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x INSURANCE FUNDS X
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RUSSELL INSURANCE FUNDS
2000 Semiannual Report
MULTI-STYLE EQUITY FUND
AGGRESSIVE EQUITY FUND
NON-US FUND
CORE BOND FUND
REAL ESTATE SECURITIES FUND
JUNE 30, 2000
[LOGO OF FRANK RUSSELL]
<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, 2000 (UNAUDITED)
TABLE OF CONTENTS
Page
Multi-Style Equity Fund ................................................. 2
Aggressive Equity Fund .................................................. 14
Non-US Fund ............................................................. 30
Core Bond Fund .......................................................... 42
Real Estate Securities Fund ............................................. 54
Notes to Financial Statements ........................................... 60
Manager, Money Managers and Service Providers ........................... 67
RUSSELL INSURANCE FUNDS
Copyright (C) Frank Russell Company 2000. 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, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
COMMON STOCKS - 94.8%
AUTO AND TRANSPORTATION - 2.1%
Airborne Freight Corp. 300 6
AMR Corp. (a) 5,500 145
Arvin Industries, Inc. 100 2
AutoZone, Inc. (a) 1,100 24
Bandag, Inc. 400 10
Boeing Co. (The) 20,500 857
Borg-Warner Automotive, Inc. 800 28
Burlington Northern, Inc. 13,500 310
CNF Transportation, Inc. 600 14
Cooper Tire & Rubber Co. 1,700 19
Dana Corp. 1,300 28
Delphi Automotive Systems Corp. 10,732 156
Delta Air Lines, Inc. 10,200 516
Eaton Corp. 5,100 342
FedEx Corp. (a) 3,200 122
Ford Motor Co. 23,800 1,023
GATX Corp. 500 17
General Motors Corp. 16,748 972
Genuine Parts Co. 1,300 26
Hertz Corp. Class A 2,700 76
Hunt (JB) Transportation
Services, Inc. 1,800 28
Lear Corp. (a) 1,200 24
Meritor Automotive, Inc. 4,000 44
PACCAR, Inc. 3,800 151
Ryder System, Inc. 100 2
Southwest Airlines Co. 1,500 28
Trinity Industries, Inc. 200 4
TRW, Inc. 1,400 61
UAL Corp. 7,500 436
Union Pacific Corp. 7,100 263
Visteon Corp. New (a) 3,116 37
----------
5,771
----------
CONSUMER DISCRETIONARY - 9.9%
Abercrombie & Fitch Co. Class A (a) 900 11
AC Nielsen Corp. (a) 2,100 46
Alberto Culver Co. Class B 1,000 31
AMFM, Inc. (a) 4,200 290
AT&T Corp. - Liberty Media Group Class A (a) 92,800 2,250
Avon Products, Inc. 4,000 178
Banta Corp. 1,200 23
Best Buy Co. 300 19
BJ's Wholesale Club, Inc. (a) 1,400 46
Brinker International, Inc. (a) 2,100 61
Brunswick Corp. 4,100 68
Callaway Golf Co. 2,000 33
Carnival Corp. 300 6
Cendant Corp. 3,400 48
Circuit City Stores - Circuit
City Group 1,400 46
Clear Channel Communications, Inc. (a) 11,720 879
Darden Restaurants, Inc. 3,700 60
Delhaize America, Inc. 2,700 48
Disney (Walt) Co. 71,100 2,760
Donnelley (R.R.) & Sons Co. 6,000 135
Eastman Kodak Co. 13,400 797
EchoStar Communications Corp.
Class A 500 17
Energizer Holdings, Inc. (a) 2,200 40
Federated Department Stores, Inc. (a) 8,200 277
Fluor Corp. 2,500 79
Fortune Brands, Inc. 2,200 51
Furniture Brands International, Inc. 400 6
Gannett Co., Inc. 6,600 395
Gap, Inc. 8,500 266
Harrah's Entertainment, Inc. (a) 3,400 71
Hasbro, Inc. 2,400 36
Home Depot, Inc. (The) 42,450 2,120
Houghton Mifflin Co. 700 33
Infinity Broadcasting Corp.
Class A 600 22
Interpublic Group Cos., Inc. 2,300 99
JC Penney & Co., Inc. 600 11
Kelly Services, Inc. Class A 200 5
Kmart Corp. 5,300 36
Knight-Ridder, Inc. 12,800 681
Kohl's Corp. (a) 25,300 1,407
Lancaster Colony Corp. 300 6
Land's End, Inc. 600 20
Leggett & Platt, Inc. 300 5
Limited, Inc. (The) 11,600 251
Liz Claiborne, Inc. 2,200 78
Lowe's Cos., Inc. 14,600 600
Manpower, Inc. 1,700 54
May Department Stores Co. 8,700 209
Maytag Corp. 200 7
McDonald's Corp. 6,800 224
McGraw-Hill, Inc. 1,300 70
MediaOne Group, Inc. (a) 20,800 1,379
MGM Grand, Inc. 1,200 39
Neiman Marcus Group, Inc. (The)
Class A (a) 600 18
New York Times Co. Class A 5,800 229
Newell Rubbermaid, Inc. 1,000 26
NIKE, Inc. Class B 800 32
Office Depot, Inc. 200 1
Omnicom Group, Inc. 1,300 116
PanAmSat Corp. 300 13
2 Multi-Style Equity Fund
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Park Place Entertainment Corp. (a) 8,800 107
Payless ShoeSource, Inc. 1,000 51
Pittston Brink's Group 1,300 18
Reebok International, Ltd. (a) 300 5
Robert Half International, Inc. (a) 9,100 259
Ross Stores, Inc. 800 14
Russell Corp. 600 12
SABRE Group Holdings, Inc. (The), Class A 3,100 88
Saks, Inc. 1,300 14
Sears Roebuck & Co. 12,100 395
Shaw Industries, Inc. 1,700 21
Stanley Works (The) 2,500 59
Starwood Hotels & Resorts
Worldwide, Inc. 10,400 339
Target Corp. 3,300 191
Time Warner, Inc. 14,600 1,110
Toys "R" Us, Inc. (a) 4,300 63
Tribune Co. 3,900 137
Tricon Global Restaurants, Inc. 1,900 54
Tupperware Corp. 1,800 40
UnitedGlobalCom, Inc. Class A 400 19
Univision Communications, Inc.
