.45%, 10/16/06............ $ 790,000 $ 803,180
Standard Credit Card Master Trust Asset Backed
Ctf.,
Series 1993-3, Class A, 5.50%, 02/07/00........... 2,110,000 2,107,559
Standard Credit Card Master Trust Asset Backed
Ctf.,
Series 1995-10, Class A, 5.90%, 02/07/01.......... 450,000 450,702
Western Financial Owner Trust Asset Backed Pass
Thru Ctf.,
Series 1995-2 Class A1, 7.10%, 7/01/00............ 796,308 801,558
Western Financial Owner Trust Asset Backed Pass
Thru Ctf.,
Series 1996-B, Class A4, 6.95%, 11/20/03.......... 2,840,000 2,882,069
Western Financial Owner Trust Asset Backed Pass
Thru Ctf.,
Series 1996-B, Class A3, 6.65%, 8/20/00........... 254,518 255,476
Western Financial Owner Trust Asset Backed Pass
Thru Ctf.,
Series 1996-D, Class A3, 6.05%, 7/20/01........... 842,076 844,446
Western Financial Owner Trust Asset Backed Pass
Thru Ctf.,
Series 1997-D, Class A3, 6.25%, 3/20/02........... 1,000,000 1,006,863
Western Financial Owner Trust Asset Backed Pass
Thru Ctf.,
Series 1997-D, Class A2, 6.20%, 9/20/00........... 500,000 500,782
Western Financial Owner Trust Asset Backed Pass
Thru Ctf.,
Series 1997-B, Class A4, 6.40%, 7/20/02........... 1,450,000 1,469,336
Western Financial Asset Backed Pass Thru Ctf.,
Series 1996-C, Class A4, 6.80%, 12/20/03.......... 4,000,000 4,055,172
Western Financial Grantor Trust Auto Receivable P/T
Ctf:
1993-4, Class A1, 4.60%, 4/1/99................... 51,871 51,795
1994-3, Class A, 6.65%, 12/1/99................... 88,199 88,519
1998-B, Class A4, 6.05%, 4/20/03.................. 500,000 499,883
World Omni Automobile LSE SEC Trust Asset Backed
Pass Thru Cft.,
Series 1995-A, Class A, 6.05%, 11/25/01........... 397,826 397,950
------------
TOTAL ASSET BACKED SECURITIES 50,507,829
------------
(Cost $50,265,041)
CORPORATE BONDS AND NOTES -- 15.39%
Finance -- 14.33%
Associates Corp. of North America
9.125%, 4/1/00.................................... 1,904,000 2,002,026
6.625%, 05/15/01.................................. 1,015,000 1,031,802
American Express Credit Corp
7.375%, 02/01/99.................................. 295,000 297,498
Association Corp. of North America Medium Term Note
8.50%, 01/10/00................................... 1,025,000 1,062,877
7.55%, 08/23/01................................... 250,000 261,307
Association Corp. of North America
5.25%, 3/30/00.................................... 2,654,000 2,624,854
8.25, 12/01/99.................................... 3,240,000 3,339,183
Association Corp. of North America Medium Term Note
Series G, 5.49%, 01/28/99......................... 270,000 269,503
Association Corp. of North America Medium Term Note
Tranche #00455, 7.48%, 07/27/02................... 300,000 315,429
Association Corp. of North America Senior Term Note
6.25%, 9/15/00.................................... 1,090,000 1,097,558
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
95
<PAGE>
PEGASUS SHORT BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Beneficial Finance Corp. Medium Term Note:
7.34%, 11/26/99.................................... $ 200,000 $ 203,300
Du Pont E I De Nemours & Co.
9.15%, 4/15/00..................................... 825,000 870,130
Ford Holdings Inc.,
9.25%, 3/1/00...................................... 4,115,000 4,329,404
Ford Motor Credit Co.:
8.875%, 06/15/99................................... 1,460,000 1,497,502
9.50%, 4/15/00..................................... 1,415,000 1,497,308
9.00%, 9/15/01..................................... 1,192,000 1,291,381
8.00%, 6/15/02..................................... 219,000 233,643
Ford Motor Credit Co. Medium Term Note,
Tranche #00281, 7.47%, 7/29/99..................... 1,200,000 1,217,802
Tranche #00442, 7.59%, 4/6/00...................... 300,000 308,010
General Motors Acceptance Corp.
9.375%, 4/1/00..................................... 500,000 527,773
9.625%, 5/15/00.................................... 856,000 910,147
9.625%, 12/1/00.................................... 250,000 270,596
Goldman Sachs Group, Private Placement Note 144A,
6.20%, 02/15/01.................................... 1,500,000 1,503,092
Goldman Sachs Group, LP
6.875%, 9/15/99.................................... 1,275,000 1,287,203
Lehman Brothers Holdings Inc.,
10.00%, 5/15/99.................................... 1,790,000 1,848,094
8.875%, 11/01/98................................... 532,000 536,620
7.625%, 7/15/99.................................... 365,000 370,127
7.11%, 9/27/99..................................... 1,063,000 1,075,442
6.33%, 8/1/00...................................... 360,000 361,768
Northwest Corporation
6.0%, 3/15/00...................................... 280,000 280,936
Sears Roebuck Acceptance
6.73%, 8/29/00..................................... 500,000 507,336
Union Acceptance Corp.
Series 1997-D, Class A3, 6.26%, 2/08/02............ 1,750,000 1,760,190
Series 1997-D, Class A2, 6.375%, 10/08/03.......... 1,422,000 1,431,233
------------
(Cost $36,244,911) 36,421,071
------------
Industrial -- 0.51%
Sears Roebuck & Co
9.50%, 6/1/99...................................... 649,000 667,774
Texaco Capital, Inc.:
9.00%, 12/15/99.................................... 600,000 626,125
------------
(Cost $1,293,073) 1,293,899
------------
Foreign -- 0.55%
Republic N Y Corp
9.75%, 12/1/00..................................... 1,290,000 1,401,291
------------
(Cost $1,397,459)
TOTAL CORPORATE BONDS AND NOTES....................... 39,116,261
------------
(Cost $38,935,443)
TOTAL INVESTMENTS..................................... $254,216,623
============
(Cost $253,166,456)
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
96
<PAGE>
PEGASUS SHORT BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS
(a) 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. 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 of 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.
Pegasus Funds
97
<PAGE>
PEGASUS MULTI SECTOR BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 3.34%
Pegasus Cash Management Fund Class I (in shares).... 4,337,599 $ 4,337,599
------------
(Cost $4,337,599)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 20.19%
U.S. Treasury Securities -- 13.01%
U.S. Treasury Bonds:
12.750%, 11/15/10................................. $ 5,740,000 8,175,023
7.500%, 11/15/16.................................. 500,000 600,235
8.125%, 5/15/21................................... 2,820,000 3,671,725
8.125%, 8/15/21................................... 1,000,000 1,303,440
U.S. Treasury Notes:
8.50%, 2/15/00.................................... 560,000 585,463
Inflation Protection Security, 3.375%, 1/15/07.... 2,651,194 2,567,522
------------
(Cost $16,504,948) 16,903,408
------------
Agency Obligations -- 7.18%
Federal Home Loan Mortgage Corp. Gold Participation
Ctfs.:
Series #D81734, 7.00%, 8/1/27..................... 1,442,537 1,466,306
Federal Home Loan Mortgage Corp. Gtd. Multi-Class
Mortgage Participation Ctfs.:
Series 1507 Class JC, 6.75%, 12/15/05............. 100,000 102,793
Series 1552 Class GB, 6.50%, 12/15/21............. 289,000 293,821
Series 1552 Class HB, 6.500%, 11/15/22............ 562,000 571,389
Series 1556 Class H, 6.50%, 8/15/13............... 115,000 116,918
Series 1590 Class FA, 5.50%, 1/15/19.............. 345,000 340,110
Series 1630 Class PJ, 6.000%, 5/15/23............. 802,000 797,473
Series 1671 Class F, 6.25%, 3/15/22............... 250,000 252,088
Series 1995 Class EM, 6.375%, 8/15/11............. 1,044,481 1,049,174
Federal National Mortgage Assn. Pass Thru
Securities Guaranteed Remic Trust:
Series 1993-23 Class PZ, 7.50%, 3/25/23........... 155,475 171,162
Series 1993-55 Class K, 6.50%, 5/25/08............ 490,000 502,730
Series 1993-56 Class PZ, 7.00%, 5/25/23........... 449,157 477,052
Series 1993-70 Class D, 6.900%, 12/25/03.......... 242,928 247,648
Series 1993-140 Class H, 6.50%, 3/25/13........... 300,000 304,555
Series 1993-231 Class M, 6.00%, 12/25/08.......... 615,000 614,828
Series 1994-40 Class H, 6.00%, 10/25/20........... 311,000 310,556
Series 1997-12 Class G, 7.00%, 7/18/24............ 1,500,000 1,514,003
Series X-225C Class PD, 5.700%, 6/25/17........... 200,000 198,895
------------
(Cost $10,699,912) 9,331,498
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS......... 26,234,907
------------
(Cost $27,204,860)
ASSET BACKED SECURITIES -- 21.40%
Advanta Mortgage Loan Trust Asset Backed Ctf.,
Series 1994-3, Class A2, 7.60%, 7/25/10........... 203,615 203,312
BA Mortgage Securities Inc Mortgage Pass Thru Ctf.,
Series 1998-2, Class 1A10, 6.60%, 6/25/28......... 2,000,000 2,014,374
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
98
<PAGE>
PEGASUS MULTI SECTOR BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE MARKET
DESCRIPTION AMOUNT VALUE
----------- ------ ------
<S> <C> <C>
Chemical Master Credit Card Trust 1 Asset Backed Ctf.,
Series 1995-3, Class A, 6.23%, 8/15/02............... $2,500,000 $ 2,543,393
Chevy Chase Auto Receivables Trust Asset Backed Pass
Thru Ctf.,
Series 1995-2, Class A, 5.80%, 6/15/02............... 726,858 727,202
Citicorp Mortgage Securities Pass Thru Ctf.,
Series 1994-9, Class A3, 5.75%, 6/25/09.............. 2,500,000 2,480,908
Dayton Hudson Credit Card Master Trust Asset Backed
Ctf.,
Series 1995-1, Class A, 6.10%, 2/25/02............... 2,500,000 2,503,833
Green Tree Financial Corp. Asset Backed Pass Thru
Ctf.,
Series 1994-B1, Class A1, 7.15%, 7/15/14............. 236,784 240,933
Key Auto Finance Trust Asset Backed Pass Thru Ctf.,
Series 1997-1, Class A1, 5.85%, 3/15/03.............. 2,255,524 2,416,972
MBNA Master Credit Card Trust Asset Backed Pass Thru
Ctf.,
Series 1994-C, Class A, Adjustable Rate, 3/15/04..... 1,655,000 1,664,592
Newcourt Recievables Asset Trust Pass Thru Ctf.,
Series 1997-1, Class A, 6.04%, 6/20/00............... 500,000 501,072
Olympic Automobile Receivables Trust Asset Backed Pass
Thru Ctf.
Series 1995-D, Class A5, 6.15%, 7/15/01.............. 2,300,000 2,307,597
Series 1996-C, Class A5, 7.00%, 12/15/01............. 3,000,000 3,081,735
PNC Student Loan Trust Asset Backed Pass Thru Ctf.
Series 1997-2, Class A6, 6.572%, 1/25/04............. 382,000 394,664
Security Pacific Acceptance Corp. Asset Backed Pass
Thru Ctf.,
Series 1995-1, Class A3, 7.25%, 4/10/20.............. 2,000,000 2,093,074
Union Federal Savings Bank Trust Auto Recievable Pass
Thru Ctf.,
Series 1994-D, Class A, 7.65%, 1/10/01............... 573,905 577,035
Western Financial Asset Backed Pass Thru Ctf.,
Series 1996-C, Class A4, 6.80%, 12/20/03............. 4,000,000 4,055,172
-----------
TOTAL ASSET BACKED SECURITIES........................... 27,805,866
-----------
(Cost $25,250,746)
CORPORATE BONDS AND NOTES -- 55.06%
Finance -- 45.69%
ABN AMRO Bank N.V., 7.25%, 5/31/05.................... 4,800,000 5,075,630
American Express Credit Card Note, 6.125% 11/15/01.... 2,000,000 2,017,876
American RE Corp., 7.45%, 12/15/26.................... 6,000,000 6,678,060
Baltimore Gas & Electric Co. Mortgage, 6.60%, 6/25/28. 2,000,000 2,041,476
Donaldson Lufkin Senior Note, 6.50%, 6/01/08.......... 1,000,000 1,005,300
General Electric Capital Corp., 8.85%, 4/1/05......... 3,500,000 4,047,138
Genera Motors Acceptance Corp. Note, 7.125%, 5/01/03.. 2,000,000 2,087,292
Grand Metro Investment Corp. Guaranteed Note, 7.45%,
4/15/35.............................................. 4,500,000 5,222,322
Hertz Corporation Senior Note, 6.625%, 5/15/08........ 2,500,000 2,529,653
Household Finance Co. Note, 7.25%, 7/15/03............ 2,000,000 2,090,994
Lilly Eli & Company Debenture, 8.375%, 12/01/06....... 2,000,000 2,296,600
Mellon Financial Corp., 7.625%, 11/15/99.............. 2,310,000 2,361,640
National Rural Utilities Coop Financial Corp., 6.75%,
9/1/01............................................... 4,290,000 4,386,040
Norwest Corp., Senior Medium Term Note, 7.75%, 3/1/02. 1,500,000 1,589,968
Republic New York Corp., 7.25%, 7/15/02............... 2,000,000 2,090,338
Royal Caribbean Cruises Note, 6.75%, 3/15/08.......... 5,000,000 5,063,130
Salomon Inc., 6.70%, 12/1/98.......................... 3,700,000 3,712,639
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
99
<PAGE>
PEGASUS MULTI SECTOR BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
DESCRIPTION AMOUNT MARKET VALUE
----------- ------ ------------
<S> <C> <C>
Societe General Estate, LLC
Series 144A, Perpetual Maturity, 7.64%, 9/30/07....... $3,055,000 $ 3,040,507
Travelers Group Note, 6.25%, 12/1/05................... 2,000,000 2,022,806
------------
(Cost $57,360,241) 59,359,409
------------
Industrial -- 2.33%
Beckman Instruments, 7.05%, 6/1/26..................... 3,000,000 3,028,599
------------
(Cost $3,009,317)
Public Utility -- 7.04%
Bell Telephone Co. Pennsylvania, 8.35%, 12/15/30....... 4,000,000 5,083,324
New York Telephone Note, 5.625%, 11/01/03.............. 2,000,000 1,964,418
Pacific Bell Senior Note, 6.875%, 8/15/06.............. 2,000,000 2,100,301
------------
(Cost $8,300,959) 9,148,043
------------
TOTAL CORPORATE BONDS AND NOTES.......................... 71,536,051
------------
(Cost $68,670,517)
TOTAL INVESTMENTS........................................ $129,914,423
============
(Cost $125,463,721)
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
100
<PAGE>
PEGASUS INTERNATIONAL BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- 7.62%
Pegasus Cash Management Fund Class I (in shares)... 4,000,000 $ 4,000,000
Salomon Brothers, Revolving Repurchase Agreement,
5.95%, 7/1/98 (secured by various U.S. Treasury
Notes with maturities ranging from 8/15/98 through
5/15/08 at various interest rates ranging from
0.00% to 12.00%, all held at Chase Bank).......... $ 2,738,721 2,738,721
-----------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $6,738,721) 6,738,721
-----------
<CAPTION>
PAR (A)
-------------
<S> <C> <C>
FOREIGN BONDS -- 92.38%
ARGENTINA -- 4.82%
Republic of Argentina, 11.375%, 12/15/99........USD 4,000,000 4,256,740
-----------
AUSTRALIA -- 2.08%
Australia (Commonwealth), 9.00%, 09/15/04.......... 2,500,000 1,834,716
-----------
AUSTRIA -- 0.69%
Republic of Austria, 7.00%, 01/20/03............... 7,000,000 608,019
-----------
BELGIUM -- 1.87%
Belgium Government, Series 19, 6.50%, 03/31/05..... 56,000,000 1,856,048
-----------
BRAZIL -- 2.92%
Federal Republic of Brazil, 10.125%, 05/15/27...USD 3,000,000 2,584,269
-----------
CANADA -- 5.22%
Canada Government, 6.50%, 06/01/04................. 3,800,000 2,740,547
Ontario Hydro, 8.825%, 02/06/02.................... 2,500,000 1,876,570
-----------
4,617,117
-----------
DENMARK -- 1.66%
Kingdom of Denmark, 9.00%, 11/15/98................ 2,000,000 295,749
Kingdom of Denmark, 7.00%, 11/15/07................ 7,000,000 1,172,208
-----------
1,467,957
-----------
FINLAND -- 2.30%
Republic of Finland, 5.50%, 02/09/01............DEM 2,000,000 1,160,531
Republic of Finland, 6.00%, 01/29/02............JPY 30,000,000 254,253
Republic of Finland, 7.25%, 04/18/06............... 3,000,000 632,055
-----------
2,036,839
-----------
FRANCE -- 9.55%
Government of France, 5.75%, 03/12/01.............. 10,000,000 1,720,428
Government of France, 5.50%, 04/25/04.............. 20,100,000 3,495,372
Government of France, 5.50%, 05/24/07.............. 12,000,000 2,088,984
Government of France, 6.50%, 04/25/11.............. 6,000,000 1,137,217
-----------
8,442,001
-----------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
101
<PAGE>
PEGASUS INTERNATIONAL BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION PAR (A) MARKET VALUE
----------- ------------- ------------
<S> <C> <C>
GERMANY -- 10.68%
Deutsche Bundespost, 5.75%, 04/02/01............... 5,500,000 $ 3,207,467
Deutsche Bundespost, 7.50%, 08/02/04............... 600,000 387,781
Federal Republic of Germany, 9.00%, 10/20/00....... 600,000 367,520
Federal Republic of Germany, 6.50%, 07/15/03....... 4,600,000 2,781,678
Federal Republic of Germany, 6.00%, 01/06/08....... 4,500,000 2,695,611
-----------
9,440,047
-----------
INTERNATIONAL -- 9.71%
Asian Development Bank, 3.125%, 06/29/05........JPY 300,000,000 2,409,596
Asian Development Bank, 5.00%, 02/06/03.........JPY 40,000,000 338,838
Council of Europe, 6.875%, 03/05/01.............JPY 30,000,000 250,093
European Investment Bank, 8.00%, 06/10/03.......GBP 1,300,000 2,288,919
Inter-American Development Bank, 2.25%,
02/05/02.......................................JPY 400,000,000 3,009,760
Inter-American Development Bank, 7.25%,
05/15/00.......................................JPY 35,000,000 283,002
-----------
8,580,207
-----------
ITALY -- 8.58%
Italian Government, 8.50%, 01/01/99................ 5,500,000,000 3,150,160
Italian Government, 9.50%, 02/01/06................ 3,500,000,000 2,541,224
Italian Government, 6.75%, 02/01/07................ 3,000,000,000 1,896,325
-----------
7,587,709
-----------
JAPAN -- 11.02%
Export-Import Bank Japan, 4.375%, 10/01/03......... 30,000,000 251,339
Export-Import Bank Japan, 2.875%, 07/28/05......... 400,000,000 3,185,505
Government of Japan, 4.50%, 12/20/04............... 40,000,000 347,031
International Bank of Reconstruction & Development,
5.25%, 03/20/02................................... 100,000,000 835,069
International Bank of Reconstruction & Development,
4.75%, 12/20/04................................... 200,000,000 1,764,322
Japan Development Bank, 6.50%, 09/20/01............ 35,000,000 296,956
Nippon Telephone & Telegraph, 2.50%, 07/25/07...... 400,000,000 3,060,071
-----------
9,740,293
-----------
NETHERLANDS -- 3.54%
Netherland Government, 5.75%, 01/15/04............. 6,000,000 3,125,287
-----------
NEW ZEALAND -- 1.87%
New Zealand Government, 8.00%, 04/15/04............ 3,000,000 1,656,642
-----------
PANAMA -- 3.34%
Republic of Panama, 7.875%, 02/13/02............... 3,000,000 2,951,379
-----------
SOUTH AFRICA -- 1.17%
Republic of South Africa, 9.625%, 12/15/99......USD 1,000,000 1,040,000
-----------
SPAIN -- 3.19%
Spanish Government, 8.00%, 05/30/04................ 370,000,000 2,817,661
-----------
SWEDEN -- 1.56%
Swedish Government, 8.00%, 08/15/07................ 9,000,000 1,379,274
-----------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
102
<PAGE>
PEGASUS INTERNATIONAL BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION PAR (A) MARKET VALUE
----------- --------- ------------
<S> <C> <C>
UNITED KINGDOM -- 6.61%
Exchequer, 12.25%, 03/26/99............................. 250,000 $ 431,470
United Kingdom Treasury, 7.00%, Stock 2001.............. 2,000,000 3,373,404
United Kingdom Treasury, 8.00%, Stock 2013.............. 1,000,000 2,040,359
-----------
5,846,233
-----------
TOTAL FOREIGN BONDS...................................... 81,685,638
-----------
(COST $86,851,447)
TOTAL INVESTMENTS........................................ $88,404,359
===========
(COST $93,590,168)
</TABLE>
(a) In local currencies unless otherwise noted.
CURRENCY ABBREVIATIONS
DEMGerman Deutschemark
GBPUnited Kingdom Pound Sterling
JPYJapanese Yen
USDUnited States Dollar
See Notes to Financial Statements.
Pegasus Funds
103
<PAGE>
PEGASUS HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE MARKET
DESCRIPTION AMOUNT VALUE
----------- ------ ------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 2.85%
Pegasus Cash Management Fund Class I (in shares)....... 1,933,941 $ 1,933,941
-----------
(Cost $1,933,941)
CORPORATE BONDS AND NOTES -- 93.42%
Aerospace & Defense -- 0.16%
Tracor, Inc., 8.500%, 3/1/07.......................... $ 100,000 109,000
-----------
(Cost $103,614)
Automotive -- 1.74%
Collins & Aikman Products, 11.500%, 4/15/06........... 575,000 643,281
Lear Corp., 9.500%, 7/15/06........................... 300,000 328,500
Oshkosh Truck Corp., 8.750%, 3/1/08................... 100,000 101,500
Oxford Automotive, Inc., 10.125%, 6/15/07............. 100,000 103,750
-----------
(Cost $1,175,975) 1,177,031
-----------
Banking -- 1.51%
First Nationwide Holdings
9.125%, 1/15/03...................................... 550,000 573,375
10.625%, 10/1/03..................................... 400,000 451,000
-----------
(Cost $1,017,084) 1,024,375
-----------
Beverage & Tobacco -- 0.37%
Dimon, Inc., 8.875%, 6/1/06 .......................... 250,000 250,000
-----------
(Cost $265,608)
Broadcast Radio & TV -- 7.21%
Acme Television LLC
Series B, Step Up, 0% to 9/30/00, thereafter 10.875%,
9/30/04 (b)......................................... 300,000 249,000
Big City Radio, Inc.
Series 144A, Step Up, 0% to 3/15/01, thereafter
11.250%, 3/15/05 (a) (b)............................ 425,000 323,000
Capstar Broadcasting, 9.250%, 7/1/07.................. 150,000 157,875
Chancellor Media Corp. Los Angeles
Series B, 10.500%, 1/15/07........................... 100,000 111,000
Series B, 8.750%, 6/15/07............................ 675,000 705,375
Series B, 8.125%, 12/15/07........................... 475,000 482,125
Cumulus Media, Inc., 10.375%, 7/1/08.................. 150,000 152,250
Fox/Liberty Networks LLC
8.875%, 8/15/07...................................... 125,000 127,812
Step Up, 0% to 8/15/02, thereafter 9.750%, 8/15/07
(b)................................................. 725,000 500,250
Lamar Advertising Co., 9.625%, 12/1/06................ 200,000 215,250
Outdoor Systems, 8.875%, 6/15/07...................... 600,000 627,000
Sinclair Broadcasting Group
10.000%, 9/30/05..................................... 100,000 107,750
9.000%, 7/15/07...................................... 600,000 627,000
8.750%, 12/15/07..................................... 300,000 310,500
Young Broadcasting, Inc., Series B, 9.000%, 1/15/06... 175,000 185,063
-----------
(Cost $4,767,615) 4,881,250
-----------
Building & Development -- 1.24%
American Architectural, 11.750%, 12/1/07.............. 175,000 181,125
American Builders Contractors Supply Co., Series B,
10.625%, 5/15/07..................................... 275,000 276,375
Building Materials Corp., Series B, 8.000%, 10/15/07.. 375,000 378,750
-----------
(Cost $835,978) 836,250
-----------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
104
<PAGE>
PEGASUS HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Business Equipment & Services -- 2.05%
Dialog Corp. PLC, Series A, 11.000%, 11/15/07....... $ 325,000 $ 357,500
Fisher Scientific International, Inc., 9.000%,
2/1/08............................................. 250,000 250,000
US Office Products Co., Series 144A, 9.750%, 6/15/08
(a)................................................ 325,000 328,656
United Stationers Supply Co.
12.750%, 5/1/05.................................... 134,000 153,430
Series 144A, 8.375%, 4/15/08 (a)................... 300,000 301,500
-----------
(Cost $1,354,552) 1,391,086
-----------
Cable Television -- 9.32%
CSC Holdings, Inc.
9.250%, 11/1/05.................................... 450,000 483,750
7.875%, 12/15/07................................... 250,000 265,000
Charter Communications Southeast Holdings
Series B, Step Up, 0% to 3/15/01, thereafter
14.000%, 3/15/07 (b).............................. 375,000 309,375
Comcast Corp., 9.375%, 5/15/05...................... 250,000 268,125
Diamond Cable Communications PLC
Step Up, 0% to 12/15/00, thereafter 11.750%,
12/15/05 (b)...................................... 75,000 62,438
Step Up, 0% to 2/15/02, thereafter 10.750%, 2/15/07
(b)............................................... 450,000 333,000
Diamond Holdings PLC, Series 144A, 9.125%, 2/1/08
(a)................................................ 150,000 156,375
Diva Systems Corp.,
Unit, Step Up, 0% to 3/1/03, thereafter 12.625%,
3/1/08 (b)........................................ 275,000 130,625
EchoStar Satellite Broadcasting Corp.
Step Up, 0% to 3/15/00, thereafter 13.125%, 3/15/04
(b)............................................... 275,000 254,375
International Cabletel, Inc.
Series B, Step Up, 0% to 2/1/01, thereafter
11.500%, 2/1/06 (b)............................... 800,000 660,000
Lenfest Communications
8.375%, 11/1/05.................................... 300,000 320,250
Series 144A, 8.250%, 2/15/08 (a)................... 275,000 286,687
NTL, Inc.
Series 144A, Step Up, 0% to 4/1/03, thereafter
9.750%, 4/1/08 (a) (b)............................ 1,075,000 704,125
Pegasus Communications, Series B, 9.625%, 10/15/05.. 375,000 388,125
Rogers Cablesystems LTD, Series B, 10.000%, 3/15/05. 275,000 306,625
TeleWest Communication PLC
Step Up, 0% to 10/1/00, thereafter 11.000%, 10/1/07
(b)............................................... 1,050,000 871,500
UIH Australia/Pacific
Series B, Step Up, 0% to 5/15/01, thereafter
14.000%, 5/15/06 (b).............................. 300,000 181,500
United International Holdings, Inc.
Series B, Step Up, 0% to 2/15/03, thereafter
10.750%, 2/15/08 (b).............................. 525,000 328,125
-----------
(Cost $6,216,059) 6,310,000
-----------
Chemicals & Plastics -- 2.60%
Buckeye Cellulose Corp., 8.500%, 12/15/05........... 425,000 431,375
ISP Holdings, Inc., Series B, 9.750%, 2/15/02....... 450,000 474,750
Polymer Group, Inc.
Series B, 9.000%, 7/1/07........................... 500,000 510,000
Series 144A, 8.750%, 3/1/08 (a).................... 200,000 200,500
Sterling Chemicals Holdings, Inc.
Step Up, 0% to 8/15/01, thereafter 13.500%, 8/15/08
(b)............................................... 250,000 143,750
-----------
(Cost $1,810,959) 1,760,375
-----------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
105
<PAGE>
PEGASUS HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Clothing & Textiles -- 2.71%
Collins & Aikman Floorcoverings, Series B, 10.000%,
1/15/07............................................ $ 500,000 $ 527,500
Dyersburg Corp., Series B, 9.750%, 9/1/07........... 200,000 192,000
GFSI, Inc., Series B, 9.625%, 3/1/07................ 200,000 209,000
Glenoit Corp., 11.000%, 4/15/07..................... 250,000 268,750
Pillowtex Corp.
10.000%, 11/15/06.................................. 500,000 537,500
Series B, 9.000%, 12/15/07......................... 100,000 103,250
-----------
(Cost $1,848,932) 1,838,000
-----------
Conglomerates -- 0.45%
Eagle Picher Industries, Series 144A, 9.375%, 3/1/08
(a)................................................ 300,000 304,500
-----------
(Cost $301,414)
Consumer Products -- 5.66%
American Safety Razor Co., Series B, 9.875%, 8/1/05. 150,000 160,125
Amscan Holdings, Inc., 9.875%, 12/15/07............. 425,000 431,375
Boyds Collection LTD, Series 144A, 9.000%, 5/15/08
(a)................................................ 250,000 250,625
Chattem, Inc., Series 144A, 8.875%, 4/1/08 (a)...... 325,000 321,750
Diamond Brands, Inc.
