<PAGE>
FRANK RUSSELL INSURANCE FUNDS
INSURANCE FUNDS
1999 Semiannual Report
MULTI-STYLE EQUITY FUND
AGGRESSIVE EQUITY FUND
NON-US FUND
REAL ESTATE SECURITIES FUND
CORE BOND FUND
JUNE 30, 1999
[LOGO OF FRANK RUSSELL INVESTMENT COMPANY]
<PAGE>
RUSSELL INSURANCE FUNDS
Russell Insurance Funds is a
"series mutual fund" with five
different investment portfolios.
These financial statements report
on five Funds, each of which has
distinct investment objectives and
strategies.
FRANK RUSSELL INVESTMENT
MANAGEMENT COMPANY
Responsible for overall management
and administration of the Funds.
FRANK RUSSELL COMPANY
Consultant to Frank Russell
Investment Management Company.
<PAGE>
RUSSELL INSURANCE FUNDS
SEMIANNUAL REPORT
JUNE 30, 1999 (UNAUDITED)
TABLE OF CONTENTS
Page
Multi-Style Equity Fund...................... 2
Aggressive Equity Fund....................... 12
Non-US Fund.................................. 24
Real Estate Securities Fund.................. 36
Core Bond Fund............................... 42
Notes to Financial Statements................ 51
Manager, Money Managers and Service
Providers.................................... 58
RUSSELL INSURANCE FUNDS
Copyright (C) Frank Russell Company 1999. All rights reserved. This material is
proprietary and may not be reproduced, transferred, or distributed in any form
without prior written permission from Frank Russell Company. It is delivered on
an "as is" basis without warranty. The Russell logo is a trademark and service
mark of Frank Russell Company. This material must be accompanied or preceded by
a current Russell Insurance Funds' Prospectus containing complete information
concerning the investment objectives and operations of the Funds, charges, and
expenses. The Prospectus should be read carefully before an investment is made.
The performance quoted represents past performance and the investment return and
principal value of an investment will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost. Investments in securities of
non-US issuers and foreign currencies involve investment risks different than
those of US issuers; the Prospectus contains further information and details
regarding these risks. Russell Fund Distributors, Inc., is the distributor of
Russell Insurance Funds.
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF NET ASSETS
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ ------
COMMON STOCKS - 94.2%
AUTO AND TRANSPORTATION - 3.7%
Alaska Air Group, Inc. (a) 2,000 84
AMR Corp. (a) 6,500 444
Burlington Northern, Inc. 8,800 273
CNF Transportation, Inc. 2,200 84
Cooper Tire & Rubber Co. 8,300 196
CSX Corp. 4,200 190
Delphi Automotive Systems Corp. 9,085 169
Delta Air Lines, Inc. 14,300 824
FDX Corp. (a) 1,400 76
Ford Motor Co. 27,200 1,534
General Motors Corp. 20,400 1,346
Genuine Parts Co. 6,100 214
Harley-Davidson, Inc. 2,250 122
Norfolk Southern Corp. 7,800 235
Northwest Airlines Corp. Class A (a) 6,200 201
TRW, Inc. 4,300 236
UAL Corp. (a) 5,200 338
Union Pacific Corp. 17,300 1,009
----------
7,575
----------
CONSUMER DISCRETIONARY - 12.1%
Abercrombie & Fitch Co. Class A (a) 9,600 461
American Greetings Corp. Class A 3,900 117
AT&T Corp. - Liberty Media Group
Class A (a) 37,600 1,382
Avon Products, Inc. 2,800 155
Bed Bath & Beyond, Inc. (a) 14,400 553
Best Buy Co. (a) 5,600 378
Black & Decker Corp. 2,600 164
Brinker International, Inc. (a) 2,600 71
CBS Corp. (a) 2,400 104
Chris Craft Industries, Inc. (a) 2,000 94
Clear Channel Communications,
Inc. (a) 5,500 379
Costco Cos., Inc. (a) 10,000 800
Darden Restaurants, Inc. 4,600 100
Dayton Hudson Corp. 14,200 923
Dillard's, Inc. Class A 6,000 211
Disney (Walt) Co. 5,500 169
Eastman Kodak Co. 9,998 677
Federated Department Stores, Inc. (a) 8,400 445
Gannett Co., Inc. 2,500 178
Gap, Inc. 27,850 1,403
Hasbro, Inc. 1,800 50
Home Depot, Inc. (The) 43,900 2,829
JC Penney & Co., Inc. 4,600 223
Kmart Corp. (a) 41,900 689
Knight-Ridder, Inc. 4,700 258
Kohl's Corp. (a) 9,500 733
Lowe's Cos., Inc. 17,700 1,003
May Department Stores Co. 14,200 580
McDonald's Corp. 5,600 231
MediaOne Group, Inc. (a) 24,100 1,792
Mirage Resorts, Inc. (a) 7,500 126
Omnicom Group, Inc. 5,000 400
Premark International, Inc. 9,600 360
Saks, Inc. (a) 7,000 202
Sears Roebuck & Co. 20,400 909
Time Warner, Inc. 17,700 1,301
TJX Cos., Inc. 8,800 293
Tribune Co. 6,800 592
V.F. Corp. 4,300 184
Viacom, Inc. Class B (a) 2,200 97
Wal-Mart Stores, Inc. 42,400 2,046
Whirlpool Corp. 10,300 762
Zale Corp. (a) 2,400 96
----------
24,520
----------
CONSUMER STAPLES - 5.4%
Albertson's, Inc. 13,041 672
Anheuser-Busch Cos., Inc. 8,700 617
Clorox Co. 3,300 352
Coca-Cola Co. (The) 10,300 644
Coca-Cola Enterprises, Inc. 2,600 77
Colgate-Palmolive Co. 6,800 672
ConAgra, Inc. 19,200 511
CVS Corp. 12,700 645
General Mills, Inc. 1,800 145
Gillette Co. 5,400 221
Heinz (H.J.) Co. 4,400 221
Hormel Foods Corp. 4,300 173
IBP, Inc. 25,800 613
Kroger Co. (a) 31,800 888
PepsiCo, Inc. 23,200 898
Philip Morris Cos., Inc. 16,700 671
Procter & Gamble Co. 9,400 839
Quaker Oats Co. 4,400 292
R.J. Reynolds Tobacco
Holdings, Inc. (a) 2,633 83
Rite Aid Corp. 7,600 187
Safeway, Inc. (a) 1,900 94
SuperValu, Inc. 7,100 182
Tyson Foods, Inc. Class A 8,000 180
Unilever NV (a) 2,053 143
Walgreen Co. 15,100 444
Weis Markets, Inc. 9,200 360
----------
10,824
----------
2 Multi-Style Equity Fund
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ ------
FINANCIAL SERVICES - 19.2%
AFLAC, Inc. 6,800 326
Allstate Corp. 30,000 1,076
Ambac Financial Group, Inc. 10,100 577
American General Corp. 4,300 324
American International Group, Inc. 16,000 1,873
AmSouth Bancorp 12,250 284
Associates First Capital Corp. Class A 35,554 1,575
Automatic Data Processing, Inc. 10,600 466
Bank of America Corp. 40,150 2,943
Bank One Corp. 9,200 548
Bear Stearns Cos., Inc. 10,500 491
Capital One Financial Corp. 5,000 278
Chase Manhattan Corp. 25,700 2,226
Chubb Corp. (The) 3,600 250
CIGNA Corp. 3,800 338
Citigroup, Inc. 41,450 1,969
Comerica, Inc. 1,100 65
Commerce Bancshares, Inc. 9,000 362
Concord EFS, Inc. (a) 2,600 110
Conseco, Inc. 19,100 581
Countrywide Credit Industries, Inc. 5,100 218
Dun & Bradstreet Corp. 5,800 206
Federal Home Loan Mortgage Corp. 16,900 980
Federal National
Mortgage Association 26,300 1,798
First Data Corp. 3,700 181
First Union Corp. 10,200 479
Fleet Financial Group, Inc. 43,200 1,917
Foundation Health Systems, Inc. (a) 7,000 105
Golden West Financial Corp. 6,800 666
Goldman Sachs Group, Inc. (a) 1,300 94
Hartford Financial Services
Group, Inc. (The) 13,100 764
Jefferson-Pilot Corp. 5,700 377
KeyCorp 7,700 247
Lehman Brothers Holdings, Inc. 9,600 598
Leucadia National Corp. 11,100 282
Lincoln National Corp. 6,400 335
Marsh & McLennan Cos., Inc. 3,100 234
MBIA, Inc. 3,300 214
MBNA Corp. 65,000 1,991
Merrill Lynch & Co., Inc. 7,600 608
Morgan (J.P.) & Co., Inc. 5,900 829
Morgan Stanley Dean Witter & Co. 32,100 3,290
National City Corp. 5,000 328
Newcourt Credit Group, Inc. 6,100 79
Old National Bancorp 1,200 36
Old Republic International Corp. 7,900 137
Pacific Century Financial Corp. 2,900 63
Paine Webber Group, Inc. 2,500 117
Paychex, Inc. 9,400 298
PNC Bank Corp. 3,000 173
Providian Financial Corp. 2,100 196
Schwab (Charles) Corp. 2,100 231
SouthTrust Corp. 2,400 92
Summit Bancorp 5,500 230
SunGard Data Systems (a) 2,500 86
SunTrust Banks, Inc. 5,200 361
Torchmark Corp. 6,200 212
Travelers Property Casualty Corp.
Class A 3,800 149
U.S. Bancorp 7,300 248
UnionBanCal Corp. 6,100 220
Unitrin, Inc. 500 20
Washington Federal, Inc. 9,400 210
Washington Mutual, Inc. 25,328 896
Wells Fargo Co. 31,300 1,338
----------
38,795
----------
HEALTH CARE - 9.7%
Abbott Laboratories 6,000 273
Aetna, Inc. 9,300 832
ALZA Corp. (a) 6,600 336
American Home Products Corp. 9,700 558
Amgen, Inc. (a) 10,400 632
AstraZeneca Group PLC - ADR 4,300 169
Bard (C.R.), Inc. 1,800 86
Baxter International, Inc. 10,400 631
Bergen Brunswig Corp. Class A 8,000 138
Bristol-Myers Squibb Co. 44,400 3,126
Columbia/HCA Healthcare Corp. 34,100 778
HCR Manor Care, Inc. (a) 7,000 169
Johnson & Johnson 12,900 1,264
Lilly (Eli) & Co. 5,400 387
Mallinckrodt, Inc. 7,400 269
McKesson HBOC, Inc. 25,400 816
Medtronic, Inc. 8,000 623
Merck & Co., Inc. 12,200 903
PacifiCare Health Systems, Inc.
Class B (a) 2,200 158
Patterson Dental Co. (a) 3,000 104
Pfizer, Inc. 16,100 1,767
Pharmacia & Upjohn, Inc. 18,800 1,068
Quintiles Transnational Corp. (a) 5,600 235
Schering-Plough Corp. 49,000 2,597
Steris Corp. (a) 3,700 72
Tenet Healthcare Corp. (a) 7,200 134
Warner-Lambert Co. 21,000 1,457
----------
19,582
----------
Multi-Style Equity Fund 3
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ ------
INTEGRATED OILS - 4.5%
Amerada Hess Corp. 12,500 744
Ashland, Inc. 4,000 161
Chevron Corp. 2,300 219
Coastal Corp. 14,100 564
Conoco, Inc. Class A 30,600 853
Exxon Corp. 33,600 2,591
Mobil Corp. 7,900 782
Phillips Petroleum Co. 13,300 669
Royal Dutch Petroleum Co. 5,000 301
Texaco, Inc. 16,300 1,019
Unocal Corp. 27,600 1,094
----------
8,997
----------
MATERIALS AND PROCESSING - 7.1%
Alcoa, Inc. 8,700 538
American Standard Cos., Inc. (a) 3,300 158
Archer-Daniels-Midland Co. 15,300 236
Armstrong World Industries, Inc. 2,400 139
Boise Cascade Corp. 3,400 146
Cabot Corp. 4,000 97
Centex Corp. 10,900 409
Champion International Corp. 3,200 153
Consolidated Papers, Inc. 5,200 139
Crown Cork & Seal Co., Inc. 5,200 148
Dow Chemical Co. 8,600 1,091
du Pont (E.I.) de Nemours & Co. 10,200 697
Fluor Corp. 5,500 223
FMC Corp. (a) 2,300 157
Fort James Corp. 14,700 557
Georgia-Pacific Corp. (Timber Group) 3,800 96
Goodrich (B.F.) Co. 4,000 170
Great Lakes Chemical Corp. 3,700 170
Illinois Tool Works, Inc. 3,700 303
International Paper Co. 27,100 1,369
Kimberly-Clark Corp. 4,700 268
Louisiana Pacific Corp. 3,000 71
Millennium Chemicals, Inc. 4,600 108
Mohawk Industries, Inc. (a) 2,600 79
Monsanto Co. 12,300 485
Nalco Chemical Co. 3,900 202
Nucor Corp. 4,000 190
Owens Corning 3,200 110
Praxair, Inc. 3,500 171
Reynolds Metals Co. 11,000 649
Sealed Air Corp. New (a) 6,400 415
Sigma Aldrich Corp. 6,500 224
Smurfit-Stone Container Corp. (a) 8,800 180
Sonoco Products Co. 6,100 183
Temple-Inland, Inc. 2,500 171
Tyco International, Ltd. 32,700 3,098
Union Carbide Corp. 3,600 176
USG Corp. 3,600 202
Vulcan Materials Co. 1,600 77
W.R. Grace & Co. New (a) 5,700 105
Willamette Industries, Inc. 3,800 175
Witco Corp. 3,400 68
----------
14,403
----------
OTHER ENERGY - 0.3%
Occidental Petroleum Corp. 9,400 199
Sunoco, Inc. 4,200 127
Tosco Corp. 8,300 215
Ultramar Diamond Shamrock Corp. 5,200 113
----------
654
----------
PRODUCER DURABLES - 5.6%
Applied Materials, Inc. (a) 12,700 938
Boeing Co. 5,100 225
Briggs & Stratton Corp. 2,800 162
Caterpillar, Inc. 14,100 846
Cordant Technologies, Inc. 1,700 77
D.R. Horton, Inc. 6,900 115
Deere & Co. 21,300 844
General Electric Co. 18,700 2,113
Honeywell, Inc. 1,200 139
Ingersoll-Rand Co. 6,900 446
KLA Instruments Corp. (a) 7,500 486
Lexmark International Group, Inc.
Class A (a) 2,600 172
Litton Industries, Inc. (a) 8,400 603
Lockheed Martin Corp. 18,900 704
Northrop Grumman Corp. 2,800 186
Pall Corp. 7,300 162
Snap-On Tools Corp. 3,900 141
Solectron Corp. (a) 2,200 147
Tecumseh Products Co. Class A 7,500 454
Teradyne, Inc. (a) 3,500 251
Thomas & Betts Corp. 3,400 161
United Technologies Corp. 10,000 717
Xerox Corp. 16,500 975
York International Corp. 4,200 180
----------
11,244
----------
TECHNOLOGY - 15.5%
Affiliated Computer Services, Inc.
Class A (a) 1,200 61
America Online, Inc. (a) 7,900 873
American Management
Systems, Inc. (a) 600 19
Apple Computer, Inc. (a) 16,100 746
4 Multi-Style Equity Fund
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ ------
BMC Software, Inc. (a) 5,100 275
Cisco Systems, Inc. (a) 50,200 3,235
Compuware Corp. (a) 13,900 441
Comverse Technology, Inc. (a) 600 45
Cooper Industries, Inc. 3,600 187
Dell Computer Corp. (a) 71,400 2,637
EarthLink Network, Inc. (a) 6,100 375
Electronic Data Systems Corp. 15,610 883
EMC Corp. (a) 24,200 1,331
General Dynamics Corp. 3,800 260
Hewlett-Packard Co. 3,600 362
IMS Health, Inc. 14,100 441
Inktomi Corp. (a) 600 79
Intel Corp. 66,554 3,956
International Business
Machines Corp. 34,960 4,519
LSI Logic Corp. (a) 10,300 475
Lucent Technologies, Inc. 40,750 2,748
Micron Technology, Inc. (a) 4,000 161
Microsoft Corp. (a) 45,300 4,083
MindSpring Enterprises, Inc. (a) 9,000 399
Motorola, Inc. 2,600 246
Quantum Corp. (a) 8,800 211
Scientific-Atlanta, Inc. 9,300 335
Seagate Technology (a) 8,600 220
Sterling Software, Inc. (a) 10,400 278
Sun Microsystems, Inc. (a) 6,500 448
Symbol Technologies, Inc. 1,950 72
Tech Data Corp. (a) 3,000 115
Tellabs, Inc. (a) 2,200 149
Texas Instruments, Inc. 1,100 160
Textron, Inc. 5,200 428
Yahoo!, Inc. (a) 200 34
----------
31,287
----------
UTILITIES - 11.1%
Allegheny Energy, Inc. 6,100 196
Alliant Energy Corp. (a) 5,300 150
Ameren Corp. 4,700 180
American Electric Power Co., Inc. 4,800 180
Ameritech Corp. 3,800 279
AT&T Corp. 36,900 2,059
Bell Atlantic Corp. 21,780 1,424
BellSouth Corp. 18,900 886
Central & Southwest Corp. 8,500 199
CenturyTel, Inc. 13,200 525
Cinergy Corp. 5,900 189
Comcast Corp. Special Class A 3,500 135
Consolidated Edison, Inc. 14,300 647
Cox Communications, Inc. Class A (a) 9,900 364
Energy East Corp. 10,000 260
Entergy Corp. 7,900 247
FirstEnergy Corp. 6,500 202
Florida Progress Corp. 3,200 132
FPL Group, Inc. 5,600 306
GPU, Inc. 12,200 515
GTE Corp. 2,400 182
MCI WorldCom, Inc. (a) 44,100 3,793
Minnesota Power, Inc. 2,100 42
New Century Energies, Inc. 5,000 194
Nextel Communications, Inc.
