<PAGE>
[LOGO] PEGASUS FUNDS
STRENGTH IN INVESTING
ANNUAL REPORT
December 31, 1998
PEGASUS FUNDS
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PEGASUS FUNDS
(800) 688-3350
Table of Contents
<TABLE>
<C> <S>
1 Letter to Shareholders
42 Statements of Assets and Liabilities
52 Statements of Operations
57 Statements of Changes in Net Assets
64 Portfolios of Investments
201 Notes to Financial Statements
218 Financial Highlights
234 Report of Independent Public Accountants
</TABLE>
Pegasus Funds are not bank
deposits or obligations of, or
guaranteed or endorsed by BANK
ONE 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.
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>
Pegasus Funds
A Message from the Investment Adviser
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Dear Shareholder:
In many ways, the market commentary for 1998's annual report will sound much
like 1997's report. Once again, investing--particularly when looking at the
popular market averages--was exceedingly rewarding. The Standard & Poor's
Composite 500 Index, for example, provided a total return of 28.58% for the
year ended December 31, 1998. Bonds also offered above-average returns for the
second year in a row, with the Lehman Brothers Aggregate Bond Index providing
an 8.69% total return for the year. One important change occurred in the
international arena, where stocks, as measured by the Morgan Stanley Europe,
Australia and Far East (EAFE) Index, improved from 1997 to post a total return
of 20.00% for the year.
But, all was not positive in 1998. In the domestic and international markets
large divergences occurred, and at the end of the year signs of speculative
excesses emerged. The divergences can be best demonstrated by the fact that the
Russell 2000 Index of smaller companies provided a total return of -2.55% for
the year, compared to the S&P 500's return of 28.58%. Similarly, the overall
strength in international equities masked dramatic weakness in Latin America
and, to a lesser degree, Asia. Signs of excess have occurred in a number of
areas, but nothing has illustrated it better than the trading swings and
valuations afforded to internet and internet-related companies. Selected names
may emerge as good long-term investments, but, at current prices, many may
prove to be very risky and unrewarding.
Equity Highlights
Larger, emerging blue chip companies led the market in 1998. Most names fell
within the technology arena, with astounding performance from Microsoft, Dell,
America Online, Intel and IBM. As the year progressed and earnings concerns
emerged due to a slowing economy and continued weak international economies,
investors migrated to growth-oriented issues and drove these securities to new
highs. As a result, health care stocks and select retailers performed well.
Finance stocks, which had been market leaders in the previous two years,
continued to do well in the first half of 1998, but began to lag in the second
half, particularly in the third quarter. Other lagging groups included
chemicals, steels and energy.
The spread between growth-oriented and value-oriented stocks provided evidence
of a narrowing market. For the 12 month period, the S&P/Barra Large Growth
Index offered a total return of 42.16%, while the S&P/Barra Large Value Index
lagged by more than 27 percentage points, posting a total return of 14.67%.
Our outlook for 1999 indicates that challenges may be in store. Generally, the
environment for stocks remains positive, with a likely scenario of low
inflation, low interest rates, positive economic growth and stabilization in
international economies. Offsetting this, though, are concerns regarding the
high valuations placed on many issues, the many large divergences noted and
increasing concerns about earnings growth. We believe that few signs of a major
bear market are evident, but reduced expectations for 1999 appear prudent.
Fixed Income Highlights
The U.S. bond market had another strong year in 1998, as evidenced by the
return on the Lehman Aggregate Bond Index (+8.69%). Treasuries were the best
performing sector, as two- to 10-year Treasury yields declined more than 1
percentage point for the year. Thirty-year Treasury yields declined 0.80
percentage point, but moved as low as 4.72% in October.
The market was influenced by overseas events, as problems spread from Far East
markets to other areas, including Russia and Brazil. Investors became
increasingly concerned that these foreign problems would affect the U.S.
economy. These problems led to greatly reduced liquidity in all other markets,
which resulted in yield spreads widening in the corporate, mortgage-backed and
asset-backed sectors. Hoping to help ease the liqudity problems, the Federal
Reserve cut rates three times between September and November. This led to
better performance for spread sectors in the fourth quarter, but non-Treasury
bonds still lagged Treasuries considerably for the year.
Municipal Market Highlights
In 1998 the municipal market experienced another year of heavy volume. A
continued drop in interest rates provided the incentive for states, counties
and other public entities to issue more than $276 billion in tax-exempt debt.
The unanticipated appreciation in both new and refunding debt amounted to a 29%
increase in issuance from 1997 and helped the tax-exempt market record its
second-busiest year since 1993.
While the tax-exempt market performed well in 1998, it lagged the taxable fixed
income market. The ratios of municipal yields to Treasury yields neared record
levels, particularly on the longer end of the yield curve, where, at times,
percentages exceeded the 100% mark. A flight to quality in the taxable market,
prompted by economic troubles overseas, led to the relative attractiveness of
municipals. This, in turn, enticed non-traditional buyers to the market, where
they remained large supporters of tax-exempt debt in 1998.
Pending Merger Transaction
On October 2, 1998, First Chicago NBD Corporation, parent company to First
Chicago NBD Investment Management Company, merged with and into BANC ONE
CORPORATION at which time it was renamed BANK ONE CORPORATION. BANK ONE
CORPORATION has now begun the process of reorganizing the Pegasus Funds into
The One Group Family of Mutual Funds. In January, 1999, the Boards of Trustees
of the Pegasus Funds approved a proposed Agreement and Plan of Reorganization,
which is subject to Pegasus shareholder approval. If you were a shareholder as
of the December 18, 1998 record date, you should have now received a combined
proxy/prospectus which outlines in more detail the proposed Agreement and Plan
of Reorganization. Assuming approval by Pegasus shareholders, it is anticipated
the reorganization transaction will occur in March, 1999. We realize that you
have many choices when it comes to mutual fund investing, and we appreciate you
selecting the Pegasus Funds.
Sincerely,
/S/ George F. Abel
George F. Abel
Chief Investment Officer
First Chicago NBD Investment Management Company
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Managed Assets Funds
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An interview with George Abel
Portfolio Manager
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Q. How did the Funds perform?
The Pegasus Managed Assets Conservative Fund's I shares posted a total return
of 8.62% for the year ended December 31, 1998. The Managed Assets Balanced
Fund's I shares returned 8.66% for the year, and the Managed Assets Growth
Fund's I shares returned 8.45%. (For information on other share classes and
additional performance information, please see pages 3-5.)
The Funds trailed the most commonly used investment benchmark, the S&P 500
Index, which returned 28.58% for the year. All the Funds were about even with
the Lehman Brothers Aggregate Bond Index, which returned 8.69%. The Funds, with
their diversified exposure to equity and fixed income funds, are designed to
typically provide returns somewhere between the stock market and the bond
market.
Q. How did market events influence the Funds' performance?
Generally, 1998 was a very good year for fixed income and equity returns. A
strong economy coupled with declining interest rates provided a strong stimulus
for stocks and bonds. The more subdued international economy dragged on
companies with meaningful global exposure, as did a strong U.S. dollar.
Therefore, companies with good growth rates, low exposure to international
activity and high multiples (which usually expand in a declining rate
environment) tended to do well. We also saw tremendous enthusiasm for
technology issues, particularly those associated with the Internet. The Funds
had some exposure to these stocks, but they also had exposure to other less-
robust areas of the market.
Large-capitalization growth stocks outperformed small- and mid-cap stock styles
and the bond market. The Funds' goal of giving investors broad exposure to
numerous bond and equity styles--including small- and mid-cap stocks--led to
lower returns than experienced by most pure equity funds, particularly those
focusing on the popular large-capitalization growth area. Nonetheless,
historically, predictable relationships exist between asset groups and
investment styles, and the Funds are structured to capture these trends for
their respective risk profiles.
Q. What were your primary strategies and tactics?
The Funds were invested in underlying equity mutual funds that focus on large,
medium and small domestic companies and foreign stocks. In general, the Funds
were underweighted in large-capitalization U.S. stocks, favoring instead mid-
sized companies because of their attractive valuations. Within the large-cap
arena, we favored value stocks over growth stocks due to our concerns about the
market's excessive enthusiasm for growth stocks.
We focused on maintaining quality in the Funds' fixed income component, which
consisted primarily of investments in funds investing in U.S. government bonds,
with smaller exposure to high-yield and international bonds.
Q. How were the Funds allocated?*
At year-end, the Managed Assets Conservative Fund held 40% in equity funds and
60% in fixed income funds; the Managed Assets Balanced Fund held 60% in equity
funds and 40% in fixed income funds; and the Managed Assets Growth Fund held
79% of its assets in underlying equity funds and 21% in fixed income funds.
Q. What is your outlook for the market?
We expect the market to continue to benefit from the low inflation, low
interest rate environment. However, we do have some strong concerns about high
valuations. In our view, many of these valuations are not based on the
fundamentals of the company. Instead, they result from investors being caught
up in the momentum of the moment. These valuations do not leave a lot of room
for any potential "bad news," and thus we believe the market could be volatile
in 1999. We also have some concerns about the growing weakness in Latin
America. Europe is also beginning to see a slow down, which could negatively
affect many large, multi-national companies.
* The Fund's composition is subject to change.
Past performance is no guarantee of future results.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
2
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Managed Assets Funds -- (Continued)
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GROWTH OF $10,000 INVESTED IN THE
PEGASUS MANAGED ASSETS CONSERVATIVE FUND, THE
S&P 500 INDEX* AND THE LEHMAN BROTHERS AGGREGATE BOND INDEX
[CHART OF MANAGED ASSETS CONSERVATIVE FUND APPEARS HERE]
<TABLE>
<CAPTION>
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Lehman Brothers
Aggregate Bond
I Shares A shares w/5.00% B shares w/3.00% S&P 500 Index
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<S> <C> <C> <C> <C> <C>
1/23/86 9500 10000 10000
12/31/86 10789 12293 11601
12/31/87 10681 12936 11921
12/31/88 12577 15079 12861
12/31/89 14973 19846 14729
12/31/90 15399 19232 16047
12/31/91 19115 25079 18610
12/31/92 20783 26986 19988
12/31/93 22842 29701 21935
12/31/94 22404 30092 21296
3/3/95 10000 24520 10000 33019 22370
12/31/95 12255 28314 12161 41385 25231
12/31/96 13533 31176 13288 50883 26143
12/31/97 15339 35260 14921 67859 28666
12/31/98 16661 38199 15747 87253 31157
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</TABLE>
(1) Includes maximum sales charge of 5.00%
(2) Excludes expenses
(3) An "A' shareholder investment at the original 4.50% sales charge is
currently valued at $38,400
(4) Includes contingent deferred sales charge of 3.00%
<TABLE>
<CAPTION>
Average Annual Total Return Inception One Five Ten Since
Through 12/31/98 Date Year Year Year Inception
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<S> <C> <C> <C> <C> <C>
Pegasus Managed Assets Conservative Fund
I Shares 3/3/95 8.62% -- -- 14.25%
A Shares With 5.00% Load 1/23/86 2.92% 9.70% 11.18% 10.91%(/1/)
B Shares With Applicable CDSC 3/3/95 3.64% -- -- 12.60%
S&P 500 Index* 1/23/86 28.58% 24.06% 19.21% 18.22%
Lehman Brothers Aggregate Bond Index** 1/23/86 8.69% 7.27% 9.26% 9.18%
</TABLE>
(1) Return for an "A' shareholder who invested at the original 4.50% sales
charge was 10.95%.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
* The S&P 500 Index is an unmanaged index generally representative of the U.S.
stock market as a whole.
** The Lehman Brothers Aggregate Bond Index is an unmanaged index generally
representative of the bond market as a whole.
Pegasus Funds
3
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Managed Assets Funds -- (Continued)
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GROWTH OF $10,000 INVESTED IN THE
PEGASUS MANAGED ASSETS BALANCED FUND, AND A
60% S&P 500 INDEX*, 40% LEHMAN BROTHERS AGGREGATE BOND INDEX** BLEND
[CHART OF MANAGED ASSETS BALANCED FUND APPEARS HERE]
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I Shares Net A shares w/5.0 B shares w/3.0 Index Blend
- --------------------------------------------------------------------------------
12/31/93 10000 9500 10000
12/31/94 9800 9310 9967
12/31/95 12070 11466 12922
8/26/96 12585 11953 10000 13987
12/31/96 13644 12956 10730 14855
12/31/97 15798 14936 12296 18402
12/31/98 17167 16196 12936 22197
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(1) Includes maximum sales charge of 5.00%.
(2) Excludes expenses.
(3) An "A' shareholder investment at the original 4.50% sales charge is
currently valued at $16,282.
(4) Includes contingent deferred sales charge of 3.00%.
<TABLE>
<CAPTION>
Average Annual Total Return Inception One Five Since
Through 12/31/98 Date Year Year Inception
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Pegasus Managed Assets Balanced Fund
I Shares 1/1/94 8.66% 11.41% 11.41%
A Shares With 5.00% Load 1/1/94 3.02% 10.13% 10.13%(/1/)
B Shares With Applicable CDSC(2) 8/26/96 3.78% -- 11.58%
60% S&P 500 Index* and 40%
Lehman Brothers Aggregate Bond Index**
Blend 1/1/94 8.69% 17.29% 17.29%
</TABLE>
(1) Return for an "A' shareholder who invested at the original 4.50% sales
charge was 10.24%.
(2) The performance of the B Shares will be less than the performance shown for
the I Shares due to the differences in loads and fees paid by shareholders
investing in the different classes.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so than an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
*The S&P 500 Index is an unmanaged index generally representative of the U.S.
stock market as a whole.
**The Lehman Brothers Aggregate Bond Index is an unmanaged index generally
representative of the bond market as a whole.
Pegasus Funds
4
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Managed Assets Funds -- (Continued)
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GROWTH OF $10,000 INVESTED IN THE
PEGASUS MANAGED ASSETS GROWTH FUND AND AN 80% S&P 500 INDEX*/
20% LEHMAN BROTHERS AGGREGATE BOND INDEX** BLEND
[CHART OF MANAGED ASSETS GROWTH FUND APPEARS HERE]
- --------------------------------------------------------------------------------
I Shares Net A shares w/5.0 B shares w/3.0 Index Blend
- --------------------------------------------------------------------------------
12/18/96 10000 9500 10000 10000
12/31/96 10100 9547 9960 10101
12/31/97 11905 11242 11623 12992
12/31/98 12912 12172 12088 16188
- --------------------------------------------------------------------------------
(1) Includes maximum sales charge of 5.00%.
(2) Includes contingent deferred sales charge of 3.00%.
(3) Excludes expenses.
<TABLE>
<CAPTION>
Average Annual Total Return Inception One Since
Through 12/31/98 Date Year Inception
- ---------------------------------------------------------------------------------
<S> <C> <C> <C>
Pegasus Managed Assets Growth Fund
I Shares 12/18/96 8.45% 13.36%
A Shares With 5.00% Load 12/18/96 2.87% 10.13%
B Shares With Applicable CDSC 12/18/96 3.55% 10.24%
80% S&P 500 Index* and 20%
Lehman Brothers Aggregate Bond Index** Blend 12/18/96 8.69% 17.18
</TABLE>
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
*The S&P 500 Index is an unmanaged index generally representative of the U.S.
stock market as a whole.
**The Lehman Brothers Aggregate Bond Index is an unmanaged index generally
representative of the bond market as a whole.
Pegasus Funds
5
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Equity Income Fund
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An interview with Chris Gassen
Portfolio Manager
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Q. How did the Fund perform?
The Pegasus Equity Income Fund's I shares posted a total return of 0.24% for
the year ended December 31, 1998. (For information on other share classes and
additional performance information, please see page 7.)
Q. How did large, value-oriented stocks perform relative to other stocks?
The market was extremely tiered in 1998, with large-capitalization indexes well
ahead of small-cap indexes, and growth stocks ahead of value. Throughout the
year, investors appeared to be largely ignoring sensible valuation yardsticks
in their effort to own the largest stocks. As more and more investors chased
these large, growth-oriented issues, the valuation gap versus smaller, more
sensibly priced stocks widened.
Q. What were your primary strategies and tactics?
A primary goal of the Fund is to provide a high level of current income.
Therefore, we concentrated the Fund's holdings in higher-yielding common stocks
and convertible securities. This strategy has put the Fund at a performance
disadvantage in the current market environment.
Through November turnover in the Fund was relatively low. We maintained
overweighted positions in convertible securities, finance stocks and utility
stocks, not only because of their relatively higher yields, but also because
their valuations were more attractive.
More recently, we participated in some tax-loss selling of certain securities
to minimize the Fund's capital gains for the year. In addition, we repositioned
certain smaller-capitalization issues, such as Alexander & Baldwin (railroads
and shipping), PXRE Corp. (finance) and Old Republic International Corp.
(insurance), into a diversified group of larger-capitalization stocks,
including General Electric (producer goods), Exxon (international oil), Coca-
Cola (food and agriculture), Merck (drugs and medicine), IBM (business
machines) and Emerson Electric (producer goods).
Q. Did the portfolio benefit from any particularly strong holdings?*
Earlier in the year we sold or reduced several positions due to price strength.
These included Ford Motor Co. (transportation), May Department Stores (retail),
Hasbro (consumer non-durables), Mercantile Bankshares Corp. (financial
services), and Fannie Mae (financial services). We reinvested the proceeds from
these sales in existing Fund holdings.
Q. What were the Fund's top 10 holdings?*
The Fund's top 10 holdings on December 31, 1998, included American National
Insurance (financial services), 3.3% of holdings; Fannie Mae (financial
services), 3.2%; Salomon (financial services), 3.2%; Canadian National Railway
(transportation), 3.1%; Lockheed Martin (technology), 3.1%; Pacific Century
Financial (financial services), 3.1%; Sierra Pacific Resources (energy), 3.0%;
Roche Holdings (industrial goods & services), 2.8%; Potomac Electric Power
(utilities), 2.6%; and Ohio Casualty Corp. (financial services), 2.6%.
Q. What is your outlook for the stock market?
In today's low interest rate environment, investors appear to be overlooking
the value of higher yielding securities. While these companies may not gain the
attention that certain Internet and drug stocks have enjoyed recently, many of
them are solid, well financed and very profitable firms. Prices on many of the
well known growth stocks are high based on historic valuation levels, and we
eventually expect to see a return to more "normal" levels. At that point, the
value of holding a portfolio of high-yielding, sensibly priced securities
should become evident.
* The Fund's holdings are subject to change.
Past performance is no guarantee of future results
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
6
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Equity Income Fund -- (Continued)
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GROWTH OF $10,000 INVESTED IN THE
PEGASUS EQUITY INCOME FUND AND THE
RUSSELL 1000 VALUE INDEX*
[CHART OF EQUITY INCOME FUND APPEARS HERE]
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I Shares Net A shares with 5% B shares with 3% Russell 1000 Index
- --------------------------------------------------------------------------------
1/27/95 10000 9500 10000 10000
12/31/95 13027 12329 12897 13441
12/31/96 15576 14706 15253 16358
12/31/97 18995 17878 18414 22113
12/31/98 19040 17869 17983 25569
- --------------------------------------------------------------------------------
(1) Includes maximum sales charge of 5.00%.
(2) Includes contingent deferred sales charge of 3.00%.
(3) Excludes expenses.
(4) An "A' shareholder investment at the original 4.50% sales charge is
currently valued at $17,963.
<TABLE>
<CAPTION>
Average Annual Total Return Inception One Since
Through 12/31/98 Date Year Inception
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
Pegasus Equity Income Fund
I Shares 1/27/95 0.24% 17.81%
A Shares With 5.00% Load 1/27/95 (5.04)% 15.92%(/1/)
B Shares With Applicable CDSC 1/27/95 (4.34)% 16.30%
Russell 1000 Value Index* 1/27/95 15.63% 26.99%
</TABLE>
(1) Return for an "A' shareholder who invested at the original 4.50% sales
charge was 16.08%.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
* The Russell 1000 Value Index is an unmanaged index generally representative
of the largest 1000 companies with a greater-than-average value orientation.
Pegasus Funds
7
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Growth Fund
- --------------------------------------------------------------------------------
An interview with Jeffrey Beard
Portfolio Manager
- --------------------------------------------------------------------------------
Q. How did the Fund perform?
The Pegasus Growth Fund's I shares posted a total return of 38.18% for the year
ended December 31, 1998. (For information on other share classes and additional
performance information, please see page 9.)
The Fund outperformed the market (as measured by the S&P 500 Index) by nearly
10 percentage points, due primarily to favorable stock selection that
emphasized large-cap, mainstream, sustainable growth stocks. The Fund's return
also compared favorably to the Russell 1000 Growth Index, which posted a total
return of 38.71%.
Q. To what do you attribute such strong performance?
Large-company growth stocks continued to lead all other market sectors. The
market was driven by liquidity, as fundamental concerns regarding global
expansion and disinflation affected earnings growth. Given this backdrop,
investors were willing to pay a large premium for companies able to produce
consistent and predictable earnings growth. This benefited the Fund, which
emphasizes that type of company.
Q. What were your primary strategies and tactics?
Our primary strategy was to remain fully invested in the liquidity-driven
market, where declining interest rates coupled with benign inflation pushed
valuation levels to new heights for quality growth stocks. We remained true to
our growth-investing style even in the face of a strong third-quarter market
correction. After the market bottomed in late August, performance initially
broadened to include smaller cap stocks, but before long the market's attention
was refocused on large growth stocks.
We maintained overweighted positions in the technology, health care and
consumer cyclicals sectors, key contributors to the strong market performance.
The economy's ongoing thirst for advanced technology and its ability to support
income growth and consumer demand, along with declining oil prices and
favorable interest rates all contributed to solid earnings growth in the
technology and consumer cyclicals sectors. New products, a continued expansion
of managed care, and stepped-up consumer advertising by large drug companies
fueled growth in the health care sector.
At the same time, we maintained underweighted positions in the poor-performing
energy and basic materials sectors. This strategy aided the Fund's performance.
Q. Did events abroad have an impact on the Fund?
Events abroad affected the Fund by forcing a flight to quality, which, in turn,
contributed to lower interest rates and demand for high-quality growth stocks.
Potential disruptions in Asian demand for U.S. technology goods was more than
offset by strength in Europe.
Q. Did the portfolio benefit from any particularly strong holdings?*
The Fund enjoyed outstanding performance from several individual technology
holdings, including Lucent Technologies, Cisco Systems, Sun Microsystems and
Microsoft. In addition, several retailers offered excellent returns, including
Staples, Home Depot, and Walgreen. Each of these companies was able to continue
its record of consistent, predictable revenue and earnings growth throughout
the year.
The largest disappointments were in the oil service industry, which was
affected by the extreme weakness in oil prices caused by a slowdown in global
demand. Active management of these and other poor-performing stocks helped
minimize the damage to Fund returns.
Q. What were the Fund's top 10 holdings?*
As of December 31, 1998, the Fund's top 10 holdings included Microsoft
(technology), 5.5% of holdings; Cisco Systems (technology), 4.1%; AirTouch
Communications (utilities), 3.8%; General Electric (capital goods), 3.5%; Intel
(electronics), 3.5%; Home Depot (retail), 3.1%; Sun Microsystems (technology),
2.9%; MCI WorldCom (utilities), 2.7%; Elan PLC (healthcare), 2.7; and Pfizer
(healthcare), 2.6%.
Q. What is your outlook for the market?
Looking ahead, we believe that inflation fears should remain dormant for most
of 1999, with global interest rates flat to lower. This should help support
continued stock market growth. Those companies that have demonstrated the
ability to grow their revenue in difficult pricing environments and provide
margin expansion at the same time should continue to be the leaders in 1999.
* The Fund's holdings are subject to change.
Past performance is no guarantee of future results
The Russell 1000 Growth Index is an unmanaged index generally representative of
the largest 1000 companies with a greater-than-average growth orientation. The
S&P 500 Index is an unmanaged index generally representative of the U.S. stock
market as a whole.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
Pegasus Funds
8
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Growth Fund -- (Continued)
- --------------------------------------------------------------------------------
GROWTH OF $10,000 INVESTED IN THE
PEGASUS GROWTH FUND AND THE
RUSSELL 1000 GROWTH INDEX*
[CHART OF GROWTH FUND APPEARS HERE]
- --------------------------------------------------------------------------------
I Shares Net A shares with 5% B shares with 3% Russell 1000 Index
- --------------------------------------------------------------------------------
1/27/95 10000 9500 10000 10000
12/31/95 13038 12347 12915 13548
12/31/96 15692 14830 15374 16737
12/31/97 19946 18798 19356 21840
12/31/98 27559 25926 26179 30293
- --------------------------------------------------------------------------------
(1) Includes maximum sales load of 5.00%.
(2) Includes contingent deferred sales charge of 3.00%.
(3) Excludes expenses.
(4) An "A' Shareholder investment at the original 4.50% sales charge is
currently valued at $26,063
<TABLE>
<CAPTION>
Average Annual Total Return Inception One Since
Through 12/31/98 Date Year Inception
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Pegasus Growth Fund
I Shares 1/27/95 38.18% 29.44%
A Shares With 5.00% Load 1/27/95 31.03% 27.44%(1)
B Shares With applicable CDSC 1/27/95 32.84% 27.91%
Russell 1000 Growth Index* 1/27/95 38.71% 32.59%
</TABLE>
(1) Return for an "A' shareholder who invested at the original 4.50% sales
charge was 27.61%.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
* The Russell 1000 Growth Index is an unmanaged index generally representative
of the largest 1000 companies with a greater-than-average growth orientation.
Pegasus Funds
9
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Mid-Cap Opportunity Fund
- --------------------------------------------------------------------------------
An interview with Ronald Doyle and Joseph Gatz
Portfolio Managers
- --------------------------------------------------------------------------------
Q. How did the Fund perform?
The Pegasus Mid-Cap Opportunity Fund's I shares posted a total return of 4.61%
for the year ended December 31, 1998. (For information on other share classes
and additional performance information, please see page 11.)
The Fund outperformed its benchmark index, the Russell 2500 Index, due to
favorable stock selection, particularly in the technology and consumer non-
durables sectors. For the year, the Russell 2500 posted a total return of
0.38%.
Q. How did mid-cap stocks perform relative to other stocks?
During 1998, mid-cap stocks, as represented by the Russell 2500 Index,
dramatically lagged large-cap stocks, as represented by the S&P 500 Index, but
they outperformed small-cap stocks, as measured by the Russell 2000 Index. Once
again, investors gravitated toward the perceived safety and liquidity offered
by larger companies, despite the fact that many small and mid-cap companies
produced solid earnings growth and offered attractive values.
Q. What were your primary strategies and tactics?
The Fund's long-time investment strategy has been to seek to invest in proven
growth companies selling at reasonable prices. We look for companies with a
distinct competitive advantage that may enable them to maintain above-average
growth and profitability for an extended period of time.
We continually monitor the fundamental developments of our holdings and add to
or reduce our positions based on our comfort level with how situations are
progressing relative to our expectations. This practice helped us avoid several
deteriorating stocks that could have hurt performance.
Given the tremendous economic upheaval in Southeast Asia and certain developing
countries, we tried to concentrate on companies with strong domestic
operations. While mid-cap companies have limited foreign operations, the
economic impact of the Asian financial crisis has rippled down to many smaller,
domestic-oriented companies.
Finally, we decreased the Fund's exposure to capital goods, as we believe that
there is over-capacity in the world economy, so overall capital expenditures
should weaken.
Q. Did the portfolio benefit from any particularly strong holdings?*
Specific stock selection was the key to the Fund's 1998 performance. The Fund
enjoyed success with technology service companies, including DST Systems and
Sunguard Data Systems. The Fund also benefited from companies showing
exceptional growth in niche markets, including Lexmark International, a
manufacturer of computer printers that consistently beat earnings estimates,
and Waters Corp., a leading provider of instruments used to identify and
monitor the chemical composition of food, drugs and water.
In the consumer area, we had success with companies that distinguish themselves
with tremendous brand-name appeal, including motorcycle-maker Harley-Davidson
and casual-apparel-provider Tommy Hilfiger.
Poor performers included DT Industries, a producer of custom machinery for
various industries, which suffered from reduced orders; Global Industries, an
oil service company hard hit by declining energy prices; and Belden, a leading
producer of specialty wire and cable, hurt by slowing demand and competitive
pricing in computer networking.
Q. What were the Fund's top 10 holdings?*
The Fund's top 10 holdings on December 31, 1998, included Lexmark International
(technology), 3.2% of holdings; Waters Corp., 2.8%; Charter One Financial
(financial services), 2.7%; Sunguard Data Systems (technology), 2.6%; Crane Co.
(capital goods), 2.5%; Harley-Davidson (consumer durable), 2.5%; FINOVA Group
(financial services), 2.3%; Saks (retail), 2.3%; Sybron International Corp.
(healthcare), 2.3%; and Tower Automotive (consumer durable), 2.3%.
Q. What is your outlook for the mid-cap stock market?
We expect the domestic economy to continue to expand, albeit at a slower rate.
We continue to be cautious about Southeast Asia and other emerging markets.
Therefore, we will continue to concentrate on companies that are somewhat
insulated from foreign turmoil and have strong domestic growth prospects.
* The Fund's holdings are subject to change.
Past performance is no guarantee of future results
The S&P 500 Index is an unmanaged index generally representative of the U.S.
stock market as a whole. The Russell 2000 Index is an unmanaged index generally
representative of the small-cap equity market. The Russell 2500 Index is an
unmanaged index generally representative of the small- to medium-small stock
market.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
10
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Mid-Cap Opportunity Fund -- (Continued)
- --------------------------------------------------------------------------------
GROWTH OF $10,000 INVESTED IN THE
PEGASUS MID-CAP OPPORTUNITY FUND AND THE
RUSSELL 2500 INDEX*
[CHART OF MID-CAP OPPORTUNITY FUND APPEARS HERE]
- --------------------------------------------------------------------------------
I Share Net A shares with 5% B shares with 3% Russell 2500
- --------------------------------------------------------------------------------
6/1/91 10000 10000
12/31/91 10523 11204
5/1/92 11110 9500 11683
12/31/92 13107 11208 13017
12/31/93 16254 13899 15170
12/31/94 15724 13445 15026
12/31/95 18830 16102 19787
9/23/96 22020 18810 10000 22310
12/31/96 23544 21113 10794 23561
12/31/97 30116 25657 13719 29300
12/31/98 31502 26758 13956 29413
- --------------------------------------------------------------------------------
(1) Includes maximum sales charge of 5.00%.
(2) Excludes expenses.
(3) An "A' shareholder investment at the original 4.50% sales charge is
currently valued at $26,893.
(4) Includes contingent deferred sales charge of 3.00%.
<TABLE>
<CAPTION>
Average Annual Total Return Inception One Five Since
Through 12/31/98 Date Year Year Inception
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Pegasus Mid-Cap Opportunity Fund
I Shares 6/1/91 4.61% 14.15% 16.48%
A Shares With 5.00% Load 5/1/92 (0.91)% 12.84% 15.90%(/1/)
B Shares With Applicable CDSC (2) 9/23/96 0.17% N/A 15.78%
Russell 2500 Growth Index* 6/1/91 0.38% 14.13% 15.28%
</TABLE>
(1) Return for an "A' shareholder who invested at the original 4.50% sales
charge was 15.99%.
(2) The performance of the B Shares will be less than the performance shown for
the I Shares due to the differences in loads and fees paid by shareholders
investing in the different classes.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so than an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
* The Russell 2500 Index is an unmanaged index generally representative of the
small-to-medium-small stock market.
Pegasus Funds
11
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Small-Cap Opportunity Fund
- --------------------------------------------------------------------------------
An interview with Ronald Doyle and Joseph Gatz
Portfolio Managers
- --------------------------------------------------------------------------------
Q. How did the Fund perform?
The total return on the Pegasus Small-Cap Opportunity Fund's I shares was -
4.11% for the year ended December 31, 1998. (For information on other share
classes and performance comparisons to the index, please see page 13.)
Q. How did small-cap stocks perform relative to other stocks?
The outlook for the domestic economy affected the Fund's performance, and the
performance of small-cap stocks in general. The economic backdrop generally was
favorable for stock investors, with low interest rates, solid GDP growth, low
inflation and a government budget surplus. But, fears of a slowing domestic
economy due to weakness in international markets caused investors to steadily
reduce earnings growth assumptions throughout the year.
In such an environment, investors often migrate to growth stocks offering
above-average earnings visibility. This trend, compounded by investors'
preference for large-cap stocks, resulted in a difficult market for small-cap
investors, and small-cap value stocks in particular. These trends persisted
throughout the first three quarters of 1998, but reversed early in the fourth
quarter following the Federal Reserve's rate cuts. These cuts prompted a
rotation back into small company stocks, as investors became more comfortable
with prospects for continued economic expansion.
Q. What were your primary strategies and tactics?
Our strategy is to invest in undervalued small companies inhabiting a niche
market or maintaining a barrier to entry that should allow for attractive
earnings growth and strong returns. We focus on overlooked or under-appreciated
stocks that exhibit the strong fundamental characteristics we require.
We rely on stock selection to add value, and sector weighting usually is a
neutral contributor. Stock selection was mixed during the year, with positive
selection in consumer-related industries offset by negative selection in
financial services and technology.
Given the upheaval in several international economies in 1998 and the potential
for slower U.S. growth in 1999, we reduced the Fund's overweighted position in
cyclical capital goods stocks and increased the Fund's weighting in domestic
health care companies and consumer stocks.
By emphasizing companies we believe to be fundamentally sound and selling at
reasonable valuations, we were able to dampen some of the inherently above-
average volatility of the small-cap sector. In addition, holdings that
exhibited deteriorating fundamentals or fell short of our expectations were
quickly eliminated to avoid any long-standing impact on the Fund.
Q. Did the portfolio benefit from any particularly strong holdings?*
Three of the Fund's top performers were stocks that were acquired (or were in
the process of being acquired) during the year. Lecg Inc., a financial and
economic consulting company was acquired by Metzler Group, also a Fund holding;
software developer Boole & Babbage announced an agreement to be acquired by BMC
Software; and Altron Inc., a contract manufacturer of electronic printed
circuit boards was acquired by Sanmina. In addition, the 99 Cents Only Stores,
a West Coast discount retailer.
The Fund also realized disappointing results from a few holdings: Cort Business
Services, a leading furniture rental company, was hurt by the expected slowdown
in the U.S. economy; Swift Energy, an oil and gas exploration and production
company, was negatively affected by the deep decline in commodity prices; and
Unicapital, an equipment leasing and financing company, fell due to tight
credit markets.
Q. What were the Fund's top 10 holdings?*
The Fund's top 10 holdings on December 31, 1998, included SPS Technologies
(consumer durables), 2.7% of holdings; Men's Wearhouse (retail), 2.5%; 99 Cents
Only Stores (retail), 2.4%; Zale Corp. (retail), 2.4%; Dura Automotive Systems
(capital goods), 2.3%; Stoneridge (technology), 2.1%; Lithia Motors (capital
goods), 2.1%; Wesley Jessen Visioncare (healthcare), 2.0%; Integrated
Electrical Services (business equipment & services), 2.0%; and Universal Health
Services (healthcare), 2.0%.
Q. What is your outlook for the small-cap stock market?
Small-cap stocks historically perform best in a moderately growing or
accelerating economic environment. We believe that recent interest rate cuts
have increased investor confidence that the economic expansion will continue in
1999. Our assumption is for modest growth, albeit slower than in recent years.
The Fund is positioned accordingly, with emphasis on domestically focused
companies.
* The Fund's holdings are subject to change.
Past performance is no guarantee of future results.
Small-capitalization funds typically carry additional risks because smaller
companies generally have a higher risk of failure.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
12
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Small-Cap Opportunity Fund -- (Continued)
- --------------------------------------------------------------------------------
GROWTH OF $10,000 INVESTED IN THE
PEGASUS SMALL-CAP OPPORTUNITY FUND AND THE
RUSSELL 2000 INDEX*
[CHART OF SMALL-CAP OPPORTUNITY FUND APPEARS HERE]
- --------------------------------------------------------------------------------
I Shares Net A shares with 5% B shares with 3% Russell 2000 Index
- --------------------------------------------------------------------------------
1/27/95 10000 9500 10000 10000
12/31/95 12508 11856 12376 12954
12/31/96 15713 14771 15398 15090
12/31/97 20522 19226 19889 18464
12/31/98 19677 18402 18575 17989
- --------------------------------------------------------------------------------
(1) Includes maximum sales charge of 5.00%.
(2) Includes contingent deferred sales charge of 3.00%.
(3) Excludes expenses.
(4) An "A' shareholder investment at the original 4.50% sales charge is
currently valued at $18,500.
<TABLE>
<CAPTION>
Average Annual Total Return Inception One Since
Through 12/31/98 Date Year Inception
- ---------------------------------------------------------------------------------
<S> <C> <C> <C>
Pegasus Small-Cap Opportunity Fund
I Shares 1/27/95 (4.11)% 18.80%
A Shares with 5.00% Load 1/27/95 (9.07)% 16.79%(/1/)
B Shares with Applicable CDSC 1/27/95 (8.77)% 17.25%
Russell 2000 Index* 1/27/95 (2.55)% 16.12%
</TABLE>
(1) Return for an "A' shareholder who invested at the original 4.50% sales
charge was 16.95%.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
* The Russell 2000 Index is an unmanaged index generally representative of the
small-cap equity market.
Pegasus Funds
13
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Intrinsic Value Fund
- --------------------------------------------------------------------------------
An interview with Chris Gassen
Portfolio Manager
- --------------------------------------------------------------------------------
Q. How did the Fund perform?
The total return on the Pegasus Intrinsic Value Fund's I shares was -3.29% for
the year ended December 31, 1998. (For information on other share classes and
additional performance information, please see page 15.)
Q. How did value stocks perform relative to other stocks?
The market was extremely tiered in 1998, with large-capitalization indexes well
ahead of small-cap indexes, and growth stocks ahead of value. For example, the
total return large-cap growth companies, as measured by the Russell 1000 Growth
Index, was 38.71% for the year, while the total return on small-cap stocks, as
measured by the Russell 2000 Index, was -2.55%. The return on the Fund's
benchmark, the S&P 500 Index, was 28.58%.
Q. What were your primary strategies and tactics?
Throughout the year, investors appeared to largely ignore sensible valuation
yardsticks in their effort to own the largest stocks. As more and more
investors chased these large, growth-oriented issues, the valuation gap versus
smaller, more sensibly priced stocks widened. As such, there was little in the
market environment that made sense to a value investor, and we made relatively
few changes to the Fund's holdings.
We did reduce the Fund's financial exposure somewhat by selling certain better-
performing holdings, including Fannie Mae (the government mortgage agency), Mid
Ocean (a pharmaceutical firm) and Allmerica Financial (an insurance company).
We used the proceeds to purchase additional shares of existing holdings that we
believe offer fundamental strengths for the long term.
One such issue is Unifi, a maker of spun cotton, nylon and polyester yarns. The
company has been adversely affected by the Asian economic crisis, which has
resulted in a rising level of inexpensive, imported yarn from the Far East. Our
continued purchase of Unifi typifies our approach of buying good-quality
companies at times when they are not "popular" with the investing public, but
which should earn attractive returns over time as they once again regain
investor favor.
Q. What were the Fund's top 10 holdings?*
The Fund's top 10 holdings on December 31, 1998, included Fund American
(financial services), 6.3% of holdings; Loews Corp. (multi-industry), 5.6%;
Sbarro (retail), 5.2%; Leucadia National (financial services), 4.6%; Lockheed
Martin (technology), 4.2%; Payless Shoe Source (retail), 4.0%; Unifi (consumer
durable), 4.0%; Canadian National Railway (transportation), 3.4%; American
National Insurance (insurance), 3.3%; and Old Republic International
(insurance), 3.2%.
Q. What is your outlook for the market?
As long as stock investors continue to ignore traditional fundamental analysis,
we believe it is likely that value-oriented funds will continue to underperform
the market. Prices on many growth stocks remain high based on historic
valuation parameters, but the lure of high returns attained over the past
several years continues to bring more money into the market. This drives up
prices and returns, and the cycle continues to spiral. At some point, we expect
the cycle to be broken, and the benefits of value investing should become
clear.
* The Fund's holdings are subject to change.
Past performance is no guarantee of future results.
The S&P 500 Index is an unmanaged index generally representative of the U.S.
Stock Market as a whole.
The Russell 1000 Growth Index is an unmanaged index generally representative of
the largest 1000 companies with a greater-than-average growth orientation. The
Russell 1000 Value Index is an unmanaged index generally representative of the
largest 1000 companies with a greater-than-average value orientation. The
Russell 2000 Index is an unmanaged index generally representative of the small-
cap equity market.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
14
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Intrinsic Value Fund -- (Continued)
- --------------------------------------------------------------------------------
GROWTH OF $10,000 INVESTED IN THE
PEGASUS INTRINSIC VALUE FUND AND THE
S&P 500 INDEX*
[CHART OF INTRINSIC VALUE FUND APPEARS HERE]
- ------------------------------------------------------------------------------
I shares A shares w/5.00% B shares w/3.00% S&P 500 Index
- ------------------------------------------------------------------------------
6/1/91 10000 10000
12/31/91 10152 10902
5/1/92 11125 9500 10627
12/31/92 11629 9930 11731
12/31/93 13340 11391 12911
12/31/94 13260 11323 13080
12/31/95 16492 14083 17991
9/23/96 18849 16080 10000 20418
12/31/96 20449 17434 10842 22119
12/31/97 25613 21798 13470 29499
12/31/98 24771 21024 12599 37929
- -------------------------------------------------------------------------------
(1) Includes maximum sales charge of 5.00%.
(2) Excludes expenses.
(3) An "A' shareholder investment at the original 3.50% sales charge is
currently valued at $21,135.
(4) Includes contingent deferred sales charge of 5.00%.
<TABLE>
<S> <C> <C> <C> <C>
Average Annual Total Return Inception One Five Since
Through 12/31/98 Date Year Year Inception
- --------------------------------------------------------------------------------
Pegasus Intrinsic Value Fund
I Shares 6/1/91 (3.29)% 13.18% 12.70%
A Shares With 5.00% Load 5/1/92 (8.37)% 11.89% 11.79%(/1/)
B Shares With Applicable CDSC(2) 9/23/96 (7.70)% N/A 10.73%
S&P 500 Index* 6/1/91 28.58% 24.06% 19.21%
</TABLE>
(1) Return for an "A' shareholder who invested at the original 4.5% sales
charge was 11.87%.
(2) The performance of the B Shares will be less than the performance shown for
the I Shares due to the differences in loads and fees paid by shareholders
investing in the different classes.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
* The S&P 500 Index is an unmanaged index generally representative of the U.S.
stock market as a whole.
Pegasus Funds
15
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Growth and Value Fund
- --------------------------------------------------------------------------------
An interview with George Abel
Portfolio Manager
- --------------------------------------------------------------------------------
Q. How did the Fund perform?
The Pegasus Growth and Value Fund's I shares posted a total return of 13.40%
for the year ended December 31, 1998. (For information on other share classes
and additional performance information, please see page 17.)
Q. To what do you attribute this performance?
The low interest rate environment in the U.S. served as a positive factor for
stocks in two ways: 1.) Stock multiples tend to expand when interest rates
decrease; and 2.) lower interest rates decrease borrowing costs for companies,
thus boosting earnings. In addition, the continued strength of the U.S. economy
helped offset some of the earnings weakness that several Fund holdings
experienced overseas.
Q. What were your primary strategies and tactics?
We targeted large-cap companies with above-average growth rates selling at
reasonable valuations. Our capitalization focus served the Fund well during
1998, as large-cap stocks were the year's performance leaders. However, growth
stocks outperformed value stocks, and the Fund's tilt toward value hurt
relative performance. We had emphasized value stocks throughout the year due to
concerns about the high valuations that the market was placing on certain
growth-oriented stocks.
In addition, market performance was narrow, with a handful of high-growth
stocks accounting for a disproportionate amount of the S&P 500 Index's strong
return. Due to valuation considerations, the Fund did not hold many of these
stocks, which was a major factor in the Fund's return lagging that of the S&P
500.
Q. Did events abroad have an impact on the Fund?
The weakness in Asia had a significant negative impact on the earnings of a few
companies in the Fund. Boeing (aerospace), Callaway Golf (travel and
recreation) and AMP (electronics) all reported major earnings shortfalls as a
result of lower sales to Asia. As a result, their stock prices all suffered.
(AMP later recovered when it became an acquisition target.)
As concerns grew during the year about Asia's impact on earnings, the Fund
benefited on a relative basis due to its overweighting in the utilities and
consumer staples sectors.
Q. Did the portfolio benefit from any particularly strong holdings?*
The Fund's health care holdings, particularly Schering Plough made significant
contributions to the Fund's performance. Schering Plough's reputation for
earnings consistency and relatively small exposure to Asia made it a popular
choice for investors. The Fund also enjoyed strong results from Century
Telephone after its successful integration of Pacific Telecom; Intel and
Anheuser-Busch.
The Fund realized disappointing results from MCN Energy Group, which suffered
significant earnings shortfalls from its non-utilities business; Schlumberger,
which was negatively affected by the sharp drop in oil prices; and Office Max,
hurt due to weaker-than-expected same-store sales caused by a sharp decline in
average computer prices.
Q. What were the Fund's top 10 holdings?*
The Fund's top 10 holdings as of December 31, 1998, included Bristol-Myers
Squibb (healthcare), 3.4% of holdings; Anheuser-Busch (consumer non-durables),
2.8%; American Home Products (healthcare), 2.8%; Automatic Data Processing
(business equipment & services), 2.7%; IBM (technology), 2.5%; Kimberly Clark
(shelter), 2.5%; Century Telephone (utilities), 2.5%; Wells Fargo (financial
services), 2.5%; Intel (technology), 2.4%; and ConAgra (consumer non-durable),
2.4%.
Q. What is your outlook for the market?
We expect the market to continue to benefit from the low inflation, low
interest rate environment. However, we do have some strong concerns about high
valuations. In our view, many of these valuations are not based on the
fundamentals of the company. Instead, they result from investors being caught
up in the momentum of the moment. These valuations do not leave a lot of room
for any potential "bad news," and thus we believe the market could be volatile
in 1999. We also have some concerns about the growing weakness in Latin
America. Europe is also beginning to see a slow down, which could negatively
affect many large, multi-national companies.
* The Fund's holdings are subject to change.
Past performance is no guarantee of future results.
The S&P 500 Index is an unmanaged index generally representative of the U.S.
stock market as a whole.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
16
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Growth and Value Fund -- (Continued)
- --------------------------------------------------------------------------------
GROWTH OF $10,000 INVESTED IN THE
PEGASUS GROWTH AND VALUE FUND AND THE
S&P 500 INDEX*
[CHART OF GROWTH & VALUE FUND APPEARS HERE]
- -------------------------------------------------------------------------------
I shares A shares w/5.00% B shares w/3.00% S&P 500 Index
- -------------------------------------------------------------------------------
6/1/91 10000 10000
12/31/91 10007 10902
5/1/92 10430 9500 10627
12/31/92 10996 10015 11731
12/31/93 12512 11397 12911
12/31/94 12581 11459 13080
12/31/95 16105 14670 17991
9/23/96 18067 16449 10000 20418
12/31/96 19221 17493 10610 22119
12/31/97 24631 22355 13465 29499
12/31/98 27932 25296 14829 37929
- --------------------------------------------------------------------------------
(1) Includes maximum sales charge of 5.00%.
(2) Excludes expenses.
(3) An "A' shareholder investment at the original 4.50% sales charge is
currently valued at $25,428.
(4) Includes contingent deferred sales charge of 3.00%.
<TABLE>
<S> <C> <C> <C> <C>
Average Annual Total Return Inception One Five Since
Through 12/31/98 Date Year Year Inception
- -------------------------------------------------------------------------------
Pegasus Growth and Value Fund
I Shares 6/1/91 13.40% 17.42% 14.50%
A Shares With 5.00% Load 5/1/92 7.49% 16.09% 14.93%(/1/)
B Shares With Applicable CDSC(2) 9/23/96 8.52% N/A 18.97%
S&P 500 Index* 6/1/91 28.58% 24.06% 19.21%
</TABLE>
(1) Return for an "A' shareholder who invested at the original 4.50% sales
charge was 15.02%.
(2) The performance of the B Shares will be less than the performance shown for
the I Shares due to the differences in loads and fees paid by shareholders
investing in the different classes.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
*The S&P 500 Index is an unmanaged index generally representative of the U.S.
stock market as a whole.
Pegasus Funds
17
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Equity Index Fund
- --------------------------------------------------------------------------------
An interview with Richard Neuman
Portfolio Manager
- --------------------------------------------------------------------------------
Q. How did the Fund perform?
The Pegasus Equity Index Fund's I shares posted a total return of 28.25% for
the year ended December 31, 1998. The return on the S&P 500 Index, which the
Fund seeks to approximate, was 28.58%.(For information on other share classes
and additional performance information, please see page 19.)
Q. Is the Fund an exact replica of the Index?
Security weightings in the Fund are based on the underlying weightings in the
S&P 500 Index. We employ a "sampling" methodology, whereby not all of the
securities in the Index necessarily are held in the Fund. Instead, the Fund
invests in a large, statistically based "sample" of those securities. This
technique tends to decrease the number of transactions that are required when
the Fund is rebalanced.
Q. What accounted for the difference between the Fund's return and the Index's
return?
The Fund has management fees and transaction costs that do not apply to the
Index, and these charges accounted for more than the difference, or "tracking
error," between the Fund and Index. In addition, we would expect small
deviations to occur due to slight differentials between security weightings in
the Fund and weightings in the Index.
Along with strong market volatility, the Fund experienced an unusually high
number of purchases and redemptions in 1998. Nevertheless, the Fund has
maintained minimal tracking error.
Q. How did the S&P 500's returns compare to other index returns?
Once again, the large, growth-oriented stocks that characterize the S&P 500
Index generally outperformed smaller-capitalization stocks and value-oriented
stocks. For example, compared to the Russell 2000 index of small-company stocks
(down 2.55% for the year), the S&P 500 was up 31.13 percentage points. Compared
to the Russell 1000 Value Index (up 15.63% for the year), the S&P 500
outperformed by 12.95 percentage points.
Q. To what do you attribute such strong market performance?
While the U.S. stock market experienced considerable volatility during the
year, the combination of low inflation and low interest rates once again
provided the support for continued stock market strength. In addition,
investors continued to favor large-cap stocks for their liquidity and relative
safety versus other stocks.
Q. What were the Fund's top 10 holdings?*
The Fund's top 10 holdings on December 31, 1998, included Microsoft
(technology) at 3.4% of holdings; General Electric (capital goods), 3.3%; Intel
(technology), 2.0%; Wal-Mart (retail), 1.8%; Merck (healthcare), 1.7%; IBM
(business equipment & services), 1.7%; Exxon (energy), 1.7%; Pfizer
(healthcare), 1.6%; Coca-Cola (consumer non-durable), 1.6%; and Cisco Systems
(technology), 1.4%.
* The Fund's holdings are subject to change.
Past performance is no guarantee of future results.
The S&P 500 Index is an unmanaged index generally representative of the U.S.
stock market as a whole. The index does not reflect the deduction of fees
associated with a mutual fund, such as investment management and fund
accounting fees.
The Russell 2000 Index is an unmanaged index generally representative of the
small-cap equity market. The Russell 1000 Value Index is an unmanaged index
generally representative of the largest 1000 companies with a greater-than-
average value orientation.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
18
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Equity Index Fund -- (Continued)
- --------------------------------------------------------------------------------
GROWTH OF $10,000 INVESTED IN THE
PEGASUS EQUITY INDEX FUND AND THE
S&P 500 INDEX*
[CHART OF EQUITY INDEX FUND APPEARS HERE]
- --------------------------------------------------------------------------------
I shares A shares w/3.00% B shares w/2.00% S&P 500 Index
- --------------------------------------------------------------------------------
7/10/92 10000 9700 10000
12/31/92 10648 10329 10657
12/31/93 11688 11338 11736
12/31/94 11808 11454 11891
12/31/95 16219 15732 16355
9/23/96 18378 17820 10000 18562
12/3196 19880 19269 10809 20108
12/31/97 26434 25568 14236 26817
12/31/98 33901 32706 17891 34481
- --------------------------------------------------------------------------------
(1) Includes maximum sales charge of 3.00%.
(2) Excludes expenses.
(3) Includes contingent deferred sales charge of 2.00%.
<TABLE>
<CAPTION>
Average Annual Total Return Inception One Five Since
Through 12/31/98 Dates Year Year Inception
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Pegasus Equity Index Fund
I Shares 7/10/92 28.25% 23.73% 20.74%
A Shares With 3.00% Load 7/10/92 24.09% 22.85% 20.07%
B Shares With Applicable CDSC(1) 9/23/96 24.07% N/A 29.18%
S&P 500 Index* 7/10/92 28.58% 24.06% 22.71%
</TABLE>
(1) The performance of the B Shares will be less than the performance shown for
the I Shares due to the differences in loads and fees paid by shareholders
investing in the different classes.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
*The S&P 500 Index is an unmanaged index generally representative of the U.S.
stock market as a whole.
Pegasus Funds
19
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Market Expansion Index Fund
- --------------------------------------------------------------------------------
An interview with Richard Neumann
Portfolio Manager
- --------------------------------------------------------------------------------
Q. How did the Fund perform?
The Pegasus Market Expansion Index Fund's I shares posted a total non-
annualized return of 9.91% from its inception on July 31, 1998, through
December 31, 1998. (For information on other share classes and additional
performance information, please see page 21.)
Q. What index does the Fund track?
The Fund seeks to offer returns that approximate a market cap adjusted average
of the returns on the S&P MidCap 400 Index and the S&P SmallCap 600 Index. For
the period from July 31, 1998, through December 31, 1998, the S&P MidCap 400
Index returned 14.07%, while the S&P SmallCap 600 Index returned 0.71%.
Q. Is the Fund an exact replica of the two indexes?
Security weightings in the Fund are based on the underlying weightings in the
S&P MidCap 400 and S&P SmallCap 600 indexes. We employ a "sampling"
methodology, whereby not all of the securities in the indexes necessarily are
held in the Fund. Instead, the Fund invests in a large, statistically based
"sample" of those securities. This technique tends to decrease the number of
transactions that are required when the Fund is rebalanced.
Q. What accounted for the difference between the Fund's return and the average
return of the two indexes?
The Fund has management fees and transaction costs that do not apply to the
indexes, and these charges account for most of the difference, or "tracking
error," between the Fund and the indexes. In addition, we would expect small
deviations to occur due to slight differentials between security weightings in
the Fund and weightings in the indexes.
Q. How did the returns on the S&P MidCap and S&P SmallCap compare to other
index returns?
For the entire calendar year, large, growth-oriented stocks, as represented by
the S&P 500 Index, once again outperformed smaller-capitalization U.S. stocks.
But, for the final five months of the year, large-cap stocks, as represented by
the S&P 500 Index, underperformed mid-cap stocks, as represented by the S&P
MidCap 400 Index, by 3.66 percentage points. Compared to small-cap stocks, as
represented by the S&P SmallCap 600 Index, large-cap stocks outperformed by
9.70 percentage points from July 31, 1998, through December 31, 1998.
Q. What were the Fund's top 10 holdings?*
As of December 31, 1998, the Fund's top 10 holdings included America Online
(business equipment services), 5.4% of holdings; Compuware Corp. (technology),
1.2%; Solectron Corp. (technology), 0.9%; AFLAC Inc. (financial services),
0.8%; Crestar Financial Corp. (financial services), 0.6%; Office Depot Inc.
(retail), 0.6%; Networks Associates Inc. (technology), 0.6%; McKesson Corp.
(consumer non-durables), 0.6%; Lexmark International (technology), 0.6%; and
Harley Davidson Inc. (consumer durable), 0.6%.
* The Fund's holdings are subject to change.
Past performance is no guarantee of future results.
Small-capitalization funds typically carry additional risks because smaller
companies generally have a higher risk of failure.
The S&P 500 Index is an unmanaged index generally representative of the U.S.
stock market as a whole. The S&P 400 Index is an unmanaged index that consists
of 400 domestic stocks chosen for market size, liquidity and industry group
representation. The S&P 600 Index is an unmanaged index that consists of 600
domestic stocks chosen for market size, liquidity (bid-asked spread, ownership,
share turnover and number of no-trade days) and industry group representation.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
20
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Market Expansion Index Fund -- (Continued)
- --------------------------------------------------------------------------------
GROWTH OF $10,000 INVESTED IN THE
PEGASUS MARKET EXPANSION FUND, THE
S&P 400 INDEX* AND THE S&P 600 INDEX*
[CHART OF MARKET EXPANSION FUND APPEARS HERE]
- --------------------------------------------------------------------------------
I shares A shares w/3.00% B shares w/3.00% S&P 400 Index S&P 600 Index
- --------------------------------------------------------------------------------
7/30/98 10000 9700 10000 10000 10000
12/31/98 11015 10655 10630 11383 10071
- --------------------------------------------------------------------------------
(1) Includes maximum sales charge of 3.00%.
(2) Excludes expenses.
(3) Includes contingent deferred sales charge of 3.00%.
<TABLE>
<CAPTION>
Average Annual Total Return Inception Since
Through 12/31/98 Date Inception
------------------------------------------------------------------------------------
<S> <C> <C>
Pegasus Market Expansion Index Fund
I Shares 7/31/98 9.91%
A Shares With 3.00% Load 7/31/98 6.55%
B Shares With Applicable CDSC (1) 7/31/98 6.30%
S&P 400 Index 7/31/98 35.67%
S&P 600 Index 7/31/98 1.68%
</TABLE>
(1) The performance of the B Shares will be less than the performance shown for
the I Shares due to the differences in loads and fees paid by shareholders
investing in the different classes.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so than an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
* The S&P 400 Index is an unmanaged index generally representative of the mid-
cap stock market.
** The S&P 600 Index is an unmanaged index generally representative of the
small companies stock market.
Pegasus Funds
21
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
International Equity Fund
- --------------------------------------------------------------------------------
An interview with Richard Kost and Clyde Carter
Portfolio Manager
- --------------------------------------------------------------------------------
Q. How did the Fund perform?
The Pegasus International Equity Fund's I shares posted a total return of
16.43% for the year ended December 31, 1998. (For information on other share
classes and additional performance information, please see page 23.)
The Fund's return lagged that of its benchmark index, the Morgan Stanley
Capital International Europe, Australia and Far East (MSCI EAFE) Index, which
returned 20.00% for the year. This was due primarily to the Fund's
overweighting of some Latin American markets. On the other hand, overweighting
Finland, Belgium, Spain and Ireland and underweighting Japan helped relative
performance.
Q. What are your primary strategies and tactics?
We invest in international securities issued in countries that we believe offer
above-average performance opportunities. We emphasize top-down fundamental
analysis that focuses on forecasting key macroeconomic and investment
variables. By using quantitative tools and drawing on our own experience and
judgment, we attempt to select countries that appear attractive. Then, at the
stock selection level, we invest in "baskets" of common stocks to replicate the
performance of individual country stock market indexes.
Q. What were some of the major factors affecting the Fund's performance?
In Europe, equity markets advanced, with the MSCI Europe Index up 28.5% in U.S.
dollar terms. We significantly increased the Fund's weighting in Europe, and at
year-end, the Fund had 72% of its assets invested there. European equity
markets rose in response to declining interest rates, expectations of modest
economic growth, and corporate restructuring and merger activity fueled by the
European Monetary Union. The best-performing countries in U.S. dollar terms
were Finland, up 122% for the year; Belgium, up 68%; and Italy, up 53%. The
worst-performing European market was Norway, down 30%.
In Japan, the stock market advanced only 5.1% in U.S. dollar terms, as investor
pessimism about 1998 and 1999 economic growth prospects continued, inflationary
pressures remained low and the corporate earnings outlook became less
favorable. The Fund remained underweighted in Japan, with 15% of its assets
invested in the country at year-end.
Q. How did events in Asia, Russia and Latin America influence the Fund?
Asian equity markets generally declined amid growing concerns about regional
recession. Malaysia plunged 31%, Singapore was down 4%, and Hong Kong fell 3%.
The continued turmoil in Asia had little impact on the Fund's performance due
to an active decision in 1997 to significantly underweight Asia.
The financial crisis that started in Southeast Asia in 1997 spread to other
markets, as commodity prices declined sharply and investors began to lose
confidence in countries with large deficits, including Russia and some Latin
American economies. The Fund had no equity investments in Russia, but declining
equity prices in Latin America did affect the Fund, despite our efforts to
reduce the Fund's exposure to these countries.
Furthermore, the Fund was indirectly affected by events in these regions
because European banks and engineering firms with significant exposure in Asia,
Russia and Latin America saw their stock prices decline.
Q. What were the Fund's top 10 countries?*
As of December 31, 1998, the Fund's assets were diversified among several
countries, the top 10 of which included: United Kingdom, 15.2% of holdings;
Japan, 14.9%; Finland, 8.3%; Germany, 7.8%; France, 7.2%; Spain, 6.7%;
Netherlands, 5.2%; Ireland, 4.8%; Belgium, 4.4%; and Switzerland, 4.2%.
Q. How will Europe's conversion to a single currency affect the Fund?
As of December 31, 1998, we assessed the impact of the European Monetary Union
(EMU) and the issuance of a single currency (the Euro) for use in participating
countries. This conversion resulted in required modifications to certain
computer systems, hardware and software of the Fund's service providers, all of
which were completed by December 31, 1998, with no resulting costs to the Fund.
Q. What is your outlook for the international stock market?
We expect European economic growth in 1999 to slow from 1998 levels. In Asia,
our outlook is for modestly improved growth in 1999. Despite the current
economic and financial turmoil centered in Asia, several international markets
appear attractive based on various valuation measures, and we continue to
recommend that long-term investors consider having a portion of their assets
invested internationally.
* The Fund's composition is subject to change.
Post performance is no guarantee of future results.
The Morgan Stanley Capital International Europe, Australia and Far East Index
(EAFE) is composed of a sample of companies representative of the market
structure of 20 European and Pacific Basin countries. The index is an unmanaged
index of stocks in their respective regions. The index does not reflect the
deduction of fees associated with a mutual fund, such as investment management
and fund accounting fees.
International investing involves increased risk and volatility.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
22
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
International Equity Fund -- (Continued)
- --------------------------------------------------------------------------------
GROWTH OF $10,000 INVESTED IN THE
PEGASUS INTERNATIONAL EQUITY FUND AND THE
MSCI EAFE INDEX*
[CHART OF INTERNATIONAL EQUITY FUND APPEARS HERE]
- --------------------------------------------------------------------------------
I shares A shares w/5.00% B shares w/3.00% MSCI EAFE Index
- --------------------------------------------------------------------------------
12/3/94 10000 9500 10000
12/31/95 11153 10595 11134
8/26/96 11449 10855 10000 11623
12/31/96 12021 11390 10262 11808
12/31/97 12499 11810 10583 12315
12/31/98 14554 13713 11840 15408
- --------------------------------------------------------------------------------
(1) Includes maximum sales charges of 5.00%.
(2) Excludes expenses.
(3) An "A' shareholder investment at the original 4.50% sales charge is
currently valued at $13,785.
(4) Includes contingent deferred sales of 3.00%.
<TABLE>
<CAPTION>
Average Annual Total Return Inception One Since
Through 12/31/98 Date Year Inception
- ---------------------------------------------------------------------------------
<S> <C> <C> <C>
Pegasus International Equity Fund
I Shares 12/3/94 16.43% 9.63%
A Shares With 5.00% Load 12/3/94 10.32% 8.05%(/1/)
B Shares With Applicable CDSC (2) 8/26/96 11.43% 7.74%
MSCI EAFE Index* 12/3/94 20.00% 15.07%
</TABLE>
(1) Return for an "A' shareholder who invested at the original 4.50% sales
charge was 8.19%.
(2) The performance of the B Shares will be less than the performance Shares
for the I-Shares due to the differences in loads and fees paid by
Shareholders investing in the different classes.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
*The MSCI EAFE Index is an unmanaged index generally representative of the
foreign equity market as a whole.
Pegasus Funds
23
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Bond and Intermediate Bond Funds
- --------------------------------------------------------------------------------
An interview with Doug Swanson
Portfolio Manager
- --------------------------------------------------------------------------------
Q. How did the Funds perform?
The Pegasus Bond Fund's I shares offered a total return of 8.17% for the year
ended December 31, 1998, and the Pegasus Intermediate Bond Fund's I shares
posted a total return of 7.62% for the year. (For information on other share
classes and additional performance information, please see pages 25-26.)
Both Funds offered favorable returns due to their overweighting of mortgage-
backed securities. More important, our specific security selection,
particularly in the mortgage sector, was a positive influence on performance.
Q. How did market developments influence performance?
The general decline in interest rates resulted in price appreciation for both
Funds. Treasuries generally were the best performers for the year, with
declines in yield that surpassed all other bond market sectors. Our avoidance
of low-quality securities was a positive influence, as these securities offered
little or no price appreciation. While they lagged Treasuries on a price basis,
mortgage- and asset-backed securities helped performance on a yield basis.
Q. To what do you attribute the Fund's return?
The decline in interest rates in 1998 resulted in positive price appreciation
for both funds, which influenced total return. Yield also contributed nicely to
each fund's overall total return.
Q. What were your primary strategies and tactics?
In general, we kept each Fund's duration similar to the duration of its
respective market index, which enabled the Funds to realize market appreciation
as interest rates declined. (Duration is a measure of a fund's price
sensitivity to interest rate changes. A longer duration indicates greater
sensitivity; a shorter duration indicates less.) The Bond Fund's duration as of
December 31, 1998, was 4.7 years, versus 4.4 years for the Lehman Brothers
Aggregate Bond Index. The Intermediate Bond Fund's duration ended the year at
3.5 years, versus 3.4 years for the Lehman Brothers Intermediate
Government/Corporate Bond Index.
We also maintained high credit-quality profiles in both Funds, relative to the
benchmark indexes. The Funds were overweighted in high-quality mortgage-and
asset-backed securities, with a focus on undervalued securities. However, this
strategy hurt the Funds' relative performance because even high-quality
securities underperformed due to liquidity concerns.
The high quality characteristics of the Funds meant that they were not affected
directly by the turmoil in foreign markets and the flight to quality from
lower-quality securities.
Q. How did the Funds' yields change during the year?
The declining interest rate environment pushed the SEC yield on the Fund's I
shares slightly lower--from 6.39% on December 31, 1997, to 6.21% on December
31, 1998 for the Bond Fund, and from 6.20% to 6.14% for the Intermediate Bond
Fund.
Q. How were the Funds structured in terms of quality and sectors?*
At year-end, 34% of the Bond Fund was invested in Treasury and agency
securities, 5% in corporate bonds, 54% in mortgage-backed securities, and 7% in
asset-backed securities. Securities rated AAA comprised 95% of the Fund. On
December 31, 1998, 25% of the Intermediate Bond Fund was invested in Treasury
and agency securities, 5% in corporate bonds, 58% in mortgage-backed
securities, and 12% in asset-backed securities. Securities rated AAA comprised
96% of the Fund.
Q. What is your outlook for the bond market?
Our long-term view on the bond market remains positive. Inflation is likely to
remain at current levels, or rise only slightly, and economic growth is likely
to continue, but at a slower pace. We believe that the mortgage-backed security
market remains undervalued, presenting many attractive opportunities. We also
expect the asset-backed sector to perform well versus Treasuries.
* The Fund's composition is subject to change.
Past performance is no guarantee of future results.
The Lehman Brothers Intermediate Government/ Corporate Bond Index is an
unmanaged index generally representative of intermediate-term government and
corporate bond markets. The index does not reflect the deduction of fees
associated with a mutual fund, such as investment management and fund
accounting fees.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
24
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Bond and Intermediate Bond Funds -- (Continued)
- --------------------------------------------------------------------------------
GROWTH OF $10,000 INVESTED IN THE
PEGASUS INTERMEDIATE BOND FUND AND
LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE BOND INDEX*
[CHART OF INTERMEDIATE BOND FUND APPEARS HERE]
- --------------------------------------------------------------------------------
Lehman Brothers
Intermediate Govt/
I shares A shares w/3.00% B shares w/2.00% Corp Bond Index
- --------------------------------------------------------------------------------
6/1/91 10000 10000
5/1/92 10938 9700 10800
12/31/92 11623 10315 11781
12/31/93 12600 11182 12817
12/31/94 11806 10477 12569
12/31/95 14105 12517 14496
9/24/96 14485 12842 10000 14400
12/31/96 14920 13224 10350 15083
12/31/97 16168 14286 11108 16270
12/31/98 17400 15340 11618 17644
- --------------------------------------------------------------------------------
(1) Includes sales charge of 3.00%.
(2) Excludes expenses.
(3) An "A' shareholder investment with the original 4.50% sales charge is
currently valued at $15,189.
(4) Includes contingent deferred sales charge of 2.00%.
<TABLE>
<CAPTION>
Average Annual
Total Return Inception One Five Since
Through 12/31/98 Date Year Years Inception
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Pegasus Intermediate Bond Fund
I Shares -- Net of Fees 6/1/91 7.62% 6.67% 7.57%
A Shares With 3.00% Load 5/1/92 4.15% 5.88% 6.63%(1)
B Shares With Applicable CDSC(2)
9/23/96 3.44% N/A 6.84%
Lehman Brothers Intermediate
Government/Corporate Bond
Index* 6/1/91 0.44% 6.60% 7.77%
</TABLE>
(1) Return for an "A' shareholder who invested at the original 4.50% sales
charge was 6.47%.
(2) The performance of the B Shares will be less than the performance shown for
the I Shares due to the differences in loads and fees paid by shareholders
investing in the different classes.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
*The Lehman Brothers Intermediate Government/Corporate Bond Index is an
unmanaged index generally representative of the intermediate-term government
and corporate bond market as a whole.
Pegasus Funds
25
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Bond and Intermediate Bond Funds -- (Continued)
- --------------------------------------------------------------------------------
GROWTH OF $10,000 INVESTED IN THE
PEGASUS BOND FUND
AND THE LEHMAN BROTHERS AGGREGATE BOND INDEX*
[CHART OF BOND FUND APPEARS HERE]
- -------------------------------------------------------------------------------
Lehman Brother
Aggregate Bond
I SHARES A SHARES w/4.50% B SHARES w/3.00% Index
- -------------------------------------------------------------------------------
6/1/91 10000 10000
12/31/91 11070 11098
5/1/92 10986 9550 11400
12/31/92 11796 10253 11919
12/31/93 13139 11422 13081
12/31/94 12220 10623 12699
12/31/95 15122 13145 15045
8/26/96 15093 13117 10000 15200
12/31/96 15890 13799 10481 15591
12/31/97 17474 15131 11415 17096
12/31/98 18900 16328 11929 18581
- -------------------------------------------------------------------------------
(1) Includes maximum sales charge of 4.50%.
(2) Excludes expenses.
(3) Includes contingent deferred sales charge of 3.00%.
<TABLE>
<CAPTION>
Average Annual Total Return Inception One Five Since
Through 12/31/98 Date Year Years Inception
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Pegasus Bond Fund
I Shares 6/1/91 8.17% 7.54% 8.75%
A Shares With 4.50% Load 5/1/92 3.06% 6.43% 7.63%
B Shares With Applicable CDSC(1) 8/26/96 3.16% N/A 7.80%
Lehman Brothers Aggregate Bond Index* 6/1/91 8.69% 7.27% 8.51%
</TABLE>
(1) The performance of the B Shares will be less than the performance shown for
the I Shares due to the differences in loads and fees paid by shareholders
investing in the different classes.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
* The Lehman Aggregate Bond Index is an unmanaged index generally
representative of the bond market as a whole.
Pegasus Funds
26
<PAGE>
[INTENTIONALLY LEFT BLANK]
Pegasus Funds
27
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Short Bond Fund
- --------------------------------------------------------------------------------
An interview with Ricardo F. Cipicchio
Portfolio Manager
- --------------------------------------------------------------------------------
Q. How did the Fund perform?
The Pegasus Short Bond Fund's I shares offered a total return of 6.34% for the
year ended December 31, 1998. (For information on other share classes and
performance comparisons to indexes, please see page 29.)
Q. How did market developments influence performance?
The primary factor influencing the fixed income market during the year was the
financial crisis afflicting Asia, Russia and South America. Market turmoil in
these regions initiated a massive flight to quality, causing yields on U.S.
Treasury securities to decline by more than one percentage point. Corporate
bonds were adversely affected by the flight to quality and concerns over the
domestic earnings impact of the slowing Asian economies. Mortgage-backed
securities were adversely affected by declining interest rates and the
corresponding increase in mortgage prepayments. Asset-backed securities also
suffered from the flight to quality.
Q. To what do you attribute the Fund's performance?
The Fund was invested in U.S. Treasuries, corporate bonds, mortgage-backed
securities and asset-backed securities throughout the year. Compared to its
benchmark index, the Salomon Brothers 1-3 Year Bond Index, the Fund had
overweighted positions in non-government sectors, which caused the Fund's
performance to slightly lag that of the benchmark. The Fund began the year with
50% of its assets invested in Treasury and agency securities, 17% in corporate
bonds, 15% in mortgage-backed securities and 18% in asset-backed securities. By
year-end, the Fund had 45% in Treasuries and agencies, 15% in corporate bonds,
18% in mortgage-backed securities and 22% in asset-backed securities.*
Q. What were your primary strategies and tactics?
We maintained a high-quality portfolio during the year, with 85% of the
securities rated AAA on December 31, 1998, compared to 84% on December 31,
1997. The rest of the portfolio consisted of securities rated AA (5%) and A
(10%).*
Duration management also played a role in generating return and controlling
risk. (Duration is a measure of a fund's price sensitivity to interest rate
changes. A longer duration indicates greater sensitivity; a shorter duration
indicates less.) The Fund's duration ended the year at 1.6 years, unchanged
from December 31, 1997. This short duration generally allows the Fund to have a
more stable net asset value versus funds with longer durations.
Q. How did the Fund's yield change during the year?
The declining interest rate environment pushed the SEC yield on the Fund's I
shares slightly lower--from 5.59% on December 31, 1997, to 5.29% on December
31, 1998.
Q. What is your outlook for the bond market?
Our long-term view on the bond market remains positive. Inflation is likely to
remain at current levels, or rise only slightly, and economic growth is likely
to continue, but at a slower pace. We expect the mortgage-backed security
market to remain undervalued, presenting many attractive opportunities. In
addition, the asset-backed sector should perform well versus Treasuries.
* The Fund's composition is subject to change.
Past performance is no guarantee of future results.
The Salomon Brothers Government/Corporate 1-3 year Bond Index is an unmanaged
index generally representative of the short-term government and corporate bond
market.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
28
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Short Bond Fund -- (Continued)
- --------------------------------------------------------------------------------
GROWTH OF $10,000 INVESTED IN THE
PEGASUS SHORT BOND FUND
AND THE SALOMON BROTHERS GOVERNMENT/
CORPORATION 1-3 YEAR BOND INDEX*
[CHART OF SHORT BOND FUND APPEARS HERE]
- ------------------------------------------------------------------------------
Salomon Brothers
Govt/Corp 1-3
I SHARES A SHARES w/1.00% B SHARES w/0.00% Year Bond Index
- ------------------------------------------------------------------------------
9/17/94 10000 9900 10000
12/31/94 10008 9908 9985
12/31/95 11016 10905 11090
9/23/96 11324 11200 10000 11300
12/31/96 11518 11391 10204 11653
12/31/97 12231 12065 10733 12430
12/31/98 13006 12801 11301 13296
- ------------------------------------------------------------------------------
(1) Includes sales charge of 1.00%.
(2) Excludes expenses.
(3) An "A' shareholder investment with the original 3.00% sales charge is
currently valued at $12,549.
<TABLE>
<CAPTION>
Average Annual Total Return Inception One Since
Through 12/31/98 Date Year Inception
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Pegasus Short Bond Fund
I Shares 9/17/94 6.34% 6.32%
A Shares With 1.00% Load 9/17/94 5.04% 5.92%(1)
B Shares with Applicable CDSC (2) 9/23/96 4.35% 5.53%
Salomon Brothers Government/Corporate 1-3 year Bond 9/17/94 17.79% 6.87%
Index*
</TABLE>
(1) Return for an "A' Shareholder who invested at the original 3.00% sales
charge was 5.42%.
(2) The performance of the B Shares will be less than the performance shown for
the I Shares due to the differences in loads and fees paid by shareholders
investing in the different classes.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
*The Salomon Brothers Government/Corporate 1-3 year Bond Index is an unmanaged
index generally representative of the short-term government and corporate bond
market.
Pegasus Funds
29
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Multi-Sector Bond Fund
- --------------------------------------------------------------------------------
An interview with Ricardo F. Cipicchio and Mark Jackson
Portfolio Managers
- --------------------------------------------------------------------------------
Q. How did the Fund perform?
The Pegasus Multi-Sector Bond Fund's I shares offered a total return of 7.82%
for the year ended December 31, 1998. (For information on other share classes
and additional performance information, please see page 31.)
Q. How did market developments influence performance?
The primary factor influencing the fixed income market during the year was the
financial crisis afflicting Asia, Russia and South America. Market turmoil in
these regions initiated a massive flight to quality, causing yields on U.S.
Treasury securities to decline by more than one percentage point (and prices to
rise). Corporate bonds were adversely affected by the flight to quality and
concerns over the domestic earnings impact of the slowing Asian economies.
Mortgage-backed securities were adversely affected by declining interest rates
and the corresponding increase in mortgage prepayments. Asset-backed securities
suffered from the flight to quality.
Q. To what do you attribute the Fund's return?
The Fund was invested in U.S. Treasuries, corporate bonds, mortgage-backed
securities and asset-backed securities throughout the year. Its overweighted
positions in corporate bonds and mortgage- and asset-backed securities caused
performance to lag that of the Lehman Brothers Government/Corporate Bond Index,
which posted a total return of 9.47%.
Q. What were your primary strategies and tactics?
We maintained a relatively high-quality portfolio during the year, with no
direct exposure to Asian creditors. This strategy helped the Fund's performance
relative to its peer group, as many funds held higher allocations to BBB-rated
and below-investment-grade securities and bonds from Asian issuers.
Duration management also played a role in generating return and controlling
risk. (Duration is a measure of a fund's price sensitivity to interest rate
changes. A longer duration indicates greater sensitivity; a shorter duration
indicates less.) The Fund's duration ended the year at 5.4 years, slightly
lower than the December 31, 1997, level of 5.5 years. While we do manage the
Fund's exposure to changes in interest rates, we also purposely limit the
degree to which we alter duration. These risk-control guidelines help protect
us from making ill-timed decisions on the magnitude and direction of possible
interest rate movements.
Q. How did the Fund's yield change during the year?
The declining interest rate environment pushed the SEC yield on the Fund's I
shares slightly lower--from 5.79% on December 31, 1997, to 5.41% on December
31, 1998.
Q. How was the Fund structured in terms of quality and sectors?*
At year-end, 30% of the Fund was invested in Treasury and agency securities,
31% in corporate bonds, 18% in mortgage-backed securities, 20% in asset-backed
securities and 1% in money market instruments. Securities rated AAA comprised
68% of the Fund, while those rated AA comprised 13%, A, 16%, BBB 2%, and
others, 1%.
Q. What is your outlook for the bond market?
Our long-term view on the bond market remains positive. Inflation is likely to
remain at current levels, or rise only slightly, and economic growth is likely
to continue, but at a slower pace. We expect the mortgage-backed security
market to remain undervalued, presenting many attractive opportunities. In
addition, the asset-backed sector should perform well versus Treasuries.
* The Fund's composition is subject to change.
Past performance is no guarantee of future results.
The Lehman Brothers Intermediate Government/ Corporate Bond Index is an
unmanaged index generally representative of intermediate-term government and
corporate bond markets. The index does not reflect the deduction of fees
associated with a mutual fund, such as investment management and fund
accounting fees.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
30
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Multi Sector Bond Fund -- (Continued)
- --------------------------------------------------------------------------------
GROWTH OF $10,000 INVESTED IN THE
PEGASUS MULTI SECTOR BOND FUND*
AND LEHMAN BROTHERS GOVERNMENT/
CORPORATE BOND INDEX**
[CHART OF MULTI-SECTOR BOND APPEARS HERE]
- -----------------------------------------------------------------------------
Lehman Brothers
Govt/Corp
I Shares A Shares w/3.00% B Shares w/2.00% Bond Index
- -----------------------------------------------------------------------------
3/5/93 10000 9700 10000
12/31/93 10376 10065 10533
12/31/94 10277 9969 10163
5/31/95 11276 10933 10000 11100
12/31/95 12079 11684 10640 12119
12/31/96 12458 12005 10862 12470
12/31/97 13562 13035 11704 13687
12/31/98 14622 14005 12295 14983
- -----------------------------------------------------------------------------
(1) Includes sales charge of 3.00%.
(2) Excludes expenses.
(3) Includes contingent deferred sales charge of 2.00%.
<TABLE>
<CAPTION>
Average Annual Total Return Inception Since
Through 12/31/98 Date One Year Five Years Inception
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Pegasus Multi Sector Bond Fund*
I Shares 3/5/93 7.82% 7.10% 6.74%
A Shares With 3.00% Load 3/5/93 4.22% 6.18% 5.95%
B Shares With Applicable CDSC(1) 5/31/95 3.74% 5.91%
Lehman Brothers Government/Corporate
Bond Index** 3/5/93 9.47% 7.30% 7.18%
</TABLE>
(1) The performance of the B Shares will be less than the performance shown for
the I Shares due to the differences in loads and fees paid by shareholders
investing in the different classes.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
*Formerly the Pegasus Income Fund
**The Lehman Government/Corporate Bond Index is an unmanaged index generally
representative of the government and corporate bond market as a whole.
Pegasus Funds
31
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
High Yield Bond Fund
- --------------------------------------------------------------------------------
An interview with Mark Durbiano
Portfolio Manager
- --------------------------------------------------------------------------------
Q. How did the Fund perform?
The Pegasus High Yield Bond Fund's I shares offered a total return of 3.07% for
the year ended December 31, 1998. (For information on other share classes
and additional performance information, please see page 33.)
Q. How did market developments influence performance?
The high-yield market was mixed in 1998. The first half of the year was robust,
with record new supply and cash inflows and a tightening of credit spreads.
(Credit spreads refer to the difference in yield between securities of higher
and lower quality. When spreads tighten, yield differences become smaller and
lower-quality securities lose some of their appeal.) The second half of the
year proved to be difficult, as the economic problems overseas created
uncertainty for the U.S. economy. This caused significant credit-spread
widening between September and November. But, stability returned to the market
in November when the Federal Reserve adopted an aggressive stance to lower
interest rates in an effort to maintain U.S. economic growth.
Q. To what do you attribute the Fund's return?
The Fund's higher-quality credit bias served the portfolio well during the
economic uncertainty experienced in the second half of 1998. In addition, our
disciplined approach through bottom-up fundamental analysis continued to prove
effective in our credit selection process.
Q. What were your primary strategies and tactics?
Our primary investment strategies centered on our belief that overseas economic
problems would cause a disruption or slowing of the U.S. economy in 1998. In
conjunction with this forecast, we positioned the Fund with a higher quality
bias, and we underweighted cyclical industries such as forest products, metals
and energy. We also maintained overweighted positions in telecommunications,
cable TV and broadcasting sectors.
Our positioning proved successful, as BB- and B-rated securities outperformed
lower-quality bonds. In addition, cyclical industries underperformed due to
fears of recession and falling commodity prices. Our telecom, TV and
broadcasting holdings contributed nicely to performance.
Events abroad had little impact on the Fund, as we have minimal exposure to
emerging markets, which experienced the majority of financial market
volatility. We do have about 10% of the portfolio invested in foreign
companies, with the majority in the United Kingdom and Canada.
Q. How did the Fund's yield change during the year?
The Fund's SEC yield on I shares increased from 8.75% on December 31, 1997, to
9.54% on December 31, 1998. In terms of total return, the Fund's price
performance for the year was negative, but the high degree of income provided
by the Fund's securities offset the price decline.
Q. How was the Fund structured in terms of quality and sectors?*
At year-end, 26% of the Fund's bond component was invested in
telecommunications and cellular companies, 14% in industrial goods and
services, 12% in broadcast radio and television, 10% in consumer non-durables,
and 4% in utilities. The Fund's remaining assets were invested in a variety of
market sectors. Securities rated BBB or better comprised 1% of the Fund, while
those rated BB comprised 21%, and B, 63%. Securities rated CCC and unrated
comprised 7% of the Fund, and the remainder was invested in cash or cash
equivalents.
Q. What is your outlook for the high-yield market?
We believe that the performance of the U.S. economy and domestic equity prices
will strongly influence the direction of the high-yield market in 1999. We
expect the U.S. economic expansion to continue, but with a modest slowdown. Low
interest rates, high consumer confidence, high rates of employment and an
accommodative Federal Reserve should drive the economy in 1999.