Series 144A, 10.125%, 4/15/08 (a).................. 125,000 125,625
Series 144A, Step Up, 0% to 4/15/03, thereafter
12.875%, 4/15/09 (a) (b).......................... 175,000 94,500
Icon Health & Fitness, Series B, 13.000%, 7/15/02... 250,000 251,250
NBTY, Inc., Series B, 8.625%, 9/15/07............... 350,000 357,000
Playtex Products, Series B, 8.875%, 7/15/04......... 500,000 515,000
Revlon Consumer Products Corp., 8.625%, 2/1/08...... 725,000 728,625
Sealy Mattress Co., 9.875%, 12/15/07................ 125,000 128,125
Simmons Co., 10.750%, 4/15/06....................... 350,000 376,250
Syratech Corp., 11.000%, 4/15/07.................... 100,000 89,000
-----------
(Cost $3,852,263) 3,829,250
-----------
Container & Glass Products -- 0.71%
Tekni-Plex, Inc., Series B, 9.250%, 3/1/08.......... 475,000 477,375
-----------
(Cost $484,664)
Ecological Services & Equipment -- 1.24%
Allied Waste Industries
Step Up, 0% to 6/1/02, thereafter 11.300%, 6/1/07
(b)............................................... 950,000 700,625
Allied Waste North America, 10.250%, 12/1/06........ 125,000 137,656
-----------
(Cost $828,623) 838,281
-----------
Electronics -- 0.62%
Fairchild Semiconductor Corp., 10.125%, 3/15/07..... 100,000 102,500
PX Escrow Corp.
Series 144A, Step Up, 0% to 2/1/02, thereafter
9.625%, 2/1/06 (a) (b)............................ 200,000 144,500
Viasystems, Inc., Series B, 9.750%, 6/1/07.......... 175,000 172,375
-----------
(Cost $434,809) 419,375
-----------
Farming & Agriculture -- 0.30%
Purina Mills, Inc., Series 144A, 9.000%, 3/15/10
(a)................................................ 200,000 206,000
-----------
(Cost $200,000)
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
106
<PAGE>
PEGASUS HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Financial Intermediaries -- 0.56%
Contifinancial Corp., 8.125%, 4/1/08................ $ 375,000 $ 380,141
-----------
(Cost $374,590)
Food & Drug Retailers -- 1.79%
Community Distributors, Series B, 10.250%, 10/15/04. 150,000 152,250
Di Giorgio Corp., Series B, 10.000%, 6/15/07........ 300,000 299,250
Jitney-Jungle Stores of America, Inc., 10.375%,
9/15/07............................................ 325,000 348,563
Stater Brothers, 9.000%, 7/1/04..................... 400,000 412,000
-----------
(Cost $1,185,640) 1,212,063
-----------
Food Products -- 2.49%
Aurora Foods, Series B, 9.875%, 2/15/07............. 225,000 239,625
Curtice-Burns Foods, Inc., 12.250%, 2/1/05.......... 150,000 165,000
Eagle Family Foods, Series 144A, 8.750%, 1/15/08
(a)................................................ 600,000 586,500
International Home Foods, 10.375%, 11/1/06.......... 425,000 463,250
Van de Kamps, Inc., 12.000%, 9/15/05................ 200,000 229,000
-----------
(Cost $1,674,930) 1,683,375
-----------
Food Services -- 1.01%
Ameriserv Food Distribution, Inc., 10.125%, 7/15/07. 575,000 594,406
Nebco Evans Holding Co., Step Up, 0% to 7/15/02,
thereafter 12.375%, 7/15/07 (b).................... 125,000 86,875
-----------
(Cost $682,381) 681,281
-----------
Forest Products -- 0.34%
Stone Container Corp., 9.875%, 2/1/01............... 225,000 232,312
-----------
(Cost $229,534)
Healthcare -- 4.20%
Alliance Imaging, 9.625%, 12/15/05.................. 100,000 101,500
Conmed Corp., Series 144A, 9.000%, 3/15/08 (a)...... 250,000 250,000
Dade International, Inc., Series B, 11.125%, 5/1/06. 450,000 508,500
Everest Healthcare Services, Series 144A, 9.750%,
5/1/08 (a)......................................... 200,000 205,000
Genesis Health Ventures, 9.750%, 6/15/05............ 150,000 154,875
Hudson Respiratory Care, Series 144A, 9.125%,
4/15/08 (a)........................................ 275,000 262,625
Oxford Health Plans, Series 144A, 11.000%, 5/15/05
(a)................................................ 50,000 51,250
Tenet Healthcare Corp.
8.000%, 1/15/05.................................... 1,025,000 1,055,514
8.625%, 1/15/07.................................... 100,000 103,750
Series 144A, 8.125%, 12/1/08 (a)................... 150,000 151,500
-----------
(Cost $2,839,229) 2,844,514
-----------
Home Products & Furnishings -- 0.73%
Falcon Building Products, Inc.,
Series B, Step Up, 0% to 6/15/02, thereafter
10.500%, 6/15/07 (b).............................. 500,000 335,000
Werner Holdings Co., Inc., A, 10.000%, 11/15/07..... 150,000 156,750
-----------
(Cost $494,121) 491,750
-----------
Hotels, Motels, Inns & Casinos -- 0.24%
Courtyard by Marriott, Series B, 10.750%, 2/1/08.... 150,000 165,375
-----------
(Cost $164,016)
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
107
<PAGE>
PEGASUS HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Industrial Products & Equipment -- 3.78%
Amphenol Corp., 9.875%, 5/15/07..................... $ 300,000 $ 317,250
Anchor Lamina, Inc., 9.875%, 2/1/08................. 150,000 147,000
Continental Global Group, Series B, 11.000%, 4/1/07. 375,000 391,875
Euramax International, Inc., 11.250%, 10/1/06....... 150,000 162,750
Grove Worldwide LLC, Series 144A, 9.250%, 5/1/08
(a)................................................ 100,000 99,500
International Utility Structures, Series 144A,
10.750%, 2/1/08 (a)................................ 125,000 128,125
JTM Industries, Series 144A, 10.000%, 4/15/08 (a)... 250,000 255,000
Johnstown America Industries, Series C, 11.750%,
8/15/05............................................ 125,000 139,063
MMI Products, Inc., Series B, 11.250%, 4/15/07...... 250,000 275,000
Neenah Corp., Series B, 11.125%, 5/1/07............. 200,000 219,000
Wesco Distribution, Inc., Series 144A, 9.125%,
6/1/08 (a)......................................... 325,000 323,375
Wesco International, Inc.
Series 144A, Step Up, 0% to 6/1/03, thereafter
11.125%, 6/1/08 (a) (b)........................... 175,000 103,250
-----------
(Cost $2,552,464) 2,561,188
-----------
Leisure & Entertainment -- 4.33%
AMF Bowling Worldwide
Series B, Step Up, 0% to 3/15/01, thereafter
12.250%, 3/15/06 (b).............................. 337,000 271,285
Premier Parks, Inc.
9.250%, 4/1/06..................................... 50,000 51,812
9.750%, 1/15/07.................................... 325,000 354,656
Step Up, 0% to 4/1/03, thereafter 10.000%, 4/1/08
(b)............................................... 175,000 117,250
Regal Cinemas, Series 144A, 9.500%, 6/1/08 (a)...... 375,000 380,625
Six Flags Theme Parks
Series A, Step Up, 0% to 6/15/98, thereafter
12.250%, 6/15/05 (b).............................. 450,000 513,000
Viacom International, 8.000%, 7/7/06................ 1,200,000 1,243,500
-----------
(Cost $2,858,841) 2,932,128
-----------
Machinery & Equipment -- 1.20%
Alvey Systems, 11.375%, 1/31/03..................... 150,000 163,125
Clark Materials Handling, 10.750%, 11/15/06......... 400,000 426,000
Columbus McKinnon Corp., Series 144A, 8.500%, 4/1/08
(a)................................................ 75,000 74,438
National Equipment Services, Series 144A, 10.000%,
11/30/04 (a)....................................... 150,000 152,250
-----------
(Cost $805,920) 815,813
-----------
Metals & Mining -- 0.53%
AEI Holding Company, Inc., Series 144A, 10.000%,
11/15/07 (a)....................................... 175,000 175,437
Anker Coal Group, Series B, 9.750%, 10/1/07......... 200,000 183,000
-----------
(Cost $377,780) 358,437
-----------
Oil & Gas -- 5.27%
Abraxas Petroleum Corp., Series D, 11.500%, 11/1/04. 200,000 207,000
Chiles Offshore LLC, Series 144A, 10.000%, 5/1/08
(a)................................................ 250,000 242,500
DI Industries, Inc., 8.875%, 7/1/07................. 200,000 194,000
Dailey Petroleum Service, Series B, 9.500%, 2/15/08. 400,000 392,000
Forcenergy, Inc., 8.500%, 2/15/07................... 500,000 475,000
KCS Energy, Inc., 8.875%, 1/15/08................... 300,000 286,500
Ocean Energy, Inc., 10.375%, 10/15/05............... 500,000 552,500
Pacalta Resources LTD, Series B, 10.750%, 6/15/04... 250,000 250,000
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
108
<PAGE>
PEGASUS HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Pogo Producing Company, Series B, 8.750%, 5/15/07... $ 250,000 $ 255,000
Pride Petroleum Services, Inc., 9.375%, 5/1/07...... 375,000 396,563
Universal Compression, Inc.
Series 144A, Step Up, 0% to 2/15/03, thereafter
9.875%, 2/15/08 (a) (b)........................... 500,000 317,500
-----------
(Cost $3,658,210) 3,568,563
-----------
Printing & Publishing -- 2.63%
Garden State Newspapers, Series B, 8.750%, 10/1/09.. 550,000 561,000
Hollinger International Publishing
9.250%, 2/1/06..................................... 400,000 420,000
9.250%, 3/15/07.................................... 250,000 262,500
K-III Communications Corp., Series B, 8.500%,
2/1/06............................................. 275,000 282,549
Ziff-Davis, Inc., 8.500%, 5/1/08.................... 250,000 253,750
-----------
(Cost $1,760,383) 1,779,799
-----------
Retailers -- 0.47%
Leslie's Poolmart, 10.375%, 7/15/04................. 300,000 316,500
-----------
(Cost $312,557)
Services -- 0.81%
Coinmach Corp., Series D, 11.750%, 11/15/05......... 250,000 280,000
Sitel Corp., Series 144A, 9.250%, 3/15/06 (a)....... 275,000 268,125
-----------
(Cost $552,055) 548,125
-----------
Steel -- 0.92%
GS Technologies, 12.250%, 10/1/05................... 325,000 360,750
Ryerson Tull, Inc., 8.500%, 7/15/01................. 250,000 261,250
-----------
(Cost $618,829) 622,000
-----------
Surface Transportation -- 3.57%
Allied Holdings, 8.625%, 10/1/07.................... 350,000 353,500
AmeriTruck Distribution, Series B, 12.250%,
11/15/05........................................... 325,000 190,125
Chemical Leaman Corp., 10.375%, 6/15/05............. 200,000 212,500
Gearbulk Holdings, 12.250%, 12/1/04................. 400,000 439,000
The Holt Group, Series 144A, 9.750%, 1/15/06 (a).... 200,000 197,000
Statia Terminals, Series B, 11.750%, 11/15/03....... 150,000 157,500
Stena AB
10.500%, 12/15/05.................................. 425,000 464,312
8.750%, 6/15/07.................................... 300,000 302,250
Stena Line AB, 10.625%, 6/1/08...................... 100,000 101,875
-----------
(Cost $2,571,239) 2,418,062
-----------
Telecommunications & Cellular -- 19.87%
American Cellular Corp., Series 144A, 10.500%,
5/15/08 (a)........................................ 350,000 350,875
Arch Communications, Inc., Series 144A, 12.750%,
7/1/07 (a)......................................... 250,000 253,750
Call-Net Enterprises, Inc.,
Step Up, 0% to 8/15/02, thereafter 9.270%, 8/15/07
(b)............................................... 725,000 511,125
Comcast Cellular Holdings, Inc., Series B, 9.500%,
5/1/07............................................. 375,000 393,750
E. Spire Communications, Inc.
Step Up, 0% to 11/1/00, thereafter 13.000%, 11/1/05
(b)............................................... 75,000 61,125
Step Up, 0% to 4/1/01, thereafter 12.750%, 4/1/06
(b)............................................... 200,000 155,000
13.750%, 7/15/07................................... 50,000 57,375
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
109
<PAGE>
PEGASUS HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Esprit Telecom, 11.500%, 12/15/07................... $ 100,000 $ 103,375
Hermes Europe Railtel BV, 11.500%, 8/15/07 (a)...... 375,000 421,875
Highwaymaster Communications, Inc., Series B,
13.750%, 9/15/05................................... 100,000 75,000
ICG Holdings, Inc.
Step Up, 0% to 5/1/01, thereafter 12.500%, 5/1/06
(b)............................................... 350,000 275,188
Step Up, 0% to 3/15/02, thereafter 11.625%, 3/15/07
(b)............................................... 400,000 284,500
Intermedia Communications
Step Up, 0% to 7/15/02, thereafter 11.250%, 7/15/07
(b)............................................... 850,000 624,750
Series B, 8.875%, 11/1/07.......................... 100,000 102,750
Series 144A, 8.600%, 6/1/08 (a).................... 350,000 356,125
IXC Communications, Inc., Series 144A, 9.000%,
4/15/08 (a)........................................ 250,000 251,875
Level 3 Communications, Inc., Series 144A, 9.125%,
5/1/08 (a)......................................... 1,200,000 1,176,000
McLeodUSA, Inc.
Step Up, 0% to 3/1/02, thereafter 10.500%, 3/1/07
(b)............................................... 750,000 562,500
9.250%, 7/15/07.................................... 150,000 156,375
Series 144A, 8.375%, 3/15/08 (a)................... 100,000 100,250
Metronet Communications, Inc.
Unit, 12.000%, 8/15/07............................. 200,000 226,000
Series 144A, Step Up, 0% to 6/15/03, thereafter
9.950%, 6/15/08 (a) (b)........................... 700,000 436,625
Millicom International Cellular
Step Up, 0% to 6/1/01, thereafter 13.500%, 6/1/06
(b)............................................... 525,000 408,187
Nextel Communications, Inc.
Step Up, 0% to 9/15/02, thereafter 10.650%, 9/15/07
(b)............................................... 525,000 358,313
Series 144A, Step Up, 0% to 2/15/03, thereafter
9.950%, 2/15/08 (a) (b)........................... 900,000 583,875
Series 144A, Step Up, 0% to 4/15/03, thereafter
12.125%, 4/15/08 (a) (b).......................... 200,000 117,500
Nextlink Communications
9.625%, 10/1/07.................................... 400,000 410,000
Series 144A, Step Up, 0% to 4/15/03, thereafter
9.450%, 4/15/08 (a) (b)........................... 375,000 231,562
Paging Network, 10.000%, 10/15/08................... 575,000 600,156
Pathnet, Inc., Unit, 12.250%, 4/15/08............... 275,000 292,875
PsiNet, Inc., Series B, 10.000%, 2/15/05............ 100,000 102,750
Qwest Communications International
Step Up, 0% to 10/15/02, thereafter 9.470%,
10/15/07 (b)...................................... 900,000 676,125
Rogers Cantel, Inc., 8.800%, 10/1/07................ 500,000 498,125
Telecom Techniques Co., Series 144A, 9.750%, 5/15/08
(a)................................................ 400,000 411,000
Teligent, Inc.
11.500%, 12/1/07................................... 350,000 354,375
Series 144A, Step Up, 0% to 3/1/03, thereafter
11.500%, 3/1/08 (a) (b)........................... 225,000 123,750
Telesystem International Wireless, Inc.
Series B, Step Up, 0% to 6/30/02, thereafter
13.250%, 6/30/07 (b).............................. 400,000 265,000
Series C, Step Up, 0% to 11/1/02, thereafter
10.500%, 11/1/07 (b).............................. 350,000 209,125
Triton Communications
Series 144A, Step Up, 0% to 5/1/03, thereafter
11.625%, 5/1/08 (a) (b)........................... 550,000 312,125
US Xchange LLC, Series 144A, 15.000%, 7/1/08 (a).... 175,000 180,689
Viatel, Inc.
Units, 11.125%, 4/15/08............................ 300,000 316,500
Units, Step Up, 0% to 4/15/03, thereafter 12.500%,
4/15/08 (b)....................................... 100,000 61,500
-----------
(Cost $13,375,779) 13,449,720
-----------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
110
<PAGE>
PEGASUS HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Utilities -- 0.79%
El Paso Electric Co., First Mortgage Series E,
9.400%, 5/1/11..................................... $ 400,000 $ 462,508
Niagara Mohawk Power Corp.
Series H, Step Up, 0% to 7/1/03, thereafter 8.500%,
7/1/10 (b)........................................ 100,000 69,302
-----------
(Cost $511,918) 531,810
-----------
TOTAL CORPORATE BONDS AND NOTES....................... 63,245,104
-----------
(Cost $63,098,565)
<CAPTION>
SHARES
------
<S> <C> <C>
COMMON STOCKS -- 0.03%
Cable Television -- 0.01%
Pegasus Communications, Warrant*.................... 175 5,775
UIH Australia/Pacific, Warrant*..................... 300 1,538
-----------
7,313
-----------
Telecommunications & Cellular -- 0.02%
Highwaymaster Communications, Warrant*.............. 100 1,012
Metronet Communications, Warrant*................... 200 9,667
-----------
10,679
-----------
TOTAL COMMON STOCKS................................... 17,992
-----------
(Cost $3,636)
PREFERRED STOCKS -- 3.70%
Broadcast Radio & TV -- 1.65%
Benedek Communications, Series 144A, 11.500% (a).... 200 202,000
CBS Radio, Inc., Series B, 11.375%.................. 1,750 203,438
Capstar Broadcasting Partners, Inc., PIK, 12.000%**. 845 100,025
Cumulus Media, Inc., Series A, 13.750%.............. 150 154,125
SFX Broadcasting, Inc., Cumulative, Series E,
12.625%............................................ 2,657 300,905
Sinclair Capital, 11.625%........................... 1,425 158,303
-----------
1,118,796
-----------
Cable Television -- 0.69%
Echostar Communications, Series B, PIK, 12.125%**... 219 242,692
Pegasus Communications, Series A, 12.750%........... 198 223,755
-----------
466,447
-----------
Food Services -- 0.15%
Nebco Evans Holding Co., PIK, 11.250%**............. 1,027 104,964
-----------
Healthcare -- 0.08%
River Holdings Corp., Series 144A, PIK, 11.500%
(a)**.............................................. 500 50,875
-----------
Printing & Publishing -- 0.93%
Primedia, Inc.
Series F, 9.200%................................... 5,250 534,188
Series H, 8.625%................................... 1,000 97,500
-----------
631,688
-----------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
111
<PAGE>
PEGASUS HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES MARKET VALUE
----------- ------ ------------
<S> <C> <C>
Telecommunications & Cellular -- 0.20%
Nextel Communications, Series 144A, PIK, 11.125% (a)**..... 128 $ 132,480
-----------
TOTAL PREFERRED STOCKS....................................... 2,505,250
-----------
(Cost $2,428,995)
TOTAL INVESTMENTS............................................ $67,702,287
===========
(Cost $67,465,137)
</TABLE>
* Non-income producing security.
** PIK--Payment-In-Kind
(a) Security Exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. Additional
information regarding these securities follows:
<TABLE>
<CAPTION>
PERCENTAGE
ACQUISITION PRICE PER ORIGINAL MARKET OF TOTAL
HOLDING DATE PAR UNIT COST VALUE INVESTMENTS
- ------------------------ ----------- ---------- --------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
AEI Holding Company,
Inc.................... 11/6/97 $ 175,000 $ 100.25 $ 177,875 $ 175,438 0.26%
American Cellular Corp.. 5/6/98 350,000 100.25 348,451 350,875 0.52
Arch Communications,
Inc.................... 6/24/98 250,000 101.50 245,123 253,750 0.37
Benedek Communications.. 5/7/98 200 1,010.00 200,000 202,000 0.30
Big City Radio, Inc..... 3/2/98 425,000 76.00 312,430 323,000 0.48
Boyds Collection LTD.... 4/16/98 250,000 100.25 249,750 250,625 0.37
Chattem, Inc............ 3/20/98 325,000 99.00 327,156 321,750 0.48
Chiles Offshore LLC..... 4/24/98 250,000 97.00 251,781 242,500 0.36
Columbus McKinnon Corp.. 3/26/98 75,000 99.25 74,801 74,438 0.11
Conmed Corp............. 2/26/98 250,000 100.00 250,000 250,000 0.37
Diamond Brands, Inc.,
Step Up 4/15/09........ 4/15/98 175,000 54.00 94,291 94,500 0.14
Diamonds Brands, Inc.... 4/15/98 125,000 100.50 125,500 125,625 0.19
Diamonds Holdings PLC... 1/30/98 150,000 104.25 151,875 156,375 0.23
Eagle Family Foods...... 1/16/98 600,000 97.75 605,188 586,500 0.87
Eagle Picher Industries. 2/19/98 300,000 101.50 310,442 304,500 0.45
Everest Healthcare Serv-
ices................... 4/30/98 200,000 102.50 200,000 205,000 0.30
Hermes Europe Railtel
BV..................... 3/25/98 375,000 112.50 408,188 421,875 0.62
Hudson Respiratory Care. 4/2/98 275,000 95.50 274,625 262,625 0.39
Intermedia Communica-
tions.................. 5/21/98 350,000 101.75 350,000 356,125 0.53
International Utility
Structures............. 1/27/98 125,000 102.50 126,375 128,125 0.19
IXC Communications,
Inc.................... 4/16/98 250,000 100.75 249,250 251,875 0.37
JTM Industries.......... 4/17/98 250,000 102.00 252,938 255,000 0.38
Lenfest Communications.. 3/24/98 275,000 104.25 279,688 286,688 0.42
Level 3 Communications,
Inc.................... 4/23/98 1,200,000 98.00 1,187,467 1,176,000 1.74
McleodUSA, Inc.......... 3/10/98 100,000 100.25 100,000 100,250 0.15
Metronet Communications,
Inc.................... 7/7/98 700,000 62.375 430,185 436,625 0.64
National Equipment Serv-
ices................... 11/20/97 150,000 101.50 148,151 152,250 0.22
Nextel Communications... 2/6/98 128 1,035.00 126,869 132,480 0.20
Nextel Communications,
Inc., Step Up 2/15/03.. 2/6/98 900,000 64.875 554,817 583,875 0.86
Nextel Communications,
Inc., Step Up 4/15/08.. 3/10/98 200,000 58.75 109,830 117,500 0.17
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
112
<PAGE>
PEGASUS HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRICE PERCENTAGE
ACQUISITION PER ORIGINAL MARKET OF TOTAL
HOLDING DATE PAR UNIT COST VALUE INVESTMENTS
- ------------------------ ----------- ---------- ------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Nextlink Communications. 3/27/98 $ 375,000 $ 61.75 $ 233,297 $ 231,563 0.34%
NTL, Inc................ 3/6/98 1,075,000 65.50 668,829 704,125 1.04
Oxford Health Plans..... 5/7/98 50,000 102.50 50,000 51,250 0.08
Polymer Group, Inc...... 2/27/98 200,000 100.25 201,000 200,500 0.30
Purina Mills, Inc....... 3/6/98 200,000 103.00 200,000 206,000 0.30
PX Excrow Corp.......... 2/6/98 200,000 72.25 141,294 144,500 0.21
Regal Cinemas........... 5/21/98 375,000 101.50 374,366 380,625 0.56
River Holdings Corp..... 4/2/98 500 101.75 50,000 50,875 0.08
Sitel Corp.............. 3/5/98 275,000 97.50 278,938 268,125 0.40
Relecom Techniques Co... 5/14/98 400,000 102.75 400,000 411,000 0.61
Teligent, Inc........... 3/18/98 225,000 55.00 127,125 123,750 0.18
Tenet Healthcare Corp... 5/8/98 150,000 101.00 149,418 151,500 0.22
The Holt Group.......... 3/13/98 200,000 98.50 204,250 197,000 0.29
Triton Communications... 4/29/98 550,000 56.75 322,273 312,125 0.46
United Stationers Supply
Co..................... 4/9/98 300,000 100.50 300,000 301,500 0.45
Universal Compression,
Inc.................... 2/13/98 500,000 63.50 314,331 317,500 0.47
US Office Products Co... 6/5/98 325,000 101.125 323,499 328,656 0.49
US Xchange LLC.......... 6/22/98 175,000 103.25 175,000 180,688 0.27
Wesco Distribution,
Inc.................... 5/29/98 325,000 99.50 323,944 323,375 0.48
Wesco International,
Inc.................... 5/29/98 175,000 59.00 101,537 103,250 0.15
----------- ----------- -----
Totals.............. $13,453,141 $13,566,074 20.04%
=========== =========== =====
</TABLE>
(b) Debt obligation initially issued in zero coupon form which converts to
coupon form at a specified rate and date.
See Notes to Financial Statements.
Pegasus Funds
113
<PAGE>
PEGASUS MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
MUNICIPAL BONDS -- 100.00%
ALABAMA -- 1.24%
Courtland Industrial Development Board Solid Waste
Disposal Revenue, Series A, 6.50%, 9/1/25.......... $ 5,000,000 $ 5,444,200
------------
ALASKA -- 0.85%
Alaska Student Loan Revenue State Assisted Series A
(AMBAC Insured), 6.125%, 7/1/05.................... 1,000,000 1,057,040
Fairbanks North Star Boro Refunding Series S (MBIA
Insured), 5.45%, 3/1/93............................ 2,500,000 2,663,275
------------
3,720,315
------------
ARIZONA -- 1.92%
Maricopa County General Obligation Unlimited Tax
School District No. 28 Series B (FGIC Insured),
6.00%, 7/1/14...................................... 2,500,000 2,694,000
Salt River Project Agricultural Improvement Power
District Revenue, Electric System Series D, 6.00%,
1/1/08............................................. 625,000 701,725
Salt River Project Agricultural Refunding Series B,
5.25%, 1/1/19...................................... 5,000,000 5,028,700
------------
8,424,425
------------
CALIFORNIA -- 7.31%
Anaheim California Public Finance Authority Lease
Revenue Series C (FSA Insured), 6.00%, 9/1/16...... 2,000,000 2,259,920
Los Angeles Public Works Finance Authority Lease
Revenue, 5.00%, 10/1/19............................ 2,000,000 1,960,100
Los Angeles Uni School District General Obligation
(FGIC Insured), Series A, 5.00%, 7/1/21............ 3,000,000 2,937,780
Northern California Public Power Agency Revenue
Refunding Geothermal Project A (AMBAC Insured):
5.60%, 7/1/06..................................... 3,500,000 3,796,695
5.65%, 7/1/07..................................... 4,800,000 5,247,648
Orange Co. Recovery CTFS PRTN CA Series A (MBIA
Insured),
5.80%, 7/1/16....................................... 5,315,000 5,685,774
Sacramento Cogeneration Authority Revenue:
6.00%, 7/1/03..................................... 1,000,000 1,072,070
7.00%, 7/1/05..................................... 1,500,000 1,713,450
6.20%, 7/1/06..................................... 2,500,000 2,756,500
Sacramento, California M.U.D. (MBIA Insured), 5.75%,
1/1/10............................................. 1,500,000 1,615,500
Sacramento, California M.U.D. Revenue Refunding,
Series L, 5.125%, 7/1/22........................... 3,000,000 2,971,380
------------
32,016,817
------------
COLORADO -- 5.73%
Colorado Health Facilities Authority Revenue Natl
Jewish Medical & Research Center, 5.375%, 1/1/16... 2,250,000 2,252,858
Denver City & Co. Airport Revenue:
Series B, 7.25%, 11/15/05......................... 3,000,000 3,365,220
Series C, 6.50%, 11/15/06......................... 2,000,000 2,154,000
Series D, 7.75%, 11/15/13......................... 6,925,000 8,697,454
Series A, 8.50%, Prerefunded, 11/15/23............ 220,000 246,475
Series A, 8.50%, Unrefunded, 11/15/23............. 2,280,000 2,519,446
Series A, 8.00%, Prerefunded, 11/15/25............ 200,000 221,822
Series A, 8.00%, Unrefunded, 11/15/25............. 2,095,000 2,285,750
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
114
<PAGE>
PEGASUS MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
E-470 Public Highway Authority Revenue Co. MBIA Cap
Appreciation Series B, 9/1/23....................... $12,295,000 $ 3,360,838
------------
25,103,862
------------
CONNECTICUT -- 0.82%
Connecticut Housing Finance Authority Revenue
Mortgage Subseries D-1, 5.90%, 5/15/16.............. 3,400,000 3,581,764
------------
FLORIDA -- 9.51%
Lakeland Electric & Water Revenue Refunding Series B
(FGIC Insured) 6.00%, 10/1/11....................... 4,000,000 4,544,360
Lee County Transportation Facilities Revenue (MBIA
Insured), 5.75%, 10/1/27............................ 9,640,000 10,224,473
Florida State Board of Education Capital Outlay
General Obligation Unlimited Tax Refunding:
Series C, 5.75%, 6/1/13............................. 5,000,000 5,286,950
Series F, 5.50%, 6/1/26............................. 8,250,000 8,534,543
Series F, 6.40%, 6/1/19............................. 12,100,000 13,091,232
------------
41,681,558
------------
GEORGIA -- 11.46%
Fulton County School District General Obligation
Unlimited Tax Refunding, 6.375%, 5/1/10............. 5,000,000 5,825,100
Gainesville Water & Sewer Revenue Series B (FGIC
Insured), 6.00%, 11/15/12........................... 3,950,000 4,468,714
Georgia General Obligation Unlimited Tax:
7.10%, 9/1/09....................................... 9,500,000 11,681,960
6.75%, 9/1/11....................................... 10,000,000 12,077,600
7.25%, 7/1/05....................................... 1,000,000 1,180,070
Georgia State Housing And Finance Authority Revenue
Series B, 6.10%, 12/1/12............................ 650,000 691,776
Georgia State Tollway Authority Revenue Refunding GA
400 Project 5.00%, 7/1/10........................... 5,345,000 5,563,076
Putnam Co. Development Authority Pollution Control,
4/1/32.............................................. 5,800,000 5,800,000
Rockdale Country Water and Sewer Authority Revenue
(FSA Insured), 5.00%, 7/1/22........................ 3,000,000 2,936,370
------------
50,224,666
------------
ILLINOIS -- 10.66%
Chicago Metropolitan Water Capital Improvement,
5.50%, 12/1/12...................................... 1,000,000 1,077,610
Chicago O'Hare International Airport Revenue Series A
(AMBAC Insured):
5.625%, 1/1/13...................................... 5,000,000 5,270,850
5.625%, 1/1/14...................................... 5,000,000 5,255,300
Chicago Revenue Il MBIA Waste Water Series A, 1/1/22. 10,000,000 2,951,500
Chicago School Reform Board of Educ. (AMBAC Insured),
Unlimited Tax General Oligation, 5.25%, 12/1/22..... 2,000,000 1,998,540
Cook County Community College Participation Ctfs.