Class A (a) 9,400 472
Nokia Corp. - ADR 32,400 2,967
Paging Network, Inc. (a) 78,600 378
Peco Energy Co. 8,500 356
PG&E Corp. 11,700 380
SBC Communications, Inc. 33,100 1,920
Sprint Corp. 8,000 423
Texas Utilities Co. 10,200 421
U.S. West, Inc. 600 35
Unicom Corp. 17,500 675
United States Cellular Corp. (a) 6,200 332
Vodafone Group PLC - ADR 1,950 384
Western Resources, Inc. 4,600 122
Wisconsin Energy Corp. 6,300 158
----------
22,309
----------
TOTAL COMMON STOCKS
(cost $175,931) 190,190
----------
PRINCIPAL
AMOUNT
(000)
$
---------
SHORT-TERM INVESTMENTS - 5.6%
Frank Russell Investment Company
Money Market Fund,
due on demand (b) 10,268 10,268
United States Treasury Notes (b)(c)
5.875% due 07/31/99 950 954
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $11,222) 11,222
----------
Multi-Style Equity Fund 5
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
VALUE
(000)
$
TOTAL INVESTMENTS - 99.8%
(identified cost $187,153) 201,412
OTHER ASSETS AND LIABILITIES,
NET - 0.2% 418
----------
201,830
NET ASSETS - 100.0% ==========
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
--------- --------------
FUTURES CONTRACTS
S&P 500 Index
expiration date 09/99 27 $ 365
S&P Midcap 400 Index
expiration date 09/99 7 32
--------------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $ 397
==============
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Held as collateral in connection with futures contracts purchased by the
Fund.
Abbreviations:
ADR - American Depositary Receipt
NV - Nonvoting
See accompanying notes which are an integral part of the financial statements.
6 Multi-Style Equity Fund
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) JUNE 30, 1999 (UNAUDITED)
ASSETS
Investments at market (identified cost $187,153).............. $ 201,412
Receivables:
Dividends and interest....................................... 182
Investments sold............................................. 775
Fund shares sold............................................. 229
Daily variation margin on futures contracts.................. 176
Deferred organization expenses................................ 3
--------------
Total Assets............................................... 202,777
LIABILITIES
Payables:
Investments purchased.......................... $ 661
Fund shares redeemed........................... 1
Accrued fees to affiliates..................... 167
Other accrued expenses......................... 118
-------------
Total Liabilities.......................................... 947
--------------
NET ASSETS.................................................... $ 201,830
==============
NET ASSETS CONSIST OF:
Undistributed net investment income........................... $ 293
Accumulated net realized gain (loss).......................... 7,822
Unrealized appreciation (depreciation) on:
Investments.................................................. 14,259
Futures contracts............................................ 397
Shares of beneficial interest................................. 121
Additional paid-in capital.................................... 178,938
--------------
NET ASSETS.................................................... $ 201,830
==============
NET ASSET VALUE, offering and redemption price per share:
($201,830,252 divided by 12,137,271 shares of $.01 par value
shares of beneficial interest outstanding)................. $ 16.63
==============
See accompanying notes which are an integral part of the financial statements.
Multi-Style Equity Fund 7
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF OPERATIONS
Amounts in thousands FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED)
INVESTMENT INCOME
Dividends.................................................... $ 932
Interest..................................................... 11
--------------
Total Investment Income.................................... 943
EXPENSES
Management fees................................. $ 450
Custodian fees.................................. 52
Transfer agent fees............................. 4
Professional fees............................... 10
Registration fees............................... 17
Trustees' fees.................................. 5
Amortization of deferred organization expenses.. 1
Miscellaneous................................... 15
-------------
Expenses before reductions...................... 554
Expense reductions.............................. (23)
-------------
Expenses, net.............................................. 531
--------------
Net investment income......................................... 412
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments..................................... 8,536
Futures contracts............................... 316 8,852
-------------
Net change in unrealized appreciation
(depreciation) on:
Investments..................................... 3,435
Futures contracts............................... 181 3,616
------------- --------------
Net realized and unrealized gain (loss)....................... 12,468
--------------
Net increase (decrease) in net assets resulting from operations $ 12,880
==============
See accompanying notes which are an integral part of the financial statements.
8 Multi-Style Equity Fund
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1999 ENDED
(UNAUDITED) DECEMBER 31, 1998
------------------- -----------------
<S> <C> <C>
OPERATIONS
Net investment income........................... $ 412 $ 326
Net realized gain (loss)........................ 8,852 4,501
Net change in unrealized appreciation
(depreciation).................................. 3,616 7,089
------------- --------------
Net increase (decrease) in net assets
resulting from operations..................... 12,880 11,916
------------- --------------
DISTRIBUTIONS
From net investment income...................... (238) (248)
From net realized gain on investments........... (5,503) (610)
------------- --------------
Net decrease from distributions............... (5,741) (858)
------------- --------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share
transactions.................................... 120,693 39,301
------------- --------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS...... 127,832 50,359
NET ASSETS
Beginning of period............................. 73,998 23,639
------------- --------------
End of period (including undistributed net
investment income of $293 and $119,
respectively)................................. $ 201,830 $ 73,998
============= ===============
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Multi-Style Equity Fund 9
<PAGE>
MULTI-STYLE EQUITY FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-------------------------
1999* 1998 1997**
--------- -------- --------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............. $ 16.02 $ 12.78 $ 10.00
--------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (c)....................... .06 .10 .09
Net realized and unrealized gain (loss) on
investments................................... 1.75 3.49 2.75
--------- -------- --------
Total Income From Investment Operations....... 1.81 3.59 2.84
--------- -------- --------
DISTRIBUTIONS
From net investment income...................... (.05) (.08) (.06)
From net realized gain on investments........... (1.15) (.27) --
--------- -------- --------
Total Distributions........................... (1.20) (.35) (.06)
--------- -------- --------
NET ASSET VALUE, END OF PERIOD................... $ 16.63 $ 16.02 $ 12.78
========= ======== ========
TOTAL RETURN (%)(a).............................. 12.13 28.71 28.53
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands)........ 201,830 73,998 23,639
Ratios to average net assets (%)(b):
Operating expenses, net....................... .92 .92 .92
Operating expenses, gross..................... .96 1.21 1.61
Net investment income......................... .71 .70 .76
Portfolio turnover rate (%)(b).................. 76.02 78.89 64.95
</TABLE>
* For the six months ended June 30, 1999 (Unaudited).
** For the period January 2, 1997 (commencement of operations) to December 31,
1997.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended June 30, 1999 and December 31, 1997 are
annualized.
(c) For periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
10 Multi-Style Equity Fund
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ ------
COMMON STOCKS - 94.1%
AUTO AND TRANSPORTATION - 5.3%
Airborne Freight Corp. 3,700 102
Alaska Air Group, Inc. (a) 2,000 84
America West Holding Corp. Class B (a) 5,400 102
American Freightways Corp. (a) 5,000 98
Arvin Industries, Inc. 8,100 307
Atlas Air, Inc. (a) 3,900 126
Avis Rent A Car, Inc. (a) 4,800 140
Avondale Industries, Inc. (a) 600 23
Bandag, Inc. 2,300 80
Barnes Group, Inc. 2,000 44
Borg-Warner Automotive, Inc. 2,200 121
Carlisle Cos., Inc. 2,400 116
CNF Transportation, Inc. 700 27
Coachmen Industries, Inc. 4,400 102
Collins & Aikman Corp. 7,500 57
Consolidated Freightways Corp. (a) 4,000 51
Continental Airlines, Inc. Class B (a) 5,500 207
Dollar Thrifty Automotive Group, Inc. (a) 3,700 86
Eagle USA Airfreight, Inc. (a) 1,700 72
Federal-Mogul Corp. 400 21
Fleetwood Enterprises, Inc. 2,800 74
Gentex Corp. (a) 7,300 204
Hertz Corp. Class A 1,500 93
Landstar Systems, Inc. (a) 1,600 58
Lear Corp. (a) 1,100 55
M.S. Carriers, Inc. (a) 1,800 53
Mascotech, Inc. 3,500 59
Midwest Express Holdings, Inc. (a) 1,500 51
Modine Manufacturing Co. 3,100 101
MotivePower Industries, Inc. (a) 2,250 40
Myers Industries, Inc. 6,400 128
National R.V. Holdings, Inc. (a) 1,050 25
Navistar International Corp. (a) 5,100 255
Roadway Express, Inc. 1,800 35
Simpson Industries, Inc. 3,300 34
Standard Motor Products, Inc. Class A 2,200 54
Standard Products Co. 3,400 87
Swift Transportation Co., Inc. (a) 5,400 118
Tower Automotive, Inc. (a) 4,500 114
Wabash National Corp. 3,400 66
Winnebago Industries, Inc. 3,000 68
XTRA Corp. (a) 1,700 78
Yellow Corp. (a) 3,500 60
----------
3,876
----------
CONSUMER DISCRETIONARY - 19.9%
7-Eleven, Inc. (a) 19,600 43
99 Cents Only Stores NPV (a) 1,500 75
Abacus Direct Corp. (a) 1,600 144
Abercrombie & Fitch Co. Class A (a) 8,000 384
Acclaim Entertainment, Inc. (a) 7,200 46
Action Performance Companies, Inc. (a) 1,100 36
Activision, Inc. New (a) 3,100 45
Alberto Culver Co. Class B 1,900 51
Amazon.com, Inc. (a) 4,400 550
AMERCO (a) 1,800 40
American Eagle Outfitters, Inc. NPV (a) 4,600 209
Anchor Gaming (a) 1,000 48
AnnTaylor Stores Corp. (a) 4,400 198
Applebee's International, Inc. 4,500 136
Authentic Fitness Corp. 2,800 49
Barnes & Noble, Inc. (a) 3,500 96
Bed Bath & Beyond, Inc. (a) 7,600 292
BJ's Wholesale Club, Inc. (a) 9,300 280
Blair Corp. 1,000 27
Bob Evans Farms, Inc. 4,300 85
Brinker International, Inc. (a) 10,600 288
Brown Shoe Co., Inc. 6,800 148
Brunswick Corp. 800 22
Callaway Golf Co. 2,700 39
Carmike Cinemas, Inc. (a) 2,200 35
Catalina Marketing Corp. (a) 2,300 212
Catalytica, Inc. (a) 7,800 109
CDI Corp. (a) 1,000 34
CEC Entertainment, Inc. (a) 1,900 80
Central Garden & Pet Co. (a) 3,300 34
Central Newspapers, Inc. Class A 1,100 41
Chicos Fas, Inc. (a) 1,200 28
Chris Craft Industries, Inc. (a) 3,748 177
Claire's Stores, Inc. 2,400 62
Consolidated Graphics, Inc. (a) 2,900 145
Copart, Inc. (a) 2,900 62
Cox Radio, Inc. Class A (a) 2,500 136
Darden Restaurants, Inc. 7,000 153
Day Runner, Inc. (a) 2,000 25
Deluxe Corp. 7,600 296
Dendrite International, Inc. (a) 3,600 130
Department 56, Inc. (a) 2,700 73
DeVry, Inc. (a) 6,900 154
Discount Auto Parts, Inc. (a) 1,800 43
Dollar Tree Stores, Inc. (a) 4,400 193
Enesco Group, Inc. 1,100 25
Equity Inns, Inc. 6,400 59
Ethan Allen Interiors, Inc. 900 34
Family Dollar Stores, Inc. 12,400 298
Family Golf Centers, Inc. (a) 2,500 19
Foodmaker, Inc. (a) 5,100 145
Footstar, Inc. (a) 700 26
Furniture Brands International, Inc. (a) 3,800 106
GC Companies, Inc. (a) 1,200 43
12 Aggressive Equity Fund
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ ------
Genesco, Inc. (a) 1,900 28
Grey Advertising, Inc. 200 66
GTECH Holdings Corp. (a) 6,700 158
Handleman Co. (a) 5,400 64
Harcourt General, Inc. 3,200 165
Harland (John H.) Co. 3,500 70
Haverty Furniture Co., Inc. 3,300 116
Hearst-Argyle Television, Inc. (a) 2,130 51
Hollinger International, Inc. Class A 8,000 95
Hollywood Entertainment Corp. (a) 1,300 25
Hollywood Park, Inc. (a) 5,000 85
Houghton Mifflin Co. 3,100 146
Innkeepers USA Trust 6,900 69
Interim Services, Inc. (a) 8,700 179
Jones Apparel Group, Inc. (a) 500 17
Kellwood Co. 2,800 76
La-Z-Boy, Inc. 4,500 104
Legato Systems, Inc. (a) 4,900 283
Level One Communications, Inc. (a) 5,000 245
Linens 'N Things, Inc. (a) 5,700 249
Lone Star Steakhouse & Saloon (a) 7,100 69
Mandalay Resort Group (a) 6,400 135
Manpower, Inc. 1,800 41
McClatchy Co. Class A 3,800 126
Media General, Inc. Class A 4,400 224
Merrill Corp. 2,400 33
Michaels Stores, Inc. (a) 2,000 61
Micro Warehouse, Inc. (a) 1,400 25
Musicland Stores Corp. (a) 10,700 95
Neiman-Marcus Group, Inc. (a) 3,000 77
NTL, Inc. (a) 2,900 250
O'Sullivan Industries Holdings, Inc. (a) 3,300 56
Ogden Corp. 8,300 224
On Assignment, Inc. (a) 2,000 52
Oshkosh B' Gosh, Inc. Class A 3,500 72
Outback Steakhouse, Inc. (a) 5,150 201
Papa Johns International, Inc. (a) 1,700 76
Plantronics, Inc. (a) 1,300 85
Playboy Enterprises, Inc. Class B (a) 800 21
Playtex Products, Inc. (a) 2,800 44
Pomeroy Computer Resources, Inc. (a) 1,600 22
Quicksilver, Inc. (a) 2,850 74
RARE Hospitality International, Inc. NPV (a) 1,800 46
Rayovac Corp. (a) 2,100 48
Recoton Corp. (a) 1,800 16
Regis Corp. 7,250 139
Rent-Way, Inc. (a) 2,000 49
Ross Stores, Inc. 9,200 462
Russ Berrie & Co., Inc. 2,900 72
Ryan's Family Steak Houses, Inc. (a) 9,400 109
Salton, Inc. (a) 2,200 110
Scholastic Corp. (a) 1,400 71
Shaw Industries, Inc. (a) 7,900 130
ShopKo Stores, Inc. (a) 1,200 44
Snyder Communications, Inc. (a) 3,600 118
Sonic Corp. (a) 5,650 182
Springs Industries, Inc. 1,200 52
Station Casinos, Inc. (a) 1,300 26
Stewart Enterprises, Inc. Class A 2,700 39
Sylvan Learning Systems, Inc. (a) 800 22
Talbots, Inc. 2,900 111
TCA Cable Television, Inc. 2,000 111
TETRA Technologies, Inc. (a) 8,125 134
The Men's Wearhouse, Inc. (a) 4,700 120
Tiffany & Co. 800 77
Timberland Co. Class A (a) 1,200 82
TMP Worldwide, Inc. (a) 1,500 95
Toro Co. 1,900 75
TV Guide, Inc. Class A (a) 8,100 295
United Stationers, Inc. (a) 2,600 57
Viad Corp. 4,800 149
Wackenhut Corp. 1,300 39
Wal-Mart Stores, Inc. 500 24
Wendy's International, Inc. 5,900 166
WestPoint Stevens, Inc. 500 15
Wet Seal, Inc. Class A (The) (a) 4,400 123
Wiley (John) & Son Inc. Class A 6,000 105
Williams-Sonoma, Inc. (a) 3,500 121
Zale Corp. (a) 6,600 263
----------
14,559
----------
CONSUMER STAPLES - 2.4%
Canandaigua Brands Inc. Class A (a) 2,100 110
Coors (Adolph) Co. Class B 3,000 149
Flowers Industries, Inc. 6,700 145
IBP, Inc. 18,900 449
Interstate Bakeries Corp. 4,800 108
J & J Snack Foods Corp. (a) 1,400 34
McCormick & Co., Inc. 1,300 41
Performance Food Group Co. (a) 1,900 52
Pilgrim's Pride Corp. 3,400 102
Robert Mondavi Corp. Class A (a) 700 25
SuperValu, Inc. 10,200 262
U.S. Foodservice (a) 2,300 98
Universal Corp. 2,900 82
Universal Foods Corp. 4,000 84
----------
1,741
----------
FINANCIAL SERVICES - 15.3%
Acceptance Insurance Companies, Inc. (a) 2,900 44
Advanta Corp. Class A 1,600 29
Advest Group, Inc. (The) 1,700 34
Aggressive Equity Fund 13
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ ------
Alfa Corp. 2,500 49
Ambac Financial Group, Inc. 2,000 114
American Annuity Group, Inc. 900 22
American Heritage Life
Investment Corp. 3,000 74
Ameritrade Holding Corp. Class A (a) 300 32
Area Bancshares Corp. 1,400 37
Astoria Financial Corp. 3,700 162
BancWest Corp. 400 15
Banknorth Group, Inc. 1,100 36
Bay View Capital Corp. 6,700 137
BISYS Group, Inc. New (a) 6,000 351
BOK Financial Corp. (a) 1,400 35
Borg-Warner Security Corp. (a) 1,200 24
Brown & Brown, Inc. 1,300 49
BSB Bancorp, Inc. 1,600 43
Cathay Bancorp, Inc. 1,200 51
CBL & Associates Properties, Inc. 3,300 87
CCB Financial Corp. 2,800 148
Chelsea GCA Realty, Inc. 2,600 97
Citizens Banking Corp. 5,700 171
City National Corp. 4,400 165
CNB Bancshares, Inc. 2,900 165
Colonial BancGroup, Inc. 8,800 123
Colonial Properties Trust 3,400 96
Commerce Bancorp, Inc. 3,800 162
Commerce Bancshares, Inc. 750 30
Concord EFS, Inc. (a) 3,200 135
CORUS Bankshares, Inc. 1,600 51
Cullen Frost Bankers, Inc. 600 17
Delphi Financial Group, Inc. (a) 3,867 139
Developers Diversified Realty Corp. 6,100 101
Dime Bancorp, Inc. 12,000 242
DST Systems, Inc. (a) 3,900 245
E.W. Blanch Holdings, Inc. 2,800 191
Eaton Vance Corp. 4,600 158
Enhance Financial Services Group, Inc. 4,000 79
Everest Reinsurance Holdings, Inc. 4,100 134
FBL Financial Group, Inc. Class A 1,300 25
Fidelity National Financial 3,400 71
Financial Security Assurance
Holdings, Ltd. 2,300 120
FINOVA Group, Inc. 3,800 200
First American Financial Corp. 18,800 336
First Bancorp. 1,000 23
First Citizens BancShares, Inc. 1,200 97
First Republic Bank (a) 800 23
First Washington Bancorp, Inc. 2,400 48
Fiserv, Inc. (a) 7,650 240
Fremont General Corp. 8,400 159
Fulton Financial Corp. 2,500 52
Gallagher (Arthur J.) & Co. 1,900 94
GATX Corp. 5,900 225
GBC Bancorp 2,200 45
Glimcher Realty Trust 3,900 63
Greenpoint Financial Corp. 1,900 62
Hambrecht & Quist Group (a) 1,500 56
Hamilton Bancorp, Inc. (a) 1,000 24
Harleysville Group, Inc. 2,600 53
Harris Financial, Inc. 2,300 25
HCC Insurance Holdings, Inc. 4,600 104
Hibernia Corp. Class A 2,800 44
Hospitality Properties Trust 3,900 106
Imperial Bancorp (a) 1,247 25
Independent Bank Corp. 1,000 15
Interpool, Inc. 2,700 35
InterWest Bancorp, Inc. 2,500 62
Investors Financial Services Corp. 6,900 276
J.P. Realty, Inc. 2,500 51
Jefferies Group, Inc. 4,700 141
JSB Financial, Inc. 600 31
Keystone Financial, Inc. 3,700 109
Kimco Realty Corp. REIT 3,300 129
LandAmerica Financial Group, Inc. 3,500 101
MAF Bancorp, Inc. 3,600 87
McGrath RentCorp 4,400 85
Medical Assurance, Inc. (a) 3,000 85
Mercantile Bankshares Corp. 5,100 180
Mid-America Apartment Communties, Inc. 3,100 72
MidAmerica Bancorp NPV 1,800 44
National City Bancorporation 1,900 39
National Commerce Bancorp 2,100 46
National Golf Properties, Inc. 900 22
National Western Life Insurance Co.