Class A (a) 4,200 435
USA Networks, Inc. (a) 23,500 508
Valassis Communications, Inc. (a) 600 23
Venator Group, Inc. (a) 11,100 114
Viacom, Inc. Class B (a) 35,164 2,398
Viad Corp. 200 5
Wal-Mart Stores, Inc. 54,670 3,150
Wallace Computer Services, Inc. 2,000 19
Wendy's International, Inc. 3,500 61
Westwood One, Inc. (a) 400 13
Whirlpool Corp. 7,100 330
Zale Corp. (a) 14,900 543
----------
27,459
----------
CONSUMER STAPLES - 4.4%
Albertson's, Inc. 2,700 90
Anheuser-Busch Cos., Inc. 9,900 739
Bestfoods 4,000 277
Campbell Soup Co. 1,800 52
Clorox Co. (The) 1,500 67
Coca-Cola Co. (The) 23,070 1,325
Coca-Cola Enterprises, Inc. 100 2
Colgate-Palmolive Co. 23,600 1,413
ConAgra, Inc. 10,500 200
Coors (Adolph) Co. Class B 1,500 91
Dreyers Grand Ice Cream, Inc. 200 4
General Mills, Inc. 3,300 126
Gillette Co. (The) 1,500 52
Hannaford Brothers Co. 300 22
Heinz (H.J.) Co. 4,100 179
IBP, Inc. 7,600 117
Interstate Bakeries Corp. 800 11
Keebler Foods Co. 600 22
Kellogg Co. 1,900 57
Kimberly-Clark Corp. 5,700 327
Kroger Co. (The) (a) 30,200 666
McCormick & Co., Inc. 8,000 260
Nabisco Group Holdings Corp. 3,300 86
Nabisco Holdings Corp. Class A 500 26
Pepsi Bottling Group, Inc. (The) 1,500 44
PepsiCo, Inc. 31,760 1,411
Philip Morris Cos., Inc. 28,800 765
Procter & Gamble Co. 11,600 664
Quaker Oats Co. (The) 10,000 751
R.J. Reynolds Tobacco Holdings, Inc. 1,700 47
Ralston-Purina Group 26,500 528
Safeway, Inc. (a) 11,800 532
Sara Lee Corp. 2,700 52
SuperValu, Inc. 2,600 50
SYSCO Corp. 5,200 219
Tyson Foods, Inc. Class A 2,700 24
UST Corp. 4,300 64
Walgreen Co. 28,800 928
Winn-Dixie Stores, Inc. 1,300 20
----------
12,310
----------
FINANCIAL SERVICES - 15.1%
Aetna, Inc. 5,900 379
AFLAC, Inc. 2,300 106
Allmerica Financial Corp. 700 37
Allstate Corp. 11,200 249
Ambac Financial Group, Inc. 2,900 159
American Express Co. 20,800 1,084
American General Corp. 3,800 232
American International Group, Inc. 33,280 3,910
AmSouth Bancorp 23,750 374
AON Corp. 2,100 65
Apartment Investment & Management Co.
Class A 2,300 99
Associates First Capital Corp. Class A 37,900 846
Astoria Financial Corp. 800 21
AXA Financial, Inc. 9,100 309
Bank of America Corp. 27,500 1,183
Bank of New York Co., Inc. 12,400 577
Bank One Corp. 19,900 529
BB&T Corp. 5,000 119
Bear Stearns Companies Inc. (The) 4,410 184
Block (H&R) Co., Inc. 1,900 62
Catellus Development Corp. 700 11
Multi-Style Equity Fund 3
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Charter One Financial, Inc. 100 2
Chase Manhattan Corp. 36,700 1,690
Chubb Corp. (The) 1,000 62
CIGNA Corp. 10,800 1,010
Cincinnati Financial Corp. 3,200 101
CIT Group, Inc. 1,500 24
Citigroup, Inc. 116,650 7,028
Colonial BancGroup, Inc. 1,000 10
Comerica, Inc. 2,200 99
Commerce Bancshares, Inc. 13,020 387
Compass Bancshares, Inc. 900 15
Conseco, Inc. 4,000 39
Crescent Real Estate Equities, Inc. 3,000 62
Dime Bancorp, Inc. 700 11
Donaldson, Lufkin & Jenrette, Inc. 1,600 68
Dow Jones & Co., Inc. 9,300 681
Duke Realty Investments, Inc. 3,400 76
Dun & Bradstreet Corp. 4,300 123
Edwards (A.G.), Inc. 1,300 51
Equity Office Properties Trust 3,556 98
Equity Residential Properties Trust 400 18
Erie Indemnity Co. Class A 1,600 50
Everest Re Group, Ltd. 400 13
Fannie Mae 28,300 1,477
Federal Home Loan Mortgage Corp. 16,600 672
FelCor Lodging Trust, Inc. 1,600 30
Financial Security Assurance
Holdings, Ltd. 200 15
FINOVA Group, Inc. 900 12
First Data Corp. 11,400 566
First Security Corp. 1,600 22
First Tennessee National Corp. 300 5
First Union Corp. 19,800 491
Firstar Corp. 7,100 150
FleetBoston Financial Corp. 25,137 855
Franchise Finance Corp. of America 1,600 37
Franklin Resources, Inc. 3,000 91
Fulton Financial Corp. 630 11
General Growth Properties, Inc. 200 6
Golden State Bancorp, Inc. (a) 7,300 131
Golden West Financial Corp. 5,100 208
Goldman Sachs Group, Inc. (The) 1,700 161
Greenpoint Financial Corp. 1,100 21
Hartford Financial Services
Group, Inc. (The) 4,500 252
Hibernia Corp. Class A 2,200 24
Household International Corp. 9,100 378
Jefferson-Pilot Corp. 2,900 164
KeyCorp 8,400 148
Knight Trading Group, Inc. (a) 17,000 506
Lehman Brothers Holdings, Inc. 5,700 539
Liberty Property Trust 100 3
Lincoln National Corp. 5,300 191
Loews Corp. 2,700 162
Marsh & McLennan Cos., Inc. 5,700 595
Marshall & Ilsley Corp. 1,900 79
MBIA, Inc. 1,500 72
MBNA Corp. 38,800 1,052
Mellon Financial Corp. 5,800 211
Merrill Lynch & Co., Inc. 12,500 1,438
MGIC Investment Corp. 7,900 359
Morgan (J.P.) & Co., Inc. 4,500 496
Morgan Stanley Dean Witter & Co. 37,200 3,097
National City Corp. 12,600 215
Nationwide Financial Services,
Inc. Class A 100 3
North Fork Bancorp., Inc. 900 14
Northern Trust Corp. 4,200 273
Old Kent Financial Corp. 735 20
Old Republic International Corp. 7,000 116
Paine Webber Group, Inc. 3,500 159
Paychex, Inc. 8,600 361
PMI Group, Inc. (The) 2,200 105
PNC Bank Corp. 6,100 286
Popular, Inc. 500 10
Price (T. Rowe) & Associates, Inc. 2,300 98
Providian Financial Corp. 7,600 684
Radian Group, Inc. 1,500 78
Regions Financial Corp. 2,100 42
Reinsurance Group Of America 600 18
Reliastar Financial Corp. 700 37
SAFECO Corp. 2,200 44
Simon Property Group, Inc. 2,100 47
SLM Holding Corp. 1,300 49
SouthTrust Corp. 2,400 54
Spieker Properties, Inc. 100 5
St. Paul Cos., Inc. 2,000 68
State Street Corp. 800 85
Summit Bancorp 1,900 47
SunTrust Banks, Inc. 3,400 155
TCF Financial Corp. 1,000 26
Torchmark Corp. 1,500 37
U.S. Bancorp 13,100 252
Union Planters Corp. 1,000 28
UnionBanCal Corp. 9,900 183
UnumProvident Corp. 2,900 57
Wachovia Corp. 1,600 86
4 Multi-Style Equity Fund
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Waddell & Reed Financial, Inc.