District #508 Series C (MBIA Insured), 7.70%,
12/1/04............................................. 5,000,000 5,941,800
DuPage Co. Forest Preservation District Refunding,
6.00%, 11/1/03...................................... 1,750,000 1,901,253
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
115
<PAGE>
PEGASUS MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Illinois Health Facilities Authority Revenue
Northwestern Memorial Hospital Series A, 5.60%,
8/15/06............................................. $ 1,000,000 $ 1,072,650
Illinois Health Facilities Authority Revenue
Refunding (FGIC Insured), 6.00%, 8/15/05............ 1,000,000 1,094,650
Illinois Housing Development Series A, 5.95%, 7/1/21. 2,000,000 2,076,160
Illinois State Sales Tax Revenue Refunding Series Q,
5.75%, 6/15/06...................................... 5,000,000 5,457,750
Metropolitan Pier & Expo Authority Revenue, zero
coupon bond, 6/15/29................................ 12,575,000 2,511,102
Northlake Illinois Public Imp. General Obligation
(MBIA Insured), 5.60%, 12/1/14...................... 4,000,000 4,208,760
Winnebago Co IL General Obligation Unlimited Tax,
1/1/17.............................................. 4,565,000 1,753,051
Winnebago & Boone Counties General Obligation
Unlimited Tax 7.35%, 2/1/04......................... 3,600,000 4,152,492
------------
46,723,468
------------
INDIANA -- 1.43%
Allen County Economic Development, 5/1/21............ 2,000,000 2,000,000
Ball State University Revenue Student Fee Series G
(FGIC Insured), 6.125%, 7/1/09...................... 400,000 432,868
Indiana State Vocational Technology Revenue Series D,
5.90%, 7/1/06....................................... 1,000,000 1,095,230
Indiana Transportation Finance Authority, Series A:
Series A, Prerefunded 6.25%, 11/1/16................ 1,370,000 1,506,219
Series A, Unrefunded 6.25%, 11/1/16................. 130,000 140,925
St. Joseph Co. Hospital Authority Facilities Revenue
(MBIA Insured), Memorial Hospital South Bend
Project, 6.25%, 8/15/12............................. 1,000,000 1,102,920
------------
6,278,162
------------
IOWA -- 1.35%
Iowa Finance Authority Hospital Fac. Revenue, 5.125%,
7/1/20.............................................. 5,000,000 4,909,400
Iowa Higher Education Loan Authority St Ambrose Univ,
2/1/05.............................................. 1,000,000 1,000,000
------------
5,909,400
------------
LOUISIANA -- 1.71%
East Baton Rouge Parish Revenue Pollution Control Var
Ref Exxon Project, 11/1/19.......................... 7,500,000 7,500,000
------------
MAINE -- 0.99%
Maine Muni Bond Bank FSA Refunding Series A, 5.50%,
11/1/10............................................. 4,000,000 4,337,720
------------
MASSACHUSETTS -- 3.79%
Massachusetts State General Obligation Unlimited Tax,
Series C, 5.00%, 8/1/17............................. 10,000,000 9,944,800
Massachusetts State Housing Finance Agency Revenue
Single
Family Series 47 (AMBAC Insured), 6.00%, 12/1/15.... 4,000,000 4,217,440
Massachusetts State Industrial Finance Agency Revenue
(MBIA Insured), 6.00%, 1/1/15....................... 2,265,000 2,461,058
------------
16,623,298
------------
MICHIGAN -- 6.45%
Caledonia Community Schools General Obligation
Unlimited Tax (MBIA Insured), 5.85%, 5/1/22......... 1,500,000 1,592,805
Dexter Community Schools Obligation Unlimited Tax,
5.10%, 5/1/18....................................... 1,000,000 1,017,480
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
116
<PAGE>
PEGASUS MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Grand Rapids Water Supply System Revenue (FGIC
Insured), 6.30%, 1/1/04............................. $ 250,000 $ 267,413
Kalamazoo Hospital Finance Authority, (AMBAC
Insured), 5.875%, 5/15/26........................... 4,675,000 4,977,332
Michigan State Building Authority Revenue Series I,
6.40%, 10/1/04...................................... 600,000 651,708
Michigan State Building Authority Revenue Series II,
6.75%, 10/1/11...................................... 5,150,000 5,603,664
Michigan State Hospital Finance Authority Revenue
Detroit Medical Center, 6.50%, 8/15/18.............. 6,500,000 7,093,645
Michigan State Housing Development Authority Revenue:
Series C, 6.375%, 12/1/11........................... 1,450,000 1,546,585
Series D, 5.95%, 12/1/16............................ 5,000,000 5,257,400
Saranac Community School District, 6.00%, 5/1/13..... 250,000 271,118
------------
28,279,148
------------
MINNESOTA -- 1.47%
Minnesota State Housing Finance Agency Series D (MBIA
Insured) 5.90%, 8/1/15.............................. 6,185,000 6,459,676
------------
MISSOURI -- 0.93%
Sikeston Electric Revenue Refunding (MBIA Insured),
6.00%, 6/1/05....................................... 3,710,000 4,080,369
------------
NEVADA -- 1.31%
Clark County Industrial Development Revenue Project C
Refunding (AMBAC Insured), 7.20%, 10/1/22........... 5,145,000 5,753,396
------------
NEW JERSEY -- 0.10%
Gloucester Co. Improvement Authority Gtd. Revenue,
Solid Waste Landfill Project Series AA, 6.20%,
9/1/07.............................................. 400,000 430,436
------------
NEW MEXICO -- 0.82%
New Mexico Mortgage Finance Authority Revenue, 5.90%,
7/1/16.............................................. 3,430,000 3,599,922
------------
NEW YORK -- 4.63%
New York State Dormitory Authority Revenue:
5.875%, 7/1/08...................................... 5,000,000 5,429,050
5.125%, 2/15/08..................................... 3,500,000 3,589,390
New York State Highway & Building, 6.00%, 4/1/14..... 1,345,000 1,491,955
New York State Location Assistance Corp. Refunding
Series E, 5.00%, 4/1/21............................. 9,500,000 9,492,875
Tri-Borough Bridge & Tunnel Authority Revenue General
Purpose Series X, 6.625%, 1/1/12.................... 250,000 296,468
------------
20,299,737
------------
NORTH CAROLINA -- 3.06%
Charlotte Mecklenberg Hospital Revenue, 5.90%,
1/15/16............................................. 1,400,000 1,509,522
North Carolina Housing Finance Agency Single Family
Revenue:
Series BB, 6.50%, 9/1/26............................ 4,250,000 4,527,483
Series FF, 6.25%, 3/1/28............................ 5,000,000 5,281,700
Series LL, 5.50%, 9/1/22............................ 2,045,000 2,091,319
------------
13,410,024
------------
OHIO -- 2.75%
Franklin Co. Hospital Revenue, Children's Hospital
Series A, 6.50%, 5/1/07............................. 950,000 1,050,995
Montgomery County Hospital Revenue Refunding (MBIA
Insured), 5.625%, 4/1/16............................ 4,500,000 4,709,295
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
117
<PAGE>
PEGASUS MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Ohio General Obligation State of Public & Sewer
Imports Unlimited Tax, 6.00%, 8/1/07................ $ 1,000,000 $ 1,111,150
Ohio Housing Financial Agency Mortgage Revenue
Residential GNMA Series A-1, 6.20%, 9/1/14.......... 1,605,000 1,721,507
Ohio State Building Authority Revenue, State
Facilities Adult Correctional Building Fund Series
A, 6.125%, 10/1/09.................................. 250,000 275,850
Ohio State Community Turnpike Revenue Series A (MBIA
Insured), 5.70%, 2/15/17............................ 3,000,000 3,175,380
------------
12,044,176
------------
RHODE ISLAND -- 1.48%
Rhode Island Depositors Economic Protection Series A
(MBIA Insured), 6.30%, 8/1/05....................... 5,800,000 6,481,210
------------
SOUTH CAROLINA -- 1.64%
Greenville Hospital System Facilities Revenue SC
Health Hospital Nursing Home Improvements Series A,
5.60%, 5/1/10....................................... 2,000,000 2,124,620
Spartansburg Water Revenue (FGIC Insured), 5.00%,
6/1/17.............................................. 5,125,000 5,072,264
------------
7,196,884
------------
SOUTH DAKOTA -- 1.74%
Heartland Consumers Power District Electric Revenue
Refunding Electric Light & Power Improvements,
6.00%, 1/1/17....................................... 2,500,000 2,793,025
South Dakota Housing Development Authority Series A,
5.70%, 5/5/08....................................... 2,300,000 2,416,955
South Dakota Housing Development Authority Revenue
Series C, 6.25%, 5/1/15............................. 1,000,000 1,062,630
South Dakota State Building Authority Lease Revenue
(AMBAC Insured), 6.625%, 9/1/12..................... 1,200,000 1,331,400
------------
7,604,010
------------
TENNESSEE -- 0.74%
Knox County Health, Educational, & Housing Facilities
Revenue
(MBIA Insured):
7.25%, 1/1/10....................................... 1,300,000 1,595,230
7.25%, 1/1/09....................................... 1,360,000 1,655,623
------------
3,250,853
------------
TEXAS -- 9.05%
Matagorda County District #1 Power & Light Project,
(MBIA Insured) 6.10%, 7/1/28........................ 6,750,000 7,106,063
Richardson Hospital Authority, 6.50%, 12/1/12........ 3,745,000 4,025,201
San Antonio Hotel Occupancy Tax Revenue (FGIC
Insured), 5.70%, 8/15/26............................ 10,000,000 10,562,400
Texas College Student Loan, 6.50%, 8/1/07............ 4,000,000 4,273,080
Texas General Obligation Unlimited Tax:
7.70%, 8/1/06....................................... 1,305,000 1,309,476
Series B, 5.625%, 10/1/12........................... 5,000,000 5,304,200
Texas General Obligation Refunding Series A Unlimited
Tax, 6.00%, 10/1/05................................. 1,000,000 1,103,900
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
118
<PAGE>
PEGASUS MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
DESCRIPTION AMOUNT MARKET VALUE
----------- ------ ------------
<S> <C> <C>
Texas Turnpike Authority Dallas Northway RV (FGIC
Insured) President George Bush Turnpike Highway
Improvements, 5.00%, 1/1/25:
5.00%, 1/1/25........................................ $3,000,000 $ 2,920,530
5.25%, 1/1/23........................................ 2,000,000 2,005,180
Unversity Texas Revenues Funding Systems Series A,
5.25%, 8/15/07....................................... 1,000,000 1,062,110
------------
39,672,140
------------
UTAH -- 1.34%
Utah Housing Finance Agency Single Family Revenue:
Series A-2, 6.25%, 7/1/25............................ 5,545,000 5,864,392
------------
VIRGINIA -- 0.60%
Virginia State Housing Development Authority Revenue,
5.60%, 11/1/10....................................... 1,500,000 1,554,585
Virginia State Housing Development Commonwealth Series
H, 6.20%, 1/1/08..................................... 1,000,000 1,070,140
------------
2,624,725
------------
WASHINGTON -- 0.87%
Washington State Health Care FA Authority Revenue
(MBIA), 2/15/27...................................... 3,800,000 3,800,000
------------
WEST VIRGINIA -- 1.10%
Braxton Co. Solid Waste Disposal Revenue, 6.125%,
4/1/26............................................... 4,475,000 4,824,050
------------
WISCONSIN -- 0.90%
Wisconsin Housing & Economic Development Authority
Revenue Series A, 6.15%, 9/1/17...................... 1,470,000 1,539,178
Wisconsin General Obligation Refunding Series 2
Unlimited Tax, 5.125%, 11/1/08....................... 1,250,000 1,324,013
Wisconsin State Transportation Revenue Series B,
5.75%, 7/1/12........................................ 1,000,000 1,061,290
------------
3,924,481
------------
WYOMING -- 0.23%
Wyoming Community Development Authority Series D,
7.60%, 6/1/17........................................ 1,000,000 1,023,780
TOTAL MUNICIPAL BONDS.................................. 438,193,064
------------
(Cost--$412,563,862)
TOTAL INVESTMENTS...................................... $438,193,064
============
(Cost--$412,563,862)
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
119
<PAGE>
PEGASUS SHORT MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE MARKET
DESCRIPTION AMOUNT VALUE
----------- ------ ------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 1.57%
Pegasus Municipal Cash Management Fund Class I (in shares)
......................................................... 180,979 $ 180,979
----------
(Cost--$180,979)
MUNICIPAL BONDS -- 98.43%
ALABAMA -- 8.25%
Decatur Industrial Development Board Solid Waste Disposal
Revenue, AMT, Variable Rate, 1/1/27...................... $300,000 300,000
Dothan Industrial Development Board Revenue, 4.60%,
10/1/02.................................................. 650,000 650,000
----------
950,000
----------
ARIZONA -- 4.42%
Arizona State Transportation Board Excise Tax Revenue,
4.60%, 7/1/04............................................ 500,000 509,055
----------
CALIFORNIA -- 2.28%
Los Angeles Wastewater System Revenue, 5.50%, 2/1/02...... 250,000 262,105
----------
GEORGIA -- 3.91%
Macon-Bibb County Hospital Authority Revenue, Variable
Rate, 8/1/18............................................. 450,000 450,000
----------
ILLINOIS -- 11.44%
Chicago School Finance Authorty General Obligation, 4.70%,
6/1/00................................................... 450,000 456,044
Illinois Rural Bond Bank Revenue, 4.50%, 3/15/99.......... 350,000 351,082
Illinois Development Finance Authority Pollution Control
Revenue, 5.70%, 10/1/99.................................. 500,000 510,250
----------
1,317,376
----------
INDIANA -- 7.46%
Indiana Transportation Finance Authority Highway Revenue,
4.50%, 12/1/01........................................... 485,000 491,659
Indianapolis Public Improvement Revenue Bond Bank Series
B, 5.65%, 1/10/02........................................ 350,000 367,234
----------
858,893
----------
MARYLAND -- 2.25%
Montgomery County General Obligation, 5.10%, 4/1/02....... 250,000 259,170
----------
MASSACHUSETTS -- 5.29%
New England Student Loan Revenue Series G, 5.00%, 8/1/00.. 600,000 608,754
----------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
120
<PAGE>
PEGASUS SHORT MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
DESCRIPTION FACE AMOUNT VALUE
----------- ----------- ------
<S> <C> <C>
MICHIGAN -- 17.36%
Wayne Charter County Airport Revenue Series A, AMT,
Variable Rate, 12/1/16 $ 400,000 $ 400,000
Detroit Water Supply System Revenue, 4.30%, 7/1/01 465,000 468,450
Dickinson County Economic Revenue, 6.55%, 3/1/07 500,000 529,645
Michigan Higher Education Facility Authority Revenue,
4.45%, 5/1/03 600,000 601,002
-----------
1,999,097
-----------
MISSOURI -- 3.93%
Missouri Rural Water Finance, 4.50%, 11/15/99 450,000 453,010
-----------
NEVADA -- 3.14%
Clark County Highway Improvement Revenue, 5.00%, 7/1/02 350,000 361,322
-----------
NEW YORK -- 7.81%
Tri-Borough Bridge & Tunnel Authority Revenue, 6.20%,
1/1/08 500,000 538,064
Municipal Assistance Corp., Forest City Series G,
5.00%, 7/1/02 350,000 361,456
-----------
899,520
-----------
NORTH CAROLINA -- 4.59%
Charlotte General Obligation, 5.50%, 7/1/04 500,000 528,805
-----------
OHIO -- 3.08%
Ohio State Building Authority Revenue, 4.50%, 10/1/02 350,000 355,050
-----------
TEXAS -- 6.97%
Fort Bend County Industrial Development Corp. Revenue,
4.55%, 10/1/99 350,000 352,496
North Central Health Facility Development Corp.
Revenue, Variable Rate, 6/1/21 450,000 450,000
-----------
802,496
-----------
UTAH -- 3.11%
Intermountain Power Agency Revenue, 7.20%, 7/1/99 350,000 357,941
-----------
VIRGINIA -- 3.14%
Virginia State Public Building Facility Authority
Revenue, 4.90%, 8/1/03 350,000 361,347
-----------
TOTAL MUNICIPAL BONDS................................... 11,333,941
-----------
(Cost $11,289,947)
TOTAL INVESTMENTS....................................... $11,514,920
===========
(Cost $11,470,926)
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
121
<PAGE>
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- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
MUNICIPAL BONDS -- 100%
ALABAMA -- 1.30%
Alabama Public Schools, 5.25%, 11/01/05.............. $ 2,000,000 $ 2,115,120
Courtland Industrial Development Board Solid Waste
Disposal Revenue, Series A, 6.50%, 9/1/25........... 3,500,000 3,810,940
------------
5,926,060
------------
ALASKA -- 1.20%
Alaska Student Loan Revenue State Assisted Series A,
5.50%, 7/1/04....................................... 1,000,000 1,041,630
North Slope Boro General Obligation (MBIA Insured),
Capital Appreciation, Series A Unlimited Tax,
6/30/08............................................. 7,000,000 4,407,480
------------
5,449,110
------------
ARIZONA -- 0.98%
Maricopa Co. General Obligation School District No.
41 Series C (FGIC Insured), 6.10%, 7/1/14........... 2,000,000 2,199,220
University of Arizona 5.25%, 06/01/14................ 2,215,000 2,263,885
------------
4,463,105
------------
CALIFORNIA -- 8.23%
CALIFORNIA STATE:
7/1/10.............................................. 7,000,000 7,500,360
5/17/10............................................. 5,000,000 5,037,400
MSR Public Power Agency San Juan Project Revenue
Refunding Series F (AMBAC Insured), 5.55%, 7/1/02... 1,615,000 1,704,600
Orange Co. Recovery CTFS PRTN CA Series A (MBIA
Insured), 5.70%, 7/1/10............................. 4,000,000 4,336,440
2/15/22............................................. 4,000,000 4,395,440
Sacramento Cogeneration Authority Revenue:
5.60%, 7/1/99....................................... 3,300,000 3,357,915
5.80%, 7/1/01....................................... 1,300,000 1,358,474
5.90%, 7/1/02....................................... 1,000,000 1,059,020
University of California Revenues Refunding Multiple
Purpose (MBIA Insured), 6.20%, 9/1/01............... 8,100,000 8,636,139
------------
37,385,788
------------
COLORADO -- 9.57%
Adams Co. Single Family Mortgage Revenue Series A,
8.875%, 8/1/03...................................... 1,230,000 1,490,489
Arapahoe County Capital improvement Revenue Refunding
Capital Appreciation, 8/31/05....................... 20,000,000 7,083,200
Colorado Water Power Development Authority Revenue
(AMBAC Insured) Revolving Fund, Series A,
6.00%, 9/1/10....................................... 3,410,000 3,862,780
Denver City & Co. Airport Revenue:
Series A, 6.90%, 11/15/98........................... 2,000,000 2,023,700
Series A, 7.00%, 11/15/99........................... 1,000,000 1,040,610
Series D, 7.30%, 11/15/00........................... 2,900,000 3,105,059
Series C, 6.55%, 11/15/03........................... 1,145,000 1,259,901
Series B, 7.25%, 11/15/05........................... 2,000,000 2,243,480
Series A (AMT), Prerefunded, 8.00%, 11/15/25........
Series A (AMT), Unrefunded, 8.00%, 11/15/25......... 1,000,000 1,100,000
Series A (MBIA Insured), Prerefunded, 8.50%,
11/15/07...........................................
Series A (MBIA Insured), Unrefunded, 8.50%,
11/15/07........................................... 1,830,000 2,040,578
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
122
<PAGE>
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- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
Denver City & Co. General Obligation Refunding Water
Unlimited Tax, 7.00%, 10/1/99....................... $ 8,665,000 $ 9,013,940
Jefferson Co. School District No. R-001 General
Obligation (AMBAC Insured), 5.90%, 12/15/05......... 3,500,000 3,790,150
Poudre Valley Hospital Revenue (AMBAC Insured),
6.625%, 12/1/11..................................... 5,000,000 5,459,900
------------
43,513,787
------------
DISTRICT OF COLUMBIA -- 0.93%
Series B-3 (MBIA Insured), 5.20%, 6/1/04............ 2,000,000 2,081,980
Series 5.50%, 10/01/12.............................. 2,000,000 2,136,740
------------
4,218,720
------------
FLORIDA -- 2.24%
Lakeland Electric & Water Revenue Series B (FGIC
Insured), 6.00%, 10/1/10............................ 5,170,000 5,870,380
Tampa, 5.50%, 11/15/12............................... 4,000,000 4,301,040
------------
10,171,420
------------
HAWAII -- 2.85%
Hawaii State Airports System Revenue, Series II,
7.00%, 7/1/18....................................... 10,000,000 10,818,400
Hawaii State Department of Budget & Finance Revenue,
5.60%, 7/1/02....................................... 2,065,000 2,156,190
------------
12,974,590
------------
ILLINOIS -- 6.56%
Chicago Metropolitan Water General Obligation
Unlimited Tax Refunding, 5.00%, 12/1/02............. 4,500,000 4,661,145
Chicago, General Obligation AMBAC, 5.60%, 01/01/04... 4,000,000 4,253,400
Chicago O'Hare International Airport Revenue Series A
(AMBAC Insured), 5.625%, 1/1/13..................... 5,000,000 5,270,850
Madison County, Series A, 03/01/33................... 600,000 600,000
Metropolitan Pier & Exposition Authority Dedicated
State Tax Revenue: 6.50%, 6/1/05.................... 2,960,000 3,320,646
Metropolitan Pier & Exposition Authority Dedicated
State Tax Revenue: (MBIA Insured), Capital
Appreciation, Series A, 12/15/16.................... 8,330,000 3,223,627
6.40%, 06/01/03..................................... 2,250,000 2,461,050
6.50%, 06/01/04..................................... 2,500,000 2,775,675
Regional Transit Authority (AMBAC Insured), Series A,
8.00%, 6/1/03....................................... 2,785,000 3,242,074
------------
29,808,467
------------
INDIANA -- 2.59%
Indianapolis Airport Authority Revenue, 7.10%,
1/15/17............................................. 6,900,000 7,780,647
Indiana Bond Bank Revenue, 6.00%, 2/1/04............. 3,670,000 3,979,601
------------
11,760,248
------------
KANSAS -- 1.23%
Kansas City Utility System Revenue, (FGIC Insured)
6.375%, 9/1/23...................................... 5,000,000 5,584,400
------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
123
<PAGE>
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- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
MARYLAND -- 3.89%
Maryland State Community Development Administration
Department Revenue Fifth Series, 5.95%, 4/1/16...... $ 2,950,000 $ 3,121,926
Maryland State Community Development Administration
Department Housing & MNTY Single Family,
4.90%, 04/01/06..................................... 2,000,000 2,038,620
Maryland State General Obligation Unlimited Tax
5.00%, 3/1/08....................................... 5,510,000 5,759,989
Maryland State Public Improvement General Obligation
Second Series, 5.25%, 6/15/02....................... 2,500,000 2,610,050
Montgomery County Public Improvement Series A, 5.20%,
10/1/01............................................. 4,000,000 4,152,840
------------
17,683,425
------------
MASSACHUSETTS -- 5.11%
Massachusetts General Obligation (FGIC Insured),
Refunding Series A, 5.00%, 8/1/07................... 5,000,000 5,216,800
Massachusetts General Obligation Unlimited Tax:
Series A, 5.50%, 03/01/11........................... 5,000,000 5,400,600
Series A, 6.25%, 7/1/02............................. 4,500,000 4,854,690
Massachusetts Federal Highway, 5.25%, 06/15/12....... 2,000,000 2,067,480
New England Educational Loan Refunding Senior A:
6.50%, 9/1/02....................................... 5,250,000 5,684,753
------------
23,224,323
------------
MICHIGAN -- 6.02%
Michigan State Building Authority Revenue Refunding
Series I, 6.75%, 10/1/11............................ 5,575,000 6,066,102
Michigan State Hospital Financing Authority Revenue
Refunding: Detroit Medical Center Obligation Group A
6.25%, 8/15/13...................................... 6,750,000 7,316,325
Royal Oak Hospital Financing Authority Revenue
Refunding: Wm. Beaumont Hospital,
6.25%, 1/1/11....................................... 5,445,000 6,178,060
6.25%, 1/1/12....................................... 6,850,000 7,788,382
------------
27,348,869
------------
MINNESOTA -- 4.25%
Minnesota Housing Finance Agency Revenue:
Series D, 5.90%, 8/1/15............................. 2,225,000 2,323,812
Series G, 6.25%, 7/1/26............................. 3,270,000 3,444,683
Series L, 6.25%, 7/1/27............................. 12,910,000 13,533,811
------------
19,302,307
------------
NEBRASKA -- 0.57%
University of Nebraska, 5.28%, 07/15/11.............. 2,500,000 2,596,830
------------
NEVADA -- 2.70%
Clark County General Obligation Limited Tax, 7.00%,
9/1/00.............................................. 6,705,000 7,123,526
Clark County Industrial Revenue Swiss Bank, 12/01/22. 600,000 600,000
Las Vegas General Obligation Refunding Limited Tax,
6.40%, 10/1/03...................................... 2,250,000 2,456,483
Nevada General Obligation Limited Tax:
Series C, 5.90%, 4/1/01............................. 1,000,000 1,048,860
Series A, 6.00%, 5/1/02............................. 1,000,000 1,059,370
------------
12,288,239
------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
124
<PAGE>
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- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
NEW JERSEY -- 1.62%
New Jersey State Transit Fund Authority, 5.00%,
6/15/04............................................. $ 7,090,000 $ 7,361,476
------------
NEW YORK -- 7.84%
New York City General Obligation Unlimited Tax
Refunding Series I, 5.75%, 3/15/07.................. 6,500,000 6,999,460
New York City General Obligation Unlimited Tax Series
A, 6.00%, 8/1/06.................................... 5,000,000 5,469,750
New York City Municipal Water Authority Series C
(FGIC Insured), 7.00%, 6/15/16...................... 1,230,000 1,350,073
New York State Dormitory Authority Revenue Series A,
5.20%, 5/15/05...................................... 4,300,000 4,463,185
New York State Environment Pollution Control
Facilities, 6.50%, 6/15/14.......................... 6,740,000 7,330,828
Tri-Borough Bridge & Tunnel Authority Revenue General
Purpose Series Y, 5.90%, 1/1/08..................... 9,000,000 9,998,640
------------
35,611,936
------------
NORTH CAROLINA -- 1.44%
North Carolina University and College Improvements
Unlimited Tax General Obligation, 5.00%, 6/1/01..... 1,535,000 1,581,326
North Carolina Municipal Power Agency (MBIA Insured),
7.25%, 1/1/07....................................... 2,500,000 2,968,275
Raleigh Durham Airport Series A, 11/01/15............ 2,000,000 2,000,000
------------
6,549,601
------------
OHIO -- 1.14%
Ohio State Highway Capital Improvements General
Obligation Unlimited Tax, Series B, 5.00%, 5/1/05... 4,000,000 4,182,160
Ohio Housing, 4.90%, 09/01/06........................ 1,000,000 1,018,200
------------
5,200,360
PENNSYLVANIA -- 6.26%
Delaware County Series A, 5.50%, 12/01/13............ 4,440,000 4,790,804
Geisinger Authority Health System Revenue Series A,
5.50%, 7/1/03....................................... 2,895,000 3,049,217
Pennsylvania Intergovernmental Coop Authority Special
Tax Revenue (FGIC Insured), 6.00%, 6/15/00.......... 7,000,000 7,279,790
Philadelphia Gas Works Revenue Fourteenth Series
(CAPMAC Insured), 7.00%, 7/1/02..................... 12,090,000 13,327,653
------------
28,447,464
------------
SOUTH CAROLINA -- 2.96%
Beaufort County School District General Obligation
Unlimited Tax Series B (MBIA Insured),
4.75%, 3/1/03....................................... 2,800,000 2,867,508
South Carolina State Public Service Authority Revenue
Refunding Series A, 5.00%, 7/1/01................... 5,000,000 5,133,750
South Carolina, 5.75%, 08/01/05...................... 2,300,000 2,514,245
Greenville Hospital Series A, 5.00%, 05/01/04........ 2,840,000 2,931,874
------------
13,447,377
------------
TENNESSEE -- 1.25%