Class A (a) 300 29
NBT Bancorp, Inc. 2,300 47
Old National Bancorp 1,900 57
Orion Capital Corp. 1,200 43
Pacific Century Financial Corp. 9,300 201
Pennsylvania Real Estate
Investment Trust 2,200 46
Peoples Heritage Financial Group 8,100 152
Premier Bancshares, Inc. 2,700 49
Prime Retail, Inc. 7,300 63
Provident Bankshares Corp. 3,800 88
Queens County Bancorp 900 29
Radian Group, Inc. (a) 400 20
Regency Realty Corp. 3,800 83
Reinsurance Group Of America 4,300 152
Reliance Bancorp, Inc. 1,700 47
Reliance Group Holdings, Inc. 9,400 70
Resource Bancshares Mortgage Group 4,700 48
14 Aggressive Equity Fund
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ ------
Riggs National Corp. 3,000 61
RLI Corp. 850 33
Rollins Truck Leasing Corp. 6,450 72
Roslyn Bancorp, Inc. 6,020 103
SEI Corp. 1,200 106
Silicon Valley Bancshares (a) 3,400 84
Southwest Securities Group, Inc. 900 65
Sovereign Bancorp, Inc. 5,800 71
Stewart Information Services Corp. 3,400 72
SunGard Data Systems (a) 4,700 162
Texas Regional Bancshares, Inc.
Class A 2,100 57
Transatlantic Holdings, Inc. 1,600 120
Triad Guaranty, Inc. (a) 1,200 21
Triangle Bancorp, Inc. 1,500 25
TriNet Corporate Realty Trust, Inc. 2,800 78
TrustCo Bank Corp. NY 1,900 51
United Bankshares, Inc. 2,800 74
United National Bancorp 600 14
Unitrin, Inc. 500 20
USBANCORP, Inc. 4,900 75
Valley National Bancorp 919 26
Washington Federal, Inc. 4,400 98
Webster Financial Corp. 4,400 119
West Coast Bancorp NPV 2,300 40
Western Bancorp 1,000 43
XL Capital, Ltd. Class A 1,555 87
Zions Bancorp 2,400 151
----------
11,156
----------
HEALTH CARE - 6.8%
Alpharma, Inc. Class A 4,700 167
AmeriSource Health Corp. Class A (a) 10,600 270
Bard (C.R.), Inc. 3,400 163
Barr Laboratories, Inc. (a) 1,000 40
Bergen Brunswig Corp. Class A 10,900 188
Bindley Western Industries, Inc. 5,867 135
Biogen, Inc. (a) 5,800 373
Biomet, Inc. 5,400 214
Cytyc Corp. (a) 2,700 52
Datascope Corp. (a) 1,700 55
Diagnostic Products Corp. 1,900 52
Express Scripts, Inc. Class A (a) 3,500 211
Genzyme Corp. (a) 3,000 145
Genzyme Surgical Products (a) 537 2
Hanger Orthopedic Group, Inc. (a) 1,600 23
IDEC Pharmaceuticals Corp. (a) 1,900 146
IDEXX Laboratories, Inc. (a) 1,500 35
Liposome Co., Inc. (a) 2,500 47
Mallinckrodt, Inc. 7,500 273
Maxxim Medical, Inc. (a) 3,200 75
Medco Research, Inc. (a) 1,600 42
MedImmune, Inc. (a) 5,400 367
Millennium Pharmaceuticals, Inc. (a) 2,800 101
Mylan Laboratories, Inc. 4,500 119
Omnicare, Inc. 5,400 68
PacifiCare Health Systems, Inc.
Class B (a) 2,400 173
Patterson Dental Co. (a) 3,500 122
PSS World Medical, Inc. (a) 6,500 72
ResMed, Inc. (a) 2,600 86
Roberts Pharmaceutical Corp. (a) 7,800 189
Shared Medical Systems 1,000 65
St. Jude Medical, Inc. (a) 1,700 61
Sybron International Corp. (a) 7,400 204
Trigon Healthcare, Inc. (a) 1,700 62
United Payors & United
Providers, Inc. (a) 2,700 63
Universal Health Services, Inc.
Class B (a) 4,500 215
Veterinary Centers of America, Inc. (a) 5,200 70
VISX, Inc. (a) 2,700 214
Vital Signs, Inc. 1,300 26
----------
4,985
----------
INTEGRATED OILS - 0.6%
Enron Oil & Gas Co. 7,800 158
Murphy Oil Corp. 2,100 103
Tesoro Petroleum Corp. (a) 9,100 145
TransMontaigne, Inc. (a) 1,700 21
----------
427
----------
MATERIALS AND PROCESSING - 9.2%
ACX Technologies, Inc. (a) 4,100 67
AK Steel Holding Corp. 3,800 86
Albemarle Corp. 3,400 79
Amcast Industrial Corp. 1,400 23
Ball Corp. 5,100 215
Boise Cascade Corp. 5,000 214
Bowater, Inc. 1,100 52
Brush Wellman, Inc. 3,000 54
Cabot Corp. 5,300 128
Cambrex Corp. 2,000 53
Centex Corp. 10,100 379
Chesapeake Corp. 1,500 56
Citation Corp. (a) 2,500 40
Clarcor, Inc. 1,300 25
Cleveland-Cliffs, Inc. 1,900 62
Commercial Metals Co. 2,500 71
Dexter Corp. 800 33
EastGroup Properties, Inc. 3,400 68
Elcor Chemical Corp. 3,500 153
Aggressive Equity Fund 15
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ ------
Engelhard Corp. 6,900 156
Ethyl Corp. 5,200 31
FMC Corp. (a) 2,000 137
Geon Co. 3,500 113
Harsco Corp. 3,400 109
Home Properties of New York, Inc. 2,900 80
IMC Global, Inc. 7,700 136
Insituform Technologies, Inc. Class A (a) 3,100 66
International Specialty Products, Inc. (a) 2,400 24
Internet Corp. 3,300 50
Jacob's Engineering Group, Inc. (a) 4,000 152
Juno Lighting, Inc. 2,200 54
Lafarge Corp. 3,200 113
Louisiana Pacific Corp. 8,400 200
LSI Industries, Inc. 1,300 31
MAXXAM, Inc. (a) 1,500 97
Millennium Chemicals, Inc. 3,900 92
Mohawk Industries, Inc. (a) 3,750 114
National Steel Corp. Class B 4,500 38
NCI Building Systems, Inc. (a) 2,000 43
New England Business Service, Inc. 1,400 43
Nortek, Inc. (a) 3,300 103
Pentair, Inc. 3,100 142
Potlatch Corp. 2,800 123
Precision Castparts Corp. 900 38
Quanex Corp. 1,700 48
Rock-Tenn Co. Class A 300 5
RPM, Inc. (Ohio) 4,500 64
Ryerson Tull, Inc. 3,000 68
Scotts Co. (The) Class A (a) 2,600 124
Shorewood Packaging Corp. (a) 1,900 35
Simpson Manufacturing Co., Inc. (a) 1,400 67
Sonoco Products Co. 5,100 153
Spartech Corp. 2,300 73
SPS Technologies, Inc. (a) 1,400 53
Standard Register Co. 2,200 68
Standex International Corp. 1,300 36
Stillwater Mining Co. (a) 5,400 177
Storage USA, Inc. 3,300 105
Teleflex, Inc. 1,700 74
Temple-Inland, Inc. 2,600 177
Terra Industries, Inc. 8,400 34
Texas Industries, Inc. 3,100 120
Tractor Supply Co. (a) 1,100 30
Tredegar Industries, Inc. 3,000 65
Universal Forest Products, Inc. 1,600 34
USG Corp. 5,900 330
USX-U.S. Steel Group 5,700 154
Waters Corp. (a) 6,300 335
Webb (Del E.) Corp. 4,600 109
Wellman, Inc. 5,000 79
Worthington Industries, Inc. 1,000 15
----------
6,775
----------
MISCELLANEOUS - 1.7%
CareMatrix Corp. (a) 1,700 21
Duke Realty Investments, Inc. 6,100 138
Education Management Corp. New (a) 1,400 29
FelCor Lodging Trust, Inc. 5,200 108
Mack-Cali Realty Corp. 2,700 84
New Plan Excel Realty Trust 6,400 115
Rental Service Corp. (a) 1,100 31
S&P Mid-Cap 400
Depository Receipts 6,815 535
Safety-Kleen Corp. New (a) 4,000 73
URS Corp. (a) 3,600 105
----------
1,239
----------
OTHER ENERGY - 2.9%
Apache Corp. 1,500 59
Arch Coal, Inc. 4,000 56
BEC Energy 4,200 173
Burlington Resources, Inc. 1,500 65
Devon Energy Corp. 1,300 46
Dynegy, Inc. 1,000 20
Eastern Enterprises, Inc. 2,700 107
Helmerich & Payne, Inc. 2,500 60
HS Resources, Inc. (a) 3,300 49
Input/Output, Inc. (a) 2,700 20
Key Energy Group, Inc. (a) 6,500 23
Louis Dreyfus Natural Gas Corp. (a) 4,100 88
MidAmerican Energy Holdings Co. (a) 3,400 118
Mitchell Energy & Development Corp.
Class A 3,500 68
Newfield Exploration Co. (a) 1,800 51
Oceaneering International, Inc. (a) 4,300 69
ONEOK, Inc. 3,500 111
Parker Drilling Co. (a) 12,000 40
Penn Virginia Corp. 1,200 24
RPC, Inc. 2,600 23
Seacor Holdings, Inc. (a) 4,300 230
Seitel, Inc. (a) 12,800 207
Sunoco, Inc. 5,000 151
Swift Energy Co. (a) 2,900 31
Tidewater, Inc. 4,900 149
Ultramar Diamond Shamrock Corp. 1,600 35
UniSource Energy Corp. NPV (a) 4,500 54
----------
2,127
----------
16 Aggressive Equity Fund
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ ------
PRODUCER DURABLES - 6.5%
AFC Cable Systems, Inc. (a) 1,375 48
American Power Conversion Corp. (a) 8,600 173
ANTEC Corp. (a) 3,500 112
Astec Industries, Inc. (a) 6,800 277
Briggs & Stratton Corp. 3,100 179
Clayton Homes, Inc. 6,000 69
CommScope, Inc. (a) 1,300 40
Cordant Technologies, Inc. 4,400 199
Crane Co. 3,700 116
CTS Corp. 1,600 112
D.R. Horton, Inc. 6,900 115
Detroit Diesel Corp. 4,500 111
Dionex Corp. (a) 5,800 234
Ducommun, Inc. (a) 3,450 41
EG&G, Inc. 1,300 46
GenCorp, Inc. 1,900 48
Gleason Corp. 2,100 35
Global Industrial Technologies, Inc. (a) 4,800 58
Kaufman & Broad Home Corp. 3,600 90
Kennametal, Inc. 2,700 84
Lennar Corp. 1,600 38
Lincoln Electric Holdings, Inc. NPV 2,200 45
Litton Industries, Inc. (a) 1,600 115
M.D.C. Holdings, Inc. 3,300 71
Manitowoc Co., Inc. 5,550 231
Mettler-Toledo International, Inc. New (a) 2,600 65
Moog, Inc. (a) 1,000 34
MTS Systems Corp. 2,500 30
NACCO Industries, Inc. Class A 2,000 147
Novellus Systems, Inc. (a) 2,100 143
NVR, Inc. (a) 1,500 78
Oak Industries, Inc. (a) 900 39
Pittway Corp. Class A 1,300 44
Plexus Corp. (a) 600 18
Pulte Corp. 4,400 101
Ryland Group, Inc. (The) 7,600 226
Scotman Industries, Inc. 2,400 52
Smith (A.O.) Corp. 900 25
SPX Corp. (a) 2,100 175
Tecumseh Products Co. Class A 3,300 200
Terex Corp. (a) 2,600 79
Thomas & Betts Corp. 3,500 165
Triumph Group, Inc. New (a) 800 20
U.S. Home Corp. (a) 2,800 99
Watts Industries, Inc. Class A 3,200 61
York International Corp. 6,300 271
----------
4,759
----------
TECHNOLOGY - 16.6%
Actel Corp. (a) 4,800 70
Acxiom Corp. (a) 6,500 162
Adaptec, Inc. (a) 2,000 71
Adobe Systems, Inc. 1,200 99
Adtran, Inc. (a) 5,100 185
Advent Software, Inc. (a) 2,300 154
Affiliated Computer Services, Inc.
Class A (a) 10,500 532
Alliant Techsystems, Inc. (a) 1,900 164
American Management Systems, Inc. (a) 11,300 362
Applied Micro Circuits Corp. New (a) 2,600 216
Arrow Electronics, Inc. (a) 6,000 114
At Home Corp. Series A (a) 6,250 337
Black Box Corp. (a) 2,400 120
BroadVision, Inc. (a) 2,300 169
C-Cube Microsystems, Inc. (a) 3,400 108
Caere Corp. (a) 2,500 32
Checkpoint Systems, Inc. (a) 3,000 27
CHS Electronics, Inc. (a) 5,700 25
Cisco Systems, Inc. (a) 6,474 417
Citrix Systems, Inc. (a) 4,500 253
Compucom Systems, Inc. (a) 4,200 17
Comverse Technology, Inc. (a) 7,200 543
Cypress Semiconductor Corp. (a) 8,800 145
Dallas Semiconductor Corp. 2,200 111
DII Group, Inc. (The) (a) 3,200 119
DoubleClick, Inc. (a) 2,400 220
DSP Communications, Inc. (a) 3,800 110
E*TRADE Group, Inc. (a) 13,200 526
Electro Rent Corp. (a) 3,400 37
Electronics For Imaging, Inc. (a) 4,800 247
Esterline Corp. (a) 3,800 55
FactSet Research Systems, Inc. 3,200 181
Fairchild Corp. (The) Class A (a) 4,600 59
Gerber Scientific, Inc. 3,200 71
Glenayre Technologies, Inc. (a) 14,600 52
Hadco Corp. (a) 2,200 87
Harmon Industries, Inc. 1,500 29
Imation Corp. (a) 1,900 47
In Focus Systems, Inc. (a) 2,800 42
Informix Corp. (a) 12,800 108
Infoseek Corp. (a) 3,200 153
Innovex, Inc. 1,400 19
Integrated Device Technology (a) 10,200 110
InterVoice, Inc. (a) 1,500 22
Intuit, Inc. (a) 4,100 370
ITI Technologies, Inc. (a) 2,100 47
Jabil Circuit, Inc. (a) 4,700 212
Kronos, Inc. (a) 6,800 297
Littlefuse, Inc. (a) 300 5
Aggressive Equity Fund 17
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ ------
Lycos, Inc. (a) 3,200 294
Macromedia, Inc. (a) 2,800 99
Mastech Corp. (a) 2,100 39
Mentor Graphics Corp. (a) 6,000 77
Mercury Interactive Corp. (a) 7,300 258
Micron Electronics, Inc. (a) 4,800 48
MICROS Systems, Inc. (a) 5,100 173
Network Appliance, Inc. (a) 7,000 391
Progress Software Corp. (a) 2,300 65
QLogic Corp. (a) 1,100 145
Rambus, Inc. (a) 800 74
Rational Software Corp. New (a) 6,000 198
RealNetworks, Inc. (a) 1,200 83
Remedy Corp. (a) 4,100 110
Rogers Corp. (a) 700 21
Safeguard Scientifics, Inc. (a) 3,300 205
SCI Systems, Inc. (a) 2,700 128
Scientific-Atlanta, Inc. 6,000 216
SDL, Inc. (a) 1,500 77
SkyTel Communications, Inc. (a) 3,200 66
SMART Modular Technologies, Inc. (a) 1,500 26
Sterling Software, Inc. (a) 5,500 147
Structural Dynamics Research Corp. (a) 3,700 67
Symbol Technologies, Inc. 9,750 360
Synopsys, Inc. (a) 2,400 132
Systemax, Inc. (a) 1,300 16
Veritas Software Corp. (a) 3,800 360
Vishay Intertechnology, Inc. (a) 6,875 143
Whittman-Hart, Inc. (a) 5,600 177
Xircom, Inc. (a) 5,000 149
Zebra Technologies Corp. Class A (a) 3,100 118
----------
12,120
----------
UTILITIES - 6.9%
Adelphia Communications Corp. (a) 4,100 264
AGL Resources, Inc. 2,600 48
Aliant Communications, Inc. 2,300 106
Alliant Energy Corp. (a) 5,200 148
American Tower Corp. Class A (a) 1,300 31
Associated Group, Inc. (The)
Class A (a) 1,400 91
Calpine Corp. (a) 1,100 59
Cleco Corp. 2,900 88
Commonwealth Telephone
Enterprises, Inc. (a) 1,900 77
Dycom Industries, Inc. (a) 5,000 280
Eastern Utilities Associates 1,100 32
Energen Corp. 7,400 138
Energy East Corp. 4,200 109
General Communication, Inc.