Class A 350 10
Washington Mutual, Inc. 8,200 236
Wells Fargo Co. 26,900 1,041
----------
42,009
----------
HEALTH CARE - 11.2%
Abbott Laboratories 24,300 1,083
Allergan, Inc. 7,200 536
Alpharma, Inc. Class A 2,400 149
ALZA Corp. (a) 5,500 325
American Home Products Corp. 14,910 876
Amgen, Inc. (a) 14,040 986
Andrx Corp. (a) 500 32
Bard (C.R.), Inc. 600 29
Bausch & Lomb, Inc. 400 31
Baxter International, Inc. 7,490 527
Becton, Dickinson & Co. 900 26
Bristol-Myers Squibb Co. 28,900 1,683
Cardinal Health, Inc. 5,400 400
Celgene Corp. (a) 1,800 106
Covance, Inc. 600 5
First Health Group Corp. (a) 400 13
Forest Labs, Inc. (a) 2,000 202
Foundation Health Systems, Inc. (a) 6,600 86
Genentech, Inc. (a) 4,410 759
Genzyme Corp. (a) 700 42
Guidant Corp. (a) 9,040 447
HCA-The Healthcare Corp. (a) 11,100 337
HEALTHSOUTH Corp. 2,500 18
Human Genome Sciences, Inc. (a) 700 93
Humana, Inc. 1,400 7
ICOS Corp. (a) 100 4
Immunex Corp. (a) 4,500 222
IVAX Corp. (a) 1,050 44
Johnson & Johnson 20,500 2,088
Lilly (Eli) & Co. 9,620 961
Mallinckrodt, Inc. 4,600 200
MedImmune, Inc. (a) 1,700 126
Medtronic, Inc. 25,370 1,264
Merck & Co., Inc. 35,570 2,726
Millennium Pharmaceuticals, Inc. (a) 3,200 358
PacifiCare Health Systems, Inc. (a) 500 30
Patterson Dental Co. (a) 1,000 51
PE Corp. 1,800 119
Perrigo Co. (a) 1,200 8
Pfizer, Inc. 144,567 6,939
Pharmacia Corp. 36,185 1,870
Schering-Plough Corp. 39,300 1,985
St. Jude Medical, Inc. (a) 300 14
Stryker Corp. 4,500 197
Tenet Healthcare Corp. 29,300 791
Trigon Healthcare, Inc. (a) 2,500 129
United Health Corp (a) 16,100 1,381
Universal Health Services, Inc.
Class B (a) 10,900 713
Wellpoint Health Networks, Inc. (a) 1,900 137
----------
31,155
----------
INTEGRATED OILS - 4.0%
Amerada Hess Corp. 3,500 216
Chevron Corp. 21,900 1,857
Coastal Corp. 6,500 396
Conoco, Inc. Class B 12,702 312
Enron Corp. 17,880 1,153
Exxon Mobil Corp. 70,200 5,511
Kerr-McGee Corp. 4,000 236
Lyondell Petrochemical Co. 2,000 34
Murphy Oil Corp. 500 30
Phillips Petroleum Co. 14,900 755
Texaco, Inc. 9,000 479
USX-Marathon Group 8,100 203
----------
11,182
----------
MATERIALS AND PROCESSING - 4.8%
Air Products & Chemicals, Inc. 15,800 487
AK Steel Holding Corp. 800 6
Albemarle Corp. 2,000 40
Alcan Aluminum, Ltd. 200 6
Alcoa, Inc. 18,460 535
Allegheny Technologies, Inc. 200 4
American Standard Cos., Inc. (a) 4,300 176
Archer-Daniels-Midland Co. 12,605 124
Armstrong Holdings, Inc. 3,000 46
B.F. Goodrich Co. 4,900 167
Barrick Gold Corp. 1,800 33
Bemis Co., Inc. 700 24
Bowater, Inc. 550 24
Centex Corp. 2,700 63
Consolidated Papers, Inc. 2,100 77
Corning, Inc. 9,990 2,696
Dow Chemical Co. 21,600 652
du Pont (E.I.) de Nemours & Co. 15,784 691
Eastman Chemical Co. 15,200 726
Engelhard Corp. 2,000 34
FMC Corp. (a) 2,000 116
Fort James Corp. 1,400 32
Freeport-McMoRan Copper & Gold,
Inc. Class A 700 6
Georgia-Pacific Corp. (Timber Group) 4,900 106
Georgia-Pacific Group 6,800 179
Granite Construction, Inc. 1,000 25
Multi-Style Equity Fund 5
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Hanna (M.A.) Co. 800 7
Harsco Corp. 600 15
Illinois Tool Works, Inc. 1,100 63
IMC Global, Inc. 2,400 31
International Paper Co. 5,880 175
Johns Manville Corp. 2,500 33
Lafarge Corp. 6,200 130
Longview Fibre Co. 700 8
Louisiana Pacific Corp. 4,600 50
Lubrizol Corp. 6,000 126
Masco Corp. 2,300 42
Millennium Chemicals, Inc. 3,400 58
Minnesota Mining &
Manufacturing Co. 14,100 1,163
Nucor Corp. 2,900 96
PPG Industries, Inc. 2,900 129
Praxair, Inc. 2,900 109
Rayonier, Inc. 600 22
Sherwin-Williams Co. 7,500 159
Sigma Aldrich Corp. 2,100 61
Smurfit-Stone Container Corp. (a) 500 6
Southdown, Inc. 2,500 144
Standard Register Co. 400 6
Temple-Inland, Inc. 800 34
Timken Co. 2,000 37
Tyco International, Ltd. 58,700 2,781
Union Carbide Corp. 2,600 129
US Industries, Inc. 1,500 18
USX-U.S. Steel Group 100 2
Waters Corp. (a) 300 37
Westvaco Corp. 10,200 253
Weyerhaeuser Co. 6,600 284
Willamette Industries, Inc. 3,900 105
----------
13,388
----------
OTHER ENERGY - 1.3%
Anadarko Petroleum Corp. 5,000 247
Apache Corp. 7,000 412
Baker Hughes, Inc. 8,900 285
Burlington Resources, Inc. 2,800 107
Constellation Energy Group 4,800 156
El Paso Energy Corp. 400 20
ENSCO International, Inc. 3,400 122
EOG Resources, Inc. 3,300 111
Flowserve Corp. 700 11
Halliburton Co. 900 42
Helmerich & Payne, Inc. 900 34
Noble Affiliates, Inc. 300 11
Noble Drilling Corp. (a) 3,900 161
Occidental Petroleum Corp. 12,600 265
Ocean Energy, Inc. (a) 900 13
Pioneer Natural Resources Co. (a) 700 9
R&B Falcon Corp. (a) 3,800 90
Rowan Cos., Inc. (a) 1,200 36
Santa Fe Snyder Corp. 1,300 15
Schlumberger, Ltd. 900 67
Sempra Energy 8,700 148
Smith International, Inc. (a) 300 22
Sunoco, Inc. 3,600 106
Tosco Corp. 12,600 357
TXU Corp. 7,000 207
Ultramar Diamond Shamrock Corp. 10,700 265
Union Pacific Resources Group, Inc. 8,400 184
Unocal Corp. 4,500 148
----------
3,651
----------
PRODUCER DURABLES - 6.7%
American Power Conversion Corp. (a) 3,300 134
AMETEK, Inc. 500 9
Applied Materials, Inc. (a) 35,300 3,199
Boston Scientific Corp. 2,700 59
Briggs & Stratton Corp. 400 14
Caterpillar, Inc. 4,800 163
Clayton Homes, Inc. 2,000 16
Crane Co. 1,200 29
Cummins Engine Co., Inc. 2,700 74
Deere & Co. 23,100 855
Diebold, Inc. 900 25
Donaldson Co., Inc. 300 6
Dover Corp. 12,000 487
Emerson Electric Co. 14,850 897
General Electric Co. 152,360 8,075
Honeywell International, Inc. 8,175 275
Ingersoll-Rand Co. 1,500 60
ITT Industries, Inc. 700 21
Johnson Controls, Inc. 2,200 113
Kennametal, Inc. 1,600 34
KLA Tencor Corporation (a) 7,500 439
Lexmark International Group, Inc.