* The Fund's composition is subject to change.
Past performance is no guarantee of future results.
Although the Fund's yield may be higher than that of fixed-income funds that
purchase higher-rated securities, the potentially higher yield is a function of
the greater risk that the Fund's share price will decline.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
32
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
High Yield Bond Fund
- --------------------------------------------------------------------------------
GROWTH OF $10,000 INVESTED IN THE
PEGASUS HIGH YIELD BOND FUND AND THE
LEHMAN BROTHERS HIGH YIELD BOND INDEX*
[CHART OF HIGH YIELD BOND APPEARS HERE]
- --------------------------------------------------------------------------------
Lehman Brothers High
I shares A shares w/4.50% B shares w/4.00% Yield Bond Index
- --------------------------------------------------------------------------------
6/30/97 10000 9550 10000 10000
12/31/97 10637 9950 10394 10656
12/31/98 10963 10221 10235 10826
- --------------------------------------------------------------------------------
(1) Includes sales charge of 4.50%.
(2) Includes contingent deferred sales charge of 4.00%.
(3) Excludes expenses.
<TABLE>
<CAPTION>
Average Annual Total Return Inception One Since
Through 12/31/98 Date Year Inception
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
Pegasus High Yield Bond Fund
I Shares 6/30/97 3.07% 6.31%
A Shares With 4.50% Load 6/30/97 (1.90)% 1.47%
B Shares With Applicable CDSC 6/30/97 (1.46)% 1.65%
Lehman Brothers High Yield Index* 6/30/97 1.60% 7.85%
</TABLE>
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception data.
In such instances, and without waiver of fees, total return would have been
lower.
*The Lehman Brothers High Yield Bond Index is an unmanaged index generally
covering the universe of fixed rate, publicly issued, non investment grade
debt registered with the SEC. The index does not reflect the deduction of fees
associated with a mutual fund, such as investment management and fund
accounting fees.
Pegasus Funds
33
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Municipal Bond Fund
- --------------------------------------------------------------------------------
An interview with Robert T. Grabowski
Portfolio Manager
- --------------------------------------------------------------------------------
Q. How did the Fund perform?
The Pegasus Municipal Bond Fund's I shares offered a total return of 6.01% for
the year ended December 31, 1998. (For information on other share classes and
additional performance information, please see page 35.) This return lagged
that of the Lehman Brothers Municipal Bond Index, with a total return of 6.48%,
but the Index is not subject to the expenses of a mutual fund.
Q. How did the market in general perform?
Throughout 1998, the ratio between municipal bond yields and Treasury bond
yields narrowed to levels not seen in more than a decade. As a result, the tax-
exempt market underperformed the taxable market due to investors' unwillingness
to buy municipals at their prevailing yield levels and to the abundance of
supply that surfaced during the year.
Q. To what do you attribute the Fund's solid performance?
The Fund is managed primarily for total return, but a portion of the Fund's
holdings, which are considered core holdings, is in place to provide higher
income. Because of these core holdings and certain technical strategies, the
Fund has been able to outperform other funds that focus only on total return.
Given the magnitude of the decline in yield during the year, funds that put
greater emphasis on income and did not suffer through any major credit falls
provided the best returns.
Q. What were your primary strategies and tactics?
Most of 1998's success was due to the strategies we implemented during the
second quarter and early in the third quarter. We attempted to take advantage
of situations that would help provide good relative value and performance. As
such, we reduced some of the Fund's higher-coupon, shorter-call positions and
purchased non-callable zero-coupon bonds at attractive levels. (The call
feature refers to the bond issuer's right to repay, or "call," the bond before
the scheduled maturity date.)
We also focused on purchasing intermediate to long-intermediate securities of
specialty states (states that have high income tax rates). These securities are
appealing to investors in high-tax states, so we often can sell them at a
premium when supply in those states is low.
In addition, we were able to add incremental return by keeping the Fund's
duration longer than that of the benchmark index, and by holding minimal cash
throughout the year. (Duration is a measure of a fund's price sensitivity to
interest rate changes. A longer duration indicates greater sensitivity; a
shorter duration indicates less.)
Q. How was the Fund structured in terms of quality and sectors?*
The Fund's configuration was relatively stable throughout the year. As quality
spreads continued to narrow throughout the year (meaning that the yield
advantages of lower-quality securities were diminishing), we attempted to
slightly upgrade the Fund's quality. At the beginning of the year, securities
rated AA or better comprised 80% of the Fund; by year end, 84% were rated AA or
better.
Each market sector represented in the Fund remained within 5% of where it
started the year. As of December 31, 1998, the Fund held 42% of its assets in
insured securities, 33% in revenue securities, 19% in general obligation bonds,
and 6% in prerefunded bonds.
Q. How did the Fund's yield change during the year?
Our investment strategies and portfolio composition, along with the decline in
market rates, caused the Fund's SEC yield on I shares to fall from 4.49% on
December 31, 1997, to 3.83% on December 31, 1998. (For investors in the 39.6%
federal income tax bracket, the 1998 year-end yield translates to a tax-
equivalent yield of 6.34%.**)
Q. What is your outlook for the municipal market and the Fund?
Moving into 1999, we believe much of the activity in the municipal market will
be influenced by the yield ratios between taxable and tax-exempt securities and
whether they return to more historical levels. Demand for and issuance of
municipal securities have hinged on these percentages.
Going forward, with inflation practically non-existent, the economy showing no
major signs of weakness and the potential for the Federal Reserve to continue
easing during the first half of 1999, we will continue to maintain the Fund's
current posture.
* The Fund's composition is subject to change.
** The tax-equivalent yield assumes the maximum federal marginal income tax
rate of 39.6%. This rate is for illustrative purposes only. Tax-equivalent
yields are hypothetical and do not reflect the performance of the Fund. The
tax bracket does not reflect the possible effects of the federal alternative
minimum tax.
Past performance is no guarantee of future results.
The Lehman Brothers Municipal Bond Index is an unmanaged index generally
representative of the municipal bond market as a whole. The Index does not
reflect the deduction of fees associated with a mutual fund, such as investment
management and fund accounting fees.
The Fund's income may be subject to certain state and local taxes and,
depending on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
34
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Municipal Bond Fund -- (Continued)
- --------------------------------------------------------------------------------
GROWTH OF $10,000 INVESTED IN THE
PEGASUS MUNICIPAL BOND FUND AND THE
LEHMAN BROTHERS MUNICIPAL BOND INDEX*
[CHART OF MUNICIPAL BOND APPEARS HERE]
- --------------------------------------------------------------------------------
Lehman Brothers
I Shares A shares w/4.50% B shares w/3.00% Municipal Bond Index
- --------------------------------------------------------------------------------
3/1/88 9550 10000
12/31/88 10147 10526
12/31/89 11166 11662
12/31/90 12031 12512
12/31/91 13458 14031
12/31/92 14728 15268
12/31/93 16309 17143
12/31/94 15987 16257
2/1/95 10000 16403 16667
4/4/95 10395 17059 10000 17333
12/31/95 11419 18688 10864 19095
12/31/96 11849 19316 11141 19941
12/31/97 12953 21079 12062 21774
12/31/98 13732 22289 12367 23185
- --------------------------------------------------------------------------------
(1) Includes sales charge of 4.50%.
(2) Excludes expenses.
(3) Includes contingent deferred sales charge of 3.00%.
<TABLE>
<CAPTION>
Average Annual Total Return Inception Since
Through 12/31/98 Date One Year Five Years Ten Years Inception
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Pegasus Municipal Bond Fund
I Shares(1) 2/1/95 6.01% N/A N/A 8.44%
A Shares With 4.50% Load 3/1/88 0.98% 5.47% 7.69% 7.68%
B Shares With Applicable CDSC(1) 4/4/95 0.98% N/A N/A 5.84%
Lehman Brothers Municipal Bond* 3/1/88 6.48% 6.22% 8.22% 8.07%
</TABLE>
(1) The performance of the I and B Shares will be more or less than the A
Shares due to the differences in loads and fees paid by shareholders
investing in the different classes.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
*The Lehman Brothers Municipal Bond Index is an unmanaged index generally
representative of the municipal bond market as a whole.
Pegasus Funds
35
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Short Municipal Bond Fund
- --------------------------------------------------------------------------------
An interview with Rebecca Gersonde
Portfolio Manager
- --------------------------------------------------------------------------------
Q. How did the Fund perform?
The Pegasus Short Municipal Bond Fund's I shares posted a total return of 4.15%
from its inception on May 4, 1998, through December 31, 1998. (For information
on other share classes and additional performance information, please see page
37.)
Q. To what do you attribute this performance?
We manage the Fund primarily for total return, with a portion of the Fund's
holdings biased toward income. By using a combination of total return and
income, the Fund was able to offer attractive returns.
Q. How did the market in general perform?
Investors looking for protection from the turmoil in overseas markets, in
conjunction with anticipated Federal Reserve action, dramatically increased
their demand for short-term securities throughout the year. This heightened
demand caused the shorter end of the municipal curve--and more specifically
high-grade securities via a flight to quality--to experience sizable declines
in yield. Additionally, supply in the short end contracted--the result of a
reduction in cash flow financing as borrowers sought to lock in low fixed
rates.
Q. What were your primary strategies and tactics?
One of our primary strategies was to keep the Fund's cash position to a
minimum, in anticipation of a Federal Reserve easing. We also retained a high
overall credit quality profile and weighted the portfolio's investments most
heavily inside 13 months and in the three- to five-year range, where yield
pick-up opportunities existed through yield curve extensions. An overweighting
in the insured sector also was a positive factor.
The Fund's underweighting in general obligation bonds was a hindrance to
performance. The general obligation sector in the shorter end of the yield
curve was the best-performing area during 1998.
Q. How was the Fund structured in terms of quality and sectors?*
We focused on high-quality securities, with 79% of the Fund invested in
securities rated AA or better. Of the remaining, 21%, 8% was rated A, 4% BBB
and 9% not rated.
As of December 31, 1998, the Fund held 33% of its assets in insured securities,
49% in revenue securities and 18% in general obligation bonds.
Q. How did the Fund's yield change during the year?
Due to our investment strategies and portfolio composition, along with the
decline in market rates, the SEC yield on the Fund's I shares fell from 3.45%
on June 30, 1998, to 3.18% on December 31, 1998. (For investors in the 39.6%
federal income tax bracket, the 1998 year-end yield translates to a tax-
equivalent yield of 5.62%.**)
Q. What is your outlook for the short municipal market and the Fund?
Going forward, we anticipate keeping the Fund's average maturity at the longer
end of its permitted range (near three years), as we anticipate a continued
flattening of the shorter end of the yield curve.
* The Fund's composition is subject to change.
** The tax-equivalent yield assumes the maximum federal marginal income tax
rate of 39.6%. This rate is for illustrative purposes only. Tax-equivalent
yields are hypothetical and do not reflect the performance of the Fund. The
tax bracket does not reflect the possible effects of the federal alternative
minimum tax.
Past performance is no guarantee of future results.
The Fund's income may be subject to certain state and local taxes and,
depending on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
36
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Short Municipal Bond Fund -- (Continued)
- --------------------------------------------------------------------------------
GROWTH OF 10,000 INVESTED IN THE
PEGASUS SHORT MUNICIPAL BOND FUND, THE LEHMAN BROTHERS BLEND INDEX
AND THE LEHMAN BROTHERS 3 YEAR MUNICIPAL BOND INDEX**
[CHART OF SHORT MUNICIPAL BOND FUND APPEARS HERE]
- --------------------------------------------------------------------------------
Lehman Brothers Lehman Brothers
A shares B shares Municipal Bond 3 Year Municipal
I shares w/1.00% w/1.00% Index Blend Bond Index
- --------------------------------------------------------------------------------
5/4/98 10000 9900 10000 10000 10000
12/31/98 10455 10285 10247 10406 10428
- --------------------------------------------------------------------------------
(1) Includes maximum sales charge of 1.00%.
(2) Excludes expenses.
(3) 75% Lehman Brothers 3 Year Municipal Bond and 25% Lehman Brothers 1 Year
Municipal Bond.
(4) Includes contingent deferred sales charge of 1.00%.
<TABLE>
<CAPTION>
Average Annual Total Return Inception Since
Through 12/31/98 Date Inception
---------------------------------------------------------------------------------
<S> <C> <C>
Pegasus Short Municipal Bond Fund
I Shares 5/4/98 4.15%
A Shares With 1.00% Load 5/4/98 2.85%
B Shares With Applicable CDSC (1) 5/4/98 2.48%
Lehman Brothers 3 Year Municipal Bond Index* 5/4/98 (6.07)%
Lehman Brothers Municipal Bond Index** 5/4/98 6.19%
</TABLE>
(1) The performance of the B Shares will be less than the performance shown for
the I Shares due to the differences in loads and fees paid by shareholders
investing in the different classes.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so than an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
* The Lehman Brothers 1 Year Municipal Bond Index is an unmanaged index
generally representative of the short term municipal bond market.
** The Lehman Brothers 3 Year Municipal Bond Index is an unmanaged index
generally representative of the short term municipal bond market.
Pegasus Funds
37
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Intermediate Municipal Bond Fund
- --------------------------------------------------------------------------------
An interview with Robert T. Grabowski
Portfolio Manager
- --------------------------------------------------------------------------------
Q. How did the Fund perform?
The Pegasus Intermediate Municipal Bond Fund's I shares offered a total return
of 5.65% for the year ended December 31, 1998. (For information on other share
classes and additional performance information, please see page 39.) This
return slightly lagged that of the Lehman Brothers 7-Year Municipal Bond Index
(which was up 6.22% for the year), but the unmanaged Index is not subject to
the expenses of a mutual fund.
Q. How did the market in general perform?
Throughout 1998, the ratio between municipal bond yields and Treasury bond
yields narrowed to levels not seen in more than a decade. As a result, the tax-
exempt market underperformed the taxable market due to investors' unwillingness
to buy municipals at their prevailing levels and the abundance of supply that
surfaced during the year.
Q. To what do you attribute the Fund's solid performance?
The Fund is managed primarily for total return, but a portion of the Fund's
holdings, which are considered core holdings, is in place to provide higher
income. Funds that emphasized income tended to have better performance. In
addition, the Fund's performance was aided by the Fund's relatively longer
duration, which results in greater price appreciation as rates fall, and by its
ownership of bonds with better call protection, which lessens the duration-
shortening effects of market rallies. (Duration is a measure of a fund's price
sensitivity to interest rate changes. A longer duration indicates greater
sensitivity; a shorter duration indicates less. The call feature refers to the
bond issuer's right to repay, or "call," the bond before the scheduled maturity
date.)
Q. What were your primary strategies and tactics?
Throughout 1998 we attempted to take advantage of situations that would help
provide good relative value and performance. As such, we focused on purchasing
higher-coupon, non-callable securities, primarily in the 12- to 16-year range.
This strategy worked well by permitting the Fund to benefit from falling rates,
while affording the Fund some coupon protection had interest rates increased.
We also purchased moderate premiums and non-callable zero-coupon bonds, funded
primarily by the sale of higher-coupon short-maturity securities.
In addition, we were able to add incremental return by keeping the Fund's
duration longer than that of the benchmark index, and by holding minimal cash
throughout the year. These strategies, coupled with the decline in market
rates, caused the Fund's SEC yield on I shares to fall from 4.12% on December
31, 1997, to 3.77% on December 31, 1998. (For investors in the 39.6% federal
tax bracket, the 1998 year-end yield translates to a tax-equivalent yield of
6.24%.)*
Q. How was the Fund structured in terms of quality and sectors?**
The Fund's configuration was relatively stable throughout the year. As quality
spreads continued to narrow throughout the year (meaning that the yield
advantages to lower-quality securities were diminishing), we attempted to
slightly upgrade the Fund's quality. At the beginning of the year, securities
rated AA or better comprised 79% of the Fund; by year end, 82% were rated AA or
better.
As of December 31, 1998, the Fund held 29% of its assets in insured securities
(a 9 percentage point increase from 1997), 43% in revenue securities, 23% in
general obligation bonds, and 5% in prerefunded bonds.
Q. What is your outlook for the municipal market and the Fund?
Moving into 1999, we believe that much of the activity in the municipal market
will be influenced by the ratios between taxable and tax-exempt securities and
whether they return to more historic levels. Demand for and issuance of
municipal securities have hinged on these percentages.
Going forward, with inflation practically non-existent, the economy showing no
major signs of weakness and the potential for the Federal Reserve to continue
easing during the first half of 1999, we will continue to maintain the Fund's
current posture.
* The tax-equivalent yield assumes the maximum federal marginal income tax
rate of 39.6%. This rate is for illustrative purposes only. Tax-equivalent
yields are hypothetical and do not reflect the performance of the Fund. The
tax bracket does not reflect the possible effects of the federal alternative
minimum tax.
** The Fund's composition is subject to change.
Past performance in no guarantee of future results.
The Lehman Brothers 7-Years Municipal Bond Index is an unmanaged index
generally representative of the intermediate-term municipal bond market. The
index does not reflect the deduction of fees associated with a mutual fund,
such as investment management and fund accounting fees.
The Fund's income may be subject to certain state and local taxes and,
depending on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
38
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Intermediate Municipal Bond Fund -- (Continued)
- --------------------------------------------------------------------------------
GROWTH OF $10,000 INVESTED IN THE
PEGASUS INTERMEDIATE MUNICIPAL BOND FUND AND
THE LEHMAN BROTHERS 7-YEAR MUNICIPAL BOND INDEX*
[CHART OF INTERMEDIATE MUNICIPAL BOND FUND APPEARS HERE]
- --------------------------------------------------------------------------------
I Shares A shares B shares Lehman Brother
- --------------------------------------------------------------------------------
3/1/88 9700
12/31/88 10335
12/31/89 11266 10000
12/31/90 12118 10741
12/31/91 13557 11994
12/31/92 14538 12960
12/31/93 16001 14313
12/31/94 15619 13917
1/30/95 10000 15873 10000 14100
12/31/95 11133 17579 11021 15886
12/31/96 11584 18228 11341 16578
12/31/97 12428 19513 12043 17850
12/31/98 13697 20569 12406 18960
- --------------------------------------------------------------------------------
(1) Includes sales charge of 3.00%
(2) Excludes expenses
(3) Includes contingent deferred sales charge of 2.00%.
<TABLE>
<CAPTION>
Average Annual Total Return Inception Since
Through 12/31/98 Date One Year Five Years Ten Years Inception
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Pegasus Intermediate Municipal Bond Fund
I Shares 1/30/95 5.65% N/A N/A 7.19%
A Shares With 3.00% Load 3/1/88 2.26% 4.51% 6.80% 6.88%
B Shares With Applicable CDSC(1) 1/30/95 1.64% N/A N/A 5.81%
Lehman Brothers 7 Year Municipal Bond* 3/1/88 6.22% 5.78% N/A 7.37%
</TABLE>
(1) The performance of the I and B Shares will be more or less than the A
Shares due to the differences in loads and fees paid by shareholders
investing in the different classes.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
* The Lehman Brothers 7-year Municipal Bond Index (which began in 1989) is an
unmanaged index generally representative of the intermediate-term municipal
bond market.
Pegasus Funds
39
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Michigan Municipal Bond Fund
- --------------------------------------------------------------------------------
An interview with Rebecca Gersonde
Portfolio Manager
- --------------------------------------------------------------------------------
Q. How did the Fund perform?
The Pegasus Michigan Municipal Bond Fund's I shares posted a total return of
5.94% for the year ended December 31, 1998. (For information on other share
classes and additional performance information, please see page 41.) This
return slightly lagged compared to the unmanaged Lehman Brothers Michigan
Municipal Bond Index, which returned 6.50% for the year.
Q. How did the state's economy fare?
The State of Michigan has fared particularly well over the past several years
due to a healthy economy resulting from low inflationary and interest rate
environments and the state's budget and spending containment. Michigan's
cumulative debt levels appear very manageable, and the state received accolades
in 1998 from the ratings agencies.
Q. What were your primary strategies and tactics?
We implemented several tactics throughout the year, including keeping the
Fund's cash position to a minimum. We also increased the Fund's call protection
in the wake of declining interest rates. (The call feature refers to the bond
issuer's right to repay, or "call," the bond before the scheduled maturity
date. When interest rates decline, issuers often call their high-interest bonds
to refinance at lower rates.)
We succeeded in improving the Fund's call protection by purchasing zero-coupon
bonds. This strategy, coupled with our efforts to maintain a slightly longer
duration than the Fund's benchmark index, helped increase relative price
appreciation as interest rates declined. (Duration is a measure of a fund's
price sensitivity to interest rate changes. A longer duration indicates greater
sensitivity; a shorter duration indicates less.)
Our strategy of maintaining existing high-book-yield assets as interest rates
declined, rather than focusing on more aggressively structured bonds (discount
securities) at lower yields, proved to be a deterrent to the Fund's
performance. Discount securities offered a substantial advantage during the
year through their price returns.
Q. How was the Fund structured in terms of quality and sectors?*
As quality spreads continued to narrow throughout the year (meaning that the
yield advantages of lower-quality securities were diminishing) and overseas
turmoil threatened the U.S. economy, we upgraded the Fund's credit quality. At
the beginning of the year, securities rated AA or better comprised 78% of the
Fund; by year end, 86% were rated AA or better.
Since 1997 the Fund has been overweighted in the healthcare sector, which has
served as the foundation for its positive performance. The strength of this
sector is attributable to consolidation within the hospital industry. Recently,
though, national health care reform has proven troublesome for certain
institutions, and we have started to selectively decrease the Fund's hospital
position.
As of December 31, 1998, the Fund held 32.2% of its assets in insured
securities, 40.4% in revenue securities, 17.6% in general obligation (GO)
bonds, and 9.8% in prerefunded bonds.
Q. How did the Fund's yield change during the year?
Due to our investment strategies and portfolio composition, along with the
decline in market rates, the Fund's SEC yield on I shares fell from 4.52% on
December 31, 1997, to 4.00% on December 31, 1998. (For investors in the 39.6%
federal tax bracket, the 1998 year-end yield translates to a tax-equivalent
yield of 6.62%.**)
Q. What is your outlook for the Michigan municipal market and the Fund?
Due to the uncertainty surrounding events abroad and their impact on domestic
markets, we plan to focus on more conservative strategies, including purchasing
GO bonds and upgrading credit quality. This is important because Michigan's
economy is so heavily concentrated in and dependent upon the manufacturing
industry, which is cyclical in nature and could easily fall victim to wage and
labor pressures. We stringently will monitor the state's fiscal health, as
sustained global fallout could trigger a trickle-down effect into many
different avenues within the state.
*The Fund's composition is subject to change.
** The tax-equivalent yield assumes the maximum federal marginal income tax
rate of 39.6%. This rate is for illustrative purposes only. Tax-equivalent
yields are hypothetical and do not reflect the performance of the Fund. The
tax bracket does not reflect the possible effects of the federal alternative
minimum tax.
Past performance is no guarantee of future results.
The Lehman Brothers Michigan Municipal Bond Index is an unmanaged index
generally representative of the Michigan municipal bond market. The index does
not reflect the deduction of fees associated with a mutual fund, such as
investment management and fund accounting fees.
The Fund's income may be subject to certain state and local taxes and,
depending on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
40
Pegasus Funds
<PAGE>
Pegasus Funds
Management's Discussion and Analysis
Michigan Municipal Bond Fund -- (Continued)
- --------------------------------------------------------------------------------
GROWTH OF $10,000 INVESTED IN THE
PEGASUS MICHIGAN MUNICIPAL BOND FUND AND
THE LEHMAN BROTHERS MICHIGAN BOND INDEX*
[CHART OF MICHIGAN MUNICIPAL BOND FUND APPEARS HERE]
- --------------------------------------------------------------------------------
Lehman Brothers
Michigan Municipal
I shares A shares w/4.50% B shares w/3.00% Bond Index
- --------------------------------------------------------------------------------
2/1/93 10000 9550 10000
12/31/93 11053 10555 10470
12/31/94 10454 9984 9937
12/31/95 12179 11631 11769
9/24/96 12335 11776 10000 11900
12/31/96 12598 12017 10245 12297
12/31/97 13784 13116 11091 13455
12/31/98 14608 13852 11338 14330
- --------------------------------------------------------------------------------
(1) Includes sales charge of 4.50%.
(2) Excludes expenses.
(3) Includes contingent deferred sales charge of 3.00%.
<TABLE>
<CAPTION>
Average Annual Total Return Inception One Five Since
Through 12/31/98 Date Year Year Inception
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Pegasus Michigan Municipal Bond Fund
I Shares 2/1/93 5.94% 5.73% 6.61%
A Shares With 4.50% Load 2/1/93 0.86% 4.62% 5.67%
B Shares With Applicable CDSC(1) 9/23/96 0.92% N/A 5.69%
Lehman Brothers Michigan
Municipal Bond Index 2/1/93 6.50% 6.22% 6.27%
</TABLE>
(1) The performance of the B Shares will be less than the performance shown for
the I Shares due to the differences in loads and fees paid by shareholders
investing in the different classes.
The performance data quoted represents past performance and is not an
indication of future results. The investment return and Net Asset Value will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
The total return set forth may reflect the waiver of a portion of the fund's
advisory or administrative fees for certain periods since the inception date.
In such instances, and without waiver of fees, total return would have been
lower.
*The Lehman Brothers Michigan Municipal Bond Index (which began in 1993) is an
unmanaged index generally representative of the Michigan municipal bond
market.
Pegasus Funds
41
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Managed Assets Managed Assets Managed Assets
Conservative Fund Balanced Fund Growth Fund
-----------------------------------
<S> <C> <C> <C>
ASSETS:
Investment in securities:
At cost $142,630,424 $273,603,711 $28,724,882
- -------------------------------------------------------------------------------
At value (Note 2) $144,513,236 $274,981,673 $28,949,883
Cash -- 764,477 83,315
Receivable for securities sold 1,205,984 -- --
Receivable for fund shares
sold 545,236 3,284,447 276,243
Income receivable 626,853 999,435 84,096
Receivable from investment ad-
viser -- -- 3,267
Deferred organization costs,
net (Note 2) 22,296 190 --
Prepaids and other assets 110 -- --
- -------------------------------------------------------------------------------
TOTAL ASSETS 146,913,715 280,030,222 29,396,804
- -------------------------------------------------------------------------------
LIABILITIES:
Cash overdraft 482,261 -- --
Payable for securities pur-
chased 195,730 -- --
Accrued investment advisory
fees 53,219 100,346 --
Administration fees payable 17,748 35,004 3,499
Shareholder services fees pay-
able (Class A Shares) 52,846 100,588 8,586
Shareholder services fees pay-
able (Class B Shares) 16,437 10,856 7,407
12b-1 fees payable (Class B
Shares) 50,036 32,568 22,212
Dividends payable 548,230 3,418,059 203,120
Payable for fund shares re-
deemed 53,054 75,440 14,554
Other payables and accrued ex-
penses 86,520 152,519 31,410
- -------------------------------------------------------------------------------
TOTAL LIABILITIES 1,556,081 3,925,380 290,788
- -------------------------------------------------------------------------------
NET ASSETS $145,357,634 $276,104,842 $29,106,016
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
42
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Managed Assets Managed Assets Managed Assets
Conservative Fund Balanced Fund Growth Fund
-----------------------------------
<S> <C> <C> <C>
Net Asset Value, Offering
Price and Redemption Price per
Share:
Class A Shares:
Net assets $103,916,591 $169,138,040 $15,267,421
Shares of beneficial interest
issued and outstanding, $0.10
par value, unlimited number of
shares authorized 7,102,226 14,805,367 1,306,294
- -------------------------------------------------------------------------------
Net asset value per share 14.63 11.42 11.69
Maximum sales charge per
share(1) 0.77 0.60 0.62
- -------------------------------------------------------------------------------
Maximum offering price per
share $ 15.40 $ 12.02 $ 12.31
- -------------------------------------------------------------------------------
Class B Shares:
Net assets $ 26,300,666 $ 18,621,734 $12,610,719
Shares of beneficial interest
issued and outstanding, $0.10
par value, unlimited number of
shares authorized 1,795,632 1,445,594 1,096,043
- -------------------------------------------------------------------------------
Net asset value per share(2) $ 14.65 $ 12.88 $ 11.51
- -------------------------------------------------------------------------------
Class I Shares:
Net assets $ 15,140,377 $ 88,345,068 $ 1,227,876
Shares of beneficial interest
issued and outstanding, $0.10
par value, unlimited number of
shares authorized 1,030,567 7,748,539 104,560
- -------------------------------------------------------------------------------
Net asset value per share $ 14.69 $ 11.40 $ 11.74
- -------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS:
Shares of beneficial interest,
at par $ 992,842 $ 2,399,950 $ 250,690
Additional paid-in capital 139,128,613 266,659,718 27,942,102
Accumulated undistributed net
investment income (distribu-
tion in excess of net invest-
ment income) 273,591 (168) --
Accumulated undistributed net
realized gains (losses) 3,079,776 5,667,380 688,223
Net unrealized appreciation on
investments 1,882,812 1,377,962 225,001
- -------------------------------------------------------------------------------
TOTAL NET ASSETS $145,357,634 $276,104,842 $29,106,016
- -------------------------------------------------------------------------------
</TABLE>
(1)Maximum sales charges are 5.00% of maximum offering price per share unless
otherwise noted.
(2)Redemption price per Class B shares varies based on length of time shares
are held.
See Notes to Financial Statements.
Pegasus Funds
43
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Equity Mid-Cap Small Cap Intrinsic
Income Growth Opportunity Opportunity Value
Fund Fund Fund Fund Fund
------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
At cost $506,022,566 $ 561,107,693 $ 883,158,164 $285,732,297 $538,090,128
- ---------------------------------------------------------------------------------------------
Securities at value
(Note 2) 530,639,941 989,375,844 1,255,207,907 311,069,001 558,932,877
Repurchase agreements,
at value 48,014,000 15,453,000 15,820,000 312,000 20,820,000
- ---------------------------------------------------------------------------------------------
Total Investments 578,653,941 1,004,828,844 1,271,027,907 311,381,001 579,752,877
Cash 2,560 -- -- -- --
Receivable for securi-
ties sold 4,453,939 -- 2,307,573 2,389,492 --
Receivable for fund
shares sold 55,858 103,389 84,913 28,875 3,250,315
Income receivable 1,092,174 577,423 624,065 97,995 562,591
Deferred organization
costs, net (Note 2) 14,865 19,175 -- 15,370 --
Prepaids and other as-
sets 10,005 13,151 2,593 40,215 155,435
- ---------------------------------------------------------------------------------------------
TOTAL ASSETS 584,283,342 1,005,541,982 1,274,047,051 313,952,948 583,721,218
- ---------------------------------------------------------------------------------------------
LIABILITIES:
Cash overdraft -- 12,916 25,981 17,162 48,058
Payable for securities
purchased 11,129,099 6,694,779 -- 675,266 --
Accrued investment advi-
sory fees 240,980 455,061 612,836 174,925 291,934
Administration fees pay-
able 72,293 113,814 153,209 37,534 72,983
Shareholder services
fees payable (Class A
Shares) 7,312 73,953 155,887 17,922 70,559
Shareholder services
fees payable (Class B
Shares) 2,187 3,093 4,005 2,229 2,945
12b-1 fees payable
(Class B Shares) 6,506 10,395 12,016 7,301 8,835
Dividends payable 1,439,621 -- -- -- 2,277,620
Payable for fund shares
redeemed 5,503 79,626 239,198 21,083 101,368
Other payables and ac-
crued expenses 41,195 57,579 200,208 14,520 166,322
- ---------------------------------------------------------------------------------------------
TOTAL LIABILITIES 12,944,696 7,501,216 1,403,340 967,942 3,040,624
- ---------------------------------------------------------------------------------------------
NET ASSETS $571,338,646 $ 998,040,766 $1,272,643,711 $312,985,006 $580,680,594
- ---------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
44
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Equity Mid-Cap Small Cap Intrinsic
Income Growth Opportunity Opportunity Value
Fund Fund Fund Fund Fund
-------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Offer-
ing Price and Redemption
Price per Share:
Class A Shares:
Net assets $ 12,688,741 $126,997,650 $ 278,279,461 $ 32,217,409 $117,666,888
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue,
unlimited number of
shares authorized 1,065,503 6,622,459 13,672,601 2,175,819 8,537,047
- ----------------------------------------------------------------------------------------------
Net asset value per
share $ 11.91 $ 19.18 $ 20.35 $ 14.81 $ 13.78
Maximum sales charge per
share(1) 0.63 1.01 1.07 0.78 0.73
- ----------------------------------------------------------------------------------------------
Maximum offering price
per share $ 12.54 $ 20.19 $ 21.42 $ 15.59 $ 14.51
- ----------------------------------------------------------------------------------------------
Class B Shares:
Net assets $ 3,413,248 $ 5,977,730 $ 7,108,282 $ 4,014,081 $ 4,805,857
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue,
unlimited number of
shares authorized 286,681 319,001 744,553 278,490 506,709
- ----------------------------------------------------------------------------------------------
Net asset value per
share(2) $ 11.91 $ 18.74 $ 9.55 $ 14.41 $ 9.48
- ----------------------------------------------------------------------------------------------
Class I Shares:
Net assets $555,236,657 $865,065,386 $ 987,255,968 $276,753,516 $458,207,849
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue,
unlimited number of
shares authorized 46,789,350 44,992,899 48,263,141 18,425,056 33,232,119
- ----------------------------------------------------------------------------------------------
Net asset value per
share $ 11.87 $ 19.23 $ 20.46 $ 15.02 $ 13.79
- ----------------------------------------------------------------------------------------------
COMPOSITION OF NET AS-
SETS:
Shares of beneficial in-
terest, at par $ 4,814,153 $ 5,193,436 $ 6,268,030 $ 2,087,936 $ 4,227,587
Additional paid-in capi-
tal 470,155,363 503,400,320 875,220,331 286,733,915 529,701,064
Accumulated undistrib-
uted net investment in-
come (distributions in
excess of net investment
income) 180,117 3,145 391 933 (17,598)
Accumulated undistrib-
uted net realized gains
(distributions in excess
of net realized gains) 23,557,638 45,722,714 3,285,216 (1,486,482) 5,106,792
Net unrealized apprecia-
tion (depreciation) on
investments 72,631,375 443,721,151 387,869,743 25,648,704 41,662,749
- ----------------------------------------------------------------------------------------------
TOTAL NET ASSETS $571,338,646 $998,040,766 $1,272,643,711 $312,985,006 $580,680,594
- ----------------------------------------------------------------------------------------------
</TABLE>
(1)Maximum sales charges are 5.00% of maximum offering price per share.
(2)Redemption price per Class B shares varies based on length of time shares
are held.
See Notes to Financial Statements.
Pegasus Funds
45
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Growth Market International
and Value Equity Index Expansion Equity
Fund Fund Index Fund Fund
--------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
At cost $1,061,126,948 $ 542,440,627 $18,540,428 $463,029,679
- ---------------------------------------------------------------------------------
Securities at value
(Note 2) 1,471,757,098 1,025,364,978 27,514,226 594,520,363
Repurchase agreements,
at value 24,368,000 -- -- 19,590,000
- ---------------------------------------------------------------------------------
Total Investments 1,496,125,098 1,025,364,978 27,514,226 614,110,363
Cash -- 2,113,218 52,049 --
Foreign currency, at
value (at cost,
$1,343,760) -- -- -- 1,331,531
Receivable for securi-
ties sold 11,318,728 -- -- 707,236
Receivable for fund
shares sold 1,031,181 1,137,099 40 2,036,609
Receivable from invest-
ment adviser -- -- 20,153 --
Income receivable 1,494,941 1,104,772 18,196 742,309
Reclaim receivable -- -- -- 740,359
Prepaids and other as-
sets 3,830 159,834 8,122 18,401
- ---------------------------------------------------------------------------------
TOTAL ASSETS 1,509,973,778 1,029,879,901 27,612,786 619,686,808
- ---------------------------------------------------------------------------------
LIABILITIES:
Cash overdraft 102,055 -- -- 7,908
Payable for variation
margin on futures con-
tracts -- -- -- 17,383
Accrued investment advi-
sory fees 713,363 79,067 15,180 408,785
Administration fees pay-
able 178,341 118,600 3,244 76,647
Shareholder services
fees payable (Class A
Shares) 157,903 180,948 9 26,233
Shareholder services
fees payable (Class B
Shares) 6,644 2,627 -- 1,491
12b-1 fees payable
(Class B Shares) 19,932 7,879 1 4,474
Dividends payable 1,877,999 1,772,341 44,426 2,764,363
Payable for fund shares
redeemed 574,584 231,689 -- 24,943
Other payables and ac-
crued expenses 158,844 294,301 35,767 56,117
- ---------------------------------------------------------------------------------
TOTAL LIABILITIES 3,789,665 2,687,452 98,627 3,388,344
- ---------------------------------------------------------------------------------
NET ASSETS $1,506,184,113 $1,027,192,449 $27,514,159 $616,298,464
- ---------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
46
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Growth Market International
and Value Equity Index Expansion Equity
Fund Fund Index Fund Fund
--------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Offer-
ing Price and Redemption
Price per Share:
Class A Shares:
Net assets $ 268,582,331 $ 321,634,785 $ 30,460 $ 44,231,899
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue,
unlimited number of
shares authorized 16,046,046 12,665,533 2,894 3,183,837
- ---------------------------------------------------------------------------------------
Net asset value per
share $ 16.74 $ 25.39 $ 10.53 $ 13.89
Maximum sales charge per
share(1) 0.88 0.79(2) 0.33(2) 0.73
- ---------------------------------------------------------------------------------------
Maximum offering price
per share $ 17.62 $ 26.18 $ 10.86 $ 14.62
- ---------------------------------------------------------------------------------------
Class B Shares:
Net assets $ 11,212,920 $ 5,218,504 $ 219 $ 2,544,909
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue,
unlimited number of
shares authorized 1,154,598 355,815 21 195,552
- ---------------------------------------------------------------------------------------
Net asset value per
share(3) $ 9.71 $ 14.67 $ 10.49 $ 13.01
- ---------------------------------------------------------------------------------------
Class I Shares:
Net assets $1,226,388,862 $ 700,339,160 $27,483,480 $569,521,656
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue,
unlimited number of
shares authorized 73,228,249 27,567,428 2,612,545 40,895,930
- ---------------------------------------------------------------------------------------
Net asset value per
share $ 16.75 $ 25.40 $ 10.52 $ 13.93
- ---------------------------------------------------------------------------------------
COMPOSITION OF NET AS-
SETS:
Shares of beneficial in-
terest, at par $ 9,042,889 $ 4,058,878 $ 261,546 $ 4,427,532
Additional paid-in capi-
tal 1,012,561,871 541,824,474 17,561,511 491,658,476
Accumulated undistrib-
uted net investment in-
come (distributions in
excess of net investment
income) 453,002 697,258 3,217 (2,297,589)
Accumulated undistrib-
uted net realized gains
(distributions in excess
of net realized gains) 49,128,201 2,312,512 714,087 (27,007,738)
Net unrealized apprecia-
tion (depreciation) on
investments, futures,
and translation of as-
sets and
liabilities denominated
in foreign currencies 434,998,150 482,924,351 8,973,798 149,517,783
- ---------------------------------------------------------------------------------------
TOTAL NET ASSETS $1,506,184,113 $1,027,192,449 $27,514,159 $616,298,464
- ---------------------------------------------------------------------------------------
</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.
(3)Redemption price per Class B shares varies based on length of time shares
are held.
See Notes to Financial Statements.
Pegasus Funds
47
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Intermediate Short Multi Sector High Yield
Bond Fund Bond Fund Bond Fund Bond Fund Bond Fund
----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
At cost $635,351,541 $1,429,360,928 $342,480,755 $378,303,198 $84,002,941
- -------------------------------------------------------------------------------------------
Securities at value
(Note 2) $649,382,628 $1,491,245,899 $341,065,477 $395,164,742 $74,082,288
Repurchase agreements,
at value 4,678,000 14,326,000 5,026,000 3,966,000 6,342,000
- -------------------------------------------------------------------------------------------
Total Investments 654,060,628 1,505,571,899 346,091,477 399,130,742 80,424,288
Cash -- -- 3,508 -- 733
Receivable for securi-
ties sold 55,633 63,623 167,849 326,529 --
Receivable for fund
shares sold 1,535,681 4,532,139 502,928 198,259 179,005
Income receivable 5,457,538 11,353,866 3,849,753 4,521,640 1,332,364
Deferred organization
costs, net (Note 2) -- -- 5,238 10,124 18,758
Prepaids and other as-
sets 30,030 74,411 -- 37,244 --
- -------------------------------------------------------------------------------------------
TOTAL ASSETS 661,139,510 1,521,595,938 350,620,753 404,224,538 81,955,148
- -------------------------------------------------------------------------------------------
LIABILITIES:
Cash overdraft 42 48,558 -- 36,416 --
Payable for securities
purchased 965,781 -- 4,237,500 -- 321,063
Accrued investment advi-
sory fees 205,722 530,843 102,963 133,460 32,552
Administration fees pay-
able 86,076 199,066 44,127 50,046 10,085
Shareholder services
fees payable (Class A
Shares) 55,144 138,398 8,663 8,995 1,187
Shareholder services
fees payable (Class B
Shares) 531 5,117 172 412 207
12b-1 fees payable
(Class B Shares) 1,590 15,351 514 1,130 823
Dividends payable 3,185,280 7,708,854 1,448,001 1,882,280 754,452
Payable for fund shares
redeemed 8,745 153,712 -- -- --
Other payables and ac-
crued expenses 93,068 215,619 76,993 16,776 34,222
- -------------------------------------------------------------------------------------------
TOTAL LIABILITIES 4,601,979 9,015,518 5,918,933 2,129,515 1,154,591
- -------------------------------------------------------------------------------------------
NET ASSETS $656,537,531 $1,512,580,420 $344,701,820 $402,095,023 $80,800,557
- -------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
48
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Intermediate Short Multi Sector High Yield
Bond Fund Bond Fund Bond Fund Bond Fund Bond Fund
-------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Offer-
ing Price and Redemption
Price per Share:
Class A Shares:
Net assets $ 88,071,934 $ 226,260,828 $ 14,172,156 $ 15,784,879 $ 2,188,249
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue,
unlimited number of
shares authorized 8,303,275 20,994,234 1,386,859 1,950,878 226,535
- ----------------------------------------------------------------------------------------------------------
Net asset value per
share 10.61 10.78 10.22 8.09 9.66
Maximum sales charge per
share 0.33(1) 0.51(2) 0.10(3) 0.25(1) 0.46(2)
- ----------------------------------------------------------------------------------------------------------
Maximum offering price
per share $ 10.94 $ 11.29 $ 10.32 $ 8.34 $ 10.12
- ----------------------------------------------------------------------------------------------------------
Class B Shares:
Net assets $ 857,008 $ 9,074,011 $ 267,850 $ 638,153 $ 356,260
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue,
unlimited number of
shares authorized 81,593 841,978 26,464 78,481 36,819
- ----------------------------------------------------------------------------------------------------------
Net asset value per
share(4) $ 10.50 $ 10.78 $ 10.12 $ 8.13 $ 9.68
- ----------------------------------------------------------------------------------------------------------
Class I Shares:
Net assets $567,608,589 $1,277,245,581 $330,261,814 $385,671,991 $78,256,048
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue,
unlimited number of
shares authorized 53,515,949 118,500,346 32,339,604 47,634,759 8,036,967
- ----------------------------------------------------------------------------------------------------------
Net asset value per
share $ 10.61 $ 10.78 $ 10.21 $ 8.10 $ 9.74
- ----------------------------------------------------------------------------------------------------------
COMPOSITION OF NET AS-
SETS:
Shares of beneficial in-
terest, at par $ 6,190,082 $ 14,033,656 $ 3,375,293 $ 4,966,412 $ 830,032
Additional paid-in capi-
tal 637,634,787 1,441,114,996 337,717,550 374,627,211 83,537,587
Accumulated undistrib-
uted net investment in-
come -- -- 896 194,835 459
Accumulated undistrib-
uted net realized gains
(losses) (5,996,425) (18,779,203) (1,641) 1,479,021 11,132
Net unrealized apprecia-
tion (depreciation) on
investments 18,709,087 76,210,971 3,610,722 20,827,544 (3,578,653)
- ----------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $656,537,531 $1,512,580,420 $344,701,820 $402,095,023 $80,800,557
- ----------------------------------------------------------------------------------------------------------
</TABLE>
(1)Maximum sales charge is 3.00% of maximum offering price per share.
(2)Maximum sales charge is 4.50% of maximum offering price per share.
(3)Maximum sales charge is 1.00% of maximum offering price per share.
(4)Redemption price per Class B shares varies based on length of time shares
are held.
See Notes to Financial Statements.
Pegasus Funds
49
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Municipal Short Intermediate Michigan
Bond Municipal Bond Municipal Bond Municipal Bond
Fund Fund Fund Fund
----------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investment in securi-
ties:
At cost $831,520,259 $116,069,789 $482,088,696 $305,244,717
- -----------------------------------------------------------------------------------
At value (Note 2) $887,975,059 $117,791,727 $506,705,540 $321,668,316
Cash -- -- 1,234,326 --
Receivable for fund
shares sold 391,409 85,793 108,672 151,426
Income receivable 14,937,980 1,649,460 7,905,927 3,750,831
Deferred organization
costs, net (Note 2) 2,074 33,745 10,604 --
- -----------------------------------------------------------------------------------
TOTAL ASSETS 903,306,522 119,560,725 515,965,069 325,570,573
- -----------------------------------------------------------------------------------
LIABILITIES:
Cash overdraft 161,875 -- -- --
Payable for securities
purchased 7,105,136 -- 16,473,853 --
Accrued investment advi-
sory fees 272,483 33,493 166,810 109,892
Administration fees pay-
able 108,446 15,224 61,624 41,210
Shareholder services
fees payable (Class A
Shares) 27,536 150 14,346 12,854
Shareholder services
fees payable (Class B
Shares) 1,289 70 527 1,131
12b-1 fees payable
(Class B Shares) 3,834 324 1,653 3,393
Dividends payable 4,471,155 516,355 1,745,564 1,622,891
Payable for fund shares
redeemed 50 -- 3,191 59,191
Other payables and ac-
crued expenses 121,907 28,025 87,984 62,311
- -----------------------------------------------------------------------------------
TOTAL LIABILITIES 12,273,711 593,641 18,555,552 1,912,873
- -----------------------------------------------------------------------------------
NET ASSETS $891,032,811 $118,967,084 $497,409,517 $323,657,700
- -----------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
50
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Municipal Short Intermediate Michigan
Bond Municipal Bond Municipal Bond Municipal Bond
Fund Fund Fund Fund
------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Offer-
ing Price and Redemption
Price per Share:
Class A Shares:
Net assets $ 47,175,513 $ 559,420 $ 22,790,514 $ 22,875,890
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue,
unlimited number of
shares authorized 3,631,333 55,140 1,830,490 2,073,371
- --------------------------------------------------------------------------------------------
Net asset value per
share 12.99 10.15 12.45 11.03
Maximum sales charge per
share 0.61(2) 0.10(3) 0.39(1) 0.52(2)
- --------------------------------------------------------------------------------------------
Maximum offering price
per share $ 13.60 $ 10.25 $ 12.84 $ 11.55
- --------------------------------------------------------------------------------------------
Class B Shares:
Net assets $ 2,142,196 $ 111,633 $ 731,863 $ 1,940,276
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue,
unlimited number of
shares authorized 164,962 10,954 58,808 181,707
- --------------------------------------------------------------------------------------------
Net asset value per
share(4) $ 12.99 $ 10.19 $ 12.44 $ 10.68
- --------------------------------------------------------------------------------------------
Class I Shares:
Net assets $841,715,102 $118,296,031 $473,887,140 $298,841,534
Shares of beneficial in-
terest issued and out-
standing, $0.10 par val-
ue,
unlimited number of
shares authorized 64,838,288 11,646,428 38,049,728 27,088,446
- --------------------------------------------------------------------------------------------
Net asset value per
share $ 12.98 $ 10.16 $ 12.45 $ 11.03
- --------------------------------------------------------------------------------------------
COMPOSITION OF NET AS-
SETS:
Shares of beneficial in-
terest, at par $ 6,863,458 $ 1,171,252 $ 3,993,903 $ 2,934,352
Additional paid-in capi-
tal 826,156,891 116,039,005 467,388,609 304,146,543
Accumulated undistrib-
uted net investment in-
come 809,470 10,411 439,931 128,789
Accumulated undistrib-
uted net realized gains
(losses) 748,192 24,478 970,230 24,417
Net unrealized apprecia-
tion (depreciation) on
investments 56,454,800 1,721,938 24,616,844 16,423,599
- --------------------------------------------------------------------------------------------
TOTAL NET ASSETS $891,032,811 $118,967,084 $497,409,517 $323,657,700
- --------------------------------------------------------------------------------------------
</TABLE>
(1)Maximum sales charge is 3.00% of maximum offering price per share.
(2)Maximum sales charge is 4.50% of maximum offering price per share.
(3)Maximum sales charge is 1.00% of maximum offering price per share.
(4)Redemption price per Class B shares varies based on length of time shares
are held.
See Notes to Financial Statements.
Pegasus Funds
51
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Year Ended December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Managed Assets Managed Assets Managed Assets
Conservative Balanced Growth
Fund Fund Fund
------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME (Note 2):
Interest $ 6,007 $ 9,189 $ 1,252
Dividends 6,423,122 10,663,712 639,882
- --------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 6,429,129 10,672,901 641,134
- --------------------------------------------------------------------------------
EXPENSES (Notes 2 and 3):
Investment advisory fees 846,539 1,743,629 135,275
Administration fees 195,355 402,376 31,217
Shareholder services fees (Class
A Shares) 242,997 404,210 24,074
Shareholder services fees (Class
B Shares) 52,860 37,875 24,702
12b-1 fees (Class B Shares) 158,581 113,626 74,107
Professional fees 33,969 44,235 39,323
Custodian and security pricing
fees 67,142 89,437 78,197
Transfer and dividend disbursing
agent fees 255,875 676,077 40,027
Amortization of deferred organi-
zation costs 18,250 9,256 --
Registration and filing fees 28,101 29,968 9,788
Printing fees 16,389 5,567 1,458
Other expenses 46,868 123,556 --
- --------------------------------------------------------------------------------
TOTAL EXPENSES 1,962,926 3,679,812 458,168
Less: Investment adviser waiver (206,988) (442,407) (108,850)
Less: Expense reimbursement -- -- (18,881)
- --------------------------------------------------------------------------------
NET EXPENSES 1,755,938 3,237,405 330,437
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 4,673,191 7,435,496 310,697
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS:
Net realized gains (losses) on
investment transactions 5,969,190 16,832,173 1,370,674
Net change in unrealized appreci-
ation (depreciation) on invest-
ment securities (435,981) (3,461,787) 225,875
- --------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS
ON INVESTMENTS 5,533,209 13,370,386 1,596,549
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $10,206,400 $20,805,882 $1,907,246
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
52
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Year Ended December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Mid-Cap Small Cap
Equity Growth Opportunity Opportunity Intrinsic Value
Income Fund Fund Fund Fund Fund
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME (Note
2):
Interest $ 3,257,367 $ 210,649 $ 546,656 $ 183,108 $ 3,619,505
Dividends 13,272,900 4,921,710 8,677,829 1,140,470 14,562,454
- -------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 16,530,267 5,132,359 9,224,485 1,323,578 18,181,959
- -------------------------------------------------------------------------------------------------
EXPENSES (Notes 2 and
3):
Investment advisory
fees 2,143,083 4,649,581 6,832,757 2,003,921 3,863,619
Administration fees 642,925 1,162,395 1,708,189 429,412 965,905
Shareholder services
fees (Class A Shares) 31,160 254,149 680,933 72,458 296,750
Shareholder services
fees (Class B Shares) 8,757 9,801 14,688 7,983 11,613
12b-1 fees (Class B
Shares) 26,270 29,404 44,063 23,950 34,839
Professional fees 40,951 48,308 59,061 35,024 39,616
Custodian and security
pricing fees 60,005 101,245 149,358 67,315 83,793
Transfer and dividend
disbursing agent fees 51,234 269,100 1,106,783 112,795 384,085
Amortization of de-
ferred organization
costs 15,286 14,925 -- 14,965 --
Registration and filing
fees 57,643 76,804 134,131 28,831 72,390
Printing fees 10,027 20,693 36,131 7,588 16,477
Other expenses 7,721 43,464 166,224 -- --
- -------------------------------------------------------------------------------------------------
TOTAL EXPENSES 3,095,062 6,679,869 10,932,318 2,804,242 5,769,087
- -------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME
(LOSS) 13,435,205 (1,547,510) (1,707,833) (1,480,664) 12,412,872
- -------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAINS (LOSSES) ON
INVESTMENTS
Net realized gains
(losses) on investment
transactions 34,663,949 95,985,931 68,219,434 5,057,598 41,072,750
Net change in
unrealized appreciation
(depreciation) on in-
vestment securities (45,453,977) 167,003,149 (17,120,541) (21,719,701) (78,410,276)
- -------------------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAINS (LOSS-
ES) ON INVESTMENTS (10,790,028) 262,989,080 51,098,893 (16,662,103) (37,337,526)
- -------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
OPERATIONS $ 2,645,177 $261,441,570 $ 49,391,060 $(18,142,767) $(24,924,654)
- -------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
53
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Period Ended December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Growth Market International
and Value Equity Index Expansion Equity
Fund Fund Index Fund (1) Fund
-------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME (Note
2):
Interest $ 1,180,171 $ 259,053 $ 873 $ 1,163,673
Dividends 19,007,766 13,788,293 131,398 11,038,195(*)
- ------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 20,187,937 14,047,346 132,271 12,201,868
- ------------------------------------------------------------------------------------
EXPENSES (Notes 2 and
3):
Investment advisory
fees 7,591,573 936,485 45,584 4,577,670
Administration fees 1,897,893 1,404,727 15,070 858,313
Shareholder services
fees (Class A Shares) 620,907 655,622 9 98,786
Shareholder services
fees (Class B Shares) 21,944 7,127 -- 5,653
12b-1 fees (Class B
Shares) 65,833 21,381 1 16,958
Professional fees 62,617 52,509 14,886 69,204
Custodian and security
pricing fees 148,324 134,925 17,413 540,424
Transfer and dividend
disbursing agent fees 912,409 832,240 396 121,980
Amortization of de-
ferred organization
costs -- -- -- 12,545
Registration and filing
fees 142,863 109,133 18,355 60,706
Printing fees 36,294 29,026 1,619 16,335
Other expenses 124,903 288,796 -- --
- ------------------------------------------------------------------------------------
TOTAL EXPENSES 11,625,560 4,471,971 113,333 6,378,574
Less: Investment adviser
waiver (32,656) (59,921) (40,583) --
Less: Expense reimburse-
ment -- -- (16,242) --
- ------------------------------------------------------------------------------------
NET EXPENSES 11,592,904 4,412,050 56,508 6,378,574
- ------------------------------------------------------------------------------------
NET INVESTMENT INCOME
(LOSS) 8,595,033 9,635,296 75,763 5,823,294
- ------------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAINS (LOSSES) ON
INVESTMENTS, FOREIGN
CURRENCY AND FUTURES
TRANSACTIONS:
Net realized gains
(losses) on:
Investment transactions 163,985,670 59,567,131 1,750,558 (19,069,725)
Foreign currency trans-
actions -- -- -- 1,085,021
Net change in
unrealized appreciation
(depreciation) on:
Investment securities (6,038,616) 160,141,343 524,439 99,098,827
Assets and liabilities
denominated in foreign
currencies and finan-
cial futures -- -- -- (1,487,297)
- ------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAINS
(LOSSES) ON
INVESTMENTS, FOREIGN
CURRENCY AND FUTURES
TRANSACTIONS 157,947,054 219,708,474 2,274,997 79,626,826
- ------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
OPERATIONS $166,542,087 $229,343,770 $2,350,760 $ 85,450,120
- ------------------------------------------------------------------------------------
</TABLE>
(1)For the period from July 31, 1998 (commencement of operations) through
December 31, 1998.
(*)Net of foreign taxes withheld of $945,735.
See Notes to Financial Statements.
Pegasus Funds
54
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Year Ended December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Intermediate Short Multi Sector High Yield
Bond Bond Bond Bond Bond
Fund Fund Fund Fund Fund
--------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME (Note
2) :
Interest $39,491,208 $ 95,271,840 $16,588,646 $13,348,108 $ 5,976,438
Dividends -- -- -- -- 194,102
- -------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 39,491,208 95,271,840 16,588,646 13,348,108 6,170,540
- -------------------------------------------------------------------------------------------
EXPENSES (Notes 2 and
3):
Investment advisory
fees 2,349,025 5,674,695 990,823 827,079 461,751
Administration fees 880,884 2,128,011 424,638 310,155 98,947
Shareholder services
fees (Class A Shares) 212,255 515,680 33,747 31,428 3,308
Shareholder services
fees (Class B Shares) 1,738 15,036 679 1,505 559
12b-1 fees (Class B
Shares) 5,214 45,107 2,035 4,515 1,679
Professional fees 59,570 79,821 40,838 38,432 32,625
Custodian and security
pricing fees 123,697 207,499 67,713 44,385 75,404
Transfer and dividend
disbursing agent fees 278,623 664,602 47,063 65,163 5,202
Amortization of de-
ferred organization
costs -- -- 6,672 9,855 4,326
Registration and filing
fees 61,879 155,020 32,382 35,496 7,058
Printing fees 16,246 39,401 7,320 5,220 1,534
Other expenses 120,881 61,902 67,636 26,215 16,201
- -------------------------------------------------------------------------------------------
TOTAL EXPENSES 4,110,012 9,586,774 1,721,546 1,399,448 708,594
Less: Investment adviser
waiver -- -- (16,174) -- (101,781)
- -------------------------------------------------------------------------------------------
NET EXPENSES 4,110,012 9,586,774 1,705,372 1,399,448 606,813
- -------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 35,381,196 85,685,066 14,883,274 11,948,660 5,563,727
- -------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAINS (LOSSES) ON IN-
VESTMENTS
Net realized gains
(losses) on investment
transactions 2,567,999 3,839,238 471,599 3,788,218 135,750
Net change in
unrealized appreciation
(depreciation) on in-
vestment securities 4,718,043 21,184,435 1,593,088 (2,292,525) (4,187,294)
- -------------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAINS (LOSS-
ES) ON INVESTMENTS 7,286,042 25,023,673 2,064,687 1,495,693 (4,051,544)
- -------------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS FROM OPER-
ATIONS $42,667,238 $110,708,739 $16,947,961 $13,444,353 $ 1,512,183
- -------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
55
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Period Ended December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Municipal Short Intermediate Michigan
Bond Municipal Bond Municipal Bond Municipal Bond
Fund Fund (1) Fund Fund
------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME (Note
2) :
Interest $30,709,087 $2,036,076 $22,610,144 $ 9,036,054
- ----------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 30,709,087 2,036,076 22,610,144 9,036,054
- ----------------------------------------------------------------------------------
EXPENSES (Notes 2 and
3):
Investment advisory
fees 2,358,313 186,295 1,793,281 699,594
Administration fees 884,368 69,860 672,481 262,348
Shareholder services
fees (Class A Shares) 99,279 225 51,786 48,204
Shareholder services
fees (Class B Shares) 4,252 108 1,999 3,291
12b-1 fees (Class B
Shares) 12,756 324 5,996 9,873
Professional fees 47,412 18,837 41,642 34,814
Custodian and account-
ing fees 86,990 24,724 78,764 49,188
Transfer and dividend
disbursing agent fees 47,270 2,044 32,156 21,209
Amortization of de-
ferred organization
costs 1,460 4,697 11,680 --
Registration and filing
fees 90,184 8,235 55,919 21,804
Printing fees 12,558 2,027 12,655 5,789
Other expenses 166,709 11,361 13,931 68,626
- ----------------------------------------------------------------------------------
TOTAL EXPENSES 3,811,551 328,737 2,772,290 1,224,740
Less: Investment adviser
waiver -- (41,317) -- (13,410)
- ----------------------------------------------------------------------------------
NET EXPENSES 3,811,551 287,420 2,772,290 1,211,330
- ----------------------------------------------------------------------------------
NET INVESTMENT INCOME 26,897,536 1,748,656 19,837,854 7,824,724
- ----------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAINS (LOSSES) ON IN-
VESTMENTS
Net realized gains
(losses) on investment
transactions 2,786,812 56,191 1,371,525 810,107
Net change in
unrealized appreciation
(depreciation) on in-
vestment securities 6,497,000 669,024 4,381,946 1,874,808
- ----------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAINS (LOSS-
ES) ON INVESTMENTS 9,283,812 725,215 5,753,471 2,684,915
- ----------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS FROM OPER-
ATIONS $36,181,348 $2,473,871 $25,591,325 $10,509,639
- ----------------------------------------------------------------------------------
</TABLE>
(1)For the period from May 4, 1998 (commencement of operations) through
December 31, 1998.
See Notes to Financial Statements.
Pegasus Funds
56
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Managed Assets Managed Assets Managed Assets
Conservative Balanced Growth
Fund Fund Fund
------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
Dec. 31, 1998 Dec. 31, 1997 Dec. 31, 1998 Dec. 31, 1997 Dec. 31, 1998 Dec. 31, 1997
------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 4,673,191 $ 3,449,327 $ 7,435,496 $ 6,042,494 $ 310,697 $ 75,049
Net realized gains on
investments 5,969,190 10,320,662 16,832,173 34,007,379 1,370,674 655,347
Net change in
unrealized appreciation
(depreciation) on in-
vestments (435,981) (2,350,245) (3,461,787) (7,432,886) 225,875 (8,420)
- ----------------------------------------------------------------------------------------------------------------
Net increase in net as-
sets from operations 10,206,400 11,419,744 20,805,882 32,616,987 1,907,246 721,976
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHARE-
HOLDERS (Note 2):
From net investment in-
come
Class A Shares (3,532,031) (2,888,131) (5,450,566) (2,416,016) (220,865) (35,453)
Class B Shares (612,692) (264,207) (371,761) (95,876) (151,060) (22,220)
Class I Shares (460,296) (251,568) (3,203,397) (3,393,246) (29,639) (14,555)
- ----------------------------------------------------------------------------------------------------------------
Total distributions
from net investment in-
come (4,605,019) (3,403,906) (9,025,724) (5,905,138) (401,564) (72,228)
- ----------------------------------------------------------------------------------------------------------------
From realized gains
Class A Shares (6,326,506) (9,151,629) (14,856,132) (11,944,679) (503,522) (76,865)
Class B Shares (1,462,412) (1,158,029) (1,299,066) (721,797) (501,662) (85,740)
Class I Shares (814,769) (912,087) (7,907,943) (9,490,570) (61,061) (20,902)
- ----------------------------------------------------------------------------------------------------------------
Total distributions
from realized gains (8,603,687) (11,221,745) (24,063,141) (22,157,046) (1,066,245) (183,507)
- ----------------------------------------------------------------------------------------------------------------
Total distributions to
shareholders (13,208,706) (14,625,651) (33,088,865) (28,062,184) (1,467,809) (255,735)
- ----------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE
TRANSACTIONS (Note 5):
Proceeds from shares
sold 58,074,131 56,042,633 94,271,299 186,676,562 18,479,358 12,257,921
Net asset value of
shares issued in rein-
vestment of distribu-
tions to shareholders 12,315,608 14,019,019 28,993,750 25,044,722 1,127,171 216,893
- ----------------------------------------------------------------------------------------------------------------
70,389,739 70,061,652 123,265,049 211,721,284 19,606,529 12,474,814
Less: payments for
shares redeemed (36,552,301) (28,871,617) (88,749,060) (92,665,003) (4,030,993) (536,321)
- ----------------------------------------------------------------------------------------------------------------
Net increase in net as-
sets from capital share
transactions 33,837,438 41,190,035 34,515,989 119,056,281 15,575,536 11,938,493
- ----------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET AS-
SETS 30,835,132 37,984,128 22,233,006 123,611,084 16,014,973 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 $145,357,634 $114,522,502 $276,104,842 $253,871,836 $29,106,016 $13,091,043
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
57
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Equity Income Growth Mid-Cap Opportunity
Fund Fund Fund
--------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
Dec. 31, 1998 Dec. 31, 1997 Dec. 31, 1998 Dec. 31, 1997 Dec. 31, 1998 Dec. 31, 1997
--------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income
(loss) $ 13,435,205 $ 9,995,130 $ (1,547,510) $ 900,808 $ (1,707,833) $ 76,143
Net realized gains
(losses) on investments 34,663,949 49,970,226 95,985,931 38,532,531 68,219,434 75,611,514
Net change in
unrealized appreciation
(depreciation) on in-
vestments (45,453,977) 3,000,172 167,003,149 104,439,823 (17,120,541) 143,184,993
- ---------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets from op-
erations 2,645,177 62,965,528 261,441,570 143,873,162 49,391,060 218,872,650
- ---------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHARE-
HOLDERS (Note 2):
From net investment in-
come
Class A Shares (341,186) (397,886) -- (9,209) -- --
Class B Shares (71,188) (50,051) -- -- -- --
Class I Shares (12,427,072) (9,614,170) -- (905,808) -- (76,268)
- ---------------------------------------------------------------------------------------------------------------------
Total distributions
from net investment in-
come (12,839,446) (10,062,107) -- (915,017) -- (76,268)
- ---------------------------------------------------------------------------------------------------------------------
From realized gains
Class A Shares (791,086) (2,206,498) (8,197,288) (3,354,983) (18,434,136) (15,608,413)
Class B Shares (226,137) (503,410) (319,286) (110,626) (819,025) (430,754)
Class I Shares (17,872,288) (54,205,468) (48,429,245) (35,824,761) (52,983,769) (56,800,760)
- ---------------------------------------------------------------------------------------------------------------------
Total distributions
from realized gains (18,889,511) (56,915,376) (56,945,819) (39,290,370) (72,236,930) (72,839,927)
- ---------------------------------------------------------------------------------------------------------------------
Total distributions to
shareholders (31,728,957) (66,977,483) (56,945,819) (40,205,387) (72,236,930) (72,916,195)
- ---------------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE
TRANSACTIONS (Note 5):
Proceeds from shares
sold 24,643,386 36,443,621 142,617,267 120,290,702 265,282,705 340,892,729
Proceeds from shares
issued in connection
with conversion (Note
1) 343,332,048 -- 114,256,845 -- 206,155,249 --
Net asset value of
shares issued in rein-
vestment of distribu-
tions to shareholders 17,065,302 37,045,422 43,386,154 26,835,283 61,242,354 60,563,640
- ---------------------------------------------------------------------------------------------------------------------
385,040,736 73,489,043 300,260,266 147,125,985 532,680,308 401,456,369
Less: payments for
shares redeemed (104,617,999) (78,967,179) (149,927,634) (165,354,759) (278,845,124) (275,036,455)
- ---------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets from cap-
ital share transactions 280,422,737 (5,478,136) 150,332,632 (18,228,774) 253,835,184 126,419,914
- ---------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS 251,338,957 (9,490,091) 354,828,383 85,439,001 230,989,314 272,376,369
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 $571,338,646 $319,999,689 $998,040,766 $643,212,383 $1,272,643,711 $1,041,654,397
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
58
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Small Cap Opportunity Fund Intrinsic Value Fund Growth and Value Fund
-------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
Dec. 31, 1998 Dec. 31, 1997 Dec. 31, 1998 Dec. 31, 1997 Dec. 31, 1998 Dec. 31, 1997
-------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income
(loss) $ (1,480,664) $ (819,006) $ 12,412,872 $ 9,255,561 $ 8,595,033 $ 8,392,917
Net realized gains
(losses) on investments 5,057,598 23,580,300 41,072,750 51,424,041 163,985,670 83,059,077
Net change in
unrealized appreciation
(depreciation) on in-
vestments (21,719,701) 23,977,959 (78,410,276) 49,889,271 (6,038,616) 139,970,312
- ---------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets from op-
erations (18,142,767) 46,739,253 (24,924,654) 110,568,873 166,542,087 231,422,306
- ---------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHARE-
HOLDERS (Note 2):
From net investment in-
come
Class A Shares (249) (10) (2,147,442) (824,689) (1,200,691) (717,201)
Class B Shares -- -- (91,317) (29,657) (24,501) (13,664)
Class I Shares (7,615) (90) (10,468,388) (8,168,777) (7,379,382) (7,818,526)
- ---------------------------------------------------------------------------------------------------------------------
Total distributions
from net investment in-
come (7,864) (100) (12,707,147) (9,023,123) (8,604,574) (8,549,391)
- ---------------------------------------------------------------------------------------------------------------------
Distributions in excess
of net investment in-
come
Class A Shares -- -- (2,974) -- -- --
Class B Shares -- -- (126) -- -- --
Class C Shares -- -- (14,498) -- -- --
- ---------------------------------------------------------------------------------------------------------------------
Total distributions in
excess of net invest-
ment income -- -- (17,598) -- -- --
- ---------------------------------------------------------------------------------------------------------------------
From realized gains
Class A Shares (917,514) (1,940,280) (8,646,192) (5,568,447) (24,698,656) (12,290,204)
Class B Shares (114,202) (140,872) (501,868) (275,342) (1,577,745) (544,023)
Class I Shares (7,929,668) (21,480,150) (34,496,855) (38,037,383) (101,421,059) (78,740,173)
- ---------------------------------------------------------------------------------------------------------------------
Total distributions
from realized gains (8,961,384) (23,561,302) (43,644,915) (43,881,172) (127,697,460) (91,574,400)
- ---------------------------------------------------------------------------------------------------------------------
Distributions in excess
of realized gains
Class A Shares (152,194) -- -- -- -- --
Class B Shares (18,943) -- -- -- -- --
Class I Shares (1,315,345) -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------
Total distributions in
excess of realized
gains (1,486,482) -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------
Total distributions to
shareholders (10,455,730) (23,561,402) (56,369,660) (52,904,295) (136,302,034) (100,123,791)
- ---------------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE
TRANSACTIONS (Note 5):
Proceeds from shares
sold 151,637,744 96,892,647 203,060,131 253,810,170 375,909,034 345,503,243
Proceeds from shares
issued in connection
with conversion (Note
1) -- -- -- -- 349,063,401 --
Net asset value of
shares issued in rein-
vestment of distribu-
tions to shareholders 5,721,210 13,802,550 23,228,359 42,141,699 68,350,365 71,311,316
- ---------------------------------------------------------------------------------------------------------------------
157,358,954 110,695,197 226,288,490 295,951,869 793,322,800 416,814,559
Less: payments for
shares redeemed (57,317,688) (24,978,895) (190,354,529) (107,487,017) (380,446,554) (277,887,120)
- ---------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets from cap-
ital share transactions 100,041,266 85,716,302 35,933,961 188,464,852 412,876,246 138,927,439
- ---------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS 71,442,769 108,894,153 (45,360,353) 246,129,430 443,116,299 270,225,954
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 $312,985,006 $241,542,237 $580,680,594 $626,040,947 $1,506,184,113 $1,063,067,814
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
59
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Equity Index Market Expansion International Equity
Fund Index Fund Fund
-------------------------------------------------------------
Year Ended Year Ended Period Ended Year Ended Year Ended
Dec. 31, 1998 Dec. 31, 1997 Dec. 31, 1998(1) Dec. 31, 1998 Dec. 31, 1997
-------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income
(loss) $ 9,635,296 $ 10,775,328 $ 75,763 $ 5,823,294 $ 4,872,280
Net realized gains
(losses) on
investments, foreign
currency and futures
transactions 59,567,131 137,682,393 1,750,558 (17,984,704) (7,365,462)
Net change in
unrealized appreciation
(depreciation) on
investments, foreign
currency translation
and futures
transactions 160,141,343 69,490,136 524,439 97,611,530 22,818,587
- ------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets from
operations 229,343,770 217,947,857 2,350,760 85,450,120 20,325,405
- ------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS (Note 2):
From net investment
income
Class A Shares (2,120,808) (1,287,874) (40) (390,255) (158,687)
Class B Shares (25,774) (13,913) -- (15,390) (7,361)
Class I Shares (6,923,330) (9,815,475) (72,506) (5,811,848) (4,474,343)
- ------------------------------------------------------------------------------------------------------
Total distributions
from net investment
income (9,069,912) (11,117,262) (72,546) (6,217,493) (4,640,391)
- ------------------------------------------------------------------------------------------------------
Distributions in excess
of net investment
income
Class A Shares -- -- -- (144,097) --
Class B Shares -- -- -- (5,683) --
Class I Shares -- -- -- (2,145,944) --
- ------------------------------------------------------------------------------------------------------
Total distributions in
excess of net
investment income -- -- -- (2,295,724) --
- ------------------------------------------------------------------------------------------------------
From realized gains
Class A Shares (18,868,986) (4,544,532) (1,180) -- --
Class B Shares (457,106) (59,025) (8) -- --
Class I Shares (42,378,318) (17,429,544) (1,035,283) -- --
- ------------------------------------------------------------------------------------------------------
Total distributions
from realized gains (61,704,410) (22,033,101) (1,036,471) -- --
- ------------------------------------------------------------------------------------------------------
Distributions in excess
of realized gains
Class A Shares (707,161) -- -- -- --
Class B Shares (17,137) -- -- -- --
Class I Shares (1,588,214) -- -- -- --
- ------------------------------------------------------------------------------------------------------
Total distributions in
excess of realized
gains (2,312,512) -- -- -- --
- ------------------------------------------------------------------------------------------------------
Total distributions to
shareholders (73,086,834) (33,150,363) (1,109,017) (8,513,217) (4,640,391)
- ------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE
TRANSACTIONS (Note 5):
Proceeds from shares
sold 313,122,210 315,400,643 1,423,794 137,042,144 163,775,810
Proceeds from shares
issued in connection
with conversion (Note
1) -- -- 26,441,223 -- 25,851,101
Net asset value of
shares issued in
reinvestment of
distributions to
shareholders 29,221,693 22,770,868 892,867 2,499,532 1,647,758
- ------------------------------------------------------------------------------------------------------
342,343,903 338,171,511 28,757,884 139,541,676 191,274,669
Less: payments for
shares redeemed (306,454,477) (557,739,568) (2,485,468) (116,632,982) (92,471,044)
- ------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets from
capital share
transactions 35,889,426 (219,568,057) 26,272,416 22,908,694 98,803,625
- ------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS 192,146,362 (34,770,563) 27,514,159 99,845,597 114,488,639
NET ASSETS:
Beginning of period 835,046,087 869,816,650 -- 516,452,867 401,964,228
- ------------------------------------------------------------------------------------------------------
End of period $1,027,192,449 $835,046,087 $27,514,159 $616,298,464 $516,452,867
- ------------------------------------------------------------------------------------------------------
</TABLE>
(1)For the period from July 31, 1998 (commencement of operations) through
December 31, 1998.
See Notes to Financial Statements.
Pegasus Funds
60
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Intemediate Bond Bond Short Bond
Fund Fund Fund
-----------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
Dec. 31, 1998 Dec. 31, 1997 Dec. 31, 1998 Dec. 31, 1997 Dec. 31, 1998 Dec. 31, 1997
-----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income
(loss) $ 35,381,196 $ 29,517,324 $ 85,685,066 $ 65,309,976 $ 14,883,274 $ 11,395,674
Net realized gains
(losses) on investments 2,567,999 452,863 3,839,238 800,544 471,599 144,722
Net change in
unrealized appreciation
(depreciation) on in-
vestments 4,718,043 8,278,943 21,184,435 34,887,256 1,593,088 864,560
- -------------------------------------------------------------------------------------------------------------------
Net increase in net as-
sets from operations 42,667,238 38,249,130 110,708,739 100,997,776 16,947,961 12,404,956
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHARE-
HOLDERS (Note 2):
From net investment in-
come
Class A Shares (4,973,721) (1,482,724) (12,213,991) (4,500,480) (692,699) (104,124)
Class B Shares (36,457) (12,737) (312,874) (73,502) (12,203) (5,587)
Class I Shares (30,768,493) (27,921,135) (73,569,798) (60,755,009) (14,347,977) (11,327,998)
- -------------------------------------------------------------------------------------------------------------------
Total distributions
from net investment in-
come (35,778,671) (29,416,596) (86,096,663) (65,328,991) (15,052,879) (11,437,709)
- -------------------------------------------------------------------------------------------------------------------
From realized gains
Class A Shares -- -- -- -- (22,411) (1,700)
Class B Shares -- -- -- -- (424) (150)
Class I Shares -- -- -- -- (498,668) (167,344)
- -------------------------------------------------------------------------------------------------------------------
Total distributions
from realized gains -- -- -- -- (521,503) (169,194)
- -------------------------------------------------------------------------------------------------------------------
Total distributions to
shareholders (35,778,671) (29,416,596) (86,096,663) (65,328,991) (15,574,382) (11,606,903)
- -------------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE
TRANSACTIONS (Note 5):
Proceeds from shares
sold 216,823,529 213,559,882 588,642,357 525,891,556 125,933,802 136,214,007
Proceeds from shares
issued in connection
with conversion (Note
1) 24,555,560 -- -- -- 62,377,768 --
Net asset value of
shares issued in rein-
vestment of distribu-
tions to shareholders 18,447,619 17,877,864 47,400,392 36,740,089 5,789,623 4,626,060
- -------------------------------------------------------------------------------------------------------------------
259,826,708 231,437,746 636,042,749 562,631,645 194,101,193 140,840,067
Less: payments for
shares redeemed (135,584,547) (128,414,182) (378,876,970) (172,381,516) (91,023,489) (73,903,614)
- -------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets from cap-
ital share transactions 124,242,161 103,023,564 257,165,779 390,250,129 103,077,704 66,936,453
- -------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS 131,130,728 111,856,098 281,777,855 425,918,914 104,451,283 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 $ 656,537,531 $ 525,406,803 $1,512,580,420 $1,230,802,565 $344,701,820 $240,250,537
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
61
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Multi Sector Bond High Yield Bond Municipal Bond
Fund Fund Fund
--------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
Dec. 31, Year Ended Dec. 31, Period Ended Dec. 31, Dec. 31,
1998 Dec. 31, 1997 1998 Dec. 31, 1997(1) 1998 1997
--------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income
(loss) $ 11,948,660 $ 8,532,835 $ 5,563,727 $ 1,276,922 $ 26,897,536 $ 18,742,515
Net realized gains
(losses) on investments 3,788,218 263,190 135,750 22,645 2,786,812 2,051,175
Net change in
unrealized appreciation
(depreciation) on in-
vestments (2,292,525) 1,982,422 (4,187,294) 608,641 6,497,000 13,548,913
- ----------------------------------------------------------------------------------------------------------------
Net increase in net as-
sets from operations 13,444,353 10,778,447 1,512,183 1,908,208 36,181,348 34,342,603
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHARE-
HOLDERS (Note 2):
From net investment in-
come
Class A Shares (706,759) (482,924) (117,102) (5,259) (1,769,946) (1,484,220)
Class B Shares (26,270) (22,582) (18,058) (955) (62,445) (35,945)
Class I Shares (11,103,709) (8,031,340) (5,555,780) (1,244,978) (25,026,473) (17,510,743)
- ----------------------------------------------------------------------------------------------------------------
Total distributions
from net investment in-
come (11,836,738) (8,536,846) (5,690,940) (1,251,192) (26,858,864) (19,030,908)
- ----------------------------------------------------------------------------------------------------------------
From realized gains
Class A Shares (84,918) (18,808) (426) (127) (86,152) --
Class B Shares (3,594) (1,207) (63) (20) (4,154) --
Class I Shares (2,198,850) (230,025) (14,218) (22,498) (1,639,208) --
- ----------------------------------------------------------------------------------------------------------------
Total distributions
from realized gains (2,287,362) (250,040) (14,707) (22,645) (1,729,514) --
- ----------------------------------------------------------------------------------------------------------------
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 (14,124,100) (8,786,886) (5,705,647) (1,281,806) (28,588,378) (19,030,908)
- ----------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE
TRANSACTIONS (Note 5):
Proceeds from shares
sold 33,089,591 10,311,300 44,302,009 50,855,077 110,236,541 103,257,906
Proceeds from shares
issued in connection
with conversion (Note
1) 330,844,733 -- -- -- 449,204,422 --
Net asset value of
shares issued in rein-
vestment of distribu-
tions to shareholders 2,701,230 724,616 1,512,846 373,896 2,332,728 1,503,756
- ----------------------------------------------------------------------------------------------------------------
366,635,554 11,035,916 45,814,855 51,228,973 561,773,691 104,761,662
Less: payments for
shares redeemed (66,769,575) (106,530,429) (10,617,848) (2,058,361) (70,188,851) (96,346,798)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets from cap-
ital share transactions 299,865,979 (95,494,513) 35,197,007 49,170,612 491,584,840 8,414,864
- ----------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS 299,186,232 (93,502,952) 31,003,543 49,797,014 499,177,810 23,726,559
NET ASSETS:
Beginning of period 102,908,791 196,411,743 49,797,014 -- 391,855,001 368,128,442
- ----------------------------------------------------------------------------------------------------------------
End of period $402,095,023 $ 102,908,791 $ 80,800,557 $49,797,014 $891,032,811 $391,855,001
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
(1)For the period from June 30, 1997 (commencement of operations) through
December 31, 1997.
See Notes to Financial Statements.
Pegasus Funds
62
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Short
Municipal Bond Intermediate Municipal Bond Michigan Municipal Bond
Fund Fund Fund
---------------------------------------------------------
Period Ended Year Ended Year Ended Year Ended Year Ended
Dec. 31, 1998(1) Dec. 31, 1998 Dec. 31, 1997 Dec. 31, 1998 Dec. 31, 1997
---------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income
(loss) $ 1,748,656 $ 19,837,854 $ 18,403,998 $ 7,824,724 $ 3,234,218
Net realized gains
(losses) on investments 56,191 1,371,525 2,007,297 810,107 (144,655)
Net change in
unrealized appreciation
(depreciation) on in-
vestments 669,024 4,381,946 7,485,364 1,874,808 3,140,469
- ----------------------------------------------------------------------------------------------------
Net increase in net as-
sets from operations 2,473,871 25,591,325 27,896,659 10,509,639 6,230,032
- ----------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHARE-
HOLDERS (Note 2):
From net investment in-
come
Class A Shares (4,005) (866,365) (839,467) (849,059) (814,513)
Class B Shares (1,262) (27,194) (24,367) (49,638) (13,084)
Class I Shares (1,732,978) (18,919,412) (17,763,309) (6,899,533) (2,398,650)
- ----------------------------------------------------------------------------------------------------
Total distributions
from net investment in-
come (1,738,245) (19,812,971) (18,627,143) (7,798,230) (3,226,247)
- ----------------------------------------------------------------------------------------------------
From realized gains
Class A Shares (145) (18,945) (99,588) (33,010) --
Class B Shares (29) (669) (3,661) (3,182) --
Class I Shares (31,539) (385,025) (1,949,447) (480,870) --
- ----------------------------------------------------------------------------------------------------
Total distributions
from realized gains (31,713) (404,639) (2,052,696) (517,062) --
- ----------------------------------------------------------------------------------------------------
Total distributions to
shareholders (1,769,958) (20,217,610) (20,679,839) (8,315,292) (3,226,247)
- ----------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE
TRANSACTIONS (Note 5):
Proceeds from shares
sold 29,003,370 86,038,217 72,832,224 49,388,126 26,314,714
Proceeds from shares
issued in connection
with conversion (Note
1) 95,765,693 61,500,411 207,445,015
Net asset value of
shares issued in rein-
vestment of distribu-
tions to shareholders 274,257 1,445,734 2,436,698 1,328,417 987,581
- ----------------------------------------------------------------------------------------------------
125,043,320 148,984,362 75,268,922 258,161,558 27,302,295
Less: payments for
shares redeemed (6,780,149) (53,891,062) (79,173,261) (17,861,155) (9,736,804)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets from cap-
ital share transactions 118,263,171 95,093,300 (3,904,339) 240,300,403 17,565,491
- ----------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS 118,967,084 100,467,015 3,312,481 242,494,750 20,569,276
NET ASSETS:
Beginning of period -- 396,942,502 393,630,021 81,162,950 60,593,674
- ----------------------------------------------------------------------------------------------------
End of period $118,967,084 $497,409,517 $396,942,502 $323,657,700 $81,162,950
- ----------------------------------------------------------------------------------------------------
</TABLE>
(1)For the period of May 4, 1998 (commencement of operations) through December
31, 1998.
See Notes to Financial Statements.