Class A (a) 6,500 44
Hawaiian Electric Industries, Inc. 3,200 114
ICG Communications, Inc. (a) 2,200 47
Laclede Gas Co. 3,100 72
LG&E Energy Corp. 7,000 147
Minnesota Power, Inc. 7,100 141
National Fuel & Gas Co. 2,100 102
NICOR, Inc. 3,300 126
NiSource, Inc. NPV 10,700 276
NUI Corp. 2,400 60
OGE Energy Corp. 4,700 112
Paging Network, Inc. (a) 6,100 29
Public Service Co. of New Mexico 12,200 242
Rochester Gas & Electric Corp. 6,600 175
Southwest Gas Corp. 1,700 49
TALK.com, Inc. (a) 2,100 23
TECO Energy, Inc. 7,100 162
TNP Enterprises, Inc. 5,100 185
UGI Corp. 4,700 95
United Illuminating Co. 3,600 153
United States Cellular Corp. (a) 2,300 123
UtiliCorp United, Inc. 12,750 310
VoiceStream Wireless Corp. NPV (a) 4,500 128
Western Resources, Inc. 7,300 194
Western Wireless Corp. NPV Class A (a) 9,100 246
WICOR, Inc. 4,000 112
WPS Resources Corp. 3,300 98
----------
5,036
----------
TOTAL COMMON STOCKS
(cost $64,619) 68,800
----------
PRINCIPAL
AMOUNT
(000)
$
---------
SHORT-TERM INVESTMENTS - 6.8%
Frank Russell Investment Company Money
Market Fund,
due on demand (b) 4,504 4,504
United States Treasury Notes (b)(c)
5.875 due 07/31/99 450 452
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $4,956) 4,956
----------
18 Aggressive Equity Fund
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
VALUE
(000)
$
------
TOTAL INVESTMENTS - 100.9%
(identified cost $69,575) 73,756
OTHER ASSETS AND LIABILITIES,
NET - (0.9%) (669)
----------
73,087
NET ASSETS - 100.0% ==========
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Held as collateral in connection with futures contracts purchased by the
Fund.
Abbreviations
NPV - No Par Value
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
--------- --------------
FUTURES CONTRACTS
S&P 500 Index
expiration date 09/99 3 $ 35
S&P 400 Midcap Index
expiration date 09/99 16 91
----------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $ 126
==========
See accompanying notes which are an integral part of the financial statements.
Aggressive Equity Fund 19
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
AMOUNTS IN THOUSANDS (EXCEPT PER SHARE AMOUNTS) JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS
Investments at market (identified cost $69,575) .................. $ 73,756
Receivables:
Dividends and interest ........................................... 89
Investments sold ................................................. 588
Fund shares sold ................................................. 47
Daily variation margin on futures contracts ...................... 33
Deferred organization expenses .................................... 3
-----------
Total Assets ................................................... 74,516
LIABILITIES
Payables:
Investments purchased .............................. $ 1,259
Fund shares redeemed ............................... 1
Accrued fees to affiliates ......................... 94
Other accrued expenses ............................. 75
-------------
Total Liabilities .............................................. 1,429
-----------
NET ASSETS ........................................................ $ 73,087
===========
NET ASSETS CONSIST OF:
Undistributed net investment income ............................... $ 57
Accumulated net realized gain (loss) ............................. 1,128
Unrealized appreciation (depreciation) on:
Investments ...................................................... 4,181
Futures contracts ................................................ 126
Shares of beneficial interest ..................................... 57
Additional paid-in capital ........................................ 67,538
-----------
NET ASSETS ........................................................ $73,087
===========
NET ASSET VALUE, offering and redemption price per share:
($73,087,170 divided by 5,715,373 shares of $.01 par value
shares of beneficial interest outstanding)...................... $ 12.79
===========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
20 Aggressive Equity Fund
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF OPERATIONS
AMOUNTS IN THOUSANDS FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED)
INVESTMENT INCOME
Dividends ........................................................ $ 304
Interest ......................................................... 3
-----------
Total Investment Income ........................................ 307
EXPENSES
Management fees ...................................... $ 181
Custodian fees ....................................... 41
Transfer agent fees .................................. 2
Professional fees .................................... 8
Registration fees .................................... 6
Trustees' fees ....................................... 5
Amortization of deferred organization expenses ....... 1
Miscellaneous ........................................ 14
----------
Expenses before reductions ........................... 258
Expense reductions ................................... (20)
----------
Expenses, net .................................................. 238
-----------
Net investment income ............................................. 69
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments .......................................... 1,120
Futures contracts .................................... 241 1,361
----------
Net change in unrealized appreciation (depreciation)
on:
Investments .......................................... 1,414
Futures contracts .................................... 4 1,418
---------- -----------
Net realized and unrealized gain (loss) ............... 2,779
-----------
Net increase (decrease) in net assets resulting from operations... $ 2,848
===========
See accompanying notes which are an integral part of the financial statements.
Aggressive Equity Fund 21
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
AMOUNTS IN THOUSANDS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1999 ENDED
(UNAUDITED) DECEMBER 31, 1998
------------------- --------------------
<S> <C> <C>
OPERATIONS
Net investment income ................................ $ 69 $ 37
Net realized gain (loss) ............................ 1,361 (180)
Net change in unrealized appreciation (depreciation).. 1,418 367
------------------- --------------------
Net increase (decrease) in net assets resulting
from operations .................................. 2,848 224
------------------- --------------------
DISTRIBUTIONS
From net investment income ........................... (26) (215)
From net realized gain on investments ................ (44) (918)
------------------- --------------------
Net decrease from distributions .................... (70) (1,133)
------------------- --------------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share
transactions ......................................... 45,702 10,144
------------------- --------------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ........... 48,480 9,235
NET ASSETS
Beginning of period .................................. 24,607 15,372
------------------- --------------------
End of period (including undistributed net
investment income of $57 and $14, respectively) .... $ 73,087 $ 24,607
=================== ====================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
22 Aggressive Equity Fund
<PAGE>
AGGRESSIVE EQUITY FUND
FINANCIAL HIGHLIGHTS
THE FOLLOWING TABLE INCLUDES SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT
EACH PERIOD AND OTHER PERFORMANCE INFORMATION DERIVED FROM THE FINANCIAL
STATEMENTS.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------
1999* 1998 1997**
---------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................ $ 12.70 $ 13.45 $ 10.00
-------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (c).......................... .01 .02 .04
Net realized and unrealized gain (loss) on .11 .13 3.45
investments......................................
-------- -------- --------
Total Income From Investment Operations.......... .12 .15 3.49
-------- -------- --------
DISTRIBUTIONS
From net investment income........................ (.01) (.02) (.04)
From net realized gain on investments............. (.02) (.88) --
-------- -------- --------
Total Distributions.............................. (.03) (.90) (.04)
-------- -------- --------
NET ASSET VALUE, END OF PERIOD...................... $ 12.79 $ 12.70 $ 13.45
======== ======== ========
TOTAL RETURN (%)(a)................................. 1.01 1.02 35.07
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands)........... 73,087 24,607 15,372
Ratios to average net assets (%)(b):
Operating expenses, net.......................... 1.25 1.25 1.25
Operating expenses, gross........................ 1.35 1.67 2.22
Net investment income............................ .36 .19 .39
Portfolio turnover rate (%)(b)..................... 80.97 79.88 91.56
</TABLE>
* For the six months ended June 30, 1999 (Unaudited).
** For the period January 2, 1997 (commencement of operations) to December 31,
1997.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended June 30, 1999 and December 31, 1997 are
annualized.
(c) For periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
Aggressive Equity Fund 23
<PAGE>
NON-US FUND
STATEMENT OF NET ASSETS
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- ----------
COMMON STOCKS - 93.3%
AUSTRALIA - 2.4%
AMP, Ltd. 7,180 78
Australia & New Zealand Bank
Group, Ltd. 197,220 1,448
Brambles Industries, Ltd. 1,824 48
Broken Hill Proprietary Co. 6,600 76
Cable & Wireless Optus, Ltd. NPV (a) 307,000 698
Goodman Fielder Wattie 147,400 131
Lend Lease Corp. 7,900 108
National Australia Bank, Ltd. 7,600 126
News Corp., Ltd. 7,100 60
Pacific Dunlop, Ltd. 120,800 174
Pioneer International, Ltd. 26,742 68
Southcorp Holdings, Ltd. 19,800 80
Telstra Corp., Ltd. NPV 20,800 119
----------
3,214
----------
AUSTRIA - 0.6%
Bank Austria AG 12,900 678
EVN AG 500 73
----------
751
----------
BELGIUM - 0.5%
Delhaize-Le Lion NPV 1,110 94
PetroFina SA NPV 135 78
Tractebel Investments International NPV 980 137
Union Miniere 9,700 400
----------
709
----------
CANADA - 0.8%
BCE, Inc. 9,200 448
Inco, Ltd. 10,400 187
Seagram Co., Ltd. 9,400 468
----------
1,103
----------
DENMARK - 0.3%
Danisco 2,066 93
Great Nordic Store Nord AS 986 33
Jyske Bank AS (Regd.) 2,700 256
Ratin A/S Series B 321 38
----------
420
----------
FINLAND - 1.3%
Helsinki Telephone Corp. Series E 10,800 512
Kesko Oyj 17,900 241
Merita, Ltd. Series A 11,800 67
Nokia Oyj 8,261 724
Rautaruukki Oyj 8,800 53
Sampo Insurance Co., Ltd. Series A 1,800 52
----------
1,649
----------
FRANCE - 12.0%
Accor SA 1,859 467
Alcatel Alsthom 2,978 419
Alstom (a) 39,015 1,227
Alstom - ADR New (a) 5,000 160
Assurances Generales de France 4,125 199
AXA - UAP 1,043 127
Banque Nationale Paris 9,826 818
Bongrain SA 500 189
Canal Plus 208 58
Cap Gemini Sogeti 4,200 660
Carrefour SA (a) 3,058 449
Castorama Dubois 420 100
Christian Dior SA 800 130
Cie de St. Gobain 769 122
CNP Assurances (a) 3,600 98
Coflexip SA 5,300 455
Dexia France 2,000 268
Elf Aquitaine - ADR 5,000 368
Elf Aquitaine SA 2,757 404
France Telecom SA 810 61
Groupe Danone 2,403 619
Imetal 234 35
L'Air Liquide 2,700 424
Lafarge SA (BR) 3,100 295
Lagardere Groupe (Regd) 14,654 545
Michelin (Cie Gen) Class B (Regd) 7,500 307
Paribas 1,833 205
Pechiney International Class A 6,300 271
Peugeot SA 1,700 268
Renault 1,290 56
Rhodia SA 3,792 72
Rhone-Poulenc SA Class A - ADR 8,487 388
Sanofi-Synthelabo SA (a) 1,819 77
SEITA 1,540 89
Societe BIC SA 8,700 459
Societe Generale 2,872 506
Suez Lyonnaise des Eaux 3,758 678
Thomson-CSF 9,200 320
Total Co. SA Class B (a) 9,450 1,219
Usinor Sacilor 22,400 334
Vivendi (a) 23,623 1,913
----------
15,859
----------
24 Non-US Fund
<PAGE>
NON-US FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- ----------
GERMANY - 8.4%
BASF AG 4,500 199
Bayer AG 10,150 423
Bayerische Motoren Werk AG 433 298
Bayerische Vereinsbank AG 4,159 270
Bilfinger & Berger BAU AG 1,410 35
Continental AG 1,900 45
DaimlerChrysler AG 8,119 703
Deutsche Bank AG 5,800 354
Deutsche Lufthansa AG 11,300 205
Deutsche Telekom AG 4,108 172
Dresdner Bank AG 3,570 139
Fresenius Medical Care AG 556 33
GEA AG (a) 8,000 241
Hochtief AG 900 41
Hoechst AG 23,667 1,071
Karstadt AG 241 116
KM Europa Metal AG 2,100 109
Mannesmann AG 13,121 1,957
Merck KGAA 11,932 388
Metro AG 800 50
Muenchener Rueckversicherungs-
Gesellschaft AG NPV 1,376 255
Muenchener Rueckversicherungs-
Gesellschaft AG NPV New (a) 426 78
ProSieben Media AG - ADR (a) 40 1
RWE AG 2,960 137
SAP AG 300 101
Schering AG 734 78
SGL Carbon AG (a) 1,332 103
Siemens AG 18,802 1,450
Stinnes AG NPV (a) 3,471 54
Veba AG 24,717 1,452
Viag AG 610 288
Volkswagen AG 4,116 263
----------
11,109
----------
HONG KONG - 1.2%
Cathay Pacific Airways 67,000 103
Cheung Kong Holdings, Ltd. 16,000 142
Dao Heng Bank Group, Ltd. 26,000 117
Henderson Investment, Ltd. 275,000 191
Hong Kong Electric Holding, Ltd. 119,000 383
Hong Kong Telecommunications, Ltd. 38,000 99
HSBC Holdings (UK Regd) PLC 3,200 117
Hutchison Whampoa, Ltd. 16,000 145
SmarTone Telecommunications
Holdings, Ltd. 15,500 55
Sun Hung Kai Properties, Ltd. 20,000 182
----------
1,534
----------
IRELAND - 0.1%
CRH PLC 2,400 43
Greencore Group PLC 5,100 16
Irish Life & Permanent PLC 3,634 38
Jefferson Smurfit Group PLC 23,460 55
----------
152
----------
ITALY - 3.2%
Assicurazioni Generali SPA 8,126 281
Banca Nazionale del Lavoro (a) 136,169 428
Banca Popolaire di Bergamo CV 7,300 160
Banco Fideuram SPA 17,900 104
ENI SPA - ADR 6,400 384
Ente Nazionale Idrocarburi SPA (Regd) 16,071 96
Istituto Bancario San Paolo
di Torino - ADR 4,100 113
Istituto Mobiliare Italiano SPA 32,000 435
Mediaset SPA 81,096 721
Mediolanum SPA 12,700 98
Monte dei Paschi Siena SPA (a) 16,864 75
Pirelli SPA 61,859 168
Telecom Italia SPA (a) 83,037 450
Telecom Italia SPA di Risp (a) 70,305 731
----------
4,244
----------
JAPAN - 21.7%
Aiful Corp. 2,000 245
Asahi Bank, Ltd. 36,000 173
Bank of Tokyo - Mitsubishi, Ltd. 22,000 313
Bridgestone Tire Corp. 5,000 151
Canon, Inc. 27,000 777
Chichibu Onoda Cement Corp. 19,000 55
Citizen Watch Co., Ltd. 11,000 95
Credit Saison Co. 17,000 356
Dai Nippon Printing, Ltd. 3,000 48
Dai-Tokyo Fire & Marine 70,000 252
DDI Corp. 19 118
East Japan Railway Co. 75 403
Ebara Corp. 6,000 71
Fanuc Co. 3,700 199
Fuji Bank, Ltd. 45,000 314
Fuji Heavy Industries, Ltd. 76,000 587
Fuji Machine Manufacturing Co. 9,000 278
Fuji Photo Film Co. 2,000 76
Fujitsu, Ltd. 11,000 221
Non-US Fund 25
<PAGE>
NON-US FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- ----------
Hitachi Software
Engineering Co., Ltd. 1,000 50
Hitachi, Ltd. 125,000 1,173
Honda Motor Co., Ltd. 13,000 551
Industrial Bank of Japan, Ltd. 6,000 48
Ito-Yokado Co., Ltd. 13,000 870
Japan Tobacco, Inc. 69 764
Kao Corp. 43,000 1,209
Kawasaki Steel Corp. 45,000 84
Kirin Brewery Co. 52,000 623
Kyocera Corp. 1,900 112
Mabuchi Motor Co., Ltd. 5,000 465
Marubeni Corp. 105,000 220
Matsumotokiyoshi 8,000 479
Matsushita Electric Industrial Co., Ltd. 39,000 758
Minebea Co., Ltd. 51,000 569
Mitsubishi Chemical 74,000 256
Mitsubishi Corp. 18,000 122
Mitsubishi Estate Co., Ltd. 8,000 78
Mitsubishi Heavy Industries 71,000 288
Mitsubishi Trust & Banking 2,000 19
Mitsui Mining & Smelting 5,000 26
Mitsui Trust & Banking Co., Ltd. 26,000 41
Murata Manufacturing Co., Ltd. 5,000 329
Namco 13,100 352
Nichiei Co., Ltd. 6,400 561
Nikko Securities Co., Ltd. 71,000 458
Nippon Denso Co. 2,000 41
Nippon Telegraph & Telephone Corp. 101 1,177
Nippon Yusen 55,000 212
Nishimatsu Construction 74,000 425
Nissan Motor Co., Ltd. (a) 147,000 702
Nomura Securities Co., Ltd. 19,000 223
NTT Mobile Communication Network, Inc. 18 244
NTT Mobile Communications Network, Inc. NPV New (a) 72 964
Osaka Gas Co. 34,000 116
Ricoh Co., Ltd. 18,000 248
Rinnai Corp. 15,000 345
Rohm Co. 6,000 940
Sakura Bank, Ltd. 90,000 341
Sankyo Co., Ltd. 15,000 378
Sankyo Co., Ltd. GUNMA 8,000 383
Sanwa Bank 3,000 30
Sekisui Chemical Co., Ltd. 8,000 46
Shohkoh Fund & Co., Ltd. 710 509
Snow Brand Milk Products Co., Ltd. 12,000 59
Softbank Corp. 600 122
Sony Corp. 11,600 1,251
Sony Music Entertainment, Inc. 3,700 315
Sumitomo Bakelite Co., Ltd. 6,000 46
Sumitomo Bank 12,000 149
Sumitomo Rubber Industries 54,000 382
Suzuki Motor Corp. 6,000 95
Takashimaya Co. 1,000 10
Takeda Chemical Industries 7,000 325
Takefuji Corp. 3,000 310
TDK Corp. 5,000 458
Tokai Bank 9,000 51
Tokyo Electric Power 5,300 112
Tokyo Gas Co. 30,000 74
Tokyo Steel Manufacturing 8,000 42
Toshiba Corp. 65,000 464
Tostem Corp. 6,000 115
Toyota Motor Corp. 21,000 665
UNY Co., Ltd. 4,000 60
West Japan Railway Co. 44 169
Yamanouchi Pharmaceutical 20,000 765
York-Benimaru Co., Ltd. 1,000 38
----------
28,638
----------
MALAYSIA - 0.1% (d)
Genting Berhad 16,000 55
IOI Corporated Berhad 81,000 46
----------
101
----------
NETHERLANDS - 7.8%
ABN Amro Holdings NV 32,117 695
Aegon NV 1,488 108
AKZO Nobel NV 1,900 80
AKZO Nobel NV - ADR 6,500 275
Benckiser NV Class B 897 48
Buhrmann NV 12,600 203
Equant NV (a) 6,300 593
Equant NV - NY Reg Share (a) 1,091 101
Getronics NV 2,133 82
Heineken NV 3,000 154
Hollandsche Beton Groep NV 10,570 135
Hunter Douglas NV 8,195 281
ING Groep NV 16,179 876
Koninklijke (Royal) Philips
Electronics NV (a) 3,744 369
Koninklijke (Royal) Philips
Electronics NV NY Reg Share NPV (a) 2,635 266
Koninklijke Ahold NV 2,800 96
Koninklijke KPN NV 37,331 1,751
Koninklijke KPN NV- ADR 7,100 341
Koninklijke Numico NV 2,757 98
26 Non-US Fund
<PAGE>
NON-US FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- ----------
Laurus NV 6,477 150
Royal Dutch Petroleum Co. 11,548 676
STMicroelectronics (a) 4,678 312
Stork NV 10,600 241
TNT Post Group NV 1,748 42
United Pan-Europe Communications
NV (a) 7,875 427
Vedior 4,545 77
Vendex NV 39,004 1,041
Verenigde Nederlandse
Uitgeversbedrijven Verenigd Bezit 14,518 580
Wolters Kluwer NV (a) 3,061 122
----------
10,220
----------
NEW ZEALAND - 0.7%
Fletcher Challenge Paper 217,700 163
Telecom Corp.
of New Zealand, Ltd. NPV 160,370 688
----------
851
----------
NORWAY - 0.1%
Nycomed Amersham PLC 3,900 28
Orkla ASA Class B 11,300 153
----------
181
----------
PORTUGAL - 1.1%
Banco Pinto & Sotto Mayor SA 18,316 325
Portugal Telecom SA 19,944 811
Telecel-Comunicacaoes Pessoaissa 2,400 309
----------
1,445
----------
SINGAPORE - 0.7%
Creative Technology, Ltd. 5,000 65
Development Bank of Singapore, Ltd.