Hamilton County General Obligation Unlimited Tax
Series A, 5.00%, 5/1/09............................. 3,370,000 3,511,574
Memphis-Shelby County Airport Authority Revenue
Refunding, 6.75%, 9/1/12............................ 2,000,000 2,190,380
------------
5,701,954
------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
125
<PAGE>
PEGASUS INTERMEDIATE MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION FACE AMOUNT MARKET VALUE
----------- ----------- ------------
<S> <C> <C>
TEXAS -- 5.22%
Dallas Independent School District General Obligation
Unlimited Tax, 8.70%, 8/1/00........................ $ 1,000,000 $ 1,095,470
Dallas Revenue Tax Series A, 5.25%, 08/15/12......... 2,955,000 3,058,100
Harris County Revenue (AMBAC Insured), Capital
Appreciation, 8/15/18............................... 7,500,000 2,415,975
Humble Independent School District General Obligation
Unlimited Tax Refunding, 6.00%, 2/15/04............. 2,035,000 2,179,912
Texas A&M University Permanent Fund Revenue, 5.60%,
7/1/05.............................................. 5,000,000 5,397,300
Texas State General Obligation Unlimited Tax
Refunding Series B, 5.625%, 10/1/11................. 5,000,000 5,328,800
Texas Dept. Series E, 4.90%, 09/01/02................ 920,000 940,562
Texas Dept. Series E, 4.80%, 09/01/01................ 1,165,000 1,185,854
Texas A&M University, 7.5%, 07/01/02................. 1,000,000 1,122,970
Texas Housing Dept 4.80%, 03/01/01................... 990,000 1,005,068
------------
23,730,011
------------
VIRGINIA -- 0.96%
Loudoun County Sanitation Authority Water and Sewer
Refunding, (FGIC Insured), 6.25%, 1/1/16............ 4,000,000 4,366,800
------------
4,366,800
------------
WASHINGTON -- 4.05%
Seattle General Obligation Limited Tax Series A,
5.75%, 1/15/17...................................... 10,000,000 10,520,700
Snohomish County Mukilteo Refunding General
Obligation (FGIC Insured), 5.70%, 12/1/12........... 5,140,000 5,656,673
Washington St. Pub, Series C, 7.625%, 07/01/10....... 2,000,000 2,206,000
------------
18,383,373
------------
WISCONSIN -- 6.60%
Durand Hospital Facilities Revenue, Chippewa Valley
Hospital and Nursing Project, 7.10%, 9/1/12......... 5,735,000 6,758,640
Southeast Professional Revenue (MBIA Insured),
Capital Appreciation
12/15/07............................................ 5,000,000 3,276,200
12/15/09............................................ 5,000,000 2,949,400
Wisconsin Clean Water Revenue Series 2, 6.00%,
6/1/07.............................................. 2,500,000 2,781,650
Wisconsin General Obligation Unlimited Tax Series B:
7.00%, 5/1/02....................................... 4,155,000 4,574,530
7.00%, 5/1/03....................................... 5,830,000 6,535,955
Wisconsin State Health & Educational Facilities
Authority Revenue: (MBIA Insured), 5.10%, 8/15/05... 3,000,000 3,107,610
------------
29,983,985
WYOMING -- 0.44%
Lincoln Co, 08/01/15................................. 2,000,000 2,000,000
============
TOTAL MUNICIPAL BONDS................................. 454,484,024
------------
(Cost -- $435,512,398)
TOTAL INVESTMENTS..................................... $454,484,024
============
(Cost -- $435,512,398)
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
126
<PAGE>
PEGASUS MICHIGAN MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE MARKET
DESCRIPTION AMOUNT VALUE
----------- ------ ------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 1.68%
Pegasus Michigan Tax-Exempt Money Market Fund Class I
(in shares)............................................ 1,659,345 $1,659,345
----------
(Cost -- $1,659,345)
MUNICIPAL BONDS -- 98.32%
MICHIGAN -- 93.60%
Allegan Public School District General Obligation
(AMBAC Insured), Unlimited Tax, 5.75%, 5/1/12......... $ 200,000 215,200
Chelsea Economic Development Revenue, 5.40%, 11/15/18.. 1,500,000 1,497,870
Chelsea Economic Development Revenue, 5.40%, 11/15/27.. 2,000,000 1,961,740
Dearborn Economic Division Oakwood Obligation Group
Series, 5.60%, 11/15/08............................... 1,690,000 1,823,442
Dearborn School District, General Obligation, Unlimited
Tax, 6.00%, 5/1/14.................................... 1,000,000 1,070,710
Dearborn Sewage Disposal (MBIA Insured), 5.125%,
4/1/14................................................ 1,830,000 1,841,712
Detroit Local Development Fin. Authority, 5.375%,
05/01/18.............................................. 3,850,000 3,906,595
Detroit Local Development Fin. Authority, 5.375%,
05/01/21.............................................. 1,410,000 1,427,230
Detroit Sewer Disposal Revenue (FGIC Insured), 6.00%,
7/1/00................................................ 1,225,000 1,274,943
Detroit Wayne Co. (FGIC Insured), Public Improvements,
5.50%, 2/1/17......................................... 1,800,000 1,872,450
Dexter Community Schools, 5.80%, 5/1/19................ 2,000,000 2,115,840
Dickinson Co. Economic Development Corporation
Pollution Control Revenue, 5.85%, 10/1/18............. 3,000,000 3,134,160
Eastern Michigan University General Sinking Fund,
6.375%, 6/1/14........................................ 1,000,000 1,081,030
Ferndale School District, 5.50%, 5/1/11................ 1,000,000 1,050,200
Hancock Hospital Finance Authority Revenue, 5.45%,
8/1/47................................................ 2,400,000 2,428,656
Huron Valley School District (FGIC Insured), Unlimited
Tax, 5.875%, 5/1/16................................... 1,000,000 1,071,020
Kalamazoo Economic Development, Friendship Vlg-A:
6.125%, 5/15/12....................................... 1,250,000 1,331,125
6.125%, 5/15/17....................................... 600,000 636,648
Kalamazoo Hospital Finance Authority Revenue (FGIC
Insured), 5.25%, 6/1/17............................... 1,000,000 1,000,270
Lake Orion Community, 5.80%, 05/01/15.................. 1,000,000 1,060,780
Lansing Building Authority (AMBAC Insured), 6.00%,
6/1/05................................................ 1,000,000 1,102,980
Livingston Co. General Obligation Bldg. Authority
Limited Tax, 5.80%, 7/1/08............................ 1,330,000 1,456,257
Marysville Public School District, General Obligation,
Unlimited Tax, 5.60%, 5/1/09.......................... 620,000 660,064
Michigan General Obligation Environmental Protection
Program, 6.25%, 11/1/08............................... 450,000 495,311
Michigan Higher Education Student Loan (AMBAC Insured),
5.75%, 6/1/13......................................... 1,000,000 1,065,290
Michigan Higher Education Facility Authority Revenue,
5.35%, 6/1/13......................................... 2,390,000 2,417,891
Michigan Higher Education Facility Authority Revenue,
5.55%, 6/1/17......................................... 1,550,000 1,569,174
Michigan Municipal Bond Authority Revenue, 5.70%,
8/1/07................................................ 1,145,000 1,216,792
Michigan Municipal Bond Authority Revenue (FGIG
Insured), 6.00%, 12/1/13.............................. 1,500,000 1,638,795
Michigan State General Obligation, Zero Coupon,
12/1/17............................................... 4,000,000 3,982,600
Michigan State Hospital Finance Authority Revenue
(AMBAC Insured):
6.00%, 9/1/11......................................... 1,250,000 1,336,787
Michigan State Hospital Finance Authority Revenue:
Mercy Mt. Clemens, 6.25%, 5/15/11..................... 500,000 531,770
Daughters of Charity, 5.25%, 11/1/15.................. 1,000,000 1,008,370
Mercy Health Services, 5.375%, 8/15/16................ 1,000,000 1,019,490
Mercy Health Services, 5.625%, 8/15/16................ 2,000,000 2,084,720
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
127
<PAGE>
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- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
June 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE MARKET
DESCRIPTION AMOUNT VALUE
----------- ------ ------
<S> <C> <C>
Detroit Medical Center, 6.50%, 8/15/18............... $2,000,000 $ 2,182,660
Michigan State Housing Development Authority Revenue:
6.375%, 12/1/11...................................... 750,000 799,958
6.00%, 12/1/15....................................... 4,750,000 4,981,278
Michigan State Housing Development Authority Revenue,
Federal Housing Association, AMT, 6.20%, 6/1/27...... 2,500,000 2,654,875
Michigan State Strategic Fund Revenue, 5.30%, 7/1/18.. 1,250,000 1,251,550
Michigan State University Revenue, 6.25%, 8/15/15..... 2,000,000 2,177,280
Newaygo Public Schools General Obligation Unlimited
Tax, 6.00%, 5/1/12................................... 300,000 322,992
Norway Vulcan Area Schools, 5.75%, 5/1/13............. 250,000 268,535
Novi Community Schools, 6.125%, 5/1/13................ 750,000 827,070
Oak Park School District (AMBAC Insured), 6.00%,
6/1/09............................................... 250,000 270,535
Ottawa Co. General Obligation Water Supply System,
6.00%, 8/1/08........................................ 1,950,000 2,095,763
Perry Public Schools, General Obligation, Unlimited
Tax, 6.00%, 5/1/12................................... 250,000 271,118
Rockford Public Schools, 5.875%, 5/1/12............... 500,000 533,376
Rockford Public Schools, 5.25%, 5/1/22................ 2,930,000 2,939,024
Ronulus MI Community, 05/01/18........................ 4,755,000 1,727,538
Royal Oak Hospital Finance Authority Revenue-William
Beaumont Hospital
5.60%, 11/15/11...................................... 2,000,000 2,119,280
5.50%, 1/1/18........................................ 1,500,000 1,543,034
Saranac Community School District, 6.00%, 5/1/13...... 250,000 271,117
South Lake General Obligation, 5.13%, 5/1/15.......... 1,000,000 1,007,000
Traverse City Area Public School District, Series I,
5.70%, 5/1/12........................................ 2,400,000 2,547,984
University of Michigan Revenue, 6.20%, 12/1/03........ 1,000,000 1,086,580
University of Michigan Revenue, 5.75%, 12/1/12........ 850,000 902,734
University of Michigan University Revenues, 5.50%,
12/1/21.............................................. 450,000 458,865
Wayne County Charter Airport Revenue, AMT, Variable
Rate, 12/1/16........................................ 3,000,000 3,000,000
Wayne State University (AMBAC Insured):
5.50%, 11/15/07...................................... 1,000,000 1,058,280
5.65%, 11/15/15...................................... 800,000 830,111
Wayne Westland Community Schools (FGIC Insured),
Unlimited Tax, 5.75%, 5/1/11......................... 350,000 372,285
Western University Revenue (FGIC Insured), 6.25%,
11/15/12............................................. 250,000 275,765
Wyoming Public School, 5.875%, 5/1/13................. 350,000 376,408
-----------
92,540,907
-----------
PUERTO RICO -- 4.72%
Puerto Rico Commonwealth General Obligation (MBIA
Insured) Unlimited Tax, Public Improvements, 6.25%,
7/1/12............................................... 1,000,000 1,157,710
Puerto Rico Commonwealth, General Obligation, 5.75%,
7/1/17............................................... 3,280,000 3,509,108
-----------
4,666,818
-----------
TOTAL MUNICIPAL BONDS................................... 97,207,725
-----------
(Cost -- $92,885,266)
TOTAL INVESTMENTS....................................... $98,867,070
===========
(Cost -- $94,544,611)
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
128
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(1) ORGANIZATION AND COMMENCEMENT OF OPERATIONS
The Pegasus Funds (Pegasus or the Funds), was organized as a Massachusetts
business trust on April 21, 1987, and registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end investment company. As of
June 30, 1998, the Trust consisted of thirty separate portfolios of which there
were twenty-one asset allocation, equity, bond and municipal bond funds, as
described below.
<TABLE>
<CAPTION>
COMMENCEMENT
DATE
------------
<S> <C>
ASSET ALLOCATION
FUNDS
Managed Assets Con-
servative Fund 1/23/86
Managed Assets Bal-
anced 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 Opportu-
nity Fund 1/27/95
Intrinsic Value
Fund 6/1/91
Growth and Value
Fund 6/1/91
Equity Index Fund 7/10/92
International Eq-
uity Fund 12/3/94
BOND FUNDS
Intermediate Bond
Fund 6/1/91
Bond Fund 6/1/91
Short Bond Fund 9/17/94
Multi Sector Bond
Fund 3/5/93
International Bond
Fund 1/27/95
High Yield Bond
Fund 6/30/97
MUNICIPAL BOND
FUNDS
Municipal Bond Fund 3/1/88
Short Municipal
Bond Fund 5/1/98
Intermediate Munic-
ipal Bond Fund 3/1/88
Michigan Municipal
Bond Fund 2/1/93
</TABLE>
Pegasus Funds
129
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
CONVERSION OF COMMON TRUST FUNDS:
During the period ended June 30, 1998 and the year ended December 31, 1997,
the net assets of certain common trust funds managed by the adviser were
exchanged in a tax-free conversion for shares of the corresponding Pegasus
Funds (Class I). The transactions were accounted for by a method followed for
tax purposes in a tax free business combination sometimes referred to as the
pooling without restatement method. The following is a summary of dates, shares
issued, net assets converted, net asset value per share issued and unrealized
appreciation of assets acquired as of the conversion date:
<TABLE>
<CAPTION>
NET ASSET
VALUE
SHARES NET ASSETS PER SHARE UNREALIZED
ISSUED CONVERTED ISSUED APPRECIATION
--------- ----------- --------- ------------
<S> <C> <C> <C> <C>
December 12, 1997
International Equity Fund 2,159,636 $25,851,101 $11.97 $5,338,342
January 16, 1998
Multi Sector Bond Fund 5,725,521 46,376,717 8.10 1,314,449
Growth and Value Fund 826,627 13,267,362 16.05 7,896,171
June 5, 1998
Municipal Bond Fund 1,694,520 21,791,527 12.86 1,385,555
Intermediate Municipal Bond Fund 3,551,166 43,750,365 12.32 662,877
Intermediate Bond Fund 657,518 6,897,367 10.49 212,421
June 19, 1998
Growth Fund 5,967,446 97,388,726 16.32 40,491,888
Equity Income Fund 2,382,584 29,377,262 12.33 4,563,975
Mid-Cap Opportunity 739,751 14,935,571 20.19 7,647,809
Growth and Value 2,124,838 35,293,559 16.61 23,002,210
</TABLE>
(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.
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 exchanges.
Pegasus Funds
130
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
Securities for which market prices or dealer quotes are not readily available
(including restricted securities) 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 for which
quoted bid and ask prices are readily available are valued at the mean between
the quoted bid prices (as obtained by the pricing service from dealers in such
securities) and ask prices (as calculated by the pricing service based upon its
evaluation of the market for such securities). 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 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 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 value.
Investment security purchases and sales are recorded as of the 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.
Restricted Securities
The High Yield Bond Fund is permitted to invest in securities that are
subject to legal or contractual restrictions on resale. These securities
generally may be resold in transactions exempt from registration or to the
public if the securities are registered. Disposal of these securities may
involve time-consuming negotiations and expense, and prompt sale at an
acceptable price may be difficult. At the end of the period, restricted
securities in the High Yield Bond Fund amounted to $3,566,074 or 20% of the
Fund's net assets.
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 under the effective interest rate
method as required by the Internal Revenue Code (the Code) and generally
accepted accounting principles. For mortgage-backed securities, 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.
The High Yield Bond Fund may place a debt obligation on non-accrual status
and reduce related interest income by ceasing current accruals and writing off
interest receivables when the collection of all or a portion of interest has
become doubtful based on consistently applied procedures, under the general
supervision of the Board of Trustees of the Fund. A debt obligation is removed
from non-accrual status when the issuer resumes interest payments or when
collectibility of interest is reasonably assured. None of the Fund's debt
obligations were in non-accrual status at June 30, 1998 or for the period then
ended.
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.
Pegasus Funds
131
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
Forward Foreign Currency Contracts
The International Equity Fund and the International Bond Fund may enter into
forward foreign currency contracts which are agreements 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 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, reflects the total 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 Funds may enter into futures contracts for the purpose of hedging against
changes in the value of their portfolio securities or in securities they intend
to purchase. The Equity Funds may also enter into stock index futures contracts
as a substitute for comparable market positions in the underlying securities.
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. Futures contracts are
valued based upon their quoted daily closing prices. The aggregate principal
amounts of the contracts are not recorded in the financial statements. The
daily change in the value of the contract is recorded as an unrealized gain or
loss. Futures contracts open at June 30, 1998 and their related unrealized
market appreciation (depreciation) are set forth in the respective Portfolios
of Investments.
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.
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.
In both the International Equity Fund and the International Bond Fund, 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, currency gains and losses realized between
trade and settlement dates on securities transactions and between the ex, pay
and settlement dates on dividend income. In the International Bond Fund, the
effects of changes in foreign currency exchange rates on investments in
securities are included within the net realized foreign exchange gain or loss
on securities sold and net unrealized foreign exchange gain or loss on
investment securities held. In the International Equity Fund, exchange rate
fluctuations on investments are not segregated in the statement of operations
from changes arising in market price
Pegasus Funds
132
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
movements but are instead included within the net realized gain or loss on
securities sold and net unrealized gain or loss on investment securities held.
Federal Income Taxes
It is Pegasus' policy to comply with the requirements of Subchapter M of the
Code, as amended, 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, passive foreign investment companies,
redemptions in-kind, 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 year ended December 31, 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.
As of December 31, 1997, the following Pegasus Funds had capital loss
carryforwards and related expiration dates as follows:
<TABLE>
<CAPTION>
FUND 2002 2003 2004 2005 TOTAL
--------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Bond $15,197,602 $1,041,792 $ -- $ -- $16,239,394
Intermediate
Bond 3,896,190 2,190,497 168,406 -- 6,255,093
Municipal
Bond -- -- 307,645 -- 307,645
Michigan Mu-
nicipal Bond 29,400 -- 94,571 144,655 268,626
International
Equity -- 97,147 1,083,369 6,436,160 7,616,676
</TABLE>
Shareholder Dividends
Dividends from net investment income are declared and paid quarterly by the
Equity Funds and Asset Allocation Funds (with the exception of the Managed
Assets Conservative and Equity Income Funds which pay dividends monthly) and
monthly by the Bond Funds and Municipal Bond Funds. Net realized capital gains
are distributed annually or as necessary to comply with subchapter M of the
Internal Revenue Code. 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 carryforwards,
if any, such gains will not be distributed.
Deferred Organization Costs
Organization costs incurred prior to June 30, 1998 are amortized on a
straight-line basis over a five year period beginning with the commencement of
operations of each portfolio.
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.
While the International Equity Fund has a diversified investment portfolio,
it currently has investments in excess of 10% of its total investments in Banks
(15.16%).
Pegasus Funds
133
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
Although the Short Municipal Bond Fund has a diversified investment
portfolio, it currently has investments in excess of 10% of its total
investments in the States of Illinois and Michigan. Although the Municipal Bond
Fund has a diversified investment portfolio it currently has investments in
excess of 10% in each of the States of Illinois and Georgia. The Michigan
Municipal Bond Fund does not have a diversified portfolio since 94% 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.
Multiple Classes of Capital Shares of Beneficial Interest
The Funds offer 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 affect just
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, Multi Sector
Bond, 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.
Federated Investment Counseling (Federated) is the sub-advisor of the High
Yield Bond Fund's investments. For its services, Federated is entitled to a
monthly fee at the following annual rates, which vary according to the level of
assets: 0.50% on the first $30 million of average daily net assets, 0.40% on
the next $20
Pegasus Funds
134
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
million, 0.30% on the next $25 million, 0.25% on the next $25 million and 0.20%
of the Fund's average daily net assets in excess of $100 million. The Sub-
Advisor's fee is paid by FCNIMCO and not by the Fund.
BISYS serves as the Fund's principal underwriter and distributor of the
Fund's shares.
NBD Bank, an affiliate of FCNIMCO, is also compensated for its services as
Pegasus' custodian and for certain transfer agent services and is reimbursed
for certain out-of-pocket expenses incurred on behalf of Pegasus.
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.
The Funds may invest in mutual funds sponsored and managed by FCNIMCO,
subject to certain limitations. The terms of such transactions are identical to
those of non-related entities except that, to avoid duplicate fees, the FCNIMCO
remits to each Fund an amount equal to all fees assessed on the assets invested
in such funds, with the exception of the Managed Assets Conservative, Managed
Assets Balanced and Managed Assets Growth funds whereby FCNIMCO only reimburses
the investment management and administration fees.
On April 10, 1998 First Chicago NBD Investment Management Company's parent
company, First Chicago NBD Corporation, entered into an agreement and plan of
merger with BANC ONE CORPORATION pursuant to which First Chicago NBD
Corporation will merge with and into BANC ONE CORPORATION. The merger is
conditioned upon, among other things, approval by holders of a majority of BANC
ONE CORPORATION common stock, approval by holders of a majority of the First
Chicago NBD Corporation common stock, and receipt of certain regulatory and
governmental approvals.
(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, 1998:
<TABLE>
<CAPTION>
PURCHASES SALES FEDERAL TAX COST
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Managed Assets Conservative.......... $ 16,682,753 $ 8,498,896 $ 131,315,010
Managed Assets Balanced.............. 44,892,949 30,414,356 269,727,313
Managed Assets Growth................ 8,451,178 1,254,973 21,612,070
Equity Income........................ 47,059,427 45,719,067 268,676,272
Growth............................... 161,412,600 131,909,342 483,706,600
Mid-Cap Opportunity.................. 170,997,680 169,536,878 776,337,875
Small-Cap Opportunity................ 135,749,392 65,276,561 279,228,740
Intrinsic Value...................... 82,364,201 37,854,011 558,528,597
Growth and Value..................... 276,016,532 222,528,157 863,450,150
Equity Index......................... 73,636,355 64,495,422 541,271,530
International Equity................. 36,225,749 13,964,528 473,871,004
Intermediate Bond.................... 123,560,826 68,400,805 575,452,084
Bond................................. 310,777,134 131,804,018 1,379,506,803
Short Bond........................... 73,692,940 58,888,677 253,166,456
Multi Sector Bond.................... 69,258,531 46,352,894 125,463,721
International Bond................... 9,980,000 8,675,782 93,590,168
High Yield Bond...................... 28,451,683 10,255,587 67,474,633
Municipal Bond....................... 86,525,729 34,800,392 412,563,862
Short Municipal Bond................. 13,340,616 2,756,086 11,470,926
Intermediate Municipal Bond.......... 94,061,637 30,839,655 435,512,398
Michigan Municipal Bond.............. 32,030,090 11,830,300 94,544,611
</TABLE>
Pegasus Funds
135
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
At June 30, 1998, 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........... $ 4,794,791 $ (957,030) $ 3,837,761
Managed Assets Balanced............... 10,098,903 (2,513,958) 7,584,945
Managed Assets Growth................. 588,426 (322,560) 265,866
Equity Income......................... 64,161,139 (7,094,567) 57,066,572
Growth................................ 383,379,469 (20,863,274) 362,516,195
Mid-Cap Opportunity................... 386,159,986 (20,743,642) 365,416,344
Small-Cap Opportunity................. 64,091,842 (15,014,990) 49,076,852
Intrinsic Value....................... 140,768,452 (15,456,299) 125,312,153
Growth and Value...................... 390,968,491 (22,804,177) 368,164,314
Equity Index.......................... 449,306,951 (9,272,659) 440,034,292
International Equity.................. 191,307,668 (59,619,560) 131,688,108
Intermediate Bond..................... 43,289,755 (30,633,106) 12,656,649
Bond.................................. 112,310,031 (54,358,819) 57,951,212
Short Bond............................ 1,378,792 (328,625) 1,050,167
Multi Sector Bond..................... 4,586,943 (136,241) 4,450,702
International Bond.................... 1,579,917 (6,765,726) (5,185,809)
High Yield Bond....................... 951,851 (724,197) 227,654
Municipal Bond........................ 25,686,365 (57,163) 25,629,202
Short Municipal Bond.................. 44,629 (635) 43,994
Intermediate Municipal Bond........... 19,069,641 (98,015) 18,971,626
Michigan Municipal Bond............... 4,341,980 (19,521) 4,322,459
</TABLE>
(5) EXPENSES
For the period ended June 30, 1998 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 Funds' average
net assets.) Under the terms of the Investment Advisory Agreement, the
Investment Advisor is entitled to a monthly fee as a percentage of each Fund's
daily net assets. Each Fund's current contractual fee for advisory services is
also set forth below.