Pegasus Funds
63
<PAGE>
Pegasus Managed Assets Conservative Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
INVESTMENT COMPANIES -- 99.4%
Pegasus Bond Fund, Class I............................. 6,813,025 $ 73,444,413
Pegasus Growth and Value Fund, Class I................. 1,198,947 20,082,355
Pegasus Growth Fund, Class I........................... 147,907 2,844,256
Pegasus High Yield Bond Fund, Class I.................. 1,334,108 12,994,212
Pegasus International Equity Fund, Class I............. 824,514 11,485,481
Pegasus Intrinsic Value Fund, Class I.................. 1,066,029 14,700,545
Pegasus Mid-Cap Opportunity Fund, Class I.............. 292,323 5,980,922
Pegasus Small Cap Opportunity Fund, Class I............ 198,472 2,981,052
------------
TOTAL INVESTMENT COMPANIES.............................. 144,513,236
------------
TOTAL................................................... $144,513,236
============
(Cost $142,630,424) -- 99.4%
</TABLE>
Percentages indicated are based on net assets of $145,357,634.
Pegasus Funds
64
<PAGE>
Pegasus Managed Assets Balanced Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
INVESTMENT COMPANIES -- 99.6%
Pegasus Bond Fund, Class I............................. 8,716,641 $ 93,965,387
Pegasus Growth and Value Fund, Class I................. 3,368,073 56,415,226
Pegasus Growth Fund, Class I........................... 420,567 8,087,511
Pegasus High Yield Bond Fund, Class I.................. 1,690,127 16,461,833
Pegasus International Equity Fund, Class I............. 2,338,634 32,577,171
Pegasus Intrinsic Value Fund, Class I.................. 3,044,853 41,988,518
Pegasus Mid-Cap Opportunity Fund, Class I.............. 832,000 17,022,710
Pegasus Small Cap Opportunity Fund, Class I............ 563,470 8,463,317
------------
TOTAL INVESTMENT COMPANIES.............................. 274,981,673
------------
TOTAL................................................... $274,981,673
============
(Cost $273,603,711) -- 99.6%
</TABLE>
Percentages indicated are based on net assets of $276,104,842.
Pegasus Funds
65
<PAGE>
Pegasus Managed Assets Growth Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
INVESTMENT COMPANIES -- 98.5%
Pegasus Bond Fund, Class I...................... 455,186 $ 4,906,908
Pegasus Growth and Value Fund, Class I.......... 470,086 7,873,942
Pegasus Growth Fund, Class I.................... 58,392 1,122,883
Pegasus High Yield Bond Fund, Class I........... 87,828 855,448
Pegasus International Equity Fund, Class I...... 323,871 4,511,525
Pegasus Intrinsic Value Fund, Class I........... 423,323 5,837,619
Pegasus Mid-Cap Opportunity Fund, Class I....... 115,970 2,372,750
Pegasus Small Cap Opportunity Fund, Class I..... 78,682 1,181,808
-----------
TOTAL INVESTMENT COMPANIES....................... 28,662,883
-----------
REPURCHASE AGREEMENTS -- 1.0%
State Street Repurchase Agreement, 4.40%,
1/4/99, (collateralized by $200,000 U.S
Treasury Bonds, 12.75%, 11/15/10, market value
$293,459)...................................... 287,000 287,000
-----------
TOTAL REPURCHASE AGREEMENTS...................... 287,000
-----------
TOTAL............................................ $28,949,883
===========
(Cost $28,724,882) -- 99.5%
</TABLE>
Percentages indicated are based on net assets of $29,106,016.
Pegasus Funds
66
<PAGE>
Pegasus Equity Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
COMMON STOCKS -- 80.3%
Business Equipment & Services -- 0.2%
Automatic Data Processing, Inc. ................ 10,000 $ 801,875
Browning-Ferris Industries, Inc. ............... 20,000 568,750
------------
1,370,625
------------
Capital Goods -- 3.0%
Emerson Electric Co. ........................... 80,000 4,840,000
General Electric Co. ........................... 108,000 11,022,750
Sherwin-Williams Co. ........................... 50,000 1,468,750
------------
17,331,500
------------
Consumer Durable -- 2.0%
National Presto Industries, Inc. ............... 269,800 11,500,225
------------
Consumer Non-Durable -- 14.5%
Bandag, Inc., Class A........................... 309,000 10,776,375
Coca-Cola Co. .................................. 85,000 5,684,375
Diageo PLC...................................... 258,647 11,962,424
General Mills, Inc. ............................ 36,000 2,799,000
International Flavors & Fragrances, Inc. ....... 25,000 1,104,688
Lubys Cafeterias, Inc. ......................... 674,650 10,414,909
PepsiCo, Inc. .................................. 65,000 2,660,938
Philip Morris Co., Inc. ........................ 263,700 14,107,949
Proctor & Gamble Co. ........................... 44,000 4,017,750
Quaker Oats Co. ................................ 25,000 1,487,500
Russ Berrie & Co, Inc. ......................... 223,550 5,253,425
UST, Inc. ...................................... 365,640 12,751,695
------------
83,021,028
------------
Energy -- 12.6%
Amoco Corp. .................................... 250,000 14,750,000
Atlantic Richfield Co. ......................... 150,000 9,787,500
Connecticut Energy Corp. ....................... 261,200 7,966,600
Exxon Corp. .................................... 70,000 5,118,750
Mobil Corp. .................................... 108,600 9,461,775
Sierra Pacific Resources........................ 461,200 17,525,600
Texaco, Inc. ................................... 134,500 7,111,688
------------
71,721,913
------------
Financial Services -- 20.3%
American National Insurance Co. ................ 231,400 19,148,349
BankAmerica Corp. .............................. 42,000 2,525,250
Citigroup Inc. ................................. 62,000 3,069,000
Federal National Mortgage Assoc. ............... 250,000 18,499,999
First Union Corp. .............................. 32,000 1,946,000
National City Corp. ............................ 40,000 2,900,000
Ohio Casualty Corp. ............................ 375,000 15,421,875
Pacific Century Financial Corp. ................ 733,600 17,881,500
PXRE Corp. ..................................... 232,600 5,829,538
RLI Corp. ...................................... 196,750 6,541,938
</TABLE>
Pegasus Funds
67
<PAGE>
Pegasus Equity Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
SAFECO Corp. ................................. 346,800 $ 14,890,725
Southtrust Corp. .............................. 50,000 1,846,875
U.S. Bancorp................................... 70,000 2,485,000
Wells Fargo & Co. ............................. 80,000 3,195,000
------------
116,181,049
------------
Health Care -- 5.7%
Abbott Laboratories Corp. ..................... 63,000 3,087,000
Baxter International, Inc. .................... 30,000 1,929,375
Block Drug Inc., Class A....................... 174,757 7,580,085
Johnson & Johnson.............................. 77,000 6,458,375
Merck & Co., Inc. ............................. 53,000 7,827,437
Pfizer, Inc. .................................. 45,000 5,644,688
------------
32,526,960
------------
Multi-Industry -- 2.1%
Loews Corp. ................................... 125,000 12,281,250
------------
Raw Materials -- 0.6%
Du Pont (EI) de Nemours & Co., Inc. ........... 60,000 3,183,750
------------
Real Estate Investment Trust -- 1.1%
Amli Residential Properties Trust.............. 283,500 6,307,875
------------
Retail -- 1.9%
Enesco Group, Inc. ............................ 463,200 10,769,400
------------
Shelter -- 0.7%
Kimberly Clark Corp. .......................... 60,000 3,270,000
Masco Corp. ................................... 20,000 575,000
------------
3,845,000
------------
Technology -- 6.9%
Hewlett Packard Co. ........................... 32,000 2,186,000
International Business Machines................ 25,000 4,618,750
Lockheed Martin Corp. ......................... 209,500 17,755,125
NCH Corp. ..................................... 250,600 14,910,700
------------
39,470,575
------------
Transportation -- 3.2%
Canadian National Railway Co. ................. 350,000 18,156,250
------------
Utilities -- 5.5%
AT&T Corp. .................................... 95,000 7,148,750
BellSouth Corp. ............................... 46,000 2,294,250
GTE Corp. ..................................... 31,000 2,015,000
SBC Communications, Inc. ...................... 41,000 2,198,625
SJW Corp. ..................................... 22,205 1,304,544
Southwest Gas Corp. ........................... 371,800 9,992,125
Washington Water Power Co.(a).................. 331,300 6,377,525
------------
31,330,819
------------
TOTAL COMMON STOCKS.............................. 458,998,219
------------
</TABLE>
Pegasus Funds
68
<PAGE>
Pegasus Equity Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
CONVERTIBLE BONDS -- 7.8%
Consumer Non-Durable -- 0.4%
U.S. Filter, 4.50%, 12/15/01, callable 12/15/99
@ 101.80...................................... 2,500,000 $ 2,359,375
------------
Consumer Services -- 0.4%
Hilton Hotels, 5.00%, 5/15/06, callable 5/15/99
@ 102.86...................................... 2,500,000 2,265,625
------------
Financial Services -- 0.6%
NAC RE Corp., 5.25%, 12/15/02, callable
12/15/99 @ 100.66............................. 3,095,000 3,296,175
------------
Industrial Goods & Services -- 2.9%
Roche Holding Inc., 0.00%, 5/6/12, callable
5/6/04 @ 60.529............................... 30,100,000 16,084,838
------------
Medical Equipment & Supplies -- 0.3%
Athena Neurosci, 4.75% 11/15/04, callable
11/15/00 @ 102.70............................. 1,500,000 1,766,250
------------
Retail -- 0.6%
Pep Boys, 0.00%, 9/20/11, callable 9/20/01 @
67.297........................................ 6,700,000 3,509,125
------------
Utilities -- 2.6%
Potomac Electric Power, 5.00%, 9/1/02, callable
9/1/99 @...................................... 15,471,000 15,026,209
------------
TOTAL CONVERTIBLE BONDS.......................... 44,307,597
------------
PREFERRED CONVERTIBLE STOCKS -- 4.8%
Engineering -- 0.4%
El Paso Energy Capital 4.75%................... 50,000 2,393,750
------------
Financial Services -- 3.7%
Newell Financial 5.25 %........................ 50,000 2,637,500
Salomon Smith Barney Holding, Inc., 7.625%..... 400,000 18,400,000
------------
21,037,500
------------
Machinery & Equipment -- 0.3%
Ingersoll-Rand 6.75%........................... 61,700 1,465,375
------------
Retail-General Merchandise -- 0.4%
Mattel Inc .4125%.............................. 250,000 2,437,500
------------
TOTAL PREFERRED CONVERTIBLE STOCKS............... 27,334,125
------------
REPURCHASE AGREEMENTS -- 8.4%
State Street Repo, 4.40%, 1/4/99,
(Collateralized by $34,995,000 U.S. Treasury
Bonds, 8.75%, 5/15/17, market value
$48,977,462).................................. 48,014,000 48,014,000
------------
TOTAL REPURCHASE AGREEMENTS...................... 48,014,000
------------
TOTAL............................................ $578,653,941
============
(Cost $506,022,566) -- 101.3%
</TABLE>
Percentages indicated are based on net assets of $571,338,646.
(a) Non-income producing security.
Pegasus Funds
69
<PAGE>
Pegasus Growth Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
COMMON STOCKS -- 99.2%
Business Equipment & Services -- 3.4%
Interpublic Group of Companies, Inc. ........ 210,000 $ 16,747,500
Service Corporation International............ 448,000 17,052,000
--------------
33,799,500
--------------
Capital Goods -- 6.8%
General Electric Co. ........................ 350,000 35,721,875
Illinois Tool Works.......................... 250,000 14,500,000
Tyco International, Ltd. .................... 230,000 17,350,625
--------------
67,572,500
--------------
Consumer Non-Durable -- 7.0%
Coca-Cola Co. ............................... 300,000 20,062,500
PepsiCo, Inc. ............................... 400,000 16,375,000
Philip Morris Co., Inc. ..................... 400,000 21,400,000
Procter & Gamble Co. ........................ 130,000 11,870,625
--------------
69,708,125
--------------
Consumer Services -- 0.9%
Walt Disney Co. ............................. 300,000 9,000,000
--------------
Electronics -- 5.4%
Intel Corp. ................................. 300,000 35,568,750
Lucent Technologies, Inc. ................... 164,000 18,040,000
--------------
53,608,750
--------------
Energy -- 1.0%
Baker Hughes, Inc. .......................... 560,000 9,905,000
--------------
Financial Services -- 10.1%
AFLAC, Inc. ................................. 200,000 8,800,000
Associates First Capital, Class A............ 300,000 12,712,500
Federal Home Loan Mortgage Corp. ............ 300,000 19,331,250
MBNA Corp. .................................. 600,000 14,962,500
State Street Corp. .......................... 150,000 10,434,375
UNUM Corp. .................................. 350,000 20,431,250
Wells Fargo & Co. ........................... 350,000 13,978,125
--------------
100,650,000
--------------
Health Care -- 21.9%
American Home Products Corp. ................ 175,000 9,854,688
Amgen, Inc. ................................. 180,000 18,821,250
Elan PLC(a).................................. 400,000 27,824,999
Eli Lilly & Co. ............................. 170,000 15,108,750
Guidant Corp.(a)............................. 198,000 21,829,500
Merck & Co., Inc. ........................... 135,000 19,937,813
Mylan Laboratories........................... 510,000 16,065,000
Pfizer, Inc. ................................ 208,000 26,090,999
Smithkline Beecham PLC ADR................... 350,000 24,325,000
Stryker Corporation.......................... 200,000 11,012,500
</TABLE>
Pegasus Funds
70
<PAGE>
Pegasus Growth Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
United Healthcare Corp. ..................... 300,000 $ 12,918,750
Warner Lambert Co. .......................... 200,000 15,037,500
--------------
218,826,749
--------------
Retail -- 12.2%
Dollar General Corp. ........................ 640,000 15,120,000
Home Depot, Inc. ............................ 520,000 31,817,500
Rite Aid Corp. .............................. 350,000 17,346,875
Staples, Inc.(a)............................. 551,000 24,071,813
Wal-Mart Stores, Inc. ....................... 200,000 16,287,500
Walgreen Co. ................................ 300,000 17,568,750
--------------
122,212,438
--------------
Technology -- 21.0%
Altera Corp.(a).............................. 340,000 20,697,500
Cisco Systems, Inc.(a)....................... 448,500 41,626,406
Compuware Corp.(a)........................... 200,000 15,625,000
Dell Computer Corp.(a)....................... 300,000 21,956,250
International Business Machines.............. 60,000 11,085,000
Microsoft Corp.(a)........................... 400,000 55,475,000
Sun Microsystems, Inc.(a).................... 347,500 29,754,688
Tellabs, Inc.(a)............................. 200,000 13,712,500
--------------
209,932,344
--------------
Telecommunications -- 1.2%
Ericsson L M Telephone Co. ADR............... 481,000 11,513,938
--------------
Utilities -- 8.3%
AES Corp. ................................... 350,000 16,581,250
Airtouch Communications, Inc.(a)............. 530,000 38,226,250
MCI Worldcom, Inc.(a)........................ 388,000 27,839,000
--------------
82,646,500
--------------
TOTAL COMMON STOCKS............................ 989,375,844
--------------
REPURCHASE AGREEMENTS -- 1.5%
State Street Bank, 4.40%, 1/4/99,
(Collateralized by $10,840,000 U.S. Treasury
Bonds, 8.88%, 2/15/19, market value
$15,768,818)................................ 15,453,000 15,453,000
--------------
TOTAL REPURCHASE AGREEMENTS.................... 15,453,000
--------------
TOTAL.......................................... $1,004,828,844
==============
(Cost $561,107,693) -- 100.7%
</TABLE>
Percentages indicated are based on net assets of $998,040,766.
(a) Non-income producing security.
Pegasus Funds
71
<PAGE>
Pegasus Mid-Cap Opportunity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
COMMON STOCKS -- 98.7%
Business Equipment & Services -- 11.9%
Affiliated Computer Services, Inc.(a)......... 570,000 $ 25,649,999
Comdisco, Inc. ............................... 744,196 12,558,308
Convergys Corp.(a)............................ 264,100 5,909,238
DST Systems, Inc.(a).......................... 402,567 22,971,479
HON Industries, Inc. ......................... 831,000 19,892,063
IDEX Corp. ................................... 348,917 8,548,467
KEMET Corp.(a)................................ 458,444 5,157,495
Littelfuse, Inc.(a)........................... 583,180 11,226,215
Omnicom Group, Inc. .......................... 350,096 20,305,568
Young & Rubicam, Inc.(a)...................... 604,750 19,578,781
--------------
151,797,613
--------------
Capital Goods -- 12.5%
Ametek, Inc. ................................. 540,000 12,048,750
Applied Power, Inc. .......................... 588,500 22,215,875
Cooper Cameron Corp.(a)....................... 429,600 10,525,200
Crane Co. .................................... 1,070,602 32,318,797
Harsco Corp. ................................. 437,200 13,307,275
Hubbell, Inc., Class B........................ 292,545 11,116,710
Juno Lighting, Inc. .......................... 797,276 18,636,327
Molex, Inc. .................................. 7,812 297,833
Molex, Inc., Class A.......................... 502,773 16,025,889
Teleflex, Inc. ............................... 496,292 22,643,323
--------------
159,135,979
--------------
Consumer Durable -- 6.7%
Borg-Warner Automotive, Inc. ................. 428,639 23,923,414
Harley-Davidson, Inc. ........................ 672,496 31,859,498
Tower Automotive, Inc.(a)..................... 1,189,574 29,665,002
--------------
85,447,914
--------------
Consumer Non-Durable -- 4.1%
Aptargroup, Inc. ............................. 752,720 21,123,205
Lancaster Colony Corp. ....................... 337,503 10,842,284
U.S. Foodservice, Inc.(a)..................... 408,300 20,006,700
--------------
51,972,189
--------------
Consumer Services -- 1.1%
Galileo International, Inc.................... 322,100 14,011,350
--------------
Energy -- 2.4%
Apache Corp. ................................. 601,469 15,224,684
Global Industries, Ltd.(a).................... 786,700 4,818,538
Noble Affiliates, Inc. ....................... 447,759 11,026,065
--------------
31,069,287
--------------
</TABLE>
Pegasus Funds
72
<PAGE>
Pegasus Mid-Cap Opportunity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Financial Services -- 22.8%
A.G. Edwards, Inc. .......................... 489,504 $ 18,234,024
Associated Banc Corp. ....................... 338,740 11,580,674
Capital RE Corp. ............................ 645,972 12,959,813
Charter One Financial, Inc. ................. 1,254,915 34,823,890
CMAC Investment Corp. ....................... 433,208 19,900,493
Everest Reinsurance Holdings, Inc. .......... 656,823 25,575,046
Executive Risk, Inc. ........................ 279,799 15,371,458
Finova Group, Inc. .......................... 552,740 29,813,413
First Tennessee National Corp. .............. 419,076 15,951,080
Heller Financial, Inc. ...................... 899,500 26,422,813
Peoples Heritage Financial Group, Inc. ...... 870,400 17,408,000
PMI Group, Inc. ............................. 207,091 10,225,118
TCF Financial Corp. ......................... 1,041,420 25,189,346
Transatlantic Holdings, Inc. ................ 132,562 10,016,716
Waddell & Reed Financial, Class A............ 669,000 15,846,938
--------------
289,318,822
--------------
Health Care -- 9.3%
Dentsply International, Inc. ................ 521,314 13,423,836
HCR Manor Care, Inc.(a)...................... 420,911 12,364,261
Health Management Association, Inc., Class
A(a)........................................ 471,796 10,202,589
Sybron International Corp.(a)................ 1,093,382 29,726,322
Universal Health Services, Inc., Class B(a).. 335,300 17,393,688
Waters Corp. ................................ 409,900 35,763,774
--------------
118,874,470
--------------
Industrial Goods & Services -- 1.3%
OM Group, Inc. .............................. 464,400 16,950,600
--------------
Multi-Industry -- 0.7%
DT Industries, Inc. ......................... 565,232 8,902,404
--------------
Retail -- 9.8%
Kohl's Corp.(a).............................. 263,110 16,164,821
Men's Wearhouse, Inc.(a)..................... 779,250 24,741,188
Saks, Inc.(a)................................ 938,418 29,618,817
Tommy Hilfiger Corp.(a)...................... 411,152 24,669,120
Zale Corp.(a)................................ 914,952 29,507,202
--------------
124,701,148
--------------
Shelter -- 1.6%
Leggett & Platt, Inc. ....................... 914,594 20,121,068
--------------
</TABLE>
Pegasus Funds
73
<PAGE>
Pegasus Mid-Cap Opportunity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Description Principal Amount Market Value
----------- ----------------- ------------
<S> <C> <C>
Technology -- 14.5%
Auto Desk, Inc. ............................ 293,400 $ 12,524,513
Lexmark International(a).................... 416,200 41,828,099
Microchip Technology, Inc.(a)............... 581,222 21,505,214
National Data Corp. ........................ 404,100 19,674,619
Sterling Commerce, Inc.(a).................. 377,600 16,992,000
Sungard Data Systems, Inc.(a)............... 838,356 33,272,253
Teradyne, Inc.(a)........................... 369,818 15,671,038
Xilinx, Inc.(a)............................. 329,172 21,437,327
182,905,063
--------------
TOTAL COMMON STOCKS........................... 1,255,207,907
--------------
REPURCHASE AGREEMENTS -- 1.2%
State Street Bank, 4.40%, 1/4/99,
(Collateralized by $11,095,000
U.S. Treasury Bonds, 8.875%, 2/15/19,
market value $16,139,763).................. 15,820,000 15,820,000
--------------
TOTAL REPURCHASE AGREEMENTS................... 15,820,000
--------------
TOTAL......................................... $1,271,027,907
==============
(Cost $883,158,164) -- 99.9%
</TABLE>
Percentages indicated are based on net assets of $1,272,643,711.
(a) Non-income producing security.
Pegasus Funds
74
<PAGE>
Pegasus Small Cap Opportunity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
COMMON STOCKS -- 99.4%
Business Equipment & Services -- 13.8%
Boron Lepore & Associates, Inc.(a)............. 58,000 $ 2,001,000
Cort Business Services Corp.(a)................ 228,000 5,529,000
Education Management Corp.(a).................. 198,400 4,687,200
Global Imaging Systems, Inc.(a)................ 86,300 2,092,775
Integrated Electrical Services, Inc.(a)........ 287,900 6,405,776
Littelfuse, Inc.(a)............................ 155,100 2,985,675
OmniQuip International, Inc. .................. 265,100 3,976,500
Pameco Corp., Class A(a)....................... 305,600 3,533,500
RemedyTemp, Inc., Class A(a)................... 147,050 2,224,131
Simpson Manufacturing Co.(a)................... 147,100 5,507,056
Structual Dynamics Research Corp.(a)........... 216,800 4,308,900
------------
43,251,513
------------
Capital Goods -- 4.5%
Dura Automotive Systems, Inc(a)................ 213,400 7,282,275
Lithia Motors, Inc. Class A(a)................. 414,300 6,835,950
------------
14,118,225
------------
Commercial Services -- 0.7%
Quanta Services, Inc.(a)....................... 93,800 2,069,463
------------
Consumer Durable -- 5.9%
Celestial Seasonings, Inc.(a).................. 132,500 3,685,156
Kulhman Corp. ................................. 127,400 4,825,275
SPS Technologies, Inc.(a)...................... 150,200 8,505,075
Watsco, Inc. .................................. 83,900 1,405,325
------------
18,420,831
------------
Consumer Non-Durable -- 1.6%
Aptargroup, Inc. .............................. 173,900 4,880,069
------------
Energy -- 3.2%
Atmos Energy Corp. ............................ 103,000 3,321,749
Omni Energy Services(a)........................ 341,000 1,449,250
Piedmont Natural Gas Co., Inc. ................ 88,300 3,189,838
Unit Corp.(a).................................. 481,000 2,014,188
------------
9,975,025
------------
Financial Services -- 16.2%
Arm Financial Group, Class A(a)................ 259,000 5,746,562
Banknorth Group, Inc. ......................... 50,600 1,903,825
Capital RE Corp. .............................. 156,400 3,137,775
Conning Corp. ................................. 279,700 5,803,774
Executive Risk, Inc. .......................... 98,300 5,400,356
Financial Federal Corp.(a)..................... 188,500 4,665,375
GBC Bancorp California......................... 210,300 5,415,225
IDEX Corp. .................................... 53,000 1,298,500
Litchfield Financial Corp. .................... 243,400 4,624,600
</TABLE>
Pegasus Funds
75
<PAGE>
Pegasus Small Cap Opportunity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Stirling Cooke Brown Holdings Ltd. ............. 259,000 $ 4,500,125
Triad Guaranty, Inc.(a)......................... 251,900 5,557,544
Unicapital Corp.(a)............................. 348,100 2,567,238
------------
50,620,899
------------
Health Care -- 15.8%
Arrow International, Inc. ...................... 148,100 4,646,638
Ballard Medical Products........................ 86,000 2,090,875
Colorado Medtech, Inc.(a)....................... 330,700 4,381,775
Hanger Orthopedic Group, Inc.(a)................ 266,000 5,985,000
National Dentex Corp.(a)........................ 128,500 2,152,375
Omega Protein Corp.(a).......................... 326,300 3,303,788
Orthodontic Centers Of America, Inc.(a)......... 230,200 4,474,513
Patterson Dental Co.(a)......................... 122,700 5,337,450
Universal Health Services, Inc., Class B(a)..... 121,100 6,282,062
Veterinary Centers Of America, Inc.(a).......... 214,400 4,274,600
Wesley Jessen Visioncare(a)..................... 233,600 6,482,399
------------
49,411,475
------------
Multi-Industry -- 0.6%
DT Industries, Inc. ............................ 128,400 2,022,300
------------
Oil & Gas Explor Prod & Ser -- 0.7%
Stone Energy Corp.(a)........................... 75,000 2,156,250
------------
Raw Materials -- 2.7%
Reliance Steel & Aluminum Co. .................. 110,800 3,060,850
Spartech Corp. ................................. 248,600 5,469,200
------------
8,530,050
------------
Retail -- 10.5%
99 Cents Only Stores(a)......................... 154,150 7,572,619
Consolidated Products, Inc.(a).................. 151,000 3,114,375
Elder Beerman Stores Corp.(a)................... 261,000 3,017,813
IHOP Corp.(a)................................... 89,100 3,558,431
Men's Wearhouse, Inc.(a)........................ 251,700 7,991,475
Zale Corp.(a)................................... 237,200 7,649,700
------------
32,904,413
------------
Shelter -- 1.2%
Crossmann Communities, Inc.(a).................. 140,400 3,878,550
------------
Technology -- 19.2%
Advanced Communications Systems(a).............. 334,600 4,182,500
Boole & Babbage, Inc.(a)........................ 130,975 3,855,577
Burr Brown Corp.(a)............................. 70,300 1,647,656
Control Devices, Inc. .......................... 315,782 5,052,512
Dallas Semiconductor Corp. ..................... 86,300 3,516,725
Doncasters PLC ADR(a)........................... 324,200 5,247,987
Dupont Photomasks, Inc.(a)...................... 122,200 5,185,863
General Cable Corp. ............................ 228,400 4,682,200
</TABLE>
Pegasus Funds
76
<PAGE>
Pegasus Small Cap Opportunity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Holophane Corp.(a)............................. 137,800 $ 3,539,738
Metzler Group, Inc.(a)......................... 99,100 4,824,931
National Instruments Corp.(a).................. 176,600 6,026,474
SBS Technologies, Inc.(a)...................... 116,800 2,160,800
SPSS, Inc.(a).................................. 194,700 3,674,963
Stoneridge, Inc.(a)............................ 291,100 6,622,524
------------
60,220,450
Transportation -- 2.8%
C H Robinson Worldwide, Inc. .................. 209,200 5,426,125
US Freightways Corp. .......................... 109,300 3,183,363
8,609,488
------------
TOTAL COMMON STOCKS.............................. 311,069,001
------------
REPURCHASE AGREEMENTS -- 0.1%
State Street Bank, 4.40%, 1/4/99,
(Collateralized by $305,000 U.S. Treasury
Notes, 5.75%, 10/31/02, market value
$319,106)..................................... 312,000 312,000
------------
TOTAL REPURCHASE AGREEMENTS...................... 312,000
------------
TOTAL............................................ $311,381,001
============
(Cost $285,732,297) -- 99.5%
</TABLE>
Percentages indicated are based on net assets of $312,985,006.
(a) Non-income producing security.
Pegasus Funds
77
<PAGE>
Pegasus Intrinsic Value Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
COMMON STOCKS -- 95.2%
Business Equipment & Services -- 4.5%
Grey Advertising, Inc. ......................... 35,130 $ 12,787,320
Office Depot, Inc.(a)........................... 270,000 9,973,125
Tennant Co. .................................... 81,086 3,253,576
------------
26,014,021
------------
Consumer Durable -- 8.1%
Bandag, Inc., Class A........................... 508,100 17,719,988
National Presto Industries, Inc. ............... 139,400 5,941,925
Unifi, Inc. .................................... 1,193,900 23,355,668
------------
47,017,581
------------
Consumer Non-Durable -- 5.5%
Farmer Brothers Co. ............................ 69,321 14,834,694
Lubys Cafeterias, Inc. ......................... 573,200 8,848,775
UST, Inc. ...................................... 236,400 8,244,450
------------
31,927,919
------------
Energy -- 3.0%
Atlantic Richfield Co........................... 71,026 4,634,447
Sierra Pacific Resources........................ 342,090 12,999,420
------------
17,633,867
------------
Financial Services -- 19.2%
Associated Estates Realty....................... 172,700 2,040,019
Fund American Enterprises Holdings, Inc. ....... 263,490 36,905,067
Leucadia National Corp.(a)...................... 847,570 26,698,454
Marshall & Ilsley Corp. ........................ 175,000 10,226,563
Pacific Century Financial Corp. ................ 627,700 15,300,188
PXRE Corp. ..................................... 455,125 11,406,570
Southtrust Corp. ............................... 255,000 9,419,063
------------
111,995,924
------------
Health Care -- 1.2%
Block Drug, Inc., Class A....................... 158,743 6,885,459
------------
Insurance -- 12.2%
American National Insurance Co. ................ 237,690 19,668,847
Financial Security Assurance Holdings........... 226,479 12,286,486
Ohio Casualty Corp. ............................ 189,900 7,809,638
Old Republic International Corp. ............... 833,391 18,751,297
SAFECO Corp. ................................... 290,100 12,456,169
------------
70,972,437
------------
Multi-Industry -- 5.7%
Loews Corp. .................................... 335,300 32,943,225
------------
Raw Materials -- 0.0%
Tate & Lyle PLC Sponsored ADR................... 400 8,865
------------
</TABLE>
Pegasus Funds
78
<PAGE>
Pegasus Intrinsic Value Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Retail -- 10.8%
Enesco Group, Inc. ............................ 385,700 $ 8,967,525
Payless Shoesource, Inc.(a).................... 493,500 23,379,563
Sbarro, Inc. .................................. 1,161,430 30,414,948
------------
62,762,036
------------
Technology -- 6.6%
Lockheed Martin Corp. ......................... 289,000 24,492,750
NCH Corp. ..................................... 228,711 13,608,305
------------
38,101,055
------------
Transportation -- 3.5%
Canadian National Railway Co. ................. 386,600 20,054,875
------------
Utilities -- 14.9%
Allegheny Energy, Inc. ........................ 268,000 9,246,000
Arch Coal, Inc. ............................... 610,330 10,451,900
Century Telephone Enterprises.................. 154,000 10,394,999
CMS Energy Corp. .............................. 185,000 8,960,938
El Paso Energy Corp. .......................... 260,000 9,051,250
Energy East Corp. ............................. 160,000 9,040,000
Pinnacle West Capital Corp. ................... 195,000 8,263,125
SJW Corp. ..................................... 115,490 6,785,038
Southwest Gas Corp. ........................... 274,155 7,367,916
St. Joseph Light & Power Co. .................. 393,450 7,057,509
------------
86,618,675
------------
TOTAL COMMON STOCKS.............................. 552,935,939
------------
CONVERTIBLE BONDS -- 1.0%
Retail -- 1.0%
Pep Boys, 0.00%, 9/20/11....................... 11,450,000 5,996,938
------------
TOTAL CONVERTIBLE BONDS.......................... 5,996,938
------------
REPURCHASE AGREEMENTS -- 3.6%
State Street Bank, 4.40%, 1/4/99,
(Collateralized by $17,760,000 U.S. Treasury
Bonds, 8.75%, 5/15/17, market value
$24,856,115).................................. 20,820,000 20,820,000
------------
TOTAL REPURCHASE AGREEMENTS...................... 20,820,000
------------
TOTAL............................................ $579,752,877
============
(Cost $538,090,128) -- 99.8%
</TABLE>
Percentages indicated are based on net assets of $580,680,594.
(a) Non-income producing security.
Pegasus Funds
79
<PAGE>
Pegasus Growth and Value Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
COMMON STOCKS -- 97.7%
Business Equipment & Services -- 2.7%
Automatic Data Processing, Inc. ............. 508,000 $ 40,735,250
--------------
Capital Goods -- 6.2%
Dover Corp. ................................. 847,000 31,021,374
General Electric Co. ........................ 247,000 25,209,438
Johnson Controls, Inc. ...................... 384,000 22,656,000
York International Corp. .................... 359,000 14,651,688
--------------
93,538,500
--------------
Consumer Non-Durable -- 14.1%
Anheuser Busch Co. .......................... 648,000 42,524,999
Bestfoods.................................... 615,000 32,748,750
ConAgra, Inc. ............................... 1,176,000 37,044,000
Newell Co. .................................. 767,000 31,638,750
PepsiCo, Inc. ............................... 902,000 36,925,625
Sara Lee Corp. .............................. 1,126,000 31,739,125
--------------
212,621,249
--------------
Consumer Services -- 3.5%
Gannett Co., Inc. ........................... 486,000 31,347,000
Washington Post Co. ......................... 37,100 21,441,481
--------------
52,788,481
--------------
Energy -- 7.0%
British Petroleum Co.(a)..................... 379,019 36,006,830
Mobil Corp. ................................. 417,000 36,331,125
Schlumberger Ltd. ........................... 723,000 33,348,375
--------------
105,686,330
--------------
Financial Services -- 15.0%
American International Group, Inc. .......... 323,512 31,259,347
BankAmerica Corp. ........................... 496,000 29,822,000
Chubb Corp. ................................. 409,600 26,572,800
Federal Home Loan Mortgage Corp. ............ 537,000 34,602,937
First Union Corp. ........................... 369,000 22,439,813
MGIC Investment Corp. ....................... 458,000 18,234,125
National City Corp. ......................... 330,000 23,925,000
Wells Fargo & Co. ........................... 973,000 38,859,187
--------------
225,715,209
--------------
Health Care -- 12.2%
Abbott Laboratories.......................... 494,000 24,206,000
American Home Products Corp. ................ 758,000 42,684,875
Bristol Myers Squibb Co. .................... 391,800 52,427,738
IMS Health Inc. ............................. 420,000 31,683,750
Schering Plough Corp. ....................... 590,000 32,597,500
--------------
183,599,863
--------------
</TABLE>
Pegasus Funds
80
<PAGE>
Pegasus Growth and Value Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Raw Materials -- 1.8%
Sigma-Aldrich Corp. ......................... 926,000 $ 27,201,250
--------------
Retail -- 3.8%
J.C. Penney, Inc. ........................... 572,000 26,812,500
OfficeMax, Inc.(a)........................... 2,552,500 30,949,063
--------------
57,761,563
--------------
Shelter -- 4.5%
Kimberly Clark Corp. ........................ 713,000 38,858,500
Masco Corp. ................................. 1,003,000 28,836,250
--------------
67,694,750
--------------
Technology -- 13.8%
AMP, Inc. ................................... 467,959 24,363,115
Boeing Co. .................................. 580,000 18,922,500
Compaq Computer Corp. ....................... 409,000 17,152,438
Electronic Data System Corp. ................ 630,000 31,657,500
Hewlett Packard Co. ......................... 418,600 28,595,613
Intel Corp. ................................. 304,400 36,090,425
International Business Machines.............. 206,000 38,058,499
Lockheed Martin Corp. ....................... 148,000 12,543,000
--------------
207,383,090
--------------
Utilities -- 13.1%
Bell Atlantic Corp. ......................... 708,000 37,524,000
Century Telephone Enterprises................ 558,000 37,665,000
Enron Corp. ................................. 579,000 33,039,188
Florida Power & Light Group, Inc. ........... 462,000 28,470,750
Pinnacle West Capital Corp. ................. 829,000 35,128,875
SBC Communications, Inc. .................... 470,000 25,203,750
--------------
197,031,563
--------------
TOTAL COMMON STOCKS............................ 1,471,757,098
--------------
REPURCHASE AGREEMENTS -- 1.6%
State Street Bank, 4.40%, 1/4/99,
(Collateralized by $17,760,000 U.S. Treasury
Bonds, 8.75%, 5/15/17, market value
$24,856,115)................................ 24,368,000 24,368,000
--------------
TOTAL REPURCHASE AGREEMENTS.................... 24,368,000
--------------
TOTAL.......................................... $1,496,125,098
==============
(Cost $1,061,126,948) -- 99.3%
</TABLE>
Percentages indicated are based on net assets of $1,506,184,113.
(a) Non-income producing security.
Pegasus Funds
81
<PAGE>
Pegasus Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
COMMON STOCKS -- 99.8%
Business Equipment & Services -- 1.8%
Automatic Data Processing, Inc. ...................... 31,779 $ 2,548,279
Browning-Ferris Industries, Inc. ..................... 21,635 615,245
Ceridian Corp. ....................................... 7,345 512,773
Computer Sciences Corp. .............................. 15,352 989,245
Dun & Bradstreet Corp. (New).......................... 18,967 598,646
Ecolab, Inc. ......................................... 10,388 375,916
Equifax, Inc. ........................................ 16,600 567,513
First Data Corp. ..................................... 48,529 1,537,763
H & R Block, Inc. .................................... 16,457 740,565
Interpublic Group of Companies, Inc. ................. 12,132 967,527
Laidlaw, Inc. ........................................ 38,800 390,425
Omnicom Group, Inc. .................................. 17,700 1,026,600
Paychex, Inc. ........................................ 17,600 905,300
Pitney Bowes, Inc. ................................... 29,796 1,968,398
R.R. Donnelley & Sons Co. ............................ 14,361 629,191
Service Corporation International..................... 31,789 1,209,969
Waste Management, Inc. ............................... 62,349 2,907,021
--------------
18,490,376
--------------
Capital Goods -- 5.4%
Black & Decker Corp. ................................. 10,929 612,707
Caterpillar, Inc. .................................... 42,740 1,966,040
Cooper Industries, Inc. .............................. 12,499 596,046
Crane Co. ............................................ 12,150 366,778
Deere & Co. .......................................... 29,106 964,136
Dover Corp. .......................................... 24,138 884,054
Emerson Electric Co. ................................. 45,314 2,741,497
Fluor Corp. .......................................... 8,470 360,504
General Electric Co. ................................. 339,628 34,663,284
Grainger W.W., Inc. .................................. 9,666 402,347
Honeywell, Inc. ...................................... 14,096 1,061,605
Illinois Tool Works................................... 28,528 1,654,624
Ingersoll Rand Co. ................................... 15,619 733,117
Johnson Controls, Inc. ............................... 9,804 578,436
Paccar, Inc. ......................................... 11,782 484,535
Parker-Hannifin Corp. ................................ 12,976 424,964
PPG Industries, Inc. ................................. 20,140 1,173,155
Sherwin-Williams Co. ................................. 15,416 452,845
Tyco International, Ltd. ............................. 69,532 5,245,320
--------------
55,365,994
--------------
Consumer Durable -- 1.7%
Autozone, Inc.(a)..................................... 16,849 554,964
Dana Corp. ........................................... 19,425 793,997
Eaton Corp. .......................................... 8,305 587,060
Ford Motor Co. ....................................... 128,559 7,544,805
General Motors Corp. ................................. 67,284 4,815,011
</TABLE>
Pegasus Funds
82
<PAGE>
Pegasus Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Genuine Parts Co. ..................................... 18,165 $ 607,392
Goodyear Tire & Rubber Co. ............................ 16,591 836,809
ITT Industries, Inc. .................................. 17,186 683,144
Maytag Corp. .......................................... 9,400 585,150
Whirlpool Corp. ....................................... 8,355 462,658
--------------
17,470,990
--------------
Consumer Non-Durable -- 9.0%
Anheuser Busch Cos., Inc. ............................. 54,233 3,559,041
Archer-Daniels-Midland Co. ............................ 61,988 1,065,419
Avon Products, Inc. ................................... 29,188 1,291,569
Ball Corp. ............................................ 3,457 158,158
Bemis Co. ............................................. 4,177 158,465
Bestfoods.............................................. 31,230 1,662,998
Brown-Forman Corp., Class B............................ 5,168 391,153
Campbell Soup Co. ..................................... 45,886 2,523,730
Clorox Co. ............................................ 11,472 1,340,073
Coca Cola Enterprises, Inc. ........................... 43,500 1,555,125
Coca-Cola Co. ......................................... 255,619 17,094,520
Colgate Palmolive Co. ................................. 30,772 2,857,950
ConAgra, Inc. ......................................... 52,158 1,642,977
Crown Cork & Seal Co. ................................. 13,130 404,568
Eastman Kodak Co. ..................................... 34,323 2,471,256
Fort James Corp. ...................................... 21,004 840,160
Fortune Brands, Inc. .................................. 18,700 591,388
Fruit of the Loom, Inc., Class A(a).................... 8,497 117,365
General Mills, Inc. ................................... 17,041 1,324,938
Gillette Co. .......................................... 119,646 5,780,397
H.J. Heinz Co. ........................................ 39,296 2,225,136
Hershey Foods Corp. ................................... 15,357 955,013
International Flavors & Fragrances, Inc. .............. 10,688 472,276
Kellogg Co. ........................................... 43,744 1,492,764
Newell Co. ............................................ 16,158 666,518
Nike, Inc., Class B.................................... 32,790 1,330,044
PepsiCo, Inc. ......................................... 151,143 6,187,416
Pioneer Hi-Bred International, Inc. ................... 22,800 615,600
Procter & Gamble Co. .................................. 138,996 12,692,071
Quaker Oats Co. ....................................... 13,800 821,100
Ralston Purina Group................................... 34,731 1,124,416
Rubbermaid, Inc. ...................................... 16,441 516,864
Russell Corp. ......................................... 10,900 221,406
Safeway Inc.(a)........................................ 48,000 2,925,000
Sara Lee Corp. ........................................ 98,218 2,768,520
Seagram Co., Ltd. ..................................... 39,428 1,498,264
Sysco Corp. ........................................... 33,480 918,608
Unilever N. V. ........................................ 64,736 5,369,042
UST, Inc. ............................................. 21,612 753,719
</TABLE>
Pegasus Funds
83
<PAGE>
Pegasus Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
V.F. Corp. ............................................ 12,454 $ 583,781
Wrigley (Wm.) Junior Co. .............................. 12,062 1,080,303
--------------
92,049,111
--------------
Consumer Services -- 3.9%
Brunswick Corp. ....................................... 18,800 465,300
CBS Corp.(a)........................................... 76,724 2,512,711
Cendant Corp. ......................................... 88,275 1,682,742
Clear Channel Communications........................... 27,800 1,515,100
Comcast Corp., Class A................................. 38,985 2,287,932
Dow Jones & Co., Inc. ................................. 10,552 507,815
Gannett Co., Inc. ..................................... 29,782 1,920,939
Hasbro, Inc. .......................................... 11,511 415,835
Hilton Hotels Corp. ................................... 28,824 551,259
Knight-Ridder, Inc. ................................... 8,100 414,113
Marriott International, Class A........................ 27,414 795,006
Mattel, Inc. .......................................... 28,507 650,316
McGraw-Hill Co., Inc. ................................. 9,911 1,009,683
Media One Group, Inc.(a)............................... 66,444 3,122,868
New York Times Co., Class A............................ 27,830 965,353
Tele-Communications, Inc., Class A(a).................. 53,863 2,979,297
Time Warner, Inc. ..................................... 121,980 7,570,384
Times Mirror Co., Class A.............................. 10,951 613,256
Tribune Co. ........................................... 12,467 822,822
Viacom, Inc., Class B(a)............................... 37,026 2,739,924
Walt Disney Co. ....................................... 212,436 6,373,080
--------------
39,915,735
--------------
Energy -- 6.3%
Amerada Hess Corp. .................................... 8,560 425,860
Amoco Corp. ........................................... 100,644 5,937,996
Anadarko Petroleum Corp. .............................. 13,200 407,550
Apache Corp. .......................................... 10,000 253,125
Ashland, Inc. ......................................... 8,240 398,610
Atlantic Richfield Co. ................................ 34,960 2,281,140
Baker Hughes, Inc. .................................... 30,912 546,756
Burlington Northern.................................... 18,636 667,402
Chevron Corp. ......................................... 67,712 5,615,864
Exxon Corp. ........................................... 252,040 18,430,424
Halliburton Co. ....................................... 47,570 1,409,261
Mobil Corp. ........................................... 80,024 6,972,091
Occidental Petroleum Corp. ............................ 37,520 633,150
Pennzenergy Co. ....................................... 7,062 115,199
Pennzoil-Quaker State Co. ............................. 7,062 104,606
Phillips Petroleum Co. ................................ 29,271 1,247,676
Royal Dutch Petroleum Co. ............................. 220,740 10,567,928
Schlumberger Ltd. ..................................... 59,274 2,734,013
Tenneco, Inc. ......................................... 18,607 633,801
Texaco, Inc. .......................................... 58,078 3,070,874
</TABLE>
Pegasus Funds
84
<PAGE>
Pegasus Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Union Pacific Resources Group, Inc. ................... 39,806 $ 360,742
Unocal Corp. .......................................... 29,993 875,421
USX-Marathon Group..................................... 31,654 953,577
--------------
64,643,066
--------------
Financial Services -- 15.5%
Allstate Corp. ........................................ 87,320 3,372,735
American Express Co. .................................. 47,422 4,848,900
American General Corp. ................................ 27,019 2,107,482
American International Group, Inc. .................... 108,831 10,515,794
Aon Corp. ............................................. 18,253 1,010,760
Associates First Capital, Class A...................... 67,978 2,880,568
Bank of New York Co., Inc. ............................ 77,286 3,110,762
Bank One Corp. ........................................ 120,400 6,147,924
BankAmerica Corp. ..................................... 179,702 10,804,582
BankBoston Corp. ...................................... 30,292 1,179,495
Bankers Trust Corp. ................................... 10,960 936,395
BB&T Corp. ............................................ 30,200 1,217,438
Bear Stearns Co., Inc. ................................ 12,500 467,188
Capital One Financial Corp. ........................... 7,200 828,000
Charles Schwab Corp. .................................. 43,425 2,439,942
Chase Manhattan Corp. ................................. 89,606 6,098,807
Chubb Corp. ........................................... 17,734 1,150,493
Cigna Corp. ........................................... 21,948 1,696,855
Cincinnati Financial Corp. ............................ 18,000 659,250
Citigroup Inc. ........................................ 236,434 11,703,482
Comerica, Inc. ........................................ 17,389 1,185,712
Conseco, Inc. ......................................... 32,162 982,951
Countrywide Credit Industries, Inc. ................... 11,500 577,156
Federal Home Loan Mortgage Corp. ...................... 70,462 4,540,395
Federal National Mortgage Assoc. ...................... 106,078 7,849,771
Fifth Third Bancorp.................................... 28,866 2,058,507
First Union Corp. ..................................... 99,426 6,046,343
Fleet Financial Group, Inc. ........................... 58,398 2,609,661
Franklin Resources, Inc. .............................. 26,000 832,000
General RE Corp. ...................................... 7,795 1,912,503
Golden West Financial Corp. ........................... 6,635 608,347
Hartford Financial Services Group...................... 24,204 1,328,195
Household International, Inc. ......................... 52,982 2,099,412
Huntington Bancshares.................................. 21,910 658,669
J.P. Morgan & Co., Inc. ............................... 15,277 1,605,040
Jefferson Pilot Corp. ................................. 9,694 727,050
KeyCorp................................................ 45,282 1,449,024
Lehman Brothers Holding, Inc. ......................... 12,800 564,000
Lincoln National Corp. ................................ 11,498 940,680
Marsh & McLennan Co. .................................. 26,892 1,571,501
MBIA, Inc. ............................................ 10,082 661,001
MBNA Corp. ............................................ 77,336 1,928,567
Mellon Bank Corp. ..................................... 28,200 1,938,750
</TABLE>
Pegasus Funds
85
<PAGE>
Pegasus Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Mercantile Bancorp, Inc. .............................. 14,000 $ 645,750
Merrill Lynch & Co. ................................... 35,852 2,393,121
MGIC Investment Corp. ................................. 12,386 493,118
Morgan Stanley Dean Witter Discover.................... 58,600 4,160,600
National City Corp. ................................... 29,705 2,153,613
Northern Trust Corp.................................... 12,400 1,082,675
PNC Bank Corp. ........................................ 31,420 1,700,608
Progressive Corp. ..................................... 7,900 1,338,063
Provident Co., Inc. ................................... 13,700 568,550
Providian Financial.................................... 16,846 1,263,488
Regions Financial Corp. ............................... 22,200 894,938
Republic New York Corp. ............................... 11,582 527,705
SAFECO Corp. .......................................... 11,051 474,502
SLM Holding Corp. ..................................... 18,700 897,600
St. Paul Co., Inc. .................................... 22,384 777,844
State Street Corp. .................................... 17,800 1,238,213
Summit Bancorp......................................... 19,400 847,538
Sunamerica, Inc. ...................................... 20,200 1,638,725
SunTrust Banks, Inc. .................................. 21,692 1,659,438
Synovus Financial Corp. ............................... 27,050 659,344
Torchmark Corp. ....................................... 15,458 545,861
TransAmerica Corp. .................................... 6,815 787,133
U.S. Bancorp........................................... 76,886 2,729,453
Union Planters Corp. .................................. 13,700 620,781
UNUM Corp. ............................................ 15,198 887,183
Wachovia Corp. ........................................ 21,353 1,867,053
Washington Mutual, Inc. ............................... 63,731 2,433,728
Wells Fargo & Co. ..................................... 168,932 6,746,721
--------------
159,885,433
--------------
Health Care -- 12.5%
Abbott Laboratories Corp. ............................. 159,698 7,825,202
Aetna.................................................. 16,312 1,282,531
Allergan, Inc. ........................................ 7,200 466,200
Alza Corp.(a).......................................... 9,400 491,150
American Home Products Corp. .......................... 135,320 7,620,208
Amgen, Inc. ........................................... 28,792 3,010,564
Bausch & Lomb, Inc. ................................... 7,200 432,000
Baxter International, Inc. ............................ 31,385 2,018,448
Becton Dickinson & Co. ................................ 28,724 1,226,156
Biomet, Inc. .......................................... 12,200 491,050
Boston Scientific Corp.(a)............................. 43,332 1,161,839
Bristol Myers Squibb Co. .............................. 103,116 13,798,209
Cardinal Health, Inc. ................................. 22,050 1,673,044
Columbia/HCA Healthcare Corp. ......................... 59,533 1,473,442
Eli Lilly & Co. ....................................... 114,176 10,147,392
Guidant Corp.(a)....................................... 16,418 1,810,085
HBO & Co. ............................................. 40,600 1,164,713
Healthsouth Corp.(a)................................... 42,138 650,505
</TABLE>
Pegasus Funds
86
<PAGE>
Pegasus Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
IMS Health Inc. ....................................... 17,967 $ 1,355,386
Johnson & Johnson...................................... 139,418 11,693,684
Medtronic, Inc. ....................................... 48,204 3,579,147
Merck & Co., Inc. ..................................... 123,474 18,235,565
Pfizer, Inc. .......................................... 135,476 16,993,770
Pharmacia & Upjohn, Inc. .............................. 52,608 2,978,928
Schering Plough Corp. ................................. 151,024 8,344,076
Tenet Healthcare Corp.(a).............................. 33,462 878,378
United Healthcare Corp. ............................... 25,225 1,086,252
Warner Lambert Co. .................................... 85,689 6,442,742
--------------
128,330,666
--------------
Multi-Industry -- 1.1%
Allied Signal, Inc. ................................... 64,552 2,860,461
Corning, Inc. ......................................... 28,111 1,264,995
FMC Corp. ............................................. 6,700 375,200
Harcourt General, Inc. ................................ 7,500 398,906
Loews Corp. ........................................... 11,895 1,168,684
Minnesota Mining & Manufacturing Co. .................. 41,893 2,979,639
Textron, Inc. ......................................... 18,048 1,370,520
TRW, Inc. ............................................. 15,942 895,741
--------------
11,314,146
--------------
Raw Materials -- 2.3%
Air Products & Chemical, Inc. ......................... 26,980 1,079,200
Alcan Aluminum Ltd. ................................... 22,082 597,594
Allegheny Teledyne, Inc. .............................. 18,840 385,043
Aluminum Co. of America................................ 18,969 1,414,376
Avery Dennison Corp. .................................. 11,909 536,649
Barrick Gold Corp. .................................... 38,235 745,583
Dow Chemical Co. ...................................... 25,921 2,357,190
Du Pont (EI) de Nemours & Co. ......................... 117,282 6,223,275
Eastman Chemical Co. .................................. 8,252 369,277
Engelhard Corp. ....................................... 17,991 350,825
Great Lakes Chemical Corp. ............................ 9,500 380,000
Homestake Mining Co. .................................. 47,881 439,907
Inco Ltd. ............................................. 39,900 421,444
International Paper Co. ............................... 32,379 1,450,983
Monsanto Co. .......................................... 67,511 3,206,772
Nucor Corp. ........................................... 8,179 353,742
Phelps Dodge Corp. .................................... 6,600 335,775
Placer Dome, Inc. ..................................... 25,900 297,850
Praxair, Inc. ......................................... 17,003 599,356
Reynolds Metals Co. ................................... 7,160 377,243
Rohm & Haas Co. ....................................... 18,423 554,993
Union Carbide Corp. ................................... 16,045 681,913
USX-U.S. Steel Group, Inc. ............................ 16,300 374,900
--------------
23,533,890
--------------
</TABLE>
Pegasus Funds
87
<PAGE>
Pegasus Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Retail -- 6.9%
Albertsons, Inc. ...................................... 26,979 $ 1,718,225
American Stores Co. ................................... 32,494 1,200,247
Circuit City Stores, Inc. ............................. 10,800 539,325
Costco Companies, Inc. ................................ 22,426 1,618,877
CVS Corp. ............................................. 42,890 2,358,950
Darden Restaurants, Inc. .............................. 37,561 676,098
Dayton Hudson Corp. ................................... 48,360 2,623,530
Dollar General Corp. .................................. 19,875 469,547
Federated Department Stores, Inc. ..................... 24,205 1,054,430
Fred Meyer, Inc. ...................................... 16,900 1,018,225
Gap, Inc. ............................................. 60,580 3,407,625
Home Depot, Inc. ...................................... 152,384 9,323,996
J.C. Penney, Inc. ..................................... 28,640 1,342,500
K-Mart, Inc.(a)........................................ 50,593 774,705
Kohl's Corp.(a)........................................ 17,300 1,062,869
Kroger Co.(a).......................................... 27,858 1,685,409
Limited, Inc. ......................................... 23,620 687,933
Lowe's Co. ............................................ 36,650 1,876,022
May Department Stores Co. ............................. 25,199 1,521,390
McDonald's Corp. ...................................... 71,005 5,440,758
Nordstrom, Inc. ....................................... 14,968 519,203
Rite Aid Corp. ........................................ 27,298 1,352,957
Sears Roebuck & Co. ................................... 40,712 1,730,260
Staples, Inc.(b)....................................... 30,000 1,310,625
Tandy Corp. ........................................... 10,360 426,703
TJX Co., Inc. ......................................... 34,276 994,004
Toys R Us, Inc.(a)..................................... 28,561 481,967
Tricon Global Restaurants(a)........................... 17,224 863,353
Wal-Mart Stores, Inc. ................................. 228,821 18,634,609
Walgreen Co. .......................................... 53,746 3,147,500
Winn Dixie Stores, Inc. ............................... 18,270 819,866
--------------
70,681,708
--------------
Shelter -- 1.0%
Boise Cascade Corp. ................................... 11,100 344,100
Centex Corp. .......................................... 13,224 595,907
Champion International Co. ............................ 10,768 436,104
Georgia Pacific Corp. ................................. 10,387 608,289
Kaufman & Broad Home Corp. ............................ 20,233 581,699
Kimberly Clark Corp. .................................. 63,098 3,438,840
Masco Corp. ........................................... 37,194 1,069,328
Owens-Illinois, Inc.(a)................................ 15,300 468,563
Sealed Air Corp.(a).................................... 9,548 487,545
Temple Inland, Inc. ................................... 7,723 458,070
Union Camp Corp. ...................................... 6,604 445,770
Weyerhaeuser Co. ...................................... 21,792 1,107,305
Williamette Industries, Inc. .......................... 13,970 467,995
--------------
10,509,515
--------------
</TABLE>
Pegasus Funds
88
<PAGE>
Pegasus Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Technology -- 18.5%
3Com Corp.(a).......................................... 36,689 $ 1,644,126
Advanced Micro Devices, Inc.(a)........................ 16,022 463,637
AMP, Inc. ............................................. 20,271 1,055,359
Apple Computer, Inc.(a)................................ 14,900 609,969
Applied Materials, Inc.(a)............................. 38,684 1,651,323
Ascend Communications, Inc.(a)......................... 21,200 1,393,900
BMC Software Inc.(a)................................... 22,300 993,744
Boeing Co. ............................................ 104,657 3,414,435
Cisco Systems, Inc.(a)................................. 161,216 14,962,860
Compaq Computer Corp. ................................. 177,626 7,449,190
Computer Associates International, Inc. ............... 61,353 2,615,172
Danaher Corp. ......................................... 12,000 651,750
Dell Computer Corp.(a)................................. 131,288 9,608,641
Electronic Data System Corp. .......................... 54,300 2,728,575
EMC Corp.(a)........................................... 55,874 4,749,290
Gateway 2000, Inc.(a).................................. 17,400 890,663
General Dynamics Corp. ................................ 11,082 649,682
General Instrument Corp.(a)............................ 15,600 529,425
Hewlett Packard Co. ................................... 107,755 7,361,013
Intel Corp. ........................................... 174,190 20,652,401
International Business Machines........................ 96,772 17,878,626
KLA-Tencor Corp.(a).................................... 12,000 520,500
Lockheed Martin Corp. ................................. 21,247 1,800,683
Lucent Technologies, Inc. ............................. 136,328 14,996,080
Micron Technology, Inc.(a)............................. 23,749 1,200,809
Microsoft Corp.(a)..................................... 257,786 35,751,695
Motorola, Inc. ........................................ 66,101 4,036,292
Northern Telecom, Ltd. ................................ 67,105 3,363,638
Northrop Grumman Corp. ................................ 7,368 538,785
Novell, Inc.(a)........................................ 46,900 850,063
Oracle Corp.(a)........................................ 100,085 4,316,166
Parametric Technology Corp.(a)......................... 28,000 458,500
Peoplesoft Inc.(a)..................................... 24,900 471,544
Perkin-Elmer Corp. .................................... 5,800 565,863
Raytheon Co., Class A.................................. 5,113 264,278
Raytheon Co., Class B.................................. 31,983 1,703,095
Rockwell International Corp. .......................... 19,774 960,275
Seagate Technology, Inc.(a)............................ 27,865 842,916
Sun Microsystems, Inc.(a).............................. 39,267 3,362,237
Tellabs, Inc.(a)....................................... 20,086 1,377,146
Texas Instruments, Inc. ............................... 43,386 3,712,215
Thomas & Betts Corp. .................................. 8,600 372,488
Unisys Corp. .......................................... 24,600 847,163
United Technologies Corp. ............................. 25,164 2,736,585
Xerox Corp. ........................................... 34,335 4,051,530
--------------
191,054,327
--------------
</TABLE>
Pegasus Funds
89
<PAGE>
Pegasus Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Tobacco -- 1.4%
Philip Morris Co., Inc. ............................... 252,185 $ 13,491,897
RJR Nabisco Holdings Corp. ............................ 32,100 952,969
--------------
14,444,866
--------------
Transportation -- 1.0%
AMR Corp. ............................................. 18,896 1,121,950
Burlington Northern Santa Fe Corp. .................... 48,677 1,642,849
CSX Corp. ............................................. 23,242 964,543
Delta Air Lines, Inc. ................................. 15,670 814,840
FDX Corp.(a)........................................... 17,431 1,551,359
Norfolk Southern Corp. ................................ 39,725 1,258,786
Southwest Airlines Co. ................................ 36,943 828,909
Union Pacific Corp. ................................... 27,045 1,218,715
US Airways Group, Inc.(a).............................. 9,100 473,200
--------------
9,875,151
--------------
Utilities -- 11.5%
AES Corp. ............................................. 19,000 900,125
Airtouch Communications, Inc.(a)....................... 61,925 4,466,341
Alltel Corp. .......................................... 30,117 1,801,373
Ameren Corp. .......................................... 12,821 547,296
American Electric Power, Inc. ......................... 20,280 954,428
Ameritech Corp. ....................................... 113,040 7,163,910
AT&T Corp. ............................................ 185,464 13,956,165
Baltimore Gas & Electric Co. .......................... 17,663 545,345
Bell Atlantic Corp. ................................... 159,948 8,477,243
BellSouth Corp. ....................................... 202,390 10,094,200
Carolina Power & Light Co. ............................ 16,718 786,791
Central & South West Corp. ............................ 20,293 556,789
Cinergy Corp. ......................................... 15,367 528,241
Coastal Corp. ......................................... 21,144 738,719
Columbia Gas System, Inc. ............................. 5,589 322,765
Consolidated Edison, Inc. ............................. 26,877 1,421,121
Consolidated Natural Gas Co. .......................... 9,603 518,562
Detroit Edison Co. .................................... 15,571 667,607
Dominion Resources, Inc. .............................. 20,419 954,588
Duke Power Co., Inc. .................................. 39,188 2,510,481
Edison International................................... 35,228 981,981
Enron Corp. ........................................... 34,883 1,990,511
Entergy Corp. ......................................... 29,924 931,385
First Energy Corp. .................................... 25,391 826,794
Florida Power & Light Group, Inc. ..................... 21,280 1,311,380
Frontier Corp. ........................................ 18,361 624,274
General Public Utilities Corp. ........................ 13,640 602,718
GTE Corp. ............................................. 98,731 6,417,515
Houston Industries..................................... 32,902 1,056,977
MCI Worldcom, Inc.(a).................................. 184,177 13,214,699
New Century Energies, Inc. ............................ 11,500 560,625
</TABLE>
Pegasus Funds
90
<PAGE>
Pegasus Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Nextel Communications, Inc., Class A(a)............... 29,400 $ 694,575
Northern States Power Co. ............................ 14,902 413,531
Pacificorp............................................ 31,880 671,473
Peco Energy Corp. .................................... 23,809 991,050
PG&E Corp. ........................................... 41,651 1,312,007
PP&L Resources, Inc. ................................. 21,745 606,142
Public Service Enterprise Group....................... 23,597 943,880
SBC Communications, Inc. ............................. 201,288 10,794,068
Sempra Energy......................................... 26,300 667,363
Southern Co. ......................................... 79,419 2,308,115
Sprint Corp. ......................................... 47,344 3,982,814
Sprint Corp., PCS(a).................................. 43,972 1,016,853
Texas Utilities....................................... 27,654 1,291,096
The Williams Companies, Inc. ......................... 46,044 1,435,997
Unicom Corp. ......................................... 23,024 887,863
US West, Inc. ........................................ 51,872 3,352,228
--------------
117,800,004
--------------
TOTAL COMMON STOCKS..................................... 1,025,364,978
--------------
TOTAL................................................... $1,025,364,978
==============
(Cost $542,440,627) -- 99.8%
</TABLE>
Percentages indicated are based on net assets of $1,027,192,449.
(a) Non-income producing security.
Pegasus Funds
91
<PAGE>
Pegasus Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
COMMON STOCKS -- 100.0%
Business Equipment & Services -- 10.2%
A.C. Nielson Corp.(a)..................................... 600 $ 16,950
ABM Industries, Inc. ..................................... 400 13,850
Advo, Inc.(a)............................................. 400 10,550
America Online, Inc.(a)................................... 9,400 1,503,999
Blount International, Inc. ............................... 800 19,950
Brady (W. H.) Co., Class A................................ 500 13,469
Castle (A. M.) & Co. ..................................... 2,531 37,965
Catalina Marketing Corp.(a)............................... 400 27,350
Chemed Corp. ............................................. 800 26,800
Comdisco, Inc. ........................................... 3,780 63,788
G & K Services Inc., Class A.............................. 437 23,270
Ha Lo Industries, Inc.(a)................................. 600 22,575
HON Industries, Inc. ..................................... 2,800 67,024
Hunt Corp. ............................................... 1,087 11,549
Interim Services, Inc.(a)................................. 1,000 23,375
John H. Harland Co. ...................................... 600 9,488
Kelly Services, Inc., Class A............................. 802 25,464
Lawson Products, Inc. .................................... 200 4,600
Manpower, Inc. ........................................... 1,700 42,819
Miller (Herman), Inc. .................................... 2,800 75,249
Modis Professional Services(a)............................ 2,200 31,900
New England Business Services............................. 300 11,738
Nova Corp. (Georgia)(a)................................... 1,400 48,563
Office Depot, Inc.(a)..................................... 5,150 190,227
Ogden Corp. .............................................. 1,000 25,063
Olsten Corp. ............................................. 1,700 12,538
Pittston Co. ............................................. 984 31,365
Prepaid Legal Services, Inc.(a)........................... 500 16,500
Primark Corp.(a).......................................... 500 13,563
Quintiles Transnational Corp.(a).......................... 1,600 85,399
Robert Half International, Inc.(a)........................ 2,000 89,374
Rollins, Inc. ............................................ 750 13,125
Snyder Communications, Inc.(a)............................ 1,300 43,875
Sotheby's Holdings, Class A............................... 300 9,600
Standard Register Co. .................................... 600 18,563
Tejon Ranch Co. .......................................... 600 11,925
True North Communications, Inc. .......................... 900 24,188
Viad Corp. ............................................... 2,100 63,788
Volt Information Sciences, Inc.(a)........................ 600 13,538
Wallace Computer Services, Inc. .......................... 900 23,738
-----------
2,818,654
-----------
Capital Goods -- 4.7%
AAR Corp. ................................................ 625 14,922
Alliant Techsystems, Inc.(a).............................. 300 24,731
Allied Waste Industries, Inc.(a).......................... 3,800 89,775
American Management Systems, Inc.(a)...................... 900 36,000
</TABLE>
Pegasus Funds
92
<PAGE>
Pegasus Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
American Power Conversion(a).............................. 2,000 $ 96,875
Ametek, Inc. ............................................. 1,200 26,775
Applied Industrial Technologies, Inc. .................... 2,362 32,773
Belden, Inc. ............................................. 500 10,594
Carlisle Companies, Inc. ................................. 600 30,975
Cleco Corp. .............................................. 500 17,156
Commercial Intertech Corp. ............................... 1,950 25,228
Curtiss-Wright Corp. ..................................... 800 30,500
Global Industrial Technologies, Inc.(a)................... 500 5,344
Graco, Inc. .............................................. 400 11,800
Harsco Corp. ............................................. 2,400 73,050
Hubbell, Inc., Class B.................................... 1,374 52,212
Imation Corp.(a).......................................... 800 14,000
Jacobs Engineering Group, Inc.(a)......................... 500 20,375
Kaman Corp., Class A...................................... 460 7,389
Kennametal, Inc. ......................................... 1,000 21,250
Keystone Consolidated Industries, Inc.(a)................. 1,119 9,092
Kulicke & Soffa Industries(a)............................. 500 8,875
Manitowoc Co., Inc. ...................................... 1,350 59,906
Mark IV Industries, Inc. ................................. 3,061 39,793
Molex, Inc. .............................................. 3,138 119,636
Molex, Inc., Class A...................................... 1,525 48,609
Nordson Corp. ............................................ 400 20,550
Orbital Sciences Corp.(a)................................. 800 35,400
Scott Technologies, Inc., Class A(a)...................... 4,000 66,125
Sequa Corp.(a)............................................ 240 14,370
Southdown, Inc. .......................................... 1,222 72,327
Stone & Webster, Inc. .................................... 300 9,975
Superior Services, Inc.(a)................................ 600 12,038
Tecumseh Products Co. .................................... 400 18,650
Trinity Industries, Inc. ................................. 950 36,575
United States Filter Corp.(a)............................. 3,536 80,886
-----------
1,294,531
-----------
Consumer Durable -- 4.4%
Arvin Industries, Inc. ................................... 499 20,802
Ashworth, Inc.(a)......................................... 700 3,872
Bandag, Inc. ............................................. 300 11,981
Bandag, Inc., Class A..................................... 300 10,463
Bassett Furniture Industries, Inc. ....................... 300 7,238
Borg-Warner Automotive, Inc. ............................. 500 27,906
Callaway Golf Co. ........................................ 1,500 15,375
Concord Fabrics, Inc., Class A(a)......................... 1,300 8,125
Concord Fabrics, Inc., Class B(a)......................... 1,300 7,638
Culp, Inc. ............................................... 3,655 28,783
Federal Mogul Corp. ...................................... 1,100 65,449
Furon Co. ................................................ 2,000 34,125
Galey & Lord, Inc.(a)..................................... 500 4,313
General Motors, Class H(a)................................ 900 35,719
</TABLE>
Pegasus Funds
93
<PAGE>
Pegasus Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Greif Bros Corp. ......................................... 800 $ 23,350
Guilford Mills............................................ 1,575 26,283
Harley-Davidson, Inc. .................................... 3,800 180,024
Harman International...................................... 400 15,250
Huffy Corp. .............................................. 2,325 38,363
Kellwood Co. ............................................. 400 10,000
Kimball International, Inc. Class B....................... 2,000 38,000
Lear Corp.(a)............................................. 1,400 53,900
Longview Fibre Co. ....................................... 2,000 23,125
Lynch Corp.(a)............................................ 400 28,400
Mohawk Industries, Inc.(a)................................ 300 12,619
Nashua Corp.(a)........................................... 2,000 26,625
National Presto Industries, Inc. ......................... 500 21,313
Nautica Enterprises, Inc.(a).............................. 800 12,000
Oneida, Ltd. ............................................. 2,268 33,595
Oshkosh 'B' Gosh, Inc., Class A........................... 600 12,113
Oxford Industries, Inc. .................................. 200 5,650
Pillowtex Corp. .......................................... 300 8,025
Polaris Industries, Inc. ................................. 500 19,594
Smith ( A.O.) Corp. ...................................... 500 12,281
Sonoco Products Co. ...................................... 1,855 54,953
Spx Corp.(a).............................................. 600 40,200
Sundstrand Corp. ......................................... 1,500 77,812
Superior Industries International......................... 400 11,125
Swiss Army Brands, Inc.(a)................................ 280 2,695
Timberland Co.(a)......................................... 200 9,113
Toro Co. ................................................. 1,250 35,625
Tultex Corp.(a)........................................... 2,900 2,538
Unifi, Inc. .............................................. 1,300 25,431
Wabash National Corp. .................................... 400 8,125
Westpoint Stevens, Inc.(a)................................ 1,200 37,875
Wynns International, Inc. ................................ 450 9,956
-----------
1,197,747
-----------
Consumer Non-Durable -- 4.3%
Cagles.................................................... 2,000 39,000
Coca-Cola Bottling........................................ 500 28,750
Dean Foods Co. ........................................... 975 39,792
Delta & Pine Land Co. .................................... 800 29,600
Dial Corp. ............................................... 2,100 60,638
Dole Food Co., Inc. ...................................... 1,300 39,000
First Brands Corp. ....................................... 800 31,550
Flowers Industries, Inc. ................................. 4,389 105,061
Food Lion, Inc., Class A.................................. 2,850 30,281
Food Lion, Inc., Class B.................................. 2,750 27,672
Gibson Greetings, Inc.(a)................................. 300 3,563
Hormel Foods Corp. ....................................... 1,900 62,225
IBP, Inc. ................................................ 1,900 55,338
International Multifoods Corp. ........................... 1,350 34,847
</TABLE>
Pegasus Funds
94
<PAGE>
Pegasus Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Interstate Bakeries Corp. ................................ 1,200 $ 31,725
La-Z-Boy Chair Co. ....................................... 1,200 21,375
Lancaster Colony Corp. ................................... 945 30,358
Lance, Inc. .............................................. 800 15,950
McCormick & Co., Inc. .................................... 1,900 64,243
Premark International, Inc. .............................. 1,300 45,013
Smithfield Foods, Inc.(a)................................. 800 27,100
Smucker (J. M.) Co., Class A.............................. 700 17,325
Smucker (J. M.) Co., Class B.............................. 600 13,275
Tyson Foods, Inc., Class A................................ 4,841 102,870
U.S. Foodservice(a)....................................... 1,000 49,000
Universal Corp. .......................................... 800 28,100
Vacu Dry Co.(a)........................................... 1,900 15,675
Warnaco Group, Inc., Class A.............................. 1,300 32,825
Weis Markets, Inc. ....................................... 1,012 39,342
Whittman Corp. ........................................... 2,100 53,288
-----------
1,174,781
-----------
Consumer Services -- 4.1%
American Media, Inc., Class A(a).......................... 6,200 34,488
Anchor Gaming(a).......................................... 300 16,913
Angelica Corp. ........................................... 250 4,656
Aztar Corp.(a)............................................ 900 4,556
Barnes & Noble, Inc.(a)................................... 1,400 59,500
Belo (A.H.) Corp., Series A............................... 2,600 51,838
Bowne & Co., Inc. ........................................ 700 12,513
Central Parking Corp. .................................... 600 19,463
Chris-Craft Industries, Inc.(a)........................... 700 33,731
Cintas Corp. ............................................. 2,400 169,049
Circus Circus Entertainment(a)............................ 1,950 22,303
Consolidated Graphics, Inc.(a)............................ 300 20,269
Corrections Corporation America(a)........................ 1,600 28,200
Craig Corp.(a)............................................ 2,800 22,575
Devry, Inc.(a)............................................ 1,400 42,875
Family Golf Centers, Inc.(a).............................. 500 9,875
Grand Casinos, Inc.(a).................................... 900 7,256
Gtech Holdings Corp.(a)................................... 800 20,500
Hollywood Park, Inc.(a)................................... 500 4,156
Houghton Mifflin Co. ..................................... 600 28,350
International Game Technologies........................... 2,400 58,350
Lee Enterprises, Inc. .................................... 1,000 31,500
Media General, Inc. ...................................... 1,300 68,900
Primadonna Resorts, Inc.(a)............................... 600 5,288
Prime Hospitality Corp.(a)................................ 1,100 11,619
Promus Hotel Corp.(a)..................................... 1,800 58,275
Spelling Entertainment Group(a)........................... 2,300 17,250
Stewart Enterprises Corp., Class A........................ 2,000 44,500
Value Line, Inc. ......................................... 800 31,500
</TABLE>
Pegasus Funds
95
<PAGE>
Pegasus Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Washington Post Co. ...................................... 300 $ 173,380
Westwood One, Inc.(a)..................................... 600 18,300
-----------
1,131,928
-----------
Electronics -- 2.2%
Analog Corp.(a)........................................... 200 7,525
Analog Devices, Inc. ..................................... 3,497 109,717
Benchmark Electronics, Inc.(a)............................ 200 7,325
BMC Industries, Inc. ..................................... 700 4,375
C Cube Microsystems, Inc.(a).............................. 800 21,700
Checkpoint Systems, Inc.(a)............................... 2,600 32,175
CTS Corp. ................................................ 300 13,050
Cubic Corp. .............................................. 1,950 36,563
Electro Scientific Industries, Inc.(a).................... 200 9,063
Gentex Corp.(a)........................................... 1,300 26,000
Hadco Corp.(a)............................................ 300 10,500
Harmon Industries, Inc. .................................. 200 4,613
Intergrated Circuit Systems(a)............................ 500 8,813
Maxim Integrated Products, Inc.(a)........................ 3,200 139,799
Methode Electronics, Class A.............................. 700 10,938
Moog Inc., Class B(a)..................................... 1,200 46,949
Oak Industries, Inc.(a)................................... 400 14,000
Plexus Corp.(a)........................................... 300 10,163
Sanmina Corp.(a).......................................... 1,000 62,499
Tech/Ops Sevcon, Inc. .................................... 1,400 19,513
Technitrol, Inc. ......................................... 300 9,563
Whittaker Corp.(a)........................................ 400 6,750
-----------
611,593
-----------
Energy -- 3.5%
Atmos Energy Corp. ....................................... 1,005 32,411
Cabot Oil & Gas Corp., Class A............................ 1,200 18,000
Cross Timbers Oil Co. .................................... 950 7,125
Daniel Industries, Inc. .................................. 2,500 30,313
ENSCO International, Inc. ................................ 2,900 30,994
Global Marine, Inc.(a).................................... 7,000 64,312
HS Resources, Inc.(a)..................................... 500 3,781
K N Energy, Inc. ......................................... 900 32,738
Murphy Oil Corp. ......................................... 895 36,919
Nabors Industries, Inc.(a)................................ 2,100 28,481
Newfield Exploration Co.(a)............................... 700 14,613
Noble Affiliates, Inc. ................................... 1,400 34,475
Noble Drilling Corp.(a)................................... 2,666 34,491
Ocean Energy, Inc.(a)..................................... 2,070 13,067
Parker Drilling Co.(a).................................... 1,600 5,100
Pennzoil-Quaker State Co. ................................ 1,231 18,228
Piedmont Natural Gas Co., Inc. ........................... 600 21,675
Pioneer Natural Resources Co. ............................ 2,100 18,375
Plains Resources, Inc.(a)................................. 300 4,219
</TABLE>
Pegasus Funds
96
<PAGE>
Pegasus Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Pogo Producing Co. ....................................... 800 $ 10,400
Pool Energy Services Co.(a)............................... 500 5,406
Pride International, Inc.(a).............................. 1,000 7,063
Ranger Oil Ltd.(a)........................................ 2,000 8,875
Santa Fe Energy Resources, Inc.(a)........................ 2,100 15,488
Sierra Pacific Resources.................................. 2,000 75,999
Smith International, Inc.(a).............................. 2,000 50,375
Snyder Oil Corp. ......................................... 700 9,319
Tidewater, Inc. .......................................... 1,500 34,781
Tosco Corp. .............................................. 3,339 86,396
Transocean Offshore, Inc. ................................ 2,100 56,306
Tuboscope Vetco International Corp.(a).................... 900 7,313
Ultramar Diamond Shamrock Corp. .......................... 1,886 45,736
Valero Energy Corp. ...................................... 1,300 27,625
Varco International, Inc.(a).............................. 1,300 10,075
Vintage Petroleum, Inc. .................................. 1,000 8,625
WD-40 Co. ................................................ 400 11,450
Weatherford International(a).............................. 2,030 39,331
-----------
959,880
-----------
Financial Services -- 13.4%
A.G. Edwards, Inc. ....................................... 2,319 86,383
AFLAC, Inc. .............................................. 5,420 238,479
Ambac Financial Group, Inc. .............................. 1,400 84,263
American Bankers Insurance Group, Inc. ................... 1,000 48,375
American Financial Group, Inc. ........................... 1,300 57,038
Americredit Corp.(a)...................................... 1,200 16,575
Amsouth Bancorp. ......................................... 1,180 53,838
Associated Banc-Corp. .................................... 1,325 45,298
Astoria Financial Corp. .................................. 1,000 45,750
Billing Information Concepts(a)........................... 700 7,700
BISYS Group, Inc.(a)...................................... 600 30,975
Capital RE Corp. ......................................... 600 12,038
CCB Financial Corp. ...................................... 800 45,600
Centura Banks, Inc. ...................................... 500 37,188
Charter One Financial, Inc. .............................. 3,535 98,095
City National Corp. ...................................... 1,000 41,625
CMAC Investment Corp. .................................... 500 22,969
Commerce Bancorp, Inc. ................................... 500 26,250
Commercial Federal Corp. ................................. 1,219 28,266
Crestar Financial Corp. .................................. 2,300 165,599
Culen Frost Bankers, Inc. ................................ 1,540 84,508
Dain Rauscher Corp. ...................................... 300 8,850
Delphi Financial Group, Class A(a)........................ 408 21,395
Dime Bancorp, Inc. ....................................... 2,400 63,450
Downey Financial Corp. ................................... 600 15,263
Executive Risk, Inc. ..................................... 200 10,988
Fidelity National Financial, Inc. ........................ 550 16,775
Finova Group, Inc. ....................................... 1,200 64,725
</TABLE>
Pegasus Funds
97
<PAGE>
Pegasus Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
First American Financial Corp. ........................... 1,350 $ 43,369
First Midwest Bancorp, Inc. .............................. 1,385 52,717
First Security Corp. ..................................... 3,850 89,993
First Tennessee National Corp. ........................... 3,200 121,799
First Virginia Banks, Inc. ............................... 1,100 51,700
Firstmerit Corp. ......................................... 1,500 40,313
Fremont General Corp. .................................... 1,400 34,650
Greenpoint Financial Corp. ............................... 2,000 70,250
Hibernia Corp., Class A................................... 3,100 53,863
HSB Group, Inc. .......................................... 750 30,797
Insurance Auto Auctions, Inc.(a).......................... 2,500 29,688
JSB Financial, Inc. ...................................... 200 10,875
Keystone Financial, Inc. ................................. 2,062 76,294
Legg Mason, Inc. ......................................... 1,200 37,875
Marshall & Ilsley Corp. .................................. 2,200 128,562
Mercantile Bankshares Corp. .............................. 1,500 57,750
NAC RE Corp. ............................................. 400 18,775
North Fork Bancorp, Inc. ................................. 2,900 69,419
Ohio Casualty Corp. ...................................... 1,000 41,125
Old Kent Financial Corp. ................................. 2,515 116,947
Old Republic International Corp. ......................... 2,800 63,000
Pacific Century Financial Corp. .......................... 1,600 39,000
Paine Webber Group, Inc. ................................. 3,418 132,019
PMI Group, Inc. .......................................... 600 29,625
Protective Life Corp. .................................... 2,600 103,512
Provident Financial Group................................. 900 33,975
Raymond James Financial, Inc. ............................ 1,000 21,125
Reliastar Financial Corp. ................................ 1,900 87,638
Southtrust Corp. ......................................... 3,450 127,433
Sovereign Bancorp, Inc. .................................. 2,944 41,952
St Paul Bancorp, Inc. .................................... 900 24,497
T Rowe Price Associates................................... 2,500 85,625
TCF Financial Corp. ...................................... 1,800 43,538
U S Trust Corp. .......................................... 400 30,400
United Capital Corp.(a)................................... 769 13,073
Whitney Holding Corp. .................................... 500 18,750
Wilmington Trust Corp. ................................... 700 43,138
Zions Bancorp............................................. 1,500 93,562
-----------
3,686,881
-----------
Health Care -- 10.4%
Acuson Corp.(a)........................................... 600 8,925
Advanced Tissue Sciences, Inc.(a)......................... 900 2,334
Agouron Pharmaceuticals, Inc.(a).......................... 600 35,250
Allegiance Corp. ......................................... 3,000 139,874
Alpharma, Inc. ........................................... 500 17,656
Ballard Medical Products.................................. 600 14,588
Barr Laboratories, Inc.(a)................................ 500 24,000
Beckman Coulter, Inc. .................................... 700 37,975
</TABLE>
Pegasus Funds
98
<PAGE>
Pegasus Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Bergen Brunswig Corp., Class A............................ 2,156 $ 75,191
Bindley Western Industries, Inc. ......................... 400 19,700
Biogen, Inc.(a)........................................... 1,500 124,499
Biomatrix, Inc.(a)........................................ 200 11,650
Block Drug, Inc., Class A................................. 781 33,865
Carter Wallace, Inc. ..................................... 1,200 23,550
Centocor, Inc.(a)......................................... 1,500 67,688
Cephalon, Inc.(a)......................................... 600 5,400
Chiron Corp.(a)........................................... 3,644 95,427
Covance, Inc.(a).......................................... 1,200 34,950
Curative Health Services, Inc.(a)......................... 300 10,050
Datascope Corp.(a)........................................ 1,650 37,950
Dentsply International, Inc. ............................. 1,100 28,325
Diagnostic Products Corp. ................................ 300 9,338
Elan PLC(a)............................................... 510 35,477
Envoy Corp.(a)............................................ 400 23,300
Express Scripts, Inc. Class A(a).......................... 100 6,713
First Health Group Corp.(a)............................... 1,300 21,531
Forest Laboratories, Class A(a)........................... 2,000 106,375
Foundation Health Systems, Class A(a)..................... 2,500 29,844
Genzyme Corp.(a).......................................... 1,600 79,600
Genzyme Molecular Oncology(a)............................. 172 559
HBO & Co. ................................................ 725 20,798
Health Management Association, Inc., Class A(a)........... 6,075 131,371
Healthcare Service Group(a)............................... 675 6,159
Hillenbrand Industries, Inc............................... 1,400 79,625
ICN Pharmaceuticals, Inc.................................. 1,450 32,806
IDEXX Laboratories, Inc.(a)............................... 800 21,525
Incyte Pharmaceuticals, Inc.(a)........................... 600 22,425
Integrated Health Services, Inc.(a)....................... 1,100 15,538
Invacare Corp. ........................................... 600 14,400
Jones Pharma, Inc. ....................................... 600 21,900
Lincare Holdings, Inc.(a)................................. 1,400 56,788
Liposome, Inc.(a)......................................... 800 12,350
Mariner Post Acute Network(a)............................. 1,422 6,488
McKesson Corp.(a)......................................... 2,400 189,749
Medaphis Corp.(a)......................................... 1,600 5,250
Medimmune, Inc.(a)........................................ 600 59,663
Medquist, Inc.(a)......................................... 300 11,850
Mentor Corp.(a)........................................... 500 11,719
Mylan Laboratories........................................ 3,100 97,650
Omnicare, Inc. ........................................... 1,800 62,550
PacifiCare Health Systems, Inc., Class B(a)............... 1,100 87,450
Parexel International Corp.(a)............................ 500 12,500
Patterson Dental Co.(a)................................... 900 39,150
Pediatrix Medical Group, Inc.(a).......................... 300 17,981
Penwest Pharmaceuticals(a)................................ 1,575 9,844
Possis Medical, Inc.(a)................................... 3,400 22,950
</TABLE>
Pegasus Funds
99
<PAGE>
Pegasus Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Protein Design Labs, Inc.(a).............................. 400 $ 9,300
PSS World Medical, Inc.(a)................................ 1,400 32,200
Safeskin Corp.(a)......................................... 1,100 26,538
Sierra Health Services(a)................................. 600 12,638
Steris Corp.(a)........................................... 1,404 39,926
Stryker Corp. ............................................ 2,400 132,149
Sybron International Corp.(a)............................. 2,100 57,094
Total Renal Care Holdings(a).............................. 1,701 50,286
Trigon Healthcare, Inc.(a)................................ 900 33,581
Universal Health Services, Inc., Class B(a)............... 700 36,313
Varian Associates, Inc. .................................. 800 30,300
Visx, Inc.(a)............................................. 300 26,231
Vital Signs, Inc. ........................................ 300 5,250
Watson Pharmaceuticals, Inc.(a)........................... 1,976 124,241
West Co., Inc. ........................................... 158 5,639
-----------
2,853,749
-----------
Raw Materials -- 3.9%
A. Schulman, Inc. ........................................ 700 15,881
Airgas, Inc.(a)........................................... 1,500 13,406
Albemarle Corp. .......................................... 1,000 23,750
Buckeye Technologies, Inc.(a)............................. 700 10,456
Cabot Corp. .............................................. 1,400 39,113
Cambrex Corp. ............................................ 500 12,000
Church & Dwight, Inc. .................................... 1,000 35,938
Crompton & Knowles Corp. ................................. 2,800 57,924
Cytec Industries, Inc.(a)................................. 900 19,125
Dexter Corp. ............................................. 1,000 31,438
Donaldson C., Inc. ....................................... 3,200 66,399
Fuller (H. B.) Co. ....................................... 300 14,438
Geon Co. ................................................. 500 11,500
Georgia Gulf Corp. ....................................... 610 9,798
Glatfelter (P. H.) Co. ................................... 900 11,138
IMC Global, Inc. ......................................... 2,400 51,300
Lawter International, Inc. ............................... 2,664 30,969
Lindberg Corp. ........................................... 2,956 26,881
Lubrizol Corp. ........................................... 1,100 28,256
Lyondell Petrochemical Co. ............................... 1,600 28,800
Macdermid, Inc. .......................................... 600 23,475
Mascotech, Inc. .......................................... 1,800 30,825
Maxxam, Inc.(a)........................................... 650 37,294
McWhorter Technologies(a)................................. 700 16,013
Minerals Technologies, Inc. .............................. 500 20,469
Mueller Industries, Inc.(a)............................... 700 14,219
Olin Corp. ............................................... 1,300 36,806
Penford Corp. ............................................ 1,050 16,800
Quanex Corp. ............................................. 1,700 38,356
Solutia, Inc. ............................................ 2,500 55,938
St. Joe Corp. ............................................ 900 21,094
</TABLE>
Pegasus Funds
100
<PAGE>
Pegasus Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Stillwater Mining Co.(a).................................. 500 $ 20,500
Texas Industries, Inc. ................................... 400 10,775
Tredegar Industries, Inc. ................................ 700 15,750
Triarc Co., Inc.(a)....................................... 724 11,584
Vulcan Materials Co. ..................................... 800 105,249
Wheeling Pittsburgh Steel Co. ............................ 400 4,025
Witco Corp. .............................................. 1,200 19,125
Wolverine Tube, Inc.(a)................................... 300 6,300
Wolverine World Wide, Inc. ............................... 1,775 23,519
-----------
1,066,626
-----------
Retail -- 6.0%
Abercrombie & Fitch Co.(a)................................ 1,100 77,824
AnnTaylor Stores Corp.(a)................................. 500 19,719
Applebee's International, Inc. ........................... 600 12,375
Au Bon Pain Co., Inc., Class A(a)......................... 600 4,050
Bed Bath & Beyond(a)...................................... 2,900 98,962
Best Buy, Inc.(a)......................................... 2,200 135,024
BJ's Wholesale Club, Inc.(a).............................. 1,000 46,313
Bob Evans Farms, Inc. .................................... 866 22,570
Borders Group, Inc.(a).................................... 1,600 39,900
Brinker International, Inc.(a)............................ 1,400 40,425
CEC Entertainment, Inc.(a)................................ 400 11,100
CKE Restaurants, Inc. .................................... 1,100 32,381
Claire's Stores, Inc. .................................... 900 18,450
CompUSA, Inc.(a).......................................... 1,800 23,513
Consolidated Products, Inc.(a)............................ 500 10,313
Cracker Barrel Old Country Store.......................... 1,250 29,141
Dollar Tree Stores, Inc.(a)............................... 1,300 56,794
Dress Barn, Inc.(a)....................................... 500 7,594
Enesco Group, Inc. ....................................... 300 6,975
Family Dollar Stores, Inc. ............................... 3,600 79,199
Fastenal Co. ............................................. 800 35,200
Footstar, Inc.(a)......................................... 500 12,500
General Nutrition Co., Inc.(a)............................ 1,500 24,375
Hannaford Brothers Co. ................................... 900 47,700
Heilig-Meyers Co. ........................................ 1,200 8,025
IHOP Corp. ............................................... 200 7,988
Jones Apparel Group, Inc.(a).............................. 2,100 46,331
Lands End, Inc.(a)........................................ 600 16,163
Lazare Kaplan International, Inc.(a)...................... 900 6,300
Men's Wearhouse, Inc.(a).................................. 700 22,225
Michael's Stores, Inc.(a)................................. 600 10,856
Micro Warehouse, Inc.(a).................................. 700 23,669
OfficeMax, Inc.(a)........................................ 2,500 30,313
Outback Steakhouse, Inc.(a)............................... 1,000 39,875
Payless Shoesource, Inc.(a)............................... 800 37,900
Piccadilly Cafeterias, Inc. .............................. 2,600 27,300
Pier 1 Imports, Inc. ..................................... 2,000 19,375
</TABLE>
Pegasus Funds
101
<PAGE>
Pegasus Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Regis Corp. .............................................. 500 $ 20,000
Ross Stores, Inc. ........................................ 1,000 39,375
Ruddick Corp. ............................................ 1,000 23,000
Saks, Inc.(a)............................................. 3,000 94,687
Sbarro, Inc. ............................................. 1,800 47,138
Shopko Stores, Inc.(a).................................... 500 16,625
Sports Authority, Inc.(a)................................. 600 3,150
Starbucks Corp.(a)........................................ 1,900 106,637
Stein Mart, Inc.(a)....................................... 900 6,272
TCBY Enterprises, Inc. ................................... 1,300 9,100
Tiffany & Co. ............................................ 700 36,313
Williams Sonoma, Inc.(a).................................. 1,200 48,375
Zale Corp.(a)............................................. 700 22,575
-----------
1,661,964
-----------
Shelter -- 2.7%
American Standard Co.(a).................................. 1,500 53,905
Bowater, Inc. ............................................ 1,000 41,438
Calmat Co.(a)............................................. 500 15,438
Champion Enterprises, Inc.(a)............................. 980 26,828
Chesapeake Corp. ......................................... 1,500 55,312
Clayton Homes, Inc. ...................................... 3,062 42,294
Consolidated Papers, Inc. ................................ 2,200 60,499
Continental Materials Corp.(a)............................ 1,000 36,500
Florida Rock Industries .................................. 400 12,400
Georgia Pacific Timber Corp. ............................. 1,900 45,244
John Manville Corp. ...................................... 1,400 23,013
Leggett & Platt, Inc. .................................... 4,100 90,199
Lone Star Industries, Inc. ............................... 600 22,088
MDC Holdings, Inc. ....................................... 300 6,413
Modine Manufacturing Co. ................................. 600 21,750
Oakwood Homes Corp. ...................................... 1,050 15,947
Pentair, Inc. ............................................ 800 31,850
Rayonier, Inc. ........................................... 500 22,969
Ryland Group, Inc. ....................................... 1,500 43,313
Shaw Industry, Inc. ...................................... 2,500 60,624
Skyline Corp. ............................................ 200 6,500
U S Home Corp.(a)......................................... 300 9,975
Winnebago Industries, Inc. ............................... 500 7,563
-----------
752,062
-----------
Technology -- 17.9%
Acxiom Corp.(a)........................................... 1,500 46,500
ADC Telecommunications, Inc.(a)........................... 2,800 97,300
Altera Corp.(a)........................................... 2,100 127,837
Amcast Industrial Corp. .................................. 1,000 19,125
Analysts International Corp. ............................. 500 9,625
Anixter International, Inc.(a)............................ 1,600 32,500
Arrow Electronics, Inc.(a)................................ 1,950 52,041
</TABLE>
Pegasus Funds
102
<PAGE>
Pegasus Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Aspect Telecommunications Corp.(a)........................ 1,000 $ 17,250
ATMEL Corp.(a)............................................ 2,000 30,625
Avid Technology, Inc.(a).................................. 500 11,688
Avnet, Inc. .............................................. 800 48,400
Banctec, Inc.(a).......................................... 1,131 14,208
Boole & Babbage, Inc.(a).................................. 600 17,663
Cadence Design Systems, Inc.(a)........................... 5,100 151,724
Cambridge Technology Partners, Inc.(a).................... 1,200 26,550
Carpenter Technology Corp. ............................... 1,200 40,725
CDI Corp.(a).............................................. 400 8,075
Cerner Corp.(a)........................................... 700 18,725
CFW Communications Co. ................................... 1,900 44,413
Ciber, Inc.(a)............................................ 1,100 30,731
Citrix System, Inc.(a).................................... 900 87,356
Communications Satellite Corp. ........................... 800 28,800
Computer Task Group, Inc. ................................ 400 10,850
Compuware Corp.(a)........................................ 4,300 335,937
Comverse Technology, Inc.(a).............................. 900 63,900
Cordant Technology, Inc. ................................. 700 26,250
Dallas Semiconductor Corp. ............................... 600 24,450
Dialogic Corp.(a)......................................... 300 5,897
Diebold, Inc. ............................................ 1,718 61,311
Electronic Arts, Inc.(a).................................. 1,300 72,963
Etec Systems, Inc.(a)..................................... 400 16,000
Fair Issac & Co., Inc. ................................... 300 13,856
Fiserv, Inc.(a)........................................... 1,950 100,302
Fore Systems, Inc.(a)..................................... 2,200 40,288
Gencorp, Inc. ............................................ 1,049 26,159
Gerber Scientific, Inc. .................................. 2,600 61,913
Henry (Jack) & Associates................................. 400 19,900
HNC Software, Inc.(a)..................................... 500 20,219
Hutchinson Technology, Inc.(a)............................ 400 14,250
Hyperion Solutions Corp.(a)............................... 580 10,440
Informix Corp.(a)......................................... 3,400 33,575
Intervoice, Inc.(a)....................................... 300 10,350
Intuit, Inc.(a)........................................... 1,300 94,250
Keane, Inc.(a)............................................ 1,500 59,906
Kronos, Inc.(a)........................................... 1,400 62,038
Labarge, Inc.(a).......................................... 1,700 4,569
Lexmark International(a).................................. 1,800 180,899
Linear Technology Corp.(a)................................ 1,600 143,299
Litton Industries, Inc.(a)................................ 1,000 65,250
Macromedia, Inc.(a)....................................... 800 26,950
Marshall Industries Corp.(a).............................. 300 7,350
Martin Marietta Materials, Inc. .......................... 1,200 74,625
Mentor Graphics Corp. .................................... 1,300 11,050
Mercury Interactive Corp.(a).............................. 400 25,300
Microchip Technology, Inc.(a)............................. 1,100 40,700
</TABLE>
Pegasus Funds
103
<PAGE>
Pegasus Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Micros Systems, Inc.(a)................................... 300 $ 9,863
National Computer System, Inc. ........................... 800 29,600
National Data Corp. ...................................... 700 34,081
National Instruments Corp.(a)............................. 700 23,888
NCR Corp.(a).............................................. 2,100 87,675
Networks Associates, Inc.(a).............................. 2,800 185,499
Novellus Systems, Inc.(a)................................. 700 34,650
NTL, Inc.(a).............................................. 221 12,473
Photronics, Inc.(a)....................................... 500 11,984
Platinum Software Corp.(a)................................ 500 6,406
Platinum Technology International, Inc.(a)................ 1,800 34,425
Policy Management Systems Corp.(a)........................ 800 40,400
Progress Software Corp.(a)................................ 400 13,500
Qualcomm, Inc.(a)......................................... 1,500 77,719
Quantum Corp.(a).......................................... 3,600 76,500
Reynolds & Reynolds, Class A.............................. 3,200 73,400
SCI Systems, Inc.(a)...................................... 1,300 75,075
SEI Corp. ................................................ 500 49,688
Siebel Systems, Inc.(a)................................... 1,800 61,088
Skytel Communications, Inc.(a)............................ 1,700 37,613
Solectron Corp.(a)........................................ 2,900 269,518
Sterling Commerce, Inc.(a)................................ 1,900 85,500
Sterling Software, Inc. .................................. 2,000 54,125
Storage Technology Corp.(a)............................... 2,660 94,596
Sungard Data Systems, Inc.(a)............................. 2,200 87,313
Symantec Corp.(a)......................................... 1,200 26,100
Symbol Technologies, Inc. ................................ 1,300 83,119
Synopsys, Inc.(a)......................................... 1,400 75,950
Tech Data Corp.(a)........................................ 1,000 40,250
Teradyne, Inc.(a)......................................... 1,800 76,275
Tyler Corp.(a)............................................ 2,000 12,250
Unitrode Corp.(a)......................................... 600 10,500
Vishay Intertechnology, Inc.(a)........................... 1,300 18,850
Vitesse Semiconductor Corp.(a)............................ 1,500 68,438
Western Wireless Corp., Class A(a)........................ 2,300 50,600
Whittman-Hart, Inc.(a).................................... 1,100 30,388
Xilinx, Inc.(a)........................................... 1,500 97,688
Xircom, Inc.(a)........................................... 500 17,000
Zebra Technologies Corp.(a)............................... 700 20,125
----------
4,920,969
----------
Transportation -- 2.2%
Air Express International Corp. .......................... 850 18,488
Airborne Freight Corp. ................................... 1,200 43,274
Alaska Air Group, Inc.(a)................................. 520 23,010
Alexander & Baldwin, Inc. ................................ 1,100 25,575
ASA Holdings, Inc. ....................................... 600 18,300
CNF Transportation, Inc. ................................. 1,000 37,563
Comair Holdings, Inc. .................................... 1,400 47,249
</TABLE>
Pegasus Funds
104
<PAGE>
Pegasus Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Expeditors International of Washington, Inc. ............. 500 $ 21,000
GATX Corp. ............................................... 1,956 74,083
Heartland Express, Inc.(a)................................ 600 10,500
Hunt (J. B.) Transport Services, Inc. .................... 700 16,100
Kansas City Southern Industries........................... 2,300 113,130
Kirby Corp.(a)............................................ 400 7,975
Landstar System, Inc.(a).................................. 200 8,150
M S Carriers, Inc.(a)..................................... 200 6,588
Offshore Logistics, Inc.(a)............................... 500 5,938
Overseas Shipholding Group, Inc. ......................... 1,400 22,488
Skywest, Inc. ............................................ 200 6,538
US Freightways Corp. ..................................... 500 14,563
Werner Enterprise, Inc. .................................. 950 16,803
Wisconsin Central Transportation Corp.(a)................. 1,000 17,188
Xtra Corp. ............................................... 1,000 41,375
-----------
595,878
-----------
Utilities -- 9.8%
Allegheny Energy, Inc. ................................... 3,100 106,949
American Water Works, Inc. ............................... 1,700 57,375
Calenergy, Inc.(a)........................................ 1,300 45,094
Cellular Communications International(a).................. 373 25,364
Century Telephone Enterprises............................. 2,250 151,874
Cilcorp, Inc. ............................................ 400 24,475
Cincinnati Bell, Inc. .................................... 2,600 98,313
CMS Energy Corp. ......................................... 2,400 116,249
Conectiv, Inc. ........................................... 1,500 36,750
Devon Energy Corp. ....................................... 200 6,138
DPL Corp. ................................................ 3,300 71,363
El Paso Energy Corp. ..................................... 2,892 100,678
Energy East Corp. ........................................ 1,700 96,050
Florida Progress Corp. ................................... 2,400 107,549
Idacorp, Inc. ............................................ 1,100 39,806
Illinova Corp. ........................................... 1,900 47,500
Indiana Energy, Inc. ..................................... 666 16,400
Interstate Energy Corp. .................................. 800 25,800
Ipalco Enterprises, Inc. ................................. 1,350 74,841
Kansas City Power & Light Co. ............................ 1,600 47,400
Keyspan Energy Corp. ..................................... 2,444 75,764
L G & E Energy Corp. ..................................... 1,670 47,282
MCN Energy Group, Inc. ................................... 1,200 22,875
MidAmerican Energy Holdings Co. .......................... 2,523 67,806
Minnesota Power & Light Co. .............................. 1,000 44,000
Montana Power Co. ........................................ 1,400 79,188
National Fuel Gas Co. .................................... 960 43,380
Nevada Power Co.(a)....................................... 1,300 33,800
New England Electric System............................... 1,600 77,000
New Jersey Resources Corp. ............................... 400 15,800
Nipsco Industries, Inc. .................................. 3,200 97,400
</TABLE>
Pegasus Funds
105
<PAGE>
Pegasus Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Shares Market Value
----------- ------ ------------
<S> <C> <C>
Northeast Utilities(a).................................... 2,700 $ 43,200
OGE Energy Corp. ......................................... 2,000 58,000
Pinnacle West Capital Corp. .............................. 2,100 88,988
Potomac Electric Power Co. ............................... 3,000 78,938
Public Service Co. of New Mexico ......................... 800 16,350
Puget Sound Energy, Inc. ................................. 2,100 58,538
Questar Corp. ............................................ 2,000 38,750
SCANA Corp. .............................................. 2,700 87,075
TECO Energy, Inc.(a)...................................... 3,300 93,019
Telephone & Data Systems, Inc. ........................... 700 31,456
TNP Enterprises, Inc. .................................... 300 11,381
UtiliCorp United, Inc. ................................... 1,100 40,356
Washington Gas Light Co.(a)............................... 900 24,413
Wicor, Inc. .............................................. 2,000 43,625
Wisconsin Energy Corp. ................................... 2,800 88,025
-----------
2,702,377
-----------
Water Utility -- 0.2%
Consumers Water Co. ...................................... 1,100 34,581
United Water Resources, Inc. ............................. 800 19,150
-----------
53,731
-----------
Wholesale Distribution -- 0.1%
Microage, Inc.(a)......................................... 200 3,075
VWR Corp.(a).............................................. 1,600 27,800
-----------
30,875
-----------
TOTAL COMMON STOCKS......................................... 27,514,226
-----------
TOTAL....................................................... $27,514,226
===========
(Cost $18,540,428) -- 100.0%
</TABLE>
Percentages indicated are based on net assets of $27,514,159.