(Alien Market) 56,000 684
Singapore Press Holdings, Ltd. 2,400 41
United Overseas Bank, Ltd.
(Alien Market) 9,000 63
Venture Manufacturing
(Singapore), Ltd. 9,000 69
----------
922
----------
SPAIN - 4.4%
ACS, Actividades de Construccion y
Servicios SA 1,378 39
Argentaria, Caja Postal y Banco
Hipotecario de Espana SA - ADR 4,600 212
Banco Popular Espanol SA 8,801 633
Banco Santander Central Hispano
SA (a) 89,096 928
Corporacion Bancaria de Espana
SA (Regd) 36,239 824
Endesa SA 39,282 837
Iberdrola SA 5,854 89
Indra Sistemas SA 3,884 42
Repsol SA (a) 4,900 101
Repsol SA - ADR 20,000 406
Tabacalera SA Class A (Regd) 27,292 551
Telefonica SA (a) 23,828 1,150
----------
5,812
----------
SWEDEN - 1.5%
ABB, Ltd. (a) 1,295 121
Autoliv, Inc. 13,173 402
Electrolux AB Series B 2,792 59
Enator AB 17,800 535
Skandia Forsakrings AB 7,372 138
Stora Enso Oyj Class A 4,218 45
Stora Enso Oyj Class R 17,627 191
Svenska Handelsbank Series B 2,800 31
Svenska Handelsbanken AB
Series B (a) 6,600 73
Telefonaktiebolaget Ericsson (LM)
Series B 11,979 385
----------
1,980
----------
SWITZERLAND - 3.9%
Baer Holdings AG (BR) 185 527
Barry Callebaut AG (Regd) 1,750 268
Forbo Holding AG (Regd) 625 248
Geberit International AG (a) 250 57
Holderbank Financiere Glarus
AG (BR) 48 57
Nestle SA (Regd) 164 295
Novartis AG (Regd) 344 502
Richemont Series A (BR) 34 65
Roche Holdings Genusscheine AG NPV 48 493
Schweizerische
Lebensversicherungs-und
Rentenanstalt 648 392
SGS Holding (BR) (a) 50 52
Sulzer AG (Regd) (a) 450 273
Swisscom AG (Regd) 2,642 994
UBS AG 2,404 717
Zurich Allied AG 396 225
----------
5,165
----------
Non-US Fund 27
<PAGE>
NON-US FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- ----------
UNITED KINGDOM - 20.0%
Abbey National PLC 28,800 541
Alliance & Leicester PLC 30,400 411
Allied Zurich AG 43,845 551
Arriva PLC 2,700 16
Barclays Bank PLC 32,200 936
Bass PLC 3,985 57
BG PLC 17,700 108
Billiton PLC 34,900 122
BOC Group PLC 20,400 399
British Aerospace PLC 77,382 504
British Airways PLC 113,700 785
British American Tobacco PLC 73,800 696
British Petroleum Co. PLC 38,963 698
British Sky Broadcasting Group PLC 26,825 249
British Telecom PLC 21,400 358
Bunzl PLC 100,800 500
Cable & Wireless Communications
PLC (a) 27,885 268
Cable & Wireless PLC 21,500 274
Cadbury Schweppes PLC (a) 13,600 87
Carlton Communications PLC 6,100 51
Compass Group PLC 16,600 165
Diageo PLC 151,910 1,596
Enterprise Oil PLC 93,600 597
Glaxo Wellcome PLC 51,486 1,431
Glynwed International PLC 24,800 81
Great University Stores PLC 52,600 587
Hanson PLC 4,300 39
Hays 7,000 74
HSBC Holdings PLC 21,700 769
Imperial Chemical Industries PLC 26,708 264
Invensys PLC 6,400 30
Kingfisher PLC 11,200 131
Laird Group PLC 49,100 204
Lloyds TSB Group PLC 62,000 842
Medeva PLC 55,200 90
MEPC PLC 11,743 96
MFI Furniture Group PLC 21,684 14
Morgan Crucible PLC 77,800 332
National Power PLC 16,739 122
Northern Foods PLC 16,000 33
Nycomed Amersham PLC 4,719 33
Ocean Group PLC 2,400 40
Orange PLC (a) 49,200 722
Pearson PLC 5,700 116
Pilkington Brothers PLC 40,900 56
PowerGen PLC 48,600 523
Prudential Corp. PLC 13,400 197
Racal Electronics PLC 12,800 78
Railtrack Group PLC 67,706 1,384
Reed International 41,558 276
Rentokil Initial PLC 5,000 19
Reuters Group PLC 5,000 66
Rexam PLC 75,200 305
Rio Tinto Corp. PLC (Regd) 21,000 352
RMC Group PLC 4,200 68
Royal & Sun Alliance Insurance Group
PLC (a) 59,963 537
Royal Bank of Scotland Group PLC 19,300 395
Safeway PLC 92,600 369
Sainsbury (J.) PLC 22,200 140
Scottish Hydro-Electric PLC 61,500 628
Shell Transportation & Trading
PLC (Regd) 61,036 458
Smith & Nephew PLC 8,800 27
SmithKline Beecham PLC 15,300 199
Somerfield PLC 175,726 824
Storehouse PLC 113,800 233
Tate & Lyle, Ltd. PLC 4,200 26
Tesco Store Holdings PLC 12,800 33
TI Group PLC 6,500 44
Tomkins PLC 151,300 656
Unilever PLC (a) 11,578 103
Vickers PLC 25,133 65
Vodafone Group PLC 83,238 1,637
Williams PLC 8,700 57
Wolseley PLC 35,000 264
Woolwich PLC 17,200 101
Zeneca Group PLC 5,100 196
----------
26,335
----------
UNITED STATES - 0.5%
Global TeleSystems Group, Inc. (a) 7,200 583
----------
TOTAL COMMON STOCKS
(cost $120,080) 122,977
----------
PREFERRED STOCKS - 0.7%
AUSTRALIA - 0.1%
News Corp., Ltd. 11,400 87
----------
GERMANY - 0.6%
Hugo Boss 50 67
Porsche AG 220 517
ProSieben Media AG NV 1,145 52
Rheinmetall AG 5,000 90
Volkswagen AG 831 30
----------
756
----------
28 Non-US Fund
<PAGE>
NON-US FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
---------- ----------
JAPAN - 0.0%
Sanwa International Financial
Bermuda Trust (conv.) 6,000,000 51
----------
LUXEMBOURG - 0.0%
AB International Cayman Trust Units
(conv.) 2,000,000 19
----------
TOTAL PREFERRED STOCKS
(cost $939) 913
----------
PRINCIPAL
AMOUNT
(000)
$
----------
LONG-TERM INVESTMENTS - 0.0%
JAPAN - 0.0%
Nichiei Co., Ltd. (conv.)
1.750% due 03/31/14 JPY 3,000 31
----------
TOTAL LONG-TERM INVESTMENTS
(cost $26) 31
----------
SHORT-TERM INVESTMENTS - 5.8%
UNITED STATES - 5.8%
Frank Russell Investment Company
Money Market Fund,
due on demand (b) 5,911 5,911
United States Treasury Notes (b)(c)
5.875% due 07/31/99 1,700 1,702
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $7,613) 7,613
----------
TOTAL INVESTMENTS - 99.8%
(identified cost $128,658) 131,534
OTHER ASSETS AND LIABILITIES,
NET - 0.2% 260
----------
NET ASSETS - 100.0% 131,794
==========
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Held as collateral in connection with futures contracts purchased by the
Fund.
(d) The securities have been determined to be illiquid because they are
restricted or because there is an exceptionally low trading volume in their
primary trading market at June 30, 1999.
Abbreviations:
ADR - American Depositary Receipt
NPV - No Par Value
NV - Nonvoting
BR - Bearer
Foreign Currency Abbreviations:
EUR - Eurodollar
GBP - British pound
JPY - Japanese yen
SEK - Swedish krone
USD - U.S. dollar
See accompanying notes which are an integral part of the financial statements.
Non-US Fund 29
<PAGE>
NON-US FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
------------- --------------
FUTURE CONTRACTS
TOPIX Index (Japan)
expiration date 09/99 21 $ 107
FTSE - 100 Index (UK)
expiration date 09/99 19 (51)
CAC - 40 Index (France)
expiration date 09/99 45 52
DAX Index (Germany)
expiration date 09/99 16 (30)
-------------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $ 78
=============
MARKET
% OF VALUE
INDUSTRY NET (000)
DIVERSIFICATION ASSETS $
- ------------------------------------------------------ -------- ----------
Auto & Transportation 7.1% 9,347
Consumer Discretionary 13.5 17,877
Consumer Staples 7.0 9,276
Financial Services 19.3 25,368
Health Care 4.2 5,507
Integrated Oils 1.3 1,740
Materials & Processing 8.7 11,407
Miscellaneous 2.1 2,729
Other Energy 3.5 4,642
Producer Durables 9.0 11,912
Technology 5.2 6,820
Utilities 13.1 17,265
Short-Term Investments 5.8 7,613
Long-Term Investments 0.0 31
---------- ----------
Total Investments 99.8 131,534
Other Assets and Liabilities, Net 0.2 260
---------- ----------
NET ASSETS 100.0% 131,794
========== ==========
MARKET
% OF VALUE
NET (000)
GEOGRAPHIC DIVERSIFICATION ASSETS $
- ------------------------------------------------------ ---------- ----------
Europe 45.9% 60,473
Japan 21.8 28,720
United Kingdom 20.0 26,331
Pacific Basin 5.1 6,711
United States
(Short-Term Investments) 6.2 8,195
Other 0.8 1,104
---------- ----------
Total Investments 99.8 131,534
Other Assets and Liabilities, Net 0.2 260
---------- ----------
NET ASSETS 100.0% 131,794
========== ==========
See accompanying notes which are an integral part of the financial statements.
30 Non-US Fund
<PAGE>
NON-US FUND
STATEMENT OF NET ASSETS
JUNE 30, 1999 (UNAUDITED)
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
- -------------- ------------- ------------- ----------------
USD 308 EUR 319 07/30/99 $ (2)
USD 118 EUR 122 07/01/99 (1)
USD 39 EUR 40 07/15/99 --
USD 120 EUR 124 07/02/99 (1)
USD 44 GBP 28 07/01/99 --
USD 191 GBP 121 07/02/99 (2)
USD 66 JPY 7,983 07/01/99 --
EUR 28 JPY 3,500 07/02/99 --
EUR 125 USD 131 07/02/99 2
EUR 151 USD 157 07/30/99 1
EUR 8 USD 8 07/01/99 --
SEK 1,701 USD 200 07/01/99 --
---------------
$ (3)
===============
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
- -------------- ------------- ------------- ----------------
USD 4,713 EUR 4,500 09/17/99 $ (46)
USD 2,071 GBP 1,300 09/17/99 (21)
USD 2,728 JPY 325,000 09/17/99 (11)
---------------
$ (78)
===============
See accompanying notes which are an integral part of the financial statements.
Non-US Fund 31
<PAGE>
NON-US FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) JUNE 30, 1999 (UNAUDITED)
ASSETS
Investments at market (identified cost $128,658)............. $ 131,534
Foreign currency holdings (identified cost $860)............. 853
Forward foreign currency exchange contracts (cost $9,513).... 9,435
Foreign currency exchange spot contracts (cost $1,432)....... 1,426
Receivables:
Dividends and interest...................................... 283
Investments sold............................................ 1,093
Fund shares sold............................................ 149
Foreign taxes recoverable................................... 93
Deferred organization expenses............................... 3
--------------
Total Assets.............................................. 144,869
LIABILITIES
Payables:
Investments purchased......................... $ 1,829
Accrued fees to affiliates.................... 164
Other accrued expenses........................ 119
Daily variation margin on futures contracts... 21
Forward foreign currency exchange contracts
(cost $9,513)................................. 9,513
Foreign currency exchange spot contracts
(cost $1,432).................................. 1,429
Total Liabilities......................................... 13,075
--------------
NET ASSETS................................................... $ 131,794
==============
NET ASSETS CONSIST OF:
Undistributed net investment income.......................... $ 602
Accumulated net realized gain (loss)......................... (100)
Unrealized appreciation (depreciation) on:
Investments................................................. 2,876
Futures contracts........................................... 78
Foreign currency-related transactions....................... (81)
Shares of beneficial interest................................ 112
Additional paid-in capital................................... 128,307
--------------
NET ASSETS................................................... $ 131,794
==============
NET ASSET VALUE, offering and redemption price per share:
($131,793,982 divided by 11,236,882 shares of $.01 par value
shares of beneficial interest outstanding)................ $ 11.73
==============
See accompanying notes which are an integral part of the financial statements.
32 Non-US Fund
<PAGE>
NON-US FUND
STATEMENT OF OPERATIONS
Amounts in thousands FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED)
INVESTMENT INCOME
Dividends...................................................... $ 1,177
Interest....................................................... 24
Less foreign taxes withheld.................................... (109)
--------------
Total Investment Income...................................... 1,092
EXPENSES
Management fees.................................. $ 266
Custodian fees................................... 87
Transfer agent fees.............................. 3
Professional fees................................ 12
Registration fees................................ 19
Trustees' fees................................... 5
Amortization of deferred organization expenses... 1
Miscellaneous.................................... 15
-------------
Expenses before reductions....................... 408
Expense reductions............................... (43)
-------------
Expenses, net................................................ 365
--------------
Net investment income........................................... 727
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments...................................... 934
Futures contracts................................ (24)
Foreign currency-related transactions............ (301) 609
-------------
Net change in unrealized appreciation
(depreciation) on:
Investments...................................... 1,038
Futures contracts................................ 74
Foreign currency-related transactions............ (81) 1,031
------------- --------------
Net realized and unrealized gain (loss)......................... 1,640
--------------
Net increase (decrease) in net assets
resulting from operations...................................... $ 2,367
==============
See accompanying notes which are an integral part of the financial statements.
Non-US Fund 33
<PAGE>
NON-US FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1999 ENDED
(UNAUDITED) DECEMBER 31, 1998
------------------- -----------------
<S> <C> <C>
OPERATIONS
Net investment income....................... $ 727 $ 106
Net realized gain (loss).................... 609 (446)
Net change in unrealized appreciation
(depreciation).............................. 1,031 1,840
------------------- -----------------
Net increase (decrease) in net assets
resulting from operations................. 2,367 1,500
DISTRIBUTIONS
From net investment income.................. (258) (146)
In excess of net investment income.......... -- (41)
------------------- -----------------
Net decrease from distributions........... (258) (187)
------------------- -----------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets
from share transactions..................... 108,265 13,231
------------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS.. 110,374 14,544
NET ASSETS
Beginning of period......................... 21,420 6,876
------------------- -----------------
End of period (including undistributed net
investment income of $602 and $133,
respectively).............................. $ 131,794 $ 21,420
=================== =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
34 Non-US Fund
<PAGE>
NON-US FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------
1999* 1998 1997**
--------- -------- -------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.............. $ 11.09 $ 10.03 $ 10.00
--------- -------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (c)........................ .16 .08 .09
Net realized and unrealized gain (loss) on
investments.................................... .61 1.21 (.06)
--------- -------- -------
Total Income From Investment Operations....... .77 1.29 .03
--------- -------- -------
DISTRIBUTIONS
From net investment income...................... (.13) (.18) --
From net realized gain on investments........... -- (.05) --
--------- -------- -------
Total Distributions........................... (.13) (.23) --
--------- -------- -------
NET ASSET VALUE, END OF PERIOD................... $ 11.73 $ 11.09 $ 10.03
========= ======== =======
TOTAL RETURN (%)(a).............................. 7.03 12.96 .30
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands)........ 131,794 21,420 6,876
Ratios to average net assets (%)(b):
Operating expenses, net....................... 1.30 1.30 1.30
Operating expenses, gross..................... 1.45 2.37 3.60
Net investment income......................... 2.60 .77 .98
Portfolio turnover rate (%)(b).................. 68.44 50.36 68.54
</TABLE>
* For the six months ended June 30, 1999 (Unaudited).
** For the period January 2, 1997 (commencement of operations) to December 31,
1997.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended June 30, 1999 and December 31, 1997 are
annualized.