Class A (a) 3,400 229
Litton Industries, Inc. (a) 900 38
Lockheed Martin Corp. 3,900 97
Molex, Inc. 425 20
Northrop Grumman Corp. 4,900 325
Novellus Systems, Inc. (a) 10,300 583
Pall Corp. 1,800 33
Parker-Hannifin Corp. 3,800 130
Pitney Bowes, Inc. 100 4
Raytheon Co. Class B 1,800 35
Republic Services, Inc. (a) 900 14
Rockwell International Corp. 7,200 227
Stewart & Stevenson Services, Inc. 1,300 20
6 Mutli-Style Equity Fund
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Tecumseh Products Co. Class A 4,500 172
Teradyne, Inc. (a) 1,700 125
Textron, Inc. 1,100 60
Thermo Instrument Systems, Inc. 200 4
United Technologies Corp. 24,100 1,418
Waste Management, Inc. 1,200 22
----------
18,540
----------
TECHNOLOGY - 24.8%
3Com Corp. (a) 2,100 121
Adobe Systems, Inc. 400 52
Adtran, Inc. (a) 5,500 329
Advanced Micro Devices, Inc. (a) 10,200 788
Agilent Technologies, Inc. (a) 3,178 234
Altera Corp. (a) 3,800 387
America Online, Inc. (a) 47,360 2,498
Analog Devices, Inc. (a) 11,000 836
Apple Computer, Inc. (a) 15,900 832
Applied Micro Circuits Corp. (a) 3,500 346
Arrow Electronics, Inc. (a) 23,500 729
Atmel Corp. (a) 800 30
Autodesk, Inc. 13,000 451
Automatic Data Processing, Inc. 2,000 107
Avnet, Inc. 2,200 130
AVX Corp. 3,600 83
BEA Systems, Inc. (a) 1,000 49
Broadcom Corp. Class A (a) 700 153
BroadVision, Inc. (a) 5,600 284
Brocade Communications
Systems, Inc. (a) 1,700 311
Cabletron Systems, Inc. (a) 1,200 30
Check Point Software
Technologies, Ltd. (a) 800 170
Cisco Systems, Inc. (a) 112,620 7,158
CMGI, Inc. (a) 5,300 242
CNET Networks, Inc. (a) 15,900 390
Comdisco, Inc. 1,100 25
COMPAQ Computer Corp. 8,400 215
Computer Associates
International, Inc. 1,200 61
Computer Sciences Corp. 700 52
Comverse Technology, Inc. (a) 3,500 326
Cooper Industries, Inc. 1,000 33
CSG Systems International, Inc. (a) 100 6
Cypress Semiconductor Corp. (a) 400 17
Dallas Semiconductor Corp. 1,800 73
Dell Computer Corp. (a) 47,320 2,333
DST Systems, Inc. (a) 1,300 99
E*TRADE Group, Inc. (a) 1,900 31
E-Tek Dynamics, Inc. (a) 4,200 1,107
EarthLink, Inc. (a) 24,711 378
eBay, Inc. (a) 2,200 119
Electronic Data Systems Corp. 9,200 380
EMC Corp. (a) 39,350 3,027
Exodus Communications, Inc. (a) 2,000 92
Foundry Networks, Inc. New (a) 300 33
Gateway, Inc. (a) 9,090 516
General Dynamics Corp. 10,700 559
General Motors Corp. Class H (a) 3,329 292
GTECH Holdings Corp. (a) 1,800 41
Handspring, Inc. New 3,300 89
Hewlett-Packard Co. 9,300 1,161
i2 Technologies, Inc. (a) 5,720 596
Ikon Office Solutions, Inc. 1,300 5
IMS Health, Inc. 3,200 58
InfoSpace.com, Inc. (a) 1,200 66
Inktomi Corp. (a) 1,000 118
Integrated Device Technology, Inc. (a) 12,700 762
Intel Corp. 56,900 7,603
International Business
Machines Corp. 27,260 2,987
International Game Technology 2,000 53
Internet Capital Group, Inc. New 500 18
JDS Uniphase Corp. (a) 15,020 1,800
Juniper Networks, Inc. (a) 7,100 1,033
Lattice Semiconductor Corp. (a) 500 35
LSI Logic Corp. (a) 8,900 482
Maxim Integrated Products, Inc. (a) 1,200 81
Microchip Technology, Inc. (a) 400 23
Micron Technology, Inc. (a) 15,700 1,383
Microsoft Corp. (a) 56,690 4,532
Motorola, Inc. 28,800 837
National Semiconductor Corp. (a) 4,500 255
NCR Corp. (a) 600 23
Network Appliance, Inc. (a) 7,420 597
Nortel Networks Corp. 48,240 3,292
Oracle Systems Corp. (a) 40,430 3,396
PeopleSoft, Inc. (a) 500 8
PMC - Sierra, Inc. (a) 4,700 835
Portal Software, Inc. (a) 2,000 128
QUALCOMM, Inc. (a) 900 54
Quantum Corp. - DLT &
Storage Systems (a) 1,500 15
Quantum Corp. - Hard Disk Drive (a) 5,700 63
Redback Networks, Inc. (a) 3,100 556
Safeguard Scientifics, Inc. (a) 1,000 32
SCI Systems, Inc. (a) 1,500 59
Seagate Technology 2,500 138
Siebel Systems, Inc. (a) 1,400 229
Storage Technology Corp. 500 5
Structural Dynamics Research Corp. 700 11
Sun Microsystems, Inc. (a) 35,370 3,216
Multi-Style Equity Fund 7
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
SunGard Data Systems 600 19
Sybase, Inc. (a) 800 18
Sycamore Networks, Inc. (a) 700 77
Symantec Corp. (a) 200 11
Tech Data Corp. (a) 1,500 65
Teledyne Technologies, Inc. 300 5
Telefonaktiebolaget LM Ericsson
Class B - ADR 7,000 140
Tellabs, Inc. (a) 3,400 233
Texas Instruments, Inc. 16,000 1,099
TIBCO Software, Inc. (a) 2,000 215
Total Systems Services, Inc. 1,200 19
VeriSign, Inc. (a) 5,600 987
Veritas Software Corp. (a) 11,785 1,332
Vishay Intertechnology, Inc. (a) 4,450 169
Vitesse Semiconductor Corp. (a) 1,500 110
Xilinx, Inc. (a) 6,200 512
Yahoo!, Inc. (a) 6,430 798
----------
68,998
----------
UTILITIES - 10.5%
ADC Telecommunications, Inc. (a) 5,500 461
Allegheny Energy, Inc. 4,400 120
Alliant Energy Corp. 1,500 39
Alltel Corp. 4,500 279
Ameren Corp. 4,500 152
American Electric Power Co., Inc. 6,720 199
AT&T Corp. 52,500 1,660
AT&T Wireless Group New (a) 27,600 769
Bell Atlantic Corp. 32,000 1,626
BellSouth Corp. 47,200 2,012
BroadWing, Inc. (a) 20,200 524
Cablevision Systems Corp.
Class A 400 27
Centennial Cellular Corp. Class A 400 5
CenturyTel, Inc. 1,300 37
Cinergy Corp. 4,700 120
Citizens Communications Co. (a) 6,800 117
Columbia Energy Group 700 46
Comcast Corp. Special Class A 16,300 661
CommScope, Inc. (a) 13,600 558
Comsat Corp. 200 5
Consolidated Edison, Inc. 4,500 133
Cox Communications, Inc. Class A (a) 1,300 59
Dominion Resources, Inc. 5,200 223
DPL, Inc. 4,600 101
DTE Energy Co. 2,100 64
Duke Energy Corp. 1,700 96
Dynegy, Inc. Class A 2,500 171
Edison International 4,900 100
Energy East Corp. 2,800 53
Entergy Corp. 4,500 122
FirstEnergy Corp. 17,000 397
Florida Progress Corp. 4,000 188
FPL Group, Inc. 3,200 158
GPU, Inc. 7,400 200
GTE Corp. 16,500 1,027
KeySpan Corp. 3,200 98
Level 3 Communications, Inc. (a) 7,720 679
MCN Energy Group, Inc. 500 11
New Century Energies, Inc. 1,000 30
Nextel Communications, Inc.