(a) Non-income producing security.
Pegasus Funds
106
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
COMMON STOCKS -- 95.5%
ARGENTINA -- 1.6%
Banking & Finance -- 0.2%
Banco De Galicia Bue, Class B................. 198,547 $ 874,395
Banco Frances Rio Pl.......................... 51,945 369,142
-----------
1,243,537
-----------
Beverages & Tobacco -- 0.0%
Buenos Aires Embottelladora SA, Class B....... 150 2
Construction -- 0.1%
Astra Cia Argentin............................ 290,820 343,477
Energy -- 0.0%
Comercial Del Plata(a)........................ 116,786 82,408
Metals & Mining -- 0.1%
Siderar SA, Class A........................... 18,216 48,316
Siderca SA.................................... 488,521 557,417
-----------
605,733
-----------
Oil & Gas Exploration, Production & Services --
0.8%
Perez Companc SA.............................. 299,760 1,269,130
YPF Sociedad Anonima.......................... 127,300 3,561,246
-----------
4,830,376
-----------
Telecommunications -- 0.4%
Telefonica de Argentina SA, Class B(a)........ 965,600 2,754,445
-----------
9,859,978
-----------
AUSTRALIA -- 1.2%
Banking -- 0.4%
National Australia Bank Ltd. ................. 99,035 1,494,304
Westpac Banking Corp., Ltd. .................. 130,510 874,142
-----------
2,368,446
-----------
Beverages & Tobacco -- 0.0%
Coca-Cola Amatil Ltd.......................... 24,929 92,966
Brewery -- 0.0%
Foster's Brewing Group Ltd.................... 71,247 193,154
Broadcasting & Publishing -- 0.1%
News Corp., Ltd............................... 120,521 796,887
Building Products -- 0.1%
Boral Ltd. ................................... 70,041 99,668
CSR Ltd. ..................................... 50,166 122,772
Pioneer International Ltd..................... 60,480 127,981
-----------
350,421
-----------
Chemicals -- 0.0%
Orica Ltd..................................... 18,853 98,176
Containers & Packaging -- 0.0%
Amcor Ltd..................................... 50,613 216,470
</TABLE>
Pegasus Funds
107
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO iNVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Diversified -- 0.0%
Southcorp Holdings Ltd......................... 24,807 $ 79,197
Food Products & Services -- 0.0%
Goodman Fielder Ltd............................ 55,433 56,101
Manufacturing-Capital Goods -- 0.0%
Pacific Dunlop Ltd. ........................... 92,967 150,539
Metals -- 0.1%
MIM Holdings Ltd............................... 109,423 48,323
Rio Tinto Ltd.................................. 35,868 425,810
-----------
474,133
-----------
Metals & Mining -- 0.2%
Broken Hill Proprietary Co., Ltd. ............. 122,421 902,484
North Ltd...................................... 18,300 29,857
Santos Ltd..................................... 82,465 221,544
WMC Ltd........................................ 81,722 246,615
-----------
1,400,500
-----------
Real Estate -- 0.1%
General Property Trust......................... 56,140 105,024
Lend Lease Corp................................ 19,322 260,729
Westfield Trust................................ 27,622 60,992
-----------
426,745
-----------
Retail--Stores/Catalog -- 0.1%
Coles Myer Ltd................................. 46,811 245,488
Woolworth Ltd.................................. 22,733 77,470
-----------
322,958
-----------
Services -- 0.1%
Brambles Industries Ltd........................ 13,527 329,803
-----------
7,356,496
-----------
BELGIUM -- 4.4%
Banking -- 0.5%
Kredietbank NV................................. 41,700 3,301,745
Chemicals -- 0.4%
Solvay SA...................................... 28,640 2,159,292
Construction -- 0.0%
Glaverbel Mecansa.............................. 1,500 198,674
Electric Utility -- 0.7%
Tractebel Investment Capital................... 22,375 4,344,376
Industrial Holding Company -- 0.4%
Groupe Bruxelles Lambert SA.................... 11,265 2,295,450
Insurance -- 0.8%
Fortis AG(a)................................... 13,048 4,728,809
</TABLE>
Pegasus Funds
108
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Merchandising -- 0.1%
Bekaert SA.................................... 930 $ 462,932
Delhaize-Le Lion SA........................... 1,800 159,289
-----------
622,221
-----------
Metals & Mining -- 0.0%
Union Miniere Group........................... 7,710 293,563
Oil & Gas Exploration, Production & Services --
0.4%
PetroFina SA(a)............................... 5,709 2,617,455
Telecommunications--Services and Equipment --
1.1%
Electrabel SA................................. 14,667 6,446,986
-----------
27,008,571
-----------
BRAZIL -- 1.6%
Electric Utility -- 0.2%
Centrais Electricas Brasileiras ADR........... 77,000 739,284
Centrais Geradoras do Sul do Brasil ADR(a).... 7,700 47,799
Companhia Energetica de Minas Gerais ADR...... 30,349 577,742
-----------
1,364,825
-----------
Financial Services -- 0.2%
Unibanco Holdings GDR......................... 82,000 1,183,875
Food Products & Services -- 0.1%
Pao De Acucar GDR............................. 20,000 310,000
Industrial Holding Company -- 0.0%
Aracruz Celulose ADR.......................... 19,500 156,000
Metals & Mining -- 0.0%
Compania Vale do Rio Doce ADR................. 21,000 269,409
Oil & Gas Exploration, Production & Services --
0.1%
Petroleo Brasileiras ADR...................... 56,000 634,995
Paper Products -- 0.0%
Klabin Fabricadora ADR........................ 8,000 15,230
Steel -- 0.0%
Sider Nacional ADR............................ 6,000 135,000
Telecommunications--Services and Equipment --
1.0%
Globo Cabo SA ADR(a).......................... 28,000 63,000
Telecomunicacoes Brasileiras SA(a)............ 77,000 5,596,937
-----------
5,659,937
-----------
9,729,271
-----------
CHILE -- 0.4%
Airlines -- 0.0%
Lan Chile Sponsored ADR....................... 10,000 47,500
Electric Utility -- 0.0%
Gener SA ADR.................................. 10,000 160,000
Financial Services -- 0.0%
Banco Santander ADR........................... 14,000 204,750
</TABLE>
Pegasus Funds
109
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Gas & Electric Utility --
0.2%
Enersis SA ADR.......... 45,000 $ 1,161,563
Telecommunications --
0.2%
Telecomunicaciones de
Chile SA ADR........... 50,000 1,034,375
-----------
2,608,188
-----------
DENMARK -- 3.0%
Banking & Finance -- 0.5%
Danske Bank............. 16,750 2,250,231
Unidanmark A/S, Class A. 11,735 1,060,223
-----------
3,310,454
-----------
Beverages & Tobacco --
0.1%
Carlsberg A/S, Class B.. 13,905 804,017
Commercial Services --
0.1%
ISS International
Service System A/S,
Class B................ 8,042 523,131
Sophus Berendsen, Class
B...................... 6,927 240,538
-----------
763,669
-----------
Environmental Services --
0.2%
Ratin A/S, Class B...... 6,927 1,469,350
Food Products &
Services -- 0.2%
Danisco A/S............. 17,858 968,051
Pharmaceuticals -- 0.4%
Novo Nordisk A/S, Class
B...................... 19,932 2,630,731
Telecommunications --
0.8%
Tele Danmark A/S, Class
B...................... 33,385 4,505,995
Transportation &
Shipping -- 0.7%
D/S 1912, Class B....... 270 1,887,861
D/S Svendborg A/S, Class
B...................... 200 2,026,916
-----------
3,914,777
-----------
18,367,044
-----------
FINLAND -- 8.3%
Banking & Finance -- 0.4%
Merita Ltd., Class A.... 396,000 2,518,364
Construction -- 0.0%
Metra AB, Class B....... 17,116 297,476
Consumer Goods &
Services -- 0.0%
Amer Group, Class A..... 11,000 114,491
Food Products &
Service -- 0.1%
Cultor Oyj, Series 2.... 81,000 831,871
Forest Products -- 0.8%
Rauma OY................ 8,661 126,581
UPM-Kymmene Corp........ 168,500 4,725,585
-----------
4,852,166
-----------
</TABLE>
Pegasus Funds
110
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Insurance -- 0.4%
Pohjola Insurance Group, Class B............... 22,900 $ 1,257,325
Sampo Insurance Co............................. 36,400 1,391,073
-----------
2,648,398
-----------
Machinery & Equipment -- 0.1%
Kone Corp., Class B............................ 5,400 629,235
Metals -- 0.1%
Outokumpo OY, Class A.......................... 59,800 552,732
Retail -- 0.2%
Kesko.......................................... 62,000 930,620
Stockmann Oyj, Class A......................... 15,000 370,609
Stockmann Oyj, Class B......................... 2,500 47,203
-----------
1,348,432
-----------
Telecommunications -- 6.2%
Nokia Oyj, Class A............................. 204,000 24,979,814
Nokia Oyj, Class K............................. 86,100 10,542,952
Sonera Group Oyj(a)............................ 100,000 1,777,501
-----------
37,300,267
-----------
51,093,432
-----------
FRANCE -- 7.1%
Automotive -- 0.2%
PSA Peugeot.................................... 5,723 886,214
Valeo SA....................................... 3,515 277,122
-----------
1,163,336
-----------
Banking -- 0.6%
Banque Nationale de Paris...................... 16,851 1,388,260
Paribas........................................ 10,218 888,449
Societe Generale............................... 9,075 1,470,259
-----------
3,746,968
-----------
Banking & Finance -- 0.0%
Dexia France................................... 1,540 237,368
Beverages & Tobacco -- 0.2%
LVMH (Moet Hennessy Louis Vuitton)............. 5,822 1,152,726
Pernod Ricard(a)............................... 3,864 251,097
-----------
1,403,823
-----------
Broadcasting/Cable -- 0.1%
Canal Plus..................................... 1,584 432,438
Building Products -- 0.1%
Imetal SA...................................... 1,100 110,276
Lafarge SA..................................... 6,520 619,784
-----------
730,060
-----------
</TABLE>
Pegasus Funds
111
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Business Service -- 0.5%
Compagnie Generale des Eaux................... 11,339 $ 2,943,346
Chemicals -- 0.4%
L'Air Liquide(a).............................. 5,623 1,031,788
L'Air Liquide, Registered(a).................. 1,244 228,267
Rhone-Poulenc SA.............................. 22,927 1,180,415
-----------
2,440,470
-----------
Defense -- 0.0%
Thomson CSF................................... 6,965 299,248
Electrical & Electronic -- 0.5%
Alcatel Alsthom............................... 14,706 1,800,732
Legrand SA(a)................................. 1,950 516,997
Schneider SA.................................. 8,816 535,020
-----------
2,852,749
-----------
Energy -- 0.6%
Elf Aquitane SA............................... 16,072 1,858,664
Total SA, Class B............................. 19,129 1,938,239
-----------
3,796,903
-----------
Food & Household Products -- 0.0%
Eridania Beghin-Say SA........................ 1,611 278,882
Food Products & Services -- 0.4%
Groupe Danone................................. 7,913 2,266,521
Health & Personal Care -- 0.6%
L'OREAL....................................... 3,828 2,768,547
Sanofi SA..................................... 6,945 1,143,822
-----------
3,912,369
-----------
Industrial Goods & Services -- 0.1%
Michelin, Class B, Registered................. 18,085 723,593
Industr International Equityial Holding
Company -- 0.3%
Lyonnaise des Eaux SA......................... 9,904 2,035,406
Insurance -- 0.6%
AXA SA........................................ 25,512 3,699,372
Leisure -- 0.2%
Accor SA...................................... 6,191 1,341,049
Merchandising -- 0.7%
Carrefour SA.................................. 2,579 1,947,868
Pinault-Printemps-Redo SA..................... 6,250 1,194,950
Promodes...................................... 1,133 824,294
-----------
3,967,112
-----------
Metals (Non-ferrous) -- 0.0%
Usinor........................................ 26,950 299,364
Office Equipment & Services -- 0.0%
BIC(a)........................................ 4,200 233,082
</TABLE>
Pegasus Funds
112
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Oil & Gas -- 0.2%
Compagnie de Saint Gobain..................... 6,784 $ 958,211
Telecommunications-Services and Equipment --
0.8%
France Telecom................................ 53,475 4,250,423
-----------
44,012,093
-----------
GERMANY -- 7.4%
Airlines -- 0.1%
Lufthansa AG.................................. 34,070 755,850
Automotive -- 0.9%
Daimler Chrysler(a)........................... 34,148 3,393,223
Volkswagen AG Ord Npv......................... 29,680 2,402,165
-----------
5,795,388
-----------
Banking -- 1.1%
Bayer AG...................................... 49,770 2,090,280
Bayerische Vereinsbank AG..................... 19,240 1,522,543
Deutsche Bank AG.............................. 34,500 2,035,792
Dresdner Bank AG.............................. 30,190 1,265,225
-----------
6,913,840
-----------
Business Service -- 0.3%
SAP AG........................................ 4,850 2,096,637
Chemicals -- 0.2%
BASF AG....................................... 36,560 1,394,989
Conglomerates -- 1.1%
Metro AG...................................... 27,709 2,179,423
Preussag AG(a)................................ 2,594 1,179,003
VEBA AG....................................... 32,400 1,920,044
Viag AG....................................... 2,023 1,196,413
-----------
6,474,883
-----------
Construction -- 0.1%
Hochtief AG................................... 11,470 451,080
Cosmetics/Personal Care -- 0.1%
Beiersdorf AG, Series ABC..................... 6,200 426,232
Electrical & Electronic -- 0.4%
Siemens AG.................................... 35,990 2,366,165
Engineering -- 0.5%
Mannesmann AG................................. 28,260 3,270,511
Health Care -- 0.1%
Schering AG................................... 5,640 709,434
Insurance -- 1.5%
Allianz AG.................................... 15,436 5,746,133
Muenchener Rueckversicherungs Gesellschaft AG,
Registered Shares(a)......................... 6,690 3,273,654
-----------
9,019,787
-----------
Machinery & Equipment -- 0.1%
Linde AG...................................... 556 337,167
</TABLE>
Pegasus Funds
113
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Metals & Mining -- 0.1%
Thyssen AG(a).................................. 2,466 $ 466,394
Telecommunications -- 0.8%
Deutsche Telekom AG............................ 120,250 3,952,923
RWE AG......................................... 18,460 1,019,691
-----------
4,972,614
-----------
45,450,971
-----------
HONG KONG -- 1.2%
Banking & Finance -- 0.2%
Hang Seng Bank................................. 100,800 901,042
Wing Lung Bank................................. 68,540 237,992
-----------
1,139,034
-----------
Conglomerates -- 0.1%
Swire Pacific Ltd., Class A.................... 90,500 405,362
Diversified -- 0.0%
Wharf (Holdings)............................... 101,000 147,321
Electric Utility -- 0.0%
Hong Kong Electric............................. 20,000 60,668
Gas Utility -- 0.1%
Hong Kong & China Gas.......................... 285,035 362,409
Industrial Holding Company -- 0.2%
Hutchison Whampoa Ltd. ........................ 191,000 1,349,842
Investment Company -- 0.1%
CLP Holdings................................... 96,700 481,813
Real Estate -- 0.3%
Cheung Kong (Holdings)......................... 129,000 928,324
Hysan Development.............................. 60,715 90,520
New World Development Co....................... 85,907 216,236
Sun Hung Kai Properties Ltd. .................. 130,700 953,212
-----------
2,188,292
-----------
Telecommunications -- 0.2%
Hong Kong Telecommunications Ltd. ............. 587,896 1,028,265
-----------
7,163,006
-----------
IRELAND -- 4.8%
Banking -- 2.1%
Allied Irish Banks(a).......................... 471,401 8,455,365
Bank Of Ireland (Dublin Listing)............... 191,569 4,270,145
-----------
12,725,510
-----------
Construction -- 1.2%
CRH(a)......................................... 413,270 7,147,729
</TABLE>
Pegasus Funds
114
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Food Products & Services -- 0.5%
Greencore Group(a)............................ 237,209 $ 1,096,400
Kerry Group, Class A(a)....................... 162,538 2,217,442
-----------
3,313,842
-----------
Industrial Goods & Services -- 0.3%
Smufit (Jefferson) Group(a)................... 1,121,051 2,022,493
Insurance -- 0.5%
Irish Life(a)................................. 336,023 3,166,375
Media -- 0.2%
Independent Newspapers PLC(a)................. 276,452 1,112,909
-----------
29,488,858
-----------
ITALY -- 2.2%
Banking -- 0.5%
Banca Commerciale Italiana.................... 80,000 553,099
Credito Italiano SpA.......................... 222,000 1,318,758
Instituto Bancario San Paolo di Torino........ 79,420 1,406,437
-----------
3,278,294
-----------
Broadcasting & Publishing -- 0.2%
Mediaset SpA.................................. 177,000 1,438,420
Insurance -- 0.5%
Assicurazioni Generali........................ 58,000 2,427,084
Istituto Nazionale delle Assicurazioni........ 200,000 529,446
-----------
2,956,530
-----------
Oil & Gas -- 0.2%
Ente Nazionale Idrocarburi SpA (ENI).......... 166,000 1,087,275
Real Estate -- 0.0%
Unione Immobiliare(a)......................... 200,000 104,555
Telecommunications -- 0.8%
Telecom Italia Mobile SpA di Risp (Non-
convertible)................................. 300,000 2,219,672
Telecom Italia SpA............................ 270,000 2,308,822
-----------
4,528,494
-----------
13,393,568
-----------
JAPAN -- 12.1%
Airlines -- 0.0%
Japan Airlines(a)............................. 110,000 290,612
Appliances & Household Products -- 1.5%
Matsushita Electric Industrial Co., Ltd. ..... 217,000 3,845,709
Sanyo Electric Co. ........................... 154,000 477,851
Sharp Corp. .................................. 63,000 569,139
Sony Corp. ................................... 51,500 3,757,604
-----------
8,650,303
-----------
</TABLE>
Pegasus Funds
115
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Automotive -- 1.3%
Honda Motor Co., Ltd. ......................... 74,000 $ 2,433,938
Toyota Motor Corp. ............................ 186,000 5,062,386
-----------
7,496,324
-----------
Banking -- 1.0%
Asahi Bank Ltd. ............................... 114,000 418,417
Bank of Tokyo -- Mitsubishi.................... 156,000 1,618,133
Dai-Ichi Kangyo Bank........................... 155,000 827,241
Fuji Bank Ltd. ................................ 144,000 531,080
Industrial Bank of Japan....................... 106,000 489,607
Sakura Bank Ltd. .............................. 127,000 291,613
Sumitomo Bank.................................. 150,000 1,542,600
Tokai Bank..................................... 97,000 459,216
-----------
6,177,907
-----------
Basic Industry -- 0.0%
Sekisui Chemical Co., Ltd. .................... 40,000 269,512
Building Products -- 0.1%
Tostem Corp. .................................. 19,000 377,316
Chemicals -- 1.0%
Asahi Chemical Industry Co., Ltd. ............. 140,000 668,992
Dainippon Ink & Chemicals, Inc. ............... 82,000 224,634
Shin-Etsu Chemical Co. ........................ 32,000 771,654
Sumitomo Chemical Co. ......................... 135,000 526,612
Takeda Chemical Industries..................... 90,000 3,470,849
Toray Industries, Inc. ........................ 147,000 768,906
-----------
6,431,647
-----------
Construction -- 0.4%
Daiwa House Industry Co., Ltd. ................ 60,000 639,913
Sekisui House Ltd. ............................ 157,000 1,663,303
-----------
2,303,216
-----------
Consumer Goods & Services -- 0.1%
Toto Ltd. ..................................... 40,000 321,641
Data Processing & Reproduction -- 0.5%
Fujitsu Ltd. .................................. 178,000 2,374,983
Ricoh.......................................... 75,000 692,840
-----------
3,067,823
-----------
Distribution -- 0.1%
Itochu Corp. .................................. 167,000 322,758
Electrical & Electronic -- 0.3%
Kyocera Corp. ................................. 17,000 899,762
Mitsubishi Electric Corp. ..................... 125,000 393,407
Omron Corp. ................................... 36,000 494,057
-----------
1,787,226
-----------
</TABLE>
Pegasus Funds
116
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Electronic Components/Instruments -- 0.3%
Fanuc Co., Ltd. ................................ 15,000 $ 514,643
Hitachi Ltd. ................................... 233,000 1,445,966
-----------
1,960,609
-----------
Energy -- 0.1%
Nippon Oil Co. ................................. 120,000 419,162
Engineering -- 0.0%
Obayashi Corp. ................................. 35,000 168,179
Financial Services -- 0.4%
Daiwa Securities Co., Ltd. ..................... 149,000 509,891
Mitsubishi Trust & Banking Co. ................. 50,000 322,261
Nomura Securities Co. .......................... 127,000 1,109,032
Orix Corp. ..................................... 7,000 523,775
-----------
2,464,959
-----------
Food & Household Products -- 0.1%
Ajinomoto Co., Inc. ............................ 74,000 787,258
Gas & Electric Utility -- 0.8%
Kansai Electric Power Co., Inc. ................ 59,100 1,296,781
Osaka Gas Co. .................................. 271,000 934,594
Tokyo Electric Power............................ 102,300 2,530,368
Tokyo Gas Co., Ltd. ............................ 137,000 360,729
-----------
5,122,472
-----------
Health & Personal Care -- 0.2%
Sankyo Co., Ltd. ............................... 58,000 1,270,074
Industrial Goods & Services -- 0.3%
Bridgestone Corp. .............................. 78,000 1,773,723
Denso Corp. .................................... 20,000 370,579
-----------
2,144,302
-----------
Machinery & Equipment -- 0.4%
Komatsu Ltd. ................................... 70,000 368,008
Kubota Corp. ................................... 136,000 406,324
Mitsubishi Heavy Industries, Ltd. .............. 247,000 963,503
Sumitomo Heavy Industries, Ltd. ................ 83,000 173,658
Tokyo Electron Ltd. ............................ 10,000 380,331
-----------
2,291,824
-----------
Manufacturing -- Consumer Goods -- 0.5%
Canon, Inc. .................................... 69,000 1,477,305
Fuji Photo Film Co., Ltd. ...................... 36,000 1,340,466
-----------
2,817,771
-----------
</TABLE>
Pegasus Funds
117
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Merchandising -- 0.8%
ITO-Yokado Co., Ltd. .......................... 38,000 $ 2,661,428
Seven-Eleven Japan Ltd......................... 28,000 2,258,933
-----------
4,920,361
-----------
Office Equipment & Services -- 0.2%
Dai Nippon Printing Co., Ltd. ................. 74,000 1,182,199
-----------
Packaging -- 0.0%
Toyo Seikan Kaisha............................. 15,000 255,061
-----------
Pharmaceuticals -- 0.3%
Dai-Ichi Pharmaceuticals....................... 117,000 1,980,139
-----------
Real Estate -- 0.2%
Mitsubishi Estate Co........................... 153,000 1,374,057
-----------
Retail -- 0.1%
Mycal Corp. ................................... 78,000 466,078
-----------
Steel -- 0.1%
Nippon Steel Co................................ 341,000 619,743
Sumitomo Metal Industries...................... 262,000 299,637
-----------
919,380
-----------
Telecommunications -- 0.7%
Nippon Telegraph & Telephone Corp. ............ 594 4,592,053
-----------
Transportation & Shipping -- 0.0%
East Japan Railway Co.......................... 38 212,577
-----------
Transportation -- Road & Railroad -- 0.1%
Hankyu Corp.................................... 89,000 391,359
Tokyu Corp..................................... 148,000 389,693
-----------
781,052
-----------
Wholesale & International Trade -- 0.2%
Marubeni Corp. ................................ 208,000 357,741
Mitsubishi Corp................................ 78,000 449,482
Sumitomo Corp.................................. 74,000 360,826
-----------
1,168,049
-----------
74,793,901
-----------
MEXICO -- 3.6%
Beverages & Tobacco -- 0.4%
Fomento Econonico Mexicano SA de CV ADR........ 33,420 889,808
Grupo Modelo SA, Series C...................... 872,800 1,800,368
-----------
2,690,176
-----------
Building Products -- 0.2%
Apasco SA de CV................................ 79,900 283,173
Cemex SA de CV, Series A....................... 383,937 838,552
Cemex SA de CV, Series CPO..................... 191,768 410,112
-----------
1,531,837
-----------
</TABLE>
Pegasus Funds
118
<PAGE>
Pegasus International Equity Funds
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Diversified -- 0.6%
ALFA SA de CV, Class A........................ 259,601 $ 732,364
Desc SA de CV, Series B....................... 1,545,500 1,297,070
Grupo Carso SA de CV, Series A-1.............. 428,900 1,457,176
-----------
3,486,610
-----------
Financial Services -- 0.2%
Grupo Financiero Banamex Accival SA de CV,
Class B (a).................................. 384,000 503,991
Grupo Financiero Bancomer..................... 2,756,800 590,959
Grupo Financiero Inbursa SA de CV, Class B
(a).......................................... 109,017 125,665
-----------
1,220,615
-----------
Food & Household Products -- 0.3%
Kimberly-Clark de Mexico SA de CV, Class A.... 584,500 1,846,932
Food Products & Services -- 0.1%
Empresas La Moderna SA de CV (a).............. 153,500 906,437
Industrial Goods & Services -- 0.2%
Grupo Industrial Bimbo SA de CV, Series A..... 583,777 1,028,280
Merchandising -- 0.3%
Cifra SA de CV, Series V (a).................. 1,284,860 1,559,027
Metals & Mining -- 0.2%
Grupo Mexico SA, Series B..................... 203,300 478,972
Industrias Penoles SA, Series CP (a).......... 164,000 490,853
-----------
969,825
-----------
Telecommunications -- 1.1%
Grupo Televisa SA, Series CPO (a)............. 125,200 1,562,197
Telefonos de Mexico SA, Series L.............. 2,340,300 5,667,527
-----------
7,229,724
-----------
22,469,463
-----------
NETHERLANDS -- 5.2%
Airlines -- 0.0%
KLM........................................... 10,016 303,149
Appliances & Household Products -- 0.3%
Philips Electronics NV........................ 26,861 1,803,456
Banking -- 0.4%
ABN Amro Holding NV........................... 113,128 2,381,113
Beverages & Tobacco -- 0.2%
Heineken NV................................... 19,881 1,197,097
Broadcasting & Publishing -- 0.2%
Elsevier NV................................... 74,349 1,041,942
Chemicals -- 0.3%
Akzo Nobel NV................................. 34,968 1,593,124
Construction -- 0.0%
Hollandsche Benton............................ 10,000 123,623
Distribution -- 0.0%
Buhrmann NV (Post Cons)....................... 5,964 106,780
</TABLE>
Pegasus Funds
119
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Energy -- 1.4%
Royal Dutch Petroleum.......................... 147,364 $ 7,342,024
Royal Dutch Petroleum, NY Registered Shares.... 16,800 804,300
-----------
8,146,324
-----------
Financial Services -- 0.7%
ING Groep NV................................... 71,276 4,348,721
Food Products & Services -- 1.0%
Ahold (Kon) NV................................. 38,006 1,405,479
Unilever NV CVA................................ 57,108 4,884,103
-----------
6,289,582
-----------
Office Equipment & Services -- 0.0%
Oce............................................ 6,000 215,808
Printing & Publishing -- 0.2%
Wolters Kluwer CVA............................. 5,473 1,171,786
Services -- 0.2%
TNT Post Groep NV.............................. 39,598 1,276,561
Steel -- 0.0%
Kon Hoogovens NV CVA........................... 3,715 102,938
Telecommunications-Services and Equipment --
0.3%
Koninklijke KPN................................ 39,598 1,983,416
-----------
32,085,420
-----------
NORWAY -- 1.7%
Banking -- 0.1%
Christiania Bank og Kreditkasse................ 70,000 242,559
Den Norske Bank................................ 155,000 535,061
-----------
777,620
-----------
Electronic Components/Instruments -- 0.1%
Merkantildata.................................. 70,000 689,088
Forest Products -- 0.1%
Norske Skogsindustrier, Class A................ 23,300 678,929
Insurance -- 0.2%
Storebrand ASA(a).............................. 159,650 1,204,903
Manufacturing-Consumer Goods -- 0.3%
Orkla ASA, Series A............................ 113,028 1,683,827
Medical Equipment & Supplies -- 0.0%
Hafslund, Class A.............................. 29,997 188,988
Oil & Gas -- 0.1%
Petroleum Geo-Services ASA(a).................. 46,824 596,150
Oil & Gas Exploration, Production & Services --
0.5%
Aker ASA, Class B.............................. 16,100 169,056
Norsk Hydro ASA................................ 69,670 2,350,144
Smedvig, Class A............................... 30,000 252,009
Transocean Offshore............................ 4,000 99,754
-----------
2,870,963
-----------
</TABLE>
Pegasus Funds
120
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Pharmaceuticals -- 0.2%
Nycomed Amersham PLC, Class B.................. 220,125 $ 1,531,302
Transportation & Shipping -- 0.1%
Bergesen Dy As, Class A........................ 21,050 251,425
Leif Hoegh & Co. ASA........................... 18,447 215,492
-----------
466,917
-----------
10,688,687
-----------
SINGAPORE -- 2.0%
Airlines -- 0.3%
Singapore Airlines (Alien Market).............. 279,000 2,046,053
Automotive -- 0.1%
Cycle & Carriage............................... 102,000 349,282
Banking -- 0.7%
Development Bank Singapore (Alien Market)(a)... 116,725 1,054,090
Overseas -- Chinese Banking Corp., Ltd. ....... 232,585 1,578,800
United Overseas Bank (Alien Market)............ 264,404 1,698,639
-----------
4,331,529
-----------
Beverages & Tobacco -- 0.0%
Fraser & Neave................................. 87,400 255,321
Diversified -- 0.2%
Keppel Corp.................................... 350,750 939,609
Electrical & Electronic -- 0.0%
Elec & Eltek International Co., Ltd............ 40,000 216,000
Electrical Equipment -- 0.0%
Creative Technology Ltd.(a).................... 15,000 211,824
Electronic Components/Instruments -- 0.1%
Venture Manufacturing.......................... 150,000 572,742
Real Estate -- 0.3%
City Developments Ltd.......................... 190,600 825,955
DBS Land Ltd................................... 468,000 689,254
Keppel Land Ltd................................ 114,000 123,676
-----------
1,638,885
-----------
Telecommunications -- 0.3%
Singapore Telecommunications Ltd............... 1,098,000 1,676,989
Telecommunications--Services and Equipment --
0.0%
Mmi Holdings Ltd.(a)........................... 200,000 126,064
-----------
12,364,298
-----------
SPAIN -- 6.7%
Automotive -- 0.1%
Autopistas Cesa................................ 55,451 923,588
</TABLE>
Pegasus Funds
121
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Banking -- 2.2%
Banco Bilbao Vizcaya.......................... 370,530 $ 5,818,487
Banco Central Hispanoamericano SA............. 204,753 2,434,933
Banco Santander SA(a)......................... 171,654 3,416,330
Corporacion Bancaria de Espana SA(a).......... 88,532 2,296,225
-----------
13,965,975
-----------
Beverages & Tobacco -- 0.2%
Tabacalera SA(a).............................. 37,445 946,093
Construction -- 0.2%
Fomento de Construcciones y Contratas SA(a)... 15,656 1,165,709
Energy -- 0.5%
Repsol SA(a).................................. 52,224 2,790,119
Gas & Electric Utility -- 1.4%
Endesa SA(a).................................. 181,632 4,819,889
Iberdrola SA(a)............................... 138,600 2,597,075
Union Electric Fenosa SA(a)................... 64,228 1,112,840
-----------
8,529,804
-----------
Insurance -- 0.1%
Corporacion Mapfre............................ 16,992 461,702
Machinery & Equipment -- 0.1%
Zardoya-Otis.................................. 26,436 826,526
Oil & Gas Exploration, Production & Services --
0.5%
Gas Natural SDG(a)............................ 25,444 2,774,410
Real Estate -- 0.1%
Vallehermoso SA(a)............................ 28,992 415,366
Steel -- 0.0%
Acerinox SA, Registered(a).................... 13,135 306,379
Telecommunications -- 1.3%
Telefonica de Espana.......................... 179,128 7,977,184
-----------
41,082,855
-----------
SWEDEN -- 1.7%
Automotive -- 0.1%
Volvo AB, Series B............................ 33,000 757,260
Banking & Finance -- 0.2%
Svenska Handlesbanken, Class A................ 33,000 1,392,381
Engineering -- 0.1%
ABB AB, Class A............................... 67,000 715,005
Forest Products -- 0.1%
Stora Kopparbergs Bergslags Aktiebolag, Series
A............................................ 50,000 549,007
Insurance -- 0.0%
Skandia Foersaekring.......................... 15,000 229,473
Paper Products -- 0.0%
Mo Och Domsjo Ab, Series B.................... 5,000 108,876
Pharmaceuticals -- 0.3%
Astra AB, Class A............................. 95,000 1,939,722
</TABLE>
Pegasus Funds
122
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Retail -- General Merchandise -- 0.2%
Hennes & Mauritz AB, Series B................. 17,000 $ 1,388,433
Telecommunications -- 0.7%
Telefonaktiebolaget LM Ericsson, Series B..... 145,000 3,452,576
-----------
10,532,733
-----------
SWITZERLAND -- 4.2%
Building Products -- 0.1%
Holderbank Financiera Glarus Bearer........... 558 660,590
Diversified -- 0.2%
Alusuisse-Lonza Holding AG, Registered........ 248 288,901
SFR ABB AG.................................... 550 644,712
-----------
933,613
-----------
Fertilizers -- 0.0%
Societe Suisse pour la Microelectronique et
l'Horlogerie AG.............................. 725 108,606
Financial Services -- 0.8%
CS Holding AG, Registered..................... 9,524 1,490,853
Union Bank of Switzerland AG, Registered...... 10,807 3,320,432
-----------
4,811,285
-----------
Food Products & Services -- 0.7%
Nestle SA, Registered......................... 1,874 4,079,602
Insurance -- 0.5%
Swiss Reinsurance Corp., Registered........... 30 78,217
Zurich Allied AG, Registered.................. 4,094 3,031,418
-----------
3,109,635
-----------
Jewelry -- 0.0%
Swatch Group, Bearer.......................... 165 102,113
Pharmaceuticals -- 1.9%
Novartis AG, Bearer........................... 970 1,906,832
Novartis AG, Registered....................... 2,171 4,267,766
Roche Holding AG, Bearer...................... 483 5,893,838
-----------
12,068,436
-----------
25,873,880
-----------
UNITED KINGDOM -- 15.1%
Aerospace & Military Technology -- 0.3%
British Aerospace PLC......................... 84,163 714,854
Rolls-Royce PLC............................... 126,932 521,638
Smiths Industries PLC......................... 42,710 598,333
-----------
1,834,825
-----------
Airlines -- 0.1%
British Airways PLC........................... 83,582 565,989
Appliances & Household Products -- 0.1%
EMI Group PLC................................. 51,062 359,793
</TABLE>
Pegasus Funds
123
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Banking -- 1.7%
Abbey National PLC............................. 71,613 $ 1,533,456
Barclays PLC................................... 115,565 2,486,141
HSBC Holdings PLC.............................. 162,331 4,421,312
HSBC Holdings PLC, Class A..................... 86,894 2,196,082
-----------
10,636,991
-----------
Beverages & Tobacco -- 0.8%
British American Tobacco PLC................... 109,170 969,033
Coca-Cola Beverage(a).......................... 24,929 43,551
Diageo......................................... 343,423 3,859,719
Imperial Tobacco............................... 31,370 336,647
-----------
5,208,950
-----------
Brewery -- 0.2%
Bass PLC....................................... 67,253 946,076
Broadcasting/Cable -- 0.2%
British Sky Broadcasting Group PLC............. 94,124 721,551
Carlton Communications......................... 56,450 517,507
-----------
1,239,058
-----------
Building Products -- 0.1%
RMC Group...................................... 26,670 363,863
Chemicals -- 0.2%
BOC Group...................................... 40,408 591,631
Imperial Chemical Industries PLC............... 77,314 667,616
-----------
1,259,247
-----------
Construction -- 0.0%
Taylor Woodrow PLC............................. 109,591 274,418
Electric Utility -- 0.0%
Scottish Power................................. 22,356 228,941
Electrical & Electronic -- 0.3%
General Electric Co., PLC...................... 227,008 2,039,557
Energy -- 1.2%
British Petroleum Co., PLC..................... 405,520 6,052,094
Thames Water Ord............................... 58,075 1,107,324
-----------
7,159,418
-----------
Financial Services -- 0.8%
Lloyds TSB Group, PLC.......................... 364,360 5,171,073
Food & Household Products -- 0.6%
Cadbury Schweppes PLC.......................... 54,993 936,933
Unilever PLC................................... 229,704 2,581,635
-----------
3,518,568
-----------
</TABLE>
Pegasus Funds
124
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Food Products & Services -- 0.3%
Associated British Foods...................... 66,299 $ 618,829
J Sainsbury PLC............................... 127,180 989,769
-----------
1,608,598
-----------
Health & Personal Care -- 1.6%
Glaxo Wellcome PLC............................ 210,829 7,229,517
Zeneca PLC.................................... 57,538 2,512,957
-----------
9,742,474
-----------
Industrial Holding Company -- 0.2%
BTR PLC, Series A............................. 258,291 528,586
Hanson Trust PLC.............................. 69,197 547,155
-----------
1,075,741
-----------
Insurance -- 0.9%
Allied Zurich PLC(a).......................... 109,170 1,633,825
Prudential Corp. PLC.......................... 197,160 2,980,195
Royal & Sun Alliance Insurance Group PLC...... 147,158 1,191,153
-----------
5,805,173
-----------
Leisure -- 0.4%
Granada Group PLC............................. 80,310 1,425,054
Ladbroke Group PLC............................ 199,568 796,899
Rank Group PLC................................ 89,318 340,311
-----------
2,562,264
-----------
Merchandising -- 0.1%
Safeway PLC................................... 156,727 781,635
Metals & Mining -- 0.3%
British Steel PLC............................. 232,983 355,657
English China Clays PLC....................... 44,238 121,813
Rio Tinto PLC................................. 95,719 1,105,245
-----------
1,582,715
-----------
Oil & Gas Exploration, Production & Services --
0.3%
BG PLC........................................ 284,572 1,798,005
Pharmaceuticals -- 0.8%
SmithKline Beecham PLC........................ 351,040 4,926,547
Printing & Publishing -- 0.3%
Reed International PLC........................ 40,000 318,451
Reuters Group................................. 150,644 1,580,294
-----------
1,898,745
-----------
Real Estate -- 0.1%
Mepc Ord...................................... 102,552 691,035
</TABLE>
Pegasus Funds
125
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Retail -- 0.2%
Kingfisher PLC................................ 96,792 $ 1,046,777
Sears(a)...................................... 23,789 102,908
Selfridges Ord................................ 23,789 87,076
------------
1,236,761
------------
Retail -- Stores/Catalog -- 0.7%
Boots Co., PLC................................ 62,274 1,058,391
Great Universal Stores PLC.................... 68,436 716,772
Marks & Spencer PLC........................... 211,891 1,447,194
Tesco PLC..................................... 474,615 1,362,171
------------
4,584,528
------------
Telecommunications -- 2.3%
British Telecommunications PLC................ 428,698 6,451,505
Cable & Wireless PLC.......................... 179,538 2,208,999
Centrica PLC(a)............................... 254,516 511,332
National Power PLC............................ 78,850 696,622
Vodaphone Group PLC........................... 281,269 4,558,078
------------
14,426,536
------------
93,527,524
------------
TOTAL COMMON STOCKS.............................. 588,950,237
------------
PREFERRED STOCKS -- 0.6%
AUSTRALIA -- 0.1%
Broadcasting & Publishing -- 0.1%
News Corp., Ltd.(a)........................... 70,119 427,071
BRAZIL -- 0.0%
Telecommunications--Services and Equipment --
0.0%
Telesp Tel Sao Paulo Npv...................... 956,397 130,375
GERMANY -- 0.5%
Automotive -- 0.1%
Man AG Non Voting (Var)....................... 2,900 590,265
Business Service -- 0.3%
SAP AG........................................ 4,000 1,920,116
Telecommunications -- 0.1%
RWE AG........................................ 9,750 354,168
------------
2,864,549
------------
TOTAL PREFERRED STOCKS........................... 3,421,995
------------
REPURCHASE AGREEMENTS -- 3.2%
UNITED STATES -- 3.2%
State Street Bank, 4.40%, 01/04/99,
(Collateralized by $17,060,000 various U.S.
Treasury Securities, 6.25%-10.63%, 8/31/01-
8/15/15, market value $19,998,172)........... 19,590,000 19,590,000
------------
TOTAL REPURCHASE AGREEMENTS...................... 19,590,000
------------
</TABLE>
Pegasus Funds
126
<PAGE>
Pegasus International Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares or
Principal Amount Market Value
---------------- ------------
<S> <C> <C> <C> <C> <C> <C>
RIGHTS -- FOREIGN
SECURITIES -- 0.0%
ARGENTINA -- 0.0%
Beverages & Tobacco --
0.0%
Ba Embotelladora
Rights @.17278...... 150 $ 0
SPAIN -- 0.0%
Telecommunications --
0.0%
Telefonica de Espana
Rights.............. 179,128 159,291
------------
Total Rights -- Foreign
Securities............. 159,291
------------
U.S. TREASURY
OBLIGATIONS -- 0.3%
U.S. Treasury Bills --
0.3%
U.S. Treasury Notes,
6.25%, 3/31/99...... 1,978,000 1,986,037
------------
Total U.S. Treasury
Obligations............ 1,986,037
------------
WARRANTS -- 0.0%
THAILAND -- 0.0%
Banking -- 0.0%
Siam Commercial Bank
Warrants, Expire
12/31/02............ 27,833 2,803
------------
TOTAL WARRANTS.......... 2,803
------------
TOTAL(a) -- 99.6%....... $614,110,363
============
(Cost $463,029,679)
Percentages indicated are based on net assets of $616,298,464.
(a) Non-income producing security.
(b) Security exempt from registration under rule 144A of the Securities Act of
1993. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. Additional
information regarding these securities follows:
<CAPTION>
Carrying
Value Percentage
Acquisition Per Original Market of Total
Holding Date* Par Unit Cost Value Investments
------- ---------------- ------------ -------- -------- ------ -----------
<S> <C> <C> <C> <C> <C> <C>
Ba Embotteladora Rights 12/8/98 $150 $0 $0 $0 0%
</TABLE>
* Acquisition date refers to the first acquisition date in the case of
securities purchased in multiple lots.
<TABLE>
<CAPTION>
Number of Market Unrealized
Contracts Value Gain/(Loss)
--------- ----------- -----------
<S> <C> <C> <C>
FUTURES CONTRACTS
Topix Index Futures, 3/17/99 (Cost
$17,054,608)............................... 175 $16,693,764 (360,844)
--- -----------
</TABLE>
Pegasus Funds
127
<PAGE>
Pegasus Intermediate Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
ASSET BACKED SECURITIES -- 14.0%
Banking, Finance & Insurance -- 14.0%
Arcadia Automobile Receivables Trust, Series
97-C, Class A2, 6.05%, 11/15/00............... $ 352,148 $ 353,291
Arcadia Automobile Receivables Trust, Series
97-B, Class A3, 6.30%, 7/16/01................ 1,795,647 1,804,545
Arcadia Automobile Receivables Trust, Series
98-B, Class A3, 5.95%, 11/15/02............... 2,400,000 2,430,588
Arcadia Automobile Receivables Trust, Series
98-B, Class A4, 6.00%, 11/15/03............... 3,000,000 3,051,105
Case Equipment Loan Trust, Series 95-B, Class
A3, 6.15%, 9/15/02............................ 500,672 501,541
Case Equipment Loan Trust, Series 96-A, Class
A2, 5.50%, 2/15/03............................ 2,608,934 2,613,852
Case Equipment Loan Trust, Series 95-B, Class
A3, 6.45%, 3/15/04............................ 2,875,396 2,940,912
Chase Manhattan Grantor Trust, Series 95-B,
Class A, 5.90%, 11/15/01...................... 175,988 176,536
Chase Mortgage Finance Corp., Series 94-E,
Class A6B, 6.84%, 4/25/10, IF*................ 2,208,421 2,201,520
Chemical Master Credit Card Trust, Series 95-3,
Class A, 6.23%, 8/15/02....................... 250,000 257,104
Chevy Chase Auto Receivable Trust, Series 97-4,
Class A, 6.25%, 6/15/04....................... 987,124 994,730
Collateralized Mortgage Obligation Trust,
Series 12, Class D, 9.50%, 2/1/17............. 184,987 183,241
Collateralized Mortgage Obligation Trust,
Series 16, Class Q, 12.38%, 3/20/18, IF*...... 124,634 132,501
Collateralized Mortgage Securities Corp.,
Series 88-2, Class B, 8.80%, 4/20/19.......... 261,370 273,749
Countrywide Funding Corp., Series 93-11, Class
A10, 5.76%, 2/25/09*.......................... 1,981,272 1,940,983
Countrywide Home Loans, Series 98-2, Class A2,
6.25%, 3/25/28................................ 2,000,000 1,982,170
CPS Auto Trust, Series 98-3, Class A3, 6.00%,
6/15/02....................................... 3,000,000 3,038,835
CPS Auto Trust, Series 97-4, Class A1, 6.07%,
3/15/03....................................... 1,238,984 1,249,949
CPS Auto Trust, Series 98-3, Class A4, 6.08%,
10/15/03...................................... 2,000,000 2,048,890
First USA Credit Card Master Trust, Series 95-
1, Class A, 5.70%, 10/15/01*.................. 2,000,000 2,002,150
Ford Credit Auto Owner Trust, Series 97-B,
Class A2, 5.95%, 1/15/00...................... 495,794 496,614
Greentree Home Improvement Loan Trust, Series
94-B1, Class A1, 7.15%, 7/15/14............... 35,648 36,679
MBNA Master Credit Card Trust, Series 94-C,
Class A, 5.81%, 3/15/04....................... 345,000 345,616
Merrill Lynch Home Equity Loan, Series 92-1,
Class A, 5.78%, 7/15/22*...................... 526,855 526,837
Merrill Lynch MBS Inc., Series 144-S, 7.43%,
7/25/24....................................... 529,167 518,584
Merrill Lynch Trust, Series 43, Class E, 6.50%,
8/27/15....................................... 1,512,297 1,503,072
Morgan Stanley Mortgage Trust, Series 35, Class
2, 7886.00%, 4/20/21,
HB, IF*....................................... 1,835 280,117
Morgan Stanley Mortgage Trust, Series 37, Class
2, 7886.00%, 7/20/21,
HB, IF*....................................... 1,640 278,769
Morgan Stanley Mortgage Trust, Series 39, Class
3, 0.00%, 12/20/21, PO........................ 314,095 268,674
Navistar Financial Corp. Owner Trust, Series
95-A, Class A2, 6.55%, 11/20/01............... 322,214 322,314
Newcourt Receivables Asset Trust, Series 97-1,
Class A2, 6.04%, 6/20/00...................... 168,530 169,504
Olympic Automobile Receivables Trust, Series
95-E, Class A4, 5.85%, 3/15/01................ 1,578,458 1,583,233
Olympic Automobile Receivables Trust, Series
95-B, Class A2, 7.35%, 10/15/01............... 414,262 416,982
</TABLE>
Pegasus Funds
128
<PAGE>
Pegasus Intermediate Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Olympic Automobile Receivables Trust, Series
95-C, Class A2, 6.20%, 1/15/02................ $ 2,356,908 $ 2,370,000
Olympic Automobile Receivables Trust, Series
96-C, Class A4, 6.80%, 3/15/02................ 4,500,000 4,565,137
Olympic Automobile Receivables Trust, Series
96-C, Class A5, 7.00%, 3/15/04................ 2,650,000 2,731,850
Onyx Acceptance Grantor Trust, Series 96-1,
Class A, 5.40%, 5/15/01....................... 1,292,207 1,290,992
Onyx Acceptance Grantor Trust, Series 98-B,
Class A2, 5.85%, 7/15/03...................... 1,250,000 1,265,844
Onyx Acceptance Grantor Trust, Series 97-1,
Class A, 6.55%, 9/15/03....................... 1,225,774 1,237,259
Paine Webber Trust, Series H, Class 4, 8.75%,
4/1/18, CMO................................... 17,549 18,201
PNC Mortgage Securities Corp., Series 98-5,
Class 2A11, 6.30%, 7/25/28.................... 2,500,000 2,509,063
Rural Housing Trust, Series 87-1, Class 3B,
7.33%, 4/1/26................................. 304,389 310,456
Sears Credit Account Master Trust, Series 95-3,
Class A, 7.00%, 10/15/04...................... 300,000 307,382
Sears Credit Account Master Trust, Series 98-1,
Class A, 5.80%, 8/15/05....................... 1,000,000 1,002,180
Sears Credit Account Master Trust, Series 96-4,
Class A, 6.45%, 10/16/06...................... 2,000,000 2,046,530
Standard Credit Card Master Trust, Series 95-
10, Class A, 5.90%, 2/7/01.................... 2,520,000 2,523,314
Superior Wholesale Inventory Financing Trust,
Series 96-A, Class A, 4.95%, 3/15/01*......... 2,200,000 2,200,000
WFS Financial Owner Trust, Series 97-B, Class
A2, 6.05%, 7/20/00............................ 824,906 824,807
WFS Financial Owner Trust, Series 97-D, Class
A2, 6.20%, 9/20/00............................ 597,983 599,292
WFS Financial Owner Trust, Series 96-A, Class
A4, 6.15%, 6/1/01............................. 2,891,422 2,897,581
WFS Financial Owner Trust, Series 96-D, Class
A3, 6.05%, 7/20/01............................ 1,458,459 1,467,983
WFS Financial Owner Trust, Series 97-B, Class
A3, 6.30%, 7/20/01............................ 4,000,000 4,076,240
WFS Financial Owner Trust, Series 95-4, Class
A1, 6.20%, 2/1/02............................. 721,394 726,368
WFS Financial Owner Trust, Series 98-B, Class
A4, 6.05%, 4/20/03............................ 2,900,000 2,952,316
WFS Financial Owner Trust, Series 96-A, Class
A4, 6.15%, 6/1/01............................. 2,000,000 2,012,910
WFS Financial Owner Trust, Series 96-C, Class
A4, 6.80%, 12/20/03........................... 6,000,000 6,091,469
World Omni Automobile Lease Secured Trust,
Series 97-A, Class A4, 6.90%, 6/25/03......... 4,281,546 4,355,101
World Omni Automobile Lease Secured Trust,
Series 97-B, Class A1, 6.07%, 11/25/03........ 2,316,618 2,319,514
World Omni Automobile Lease Secured Trust,
Series 97-B, Class A3, 6.18%, 11/25/03........ 1,998,891 2,011,634
------------
TOTAL ASSET BACKED SECURITIES.................... 91,638,610
------------
CORPORATE BONDS -- 5.0%
Banking, Finance & Insurance -- 3.2%
ABN Amro Bank NV Chicago, 7.25%, 5/31/05....... 200,000 214,426
African Development Bank, 9.30%, 7/1/00........ 983,000 1,039,975
American Express Credit Corp., 8.50%, 6/15/99.. 300,000 304,302
American Express Credit Corp., 6.13%, 11/15/01. 250,000 254,457
Associates Corp., 9.13%, 4/1/00................ 1,675,000 1,748,579
Associates Corp., 7.13%, 5/15/00............... 300,000 307,108
Associates Corp., 5.75%, 11/1/03............... 1,750,000 1,764,336
Associates Corp., 6.63%, 6/15/05............... 300,000 312,033
Associates Corp., 8.15%, 8/1/09................ 3,625,000 4,306,825
Associates Corp., 5.96%, 5/15/37............... 1,750,000 1,803,731
Avco Financial Services Inc., 7.38%, 8/15/01... 250,000 261,721
</TABLE>
Pegasus Funds
129
<PAGE>
Pegasus Intermediate Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Boeing Capital Corp., 6.36%, 7/15/05........... $ 1,500,000 $ 1,505,990
Cit Group Holdings Inc., 8.38%, 11/1/01........ 200,000 215,226
Citicorp, 6.75%, 8/15/05....................... 250,000 261,223
Commercial Credit Group Inc., 9.60%, 5/15/99... 200,000 203,166
Ford Motor Credit Co., 6.38%, 4/15/00.......... 300,000 303,710
Ford Motor Credit Co., 8.20%, 2/15/02.......... 2,000,000 2,148,401
Ford Motor Credit Co., 6.63%, 6/30/03.......... 500,000 518,989
GMAC, 5.75%, 11/10/03.......................... 1,000,000 1,005,236
Household Finance Corp., 6.38%, 6/30/00........ 500,000 505,790
Household Finance Corp., 6.50%, 11/15/08....... 1,000,000 1,040,141
Inter American Development Bank, 8.40%, 9/1/99. 100,000 123,904
Midland Bank, 8.63%, 12/15/04.................. 170,000 194,664
Norwest Financial Inc., 8.38%, 1/15/00......... 225,000 225,127
Norwest Financial Inc., 7.00%, 1/15/03......... 100,000 104,929
Republic New York Corp., 8.25%, 11/1/01........ 250,000 265,177
Wells Fargo & Co., 6.00%, 3/15/00.............. 35,000 35,248
------------
20,974,414
------------
Governments (Foreign) -- 0.8%
Metropolis of Tokyo, 8.70%, 10/5/99............ 1,500,000 1,536,341
Ontario Province of Canada, Senior
Unsubordinated Debenture, 7.38%, 1/27/03...... 3,500,000 3,798,305
------------
5,334,646
------------
Industrial Goods & Services -- 0.5%
American Home Products, 6.50%, 10/15/02........ 100,000 104,218
B P America Inc., 8.50%, 4/15/01............... 250,000 267,920
Boeing Co., 8.88%, 9/15/99..................... 200,000 204,918
Boeing Co., 8.38%, 2/15/01..................... 250,000 265,064
Case Corp., 6.25%, 12/1/03..................... 1,500,000 1,499,388
Dillard Investment Co., 9/25%, 2/1/01.......... 200,000 214,520
Upjohn Co., 5.88%, 4/15/00..................... 250,000 252,296
Wal Mart Stores, 8.63%, 4/1/01................. 150,000 160,845
Wal Mart Stores, 6.75%, 5/15/02................ 150,000 158,182
------------
3,127,351
------------
Telecommunications -- 0.4%
AT&T Corp., 7.00%, 5/15/05..................... 500,000 543,434
Bellsouth Telecommunications, 6.00%, 6/15/02... 1,900,000 1,944,862
------------
2,488,296
------------
Transportation -- 0.0%
Union Pacific Corp., 7.00%, 6/15/00............ 250,000 254,806
Utilities -- 0.1%
Baltimore Gas & Electric, 5.50%, 7/15/00....... 250,000 251,082
National Rural Utilities, 7.30%, 9/15/06....... 175,000 194,604
Northern States Power Co. -- Minneapolis,
7.88%, 10/1/01................................ 250,000 266,614
------------
712,300
------------
TOTAL CORPORATE BONDS............................ 32,891,813
------------
</TABLE>
Pegasus Funds
130
<PAGE>
Pegasus Intermediate Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 0.7%
State Street Bank, 4.40%, 1/4/99
(Collateralized by $4,660,000 U. S. Treasury
Notes, 5.88%, 1/31/99 Market Value
$4,776,500)................................... $ 4,678,000 $ 4,678,000
------------
TOTAL REPURCHASE AGREEMENTS...................... 4,678,000
------------
U.S. GOVERNMENT AGENCY -- 0.4%
Other U.S. Agencies -- 0.4%
Federal Housing Administration, Project
#07335307, 7.43%, 1/1/22...................... 962,432 952,808
Federal Housing Administration, Greystone 96-2,
7.43%, 11/1/22................................ 1,871,623 1,809,035
------------
TOTAL U.S. GOVERNMENT AGENCY..................... 2,761,843
------------
U.S. GOVERNMENT AGENCY MORTGAGES -- 56.6%
Federal Home Loan Mortgage Corp. -- 21.5%
3.74%, 8/15/99, Series 1329, Class S, IF, IO*.. 1,682,565 26,818
8.00%, 6/1/01, Pool #252601.................... 113,503 115,020
2.09%, 9/15/04, Series 1982, Class SB, IF, IO*. 15,175,557 408,748
6.92%, 9/15/05................................. 750,000 766,403
9.00%, 1/1/06, Series 1807, Class G............ 646,579 679,716
1008.50%, 5/15/06, Series 1072, Class A, HB.... 9,746 160,576
1008.00%, 6/15/06, Series 1098, Class M, HB.... 1,522 24,415
4.50%, 3/15/07, Series 1295, Class JB.......... 1,500,000 1,462,167
981.86%, 6/15/07, Series 1298, Class L, IO..... 6,000 125,746
3.28%, 10/15/07, Series 1389, Class SA, IF*.... 250,242 242,733
5.50%, 10/15/07, Series 1640, Class A.......... 973,678 969,584
8.52%, 11/15/07, Series 1414, Class LB, IF*.... 1,489,825 1,498,601
5.96%, 12/15/07, Series 1450, Class F*......... 420,078 417,703
3.44%, 2/15/08, Series 1465, Class SA, IF, IO*. 9,044,679 320,127
8.85%, 3/15/08, Series A-78.................... 28,849 30,407
5.50%, 4/15/08, Series 1489, Class L........... 385,601 384,855
6.00%, 4/15/08, Series 1531, Class K........... 593,024 594,124
2.94%, 5/15/08, Series 1506, Class SD, IF, IO*. 6,209,656 257,917
5.76%, 5/15/08, Series 1513, Class TA*......... 1,116,060 1,103,826
6.41%, 5/15/08, Series 1506, Class F*.......... 814,610 815,781
8.65%, 5/15/08, Series 1506, Class S, IF*...... 139,145 143,971
5.23%, 8/15/08, Series 1565, Class K, IF*...... 828,061 790,356
8.21%, 8/15/08, Series 1561, Class SC, IF*..... 717,165 718,023
7.50%, 9/1/08, Pool #252600.................... 138,767 141,399
6.00%, 9/15/08, Series 1586, Class A........... 774,578 774,246
5.62%, 9/15/08, Series 1580, Class SC, IF*..... 1,175,546 1,152,212
0.00%, 10/15/08, Series 1967, Class PC, PO..... 3,038,407 2,669,961
0.00%, 10/15/08, Series 1900, Class I, PO...... 758,457 667,941
8.50%, 10/15/08, Series 1587, Class SL, IF*.... 3,958,334 4,269,205
8.60%, 10/15/08, Series 1600, Class SC, IF*.... 850,000 878,090
0.00%, 12/15/08, Series 1948, Class A, PO...... 1,000,000 848,411
5.58%, 12/15/08, Series 1655, Class SA, IF*.... 176,288 171,936
5.86%, 12/15/08, Series 1647, Class FB*........ 828,508 815,738
6.06%, 12/15/08, Series 1635, Class O*......... 2,183,678 2,203,540
</TABLE>
Pegasus Funds
131
<PAGE>
Pegasus Intermediate Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
6.59%, 12/15/08, Series 2017, Class SE, IF*.... $ 889,650 $ 870,693
6.71%, 12/15/08, Series 1655, Class F*......... 1,460,367 1,479,552
7.68%, 12/15/08, Series 1647, Class SB, IF*.... 927,929 929,053
8.50%, 12/15/08, Series 1625, Class SD, IF*.... 1,605,572 1,643,247
0.00%, 2/15/09, Series 1679, Class N, PO....... 996,897 824,835
6.38%, 2/15/09, Series 1796, Class S, IF*...... 1,391,843 1,317,321
6.11%, 3/15/09, Series 1900, Class FA*......... 2,659,072 2,667,580
9.70%, 3/15/09, Series 1698, Class SC, IF*..... 1,479,908 1,523,253
2.94%, 3/15/12, Series 1933, Class SJ, IF, IO*. 5,479,826 397,776
6.30%, 1/15/13, Series 2025, Class PE.......... 4,000,000 4,044,487
7.00%, 2/15/13, Series 1942, Class VD.......... 6,225,000 6,364,884
2.59%, 10/15/13, Series 1595, Class S, IF, IO*. 9,866,464 263,397
6.50%, 12/1/13, Pool #C90043................... 292,172 295,794
12.00%, 8/1/15, Pool #170269................... 688,208 789,499
4.00%, 3/25/19, Series 10, Class F............. 2,000,000 1,974,959
12.00%, 7/1/19, Pool #555238................... 292,731 335,815
9.50%, 7/15/19, Series 11, Class D............. 1,300,000 1,369,023
9.40%, 8/15/19, Series 23, Class E............. 29,234 29,221
6.50%, 11/15/19, Series 1418, Class B.......... 869,395 872,651
5.50%, 12/15/19, Series 1709, Class C.......... 1,284,755 1,281,356
6.00%, 12/15/19, Series 1666, Class E.......... 250,000 251,965
7.15%, 2/15/20, Series 1446, Class G........... 4,500,000 4,559,249
84.00%, 5/15/20, Series 41, Class I, HB........ 43,454 116,411
10.00%, 6/15/20, Series 47, Class F............ 402,731 423,914
7.80%, 9/15/20, Series 46, Class B............. 975,316 1,000,786
8.60%, 1/15/21, Series 85, Class C............. 13,822 14,517
9.50%, 1/15/21, Series 99, Class Z............. 879,958 938,205
6.51%, 5/15/21, Series 1084, Class F*.......... 329,587 333,113
15.10%, 5/15/21, Series 1079, Class S, IF*..... 442,502 509,027
20.20%, 5/15/21, Series 1084, Class S, IF*..... 230,711 286,245
8.50%, 9/15/21, Series 1144, Class KB.......... 2,065,867 2,135,247
1167.78%, 11/15/21, Series 1172, Class L, HB... 8,557 184,383
7.75%, 12/15/21, Series 1347, Class HB......... 1,000,000 1,028,002
7.00%, 12/20/21, Series 1956, Class A.......... 1,001,375 1,009,056
510.48%, 1/15/22, Series 1196, Class B, IF,
IO*........................................... 26,006 214,887
0.00%, 2/15/22, Series 1987, Class W, PO....... 2,500,000 1,937,484
8.00%, 2/15/22, Series 1212, Class IZ.......... 7,944,512 8,602,626
7.00%, 5/15/22, Series 1250, Class J........... 1,100,000 1,123,742
7.50%, 7/25/22, Series FNRA G92-35, Class E.... 5,000,000 5,264,246
5.76%, 9/15/22, Series 1543, Class KC*......... 133,096 132,832
6.25%, 9/15/22, Series 1591, Class FH*......... 2,500,000 2,677,791
5.86%, 10/15/22, Series 1646, Class MB*........ 1,780,225 1,778,818
8.50%, 10/15/22, Series 1646, Class MD, IF*.... 757,542 760,644
0.00%, 11/15/22, Series 2002, Class A, PO...... 3,500,000 2,723,694
6.21%, 12/15/22, Series 1483, Class FB*........ 1,873,934 1,883,013
6.24%, 1/15/23, Series 1603, Class IF*......... 3,000,000 3,036,165
5.76%, 2/15/23, Series 1470, Class F*.......... 478,258 473,171
7.50%, 4/15/23, Series 1491, Class I........... 1,504,428 1,595,214
</TABLE>
Pegasus Funds
132
<PAGE>
Pegasus Intermediate Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
6.07%, 5/15/23, Series 1694, Class SE, IF*..... $ 474,841 $ 475,646
782.71%, 5/15/23, Series 204, Class E, IF, IO*. 5,770 81,974
7.00%, 6/15/23, Series 1927, Class PD.......... 2,700,000 2,743,014
7.70%, 6/15/23, Series 1608, Class SD, IF*..... 2,500,000 2,543,351
8.03%, 6/15/23, Series 1633, Class SB, IF*..... 2,522,835 2,511,084
5.76%, 7/15/23, Series 1541, Class TA*......... 414,624 414,023
4.53%, 8/15/23, Series 1611, Class JB, IF*..... 1,524,718 1,290,753
6.13%, 8/15/23, Series 1611, Class JA*......... 1,672,497 1,794,500
3.74%, 9/15/23, Series 1583, Class NS, IF*..... 251,454 245,845
6.25%, 9/15/23, Series 1589, Class Z........... 6,935,903 6,654,580
8.83%, 10/15/23, Series 1689, Class SD, IF*.... 2,000,000 2,036,374
9.48%, 10/15/23, Series 1859, Class SB, IF,
IO*........................................... 4,654,554 614,311
6.21%, 10/15/23, Series 1927, Class F*......... 1,109,882 1,111,850
6.00%, 11/25/23, Series 1685, Class Z.......... 534,185 507,863
8.50%, 11/15/23, Series 1619, Class SD, IF*.... 994,224 997,333
6.25%, 11/25/23, Series 24, Class ZE........... 825,328 813,158
4.97%, 12/15/23, Series 1628, Class S, IF*..... 2,500,000 2,168,097
8.93%, 12/15/23, Series 1854, Class SE, IF,
IO*........................................... 2,500,000 302,162
0.00%, 2/15/24, Series 1700, Class GA, PO...... 2,274,398 1,787,038
5.00%, 2/15/24, Series 1686, Class A........... 1,776,289 1,747,975
1.88%, 4/25/24, Series G-29, Class SD, IF, IO*. 5,549,894 133,370
7.50%, 8/15/24, Series 1745, Class D........... 2,000,000 2,101,056
7.50%, 2/15/26, Series 1935, Class CB.......... 1,500,000 1,542,969
6.00%, 5/15/27, Series 1981, Class Z........... 4,332,285 4,200,512
7.00%, 3/15/28, Series 2038, Class PN, IO...... 7,733,888 1,591,590
------------
141,329,567
------------
Federal National Mortgage Assoc. -- 25.7%
542.70%, 1/25/99, Series 92-13, Class S, HB,
IF*........................................... 534 665
6.35%, 3/1/99, Pool #160330.................... 1,284,392 1,282,363
11.69%, 6/25/99, Series 92-85, Class S, IF*.... 388,818 397,193
8.55%, 8/30/99................................. 300,000 306,743
2.84%, 11/25/99, Series 92-199, Class S, IF,
IO*........................................... 3,578,422 75,401
6.78%, 1/17/03, Series 97-MI, Class A.......... 1,703,564 1,754,356
6.99%, 3/17/04, Series 97-M4, Class A.......... 5,434,566 5,568,446
10.00%, 5/25/04, Series 89-26, Class D......... 358,828 372,246
758.75%, 1/25/06, Series 91-4, Class N, HB..... 1,488 18,934
908.75%, 3/25/06, Series 91-20, Class M, HB.... 811 11,945
1008.25%, 4/25/06, Series 91-33, Class J, HB... 1,814 29,736
3.34%, 8/25/06, Series 93-8, Class SB, IF, IO*. 4,493,455 141,959
0.00%, 9/25/06, Series 96-46, Class PE, PO..... 1,152,098 1,048,987
7.25%, 4/25/07, Series 92-44, Class K.......... 750,000 778,206
8.21%, 11/25/07, Series 93-174, Class SB, IF*.. 1,394,135 1,392,522
0.00%, 2/25/08, Series 96-24, Class K, PO...... 1,900,000 1,757,502
6.41%, 2/25/08, Series 93-188, Class F*........ 2,487,762 2,505,103
5.56%, 5/25/08, Series 93-63, Class FD*........ 1,000,000 975,783
5.66%, 5/25/08, Series 93-72, Class F*......... 1,500,000 1,471,474
6.66%, 5/25/08, Series 93-55, Class FA*........ 6,750,000 6,824,650
</TABLE>
Pegasus Funds
133
<PAGE>
Pegasus Intermediate Bond Funds
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
5.66%, 8/25/08, Series 93-209, Class KB......... $ 1,454,437 $ 1,449,543
5.66%, 8/25/08, Series 93-129, Class FE*........ 671,134 652,547
12.05%, 8/25/08, Series 93-134, Class SA, IF*... 2,500,000 2,563,701
0.00%, 9/25/08, Series 96-20, Class L, PO....... 1,545,166 1,337,476
0.00%, 9/25/08, Series 96-39, Class J, PO....... 1,750,000 1,377,107
5.46%, 9/25/08, Series 93-170, Class FA*........ 394,214 390,094
5.66%, 10/25/08, Series 93-196, Class FA*....... 3,071,121 3,024,157
0.00%, 12/25/08, Series 98-27, Class B, PO...... 2,000,000 1,584,336
6.00%, 12/25/08, Series 93-214, Class L......... 632,765 632,876
7.13%, 1/25/09, Series 94-12, Class SB, IF*..... 1,237,163 1,231,346
5.00%, 2/25/09, Series 96-46, Class A........... 73,733 73,447
6.50%, 3/25/09, Series 95-13, Class B........... 1,856,170 1,861,226
7.90%, 9/25/09, Series G93-22, Class SA, IF*.... 401,335 401,838
7.00%, 4/25/10, Series 92-124, Class D.......... 2,200,000 2,249,565
7.00%, 1/18/11, Series 97-23, Class VG.......... 4,000,000 4,114,019
6.75%, 10/25/12, Series 93-65, Class D.......... 2,250,000 2,284,300
6.50%, 9/1/13, Pool #251982..................... 1,943,958 1,974,350
5.25%, 11/25/13, Series 93-220, Class SD, IF*... 1,242,669 1,209,041
5.52%, 12/25/13, Series 93-225, Class SS, IF*... 800,000 700,643
7.20%, 1/25/15, Series 92-210, Class D.......... 1,634,000 1,643,208
12.50%, 1/1/16, Pool #303306.................... 616,916 700,332
6.06%, 5/25/16, Series 93-156, Class FA*........ 1,460,569 1,461,283
5.36%, 11/25/16, Series 93-187, Class FE*....... 943,039 937,145
6.00%, 12/25/16, Series G-22, Class G........... 1,015,010 1,016,144
6.16%, 3/25/17, Series 96-27, Class FA*......... 1,448,457 1,453,362
9.40%, 10/25/17, Series 88-17, Class B.......... 1,426 1,422
9.25%, 4/25/18, Series 88-7, Class Z............ 364,076 381,092
3.84%, 6/25/18, Series 92-206, Class FA*........ 1,250,000 1,182,542
6.50%, 7/25/18, Series 93-8, Class PG........... 614,683 615,221
9.50%, 12/01/18, Pool # 426839.................. 1,271,169 1,366,651
7.25%, 3/1/19, Pool #116612*.................... 808,620 821,857
10.50%, 3/25/19, Series 50, Class 2, IO......... 123,830 25,001
5.00%, 5/25/19, Series 93-19, Class G........... 2,950,212 2,933,289
6.50%, 6/25/19, Series G93-19, Class K.......... 669,073 671,003
7.84%, 8/1/19, Pool #111366*.................... 315,204 328,382
0.00%, 10/25/19, Series 89-73, Class C, PO...... 97,649 94,022
5.36%, 10/25/19, Series 93-156, Class SD, IF*... 1,000,000 971,288
8.00%, 10/25/19, Series 89-70, Class G.......... 2,000,000 2,075,642
8.50%, 11/25/19, Series 89-83, Class H.......... 954,713 987,746
9.00%, 11/25/19, Series 89-89, Class H.......... 1,112,258 1,181,427
9.40%, 11/25/19, Series 89-78, Class H.......... 1,644,565 1,749,139
8.50%, 1/25/20, Series 90-7, Class B............ 941,534 977,051
8.80%, 1/25/20, Series 90-1, Class D............ 512,058 537,693
5.00%, 4/25/20, Series G93-10, Class G.......... 704,928 702,570
4.00%, 6/25/20, Series G92-66, Class HB......... 1,000,000 966,935
5.50%, 6/25/20, Series 90-60, Class K........... 700,951 685,184
6.00%, 6/25/20, Series G93-13, Class G.......... 691,044 690,550
9.50%, 6/25/20, Series 90-63, Class H........... 667,410 702,558
</TABLE>
Pegasus Funds
134
<PAGE>
Pegasus Intermediate Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
5.50%, 8/25/20, Series 90-93, Class G.......... $ 717,823 $ 702,085
6.50%, 8/25/20, Series 90-102, Class J......... 2,416,582 2,425,873
505.00%, 8/25/20, Series 90-94, Class H, HB.... 10,504 103,236
1118.04%, 8/25/20, Series 90-95, Class J, HB... 5,771 126,050
6.00%, 10/25/20, Series 92-204, Class B........ 1,879,513 1,877,925
9.00%, 10/25/20, Series 90-120, Class H........ 1,000,000 1,053,690
13.12%, 11/25/20, Series 90-134, Class SC, IF*. 283,949 326,540
6.50%, 12/25/20, Series 97-85, Class L, IO..... 4,735,910 500,200
652.15%, 12/25/20, Series 90-140, Class K, HB.. 12,215 187,962
2.94%, 1/25/21, Series 93-165, Class SX, IF*... 1,029,960 979,640
7.50%, 2/25/21, Series 91-161, Class H......... 21,204 21,156
908.50%, 2/25/21, Series 91-7, Class K, HB..... 834 13,859
8.50%, 6/25/21, Series G-14, Class L........... 585,100 618,001
8.75% 6/25/21, Series G-18, Class Z............ 3,242,131 3,437,169
0.00%, 10/25/21, Series 97-32, Class C, PO..... 1,800,000 1,712,675
6.50%, 2/25/09, Series 94-30, Class LA......... 611,596 614,702
5.00%, 11/25/21, Series G92-66, Class JB....... 2,800,000 2,712,992
7.88%, 11/25/21, Series 92-215, Class PM....... 1,200,000 1,249,931
6272.33%, 5/25/22, Series G92-27, Class SQ, HB,
IF*........................................... 1,952 263,372
7.00%, 7/25/22, Series G92-42, Class Z......... 781,676 791,138
6.50%, 8/25/22, Series 96-59, Class J.......... 3,000,000 3,007,230
0.00%, 9/25/22, Series 97-70, Class PO, PO..... 2,000,000 1,536,356
5.50%, 9/25/22, Series 92-143, Class MA........ 700,000 674,437
2.72%, 11/25/22, Series 93-38, Class S, IF,
IO*........................................... 226,814 1,192
6.75%, 12/25/22, Series 93-46, Class O......... 971,602 974,031
8.94%, 12/25/22, Series X, Class VO, IF*....... 2,000,000 2,062,220
0.00%, 2/25/23, Series G93-12, Class C, PO..... 1,748,884 1,659,728
6.25%, 2/25/23, Series 93-12, Class S.......... 1,656,432 51,151
6.50%, 2/25/23, Series 93-5, Class Z........... 1,021,701 1,026,476
490.10%, 2/25/23, Series 93-12, Class SB, IF,
IO*........................................... 16,319 75,167
7.50%, 4/1/23, Series 218, Class 2, IO......... 1,601,794 258,091
0.00%, 4/25/23, Series 98-4, Class C, PO....... 1,540,094 1,344,619
5.50%, 4/25/23, Series 93-58, Class J.......... 269,362 265,727
6.50%, 5/25/23, Series 93-155, Class LA........ 365,498 366,481
6.75%, 5/25/23, Series 93-94, Class K.......... 187,591 187,446
0.00%, 6/25/23, Series 93-257, Class C, PO..... 8,500,000 5,942,263
1.54%, 5/25/23, Series 94-82, Class SA, IF,
IO*........................................... 8,871,046 223,090
3.24%, 7/25/23, Series 93-113, Class S, IF,
IO*........................................... 3,884,726 136,623
6.50%, 7/25/23, Series 93-122, Class M......... 1,000,000 989,354
0.00%, 8/25/23, Series 93-152, Class D, PO..... 1,319 1,314
2.34%, 8/25/23, Series 94-36, Class SG, IF,
IO*........................................... 3,480,275 82,604
2.84%, 8/25/23, Series G93-27, Class SE*....... 1,190,363 1,058,470
5.82%, 8/25/23, Series 93-139, Class SG, IF*... 2,037,423 1,950,672
9.27%, 8/25/23, Series 93-113, Class SE, IF*... 658,198 647,965
3.00%, 9/25/23, Series 93-193, Class B......... 2,035,387 1,956,645
3.34%, 9/25/23, Series 93-155, Class SB, IF,
IO*........................................... 3,016,197 91,813
6.50%, 9/25/23, Series 93-178, Class PK........ 933,000 935,188
6.13%, 10/18/23, Series 96-69, Class FC*....... 155,973 156,102
</TABLE>
Pegasus Funds
135
<PAGE>
Pegasus Intermediate Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
5.76%, 10/25/23, Series 93-198, Class FA*....... $ 624,114 $ 622,256
4.05%, 11/25/23, Series 93-207, Class SC, IF*... 1,920,489 1,811,508
0.00%, 12/25/23, Series 97-24, Class PQ, PO..... 2,015,522 1,719,674
5.96%, 12/25/23, Series 93-223, Class FB*....... 699,384 698,180
6.75%, 12/25/23, Series 94-55, Class G.......... 3,000,000 3,043,100
7.90%, 12/25/23, Series 93-223, Class SB, IF*... 631,519 629,991
5.00%, 1/25/24, Series 94-19, Class C........... 335,722 334,348
10.00%, 2/1/24, Pool #479469.................... 1,934,478 2,100,766
6.06%, 3/25/24, Series 94-39, Class F*.......... 659,507 659,227
6.04%, 3/25/24, Series 94, Class 41*............ 40,595 40,460
5.86%, 3/25/24, Series 94-36, Class FA*......... 531,708 530,275
7.65%, 3/25/24, Series 94-39, Class S, IF*...... 277,111 279,256
7.00%, 11/17/24, Series G94-13, Class ZB........ 2,620,077 2,621,702
8.80%, 1/25/25, Series G95-1, Class C........... 900,621 1,025,607
9.00%, 4/1/26, Pool #446278..................... 1,108,384 1,180,521
7.50%, 8/18/26, Series 97-29, Class PL, IO...... 1,700,000 351,501
8.50%, 11/1/26, Pool #411183.................... 775,321 823,022
7.50%, 3/18/27, Series 97-22, Class PI, IO...... 2,500,000 394,703
1.84%, 3/25/27, Series 97-20, Class IO, IO...... 12,284,326 450,894
7.50%, 4/18/27, Series 97-27, Class J........... 3,931,685 4,093,227
7.50%, 4/20/27, Series 97-29, Class J........... 6,000,000 6,210,819
7.50%, 5/20/27, Series 97-39, Class PD.......... 3,284,000 3,433,557
6.13%, 9/1/27, Pool #54844*..................... 1,480,515 1,489,254
7.00%, 11/18/27, Series 97-81, Class PI, IO..... 9,783,617 1,445,266
6.12%, 3/1/29, Pool #303532*.................... 1,652,294 1,662,191
------------
168,717,521
------------
Government National Mortgage Assoc. -- 9.4%
12.00%, 11/15/19, Pool #780149.................. 1,551,245 1,764,776
8.00%, 9/15/22, Pool #297628.................... 1,269,945 1,323,863
7.50%, 11/15/22, Pool #313110................... 1,094,729 1,130,076
7.50%, 7/15/23, Pool # 481915................... 1,539,688 1,589,411
7.49%, 7/16/24, Series 94-3, Class PQ........... 1,000,000 1,063,278
7.99%, 7/16/24, Series 94-4, Class KQ........... 5,000,000 5,363,740
8.50%, 3/20/25, Pool #1974...................... 706,258 748,105
8.50%, 5/20/25, Pool #2006...................... 4,013,742 4,251,564
7.50%, 9/17/25, Series 98-26, Class K........... 1,000,000 1,039,194
8.00%, 12/20/25, Pool #2141..................... 729,295 754,430
7.50%, 4/18/26, Series 97-8, Class PD........... 4,804,000 4,981,270
8.00%, 6/20/26, Pool #2334...................... 1,140,669 1,179,856
7.50%, 8/16/26, Series 96-16, Class E........... 8,000,000 8,416,053
8.00%, 8/20/26, Pool #2270...................... 1,499,387 1,550,899
8.00%, 9/20/26, Pool #2285...................... 1,625,378 1,681,218
8.00%, 11/20/26, Pool #2324..................... 1,147,749 1,187,180
8.00%, 10/20/27, Pool #2499..................... 3,357,219 3,475,207
8.00%, 11/20/27, Pool #2512..................... 2,877,717 2,978,853
8.00%, 12/20/27, Pool #2525..................... 1,574,651 1,629,992
7.50%, 2/20/28, Pool #2549...................... 1,675,107 1,719,824
</TABLE>
Pegasus Funds
136
<PAGE>
Pegasus Intermediate Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
8.00%, 5/15/98, Pool #456883.................... $ 928,151 $ 965,376
8.00%, 7/15/28, Pool #468066.................... 955,876 994,213
8.50%, 8/15/28, Pool #468149.................... 1,918,774 1,995,731
8.00%, 8/20/28, Pool #2633...................... 714,602 739,689
7.50%, 9/15/28, Pool #486537.................... 2,846,979 2,938,922
7.50%, 9/20/28, Pool #2646...................... 5,784,829 5,939,253
------------
61,401,973
------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGES............ 371,449,061
------------
U.S. TREASURY OBLIGATIONS -- 22.9%
U.S. Treasury Bonds -- 14.2%
10.38%, 11/15/09................................ 6,300,000 8,054,159
11.75%, 2/15/10................................. 850,000 1,156,266
12.75%, 11/15/10................................ 42,776,000 62,132,141
10.38%, 11/15/12................................ 14,860,000 20,502,193
12.50%, 8/15/14................................. 1,000,000 1,606,410
------------
93,451,169
------------
U.S. Treasury Inflation Protected Bonds -- 2.7%
3.63%, 7/15/02.................................. 7,884,421 7,825,288
3.38%, 1/15/07.................................. 10,040,086 9,704,345
------------
17,529,633
------------
U.S. Treasury Notes -- 3.9%
5.63%, 11/30/99................................. 50,000 50,453
7.75%, 12/31/99................................. 100,000 102,984
8.75%, 8/15/00.................................. 16,350,000 17,379,559
6.25%, 8/31/00.................................. 45,000 46,139
5.75%, 10/31/00................................. 500,000 509,688
5.63%, 11/30/00................................. 85,000 86,514
7.75%, 2/15/01.................................. 60,000 63,703
8.00%, 5/15/01.................................. 2,500,000 2,684,774
7.50%, 11/15/01................................. 1,000,000 1,075,310
6.63%, 3/31/02.................................. 360,000 380,531
5.75%, 4/30/03.................................. 100,000 104,063
5.75%, 8/15/03.................................. 50,000 52,211
7.25%, 8/15/04.................................. 340,000 382,235
7.88%, 11/15/04................................. 385,000 446,057
6.50%, 10/15/06................................. 350,000 388,227
3.63%, 1/15/08.................................. 2,030,120 1,991,426
------------
25,743,874
------------
U.S. Treasury STRIPS -- 2.1%
2/15/01......................................... 3,300,000 2,996,235
8/15/01......................................... 2,250,000 1,995,750
2/15/09......................................... 5,255,000 3,168,555
11/15/09........................................ 2,500,000 1,428,425
11/15/10........................................ 5,000,000 2,713,350
</TABLE>
Pegasus Funds
137
<PAGE>
Pegasus Intermediate Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
11/15/11....................................... $ 2,250,000 $ 1,144,530
2/15/13........................................ 1,000,000 469,780
------------
13,916,625
------------
TOTAL U.S. TREASURY OBLIGATIONS.................. 150,641,301
------------
TOTAL............................................ $654,060,628
============
(Cost $635,351,541) -- 99.6%
</TABLE>
Percentages indicated are based on net assets of $656,537,531.