<TABLE>
<CAPTION>
CURRENT
CONTRACTUAL
ADVISORY
CLASS A CLASS B CLASS I FEE RATE
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Managed Assets Conservative................. 1.25% 2.00% 1.00% 0.65%
Managed Assets Balanced..................... 1.25% 2.00% 1.00% 0.65%
Managed Assets Growth....................... 1.25% 2.00% 1.00% 0.65%
Equity Income............................... 1.21% 1.96% 0.96% 0.50%
Growth...................................... 1.25% 2.00% 1.00% 0.60%
Mid-Cap Opportunity......................... 1.27% 2.02% 1.02% 0.60%
Small-Cap Opportunity....................... 1.42% 2.17% 1.17% 0.70%
Intrinsic Value............................. 1.19% 1.94% 0.94% 0.60%
Growth and Value............................ 1.12% 1.87% 0.87% 0.60%
Equity Index................................ 0.66% 1.41% 0.41% 0.10%
International Equity........................ 1.44% 2.19% 1.19% 0.80%
Intermediate Bond........................... 1.04% 1.79% 0.79% 0.40%
Bond........................................ 0.99% 1.74% 0.74% 0.40%
Short Bond.................................. 0.86% 1.61% 0.61% 0.35%
Multi-Sector Bond........................... 0.92% 1.67% 0.67% 0.40%
International Bond.......................... 1.15% 1.90% 0.90% 0.70%
High Yield Bond............................. 1.14% 1.89% 0.89% 0.70%
Municipal Bond.............................. 0.98% 1.73% 0.73% 0.40%
Short Municipal Bond........................ 0.87% 1.62% 0.62% 0.40%
Intermediate Municipal Bond................. 0.93% 1.68% 0.68% 0.40%
Michigan Municipal Bond..................... 0.98% 1.73% 0.73% 0.40%
</TABLE>
Pegasus Funds
136
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
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,
1998, the Funds paid the following amounts under the Plan to BISYS:
<TABLE>
<CAPTION>
AMOUNTS PAID
------------------------------------------------------------------
<S> <C>
Managed Assets Conservative......................... $143,187
Managed Assets Balanced............................. 209,952
Managed Assets Growth............................... 19,971
Equity Income....................................... 20,881
Growth.............................................. 121,834
Mid-Cap Opportunity................................. 362,298
Small-Cap Opportunity............................... 38,775
Intrinsic Value..................................... 152,677
Growth and Value.................................... 313,800
Equity Index........................................ 301,720
International Equity................................ 48,922
Intermediate Bond................................... 101,198
Bond Fund........................................... 236,224
Short Bond.......................................... 16,212
Multi-Sector Bond................................... 15,023
International Bond.................................. 9,687
High Yield Bond..................................... 1,285
Municipal Bond...................................... 47,653
Short Municipal Bond................................ 14
Intermediate Municipal Bond......................... 25,109
Michigan Municipal Bond............................. 24,539
</TABLE>
Pegasus Funds
137
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
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 of 0.75% 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 with respect
to 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,
1998, the Funds made the following payments under the 12b-1 Plan, all of which
was retained by the Distributor:
<TABLE>
<CAPTION>
12B-1 FEES PAID CDSC PAID
-----------------------------------------------------------------
<S> <C> <C>
Managed Assets Conservative........... $66,552 42,909
Managed Assets Balanced............... 50,127 22,672
Managed Assets Growth................. 31,547 17,051
Equity Income......................... 13,275 3,965
Growth................................ 11,527 8,231
Mid-Cap Opportunity................... 20,103 18,049
Small-Cap Opportunity................. 10,564 8,855
Intrinsic Value....................... 16,108 12,889
Growth and Value...................... 27,739 19,369
Equity Index.......................... 7,557 4,963
International Equity.................. 7,941 2,586
Intermediate Bond..................... 2,202 1,487
Bond.................................. 17,240 12,578
Short Bond............................ 1,040 --
Multi-Sector Bond..................... 2,079 116
International Bond.................... 526 538
High Yield Bond....................... 572 316
Municipal Bond........................ 5,557 1,980
Intermediate Municipal Bond........... 2,864 710
Michigan Municipal Bond............... 3,557 3,085
</TABLE>
Pegasus Funds
138
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
(6) CAPITAL SHARE TRANSACTIONS
Transactions in amounts and shares of the Funds are summarized below:
<TABLE>
<CAPTION>
MANAGED ASSETS CONSERVATIVE FUND MANAGED ASSETS BALANCED FUND
-------------------------------------------------------------------------------------------------------------------
<CAPTION>
MANAGED ASSETS GROWTH FUND
-------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 1998 FOR THE YEAR ENDED JUNE 30, 1998 FOR THE YEAR ENDED
(UNAUDITED) DECEMBER 31, 1997 (UNAUDITED) DECEMBER 31, 1997
-------------------------------------------------------------------------------------------------------------------
AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A SHARES:
Shares issued $ 17,924,181 1,177,389 $ 31,316,561 2,016,301 $ 38,426,564 3,101,811 $123,331,478 10,106,283
Dividends rein-
vested 6,072,466 411,447 11,601,787 765,341 11,055,875 941,363 13,209,034 1,100,235
Shares redeemed (13,020,787) (851,247) (19,010,963) (1,222,958) (20,045,688) (1,639,411) (19,705,519) (1,614,532)
- -------------------------------------------------------------------------------------------------------------------------------
Net increase $ 10,975,860 737,589 $ 23,907,385 1,558,684 $ 29,436,751 2,403,763 $116,834,993 9,591,986
- -------------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Shares issued $ 8,894,605 579,283 $ 7,513,031 482,687 $ 5,791,970 421,492 $ 8,381,742 606,921
Dividends rein-
vested 1,192,528 81,016 1,365,334 90,169 868,880 66,322 757,299 56,894
Shares redeemed (746,150) (48,794) (806,131) (52,379) (618,933) (44,921) (781,266) (56,066)
- -------------------------------------------------------------------------------------------------------------------------------
Net increase $ 9,340,983 611,505 $ 8,072,234 520,477 $ 6,041,917 442,893 $ 8,357,755 607,749
- -------------------------------------------------------------------------------------------------------------------------------
CLASS I SHARES:
Shares issued $ 5,141,409 334,995 $ 17,213,041 1,103,175 $ 9,483,808 754,105 $ 54,963,342 4,828,990
Dividends rein-
vested 736,899 49,766 1,051,898 69,270 6,120,538 521,256 11,078,389 924,980
Shares redeemed (3,750,389) (244,349) (9,054,523) (582,695) (25,066,132) (2,021,085) (72,178,198) (5,944,348)
- -------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) $ 2,127,919 140,412 $ 9,210,416 589,750 $ (9,461,786) (745,724) $ (6,136,467) (190,378)
- -------------------------------------------------------------------------------------------------------------------------------
Net increase in
fund $ 22,444,762 1,489,506 $ 41,190,035 2,668,911 $ 26,016,882 2,100,932 $119,056,281 10,009,357
- -------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 1998 FOR THE YEAR ENDED
(UNAUDITED) DECEMBER 31, 1997
-------------------------------------------------------------------------------------------------------------------
AMOUNT SHARES AMOUNT SHARES
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CLASS A SHARES:
Shares issued $4,052,183 333,930 $ 5,803,931 520,583
Dividends rein-
vested 280,592 23,876 110,631 9,677
Shares redeemed (816,938) (67,340) (447,060) (40,532)
- -------------------------------------------------------------------------------------------------------------------------------
Net increase $3,515,837 290,466 $ 5,467,502 489,728
- -------------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Shares issued $4,842,618 404,318 $ 5,710,882 519,712
Dividends rein-
vested 300,043 26,027 106,258 9,416
Shares redeemed (301,382) (25,165) (89,261) (7,937)
- -------------------------------------------------------------------------------------------------------------------------------
Net increase $4,841,279 405,180 $ 5,727,879 521,191
- -------------------------------------------------------------------------------------------------------------------------------
CLASS I SHARES:
Shares issued $ 181,143 15,142 $ 743,108 64,957
Dividends rein-
vested 16,800 1,435 4 0
Shares redeemed (97,773) (8,270) -- --
- -------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) $ 100,170 8,307 $ 743,112 64,957
- -------------------------------------------------------------------------------------------------------------------------------
Net increase in
fund $8,457,286 703,953 $11,983,493 1,075,876
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
139
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
(6) CAPITAL SHARE TRANSACTIONS -- (CONTINUED)
<TABLE>
<CAPTION>
EQUITY INCOME FUND GROWTH FUND
------------------------------------------------ ---------------------------------------------------
<CAPTION>
MID-CAP OPPORTUNITY FUND
----------------------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 1998 FOR THE YEAR ENDED JUNE 30, 1998 FOR THE YEAR ENDED
(UNAUDITED) DECEMBER 31, 1997 (UNAUDITED) DECEMBER 31, 1997
----------------------- ----------------------- ------------------------ -------------------------
AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A SHARES:
Shares issued $ 3,289,458 251,251 $ 6,572,559 468,697 $ 40,736,158 2,543,923 $ 40,045,445 2,775,581
Dividends rein-
vested 893,534 71,108 1,844,995 139,990 6,132,760 399,878 2,790,818 182,621
Shares redeemed (2,860,238) (211,621) (8,721,198) (619,931) (10,293,749) (624,519) (9,366,705) (646,661)
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 1,322,754 110,738 $ (294,644) (11,244) $ 36,575,169 2,319,282 $ 33,469,558 2,311,541
- ------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Shares issued $ 567,957 42,281 $ 1,438,787 101,560 $ 1,738,143 104,969 $ 1,483,297 101,867
Dividends rein-
vested 258,523 20,608 427,616 32,598 247,803 16,049 93,456 6,193
Shares redeemed (175,563) (13,145) (457,543) (34,137) (80,402) (4,834) (640,490) (49,812)
- ------------------------------------------------------------------------------------------------------------------------
Net increase $ 650,917 49,744 $ 1,408,860 100,021 $ 1,905,544 116,184 $ 936,263 58,248
- ------------------------------------------------------------------------------------------------------------------------
CLASS I SHARES:
Shares issued $ 9,930,998 713,659 $28,432,275 2,026,742 $ 18,159,436 1,042,714 $ 78,761,960 5,522,672
Shares issued in
connection with
merger 29,377,262 2,382,584 -- -- 97,388,726 5,967,446 -- --
Dividends rein-
vested 15,705,915 1,297,069 34,772,811 2,674,370 31,795,556 2,018,765 23,951,009 1,567,312
Shares redeemed (36,436,855) (2,732,538) (69,797,438) (5,065,466) (69,201,683) (4,198,356) (155,347,564) (10,934,920)
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $18,577,320 1,660,774 $(6,592,352) (364,354) $ 78,142,035 4,830,569 $(52,634,595) (3,844,936)
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease)
in fund $20,550,991 1,821,256 $(5,478,136) (275,577) $116,622,748 7,266,035 $(18,228,774) (1,475,147)
- ------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 1998 FOR THE YEAR ENDED
(UNAUDITED) DECEMBER 31, 1997
------------------------- --------------------------
AMOUNT SHARES AMOUNT SHARES
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CLASS A SHARES:
Shares issued $ 71,788,059 3,327,466 $130,158,919 6,412,767
Dividends rein-
vested 15,975,797 802,800 13,953,980 672,278
Shares redeemed (28,515,067) (1,286,242) (21,535,955) (1,077,836)
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 59,248,789 2,844,024 $122,576,944 6,007,209
- ------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Shares issued $ 2,604,965 228,925 $ 3,558,244 329,955
Dividends rein-
vested 697,188 73,811 388,813 37,100
Shares redeemed (174,485) (15,260) (93,380) (8,506)
- ------------------------------------------------------------------------------------------------------------------------
Net increase $ 3,127,668 287,476 $ 3,853,677 358,549
- ------------------------------------------------------------------------------------------------------------------------
CLASS I SHARES:
Shares issued $ 86,213,165 3,936,325 $207,175,566 10,476,135
Shares issued in
connection with
merger 14,935,571 739,751 -- --
Dividends rein-
vested 41,350,473 2,070,630 46,220,847 2,224,010
Shares redeemed (116,037,215) (5,311,460) (253,407,120) (12,783,438)
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 26,461,994 1,435,246 $ (10,707) (83,293)
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease)
in fund $ 88,838,451 4,566,746 $126,419,914 6,282,465
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
140
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
(6) CAPITAL SHARE TRANSACTIONS -- (CONTINUED)
<TABLE>
<CAPTION>
SMALL-CAP OPPORTUNITY FUND INTRINSIC VALUE FUND
------------------------------------------------- --------------------------------------------------
<CAPTION>
GROWTH AND VALUE FUND
-------------------------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 1998 FOR THE YEAR ENDED JUNE 30, 1998 FOR THE YEAR ENDED
(UNAUDITED) DECEMBER 31, 1997 (UNAUDITED) DECEMBER 31, 1997
----------------------- ------------------------ ------------------------ ------------------------
AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A SHARES:
Shares issued $ 13,936,584 815,028 $ 16,824,149 1,022,192 $ 57,874,860 3,541,487 $ 60,372,454 3,925,383
Dividends rein-
vested 394,634 24,489 1,650,556 102,839 2,662,928 164,904 6,149,882 394,556
Shares redeemed (3,297,000) (192,434) (3,824,714) (251,988) (12,054,207) (736,574) (10,129,328) (667,228)
- ------------------------------------------------------------------------------------------------------------------------
Net increase $ 11,034,218 647,083 $ 14,649,991 873,043 $ 48,483,581 2,969,817 $ 56,393,008 3,652,651
- ------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Shares issued $ 2,111,683 124,513 $ 1,618,901 99,977 $ 2,064,308 174,930 $ 2,966,956 260,864
Dividends rein-
vested 46,202 2,989 125,301 7,951 136,596 11,919 291,301 25,987
Shares redeemed (107,134) (6,293) (29,610) (1,796) (129,883) (11,085) (122,704) (10,630)
- ------------------------------------------------------------------------------------------------------------------------
Net increase $ 2,050,751 121,209 $ 1,714,592 106,132 $ 2,071,021 175,764 $ 3,135,553 276,221
- ------------------------------------------------------------------------------------------------------------------------
CLASS I SHARES:
Shares issued $ 79,115,388 4,522,142 $ 78,449,597 4,974,079 $ 64,740,204 3,994,500 $190,470,760 12,535,439
Shares issued in
connection with
merger -- -- -- -- -- -- -- --
Dividends rein-
vested 2,656,711 165,941 12,026,693 741,015 8,359,329 517,634 35,700,516 2,291,818
Shares redeemed (16,460,952) (954,269) (21,124,571) (1,399,602) (80,901,247) (4,947,887) (97,234,985) (6,443,872)
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 65,311,147 3,733,814 $ 69,351,719 4,315,492 $ (7,801,714) (435,753) $128,936,291 8,383,385
- ------------------------------------------------------------------------------------------------------------------------
Net increase in
fund $ 78,396,116 4,502,106 $ 85,716,302 5,294,667 $ 42,752,888 2,709,828 $188,464,852 12,312,257
- ------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FOR THE YEAR ENDED
JUNE 30, 1998 (UNAUDITED) DECEMBER 31, 1997
--------------------------- ---------------------------
AMOUNT SHARES AMOUNT SHARES
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CLASS A SHARES:
Shares issued $ 107,000,982 6,453,604 $ 94,486,592 5,899,852
Dividends rein-
vested 10,938,794 663,838 12,755,356 781,070
Shares redeemed (24,605,771) (1,428,895) (15,125,603) (944,388)
- ------------------------------------------------------------------------------------------------------------------------
Net increase $ 93,334,005 5,688,547 $ 92,116,345 5,736,534
- ------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Shares issued $ 4,276,924 398,180 $ 4,612,966 444,913
Dividends rein-
vested 596,008 59,937 517,650 50,518
Shares redeemed (221,636) (20,568) (145,758) (13,846)
- ------------------------------------------------------------------------------------------------------------------------
Net increase $ 4,651,296 437,549 $ 4,984,858 481,585
- ------------------------------------------------------------------------------------------------------------------------
CLASS I SHARES:
Shares issued $ 114,951,211 6,717,761 $ 246,403,685 15,691,586
Shares issued in
connection with
merger 48,560,921 2,951,465 -- --
Dividends rein-
vested 32,529,147 1,972,365 58,038,310 3,548,746
Shares redeemed (168,655,043) (10,078,889) (262,615,759) (16,528,740)
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 27,386,236 1,562,702 $ 41,826,236 2,711,592
- ------------------------------------------------------------------------------------------------------------------------
Net increase in
fund $ 125,371,537 7,688,798 $ 138,927,439 8,929,711
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
141
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
(6) CAPITAL SHARE TRANSACTIONS -- (CONTINUED)
<TABLE>
<CAPTION>
EQUITY INDEX FUND INTERNATIONAL EQUITY FUND
----------------------------------------------------------------------------------------------------------------
<CAPTION>
INTERMEDIATE BOND FUND
----------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 1998 FOR THE YEAR ENDED SIX MONTHS ENDED FOR THE YEAR ENDED
(UNAUDITED) DECEMBER 31, 1997 JUNE 30, 1998 (UNAUDITED) DECEMBER 31, 1997
----------------------------------------------------------------------------------------------------------------
AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A SHARES:
Shares issued $ 81,493,460 3,509,171 $ 168,016,201 8,416,137 $ 15,770,529 1,212,350 $ 18,567,566 1,519,426
Dividends
reinvested 2,708,689 113,249 5,805,194 273,337 308,244 23,165 151,571 12,294
Shares redeemed (31,892,145) (1,355,473) (32,929,404) (1,733,288) (3,521,088) (266,699) (3,047,589) (247,544)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase $ 52,310,004 2,266,947 $ 140,891,991 6,956,186 $ 12,557,685 968,816 $ 15,671,548 1,284,176
- ------------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Shares issued $ 1,069,724 73,231 $ 1,287,388 104,699 $ 539,854 42,455 $ 811,445 70,622
Dividends
reinvested 36,089 2,503 71,089 5,457 $ 15,124 1,211 $ 7,275 630
Shares redeemed (55,073) (3,858) (57,785) (4,457) (84,870) (6,796) (201,965) (18,241)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase $ 1,050,740 71,876 $ 1,300,692 105,699 $ 470,109 36,870 $ 616,755 53,011
- ------------------------------------------------------------------------------------------------------------------------------
CLASS I SHARES:
Shares issued $ 53,835,844 2,333,633 $ 146,097,054 7,485,701 $ 56,588,512 4,302,721 $144,396,799 12,175,388
Shares issued in
connection with
merger -- -- -- -- -- -- 25,851,101 2,159,636
Dividends
reinvested 5,003,428 209,182 16,894,585 811,344 1,555,564 116,475 1,488,912 120,663
Shares redeemed (101,394,881) (4,383,249) (524,752,379) (28,171,388) (54,103,725) (4,145,547) (89,221,490) (7,329,317)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $(42,555,609) (1,840,434) $(361,760,740) (19,874,343) $ 4,040,351 273,649 $ 82,515,322 7,126,370
- ------------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in
fund $ 10,805,135 498,389 $(219,568,057) (12,812,458) $ 17,068,144 1,279,335 $ 98,803,625 8,463,557
- ------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED FOR THE YEAR ENDED
JUNE 30, 1998 (UNAUDITED) DECEMBER 31, 1997
----------------------------------------------------------------------------------------------------------------
AMOUNT SHARES AMOUNT SHARES
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CLASS A SHARES:
Shares issued $ 51,684,471 4,899,794 $ 27,304,014 2,624,666
Dividends
reinvested 2,222,174 212,019 1,358,064 131,435
Shares redeemed (9,806,660) (932,786) (5,101,965) (493,064)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase $ 44,099,985 4,179,027 $ 23,560,093 2,283,037
- ------------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Shares issued $ 378,196 36,223 $ 278,873 27,172
Dividends
reinvested 12,449 1,198 8,536 833
Shares redeemed (46,783) (4,498) (29,302) (2,866)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase $ 343,862 32,923 $ 258,107 25,139
- ------------------------------------------------------------------------------------------------------------------------------
CLASS I SHARES:
Shares issued $ 73,272,137 6,969,702 $185,976,995 18,003,953
Shares issued in
connection with
merger 6,897,367 657,518 -- --
Dividends
reinvested 6,970,587 664,981 16,511,264 1,601,349
Shares redeemed (64,625,962) (6,136,491) (123,282,895) (11,921,465)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 22,514,129 2,155,710 $ 79,205,364 7,683,837
- ------------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in
fund $ 66,957,976 6,367,660 $103,023,564 9,972,013
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
142
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
(6) CAPITAL SHARE TRANSACTIONS -- (CONTINUED)
<TABLE>
<CAPTION>
BOND FUND SHORT BOND FUND
---------------------------------------------------- -------------------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 1998 FOR THE YEAR ENDED JUNE 30, 1998 FOR THE YEAR ENDED
(UNAUDITED) DECEMBER 31, 1997 (UNAUDITED) DECEMBER 31, 1997
------------------------- ------------------------- ----------------------- ------------------------
AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A SHARES:
Shares issued $128,544,146 12,071,298 $ 87,085,926 8,353,347 $11,148,043 1,093,694 $ 4,288,154 423,115
Dividends rein-
vested 5,011,237 472,336 3,910,615 377,818 276,480 27,247 100,656 9,964
Shares redeemed (22,121,036) (2,080,411) (15,064,433) (1,455,779) (2,040,961) (200,700) (692,337) (68,358)
- -------------------------------------------------------------------------------------------------------------------------
Net increase $111,434,347 10,463,223 $ 75,932,108 7,275,386 $ 9,383,562 920,241 $ 3,696,473 364,721
- -------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Shares issued $ 2,898,579 272,590 $ 3,156,452 303,186 $ 131,540 13,036 $ 500,749 49,815
Dividends rein-
vested 104,581 9,858 60,268 5,791 5,530 550 4,017 400
Shares redeemed (331,794) (31,253) (164,690) (15,856) (404,494) (40,137) (20,443) (2,048)
- -------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 2,671,366 251,195 $ 3,052,030 293,121 $ (267,424) (26,551) $ 484,323 48,167
- -------------------------------------------------------------------------------------------------------------------------
CLASS I SHARES:
Shares issued $229,262,534 21,523,087 $435,649,178 42,208,448 $62,020,440 6,099,302 $131,425,104 12,981,562
Dividends rein-
vested 18,170,500 1,712,575 32,769,206 3,176,489 2,587,039 255,070 4,521,387 447,631
Shares redeemed (153,239,999) (14,365,069) (157,152,393) (15,127,474) (54,822,744) (5,393,540) (73,190,834) (7,226,149)
- -------------------------------------------------------------------------------------------------------------------------
Net increase $ 94,193,035 8,870,593 $311,265,991 30,257,463 $ 9,784,735 960,832 $ 62,755,657 6,203,044
- -------------------------------------------------------------------------------------------------------------------------
Net increase in
fund $208,298,748 19,585,011 $390,250,129 37,825,970 $18,900,873 1,854,522 $ 66,936,453 6,615,932
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
143
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
(6) CAPITAL SHARE TRANSACTIONS -- (CONTINUED)
<TABLE>
<CAPTION>
MULTI SECTOR BOND FUND INTERNATIONAL BOND FUND
-------------------------------------------------------------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 1998 FOR THE YEAR ENDED JUNE 30, 1998 FOR THE YEAR ENDED
(UNAUDITED) DECEMBER 31, 1997 (UNAUDITED) DECEMBER 31, 1997
-------------------------------------------------------------------------------------------
AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A SHARES:
Shares issued $ 6,177,798 765,752 $ 2,346,273 298,883 $3,096,824 311,501 $ 5,057,792 501,600
Dividends reinvested 310,701 38,775 481,710 61,412 165,922 16,687 173,729 17,298
Shares redeemed (2,252,672) (280,389) (3,919,756) (502,746) (707,617) (71,027) (554,465) (55,064)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) $ 4,235,827 524,138 $ (1,091,773) (142,451) $2,555,129 257,161 $ 4,677,056 463,834
- ---------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Shares issued $ 80,572 10,007 $ 235,272 29,850 $ 41,508 4,143 $ 104,851 10,315
Dividends reinvested 9,388 1,169 18,480 2,347 2,446 244 2,380 235
Shares redeemed (27,176) (3,357) (230,668) (29,611) (14,972) (1,492) (29,856) (2,993)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase $ 62,784 7,819 $ 23,084 2,586 $ 28,982 2,895 $ 77,375 7,557
- ---------------------------------------------------------------------------------------------------------------------------
CLASS I SHARES:
Shares issued $ 15,119,666 1,883,224 $ 7,729,755 983,848 $7,798,461 783,674 $40,067,491 3,900,010
Shares issued in con-
nection with merger 46,376,717 5,725,521 -- -- -- -- -- --
Dividends reinvested 977,607 121,956 224,426 28,290 852,036 85,181 1,589,981 157,098
Shares redeemed (39,351,836) (4,894,210) (102,380,005) (13,037,412) (8,795,191) (881,263) (7,903,780) (780,266)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) $ 23,122,154 2,836,491 $(94,425,824) (12,025,274) $ (144,694) (12,408) $33,753,692 3,276,342
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in fund $ 27,420,765 3,368,448 $(95,494,513) (12,165,139) $2,439,417 247,648 $38,508,123 3,747,733
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
144
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
(6) CAPITAL SHARE TRANSACTIONS -- (CONTINUED)
<TABLE>
<CAPTION>
HIGH YIELD BOND FUND MUNICIPAL BOND FUND
-------------------------------------------------------------------------------------------------------
<CAPTION>
SHORT MUNICIPAL BOND FUND
-------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 1998 FOR THE YEAR ENDED JUNE 30, 1998 FOR THE YEAR ENDED
(UNAUDITED) DECEMBER 31, 1997 (UNAUDITED) DECEMBER 31, 1997
-------------------------------------------------------------------------------------------------------
AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A SHARES:
Shares issued $ 1,164,308 112,580 $ 566,077 55,462 $ 8,552,396 666,238 $11,724,049 939,135
Dividends rein-
vested 23,847 2,319 3,384 332 512,852 39,979 843,113 67,267
Shares redeemed (172,437) (16,714) -- -- (3,614,960) (281,221) (8,454,633) (681,140)
- -------------------------------------------------------------------------------------------------------------------
Net increase $ 1,015,718 98,185 $ 569,461 55,794 $ 5,450,288 424,996 4,112,529 325,262
- -------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Shares issued $ 219,930 21,164 $ 77,187 7,534 $ 497,522 38,856 $ 733,512 58,222
Dividends rein-
vested 2,672 259 959 94 22,200 1,732 28,072 2,246
Shares redeemed (62,794) (6,034) (893) (87) (74,296) (5,813) (160,009) (12,772)
- -------------------------------------------------------------------------------------------------------------------
Net increase $ 159,808 15,389 $ 77,253 7,541 $ 445,426 34,775 601,575 47,696
- -------------------------------------------------------------------------------------------------------------------
CLASS I SHARES:
Shares issued $19,448,223 1,863,548 $50,211,813 4,945,400 $48,090,823 3,745,599 $90,800,345 7,311,590
Shares issued in
connection with
merger -- -- -- -- 21,791,527 1,694,520 -- --
Dividends rein-
vested 669,011 64,340 369,553 36,030 286,557 22,351 632,571 50,986
Shares redeemed (2,521,000) (242,449) (2,057,468) (200,949) (22,721,523) (1,766,880) (87,732,156) (7,051,329)
- -------------------------------------------------------------------------------------------------------------------
Net increase $17,596,234 1,685,439 $48,523,898 4,780,481 $47,447,384 3,695,590 $ 3,700,760 311,247
- -------------------------------------------------------------------------------------------------------------------
Net increase in
fund $18,771,760 1,799,013 $49,170,612 4,843,816 $53,343,098 4,155,361 $ 8,414,864 684,205
- -------------------------------------------------------------------------------------------------------------------
FOR THE PERIOD ENDED
JUNE 30, 1998
(UNAUDITED)(1)
-------------------------------------------------------------------------------------------------------
AMOUNT SHARES
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CLASS A SHARES:
Shares issued $ 72,750 7,226
Dividends rein-
vested 188 19
Shares redeemed -- --
- -------------------------------------------------------------------------------------------------------------------
Net increase $ 72,938 7,245
- -------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Shares issued $ 101 10
Dividends rein-
vested 0 0
Shares redeemed -- --
- -------------------------------------------------------------------------------------------------------------------
Net increase $ 101 $ 10
- -------------------------------------------------------------------------------------------------------------------
CLASS I SHARES:
Shares issued $10,536,310 1,050,317
Shares issued in
connection with
merger -- --
Dividends rein-
vested $ 29,080 2,888
Shares redeemed -- --
- -------------------------------------------------------------------------------------------------------------------
Net increase $10,565,390 1,053,205
- -------------------------------------------------------------------------------------------------------------------
Net increase in
fund $10,638,429 1,060,460
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the period May 1, 1998 (commencement of operations) through June 30,
1998.
Pegasus Funds
145
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
(6) CAPITAL SHARE TRANSACTIONS -- (CONTINUED)
<TABLE>
<CAPTION>
INTERMEDIATE MUNICIPAL BOND FUND MICHIGAN MUNICIPAL BOND FUND
---------------------------------------------------------------------------------------
SIX MONTHS ENDED JUNE FOR THE YEAR ENDED SIX MONTHS ENDED JUNE FOR THE YEAR ENDED
30, 1998 (UNAUDITED) DECEMBER 31, 1997 30, 1998 (UNAUDITED) DECEMBER 31, 1997
---------------------------------------------------------------------------------------
AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A SHARES:
Shares issued $ 2,339,395 190,321 $ 4,330,436 356,402 $ 1,416,018 129,260 $ 1,862,834 175,504
Dividends reinvested 287,600 23,402 654,340 53,881 321,434 29,427 635,851 59,987
Shares redeemed (1,315,969) (106,913) (5,476,837) (450,630) (1,770,939) (161,778) (3,140,092) (297,510)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) $ 1,311,026 106,810 $ (492,061) (40,347) $ (33,487) (3,091) $ (641,407) (62,019)
- ---------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES:
Shares issued $ 201,345 16,414 $ 97,661 8,007 $ 722,091 68,048 $ 597,476 57,746
Dividends reinvested 9,315 758 19,911 1,640 8,245 779 4,727 457
Shares redeemed (117,442) (9,564) (31,769) (2,641) (2,500) (233) (22,479) (2,223)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase $ 93,218 7,608 $ 85,803 7,006 $ 727,836 68,594 $ 579,724 55,980
- ---------------------------------------------------------------------------------------------------------------------------
CLASS I SHARES:
Shares issued $42,869,723 3,514,247 $68,404,127 5,629,130 $21,295,667 1,946,719 $23,854,404 2,244,429
Shares issued in connec-
tion with merger 43,750,365 3,551,166 -- -- -- -- -- --
Dividends reinvested 257,519 20,948 1,762,447 143,942 243,068 22,233 347,003 32,675
Shares redeemed (29,947,548) (2,428,489) (73,664,655) (6,056,270) (3,524,085) (321,765) (6,574,233) (622,964)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) 56,930,059 4,657,872 $(3,498,081) (283,198) 18,014,650 1,647,187 17,627,174 1,654,140
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in fund $58,334,303 4,772,290 $(3,904,339) (316,539) $18,708,999 1,712,690 $17,565,491 1,648,101
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
146
<PAGE>
[INTENTIONALLY LEFT BLANK]
Pegasus Funds
147
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
The Financial Highlights present a per share analysis of how the Funds' net
assets values have changed during the periods presented. Additional
quantitative measures expressed in ratio form analyze important relationships
between certain items presented in the financial statements. These financial
highlights have been derived from the financial statements of the Funds and
other information for the periods presented.
- --------------------------------------------------------------------------------
See accompanying Notes to the Financial Statements.