(c) For periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
Non-US Fund 35
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF NET ASSETS
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ ------
COMMON STOCKS (b) - 92.4%
APARTMENT - 18.3%
Apartment Investment &
Management Co. Class A 49,100 2,098
Archstone Communities Trust 32,850 721
Avalonbay Communities, Inc. 56,600 2,094
Brookfield Properties Corp. 15,700 204
Camden Property Trust 20,700 574
Equity Residential Properties Trust 20,900 942
Essex Property Trust, Inc. 16,300 577
Post Properties, Inc. 16,600 681
Smith (Charles E.) Residential
Realty, Inc. 35,900 1,218
Summit Properties, Inc. 13,500 267
----------
9,376
----------
HEALTH CARE - 4.2%
HCR Manor Care, Inc. (a) 28,000 677
Health Care Property Investors, Inc. 24,800 716
Nationwide Health Properties, Inc. 41,000 782
----------
2,175
----------
HOTELS/LEISURE - 6.8%
FelCor Lodging Trust, Inc. 8,000 166
Golf Trust of America, Inc. 5,700 139
Hospitality Properties Trust 16,300 442
Host Marriott Corp. 18,700 222
Marriot International, Inc. Class A 12,400 463
Starwood Hotels & Resorts
Worldwide, Inc. 67,400 2,060
----------
3,492
----------
LEASING - 0.5%
Entertainment Properties Trust 8,900 157
Prison Realty Corp. 9,300 91
----------
248
----------
OFFICE/INDUSTRIAL - 39.0%
AMB Property Corp. 69,900 1,643
Arden Realty Group, Inc. 65,100 1,603
Boston Properties, Inc. 35,600 1,277
Cabot Industrial Trust 17,500 372
CarrAmerica Realty Corp. 17,500 438
Catellus Development Corp. (a) 33,500 519
Cornerstone Properties, Inc. 26,700 424
Cousins Properties, Inc. 16,900 571
Crescent Real Estate Equities, Inc. 22,700 539
Equity Office Properties Trust 79,000 2,024
Highwoods Properties, Inc. 53,800 1,476
Kilroy Realty Corp. 9,500 232
Liberty Property Trust 15,800 393
Mack-Cali Realty Corp. 65,900 2,039
Prentiss Properties Trust 9,900 233
ProLogis Trust 82,200 1,665
PS Business Parks, Inc. 17,800 434
Reckson Associates Realty Corp. 33,300 783
SL Green Realty Corp. 26,200 535
Spieker Properties, Inc. 52,500 2,040
Trizec Hahn Corp. 18,000 367
Weeks Corp. 12,200 372
----------
19,979
----------
OUTLET CENTERS - 0.1%
Prime Retail, Inc. 7,800 68
----------
REGIONAL MALLS - 10.0%
General Growth Properties, Inc. 33,800 1,200
Macerich Co. (The) 44,900 1,179
Rouse Co. (The) 36,900 936
Simon Property Group, Inc. 55,400 1,406
Taubman Centers, Inc. 17,500 231
Urban Shopping Centers, Inc. 6,000 189
----------
5,141
----------
SELF STORAGE - 3.7%
Public Storage, Inc. 58,000 1,624
Shurgard Storage Centers, Inc.
Class A 10,900 296
----------
1,920
----------
SHOPPING CENTER - 9.8%
Bradley Real Estate, Inc. 18,500 384
Developers Diversified Realty Corp. 32,000 532
Glimcher Realty Trust 13,200 215
Kimco Realty Corp. 35,400 1,385
Regency Realty Corp. 9,700 213
Vornado Realty Trust 63,900 2,256
----------
4,985
----------
TOTAL COMMON STOCKS
(cost $48,634) 47,384
----------
36 Real Estate Securities Fund
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
MARKET
NUMBER VALUE
OF (000)
SHARES $
------ ------
SHORT-TERM INVESTMENTS - 7.1%
Frank Russell Investment Company
Money Market Fund,
due on demand (c) 3,463 3,463
United States Treasury Notes (c)
5.875% due 07/31/99 200 201
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $3,664) 3,664
----------
TOTAL INVESTMENTS - 99.5%
(identified cost $52,298) 51,048
OTHER ASSETS AND LIABILITIES,
NET - 0.5% 232
----------
NET ASSETS - 100.0% 51,280
==========
(a) Nonincome-producing security.
(b) All common stocks held are Real Estate Investment Trusts (REIT) with the
exception of the following:
Brookfield Properties Corp.
HCR Manor Care, Inc.
Marriot International, Inc. Class A
Rouse Co. (The)
Starwood Hotels & Resorts Worldwide, Inc.
Trizec Hahn Corp.
Vornado Realty Trust
(c) At cost,which approximates market.
See accompanying notes which are an integral part of the financial statements.
Real Estate Securities Fund 37
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) JUNE 30, 1999 (UNAUDITED)
ASSETS
Investments at market (identified cost $52,298)................. $ 51,048
Receivables:
Dividends...................................................... 275
Investments sold............................................... 37
Fund shares sold............................................... 53
--------------
Total Assets................................................. 51,413
LIABILITIES
Payables:
Investments purchased............................ $ 70
Accrued fees to affiliates....................... 26
Other accrued expenses........................... 37
-------------
Total Liabilities............................................ 133
--------------
NET ASSETS...................................................... $ 51,280
==============
NET ASSETS CONSIST OF:
Undistributed net investment income............................. $ 450
Accumulated net realized gain (loss)............................ 16
Unrealized appreciation (depreciation) on investments........... (1,250)
Shares of beneficial interest................................... 52
Additional paid-in capital...................................... 52,012
--------------
NET ASSETS...................................................... $ 51,280
==============
NET ASSET VALUE, offering and redemption price per share:
($51,279,720 divided by 5,204,789 shares of $.01 par value
shares of beneficial interest outstanding)................... $ 9.85
==============
See accompanying notes which are an integral part of the financial statements.
38 Real Estate Securities Fund
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF OPERATIONS
Amounts in thousands FOR THE PERIOD APRIL 30, 1999
(COMMENCEMENT OF OPERATIONS)
TO JUNE 30, 1999 (UNAUDITED)
INVESTMENT INCOME
Dividends...................................................... $ 544
EXPENSES
Management fees............................... $ 70
Custodian fees................................ 15
Transfer agent fees........................... 1
Professional fees............................. 8
Registration fees............................. 7
Miscellaneous................................. 7
-------------
Expenses before reductions.................... 108
Expense reductions............................ (14)
-------------
Expenses, net................................................ 94
--------------
Net investment income........................................... 450
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments................................... 57
Futures contracts............................. (41) 16
-------------
Net change in unrealized appreciation (depreciation) on
investments.................................................... (1,250)
--------------
Net realized and unrealized gain (loss)......................... (1,234)
--------------
Net increase (decrease) in net assets resulting from operations. $ (784)
==============
See accompanying notes which are an integral part of the financial statements.
Real Estate Securities Fund 39
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
FOR THE PERIOD
APRIL 30, 1999* TO
JUNE 30, 1999
(UNAUDITED)
--------------------
OPERATIONS
Net investment income..................................... $ 450
Net realized gain (loss).................................. 16
Net change in unrealized appreciation (depreciation)...... (1,250)
--------------
Net increase (decrease) in net assets resulting from
operations.............................................. (784)
--------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share
transactions 52,064
--------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS................ 51,280
NET ASSETS
Beginning of period....................................... --
--------------
End of period (including undistributed net investment
income of $450)........................................... $ 51,280
==============
* Commencement of operations.
See accompanying notes which are an integral part of the financial statements.
40 Real Estate Securities Fund
<PAGE>
REAL ESTATE SECURITIES FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
the period and other performance information derived from the financial
statements.
1999*
----------
NET ASSET VALUE, BEGINNING OF PERIOD............................... $ 10.00
----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (c)......................................... .09
Net realized and unrealized gain (loss) on investments............ (.24)
----------
Total Income From Investment Operations......................... (.15)
----------
NET ASSET VALUE, END OF PERIOD..................................... $ 9.85
==========
TOTAL RETURN (%)(a)................................................ (1.50)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands).......................... 51,280
Ratios to average net assets (%)(b):
Operating expenses, net......................................... 1.15
Operating expenses, gross....................................... 1.32
Net investment income........................................... 5.50
Portfolio turnover rate (%)(a).................................... 16.17
* For the period April 30, 1999 (commencement of operations) to June 30, 1999
(Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for the period April 30, 1999 (commencement of operations) to
June 30, 1999 are annualized.
(c) Average month-end shares outstanding were used for this calculation.
Real Estate Securities Fund 41
<PAGE>
CORE BOND FUND
STATEMENT OF NET ASSETS
JUNE 30, 1999 (UNAUDITED)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
--------- ------
LONG-TERM INVESTMENTS - 94.9%
ASSET-BACKED SECURITIES - 2.0%
ARG Funding Corp.
Series 1999-1A Class A3
6.020% due 05/20/04 200 196
Delta Funding Home Equity
Loan Trust
Series 1998-4 Class A4F
6.340% due 04/15/26 125 119
FMAC Loan Recievables Trust
Series 1998-DA Class A2
6.404% due 12/24/28 125 121
Green Tree Financial Corp.
Series 1998-2 ClassM1
6.940% due 02/01/30 100 95
Series 1998-6 Class M1
6.630% due 06/01/30 100 94
MBNA Master Credit Card Trust
Series 1999-A ClassB
5.358% due 07/17/06 (c) 175 174
Residential Asset Securities Corp.
Series 1998-KS3 Class AI7
5.980% due 10/25/29 175 165
Student Loan Marketing Association
Loan Trust
Series 1996-4, Class A1
4.990% due 07/25/04 (c) 239 238
Vanderbilt Mortgage Finance
Series 1998-C Class 1A6
6.750% due 10/07/28 100 92
----------
1,294
----------
CORPORATE BONDS AND NOTES - 30.6%
Adelphia Communications Corp.
9.250% due 10/01/02 50 51
Ahold Finance USA, Inc.
6.250% due 05/01/09 190 179
6.875% due 05/01/29 25 23
Allied Waste North America, Inc.
Series B
7.375% due 01/01/04 50 47
7.625% due 01/01/06 200 186
American Financial Group, Inc.
7.125% due 04/15/09 75 70
American General Finance Corp.
6.170% due 05/06/03 (MTN) 400 393
American Standard Co.
7.375% due 04/15/05 50 48
Amerus Life Holdings, Inc.
6.950% due 06/15/05 75 72
Aramark Corp.
6.750% due 08/01/04 15 14
7.000% due 07/15/06 100 96
AT&T Capital Corp.
6.410% due 08/13/99 (MTN) 390 390
Bank of America Corp.
6.625% due 06/15/04 100 100
Bank One Corp.
Series A
5.625% due 02/17/04 (MTN) 150 144
Bankers Trust Corp.
5.100% due 05/11/03 (c) 200 199
Bear Stearns Cos., Inc.
6.150% due 03/02/04 150 145
Citicorp
9.500% due 02/01/02 50 54
Citizens Utilities Co.
8.450% due 09/01/01 200 208
Colonial Realty L.P.
7.160% due 01/17/03 (MTN) 50 49
Conmed Corp.
9.000% due 03/15/08 25 25
Conseco Finance Trust III
8.796% due 04/01/27 100 91
Conseco Financing Trust II
8.700% due 11/15/26 50 45
Crescent Real Estate Equities
6.625% due 09/15/02 75 69
DDTE Capital Corp.
7.110% due 11/15/03 (c) 500 504
EOP Operating, L.P.
6.500% due 01/15/04 75 73
ERAC USA Finance Co.
7.500% due 06/15/03 (MTN) 50 51
Exide Corp.
2.900% due 12/15/05 75 46
Extendicare Health Services, Inc.
9.350% due 12/15/07 25 19
First Security Corp.
5.875% due 11/01/03 50 48
Ford Motor Credit Co.
5.247% due 06/04/02 (c) 250 250
Fort James Corp.
6.875% due 09/15/07 250 246
Fred Meyer, Inc.
7.450% due 03/01/08 125 126
42 Core Bond Fund
<PAGE>
CORE BOND FUND
STATEMENT OF NET ASSETS
JUNE 30, 1999 (UNAUDITED)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
--------- ------
Global Crossings Holdings, Ltd.
9.625% due 05/15/08 50 54
Golden State Holdings
7.125% due 08/01/05 75 72
Goldman Sachs Group
7.250% due 10/01/05 75 76
Series A
5.430% due 01/16/01 (MTN) 200 201
6.340% due 03/01/06 (MTN) 150 144
Grove Worldwide, L.L.C.
9.250% due 05/01/08 25 23
GS Escrow Corp.
7.000% due 08/01/03 150 147
Health Care REIT, Inc.
7.625% due 03/15/08 50 48
Homeside Lending, Inc.
6.750% due 08/01/04 (MTN) 50 50
Horseshoe Gaming Holding
8.625% due 05/15/09 250 242
Household Finance Corp. (MTN)(c)
5.190% due 08/20/01 150 150
5.125% due 05/07/02 150 149
Series E
6.125% due 02/27/03 (MTN) 1,000 976
Huntsman ICI Chemicals, Inc.
10.125% due 07/01/09 300 303
Idex Corp.
6.875% due 02/15/08 50 46
IMC Global, Inc.
7.625% due 11/01/05 50 51
Imperial Capital Trust I
Series B
9.980% due 12/31/26 25 24
Integrated Health Services, Inc.
5.750% due 01/01/01 75 48
Isle Capri Casinos, Inc.
8.750% due 04/15/09 200 188
ITT Corp.
6.250% due 11/15/00 800 782
Kaufman and Broad Home Corp.
7.750% due 10/15/04 50 50
Lear Corp.
7.960% due 05/15/05 250 242
Lehman Brothers Holdings, Inc.
6.625% due 04/01/04 225 219
7.625% due 06/01/06 25 26
Lenfest Communications, Inc.
10.500% due 06/15/06 225 259
Lilly Industries, Inc.
7.750% due 12/01/07 125 120
Lite-On Technology Corp.
Zero Coupon due 12/01/02 (conv.) 50 51
McLeodUSA, Inc.
8.375% due 03/15/08 75 70
9.500% due 11/01/08 100 100
8.125% due 02/15/09 75 70
Meditrust
7.375% due 07/15/00 25 24
Merita Bank, Ltd.
7.150% due 12/29/49 250 248
MMI Capital Trust I
7.625% due 12/15/27 25 21
Mohegan Tribal Gaming
8.125% due 01/01/06 75 74
8.750% due 01/01/09 25 26
Morgan Stanley Dean Witter
Series C
5.820% due 06/19/00 (MTN) 1,000 992
Nabors Industries, Inc.
6.800% due 04/15/04 500 488
Natexix Ambs Co., L.L.C.
Series A
8.440% due 12/29/49 75 72
Newgrade Energy, Inc.
10.050% due 08/31/07 275 273
News America, Inc.
7.625% due 11/30/28 100 96
NEXTLINK Communications, Inc.
12.500% due 04/15/06 150 161
NVR, Inc.
8.000% due 06/01/05 75 73
Ocwen Financial Corp.
11.875% due 10/01/03 50 48
Orion Capital Trust II
7.700% due 04/15/28 75 61
Paine Webber Group, Inc.
6.375% due 05/15/04 100 97
Parker Retirement Savings Plan
6.340% due 07/15/08 500 477
Philip Morris Cos., Inc.
6.150% due 03/15/00 100 100
7.250% due 01/15/03 500 510
Premier Parks, Inc. Step Up Bond
Zero Coupon due 04/01/08 (c) 25 17
PX Escrow Corp. Step Up Bond
Zero Coupon due 02/01/06 (c) 75 46
Core Bond Fund 43
<PAGE>
CORE BOND FUND
STATEMENT OF NET ASSETS
JUNE 30, 1999 (UNAUDITED)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
--------- ------
Qwest Communications
International, Inc.
9.470% due 10/15/07 25 20
7.250% due 11/01/08 25 24
7.500% due 11/01/08 25 26
Step-Up Bond
Series B
Zero Coupon due 02/01/08 (c) 125 94
Regency Centers L.P.
7.400% due 04/01/04 75 73
Republic of New York Corp.
5.000% due 10/28/02 (c) 750 741
Revlon Worldwide
Series B
Zero Coupon due 03/15/01 215 144
Rose Hills Corp.
9.500% due 11/15/04 25 23
Safeway, Inc.
6.050% due 11/15/03 50 49
Salomon Smith Barney Holdings, Inc.
6.500% due 10/15/02 500 500
6.250% due 06/15/05 100 97
Simon Debartolo Group L.P.
6.625% due 06/15/03 75 73
6.750% due 06/15/05 50 48
Simon Property Group, Inc.
6.750% due 02/09/04 25 24
Societe Generale Real Estate Co., L.L.C.
Series A
7.640% due 12/29/49 100 94
Southland Corp.
Series A
4.500% due 06/15/04 50 43
Speedway Motorsports, Inc.
8.500% due 08/15/07 275 278
Spieker Properties, L.P.
6.750% due 01/15/08 75 70
Star Banc Corp.
5.875% due 11/01/03 50 48
Summit Properties Partnership
7.200% due 08/15/07 25 23
Tanger Properties, L.P.
8.750% due 03/11/01 25 25
7.875% due 10/24/04 25 24
Tenet Healthcare Corp.
7.875% due 01/15/03 25 25
8.625% due 12/01/03 100 100
6.000% due 12/01/05 100 77
Texas Utilities
5.729% due 06/25/01 (c) 600 600
Time Warner, Inc.
6.625% due 05/15/29 175 155
Toll Brothers Corp.
7.750% due 09/15/07 25 24
Travelers Property Casualty Corp.
6.750% due 04/15/01 25 25
Tricon Global Restaurants, Inc.
7.450% due 05/15/05 25 25
7.650% due 05/15/08 275 271
U.S. Bancorp
Series J
6.000% due 05/15/04 (MTN) 125 122
Union Planters Bank
6.500% due 03/15/18 50 47
United Companies Financial Corp.
7.700% due 01/15/04 (d) 25 6
US West Communications, Inc.
5.650% due 11/01/04 750 710
Viacom, Inc.
7.750% due 06/01/05 25 26
Walt Disney Co.
Series E
5.125% due 12/15/03 (MTN) 50 48
Waste Management, Inc.
6.500% due 05/14/04 1,000 981
Westdeutsche Landesbank NY
6.050% due 01/15/09 500 465
----------
19,194
----------
EURODOLLAR BONDS - 3.1%
Argentina, Republic of
Series PRE2
4.912% due 04/01/01 (c) 651 606
Diageo Capital PLC
6.625% due 06/24/04 275 274
Morgan Stanley Dean Witter
5.287% due 03/11/03 (MTN)(c) 300 299
Philippines, Republic of
6.500% due 12/01/17 (c) 500 427
Skandinaviska Enskilda Banken
6.500% due 12/29/49 275 261
Upm-Kymmene Corporation
7.450% due 11/26/27 50 47
----------
1,914
----------
44 Core Bond Fund
<PAGE>
CORE BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
JUNE 30, 1999 (UNAUDITED)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
--------- ------
MORTGAGE-BACKED SECURITIES - 33.2%
Advanta Mortgage Loan Trust
Series 97-4 Class M1
7.040% due 01/25/29 50 50
Chase Commercial Mortgage Securities
Corp.