* The interest rate for these bonds changes periodically based on an
underlying benchmark (PRIME, LIBOR, etc.). The rate reflected in the
Schedule of Portfolio Investments is the rate in effect as of December 31,
1998.
(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:
Collateralized Mortgage Obligations (CMO) 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.
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) represents the right to receive the monthly interest
payment on an underlying pool of mortgage loans. The face amount shown
represents the par value on the underlying pool. The yields on these
securities are generally higher than prevailing market yields on other
mortgage-backed securities because their cash flow patterns are more
volatile and there is a greater risk that the initial investment will not
be fully recouped. These securities are subject to accelerated principal
paydowns as a result of prepayment 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") represents 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) The book cost of certain IO and HB securities include a write-down in the
amount of $2,293,420 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.
(c) Security exempt from registration under rule 144A of the Securities Act of
1993. 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 Carrying Value of Total
Holding Date* Par Per Unit Original Cost Market Value Investments
------- ----------- ---------- -------------- ------------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
Case Corp. 12/2/98 $1,500,000 $99.96 $1,494,390 $1,499,388 0.23%
</TABLE>
* Acquisition date refers to the first acquisition date in the case of
securities purchased in multiple lots.
Pegasus Funds
138
<PAGE>
Pegasus Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
ASSET BACKED SECURITIES -- 8.7%
Banking, Finance & Insurance -- 8.7%
Arcadia Automobile Receivables Trust, Series
98-B, Class A3, 5.95%, 11/15/02.............. $ 3,000,000 $ 3,038,235
Arcadia Automobile Receivables Trust, Series
98-A, Class AY, 6.00%, 11/15/03.............. 3,600,000 3,623,238
Arcadia Automobile Receivables Trust, Series
98-B, Class A4, 6.00%, 11/15/03.............. 5,000,000 5,085,175
Case Equipment Loan Trust, Series 95-A, Class
A, 7.30%, 3/15/02............................ 510,916 511,701
Case Equipment Loan Trust, Series 96-A, Class
A2, 5.50%, 2/15/03........................... 3,349,784 3,356,099
Chase Manhattan Grantor Trust, Series 95-A,
Class A, 6.00%, 9/17/01...................... 985,736 986,968
Chase Manhattan Grantor Trust, Series 95-B,
Class A, 5.90%, 11/15/01..................... 205,319 205,959
Chase Mortgage Finance Corp., Series 94-E,
Class A6B, 6.84%, 4/25/10, IF*............... 1,886,433 1,880,538
Chevy Chase Auto Receivables Trust, Series 95-
2, Class A, 5.80%, 6/15/02................... 313,317 314,766
Collateralized Mortgage Obligation Trust,
Series 12, Class D, 9.50%, 2/1/17............ 369,974 366,482
Collateralized Mortgage Obligation Trust,
Series 16, Class Q, 12.38%, 3/20/18, IF*..... 220,983 234,931
Countrywide Funding Corp., Series 93-11, Class
A10, 5.76%, 2/25/09*......................... 4,243,491 4,157,200
Countrywide Home Loans, Series 98-2, Class A2,
6.25%, 3/25/28............................... 2,200,000 2,180,387
CPS Auto Trust, Series 97-4, Class A1, 6.07%,
3/15/03...................................... 3,594,167 3,625,975
CPS Auto Trust, Series 98-3, Class A4, 6.08%,
10/15/03..................................... 8,350,000 8,554,116
First Boston Mortgage Securities Corp., Series
C, Class PO, 0.00%, 4/25/17, CMO, PO......... 1,644,308 1,387,839
First Boston Mortgage Securities Corp., Series
C, Class I-O, 10.97%, 4/25/17, CMO, IO....... 1,836,906 466,677
First USA Credit Card Master Trust, Series 95-
1, Class A, 5.70%, 10/15/01*................. 4,100,000 4,104,408
Green Tree Financial Corp., Series 95-4, Class
A6, 7.30%, 7/15/25........................... 3,000,000 3,185,182
Merrill Lynch Home Equity Loan, Series 92-1,
Class A, 5.78%, 7/15/22*..................... 658,569 658,546
Merrill Lynch MBS Inc., Series 144-S, 7.43%,
7/25/24...................................... 4,586,114 4,494,391
Merrill Lynch Trust, Series 43, Class E,
6.50%, 8/27/15............................... 3,558,347 3,536,640
Morgan Stanley Mortgage Trust, Series 35,
Class 2, 7886.00%, 4/20/21, HB, IF*.......... 2,408 367,629
Morgan Stanley Mortgage Trust, Series 37,
Class 2, 7886.00%, 7/20/21, HB, IF*.......... 2,419 411,155
Morgan Stanley Mortgage Trust, Series 39,
Class 3, 0.00%, 12/20/21, PO................. 403,836 345,438
Navistar Financial Corp. Owner Trust, Series
95-A, Class A2, 6.55%, 11/20/01.............. 414,275 414,403
Newcourt Receivables Asset Trust, Series 97-1,
Class A2, 6.04%, 6/20/00..................... 358,125 360,197
Olympic Automobile Receivables Trust, Series
96-C, Class A4, 6.80%, 3/15/02............... 7,000,000 7,101,325
Olympic Automobile Receivables Trust, Series
96-C, Class A5, 7.00%, 3/15/04............... 3,500,000 3,608,104
Onyx Acceptance Grantor Trust, Series 96-1,
Class A, 5.40%, 5/15/01...................... 1,615,259 1,613,740
Onyx Acceptance Grantor Trust, Series 98-B,
Class A2, 5.85%, 7/15/03..................... 1,500,000 1,519,013
Onyx Acceptance Grantor Trust, Series 97-1,
Class A, 6.55%, 9/15/03...................... 2,517,214 2,540,800
Paine Webber Trust, Series H, Class 4, 8.75%,
4/1/18, CMO.................................. 438,729 455,037
Paine Webber Trust, Series P, Class 4, 8.50%,
8/1/19, CMO.................................. 2,252,314 2,349,485
</TABLE>
Pegasus Funds
139
<PAGE>
Pegasus Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
Rural Housing Trust, Series 87-1, Class 3B,
7.33%, 4/1/26................................. $ 680,310 $ 693,869
Sears Credit Account Master Trust, Series 95-3,
Class A, 7.00%, 10/15/04...................... 1,600,000 1,639,368
Sears Credit Account Master Trust, Series 98-1,
Class A, 5.80%, 8/15/05....................... 2,800,000 2,806,104
Standard Credit Card Master Trust, Series 94-2,
Class A, 7.25%, 4/7/08........................ 1,800,000 1,958,649
Superior Wholesale Inventory Financing Trust,
Series 96-A, Class A, 4.95%, 3/15/01*......... 2,700,000 2,700,000
Union Acceptance Corp., Series 97-D, Class A3,
6.26%, 2/8/02................................. 1,700,000 1,716,176
WFS Financial Grantor Trust, Series 94-4, Class
A1, 7.10%, 1/1/00............................. 1,000,556 1,003,283
WFS Financial Owner Trust, Series 97-B, Class
A2, 6.05%, 7/20/00............................ 1,748,800 1,748,590
WFS Financial Owner Trust, Series 96-B, Class
A3, 6.65%, 8/20/00............................ 380,303 381,408
WFS Financial Owner Trust, Series 97-D, Class
A2, 6.20%, 9/20/00............................ 4,036,382 4,045,222
WFS Financial Owner Trust, Series 96-D, Class
A3, 6.05%, 7/20/01............................ 3,403,071 3,425,293
WFS Financial Owner Trust, Series 97-B, Class
A3, 6.30%, 7/20/01............................ 6,000,000 6,114,360
WFS Financial Owner Trust, Series 97-A, Class
A3, 6.50%, 9/20/01............................ 1,327,159 1,342,056
WFS Financial Owner Trust, Series 95-4, Class
A1, 6.20%, 2/1/02............................. 2,041,340 2,055,415
WFS Financial Owner Trust, Series 98-B, Class
A4, 6.05%, 4/20/03............................ 6,000,000 6,108,240
WFS Financial Owner Trust, Series 96-C, Class
A4, 6.80%, 12/20/03........................... 4,150,000 4,213,267
World Omni Automobile Lease Secured Trust,
Series 97-A, Class A4, 6.90%, 6/25/03......... 4,580,258 4,658,947
World Omni Automobile Lease Secured Trust,
Series 97-B, Class A1, 6.07%, 11/25/03........ 5,559,884 5,566,834
World Omni Automobile Lease Secured Trust,
Series 97-B, Class A3, 6.18%, 11/25/03........ 1,998,891 2,011,634
------------
TOTAL ASSET BACKED SECURITIES.................... 131,230,494
------------
CORPORATE BONDS -- 4.9%
Banking, Finance & Insurance -- 2.6%
ABN Amro Bank NV Chicago, 7.25%, 5/31/05....... 2,000,000 2,144,262
African Development Bank, 9.30%, 7/1/00........ 1,572,000 1,663,113
American RE Corp., Series B, 7.45%, 12/15/26... 1,091,793 1,188,394
Associates Corp., 9.13%, 4/1/00................ 2,350,000 2,453,231
Associates Corp., 5.75%, 11/1/03............... 1,750,000 1,764,336
Associates Corp., 8.15%, 8/1/09................ 3,085,000 3,665,258
Associates Corp., 5.96%, 5/15/37............... 7,300,000 7,524,138
Boeing Capital Corp., 6.36%, 7/15/05........... 5,500,000 5,521,962
Chase Manhattan Corp., 9.75%, 11/1/01.......... 2,000,000 2,220,298
Ford Motor Credit Co., 8.20%, 2/15/02.......... 4,000,000 4,296,804
GMAC, 5.75%, 11/10/03.......................... 5,500,000 5,528,798
Household Finance Corp., 6.50%, 11/15/08....... 1,500,000 1,560,212
------------
39,530,806
------------
Governments (Foreign) -- 0.5%
Metropolis of Tokyo, 8.70%, 10/5/99............ 2,250,000 2,304,511
Ontario Province of Canada, Senior
Unsubordinated Debenture, 7.38%, 1/27/03...... 4,400,000 4,775,012
------------
7,079,523
------------
</TABLE>
Pegasus Funds
140
<PAGE>
Pegasus Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- -------------
<S> <C> <C>
Industrial Goods & Services -- 0.9%
Boeing Company, 7.95%, 8/15/24................ $ 1,730,000 $ 2,035,864
Case Corp., 6.25%, 12/1/03.................... 4,000,000 3,998,367
Dayton Hudson Corp., 7.88%, 6/15/23........... 1,800,000 1,937,970
General Motors Corp., 8.80%, 3/1/21........... 2,695,000 3,472,993
Monsanto Company, 8.20%, 4/15/25.............. 1,500,000 1,619,504
-------------
13,064,698
-------------
Telecommunications -- 0.2%
Bellsouth Telecommunications, 6.00%, 6/15/02.. 3,500,000 3,582,642
-------------
Yankee & Eurodollar -- 0.7%
Household Netherlands Bv, 6.20%, 12/1/03...... 1,900,000 1,914,199
Kingdom Of Belgium, 9.20%, 6/28/10............ 2,000,000 2,630,626
Province of Quebec, 9.13%, 8/22/01............ 2,515,000 2,733,659
Province of Quebec, 6.50%, 1/17/06............ 2,500,000 2,604,725
Province of Quebec, 6.29%, 3/6/26............. 1,000,000 1,083,728
-------------
10,966,937
-------------
TOTAL CORPORATE BONDS........................... 74,224,606
-------------
U.S. GOVERNMENT AGENCY -- 0.3%
Other U.S. Agencies -- 0.3%
Federal Housing Administration, Project
#07335307, 7.43%, 1/1/22..................... 1,951,621 1,932,105
Federal Housing Administration, Greystone 96-
2, 7.43%, 11/1/22............................ 2,479,044 2,396,145
-------------
TOTAL U.S. GOVERNMENT AGENCY.................... 4,328,250
-------------
U.S. GOVERNMENT AGENCY MORTGAGES -- 51.9%
Federal Home Loan Mortgage Corp. -- 19.2%
3.74%, 8/15/99, Series 1329, Class S, IF, IO*. 1,963,251 31,292
7.50%, 4/1/02, Pool #200070................... 102,525 104,161
2.09%, 9/15/04, Series 1982, Class SB, IF,
IO*.......................................... 37,492,553 1,009,847
9.00%, 1/1/06, Series 1807, Class G........... 1,250,052 1,314,117
1008.50%, 5/15/06, Series 1072, Class A, HB... 14,669 241,699
1008.00%, 6/15/06, Series 1098, Class M, HB... 6,849 109,866
4.50%, 3/15/07, Series 1295, Class JB......... 2,400,000 2,339,467
981.86%, 6/15/07, Series 1298, Class L, IO.... 9,000 188,620
3.28%, 10/15/07, Series 1389, Class SA, IF*... 775,751 752,471
5.50%, 10/15/07, Series 1640, Class A......... 538,630 536,365
5.41%, 11/15/07, Series 1414, Class LA*....... 1,010,491 995,121
8.52%, 11/15/07, Series 1414, Class LB, IF*... 2,787,562 2,803,983
3.44%, 2/15/08, Series 1465, Class SA, IF,
IO*.......................................... 9,812,623 347,308
0.00%, 4/15/08, Series 1854, Class C, PO...... 1,861,577 1,659,234
5.50%, 4/15/08, Series 1489, Class L.......... 461,246 460,353
6.00%, 4/15/08, Series 1531, Class K.......... 642,443 643,635
2.94%, 5/15/08, Series 1506, Class SD, IF,
IO*.......................................... 11,271,308 468,153
4.60%, 5/15/08, Series 1606, Class LD, IF*.... 377,589 364,980
6.41%, 5/15/08, Series 1506, Class F*......... 1,009,413 1,010,864
6.98%, 5/15/08, Series 1606, Class LC......... 1,675,484 1,706,061
</TABLE>
Pegasus Funds
141
<PAGE>
Pegasus Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- -------------
<S> <C> <C>
8.65%, 5/15/08, Series 1506, Class S, IF*..... $ 208,807 $ 216,050
5.36%, 7/15/08, Series 1544, Class TA*........ 3,439,134 3,411,283
2.81%, 8/15/08, Series 1575, Class SB, IF*.... 994,484 896,275
5.33%, 8/15/08, Series 1564, Class FB......... 874,853 862,537
5.23%, 8/15/08, Series 1565, Class K, IF*..... 1,478,681 1,411,350
7.06%, 8/15/08, Series 1575, Class FB*........ 2,983,452 3,089,796
8.21%, 8/15/08, Series 1561, Class SC, IF*.... 925,143 926,250
6.00%, 9/15/08, Series 1586, Class A.......... 831,254 830,898
5.62%, 9/15/08, Series 1580, Class SC, IF*.... 3,996,857 3,917,521
0.00%, 10/15/08, Series 1900, Class I, PO..... 3,346,864 2,947,440
0.00%, 10/15/08, Series 1946, Class L, PO..... 2,703,391 2,409,932
0.00%, 10/15/08, Series 1967, Class PC, PO.... 7,813,048 6,865,614
5.51%, 10/15/08, Series 1587, Class FA*....... 1,012,130 989,392
8.75%, 10/15/08, Series 1601, Class S, IF*.... 2,008,448 2,052,296
5.80%, 11/15/08, Series 1612, Class SD, IF*... 4,647,495 4,362,022
5.91%, 11/15/08, Series 1604, Class SE, IF*... 935,165 929,567
0.00%, 12/15/08, Series 1948, Class A, PO..... 3,015,568 2,558,442
5.58%, 12/15/08, Series 1655, Class SA, IF*... 432,257 421,588
5.86%, 12/15/08, Series 1647, Class FB*....... 556,938 548,354
6.06%, 12/15/08, Series 1635, Class O*........ 4,367,355 4,407,080
6.06%, 12/15/08, Series 1624, Class FB*....... 2,265,710 2,276,841
6.59%, 12/15/08, Series 2017, Class SE, IF*... 2,000,000 1,957,383
6.71%, 12/15/08, Series 1655, Class F*........ 1,176,661 1,192,119
7.68%, 12/15/08, Series 1647, Class SB, IF*... 1,564,223 1,566,119
8.50%, 12/15/08, Series 1625, Class SD, IF*... 2,500,000 2,558,662
0.00%, 2/15/09, Series 1679, Class N, PO...... 1,607,800 1,330,298
6.38%, 2/15/09, Series 1796, Class S, IF*..... 1,000,000 946,458
6.40%, 2/15/09, Series 1679, Class O.......... 1,997,620 2,017,455
6.11%, 3/15/09, Series 1900, Class FA*........ 9,590,775 9,621,463
9.70%, 3/15/09, Series 1698, Class SC, IF*.... 2,673,009 2,751,300
6.36%, 4/15/09, Series 1716, Class F*......... 2,524,525 2,545,045
2.94%, 3/15/12, Series 1933, Class SJ, IF,
IO*.......................................... 24,366,048 1,768,710
6.30%, 1/15/13, Series 2025, Class PE......... 5,300,000 5,358,945
2.59%, 10/15/13, Series 1595, Class S, IF,
IO*.......................................... 6,999,605 186,863
7.00%, 10/15/13, Series 1595, Class D......... 1,471,502 1,509,346
12.00%, 8/1/15, Pool #170269.................. 870,148 998,217
7.50%, 7/1/16, Pool #274081................... 40,882 41,932
2.69%, 7/15/16, Series 1930, Class SJ, IF,
IO*.......................................... 13,053,946 907,865
7.50%, 4/1/17, Pool #289711................... 67,198 68,920
6.75%, 3/15/19, Series 1370, Class F.......... 253,939 254,428
4.00%, 3/25/19, Series 10, Class F............ 2,000,000 1,974,959
12.00%, 7/1/19, Pool #555238.................. 385,688 442,453
9.50%, 7/15/19, Series 11, Class D............ 3,000,000 3,159,284
9.40%, 8/15/19, Series 23, Class E............ 43,851 43,832
6.50%, 11/15/19, Series 1418, Class B......... 1,564,911 1,570,772
7.00%, 11/15/19, Series 1051, Class D......... 104,619 104,708
7.50%, 1/15/20, Series 1297, Class H.......... 2,113,504 2,146,537
6.50%, 2/15/20, Series 1483, Class E.......... 3,407,500 3,423,260
</TABLE>
Pegasus Funds
142
<PAGE>
Pegasus Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- -------------
<S> <C> <C>
9.50%, 4/15/20, Series 22, Class C............ $ 1,104,876 $ 1,199,144
9.60%, 4/15/20, Series 23, Class F............ 1,575,000 1,679,610
84.00%, 5/15/20, Series 41, Class I, HB....... 57,939 155,215
10.00%, 6/15/20, Series 47, Class F........... 402,731 423,914
5.00%, 11/15/20, Series 1190, Class G......... 1,033,215 1,030,131
9.50%, 1/15/21, Series 99, Class Z............ 879,958 938,205
1066.21%, 2/15/21, Series 1045, Class G, IO... 2,298 42,087
9.00%, 4/15/21, Series 1065, Class J.......... 1,508,384 1,593,761
5.91%, 5/15/21, Series 1602, Class SP, IF*.... 1,253,830 1,238,932
6.50%, 5/15/21, Series 1602, Class T.......... 2,686,778 2,672,408
6.51%, 5/15/21, Series 1084, Class F*......... 1,549,057 1,565,632
15.10%, 5/15/21, Series 1079, Class S, IF*.... 590,002 678,703
20.20%, 5/15/21, Series 1084, Class S, IF*.... 1,084,340 1,345,352
5.50%, 8/15/21, Series 1116, Class I.......... 2,000,000 1,957,526
8.50%, 9/15/21, Series 1144, Class KB......... 1,836,326 1,897,997
7.50%, 11/15/21, Series 1378, Class JZ........ 3,703,378 3,881,844
1167.78%, 11/15/21, Series 1172, Class L, HB.. 9,909 213,496
7.75%, 12/15/21, Series 1347, Class HB........ 1,244,970 1,279,832
7.00%, 12/20/21, Series1956, Class A.......... 3,137,641 3,161,708
510.48%, 1/15/22, Series 1196, Class B, IF,
IO*.......................................... 39,749 328,437
0.00%, 2/15/22, Series 1987, Class W, PO...... 5,000,000 3,874,969
8.00%, 2/15/22, Series 1212, Class IZ......... 4,225,804 4,575,864
9.00%, 8/15/22, Series 134, Class B, IO....... 540,093 91,423
7.00%, 5/15/22, Series 1250, Class J.......... 1,550,000 1,583,455
7.85%, 7/15/22, Series 1523, Class S, IF*..... 2,509,015 2,503,749
6.25%, 9/15/22, Series 1591, Class FH*........ 2,500,000 2,677,791
5.86%, 10/15/22, Series 1646, Class MB*....... 2,045,364 2,043,748
8.50%, 10/15/22, Series 1646, Class MD, IF*... 1,893,856 1,901,610
0.00%, 11/15/22, Series 2002, Class A, PO..... 8,800,000 6,848,146
6.21%, 12/15/22, Series 1483, Class FB*....... 3,747,868 3,766,025
6.86%, 12/15/22, Series 1435, Class FA*....... 2,146,179 2,160,134
6.24%, 1/15/23, Series 1603, Class IF*........ 7,000,000 7,084,386
4.15%, 1/25/23, Series G-48, Class BE, IF,
IO*.......................................... 9,759,542 380,574
5.76%, 2/15/23, Series 1470, Class F*......... 956,516 946,341
6.71%, 4/15/23, Series 1498, Class I*......... 1,250,000 1,300,469
6.12%, 4/25/23, Series G-13, Class SA, IF*.... 675,976 663,071
6.07%, 5/15/23, Series 1694, Class SE, IF*.... 676,577 677,724
6.46%, 5/15/23, Series 1669, Class KE*........ 1,394,397 1,406,934
7.00%, 5/15/23, Series 1505, Class Q.......... 2,900,000 2,939,192
782.71%, 5/15/23, Series 204, Class E, IF,
IO*.......................................... 18,107 257,259
7.70%, 6/15/23, Series 1608, Class SD, IF*.... 1,391,946 1,416,083
8.03%, 6/15/23, Series 1633, Class SB, IF*.... 3,924,409 3,906,130
8.33%, 7/15/23, Series 1543, Class JC, IF*.... 1,500,000 1,356,222
10.00%, 7/15/23, Series 1546, Class SD, IF*... 438,836 432,194
4.53%, 8/15/23, Series 1611, Class JB, IF*.... 2,000,000 1,693,104
6.13%, 8/15/23, Series 1611, Class JA*........ 2,100,000 2,253,188
6.26%, 8/15/23, Series 1570, Class F*......... 1,282,721 1,285,207
7.00%, 8/15/23, Series 1681, Class K.......... 617,497 619,012
</TABLE>
Pegasus Funds
143
<PAGE>
Pegasus Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- -------------
<S> <C> <C>
3.74%, 9/15/23, Series 1583, Class NS, IF*.... $ 354,645 $ 346,734
6.25%, 9/15/23, Series 1589, Class Z.......... 14,421,131 13,836,200
6.00%, 10/15/23, Series 1602, Class O......... 2,763,000 2,770,475
8.83%, 10/15/23, Series 1689, Class SD, IF*... 2,225,000 2,265,466
9.48%, 10/15/23, Series 1859, Class SB, IF,
IO*.......................................... 11,102,764 1,465,349
6.21%, 10/15/23, Series 1927, Class F*........ 2,703,091 2,707,884
6.00%, 11/25/23, Series 1685, Class Z......... 3,338,655 3,174,146
7.85%, 11/15/23, Series 1619, Class SC, IF*... 4,515,586 4,514,525
8.50%, 11/15/23, Series 1619, Class SD, IF*... 1,657,040 1,662,222
4.97%, 12/15/23, Series 1628, Class S, IF*.... 2,550,000 2,211,458
5.80%, 12/15/23, Series 1825, Class C......... 2,000,000 1,992,863
8.93%, 12/15/23, Series 1854, Class SE, IF,
IO*.......................................... 9,886,816 1,194,966
10.13%, 12/15/23, Series 1633, Class SE, IF*.. 1,278,652 1,323,698
0.00%, 2/15/24, Series 1700, Class GA, PO..... 11,008,085 8,649,266
6.72%, 2/15/24, Series 1686, Class SH, IF*.... 1,535,892 1,465,485
7.38%, 2/15/24, Series 1686, Class SL, IF*.... 769,725 768,231
7.00%, 3/15/24, Series 1706, Class LA......... 1,589,761 1,605,183
1.88%, 4/25/24, Series 29, Class SD, IF, IO*.. 9,559,692 229,730
6.13%, 4/25/24, Series G-29, Class FE*........ 3,023,367 3,022,432
10.00%, 5/15/24, Series 1987, Class SI, IF*... 2,913,591 2,965,844
7.50%, 8/15/24, Series 1745, Class D.......... 3,043,499 3,197,281
7.50%, 2/15/26, Series 1935, Class CB......... 3,500,000 3,600,262
6.00%, 5/15/27, Series 1981, Class Z.......... 6,498,427 6,300,769
7.00%, 10/15/27, Series 1995, Class EJ, IO.... 6,287,486 992,458
7.00%, 3/15/28, Series 2038, Class PN, IO..... 27,458,616 5,650,827
7.50%, 5/15/28, Series 2054, Class PV......... 9,468,000 9,962,389
-------------
289,669,539
-------------
Federal National Mortgage Assoc. -- 23.6%
542.70%, 1/25/99, Series 92-13, Class S, HB,
IF*.......................................... 1,802 2,246
6.35%, 3/1/99, Pool #160330................... 1,284,392 1,282,363
11.69%, 6/25/99, Series 92-85, Class S, IF*... 1,555,270 1,588,771
2.84%, 11/25/99, Series 92-199, Class S, IF,
IO*.......................................... 5,135,547 108,211
758.75%, 1/25/06, Series 91-4, Class N, HB.... 4,218 53,664
1008.25%, 4/25/06, Series 91-33, Class J, HB.. 3,888 63,722
3.34%, 8/25/06, Series 93-8, Class SB, IF,
IO*.......................................... 4,457,810 140,833
6.00%, 8/25/06, Series 93-188, Class WA, IO... 2,749,200 140,797
0.00%, 9/25/06, Series 96-46, Class PE, PO.... 2,574,772 2,344,334
8.32%, 5/25/07, Series 93-175, Class S, IF*... 3,470,939 3,470,541
7.50%, 9/25/07, Series 92-135, Class LC....... 1,000,000 1,030,059
8.21%, 11/25/07, Series 93-174, Class SB, IF*. 1,510,313 1,508,566
0.00%, 2/25/08, Series 96-24, Class K, PO..... 5,275,000 4,879,382
5.56%, 5/25/08, Series 93-63, Class FA*....... 1,371,341 1,343,691
5.66%, 5/25/08, Series 93-72, Class F*........ 2,500,000 2,452,457
6.41%, 5/25/08, Series 93-59, Class FA*....... 3,970,000 4,046,547
6.66%, 5/25/08, Series 93-55, Class FA*....... 12,000,000 12,132,712
5.61%, 6/25/08, Series 93-107, Class F*....... 956,087 934,236
5.66%, 8/25/08, Series 93-209, Class KB....... 2,449,877 2,441,633
</TABLE>
Pegasus Funds
144
<PAGE>
Pegasus Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- -------------
<S> <C> <C>
5.71%, 8/25/08, Series 93-129, Class FB*...... $ 1,000,000 $ 980,307
12.05%, 8/25/08, Series 93-134, Class SA, IF*. 3,019,200 3,096,130
0.00%, 9/25/08, Series 96-20, Class L, PO..... 2,954,955 2,557,772
0.00%, 9/25/08, Series 96-39, Class J, PO..... 6,599,000 5,192,874
5.46%, 9/25/08, Series 93-170, Class FA*...... 788,429 780,187
5.71%, 9/25/08, Series 93-175, Class FE*...... 2,000,000 1,958,051
9.25%, 9/25/08, Series 93-186, Class SA, IF*.. 2,482,426 2,578,928
0.00%, 10/25/08, Series 96-24, Class B, PO.... 3,800,000 3,016,024
5.66%, 10/25/08, Series 93-196, Class FA*..... 5,250,438 5,170,147
256.00%, 11/1/08, Series K, Class 2, IO....... 262,831 1,503,642
0.00%, 12/25/08, Series 98-27, Class B, PO.... 4,000,000 3,168,672
6.00%, 12/25/08, Series 93-214, Class L....... 411,297 411,369
6.76%, 12/25/08, Series 93-221, Class FH*..... 2,000,000 2,064,027
9.50%, 12/25/08, Series 93-221, Class SE*..... 973,349 1,032,496
5.86%, 1/25/09, Series 94-12, Class FB*....... 199,542 197,564
7.13%, 1/25/09, Series 94-12, Class SB, IF*... 1,343,554 1,337,237
5.00%, 2/25/09, Series 96-46, Class A......... 206,436 205,636
6.06%, 3/25/09, Series 94-33, Class F*........ 513,561 515,265
5.66%, 3/25/09, Series 94-32, Class F*........ 1,274,427 1,254,724
5.76%, 3/25/09, Series 94-33, Class FA*....... 2,910,683 2,851,089
6.50%, 3/25/09, Series 95-13, Class B......... 2,962,732 2,970,804
8.32%, 3/25/09, Series 94-32, Class S, IF*.... 3,993,204 4,054,969
7.90%, 9/25/09, Series G93-22, Class SA, IF*.. 722,402 723,308
7.15%, 10/17/09, Series 97-M1, Class B........ 3,750,000 3,900,694
6.50%, 12/25/10, Series 96-7, Class C......... 999,945 997,731
5.25%, 11/25/13, Series 93-220, Class SD, IF*. 2,087,684 2,031,188
9.85%, 8/25/14, Series 89-34, Class E......... 44,833 44,759
12.50%, 1/1/16, Pool #303306.................. 934,722 1,061,110
6.06%, 5/25/16, Series 93-156, Class FA*...... 6,085,704 6,088,678
6.16%, 3/25/17, Series 96-27, Class FA*....... 1,895,656 1,902,075
7.00%, 4/1/17, Pool #44699.................... 126,126 129,106
10.00%, 9/1/17, Series 23, Class 2, IO........ 632,977 132,075
9.40%, 10/25/17, Series 88-17, Class B........ 8,204 8,181
9.25%, 4/25/18, Series 88-7, Class Z.......... 371,990 389,376
9.00%, 5/1/18, Pool # 426836.................. 2,386,662 2,558,326
0.00%, 5/25/18, Series 97-32, Class AP, PO.... 844,018 826,849
3.84%, 6/25/18, Series 92-206, Class FA*...... 3,484,000 3,295,980
6.13, 1/1/19, Pool #70226*.................... 392,263 386,870
7.25, 3/1/19, Pool #116612*................... 1,260,496 1,281,130
10.50%, 3/25/19, Series 50, Class 2, IO....... 78,188 15,786
5.00%, 5/25/19, Series 93-19, Class G......... 2,728,737 2,713,085
6.50%, 6/25/19, Series G93-19, Class K........ 810,997 813,337
0.00%, 10/25/19, Series 89-73, Class C, PO.... 460,076 442,988
5.36%, 10/25/19, Series 93-156, Class SD, IF*. 1,250,000 1,214,110
8.00%, 10/25/19, Series 89-70, Class G........ 2,000,000 2,075,642
8.50%, 11/25/19, Series 89-83, Class H........ 1,909,425 1,975,492
9.00%, 11/25/19, Series 89-89, Class H........ 2,224,516 2,362,853
9.40%, 11/25/19, Series 89-78, Class H........ 1,409,627 1,499,262
</TABLE>
Pegasus Funds
145
<PAGE>
Pegasus Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- -------------
<S> <C> <C>
8.80%, 1/25/20, Series 90-1, Class D.......... $ 1,724,827 $ 1,811,178
0.00%, 5/18/20, Series 97-40, Class PC, PO.... 3,504,889 3,191,828
5.50%, 6/25/20, Series 90-60, Class K......... 420,571 411,110
6.00%, 6/25/20, Series G93-13, Class G........ 1,382,088 1,381,100
9.50%, 6/25/20, Series 90-63, Class H......... 795,588 837,486
0.00%, 7/25/20, Series G93-23, Class A, PO.... 1,926,121 1,882,872
5.50%, 8/25/20, Series 90-93, Class G......... 844,498 825,982
6.50%, 8/25/20, Series 90-102, Class J........ 2,101,375 2,109,455
505.00%, 8/25/20, Series 90-94, Class H, HB... 17,733 174,292
1118.04%, 8/25/20, Series 90-95, Class J, HB.. 11,542 252,101
6.00%, 10/25/20, Series 92-204, Class B....... 4,040,954 4,037,539
9.00%, 10/25/20, Series 90-120, Class H....... 4,025,000 4,241,101
13.12%, 11/25/20, Series 90-134, Class SC,
IF*.......................................... 477,701 549,355
6.50%, 12/25/20, Series 97-85, Class L, IO.... 19,013,101 2,008,137
652.15%, 12/25/20, Series 90-140, Class K, HB. 13,088 201,393
2.94%, 1/25/21, Series 93-165, Class SX, IF*.. 1,029,960 979,640
908.50%, 2/25/21, Series 91-7, Class K, HB.... 3,337 55,435
5.00%, 3/25/21, Series 91-24, Class Z......... 2,266,772 2,189,849
8.50%, 6/25/21, Series 91-144, Class PZ....... 2,733,072 2,795,778
499.87%, 6/25/21, Series G-17, Class S, HB,
IF*.......................................... 65,319 774,606
7.50%, 9/25/21, Series 91-126, Class ZB....... 972,843 990,322
8.00%, 9/25/21, Series G92-31, Class W........ 2,502,011 2,587,635
0.00%, 10/25/21, Series 97-32, Class C, PO.... 4,400,000 4,186,539
6.50%, 2/25/09, Series 94-30, Class LA........ 562,668 565,525
7.00%, 10/25/21, Series 92-124, Class PJ...... 3,623,000 3,660,312
5.00%, 11/25/21, Series G92-66, Class JB...... 4,500,000 4,360,166
7.88%, 11/25/21, Series 92-215, Class PM...... 1,600,000 1,666,574
6.00%, 12/25/21, Series G92-59, Class C....... 1,994,705 1,990,486
6.46%, 1/25/22, Series 93-79, Class FE*....... 1,500,000 1,524,572
7.00%, 1/25/22, Series G92-15, Class Z........ 2,013,928 2,111,955
8.55%, 3/25/22, Series 93-189, Class SH, IF*.. 2,000,000 2,043,935
5.31%, 4/25/22, Series 92-143, Class FI, IF*.. 4,075,065 4,027,163
6272.33%, 5/25/22, Series G92-27, Class SQ,
HB, IF*...................................... 3,864 521,474
7.00%, 7/25/22, Series G92-42, Class Z........ 2,735,865 2,768,982
7.50%, 7/25/22, Series G92-35, Class E........ 9,000,000 9,475,642
1184.78%, 7/25/22, Series G92-35, Class G, IO. 17,362 459,666
6.50%, 8/25/22, Series 96-59, Class J......... 5,000,000 5,012,051
0.00%, 9/25/22, Series 97-70, Class PO, PO.... 5,000,000 3,840,889
5.50%, 9/25/22, Series 92-143, Class MA....... 3,500,000 3,372,184
7.75%, 9/25/22, Series 92-163, Class M........ 2,000,000 2,107,652
5.46%, 10/25/22, Series G92-59, Class F*...... 3,581,760 3,497,806
5.86%, 10/25/22, Series G92-61, Class FJ*..... 4,214,164 4,180,847
7.00%, 10/25/22, Series G92-61, Class Z....... 922,781 928,579
10.05%, 10/25/22, Series 92-201, Class SB,
IF*.......................................... 1,552,238 1,641,087
2.72%, 11/25/22, Series 93-38, Class S, IF,
IO*.......................................... 241,554 1,269
6.75%, 12/25/22, Series 93-46, Class O........ 1,263,082 1,266,240
8.94%, 12/25/22, Series X, Class VO, IF*...... 1,600,000 1,649,776
5.75%, 1/25/23, Series 93-247, Class AB....... 1,510,011 1,503,601
</TABLE>
Pegasus Funds
146
<PAGE>
Pegasus Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- -------------
<S> <C> <C>
7.90%, 1/25/23, Series G93-1, Class KA........ $ 2,400,000 $ 2,615,430
0.00%, 2/25/23, Series G93-12, Class C, PO.... 3,497,768 3,319,456
6.25%, 2/25/23, Series 93-12, Class S......... 2,618,625 80,863
6.50%, 2/25/23, Series 93-5, Class Z.......... 2,043,401 2,052,952
490.10%, 2/25/23, Series 93-12, Class SB, IF,
IO*.......................................... 18,495 85,190
6.00%, 3/25/23, Series 93-32, Class K......... 408,061 402,647
6.50%, 3/25/23, Series G93-14, Class J........ 1,484,000 1,498,089
7.70%, 3/25/23, Series 93-21, Class KA........ 1,850,000 1,975,187
7.50%, 4/1/23, Series 218, Class 2, IO........ 4,582,910 738,428
0.00%, 4/25/23, Series 98-4, Class C, PO...... 4,416,450 3,855,896
3.59%, 4/25/23, Series 93-44, Class S, IF,
IO*.......................................... 2,568,393 94,823
5.50%, 4/25/23, Series 93-58, Class J......... 359,149 354,302
6.50%, 5/25/23, Series 93-155, Class LA....... 959,433 962,014
6.75%, 5/25/23, Series 93-94, Class K......... 281,386 281,169
0.00%, 6/25/23, Series 93-257, Class C, PO.... 17,500,000 12,234,072
1.54%, 5/25/23, Series 94-82, Class SA, IF,
IO*.......................................... 17,996,841 452,586
5.76%, 6/25/23, Series 93-160, Class FE*...... 993,676 990,813
3.24%, 7/25/23, Series 93-113, Class S, IF,
IO*.......................................... 4,338,234 152,572
0.00%, 8/25/23, Series 93-152, Class D, PO.... 1,885 1,878
2.34%, 8/25/23, Series 94-36, Class SG, IF,
IO*.......................................... 7,651,123 181,599
2.84%, 8/25/23, Series G93-27, Class SE*...... 1,041,568 926,161
5.82%, 8/25/23, Series 93-139, Class SG, IF*.. 2,964,450 2,838,227
9.27%, 8/25/23, Series 93-113, Class SE, IF*.. 937,927 923,345
3.00%, 9/25/23, Series 93-193, Class B........ 5,607,264 5,390,339
3.34%, 9/25/23, Series 93-155, Class SB, IF,
IO*.......................................... 7,037,792 214,230
10.00%, 9/25/23, Series 93-187, Class SA, IF*. 749,111 754,730
5.76%, 10/25/23, Series 93-198, Class FA*..... 891,235 888,582
6.21%, 10/25/23, Series 93-199, Class FA*..... 8,000,000 8,093,537
0.00%, 11/25/23, Series 94-8, Class G, PO..... 1,860,424 1,727,108
4.05%, 11/25/23, Series 93-207, Class SC, IF*. 3,020,124 2,848,742
5.70%, 11/25/23, Series 97-20, Class SA, IF*.. 3,054,459 2,705,889
10.00%, 11/25/23, Series 93-206, Class SD,
IF*.......................................... 1,250,000 1,195,863
0.00%, 12/25/23, Series 97-24, Class PQ, PO... 6,842,268 5,837,925
6.26%, 12/25/23, Series 93-230, Class FA*..... 4,305,229 4,291,527
5.96%, 12/25/23, Series 93-223, Class FB*..... 6,897,693 6,885,821
6.75%, 12/25/23, Series 94-55, Class G........ 3,000,000 3,043,100
7.90%, 12/25/23, Series 93-223, Class SB, IF*. 2,987,932 2,980,702
7.00%, 1/1/24, Pool #50966.................... 1,434,247 1,466,346
5.00%, 1/25/24, Series 94-19, Class C......... 454,568 452,707
6.06%, 3/25/24, Series 94-39, Class F*........ 901,928 901,545
7.65%, 3/25/24, Series 94-39, Class S, IF*.... 346,895 349,582
6.16%, 4/25/24, Series 94-76, Class FA*....... 247,833 248,185
10.00%, 4/25/24, Series 94-63, Class T, IF*... 799,901 762,760
7.00%, 11/17/24, Series G94-13, Class ZB...... 2,620,077 2,621,702
8.80%, 1/25/25, Series G95-1, Class C......... 1,597,702 1,819,427
9.00%, 4/1/26, Pool #446278................... 1,847,307 1,967,535
7.50%, 8/18/26, Series 97-29, Class PL, IO.... 7,875,000 1,628,278
7.50%, 3/18/27, Series 97-22, Class PI, IO.... 7,500,000 1,184,108
</TABLE>
Pegasus Funds
147
<PAGE>
Pegasus Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- -------------
<S> <C> <C>
1.84%, 3/25/27, Series 97-20, Class IO, IO*... $41,981,685 $ 1,540,929
7.50%, 4/18/27, Series 97-27, Class J......... 1,965,843 2,046,614
7.50%, 4/20/27, Series 97-29, Class J......... 5,500,000 5,693,251
7.50%, 5/20/27, Series 97-39, Class PD........ 8,000,000 8,364,327
6.13%, 9/1/27, Pool #54844*................... 4,277,234 4,302,481
7.00%, 11/18/27, Series 97-81, Class PI, IO... 23,862,480 3,525,040
9.50%, 07/01/28, Pool # 457268................ 2,937,695 3,152,243
6.12%, 3/1/29, Pool #303532*.................. 4,436,715 4,463,292
-------------
358,751,982
-------------
Government National Mortgage Assoc. -- 9.1%
8.50%, 7/15/08, Pool #023594.................. 264,737 283,179
7.00%, 8/16/13, Series 96-22, Class VB........ 2,000,000 2,073,337
9.00%, 12/15/16, Pool #190923................. 247,547 266,900
0.00%, 5/20/17, Series 1, Class A............. 143,056 130,155
3.04%, 12/16/20, Series 96-26, Class S, IF,
IO*.......................................... 15,267,826 382,283
9.00%, 11/20/21, Series 96-15, Class OB....... 4,528,250 4,583,989
8.00%, 9/15/22, Pool #297628.................. 1,904,918 1,985,794
2.94%, 10/16/22, Series 94-4, Class SA, IF,
IO*.......................................... 4,831,568 198,427
7.50%, 11/15/22, Pool #313110................. 1,510,726 1,559,505
7.50%, 3/15/23, Pool #345288.................. 461,800 476,684
7.49%, 7/16/24, Series 94-3, Class PQ......... 8,000,000 8,506,220
7.99%, 7/16/24, Series 94-4, Class KQ......... 7,000,000 7,509,235
8.50%, 5/20/25, Pool #2006.................... 8,529,202 9,034,575
7.50%, 9/17/25, Series 98-26, Class K......... 5,000,000 5,195,971
8.00%, 12/20/25, Pool #2141................... 777,914 804,726
7.50%, 4/18/26, Series 97-8, Class PD......... 4,000,000 4,147,602
8.00%, 6/20/26, Pool #2334.................... 2,205,293 2,281,056
7.50%, 8/16/26, Series 96-16, Class E......... 11,000,000 11,572,073
8.00%, 8/20/26, Pool #2270.................... 1,808,291 1,870,415
8.00%, 9/20/26, Pool #2285.................... 2,063,973 2,134,881
8.00%, 11/20/26, Pool #2324................... 2,391,144 2,473,292
7.50%, 5/16/27, Series 97-8, Class PN......... 12,272,000 12,791,727
7.50%, 7/20/27, Series 97-11, Class D......... 6,100,000 6,295,293
8.00%, 10/20/27, Pool #2499................... 4,285,811 4,436,434
8.00%, 11/20/27, Pool #2512................... 4,066,505 4,209,421
8.00%, 12/20/27, Pool #2525................... 2,649,251 2,742,358
7.50%, 2/20/28, Pool #2549.................... 6,281,653 6,449,339
8.00%, 5/15/28, Pool # 476291................. 1,457,155 1,515,598
8.00%, 5/15/98, Pool #456883.................. 937,638 975,244
8.00%, 5/15/28, Pool #460372.................. 1,541,812 1,603,650
7.50%, 7/15/28, Pool #481872.................. 2,148,065 2,217,436
8.00%, 7/15/28, Pool #468066.................. 1,720,576 1,789,583
8.50%, 8/15/28, Pool #468149.................. 2,992,205 3,112,214
7.50%, 9/15/28, Pool #486537.................. 5,693,959 5,877,843
7.50%, 9/20/28, Pool #2646.................... 13,594,347 13,957,243
8.00%, 9/20/28, Pool #2647.................... 2,428,235 2,513,483
-------------
120,383,023
-------------
</TABLE>
Pegasus Funds
148
<PAGE>
Pegasus Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- -------------
<S> <C> <C>
TOTAL U.S. GOVERNMENT AGENCY MORTGAGES.......... $ 786,378,686
-------------
U.S. GOVERNMENT AGENCY SECURITIES -- 0.1%
Other U.S. Agencies -- 0.1%
Federal Housing Administration, Merrill Lynch
Project, 7.43%, 8/1/20....................... $ 1,227,541 1,206,059
-------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES......... 1,206,059
-------------
U.S. TREASURY OBLIGATIONS -- 32.7%
U.S. Treasury Bonds -- 24.4%
10.75%, 5/15/03............................... 1,000,000 1,234,060
11.13%, 8/15/03............................... 3,500,000 4,417,105
11.63%, 11/15/04.............................. 5,000,000 6,734,350
10.38%, 11/15/09.............................. 16,330,000 20,876,893
11.75%, 2/15/10............................... 800,000 1,088,250
12.75%, 11/15/10.............................. 159,270,000 231,339,676
10.38%, 11/15/12.............................. 38,815,000 53,552,667
12.50%, 8/15/14............................... 1,300,000 2,088,333
9.88%, 11/15/15............................... 1,000,000 1,504,060
7.50%, 11/15/16............................... 7,395,000 9,185,995
8.75%, 5/15/17................................ 9,945,000 13,834,390
7.88%, 2/15/21................................ 2,500,000 3,287,900
3.63%, 4/15/28................................ 18,149,997 17,690,584
-------------
366,834,263
-------------
U.S. Treasury Inflation Protected Bonds -- 1.1%
3.63%, 7/15/02................................ 10,495,283 10,416,568
3.38%, 1/15/07................................ 7,141,976 6,903,148
-------------
17,319,716
-------------
U.S. Treasury Notes -- 0.8%
7.50%, 11/15/01............................... 6,800,000 7,312,108
5.75%, 8/15/03................................ 1,250,000 1,305,275
3.63%, 1/15/08................................ 4,060,240 3,982,852
-------------
12,600,235
-------------
U.S. Treasury STRIPS -- 6.4%
2/15/01....................................... 2,450,000 2,224,478
2/15/11....................................... 12,025,000 6,418,584
5/15/11....................................... 9,338,000 4,903,010
11/15/11...................................... 8,900,000 4,527,252
2/15/12....................................... 9,555,000 4,784,189
2/15/13....................................... 14,200,000 6,670,876
5/15/13....................................... 10,594,000 4,900,954
8/15/13....................................... 3,500,000 1,592,850
2/15/14....................................... 40,000,000 17,655,199
11/15/14...................................... 2,000,000 1,142,740
2/15/15....................................... 2,000,000 830,380
5/15/17....................................... 10,420,000 3,786,315
</TABLE>
Pegasus Funds
149
<PAGE>
Pegasus Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Principal Amount Market Value
---------------- ------------
<S> <C> <C>
8/15/17...................................... $33,315,000 $ 11,938,430
5/15/18...................................... 26,820,000 9,187,996
11/15/18..................................... 49,840,000 16,560,337
--------------
97,123,590
--------------
TOTAL U.S. TREASURY OBLIGATIONS ............... 493,877,804
--------------
REPURCHASE AGREEMENTS -- 0.9%
State Street Bank, 4.40%, 1/4/99,
(Collateralized by $4,225,000 U.S. Treasury
Notes, 1/31/99, 5.88%, market value
$4,331,000 and $7,265,000 U.S. Treasury
Bonds, 2/15/20, 8.50%, market value
$10,286,000)................................ 14,326,000 14,326,000
--------------
TOTAL REPURCHASE AGREEMENTS.................... 14,326,000
--------------
TOTAL -- 99.5%................................. $1,505,571,899
==============
(Cost $1,429,360,928)
</TABLE>
Percentages indicated are based on net assets of $1,512,580,420.
* The interest rate for these bonds changes periodically based on an
underlying benchmark (ie PRIME, LIBOR, etc). The rate reflected in the
Schedule of Portfolio Investments is the rate in effect as of December 31,
1998.
(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:
Collateralized Mortgage Obligations (CMO) 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.
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) represents the right to receive the monthly interest
payment on an underlying pool of mortgage loans. The face amount shown
represents the par value on the underlying pool. The yields on these
securities are generally higher than prevailing market yields on other
mortgage-backed securities because their cash flow patterns are more
volatile and there is a greater risk that the initial investment will not
be fully recouped. These securities are subject to accelerated principal
paydowns as a result of prepayment 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) 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.
(c) Security Exempt from registration under rule 144A of the Securities Act of
1993. 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 Carrying Value of Total
Holding Date* Par Per Unit Original Cost Market Value Investments
------- ----------- ---------- -------------- ------------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
Case Corp. 12/2/98 $4,000,000 $99.96 $3,985,040 $3,998,368 0.27%
</TABLE>
* Acquisition date refers to the first acquisition date in the case of
securities purchased in multiple lots.
Pegasus Funds
150
<PAGE>
Pegasus Short Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
ASSET BACKED SECURITIES -- 23.9%
Arcadia Automobile Receivables Trust, Series
97-B, Class A3, 6.30%, 7/16/01................ $ 431,285 $ 433,422
Arcadia Automobile Receivables Trust, Series
97-B, Class A4, 6.50%, 6/17/02................ 700,000 711,568
Arcadia Automobile Receivables Trust, Series
97-C, Class A4, 6.38%, 1/15/03................ 110,000 112,301
Arcadia Automobile Receivables Trust, Series
98-A, Class A4, 6.00%, 11/15/03............... 1,000,000 1,006,455
Arcadia Automobile Receivables Trust, Series
97-C, Class A5, 6.55%, 6/15/05................ 1,750,000 1,804,145
BA Mortgage Securities Inc., Series 98-2, Class
1A10, 6.60%, 6/25/28.......................... 1,600,000 1,606,792
Case Equipment Loan Trust, Series 95-A, Class
A, 7.30%, 3/15/02............................. 88,802 88,938
Case Equipment Loan Trust, Series 95-B, Class
A3, 6.15%, 9/15/02............................ 20,229 20,264
Case Equipment Loan Trust, Series 98-B, Class
A3, 5.81%, 5/15/03............................ 745,000 751,336
Case Equipment Loan Trust, Series 96-B, Class
A3, 6.65%, 9/15/03............................ 284,088 286,576
Chase Credit Card Trust, Series 97-2, Class A,
6.30%, 4/15/03................................ 1,930,000 1,963,071
Chase Manhattan Auto Owner Trust, Series 97-B,
Class A3, 6.35%, 2/15/01...................... 890,000 897,587
Chase Manhattan Auto Owner Trust, Series 97-A,
Class A5, 6.50%, 12/17/01..................... 375,000 384,178
Chevy Chase Auto Receivables Trust, Series 97-
3, Class A, 6.20%, 3/20/04.................... 1,182,184 1,193,752
Chevy Chase Auto Receivables Trust, Series 98-
2, ClassA, 5.91%, 4/15/00..................... 1,705,655 1,731,529
Citicorp Mortgage Securities, Inc., Series 94-
9, Class A3, 5.75%, 6/25/09................... 2,040,000 2,038,297
Citicorp Mortgage Securities, Inc., Series 89-
16, Class A-1, 5.82%, 4/1/19.................. 249,291 248,512
Collateralized Mortgage Obligation Trust,
Series 12, Class D, 9.50%, 2/1/17............. 184,987 183,241
Collateralized Mortgage Securities Corp.,
Series 88-2, Class B, 8.80%, 4/20/19.......... 211,208 221,211
Contimortgage Home Equity Loan Trust, Series
95-2, Class 4A, 8.05%, 7/15/02................ 3,881,129 3,948,602
Contimortgage Home Equity Loan Trust, Series
96-4 Class A6, 6.71%, 6/15/14................. 650,000 661,092
CPS Auto Trust, Series 98-3, Class A4, 6.08%,
10/15/03...................................... 1,000,000 1,024,445
Discover Card Master Trust, Series 93-2, Class
A, 5.40%, 11/16/01............................ 295,833 296,202
Discover Card Master Trust, Series 98-2, Class
A, 5.80%, 9/16/03............................. 1,875,000 1,889,063
Discover Card Master Trust I, Series 95-2,
Class A, 6.55%, 2/18/03....................... 1,550,000 1,580,744
Discover Card Trust, Series 93-B, Class A,
6.75%, 2/16/02................................ 1,000,000 1,013,825
First Security Auto Grantor Trust, Series 98A,
Class A, 5.97%, 4/15/04....................... 706,447 712,307
Ford Credit Auto Owner Trust, Series 96-A,
Class A4, 6.75%, 9/15/00...................... 586,585 591,674
Ford Credit Auto Owner Trust, Series 96-B,
Class A4, 6.30%, 1/15/01...................... 1,374,000 1,387,032
Ford Credit Auto Owner Trust, Series 97-B,
Class A3, 6.05%, 4/15/01...................... 200,000 201,427
Ford Credit Auto Owner Trust, Series 98, Class
A3, 5.65%, 10/15/01........................... 380,000 381,986
Ford Credit Auto Owner Trust, Series 98-C,
Class A4, 5.81%, 3/15/02...................... 1,000,000 1,009,235
Greentree Collateralized Mortgage Obligations,
Series 1997-3, Class A2, 6.49%, 7/15/28....... 1,323,317 1,324,971
Key Auto Finance Trust, Series 97-1, Class A1,
5.85%, 3/15/03................................ 53,315 53,386
Key Auto Finance Trust, Series 97-1, Class A3,
6.15%, 3/15/04................................ 2,000,000 2,023,990
MBNA Master Credit Card Trust, Series 93-3,
Class A, 5.40%, 9/15/00....................... 197,500 197,282
Merrill Lynch Home Equity Loan, Series 92-1,
Class A, 5.82%, 7/15/22....................... 219,523 219,515
Morgan Stanley Mortgage Trust, 0.00%, 11/20/21. 49,426 42,033
Nationsbank Auto Grantor Trust, Series 95-A,
Class A, 5.85%, 6/15/02....................... 176,402 177,139
Navistar Financial Corp. Owner Trust, Series
95-A, Class A2, 6.55%, 11/20/01............... 459,385 459,527
Navistar Financial Corp. Owner Trust, Series
1997-A, Class A3, 6.75%, 3/15/02.............. 500,000 507,938
</TABLE>
Pegasus Funds
151
<PAGE>
Pegasus Short Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Neiman Marcus Group Credit Card Master Trust,
Series 1996-C, Class A4, 6.80%, 3/15/02....... $ 125,000 $ 128,653
Newcourt Receivables Asset Trust, Series 97-
1,Class A2, 6.04%, 6/20/00.................... 117,971 118,653
Olympic Automobile Receivables Trust, Series
95-D, Class A4, 6.05%, 11/15/00............... 376,130 377,046
Olympic Automobile Receivables Trust, Series
96-D, Class A3, 5.95%, 6/15/01................ 601,774 603,510
Olympic Automobile Receivables Trust, Series
95-C, Class A2, 6.20%, 1/15/02................ 532,300 535,257
Olympic Automobile Receivables Trust, Series
96-B, Class A4, 6.70%, 3/15/02................ 2,148,321 2,173,295
Olympic Automobile Receivables Trust, Series
96-C, Class A4, 6.80%, 3/15/02................ 2,750,000 2,789,806
Olympic Automobile Receivables Trust, Series
96-D, Class A4, 6.05%, 8/15/02................ 500,000 504,468
Olympic Automobile Receivables Trust, Series
97-A, Class A4, 6.63%, 12/15/02............... 1,435,000 1,462,315
Olympic Automobile Receivables Trust, Series
96-C, Class A5, 7.00%, 3/15/04................ 1,150,000 1,185,520
Onyx Acceptance Grantor Trust, Series 98-B,
Class A2, 5.85%, 7/15/03...................... 3,000,000 3,038,025
Onyx Acceptance Grantor Trust, Series 97-3,
Class A, 6.35%, 1/15/04....................... 1,173,939 1,188,408
Onyx Acceptance Grantor Trust, Series 97-3
Class A, 6.30%, 5/15/04....................... 298,392 300,722
Paine Webber Trust, Series J, Class 3, 8.80%,
5/1/18........................................ 126,946 131,627
Paine Webber Trust, Series L, Class 4, 8.95%,
7/1/18........................................ 316,786 334,143
PNC Mortgage Securities Corp., Series 98-
5,Class 2A11, 6.30%, 7/25/28.................. 2,000,000 2,007,250
Premier Auto Trust, Series 97-2, Class A3,
6.13%, 9/6/00................................. 445,000 447,423
Premier Auto Trust, Series 96-4, Class A3,
6.20%, 11/6/00................................ 410,984 412,350
Premier Auto Trust, Series 97-1, Class A3,
6.25%, 8/6/01................................. 1,090,000 1,097,396
Premier Auto Trust, Series 96-4, Class A4,
6.40%, 10/6/01................................ 540,000 546,056
Ryland Acceptance Corp., Series 78, Class 78-B,
9.55%, 3/1/16................................. 37,450 37,511
Sears Credit Account Master Trust, Series 96-1,
Class A, 6.20%, 2/16/06....................... 2,000,000 2,040,090
Sears Credit Account Master Trust, 6.45%,
10/16/06...................................... 2,000,000 2,046,530
Sears Credit Account Master Trust, 1996-2A,
6.50%, 10/15/03............................... 440,000 442,906
Standard Credit Card Master Trust, Series 93-3,
Class A, 5.50%, 2/7/00........................ 2,110,000 2,111,466
Standard Credit Card Master Trust, Series 95-
10, Class A, 5.90%, 2/7/01.................... 450,000 450,592
Union Acceptance Corp., Series 1997-D, Class
A3, 6.26%, 2/8/02............................. 2,550,000 2,574,263
Union Acceptance Corp., Series 1997-B, Class
A2, 6.70%, 6/8/03............................. 950,000 966,459
Union Acceptance Corp., Series 1997-A, Class
A2, 6.38%, 10/08/03........................... 1,422,000 1,432,971
United States Dept. of Veterans Affairs, Series
94-3A, Class 1H, 6.50%, 12/15/01.............. 500,000 506,100
WFS Financial Owner Trust, Series 95-2, Class
A1, 7.10%, 7/1/00............................. 486,327 489,549
WFS Financial Owner Trust, Series 96-B, Class
A3, 6.65%, 8/20/00............................ 87,504 87,758
WFS Financial Owner Trust, Series 97-D, Class
A2, 6.20%, 9/20/00............................ 358,790 359,575
WFS Financial Owner Trust, Series 96-D, Class
A3, 6.05%, 7/20/01............................ 486,153 489,328
WFS Financial Owner Trust, Series 97-B, Class
A3, 6.30%, 7/20/01............................ 275,000 280,242
WFS Financial Owner Trust, Series 97-A, Class
A3, 6.50%, 9/20/01............................ 577,026 583,503
WFS Financial Owner Trust, Series 97-C, Class
A3, 6.10%, 3/20/02............................ 391,156 394,475
WFS Financial Owner Trust, Series 97-D, Class
A3, 6.25%, 3/20/02............................ 1,200,000 1,210,170
WFS Financial Owner Trust, Series 97-B, Class
A4, 6.40%, 7/20/02............................ 1,650,000 1,683,091
WFS Financial Owner Trust, Series 97, Class A4,
6.25%, 3/20/03................................ 600,000 609,522
WFS Financial Owner Trust, Series 98-B, Class
A4, 6.05%, 4/20/03............................ 1,000,000 1,018,040
WFS Financial Owner Trust, A, Series 96-B,
Class A4, 6.95%, 11/20/03..................... 2,955,000 2,998,808
</TABLE>
Pegasus Funds
152
<PAGE>
Pegasus Short Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
WFS Financial Owner Trust, Series 96-C, Class
A4, 6.80%, 12/20/03........................... $ 4,000,000 $ 4,060,979
World Omni Automobile Lease Secured Trust,
Series 97-A, Class A4, 6.90%, 6/25/03......... 114,506 116,474
World Omni Automobile Lease Secured Trust,
Series 97-B, Class A1, 6.07%, 11/25/03........ 648,653 649,464
World Omni Automobile Lease Secured Trust,
Series 97-B, Class A-4, 6.20%, 11/25/03....... 125,930 127,443
------------
TOTAL ASSET BACKED SECURITIES.................... 82,535,822
------------
CORPORATE BONDS -- 14.3%
Banking -- 0.5%
Norwest Financial, Inc., 7.88%, 2/15/02........ 265,000 282,859
Republic N Y Corp., 9.75%, 12/1/00............. 1,290,000 1,381,621
------------
1,664,480
Financial Services -- 12.6%
American Express Credit Corp., 7.38%, 2/1/99... 295,000 295,345
American General Finance Corp., 8.00%, 2/15/00. 500,000 513,218
Associates Corp. of North America, 5.49%,
1/28/99....................................... 270,000 269,967
Associates Corp. of North America, 8.25%,
12/1/99....................................... 3,240,000 3,323,199
Associates Corp. of North America, 8.50%,
1/10/00....................................... 1,025,000 1,057,116
Associates Corp. of North America, 6.00%,
3/15/00....................................... 1,120,000 1,127,678
Associates Corp. of North America, 5.25%,
3/30/00....................................... 3,054,000 3,050,137
Associates Corp. of North America, 9.13%,
4/1/00........................................ 3,204,000 3,344,744
Associates Corp. of North America, 5.50%,
2/07/00....................................... 350,000 352,909
Associates Corp. of North America, 6.25%,
9/15/00....................................... 1,090,000 1,104,506
Associates Corp. of North America, 6.63%,
5/15/01....................................... 1,015,000 1,040,978
Associates Corp. of North America, 7.55%,
8/23/01....................................... 250,000 263,247
Associates Corp. of North America, 7.48%,
7/27/02....................................... 300,000 319,483
Associates Corp. of North America, 5.75%,
11/1/03....................................... 1,800,000 1,814,746
Beneficial Corporation, 7.35%, 11/26/99........ 200,000 202,807
Du Pont (E I) De Nemours & Co., 9.15%, 4/15/00. 825,000 866,732
Ford Capital B V, 9.38%, 5/15/01............... 313,000 339,168
Ford Credit Corp., 9.00%, 9/15/01.............. 1,402,000 1,526,219
Ford Holdings Inc., 9.25%, 3/1/00.............. 5,357,000 5,574,081
Ford Motor Credit Corp., 7.47%, 7/29/99........ 1,200,000 1,214,166
Ford Motor Credit Corp., 7.75%, 10/1/99........ 456,000 463,574
Ford Motor Credit Corp., 7.59%, 4/6/00......... 300,000 308,037
Ford Motor Credit Corp., 9.50%, 4/15/00........ 1,415,000 1,485,681
Ford Motor Credit Corp., 8.20%, 2/15/02........ 950,000 1,020,491
Ford Motor Credit Corp., 8.00%, 6/15/02........ 219,000 235,474
General Electric, 7.35%, 2/9/99................ 300,000 300,519
General Motors Acceptance Corp., 7.13%, 6/1/99. 607,000 611,013
General Motors Acceptance Corp., 8.63%,
1/10/00....................................... 525,000 541,514
General Motors Acceptance Corp., 9.38%, 4/1/00. 640,000 670,548
General Motors Acceptance Corp., 9.63%,
5/15/00....................................... 856,000 903,559
General Motors Acceptance Corp., 9.63%,
12/1/00....................................... 250,000 269,249
General Motors Acceptance Corp., 5.75%,
11/10/03...................................... 500,000 502,618
Goldman Sachs Group, Private Placement Note
144A, 6.88%, 9/15/99.......................... 1,275,000 1,285,220
</TABLE>
Pegasus Funds
153
<PAGE>
Pegasus Short Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Goldman Sachs Group, Private Placement Note
144A, 6.20%, 2/15/01.......................... $ 1,500,000 $ 1,511,930
Grand Metropolitan Investment Corp., 6.50%,
9/15/99....................................... 155,000 156,146
Lehman Brothers Holdings, Inc., 8.38%, 2/15/99. 829,000 830,879
Lehman Brothers Holdings, Inc., 10.00%,
5/15/99....................................... 1,790,000 1,815,294
Lehman Brothers Holdings, Inc., 7.11%, 9/27/99. 1,063,000 1,070,254
Lehman Brothers Holdings, Inc., 6.33%, 8/01/00. 360,000 360,246
Sears Roebuck Acceptance Corp., 6.73%, 8/29/00. 500,000 509,631
Wachovia Corporation, 7.00%, 12/15/99.......... 465,000 472,059
Wells Fargo Co., 6.00%, 3/15/00................ 280,000 281,984
------------
43,206,366
------------
Industrial Goods & Services -- 1.2%
Case Corp., 6.25%, 12/1/03..................... 3,000,000 2,998,776
Sears Roebuck & Co., 9.50%, 6/1/99............. 649,000 659,143
Texaco Capital, Inc., 9.00%, 12/15/99.......... 600,000 620,834
------------
4,278,753
------------
TOTAL CORPORATE BONDS............................ 49,149,599
------------
FOREIGN BONDS -- 0.3%
Banking -- 0.2%
International Bank For Reconstruction &
Development, 9.25%, 10/12/00.................. 500,000 535,995
Industrial Goods & Services -- 0.1%
Hydro Quebec, 9.40%, 3/23/00................... 375,000 392,616
------------
TOTAL FOREIGN BONDS.............................. 928,611
------------
REPURCHASE AGREEMENTS -- 1.5%
State Street, 4.40%, 1/4/99 (Collateralized by
$3,625,000 U.S. Treasury Bills, 8.88%,
2/15/20, market value $5,132,206)............. 5,026,000 5,026,000
------------
TOTAL REPURCHASE AGREEMENTS...................... 5,026,000
------------
U.S. GOVERNMENT AGENCY MORTGAGES -- 16.7%
Federal Home Loan Mortgage Corp. -- 6.3%
6.00%, 6/26/00................................. 430,000 437,387
6.00%, 11/15/05, Series 1698, Class PE......... 250,000 251,374
9.00%, 1/1/06, Series 1807, Class G............ 431,052 453,144
5.75%, 7/15/06, Series 1490, Class PE.......... 152,826 152,635
5.25%, 9/15/06, Series 1679, Class A........... 596,739 593,298
6.26%, 6/15/07, Series 1561, Class EA.......... 500,000 506,335
7.00%, 7/15/07, Series 1555, Class PK.......... 2,500,000 2,539,849
5.75%, 1/15/08, Series1606, Class G............ 260,000 260,714
6.25%, 6/15/08, Series 1544, Class E........... 175,369 176,565
6.50%, 10/15/08, Series 1655, Class HB......... 575,000 591,457
6.35%, 3/15/11, Series 1995, Class PK.......... 2,342,769 2,354,120
5.75%, 5/15/16, Series 1681, Class PD.......... 87,606 87,520
5.75%, 11/15/16, Series 1671, Class D.......... 118,471 118,367
6.00%, 11/15/16, Series 1560, Class X.......... 794,603 797,078
</TABLE>
Pegasus Funds
154
<PAGE>
Pegasus Short Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
4.00%, 12/15/16, Series 1541, Class EA.......... $ 820,097 $ 811,186
6.00%, 12/15/16, Series 1541, Class E........... 410,048 411,116
6.50%, 4/15/18, Series 1727, Class E............ 1,000,000 1,008,901
6.65%, 5/15/18, Series 1477, Class F............ 300,000 302,804
6.00%, 1/15/19, Series 1585, Class F............ 900,000 904,100
6.00%, 1/15/19, Series 1706, Class E............ 283,000 284,133
5.80%, 2/15/19, Series 1614, Class G............ 980,482 982,527
9.30%, 3/15/19, Series 2, Class Z............... 584,306 621,920
4.00%, 3/25/19, Series 10, Class F.............. 1,000,000 987,480
9.50%, 4/15/19, Series 11, Class 11-C........... 84,660 85,485
6.00%, 6/15/19, Series 1552, Class F............ 553,000 553,069
9.25%, 11/15/19, Series 12, Class A............. 422,716 443,639
6.25%, 2/15/20, Series 1559, Class VF........... 500,000 504,107
9.50%, 2/15/20, Series 26, Class F.............. 778,977 827,418
7.95%, 5/15/20, Series 1046, Class G............ 622,281 625,041
0.00%, 7/15/20, Series 1570, Class D, PO........ 107,352 103,202
8.75%, 7/15/20, Series 1019, Class E............ 321,001 323,434
8.13%, 11/15/20, Series 81, Class A............. 189,442 195,215
8.60%, 1/15/21, Series 85, Class C.............. 592,432 622,213
9.50%, 1/15/21, Series 99, Class Z.............. 879,958 938,205
1066.21%, 2/15/21, Series 1045, Class G......... 1,149 21,043
4.50%, 9/15/21, Series 159, Class H............. 125,000 121,606
5.39%, 11/15/22, Series 1424, Class F........... 870,990 857,132
------------
21,854,819
------------
Federal National Mortgage Assoc. -- 7.1%
671.4%, 1/25/99, Series 92-13, Class S, IF...... 227 283
0.00%, 8/15/99.................................. 5,300,000 5,141,847
6.00%, 1/25/02, Series 1994-23, Class PJ........ 425,022 426,575
6.78%, 1/17/03, Series 97-MI, Class A........... 289,968 298,614
9.00%, 8/25/06, Series 1991-41, Class 0......... 111,426 112,054
6.50%, 12/25/06, Series 1993-107, Class D....... 1,900,000 1,934,066
6.00%, 1/25/07, Series 1993-86, Class E......... 956,882 959,136
6.00%, 2/25/07, Series 1994-17, Class E......... 388,164 389,932
6.25%, 4/25/07, Series 1993-93, Class E......... 175,000 176,820
5.50%, 11/25/07, Series 1994-33 Class E......... 125,000 124,861
6.50%, 9/1/13, Pool #251982..................... 1,941,021 1,971,366
5.90%, 7/25/15, Series G93-26, Class PE......... 356,365 356,527
6.00%, 10/25/16, Series 1993-127, Class E....... 347,060 347,395
5.75%, 11/25/16, Series 1993-187, Class E....... 487,503 487,099
5.65%, 5/25/17, Series 1993-206, Class E........ 655,689 655,155
9.40%, 10/25/17, Series 88-17, Class B.......... 1,426 1,422
9.25%, 4/25/18, Series 88-7, Class Z............ 395,735 414,230
9.30%, 5/25/18, Series 1988-13, Class C......... 623,589 653,298
9.00%, 6/25/18, Series 1988-15, Class A......... 515,672 550,318
9.50%, 6/25/18, Series 1988-16, Class B......... 482,459 519,159
5.45%, 10/25/18, Series 1993-225, Class TE...... 300,000 299,219
6.13%, 1/1/19, Pool #70226...................... 470,716 464,244
5.50%, 2/25/19, Series 1994-15, Class E......... 786,000 784,298
</TABLE>
Pegasus Funds
155
<PAGE>
Pegasus Short Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
6.97%, 3/1/19, Pool #116612.................... $ 1,117,799 $ 1,136,097
9.00%, 7/25/19, Series 1990-77, Class C........ 84,115 85,329
7.84%, 8/1/19, Pool #111366.................... 254,588 265,232
0.00%, 10/25/19, Series 89-73, Class C, PO..... 75,114 72,325
9.00%, 11/25/19, Series 89-89, Class H......... 926,882 984,522
6.50%, 2/25/20, Series 1994-36, Class GA....... 500,000 506,467
0.00%, 10/25/21, Series 97-32, Class C, PO..... 700,000 666,040
9.00%, 12/25/21,Series 268, Class 2, IO........ 125,877 24,235
9.50%, 7/1/28, Pool # 457268................... 2,000,000 2,146,064
10.00%, 2/1/24, Pool #479469................... 1,000,000 1,085,960
------------
24,040,189
------------
Government National Mortgage Assoc. -- 3.3%
8.00%, 10/15/07, Pool #20981................... 58,342 61,202
8.00%, 10/15/07, Pool #18954................... 85,467 89,657
8.00%, 12/15/07, Pool # 020290XSF.............. 42,225 44,295
8.00%, 12/15/07, Pool #19083................... 131,203 137,635
12.00%, 11/15/19, Pool #780149................. 1,027,506 1,168,943
6.00%, 1/16/20, Series 1997-13, Class PA....... 2,454,708 2,456,586
8.50%, 3/20/25, Pool #1974..................... 1,388,307 1,470,567
8.00%, 9/20/26, Pool #2285..................... 2,270,370 2,348,369
8.00%, 10/20/27, Pool #2499.................... 714,302 739,406
8.00%, 6/15/28, Pool #444095................... 545,459 567,336
8.00%, 8/15/28, Pool #472198................... 497,791 517,756
7.50%, 9/20/28, Pool #2646..................... 1,894,080 1,944,642
------------
11,546,394
------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGES........... 57,441,402
------------
U.S. GOVERNMENT AGENCY SECURITIES -- 3.0%
Federal Home Loan Bank, 5.59%, 1/13/03......... 5,000,000 5,077,350
Tennessee Valley Authority, Series D, 8.38%,
10/1/99....................................... 5,287,000 5,423,399
------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES.......... 10,500,749
------------
U.S. TREASURY OBLIGATIONS -- 40.7%
U.S. Treasury Inflation Protected Bonds -- 0.3%
3.63%, 7/15/02................................. 1,023,930 1,016,251
------------
U.S. Treasury Notes -- 40.4%
6.625%, 4/30/02................................ 4,000,000 4,237,500
8.88%, 2/15/99................................. 593,000 595,965
6.75%, 5/31/99................................. 2,200,000 2,217,864
6.88%, 7/31/99................................. 1,050,000 1,063,454
6.88%, 8/31/99................................. 2,000,000 2,028,120
7.50%, 10/31/99................................ 5,705,000 5,832,450
7.88%, 11/15/99................................ 1,000,000 1,027,188
7.75%, 11/30/99................................ 10,100,000 10,374,618
7.75%, 12/31/99................................ 1,000,000 1,029,840
5.38%, 1/31/00................................. 700,000 705,688
</TABLE>
Pegasus Funds
156
<PAGE>
Pegasus Short Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principle Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
7.75%, 1/31/00................................. $9,600,000 $ 9,904,512
8.50%, 2/15/00................................. 960,000 999,600
7.13%, 2/29/00................................. 8,000,000 8,214,960
6.88%, 3/31/00................................. 1,000,000 1,026,090
6.75%, 4/30/00................................. 2,700,000 2,770,875
6.25%, 5/31/00................................. 3,000,000 3,064,230
6.25%, 4/30/01................................. 29,000,000 30,019,639
6.50%, 5/31/01................................. 5,500,000 5,730,313
7.88%, 8/15/01................................. 4,400,000 4,743,728
6.25%, 10/31/01................................ 7,500,000 7,814,025
7.50%, 11/15/01................................ 20,325,000 21,855,674
5.88%, 11/30/01................................ 2,000,000 2,066,876
6.25%, 1/31/02................................. 500,000 522,188
6.25%, 2/28/02................................. 6,600,000 6,899,066
6.63%, 3/31/02................................. 500,000 528,515
6.50%, 5/31/02................................. 500,000 528,125
6.38%, 8/15/02................................. 3,500,000 3,691,940
------------
139,493,043
------------
TOTAL U.S. TREASURY OBLIGATIONS.................. 140,509,294
------------
TOTAL
(Cost $342,480,755) -- 100.4%................... $346,091,477
============
</TABLE>
Percentages indicated are based on net assets of $344,701,820.