<TABLE>
<CAPTION>
INVESTMENT OPERATIONS
----------------------------------------------
TOTAL
NET ASSET NET REALIZED INCOME
VALUE NET AND UNREALIZED FROM
BEGINNING INVESTMENT GAIN (LOSS) INVESTMENT
OF PERIOD INCOME ON INVESTMENTS OPERATIONS
--------- ---------- -------------- ----------
<S> <C> <C> <C> <C>
MANAGED ASSETS CONSERVATIVE
CLASS A SHARES
June 30, 1998 (unau-
dited) $14.95 0.28 0.49 $ 0.77
December 31, 1997 $15.34 0.58 1.35 $ 1.93
December 31, 1996 $14.54 0.56 0.89 $ 1.45
December 31, 1995 $12.13 0.64 2.48 $ 3.12
December 31, 1994 $13.11 0.73 (0.98) $(0.25)
December 31, 1993 $12.68 0.72 0.61 $ 1.33
CLASS B SHARES
June 30, 1998 (unau-
dited) $14.97 0.25 0.46 $ 0.71
December 31, 1997 $15.36 0.47 1.35 $ 1.82
December 31, 1996 $14.56 0.44 0.89 $ 1.33
For the period ended
12/31/1995(/2/) $12.42 0.45 2.17 $ 2.62
For the period ended
12/2/1994(/1/) $13.05 0.51 (0.91) $(0.40)
CLASS I SHARES
June 30, 1998 (unau-
dited) $15.00 0.29 0.51 $ 0.80
December 31, 1997 $15.38 0.59 1.37 $ 1.96
December 31, 1996 $14.57 0.60 0.89 $ 1.49
For the period ended
12/31/1995(/4/) $12.42 0.57 2.18 $ 2.75
- ---------------------------------------------------------------------------------------------
MANAGED ASSETS BALANCED
CLASS A SHARES
June 30, 1998 (unau-
dited) $11.92 0.17 0.57 $ 0.74
December 31, 1997 $11.63 0.32 1.43 $ 1.75
December 31, 1996 $11.24 0.35 1.06 $ 1.41
December 31, 1995 $ 9.53 0.35 1.83 $ 2.18
December 31, 1994 $10.00 0.28 (0.48) $(0.20)
CLASS B SHARES
June 30, 1998 (unau-
dited) $13.27 0.12 0.65 $ 0.77
December 31, 1997 $12.81 0.24 1.61 $ 1.85
For the period ended
12/31/1996(/5/) $12.16 0.08 0.81 $ 0.89
CLASS I SHARES
June 30, 1998 (unau-
dited) $11.91 0.18 0.56 $ 0.74
December 31, 1997 $11.59 0.34 1.47 $ 1.81
December 31, 1996 $11.24 0.39 1.02 $ 1.41
December 31, 1995 $ 9.53 0.35 1.83 $ 2.18
December 31, 1994 $10.00 0.28 (0.48) $(0.20)
- ---------------------------------------------------------------------------------------------
MANAGED ASSETS GROWTH
CLASS A SHARES
June 30, 1998 (unau-
dited) $11.51 0.10 0.71 $ 0.81
December 31, 1997 $10.08 0.17 1.60 $ 1.77
For the period ended
12/31/1996(/6/) $10.00 0.00 0.08 $ 0.08
CLASS B SHARES
June 30, 1998 (unau-
dited) $11.35 0.06 0.70 $ 0.76
December 31, 1997 $ 9.99 0.11 1.55 $ 1.66
For the period ended
12/31/1996(/6/) $10.00 0.00 (0.01) $(0.01)
CLASS I SHARES
June 30, 1998 (unau-
dited) $11.57 0.12 0.71 $ 0.83
December 31, 1997 $10.13 0.21 1.59 $ 1.80
For the period ended
12/31/1996(/6/) $10.00 0.00 0.13 $ 0.13
- ---------------------------------------------------------------------------------------------
<CAPTION>
LESS DISTRIBUTIONS
----------------------------------------------------------------------
IN EXCESS
OF NET
REALIZED
GAIN ON
IN EXCESS FROM NET INVESTMENTS
FROM NET OF NET REALIZED AND FOREIGN
INVESTMENT INVESTMENT GAIN ON CURRENCY RETURN OF TOTAL
INCOME INCOME INVESTMENTS TRANSACTIONS CAPITAL DISTRIBUTIONS
---------- ---------- ----------- ------------ --------- -------------
<S> <C> <C> <C> <C> <C> <C>
MANAGED ASSETS CONSERVATIVE
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.29) -- (0.68) -- -- $(0.97)
December 31, 1997 (0.58) -- (1.74) -- -- $(2.32)
December 31, 1996 (0.56) -- (0.09) -- -- $(0.65)
December 31, 1995 (0.68) -- (0.03) -- -- $(0.71)
December 31, 1994 (0.72) -- (0.01) -- -- $(0.73)
December 31, 1993 (0.72) -- (0.18) -- -- $(0.90)
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.24) -- (0.68) -- $(0.92)
December 31, 1997 (0.47) -- (1.74) -- -- $(2.21)
December 31, 1996 (0.44) -- (0.09) -- -- $(0.53)
For the period ended
12/31/1995(/2/) (0.45) -- (0.03) -- -- $(0.48)
For the period ended
12/2/1994(/1/) (0.54) -- (0.01) -- -- $(0.55)
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.31) -- (0.68) -- -- $(0.99)
December 31, 1997 (0.60) -- (1.74) -- -- $(2.34)
December 31, 1996 (0.59) -- (0.09) -- -- $(0.68)
For the period ended
12/31/1995(/4/) (0.57) -- (0.03) -- -- $(0.60)
- ---------------------------------------------------------------------------------------------
MANAGED ASSETS BALANCED
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.18) -- (0.66) -- -- $(0.84)
December 31, 1997 (0.31) -- (1.15) -- -- $(1.46)
December 31, 1996 (0.34) -- (0.68) -- -- $(1.02)
December 31, 1995 (0.35) -- (0.12) -- -- $(0.47)
December 31, 1994 (0.27) -- -- -- -- $(0.27)
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.13) -- (0.66) -- -- $(0.79)
December 31, 1997 (0.24) -- (1.15) -- -- $(1.39)
For the period ended
12/31/1996(/5/) (0.07) -- (0.17) -- -- $(0.24)
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.19) -- (0.66) -- -- $(0.85)
December 31, 1997 (0.34) -- (1.15) -- -- $(1.49)
December 31, 1996 (0.38) -- (0.68) -- -- $(1.06)
December 31, 1995 (0.35) -- (0.12) -- -- $(0.47)
December 31, 1994 (0.27) -- -- -- -- $(0.27)
- ---------------------------------------------------------------------------------------------
MANAGED ASSETS GROWTH
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.10) -- (0.28) -- -- $(0.38)
December 31, 1997 (0.16) -- (0.18) -- -- $(0.34)
For the period ended
12/31/1996(/6/) 0.00 -- -- -- -- $ 0.00
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.07) -- (0.28) -- -- $(0.35)
December 31, 1997 (0.12) -- (0.18) -- -- $(0.30)
For the period ended
12/31/1996(/6/) 0.00 -- -- -- -- $ 0.00
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.12) -- (0.28) -- -- $(0.40)
December 31, 1997 (0.18) -- (0.18) -- -- $(0.36)
For the period ended
12/31/1996(/6/) 0.00 -- -- -- -- $ 0.00
- ---------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
148
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
See accompanying Notes to the Financial Statements.
<TABLE>
<CAPTION>
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------
RATIO OF
EXPENSES TO
NET RATIO OF NET AVERAGE NET
CONVERSION ASSETS RATIO OF INVESTMENT ASSETS(%)
TO NET CHANGE NET ASSET END OF EXPENSES INCOME TO WITHOUT FEE
CLASS A IN NET VALUE, END TOTAL PERIOD TO AVERAGE AVERAGE NET WAIVERS/ PORTFOLIO
SHARES ASSET VALUE OF PERIOD RETURN(A) (000'S OMITTED) NET ASSETS(%) ASSETS(%) REIMBURSED EXP. TURNOVER(%)
- ---------- ----------- ---------- --------- --------------- ------------- ------------ --------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-- (0.20) $14.75 10.52%+ $100,508 1.25%+ 3.61%+ 1.31%+ 17.40%
-- (0.39) $14.95 13.10% $ 90,835 1.24% 3.74% 1.33% 102.37%
-- 0.80 $15.34 10.11% $ 69,301 1.18% 3.64% 1.33% 63.41%
-- 2.41 $14.54 26.40% $ 51,997 1.17% 4.88% 1.54% 8.23%
-- (0.98) $12.13 (1.92%) $ 44,367 0.63% 5.77% 1.67% 28.69%
-- 0.43 $13.11 10.70% $ 51,586 0.39% 5.54% 1.65% 16.40%
-- (0.21) $14.76 9.72%+ $ 22,223 2.00%+ 2.86%+ 2.06%+ 17.40%
-- (0.39) $14.97 12.29% $ 13,378 1.99% 2.99% 2.08% 102.37%
-- 0.80 $15.36 9.26% $ 5,736 1.93% 2.89% 2.07% 63.41%
-- 2.14 $14.56 21.42%++ $ 2,175 1.92%+ 3.89%+ 2.12%+ 8.23%++
(12.10) (0.95) -- (3.13%) -- 1.21%+ 4.10%+ 2.17%+ 28.69%++
-- (0.19) $14.81 10.78%+ $ 12,255 1.00%+ 3.86%+ 1.06%+ 17.40%
-- (0.38) $15.00 13.34% $ 10,309 0.99% 3.99% 1.08% 102.37%
-- 0.81 $15.38 10.43% $ 1,501 0.93% 3.89% 1.19% 63.41%
-- 2.15 $14.57 22.55%++ $ 1,294 0.77%+ 5.12%+ 1.22%+ 8.23%++
- ------------------------------------------------------------------------------------------------------------------------
-- (0.10) $11.82 12.56%+ $169,028 1.25%+ 2.69%+ 1.31%+ 19.75%
-- 0.29 $11.92 15.28% $141,804 1.24% 2.71% 1.32% 116.87%
-- 0.39 $11.63 12.99% $ 26,775 1.09% 3.13% 1.16% 50.50%
-- 1.71 $11.24 23.18% $ 9,986 0.91% 3.40% 1.09% 31.76%
-- (0.47) $ 9.53 (1.95%) $ 8,168 0.85% 3.41% 1.56% 37.49%
-- (0.02) $13.25 11.74%+ $ 15,875 2.00%+ 1.94%+ 2.06%+ 19.75%
-- 0.46 $13.27 14.59% $ 10,026 1.99% 1.96% 2.07% 116.87%
-- 0.65 $12.81 7.30%++ $ 1,890 1.96%+ 1.35%+ 2.03%+ 50.50%
-- (0.11) $11.80 12.70%+ $ 92,326 1.00%+ 2.94%+ 1.06%+ 19.75%
-- 0.32 $11.91 15.79% $102,042 0.99% 2.96% 1.07% 116.87%
-- 0.35 $11.59 13.04% $101,596 0.94% 3.28% 1.01% 50.50%
-- 1.71 $11.24 23.18% $ 83,638 0.91% 3.40% 1.09% 31.76%
-- (0.47) $ 9.53 (1.95%) $ 45,999 0.85% 3.41% 1.56% 37.49%
- ------------------------------------------------------------------------------------------------------------------------
-- 0.43 $11.94 14.18%+ $ 9,404 1.25%+ 1.85%+ 1.47%+ 9.25%
-- 1.43 $11.51 17.75% $ 5,725 1.24% 1.69% 2.29% 39.35%
-- 0.08 $10.08 0.80%++ $ 75 1.20%+ (0.45%)+ (3.50%)+ 0.00%
-- 0.41 $11.76 13.38%+ $ 10,913 2.00%+ 1.10%+ 2.22%+ 9.25%
-- 1.36 $11.35 16.69% $ 5,936 1.99% 0.94% 3.04% 39.35%
-- (0.01) $ 9.99 (0.10%)++ $ 17 1.95%+ (1.20%)+ (4.25%)+ 0.00%
-- 0.43 $12.00 14.44%+ $ 1,583 1.00%+ 2.10%+ 1.22%+ 9.25%
-- 1.44 $11.57 17.87% $ 1,430 0.99% 1.94% 2.04% 39.35%
-- 0.13 $10.13 1.30%++ $ 594 0.95%+ 0.20%+ (3.25%)+ 0.00%
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
149
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
See accompanying Notes to the Financial Highlights.
<TABLE>
<CAPTION>
INVESTMENT OPERATIONS
----------------------------------------------
NET REALIZED
AND UNREALIZED TOTAL
NET ASSET GAIN (LOSS) INCOME
VALUE NET ON INVESTMENTS FROM
BEGINNING INVESTMENT AND FINANCIAL INVESTMENT
OF PERIOD INCOME FUTURES OPERATIONS
--------- ---------- -------------- ----------
<S> <C> <C> <C> <C>
EQUITY INCOME
CLASS A SHARES
June 30, 1998 (unau-
dited) $13.06 0.21 0.24 $ 0.45
December 31, 1997 $13.29 0.41 2.37 $ 2.78
December 31, 1996 $12.22 0.39 1.90 $ 2.29
For the period ended
12/31/1995(/7/) $10.00 0.36 2.57 $ 2.93
CLASS B SHARES
June 30, 1998 (unau-
dited) $13.05 0.16 0.25 $ 0.41
December 31, 1997 $13.28 0.29 2.39 $ 2.68
December 31, 1996 $12.22 0.30 1.88 $ 2.18
For the period ended
12/31/1995(/7/) $10.00 0.29 2.56 $ 2.85
CLASS I SHARES
June 30, 1998 (unau-
dited) $13.02 0.22 0.24 $ 0.46
December 31, 1997 $13.25 0.44 2.38 $ 2.82
December 31, 1996 $12.21 0.45 1.87 $ 2.32
For the period ended
12/31/1995(/7/) $10.00 0.42 2.55 $ 2.97
- ----------------------------------------------------------------------------------------------
GROWTH
CLASS A SHARES
June 30, 1998 (unau-
dited) $15.07 (0.02) 3.01 $ 2.99
December 31, 1997 $12.64 (0.01) 3.40 $ 3.39
December 31, 1996 $11.97 0.05 1.04 $ 1.09
For the period ended
12/31/1995(/7/) $10.00 0.11 2.86 $ 2.97
CLASS B SHARES
June 30, 1998 (unau-
dited) $14.86 (0.03) 2.91 $ 2.88
December 31, 1997 $12.56 (0.06) 3.32 $ 3.26
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
CLASS I SHARES
June 30, 1998 (unau-
dited) $15.08 (0.01) 3.01 $ 3.00
December 31, 1997 $12.63 0.02 3.41 $ 3.43
December 31, 1996 $11.97 0.09 1.02 $ 1.11
For the period ended
12/31/1995(/7/) $10.00 0.15 2.86 $ 3.01
- ----------------------------------------------------------------------------------------------
MID-CAP OPPORTUNITY
CLASS A SHARES
June 30, 1998 (unau-
dited) $20.89 (0.04) 1.48 $ 1.44
December 31, 1997 $17.61 (0.03) 4.87 $ 4.84
December 31, 1996 $15.15 0.02 3.74 $ 3.76
December 31, 1995 $13.34 0.06 2.57 $ 2.63
December 31, 1994 $14.49 0.07 (0.54) $(0.47)
December 31, 1993 $12.37 0.10 2.87 $ 2.97
CLASS B SHARES
June 30, 1998 (unau-
dited) $10.58 (0.05) 0.73 $ 0.68
December 31, 1997 $ 9.57 (0.03) 2.60 $ 2.57
December 31, 1996(/8/) $10.00 0.00 0.79 $ 0.79
CLASS I SHARES
June 30, 1998 (unau-
dited) $20.93 (0.01) 1.49 $ 1.48
December 31, 1997 $17.61 0.01 4.88 $ 4.89
December 31, 1996 $15.15 0.04 3.74 $ 3.78
December 31, 1995 $13.34 0.06 2.57 $ 2.63
December 31, 1994 $14.49 0.07 (0.54) $(0.47)
December 31, 1993 $12.37 0.10 2.87 $ 2.97
<CAPTION>
LESS DISTRIBUTIONS
---------------------------------------------------------------------
FROM NET
REALIZED
GAIN ON IN EXCESS
IN EXCESS INVESTMENTS OF NET
FROM NET OF NET AND REALIZED
INVESTMENT INVESTMENT FINANCIAL GAIN ON RETURN OF TOTAL
INCOME INCOME FUTURES INVESTMENTS CAPITAL DISTRIBUTIONS
---------- ---------- ----------- ----------- --------- -------------
<S> <C> <C> <C> <C> <C> <C>
EQUITY INCOME
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.22) -- (0.82) -- -- $(1.04)
December 31, 1997 (0.41) -- (2.60) -- -- $(3.01)
December 31, 1996 (0.38) -- (0.84) -- -- $(1.22)
For the period ended
12/31/1995(/7/) (0.36) (0.01) (0.34) -- -- $(0.71)
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.17) -- (0.82) -- -- $(0.99)
December 31, 1997 (0.31) -- (2.60) -- -- $(2.91)
December 31, 1996 (0.28) -- (0.84) -- -- $(1.12)
For the period ended
12/31/1995(/7/) (0.29) -- (0.34) -- -- $(0.63)
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.23) -- (0.82) -- -- $(1.05)
December 31, 1997 (0.45) -- (2.60) -- -- $(3.05)
December 31, 1996 (0.44) -- (0.84) -- -- $(1.28)
For the period ended
12/31/1995(/7/) (0.42) -- (0.34) -- -- $(0.76)
- ----------------------------------------------------------------------------------------------
GROWTH
CLASS A SHARES
June 30, 1998 (unau-
dited) -- -- (1.10) -- -- $(1.10)
December 31, 1997 0.00 -- (0.96) -- -- $(0.96)
December 31, 1996 (0.06) -- (0.36) -- -- $(0.42)
For the period ended
12/31/1995(/7/) (0.11) -- (0.89) -- -- $(1.00)
CLASS B SHARES
June 30, 1998 (unau-
dited) -- -- (1.10) -- -- $(1.10)
December 31, 1997 0.00 -- (0.96) -- -- $(0.96)
December 31, 1996 0.00 -- (0.36) -- -- $(0.36)
For the period ended
12/31/1995(/7/) (0.06) -- (0.89) -- -- $(0.95)
CLASS I SHARES
June 30, 1998 (unau-
dited) -- -- (1.10) -- -- $(1.10)
December 31, 1997 (0.02) -- (0.96) -- -- $(0.98)
December 31, 1996 (0.09) -- (0.36) -- -- $(0.45)
For the period ended
12/31/1995(/7/) (0.15) -- (0.89) -- -- $(1.04)
- ----------------------------------------------------------------------------------------------
MID-CAP OPPORTUNITY
CLASS A SHARES
June 30, 1998 (unau-
dited) -- -- (1.24) -- -- $(1.24)
December 31, 1997 0.00 -- (1.56) -- -- $(1.56)
December 31, 1996 (0.02) -- (1.28) -- -- $(1.30)
December 31, 1995 (0.06) -- (0.76) -- -- $(0.82)
December 31, 1994 (0.07) -- (0.49) (0.02) (0.10) $(0.68)
December 31, 1993 (0.10) -- (0.75) -- -- $(0.85)
CLASS B SHARES
June 30, 1998 (unau-
dited) -- -- (1.24) -- -- $(1.24)
December 31, 1997 0.00 -- (1.56) -- -- $(1.56)
December 31, 1996(/8/) (0.01) -- (1.21) -- -- $(1.22)
CLASS I SHARES
June 30, 1998 (unau-
dited) -- -- (1.24) -- -- $(1.24)
December 31, 1997 (0.01) -- (1.56) -- -- $(1.57)
December 31, 1996 (0.04) -- (1.28) -- -- $(1.32)
December 31, 1995 (0.06) -- (0.76) -- -- $(0.82)
December 31, 1994 (0.07) -- (0.49) (0.02) (0.10) $(0.68)
December 31, 1993 (0.10) -- (0.75) -- -- $(0.85)
</TABLE>
Pegasus Funds
150
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
See accompanying Notes to the Financial Statements.
<TABLE>
<CAPTION>
RATIOS/SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------------
RATIO OF
EXPENSES TO
NET RATIO OF NET AVERAGE NET
CONVERSION ASSETS RATIO OF INVESTMENT ASSETS(%)
TO NET CHANGE NET ASSET END OF EXPENSES INCOME TO WITHOUT FEE
CLASS A IN NET VALUE, END TOTAL PERIOD TO AVERAGE AVERAGE NET WAIVERS/ PORTFOLIO
SHARES ASSET VALUE OF PERIOD RETURN(A) (000'S OMITTED) NET ASSETS(%) ASSETS(%) REIMBURSED EXP. TURNOVER(%)
- ---------- ----------- ---------- --------- --------------- ------------- ------------ --------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-- (0.59) $12.47 6.98%+ $ 13,397 0.95%+ 3.15%+ -- 15.06%
-- (0.23) $13.06 21.57% $ 12,583 0.95% 2.90% -- 41.31%
-- 1.07 $13.29 19.29% $ 12,956 0.91% 3.29% 0.95% 61.41%
-- 2.22 $12.22 29.78%++ $ 2,873 1.11%+ 3.33%+ 1.44%+ 44.07%++
-- (0.58) $12.47 6.42%+ $ 3,638 1.70%+ 2.40%+ -- 15.06%
-- (0.23) $13.05 20.73% $ 3,157 1.70% 2.15% -- 41.31%
-- 1.06 $13.28 18.28% $ 1,885 1.66% 2.54% 1.81% 61.41%
-- 2.22 $12.22 28.97%++ $ 593 1.90%+ 2.65%+ 2.65%+ 44.07%++
-- (0.59) $12.43 7.34%+ $311,286 0.70%+ 3.40%+ -- 15.06%
-- (0.23) $13.02 21.95% $304,260 0.70% 3.15% -- 41.31%
-- 1.04 $13.25 19.58% $314,649 0.66% 3.54% 0.74% 61.41%
-- 2.21 $12.21 30.27%++ $283,927 0.65%+ 4.08%+ 0.77%+ 44.07%++
- ----------------------------------------------------------------------------------------------------------------------------
-- 1.89 $16.96 40.80%+ $109,752 1.06%+ (0.40%)+ -- 18.55%
-- 2.43 $15.07 26.76% $ 62,562 1.04% (0.08%) -- 22.89%
-- 0.67 $12.64 20.10% $ 23,273 1.04% 0.43% 1.07% 61.95%
-- 1.97 $11.97 29.98%++ $ 4,329 1.21%+ 0.86%+ 1.39%+ 106.02%++
-- 1.78 $16.64 39.84%+ $ 4,353 1.81%+ (1.15%)+ -- 18.55%
-- 2.30 $14.86 25.90% $ 2,161 1.79% (0.83%) -- 22.89%
-- 0.61 $12.56 19.04% $ 1,094 1.79% (0.32%) 1.89% 61.95%
-- 1.95 $11.95 29.15%++ $ 268 2.04%+ 0.02%+ 2.60%+ 106.02%++
-- 1.90 $16.98 40.94%+ $733,610 0.81%+ (0.15%)+ -- 18.55%
-- 2.45 $15.08 27.10% $578,490 0.79% 0.17% -- 22.89%
-- 0.66 $12.63 20.36% $533,406 0.79% 0.68% 0.85% 61.95%
-- 1.97 $11.97 30.38%++ $293,944 0.80%+ 1.46%+ 0.92%+ 106.02%++
- ----------------------------------------------------------------------------------------------------------------------------
-- 0.20 $21.09 14.54%+ $296,264 1.14%+ (0.38%)+ -- 15.52%
-- 3.28 $20.89 27.56% $234,020 1.09% (0.20%) -- 37.54%(23)
-- 2.46 $17.61 24.91% $ 91,516 0.93% 0.12% -- 34.87%
-- 1.81 $15.15 19.88% $ 71,858 0.89% 0.37% -- 53.55%
-- (1.15) $13.34 (3.27%) $ 64,326 0.90% 0.53% -- 37.51%
-- 2.12 $14.49 24.01% $ 53,977 0.86% 0.71% -- 33.99%
-- (0.56) $10.02 14.18%+ $ 6,632 1.89%+ (1.13%)+ -- 15.52%
-- 1.01 $10.58 27.10% $ 3,965 1.84% (0.95%) -- 37.54%(23)
-- (0.43) $ 9.57 7.94%++ $ 154 1.81%+ (0.59%)+ -- 34.87%
-- 0.24 $21.17 14.82%+ $843,060 0.89%+ (0.13%)+ -- 15.52%
-- 3.32 $20.93 27.91% $803,670 0.84% 0.05% -- 37.54%(23)
-- 2.46 $17.61 25.03% $677,608 0.81% 0.24% -- 34.87%
-- 1.81 $15.15 19.88% $579,094 0.89% 0.37% -- 53.55%
-- (1.15) $13.34 (3.27%) $460,673 0.90% 0.53% -- 37.51%
-- 2.12 $14.49 24.01% $311,688 0.86% 0.71% -- 33.99%
</TABLE>
Pegasus Funds
151
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
See accompanying Notes to the Financial Highlights.
<TABLE>
<CAPTION>
INVESTMENT OPERATIONS
--------------------------------------
--------------------------------------------------
NET REALIZED
AND UNREALIZED TOTAL
NET ASSET GAIN (LOSS) INCOME
VALUE NET ON INVESTMENTS FROM
BEGINNING INVESTMENT AND FINANCIAL INVESTMENT
OF PERIOD INCOME FUTURES OPERATIONS
--------- ---------- -------------- ----------
<S> <C> <C> <C> <C>
SMALL-CAP OPPORTUNITY
CLASS A SHARES
June 30, 1998 (unau-
dited) $16.03 (0.05) 0.92 $ 0.87
December 31, 1997 $13.70 (0.06) 4.16 $ 4.10
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
CLASS B SHARES
June 30, 1998 (unau-
dited) $15.74 (0.09) 0.88 $ 0.79
December 31, 1997 $13.58 (0.07) 4.00 $ 3.93
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
June 30, 1998 (unau-
dited) $16.22 (0.03) 0.93 $ 0.90
December 31, 1997 $13.80 (0.05) 4.24 $ 4.19
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
- ----------------------------------------------------------------------------------------------
INTRINSIC VALUE
CLASS A SHARES
June 30, 1998 (unau-
dited) $15.66 0.15 0.56 $ 0.71
December 31, 1997 $13.70 0.23 3.17 $ 3.40
December 31, 1996 $11.89 0.28 2.50 $ 2.78
December 31, 1995 $10.48 0.29 2.24 $ 2.53
December 31, 1994 $11.05 0.31 (0.38) $(0.07)
December 31, 1993 $10.40 0.29 1.23 $ 1.52
CLASS B SHARES
June 30, 1998 (unau-
dited) $11.23 0.13 0.33 $ 0.46
December 31, 1997 $10.18 0.25 2.19 $ 2.44
December 31, 1996(/8/) $10.00 0.04 0.79 $ 0.83
CLASS I SHARES
June 30, 1998 (unau-
dited) $15.67 0.19 0.54 $ 0.73
December 31, 1997 $13.71 0.28 3.15 $ 3.43
December 31, 1996 $11.89 0.29 2.51 $ 2.80
December 31, 1995 $10.48 0.29 2.24 $ 2.53
December 31, 1994 $11.05 0.31 (0.38) $(0.07)
December 31, 1993 $10.40 0.29 1.23 $ 1.52
- ----------------------------------------------------------------------------------------------
GROWTH AND VALUE
CLASS A SHARES
June 30, 1998 (unau-
dited) $16.38 0.04 1.28 $ 1.32
December 31, 1997 $14.12 0.10 3.78 $ 3.88
December 31, 1996 $13.16 0.16 2.37 $ 2.53
December 31, 1995 $10.67 0.21 2.76 $ 2.97
December 31, 1994 $11.16 0.23 (0.17) $ 0.06
December 31, 1993 $10.51 0.20 1.24 $ 1.44
CLASS B SHARES
June 30, 1998 (unau-
dited) $10.19 0.01 0.77 $ 0.78
December 31, 1997 $ 9.32 0.07 2.38 $ 2.45
December 31, 1996(/8/) $10.00 0.01 0.62 $ 0.63
CLASS I SHARES
June 30, 1998 (unau-
dited) $16.39 0.06 1.28 $ 1.34
December 31, 1997 $14.12 0.14 3.79 $ 3.93
December 31, 1996 $13.16 0.18 2.36 $ 2.54
December 31, 1995 $10.67 0.21 2.76 $ 2.97
December 31, 1994 $11.16 0.23 (0.17) $ 0.06
December 31, 1993 $10.51 0.20 1.24 $ 1.44
December 31, 1992 $ 9.86 0.22 0.75 $ 0.97
<CAPTION>
LESS DISTRIBUTIONS
--------------------------------------
--------------------------------------------------
FROM NET
REALIZED
GAIN ON IN EXCESS
IN EXCESS INVESTMENTS OF NET
FROM NET OF NET AND REALIZED
INVESTMENT INVESTMENT FINANCIAL GAIN ON RETURN OF TOTAL
INCOME INCOME FUTURES INVESTMENTS CAPITAL DISTRIBUTIONS
---------- ---------- ----------- ----------- --------- -------------
<S> <C> <C> <C> <C> <C> <C>
SMALL-CAP OPPORTUNITY
CLASS A SHARES
June 30, 1998 (unau-
dited) -- -- (0.21) -- -- $(0.21)
December 31, 1997 -- -- (1.77) -- -- $(1.77)
December 31, 1996 -- -- (1.50) -- -- $(1.50)
For the period ended
12/31/1995(/7/) (0.02) -- (0.25) -- -- $(0.27)
CLASS B SHARES
June 30, 1998 (unau-
dited) -- -- (0.21) -- -- $(0.21)
December 31, 1997 -- -- (1.77) -- -- $(1.77)
December 31, 1996 -- -- (1.50) -- -- $(1.50)
For the period ended
12/31/1995(/7/) -- -- (0.25) -- -- $(0.25)
CLASS I SHARES
June 30, 1998 (unau-
dited) -- -- (0.21) -- -- $(0.21)
December 31, 1997 -- -- (1.77) -- -- $(1.77)
December 31, 1996 -- (0.01) (1.50) -- -- $(1.51)
For the period ended
12/31/1995(/7/) (0.06) -- (0.25) -- -- $(0.31)
- ----------------------------------------------------------------------------------------------
INTRINSIC VALUE
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.17) -- (0.18) -- -- $(0.35)
December 31, 1997 (0.24) -- (1.20) -- -- $(1.44)
December 31, 1996 (0.28) -- (0.69) -- -- $(0.97)
December 31, 1995 (0.30) -- (0.82) -- -- $(1.12)
December 31, 1994 (0.30) -- (0.20) -- -- $(0.50)
December 31, 1993 (0.28) -- (0.59) -- -- $(0.87)
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.14) -- (0.18) -- -- $(0.32)
December 31, 1997 (0.19) -- (1.20) -- -- $(1.39)
December 31, 1996(/8/) (0.06) -- (0.59) -- -- $(0.65)
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.19) -- (0.18) -- -- $(0.37)
December 31, 1997 (0.27) -- (1.20) -- -- $(1.47)
December 31, 1996 (0.29) -- (0.69) -- -- $(0.98)
December 31, 1995 (0.30) -- (0.82) -- -- $(1.12)
December 31, 1994 (0.30) -- (0.20) -- -- $(0.50)
December 31, 1993 (0.28) -- (0.59) -- -- $(0.87)
- ----------------------------------------------------------------------------------------------
GROWTH AND VALUE
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.04) -- (0.71) -- -- $(0.75)
December 31, 1997 (0.11) -- (1.51) -- -- $(1.62)
December 31, 1996 (0.16) -- (1.41) -- -- $(1.57)
December 31, 1995 (0.22) -- (0.26) -- -- $(0.48)
December 31, 1994 (0.21) -- (0.30) (0.01) (0.03) $(0.55)
December 31, 1993 (0.20) -- (0.59) -- -- $(0.79)
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.02) -- (0.71) -- -- $(0.73)
December 31, 1997 (0.07) -- (1.51) -- -- $(1.58)
December 31, 1996(/8/) (0.03) -- (1.28) -- -- $(1.31)
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.06) -- (0.71) -- -- $(0.77)
December 31, 1997 (0.15) -- (1.51) -- -- $(1.66)
December 31, 1996 (0.17) -- (1.41) -- -- $(1.58)
December 31, 1995 (0.22) -- (0.26) -- -- $(0.48)
December 31, 1994 (0.21) -- (0.30) (0.01) (0.03) $(0.55)
December 31, 1993 (0.20) -- (0.59) -- -- $(0.79)
December 31, 1992 (0.22) -- (0.10) -- -- $(0.32)
</TABLE>
Pegasus Funds
152
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
See accompanying Notes to the Financial Statements.