Class A 200 12
Nokia Corp. - ADR 73,120 3,651
Northeast Utilities 5,800 126
OGE Energy Corp. 600 11
Peco Energy Co. 3,500 141
PG&E Corp. 17,500 431
Pinnacle West Capital Corp. 19,500 661
Powerwave Technologies, Inc. (a) 100 4
PPL Corp. 31,700 695
Public Service Enterprise Group, Inc. 11,000 381
Questar Corp. 900 17
Reliant Energy, Inc. 13,600 402
SBC Communications, Inc. 72,653 3,142
SDL, Inc. (a) 4,890 1,395
Southern Co. 9,700 226
Sprint Corp. (Fon Group) 20,200 1,030
Sprint Corp. (PCS Group) (a) 9,000 536
Telephone & Data Systems, Inc. 1,000 100
U.S. West, Inc. 6,100 523
Unicom Corp. 4,300 166
United States Cellular Corp. 100 6
Viacom, Inc. Class A 300 21
Vodafone Group PLC - ADR 25,400 1,053
VoiceStream Wireless Corp. (a) 1,500 174
Western Resources, Inc. 900 15
WinStar Communications, Inc. (a) 1,000 35
Wisconsin Energy Corp. 5,200 104
WorldCom, Inc. (a) 16,600 763
----------
29,148
----------
TOTAL COMMON STOCKS
(cost $239,790) 263,611
----------
8 Multi-Style Equity Fund
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
--------- ----------
SHORT-TERM INVESTMENTS - 4.5%
Frank Russell Investment Company
Money Market Fund,
due on demand (b) 10,487 10,487
United States Treasury Bills (c)(d)
5.94% due 12/21/00 2,000 1,944
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $12,430) 12,431
----------
TOTAL INVESTMENTS - 99.3%
(identified cost $252,220) 276,042
OTHER ASSETS AND LIABILITIES,
NET - 0.7% 2,044
----------
NET ASSETS - 100.0% 278,086
==========
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
FUTURES CONTRACTS CONTRACTS (000)
----------- --------------
NASDAQ 100 Index
expiration date 09/00 3 $ 18
S&P 500 Index
expiration date 09/00 38 (147)
----------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $ (129)
==========
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) Held as collateral in connection with futures contracts purchased by the
Fund.
(d) Rate noted is yield-to-maturity from date of acquisition.
Abbreviations:
ADR - American Depositary Receipt
See accompanying notes which are an integral part of the financial statements.
Multi-Style Equity Fund 9
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
Amounts in thousands (except per share amounts) June 30, 2000 (Unaudited)
ASSETS
<S> <C>
Investments at market (identified cost $252,220) ................................ $ 276,042
Receivables:
Dividends ....................................................................... 298
Investments sold ................................................................ 6,096
Fund shares sold ................................................................ 50
Daily variation margin on futures contracts ..................................... 122
Deferred organization expenses ................................................... 2
Prepaid expenses ................................................................. 3
---------
Total assets .................................................................. 282,613
LIABILITIES
Payables:
Investments purchased .............................................. $ 3,715
Fund shares redeemed ............................................... 483
Accrued fees to affiliates ......................................... 112
Other accrued expenses ............................................. 217
---------
Total liabilities ............................................................. 4,527
---------
NET ASSETS ....................................................................... $ 278,086
=========
NET ASSETS CONSIST OF:
Undistributed net investment income .............................................. $ 313
Accumulated net realized gain (loss) ............................................ (16,343)
Unrealized appreciation (depreciation) on:
Investments ..................................................................... 23,822
Futures contracts ............................................................... (129)
Shares of beneficial interest .................................................... 179
Additional paid-in capital ....................................................... 270,244
---------
NET ASSETS ....................................................................... $ 278,086
=========
NET ASSET VALUE, offering and redemption price per share:
($278,085,759 divided by 17,865,365 shares of $.01 par value
shares of beneficial interest outstanding) ................................... $ 15.57
=========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
10 Multi-Style Equity Fund
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF OPERATIONS
Amounts in thousands Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
INVESTMENT INCOME
<S> <C>
Dividends ....................................................................... $ 2,050
Dividends from Money Market Fund ................................................ 147
Interest ........................................................................ 30
--------
Total investment income ....................................................... 2,227
EXPENSES
Management fees ................................................... $ 1,091
Custodian fees .................................................... 140
Transfer agent fees ............................................... 3
Professional fees ................................................. 14
Registration fees ................................................. 26
Trustees' fees .................................................... 7
Amortization of deferred organization expenses .................... 1
Miscellaneous ..................................................... 22
--------
Expenses before reductions ........................................ 1,304
Expense reductions ................................................ (15)
--------
Expenses, net ................................................................. 1,289
--------
Net investment income ............................................................ 938
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments ....................................................... (14,259)
Futures contracts ................................................. 2,870 (11,389)
--------
Net change in unrealized appreciation (depreciation) on:
Investments ....................................................... 681
Futures contracts ................................................. (1,392) (711)
-------- --------
Net realized and unrealized gain (loss) ......................................... (12,100)
--------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ............................ $(11,162)
========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Multi-Style Equity Fund 11
<PAGE>
MULTI-STYLE EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------------ -------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
<S> <C> <C>
Net investment income ............................................... $ 938 $ 1,281
Net realized gain (loss) ............................................ (11,389) 11,977
Net change in unrealized appreciation (depreciation) ................ (711) 13,364
--------- ---------
Net increase (decrease) in net assets from operations ............. (11,162) 26,622
--------- ---------
DISTRIBUTIONS
From net investment income .......................................... (785) (1,240)
From net realized gain .............................................. (7,950) (13,454)
--------- ---------
Net decrease in net assets from distributions ..................... (8,735) (14,694)
--------- ---------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ....... 12,106 199,951
--------- ---------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS .......................... (7,791) 211,879
NET ASSETS
Beginning of period ................................................. 285,877 73,998
--------- ---------
End of period (including undistributed net investment income of
$313 and $160, respectively) ...................................... $ 278,086 $ 285,877
========= =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
12 Multi-Style Equity Fund
<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,
---------------------------------------
2000* 1999 1998 1997**
--------- --------- -------- --------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ............. $ 16.79 $ 16.02 $ 12.78 $ 10.00
--------- --------- -------- --------
INCOME FROM OPERATIONS
Net investment income (a) ....................... .05 .12 .10 .09
Net realized and unrealized gain (loss) ......... (.79) 2.41 3.49 2.75
--------- --------- -------- --------
Total income from operations .................. (.74) 2.53 3.59 2.84
--------- --------- -------- --------
DISTRIBUTIONS
From net investment income ...................... (.04) (.12) (.08) (.06)
From net realized gain .......................... (.44) (1.64) (.27) --
--------- --------- -------- --------
Total distributions ........................... (.48) (1.76) (.35) (.06)
--------- --------- -------- --------
NET ASSET VALUE, END OF PERIOD ................... $ 15.57 $ 16.79 $ 16.02 $ 12.78
========= ========= ======== ========
TOTAL RETURN (%)(b) .............................. (4.37) 17.17 28.71 28.53
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ........ 278,086 285,877 73,998 23,639
Ratios to average net assets (%)(c):
Operating expenses, net ....................... .92 .92 .92 .92
Operating expenses, gross ..................... .92 .96 1.21 1.61
Net investment income ......................... .66 .74 .70 .76
Portfolio turnover rate (%) ..................... 95.40 67.67 78.89 64.95
</TABLE>
* For the six months ended June 30, 2000 (Unaudited).
** For the period January 2, 1997 (commencement of operations) to December 31,
1997.
(a) For periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
Multi-Style Equity Fund 13
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
COMMON STOCKS - 92.5%
AUTO AND TRANSPORTATION - 3.6%
AAR Corp. 7,000 84
Alaska Air Group, Inc. (a) 600 16
America West Holding Corp.