<TABLE>
<C> <S>
AMBAC Insured by AMBAC Indemnity Corp.
FGIC Insured by Federal Guarantee Insurance Corp.
FSA Insured by Federal Security Assurance
LOC Letter of Credit
MBIA Insured by Municipal Bond Insurance Association
</TABLE>
(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:
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) represents 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 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) Security exempt from registration under rule 144A of the Securities Act of
1993. 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 Carrying Value of Total
Holding Date* Par Per Unit Original Cost Market Value Investments
------- ----------- ---------- --------------- ------------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
Case Corp. 12/2/98 $3,000,000 $99.96 $2,988,780 $2,998,776 0.87%
Goldman Sachs Group 3/5/97 1,500,000 100.80 1,466,490 1,511,930 0.44%
Goldman Sachs Group 2/9/98 1,275,000 100.80 1,292,557 1,285,220 0.37%
---------- ---------- -----
$5,747,827 5,795,926 1.68%
</TABLE>
* Acquisition date refers to the first acquisition date in the case of
securities purchased in multiple lots.
Pegasus Funds
157
<PAGE>
Pegasus Multi Sector Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
ASSET BACKED SECURITIES -- 19.6%
Banking, Finance & Insurance -- 16.9%
Arcadia Automobile Receivables Trust, Series
97-B, Class A3, 6.30%, 7/16/01................ $ 2,587,709 $ 2,600,531
Arcadia Automobile Receivables Trust, Series
98-B, Class A4, 6.00%, 11/15/03............... 2,000,000 2,034,070
BA Mortgage Securities Inc., Series 1998-2,
Class 1A10, 6.60%, 6/25/28.................... 2,000,000 2,008,490
Chemical Master Credit Card Trust, Series 95-3,
Class A, 6.23%, 8/15/02....................... 2,500,000 2,571,038
Chevy Chase Auto Receivable Trust, Series 97-3
Class A, 6.20%, 3/20/04....................... 886,638 895,314
Chevy Chase Auto Receivable Trust, Series 97-4,
Class A, 6.25%, 6/15/04....................... 658,083 663,153
Chevy Chase Auto Receivables Trust, Series 95-
2, Class A, 5.80%, 6/15/02.................... 469,976 472,150
Chevy Chase Auto Receivables Trust, Series 98-
2, Class A, 5.91%, 4/15/00.................... 1,961,503 1,991,259
Citicorp Mortgage Securities, Inc., Series 94-
9, Class A3, 5.75%, 6/25/09................... 2,500,000 2,497,913
Collateralized Mortgage Securities Corp.,
Series 88-2, Class 2-B, 8.80%, 4/20/19........ 90,128 94,396
CPS Auto Receivables Trust, Series 98-3, Class
A4, 6.08%, 10/15/03........................... 1,000,000 1,024,445
Discover Card Master Trust 1, Series 98-2,
Class A, 5.80%, 9/16/03....................... 1,640,000 1,652,300
EQCC Home Equity Loan Trust, Series 94-3, Class
A-3, 7.85%, 8/15/07........................... 510,002 511,146
EQCC Home Equity Loan Trust, Series 96-2, Class
A4, 7.50%, 6/15/21............................ 600,000 628,614
EQCC Home Equity Loan Trust, Ser 1997-1, Class
A7, 7.12%, 5/15/28............................ 1,034,000 1,072,647
First Security, Series 98A, Class A, 5.97%,
4/15/04....................................... 494,513 498,615
First Security Auto Grantor Trust, Series 97-B,
Class A, 6.10%, 4/15/03....................... 541,683 546,393
Ford Credit Auto, Series 98-C, Class A4, 5.81%,
3/15/02....................................... 1,900,000 1,917,547
Ford Credit Auto Owner Trust, Series 97-B,
Class A2, 5.95%, 1/15/00...................... 291,643 292,126
Greentree Financial Corp., Series 94-B1, Class
A1, 7.15%, 7/15/14............................ 106,944 110,036
Key Auto Finance Trust, Series 97-1, Class A1,
5.85%, 3/15/03................................ 213,260 213,542
Key Auto Finance Trust, Series 97-1, Class A2,
6.05%, 9/15/03................................ 3,000,000 3,017,925
Kidder Peabody Mortgage Assets Trust, Class 22-
D, 9.95%, 2/1/19.............................. 320,825 323,149
MBNA Master Credit Card Trust, Series 94-C,
Class A, 5.81%, 3/15/04....................... 1,655,000 1,657,954
Merrill Lynch Trust, Series 43, Class E, 6.50%,
8/27/15....................................... 889,587 884,160
Morgan Stanley Mortgage Trust L, Collateralized
Mortgage Obligation, Series Class L-5, 8.95%,
11/1/17....................................... 724,845 742,228
Newcourt Receivables Asset Trust, Series 97-1,
Class A2, 6.04%, 6/20/00...................... 315,993 317,821
Olympic Automobile Receivables Trust, Series
95-A, Class A, 7.88%, 7/15/01................. 334,733 337,369
Olympic Automobile Receivables Trust, Series
95-D, Class A5, 6.15%, 7/15/01................ 2,300,000 2,316,273
Olympic Automobile Receivables Trust, Series
95-C, Class A2, 6.20%, 1/15/02................ 374,582 376,663
Olympic Automobile Receivables Trust, Series
96-C, Class A5, 7.00%, 3/15/04................ 3,000,000 3,092,660
Onyx Acceptance Grantor Trust, Series 98-B,
Class A2, 5.85%, 7/15/03...................... 800,000 810,140
Onyx Acceptance Grantor Trust, Series 97-2,
Class A, 6.35%, 10/15/03...................... 279,528 282,339
Paine Webber CMO Trust, Collateralized Mortgage
Obligation, Series J, Class 3, 8.80%, 5/1/18.. 126,946 131,627
Paine Webber CMO Trust, Series L,
Collateralized Mortgage Obligation, Class L-4,
8.95%, 7/1/18................................. 395,983 417,679
Paine Webber Trust, Series H, Class 4, 8.75%,
4/1/18, CMO................................... 368,532 382,231
</TABLE>
Pegasus Funds
158
<PAGE>
Pegasus Multi Sector Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
PNC Student Loan Trust, Series 97-2, Class A6,
6.57%, 1/25/04................................ $ 382,000 $ 396,510
Premier Auto Trust, Series 98-2, Class A4,
5.82%, 12/6/02................................ 1,200,000 1,214,118
Sears Credit Account Master Trust, Series 96-1,
Class A, 6.20%, 2/16/06....................... 2,350,000 2,397,106
Security Pacific Acceptance Corp., Series 95-1,
Class A3, 7.25%, 4/10/20...................... 2,000,000 2,085,047
The Money Store Home Equity Trust, Series 96-B,
Class A-5, 7.18%, 12/15/14.................... 266,996 268,044
TMS Home Equity Trust, Series 96-C, Class A13,
7.54%, 8/15/15................................ 600,000 632,564
Toyota Auto Lease Trust, Series 97-A, Class A1,
6.20%, 4/26/04................................ 900,000 908,568
Union Acceptance Corp., Series 97-D, Class A3,
6.26%, 2/8/02................................. 3,000,000 3,028,545
Union Federal Savings Bank Trust, Automobile
Receivable Pass Thru Ctfs, Series 94-D, Class
A, 7.65%, 1/10/01............................. 1,094,246 1,093,649
WFS Financial Grantor Trust, Series 95-5, Class
A1, 5.88%, 3/1/02............................. 373,820 375,755
WFS Financial Grantor Trust, Series 95-4, Class
A1, 6.20%, 2/1/02............................. 1,885,519 1,898,519
WFS Financial Owner Trust, Series 97-A, Class
A3, 6.50%, 9/20/01............................ 526,134 532,040
WFS Financial Owner Trust, Series 97-D, Class
A3, 6.25%, 3/20/02............................ 1,000,000 1,008,475
WFS Financial Owner Trust, Series 98-A, Class
A3, 5.90%, 5/20/02............................ 3,350,000 3,378,358
WFS Financial Owner Trust, Series 98-B, Class
A4, 6.05%, 4/20/03............................ 3,800,000 3,868,552
WFS Financial Owner Trust, Series 96-C, Class
A4, 6.80%, 12/20/03........................... 4,000,000 4,060,979
WFS Financial Owner Trust, Series 96-A. Class
A4, 6.15%, 6/1/01............................. 941,576 943,581
World Omni Automobile Lease Secured Trust,
Series 97-B, Class A1, 6.07%, 11/25/03........ 555,988 556,683
------------
68,033,036
------------
Yankee & Eurodollar -- 2.7%
Grand Metro Investment Corp., 7.45%, 4/15/35... 9,500,000 10,958,763
------------
TOTAL ASSET BACKED SECURITIES.................... 78,991,799
------------
CORPORATE BONDS -- 30.6%
Banking, Finance & Insurance -- 17.8%
ABN Amro Bank NV Chicago, 7.25%, 5/31/05....... 4,800,000 5,146,229
American Express Credit Corp., 6.13%, 11/15/01. 5,000,000 5,089,130
American General Finance Corp., 7.13%, 12/1/99. 500,000 507,421
American RE Corp., Series B, 7.45%, 12/15/26... 5,160,000 5,616,556
Associates Corp. of North America, 7.40%,
7/7/99........................................ 500,000 505,249
Associates Corp. of North America, Note, 6.75%,
10/15/99...................................... 900,000 909,473
Associates Corp. of North America, 5.25%,
3/30/00....................................... 860,000 858,912
Associates Corp. of North America, 9.13%,
4/1/00........................................ 1,750,000 1,826,874
Associates Corp. of North America, #Sr 00613,
6.88%, 2/17/03................................ 500,000 525,066
Associates Corp. of North America, 7.70%,
6/10/04....................................... 1,500,000 1,648,632
Associates Corp. of North America, 7.63%,
4/27/05....................................... 150,000 165,778
Associates Corp. of North America, 6.63%,
6/15/05....................................... 1,000,000 1,040,110
Associates Corp. of North America, 6.25%,
11/1/08....................................... 1,000,000 1,033,701
Associates Corp. of North America, Series B,
7.95%, 2/15/10................................ 500,000 572,926
BankAmerica Corp., 6.85%, 3/1/03............... 1,350,000 1,417,368
Citigroup Inc., 6.25%, 12/1/05................. 5,000,000 5,170,935
Commercial Credit, 7.75%, 3/1/05............... 1,500,000 1,654,005
Donaldson Lufkin & Jenrette, 6.50%, 4/1/08..... 500,000 502,517
Donaldson Lufkin & Jenrette, 5.63%, 2/15/16.... 400,000 392,960
</TABLE>
Pegasus Funds
159
<PAGE>
Pegasus Multi Sector Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Donaldson Lufkin Senior Note, 6.50%, 6/1/08.... $ 1,000,000 $ 1,004,916
Ford Holdings, Inc., Debenture, 9.25%, 3/1/00.. 875,000 910,458
Ford Motor Credit Co., 9.50%, 4/15/00.......... 694,000 728,666
Ford Motor Credit Co., 6.38%, 4/15/00.......... 1,500,000 1,518,552
Ford Motor Credit Co., Medium Term Note, 6.90%,
6/5/00........................................ 1,175,000 1,199,608
Ford Motor Credit Co., Medium Term Note, 5.99%,
2/27/01....................................... 1,050,000 1,063,427
Ford Motor Credit Co., Medium Term Note, 7.75%,
3/15/05....................................... 724,000 799,036
General Electric Capital Corp., Medium Term
Note, 5.70%, 10/7/03.......................... 500,000 504,786
General Electric Capital Corp., Debenture,
8.85%, 4/1/05................................. 3,500,000 4,124,467
General Motors Acceptance Corp., Note, 9.38%,
4/1/00........................................ 300,000 314,320
General Motors Acceptance Corp., Debenture,
9.63%, 12/15/01............................... 900,000 1,001,723
General Motors Acceptance Corp., Note, 7.13%,
5/1/03........................................ 2,000,000 2,111,092
GreenTree Financial Corp., 6.49%, 7/15/28...... 992,488 993,728
Household Finance Co., Note, 7.25%, 7/15/03.... 5,000,000 5,304,204
Household Finance Co., 6.50%, 11/15/08......... 1,000,000 1,040,141
Key Bank, Series 97-1, Class A1, 7.55%,
9/15/06....................................... 5,000,000 5,527,449
Lincoln National Corp., 7.25%, 5/15/05......... 1,000,000 1,067,093
Norwest Corp., Senior Medium Term Note, 7.75%,
3/1/02........................................ 1,500,000 1,595,354
Pitney Bowes Credit Corp. Put, 9.25%, 6/15/08.. 600,000 756,348
Republic New York Corp., Subordinated Note,
7.25%, 7/15/02................................ 5,000,000 5,209,259
------------
71,358,469
------------
Industrial Goods & Services -- 3.8%
Beckman Instruments, Debenture, Discrete Put
6/1/06 @ 103.9, 7.05%, 6/1/26................. 3,000,000 3,003,132
Case Corp., 6.25%, 12/1/03..................... 3,750,000 3,748,470
General Motors Corp., 8.80%, 3/1/21............ 750,000 966,510
Hertz Corp., Senior Note, 6.63%, 5/15/08....... 2,500,000 2,600,285
Motorola Inc., 6.50%, 11/15/28................. 5,000,000 5,092,985
------------
15,411,382
------------
Telecommunications -- 4.2%
Bell Telephone Co. Pennsylvania, Debenture,
8.35%, 12/15/30............................... 4,000,000 5,137,508
Bellsouth Telecommunications, 6.00%, 6/15/02... 1,000,000 1,023,612
New York Telephone, 5.63%, 11/1/03............. 5,000,000 5,078,490
Pacific Bell, 6.88%, 8/15/06................... 5,000,000 5,457,925
------------
16,697,535
------------
Utilities -- 1.9%
Baltimore Gas & Electric Co. Mortgage, 6.50%,
2/15/03....................................... 5,000,000 5,216,545
National Rural Utilities Cooperative Financial
Corp., 6.75%, 9/1/01.......................... 2,290,000 2,372,859
------------
7,589,404
------------
</TABLE>
Pegasus Funds
160
<PAGE>
Pegasus Multi Sector Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Yankee & Eurodollar -- 2.9%
African Development Bank, 9.30%, 7/1/00........ $ 1,120,000 $ 1,184,915
Cable & Wireless Communication, 6.75%, 12/1/08. 1,250,000 1,268,135
Kingdom Of Belgium, 9.20%, 6/28/00............. 1,000,000 1,315,313
Royal Caribbean Cruises, Notes, 6.75%, 3/15/08. 5,000,000 4,958,930
Societe Generale Estate LLC, Bond Ser 144A,
Perpetual Maturity, 7.64%, 9/30/07, Callable
9/30/07 @ 100................................. 3,055,000 2,836,241
------------
11,563,534
------------
TOTAL CORPORATE BONDS............................ 122,620,324
------------
REPURCHASE AGREEMENTS -- 1.0%
State Street Bank, 4.40%, 1/4/99,
(Collateralized by $4,225,000 U.S. Treasury
Notes, 1/31/99, 5.88%, market value $4,331,000
and $3,795,000 U.S. Treasury Bonds, 2/15/20,
8.50%, market value $4,046,900)............... 3,966,000 3,966,000
------------
TOTAL REPURCHASE AGREEMENTS...................... 3,966,000
------------
U.S. GOVERNMENT AGENCY -- 1.2%
Federal Home Loan Bank -- 1.0%
5.59%, 1/13/03................................. 2,600,000 2,640,222
5.09%, 10/7/08, Bonds Series Lz08.............. 1,500,000 1,469,322
------------
4,109,544
------------
Other U.S. Agencies -- 0.2%
Student Loan Marketing Association, 7.20%,
6/17/02....................................... 700,000 744,765
------------
TOTAL U.S. GOVERNMENT AGENCY .................... 4,854,309
------------
U.S. GOVERNMENT AGENCY MORTGAGES -- 17.9%
Federal Home Loan Mortgage Corp. -- 6.9%
7.25%, 1/1/05, Participation Certificate
#184093....................................... 82,702 84,190
6.75%, 12/15/05, Series 1507, Class LC......... 100,000 102,749
6.00%, 5/15/07, Series 1490, Class PJ.......... 615,000 620,895
6.25%, 9/15/07, Series 1701, Class PG.......... 2,000,000 2,026,976
6.38%, 8/15/11, Series 1995, Class EM.......... 3,341,652 3,360,182
8.75%, 4/1/08, Pool #160043.................... 147,313 154,616
8.00%, 8/1/08, Pool #180531.................... 147,134 152,556
8.25%, 9/1/08, Participation Certificate
#186743....................................... 139,535 143,902
6.00%, 1/15/09, Series 1667, Class B........... 1,500,000 1,489,658
8.00%, 8/1/09, Participation Certificate
#256159....................................... 169,357 173,857
7.00%, 2/15/13, Series 1942, Class VD.......... 1,000,000 1,022,471
6.50%, 8/15/13, Series 1556, Class H........... 115,000 116,670
12.00%, 8/1/15, Pool #170269................... 179,309 205,700
7.50%, 11/1/16, Participation Certificate
#280421....................................... 64,928 67,403
7.50%, 2/1/17, Participation Certificate #28-
5128.......................................... 34,414 35,298
7.50%, 3/1/17, Participation Certificate #29-
0818.......................................... 20,870 21,404
7.50%, 6/1/17, Participation Certificate #29-
4569.......................................... 16,857 17,289
6.00%, 7/15/18, Series 1394, Class F........... 800,000 800,948
</TABLE>
Pegasus Funds
161
<PAGE>
Pegasus Multi Sector Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
5.50%, 1/15/19, Series 1590, Class FA........... $ 345,000 $ 342,100
5.50%, 11/25/23, Series 24, Class G............. 1,800,000 1,785,771
12.00%, 7/1/19, Pool #555238.................... 210,837 241,868
9.50%, 7/15/19, Series 11, Class D.............. 1,000,000 1,053,095
6.00%, 12/15/19, Series 1666, Class E........... 1,150,000 1,159,037
6.00%, 6/15/20, Series 1614, Class H............ 735,000 738,657
9.20%, 10/15/20, Series 84, Class F............. 728,044 769,452
8.13%, 11/15/20, Series 81, Class A............. 394,198 406,211
9.10%, 1/15/21, Series 109, Class I............. 500,000 524,956
8.50%, 1/15/21, Series 1087, Class H............ 964,849 976,904
8.50%, 3/15/21, Series 131, Class D............. 498,697 503,992
6.50%, 12/15/21, Series 1552, Class Gb.......... 289,000 291,513
6.25%, 3/15/22, Series 1671, Class F............ 250,000 252,071
7.50%, 8/15/22, Series 1721, Class G............ 1,000,000 1,032,480
8.50%, 9/15/22, Series 198, Class Z............. 158,980 165,843
7.00%, 10/15/22, Series 1547, Class PK.......... 255,000 262,286
6.75%, 11/15/22, Series 1552, Class H........... 1,700,000 1,728,888
6.50%, 11/15/22, Series 1552, Class HB ......... 732,500 735,851
6.00%, 5/15/23, Series 1630, Class PJ........... 802,000 800,973
6.50%, 9/15/23, Series 1633, Class B............ 500,000 502,307
7.00%, 8/1/27, Gold #D81734..................... 3,158,128 3,224,223
------------
28,095,242
------------
Federal National Mortgage Assoc -- 6.3%
8.00%, 11/1/02, Pool #076220.................... 62,783 64,420
6.90%, 12/25/03, Series 93-70, Class D.......... 224,301 228,634
6.00%, 12/25/06, Series 93-212, Class PB........ 330,000 332,533
6.00%, 5/25/07, Series 93-209, Class G.......... 305,000 307,362
7.50%, 9/25/07, Series 92-135, Class LC......... 725,000 746,792
6.50%, 5/25/08, Series 93-55, Class K........... 490,000 499,784
5.71%, 9/25/08, Series 93-175, Class FE......... 746,369 730,714
6.00%, 12/25/08, Series 93-231, Class M......... 615,000 620,292
7.15%, 10/17/09, Series 97-M1, Class B.......... 1,000,000 1,040,185
6.50%, 3/25/13, Series 93-140, Class H.......... 300,000 305,571
9.85%, 8/25/14, Series 89-34, Class E........... 56,714 56,620
12.50%, 1/1/16, Pool #303306.................... 747,777 848,888
5.70%, 6/25/17, Series X-225c, Class PD......... 167,740 167,552
9.30%, 5/25/18, Series 88-13, Class 13-C........ 459,897 481,807
6.50%, 7/25/18, Series 93-8, Class PG........... 1,229,365 1,230,441
5.50%, 2/25/19, Series 94-15, Class E........... 1,000,000 997,835
5.00%, 5/25/19, Series 93-19, Class G........... 835,754 830,960
11.50%, 12/25/19, Series 89-98, Class 98-H...... 410,694 451,505
8.80%, 1/25/20, Series 90-1, Class D............ 565,959 594,293
6.00%, 2/25/20, Series 94-36, Class G........... 280,000 280,589
9.50%, 5/15/20, Series 38, Class 38-D........... 614,208 648,081
8.75%, 9/25/20, Series 90-110, Class H.......... 449,576 466,741
8.95%, 10/25/20, Series 90-117, Class E......... 306,129 325,037
6.00%, 10/25/20, Series 94-40, Class H.......... 311,000 311,658
8.50%, 9/25/21, Series G-29, Class O............ 559,649 579,851
</TABLE>
Pegasus Funds
162
<PAGE>
Pegasus Multi Sector Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
7.00%, 1/25/22, Series G92-15, Class Z......... $ 2,416,714 $ 2,534,346
9.00%, 6/25/22, Series 92-79, Class Z.......... 1,035,243 1,133,421
7.00%, 6/25/22, Series G92-30, Class Z......... 699,175 709,218
7.50%, 3/25/23, Series 93-23, Class Pz......... 159,398 170,636
6.50%, 4/25/23, Series 93-160, Class Aj........ 1,638,000 1,670,780
7.00%, 5/25/23, Series 93-56, Class Pz......... 459,729 478,086
6.50%, 7/25/23, Series 96-59, Class K.......... 655,000 660,397
5.00%, 1/25/24, Series 94-19, Class C.......... 141,943 141,362
7.00%, 7/18/24, Series 97-12, Class G.......... 3,500,000 3,529,789
7.50%, 4/18/27, Series 97-27, Class J.......... 982,921 1,023,307
------------
25,199,487
------------
Government National Mortgage Assoc. -- 3.5%
8.00%, 5/15/04, Pool #002597................... 130,937 136,599
7.50%, 6/15/07, Pool #017109................... 302,042 313,388
8.00%, 10/15/07, Pool #20471................... 22,211 23,300
8.00%, 10/15/07, Pool #19860................... 85,959 90,173
8.00%, 11/15/07, Pool #21064................... 107,136 112,389
8.00%, 1/15/08, Pool #21259.................... 42,005 44,091
8.00%, 5/15/08, Pool #23139.................... 93,145 97,770
9.00%, 4/15/16, Pool #159851................... 99,721 107,517
9.00%, 9/15/16, Pool #164740................... 120,805 130,249
9.00%, 11/15/16, Pool #193234.................. 37,145 40,049
9.00%, 12/15/16, Pool #190783.................. 130,261 140,444
9.00%, 12/15/16, Pool #190923.................. 680,755 733,974
9.00%, 12/15/16, Pool #151253.................. 59,491 64,142
9.00%, 12/15/16, Pool #183237.................. 130,488 140,689
9.00%, 1/15/17, Pool #180482................... 202,534 217,950
9.00%, 5/15/17, Pool #2003439.................. 5,434 5,848
7.50%, 10/15/22, Pool #297656.................. 2,461,930 2,541,421
7.00%, 1/15/23, Pool #339885................... 274,308 281,145
7.00%, 2/15/24, Pool #376855................... 366,582 375,688
7.00%, 4/15/24, Pool #359713................... 688,107 705,200
7.00%, 4/15/24, Pool #380930................... 127,410 130,574
7.00%, 4/15/24, Pool #389850................... 64,956 66,569
8.00%, 8/20/26, Pool #002270................... 499,796 516,966
7.50%, 5/16/27, Series 97-8, Class PN.......... 1,500,000 1,563,526
8.00%, 4/20/28, Pool #002581................... 395,878 409,776
8.00%, 6/20/28, Pool #002606................... 486,997 504,095
8.00%, 7/20/28, Pool #002619................... 1,610,606 1,667,150
8.00%, 8/20/28, Pool #002633................... 2,703,130 2,798,029
------------
13,958,711
------------
Other U.S. Agencies -- 1.2%
Federal Housing Administration, 7.43%, 8/1/20.. 2,045,765 2,009,964
Federal Housing Administration, Greystone 96-2,
7.43%, 11/1/22................................ 2,807,434 2,713,553
------------
4,723,517
------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGES........... 71,976,957
------------
</TABLE>
Pegasus Funds
163
<PAGE>
Pegasus Multi Sector Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 29.0%
U.S. Treasury Bonds -- 27.8%
12.75%, 11/15/10................................ $23,815,000 $ 34,591,287
10.38%, 11/15/12................................ 3,385,000 4,670,251
7.25%, 5/15/16.................................. 750,000 910,079
7.50%, 11/15/16................................. 5,500,000 6,832,045
8.75%, 5/15/17.................................. 735,000 1,022,451
8.88%, 8/15/17.................................. 19,925,000 28,100,486
8.50%, 2/15/20.................................. 1,150,000 1,597,063
8.13%, 5/15/21.................................. 18,085,000 24,397,749
8.13%, 8/15/21.................................. 4,200,000 5,675,250
6.50%, 11/15/26................................. 2,555,000 2,974,181
6.13%, 11/15/27................................. 750,000 840,235
------------
111,611,077
------------
U.S. Treasury Inflation Protected Bonds -- 1.1%
3.63%, 7/15/02.................................. 1,024,138 1,016,457
3.38%, 1/15/07.................................. 2,690,976 2,600,990
3.63%, 4/15/28.................................. 1,005,540 980,088
------------
4,597,535
------------
U.S. Treasury STRIPS -- 0.1%
5/15/13......................................... 308,000 142,486
5/15/17......................................... 230,000 83,575
8/15/17......................................... 800,000 286,680
------------
512,741
------------
TOTAL U.S. TREASURY OBLIGATIONS................... 116,721,353
------------
TOTAL.............................................
(Cost $378,303,198) -- 99.3% $399,130,742
============
</TABLE>
Percentages indicated are based on net assets of $402,095,023.
(a) Security exempt from registration under rule 144A of the Securities Act of
1993. 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 Carrying Value of Total
Holding Date* Par Per Unit Original Cost Market Value Investments
------- ----------- ---------- -------------- ------------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
Case Corp. 12/2/98 $3,750,000 $99.96 $3,735,975 $3,748,470 0.94%
Society Generale
Estate LLC 8/22/97 3,055,000 92.84 3,055,000 2,836,241 0.71%
---------- ---------- -----
$6,790,975 6,584,711 1.65%
</TABLE>
* Acquisition date refers to the first acquisition date in the case of
securities purchased in multiple lots.
Pegasus Funds
164
<PAGE>
Pegasus High Yield Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
CORPORATE NOTES AND BONDS -- 88.3%
Broadcast Radio & TV -- 11.6%
Acme Television LLC, 0.00%, 9/30/04, Series B,
Multi Coupon(d)............................... $ 300,000 $ 240,750
Capstar Broadcasting, 9.25%, 7/1/07............ 150,000 156,750
CBS Radio, Inc., 11.38%, 1/15/09............... 175,000 205,188
Chancellor Media Corp. Los Angeles, 10.50%,
1/15/07, Series B............................. 100,000 111,500
Chancellor Media Corp. Los Angeles, 8.13%,
12/15/07, Series B............................ 600,000 598,500
Chancellor Media Corp. Los Angeles, 8.75%,
6/15/07, Series B............................. 675,000 695,249
Chancellor Media Corp. Los Angeles, 9.00%,
10/1/08, Series 144A(c)....................... 275,000 290,125
Charter Communications, 0.00%, 3/15/07, Series
B, Multi Coupon(d)............................ 375,000 335,625
Comcast Corp., 9.38%, 5/15/05.................. 250,000 266,875
CSC Holdings, Inc., 7.88%, 12/15/07............ 250,000 263,700
CSC Holdings, Inc., 9.25%, 11/1/05............. 450,000 481,500
Cumulus Media, Inc., 10.38%, 7/1/08............ 300,000 319,500
Diamond Cable Communications PLC, 0.00%,
12/15/05, Multi Coupon(d)..................... 75,000 62,438
Diamond Cable Communications PLC, 0.00%,
2/15/07, Multi Coupon(d)...................... 450,000 326,250
Diva Systems Corp., 0.00%, 3/1/08, Series 144A,
Multi Coupon(c)(d)............................ 225,000 84,938
Echostar Satellite Broadcasting Corp., 0.00%,
3/15/00, Multi Coupon(d)...................... 325,000 325,813
Fox/Liberty Networks LLC, 8.88%, 8/15/07....... 125,000 127,500
Fox/Liberty Networks LLC, 0.00%, 8/15/07, Multi
Coupon(d)..................................... 925,000 642,875
Lamar Advertising Co., 9.63%, 12/1/06.......... 200,000 217,500
Outdoor Systems, 9.38%, 10/15/06............... 75,000 81,375
Outdoor Systems, 8.88%, 6/15/07................ 600,000 644,999
Pegasus Communications, 9.63%, 10/15/05, Series
B............................................. 525,000 527,625
Sinclair Broadcast Group, 9.00%, 7/15/07....... 600,000 613,500
Sinclair Broadcast Group, 8.75%, 12/15/07...... 300,000 305,250
Sinclair Broadcast Group, 10.00%, 9/30/05...... 100,000 105,500
TeleWest Communication PLC, 0.00%, 10/1/07,
Series B, Multi Coupon(d)..................... 1,250,000 1,049,999
UIH Australia/Pacific, 0.00%, 5/15/06, Series
B, Multi Coupon(d)............................ 300,000 153,000
Young Broadcasting, Inc., 9.00%, 1/15/06,
Series B...................................... 175,000 178,063
-----------
9,411,887
-----------
Business Equipment & Service -- 1.2%
Dialog Corp., 11.00%, 11/15/07, Series A....... 375,000 375,000
Fisher Scientific International, Inc., 9.00%,
2/1/08, Series 144A(c)........................ 125,000 125,000
Fisher Scientific International, Inc., 9.00%,
2/1/08........................................ 500,000 500,000
-----------
1,000,000
-----------
Consumer Goods & Services -- 1.3%
Amscan Holdings, Inc., 9.88%, 12/15/07......... 425,000 398,438
Diamond Brands Operating, 10.13%, 4/15/08...... 75,000 67,875
Diamond Brands, Inc., 0.00%, 4/15/09, Multi
Coupon(d)..................................... 175,000 62,125
Leslie's Poolmart, 10.38%, 7/15/04............. 300,000 310,500
Sitel Corp., 9.25%, 3/15/06, Series 144A....... 275,000 248,875
-----------
1,087,813
-----------
</TABLE>
Pegasus Funds
165
<PAGE>
Pegasus High Yield Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Consumer Non-Durable -- 10.2%
Agrilink Foods, Inc., 11.88%, 11/1/08, Series
144A(c)....................................... $ 350,000 $ 357,000
American Safety Razor Co., 9.88%, 8/1/05,
Series B...................................... 150,000 150,750
Ameriserve Food Distribution, Inc., 10.13%,
7/15/07....................................... 675,000 590,625
Aurora Foods, Inc., 9.88%, 2/15/07, Series D... 100,000 109,500
Aurora Foods, Inc., 9.88%, 2/15/07, Series B... 225,000 246,375
Chattem, Inc., 8.88%, 4/1/08, Series B......... 325,000 334,750
Community Distributors, Inc., 10.25%, 10/15/04,
Series B...................................... 150,000 138,750
Di Giorgio Corp., 10.00%, 6/15/07, Series B.... 300,000 280,500
Dimon, Inc., 8.88%, 6/1/06..................... 250,000 248,750
Dyersburg Corp., 9.75%, 9/1/07, Series B....... 200,000 180,000
Eagle Family Foods, Inc., 8.75%, 1/15/08,
Series B...................................... 600,000 568,500
GFSI, Inc., 9.63%, 3/1/07, Series B............ 200,000 191,000
Glenoit Corp., 11.00%, 4/15/07................. 250,000 233,750
Huntsman Corp., 9.50%, 7/1/07, Series 144A(c).. 300,000 300,000
International Home Foods, 10.38%, 11/1/06...... 725,000 788,438
Jitney-Jungle Stores of America, Inc., 10.38%,
9/15/07....................................... 325,000 331,500
NBTY, Inc., 8.63%, 9/15/07, Series B........... 350,000 343,000
Pillowtex Corp., 10.00%, 11/15/06.............. 500,000 537,500
Pillowtex Corp., 9.00%, 12/15/07, Series B..... 200,000 207,000
Playtex Products, Inc., 8.88%, 7/15/04, Series
B............................................. 500,000 525,000
Purina Mills, Inc., 9.00%, 3/15/10............. 200,000 200,000
Revlon Consumer Products Corp., 8.63%, 2/1/08.. 925,000 855,625
Sealy Mattress Co., 9.88%, 12/15/07, Series B.. 125,000 121,250
Stater Brothers, 9.00%, 7/1/04................. 400,000 392,000
-----------
8,231,563
-----------
Ecological Services & Equipment -- 2.0%
Allied Waste North America, 7.88%, 1/1/09,
Series 144A(c)................................ 1,575,000 1,598,625
-----------
Electronics -- 0.2%
Viasystems, Inc., 9.75%, 6/1/07, Series B...... 175,000 163,625
-----------
Financial Services -- 1.6%
Contifinancial Corp., 8.13 %, 4/1/08........... 375,000 268,125
Diamond Holdings PLC, 9.13%, 2/1/08............ 150,000 147,375
Golden State Escrow Corp., 7.13%, 8/1/05....... 750,000 743,483
PX Escrow Corp., 0.00%, 2/1/06, Multi
Coupon(d)..................................... 200,000 111,000
-----------
1,269,983
-----------
Food Products & Services -- 0.4%
Dominos, Inc., 10.38%, 1/15/09, Series 144A(c). 250,000 250,000
Nebco Evans Holding Co., 0.00%, 7/15/07, Multi
Coupon(d)..................................... 125,000 60,625
-----------
310,625
-----------
Health Care -- 3.5%
Alliance Imaging, 9.63%, 12/15/05.............. 100,000 99,500
Conmed Corp., 9.00%, 3/15/08................... 350,000 352,625
Dade International, Inc., 11.13%, 5/1/06,
Series B...................................... 450,000 500,625
Everest Healthcare Services, 9.75%, 5/1/08..... 200,000 200,000
Hudson Respiratory Care, Inc., 9.13%, 4/15/08.. 275,000 224,125
</TABLE>
Pegasus Funds
166
<PAGE>
Pegasus High Yield Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Tenet Healthcare Corp., 8.13%, 12/1/08, Series
144A(c)....................................... $ 150,000 $ 155,625
Tenet Healthcare Corp., 8.00%, 1/15/05......... 1,175,000 1,206,243
Tenet Healthcare Corp., 8.63%, 1/15/07......... 100,000 104,500
-----------
2,843,243
-----------
Industrial Goods & Services -- 13.9%
Accuride Corp., 9.25%, 2/1/08, Series B........ 350,000 344,750
Albecca, Inc., 10.75%, 8/15/08, Series 144A.... 500,000 503,750
Alvey Systems, 11.38%, 1/31/03................. 104,000 104,520
American Architectural, 11.75%, 12/1/07, Series
144A.......................................... 100,000 86,500
American Builders Contractors Supply Co.,
10.63%, 5/15/07, Series B..................... 275,000 257,125
Amphenol Corp., 9.88%, 5/15/07................. 300,000 312,000
Anchor Lamina, Inc., 9.88%, 2/1/08............. 150,000 135,750
Buckeye Cellulose Corp., 8.50%, 12/15/05....... 425,000 444,125
Building Materials Corp. Of America, 8.00%,
10/15/07, Series B............................ 375,000 378,281
Coinmach Corp., 11.75%, 11/15/05, Series D..... 250,000 276,875
Collins & Aikman Floorcoverings, 10.00%,
1/15/07, Series B............................. 500,000 524,999
Collins & Aikman Products, 11.50%, 4/15/06..... 650,000 675,999
Columbus McKinnon Corp., 8.50%, 4/1/08......... 75,000 70,500
Continental Global Group, 11.00%, 4/1/07,
Series B...................................... 375,000 324,375
Continental Resources, 10.25%, 8/1/08.......... 375,000 313,125
Dailey International, Inc., 9.50%, 2/15/08,
Series B...................................... 450,000 211,500
EchoStar DBS Corp., 12.50%, 7/1/02............. 200,000 232,000
Euramax International, Inc., 11.25%, 10/1/06... 150,000 150,000
Falcon Building Products, Inc., 0.00%, 6/15/07,
Series B, Multi Coupon(d)..................... 500,000 297,500
Gearbulk Holdings, 11.25%, 12/1/04............. 400,000 424,000
HDA Parts System, Inc., 12.00%, 8/1/05, Series
144A(c)....................................... 150,000 135,750
International Utility Structures, 10.75%,
2/1/08........................................ 125,000 116,875
ISG Resources, Inc., 10.00%, 4/15/08........... 250,000 248,750
ISP Holdings, Inc., 9.75%, 2/15/02, Series B... 450,000 480,375
Johnstown America Industries, Inc., 11.75%,
8/15/05, Series C............................. 125,000 132,500
Lear Corp., 9.50%, 7/15/06..................... 300,000 333,000
MMI Products, Inc., 11.25%, 4/15/07, Series B.. 250,000 271,250
Neenah Corp., 11.13%, 5/1/07, Series B......... 200,000 206,500
Polymer Group, Inc., 9.00%, 7/1/07, Series B... 500,000 497,500
Polymer Group, Inc., 8.75%, 3/1/08, Series B... 350,000 345,625
Statia Terminals, 11.75%, 11/15/03, Series B... 150,000 150,750
Stena AB, 10.50%, 12/15/05..................... 425,000 440,938
Stena AB, 8.75%, 6/15/07....................... 300,000 287,250
Stena Line AB, 10.63%, 6/1/08.................. 100,000 90,500
Stone Container Corp., 12.25%, 4/1/02.......... 200,000 205,000
The Holt Group, 9.75%, 1/15/06, Series 144A(c). 200,000 141,000
United Stationers Supply Co., 8.38%, 4/15/08... 300,000 300,750
United Stationers Supply Co., 12.75%, 5/1/05... 134,000 150,080
Wesco Distribution, Inc., 9.13%, 6/1/08, Series
B............................................. 425,000 427,125
Wesco International, Inc., 0.00%, 6/1/08,
Series B(d)................................... 175,000 108,063
-----------
11,137,255
-----------
</TABLE>
Pegasus Funds
167
<PAGE>
Pegasus High Yield Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Leisure -- 2.8%
AMF Bowling Worldwide, 0.00%, 3/15/06, Series
B, Multi Coupon(d)............................ $ 337,000 $ 194,618
Loews Cineplex Entertainment, 8.88%, 8/8/08.... 200,000 207,500
Premier Parks, Inc., 9.25%, 4/1/06............. 50,000 52,000
Premier Parks, Inc., 0.00%, 4/1/08, Multi
Coupon(d)..................................... 375,000 255,938
Premier Parks, Inc., 9.75%, 1/15/07............ 325,000 354,250
Regal Cinemas, 9.50%, 6/1/08, Series 144A(c)... 325,000 336,375
Regal Cinemas, 9.50%, 6/1/08................... 375,000 388,125
Six Flags Theme Parks, 12.25%, 6/15/05, Series
A............................................. 450,000 501,749
----------
2,290,555
----------
Machinery & Equipment -- 2.4%
Clark Materials Handling, 10.75%, 11/15/06,
Series D...................................... 400,000 409,000
Grove Worldwide LLC, 9.25%, 5/1/08............. 100,000 91,500
National Equipment Services, 10.00%, 11/30/04,
Series B...................................... 150,000 149,250
National Equipment Services, 10.00%, 11/30/04,
Series 144A(c)................................ 400,000 398,000
Nationsrent, Inc., 10.38%, 12/15/08, Series
144A(c)....................................... 400,000 398,000
United Rentals, Inc., 9.25%, 1/15/09, Series
144A(c)....................................... 500,000 503,750
----------
1,949,500
----------
Materials & Services -- 0.6%
Tekni-Plex. Inc., 9.25%, 3/1/08, Series B...... 475,000 498,750
----------
Metals & Mining -- 1.0%
AEI Resources, Inc., 11.50%, 12/15/06, Series
144A(c)....................................... 400,000 398,000
AEI Resources, Inc. / Holding, 10.50%,
12/15/05, Series 144A(c)...................... 250,000 246,250
Metals USA, Inc., 8.63%, 2/15/08............... 200,000 189,000
----------
833,250
----------
Multi-Industry -- 0.4%
Eagle Picher Industries, Inc., 9.38%, 3/1/08... 350,000 332,500
----------
Printing & Publishing -- 2.2%
Garden State Newspapers, 8.75%, 10/1/09, Series
B............................................. 550,000 552,750
Hollinger International Publishing, 9.25%,
3/15/07....................................... 250,000 265,000
Hollinger International Publishing, 9.25%,
2/1/06........................................ 400,000 422,000
US Office Product Co., 9.75%, 6/15/08.......... 425,000 278,375
Ziff-Davis, Inc., 8.50%, 5/1/08................ 250,000 242,500
----------
1,760,625
----------
Raw Materials -- 0.4%
Ryerson Tull, Inc., 8.50%, 7/15/01............. 250,000 263,573
Sterling Chemicals Holdings, Inc., 0.00%,
8/15/08, Multi Coupon(d)...................... 250,000 96,250
----------
359,823
----------
Shelter -- 1.7%
Courtyard By Marriott, 10.75%, 2/1/08, Series
B............................................. 150,000 155,250
HMH Properties, Inc., 7.88%, 8/1/08, Series B.. 900,000 877,500
HMH Properties, Inc., 8.45%, 12/1/08, Series C. 300,000 301,500
----------
1,334,250
----------
</TABLE>
Pegasus Funds
168
<PAGE>
Pegasus High Yield Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Telecommunications -- 25.7%
American Cellular Corp., 10.50%, 5/15/08,
Series 144A(c)................................ $ 350,000 $ 348,250
Arch Communications, Inc., 12.75%, 7/1/07,
Series 144A(c)................................ 250,000 251,250
Big City Radio, 0.00%, 3/15/05, Multi
Coupon(d)..................................... 425,000 282,625
Call-Net Enterprises, Inc., 8.94%, 8/15/08..... 525,000 311,063
Call-Net Enterprises, Inc., 0.00%, 8/15/07,
Multi Coupon(d)............................... 725,000 467,625
Centennial Cellular Corp., 10.75%, 12/15/08,
Series 144A(c)................................ 250,000 252,500
Comcast Cellular Holdings, Inc., 9.50%, 5/1/07,
Series B...................................... 375,000 402,188
E. Spire Communications, Inc., 0.00%, 11/1/05,
Multi Coupon(d)............................... 225,000 151,875
E. Spire Communications, Inc., 13.75%, 7/15/07. 50,000 49,250
E. Spire Communications, Inc., 0.00%, 4/1/06,
Multi Coupon(d)............................... 200,000 125,000
Esprit Telecom, 11.50%, 12/15/07............... 100,000 104,000
Hermes Europe Railtel BV, 11.50%, 8/15/07...... 450,000 479,250
ICG Holdings, Inc., 0.00%, 3/15/07, Multi
Coupon(d)..................................... 400,000 258,048
Intelcom Group (USA), Inc., 0.00%, 5/1/06,
Multi Coupon(d)............................... 350,000 259,658
Intermedia Communication, 0.00%, 7/15/07,
Series B, Multi Coupon(d)..................... 950,000 660,250
Intermedia Communications, 8.88%, 11/1/07,
Series B...................................... 100,000 97,000
Intermedia Communications, 8.60%, 6/1/08,
Series B...................................... 350,000 334,250
International Cabletel, Inc., 0.00%, 2/1/06,
Series B, Multi Coupon(d)..................... 875,000 730,624
IXC Communications, Inc., 9.00%, 4/15/08....... 325,000 327,031
K-III Communications Corp., 8.50%, 2/1/06,
Series B...................................... 275,000 284,625
Lenfest Communications, 8.25%, 2/15/08, Series
144A(c)....................................... 275,000 288,063
Lenfest Communications, 8.38%, 11/1/05......... 300,000 326,250
Level 3 Communications, Inc., 10.50%, 12/1/08,
Series 144A(c)................................ 1,025,000 602,188
Level 3 Communications, Inc., 9.13%, 5/1/08.... 1,400,000 1,396,499
McLeodUSA, Inc., 9.25%, 7/15/07................ 150,000 154,125
McLeodUSA, Inc., 8.38%, 3/15/08................ 100,000 101,000
McLeodUSA, Inc., 0.00%, 3/1/07, Multi
Coupon(d)..................................... 750,000 570,000
Metromedia Fiber Network, 10.00%, 11/15/08,
Series 144A(c)................................ 150,000 154,875
Metronet Communications, 10.63%, 11/1/08,
Series 144A(c)................................ 225,000 239,625
Metronet Communications, Inc., 0.00%, 6/15/08,
Multi Coupon.................................. 1,150,000 710,124
Metronet Communications, Inc., 12.00%, 8/15/07. 200,000 218,500
Millicom International Cellular, 0.00%, 6/1/06,
Multi Coupon(d)............................... 525,000 371,438
Nextel Communications, 0.00%, 2/15/08, Multi
Coupon(d)..................................... 1,125,000 680,625
Nextel Communications, 0.00%, 9/15/07, Multi
Coupon(d)..................................... 900,000 585,000
Nextel International, Inc., 0.00%, 4/15/08,
Multi Coupon(d)............................... 200,000 93,776
Nextlink Communications, 0.00%, 4/15/08, Multi
Coupon(d)..................................... 375,000 217,500
Nextlink Communications, 9.63%, 10/1/07........ 400,000 391,000
NTL, Inc., 0.00%, 4/1/08, Series B, Multi
Coupon(d)..................................... 1,075,000 667,844
NTL, Inc., 12.38%, 10/1/08, Series 144A(c)..... 275,000 173,250
NTL, Inc., 11.50%, 10/1/08, Series 144A(c)..... 225,000 246,375
Orange PLC., 8.00%, 8/1/08..................... 400,000 402,000
Paging Network, 10.00%, 10/15/08............... 725,000 703,250
Pathnet, Inc., 12.25%, 4/15/08................. 275,000 209,000
PSINet, Inc., 11.50%, 11/1/08, Series 144A(c).. 175,000 182,000
PSINet, Inc., 10.00%, 2/15/05, Series B........ 350,000 348,250
Qwest Communications International, 0.00%,
10/15/07, Multi Coupon(d)..................... 1,075,000 843,874
Qwest Communications International, 7.50%,
11/1/08, Series 144A(c)....................... 200,000 210,000
Rogers Cablesystems LTD, 10.00%, 3/15/05,
Series B...................................... 275,000 309,375
</TABLE>
Pegasus Funds
169
<PAGE>
Pegasus High Yield Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares
or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Rogers Cantel, Inc., 8.80%, 10/1/07............ $ 500,000 $ 506,875
Telecommunications Techniques Co., 9.75%,
5/15/08....................................... 550,000 544,500
Telesystem International Wireless, Inc., 0.00%,
11/1/07, Series C, Multi Coupon(d)............ 350,000 129,500
Telesystem International Wireless, Inc., 0.00%,
6/30/07, Series B, Multi Coupon(d)............ 400,000 172,000
Teligent, Inc., 11.50%, 12/1/07................ 350,000 323,750
Teligent, Inc., 0.00%, 3/1/08, Series B, Multi
Coupon(d)..................................... 225,000 111,375
Triton Communications, 0.00%, 5/1/08, Multi
Coupon(d)..................................... 675,000 318,938
United International Holdings, Inc., 0.00%,
2/15/08, Series B, Multi Coupon(d)............ 525,000 286,125
US Xchange LLC, 15.00%, 7/1/08, Series 144A.... 175,000 184,188
Verio, Inc., 11.25%, 12/1/08, Series 144A(c)... 150,000 152,250
Viatel, Inc., 0.00%, 4/15/08, Multi Coupon(d).. 100,000 57,000
Viatel, Inc., 10.00%, Series A................. 204 22,499
Viatel, Inc., 11.25%, 4/15/08.................. 300,000 301,500
-----------
20,682,668
-----------
Transportation -- 1.2%
Allied Holdings, 8.63%, 10/1/07, Series B...... 350,000 357,000
AmeriTruck Distribution, 12.25%, 11/15/05,
Series B(a)................................... 325,000 21,125
Lear Seating Corp., 8.25%, 2/1/02.............. 250,000 251,563
Oshkosh Truck Corp., 8.75%, 3/1/08............. 100,000 100,500
Oxford Automotive, 10.13%, 6/15/07............. 250,000 258,750
-----------
988,938
-----------
Utilities -- 3.8%
El Paso Electric Co., 9.40%, 5/1/11, Series E.. 400,000 454,228
Forcenergy, Inc., 8.50%, 2/15/07, Series B..... 700,000 521,500
KCS Energy, Inc., 8.88%, 1/15/08............... 300,000 172,500
Niagara Mohawk Power Corp., 0.00%, 7/1/10,
Series H, Multi Coupon(d)..................... 350,000 272,171
Ocean Energy, Inc., 10.38%, 10/15/05........... 500,000 517,500
Pacalta Resources LTD, 10.75%, 6/15/04, Series
B............................................. 250,000 201,250
Pogo Producing Co., 8.75%, 5/15/07, Series B... 250,000 238,750
Pride Petroleum Services, Inc., 9.38%, 5/1/07.. 375,000 350,625
Universal Compression, Inc., 0.00%, 2/15/08,
Series 144A, Multi Coupon(d).................. 500,000 302,500
-----------
3,031,024
-----------
Yankee & Eurodollar -- 0.2%
Chiles Offshore LLC, 10.00%, 5/1/08............ 250,000 201,250
-----------
TOTAL CORPORATE NOTES AND BONDS.................. 71,317,752
-----------
PREFERRED STOCKS -- 3.4%
Food Products & Services -- 0.1%
Nebco Evans Holding Co., 11.25%, PIK(b)........ 1,084 54,724
-----------
Health Care -- 0.0%
River Holding Corp., 11.50%, Series B, PIK(b).. 530 31,933
-----------
</TABLE>
Pegasus Funds
170
<PAGE>
Pegasus High Yield Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Shares
or
Description Principal Amount. Market Value
----------- ----------------- ------------
<S> <C> <C>
Printing & Publishing -- 0.8%
Primedia, Inc., 8.63%, Series H............... 1,000 $ 96,500
Primedia, Inc., 9.20%, Series F............... 5,250 517,125
-----------
613,625
-----------
Telecommunications -- 1.9%
Benedek Communications, 11.50%, PIK(b)........ 200 161,000
Capstar Broadcasting Partners, Inc., 12.00%,
PIK(b)....................................... 896 107,708
Cumulus Media, Inc., 13.75%, Series A(b)...... 160 173,155
EchoStar Communications, 12.13%, PIK(b)....... 232 270,348
Nextel Communications, 11.13%, Series E,
PIK(b)....................................... 134 115,910
Pegasus Communications, 12.75%, Series A,
PIK(b)....................................... 210 202,223
SFX Broadcasting, Inc., 12.63%, Cumulative,
Series E, PIK(b)............................. 1,412 170,146
Sinclair Capital, 11.63%, Cumulative.......... 3,600 381,600
-----------
1,582,090
-----------
Utilities -- 0.6%
Texas Utilities Co., 9.25%, Cumulative........ 8,000 454,000
-----------
TOTAL PREFERRED STOCKS.......................... 2,736,372
-----------
RIGHTS -- 0.0%
Telecommunications -- 0.0%
Pathnet, Inc.(a), 12.25%, 4/15/08............. 275 2,784
-----------
TOTAL RIGHTS.................................... 2,784
-----------
REPURCHASE AGREEMENTS -- 7.8%
State Street, 4.40%, 1/4/99, (Collateralized
by $6,105,000 various U.S. Treasury
Securities, 6.25%-13.25%, 2/28/02-5/15/14,
market value $6,360,299)..................... 6,342,000 6,342,000
-----------
TOTAL REPURCHASE AGREEMENTS..................... 6,342,000
-----------
WARRANTS -- 0.0%
Telecommunications -- 0.0%
Diva Systems Corp.(a)......................... 675 10,799
Metronet Communications, Inc.(a).............. 200 10,655
Pegasus Communications(a)..................... 175 3,588
UIH Australia/Pacific(a)...................... 300 338
-----------
TOTAL WARRANTS ................................. 25,380
-----------
TOTAL
(Cost $84,002,941) -- 99.5%.................... $80,424,288
===========
</TABLE>
Percentages indicated are based on net assets of $80,800,557.
(a) Ameritruck Distribution, which filed for protection under Chapter 11 of
the Federal Bankruptcy Code, has accrued interest of $19,906 and amortized
cost of $345,312.
(b) PIK -- Payment-In-Kind.
Pegasus Funds
171
<PAGE>
Pegasus High Yield Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
(c) 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 Carrying Value Original Market of Total
Holding Date* Par Per Unit Cost Value Investments
------- ----------- ---------- -------------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
AEI Resources,
Inc./Holding .......... 11/12/97 $ 250,000 $98.50 $ 242,500 $ 246,250 0.31%
AEI Resources, Inc. .... 12/7/98 400,000 99.50 400,000 398,000 0.50
Agrilink Foods, Inc. ... 11/13/98 350,000 102.00 350,000 357,000 0.44
Albecca, Inc. .......... 8/6/98 500,000 100.75 500,000 503,750 0.63
Allied Waste North
America................ 12/14/98 1,575,000 101.50 1,572,260 1,598,625 1.99
American Cellular
Corp. ................. 5/6/98 350,000 99.50 348,451 348,250 0.43
Arch Communications,
Inc. .................. 6/24/98 250,000 100.50 245,123 251,250 0.31
Centennial Cellular
Corp. ................. 12/9/98 250,000 101.00 251,625 252,500 0.31
Chancellor Media Corp.,
Los Angeles............ 9/25/98 275,000 105.50 275,000 290,125 0.36
Diva System's Corp.* ... 12/28/98 225,000 37.75 135,568 84,938 0.10
Domino's, Inc. ......... 12/10/98 250,000 100.00 250,000 250,000 0.31
Fischer Scientific
International, Inc. ... 11/10/98 125,000 100.00 120,625 125,000 0.16
HDA Parts System, Inc. . 7/28/98 150,000 90.50 150,000 135,750 0.17
Hermes Europe Railtel
B.V. .................. 8/19/97 450,000 106.50 487,313 479,250 0.60
Huntsman Corp. ......... 11/24/98 300,000 100.00 296,250 300,000 0.37
Level 3 Communications,
Inc. .................. 11/24/98 1,025,000 58.75 605,901 602,188 0.75
Metromedia Fiber
Network, Inc. ......... 11/20/98 150,000 103.25 150,000 154,875 0.19
MetroNet Communications. 11/4/98 225,000 106.50 225,000 239,625 0.30
National Equipment
Services, Inc. ........ 11/25/97 150,000 99.50 148,151 149,250 0.19
Nationsrent, Inc. ...... 12/8/98 400,000 99.50 400,000 398,000 0.50
NTL, Inc. .............. 10/26/98 225,000 109.50 225,000 246,375 0.31
NTL, Inc. .............. 10/30/98 275,000 63.00 152,639 173,250 0.21
PSI NET, Inc. .......... 10/27/98 175,000 104.00 175,000 182,000 0.23
Qwest Communications
International.......... 10/28/98 200,000 105.00 198,648 210,000 0.26
Regal Cinemas........... 5/21/98 375,000 103.50 374,366 388,125 0.48
Tenet Healthcare Corp. . 5/8/98 150,000 103.75 149,418 155,625 0.19
The Holt Group.......... 3/13/98 200,000 70.50 204,250 141,000 0.17
United Rentals, Inc. ... 12/8/98 500,000 100.75 500,000 503,750 0.63
Verio, Inc. ............ 11/20/98 150,000 101.50 150,000 152,250 0.19
---------- ---------- -----
TOTAL................. $9,283,088 $9,317,001 11.59%
</TABLE>
* Acquisition date refers to the first acquisition date in the case of
securities purchased in multiple lots.
(d) Debt obligation initially issued in zero coupon form which converts to
coupon form at a specified rate and date.