Series 1997-2 Class D
6.600% due 12/19/07 25 23
Chase Mortgage Finance Corp.
Series 1993-N Class A9
6.750% due 11/25/24 850 813
Countrywide Home Loans
Series 1997-7 Class A3
6.250% due 08/25/14 500 484
DLJ Commercial Mortgage Corp.
Series 1999-CG1 Class A1A
6.080% due 08/10/08 148 144
Federal Home Loan Mortgage Corp.
6.000% 30 Year TBA Gold (b) 3,000 2,821
Federal National Mortgage Association
6.500% due 2013 518 510
6.500% due 2014 496 488
6.031% due 2017 467 453
8.500% due 2025 8 9
9.000% due 2025 278 293
8.500% due 2028 6 6
6.000% due 2029 1,375 1,305
6.500% due 2029 886 855
6.500% 30 Year TBA (b) 800 772
Series 1997-77 Class G
6.500% due 05/18/23 267 266
Federal National Mortgage Association
(REMIC)
Series 1992-10, Class ZD
8.000% due 11/25/21 891 906
GMAC Commercial Mortgage Securities,
Inc.
Series 1997-C1 Class A2
6.850% due 09/15/06 (c) 125 126
Government National Mortgage Association
9.000% due 2017 311 331
8.000% due 2024 111 115
8.000% due 2025 159 164
7.000% due 2026 109 108
8.000% due 2026 188 194
6.500% due 2027 482 487
7.000% due 2027 613 605
7.000% due 2028 3,002 2,962
6.500% due 2029 1,177 1,132
7.000% due 2029 400 394
6.000% 30 Year TBA Jumbo (b) 500 463
6.500% 30 Year TBA (b) 2,000 1,923
7.000% 30 Year TBA (b) 275 271
MBNA Master Credit Card Trust Asset
Backed
Series 1994-B, Class B
5.120% due 01/15/02 100 100
Midland Realty Acceptance Corp.
Series 1996-C2 Class A2
7.233% due 01/25/29 125 126
Morgan Stanley Capital I
Series 1998-HF1 Class A2
6.520% due 01/15/08 125 121
Norwest Asset Securities Corp.
Series 1997-21 Class A2
7.000% due 01/25/28 523 523
Series 1998-14 Class A2
6.500% due 06/25/13 388 385
Residential Funding Mortgage Securities II
Series 1997-HS5, Class M1
7.010% due 05/25/27 50 50
----------
20,778
----------
UNITED STATES GOVERNMENT
AGENCIES - 0.3%
Federal Home Loan Bank
5.375% due 03/02/01 150 149
Federal National Mortgage Association
5.125% due 02/13/04 25 24
----------
173
----------
UNITED STATES GOVERNMENT TREASURIES -
24.8%
United States Treasury Bonds
12.000% due 08/15/13 1,000 1,404
11.250% due 02/15/15 350 524
8.750% due 05/15/17 1,000 1,262
8.125% due 05/15/21 1,275 1,553
6.625% due 02/15/27 705 745
United States Treasury Notes
4.625% due 11/30/00 1,925 1,904
3.625% due 07/15/02 120 119
7.500% due 02/15/05 6,700 7,213
4.750% due 11/15/08 900 826
----------
15,550
----------
Core Bond Fund 45
<PAGE>
CORE BOND FUND
STATEMENT OF NET ASSETS
JUNE 30, 1999 (UNAUDITED)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
--------- ------
YANKEE BONDS - 0.9%
Abitibi-Consolidated, Inc.
7.500% due 04/01/28 75 68
Amvescap PLC
6.600% due 05/15/05 50 47
Applied International Finance
11.750% due 10/01/05 10 8
British Sky Broadcasting PLC
6.875% due 02/23/09 75 68
Colt Telecom Group PLC Step Up Bond
Zero Coupon due 12/15/06 (c) 150 124
Edperbrascan Corp.
7.125% due 12/16/03 50 48
Flag, Ltd.
8.250% due 01/30/08 50 47
National Westminster Bank PLC
7.750% due 04/29/49 (c) 25 25
Royal Caribbean Cruises, Ltd.
8.125% due 07/28/04 125 130
7.500% due 10/15/27 25 23
----------
588
----------
TOTAL LONG-TERM INVESTMENTS
(cost $60,796) 59,491
----------
NUMBER
OF
SHARES
------
PREFERRED STOCKS - 0.3%
Equity Office Property Trust Series B 1,500 64
Global Crossing Holdings, Ltd. 800 85
Primedia, Inc. 250 24
----------
TOTAL PREFERRED STOCKS
(cost $174) 173
----------
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
--------- ------
SHORT-TERM INVESTMENTS - 18.1%
Bell South Telecommunications
5.520% due 07/07/99 (a) 1,000 999
Federal Home Loan Mortgage Discount
Note
4.760% due 07/22/99 (a) 245 244
Federal National Mortgage Association
Discount Note
4.790% due 07/08/99 (a) 1,175 1,174
Frank Russell Investment Company
Money Market Fund,
due on demand (a) 4,955 4,955
General Motors Acceptance Corp.
5.520% due 07/14/99 (a) 1,000 998
Proctor & Gamble Discount Notes
5.180% due 07/20/99 (a) 1,000 997
Shell Oil Co.
4.760% due 07/09/99 (a) 1,000 999
Wisconsin Electric Power Co.
4.840% due 07/06/99 (a) 999
1,000 ----------
TOTAL SHORT-TERM INVESTMENTS
(cost $11,365) 11,365
----------
TOTAL INVESTMENTS - 113.3%
(identified cost $72,335) 71,029
OTHER ASSETS AND LIABILITIES,
NET - <13.3%> (8,373)
----------
62,656
NET ASSETS - 100.0% ==========
(a) At cost, which approximates market.
(b) Forward commitment.
(c) Adjustable or floating rate security.
(d) Issuer in default.
Abbreviations:
MTN - Medium Term Note
REMIC - Real Estate Mortgage Investment Conduit
REIT - Real Estate Investment Trust
TBA - To Be Announced Security
See accompanying notes which are an integral part of the financial statements.
46 Core Bond Fund
<PAGE>
CORE BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) JUNE 30, 1999 (UNAUDITED)
ASSETS
Investments at market (identified cost $72,335)................ $ 71,029
Receivables:
Dividends and interest........................................ 851
Investments sold.............................................. 414
Fund shares sold.............................................. 100
Deferred organization expenses................................. 3
--------------
Total Assets................................................ 72,397
LIABILITIES
Payables:
Investments purchased.......................... $ 564
Investments purchased (delayed settlement)..... 9,081
Accrued fees to affiliates..................... 54
Other accrued expenses......................... 42
-------------
Total Liabilities........................................... 9,741
--------------
NET ASSETS..................................................... $ 62,656
==============
NET ASSETS CONSIST OF:
Undistributed net investment income............................ $ 709
Accumulated distributions in excess of net realized gain....... (687)
Unrealized appreciation (depreciation) on investments.......... (1,306)
Shares of beneficial interest.................................. 62
Additional paid-in capital..................................... 63,878
--------------
NET ASSETS..................................................... $ 62,656
==============
NET ASSET VALUE, offering and redemption price per share:
($62,655,970 divided by 6,191,623 shares of $.01 par value
shares of beneficial interest outstanding).................. $ 10.12
==============
See accompanying notes which are an integral part of the financial statements.
Core Bond Fund 47
<PAGE>
CORE BOND FUND
STATEMENT OF OPERATIONS
Amounts in thousands FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED)
INVESTMENT INCOME
Interest...................................................... $ 1,202
Dividends..................................................... 149
--------------
Total Investment Income..................................... 1,351
EXPENSES
Management fees................................. $ 128
Custodian fees.................................. 43
Transfer agent fees............................. 2
Professional fees............................... 7
Registration fees............................... 5
Trustees' fees.................................. 5
Amortization of deferred organization expenses.. 1
Miscellaneous................................... 7
-------------
Expenses before reductions...................... 198
Expense reductions.............................. (27)
-------------
Expenses, net............................................... 171
--------------
Net investment income.......................................... 1,180
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments..................................... (576)
Options written................................. 20 (556)
-------------
Net change in unrealized appreciation (depreciation) on
investments.................................................... (1,312)
--------------
Net realized and unrealized gain (loss)........................ (1,868)
--------------
Net increase (decrease) in net assets resulting from operations $ (688)
==============
See accompanying notes which are an integral part of the financial statements.
48 Core Bond Fund
<PAGE>
CORE BOND FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR
ENDED JUNE 30, 1999 ENDED
(UNAUDITED) DECEMBER 31, 1998
------------------- -----------------
<S> <C> <C>
OPERATIONS
Net investment income........................... $ 1,180 $ 1,058
Net realized gain (loss)........................ (556) 493
Net change in unrealized appreciation
(depreciation).................................. (1,312) (173)
------------------- -----------------
Net increase (decrease) in net assets
resulting from operations..................... (688) 1,378
------------------- -----------------
DISTRIBUTIONS
From net investment income...................... (854) (796)
In excess of net realized gain on investments... (613) (53)
------------------- -----------------
Net decrease from distributions............... (1,467) (849)
------------------- -----------------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share
transactions.................................... 32,506 23,253
------------------- -----------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS...... 30,351 23,782
NET ASSETS
Beginning of period............................. 32,305 8,523
------------------- -----------------
End of period (including undistributed net
investment income of $709 and $383,
respectively)................................. $ 62,656 $ 32,305
=================== =================
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Core Bond Fund 49
<PAGE>
CORE BOND FUND
FINANCIAL HIGHLIGHTS
The following table includes selected data for a share outstanding throughout
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-------------------------
1999* 1998 1997**
-------- -------- --------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.......... $ 10.68 $ 10.45 $ 10.00
-------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (c).................... .29 .56 .64
Net realized and unrealized gain (loss) on
investments................................ (.41) .19 .30
-------- -------- --------
Total Income From Investment Operations.... (.12) .75 .94
-------- -------- --------
DISTRIBUTIONS
From net investment income................... (.25) (.47) (.49)
In excess of net realized gain on investments (.19) (.05) --
-------- -------- --------
Total Distributions........................ (.44) (.52) (.49)
NET ASSET VALUE, END OF PERIOD................ $ 10.12 $ 10.68 $ 10.45
======== ======== ========
TOTAL RETURN (%)(a)........................... (1.12) 7.38 9.73
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands)..... 62,656 32,305 8,523
Ratios to average net assets (%)(b):
Operating expenses, net.................... .80 .80 .80
Operating expenses, gross.................. .93 1.28 2.20
Net investment income...................... 5.53 5.34 6.38
Portfolio turnover rate (%)(b)............... 174.69 75.95 53.86
</TABLE>
* For the six months ended June 30, 1999 (Unaudited).
** For the period January 2, 1997 (commencement of operations) to December 31,
1997.
(a) Periods less than one year are not annualized.
(b) The ratios for the periods ended June 30, 1999 and December 31, 1997 are
annualized.
(c) For periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
50 Core Bond Fund
<PAGE>
RUSSELL INSURANCE FUNDS
NOTES TO FINANCIAL STATEMENTS
June 30, 1999 (Unaudited)
1. ORGANIZATION
Russell Insurance Funds (the "Investment Company") is a series mutual fund
with five investment portfolios, referred to as "Funds." These financial
statements report on the Funds, each of which has distinct investment
objectives and strategies. These Funds are offered at net asset value to
qualified insurance company separate accounts offering variable insurance
products. The Investment Company is registered under the Investment Company
Act of 1940, as amended, as a diversified, open-end management investment
company. It is organized and operates as a Massachusetts business trust
under a master trust agreement dated July 11, 1996. The Investment
Company's master trust agreement permits the Board of Trustees to issue an
unlimited number of full and fractional shares of beneficial interest at a
$.01 par value.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds' financial statements are prepared in accordance with generally
accepted accounting principles ("GAAP") which require the use of management
estimates. The following is a summary of the significant accounting
policies consistently followed by the Funds in the preparation of these
financial statements.
SECURITY VALUATION: United States equity and fixed-income securities listed
and traded principally on any national securities exchange are valued on
the basis of the last sale price or, lacking any sale, at the closing bid
price, on the primary exchange on which the security is traded. United
States over-the-counter equity and fixed-income securities and options are
valued on the basis of the closing bid price. Futures contracts are valued
on the basis of the last sale price. Many fixed-income securities do not
trade each day and, thus, last sale or bid prices are frequently not
available. Fixed income securities, therefore, may be valued using prices
provided by a pricing service when such prices are believed to reflect the
fair market value of such securities.
International equity and fixed income securities traded on a national
securities exchange are valued on the basis of the last sale price.
International securities traded over the counter are valued on the basis of
the mean of bid prices. In the absence of a last sale or mean bid price,
respectively, such securities may be valued on the basis of prices provided
by a pricing service if those prices are believed to reflect the fair
market value of such securities.
Short-term investments maturing within 60 days of the valuation date are
valued at amortized cost unless the Board of Trustees determines that
amortized cost does not represent fair value.
The Funds may value certain securities for which market quotations are not
readily available at "fair value," as determined in good faith pursuant to
procedures established by the Board of Trustees.
INVESTMENT TRANSACTIONS: Securities transactions are recorded on a trade
date basis. Realized gains and losses from securities transactions are
recorded on the basis of specific identified cost incurred by each money
manager within a particular fund.
INVESTMENT INCOME: Dividend income is recorded on the ex-dividend date and
interest income is recorded on the accrual basis. Distributions from Real
Estate Investment Trusts ("REIT's") owned by the Real Estate Securities
Fund may have as their components dividend income, capital gains and/or
returns of capital. Distributions that are deemed to be capital gains or
returns of capital by the trusts are treated by the Fund, respectively, as
an adjustment to its realized capital gains or its cost of the investment.
The exact amount to be adjusted can be ascertained only at the end of each
REIT's fiscal year when finally determined and reported by the various
trusts.
AMORTIZATION AND ACCRETION: All premiums and discounts, including original
issue discounts, for the Funds are amortized/ accreted for both tax and
financial reporting purposes.
FEDERAL INCOME TAXES: As a Massachusetts business trust, each Fund is a
separate corporate taxpayer and determines its net investment income and
capital gains (or losses) and the amounts to be distributed to each Fund's
shareholders without regard to the income and capital gains (or losses) of
the other Funds.
It is each Fund's intention to qualify as a regulated investment company
and distribute all of its taxable income. Therefore, no federal income tax
provision was required for the Funds.
At December 31, 1998, the Non-US Fund had a net tax basis capital loss
carryforward of $570,615 which may be applied against any net realized
taxable gains in each succeeding year or until its expiration date of
December 31, 2006, whichever occurs first.
Notes to Financial Statements 51
<PAGE>
RUSSELL INSURANCE FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
June 30, 1999 (Unaudited)
The aggregate cost of investments and the composition of gross unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of June 30, 1999 are as follows:
<TABLE>
<CAPTION>
NET
GROSS GROSS UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Multi-Style Equity $ 187,952,934 $ 17,964,888 $ (4,505,422) $ 13,459,466
Aggressive Equity 69,639,770 6,835,111 (2,719,150) 4,115,961
Non-US 128,880,055 6,828,744 (4,174,614) 2,654,130
Real Estate Securities 52,297,929 37,171,432 (38,421,662) (1,250,230)
Core Bond 72,466,891 313,604 (1,751,236) (1,437,632)
</TABLE>
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: For all Funds, income
dividends and capital gain distributions, if any, are recorded on the
ex-dividend date. Dividends are generally declared and paid quarterly,
except for the Non-U.S. Fund, which generally declares and pays dividends
annually. Capital gain distributions are generally declared and paid
annually.
The timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations
which may differ from GAAP. As a result, net investment income and net
realized gain (or loss) on investment and foreign currency-related
transactions for a reporting period may differ significantly from
distributions during such period. The differences between tax regulations
and GAAP primarily relate to investments in options, futures, forward
contracts, passive foreign investment companies, foreign-denominated
investments, mortgage-backed securities, and certain securities sold at a
loss. Accordingly, a Fund may periodically make a reclassification among
certain of its capital accounts without impacting its net asset value.
EXPENSES: The Funds will pay their own expenses other than those expressly
assumed by Frank Russell Investment Management Company ("FRIMCo" or
"Advisor"). Most expenses can be directly attributed to the individual
Funds. Expenses which cannot be directly attributed are allocated among all
Funds principally based on their relative net assets.
DEFERRED ORGANIZATION EXPENSES: Organization costs of the Funds, incurred
prior to the adoption of SOP 98-5 at June 30, 1998, have been deferred and
are being amortized over 60 months on a straight-line basis.
FOREIGN CURRENCY TRANSLATIONS: The books and records of the Funds are
maintained in U.S. dollars. Foreign currency amounts and transactions of
the Funds are translated into U.S. dollars on the following basis:
(a) Market value of investment securities, other assets and liabilities at
the closing rate of exchange on the valuation date.
(b) Purchases and sales of investment securities and income at the closing
rate of exchange prevailing on the respective trade dates of such
transactions.
Reported net realized gains or losses from foreign currency-related
transactions arise from: sales and maturities of short-term securities;
sales of foreign currencies; currency gains or losses realized between the
trade and settlement dates on securities transactions; the difference
between the amounts of dividends, interest, and foreign withholding taxes
recorded on the Non-US Fund's books and the U.S. dollar equivalent of the
amounts actually received or paid. Net unrealized gains or losses from
foreign currency-related transactions arise from changes in the value of
assets and liabilities, other than investments in securities, at
period-end, as a result of changes in the exchange rates.
It is not practical to isolate that portion of the results of operations of
the Non-US Fund that arises as a result of changes in exchange rates from
that portion that arises from changes in market prices of investments
during the year. Such fluctuations are included with the net realized and
unrealized gain or loss from investments. However, for federal income tax
purposes the Non-US Fund does isolate the effects of changes in foreign
exchange rates from the fluctuations arising from changes in market prices
for realized gain (or loss) on debt obligations.
DERIVATIVES: To the extent permitted by the investment objectives,
restrictions and policies set forth in the Funds' Prospectus and Statement
of Additional Information, the Funds may participate in various
derivative-based transactions. Derivative securities are
52 Notes to Financial Statements
<PAGE>
RUSSELL INSURANCE FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
June 30, 1999 (Unaudited)
instruments or agreements whose value is derived from an underlying
security or index. They include options, futures, swaps, forwards,
structured notes and stripped securities. These instruments offer unique
characteristics and risks that assist the Funds in meeting their investment
strategies.
The Funds typically use derivatives in three ways: cash equitization,
hedging, and return enhancement. Cash equitization is a technique that may
be used by certain Funds through the use of options and futures to earn
market-like returns with their excess and liquidity reserve cash balances.