Class B (a) 2,200 38
American Axle & Manufacturing Holdings,
Inc. (a) 6,000 85
American Freightways Corp. (a) 6,300 91
Amtran, Inc. (a) 1,100 14
Arkansas Best Corp. (a) 3,300 33
Atlas Air, Inc. (a) 1,200 43
AutoZone, Inc. (a) 2,100 46
Avis Rent A Car, Inc. (a) 8,100 152
C.H. Robinson Worldwide, Inc. 1,000 49
CNF Transportation, Inc. 8,200 187
Continental Airlines, Inc. Class B (a) 1,700 80
Cooper Tire & Rubber Co. 3,500 39
Dana Corp. 1,600 34
Dollar Thrifty Automotive
Group, Inc. (a) 10,500 194
Dura Automotive Systems, Inc. (a) 3,100 34
Expeditors International of Washington,
Inc 4,500 214
Federal-Mogul Corp. 1,200 11
Fleetwood Enterprises, Inc. 1,700 24
Fritz Companies, Inc. (a) 3,900 40
Goodyear Tire & Rubber Co. 3,500 70
Hertz Corp. Class A 800 22
Kirby Corp. (a) 1,700 36
Landstar Systems, Inc. (a) 1,700 101
Lear Corp. (a) 15,400 308
Meritor Automotive, Inc. 8,300 91
Monaco Coach Corp. (a) 3,100 42
National R.V. Holdings, Inc. (a) 1,550 16
Navistar International Corp. (a) 2,000 62
PACCAR, Inc. 1,900 75
Polaris Industries, Inc. 650 21
Roadway Express, Inc. 3,700 85
Ryder System, Inc. 900 17
Skywest, Inc. 1,100 41
Sonic Automotive, Inc. (a) 1,500 16
Superior Industries International, Inc. 4,700 121
Thor Industries, Inc. 700 15
Tower Automotive, Inc. (a) 5,000 63
Trinity Industries, Inc. 900 17
UAL Corp. 9,300 541
United Auto Group, Inc. (a) 1,800 16
USFreightways Corp. 7,800 191
Wabtec Corp. 1,600 17
XTRA Corp. (a) 2,800 110
Yellow Corp. (a) 6,300 93
----------
3,695
----------
CONSUMER DISCRETIONARY - 11.4%
24/7 Media, Inc. (a) 2,800 44
99 Cents Only Stores (a) 500 20
Aaron Rents, Inc. 2,700 34
Abercrombie & Fitch Co. Class A (a) 1,300 16
AC Nielsen Corp. (a) 2,900 64
Advo Systems, Inc. (a) 6,850 288
Anchor Gaming (a) 600 29
Applebee's International, Inc. 7,500 227
Argosy Gaming Co. (a) 1,200 17
Aztar Corp. (a) 12,700 197
Bacou USA, Inc. (a) 1,600 32
Belo (A.H.) Corp. Class A 2,600 45
BHC Communications, Inc. Class A 100 15
BJ's Wholesale Club, Inc. (a) 9,700 320
Blyth Industries, Inc. 1,100 32
Bowne & Co., Inc. 3,200 32
Boyd Gaming Corp. (a) 5,400 30
Brinker International, Inc. (a) 14,600 427
Brown Shoe Co., Inc. 1,700 22
Brunswick Corp. 1,100 18
Buckeye Technologies, Inc. (a) 7,100 156
Callaway Golf Co. 3,900 64
Catalina Marketing Corp. (a) 700 71
CDI Corp. (a) 1,300 26
CEC Entertainment, Inc. (a) 1,400 36
Central Garden & Pet Co. (a) 1,800 16
Charming Shoppes, Inc. (a) 6,600 34
Cheesecake Factory, Inc. (The) (a) 750 21
Chris Craft Industries, Inc. (a) 639 42
Citadel Communications Corp. (a) 400 14
Columbia Sportswear Co. (a) 1,500 40
Concord Camera Corp. New (a) 100 2
Convergys Corp. (a) 9,700 503
Copart, Inc. (a) 600 9
Cost Plus, Inc. (a) 550 16
Cox Radio, Inc. Class A (a) 5,400 151
Crestline Capital Corp. (a) 2,900 49
CSK Auto Corp. (a) 1,600 12
Darden Restaurants, Inc. 1,200 20
Diamond Technology Partners, Inc. (a) 300 26
Dillard's, Inc. Class A 1,000 12
Dollar Tree Stores, Inc. (a) 3,750 148
14 Aggressive Equity Fund
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Dover Downs Entertainment, Inc. 1,200 17
Dress Barn, Inc. (a) 3,300 73
Emmis Broadcasting Corp.
Class A (a) 1,000 41
Fairfield Communities, Inc. (a) 3,100 24
Fluor Corp. 600 19
Footstar, Inc. (a) 3,800 126
Fossil, Inc. (a) 900 17
Genesco, Inc. (a) 1,300 21
Genlyte Group, Inc (The) (a) 1,900 40
Handleman Co. (a) 2,300 29
Harman International Industries, Inc. 300 18
Harrah's Entertainment, Inc. (a) 1,800 38
Haverty Furniture Co., Inc. 4,000 34
Hispanic Broadcasting Corp. (a) 1,000 33
Hollinger International, Inc. Class A 1,700 23
IHOP Corp. (a) 1,000 17
Innkeepers USA Trust 5,900 54
Interim Services, Inc. (a) 13,900 247
Iron Mountain, Inc. New (a) 870 30
Isle of Capri Casinos, Inc. (a) 450 6
Jack in the Box, Inc. (a) 500 12
JAKKS Pacific, Inc. (a) 2,200 32
Jones Apparel Group, Inc. (a) 1,500 35
Kellwood Co. 3,300 70
Kelly Services, Inc. Class A 1,800 42
Lamar Advertising Co. Class A (a) 400 17
Landry's Seafood Restaurants, Inc. 7,900 67
Learning Tree International, Inc. (a) 4,300 263
Libbey, Inc. 1,500 48
Linens 'N Things, Inc. (a) 1,800 49
Lone Star Steakhouse & Saloon 3,400 34
Mail-Well, Inc. (a) 2,500 22
Mandalay Resort Group (a) 1,300 26
Manpower, Inc. 1,000 32
Marcus Corp. 1,600 19
MAXIMUS, Inc. (a) 700 15
McClatchy Co. (The) Class A 700 23
Men's Wearhouse, Inc. (The) (a) 700 16
Media General, Inc. Class A 2,500 121
MGM Grand, Inc. 1,800 58
Michaels Stores, Inc. (a) 8,700 399
Nautica Enterprises, Inc. (a) 1,900 20
Neiman Marcus Group, Inc. (The) Class A
(a) 5,600 169
NOVA Corp. / Georgia (a) 800 22
Nu Skin Enterprises, Inc. Class A (a) 2,200 13
Oakley, Inc. (a) 6,100 70
On Assignment, Inc. (a) 600 18
Oxford Industries, Inc. 1,600 29
P.F. Chang's China Bistro, Inc. (a) 2,600 83
Pacific Sunwear of California (a) 350 7
Park Place Entertainment Corp. (a) 32,900 401
Pegasus Communications Corp.