Pegasus Funds
172
<PAGE>
Pegasus Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
MUNICIPAL BONDS -- 99.1%
Alabama -- 0.8%
Courtland Industrial Development Board, Solid
Waste Disposal, Revenue, Series A, AMT, 6.50%,
9/1/25, Callable 9/1/05 @ 102................. $ 5,000,000 $ 5,377,050
Mobile Industrial Development Board, Pollution
Control, Revenue, 4.75%, 4/1/10, Callable
12/1/03 @ 102................................. 1,500,000 1,496,400
------------
6,873,450
------------
Alaska -- 1.0%
Fairbanks North Star Boro, Refunding, Series S,
5.45%, 3/1/06, Callable 7/1/02 @ 100, MBIA.... 2,500,000 2,703,075
Student Loan Revenue, State Assisted, Series A,
AMT, 6.13%, 7/1/05, Callable 7/1/02 @ 100,
AMBAC......................................... 1,000,000 1,059,880
Valdez Marine Terminal, Revenue, Series C,
5.65%, 12/1/28, Callable 12/1/03 @ 102........ 5,000,000 5,145,150
------------
8,908,105
------------
Arizona -- 1.1%
Maricopa County School District #028, GO,
Series B, 6.00%, 7/1/14, Callable 7/1/04 @
100, FGIC..................................... 2,500,000 2,722,150
Salt River Project Agricultural Improvement
Power District, Revenue, Series D, 6.00%,
1/1/08, Callable 1/1/03 @ 102................. 625,000 712,363
Salt River Project Agriculture, Series B,
5.25%, 1/1/19, Callable 1/1/03 @ 102.......... 5,000,000 5,075,750
University of Arizona, Revenue, 5.25%, 6/1/13,
Callable 6/1/08 @ 100......................... 1,500,000 1,573,890
------------
10,084,153
------------
California -- 5.3%
Anaheim Public Finance Authority, Revenue,
Public Improvements Project, Series C, 6.00%,
9/1/16, FSA................................... 2,000,000 2,298,600
Los Angeles School District, Series A, 5.00%,
7/1/21, Callable 7/1/08 @ 102, FGIC........... 3,000,000 2,985,960
Northern California Public Power Agency,
Revenue, Project A, 5.64%, 7/1/07, AMBAC...... 2,455,000 2,743,536
Northern California Public Power Agency,
Revenue, Project A, 5.65%, 7/1/07, AMBAC...... 2,345,000 2,604,545
Northern California Public Power Agency,
Revenue, Project A, 5.60%, 7/1/06, AMBAC...... 1,750,000 1,938,860
Northern California Public Power, Revenue,
Project A, 5.60%, 7/1/06, AMBAC............... 1,750,000 1,926,908
Orange County Recovery, Certificates of
Participation, Series A, 5.70%, 7/1/10,
Callable 7/1/06 @ 102, MBIA................... 4,900,000 5,427,730
Orange County Recovery, Certificates of
Participation, Series A, 5.80%, 7/1/16,
Callable 7/1/06 @102, AMBAC................... 5,315,000 5,792,712
Sacramento Cogeneration Authority, Revenue,
7.00%, 7/1/05................................. 1,500,000 1,733,520
Sacramento Cogeneration Authority, Revenue,
6.00%, 7/1/03................................. 1,000,000 1,082,050
Sacramento Cogeneration Authority, Revenue,
6.20%, 7/1/06, Callable 7/1/05 @ 102.......... 2,500,000 2,797,525
Sacramento Municipal Utilities, Revenue, 5.75%,
1/1/10, Callable 1/1/04 @ 102, MBIA........... 1,500,000 1,643,940
</TABLE>
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SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Sacramento Municipal Utilities, Revenue, 5.125%
, 7/1/22, Callable 7/1/07 @ 102............... $ 3,000,000 $ 3,019,380
State GO, 5.50%, 4/1/06, MBIA.................. 4,500,000 4,923,855
State Public Works Board, Revenue, Department
Of Corrections, Series A, 5.25%, 1/1/21,
Callable 1/1/06 @ 100, AMBAC.................. 6,500,000 6,616,089
------------
47,535,210
------------
Colorado -- 2.8%
Denver, City & County Airport, Revenue,
Prerefunded, Series A, AMT, 8.00%, 11/15/25,
Callable 11/15/00 @102........................ 200,000 220,372
Denver, City & County Airport, Revenue,
Prerefunded, Series A, AMT, 8.50%, 11/15/23,
Callable 11/15/00 @ 102....................... 220,000 244,365
Denver, City & County Airport, Revenue, Series
A, AMT, 8.00%, 11/15/25, Callable 11/15/00 @
102........................................... 2,095,000 2,261,071
Denver, City & County Airport, Revenue, Series
A, AMT, 8.50%, 11/15/23, Callable 11/15/00 @
102........................................... 2,280,000 2,480,959
Denver, City & County Airport, Revenue, Series
B, AMT, 7.25%, 11/15/05, Callable 11/15/02 @
102........................................... 3,000,000 3,345,570
Denver, City & County Airport, Revenue, Series
C, AMT, 6.50%, 11/15/06, Callable 11/15/02 @
102........................................... 2,000,000 2,162,420
Denver, City & County Airport, Revenue, Series
D, AMT, 7.75%, 11/15/13, Callable 11/15/07 @
100........................................... 6,925,000 8,840,593
E-470 Public Highway Authority, Revenue,
Capital Appreciation, Series B, 0.00%, 9/1/23,
MBIA.......................................... 12,295,000 3,498,419
Health Facilities Authority, Revenue, 5.375%,
1/1/16, Callable 1/1/08 @ 101................. 2,250,000 2,258,348
------------
25,312,117
------------
Connecticut -- 1.4%
Housing Finance Authority, Revenue, Mortgage
Subseries D-1, 5.90%, 5/15/16, Callable
5/15/06 @ 102................................. 3,400,000 3,616,036
State, GO, Series A, 5.40%, 3/15/06, Callable
3/15/03 @ 102, MBIA........................... 3,225,000 3,457,910
State, GO, Series A, 5.625%, 5/15/13, Callable
5/15/06 @ 101................................. 5,000,000 5,415,100
------------
12,489,046
------------
Delaware -- 1.1%
State Transit Authority, Revenue, 5.80%,
7/1/09, Callable 7/1/02 @ 102, MBIA........... 9,035,000 9,740,182
------------
Florida -- 6.2%
Gainesville Utilities System, Revenue, Series
A, 5.00%, 10/1/16, Callable 10/1/06 @ 102..... 4,000,000 4,044,320
Jupiter Island Utilities System, Revenue,
5.00%, 10/1/18, Callable 10/1/08 @ 101, MBIA.. 3,000,000 3,009,840
Lakeland Electric & Water, Revenue, Series B,
6.00%, 10/1/11, FGIC.......................... 9,000,000 10,429,380
Lee County Transportation Facilities, Revenue,
Series F, 5.75%, 10/1/27, Callable, 10/1/05 @
102, MBIA..................................... 9,640,000 10,387,196
State Board of Education, Capital Outlay, GO,
6.40%, 6/1/19, Callable 6/1/02 @ 101.......... 12,100,000 13,125,596
</TABLE>
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SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
State Board of Education, Capital Outlay, GO,
5.75%, 6/1/13, Callable 6/1/03 @ 101.......... $ 5,000,000 $ 5,366,350
State Board of Education, Capital Outlay, GO,
5.50%, 6/1/26, Callable 6/1/06 @ 101.......... 8,250,000 8,648,558
------------
55,011,240
------------
Georgia -- 6.2%
Chatham County School District, GO, Series B,
5.50%, 8/1/20, Callable 8/1/04 @ 101, FGIC.... 4,250,000 4,422,125
Fulton County School District, GO, 6.375%,
5/1/10........................................ 5,000,000 5,938,500
Gainesville Water & Sewer Revenue, Series B,
6.00%, 11/15/12, FGIC......................... 3,950,000 4,567,780
Rockdale County Water & Sewer Authority,
Revenue, 5.00%, 7/1/22, Callable 7/1/07 @ 102,
FSA........................................... 3,000,000 2,969,310
State Housing & Finance Authority, Revenue,
Series B, 6.10%, 12/1/12, Callable 6/1/05 @
102, FHA...................................... 650,000 697,158
State Tollway Authority, Revenue, 5.00%,
7/1/10........................................ 5,345,000 5,696,648
State, GO, 6.75%, 9/1/11....................... 10,000,000 12,348,499
State, GO, 7.10%, 9/1/09....................... 9,500,000 11,909,865
State, GO, Series C, 7.25%, 7/1/05............. 1,000,000 1,187,750
State Tollway Authority, Revenue, 5.00%,
7/1/09........................................ 5,000,000 5,345,600
------------
55,083,235
------------
Illinois -- 8.4%
Chicago Metropolitan Water, Capital
Improvement, 5.50%, 12/1/12................... 1,000,000 1,104,300
Chicago O'Hare International Airport, Revenue,
Series A, 5.625%, 1/1/14, Callable 1/1/06 @
102, AMBAC.................................... 5,000,000 5,353,300
Chicago O'Hare International Airport, Revenue,
Series A, 5.625%, 1/1/13, Callable 1/1/06 @
102, AMBAC.................................... 5,000,000 5,379,950
Chicago Public Building Commission, Revenue,
Series A, 7.00%, 1/1/20, Callable 12/1/05 @
102, MBIA..................................... 1,750,000 2,232,685
Chicago School Reform Board of Education,
5.25%, 12/1/22, Callable 12/1/07 @ 102,
AMBAC......................................... 4,750,000 4,810,848
Chicago Waste Water, Revenue, Series A, 0.00%,
1/1/22, MBIA.................................. 10,000,000 3,054,100
Cook County Community College, Certificates of
Participation, Series C, 7.70%, 12/1/04,
MBIA.......................................... 5,000,000 5,963,849
Cook County GO, 7.00%, 11/1/99................. 4,000,000 4,128,400
Cook County GO, Series B, 5.125%, 11/15/17,
Callable 11/15/07 @ 101, MBIA................. 4,700,000 4,767,821
Du Page County, Forest Preservation District,
Refunding, 6.00%, 11/1/03..................... 1,750,000 1,917,213
Health Facilities Authority, Revenue,
Northwestern Memorial Hospital, Series A,
5.60%, 8/15/06, Callable 8/15/04 @ 102........ 1,000,000 1,085,930
Health Facilities Authority, Revenue,
Refunding, 6.00%, 8/15/05, FGIC............... 1,000,000 1,105,680
Housing Development Authority, Revenue, Series
3, 6.10%, 9/1/13, Callable 9/1/03 @ 102....... 2,500,000 2,615,150
Housing Development Authority, Revenue, Series
A, 5.95%, 7/1/21, Callable 7/1/05 @ 102,
AMBAC......................................... 2,000,000 2,103,400
Metropolitan Pier & Expo Authority, Revenue,
Series A, 0.00%, 12/15/12, MBIA............... 5,000,000 2,579,200
</TABLE>
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SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Metropolitan Pier & Expo Authority, Revenue,
Series A, 0.00%, 6/15/29, MBIA................ $12,575,000 $ 2,602,271
Northlake, GO, 5.60%, 12/1/14, Callable 12/1/05
@ 102, MBIA................................... 4,000,000 4,286,680
St Clair County, GO, 8.00%, 12/1/02, MBIA...... 1,000,000 1,149,690
St Clair County, GO, 8.00%, 12/1/03, MBIA...... 1,095,000 1,292,166
State Sales Tax, Revenue, Refunding, Series Q,
5.75%, 6/15/06................................ 5,000,000 5,527,300
State, GO, 5.125%, 12/1/03, FGIC............... 5,700,000 6,031,682
Winnebago & Boone Counties, GO, 7.35%, 2/1/04,
FSA........................................... 3,600,000 4,171,680
Winnebago County, GO, 0.00%, 1/1/17, FSA....... 4,565,000 1,827,872
------------
75,091,167
------------
Indiana -- 14.4%
Ball State University, Revenue, Series G,
6.125%, 7/1/09, Callable 7/1/02 @ 102, FGIC... 400,000 434,608
Ball State University, Revenue, Series H,
6.15%, 7/1/05, FGIC........................... 150,000 168,162
Beech Grove School Building Corp., Revenue,
6.25%, 7/5/16, Callable 1/5/11 @ 100, MBIA.... 1,550,000 1,808,106
Bremen School Building Corp., 6.75%, 1/1/09,
Callable 1/1/02 @ 101, MBIA................... 500,000 544,580
Brownsburg Multi School Building Corp., 9.70%,
7/1/99........................................ 450,000 464,688
Brownsburg School Building Corp., Revenue,
6.10%, 2/1/13, Callable 2/1/05 @ 102, FGIC.... 1,000,000 1,129,420
Carmel High School Building Corp., 6.90%,
7/15/03, Prerefunded 7/1/01 @ 102............. 500,000 547,470
Carmel High School Building Corp., Revenue,
5.15%, 7/15/15, Callable 1/15/06 @ 102, MBIA.. 500,000 510,530
Center Grove High School Building Corp., 5.70%,
1/1/14, Callable 7/1/03 @ 102................. 1,000,000 1,071,750
Central High School Building Corp., Revenue,
5.00%, 8/1/11, Callable 8/1/07 @ 102, AMBAC... 1,000,000 1,034,790
Clark Elementary School Building Corp.,
Revenue, 6.00%, 7/15/12, Callable 7/15/03 @
102........................................... 1,000,000 1,064,740
Cloverdale School Building Corp., 6.375%,
7/15/13, Callable 1/15/02 @ 101............... 1,015,000 1,098,595
Danville Multi School Building Corp., 5.75%,
1/15/18, Callable 1/15/07 @ 102, AMBAC........ 1,000,000 1,073,720
Decatur Township Marion County School District,
GO, 5.65%, 3/15/08 @ 102, Callable 3/15/08 @
102........................................... 1,000,000 1,068,010
Eagle Union Community School Building Corp.,
Revenue, 5.90%, 1/15/18, Callable 7/1/06 @
102........................................... 1,000,000 1,067,200
Eagle Union Elementary School Building Corp.,
9.25%, 1/1/03, Callable 1/1/99 @ 102.......... 100,000 119,303
East Allen Elementary School District Corp.,
Revenue, 5.875%, 7/1/12, Callable 7/1/06 @
102, FSA...................................... 2,000,000 2,212,880
East Allen Woodland School Building Corp.,
Revenue, 5.25%, 7/15/12, Callable 7/1/99 @ 101
AMBAC......................................... 1,000,000 1,047,350
Evansville Vanderburgh Corp., Revenue, 5.80%,
8/15/16, Callable 8/1/06 @ 102, MBIA.......... 1,000,000 1,084,380
</TABLE>
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176
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SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Fort Wayne South Side, Revenue, 6.125%,
1/15/12, Callable 1/15/04 @ 102, MBIA......... $ 450,000 $ 503,330
Franklin Community School Building Corp.,
Revenue, 6.00%, 1/15/13, Callable 7/15/06 @
102, FSA...................................... 2,000,000 2,219,240
Franklin Community School Building Corp.,
Revenue, 5.85%, 7/15/11, Callable 7/15/06 @
102, FSA...................................... 500,000 552,260
Greater Clark Elementary Building Corp., Series
A, 6.70%, 1/1/03, AMBAC....................... 500,000 533,225
Greencastle N E Elementary School Building
Corp., 6.625%, 1/15/14, Callable 1/15/03 @
101........................................... 500,000 544,840
Hamilton County Option, Revenue, 5.20%,
7/10/14, Callable 1/10/08 @ 101, FSA.......... 1,645,000 1,691,570
Hamilton County Public Building Corp., Series
A, 6.25%, 1/20/12, Callable 7/20/02 @ 102..... 1,000,000 1,091,110
Hamilton Southeastern Construction School
Building, Revenue, 6.00%, 1/15/14, Callable
7/15/05 @ 102, AMBAC.......................... 300,000 339,108
Hamilton Southeastern School Building Corp.,
5.40%, 7/15/15, Callable 7/15/07 @ 102, FSA... 1,000,000 1,050,500
Hammond Multi School Building Corp., Revenue,
Series A, 6.15%, 7/10/10, Callable 1/10/03 @
102........................................... 500,000 538,610
Health Facilities Finance Authority, 7.00%,
7/1/11, Prerefunded 7/1/01 @ 102, MBIA........ 1,000,000 1,098,510
Health Facilities Finance Authority, Revenue,
Series A, 6.00%, 9/1/05....................... 1,000,000 1,114,850
Health Facilities Finance Authority, Revenue,
Series D, 5.00%, 11/1/07...................... 490,000 508,752
Health Facility Financing Authority, Revenue,
Series A, 5.50%, 2/15/16, Callable 2/15/07 @
102........................................... 1,000,000 1,044,530
Howard County, GO, 13.00%, 1/1/01.............. 200,000 235,010
Indiana Education Facility, Wabash, 4.80%,
11/1/03....................................... 5,000,000 5,033,350
Indiana State University, Revenue, Series G,
6.60%, 7/1/04, Callable 1/1/94 @ 103.......... 200,000 226,024
Indiana State Vocational Technology College,
Revenue, Series D, 5.90%, 7/1/06, Callable
1/1/05 @ 102, AMBAC........................... 1,000,000 1,104,980
Indiana State Vocational Technology College,
Series D, 6.40%, 7/1/10, Callable 1/1/05 @
102, AMBAC.................................... 350,000 394,727
Indiana University, Revenue, Series K, 5.875%,
8/1/20, Callable 11/1/02 @ 102, MBIA.......... 5,000,000 5,390,049
Indianapolis Economic Development, Revenue,
5.95%, 1/1/03, Callable 1/1/00 @ 100.......... 2,500,000 2,503,850
Indianapolis Gas Utilities, Revenue, 7.00%,
6/1/08, Callable 6/1/99 @ 100................. 200,000 228,060
Indianapolis Local Public Improvement Building
Bank, Series C, 6.25%, 1/1/02................. 4,000,000 4,273,640
Indianapolis School Building Corp., Revenue,
5.20%, 7/15/12, Callable 1/5/07 @ 102, FSA.... 1,000,000 1,049,170
Indianapolis School Building Corp., Revenue,
5.20%, 1/5/13, Callable 1/5/07 @ 102, FSA..... 1,000,000 1,041,990
Lafayette Redevelopment Authority, Economic
Development, 6.70%, 2/1/10, Prerefunded 8/1/04
@ 102, MBIA................................... 200,000 231,212
Lafayette Redevelopment Authority, Economic
Development, 6.80%, 8/1/10, Prerefunded 8/1/04
@ 102, MBIA................................... 255,000 296,063
</TABLE>
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177
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SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Lawrence Township Metropolitan School District,
Revenue, 6.75%, 1/5/07........................ $ 455,000 $ 532,728
Merrillville Multi School Building Corp.,
5.65%, 7/15/14, Callable 1/15/07 @ 102, MBIA.. 1,000,000 1,075,650
Merrillville Multi School Building Corp.,
6.45%, 7/1/04, Callable 1/1/04 @ 100.......... 525,000 586,488
Metro School District Building Corp., 6.90%,
1/1/18, Callable 1/1/05 @ 102................. 1,500,000 1,757,625
Mishawaka City Multi School Building, 5.50%,
7/15/15, Callable 1/15/08 @ 102............... 4,400,000 4,647,940
Mooresville Construction School Building Corp.,
Revenue, 5.25%, 7/15/12, Callable 7/15/07 @
102, AMBAC.................................... 1,000,000 1,056,350
Morgan County Public Library, 7.30%, 1/1/03,
Callable 1/1/99 @ 102......................... 155,000 160,428
Muncie School Building Corp., Revenue, 6.625%,
7/15/09, Prerefunded 7/15/01 @ 102............ 500,000 544,170
Municipal Power Agency Supply System, Revenue,
Series B, 5.50%, 1/1/16, Callable 1/1/14 @
100, MBIA..................................... 3,000,000 3,240,360
North Warrick County School Building, 10.00%,
1/1/04, Callable 7/1/03 @ 101................. 250,000 317,435
Northwest Allen Building Corp., 6.90%, 7/15/01. 1,000,000 1,096,480
Purdue University Certificates of
Participation, 6.20%, 7/1/15, Callable 7/1/04
@ 100......................................... 500,000 533,115
Seymour Community High School Building Corp.,
Revenue, 6.25%, 1/15/14, Callable 1/15/05 @
101, FGIC..................................... 1,000,000 1,128,880
South Bend Community School Building Corp.,
5.70%, 8/1/17, Callable 8/1/07 @ 101, FSA..... 900,000 1,009,836
South Bend Community School Building Corp.,
Revenue, 5.70%, 8/1/19, Callable 8/1/07 @ 101,
FSA........................................... 1,500,000 1,683,060
South Central Community School Building Corp.,
Revenue, 5.85%, 7/15/17, Callable 1/15/08 @
102, AMBAC.................................... 1,000,000 1,092,360
South Harrison Community School Building Corp.,
Revenue, 5.80%, 7/15/11, Callable 1/15/03 @
102........................................... 1,360,000 1,478,361
South Harrison Community School Building Corp.,
Revenue, 9.70%, 7/1/99, ETM................... 450,000 464,688
South Newton School Building Corp., Revenue,
5.80%, 7/15/12, Callable 1/15/05 @ 102, MBIA.. 710,000 772,324
St Joseph County Hospital Facilities Authority,
Revenue, 6.25%, 8/15/12, Callable 2/15/03 @
102, MBIA..................................... 1,000,000 1,109,540
State Educational Facilities Authority,
Revenue, 6.00%, 7/1/12, Callable 7/1/06 @ 101. 1,000,000 1,092,080
State Educational Facilities Authority,
Revenue, 5.65%, 1/1/16, Callable 1/1/06 @ 101,
MBIA.......................................... 1,020,000 1,080,037
State Educational Facilities Authority,
Revenue, Series B, 6.60%, 1/1/11, Callable
1/1/02 @ 102, MBIA............................ 450,000 491,094
State Educational Facilities Authority,
Revenue, 6.00%, 6/1/15, Callable 6/1/06 @ 102,
MBIA.......................................... 750,000 826,575
State Housing Finance Authority, Multi Unit
Mortgage, 6.60%, 1/1/12, Callable 1/1/03 @
102........................................... 850,000 907,282
State Office Building Commission, Revenue,
Series A, 5.50%, 7/1/12, Callable 7/1/05 @
102, AMBAC.................................... 1,150,000 1,232,168
</TABLE>
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178
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SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
State Office Building Commission, Revenue,
Series B, 7.10%, 7/1/99, MBIA................. $ 3,000,000 $ 3,060,450
State Office Building Common, Revenue, 6.40%,
7/1/11, Callable 12/1/01 @ 102................ 2,000,000 2,188,840
State Recreational Development Commission,
Revenue, Series B, 6.00%, 7/1/09.............. 500,000 544,430
Terre Haute North/South, Revenue, 5.80%,
7/1/13, Callable 7/1/03 @ 102................. 2,100,000 2,225,475
Tippecanoe County Hospital Authority, Revenue,
7.25%, 1/1/11, Callable 1/1/99 @ 100, ETM..... 120,000 141,972
Transportation Finance Authority, Revenue,
Series A, 7.25%, 6/1/15....................... 4,000,000 5,092,640
Transportation Finance Authority, Airport
Facility, Revenue, Series A, 6.00%, 11/1/14,
Callable 11/1/05 @ 102........................ 500,000 544,460
Transportation Finance Authority, Revenue,
6.25%, 11/1/16, Prerefunded 11/1/02 @ 102..... 2,745,000 3,033,801
Transportation Finance Authority, Revenue,
Series A, 5.00%, 12/1/18, Callable 12/1/08 @
101........................................... 6,230,000 6,187,822
Transportation Finance Authority, Revenue,
Series A, 6.25%, 11/1/16, Callable 1/1/02 @
102........................................... 755,000 819,432
Transportation Finance Authority, Revenue,
Series A, 6.80%, 12/1/16, Callable 12/1/10 @
100........................................... 8,750,000 10,745,699
Vincennes Community School Building Corp.,
Revenue, 6.00%, 7/1/09, Callable 7/1/06 @ 102,
FSA........................................... 1,180,000 1,320,550
Vincennes University, Revenue, 7.00%, 10/1/11,
Prerefunded 10/1/01 @ 102, FSA................ 1,000,000 1,106,460
Vinton Tecumseh School Building Corp., 6.25%,
7/15/16, Callable 7/15/04 @ 102............... 300,000 337,377
Vinton Tecumseh School Building Corp., 6.25%,
7/15/16, Callable 7/15/04 @ 102, FSA.......... 580,000 653,689
Wa Nee Elementary/High School Building Corp.,
Revenue, 6.50%, 7/15/10, Callable 1/15/04 @
102........................................... 450,000 511,434
Wabash County School Building Corp., 6.875%,
7/1/09, Callable 1/1/02 @ 101................. 500,000 543,370
Warsaw High School Building Corp., Revenue,
6.50%, 1/1/10, Callable 7/1/00 @ 102, MBIA.... 1,000,000 1,060,630
West Lafayette Jr/Sr High School, Revenue,
5.80%, 7/15/15, Callable 7/15/04 @ 101, MBIA.. 2,000,000 2,209,460
Westfield High School Building Corp., Revenue,
5.70%, 7/15/13, Callable 7/15/05 @ 102, AMBAC. 800,000 890,592
Westfield High School Building Corp., Revenue,
5.80%, 7/15/18, Callable 7/15/05 @ 102, AMBAC. 1,000,000 1,118,950
Whitko Middle School Building Corp., 6.75%,
7/15/12, Prerefunded 7/15/01 @ 101, AMBAC..... 500,000 542,510
Whitko Middle School Building Corp., Revenue,
5.875%, 7/15/12, Callable 1/15/07 @ 102, FSA.. 1,000,000 1,106,570
------------
128,292,509
------------
</TABLE>
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179
<PAGE>
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- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Maine -- 0.8%
Maine Municipal Bond Bank, Series A, 5.50%,
11/1/10, FSA.................................. $ 4,000,000 $ 4,416,640
State Housing Authority, Mortgage Purchase,
Revenue, Series A, 5.05%, 11/15/16, Callable
9/1/07 @ 101.5................................ 2,710,000 2,754,092
------------
7,170,732
------------
Maryland -- 0.3%
State Community Development, Revenue, 6.20%,
4/1/14, Callable 4/1/05 @ 102................. 2,250,000 2,421,203
------------
Massachusetts -- 1.9%
Housing Finance Agency, Revenue, 6.00%,
12/1/15, Callable 12/1/05 @ 102, AMBAC........ 4,000,000 4,255,160
State Industrial Finance Agency, Revenue,
6.00%, 1/1/15, Callable 1/1/06 @ 102, MBIA.... 2,265,000 2,500,968
State, GO, Series C, 5.00%, 8/1/07 @ 101,
Callable 12/1/05 @ 102........................ 10,000,000 10,052,700
------------
16,808,828
------------
Michigan -- 7.4%
Ann Arbor School District, 7.00%, 5/1/00....... 1,165,000 1,220,687
Ann Arbor School District, 7.10%, 5/1/01....... 1,500,000 1,617,570
Ann Arbor School District, 7.125%, 5/1/02...... 1,500,000 1,657,635
Caledonia Community Schools, GO, 5.85%, 5/1/22,
Callable 5/1/07 @ 100, MBIA................... 1,500,000 1,609,890
Dexter Community Schools, 5.10%, 5/1/18, FGIC.. 1,000,000 1,030,050
Grand Rapids Water Supply System, Revenue,
6.30%, 1/1/04, Callable 1/1/01 @ 102, FGIC.... 250,000 267,218
Grand Traverse County Hospital Finance
Authority, Revenue, Series A, 5.80%, 7/1/03,
Callable 7/1/02 @ 102, AMBAC.................. 1,000,000 1,075,380
Kalamazoo Hospital Finance Authority, 5.875%,
5/15/26, Callable 5/15/06 @ 102, MBIA......... 4,675,000 5,012,161
Michigan State Strategic Fund, Revenue, AMT,
6.00%, 12/1/13, Callable 12/1/03 @ 102........ 2,000,000 2,094,220
Oakland County Educational, Revenue, 6.90%,
11/01/14, Callable 11/1/04 @ 102.............. 5,000,000 5,860,499
Royal Oak Hospital Finance Authority, Revenue,
Series A, 7.75%, 1/1/03....................... 3,000,000 3,136,170
Saranac Community Schools, 6.00%, 5/1/13,
Callable 5/1/03 @ 102......................... 250,000 273,478
State Building Authority, Revenue, Series I,
6.40%, 10/1/04, Callable 10/1/01 @ 102........ 600,000 651,396
State Building Authority, Revenue, Series II,
6.75%, 10/1/11, Callable 10/2/01 @ 102........ 5,150,000 5,598,411
State Hospital Finance Authority, Revenue,
6.50%, 8/15/18, Callable 8/15/03 @ 102........ 6,500,000 7,036,054
State Hospital Finance Authority, Revenue,
5.25%, 3/1/14, Callable 3/1/04 @ 102.......... 2,000,000 2,019,460
State Housing Development Authority, Revenue,
Series C, 6.38%, 12/1/11, Callable 12/1/04 @
102........................................... 1,450,000 1,555,604
State Housing Development Authority, Revenue,
Series A, 7.00%, 6/1/04, Callable 3/1/01 @
102........................................... 305,000 316,733
</TABLE>
Pegasus Funds
180
<PAGE>
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- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
State Housing Development Authority, Revenue,
Series A, 7.30%, 12/1/09, Callable 12/11/99 @
102........................................... $ 1,790,000 $ 1,856,946
State Housing Development Authority, Revenue,
Series D, 5.95%, 12/1/16, Callable 12/1/06 @
102........................................... 5,000,000 5,311,350
State, GO, 5.00%, 12/1/05...................... 5,000,000 5,317,050
State, GO, 6.25%, 11/1/07, Prerefunded 11/1/02
@ 102......................................... 3,500,000 3,873,520
Traverse City Area Public School, Series I,
5.70%, 5/1/11, Prerefunded 5/1/05 @ 101, MBIA. 2,400,000 2,648,784
Walled Lake Consolidated School District,
Series I, 7.00%, 5/1/00....................... 1,000,000 1,048,340
Warren Consolidated School District, GO,
6.625%, 5/1/21, Prerefunded 5/1/02 @ 102...... 3,500,000 3,868,585
------------
65,957,191
------------
Minnesota -- 2.1%
State Housing Financing Agency, Revenue, Series
D, 5.90%, 8/1/15, Callable 2/1/05 @ 102, MBIA. 5,890,000 6,226,614
State Public Facilities Authority Water,
Revenue, 5.00%, 3/1/09, Callable 3/1/07 @ 100. 6,000,000 6,329,880
State, GO, 5.60%, 10/1/06, Prerefunded 10/1/04
@ 100......................................... 5,250,000 5,711,055
------------
18,267,549
------------
Missouri -- 0.5%
Sikeston Electric, Revenue, 6.00%, 6/1/05...... 3,710,000 4,138,802
------------
Montana -- 0.2%
State Board Housing, Revenue, Series A-1,
6.05%, 6/1/16, Callable 12/1/06 @ 102, FHA.... 1,500,000 1,590,585
------------
Nevada -- 0.6%
Clark County Industrial Development, Revenue,
7.20%, 10/1/22, AMBAC......................... 5,145,000 5,774,439
------------
New Jersey -- 0.8%
Gloucester County Improvement Authority, Solid
Waste, Revenue, Series A, 6.20%, 9/1/07,
Callable 9/1/02 @ 100......................... 400,000 431,692
State Sports & Exposition Authority, 8.00%,
1/1/99........................................ 1,000,000 1,000,000
State, GO, 6.00%, 8/1/05, Prerefunded 8/1/02 @
100.75........................................ 5,000,000 5,417,950
------------
6,849,642
------------
New Mexico -- 0.4%
State Mortgage Finance Authority, Revenue,
Single Family, 5.90%, 7/1/16, Callable 7/1/07
@ 102, GNMA................................... 3,415,000 3,623,588
------------
New York -- 4.1%
State Dormitory Authority, Revenue, 5.875%,
7/1/08, Callable 7/1/06 @ 102................. 5,000,000 5,561,050
State Dormitory Authority, Revenue, Series B,
5.00%, 2/15/23, Callable 2/15/98 @ 102, FSA... 5,685,000 5,625,762
State Dormitory Authority, Revenue, Series E,
5.125%, 2/15/08............................... 3,500,000 3,708,495
State Local Assistance Corp., Revenue, Series
E, 5.00%, 4/1/21.............................. 9,500,000 9,543,795
State Thruway Authority Highway Bridge, Series
A, 6.00%, 4/1/14, Callable 4/1/04 @ 102, FGIC. 1,345,000 1,504,571
</TABLE>
Pegasus Funds
181
<PAGE>
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- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
State Thruway Authority, Revenue, Series E,
5.25%, 1/1/15, Callable 1/1/08 @ 101.......... $10,000,000 $ 10,420,200
Triborough Bridge & Tunnel Authority, Revenue,
Series X, 6.625%, 1/1/12...................... 250,000 303,100
------------
36,666,973
------------
North Carolina -- 4.1%
Charlotte Mecklenberg Hospital Authority
Health, Revenue, Series A, 5.125%, 1/15/22,
Callable 1/15/07 @ 102........................ 5,000,000 4,939,950
Charlotte Mecklenberg Hospital Authority,
Series A, 5.60%, 1/15/10, Callable 1/15/06 @
102........................................... 3,355,000 3,675,537
Charlotte Mecklenberg Hospital, Revenue, 5.90%,
1/15/16, Prerefunded 1/15/06 @ 102............ 890,000 1,001,855
Charlotte Mecklenberg Hospital, Revenue, 5.90%,
1/15/16, Callable 1/15/06..................... 3,510,000 3,818,213
Charlotte, GO, Water & Sewer, 5.00%, 2/1/19,
Callable 2/1/99 @ 102......................... 4,000,000 4,053,160
Charlotte, GO, Public Improvement Series A,
5.00%, 2/1/19, Callable 2/1/08 @ 102.......... 2,555,000 2,588,956
Durham County Public Improvement, 5.90%,
4/1/12, Callable 4/1/04 @ 102................. 4,400,000 4,848,096
State Housing Finance Agency, Revenue, AMT,
Single Family, Series Ll, 5.50%, 9/1/22....... 2,020,000 2,084,701
State Housing Finance Agency, Revenue, AMT,
Single Family, Series Bb, 6.50%, 9/1/26,
Callable 3/1/05 @ 102......................... 4,250,000 4,557,870
State Housing Finance Agency, Revenue, AMT,
Single Family, Series Ff, 6.25%, 3/1/28....... 5,000,000 5,329,700
------------
36,898,038
------------
Ohio -- 7.2%
Cleveland Waterworks, Revenue, 5.25%, 1/1/13,
Callable 1/1/08 @ 101, FSA.................... 5,000,000 5,264,850
Cleveland, Certificates of Participation,
5.25%, 11/15/17, Callable 11/15/07 @ 102,
AMBAC......................................... 5,000,000 5,135,650
Franklin County Hospital, Revenue, Series A,
6.50%, 5/1/07................................. 4,000,000 4,430,120
Housing Finance Agency, Mortgage, Revenue,
Series A-1, 6.20%, 98/1/14, GNMA.............. 1,605,000 1,731,442
Montgomery County Hospital, Revenue, 5.625%,
4/1/16, Callable 4/1/06 @ 102, MBIA........... 4,500,000 4,768,470
Ohio State Turnpike Commission, Revenue, Series
A, 5.50%, 2/15/16, FGIC....................... 9,000,000 9,788,849
State Building Authority, Revenue, Series A,
6.125%, 10/1/09, Callable 10/1/02 @ 102....... 250,000 277,015
State Turnpike Commission, Revenue, Series A,
5.50%, 2/15/15, FGIC.......................... 3,245,000 3,545,227
State Turnpike Commission, Revenue, Series A,
5.70%, 2/15/17, Prerefunded 2/15/06 @ 102,
MBIA.......................................... 5,000,000 5,598,450
State Turnpike Commission, Revenue, Series A,
5.50%, 2/15/14, FGIC.......................... 8,155,000 8,951,744
State, GO, 5.50%, 8/1/03, Callable 8/1/02 @
102........................................... 3,265,000 3,508,145
State, GO, State Public & Sewer Improvement,
6.00%, 8/1/07, Callable 8/1/05 @ 102.......... 1,000,000 1,122,570
</TABLE>
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182
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- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
State, GO, Infrastructure Improvement, 5.50%,
8/1/16, Callable 8/1/07 @ 101................. $ 5,645,000 $ 6,003,006
State, GO, 5.60%, 8/1/04, Callable 8/1/02 @
102........................................... 3,395,000 3,656,313
------------
63,781,851
------------
Oklahoma -- 0.7%
McGee Creek Authority, Revenue, 6.00%, 1/1/23,
Callable 1/1/14 @ 100, MBIA................... 5,755,000 6,620,379
------------
Pennsylvania -- 1.0%
Delaware County, GO, 5.125%, 10/1/11, Callable
10/1/09 @ 100................................. 6,695,000 7,064,430
Ephrata Area School District, GO, Series C,
5.00%, 10/15/16, Callable 10/15/08 @ 100,
FGIC.......................................... 2,000,000 2,005,540
------------
9,069,970
------------
Rhode Island -- 0.7%
Rhode Island Depositors Economic Protection,
Revenue, Series A, 6.30%, 8/1/05, FSA, MBIA... 5,800,000 6,546,924
------------
South Carolina -- 0.8%
Greenville Hospital System Facilities, Revenue,
Series A, 5.60%, 5/1/10, Callable 5/1/06 @
102........................................... 2,000,000 2,164,320
Spartanburg Water, Revenue, 5.00%, 6/1/17,
FGIC.......................................... 5,125,000 5,162,464
------------
7,326,784
------------
South Dakota -- 0.9%
Heartland Consumers Power District Electric,
Revenue, 6.00%, 1/1/17, FSA................... 2,500,000 2,834,500
State Building Authority, Revenue, 6.625%,
9/1/12, Callable 9/1/02 @ 102, AMBAC.......... 1,200,000 1,334,460
State Housing Development Authority, 5.70%,
5/1/08, Callable 5/1/06 @ 102................. 2,300,000 2,440,392
State Housing, Revenue, 6.25%, 5/1/15, Callable
5/1/05 @ 102.................................. 1,000,000 1,070,890
------------
7,680,242
------------
Tennessee -- 2.0%
Knox County Health Educational & Housing
Facilities Board, Revenue, 7.25%, 1/1/09,
MBIA.......................................... 1,360,000 1,674,582
Knox County Health, Educational & Housing
Facilities Board, Revenue, 7.25%, 1/1/10,
MBIA.......................................... 1,300,000 1,613,911
Memphis, GO, 5.25%, 10/1/10, Callable 10/1/06 @
101........................................... 3,470,000 3,695,377
Memphis, GO, 5.25%, 10/1/11, Callable 10/1/06 @
101........................................... 5,240,000 5,548,425
State Housing Development Agency, Revenue, AMT,
Homeownership Pg-Issue, 5.35% 7/1/23, Callable
1/1/09 @ 101.................................. 2,680,000 2,717,842
State, GO, Public Improvements, 5.50%, 5/1/17,
Callable 5/1/07 @ 101.50...................... 2,280,000 2,319,763
------------
17,569,900
------------
Texas -- 6.8%
Matagorda County Dist #1 Power & Light Project,
6.10%, 7/1/28, Callable 7/1/00 @ 102, MBIA.... 6,750,000 7,102,418
Richardson Texas Hospital Authority, 6.50%,
12/1/12, Callable 12/1/03..................... 3,555,000 3,959,168
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
183
<PAGE>
Pegasus Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
San Antonio Hotel Occupancy Tax, Revenue,
5.70%, 8/15/26, Callable 8/15/06 @ 102, FGIC.. $10,000,000 $ 10,692,000
State Public Finance Authority, GO, Series B,
5.63%, 10/1/12, Callable 10/1/06 @ 100........ 5,000,000 5,439,250
State Turnpike Authority, Dallas Northway,
Revenue, 5.00%, 1/1/25, Callable 1/1/06 @ 102,
FGIC.......................................... 18,300,000 17,973,345
State Turnpike Authority, Dallas Northway,
Revenue, 5.25%, 1/1/23, Callable 1/1/06 @ 102,
FGIC.......................................... 3,690,000 3,744,169
State Water Development Board,, Series B,
5.125%, 7/15/18, Callable 1/15/07 @ 100....... 5,000,000 5,055,700
State, GO, College Student Loan, AMT, 6.50%,
8/1/07, Callable 8/1/02 @ 100................. 4,000,000 4,253,000
State, GO, Refunding, Series A, 6.00%, 10/1/05. 1,000,000 1,117,840
University of Texas, Revenue, Series A, 5.25%,
8/15/07, Callable 8/15/06 @ 102............... 1,000,000 1,081,490
------------
60,418,380
------------
Utah -- 1.2%
State Board of Regents, Revenue, Series A,
5.00%, 4/1/20, Callable 4/1/08 @ 101, MBIA.... 4,500,000 4,444,560
State Housing Finance Agency, Revenue, AMT,
Single Family Mortgage Issue A2, 6.25%,
7/1/25, Callable 1/1/07 @ 102, FHA............ 5,545,000 5,923,224
------------
10,367,784
------------
Virginia -- 1.8%
Norfolk Water, Revenue, 5.875%, 11/1/14,
Callable 11/1/05 @ 102, MBIA.................. 4,140,000 4,526,593
State Housing Development Authority, Refunding,
Series E, 5.60%, 11/1/10, Callable 11/1/03 @
102........................................... 1,500,000 1,567,320
State Housing Development Authority,
Commonwealth Mortgage, Series H, Subseries H-
2, 6.20%, 1/1/08, Callable 1/1/05 @ 102....... 2,000,000 2,149,600
State Housing Development Authority, Series A,
Commonwealth Mortgage, 7.10%, 1/1/17, Callable
1/1/02 @ 102.................................. 4,500,000 4,708,800
State Public Building Authority, Revenue,
Series A, 5.70%, 8/1/01....................... 3,000,000 3,156,630
------------
16,108,943
------------
Washington -- 1.9%
King County, GO, Series B, 5.80%, 12/1/12,
Callable 12/1/07 @ 102........................ 10,000,000 11,076,400
Spokane County School District #081, GO, 6.00%,
12/1/03....................................... 5,000,000 5,485,400
------------
16,561,800
------------
West Virginia -- 0.6%
Braxton County Solid Waste Disposal, Revenue,
AMT, 6.125%, 4/1/26, Callable 10/23/06 @ 102.. 5,475,000 5,791,565
------------
Wisconsin -- 1.5%
Housing & Economic Development Authority,
Revenue, Home Ownershp Series A, 6.15%,
9/1/17, Callable 3/1/05 @ 102................. 1,420,000 1,499,051
State Transportation, Revenue, Series B, 5.75%,
7/1/12, Prerefunded 7/1/02 @ 100.............. 1,000,000 1,066,890
State, GO, Series D, 5.10%, 5/1/13, Callable
5/1/09 @ 100.................................. 1,750,000 1,815,083
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
184
<PAGE>
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- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares
or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
State, GO, 5.50%, 11/1/13...................... $ 7,000,000 $ 7,700,839
State, GO, Refunding, Series 2, 5.125%,
11/1/08....................................... 1,250,000 1,345,938
------------
13,427,801
------------
Wyoming -- 0.1%
State Community Development Authority, Single
Family, Series D,
7.60%, 6/1/17, Callable 11/30/99 @ 103........ 445,000 456,979
------------
TOTAL MUNICIPAL BONDS............................ 882,317,286
------------
INVESTMENT COMPANIES -- 0.6%
Pegasus Municipal Cash Management Fund -- Class
I.............................................. 5,657,773 5,657,773
------------
TOTAL INVESTMENT COMPANIES....................... 5,657,773
------------
TOTAL............................................ $887,975,059
============
(Cost $831,520,259) -- 99.7%
</TABLE>
Percentages indicated are based on net assets of $891,032,811.
<TABLE>
<C> <S>
AMBAC Insured by AMBAC Indemnity Corp.
AMT Alternative Minimum Tax Paper
CapMAC Insured by Capital Markets Assurance Corporation
ETM Escrowed to Maturity
FGIC Insured by Federal Guarantee Insurance Corporation
FSA Insured by Federal Security Assurance
GO General Obligation
MBIA Insured by Municipal Bond Insurance Association
PP Private Placement
</TABLE>
(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>
Carrying Percentage
Acquisition Value Original Market of Total
Holding Date* Par Per Unit Cost Value Investments
------- ----------- ---------- -------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
Indiana Educational
Facility,
Wabash................ 11/6/98 $5,000,000 $100.67 $5,000,000 $5,033,350 0.57%
</TABLE>
* Acquisition date refers to the first acquisition date in the case of
securities purchased in multiple lots.
See Notes to Financial Statements.
Pegasus Funds
185
<PAGE>
Pegasus Short Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
MUNICIPAL BONDS -- 98.9%
Alabama -- 2.4%
Dothan Industrial Development Board, 4.60%,
10/1/02, Callable 6/1/01 @ 103, LOC: First
Union National................................ $2,825,000 $ 2,825,000
------------
Arizona -- 4.5%
State Transportation Board Executive Tax
Revenue, Maricopa County, 4.60%, 7/1/04,
AMBAC......................................... 5,175,000 5,359,230
------------
California -- 3.6%
Los Angeles Wastewater System, Revenue,
Refunding Series A, 5.50%, 2/1/02, FGIC....... 4,000,000 4,229,480
------------
Florida -- 7.2%
Dade County Public Service Tax Revenue, 5.00%,
10/1/99, FSA.................................. 4,400,000 4,467,056
Hillsborough County School Board Revenue, Sales
Tax School Improvements, 5.00%, 10/1/99,
AMBAC......................................... 4,000,000 4,060,960
------------
8,528,016
------------
Illinois -- 6.8%
Chicago School Finance Authority, Refunding
Series A General Obligation, 4.70%, 6/1/00,
FGIC.......................................... 3,500,000 3,561,390
Illinois Development Finance Authority,
Pollution Control Revenue, Chrysler
Corporation Project, 5.70%, 10/1/99........... 1,450,000 1,475,158
Illinois Rural Bond Bank Revenue, Public
Projects Construction Notes, 4.50%, 3/15/99... 3,000,000 3,007,230
------------
8,043,778
------------
Indiana -- 9.4%
Indiana Bond Bank, Common School Fund Advance
Purchase, 4.45%, 8/1/99, AMBAC................ 4,000,000 4,032,880
Indiana Education Facility, Wabash, Private
Placement, 4.80%, 11/1/03..................... 5,000,000 5,033,350
Indiana Transportation Finance Authority,
Highway Revenue, Series A, 4.50%, 12/1/01..... 2,235,000 2,285,623
------------
11,351,853
------------
Kentucky -- 2.2%
Jefferson County School District Finance,
Capital Building Revenue, Refunding Series B,
5.70%, 1/1/00, MBIA........................... 2,500,000 2,564,900
------------
Maryland -- 4.4%
Montgomery County General Obligation,
Construction Public Improvements, Series A,
5.10%, 4/1/02................................. 5,000,000 5,227,050
------------
Massachusetts -- 6.4%
Boston, General Obligation, Series B, 5.00%,
8/1/99, AMBAC................................. 3,520,000 3,561,501
New England Education Loan Marketing
Corporation, Revenue, Series G, 5.00%, 8/1/00. 4,000,000 4,088,920
------------
7,650,421
------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
186
<PAGE>
Pegasus Short Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Michigan -- 11.7%
Dickinson County Economic Revenue, Refunding
Champion International, 6.55%, 3/1/07,
Callable 7/29/00 @ 102........................ $4,500,000 $ 4,719,509
Higher Education Facilities Authority, Revenue,
Refunding Limited Obligation, Thomas M Cooley,
4.35%, 5/1/02, LOC: First of America Bank..... 500,000 506,245
Higher Education Facilities Authority, Revenue,
Refunding Limited Obligation, Thomas M Cooley,
4.45%, 5/1/03, LOC: First of America Bank..... 600,000 609,540
State Building Authority, Revenue, 4.20%,
10/15/21, Callable 10/15/03 @ 100............. 1,800,000 1,798,560
State Building Authority, Revenue, Refunding
Facilities Program, Series 1, 3.875%,
10/15/21,Callable 10/15/00 @ 100.............. 2,500,000 2,498,050
State Hospital Finance Authority, Revenue,
Refunding Hospital Charity Obligation D,
4.80%, Mandatory Put 11/1/04 @ 100............ 2,455,000 2,521,432
State Strategic Fund, Limited Obligation
Revenue, 4.50%, Mandatory Put 2/15/01 @ 100,
LOC: First of American Bank, Lutheran Social
Services...................................... 1,360,000 1,360,136
------------
14,013,472
------------
Minnesota -- 1.7%
State Housing Finance Agency, Single Family
Mortgage -- Series G, 3.70%, Mandatory Put
6/29/00 @ 100................................. 2,000,000 2,000,000
------------
Missouri -- 4.2%
Rural Water Finance Corporation, Public
Projects Construction Notes, 4.50%, 11/15/99.. 5,000,000 5,047,900
------------
Nevada -- 3.2%
Clark County Highway Improvements, Revenue,
Motor Vehicle Fuel Tax Public Improvements,
5.00%, 7/1/02, AMBAC.......................... 3,675,000 3,827,439
------------
New Jersey -- 3.5%
Elizabeth, New Jersey, General Obligation,
Refunding, 0.00%, 8/1/03, MBIA................ 5,000,000 4,190,650
------------
New York -- 3.7%
Municipal Assistance Corporation, Series G,
5.00%, 7/1/02................................. 3,150,000 3,279,591
Triborough Bridge and Tunnel Authority,
Revenue, Special Obligation, Unrefunded
Balance, 6.20%, 1/1/08, Callable 1/1/02 @
101.50, FGIC.................................. 205,000 221,572
Triborough Bridge and Tunnel Authority,
Revenue, Special Obligation, 6.20%, Prefunded,
1/1/02 @ 101, FGIC............................ 795,000 863,879
------------
4,365,042
------------
North Carolina -- 3.5%
North Carolina, General Obligation, Capital
Improvement, Series A, 4.70%, 2/1/03.......... 3,950,000 4,106,499
------------
Ohio -- 2.6%
State Building Authority, Revenue, Refunding,
State Correctional Facilities, Series A,
4.50%, 10/1/02................................ 3,000,000 3,081,570
------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
187
<PAGE>
Pegasus Short Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares
or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Pennsylvania -- 4.3%
Dauphin County General Authority, Revenue,
4.45%, Mandatory Put 9/1/01 @ 100, AMBAC...... $5,000,000 $ 5,078,900
------------
Texas -- 9.9%
Fort Bend County Industrial Development
Corporation, Revenue, Pollution Control,
Refunding, Frito Lay Incorporated Project,
4.55%, Puttable 10/1/99 @ 100................. 3,650,000 3,686,208
General Obligation, Public Finance Authority,
Series B, 4.40%, 10/1/99...................... 5,000,000 5,053,000
Harris County, Flood Control, General
Obligation Tax, Capital Appreciation
Refunding, Series B, 0.00%, 10/1/06,
Callable 10/1/01 @ 70.21...................... 5,130,000 3,099,649
------------
11,838,857
------------
Virginia -- 3.7%
State Public Building Authority, Public
Facilities Revenue, Series A, 4.90%, 8/1/03... 4,170,000 4,362,029
------------
TOTAL MUNICIPAL BONDS............................ 117,692,086
------------
INVESTMENT COMPANIES -- 0.1%
Pegasus Municipal Cash Management Fund -- Class
I.............................................. 99,641 99,641
------------
TOTAL INVESTMENT COMPANIES....................... 99,641
------------
TOTAL............................................ $117,791,727
============
(Cost $116,069,789) -- 99.0%
</TABLE>
Percentages indicated are based on net assets of $118,967,084.
<TABLE>
<C> <S>
AMBAC Insured by AMBAC Indemnity Corp.
FGIC Insured by Federal Guarantee Insurance Corp.
FSA Insured by Federal Security Assurance
LOC Letter of Credit
MBIA Insured by Municipal Bond Insurance Association
</TABLE>
(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>
Carrying Percentage
Acquisition Value Per of Total
Holding Date* Par Unit Original Cost Market Value Investments
------- ----------- ---------- --------- ------------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
Indiana Educational
Facility, Wabash ...... 11/6/98 $5,000,000 $100.67 $5,000,000 $5,033,350 4.27%
</TABLE>
* Acquisition date refers to the first acquisition date in the case of
securities purchased in multiple lots.
See Notes to Financial Statements.
Pegasus Funds
188
<PAGE>
Pegasus Intermediate Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
MUNICIPAL BONDS -- 98.6%
Alabama -- 1.2%
Courtland Industrial Development Board, Solid
Waste Disposal, Revenue, AMT, Series A, 6.50%,
9/1/25, Callable 9/1/05 @ 102................. $ 3,500,000 $ 3,763,935
Public School & College, Capital Improvement,
Revenue, AMT, 5.25%, 11/1/05, MBIA............ 2,000,000 2,152,780
------------
5,916,715
------------
Alaska -- 1.1%
North Slope Boro, GO, Capital Appreciation,
Series A, 0.00%, 6/30/08, MBIA................ 7,000,000 4,633,790
Student Loan Corp., Revenue, Series A, AMT,
5.50%, 7/1/04, Callable 7/1/03 @ 100.......... 1,000,000 1,050,080
------------
5,683,870
------------
Arizona -- 0.9%
Maricopa County University School District NO
41 Gilbert, Series C, 6.10%, 7/1/14,
Prerefunded 7/1/04 @ 100, FGIC................ 2,000,000 2,220,620
University of Arizona, Revenue, 5.25%, 6/1/14,
Callable 6/1/08 @ 100, FSA.................... 2,215,000 2,312,061
------------
4,532,681
------------
California -- 7.6%
MSR Public Power Agency, San Juan Project,
Revenue Refunding, Series F, 5.55%, 7/1/02,
AMBAC......................................... 1,615,000 1,719,604
Orange County Local Transit Authority, Series
A, 5.70%, 2/15/11, AMBAC...................... 4,000,000 4,501,960
Orange County Recovery, Certificates of
Participation, Series A, 5.70%, 7/1/10,
Callable 7/1/06 @ 102, MBIA................... 4,000,000 4,430,800
Sacramento Cogeneration Authority, Revenue,
5.60%, 7/1/99................................. 3,300,000 3,342,603
Sacramento Cogeneration Authority, Revenue,
5.80%, 7/1/01................................. 1,300,000 1,363,986
Sacramento Cogeneration Authority, Revenue,
5.90%, 7/1/02................................. 1,000,000 1,065,790
State Public Works Board, Lease Revenue,
Various University of California Projects,
Series A, 5.50%, 6/1/14....................... 7,000,000 7,674,450
Statewide Communities Revenue, Irvine
Apartment, Series A-3, 5.10%, 5/17/10,
Callable 7/1/08 @ 101......................... 5,000,000 5,103,600
University of California, Revenue, Refunding,
6.20%, 9/1/01, MBIA........................... 8,100,000 8,669,835
------------
37,872,628
------------
Colorado -- 8.3%
Adams County Single Family Mortgage Revenue,
ETM, Series A, 8.875%, 8/1/03................. 1,230,000 1,487,132
Arapahoe County Capital Improvement Revenue,
Refunding, 0.00%, 8/31/15, Prerefunded 8/31/05
@ 48.618...................................... 20,000,000 7,428,200
Denver City & County, GO, Refunding, AMT,
7.00%, 10/1/99................................ 8,665,000 8,921,570
Denver City & County Airport Revenue, Series A,
Prerefunded, AMT, 8.50%, 11/15/07, Callable
11/15/00 @ 102, MBIA.......................... 1,830,000 2,022,059
Denver City & County Airport Revenue, Series A,
Unrefunded, AMT, 8.00%, 11/15/25, Callable
11/15/01 @ 100................................ 1,000,000 1,088,600
Denver City & County Airport Revenue, Series C,
AMT, 6.55%, 11/15/03, Callable 11/15/02 @ 102. 1,145,000 1,252,458
Denver City & County Airport Revenue, Series D,
AMT, 7.30%, 11/15/00.......................... 2,900,000 3,075,363
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
189
<PAGE>
Pegasus Intermediate Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Denver, City & County Airport, Revenue, Series
B, AMT, 7.25%, 11/15/05, Callable 11/15/02 @
102........................................... $ 2,000,000 $ 2,230,380
Jefferson County School District No. R-001,
5.90%, 12/15/05, Callable 12/15/02 @ 101,
AMBAC......................................... 3,500,000 3,814,510
Poudre Valley Hospital Revenue, 6.625%,
12/1/11, Prerefunded 12/1/01 @ 101, AMBAC..... 5,000,000 5,462,300
Water Power Development Authority, Revenue,
Series A, 6.00%, 9/1/10, AMBAC................ 3,410,000 3,943,324
------------
40,725,896
------------
District of Columbia -- 0.9%
Series B-3, Refunding, 5.20%, 6/1/04, MBIA..... 2,000,000 2,105,520
Water & Sewer Revenue, 5.50%, 10/1/12, Callable
4/1/09 @ 160, FSA............................. 2,000,000 2,181,120
------------
4,286,640
------------
Florida -- 3.7%
Lakeland Electric & Water Revenue, Series B,
6.00%,10/1/10, FGIC........................... 5,170,000 5,982,517
State Board of Education, Capital Outlay,
5.25%, 6/1/11,
Callable 6/1/08 @ 101......................... 7,665,000 8,231,674
Tampa Health System, Catholic Health, 5.50%,
11/15/12, MBIA................................ 4,000,000 4,394,440
------------
18,608,631
------------
Hawaii -- 2.6%
State Airports System, Revenue, 7.00%, AMT,
7/1/18,
Callable 7/1/01 @ 102......................... 10,000,000 10,794,800
State Department of Budget & Finance, Revenue,
5.60%, 7/1/02................................. 2,065,000 2,170,191
------------
12,964,991
------------
Illinois -- 6.4%
Chicago, GO, 5.60%, 1/1/04, AMBAC.............. 4,000,000 4,290,240
Chicago Metropolitan Water, GO, Refunding,
5.00%, 12/1/02................................ 4,500,000 4,707,180
Chicago O'Hare International Airport, Revenue,
Series A, 5.625%, 1/1/13, Callable 1/1/06 @
102, AMBAC.................................... 5,000,000 5,379,950
Illinois Development Finance Authority,
Revenue, 0.00%, 1/1/11, FSA................... 4,050,000 2,319,233
Metropolitan Pier & Exposition Authority,
Revenue, Dedicated State Tax Revenue, 6.50%,
6/1/04........................................ 2,500,000 2,792,175
Metropolitan Pier & Exposition Authority,
Revenue, Dedicated State Tax Revenue, 6.40%,
6/1/03........................................ 2,250,000 2,469,983
Metropolitan Pier & Exposition Authority,
Revenue, Dedicated State Tax Revenue,, Series
A, 0.00%, 12/15/16, MBIA...................... 8,330,000 3,372,317
Metropolitan Pier & Exposition Authority,
Revenue, Dedicated State Tax Revenue, 6.50%,
6/1/05........................................ 2,960,000 3,345,895
Regional Transit Authority, Series A, 8.00%,
6/1/03, AMBAC................................. 2,785,000 3,238,147
------------
31,915,120
------------
Indiana -- 5.1%
Allen County, Computer System Project Building
Corp., 5.60%, 1/1/02, Callable 1/1/01 @ 102... 200,000 209,192
Bloomington, Sewer Works, 5.75%, 1/1/04, MBIA.. 200,000 216,332
Bond Bank Revenue, 6.00%, 2/1/04, Callable
2/1/03 @ 102.................................. 3,670,000 4,015,493
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
190
<PAGE>
Pegasus Intermediate Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Center Grove High School Building Corp., 5.70%,
1/1/14, Callable 7/1/03 @ 102................. $ 500,000 $ 535,875
Concord, Community School Building Corp.,
Refunding, 5.70%, 7/1/13, Callable 7/1/05 @
101.5, FSA.................................... 500,000 537,055
Danville, Multi School Building Corp., 5.30%,
1/15/09, Callable 1/15/07 @ 102, AMBAC........ 450,000 483,138
Eagle Union, Community School Building Corp.,
5.65%, 7/15/10, Callable 7/15/06 @ 102........ 300,000 327,063
East Allen Woodland School Building Corp.,
5.00%, 7/15/09, Callable 7/15/07 @ 101, AMBAC. 500,000 523,950
Evansville Vanderburgh County, Building
Revenue, Excise Income Tax, 5.70%, 8/1/13,
Callable 8/1/06 @ 102, MBIA................... 500,000 545,270
Evansville, Redevelopment Authority, 5.55%,
1/1/09, Callable 1/1/04 @ 101, MBIA........... 500,000 531,870
Fort Wayne Hospital Authority, Revenue,
Lutheran Hospital, 6.875%, 1/1/02, Callable
7/1/99 @ 100.................................. 200,000 207,498
Fort Wayne Hospital Authority, Revenue, St
Josephs Hospital, 6.625%, 1/1/07, Callable
7/1/99 @ 100.................................. 50,000 54,970
Fort Wayne South Side School Building Corp.,
5.65%, 1/15/05, Callable 1/15/04 @ 102, MBIA.. 250,000 270,455
Hamilton Boone Madison School Building Corp.,
6.20%, 1/1/06, Callable 7/1/99 @ 102.......... 200,000 204,000
Hamilton Southeastern School Building Corp.,
5.40%, 1/15/14, Callable 1/15/07 @ 102, AMBAC. 500,000 529,755
Hamilton Southeastern School Building Corp.,
5.25%, 7/15/05, AMBAC......................... 200,000 214,422
Health Facility Financing Authority, Revenue,
Series A, 5.50%, 2/15/16, Callable 2/15/07 @
102........................................... 250,000 261,133
Indiana University Revenue, Series J, 5.10%,
8/1/08........................................ 1,500,000 1,598,850
Indianapolis Airport Authority Revenue, 7.10%,
1/15/17, Callable 7/15/04 @ 102, AMT.......... 6,900,000 7,730,345
Indianapolis Local Public Improvement Bond
Bank, Series A, 5.40%, 1/10/05, Callable
1/10/03 @ 102................................. 200,000 214,148
Lawrence Township School Building Corp., GO,
5.50%, 7/15/14, Callable 7/15/05 @ 101, MBIA.. 500,000 527,710
Merrillville Multi School Building Corp.,
5.65%, 7/15/14, Callable 1/15/07 @ 102, MBIA.. 490,000 527,069
Monroe County Community School Corp., 5.50%,
7/1/13, Callable 1/1/07 @ 102, MBIA........... 500,000 533,680
Munster School Building Corp., 5.70%, 7/15/06,
Callable 1/15/05 @ 101, MBIA.................. 200,000 219,922
Penn High School Building Corp., Refunding,
5.75%, 12/15/02, MBIA......................... 175,000 187,719
Pike Township School Building Corp., Series A,
5.80%, 2/1/02................................. 200,000 211,354
Purdue University, Refunded, 5.625%, 7/1/13,
Callable 1/1/07 @ 100......................... 500,000 532,945
Seymour Community High School Building Corp.,
6.10%, 1/15/10, Callable 1/15/05 @ 101........ 250,000 280,225
Southwest Allen Multi School Building Corp.,
Refunding, Series B, 6.25%, 7/15/04, Callable
1/15/02 @ 101, MBIA........................... 250,000 269,305
State Development Financing Authority, Revenue,
5.70%, 6/1/12, Callable 6/1/07 @ 102.......... 300,000 328,107
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
191
<PAGE>
Pegasus Intermediate Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
State Education Facilities Authority, Revenue,
5.85%, 7/1/09, Callable 7/1/03 @ 102.......... $ 350,000 $ 373,709
State Office Building Common, Revenue, 6.40%,
7/1/11, Callable 12/1/01 @ 102................ 125,000 136,803
Vanderburgh County School Tax, Revenue,
Refunding, 5.30%, 1/1/06, Callable 7/1/03 @
102, FGIC..................................... 200,000 213,232
Vigo County Middle School Building Corp.,
Refunding, 5.80%, 7/1/13, Callable 7/1/03 @
102........................................... 500,000 531,825
Washington Elementary School Building Corp.,
5.90%, 7/15/09, Callable 1/15/03 @ 101, FGIC.. 150,000 162,123
Westfield Elementary School Building Corp.,
5.65%, 7/15/11, Callable 7/15/07 @ 102, AMBAC. 500,000 548,645
Westfield High School Building Corp.,
Refunding, 5.10%, 7/5/07, Callable 1/5/06 @
102, FGIC..................................... 250,000 266,975
Whitely County Middle School Building Corp.,
5.60%, 1/15/04, MBIA, ETM..................... 200,000 215,642
------------
25,277,804
------------
Kansas -- 1.1%
Kansas City Utility System Revenue, Refunding,
6.375%, 9/1/23, Callable 9/1/04 @ 102, FGIC... 5,000,000 5,641,500
------------
Maryland -- 3.6%
Maryland State, GO, Second Series, 5.25%,
6/15/02....................................... 2,500,000 2,632,450
Maryland State, GO, 5.00%, 3/1/08, Callable
3/1/07 @ 100.................................. 5,510,000 5,859,554
Maryland State Community Development
Administration Department, Revenue, 4.90%,
4/1/06........................................ 2,000,000 2,053,860
Maryland State Community Development
Administration Department, Revenue, Fifth
Series, 5.95%, 4/1/16, Callable 4/1/06 @ 102.. 2,950,000 3,150,748
Montgomery County Public Improvement, Series A,
5.20%, 10/1/01................................ 4,000,000 4,178,200
------------
17,874,812
------------
Massachusetts -- 3.6%
Massachusetts, GO, Refunding, Series A, 6.25%,
7/1/02........................................ 4,500,000 4,869,630
Massachusetts, GO, Refunding, Series A, 5.00%,
8/1/07, FGIC.................................. 5,000,000 5,320,050
Massachusetts, GO, 5.25%, 6/15/12, Callable
12/15/08 @ 101................................ 2,000,000 2,125,480
New England Education Loan Marketing Corp.,
Revenue, Refunding, Senior A, 6.50%, 9/1/02... 5,250,000 5,670,840
------------
17,986,000
------------
Michigan -- 5.6%
Royal Oak Hospital Financing Authority,
Hospital Revenue, Refunding, William Beaumont
Hospital, 6.25%, 1/1/12....................... 6,850,000 8,053,477
Royal Oak Hospital Financing Authority,
Revenue, Refunding, William Beaumont Hospital,
6.25%, 1/1/11................................. 5,445,000 6,373,590
State Building Authority, Revenue, Refunding,
Series I, 6.75%, 10/1/11, Callable 10/1/01 @
102........................................... 5,575,000 6,060,415
State Hospital Financing Authority, Revenue,
Refunding, Detroit Medical Center Obligation,
Group A, 6.25%, 8/15/13, Callable 8/15/03 @
102........................................... 6,750,000 7,260,300
------------
27,747,782
------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
192
<PAGE>
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- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Minnesota -- 3.8%
State Housing Financing Agency, Revenue, Series
G, AMT, 6.25%, 7/1/26, Callable 1/1/06 @ 102.. $ 3,215,000 $ 3,417,191
State Housing Financing Agency, Revenue, Series
D, 5.90%, 8/1/15, Callable 2/1/05 @ 102, MBIA. 2,120,000 2,241,158
State Housing Financing Agency, Revenue, Series
L, AMT, 6.25%, 1/1/05, Callable 1/1/05 @ 102.. 12,485,000 13,191,901
------------
18,850,250
------------
Missouri -- 0.6%
State Health & Educational Facility Authority,
Revenue, St Louis University, 5.50%, 10/1/12.. 2,500,000 2,747,875
------------
Nebraska -- 0.5%
University Of Nebraska Facilities Corp., 5.25%,
7/15/11, Callable 7/15/08 @ 100............... 2,500,000 2,652,025
------------
Nevada -- 0.7%
Las Vegas, GO, Refunding, 6.40%, 10/1/03,
Callable 4/1/02 @ 102......................... 2,250,000 2,462,783
Nevada, GO, Series A, 6.00%, 5/1/02, Callable
5/1/01 @ 101.................................. 1,000,000 1,059,440
------------
3,522,223
------------
New Hampshire -- 1.0%
New Hampshire Higher Educational/Health,
Facilities Authority, Revenue, Elliot Hospital
of Manchester, 6.25%, 10/1/21, Callable
10/1/01 @ 102, AMBAC.......................... 4,500,000 4,842,810
------------
New Jersey -- 1.5%
New Jersey State Transit Fund Authority, 5.00%,
6/15/04....................................... 7,090,000 7,468,393
------------
New Mexico -- 1.1%
New Mexico State Highway, 5.125%, 6/15/10,
Callable 6/15/08 @ 100........................ 5,255,000 5,555,744
------------
New York -- 5.5%
New York City, GO, Series A, 6.00%, 8/1/06..... 5,000,000 5,597,400
New York City, GO, Refunding, Series I, 5.75%,
3/15/07, Callable 3/15/06 @ 101.5............. 6,500,000 7,197,320
New York State Dormitory Authority, Revenue,
Series A, 5.20%, 5/15/05, Callable 5/15/03 @
101.5......................................... 4,300,000 4,528,287
Triborough Bridge & Tunnel Authority, Revenue,
General Purpose, Series Y, 5.90%, 1/1/08...... 9,000,000 10,143,360
------------
27,466,367
------------
North Carolina -- 0.6%
North Carolina Municipal Power Agency, Revenue,
7.25%, 1/1/07, MBIA........................... 2,500,000 3,006,425
------------
Ohio -- 0.9%
Ohio State Highway, GO, Series B, 5.00%,
5/1/05........................................ 4,000,000 4,246,440
------------
Pennsylvania -- 6.5%
Delaware County Authority, GO, Revenue, 5.125%,
10/1/10, Callable 10/1/09 @ 100............... 7,790,000 8,288,326
Delaware County Authority, Villanova
University, Revenue, Series A, 5.50%, 12/1/13,
MBIA.......................................... 4,440,000 4,880,848
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
193
<PAGE>
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- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Geisinger Authority Health System, Revenue,
Series A, 5.50%, 7/1/03....................... $ 2,895,000 $ 3,090,036
Indiana County Industrial Development Authority
Pollution Control, Revenue, Refunded, 5.35%,
11/1/10, MBIA................................. 2,550,000 2,780,546
Philadelphia Gas Works Revenue, Fourteenth
Series, 7.00%, 7/1/02, CapMAC................. 12,090,000 13,319,673
------------
32,359,429
------------
South Carolina -- 2.7%
Beaufort County School District, GO, Series A,
4.75%, 3/1/03, MBIA........................... 2,800,000 2,906,848
Greenville Hospital Systems Facilities,
Revenue, Health Hospital Nursing Home
Improvement, Series A, 5.00%, 5/1/04.......... 2,840,000 2,974,758
South Carolina, GO, Series B, 5.75%, 8/1/05.... 2,300,000 2,546,698
South Carolina State Public Service Authority,
Revenue, Refunding, Series A, 5.00%, 7/1/01... 5,000,000 5,162,900
------------
13,591,204
------------
Tennessee -- 1.6%
Hamilton County, GO, Series A, 5.00%, 5/1/09... 3,370,000 3,594,510
Memphis-Shelby County Airport Authority
Revenue, Refunded, 6.75%, 9/1/12.............. 2,000,000 2,161,740
Williamson County, GO, Refunding, 5.25%,
9/1/12........................................ 2,165,000 2,333,415
------------
8,089,665
------------
Texas -- 5.7%
Conroe Independent School District Tax, GO,
Refunding, 5.25%, 2/15/11..................... 5,115,000 5,511,872
Dallas Revenue Tax, Series A, 5.25%, 8/15/12,
Callable 8/15/08 @ 101, AMBAC................. 2,955,000 3,133,512
Harris County Revenue, Capital Appreciation,
Refunded, 0.00%, 8/15/18, Prerefunded 8/15/09
@ 53.836, AMBAC............................... 7,500,000 2,548,350
Humble Independent School District, GO,
Refunding, 6.00%, 2/15/04, Callable 2/15/03 @
100........................................... 2,035,000 2,194,809
Humble Independent School District, GO,
Refunding, 0.00%, 2/15/08..................... 4,735,000 3,186,276
Texas, GO, Refunding, Series B, 5.625%,
10/1/11, Callable 10/1/06 @ 100............... 5,000,000 5,439,250
Texas A&M University Permanent Fund, Revenue,
Refunding, 5.60%, 7/1/05...................... 5,000,000 5,470,400
Texas Department Housing/Community Affairs,
Revenue, Series E, 4.905%, 9/1/02, MBIA....... 895,000 918,270
------------
28,402,739
------------
Virginia -- 0.9%
Loudoun County Sanitation Authority, Water &
Sewer, Refunding, 6.25%, 1/1/16, Callable
1/1/03 @ 102, FGIC............................ 4,000,000 4,386,240
------------
Washington -- 5.4%
Port Seattle Passenger, AMT, 5.25%, 12/1/11,
Callable 12/1/08 @ 101........................ 10,055,000 10,639,397
Seattle, GO, Limited Tax, Series A, 5.75%,
1/15/17, Callable 1/15/06 @ 100............... 10,000,000 10,656,799
Snohomish County Mukilteo, GO, Refunding,
5.70%, 12/1/12, FGIC.......................... 5,140,000 5,781,678
------------
27,077,874
------------
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
194
<PAGE>
Pegasus Intermediate Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares
or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Wisconsin -- 7.9%
Bodend Hospital Facilities, Revenue, Chippewa
Valley Hospital & Nursing Project, ETM, 7.10%,
9/1/12........................................ $ 5,605,000 $ 6,682,169
Southeast Professional Revenue, Capital
Appreciation, 0.00%, 12/15/09, MBIA........... 5,000,000 3,107,100
Southeast Professional Revenue, Capital
Appreciation, 0.00%, 12/15/07, MBIA........... 5,000,000 3,427,850
State, GO, Series B, 7.00%, 5/1/02............. 4,155,000 4,573,035
State, GO, Series B, 7.00%, 5/1/03............. 5,830,000 6,556,593
State Clean Water, Revenue, Series 2, 6.00%,
6/1/07........................................ 2,500,000 2,825,075
State Health & Educational Facilities
Authority, Revenue, 5.10%, 8/15/05, Callable
8/15/03 @ 102, MBIA........................... 3,000,000 3,160,380
State Transportation, Revenue, Refunded, Series
A, 5.50%, 7/1/11, MBIA........................ 8,000,000 8,798,719
------------
39,130,921
------------
TOTAL MUNICIPAL BONDS............................ 490,431,694
------------
INVESTMENT COMPANIES -- 3.3%
Pegasus Municipal Cash Management Fund -- Class
I.............................................. 16,273,846 16,273,846
------------
TOTAL INVESTMENT COMPANIES....................... 16,273,846
------------
TOTAL............................................ $506,705,540
============
(Cost $482,088,696) -- 101.9%
</TABLE>
Percentages indicated are based on net assets of $497,409,517.
<TABLE>
<C> <S>
AMBAC Insured by AMBAC Indemnity Corp.
AMT Alternative Minimum Tax Paper
CapMAC Insured by Capital Markets Assurance Corporation
ETM Escrowed to Maturity
FGIC Insured by Federal Guarantee Insurance Corporation
FSA Insured by Federal Security Assurance
GO General Obligation
MBIA Insured by Municipal Bond Insurance Association
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
195
<PAGE>
Pegasus Michigan Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
MUNICIPAL BONDS -- 99.3%
Michigan -- 97.4%
Ann Arbor, GO, Series A, 6.38%, Prerefunded
9/1/01 @ 101.50............................... $ 1,100,000 $ 1,185,085
Birmingham City School District, GO, School
Improvements, 5.25%, 11/1/12, Callable 11/1/07
@ 100, FSA.................................... 3,500,000 3,679,480
Birmingham City School District, GO, School
Improvements, 5.00%, 11/1/20, Callable 11/1/07
@ 100, FSA.................................... 10,000,000 9,900,999
Caledonia Community Schools, GO, 5.85%, 5/1/22,
Callable 5/1/07 @ 100, MBIA................... 4,500,000 4,829,670
Central Michigan University, Revenue, Refunded,
7.00%, Prerefunded 10/1/00 @ 102.............. 2,650,000 2,861,709
Chelsea Economic Development Corp., Revenue,
5.40%, 11/15/18, Callable 11/15/08 @ 101...... 1,575,000 1,569,188
Chelsea Economic Development Corp., Revenue,
5.40%, 11/15/27, Callable 11/15/08 @ 101...... 2,000,000 1,972,520
Chippewa County Hospital Finance, 5.63%,
11/1/14, Callable 11/1/07 @ 102............... 1,730,000 1,759,479
Clarkston Community School, Refunded, 5.75%,
Prerefunded 5/1/05 @ 101, FGIC................ 5,000,000 5,532,150
Comstock Park Public School, 5.50%, 5/1/21,
Callable 5/1/06 @ 100, FSA.................... 2,500,000 2,599,875
Dearborn Economic Development Corp., Hospital
Revenue, Oakwood Obligation Group Series A,
5.25%, 11/15/05, FGIC......................... 1,430,000 1,530,915
Dearborn Economic Development Corp., Hospital
Revenue, Oakwood Obligation Group Series A,
5.60%, 11/15/08, Callable 11/15/05 @ 102,
FGIC.......................................... 1,690,000 1,847,626
Dearborn Economic Development Corp., Hospital
Revenue, Oakwood Obligation Group Series,
5.60%, 11/15/09, Callable 11/15/05 @ 102,
FGIC.......................................... 1,560,000 1,705,314
Dearborn School District, GO, School
Improvements, 6.00%, Prerefunded 5/1/01 @ 102. 1,000,000 1,071,880
Dearborn Sewage Disposable System, Revenue,
Series A, 5.13%, 4/1/14, Callable 4/1/04 @
101, MBIA..................................... 1,830,000 1,869,729
Detroit Local Development Finance Authority,
Refunded Tax Increment Senior Series A, 5.38%,
5/1/18, Callable 5/1/07 @ 101.5............... 3,850,000 3,960,418
Detroit Local Development Finance Authority,
Refunded Tax Increment Senior Series A, 5.38%,
5/1/21, Callable 5/1/07 @ 101.5............... 1,410,000 1,447,013
Detroit Sewage Disposal System, Revenue,
Refunding Series B, 6.00%, 7/1/10, MBIA....... 2,000,000 2,286,380
Detroit Wayne County Stadium Authority, Public
Improvements, 5.50%, 2/1/17, Callable 2/1/07 @
102, FGIC..................................... 1,800,000 1,898,820
Dexter Community School, GO, 5.80%, 5/1/19,
Callable 5/1/03 @ 102......................... 2,000,000 2,146,880
Dickinson County, Economic Development Corp.,
Pollution Control Revenue, 5.85%, 10/1/18,
Callable 10/1/03 @ 102........................ 4,000,000 4,139,320
East China School District, GO, 5.00%, 5/1/15,
Callable 5/1/08 @ 100, FGIC................... 2,600,000 2,615,626
East China School District, GO, 5.00%, 5/1/16,
Callable 5/1/08 @ 100, FGIC................... 1,625,000 1,628,738
Eastern Michigan University, Revenue, 6.38%,
6/1/14, Callable 6/1/02 @ 101, AMBAC.......... 4,000,000 4,332,560
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
196
<PAGE>
Pegasus Michigan Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Ferndale School District, 5.50%, 5/1/11,
Callable 5/1/05 @ 101, FGIC................... $ 1,000,000 $ 1,068,440
Ferris State University, Revenue, 5.75%,
Prerefunded 4/1/07 @101, AMBAC................ 2,500,000 2,807,725
Ferris State University, Revenue, 5.85%,
Prerefunded 4/1/07 @ 101, AMBAC............... 5,000,000 5,650,150
Grand Haven, Electric Revenue, 5.25%, 7/1/08,
MBIA.......................................... 3,000,000 3,231,270
Grand Rapids Community College, 5.90%,
Prerefunded 5/1/03 @ 101.50, MBIA............. 1,500,000 1,644,540
Grand Rapids Water Supply, Revenue, 6.25%,
1/1/11, Callable 1/1/01 @102, FGIC............ 2,000,000 2,127,620
Grand Traverse County Hospital Revenue, Munson
Healthcare, Series A, 5.65%, Prerefunded
7/1/02 @ 102, AMBAC........................... 1,000,000 1,057,910
Grand Traverse County Hospital Revenue, Munson
Healthcare, Series A, 6.00%, Prerefunded
7/1/02 @ 102, AMBAC........................... 1,000,000 1,076,170
Hancock Hospital Finance Authority, Revenue,
5.45%, 8/1/47, Callable 8/1/08 @ 100, MBIA.... 4,400,000 4,517,084
Higher Education Facilities Authority, Revenue,
Calvin College Project, 5.35%, 6/1/13,
Callable 6/1/08 @ 101......................... 2,390,000 2,424,583
Higher Education Facilities Authority, Revenue,
Calvin College Project, 5.55%, 6/1/17,
Callable 6/1/08 @ 101......................... 1,550,000 1,573,452
Higher Education Student Loan Authority,
Revenue, AMT Student Loan -- Series XVII-B,
5.40%, 6/1/18, Callable 6/1/08 @ 101, AMBAC... 7,860,000 7,976,800
Higher Education Student Loan Authority,
Revenue, AMT, Student Loan XVII-A Conv, 5.75%,
6/1/13, Callable 6/1/06 @ 102, AMBAC.......... 1,000,000 1,074,860
Huron Valley School District, 5.88%,
Prerefunded 5/1/07 @ 100, FGIC................ 1,000,000 1,125,520
Huron Valley School District, ETM, 6.40%,
5/1/01........................................ 1,000,000 1,062,340
Kalamazoo Economic Development, Revenue, 6.13%,
5/15/12, Callable 5/15/07 @ 102............... 1,250,000 1,331,388
Kalamazoo Economic Development, Revenue, 6.13%,
5/15/17, Callable 5/15/07 @ 102............... 600,000 636,852
Kalamazoo Hospital Finance Authority, Revenue,
Borgess Medical Center Series A, 5.25%,
6/1/17, Callable 6/1/04 @ 102, FGIC........... 1,000,000 1,016,840
Lake Orion Community School District, 6.00%,
5/1/10, Callable 5/1/05 @ 101, AMBAC.......... 3,685,000 4,064,113
Lake Orion Community School District, 5.80%,
5/1/15, Callable 5/1/05 @ 101, AMBAC.......... 1,000,000 1,073,620
Lake Orion Community School District, GO,
5.13%, 5/1/23, Callable 5/1/08 @ 100, FGIC.... 4,150,000 4,132,529
Lansing Building Authority, 7.05%, 6/1/01,
Callable 6/1/00 @ 102, ETM.................... 1,300,000 1,403,675
Lansing Building Authority, 6.00%, 6/1/05,
Callable 6/1/00 @ 102, AMBAC, ETM............. 1,000,000 1,060,210
Livingston County, Building Authority, GO,
5.80%, 7/1/08................................. 1,330,000 1,490,305
Livonia Public School District, Series 1,
6.25%, 5/1/03, Callable 5/1/02 @ 102.......... 2,100,000 2,296,434
Livonia Public School District, Series I,
6.30%, Prerefunded 5/1/02 @ 102............... 3,000,000 3,296,610
Livonia Public School District, GO, 5.50%,
5/1/14, Callable 5/1/03 @ 102, FGIC........... 1,000,000 1,067,210
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
197
<PAGE>
Pegasus Michigan Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
Mason Public School District, GO, 5.40%,
5/1/09, Callable 5/1/05 @ 101.50, FGIC........ $ 1,175,000 $ 1,261,551
Mason Public School District, GO, 5.50%,
5/1/10, Callable 5/1/05 @ 101.50, FGIC........ 1,075,000 1,156,367
Michigan State University, Revenue, General
Series A, 6.25%, Prerefunded 8/15/02 @ 101.... 2,000,000 2,187,040
Michigan State, GO, Environmental Protection
Program, 5.40%, 11/1/19, Callable 11/1/05 @
101........................................... 2,455,000 2,555,753
Michigan State, GO, Environmental Protection
Program, 6.25%, Prerefunded 11/1/02 @ 102..... 1,050,000 1,162,056
Municipal Bond Authority, Revenue, Series A,
5.70%, 8/1/07, Callable 2/1/03 @ 102.......... 1,145,000 1,224,669
Municipal Bond Authority, Revenue, Local
Government Loan Program, Series A, 6.00%,
12/1/13, Callable 12/1/04 @ 102, FGIC......... 1,500,000 1,660,800
Municipal Bond Authority, Revenue, 5.40%,
10/1/14, Callable 10/1/03 @ 102............... 2,500,000 2,600,750
Muskegon Public Schools, GO, 5.25%, 5/1/16,
Callable 5/1/04 @ 100, FGIC................... 1,970,000 2,013,379
Oakland County Economic Development Corp.,
Revenue, 5.00%, 11/1/17, Callable 11/1/08 @
101........................................... 10,000,000 9,944,999
Oakland County Economic Development Corp.,
Revenue, 5.63%, 6/1/19, Callable 6/1/07 @ 102,
LOC: First of America Bank.................... 4,185,000 4,353,781
Oakland County Education, Revenue, 6.38%,
Prerefunded 11/1/04 @ 100..................... 3,000,000 3,386,850
Ottawa County, GO, 6.00%, 8/1/08, Callable
8/1/02 @ 101.................................. 4,075,000 4,402,467
Paw Paw Public School District, GO, 6.50%,
5/1/09, FGIC.................................. 1,200,000 1,420,728
Plymouth Canton Community School District, GO,
5.38%, 5/1/06, Callable 5/1/03 @ 102, AMBAC... 2,000,000 2,134,400
Rockford Public Schools, 5.88%, 5/1/12,
Callable 5/1/02 @ 102......................... 1,750,000 1,885,380
Rockford Public Schools, GO, 5.25%, 5/1/22,
Callable 5/1/07 @ 100, FGIC................... 2,930,000 2,974,214
Romulus Community Schools, GO, 0.00%, 5/1/18,
FGIC.......................................... 4,755,000 1,812,986
Royal Oak Hospital Finance Authority, Revenue,
5.60%, 11/15/11, Callable 11/15/03 @ 102...... 5,000,000 5,339,550
Saginaw Hospital Finance Authority, Revenue,
Series C, St Lukes Hospital, 6.75%, 7/1/06,
Callable 7/1/01 @ 102, MBIA................... 2,000,000 2,176,860
South Lake, GO, 5.35%, 5/1/15, Callable 5/1/08
@ 100, FGIC................................... 1,000,000 1,025,210
State Building Authority, Revenue, Refunding
Series 1, 6.00%, 10/1/02, AMBAC............... 2,500,000 2,697,175
State Building Authority, Revenue, 5.00%,
10/1/06....................................... 3,820,000 4,038,275
State GO, School Loan, 5.00%, 12/1/16, Callable
12/1/08 @ 100................................. 12,370,000 12,520,047
State GO, 5.00%, 12/1/17, Callable 12/1/08 @
100........................................... 13,010,000 13,116,811
State Hospital Finance Authority, Revenue,
Mercy Health Services, Series T, 5.25%,
8/15/09, Callable 8/15/07 @ 101, MBIA......... 2,035,000 2,167,194
State Hospital Finance Authority, Revenue,
Henry Ford Health System, 6.00%, 9/1/11,
Callable 9/1/02 @ 102, AMBAC.................. 3,000,000 3,232,200
State Hospital Finance Authority, Revenue,
5.38%, 7/1/12, Callable 7/1/05 @ 102, FSA..... 5,840,000 6,130,306
State Hospital Finance Authority, Revenue,
5.25%, 3/1/14, Callable 3/1/04 @ 102.......... 2,000,000 2,019,460
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
198
<PAGE>
Pegasus Michigan Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
State Hospital Finance Authority, Revenue,
Mercy Health Services, Series U, 5.63%,
8/15/16, Callable 8/15/07 @ 101............... $ 3,795,000 $ 3,997,387
State Hospital Finance Authority, Revenue,
Mercy Health Services, Series R, 5.38%,
8/15/16, Callable 8/15/06 @ 101, AMBAC........ 1,000,000 1,034,870
State Hospital Finance Authority, Revenue,
Mercy Health Services, Series W, 5.25%,
8/15/17, Callable 8/15/07 @ 101, FSA.......... 8,125,000 8,336,819
State Hospital Finance Authority, Revenue,
6.50%, 8/15/18, Callable 8/15/03 @ 102........ 5,000,000 5,412,350
State Hospital Finance Authority, Revenue --
Henry Ford Esc, Revenue & First Mortgage,
Series B, 9.00%, 5/1/04, Non-Callable......... 1,250,000 1,472,013
State Housing Development Authority, Revenue,
Parkway Meadows Project, 6.63%, 10/15/06,
Callable 10/15/02 @ 103, FSA.................. 1,725,000 1,884,804
State Housing Development Authority, Revenue,
Series C, 6.38%, 12/1/11, Callable 12/1/04 @
102, FHA...................................... 2,450,000 2,628,434
State Housing Development Authority, Revenue,
Series A, 6.00%, 12/1/15, Callable 6/1/06 @
102, FHA...................................... 4,750,000 5,029,870
State Housing Development Authority, Revenue,
Rental Housing, Series A, 5.88%, 10/1/17,
Callable 4/1/03 @ 102, AMBAC.................. 2,415,000 2,542,898
State Housing Development Authority, Revenue,
Series A, 6.05%, 12/1/17, Callable 6/1/06 @
102, FHA...................................... 2,415,000 2,555,142
State Housing Development Authority, Revenue,
Series B, 6.95%, 12/1/20, Callable 12/1/01 @
102........................................... 2,570,000 2,715,025
State Housing Development Authority, Revenue,
AMT, Series B, 5.20%, 12/1/18, Callable
11/1/08 @ 101, AMBAC.......................... 2,250,000 2,255,760
State Housing Development Authority, Revenue,
AMT, Series B, 6.20%, 6/1/27, Callable 6/1/06
@ 102, FHA.................................... 2,300,000 2,465,002
State Housing Development Authority, Revenue,
Series D, 5.95%, 12/1/16, Callable 12/1/06 @
102........................................... 2,000,000 2,124,540
State Strategic Fund, Revenue, Refunded, Hope
Network Project, Series B, 5.25%, 9/1/13,
Callable 9/1/08 @ 102, LOC: First of America
Bank.......................................... 2,170,000 2,201,856
State Strategic Fund, Revenue, Porter Hills
Presbyterian Village, 5.30%, 7/1/18, Callable
7/1/08 @ 101.................................. 1,250,000 1,250,500
State Strategic Fund, Revenue, College of
Detroit Fund, 7.00%, 5/1/21, AMBAC............ 1,000,000 1,272,220
State Trunk Line, Series A, 5.40%, 10/1/01..... 3,200,000 3,350,624
State Trunk Line, Revenue, Series A, 5.75%,
10/1/12, Callable 10/1/02 @ 100............... 2,900,000 3,070,230
Thorn Apple Kellogg School, GO, 5.38%, 5/1/22,
Callable 5/1/05 @ 101, FGIC................... 3,375,000 3,461,029
Traverse City Area Public School, 5.70%,
Prerefunded 5/1/05 @ 101, MBIA................ 2,400,000 2,648,784
Troy School District, 6.00%, Prerefunded,
5/1/01 @ 101.50............................... 1,150,000 1,227,372
University of Michigan, Revenue, Medical
Service Plan, 6.20%, Prerefunded 12/1/01 @
102........................................... 2,000,000 2,178,560
University of Michigan, Revenue, Medical
Service Plan, 6.30%, Prerefunded 12/1/01 @
102........................................... 2,130,000 2,326,003
University of Michigan, Revenue, Hospital
Series A, 5.75%, 12/1/12, Callable 12/1/02 @
102........................................... 3,600,000 3,857,796
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
199
<PAGE>
Pegasus Michigan Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS -- (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares
or
Description Principal Amount Market Value
----------- ---------------- ------------
<S> <C> <C>
University of Michigan, Revenue, Student Fee,
Series A, 5.25%, 4/1/15, Callable 4/1/05 @ 102. $ 1,015,000 $ 1,045,947
Wayne State University, Revenue, 5.50%,
11/15/07, Callable 11/15/03 @ 101, AMBAC....... 2,000,000 2,131,360
Western Michigan University, Revenue, 5.13%,
11/15/22, Callable 11/15/07 @ 100, FGIC........ 5,250,000 5,228,213
Wyoming Public Schools, GO, 5.13%, 5/1/23,
Callable 5/1/08 @ 100, FGIC.................... 3,100,000 3,086,949
------------
315,053,239
------------
Puerto Rico -- 1.9%
Puerto Rico Commonwealth, GO, Public
Improvements, 6.25%, 7/1/12, MBIA.............. 2,195,000 2,607,528
Puerto Rico Commonwealth, GO, 5.75%, 7/1/17,
Callable 7/1/07 @ 101.5........................ 3,280,000 3,548,600
------------
6,156,128
------------
TOTAL MUNICIPAL BONDS............................. 321,209,367
------------
INVESTMENT COMPANIES -- 0.1%
Pegasus Michigan Municipal Money Market Fund,
Class I......................................... 458,949 458,949
------------
TOTAL INVESTMENT COMPANIES........................ 458,949
------------
TOTAL............................................. $321,668,316
============
(Cost $305,244,717) -- 99.4%
</TABLE>
Percentages indicated are based on net assets of $323,657,700.
<TABLE>
<C> <S>
AMBAC Insured by AMBAC Indemnity Corp.
ETM Escrowed to Maturity
FGIC Insured by Federal Guarantee Insurance Corp.
FHA Insured by Federal Housing Administration
FSA Insured by Federal Security Assurance
GO General Obligation
LOC Letter of Credit
MBIA Insured by Municipal Bond Insurance Association
</TABLE>
See Notes to Financial Statements.
Pegasus Funds
200
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
(1) Organization
The Pegasus Funds ("Pegasus"), 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 December 31, 1998,
Pegasus consisted of thirty separate portfolios of which there were twenty-one
asset allocation, equity, bond and municipal bond funds (the "Funds"), as
described below.
<TABLE>
<CAPTION>
Commencement
Date
------------
<S> <C>
ASSET ALLOCATION FUNDS
Managed Assets Conservative Fund 1/23/86
Managed Assets Balanced Fund 1/1/94
Managed Assets Growth Fund 12/17/96
EQUITY FUNDS
Equity Income Fund 1/27/95
Growth Fund 1/27/95
Mid-Cap Opportunity Fund 6/1/91
Small Cap Opportunity Fund 1/27/95
Intrinsic Value Fund 6/1/91
Growth and Value Fund 6/1/91
Equity Index Fund 7/10/92
Market Expansion Index Fund 7/31/98
International Equity Fund 12/3/94
BOND FUNDS
Intermediate Bond Fund 6/1/91
Bond Fund 6/1/91
Short Bond Fund 9/17/94
Multi Sector Bond Fund 3/5/93
High Yield Bond Fund 6/30/97
MUNICIPAL BOND FUNDS
Municipal Bond Fund 3/1/88
Short Municipal Bond Fund 5/4/98
Intermediate Municipal Bond Fund 3/1/88
Michigan Municipal Bond Fund 2/1/93
</TABLE>
Pegasus Funds
201
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (Continued)
- --------------------------------------------------------------------------------
Merger:
On October 2, 1998, First Chicago NBD Investment Management Company's
("FCNIMCO") parent company, First Chicago NBD Corporation, merged with and into
BANC ONE CORPORATION at which time the newly combined company was renamed to
BANK ONE CORPORATION. BANK ONE CORPORATION has now begun the process of
reorganizing their proprietary mutual funds: the Pegasus Funds and The One
Group Family of Mutual Funds. On January 12, 1999, the Board of Trustees of the
Pegasus Funds approved Reorganization Agreements, which are subject to
shareholder approval. Certain expenses incurred in connection with entering
into and carrying out provisions of the reorganization transactions, whether or
not the transactions contemplated thereby are consummated, will be paid by BANK
ONE CORPORATION. The reorganization is intended to be effected on a tax-free
basis, so that none of the Pegasus Funds' shareholders will recognize taxable
gains or losses as a result of the reorganization. A proxy statement/prospectus
describing the reorganization and the reasons therefore has been sent to
Pegasus shareholders.
Conversion of Common Trust Funds:
During the years ended December 31, 1998 and 1997, the net assets of certain
common trust funds managed by FCNIMCO (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 Fund 739,751 14,935,571 20.19 7,647,808
Growth and Value Fund 2,124,838 35,293,559 16.61 23,002,210
July 31, 1998
- -------------
Growth Fund 1,005,253 16,868,119 16.78 5,235,204
Equity Income Fund 26,382,992 313,954,786 11.90 52,539,020
Mid-Cap Opportunity Fund 9,466,273 191,219,678 20.20 57,930,710
Growth and Value Fund 18,447,029 300,502,480 16.29 93,705,958
Market Expansion Index
Fund 2,644,136 26,441,223 10.00 8,449,359
August 21, 1998
- ---------------
Municipal Bond Fund 33,107,233 427,412,895 12.91 23,196,163
Intermediate Municipal
Bond Fund 1,437,303 17,750,046 12.35 792,415
Intermediate Bond Fund 424,402 4,464,804 10.52 122,830
Short Municipal Bond
Fund 9,462,724 95,765,693 10.12 1,052,914
Michigan Municipal Bond
Fund 18,875,822 207,445,015 10.99 10,379,459
September 25, 1998
- ------------------
Intermediate Bond Fund 1,236,449 13,193,389 10.67 498,541
Short Bond Fund 6,073,928 62,377,768 10.27 915,423
Multi Sector Bond Fund 34,606,982 284,468,016 8.22 17,960,805
</TABLE>
Pegasus Funds
202
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (Continued)
- --------------------------------------------------------------------------------
(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. Securities for
which market prices or dealer quotes are not readily available (including
restricted securities) are valued by the Adviser in accordance with procedures
approved by the Board of Trustees. Fixed income securities (other than fixed
income municipal securities) are valued at the closing bid price as estimated
by an independent pricing service. Fixed income municipal 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
original 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.
Investment security purchases and sales are recorded on the trade date.
Realized gains and losses from security transactions are recorded on the
specific identified cost basis.
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 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. If the seller defaults, and the fair
value of the collateral declines, realization of the collateral by the Funds
may be delayed or limited.
Restricted Securities
The Funds are permitted to invest in securities that are subject to legal or
contractual restrictions on resale. These securities generally may be resold in
transactions exempt from registration or to the public if the securities are
registered. The Fund does not have the right to demand that such securities be
registered. Disposal of these securities may involve time-consuming
negotiations and expense, and prompt sale at an acceptable price may be
difficult. Certain of these securities may be offered and sold to "qualified
institutional buyers" under Rule 144A of the Securities Act of 1933.
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 using the effective interest rate
method. 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
Pegasus Funds
203
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (Continued)
- --------------------------------------------------------------------------------
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. As of December 31, 1998,
the fund held one debt obligation which was on non-accrual status.
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. Investment income is recorded net of foreign taxes withheld where
recovery of such taxes is uncertain.
Forward Foreign Currency Contracts
The International Equity 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 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 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 Statement of Assets and Liabilities. The face or
contract amount in U.S. dollars, as reflected in the notes to the Schedule of
Portfolio 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 December 31, 1998 and their related unrealized market
appreciation (depreciation) are set forth in the respective Funds' Schedule of
Portfolio Investments explanatory footnotes.
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, however there is a
risk that it may not correlate with the change in value of the hedged
investments.
Foreign Currency Translations
The accounting records of the International Equity 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.
Pegasus Funds
204
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (Continued)
- --------------------------------------------------------------------------------
In the International Equity Fund, net realized gains and losses on foreign
currency transactions represent gains and losses from: sales and maturities of
forward foreign currency contracts; dispositions of foreign currencies; and
currency gains and losses realized between trade and settlement dates on
securities transactions and between the ex, pay and settlement dates on
dividend income. Exchange rate fluctuations on investments are not segregated
in the statement of operations from changes arising from market price movements
but are instead included within the net realized gain or loss on investment
transactions sold and net change in unrealized appreciation or depreciation on
investment securities held.
Federal Income Taxes
It is Pegasus' policy to comply with the requirements of Subchapter M of the
Internal Revenue Code (the "Code"), as amended, applicable to regulated
investment companies and to distribute substantially all 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 or losses may differ for
financial statement and tax purposes primarily due to differing treatments for
foreign currency transactions, passive foreign investment companies, 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.
As of December 31, 1998, the following Pegasus Funds had capital loss
carryforwards and related expiration dates as follows:
<TABLE>
<CAPTION>
Fund 2002 2003 2004 2005 2006 Total
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Bond $11,488,180 $1,041,790 $ -- $ -- $ -- $12,529,970
Intermediate
Bond 1,283,889 2,190,495 168,406 -- -- 3,642,790
International
Equity 2,735 97,889 1,401,229 6,436,160 16,055,937 23,993,950
</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
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 for Funds commencing operations 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 Fund. Organization costs for Funds
commencing operations subsequent to June 30, 1998 are expensed as incurred.
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 the
banking (13.1%) and telecommunications (17.6%) industries.
Pegasus Funds
205
<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 Texas and Michigan. Although the Municipal Bond
Fund has a diversified investment portfolio, it currently has investments in
excess of 10% in the state of Indiana. The Michigan Municipal Bond Fund does
not have a diversified portfolio since 98% 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 net assets of each Fund. 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 on the basis of relative net
assets of each class.
When-Issued/To Be Announced (TBA) Securities
The Bond Funds and the Municipal 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 and the Municipal 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 and Short Municipal Bond Funds and the seventh year in the case of the
Equity Index, Market Expansion Index, Multi Sector Bond, Intermediate Bond and
Intermediate Municipal Bond Funds) after the date of purchase.
Pegasus Funds
206
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (Continued)
- --------------------------------------------------------------------------------
(3) Investment Advisory Fee, Administration Fee and Other Transactions With
Affiliates
FCNIMCO is the investment adviser 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 the Funds, FCNIMCO is entitled to a
fee, computed daily and payable monthly based on each Fund's average net
assets. Each Fund's current contractual fee for advisory services is set forth
below. For the period ended December 31, 1998, FCNIMCO voluntarily agreed to
waive its advisory fee and 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.)
<TABLE>
<CAPTION>
Expense Cap for Advisory
Voluntary Fee Current
Waiver/Expense Contractual
Reimbursement Advisory
---------------------------- Fee Rate
Class A Class B Class I
- --------------------------------------------------------------------------------
<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.......................... 0.86% 1.41% 0.51% 0.10%
Market Expansion Index................ 0.82% 1.57% 0.57% 0.25%
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%
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>
Federated Investment Counseling ("Federated") is the sub-adviser of the High
Yield Bond Fund. For its services, Federated is entitled to a monthly fee at
the following annual rates: 0.50% on the first $30 million of average daily net
assets, 0.40% on the next $20 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-adviser's fee is paid by FCNIMCO and not by the Fund.