Hedging is used by some funds to limit or control risks, such as adverse
movements in exchange rates and interest rates. Return enhancement can be
accomplished through the use of derivatives in a Fund. By purchasing
certain instruments, Funds may more effectively achieve the desired
portfolio characteristics that allow them to meet their investment
objectives. Depending on how the derivatives are structured and utilized,
the risks associated with them may vary widely. These risks are generally
categorized as market risk, liquidity risk and counterparty or credit risk.
FOREIGN CURRENCY EXCHANGE CONTRACTS: In connection with portfolio purchases
and sales of securities denominated in a foreign currency, the Non-US Fund
may enter into foreign currency exchange spot contracts and forward foreign
currency exchange contracts ("contracts"). Contracts are recorded at market
value. Certain risks may arise upon entering into these contracts from the
potential inability of counterparties to meet the terms of their contracts
and are generally limited to the amount of unrealized gain on the
contracts, if any, that is recognized in the Statement of Assets and
Liabilities. Realized gains or losses arising from such transactions are
included in net realized gain (or loss) from foreign currency-related
transactions.
FORWARD COMMITMENTS: The Funds may contract to purchase securities for a
fixed price at a future date beyond customary settlement time (not to
exceed 120 days)(i.e., a "forward commitment," "delayed settlement" or
"when issued" transaction, e.g., to be announced ("TBA")) consistent with a
Fund's ability to manage its investment portfolio and meet redemption
requests. The price of the underlying securities and the date when the
securities will be delivered and paid for are fixed at the time the
transaction is negotiated. The Funds may dispose of a forward commitment
transaction prior to settlement if it is appropriate to do so and realize
short-term gains (or losses) upon such sale. When effecting such
transactions, cash or liquid high-grade debt obligations of the Fund in a
dollar amount sufficient to make payment for the portfolio securities to be
purchased will be segregated on the Fund's records at the trade date and
maintained until the transaction is settled. A forward commitment
transaction involves a risk of loss if the value of the security to be
purchased declines prior to the settlement date or the other party to the
transaction fails to complete the transaction.
FUTURES CONTRACTS: The domestic and international equity Funds utilize
futures to equitize liquidity reserve balances. The face or contract
amounts of these instruments reflect the extent of the Funds' exposure to
off balance sheet risk. The primary risks associated with the use of
futures contracts are an imperfect correlation between the change in market
value of the securities held by the Fund and the prices of futures
contracts, and the possibility of an illiquid market. Changes in the
initial settlement values of futures contracts are accounted for as
unrealized appreciation (depreciation) until the contracts are terminated,
at which time realized gains and losses are recognized.
OPTIONS: The Funds may purchase and sell (write) call and put options on
securities and securities indices, provided such options are traded on a
national securities exchange or in an over-the-counter market. These Funds
may also purchase and sell call and put options on foreign currencies. The
domestic equity Funds may utilize options to equitize liquidity reserve
balances.
When a Fund writes a covered call or a put option, an amount equal to the
premium received by the Fund is included in the Fund's Statement of Assets
and Liabilities as an asset and as an equivalent liability. The amount of
the liability is subsequently marked-to-market to reflect the current
market value of the option written. The Fund receives a premium on the sale
of a call option but gives up the opportunity to profit from any increase
in stock value above the exercise price of the option, and when the Fund
writes a put option it is exposed to a decline in the price of the
underlying security. If an option which the Fund has written either expires
on its stipulated expiration date or the Fund enters into a closing
purchase transaction, the Fund realizes a gain (or loss, if the cost of a
closing purchase transaction exceeds the premium received when the option
was sold) without regard to any unrealized gain or loss on the underlying
security, and the liability related to such option is extinguished. If a
call option which the Fund has written is exercised, the Fund realizes a
capital gain or loss from the sale of the underlying security, and the
proceeds from such sale are increased by the premium originally received.
When a put option which a Fund has written is exercised, the amount of the
premium originally received will reduce the cost of the security which a
Fund purchases upon exercise of the option. Realized gains (losses) on
purchased options are included in net realized gain (loss) from
investments.
Notes to Financial Statements 53
<PAGE>
RUSSELL INSURANCE FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
June 30, 1999 (Unaudited)
The Funds' use of written options involves, to varying degrees, elements of
market risk in excess of the amount recognized in the Statement of Assets
and Liabilities. The face or contract amounts of these instruments reflect
the extent of the Funds' exposure to off balance sheet risk. The risks may
be caused by an imperfect correlation between movements in the price of the
instrument and the price of the underlying securities and interest rates.
The Funds' activities in written options are conducted through regulated
exchanges, which do not result in counterparty credit risks.
3. INVESTMENT TRANSACTIONS
SECURITIES: During period ended June 30, 1999, purchases and sales of
investment securities (excluding U.S. Government and Agency obligations,
short-term investments, options, futures and repurchase agreements) were as
follows:
PURCHASES SALES
------------- -------------
Multi-Style Equity $ 153,851,660 $ 42,996,057
Aggressive Equity 58,442,663 14,718,188
Non-US 121,773,172 19,433,941
Real Estate Securities 55,174,104 6,597,987
Core Bond 17,598,946 3,586,635
Purchases and sales of U.S. Government and Agency obligations (excluding
short-term investments, options, futures and repurchase agreements) were as
follows:
PURCHASES SALES
------------- -------------
Core Bond $ 84,623,752 $ 32,653,050
OPTIONS WRITTEN AND FUTURES CONTRACTS: Fund transactions in futures
contract purchases for the period ended June 30, 1999 were as follows:
FUTURES CONTRACTS
AGGREGATE
NUMBER OF FACE VALUE OF
CONTRACTS CONTRACTS (1)
MULTI-STYLE EQUITY ----------- ---------------
Outstanding December 31, 1998 20 $ 6,011,571
Opened 164 52,951,771
Closed (150) (48,566,636)
----------- ---------------
Outstanding June 30, 1999 34 $ 10,396,706
=========== ===============
AGGRESSIVE EQUITY
Outstanding December 31, 1998 7 $ 1,711,547
Opened 86 22,336,814
Closed (74) (19,783,198)
----------- ---------------
Outstanding June 30, 1999 19 $ 4,265,163
=========== ===============
NON-US
Outstanding December 31, 1998 11 $ 1,058,198
Opened 553 50,333,600
Closed (463) (42,787,813)
----------- ---------------
Outstanding June 30, 1999 101 $ 8,603,985
=========== ===============
54 Notes to Financial Statements
<PAGE>
RUSSELL INSURANCE FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
June 30, 1999 (Unaudited)
WRITTEN OPTIONS
NUMBER OF PREMIUMS
CONTRACTS (2) RECEIVED
CORE BOND --------------- ------------
Outstanding December 31, 1998 -- $ --
Opened 5,000 20,313
Closed -- --
Expired (5,000) (20,313)
--------------- ------------
Outstanding June 30, 1999 -- $ --
=============== ============
(1) The aggregate face value of contracts is computed on the date each contract
was opened.
(2) Each contract represents $100,000 notional value.
4. RELATED PARTIES
ADVISOR: FRIMCo operates and administers all of the Funds which comprise
the Investment Company and advises the Frank Russell Investment Company
Money Market Fund, one of a series which is not included in this report.
FRIMCo is a wholly owned subsidiary of Frank Russell Company, a wholly
owned subsidiary of The Northwestern Mutual Life Insurance Company. Frank
Russell Company researches and recommends to FRIMCo, and to the Investment
Company, one or more investment management organizations to manage the
portfolio of each Fund.
For the period ended June 30, 1999, the advisory fee paid to FRIMCo, for
the Funds listed below, in accordance with the Investment Company's
Management Agreement with that firm, amounted to $1,093,921 before waivers
and/or reimbursements. Such fee is payable monthly and is equal to the
annual rate, by Fund, shown in the following table, of the average daily
net assets of the applicable Fund.
ANNUAL RATE ANNUAL RATE
------------- -------------
Multi-Style Equity 0.78% Real Estate Securities 0.85%
Aggressive Equity 0.95% Core Bond 0.60%
Non-US 0.95%
FRIMCo calculates its management fee based on average daily net assets for
each Fund, less any management fee incurred on assets invested in the Money
Market Fund (see Note 5) thereby eliminating any duplication of fees.
FRIMCo has contractually agreed to waive a portion of its advisory fee for
each Fund, up to the full amount of its fee, to the extent the Fund's
operating expenses exceed specified limits imposed by FRIMCo on an annual
basis. Additionally, FRIMCo has contractually agreed to reimburse each Fund
for all remaining expenses, after fee waivers, that still exceed their
respective expense caps.
The expense caps and waivers as of June 30, 1999 were as follows:
EXPENSE ADVISORY
CAP FEES WAIVED
--------- -------------
Multi-Style Equity 0.92% $ 23,030
Aggressive Equity 1.25 19,826
Non-US 1.30 42,741
Real Estate Securities 1.15 13,885
Core Bond 0.80 26,686
ANALYTIC SERVICES: Fees for analytic services provided to the Funds are
paid or accrued to Russell/Mellon Analytical Services, an affiliate of the
Investment Company. Russell/Mellon Analytical Services provides its TruVP
System to the Funds, pursuant to a written Service Agreement. The TruVP
System provides analytics used by the investment department.
TRANSFER AGENT: The Funds have a contract with FRIMCo, for the Funds listed
above, to provide transfer agent services to the Investment Company. Total
fees for the period ended June 30, 1999 were $11,l58.
Notes to Financial Statements 55
<PAGE>
RUSSELL INSURANCE FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
June 30, 1999 (Unaudited)
DISTRIBUTOR: Russell Fund Distributors, Inc. (the "Distributor"), a wholly
owned subsidiary of FRIMCo, is the principal Distributor for Investment
Company shares. The Distributor receives no compensation from the
Investment Company for its services.
ACCRUED FEES PAYABLE TO AFFILIATES AS OF JUNE 30, 1999 WERE AS FOLLOWS:
<TABLE>
<CAPTION>
ADVISORY ANALYTIC TRANSFER
FEES SERVICE FEES AGENT FEES TOTALS
---------- -------------- ------------ --------
<S> <C> <C> <C> <C>
Multi-Style Equity $ 162,865 $ 104 $ 3,843 $ 166,812
Aggressive Equity 84,549 464 9,459 94,472
Non-US 155,393 1,688 6,699 163,780
Real Estate Securities 25,102 -- 1,191 26,293
Core Bond 45,867 1,330 6,722 53,919
---------- -------------- ------------ ---------
$ 473,776 $ 3,586 $ 27,914 $ 505,276
========== ============== ============ =========
</TABLE>
BROKERAGE COMMISSIONS: The Funds paid brokerage commissions to
non-affiliated brokers who provided brokerage and research services to the
Manager. The Funds also paid brokerage commissions for trades executed
through Frank Russell Securities, Inc., an affiliate of FRIMCo. These
commissions are net of a refund (up to 70% of gross commissions) paid back
to the Fund effecting such transactions after reimbursement for research
services provided to FRIMCo. The amount retained by Frank Russell
Securities, Inc. for the period ended June 30, 1999 for the Multi-Style
Equity Fund was $10,528 and for the Non-US Fund was $1,904.
BOARD OF TRUSTEES: The Investment Company pays each of its Trustees not
affiliated with FRIMCo a retainer of $8,000 per year plus out-of-pocket
expenses. Total Trustee expenses were $20,000 for the period ended June 30,
1999, and were allocated to each Fund on a prorata basis.
BENEFICIAL INTEREST: As of June 30, 1999, FRIMCo and the Funds had five
client relationships, the largest being Northwestern Mutual Life Insurance
Company, that represented more than 5% of the total outstanding shares of
the respective Funds.
CLIENT RELATIONSHIP
PERCENTAGES
-------------------------------
Multi-Style Equity 46.1% 21.6% 12.7% 7.2% 5.5%
Aggressive Equity 55.0 16.0 10.0 6.8 6.0
Non-US 74.1 11.6 -- -- --
Real Estate Securities 99.7 -- -- -- --
Core Bond 37.0 30.0 12.3 7.0 5.6
5. MONEY MARKET FUND
The Funds are permitted to invest their cash reserves (i.e., monies
awaiting investment in portfolio securities suitable for the Funds'
objectives) in the Frank Russell Investment Company Money Market Fund. As
of June 30, 1999, $29,101,000 of the Money Market Fund's net assets
represents investments by the Funds.
6. SHARE TRANSACTIONS
Share transactions for the period ended June 30, 1999 and year ended
December 31, 1998, were as follows:
SHARES DOLLARS (000)
-------------------------- ------------------------
1999 1998 1999 1998
MULTI-STYLE EQUITY ----------- ------------- ---------- -----------
Proceeds from shares
sold 7,251,653 2,867,999 $ 116,813 $ 40,821
Proceeds from
reinvestment of
distributions 384,233 63,764 5,741 858
Payments for shares (117,967) (162,445) (1,861) (2,378)
redeemed
Total net increase ----------- ------------- ---------- -----------
(decrease) 7,517,919 2,769,318 $ 120,693 $ 39,301
=========== ============= ========== ===========
56 Notes to Financial Statements
<PAGE>
RUSSELL INSURANCE FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
June 30, 1999 (Unaudited)
SHARES DOLLARS (000)
-------------------------- ------------------------
1999 1998 1999* 1998
AGGRESSIVE EQUITY ----------- ------------- ---------- -----------
Proceeds from shares
sold 3,862,726 818,370 $ 46,734 $ 10,356
Proceeds from
reinvestment of
distributions 6,066 87,768 69 1,133
Payments for shares
redeemed (91,020) (111,078) (1,101) (1,345)
----------- ------------- ---------- -----------
Total net increase
(decrease) 3,777,772 795,060 $ 45,702 $ 10,144
=========== ============= ========== ===========
NON-US
Proceeds from shares
sold 9,329,637 1,311,652 $108,554 $13,934
Proceeds from
reinvestment of
distributions 24,157 17,903 258 188
Payments for shares
redeemed (48,813) (83,398) (547) (891)
----------- ------------- ---------- -----------
Total net increase
(decrease) 9,304,981 1,246,157 $ 108,265 $ 13,231
=========== ============= ========== ===========
REAL ESTATE SECURITIES*
Proceeds from shares
sold 5,204,791 -- $ 52,064 $ --
Proceeds from
reinvestment of
distributions -- -- -- --
Payments for shares (2) -- --
redeemed ----------- ------------ --------- -----------
Total net increase 5,204,789 -- $ 52,064 --
(decrease) =========== ============ ========= ===========
CORE BOND
Proceeds from shares
sold 3,133,904 2,300,387 $ 32,182 $ 24,196
Proceeds from
reinvestment of
distributions 142,592 80,458 1,467 849
Payments for shares (110,891) (170,785) (1,143) (1,792)
redeemed ----------- ------------ --------- -----------
Total net increase 3,165,605 2,210,060 $ 32,506 $ 23,253
(decrease) =========== ============ ========= ===========
* For the period April 30, 1999 (commencement of operations) to June 30, 1999
(Unaudited).
7. DIVIDENDS
On July 1, 1999, the Board of Trustees declared the following dividends
payable on July 6, 1999, to shareholders of record on July 2, 1999:
NET INVESTMENT
INCOME
-----------------
Multi-Style Equity $ 0.0242
Aggressive Equity 0.0100
Core Bond 0.1145
Real Estate Securities 0.0864
Notes to Financial Statements 57
<PAGE>
RUSSELL INSURANCE FUNDS
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
TRUSTEES
Lynn L. Anderson
Paul E. Anderson
Paul Anton, PhD
William E. Baxter
Lee C. Gingrich
Eleanor W. Palmer
TRUSTEES EMERITUS
George F. Russell, Jr., Chairman
OFFICERS
Lynn L. Anderson, President and Chief Executive Officer
Peter Apanovitch, Manager of Short Term Investment Funds
Mark E. Swanson, Treasurer and Chief Accounting Officer
Randall P. Lert, Director of Investments
Karl Ege, Secretary and General Counsel
MANAGER, TRANSFER AND DIVIDEND PAYING AGENT
Frank Russell Investment Management Company
909 A Street
Tacoma, WA 98402
CONSULTANT
Frank Russell Company
909 A Street
Tacoma, WA 98402
CUSTODIAN
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, MA 02171
OFFICE OF SHAREHOLDER INQUIRIES
909 A Street
Tacoma, WA 98402
(800) RUSSEL4
(800) 787-7354
LEGAL COUNSEL
Stradley, Ronon, Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103-7098
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
1001 4th Avenue Plaza
Suite 4200
Seattle, WA 98154
DISTRIBUTOR
Russell Fund Distributors, Inc.
909 A Street
Tacoma, WA 98402
MONEY MANAGERS
MULTI-STYLE EQUITY FUND
Alliance Capital Management L.P., Minneapolis, MN
Equinox Capital Management, LLC, New York, NY
Lincoln Capital Management Company, Chicago, IL
Peachtree Asset Management, Atlanta, GA
Sanford C. Bernstein & Co., Inc., New York, NY
Westpeak Investment Advisors, L.P., Boulder, CO
AGGRESSIVE EQUITY FUND
Geewax, Terker & Company, Phoenixville, PA
Rothschild Asset Management, Inc., New York, NY
Trinity Investment Management Corporation, Boston, MA
Westpeak Investment Advisors, L.P., Boulder, CO
NON-US FUND
J.P. Morgan Investment Management, Inc., New York, NY
Montgomery Asset Management, LLC, San Francisco, CA
Oechsle International Advisors, L.P., Boston, MA
The Boston Company Asset Management, Inc., Boston, MA
REAL ESTATE SECURITIES FUND
AEW Capital Management, L.P., Boston, MA
Cohen & Steers Capital Management, Inc., New York, NY
CORE BOND FUND
Pacific Investment Management Company, Newport Beach, CA
Standish, Ayer & Wood, Inc., Boston, MA
This report is prepared from the books and records of the Funds and is submitted
for the general information of shareholders and is not authorized for
distribution to prospective investors unless accompanied or preceded by an
effective Prospectus. Nothing herein contained is to be considered an offer of
sale or a solicitation of an offer to buy shares of Russell Insurance Funds.
Such offering is made only by Prospectus, which includes details as to offering
price and other material information.
58 Manager, Money Managers and Service Providers
<PAGE>
[LOGO OF FRANK RUSSELL INVESTMENT COMPANY]
FRANK RUSSELL INVESTMENT COMPANY
909 A Street
Tacoma, Washington 98402
253-627-7001
800-787-7354
Fax: 253-591-3495
www.russell.com A-5424(699) 36-08-072(6/99)