Class A (a) 600 29
Penton Media, Inc. 2,200 77
Petco Animal Supplies, Inc. (a) 1,500 29
Phillips-Van Heusen Corp. 3,600 34
Pier 1 Imports, Inc. 21,850 213
Pinnacle Entertainment, Inc. (a) 1,000 19
Pittston Brink's Group 4,600 63
Plantronics, Inc. (a) 800 92
Polo Ralph Lauren Corp. Class A (a) 1,400 20
Prime Hospitality Corp. (a) 5,200 49
Quicksilver, Inc. (a) 600 9
R.H. Donnelley Corp. (a) 7,200 140
RARE Hospitality International, Inc. (a) 4,700 133
Reebok International, Ltd. (a) 10,800 172
Rent-A-Center, Inc. (a) 1,100 25
Rent-Way, Inc. (a) 1,100 32
Robert Half International, Inc. (a) 1,800 51
Ross Stores, Inc. 9,900 168
Ruby Tuesday, Inc. 13,700 172
Ryan's Family Steak Houses, Inc. (a) 6,000 50
SABRE Group Holdings, Inc. (The), Class
A 3,900 111
Saga Communications Class A (a) 900 20
Salton, Inc. (a) 1,100 41
Scholastic Corp. (a) 400 24
SCP Pool Corp. (a) 1,500 35
ShopKo Stores, Inc. (a) 1,900 29
Sonic Corp. (a) 650 19
Source Information Mgmt Co. (The) (a) 8,700 132
Spanish Broadcasting Systems,
Inc. New (a) 1,200 25
Springs Industries, Inc. 5,500 177
Station Casinos, Inc. (a) 1,500 38
Talbots, Inc. 6,300 346
TeleTech Holdings, Inc. (a) 950 29
Tiffany & Co. 6,600 446
Timberland Co. Class A (a) 800 57
TMP Worldwide, Inc. (a) 500 37
Topps Co., Inc. (a) 2,300 26
Toro Co. 1,900 63
Toys "R" Us, Inc. (a) 2,700 39
Trendwest Resorts, Inc. (a) 2,200 35
True North Communications, Inc. 16,200 713
Tupperware Corp. 700 15
United Stationers, Inc. (a) 6,700 217
United Television, Inc. 200 26
URS Corp. (a) 2,000 31
Valassis Communications, Inc. (a) 2,600 99
Aggressive Equity Fund 15
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Value City Department Stores, Inc. (a) 2,200 21
Valuevision International, Inc.
Class A (a) 2,300 55
Viad Corp. 600 16
Wallace Computer Services, Inc. 1,700 17
Westwood One, Inc. (a) 5,100 174
Whitehall Jewellers, Inc. (a) 900 17
Wiley (John) & Sons Inc. Class A 1,800 41
Williams-Sonoma, Inc. (a) 600 20
Zale Corp. (a) 8,900 326
Zomax, Inc. (a) 1,000 14
----------
11,624
----------
CONSUMER STAPLES - 2.3%
Canandaigua Brands Co., Inc.
Class A (a) 4,800 242
Coors (Adolph) Co. Class B 4,600 278
Fleming Cos., Inc. 6,600 86
Hain Celestial Group, Inc. (a) 450 17
IBP, Inc. 16,100 249
International Multifoods Corp. 1,200 21
Michael Foods, Inc. 1,600 39
Pepsi Bottling Group, Inc. (The) 9,900 289
Performance Food Group Co. (a) 1,900 61
R.J. Reynolds Tobacco Holdings, Inc. 14,100 394
Ralcorp Holdings, Inc. (a) 4,800 59
Schweitzer-Mauduit
International, Inc. 2,600 33
Suiza Foods Corp. (a) 1,300 64
SuperValu, Inc. 2,500 48
Universal Corp. 1,600 34
Webvan Group, Inc. New (a) 49,400 359
Whitman Corp. 6,000 73
Whole Foods Market, Inc. (a) 400 16
----------
2,362
----------
FINANCIAL SERVICES - 11.8%
Advanta Corp. Class A 2,500 30
Affiliated Managers Group, Inc. (a) 1,800 82
Alexandria Real Estate Equities, Inc. 1,400 48
Allied Capital Corp. 900 15
Allmerica Financial Corp. 6,500 340
American National Insurance Co. 300 15
AmeriCredit Corp. (a) 4,700 80
AmerUs Life Holdings, Inc. 1,200 25
Archstone Communities Trust 13,500 284
Associated Banc-Corp. 4,230 92
Astoria Financial Corp. 11,900 306
Avalonbay Communities, Inc. 764 32
BancWest Corp. 7,400 122
Banknorth Group, Inc. (a) 4,600 70
Bay View Capital Corp. 1,900 19
Bedford Property Investors, Inc. 1,221 23
Boston Properties, Inc. 367 14
BRE Properties, Inc. 708 20
Brookline Bancorp, Inc. 1,700 19
BSB Bancorp, Inc. 800 16
Burnham Pacific Properties, Inc. 3,100 21
Cabot Industrial Trust 900 18
Capital Automotive 4,000 56
Capitol Federal Financial 5,400 60
CarrAmerica Realty Corp. 800 21
Cathay Bancorp, Inc. 400 18
CBL & Associates Properties, Inc. 2,400 60
City National Corp. 1,600 56
Commerce Bancorp, Inc. 195 9
Commerce Bancshares, Inc. 500 15
Commerce Group, Inc. 3,400 100
Commonwealth Bancorp, Inc. 1,500 18
Community Trust Bancorp, Inc. 340 6
Compass Bancshares, Inc. 800 14
Cornerstone Realty Income Trust, Inc. 4,200 42
Cousins Properties, Inc. 1,900 73
Crescent Real Estate Equities, Inc. 1,273 26
Dain Rauscher Corp. 5,300 350
Digital Insight Corp. New (a) 300 11
Dime Community Bancorp, Inc. 3,200 51
Doral Financial Corp. 3,400 39
Downey Financial Corp. 4,300 125
Duke Realty Investments, Inc. 2,086 47
DVI, Inc. (a) 4,200 67
East West Bancorp, Inc. 1,400 20
EastGroup Properties, Inc. 2,100 44
Eaton Vance Corp. 700 32
Edwards (A.G.), Inc. 2,500 98
Enhance Financial Services
Group, Inc. 1,400 20
Federated Investors, Inc. Class B 1,800 63
FelCor Lodging Trust, Inc. 800 15
Fidelity National Financial, Inc. 1,400 26
Financial Federal Corp. (a) 900 16
FINOVA Group, Inc. 800 10
First Federal Capital Corp. 1,700 18
First Industrial Realty Trust, Inc. 5,700 168
FirstFed Financial Corp. (a) 6,700 95
Fulton Financial Corp. 400 7
Gallagher (Arthur J.) & Co. 700 29
GBC Bancorp 1,300 38
Golden State Bancorp, Inc. (a) 2,900 52
Great Lakes, Inc. 1,000 17
Greater Bay Bancorp 3,500 164
Greenpoint Financial Corp. 14,900 279
16 Aggressive Equity Fund
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Hamilton Bancorp, Inc. (a) 2,300 40
Heller Financial, Inc. Class A 7,600 156
Hibernia Corp. Class A 6,500 71
Highwoods Properties, Inc. 800 19
Hospitality Properties Trust 3,313 75
HRPT Properties Trust 10,000 61
Hudson United Bancorp 600 13
Imperial Bancorp (a) 17,046 266
IndyMac Mortgage Holdings, Inc. 1,700 23
Investment Technology Group (a) 2,300 98
Investors Financial Services Corp. 2,600 103
IRT Property Co. 2,800 24
John Nuveen & Co., Inc. Class A 1,900 80
Jones Lang Lasalle, Inc. New (a) 200 3
Knight Trading Group, Inc. (a) 1,800 54
LandAmerica Financial Group, Inc. 900 21
LaSalle Hotel Properties 1,900 27
Legg Mason, Inc. 1,600 80
Leucadia National Corp. 7,500 171
Liberty Financial Cos., Inc. 1,000 22
Liberty Property Trust 2,200 57
LNR Property Corp. 8,100 158
MAF Bancorp, Inc. 2,700 49
Mercantile Bankshares Corp. 800 24
Metris Companies, Inc. 2,750 69
MONY Group, Inc. (The) 5,800 196
Morgan Keegan, Inc. 2,600 38
National Commerce Bancorp 17,300 278
National Discount Brokers
Group, Inc. (a) 1,000 32
National Western Life Insurance Co.