<TABLE>
<CAPTION>
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------
RATIO OF
EXPENSES TO
NET RATIO OF NET AVERAGE NET
CONVERSION ASSETS RATIO OF INVESTMENT ASSETS(%)
TO NET CHANGE NET ASSET END OF EXPENSES INCOME TO WITHOUT FEE
CLASS A IN NET VALUE, END TOTAL PERIOD TO AVERAGE AVERAGE NET WAIVERS/ PORTFOLIO
SHARES ASSET VALUE OF PERIOD RETURN(A) (000'S OMITTED) NET ASSETS(%) ASSETS(%) REIMBURSED EXP. TURNOVER(%)
- ---------- ----------- ---------- --------- --------------- ------------- ------------ --------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-- 0.66 $16.69 10.90%+ $ 33,523 1.18%+ (0.70%)+ -- 23.16%
-- 2.33 $16.03 30.16% $ 21,836 1.18% (0.68%) -- 58.29%
-- 1.50 $13.70 24.59% $ 6,697 1.13% (0.29%) 1.24% 93.82%
-- 2.20 $12.20 24.80%++ $ 672 1.25%+ 0.19%+ 2.56%+ 38.89%++
-- 0.58 $16.32 10.14%+ $ 3,843 1.93%+ (1.45%)+ -- 23.16%
-- 2.16 $15.74 29.17% $ 1,799 1.93% (1.43%) -- 58.29%
-- 1.46 $13.58 24.42% $ 110 1.88% (1.04%) 3.04% 93.82%
-- 2.12 $12.12 23.76%++ $ 15 2.00%+ (0.51%)+ 9.52%+ 38.89%++
-- 0.69 $16.91 11.16%+ $290,248 0.93%+ (0.45%)+ -- 23.16%
-- 2.42 $16.22 30.60% $217,908 0.93% (0.43%) -- 58.29%
-- 1.61 $13.80 25.63% $125,840 0.88% (0.04%) 1.02% 93.82%
-- 2.19 $12.19 25.08%++ $ 92,926 0.85%+ 0.59%+ 1.09%+ 38.89%++
- ------------------------------------------------------------------------------------------------------------------------------
-- 0.36 $16.02 9.12%+ $132,278 1.09%+ 1.99%+ -- 5.72%
-- 1.96 $15.66 25.03% $ 82,791 1.06% 1.64% -- 35.93%(23)
-- 1.81 $13.70 23.79% $ 22,370 0.94% 2.16% -- 34.24%
-- 1.41 $11.89 24.38% $ 17,858 0.91% 2.49% -- 45.55%
-- (0.57) $10.48 (0.60%) $ 15,730 0.91% 2.92% -- 58.62%
-- 0.65 $11.05 14.71% $ 14,098 0.86% 2.67% -- 63.90%
-- 0.14 $11.37 8.34%+ $ 5,342 1.84%+ 1.24%+ -- 5.72%
-- 1.05 $11.23 24.24% $ 3,302 1.81% 0.89% -- 35.93%(23)
-- 0.18 $10.18 8.31%++ $ 182 1.81%+ 0.25%+ -- 34.24%+
-- 0.36 $16.03 9.36%+ $545,391 0.84%+ 2.24%+ -- 5.72%
-- 1.96 $15.67 25.25% $539,948 0.81% 1.89% -- 35.93%(23)
-- 1.82 $13.71 23.99% $357,360 0.83% 2.27% -- 34.24%
-- 1.41 $11.89 24.38% $238,027 0.91% 2.49% -- 45.55%
-- (0.57) $10.48 (0.60%) $204,298 0.91% 2.92% -- 58.62%
-- 0.65 $11.05 14.71% $178,457 0.86% 2.67% -- 63.90%
- ------------------------------------------------------------------------------------------------------------------------------
-- 0.57 $16.95 16.44%+ $264,450 1.10%+ 0.46%+ 1.10%+ 20.03%
-- 2.26 $16.38 27.80% $162,393 1.09% 0.67% 1.10% 30.98%
-- 0.96 $14.12 19.24% $ 59,027 0.91% 1.17% -- 43.21%
-- 2.49 $13.16 28.04% $ 49,872 0.84% 1.73% -- 26.80%
-- (0.49) $10.67 0.55% $ 42,274 0.84% 2.07% -- 28.04%
-- 0.65 $11.16 13.79% $ 29,467 0.83% 1.84% -- 42.31%
-- 0.05 $10.24 15.82%+ $ 9,613 1.85%+ (0.29%)+ 1.85%+ 20.03%
-- 0.87 $10.19 26.90% $ 5,107 1.84% (0.08%) 1.85% 30.98%
-- (0.68) $ 9.32 6.10%++ $ 183 1.80%+ 0.25%+ -- 43.21%+
-- 0.57 $16.96 16.66%+ $953,308 0.85%+ 0.71%+ 0.85%+ 20.03%
-- 2.27 $16.39 28.15% $895,567 0.84% 0.92% 0.85% 30.98%
-- 0.96 $14.12 19.35% $733,632 0.80% 1.28% -- 43.21%
-- 2.49 $13.16 28.04% $687,295 0.84% 1.73% -- 26.80%
-- (0.49) $10.67 0.55% $529,097 0.84% 2.07% -- 28.04%
-- 0.65 $11.16 13.79% $400,168 0.83% 1.84% -- 42.31%
-- 0.65 $10.51 9.87% $283,007 0.83% 2.20% -- 16.28%
</TABLE>
Pegasus Funds
153
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
See accompanying Notes to the Financial Highlights.
<TABLE>
<CAPTION>
INVESTMENT OPERATIONS
----------------------------------------
----------------------------------------------------------
NET REALIZED
AND UNREALIZED TOTAL
NET ASSET GAIN (LOSS) INCOME
VALUE, NET ON INVESTMENTS FROM
BEGINNING INVESTMENT AND FINANCIAL INVESTMENT
OF PERIOD INCOME FUTURES OPERATIONS
--------- ---------- -------------- ----------
<S> <C> <C> <C> <C>
EQUITY INDEX
CLASS A SHARES
June 30, 1998 (unau-
dited) $21.36 0.10 3.59 $3.69
December 31, 1997 $16.75 0.26 5.19 $5.45
December 31, 1996 $14.15 0.30 2.85 $3.15
December 31, 1995 $10.65 0.30 3.65 $3.95
December 31, 1994 $11.15 0.31 (0.20) $0.11
December 31, 1993 $10.52 0.28 0.75 $1.03
December 31,
1992(/2//3/) $10.00 0.12 0.52 $0.64
CLASS B SHARES
June 30, 1998 (unau-
dited) $13.01 0.05 2.15 $2.20
December 31, 1997 $10.50 0.15 3.15 $3.30
December 31, 1996(/8/) $10.00 0.05 0.76 $0.81
CLASS I SHARES
June 30, 1998 (unau-
dited) $21.37 0.13 3.59 $3.72
December 31, 1997 $16.75 0.30 5.20 $5.50
December 31, 1996 $14.15 0.31 2.85 $3.16
December 31, 1995 $10.65 0.30 3.65 $3.95
December 31, 1994 $11.15 0.31 (0.20) $0.11
December 31, 1993 $10.52 0.28 0.75 $1.03
December 31,
1992(/2//3/) $10.00 0.12 0.52 $0.64
- ---------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY
CLASS A SHARES
June 30, 1998 (unau-
dited) $12.11 0.13 1.51 $1.64
December 31, 1997 $11.77 0.07 0.36 $0.43
December 31, 1996 $11.05 0.10 0.72 $0.82
December 31, 1995 $10.01 0.10 1.05 $1.15
CLASS B SHARES
June 30, 1998 (unau-
dited) $11.37 0.08 1.42 $1.50
December 31, 1997 $11.08 0.01 0.34 $0.35
December 31, 1996(/5/) $10.84 0.04 0.24 $0.28
CLASS I SHARES
June 30, 1998 (unau-
dited) $12.14 0.14 1.51 $1.65
December 31, 1997 $11.79 0.10 0.37 $0.47
December 31, 1996 $11.05 0.11 0.74 $0.85
December 31, 1995 $10.01 0.10 1.05 $1.15
December 31, 1994(/9/) $10.00 0.01 -- $0.01
<CAPTION>
LESS DISTRIBUTIONS
----------------------------------------
----------------------------------------------------------
FROM NET
REALIZED
GAIN ON
INVESTMENTS & IN EXCESS
IN EXCESS FOREIGN CURRENCY OF NET
FROM NET OF NET TRANSACTIONS AND REALIZED
INVESTMENT INVESTMENT FINANCIAL GAIN ON RETURN OF TOTAL
INCOME INCOME FUTURES INVESTMENTS CAPITAL DISTRIBUTIONS
---------- ---------- ---------------- ----------- --------- -------------
<S> <C> <C> <C> <C> <C> <C>
EQUITY INDEX
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.10) -- (0.15) -- -- $(0.25)
December 31, 1997 (0.26) -- (0.58) -- -- $(0.84)
December 31, 1996 (0.29) -- (0.26) -- -- $(0.55)
December 31, 1995 (0.31) -- (0.14) -- -- $(0.45)
December 31, 1994 (0.30) -- (0.23) (0.08) -- $(0.61)
December 31, 1993 (0.27) -- (0.13) -- -- $(0.40)
December 31,
1992(/2//3/) (0.12) -- -- -- -- $(0.12)
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.07) -- (0.15) -- -- $(0.22)
December 31, 1997 (0.21) -- (0.58) -- -- $(0.79)
December 31, 1996(/8/) (0.06) -- (0.25) -- -- $(0.31)
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.13) -- (0.15) -- -- $(0.28)
December 31, 1997 (0.30) -- (0.58) -- -- $(0.88)
December 31, 1996 (0.30) -- (0.26) -- -- $(0.56)
December 31, 1995 (0.31) -- (0.14) -- -- $(0.45)
December 31, 1994 (0.30) -- (0.23) (0.08) -- $(0.61)
December 31, 1993 (0.27) -- (0.13) -- -- $(0.40)
December 31,
1992(/2//3/) (0.12) -- -- -- -- $(0.12)
- ---------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.11) -- -- -- -- $(0.11)
December 31, 1997 (0.09) -- 0.00 -- -- $(0.09)
December 31, 1996 (0.10) -- (0.00) -- -- $(0.10)
December 31, 1995 (0.11) -- (0.00) -- -- $(0.11)
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.08) -- -- -- -- $(0.08)
December 31, 1997 (0.06) -- -- -- -- $(0.06)
December 31, 1996(/5/) (0.04) -- -- -- -- $(0.04)
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.12) -- -- -- -- $(0.12)
December 31, 1997 (0.12) -- -- -- -- $(0.12)
December 31, 1996 (0.11) -- -- -- -- $(0.11)
December 31, 1995 (0.11) -- -- -- -- $(0.11)
December 31, 1994(/9/) -- -- -- -- -- $(0.00)
- ---------------------------------------------------------------------------------------------------
INTERMEDIATE BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) $10.47 0.31 0.03 $0.34
December 31, 1997 $10.29 0.62 0.18 $0.80
December 31, 1996 $10.37 0.64 (0.07) $0.57
December 31, 1995 $ 9.21 0.59 1.16 $1.75
December 31, 1994 $10.41 0.56 (1.20) ($0.64)
December 31, 1993 $10.28 0.59 0.26 $0.85
December 31,
1992(/2//2/) $10.32 0.49 0.13 $0.62
CLASS B SHARES
June 30, 1998 (unau-
dited) $10.38 0.27 0.03 $0.30
December 31, 1997 $10.20 0.55 0.17 $0.72
December 31, 1996(/8/) $10.00 0.15 0.20 $0.35
CLASS I SHARES
June 30, 1998 (unau-
dited) $10.48 0.32 0.03 $0.35
December 31, 1997 $10.29 0.65 0.18 $0.83
December 31, 1996 $10.37 0.64 (0.07) $0.57
December 31, 1995 $ 9.21 0.59 1.16 $1.75
December 31, 1994 $10.41 0.56 (1.20) ($0.64)
December 31, 1993 $10.28 0.59 0.26 $0.85
December 31, 1992 $10.55 0.71 (0.10) $0.61
- ---------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------
INTERMEDIATE BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.31) -- -- -- -- $(0.31)
December 31, 1997 (0.62) -- -- -- -- $(0.62)
December 31, 1996 (0.65) -- -- -- -- $(0.65)
December 31, 1995 (0.59) -- -- -- -- $(0.59)
December 31, 1994 (0.55) -- (0.01) -- -- $(0.56)
December 31, 1993 (0.59) -- (0.13) -- -- $(0.72)
December 31,
1992(/2//2/) (0.49) -- (0.17) -- -- $(0.66)
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.27) -- -- -- -- $(0.27)
December 31, 1997 (0.54) -- -- -- -- $(0.54)
December 31, 1996(/8/) (0.15) -- -- -- -- $(0.15)
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.32) -- -- -- -- $(0.32)
December 31, 1997 (0.64) -- -- -- -- $(0.64)
December 31, 1996 (0.65) -- -- -- -- $(0.65)
December 31, 1995 (0.59) -- -- -- -- $(0.59)
December 31, 1994 (0.55) -- (0.01) -- -- $(0.56)
December 31, 1993 (0.59) -- (0.13) -- -- $(0.72)
December 31, 1992 (0.71) -- (0.17) -- -- $(0.88)
- ---------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
154
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
See accompanying Notes to the Financial Statements.
<TABLE>
<CAPTION>
RATIOS/SUPPLEMENTAL DATA
- -------------------------------------------------------------------------------------------------------------------------
RATIO OF
EXPENSES TO
NET RATIO OF NET AVERAGE NET
CONVERSION ASSETS RATIO OF INVESTMENT ASSETS(%)
TO NET CHANGE NET ASSET END OF EXPENSES INCOME TO WITHOUT FEE
CLASS A IN NET VALUE, END TOTAL PERIOD TO AVERAGE AVERAGE NET WAIVERS/ PORTFOLIO
SHARES ASSET VALUE OF PERIOD RETURN(A) (000'S OMITTED) NET ASSETS(%) ASSETS(%) REIMBURSED EXP. TURNOVER(%)
- ---------- ----------- ---------- --------- --------------- ------------- ------------ --------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-- 3.44 $24.80 34.60%+ $281,047 0.63%+ 0.87%+ 0.63%+ 6.95%
-- 4.61 $21.36 32.69% $193,663 0.57% 1.20% -- 12.80%(23)
-- 2.60 $16.75 22.49% $ 35,336 0.37% 1.89% -- 12.25%
-- 3.50 $14.15 37.35% $ 4,007 0.15% 2.39% -- 10.66%
-- (0.50) $10.65 1.02% $ 1,197 0.17% 2.71% -- 24.15%
-- 0.63 $11.15 9.77% $ 960 0.20% 2.59% -- 16.01%
-- 0.52 $10.52 13.61%+ $ 151 0.22%+ 2.71%+ -- 0.50%++
-- 1.98 $14.99 33.78%+ $ 2,822 1.38%+ 0.12%+ 1.38%+ 6.95%
-- 2.51 $13.01 31.71% $ 1,515 1.32% 0.45% -- 12.80%(23)
-- 0.50 $10.50 8.09%+ $ 113 1.29%+ 0.57%+ -- 12.25%+
-- 3.44 $24.81 34.92%+ $697,422 0.38%+ 1.12%+ 0.38%+ 6.95%
-- 4.62 $21.37 32.97% $639,868 0.32% 1.45% -- 12.80%(23)
-- 2.60 $16.75 22.58% $834,368 0.21% 2.05% -- 12.25%
-- 3.50 $14.15 37.35% $524,195 0.15% 2.39% -- 10.66%
-- (0.50) $10.65 1.02% $339,611 0.17% 2.71% -- 24.15%
-- 0.63 $11.15 9.77% $324,369 0.20% 2.59% -- 16.01%
-- 0.52 $10.52 13.61%+ $241,907 0.22%+ 2.71%+ -- 0.50%++
- -------------------------------------------------------------------------------------------------------------------------
-- 1.53 $13.64 27.00%+ $ 43,280 1.32%+ 1.56%+ 1.32%+ 2.51%
-- 0.34 $12.11 3.69% $ 26,703 1.35% 0.80% -- 3.56%(24)
-- 0.72 $11.77 7.50% $ 10,836 1.23% 0.88% -- 6.37%
-- 1.04 $11.05 11.47% $ 988 1.16% 1.43% 1.24% 2.09%
-- 1.42 $12.79 25.04%+ $ 2,456 2.07%+ 0.81%+ 2.07%+ 2.51%
-- 0.29 $11.37 2.90% $ 1,763 2.10% 0.05% -- 3.56%(24)
-- 0.24 $11.08 2.62%++ $ 1,131 2.05%+ 0.75%+ -- 6.37%+
-- 1.53 $13.67 27.20%+ $553,870 1.07%+ 1.81%+ 1.07%+ 2.51%
-- 0.35 $12.14 3.98% $487,986 1.10% 1.05% -- 3.56%(24)
-- 0.74 $11.79 7.79% $389,997 1.10% 1.01% -- 6.37%
-- 1.04 $11.05 11.47% $106,300 1.16% 1.43% 1.24% 2.09%
-- 0.01 $10.01 1.26%+ $ 36,545 1.15%+ 1.18%+ 1.92%+ 0.30%++
- -------------------------------------------------------------------------------------------------------------------------
-- 0.03 $10.50 6.48%+ $ 86,341 0.90%+ 5.70%+ 0.90%+ 12.66%
-- 0.18 $10.47 8.04% $ 42,343 0.86% 6.01% -- 31.66%
-- (0.08) $10.29 5.65% $ 18,324 0.79% 6.17% -- 31.62%
-- 1.16 $10.37 19.48% $ 11,654 0.73% 5.98% -- 36.47%
-- (1.20) $ 9.21 (6.31%) $ 11,983 0.74% 5.73% -- 54.60%
-- 0.13 $10.41 8.41% $ 16,491 0.74% 5.44% -- 92.80%
-- (0.04) $10.28 11.17%+ $ 4,509 0.75%+ 7.04%+ -- 56.30%+
-- 0.03 $10.41 5.80%+ $ 728 1.65%+ 4.95%+ 1.65%+ 12.66%
-- 0.18 $10.38 7.32% $ 385 1.61% 5.26% -- 31.66%
-- 0.20 $10.20 3.50%++ $ 122 1.60%+ 1.52%+ -- 31.62%+
-- 0.03 $10.51 6.74%+ $506,610 0.65%+ 5.95%+ 0.65%+ 12.66%
-- 0.19 $10.48 8.37% $482,679 0.61% 6.26% -- 31.66%
-- (0.08) $10.29 5.78% $395,105 0.67% 6.29% -- 31.62%
-- 1.16 $10.37 19.48% $393,656 0.73% 5.98% -- 36.47%
-- (1.20) $ 9.21 (6.31%) $381,036 0.74% 5.73% -- 54.60%
-- 0.13 $10.41 8.41% $413,299 0.74% 5.44% -- 92.80%
-- (0.27) $10.28 6.00% $215,923 0.74% 6.91% -- 56.30%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
155
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
See accompanying Notes to the Financial Highlights.
<TABLE>
<CAPTION>
INVESTMENT OPERATIONS
---------------------------------------
--------------------------------------------------
TOTAL
NET ASSET NET REALIZED INCOME
VALUE NET AND UNREALIZED FROM
BEGINNING INVESTMENT GAIN (LOSS) INVESTMENT
OF PERIOD INCOME ON INVESTMENTS OPERATIONS
--------- ---------- -------------- ----------
<S> <C> <C> <C> <C>
BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) $10.59 0.31 0.08 $ 0.39
December 31, 1997 $10.27 0.63 0.32 $ 0.95
December 31, 1996 $10.45 0.67 (0.18) $ 0.49
December 31, 1995 $ 9.01 0.63 1.45 $ 2.08
December 31, 1994 $10.32 0.61 (1.31) ($0.70)
December 31, 1993 $10.25 0.76 0.38 $ 1.14
CLASS B SHARES
June 30, 1998 (unau-
dited) $10.59 0.27 0.08 $ 0.35
December 31, 1997 $10.27 0.56 0.32 $ 0.88
December 31, 1996(/5/) $10.00 0.21 0.27 $ 0.48
CLASS I SHARES
June 30, 1998 (unau-
dited) $10.59 0.32 0.08 $ 0.40
December 31, 1997 $10.27 0.66 0.32 $0.98
December 31, 1996 $10.45 0.68 (0.18) $0.50
December 31, 1995 $ 9.01 0.63 1.45 $2.08
December 31, 1994 $10.32 0.61 (1.31) ($0.70)
December 31, 1993 $10.25 0.76 0.38 $1.14
- ----------------------------------------------------------------------------------------------
SHORT BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) $10.15 0.25 0.01 $ 0.26
December 31, 1997 $10.11 0.53 0.06 $ 0.59
December 31, 1996 $10.23 0.55 (0.10) $ 0.45
December 31, 1995 $ 9.84 0.58 0.39 $ 0.97
December 31,
1994(/1//0/) $10.00 0.17 (0.16) $ 0.01
CLASS B SHARES
June 30, 1998 (unau-
dited) $10.05 0.23 0.01 $ 0.24
December 31, 1997 $10.02 0.46 0.05 $ 0.51
December 31, 1996(/8/) $10.00 0.12 0.04 $ 0.16
CLASS I SHARES
June 30, 1998 (unau-
dited) $10.15 0.27 0.01 $ 0.28
December 31, 1997 $10.11 0.56 0.06 $ 0.62
December 31, 1996 $10.23 0.55 (0.10) $ 0.45
December 31, 1995 $ 9.84 0.58 0.39 $ 0.97
December 31,
1994(/1//0/) $10.00 0.17 (0.16) $ 0.01
- ----------------------------------------------------------------------------------------------
MULTI SECTOR BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) $ 8.00 0.22 0.08 $ 0.30
December 31, 1997 $ 7.84 0.48 0.17 $ 0.65
December 31, 1996 $ 8.18 0.41 (0.25) $ 0.16
FOR THE PERIOD ENDED
12/31/1995(/1//1/) $ 7.68 0.44 0.72 $ 1.16
January 31, 1995 $ 8.25 0.52 (0.57) ($0.05)
FOR THE PERIOD ENDED
1/31/1994(/1//2/) $ 8.36 0.47 (0.09) $ 0.38
CLASS B SHARES
June 30, 1998 (unau-
dited) $ 8.00 0.19 0.10 $ 0.29
December 31, 1997 $ 7.85 0.42 0.17 $ 0.59
December 31, 1996 $ 8.18 0.45 (0.23) $ 0.22
FOR THE PERIOD ENDED
12/31/1995(/1//3/) $ 8.13 0.24 0.27 $ 0.51
FOR THE PERIOD ENDED
12/2/1994(/1//4/) $ 8.16 0.40 (0.55) ($0.15)
CLASS I SHARES
June 30, 1998 (unau-
dited) $ 8.01 0.24 0.07 $ 0.31
December 31, 1997 $ 7.85 0.50 0.17 $ 0.67
December 31, 1996 $ 8.18 0.46 (0.24) $ 0.22
FOR THE PERIOD ENDED
12/31/1995(/1//1/) $ 7.68 0.47 0.72 $ 1.19
January 31, 1995 $ 8.25 0.52 (0.57) ($0.05)
FOR THE PERIOD ENDED
1/31/1994(/1//2/) $ 8.36 0.47 (0.09) $ 0.38
- ----------------------------------------------------------------------------------------------
<CAPTION>
LESS DISTRIBUTIONS
---------------------------------------
--------------------------------------------------
IN EXCESS
IN EXCESS FROM NET OF NET
FROM NET OF NET REALIZED REALIZED
INVESTMENT INVESTMENT GAIN ON GAIN ON RETURN OF TOTAL
INCOME INCOME INVESTMENTS INVESTMENTS CAPITAL DISTRIBUTIONS
---------- ---------- ----------- ----------- --------- -------------
<S> <C> <C> <C> <C> <C> <C>
BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.31) -- -- -- -- ($0.31)
December 31, 1997 (0.63) -- -- -- -- ($0.63)
December 31, 1996 (0.67) -- -- -- -- ($0.67)
December 31, 1995 (0.64) -- -- -- -- ($0.64)
December 31, 1994 (0.59) -- (0.02) -- -- ($0.61)
December 31, 1993 (0.76) -- (0.31) -- -- ($1.07)
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.27) -- -- -- -- ($0.27)
December 31, 1997 (0.56) -- -- -- -- ($0.56)
December 31, 1996(/5/) (0.21) -- -- -- -- ($0.21)
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.32) -- -- -- -- ($0.32)
December 31, 1997 (0.66) -- -- -- -- ($0.66)
December 31, 1996 (0.68) -- -- -- -- ($0.68)
December 31, 1995 (0.64) -- -- -- -- ($0.64)
December 31, 1994 (0.59) -- (0.02) -- -- ($0.61)
December 31, 1993 (0.76) -- (0.31) -- -- ($1.07)
- ----------------------------------------------------------------------------------------------
SHORT BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.26) -- -- -- -- ($0.26)
December 31, 1997 (0.54) -- (0.01) -- -- ($0.55)
December 31, 1996 (0.55) -- (0.02) -- -- ($0.57)
December 31, 1995 (0.58) -- -- -- -- ($0.58)
December 31,
1994(/1//0/) (0.17) -- -- -- -- ($0.17)
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.23) -- -- -- -- ($0.23)
December 31, 1997 (0.47) -- (0.01) -- -- ($0.48)
December 31, 1996(/8/) (0.12) -- (0.02) -- -- ($0.14)
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.28) -- -- -- -- ($0.28)
December 31, 1997 (0.57) -- (0.01) -- -- ($0.58)
December 31, 1996 (0.55) -- (0.02) -- -- ($0.57)
December 31, 1995 (0.58) -- -- -- -- ($0.58)
December 31,
1994(/1//0/) (0.17) -- -- -- -- ($0.17)
- ----------------------------------------------------------------------------------------------
MULTI SECTOR BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.21) -- -- -- -- ($0.21)
December 31, 1997 (0.47) -- (0.02) -- -- ($0.49)
December 31, 1996 (0.40) -- (0.10) -- -- ($0.50)
FOR THE PERIOD ENDED
12/31/1995(/1//1/) (0.44) -- (0.22) -- -- ($0.66)
January 31, 1995 (0.52) -- -- -- -- ($0.52)
FOR THE PERIOD ENDED
1/31/1994(/1//2/) (0.47) -- (0.02) -- -- ($0.49)
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.17) -- -- -- -- ($0.17)
December 31, 1997 (0.42) -- (0.02) -- -- ($0.44)
December 31, 1996 (0.45) -- (0.10) -- -- ($0.55)
FOR THE PERIOD ENDED
12/31/1995(/1//3/) (0.24) -- (0.22) -- -- ($0.46)
FOR THE PERIOD ENDED
12/2/1994(/1//4/) (0.40) -- -- -- -- ($0.40)
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.23) -- -- -- -- ($0.23)
December 31, 1997 (0.49) -- (0.02) -- -- ($0.51)
December 31, 1996 (0.45) -- (0.10) -- -- ($0.55)
FOR THE PERIOD ENDED
12/31/1995(/1//1/) (0.47) -- (0.22) -- -- ($0.69)
January 31, 1995 (0.52) -- -- -- -- ($0.52)
FOR THE PERIOD ENDED
1/31/1994(/1//2/) (0.47) -- (0.02) -- -- ($0.49)
- ----------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
156
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
See accompanying Notes to the Financial Statements.