Pegasus has a Co-Administration Agreement with FCNIMCO and Fund Services
Limited Partnership, d/b/a BISYS Fund Services ("BISYS") (collectively, the
"Co-Administrators") pursuant to which the Co-Administrators have agreed to
assist in aspects of the Funds' administration and operations for a fee, at an
annual rate of 0.15% of each Fund's average daily net assets.
BISYS (the "Distributor") serves as the Funds' principal underwriter and
distributor of the Funds' shares.
The Funds' Class A shares and Class B shares have a Shareholder Services Plan
(the "Plan") pursuant to which the Funds pay the Distributor a fee, at an
annual rate not to exceed 0.25% 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.
The Funds' Class B shares have a Distribution Plan adopted pursuant to Rule
12b-1 under the Act (the "12b-1 Plan") pursuant to which the Funds have agreed
to pay the Distributor for advertising, marketing and distributing Class B
shares of the Funds at an annual rate not to exceed 0.75% of the average daily
net assets of
Pegasus Funds
207
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (Continued)
- --------------------------------------------------------------------------------
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 may be imposed on redemptions of Class B shares depending on the
number of years such shares were held by the investor.
NBD Bank, an affiliate of FCNIMCO, serves as the Funds custodian and is
compensated for certain transfer agent services and is reimbursed for certain
out-of-pocket expenses incurred on behalf of Pegasus. State Street Bank serves
as the sub-custodian of the Funds. The sub-custodian is compensated directly by
the Funds.
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, 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.
(4) Investment Securities Transactions
The following summarizes the securities transactions entered into by the
Funds, excluding short-term investments, for the period ended December 31,
1998:
<TABLE>
<CAPTION>
Purchases Sales
-----------------------------------------------------------------
<S> <C> <C>
Managed Assets Conservative........... $ 85,153,195 $ 43,629,054
Managed Assets Balanced............... 159,386,516 117,152,533
Managed Assets Growth................. 22,638,914 6,420,991
Equity Income......................... 162,042,930 215,922,782
Growth................................ 301,617,920 326,161,378
Mid-Cap Opportunity................... 297,101,793 311,934,712
Small Cap Opportunity................. 209,365,137 118,395,167
Intrinsic Value....................... 214,773,526 226,502,099
Growth and Value...................... 584,927,292 644,553,977
Equity Index.......................... 161,224,524 186,575,684
Market Expansion Index................ 4,741,492 5,920,303
International Equity.................. 69,723,889 46,032,872
Intermediate Bond..................... 370,251,293 266,233,927
Bond.................................. 713,017,346 444,709,588
Short Bond............................ 181,585,157 125,335,033
Multi Sector Bond..................... 84,583,724 107,014,691
High Yield Bond....................... 46,880,143 17,212,127
Municipal Bond........................ 196,990,927 128,830,158
Short Municipal Bond.................. 55,481,809 21,668,787
Intermediate Municipal Bond........... 121,250,317 82,720,676
Michigan Municipal Bond............... 79,084,875 41,011,708
</TABLE>
Pegasus Funds
208
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (Continued)
- --------------------------------------------------------------------------------
At December 31, 1998, the accumulated net unrealized appreciation
(depreciation) on investments for federal tax purposes and the federal tax cost
of investments was as follows:
<TABLE>
<CAPTION>
Net Unrealized
Unrealized Unrealized Appreciation
Appreciation Depreciation (Depreciation) Federal Tax Cost
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Managed Assets Conserva-
tive................... $ 4,053,304 $ (2,821,686) $ 1,231,618 $ 143,281,618
Managed Assets Balanced. 7,234,360 (8,372,426) (1,138,066) 276,119,739
Managed Assets Growth... 1,080,545 (1,076,895) 3,650 28,946,233
Equity Income........... 89,429,029 (16,797,654) 72,631,375 506,022,566
Growth.................. 454,535,448 (10,827,422) 443,708,026 561,120,818
Mid-Cap Opportunity..... 440,145,984 (52,291,543) 387,854,441 883,173,466
Small Cap Opportunity... 57,899,228 (32,390,081) 25,509,147 285,871,854
Intrinsic Value......... 80,820,014 (39,157,265) 41,662,749 538,090,128
Growth and Value........ 448,021,733 (15,314,328) 432,707,405 1,063,417,693
Equity Index............ 491,929,192 (12,924,553) 479,004,639 546,360,339
Market Expansion Index.. 10,608,019 (1,634,221) 8,973,798 18,540,428
International Equity.... 213,621,099 (65,370,075) 148,251,024 465,859,339
Intermediate Bond....... 23,204,627 (4,495,540) 18,709,087 635,351,541
Bond.................... 88,666,778 (12,979,372) 75,687,406 1,429,884,493
Short Bond.............. 3,834,955 (225,874) 3,609,081 342,482,396
Multi Sector Bond....... 21,658,396 (830,852) 20,827,544 378,303,198
High Yield Bond......... 476,336 (4,054,989) (3,578,653) 84,002,941
Municipal Bond.......... 56,578,168 (123,368) 56,454,800 831,520,260
Short Municipal Bond.... 1,760,177 (38,239) 1,721,938 116,069,789
Intermediate Municipal
Bond................... 24,676,560 (59,716) 24,616,844 482,088,696
Michigan Municipal Bond. 16,565,598 (141,999) 16,423,599 305,244,717
</TABLE>
Pegasus Funds
209
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (Continued)
- --------------------------------------------------------------------------------
(5) Capital Share Transactions
Transactions in amounts and shares of the Funds are summarized below:
<TABLE>
<CAPTION>
Managed Assets Conservative Fund Managed Assets Balanced Fund
-------------------------------------------------------------------------------------------------------------
For the Year Ended For the Year Ended For the Year Ended For the Year Ended
December 31, 1998 December 31, 1997 December 31, 1998 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 $ 33,437,548 2,255,578 $ 31,316,561 2,016,301 $ 65,609,300 5,466,467 $123,331,478 10,106,283
Dividends
reinvested 9,210,417 628,169 11,601,787 765,341 18,218,982 1,572,916 13,209,034 1,100,235
Shares redeemed (27,498,258) (1,858,346) (19,010,963) (1,222,958) (47,992,091) (4,128,967) (19,705,519) (1,614,532)
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 15,149,707 1,025,401 $ 23,907,385 1,558,684 $ 35,836,191 2,910,416 $116,834,993 9,591,986
- ------------------------------------------------------------------------------------------------------------------------
Class B Shares:
Shares issued $ 13,838,284 920,334 $ 7,513,031 482,687 $ 9,378,917 703,216 $ 8,381,742 606,921
Dividends
reinvested 1,943,446 132,871 1,365,334 90,169 1,528,713 118,093 757,299 56,894
Shares redeemed (2,223,503) (151,431) (806,131) (52,379) (1,714,855) (131,008) (781,286) (56,066)
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 13,558,227 901,774 $ 8,072,234 520,477 $ 9,192,775 690,301 $ 8,357,755 607,749
- ------------------------------------------------------------------------------------------------------------------------
Class I Shares:
Shares issued $ 10,798,299 723,039 $ 17,213,041 1,103,175 $ 19,283,082 1,629,212 $ 54,963,342 4,828,990
Dividends
reinvested 1,161,745 78,997 1,051,898 69,270 9,246,055 796,756 11,078,389 924,980
Shares redeemed (6,830,540) (458,784) (9,054,523) (582,695) (39,042,114) (3,246,901) (72,178,198) (5,944,348)
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 5,129,504 343,252 $ 9,210,416 589,750 $(10,512,977) (820,933) $ (6,136,467) (190,378)
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in
Fund $ 33,837,438 2,270,427 $ 41,190,035 2,668,911 $ 34,515,989 2,779,784 $119,056,281 10,009,357
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Managed Assets Growth Fund
-------------------------------------------------------------------------------------------------------------
For the Year Ended For the Year Ended
December 31, 1998 December 31, 1997
-------------------------------------------------------------------------------------------------------------
Amount Shares Amount Shares
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class A Shares:
Shares issued $10,961,856 967,597 $ 5,803,931 520,583
Dividends
reinvested 527,957 45,576 110,631 9,677
Shares redeemed (2,355,550) (204,083) (447,060) (40,532)
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 9,134,263 809,090 $ 5,467,502 489,728
- ------------------------------------------------------------------------------------------------------------------------
Class B Shares:
Shares issued $ 6,929,649 591,376 $ 5,710,882 519,712
Dividends
reinvested 582,411 51,108 106,258 9,416
Shares redeemed (787,989) (69,291) (89,261) (7,937)
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 6,724,071 573,193 $ 5,727,879 521,191
- ------------------------------------------------------------------------------------------------------------------------
Class I Shares:
Shares issued $ 587,853 52,445 $ 743,108 64,957
Dividends
reinvested 16,803 1,435 4 --
Shares redeemed (887,454) (72,948) -- --
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ (282,798) (19,068) $ 743,112 64,957
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in
Fund $15,575,536 1,363,215 $11,938,493 1,075,876
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
210
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (Continued)
- --------------------------------------------------------------------------------
(5) Capital Share Transactions -- (Continued)
<TABLE>
<CAPTION>
Equity Income Fund Growth Fund
--------------------------------------------------------------------------------------------------------------------
For the Year Ended For the Year Ended For the Year Ended For the Year Ended
December 31, 1998 December 31, 1997 December 31, 1998 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 $ 6,016,612 484,188 $ 6,572,559 468,697 $ 56,936,785 3,536,763 $ 40,045,445 2,775,581
Dividends
reinvested 1,017,100 81,424 1,844,995 139,990 7,118,816 445,843 2,790,818 182,621
Shares redeemed (5,859,244) (463,905) (8,712,198) (619,931) (25,055,901) (1,512,718) (9,366,705) (646,661)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 1,174,468 101,707 $ (294,644) (11,244) $ 38,999,700 2,469,888 $ 33,469,558 2,311,541
- ----------------------------------------------------------------------------------------------------------------------------
Class B Shares:
Shares issued $ 769,843 59,731 $ 1,438,787 101,560 $ 3,215,220 196,223 $ 1,483,297 101,867
Dividends
reinvested 288,580 23,121 427,616 32,598 316,751 20,003 93,456 6,193
Shares redeemed (465,089) (38,068) (457,543) (34,137) (686,102) (42,616) (640,490) (49,812)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase $ 593,334 44,784 $ 1,408,860 100,021 $ 2,845,869 173,610 $ 936,263 58,248
- ----------------------------------------------------------------------------------------------------------------------------
Class I Shares:
Shares issued $ 17,856,931 1,420,318 $ 28,432,275 2,026,742 $ 82,465,262 4,959,312 $ 78,761,960 5,522,672
Shares issued in
connection with
conversion of
common trust
funds 343,332,048 28,765,576 -- -- 114,256,845 6,972,699 -- --
Dividends
reinvested 15,759,622 1,276,619 34,772,811 2,674,370 35,950,587 2,251,149 23,951,009 1,567,312
Shares redeemed (98,293,666) (8,048,750) (69,797,438) (5,065,466) (124,185,631) (7,564,091) (155,347,564) (10,934,920)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $278,654,935 23,413,763 $ (6,592,352) (364,354) $ 108,487,063 6,619,069 $ (52,634,595) (3,844,936)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in
Fund $280,422,737 23,560,254 $ (5,478,136) (275,577) $ 150,332,632 9,262,567 $ (18,228,774) (1,475,147)
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Mid-Cap Opportunity Fund
--------------------------------------------------------------------------------------------------------------------
For the Year Ended For the Year Ended
December 31, 1998 December 31, 1997
--------------------------------------------------------------------------------------------------------------------
Amount Shares Amount Shares
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class A Shares:
Shares issued $ 97,257,759 4,701,436 $ 130,158,919 6,412,767
Dividends
reinvested 17,695,477 891,600 13,953,980 672,278
Shares redeemed (62,547,755) (3,124,427) (21,535,955) (1,077,836)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 52,405,481 2,468,609 $ 122,576,944 6,007,209
- ----------------------------------------------------------------------------------------------------------------------------
Class B Shares:
Shares issued $ 3,860,657 365,461 $ 3,558,244 329,955
Dividends
reinvested 802,754 85,374 388,813 37,100
Shares redeemed (745,568) (80,988) (93,380) (8,506)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase $ 3,917,843 369,847 $ 3,853,677 358,549
- ----------------------------------------------------------------------------------------------------------------------------
Class I Shares:
Shares issued $ 164,164,289 8,188,329 $ 207,175,566 10,476,135
Shares issued in
connection with
conversion of
common trust
funds 206,155,249 10,206,024 -- --
Dividends
reinvested 42,744,123 2,141,952 46,220,847 2,224,010
Shares redeemed (215,551,801) (10,665,043) (253,407,120) (12,783,438)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 197,511,860 9,871,262 $ (10,707) (83,293)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in
Fund $ 253,835,184 12,709,718 $ 126,419,914 6,282,465
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
211
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (Continued)
- --------------------------------------------------------------------------------
(5) Capital Share Transactions -- (Continued)
<TABLE>
<CAPTION>
Small Cap Opportunity Fund Intrinsic Value Fund
------------------------------------------------------------------------------------------------------------------
For the Year Ended For the Year Ended For the Year Ended For the Year Ended
December 31, 1998 December 31, 1997 December 31, 1998 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 $ 20,319,442 1,270,543 $ 16,824,149 1,022,192 $ 72,549,969 4,551,752 $ 60,372,454 3,925,383
Dividends
reinvested 952,674 64,974 1,650,556 102,839 8,955,905 621,213 6,149,882 394,556
Shares redeemed (7,795,057) (521,507) (3,824,714) (251,988) (29,182,142) (1,921,038) (10,129,328) (667,288)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 13,477,059 814,010 $ 14,649,991 873,043 $ 52,323,732 3,251,927 $ 56,393,008 3,652,651
- ---------------------------------------------------------------------------------------------------------------------------
Class B Shares:
Shares issued $ 2,942,375 186,003 $ 1,618,901 99,977 $ 2,761,660 240,352 $ 2,966,956 260,864
Dividends
reinvested 132,153 9,287 125,301 7,951 571,243 57,730 291,301 25,987
Shares redeemed (438,755) (31,064) (29,610) (1,796) (863,966) (85,391) (122,704) (10,630)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 2,635,773 164,226 $ 1,714,592 106,132 $ 2,468,937 212,691 $ 3,135,553 276,221
- ---------------------------------------------------------------------------------------------------------------------------
Class I Shares:
Shares issued $128,375,927 8,012,166 $ 78,449,597 4,974,079 $ 127,748,502 8,456,376 $190,470,760 12,535,439
Shares issued in
connection with
conversion of
common trust
funds -- -- -- -- -- -- -- --
Dividends
reinvested 4,636,383 305,255 12,026,693 741,015 13,701,211 895,576 35,700,516 2,291,818
Shares redeemed (49,083,876) (3,323,610) (21,124,571) (1,399,602) (160,308,421) (10,575,281) (97,234,985) (6,443,872)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 83,928,434 4,993,811 $ 69,351,719 4,315,492 $ (18,858,708) (1,223,329) $128,936,291 8,383,385
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in
Fund $100,041,266 5,972,047 $ 85,716,302 5,294,667 $ 35,933,961 2,241,289 $188,464,852 12,312,257
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Growth and Value Fund
-------------------------------------------------------------------------------------------------------------------
For the Year Ended For the Year Ended
December 31, 1998 December 31, 1997
-------------------------------------------------------------------------------------------------------------------
Amount Shares Amount Shares
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class A Shares:
Shares issued $ 135,083,831 8,201,675 $ 94,486,592 5,899,852
Dividends
reinvested 21,153,634 1,286,795 12,755,356 781,070
Shares redeemed (55,500,173) (3,358,758) (15,125,603) (944,388)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 100,737,292 6,129,712 $ 92,116,345 5,736,534
- ---------------------------------------------------------------------------------------------------------------------------
Class B Shares:
Shares issued $ 6,357,877 611,462 $ 4,612,966 444,913
Dividends
reinvested 1,522,266 157,118 517,650 50,518
Shares redeemed (1,131,089) (115,211) (145,758) (13,846)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 6,749,054 653,369 $ 4,984,858 481,585
- ---------------------------------------------------------------------------------------------------------------------------
Class I Shares:
Shares issued $ 234,467,326 14,110,748 $ 246,403,685 15,691,586
Shares issued in
connection with
conversion of
common trust
funds 349,063,401 21,398,494 -- --
Dividends
reinvested 45,674,465 2,775,377 58,038,310 3,548,746
Shares redeemed (323,815,292) (19,709,650) (262,615,759) (16,528,740)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 305,389,900 18,574,969 $ 41,826,236 2,711,592
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in
Fund $ 412,876,246 25,358,050 $ 138,927,439 8,929,711
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
212
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (Continued)
- --------------------------------------------------------------------------------
(5) Capital Share Transactions -- (Continued)
<TABLE>
<CAPTION>
Market Expansion
Equity Index Fund Index Fund
----------------------------------------------------------------------------------
For the Year Ended For the Year Ended For the Period Ended
December 31, 1998 December 31, 1997 December 31, 1998(1)
----------------------------------------------------------------------------------
Amount Shares Amount Shares Amount Shares
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Class A Shares:
Shares issued $ 136,669,262 5,826,603 $ 168,016,201 8,416,137 $ 28,379 2,893
Dividends
reinvested 20,157,569 829,123 5,805,194 273,337 8 1
Shares redeemed (71,537,219) (3,056,202) (32,929,404) (1,733,288) -- --
- -------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 85,289,612 3,599,524 $ 140,891,991 6,956,186 $ 28,387 2,894
- -------------------------------------------------------------------------------------------------
Class B Shares:
Shares issued $ 3,193,195 220,276 $ 1,287,388 104,699 $ 195 20
Dividends
reinvested 492,851 34,759 71,089 5,457 8 1
Shares redeemed (221,371) (15,615) (57,785) (4,457) -- --
- -------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 3,464,675 239,420 $ 1,300,692 105,699 $ 203 21
- -------------------------------------------------------------------------------------------------
Class I Shares:
Shares issued $ 173,259,753 7,291,664 $ 146,097,054 7,485,701 $ 1,395,220 141,190
Shares issued in
connection with
conversion of
common trust
funds -- -- -- -- 26,441,223 2,644,136
Dividends
reinvested 8,571,273 364,497 16,894,585 811,344 892,851 91,200
Shares redeemed (234,695,887) (10,037,928) (524,752,379) (28,171,388) (2,485,468) (263,981)
- -------------------------------------------------------------------------------------------------
Net increase
(decrease) $ (52,864,861) (2,381,767) $(361,760,740) (19,874,343) $26,243,826 2,612,545
- -------------------------------------------------------------------------------------------------
Net increase
(decrease) in
Fund $ 35,889,426 1,457,177 $(219,568,057) (12,812,458) $26,272,416 2,615,460
- -------------------------------------------------------------------------------------------------
<CAPTION>
International Equity Fund
----------------------------------------------------------------------------------
For the Year Ended For the Year Ended
December 31, 1998 December 31, 1997
----------------------------------------------------------------------------------
Amount Shares Amount Shares
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class A Shares:
Shares issued $ 26,636,428 2,043,566 $ 18,567,566 1,519,426
Dividends
reinvested 391,345 30,209 151,571 12,294
Shares redeemed (14,356,676) (1,094,567) (3,047,589) (247,544)
- -------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 12,671,097 979,208 $ 15,671,548 1,284,176
- -------------------------------------------------------------------------------------------------
Class B Shares:
Shares issued $ 818,238 65,139 $ 811,445 70,622
Dividends
reinvested 18,722 1,536 7,275 630
Shares redeemed (310,245) (26,193) (201,965) (18,241)
- -------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 526,715 40,482 $ 616,755 53,011
- -------------------------------------------------------------------------------------------------
Class I Shares:
Shares issued $ 109,587,478 8,439,582 $144,396,799 12,175,388
Shares issued in
connection with
conversion of
common trust
funds -- -- 25,851,101 2,159,636
Dividends
reinvested 2,089,465 161,606 1,488,912 120,663
Shares redeemed (101,966,061) (7,899,034) (89,221,490) (7,329,317)
- -------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 9,710,882 702,154 $ 82,515,322 7,126,370
- -------------------------------------------------------------------------------------------------
Net increase
(decrease) in
Fund $ 22,908,694 1,721,844 $ 98,803,625 8,463,557
- -------------------------------------------------------------------------------------------------
</TABLE>
(1) For the period July 31, 1998 (commencement of operations) through December
31, 1998.
Pegasus Funds
213
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (Continued)
- --------------------------------------------------------------------------------
(5) Capital Share Transactions -- (Continued)
<TABLE>
<CAPTION>
Intermediate Bond Fund
---------------------------------------------------------
For the Year Ended For the Year Ended
December 31, 1998 December 31, 1997
---------------------------------------------------------
Amount Shares Amount Shares
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class A Shares:
Shares issued $ 67,340,853 6,386,639 $ 27,304,014 2,624,666
Dividends
reinvested 4,355,434 414,114 1,358,064 131,435
Shares redeemed (26,829,680) (2,540,583) (5,101,985) (493,064)
- ---------------------------------------------------------------------------
Net increase
(decrease) $ 44,866,607 4,260,170 $ 23,560,093 2,263,037
- ---------------------------------------------------------------------------
Class B Shares:
Shares issued $ 525,464 50,247 $ 278,873 27,172
Dividends
reinvested 28,600 2,744 8,536 833
Shares redeemed (88,202) (8,455) (29,302) (2,866)
- ---------------------------------------------------------------------------
Net increase
(decrease) $ 465,862 44,536 $ 258,107 25,139
- ---------------------------------------------------------------------------
Class I Shares:
Shares issued $ 148,957,212 14,087,052 $ 185,976,995 18,003,953
Shares issued in
connection with
conversion of
common trust
funds 24,555,560 2,318,369 -- --
Dividends
reinvested 14,063,585 1,337,453 16,511,264 1,601,349
Shares redeemed (108,666,665) (10,294,783) (123,282,895) (11,921,465)
- ---------------------------------------------------------------------------
Net increase
(decrease) $ 78,909,692 7,448,091 $ 79,205,364 7,683,837
- ---------------------------------------------------------------------------
Net increase
(decrease) in
Fund $ 124,242,161 11,752,797 $ 103,023,564 9,972,013
- ---------------------------------------------------------------------------
<CAPTION>
Bond Fund
--------------------------------------------------------
For the Year Ended For the Year Ended
December 31, 1998 December 31, 1997
---------------------------------------------------------
Amount Shares Amount Shares
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class A Shares:
Shares issued $ 169,561,801 15,863,945 $ 87,085,926 8,353,347
Dividends
reinvested 10,307,216 966,403 3,910,615 377,818
Shares redeemed (82,544,542) (7,685,823) (15,064,433) (1,455,779)
- ---------------------------------------------------------------------------
Net increase
(decrease) $ 97,324,475 9,144,525 $ 75,932,108 7,275,386
- ---------------------------------------------------------------------------
Class B Shares:
Shares issued $ 5,938,839 554,327 $ 3,156,452 303,186
Dividends
reinvested 251,161 23,518 60,268 5,791
Shares redeemed (600,075) (56,210) (164,690) (15,856)
- ---------------------------------------------------------------------------
Net increase
(decrease) $ 5,589,925 521,635 $ 3,052,030 293,121
- ---------------------------------------------------------------------------
Class I Shares:
Shares issued $ 413,141,717 38,580,174 $ 435,649,178 42,208,448
Shares issued in
connection with
conversion of
common trust
funds -- -- -- --
Dividends
reinvested 36,842,015 3,454,481 32,769,206 3,176,489
Shares redeemed (295,732,353) (27,545,193) (157,152,393) (15,127,474)
- ---------------------------------------------------------------------------
Net increase
(decrease) $ 154,251,379 14,489,462 $ 311,265,991 30,257,463
- ---------------------------------------------------------------------------
Net increase
(decrease) in
Fund $ 257,165,779 24,155,622 $ 390,250,129 37,825,970
- ---------------------------------------------------------------------------
</TABLE>
Pegasus Funds
214
<PAGE>
Pegasus Funds
NOTES TO FINANCIAL STATEMENTS -- (Continued)
- --------------------------------------------------------------------------------
(5) Capital Share Transactions -- (Continued)
<TABLE>
<CAPTION>
Short Bond Fund Multi Sector Bond Fund
----------------------------------------------------------------------------------------------
For the Year Ended For the Year Ended For the Year Ended For the Year Ended
December 31, 1998 December 31, 1997 December 31, 1998 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 $ 11,703,781 1,149,743 $ 4,288,154 423,115 $ 11,205,371 1,377,353 $ 2,346,273 298,883
Dividends rein-
vested 537,190 52,792 100,656 9,964 697,768 86,608 481,710 61,412
Shares redeemed (2,876,660) (282,582) (692,337) (68,358) (3,979,758) (492,541) (3,919,756) (502,746)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 9,364,311 919,953 $ 3,696,473 364,721 $ 7,923,381 971,420 $ (1,091,773) (142,451)
- ---------------------------------------------------------------------------------------------------------------------------
Class B Shares:
Shares issued $ 163,752 16,205 $ 500,749 49,815 $ 148,543 18,302 $ 235,272 29,850
Dividends rein-
vested 12,560 1,247 4,017 400 23,986 2,967 18,480 2,347
Shares redeemed (451,149) (44,744) (20,443) (2,048) (76,214) (9,362) (230,668) (29,611)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ (274,837) (27,292) $ 484,323 48,167 $ 96,315 11,907 $ 23,084 2,586
- ---------------------------------------------------------------------------------------------------------------------------
Class I Shares:
Shares issued $114,066,269 11,204,456 $131,425,104 12,981,562 $ 21,735,677 3,005,925 $ 7,729,755 983,848
Shares issued in
connection with
conversion of
common trust
funds 62,377,768 6,073,928 -- -- 330,844,733 40,332,503 -- --
Dividends rein-
vested 5,239,873 515,326 4,521,387 447,631 1,979,476 245,491 224,426 28,290
Shares redeemed (87,695,680) (8,613,270) (73,190,834) (7,226,149) (62,713,603) (7,755,708) (102,380,005) (13,037,412)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 93,988,230 9,180,440 $ 62,755,657 6,203,044 $291,846,283 35,828,211 $ (94,425,824) (12,025,274)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in
Fund $103,077,704 10,073,101 $ 66,936,453 6,615,932 $299,865,979 36,811,538 $ (95,494,513) (12,165,139)
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
215
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (Continued)
- --------------------------------------------------------------------------------
(5) Capital Share Transactions-- (Continued)
<TABLE>
<CAPTION>
High Yield Bond Fund Municipal Bond Fund
------------------------------------------------------------------------------------------------------
For the Year Ended For the Period Ended For the Year Ended For the Year Ended
December 31, 1998 December 31, 1997(1) December 31, 1998 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 $ 2,088,463 208,774 $ 566,077 55,462 $ 19,917,246 1,538,873 $ 11,724,049 939,135
Dividends
reinvested 63,855 6,421 3,384 332 1,122,531 87,097 843,113 67,267
Shares redeemed (437,221) (44,454) -- -- (8,973,547) (693,856) (8,454,633) (681,140)
- -----------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 1,715,097 170,741 $ 569,461 55,794 $ 12,066,230 932,114 $ 4,112,529 325,262
- -----------------------------------------------------------------------------------------------------------------------
Class B Shares:
Shares issued $ 351,441 34,650 $ 77,187 7,534 $ 993,580 77,005 $ 733,512 58,222
Dividends
reinvested 8,633 869 959 94 48,099 3,731 28,072 2,246
Shares redeemed (64,799) (6,242) (893) (87) (230,531) (17,861) (160,009) (12,772)
- -----------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 295,275 29,277 $ 77,253 7,541 $ 811,148 62,875 $ 601,575 47,696
- -----------------------------------------------------------------------------------------------------------------------
Class I Shares:
Shares issued $ 41,862,105 4,135,769 $50,211,813 4,945,400 $ 89,325,715 6,979,636 $ 90,800,345 7,311,590
Shares issued in
connection with
conversion of
common trust
funds -- -- -- -- 449,204,422 34,801,753 -- --
Dividends
reinvested 1,440,358 142,216 369,553 36,030 1,162,098 89,069 632,571 50,986
Shares redeemed (10,115,828) (1,021,499) (2,057,468) (200,949) (60,984,773) (4,706,533) (87,732,156) (7,051,329)
- -----------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 33,186,635 3,256,486 $48,523,898 4,780,481 $478,707,462 37,163,925 $ 3,700,760 311,247
- -----------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in
Fund $ 35,197,007 3,456,504 $49,170,612 4,843,816 $491,584,840 38,158,914 $ 8,414,864 684,205
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
Short Municipal Bond
Fund
------------------------------------------------------------------------------------------------------
For the Period Ended
December 31, 1998(2)
------------------------------------------------------------------------------------------------------
Amount Shares
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Class A Shares:
Shares issued $ 557,865 54,958
Dividends
reinvested 1,843 182
Shares redeemed -- --
- -----------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 559,708 55,140
- -----------------------------------------------------------------------------------------------------------------------
Class B Shares:
Shares issued $ 110,348 10,861
Dividends
reinvested 942 93
Shares redeemed -- --
- -----------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 111,290 10,954
- -----------------------------------------------------------------------------------------------------------------------
Class I Shares:
Shares issued $ 28,335,157 2,850,127
Shares issued in
connection with
conversion of
common trust
funds 95,765,693 9,462,724
Dividends
reinvested 271,472 --
Shares redeemed (6,780,149) (666,423)
- -----------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $117,592,173 11,646,428
- -----------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in
Fund $118,263,171 11,712,522
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the period June 30, 1997 (commencement of operations) through December
31, 1997.
(2) For the period May 4, 1998 (commencement of operations) through December
31, 1998.
Pegasus Funds
216
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (Continued)
- --------------------------------------------------------------------------------
(5) Capital Share Transactions -- (Continued)
<TABLE>
<CAPTION>
Intermediate Municipal Bond Fund Michigan Municipal Bond Fund
-----------------------------------------------------------------------------------------------------
For the Year Ended For the Year Ended For the Year Ended For the Year Ended
December 31, 1998 December 31, 1997 December 31, 1998 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 $ 6,169,503 498,948 $ 4,330,436 356,402 $ 6,877,724 622,625 $ 1,862,834 175,504
Dividends reinvested 613,967 49,752 654,340 53,881 671,419 61,227 635,851 59,987
Shares redeemed (3,118,838) (251,934) (5,476,837) (450,630) (3,524,864) (320,092) (3,140,092) (297,510)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 3,664,632 296,766 $ (492,061) (40,347) $ 4,024,279 363,760 $ (641,407) (62,019)
- ---------------------------------------------------------------------------------------------------------------------------
Class B Shares:
Shares issued $ 285,374 23,239 $ 97,661 8,007 $ 1,201,753 112,870 $ 597,476 57,746
Dividends reinvested 20,607 1,671 19,911 1,640 28,130 2,642 4,727 457
Shares redeemed (292,609) (23,656) (31,769) (2,641) (7,091) (618) (22,479) (2,223)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 13,372 1,254 $ 85,803 7,006 $ 1,222,792 114,894 $ 579,724 55,980
- ---------------------------------------------------------------------------------------------------------------------------
Class I Shares:
Shares issued $ 79,583,340 6,470,679 $ 68,404,127 5,629,130 $ 41,308,649 3,793,906 $23,854,404 2,244,429
Shares issued in
connection with
conversion of
common trust funds 61,500,411 4,988,469 -- -- 207,445,015 18,875,822 -- --
Dividends reinvested 811,160 65,490 1,762,447 143,942 628,868 57,271 347,003 32,675
Shares redeemed (50,479,615) (4,077,739) (73,664,655) (6,056,270) (14,329,200) (1,290,030) (6,574,233) (622,964)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) $ 91,415,296 7,446,899 $ (3,498,081) (283,198) $235,053,332 21,436,969 $17,627,174 1,654,140
- ---------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in Fund $ 95,093,300 7,744,919 $ (3,904,339) (316,539) $240,300,403 21,915,623 $17,565,491 1,648,101
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Pegasus Funds
217
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Investment Operations Less Distributions
---------------------------------------------------------------------------------------------------
Total
Net Asset Income In Excess
Value Net Net Realized from From Net of Net From Net
Beginning Investment and Unrealized Investment Investment Investment Realized Total
of Period Income Gain (Loss) Operations Income Income Gain Distributions
--------- ---------- -------------- ---------- ---------- ---------- -------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
MANAGED ASSETS
CONSERVATIVE
Class A Shares
For the year ended
December 31, 1998 $14.95 0.53 0.65 $ 1.18 (0.53) -- (0.97) $(1.50)
December 31, 1997 $15.34 0.58 1.35 $ 1.93 (0.58) -- (1.74) $(2.32)
December 31, 1996 $14.54 0.56 0.89 $ 1.45 (0.56) -- (0.09) $(0.65)
December 31, 1995 $12.13 0.64 2.48 $ 3.12 (0.68) -- (0.03) $(0.71)
December 31, 1994 $13.11 0.73 (0.98) $(0.25) (0.72) -- (0.01) $(0.73)
Class B Shares
For the year ended
December 31, 1998 $14.97 0.44 0.64 $ 1.08 (0.43) -- (0.97) $(1.40)
December 31, 1997 $15.36 0.47 1.35 $ 1.82 (0.47) -- (1.74) $(2.21)
December 31, 1996 $14.56 0.44 0.89 $ 1.33 (0.44) -- (0.09) $(0.53)
For the period
ended
12/31/95(/2/) $12.42 0.45 2.17 $ 2.62 (0.45) -- (0.03) $(0.48)
For the period
ended
12/2/94(/1/) $13.05 0.51 (0.91) $(0.40) (0.54) -- (0.01) $(0.55)
Class I Shares
For the year ended
December 31, 1998 $15.00 0.58 0.65 $ 1.23 (0.57) -- (0.97) $(1.54)
December 31, 1997 $15.38 0.59 1.37 $ 1.96 (0.60) -- (1.74) $(2.34)
December 31, 1996 $14.57 0.60 0.89 $ 1.49 (0.59) -- (0.09) $(0.68)
For the period
ended
12/31/95(/3/) $12.42 0.57 2.18 $ 2.75 (0.57) -- (0.03) $(0.60)
- -----------------------------------------------------------------------------------------------------------------------
MANAGED ASSETS
BALANCED
Class A Shares
For the year ended
December 31, 1998 $11.92 0.32 0.64 $ 0.96 (0.39) -- (1.07) $(1.46)
December 31, 1997 $11.63 0.32 1.43 $ 1.75 (0.31) -- (1.15) $(1.46)
December 31, 1996 $11.24 0.35 1.06 $ 1.41 (0.34) -- (0.68) $(1.02)
December 31, 1995 $ 9.53 0.35 1.83 $ 2.18 (0.35) -- (0.12) $(0.47)
December 31, 1994 $10.00 0.28 (0.48) $(0.20) (0.27) -- -- $(0.27)
Class B Shares
For the year ended
December 31, 1998 $13.27 0.25 0.73 $ 0.98 (0.30) -- (1.07) $(1.37)
December 31, 1997 $12.81 0.24 1.61 $ 1.85 (0.24) -- (1.15) $(1.39)
For the period
ended
12/31/96(/4/) $12.16 0.08 0.81 $ 0.89 (0.07) -- (0.17) $(0.24)
Class I Shares
For the year ended
December 31, 1998 $11.91 0.36 0.62 $ 0.98 (0.42) -- (1.07) $(1.49)
December 31, 1997 $11.59 0.34 1.47 $ 1.81 (0.34) -- (1.15) $(1.49)
December 31, 1996 $11.24 0.39 1.02 $ 1.41 (0.38) -- (0.68) $(1.06)
December 31, 1995 $ 9.53 0.35 1.83 $ 2.18 (0.35) -- (0.12) $(0.47)
December 31, 1994 $10.00 0.28 (0.48) $(0.20) (0.27) -- -- $(0.27)
- -----------------------------------------------------------------------------------------------------------------------
MANAGED ASSETS
GROWTH
Class A Shares
For the year ended
December 31, 1998 $11.51 0.20 0.73 $ 0.93 (0.23) -- (0.52) $(0.75)
December 31, 1997 $10.08 0.17 1.60 $ 1.77 (0.16) -- (0.18) $(0.34)
For the period
ended
12/31/1996(/5/) $10.00 -- 0.08 $ 0.08 -- -- -- --
Class B Shares
For the year ended
December 31, 1998 $11.35 0.12 0.72 $ 0.84 (0.16) -- (0.52) $(0.68)
December 31, 1997 $ 9.99 0.11 1.55 $ 1.66 (0.12) -- (0.18) $(0.30)
For the period
ended
12/31/1996(/5/) $10.00 -- (0.01) $(0.01) -- -- -- --
Class I Shares
For the year ended
December 31, 1998 $11.57 0.23 0.72 $ 0.95 (0.26) -- (0.52) $(0.78)
December 31, 1997 $10.13 0.21 1.59 $ 1.80 (0.18) -- (0.18) $(0.36)
For the period
ended
12/31/1996(/5/) $10.00 -- 0.13 $ 0.13 -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
See Notes to the Financial Highlights.
Pegasus Funds
218
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratios/Supplemental Data
- ------------------------------------------------------------------------------------------------------------------------
Ratio of
Ratio of Net Expenses to Average
Conversion Ratio of Investment Net Assets
to Net Change Net Asset Net Assets Expenses to Income to without
Class A in Net Value, End Total End of Period Average Average Fee Waivers/ Portfolio
Shares Asset Value of Period Return(a) (000's omitted) Net Assets Net Assets Reimbursed Expenses Turnover
- ---------- ----------- ---------- --------- --------------- ----------- ------------ ------------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-- (0.32) $14.63 8.33% $103,917 1.25% 3.70% 1.41% 36.06%
-- (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%
-- (0.32) $14.65 7.55% $ 26,301 2.00% 2.95% 2.16% 36.06%
-- (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)(/1/) (0.95) -- (3.13%) -- 1.21%+ 4.10%+ 2.17%+ 28.69%++
-- (0.31) $14.69 8.62% $ 15,140 1.00% 3.95% 1.16% 36.06%
-- (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%++
- ------------------------------------------------------------------------------------------------------------------------
-- (0.50) $11.42 8.44% $169,138 1.25% 2.73% 1.41% 46.22%
-- 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%
-- (0.39) $12.88 7.66% $ 18,622 2.00% 1.98% 2.16% 46.22%
-- 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%++
-- (0.51) $11.40 8.66% $ 88,345 1.00% 2.98% 1.16% 46.22%
-- 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%
- ------------------------------------------------------------------------------------------------------------------------
-- 0.18 $11.69 8.28% $ 15,267 1.25% 1.84% 1.86% 32.30%
-- 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%
-- 0.16 $11.51 7.55% $ 12,611 2.00% 1.09% 2.61% 32.30%
-- 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%
-- 0.17 $11.74 8.45% $ 1,228 1.00% 2.09% 1.61% 32.30%
-- 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>
- --------------------------------------------------------------------------------
See Notes to the Financial Statements.
Pegasus Funds
219
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Investment Operations Less Distributions
----------------------------------------------------------------------------------------------------------------
Total
Net Asset Income In Excess In Excess
Value, Net Net Realized from From Net of Net From Net of Net Return
Beginning Investment and Unrealized Investment Investment Investment Realized Realized of Total
of Period Income (Loss) Gain (Loss) Operations Income Income Gain Gain Capital Distributions
--------- ------------- -------------- ---------- ---------- ---------- -------- --------- ------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
EQUITY INCOME
Class A Shares
For the year
ended December
31, 1998 $13.06 0.36 (0.35) $ 0.01 (0.34) -- (0.82) -- -- $(1.16)
December 31,
1997 $13.29 0.41 2.37 $ 2.78 (0.41) -- (2.60) -- -- $(3.01)
December 31,
1996 $12.22 0.39 1.90 $ 2.29 (0.38) -- (0.84) -- -- $(1.22)
For the period
ended
12/31/1995(/6/) $10.00 0.36 2.57 $ 2.93 (0.36) (0.01) (0.34) -- -- $(0.71)
Class B Shares
For the year
ended December
31, 1998 $13.05 0.27 (0.33) $(0.06) (0.26) -- (0.82) -- -- $(1.08)
December 31,
1997 $13.28 0.29 2.39 $ 2.68 (0.31) -- (2.60) -- -- $(2.91)
December 31,
1996 $12.22 0.30 1.88 $ 2.18 (0.28) -- (0.84) -- -- $(1.12)
For the period
ended
12/31/1995(/6/) $10.00 0.29 2.56 $ 2.85 (0.29) -- (0.34) -- -- $(0.63)
Class I Shares
For the year
ended December
31, 1998 $13.02 0.39 (0.34) $ 0.05 (0.38) -- (0.82) -- -- $(1.20)
December 31,
1997 $13.25 0.44 2.38 $ 2.82 (0.45) -- (2.60) -- -- $(3.05)
December 31,
1996 $12.21 0.45 1.87 $ 2.32 (0.44) -- (0.84) -- -- $(1.28)
For the period
ended
12/31/1995(/6/) $10.00 0.42 2.55 $ 2.97 (0.42) -- (0.34) -- -- $(0.76)
- ----------------------------------------------------------------------------------------------------------------------------------
GROWTH
Class A Shares
For the year
ended December
31, 1998 $15.07 (0.06) 5.50 $ 5.44 -- -- (1.33) -- -- $(1.33)
December 31,
1997 $12.64 (0.01) 3.40 $ 3.39 -- -- (0.96) -- -- $(0.96)
December 31,
1996 $11.97 0.05 1.04 $ 1.09 (0.06) -- (0.36) -- -- $(0.42)
For the period
ended
12/31/1995(/6/) $10.00 0.11 2.86 $ 2.97 (0.11) -- (0.89) -- -- $(1.00)
Class B Shares
For the year
ended December
31, 1998 $14.86 (0.14) 5.35 $ 5.21 -- -- (1.33) -- -- $(1.33)
December 31,
1997 $12.56 (0.06) 3.32 $ 3.26 -- -- (0.96) -- -- $(0.96)
December 31,
1996 $11.95 (0.02) 0.99 $ 0.97 -- -- (0.36) -- -- $(0.36)
For the period
ended
12/31/1995(/6/) $10.00 0.06 2.84 $ 2.90 (0.06) -- (0.89) -- -- $(0.95)
Class I Shares
For the year
ended December
31, 1998 $15.08 (0.02) 5.50 $ 5.48 -- -- (1.33) -- -- $(1.33)
December 31,
1997 $12.63 0.02 3.41 $ 3.43 (0.02) -- (0.96) -- -- $(0.98)
December 31,
1996 $11.97 0.09 1.02 $ 1.11 (0.09) -- (0.36) -- -- $(0.45)
For the period
ended
12/31/1995(/6/) $10.00 0.15 2.86 $ 3.01 (0.15) -- (0.89) -- -- $(1.04)
- ----------------------------------------------------------------------------------------------------------------------------------
MID-CAP OPPORTU-
NITY
Class A Shares
For the year
ended December
31, 1998 $20.89 (0.07) 0.92 $ 0.85 -- -- (1.39) -- -- $(1.39)
December 31,
1997 $17.61 (0.03) 4.87 $ 4.84 -- -- (1.56) -- -- $(1.56)
December 31,
1996 $15.15 0.02 3.74 $ 3.76 (0.02) -- (1.28) -- -- $(1.30)
December 31,
1995 $13.34 0.06 2.57 $ 2.63 (0.06) -- (0.76) -- -- $(0.82)
December 31,
1994 $14.49 0.07 (0.54) $(0.47) (0.07) -- (0.49) (0.02) (0.10) $(0.68)
Class B Shares
For the year
ended December
31, 1998 $10.58 (0.09) 0.45 $ 0.36 -- -- (1.39) -- -- $(1.39)
December 31,
1997 $ 9.57 (0.03) 2.60 $ 2.57 -- -- (1.56) -- -- $(1.56)
For the period
ended
12/31/96(/7/) $10.00 -- 0.79 $ 0.79 (0.01) -- (1.21) -- -- $(1.22)
Class I Shares
For the year
ended December
31, 1998 $20.93 (0.01) 0.93 $ 0.92 -- -- (1.39) -- -- $(1.39)
December 31,
1997 $17.61 0.01 4.88 $ 4.89 (0.01) -- (1.56) -- -- $(1.57)
December 31,
1996 $15.15 0.04 3.74 $ 3.78 (0.04) -- (1.28) -- -- $(1.32)
December 31,
1995 $13.34 0.06 2.57 $ 2.63 (0.06) -- (0.76) -- -- $(0.82)
December 31,
1994 $14.49 0.07 (0.54) $(0.47) (0.07) -- (0.49) (0.02) (0.10) $(0.68)
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
See Notes to the Financial Highlights.
Pegasus Funds
220
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratios/Supplemental Data
- --------------------------------------------------------------------------------------------------------------
Ratio of
Ratio of Net Expenses to Average
Ratio of Investment Net Assets
Net Change Net Asset Net Assets Expenses to Income to without
in Net Value, End Total End of Period Average Average Fee Waivers/ Portfolio
Asset Value of Period Return(a) (000's omitted) Net Assets Net Assets Reimbursed Expenses Turnover
- ----------- ---------- --------- --------------- ----------- ------------ ------------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
(1.15) $11.91 (0.05%) $ 12,689 0.96% 2.90% -- 41.91%
(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%++
(1.14) $11.91 (0.69%) $ 3,413 1.71% 2.15% -- 41.91%
(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%++
(1.15) $11.87 0.24% $555,237 0.71% 3.15% -- 41.91%
(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%++
- --------------------------------------------------------------------------------------------------------------
4.11 $19.18 37.92% $126,998 1.08% (0.41%) -- 39.22%
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%++
3.88 $18.74 36.84% $ 5,978 1.83% (1.16%) -- 39.22%
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%++
4.15 $19.23 38.18% $865,065 0.83% (0.16%) -- 39.22%
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%++
- --------------------------------------------------------------------------------------------------------------
(0.54) $20.35 4.30% $278,279 1.15% (0.33%) -- 26.89%
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%
(1.03) $ 9.55 3.79% $ 7,108 1.90% (1.08%) -- 26.89%
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%
(0.47) $20.46 4.61% $987,256 0.90% (0.08%) -- 26.89%
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%
- --------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
See Notes to the Financial Statements.
Pegasus Funds
221
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Investment Operations Less Distributions
----------------------------------------------------------------------------------------------------------------
Total
Net Asset Income In Excess In Excess
Value, Net Net Realized from From Net of Net From Net of Net Return
Beginning Investment and Unrealized Investment Investment Investment Realized Realized of Total
of Period Income (Loss) Gain (Loss) Operations Income Income Gain Gains Capital Distributions
--------- ------------- -------------- ---------- ---------- ---------- -------- --------- ------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
SMALL CAP OPPOR-
TUNITY
Class A Shares
For the year
ended December
31, 1998 $16.03 (0.10) (0.59) $(0.69) -- -- (0.46) (0.07) -- $(0.53)
December 31,
1997 $13.70 (0.06) 4.16 $ 4.10 -- -- (1.77) -- -- $(1.77)
December 31,
1996 $12.20 (0.02) 3.02 $ 3.00 -- -- (1.50) -- -- $(1.50)
For the period
ended
12/31/1995(/6/) $10.00 0.02 2.45 $ 2.47 (0.02) -- (0.25) -- -- $(0.27)
Class B Shares
For the year
ended December
31, 1998 $15.74 (0.17) (0.63) $(0.80) -- -- (0.46) (0.07) -- $(0.53)
December 31,
1997 $13.58 (0.07) 4.00 $ 3.93 -- -- (1.77) -- -- $(1.77)
December 31,
1996 $12.12 (0.04) 3.00 $ 2.96 -- -- (1.50) -- -- $(1.50)
For the period
ended
12/31/1995(/6/) $10.00 (0.03) 2.40 $ 2.37 -- -- (0.25) -- -- $(0.25)
Class I Shares
For the year
ended December
31, 1998 $16.22 (0.07) (0.60) $(0.67) -- -- (0.46) (0.07) -- $(0.53)
December 31,
1997 $13.80 (0.05) 4.24 $ 4.19 -- -- (1.77) -- -- $(1.77)
December 31,
1996 $12.19 (0.01) 3.13 $ 3.12 -- (0.01) (1.50) -- -- $(1.51)
For the period
ended
12/31/1995(/6/) $10.00 0.06 2.44 $ 2.50 (0.06) -- (0.25) -- -- $(0.31)
- ----------------------------------------------------------------------------------------------------------------------------------
INTRINSIC VALUE
Class A Shares
For the year
ended December
31, 1998 $15.66 0.25 (0.79) $(0.54) (0.27) -- (1.07) -- -- $(1.34)
December 31,
1997 $13.70 0.23 3.17 $ 3.40 (0.24) -- (1.20) -- -- $(1.44)
December 31,
1996 $11.89 0.28 2.50 $ 2.78 (0.28) -- (0.69) -- -- $(0.97)
December 31,
1995 $10.48 0.29 2.24 $ 2.53 (0.30) -- (0.82) -- -- $(1.12)
December 31,
1994 $11.05 0.31 (0.38) $(0.07) (0.30) -- (0.20) -- -- $(0.50)
Class B Shares
For the year
ended December
31, 1998 $11.23 0.11 (0.58) $(0.47) (0.21) -- (1.07) -- -- $(1.28)
December 31,
1997 $10.18 0.25 2.19 $ 2.44 (0.19) -- (1.20) -- -- $(1.39)
For the period
ended
12/31/1996(/7/) $10.00 0.04 0.79 $ 0.83 (0.06) -- (0.59) -- -- $(0.65)
Class I Shares
For the year
ended December
31, 1998 $15.67 0.31 (0.81) $(0.50) (0.31) -- (1.07) -- -- $(1.38)
December 31,
1997 $13.71 0.28 3.15 $ 3.43 (0.27) -- (1.20) -- -- $(1.47)
December 31,
1996 $11.89 0.29 2.51 $ 2.80 (0.29) -- (0.69) -- -- $(0.98)
December 31,
1995 $10.48 0.29 2.24 $ 2.53 (0.30) -- (0.82) -- -- $(1.12)
December 31,
1994 $11.05 0.31 (0.38) $(0.07) (0.30) -- (0.20) -- -- $(0.50)
- ----------------------------------------------------------------------------------------------------------------------------------
GROWTH and VALUE
Class A Shares
For the year
ended December
31, 1998 $16.38 0.08 1.99 $ 2.07 (0.08) -- (1.63) -- -- $(1.71)
December 31,
1997 $14.12 0.10 3.78 $ 3.88 (0.11) -- (1.51) -- -- $(1.62)
December 31,
1996 $13.16 0.16 2.37 $ 2.53 (0.16) -- (1.41) -- -- $(1.57)
December 31,
1995 $10.67 0.21 2.76 $ 2.97 (0.22) -- (0.26) -- -- $(0.48)
December 31,
1994 $11.16 0.23 (0.17) $ 0.06 (0.21) -- (0.30) (0.01) (0.03) $(0.55)
Class B Shares
For the year
ended December
31, 1998 $10.19 0.01 1.17 $ 1.18 (0.03) -- (1.63) -- -- $(1.66)
December 31,
1997 $ 9.32 0.07 2.38 $ 2.45 (0.07) -- (1.51) -- -- $(1.58)
For the period
ended
12/31/1996(/7/) $10.00 0.01 0.62 $ 0.63 (0.03) -- (1.28) -- -- $(1.31)
Class I Shares
For the year
ended December
31, 1998 $16.39 0.12 1.99 $ 2.11 (0.12) -- (1.63) -- -- $(1.75)
December 31,
1997 $14.12 0.14 3.79 $ 3.93 (0.15) -- (1.51) -- -- $(1.66)
December 31,
1996 $13.16 0.18 2.36 $ 2.54 (0.17) -- (1.41) -- -- $(1.58)
December 31,
1995 $10.67 0.21 2.76 $ 2.97 (0.22) -- (0.26) -- -- $(0.48)
December 31,
1994 $11.16 0.23 (0.17) $ 0.06 (0.21) -- (0.30) (0.01) (0.03) $(0.55)
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
See Notes to the Financial Highlights.
Pegasus Funds
222
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratios/Supplemental Data
- ------------------------------------------------------------------------------------------------------------
Ratio of
Ratio of Net Expenses to Average
Ratio of Investment Net Assets
Net Change Net Asset Net Assets Expenses to Income to without
in Net Value, End Total End of Period Average Average Fee Waivers/ Portfolio
Asset Value of Period Return(a) (000's omitted) Net Assets Net Assets Reimbursed Expenses Turnover
- ----------- ---------- --------- --------------- ----------- ------------ ------------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
(1.22) $14.81 (4.29%) $ 32,217 1.19% (0.73%) -- 42.39%
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%++
(1.33) $14.41 (5.11%) $ 4,014 1.94% (1.48%) -- 42.39%
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%++
(1.20) $15.02 (4.11%) $ 276,754 0.94% (0.48%) -- 42.39%
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%++
- ------------------------------------------------------------------------------------------------------------
(1.88) $13.78 (3.55%) $ 117,667 1.09% 1.74% -- 34.25%
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%
(1.75) $ 9.48 (4.32%) $ 4,806 1.84% 0.99% -- 34.25%
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%+
(1.88) $13.79 (3.29%) $ 458,208 0.84% 1.99% -- 34.25%
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%
- ------------------------------------------------------------------------------------------------------------
0.36 $16.74 13.15% $ 268,582 1.11% 0.48% 1.11% 48.12%
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%
(0.48) $ 9.71 12.33% $ 11,213 1.86% (0.27%) 1.86% 48.12%
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%+
0.36 $16.75 13.40% $1,226,389 0.86% 0.73% 0.86% 48.12%
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%
- ------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
See Notes to the Financial Statements.
Pegasus Funds
223
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Investment Operations Less Distributions
------------------------------------------------------------------------------------------------------------
Total
Net Asset Income In Excess In Excess
Value, Net Net Realized from From Net of Net From Net of Net
Beginning Investement and Unrealized Investment Investment Investment Realized Realized Total
of Period Income (Loss) Gain (Loss) Operations Income Income Gain Gains Distributions
--------- ------------- -------------- ---------- ---------- ---------- -------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
EQUITY INDEX
Class A Shares
For the year
ended December
31, 1998 $21.36 0.20 5.67 $5.87 (0.19) -- (1.59) (0.06) $(1.84)
December 31,
1997 $16.75 0.26 5.19 $5.45 (0.26) -- (0.58) -- $(0.84)
December 31,
1996 $14.15 0.30 2.85 $3.15 (0.29) -- (0.26) -- $(0.55)
December 31,
1995 $10.65 0.30 3.65 $3.95 (0.31) -- (0.14) -- $(0.45)
December 31,
1994 $11.15 0.31 (0.20) $0.11 (0.30) -- (0.23) (0.08) $(0.61)
Class B Shares
For the year
ended December
31, 1998 $13.01 0.12 3.31 $3.43 (0.12) -- (1.59) (0.06) $(1.77)
December 31,
1997 $10.50 0.15 3.15 $3.30 (0.21) -- (0.58) -- $(0.79)
For the period
ended
12/31/1996(/7/) $10.00 0.05 0.76 $0.81 (0.06) -- (0.25) -- $(0.31)
Class I Shares
For the year
ended December
31, 1998 $21.37 0.27 5.66 $5.93 (0.25) -- (1.59) (0.06) $(1.90)
December 31,
1997 $16.75 0.30 5.20 $5.50 (0.30) -- (0.58) -- $(0.88)
December 31,
1996 $14.15 0.31 2.85 $3.16 (0.30) -- (0.26) -- $(0.56)
December 31,
1995 $10.65 0.30 3.65 $3.95 (0.31) -- (0.14) -- $(0.45)
December 31,
1994 $11.15 0.31 (0.20) $0.11 (0.30) -- (0.23) (0.08) $(0.61)
- ------------------------------------------------------------------------------------------------------------------------------
MARKET EXPANSION
INDEX
Class A Shares
For the period
ended December
31, 1998(/8/) $10.00 -- 0.95 $0.95 (0.01) -- (0.41) -- $(0.42)
Class B Shares
For the period
ended December
31, 1998(/8/) $10.00 (0.02) 0.92 $0.90 -- -- (0.41) -- $(0.41)
Class I Shares
For the period
ended December
31, 1998(/8/) $10.00 0.03 0.93 $0.96 (0.03) -- (0.41) -- $(0.44)
- ------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL
EQUITY
Class A Shares
For the year
ended December
31, 1998 $12.11 0.11 1.84 $1.95 (0.13) (0.04) -- -- $(0.17)
December 31,
1997 $11.77 0.07 0.36 $0.43 (0.09) -- -- -- $(0.09)
December 31,
1996 $11.05 0.10 0.72 $0.82 (0.10) -- -- -- $(0.10)
December 31,
1995 $10.01 0.10 1.05 $1.15 (0.11) -- -- -- $(0.11)
Class B Shares
For the year
ended December
31, 1998 $11.37 0.01 1.74 $1.75 (0.08) (0.03) -- -- $(0.11)
December 31,
1997 $11.08 0.01 0.34 $0.35 (0.06) -- -- -- $(0.06)
For the period
ended
12/31/1996(/4/) $10.84 0.04 0.24 $0.28 (0.04) -- -- -- $(0.04)
Class I Shares
For the year
ended December
31, 1998 $12.14 0.14 1.85 $1.99 (0.15) (0.05) -- -- $(0.20)
December 31,
1997 $11.79 0.10 0.37 $0.47 (0.12) -- -- -- $(0.12)
December 31,
1996 $11.05 0.11 0.74 $0.85 (0.11) -- -- -- $(0.11)
December 31,
1995 $10.01 0.10 1.05 $1.15 (0.11) -- -- -- $(0.11)
For the period
ended
12/31/1994(/9/) $10.00 0.01 -- $0.01 -- -- -- -- $ --
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
See Notes to the Financial Highlights.
Pegasus Funds
224
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratios/Supplemental Data
- ------------------------------------------------------------------------------------------------------------
Ratio of
Ratio of Net Expenses to Average
Ratio of Investment Net Assets
Net change Net Asset Net Assets Expenses to Income to without
in Net Value, End Total End of Period Average Average Fee Waivers/ Portfolio
Asset Value of Period Return(a) (000's omitted) Net Assets Net Assets Reimbursed Expenses Turnover
- ----------- ---------- --------- --------------- ----------- ------------ ------------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
4.03 $25.39 27.92% $321,635 0.65% 0.85% 0.65% 17.31%
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%
1.66 $14.67 27.07% $ 5,219 1.40% 0.10% 1.40% 17.31%
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%+
4.03 $25.40 28.25% $700,339 0.40% 1.10% 0.40% 17.31%
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%
- ------------------------------------------------------------------------------------------------------------
0.53 $10.53 9.30%++ $ 30 0.77%+ 0.47%+ 1.24%+ 20.18%
0.49 $10.49 9.85%++ $ 0(b) 1.87%+ (0.59%)+ 2.14%+ 20.18%
0.52 $10.52 9.91%++ $ 27,483 0.56%+ 0.75%+ 1.12%+ 20.18%
- ------------------------------------------------------------------------------------------------------------
1.78 $13.89 16.12% $ 44,232 1.34% 0.79% -- 8.50%
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%
1.64 $13.01 15.43% $ 2,545 2.09% 0.04% -- 8.50%
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%+
1.79 $13.93 16.43% $569,522 1.09% 1.04% -- 8.50%
0.35 $12.14 3.98% $487,986 1.10% 1.05% -- 3.56%(/24/)
0.74 $11.79 7.90% $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%++
- ------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
See Notes to the Financial Statements.
Pegasus Funds
225
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Investment Operations Less Distributions
--------------------------------------------------------------------------------
Total
Net Asset Income
Value, Net Net Realized from From Net From Net
Beginning Investment and Unrealized Investment Investment Realized Total
of Period Income Gain (Loss) Operations Income Gain Distributions
--------- ---------- -------------- ---------- ---------- -------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
INTERMEDIATE BOND
Class A Shares
For the year ended
December 31, 1998 $10.47 0.61 0.14 $ 0.75 (0.61) -- $(0.61)
December 31, 1997 $10.29 0.62 0.18 $ 0.80 (0.62) -- $(0.62)
December 31, 1996 $10.37 0.64 (0.07) $ 0.57 (0.65) -- $(0.65)
December 31, 1995 $ 9.21 0.59 1.16 $ 1.75 (0.59) -- $(0.59)
December 31, 1994 $10.41 0.56 (1.20) $(0.64) (0.55) (0.01) $(0.56)
Class B Shares
For the year ended
December 31, 1998 $10.38 0.47 0.18 $ 0.65 (0.53) -- $(0.53)
December 31, 1997 $10.20 0.55 0.17 $ 0.72 (0.54) -- $(0.54)
December 31, 1996(/7/) $10.00 0.15 0.20 $ 0.35 (0.15) -- $(0.15)
Class I Shares
For the year ended
December 31, 1998 $10.48 0.63 0.14 $ 0.77 (0.64) -- $(0.64)
December 31, 1997 $10.29 0.65 0.18 $ 0.83 (0.64) -- $(0.64)
December 31, 1996 $10.37 0.64 (0.07) $ 0.57 (0.65) -- $(0.65)
December 31, 1995 $ 9.21 0.59 1.16 $ 1.75 (0.59) -- $(0.59)
December 31, 1994 $10.41 0.56 (1.20) $(0.64) (0.55) (0.01) $(0.56)
- -----------------------------------------------------------------------------------------------------------
BOND
Class A Shares
For the year ended
December 31, 1998 $10.59 0.61 0.21 $ 0.82 (0.63) -- $(0.63)
December 31, 1997 $10.27 0.63 0.32 $ 0.95 (0.63) -- $(0.63)
December 31, 1996 $10.45 0.67 (0.18) $ 0.49 (0.67) -- $(0.67)
December 31, 1995 $ 9.01 0.63 1.45 $ 2.08 (0.64) -- $(0.64)
December 31, 1994 $10.32 0.61 (1.31) $(0.70) (0.59) (0.02) $(0.61)
Class B Shares
For the year ended
December 31, 1998 $10.59 0.47 0.27 $ 0.74 (0.55) -- $(0.55)
December 31, 1997 $10.27 0.56 0.32 $ 0.88 (0.56) -- $(0.56)
December 31, 1996(/4/) $10.00 0.21 0.27 $ 0.48 (0.21) -- $(0.21)
Class I Shares
For the year ended
December 31, 1998 $10.59 0.65 0.19 $ 0.84 (0.65) -- $(0.65)
December 31, 1997 $10.27 0.66 0.32 $ 0.98 (0.66) -- $(0.66)
December 31, 1996 $10.45 0.68 (0.18) $ 0.50 (0.68) -- $(0.68)
December 31, 1995 $ 9.01 0.63 1.45 $ 2.08 (0.64) -- $(0.64)
December 31, 1994 $10.32 0.61 (1.31) $(0.70) (0.59) (0.02) $(0.61)
- -----------------------------------------------------------------------------------------------------------
SHORT BOND
Class A Shares
For the year ended
December 31, 1998 $10.15 0.51 0.10 $ 0.61 (0.52) (0.02) $(0.54)
December 31, 1997 $10.11 0.53 0.06 $ 0.59 (0.54) (0.01) $(0.55)
December 31, 1996 $10.23 0.55 (0.10) $ 0.45 (0.55) (0.02) $(0.57)
December 31, 1995 $ 9.84 0.58 0.39 $ 0.97 (0.58) -- $(0.58)
December 31, 1994(/10/) $10.00 0.17 (0.16) $ 0.01 (0.17) -- $(0.17)
Class B Shares
For the year ended
December 31, 1998 $10.05 0.42 0.11 $ 0.53 (0.44) (0.02) $(0.46)
December 31, 1997 $10.02 0.46 0.05 $ 0.51 (0.47) (0.01) $(0.48)
December 31, 1996(/7/) $10.00 0.12 0.04 $ 0.16 (0.12) (0.02) $(0.14)
Class I Shares
For the year ended
December 31, 1998 $10.15 0.54 0.09 $ 0.63 (0.55) (0.02) $(0.57)
December 31, 1997 $10.11 0.56 0.06 $ 0.62 (0.57) (0.01) $(0.58)
December 31, 1996 $10.23 0.55 (0.10) $ 0.45 (0.55) (0.02) $(0.57)
December 31, 1995 $ 9.84 0.58 0.39 $ 0.97 (0.58) -- $(0.58)
December 31, 1994(/10/) $10.00 0.17 (0.16) $ 0.01 (0.17) -- $(0.17)
- -----------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
See Notes to the Financial Highlights.
Pegasus Funds
226
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratios/Supplemental Data
- -------------------------------------------------------------------------------------------------------------
Ratio of
Ratio of Net Expenses to Average
Ratio of Investment Net Assets
Net Change Net Asset Net Assets Expenses Income to without
in Net Value, End Total End of Period to Average Average Net Fee Waivers/ Portfolio
Asset Value of Period Return(a) (000's omitted) Net Assets Assets Reimbursed Expenses Turnover
- ----------- ---------- --------- --------------- ---------- ------------ ------------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
0.14 $10.61 7.37% $ 88,072 0.91% 5.77% -- 50.32%
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%
0.12 $10.50 6.44% $ 857 1.66% 5.02% -- 50.32%
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%+
0.13 $10.61 7.62% $ 567,609 0.66% 6.02% -- 50.32%
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%
- -------------------------------------------------------------------------------------------------------------
0.19 $10.78 7.92% $ 226,261 0.89% 5.85% -- 34.69%
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%
0.19 $10.78 7.16% $ 9,074 1.64% 5.10% -- 34.69%
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%+
0.19 $10.78 8.17% $1,277,246 0.64% 6.10% -- 34.69%
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 $10.22 6.10% $ 14,172 0.84% 5.04% 0.85% 48.53%
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%++
0.07 $10.12 5.35% $ 268 1.59% 4.27% 1.60% 48.53%
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%+
0.06 $10.21 6.34% $ 330,262 0.59% 5.28% 0.60% 48.53%
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%++
- -------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
See Notes to the Financial Statements.
Pegasus Funds
227
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Investment Operations Less Distributions
-------------------------------------------------------------------------------
Total
Net Asset Income
Value Net Net Realized from From Net From Net In Excess of
Beginning Investment and Unrealized Investment Investment Realized Realized Total
of Period Income Gain (Loss) Operations Income Gain Gain Distributions
--------- ---------- -------------- ---------- ---------- -------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
MULTI SECTOR BOND FUND
Class A Shares
For the year ended De-
cember 31, 1998 $ 8.00 0.44 0.14 $ 0.58 (0.44) (0.05) -- $(0.49)
December 31, 1997 $ 7.84 0.48 0.17 $ 0.65 (0.47) (0.02) -- $(0.49)
December 31, 1996 $ 8.18 0.41 (0.25) $ 0.16 (0.40) (0.10) -- $(0.50)
For the period ended
12/31/1995(/11/) $ 7.68 0.44 0.72 $ 1.16 (0.44) (0.22) -- $(0.66)
January 31, 1995 $ 8.25 0.52 (0.57) $(0.05) (0.52) -- -- $(0.52)
For the period ended
1/31/1994(/12/) $ 8.36 0.47 (0.09) $ 0.38 (0.47) (0.02) -- $(0.49)
Class B Shares
For the year ended De-
cember 31, 1998 $ 8.00 0.39 0.14 $ 0.53 (0.35) (0.05) -- $(0.40)
December 31, 1997 $ 7.85 0.42 0.17 $ 0.59 (0.42) (0.02) -- $(0.44)
December 31, 1996 $ 8.18 0.45 (0.23) $ 0.22 (0.45) (0.10) -- $(0.55)
For the period ended
12/31/1995(/13/) $ 8.13 0.24 0.27 $ 0.51 (0.24) (0.22) -- $(0.46)
For the period ended
12/02/1994(/14/) $ 8.16 0.40 (0.55) $(0.15) (0.40) -- -- $(0.40)
Class I Shares
For the year ended De-
cember 31, 1998 $ 8.01 0.47 0.14 $ 0.61 (0.47) (0.05) -- $(0.52)
December 31, 1997 $ 7.85 0.50 0.17 $ 0.67 (0.49) (0.02) -- $(0.51)
December 31, 1996 $ 8.18 0.46 (0.24) $ 0.22 (0.45) (0.10) -- $(0.55)
For the period ended
12/31/1995(/11/) $ 7.68 0.47 0.72 $ 1.19 (0.47) (0.22) -- $(0.69)
January 31, 1995 $ 8.25 0.52 (0.57) $(0.05) (0.52) -- -- $(0.52)
For the period ended
1/31/1994(/12/) $ 8.36 0.47 (0.09) $ 0.38 (0.47) (0.02) -- $(0.49)
- ---------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND FUND
Class A Shares
For the year ended De-
cember 31, 1998 $10.21 0.78 (0.51) $ 0.27 (0.82) -- -- $(0.82)
For the period ended
12/31/1997(/15/) $10.00 0.19 0.23 $ 0.42 (0.20) (0.01) -- $(0.21)
Class B Shares
For the year ended De-
cember 31, 1998 $10.20 0.72 (0.48) $ 0.24 (0.76) -- -- $(0.76)
For the period ended
12/31/1997(/15/) $10.00 0.15 0.25 $ 0.40 (0.19) (0.01) -- $(0.20)
Class I Shares
For the year ended De-
cember 31, 1998 $10.28 0.83 (0.52) $ 0.31 (0.85) -- -- $(0.85)
For the period ended
12/31/1997(/15/) $10.00 0.32 0.29 $ 0.61 (0.32) (0.01) -- $(0.33)
- ---------------------------------------------------------------------------------------------------------------------
MUNICIPAL BOND
Class A Shares
For the year ended De-
cember 31, 1998 $12.87 0.55 0.17 $ 0.72 (0.57) (0.03) -- $(0.60)
December 31, 1997 $12.36 0.56 0.54 $ 1.10 (0.59) -- -- $(0.59)
December 31, 1996 $12.64 0.59 (0.18) $ 0.41 (0.58) (0.01) (0.10) $(0.69)
For the period ended
12/31/1995(/16/) $12.06 0.48 0.82 $ 1.30 (0.48) (0.24) -- $(0.72)
02/28/95 $12.13 0.60 (0.07) $ 0.53 (0.60) -- -- $(0.60)
02/28/94 $13.25 0.63 (0.15) $ 0.48 (0.63) (0.96) (0.01) $(1.60)
Class B Shares
For the year ended De-
cember 31, 1998 $12.86 0.45 0.18 $ 0.63 (0.47) (0.03) -- $(0.50)
December 31, 1997 $12.36 0.46 0.54 $ 1.00 (0.50) -- -- $(0.50)
December 31, 1996 $12.65 0.52 (0.21) $ 0.31 (0.49) (0.01) (0.10) $(0.60)
For the period ended
12/31/95(/17/) $12.17 0.34 0.72 $ 1.06 (0.34) (0.24) -- $(0.58)
For the period ended
12/2/94(/18/) $12.14 0.41 (0.70) $(0.29) (0.41) -- -- $(0.41)
For the period ended
2/28/94(/19/) $12.37 0.03 (0.23) $(0.20) (0.03) -- -- $(0.03)
Class I Shares
For the year ended De-
cember 31, 1998 $12.86 0.60 0.16 $ 0.76 (0.61) (0.03) -- $(0.64)
December 31, 1997 $12.36 0.61 0.51 $ 1.12 (0.62) -- -- $(0.62)
December 31, 1996 $12.63 0.65 (0.20) $ 0.45 (0.61) (0.01) (0.10) $(0.72)
For the period ended
12/31/95(/16/) $12.06 0.52 0.81 $ 1.33 (0.52) (0.24) -- $(0.76)
For the period ended
2/28/95(/20/) $12.06 0.05 -- $ 0.05 (0.05) -- -- $(0.05)
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
See Notes to the Financial Highlights.
Pegasus Funds
228
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratios/Supplemental Data
- -----------------------------------------------------------------------------------------------------------------------
Ratio of
Ratio of Net Expenses to Average
Conversion Ratio of Investment Net Assets
to Net Change Net Asset Net Assets Expenses Income to without
Class A in Net Value, End Total End of Period to Average Average Net Fee Waivers/ Portfolio
Shares Asset Value of Period Return(a) (000's omitted) Net Assets Assets Reimbursed Expenses Turnover
- ---------- ----------- ---------- --------- --------------- ---------- ------------ ------------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-- 0.09 $ 8.09 7.44% $ 15,785 0.90% 5.57% -- 41.69%
-- 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%++
-- 0.13 $ 8.13 6.74% $ 638 1.65% 4.80% -- 41.69%
-- 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)(/25/) (0.55) $ -- (1.82%)++ -- -- 6.48%+ 2.58%+ 71.65%++
-- 0.09 $ 8.10 7.82% $385,672 0.65% 5.79% -- 41.69%
-- 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%++
- ------------------------------------------------------------------------------------------------------------------------
-- (0.55) $ 9.66 2.72%+ $ 2,188 1.16%+ 8.20%+ 1.32%+ 27.52%
-- 0.21 $10.21 8.31%+ $ 570 1.22%+ 7.42%+ 1.43%+ 11.17%
-- (0.52) $ 9.68 2.34% $ 356 1.91% 7.45% 2.07% 27.52%
-- 0.20 $10.20 7.82%+ $ 77 1.97%+ 6.67%+ 2.18%+ 11.17%
-- (0.54) $ 9.74 3.07% $ 78,256 0.91% 8.45% 1.07% 27.52%
-- 0.28 $10.28 12.64%+ $ 49,150 0.97%+ 7.67%+ 1.18%+ 11.17%
- ------------------------------------------------------------------------------------------------------------------------
-- 0.12 $12.99 5.74% $ 47,176 0.88% 4.36% -- 22.05%
-- 0.51 $12.87 9.13% $ 34,729 0.85% 4.65% -- 32.08%
-- (0.18) $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%
-- 0.13 $12.99 4.98% $ 2,142 1.63% 3.61% -- 22.05%
-- 0.50 $12.86 8.26% $ 1,312 1.60% 3.90% -- 32.08%
-- (0.19) $12.46 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(/25/) (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%++
-- 0.12 $12.98 6.01% $841,715 0.63% 4.61% -- 22.05%
-- 0.50 $12.86 9.32% $355,814 0.60% 4.90% -- 32.08%
-- (0.17) $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>
- --------------------------------------------------------------------------------
See Notes to the Financial Statements.
Pegasus Funds
229
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Investment Operations Less Distributions
--------------------------------------------------------------------------------
Total
Net Asset Income
Value, Net Net Realized from From Net From Net
Beginning Investment and Unrealized Investment Investment Realized Total
of Period Income Gain (Loss) Operations Income Gain Distributions
--------- ---------- -------------- ---------- ---------- -------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
SHORT MUNICIPAL BOND
Class A Shares
For the period ended
December 31, 1998(/21/) $10.00 0.22 0.16 $ 0.38 (0.23) -- $(0.23)
Class B Shares
For the period ended
December 31, 1998(/21/) $10.00 0.13 0.21 $ 0.34 (0.15) -- $(0.15)
Class I Shares
For the period ended
December 31, 1998(/21/) $10.00 0.25 0.16 $ 0.41 (0.25) -- $(0.25)
- --------------------------------------------------------------------------------------------------------------
Intermediate Municipal Bond
Class A Shares
For the year ended
December 31, 1998 $12.32 0.52 0.14 $ 0.66 (0.52) (0.01) $(0.53)
December 31, 1997 $12.10 0.54 0.28 $ 0.82 (0.54) (0.06) $(0.60)
December 31, 1996 $12.25 0.53 (0.09) $ 0.44 (0.51) (0.08) $(0.59)
For the period ended
12/31/95(/16/) $11.79 0.44 0.56 $ 1.00 (0.44) (0.10) $(0.54)
February 28, 1995 $12.18 0.55 (0.36) $ 0.19 (0.55) (0.03) $(0.58)
February 28, 1994 $12.79 0.61 0.01 $ 0.62 (0.61) (0.62) $(1.23)
Class B Shares
For the year ended
December 31, 1998 $12.32 0.43 0.13 $ 0.56 (0.43) (0.01) $(0.44)
December 31, 1997 $12.10 0.43 0.30 $ 0.73 (0.45) (0.06) $(0.51)
December 31, 1996 $12.25 0.44 (0.09) $ 0.35 (0.42) (0.08) $(0.50)
For the period ended
12/31/95(/16/) $11.80 0.37 0.55 $ 0.92 (0.37) (0.10) $(0.47)
For the period ended
2/28/95(/22/) $11.57 0.04 0.23 $ 0.27 (0.04) -- $(0.04)
For the period ended
12/2/94(/18/) $12.18 0.37 (0.72) $(0.35) (0.37) (0.03) $(0.40)
For the period ended
2/28/94(/19/) $12.32 0.03 (0.14) $(0.11) (0.03) -- $(0.03)
Class I Shares
For the year ended
December 31, 1998 $12.33 0.55 0.13 $ 0.68 (0.55) (0.01) $(0.56)
December 31, 1997 $12.11 0.57 0.28 $ 0.85 (0.57) (0.06) $(0.63)
December 31, 1996 $12.25 0.56 (0.08) $ 0.48 (0.54) (0.08) $(0.62)
For the period ended
12/31/95(/16/) $11.80 0.47 0.55 $ 1.02 (0.47) (0.10) $(0.57)
February 28, 1995(/20/) $11.57 0.04 0.23 $ 0.27 (0.04) -- $(0.04)
- --------------------------------------------------------------------------------------------------------------
Michigan Municipal Bond
Class A Shares
For the year ended
December 31, 1998 $10.93 0.47 0.13 $ 0.60 (0.48) (0.02) $(0.50)
December 31, 1997 $10.48 0.49 0.44 $ 0.93 (0.48) -- $(0.48)
December 31, 1996 $10.60 0.48 (0.14) $ 0.34 (0.46) -- $(0.46)
December 31, 1995 $ 9.54 0.48 1.06 $ 1.54 (0.48) -- $(0.48)
December 31, 1994 $10.60 0.50 (1.06) $(0.56) (0.50) -- $(0.50)
Class B Shares
For the year ended
December 31, 1998 $10.59 0.39 0.12 $ 0.51 (0.40) (0.02) $(0.42)
December 31, 1997 $10.18 0.38 0.44 $ 0.82 (0.41) -- $(0.41)
For the period ended
12/31/96(/7/) $10.00 0.07 0.17 $ 0.24 (0.06) -- $(0.06)
Class I Shares
For the year ended
December 31, 1998 $10.93 0.50 0.13 $ 0.63 (0.51) (0.02) $(0.53)
December 31, 1997 $10.48 0.51 0.45 $ 0.96 (0.51) -- $(0.51)
December 31, 1996 $10.60 0.49 (0.14) $ 0.35 (0.47) -- $(0.47)
December 31, 1995 $ 9.54 0.48 1.06 $ 1.54 (0.48) -- $(0.48)
December 31, 1994 $10.60 0.50 (1.06) $(0.56) (0.50) -- $(0.50)
</TABLE>
- --------------------------------------------------------------------------------
See Notes to the Financial Highlights.
Pegasus Funds
230
<PAGE>
Pegasus Funds
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratios/Supplemental Data
- ----------------------------------------------------------------------------------------------------------------------
Ratio of
Ratio of Net Expenses to Average
Conversion Ratio of Investment Net Assets
to Net Change Net Asset Net Assets Expenses Income to without
Class A in Net Value, End Total End of Period to Average Average Net Fee Waivers/ Portfolio
Shares Asset Value of Period Return(a) (000's omitted) Net Assets Assets Reimburse Expenses Turnover
- ---------- ----------- ---------- --------- --------------- ---------- ------------ ------------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-- 0.15 $10.15 3.89%++ $ 559 0.86%+ 3.53%+ 0.99%+ 32.23%++
-- 0.19 $10.19 3.48%++ $ 112 1.61%+ 2.43%+ 1.68%+ 32.23%++
-- 0.16 $10.16 4.15%++ $118,296 0.61%+ 3.75%+ 0.70%+ 32.23%++
- -----------------------------------------------------------------------------------------------------------------------
-- 0.13 $12.45 5.42% $ 22,791 0.86% 4.19% -- 19.13%
-- 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%
-- 0.12 $12.44 4.64% $ 732 1.61% 3.44% -- 19.13%
-- 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(/7/) (12.18) $ -- (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%++
-- 0.12 $12.45 5.65% $473,887 0.61% 4.44% -- 19.13%
-- 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%++
- -----------------------------------------------------------------------------------------------------------------------
-- 0.10 $11.03 5.61% $ 22,876 0.91% 4.27% 0.92% 23.33%
-- 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%
-- 0.09 $10.68 4.92% $ 1,940 1.66% 3.52% 1.67% 23.33%
-- 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%+
-- 0.10 $11.03 5.94% $298,842 0.66% 4.52% 0.67% 23.33%
-- 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%
</TABLE>
- --------------------------------------------------------------------------------
See Notes to the Financial Statements.
Pegasus Funds
231
<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) For the period March 3, 1995 (initial offering date of Class I Shares)
through December 31, 1995.
(4) For the period August 24, 1996 (initial offering date of Class B Shares)
through December 31, 1996.
(5) For the period December 17, 1996 (commencement of operations) through
December 31, 1996.
(6) For the period January 27, 1995 (commencement of operations) through
December 31, 1995.
(7) For the period September 23, 1996 (initial offering date of Class B Shares)
through December 31, 1996.
(8) For the period July 31, 1998 (commencement of operations) through December
31, 1998.
(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 June 30, 1997 (commencement of operations) through December
31, 1997.
(16) 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.
(17) 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.
(18) 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.
Pegasus Funds
232
<PAGE>
(19) For the period February 8, 1994 (initial offering date of Class B Shares)
through February 28, 1994.
(20) For the period February 1, 1995 (initial offering date of Class I Shares)
to February 28, 1995.
(21) For the period May 4, 1998 (commencement of operations) through December
31, 1998.
(22) For the period January 30, 1995 (re-offering date of Class B Shares)
through February 28, 1995.
(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) 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.
(a) Total returns as presented do not include any applicable sales load or
redemption charges.
(b) Amount is less than $1,000.
+ Annualized.
++ Not Annualized.
Pegasus Funds
233
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
To the Trustees and Shareholders of the Pegasus Funds:
We have audited the statements of assets and liabilities, including the
schedules of portfolio investments, of the PEGASUS FUNDS (comprising, as
indicated in Note 1, the Managed Assets Conservative, Managed Assets Balanced,
Managed Assets Growth, Equity Income, Growth, Mid-Cap Opportunity, Small Cap
Opportunity, Intrinsic Value, Growth and Value, Equity Index, Market Expansion
Index, International Equity, Intermediate Bond, Bond, Short Bond, Multi Sector
Bond, High Yield Bond, Municipal Bond, Short Municipal Bond, Intermediate
Municipal Bond and the Michigan Municipal Bond Funds), as of December 31, 1998,
and the related statements of operations for the period then ended, the
statements of changes in net assets for each of the two years in the periods
then ended and the financial highlights for each of the three years in the
periods then ended. We have also audited the financial highlights for each of
the periods from inception (as indicated in Note 1) through December 31, 1995,
of the Managed Assets Balanced, Mid-Cap Opportunity, Intrinsic Value, Growth
and Value, Equity Index, International Equity, Intermediate Bond, Bond, Short
Bond and Michigan Municipal Bond Funds. These financial statements and
financial highlights are the responsibility of the Funds' management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits. The financial highlights for each of
the periods from inception (as indicated in Note 1) through December 31, 1995,
of the Managed Assets Conservative, Equity Income, Growth, Small Cap
Opportunity, Multi Sector Bond, Municipal Bond and the Intermediate Municipal
Bond Funds were audited by other auditors whose report dated February 23, 1996,
expressed an unqualified opinion on those financial highlights.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of December 31, 1998, by correspondence with custodians,
banks and brokers. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective funds constituting the Pegasus Funds as of December 31, 1998,
the results of their operations for the period then ended, the changes in their
net assets for each of the two years in the periods then ended, and their
financial highlights for each of the three years in the periods then ended, in
conformity with generally accepted accounting principles. The financial
highlights for each of the periods from inception (as indicated in Note 1)
through December 31, 1995, of the Managed Assets Balanced, Mid-Cap Opportunity,
Intrinsic Value, Growth and Value, Equity Index, International Equity,
Intermediate Bond, Bond, Short Bond and the Michigan Municipal Bond Funds
present fairly, in all material respects, the financial highlights in
conformity with generally accepted accounting principles.
Arthur Andersen LLP
Detroit, Michigan,
February 12, 1999.
Pegasus Funds
234
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[LOGO OF PEGASUS FUNDS APPEARS HERE]
[LOGO] PEGASUS FUNDS
STRENGTH IN INVESTING