<TABLE>
<CAPTION>
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------
RATIO OF
EXPENSES TO
NET RATIO OF NET AVERAGE NET
CONVERSION ASSETS RATIO OF INVESTMENT ASSETS(%)
TO NET CHANGE NET ASSET END OF EXPENSES INCOME TO WITHOUT FEE
CLASS A IN NET VALUE, END TOTAL PERIOD TO AVERAGE AVERAGE NET WAIVERS/ PORTFOLIO
SHARES ASSET VALUE OF PERIOD RETURN(A) (000'S OMITTED) NET ASSETS(%) ASSETS(%) REIMBURSED EXP. TURNOVER(%)
- ---------- ----------- ---------- --------- --------------- ------------- ------------ --------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-- 0.08 $10.67 7.44%+ $ 238,038 0.88%+ 5.86%+ 0.88%+ 10.30%
-- 0.32 $10.59 9.65% $ 125,515 0.86% 6.16% -- 17.60%
-- (0.18) $10.27 4.98% $ 46,977 0.78% 6.59% -- 24.92%
-- 1.44 $10.45 23.75% $ 31,714 0.74% 6.39% -- 41.91%
-- (1.31) $ 9.01 (6.99%) $ 32,053 0.74% 6.36% -- 75.67%
-- 0.07 $10.32 11.39% $ 45,410 0.73% 7.20% -- 111.52%
-- 0.08 $10.67 6.66%+ $ 6,097 1.63%+ 5.11%+ 1.63%+ 10.30%
-- 0.32 $10.59 8.91% $ 3,394 1.61% 5.41% -- 17.60%
-- 0.27 $10.27 4.81%++ $ 280 1.59%+ 3.01%+ -- 24.92%+
-- 0.08 $10.67 7.68%+ $1,204,541 0.63%+ 6.11%+ 0.63%+ 10.30%
-- 0.32 $10.59 9.97% $1,101,894 0.61% 6.41% -- 17.60%
-- (0.18) $10.27 5.08% $ 757,627 0.66% 6.71% -- 24.92%
-- 1.44 $10.45 23.75% $ 485,851 0.74% 6.39% -- 41.91%
-- (1.31) $ 9.01 (6.99%) $ 395,116 0.74% 6.36% -- 75.67%
-- 0.07 $10.32 11.39% $ 455,786 0.73% 7.20% -- 111.52%
- -----------------------------------------------------------------------------------------------------------------------------
-- -- $10.15 5.40%+ $ 14,083 0.84%+ 5.14%+ 0.85%+ 23.37%
-- 0.04 $10.15 5.92% $ 4,738 0.82% 5.36% 0.83% 68.04%
-- (0.12) $10.11 4.45% $ 1,033 0.80% 5.35% 0.82% 109.58%
-- 0.39 $10.23 10.07% $ 766 0.75% 5.74% 0.81% 30.94%
-- (0.16) $ 9.84 0.21%+ $ 308 0.75%+ 5.92%+ 0.93%+ 10.20%++
-- 0.01 $10.06 4.66%+ $ 274 1.59%+ 4.39%+ 1.60%+ 23.37%
-- 0.03 $10.05 5.19% $ 541 1.57% 4.61% 1.58% 68.04%
-- 0.02 $10.02 2.04%++ $ 56 1.57%+ 1.47%+ 1.59%+ 109.58%+
-- -- $10.15 5.66%+ $ 244,702 0.59%+ 5.39%+ 0.60%+ 23.37%
-- 0.04 $10.15 6.20% $ 234,972 0.57% 5.61% 0.58% 68.04%
-- (0.12) $10.11 4.56% $ 171,427 0.70% 5.45% 0.72% 109.58%
-- 0.39 $10.23 10.07% $ 162,571 0.75% 5.74% 0.81% 30.94%
-- (0.16) $ 9.84 0.21%+ $ 63,931 0.75%+ 5.92%+ 0.93%+ 10.20%++
- -----------------------------------------------------------------------------------------------------------------------------
-- 0.09 $ 8.09 7.72%+ $ 12,159 0.90%+ 5.82%+ 0.90%+ 35.44%
-- 0.16 $ 8.00 8.58% $ 7,832 0.87% 5.83% -- 38.70%
-- (0.34) $ 7.84 2.75% $ 8,798 0.84% 5.75% 0.90% 103.93%
-- 0.50 $ 8.18 15.55%++ $ 6,095 0.94%+ 5.72%+ 1.15%+ 173.26%++
-- (0.57) $ 7.68 (0.45%) $ 69 0.04% 6.70% 2.78% 71.65%
-- (0.11) $ 8.25 5.16%+ $ 65 -- 5.96%+ 3.67%+ 26.54%++
-- 0.12 $ 8.12 7.06%+ $ 604 1.65%+ 5.07%+ 1.65%+ 35.44%
-- 0.15 $ 8.00 7.75% $ 533 1.62% 5.08% -- 38.70%
-- (0.33) $ 7.85 2.09% $ 502 1.58% 5.01% 1.67% 103.93%
-- 0.05 $ 8.18 6.41%++ $ 259 1.60%+ 5.00%+ 1.78%+ 173.26%++
(7.61)(/3/) (0.55) $ -- (1.82%)++ -- -- 6.48%+ 2.58%+ 71.65%++
-- 0.08 $ 8.09 8.04%+ $ 118,498 0.65%+ 6.07%+ 0.65%+ 35.44%
-- 0.16 $ 8.01 8.86% $ 94,544 0.62% 6.08% -- 38.70%
-- (0.33) $ 7.85 3.14% $ 187,112 0.57% 6.02% 0.66% 103.93%
-- 0.50 $ 8.18 15.90%++ $ 191,930 0.55%+ 6.34%+ 0.67%+ 173.26%++
-- (0.57) $ 7.68 (0.48%) $ 7,101 0.04% 6.70% 2.78% 71.65%
-- (0.11) $ 8.25 5.16%++ $ 5,128 -- 6.21%+ 2.64%+ 26.54%++
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
157
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
See accompanying Notes to the Financial Highlights.
<TABLE>
<CAPTION>
INVESTMENT OPERATIONS
--------------------------------------
-------------------------------------------------------
TOTAL
NET ASSET NET REALIZED INCOME
VALUE NET AND UNREALIZED FROM
BEGINNING INVESTMENT GAIN (LOSS) INVESTMENT
OF PERIOD INCOME ON INVESTMENTS OPERATIONS
--------- ---------- -------------- ----------
<S> <C> <C> <C> <C>
INTERNATIONAL BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) $ 9.88 0.23 (0.09) $ 0.14
December 31, 1997 $10.79 0.45 (0.93) ($0.48)
December 31, 1996 $10.75 0.54 0.04 $ 0.58
For the period ended
12/31/1995(/7/) $10.00 0.98 1.10 $ 2.08
CLASS B SHARES
June 30, 1998 (unau-
dited) $ 9.96 0.22 (0.12) $ 0.10
December 31, 1997 $10.87 0.41 (0.96) ($0.55)
December 31, 1996 $10.81 0.47 0.06 $ 0.53
For the period ended
12/31/1995(/7/) $10.00 0.91 1.16 $ 2.07
CLASS I SHARES
June 30, 1998 (unau-
dited) $ 9.93 0.25 (0.09) $ 0.16
December 31, 1997 $10.85 0.46 (0.93) ($0.47)
December 31, 1996 $10.81 0.59 0.04 $ 0.63
For the period ended
12/31/1995(/7/) $10.00 1.02 1.16 $ 2.18
- -------------------------------------------------------------------------------------------------
HIGH YIELD BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) $10.21 0.39 -- $ 0.39
For the period ended
12/31/1997(/2//2/) $10.00 0.19 0.23 $ 0.42
CLASS B SHARES
June 30, 1998 (unau-
dited) $10.20 0.37 0.02 $ 0.39
For the period ended
12/31/1997(/2//2/) $10.00 0.15 0.25 $ 0.40
CLASS I SHARES
June 30, 1998 (unau-
dited) $10.28 0.41 0.01 $ 0.42
For the period ended
12/31/1997(/2//2/) $10.00 0.32 0.29 $ 0.61
- -------------------------------------------------------------------------------------------------
MUNICIPAL BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) $12.87 0.28 (0.01) $ 0.27
December 31, 1997 $12.36 0.56 0.54 $ 1.10
December 31, 1996 $12.64 0.59 (0.18) $ 0.41
For the period ended
12/31/1995(/1//5/) $12.06 0.48 0.82 $ 1.30
02/28/95 $12.13 0.60 (0.07) $ 0.53
02/28/94 $13.25 0.63 (0.15) $ 0.48
02/28/93 $12.49 0.70 1.01 $ 1.71
02/29/92 $12.10 0.76 0.47 $ 1.23
CLASS B SHARES
June 30, 1998 (unau-
dited) $12.86 0.24 (0.01) $ 0.23
December 31, 1997 $12.36 0.46 0.54 $ 1.00
December 31, 1996 $12.65 0.52 (0.21) $ 0.31
For the period ended
12/31/95(/1//6/) $12.17 0.34 0.72 $ 1.06
For the period ended
12/2/94(/1//7/) $12.14 0.41 (0.70) ($0.29)
For the period ended
2/28/94(/1//8/) $12.37 0.03 (0.23) ($0.20)
CLASS I SHARES
June 30, 1998 (unau-
dited) $12.86 0.30 -- $ 0.30
December 31, 1997 $12.36 0.61 0.51 $ 1.12
December 31, 1996 $12.63 0.65 (0.20) $ 0.45
For the period ended
12/31/95(/1//5/) $12.06 0.52 0.81 $ 1.33
For the period ended
2/28/95(/1//9/) $12.06 0.05 -- $ 0.05
- -------------------------------------------------------------------------------------------------
<CAPTION>
LESS DISTRIBUTIONS
--------------------------------------
-------------------------------------------------------
FROM NET
REALIZED IN EXCESS
IN EXCESS GAIN ON OF NET
FROM NET OF NET INVESTMENTS & REALIZED
INVESTMENT INVESTMENT FOREIGN CURRENCY GAIN ON RETURN OF TOTAL
INCOME INCOME TRANSACTIONS INVESTMENTS CAPITAL DISTRIBUTIONS
---------- ---------- ---------------- ----------- --------- -------------
<S> <C> <C> <C> <C> <C> <C>
INTERNATIONAL BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.22) -- -- -- -- ($0.22)
December 31, 1997 (0.43) -- (0.00) -- -- ($0.43)
December 31, 1996 (0.54) -- -- -- -- ($0.54)
For the period ended
12/31/1995(/7/) (0.98) (0.01) (0.34) -- -- ($1.33)
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.19) -- -- -- -- ($0.19)
December 31, 1997 (0.36) -- (0.00) -- -- ($0.36)
December 31, 1996 (0.47) -- -- -- -- ($0.47)
For the period ended
12/31/1995(/7/) (0.91) (0.01) (0.34) -- -- ($1.26)
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.23) -- -- -- -- ($0.23)
December 31, 1997 (0.45) -- (0.00) -- -- ($0.45)
December 31, 1996 (0.59) -- -- -- -- ($0.59)
For the period ended
12/31/1995(/7/) (1.02) (0.01) (0.34) -- -- ($1.37)
- -------------------------------------------------------------------------------------------------
HIGH YIELD BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.38) -- -- -- -- ($0.38)
For the period ended
12/31/1997(/2//2/) (0.20) -- (0.01) 0.00 -- ($0.21)
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.35) -- -- -- -- ($0.35)
For the period ended
12/31/1997(/2//2/) (0.19) -- (0.01) 0.00 -- ($0.20)
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.39) -- -- -- -- ($0.39)
For the period ended
12/31/1997(/2//2/) (0.32) -- (0.01) 0.00 -- ($0.33)
- -------------------------------------------------------------------------------------------------
MUNICIPAL BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.29) -- -- -- -- ($0.29)
December 31, 1997 (0.59) -- 0.00 -- -- ($0.59)
December 31, 1996 (0.58) -- (0.01) (0.10) -- ($0.69)
For the period ended
12/31/1995(/1//5/) (0.48) -- (0.24) -- -- ($0.72)
02/28/95 (0.60) -- -- -- -- ($0.60)
02/28/94 (0.63) -- (0.96) (0.01) -- ($1.60)
02/28/93 (0.70) -- (0.25) -- -- ($0.95)
02/29/92 (0.76) -- (0.08) -- -- ($0.84)
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.25) -- -- -- -- ($0.25)
December 31, 1997 (0.50) -- 0.00 -- -- ($0.50)
December 31, 1996 (0.49) -- (0.01) (0.10) -- ($0.60)
For the period ended
12/31/95(/1//6/) (0.34) -- (0.24) -- -- ($0.58)
For the period ended
12/2/94(/1//7/) (0.41) -- -- -- -- ($0.41)
For the period ended
2/28/94(/1//8/) (0.03) -- -- -- -- ($0.03)
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.31) -- -- -- -- ($0.31)
December 31, 1997 (0.62) -- 0.00 -- -- ($0.62)
December 31, 1996 (0.61) -- (0.01) (0.10) -- ($0.72)
For the period ended
12/31/95(/1//5/) (0.52) -- (0.24) -- -- ($0.76)
For the period ended
2/28/95(/1//9/) (0.05) -- -- -- -- ($0.05)
- -------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
158
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
See accompanying Notes to the Financial Statements.
<TABLE>
<CAPTION>
RATIOS/SUPPLEMENTAL DATA
- -------------------------------------------------------------------------------------------------------------------------
RATIO OF
EXPENSES TO
NET RATIO OF NET AVERAGE NET
CONVERSION ASSETS RATIO OF INVESTMENT ASSETS(%)
TO NET CHANGE NET ASSET END OF EXPENSES INCOME TO WITHOUT FEE
CLASS A IN NET VALUE, END TOTAL PERIOD TO AVERAGE AVERAGE NET WAIVERS/ PORTFOLIO
SHARES ASSET VALUE OF PERIOD RETURN(A) (000'S OMITTED) NET ASSETS(%) ASSETS(%) REIMBURSED EXP. TURNOVER(%)
- ---------- ----------- ---------- --------- --------------- ------------- ------------ --------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-- (0.08) $ 9.80 2.80%+ $ 8,889 1.15%+ 4.77%+ 1.24%+ 11.09%
-- (0.91) $ 9.88 (4.46%) $ 6,419 1.12% 4.76% 1.33% 4.51%
-- 0.04 $10.79 5.62% $ 2,006 1.15% 4.74% 1.94% 97.82%
-- 0.75 $10.75 21.10%++ $ 487 1.33%+ 4.91%+ 3.65%+ 48.03%++
-- (0.09) $ 9.87 2.06%+ $ 145 1.90%+ 4.02%+ 2.00%+ 11.09%
-- (0.91) $ 9.96 (5.04%) $ 117 1.87% 4.01% 2.08% 4.51%
-- 0.06 $10.87 5.01% $ 46 1.90% 3.99% 4.08% 97.82%
-- 0.81 $10.81 20.90%++ $ 4 2.03%+ 4.39%+ 8.69%+ 48.03%++
-- (0.07) $ 9.86 3.06%+ $ 81,099 0.90%+ 5.02%+ 0.99%+ 11.09%
-- (0.92) $ 9.93 (4.25%) $ 81,843 0.87% 5.01% 1.08% 4.51%
-- 0.04 $10.85 5.99% $ 53,845 0.90% 4.99% 1.40% 97.82%
-- 0.81 $10.81 22.13%++ $ 14,504 0.95%+ 5.71%+ 1.93%+ 48.03%++
- -------------------------------------------------------------------------------------------------------------------------
-- 0.01 $10.22 7.76%+ $ 1,574 1.21%+ 7.63%+ 1.30%+ 18.05%
-- 0.21 $10.21 8.31%+ $ 570 1.22%+ 7.42%+ 1.43%+ 11.17%
-- 0.04 $10.24 7.72%+ $ 235 1.96%+ 6.88%+ 2.05%+ 18.05%
-- 0.20 $10.20 7.82%+ $ 77 1.97%+ 6.67%+ 2.18%+ 11.17%
-- 0.03 $10.31 8.16%+ $ 66,633 0.96%+ 7.88%+ 1.05%+ 18.05%
-- 0.28 $10.28 12.64%+ $ 49,150 0.97%+ 7.67%+ 1.18%+ 11.17%
- -------------------------------------------------------------------------------------------------------------------------
-- (0.02) $12.85 4.38%+ $ 40,157 0.88%+ 4.40%+ 0.88%+ 8.67%
-- 0.51 $12.87 9.13% $ 34,729 0.85% 4.65% -- 32.08%
-- (0.28) $12.36 3.36% $ 29,352 0.83% 4.54% 0.89% 64.51%
-- 0.58 $12.64 10.95%++ $ 7,426 0.89%+ 4.57%+ 1.04%+ 69.31%++
-- (0.07) $12.06 4.45% $ 6,840 1.98% 5.09% 3.89% 60.78%
-- (1.12) $12.13 3.70% $ 9,234 -- 4.85% 1.44% 175.06%
-- 0.76 $13.25 14.37% $ 11,290 -- 5.49% 1.59% 88.53%
-- 0.39 $12.49 10.50% $ 6,591 -- 5.99% 2.75% 66.28%
-- (0.02) $12.84 3.64%+ $ 1,758 1.63%+ 3.65%+ 1.63%+ 8.67%
-- 0.50 $12.86 8.26% $ 1,312 1.60% 3.90% -- 32.08%
-- (0.29) $12.36 2.56% $ 672 1.58% 3.79% 1.70% 64.51%
-- 0.48 $12.65 8.81%++ $ 238 1.66%+ 3.61%+ 2.04%+ 69.31%++
11.44(/3/) (12.14) -- (4.30%)++ -- 3.18%+ 4.51%+ 5.85%+ 60.78%++
-- (0.23) $12.14 (1.64%)++ $ 2 0.50%+ 4.10%+ 2.91%+ 175.06%++
-- (0.01) $12.85 4.66%+ $402,965 0.63%+ 4.65%+ 0.63%+ 8.67%
-- 0.50 $12.86 9.32% $355,814 0.60% 4.90% -- 32.08%
-- (0.27) $12.36 3.76% $338,104 0.58% 4.79% 0.68% 64.51%
-- 0.57 $12.63 11.20%++ $240,160 0.54%+ 4.95%+ 0.67%+ 69.31%++
-- -- $12.06 0.39%++ $220,143 0.65%+ 5.45%+ 0.79%+ 60.78%++
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
159
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
See accompanying Notes to the Financial Highlights.
<TABLE>
<CAPTION>
INVESTMENT OPERATIONS
----------------------------------------
---------------------------------------------------
TOTAL
NET ASSET NET REALIZED INCOME
VALUE NET AND UNREALIZED FROM
BEGINNING INVESTMENT GAIN (LOSS) INVESTMENT
OF PERIOD INCOME ON INVESTMENTS OPERATIONS
--------- ---------- -------------- ----------
<S> <C> <C> <C> <C>
SHORT MUNICIPAL BOND
CLASS A SHARES
June 30, 1998 (unau-
dited)(/2//5/) $10.00 0.05 0.07 $ 0.12
CLASS B SHARES
June 30, 1998 (unau-
dited)(/2//5/) $10.00 0.04 -- $ 0.04
CLASS I SHARES
June 30, 1998 (unau-
dited)(/2//5/) $10.00 0.06 0.08 $ 0.14
- ----------------------------------------------------------------------------------------------
INTERMEDIATE MUNICIPAL
BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) $12.32 0.26 (0.02) $ 0.24
December 31, 1997 $12.10 0.54 0.28 $ 0.82
December 31, 1996 $12.25 0.53 (0.09) $ 0.44
For the period ended
12/31/95(/1//5/) $11.79 0.44 0.56 $ 1.00
February 28, 1995 $12.18 0.55 (0.36) $ 0.19
February 28, 1994 $12.79 0.61 0.01 $ 0.62
February 28, 1993 $12.25 0.64 0.68 $ 1.32
February 29, 1992 $11.95 0.76 0.37 $ 1.13
CLASS B SHARES
June 30, 1998 (unau-
dited) $12.32 0.21 (0.02) $ 0.19
December 31, 1997 $12.10 0.43 0.30 $ 0.73
December 31, 1996 $12.25 0.44 (0.09) $ 0.35
For the period ended
12/31/95(/1//5/) $11.80 0.37 0.55 $ 0.92
For the period ended
2/28/95(/2//0/) $11.57 0.04 0.23 $ 0.27
For the period ended
12/2/94(/1//7/) $12.18 0.37 (0.72) ($0.35)
For the period ended
2/28/94(/1//8/) $12.32 0.03 (0.14) ($0.11)
CLASS I SHARES
June 30, 1998 (unau-
dited) $12.33 0.27 (0.02) $ 0.25
December 31, 1997 $12.11 0.57 0.28 $ 0.85
December 31, 1996 $12.25 0.56 (0.08) $ 0.48
For the period ended
12/31/95(/1//5/) $11.80 0.47 0.55 $ 1.02
February 28,
1995(/1//9/) $11.57 0.04 0.23 $ 0.27
- ----------------------------------------------------------------------------------------------
MICHIGAN MUNICIPAL BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) $10.93 0.24 0.02 $ 0.26
December 31, 1997 $10.48 0.49 0.44 $ 0.93
December 31, 1996 $10.60 0.48 (0.14) $ 0.34
December 31, 1995 $ 9.54 0.48 1.06 $ 1.54
December 31, 1994 $10.60 0.50 (1.06) ($0.56)
December 31,
1993(/2//1/) $10.00 0.44 0.59 $ 1.03
CLASS B SHARES
June 30, 1998 (unau-
dited) $10.59 0.21 0.02 $ 0.23
December 31, 1997 $10.18 0.38 0.44 $ 0.82
For the period ended
12/31/96(/8/) $10.00 0.07 0.17 $ 0.24
CLASS I SHARES
June 30, 1998 (unau-
dited) $10.93 0.25 0.03 $ 0.28
December 31, 1997 $10.48 0.51 0.45 $ 0.96
December 31, 1996 $10.60 0.49 (0.14) $ 0.35
December 31, 1995 $ 9.54 0.48 1.06 $ 1.54
December 31, 1994 $10.60 0.50 (1.06) ($0.56)
December 31,
1993(/2//1/) $10.00 0.44 0.59 $ 1.03
- ----------------------------------------------------------------------------------------------
<CAPTION>
LESS DISTRIBUTIONS
----------------------------------------
---------------------------------------------------
IN EXCESS
IN EXCESS FROM NET OF NET
FROM NET OF NET REALIZED REALIZED
INVESTMENT INVESTMENT GAIN ON GAIN ON RETURN OF TOTAL
INCOME INCOME INVESTMENTS INVESTMENTS CAPITAL DISTRIBUTIONS
---------- ---------- ----------- ----------- --------- -------------
<S> <C> <C> <C> <C> <C> <C>
SHORT MUNICIPAL BOND
CLASS A SHARES
June 30, 1998 (unau-
dited)(/2//5/) (0.05) -- -- -- -- ($0.05)
CLASS B SHARES
June 30, 1998 (unau-
dited)(/2//5/) (0.04) -- -- -- -- ($0.04)
CLASS I SHARES
June 30, 1998 (unau-
dited)(/2//5/) (0.05) -- -- -- -- ($0.05)
- ----------------------------------------------------------------------------------------------
INTERMEDIATE MUNICIPAL
BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.26) -- -- -- -- ($0.26)
December 31, 1997 (0.54) -- (0.06) -- -- ($0.60)
December 31, 1996 (0.51) -- (0.08) -- -- ($0.59)
For the period ended
12/31/95(/1//5/) (0.44) -- (0.10) -- -- ($0.54)
February 28, 1995 (0.55) -- (0.03) -- -- ($0.58)
February 28, 1994 (0.61) -- (0.62) -- -- ($1.23)
February 28, 1993 (0.64) -- (0.14) -- -- ($0.78)
February 29, 1992 (0.76) -- (0.07) -- -- ($0.83)
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.22) -- -- -- -- ($0.22)
December 31, 1997 (0.45) -- (0.06) -- -- ($0.51)
December 31, 1996 (0.42) -- (0.08) -- -- ($0.50)
For the period ended
12/31/95(/1//5/) (0.37) -- (0.10) -- -- ($0.47)
For the period ended
2/28/95(/2//0/) (0.04) -- -- -- -- ($0.04)
For the period ended
12/2/94(/1//7/) (0.37) -- (0.03) -- -- ($0.40)
For the period ended
2/28/94(/1//8/) (0.03) -- -- -- -- ($0.03)
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.28) -- -- -- -- ($0.28)
December 31, 1997 (0.57) -- (0.06) -- -- ($0.63)
December 31, 1996 (0.54) -- (0.08) -- -- ($0.62)
For the period ended
12/31/95(/1//5/) (0.47) -- (0.10) -- -- ($0.57)
February 28,
1995(/1//9/) (0.04) -- -- -- -- ($0.04)
- ----------------------------------------------------------------------------------------------
MICHIGAN MUNICIPAL BOND
CLASS A SHARES
June 30, 1998 (unau-
dited) (0.24) -- -- -- -- ($0.24)
December 31, 1997 (0.48) -- -- -- -- ($0.48)
December 31, 1996 (0.46) -- -- -- -- ($0.46)
December 31, 1995 (0.48) -- -- -- -- ($0.48)
December 31, 1994 (0.50) -- -- -- -- ($0.50)
December 31,
1993(/2//1/) (0.43) -- -- -- -- ($0.43)
CLASS B SHARES
June 30, 1998 (unau-
dited) (0.21) -- -- -- -- ($0.21)
December 31, 1997 (0.41) -- -- -- -- ($0.41)
For the period ended
12/31/96(/8/) (0.06) -- -- -- -- ($0.06)
CLASS I SHARES
June 30, 1998 (unau-
dited) (0.26) -- -- -- -- ($0.26)
December 31, 1997 (0.51) -- -- -- -- ($0.51)
December 31, 1996 (0.47) -- -- -- -- ($0.47)
December 31, 1995 (0.48) -- -- -- -- ($0.48)
December 31, 1994 (0.50) -- -- -- -- ($0.50)
December 31,
1993(/2//1/) (0.43) -- -- -- -- ($0.43)
- ----------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
160
<PAGE>
PEGASUS FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
See accompanying Notes to the Financial Statements.
<TABLE>
<CAPTION>
RATIOS/SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------------
RATIO OF
EXPENSES TO
NET RATIO OF NET AVERAGE NET
CONVERSION ASSETS RATIO OF INVESTMENT ASSETS(%)
TO NET CHANGE NET ASSET END OF EXPENSES INCOME TO WITHOUT FEE
CLASS A IN NET VALUE, END TOTAL PERIOD TO AVERAGE AVERAGE NET WAIVERS/ PORTFOLIO
SHARES ASSET VALUE OF PERIOD RETURN(A) (000'S OMITTED) NET ASSETS(%) ASSETS(%) REIMBURSED EXP. TURNOVER(%)
- ---------- ----------- ---------- --------- --------------- ------------- ------------ --------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-- 0.07 $10.07 3.96%+ $ 73 .87%+ 3.99%+ .96%+ 29.48%
-- 0.00 $10.00 3.60%+ $ 1 1.62%+ 3.24%+ 1.71%+ 29.48%
-- 0.09 $10.09 4.08%+ $ 1,053 .62%+ 4.24%+ .71%+ 29.48%
- ----------------------------------------------------------------------------------------------------------------------------
-- (0.02) $12.30 3.90%+ $ 20,177 0.85%+ 4.15%+ 0.85%+ 7.63%
-- 0.22 $12.32 7.05% $ 18,903 0.84% 4.41% -- 36.82%
-- (0.15) $12.10 3.69% $ 19,049 0.83% 4.37% 0.88% 52.95%
-- 0.46 $12.25 8.58%++ $ 17,777 0.83%+ 4.30%+ 0.97%+ 44.75%++
-- (0.39) $11.79 1.64% $ 17,243 0.29% 4.73% 1.38% 128.02%
-- (0.61) $12.18 4.94% $ 28,826 0.06% 4.78% 1.27% 167.95%
-- 0.54 $12.79 11.26% $ 27,885 -- 5.16% 1.31% 63.67%
-- 0.30 $12.25 9.78% $ 18,310 -- 6.15% 1.72% 86.91%
-- (0.03) $12.29 3.16%+ $ 801 1.60%+ 3.40%+ 1.60%+ 7.63%
-- 0.22 $12.32 6.19% $ 709 1.59% 3.66% -- 36.82%
-- (0.15) $12.10 2.90% $ 611 1.58% 3.62% 1.68% 52.95%
-- 0.45 $12.25 7.75%++ $ 341 1.71%+ 3.36%+ 2.01%+ 44.75%++
-- 0.23 $11.80 2.30%++ $ 6 1.36%+ 3.72%+ 1.64%+ 128.02%++
(11.43)(/8/) (0.75) -- (2.98%)++ -- 0.76%+ 4.03%+ 2.00%+ 128.02%++
-- (0.14) $12.18 (0.93%)++ $ 12 0.75%+ 1.68%+ 3.00%+ 167.95%++
-- (0.03) $12.30 4.16%+ $433,802 0.60%+ 4.40%+ 0.60%+ 7.63%
-- 0.22 $12.33 7.29% $377,331 0.59% 4.66% -- 36.82%
-- (0.14) $12.11 4.05% $373,970 0.58% 4.62% 0.64% 52.95%
-- 0.45 $12.25 8.76%++ $373,753 0.55%+ 4.78%+ 0.68%+ 44.75%++
-- 0.23 $11.80 2.37%++ $365,801 0.50%+ 4.79%+ 0.60%+ 128.02%++
- ----------------------------------------------------------------------------------------------------------------------------
-- 0.02 $10.95 4.94%+ $ 18,693 0.91%+ 4.43%+ 0.92%+ 13.58%
-- 0.45 $10.93 9.15% $ 18,687 0.92% 4.59% 0.98% 37.84%
-- (0.12) $10.48 3.32% $ 18,575 0.88% 4.57% 0.96% 24.49%
-- 1.06 $10.60 16.49% $ 21,034 0.79% 4.71% 1.04% 26.97%
-- (1.06) $ 9.54 (5.42%) $ 21,106 0.53% 5.01% 1.05% 25.93%
-- 0.60 $10.60 11.50%+ $ 26,342 0.19%+ 5.12%+ 1.21%+ 41.70%++
-- 0.02 $10.61 4.30%+ $ 1,436 1.66%+ 3.68%+ 1.67%+ 13.58%
-- 0.41 $10.59 8.26% $ 707 1.67% 3.84% 1.73% 37.84%
-- 0.18 $10.18 2.45%++ $ 110 1.69%+ 2.01%+ 1.77%+ 24.49%+
-- 0.02 $10.95 5.18%+ $ 79,934 0.66%+ 4.68%+ 0.67%+ 13.58%
-- 0.45 $10.93 9.42% $ 61,768 0.67% 4.84% 0.73% 37.84%
-- (0.12) $10.48 3.44% $ 41,909 0.77% 4.68% 0.85% 24.49%
-- 1.06 $10.60 16.49% $ 32,419 0.79% 4.71% 1.04% 26.97%
-- (1.06) $ 9.54 (5.42%) $ 24,157 0.53% 5.01% 1.05% 25.93%
-- 0.60 $10.60 11.50%+ $ 15,772 0.19%+ 5.12%+ 1.21%+ 41.70%++
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
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161
<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.
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162
<PAGE>
(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 June 30, 1997 (commencement of operations) through December
31, 1997.
(23) The Portfolio Turnover Percentage was adjusted for Redemptions In-Kind for
shareholders that took place during 1997 for the Equity Index, Mid-Cap
Opportunity and Intrinsic Value Funds. Each Fund's securities sales were
appropriately reduced by the fair market value of the Redemptions In-Kind.
The Redemptions In-Kind for the Equity Index, Mid-Cap Opportunity and
Intrinsic Value Funds were approximately $260 million, $4 million and $5
million, respectively.
(24) The Portfolio Turnover Percentage was adjusted for a conversion of assets
from First National Bank of Chicago's International Equity Common Trust
Fund, which took place during 1997. The Fund's securities purchases were
appropriately reduced by the fair market value of the asset transfer
approximating $20 million.
(25) For the period May 1, 1998 (commencement of operations) through June 30,
1998.
(a) Total returns as presented do not include any applicable sales load or
redemption charges.
+ Annualized.
++ Not Annualized.
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163