Class A (a) 300 21
NCO Group, Inc. (a) 600 14
New Century Financial Corp. (a) 2,300 20
North Fork Bancorp, Inc. 1,000 15
OceanFirst Financial Corp. 2,900 53
Old Republic International Corp. 14,200 234
Pacific Gulf Properties, Inc. 1,700 43
Parkway Properties, Inc. 800 24
Penn Treaty American Corp. (a) 2,700 46
Pennsylvania Real Estate
Investment Trust 1,000 17
PFF Bancorp, Inc. 3,100 56
Phoenix Investment Partners, Ltd. 2,400 25
PMI Group, Inc. (The) 8,700 413
Presidential Life Corp. 1,600 22
Profit Recovery Group
International, Inc. (The) (a) 1,100 18
Provident Financial Group, Inc. 600 14
Queens County Bancorp 600 11
Radian Group, Inc. 8,400 435
Raymond James Financial, Inc. 2,200 50
Regency Realty Corp. 2,100 50
Republic Bancorp, Inc. 1,100 9
RFS Hotel Investors, Inc. 5,100 60
Richmond County Financial Corp. 6,700 128
RLI Corp. 600 21
S&P Mid-Cap 400
Depository Receipts 1,400 124
SAFECO Corp. 16,100 320
SEI Corp. 1,200 49
Senior Housing Properties Trust 2,900 21
Silicon Valley Bancshares (a) 39,700 1,692
SL Green Realty Corp. 6,000 161
Southwest Bancorporation of
Texas, Inc. (a) 700 15
Southwest Securities Group, Inc. 3,400 127
Spieker Properties, Inc. 1,530 70
Stancorp Financial Group, Inc. 5,000 161
State Auto Financial Corp. 2,700 32
State Street Corp. 3,700 392
Staten Island Bancorp, Inc. 6,000 106
Stewart Information Services Corp. 3,300 48
Susquehanna Bancshares, Inc. 1,000 14
TCF Financial Corp. 800 21
Texas Regional Bancshares,
Inc. Class A 1,400 36
Thornburg Mortgage Asset Corp. 4,400 32
Triad Guaranty, Inc. (a) 1,400 32
Tucker Anthony Sutro Corp. 3,500 63
UICI (a) 3,000 20
Unitrin, Inc. 2,400 71
Vornado Realty Trust 420 15
Waddell & Reed Financial, Inc.
Class A 500 16
Weingarten Realty Investors 1,500 60
Wells Fargo Co. 405 15
WFS Financial, Inc. (a) 1,400 23
Whitney Holding Corp. 1,300 43
----------
12,052
----------
HEALTH CARE - 9.8%
Abgenix, Inc. (a) 5,100 611
Advance Paradigm, Inc. (a) 800 16
Affymetrix, Inc. (a) 500 83
Alkermes, Inc. (a) 2,000 94
Alpharma, Inc. Class A 1,700 106
ALZA Corp. (a) 600 35
AmeriSource Health Corp. Class A (a) 1,800 56
Andrx Corp. (a) 1,000 64
ArthroCare Corp. (a) 350 19
Aurora Biosciences Corp. (a) 750 51
Aggressive Equity Fund 17
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Avigen, Inc. (a) 350 15
Bard (C.R.), Inc. 800 39
Barr Laboratories, Inc. (a) 600 27
Bausch & Lomb, Inc. 200 15
Bindley Western Industries, Inc. 1,666 44
Biomatrix, Inc. (a) 700 16
Celera Genomics (a) 600 56
Celgene Corp. (a) 2,250 132
Cephalon, Inc. (a) 300 18
Cerus Corp. (a) 200 10
Chiron Corp. (a) 600 29
Conmed Corp. (a) 600 15
Cooper Companies, Inc. 1,000 36
Cor Therapeutics, Inc. (a) 650 55
Corixa Corp. (a) 13,600 584
Cubist Pharmaceuticals, Inc. (a) 1,400 69
CuraGen Corp. (a) 1,350 51
Cytyc Corp. (a) 800 43
Datascope Corp. 3,400 122
Diagnostic Products Corp. 1,000 32
Dura Pharmaceuticals, Inc. (a) 1,400 20
Emisphere Technologies, Inc. (a) 350 15
Enzo Biochem, Inc. (a) 500 35
Enzon, Inc. (a) 1,050 45
First Health Group Corp. (a) 12,450 411
Foundation Health Systems, Inc. (a) 3,100 40
Genome Therapeutics Corp. (a) 500 15
Genzyme Corp. (a) 900 54
Gilead Sciences, Inc. (a) 800 57
Health Management Associates
Class A (a) 4,600 60
Human Genome Sciences, Inc. (a) 6,900 920
ICOS Corp. (a) 500 22
IDEC Pharmaceuticals Corp. (a) 500 59
Imclone Systems, Inc. (a) 200 15
Immunomedics, Inc. (a) 700 17
Incyte Pharmaceuticals, Inc. (a) 3,500 287
Inhale Therapeutic Systems, Inc. (a) 300 30
Invacare Corp. 600 16
IVAX Corp. (a) 14,800 614
Jones Pharma, Inc. 16,250 648
King Pharmaceuticals, Inc. (a) 1,575 69
Lincare Holdings, Inc. (a) 600 15
Mallinckrodt, Inc. 10,700 465
Maxim Pharmaceuticals, Inc. (a) 1,100 57
Maxygen Inc. New (a) 600 34
Medarex, Inc. (a) 9,600 811
MedicaLogic/Medscape, Inc. New (a) 1,600 15
Medicis Pharmaceutical Corp.
Class A. (a) 1,600 91
Medquist, Inc. (a) 500 17
Mentor Corp. 1,000 27
Millennium Pharmaceuticals, Inc. (a) 800 89
MiniMed, Inc. (a) 300 35
Mylan Laboratories, Inc. 1,700 31
Myriad Genetics, Inc. (a) 200 30
Nanogen, Inc. (a) 300 13
NBTY, Inc. (a) 2,600 16
Noven Pharmaceuticals, Inc. (a) 500 15
Ocular Sciences, Inc. (a) 1,400 16
Orthodontic Centers of
America, Inc. (a) 2,200 50
Oxford Health Plans, Inc. (a) 3,800 90
PacifiCare Health Systems, Inc. (a) 1,400 84
Patterson Dental Co. (a) 1,450 74
Perrigo Co. (a) 3,700 23
Pharmacyclics, Inc. (a) 300 18
PolyMedica Corp. (a) 200 9
Priority Healthcare Corp. Class B (a) 400 30
Professional Detailing, Inc. (a) 500 17
Protein Design Labs, Inc. (a) 500 82
Quintiles Transnational Corp. New (a) 1,500 21
Renal Care Group, Inc. (a) 1,500 37
Respironics, Inc. (a) 300 5
SangStat Medical Corp. New (a) 300 9
SonoSite, Inc. (a) 4,900 141
St. Jude Medical, Inc. (a) 1,200 55
SuperGen, Inc. (a) 300 11
Sybron International Corp. (a) 1,700 34
Syncor International Corp. (a) 1,100 79
Techne Corp. (a) 600 79
Tenet Healthcare Corp. 23,000 621
Theragenics Corp. (a) 1,700 15
Titan Pharmaceuticals, Inc. (a) 400 17
Trigon Healthcare, Inc. (a) 1,800 93
Trimeris, Inc. (a) 400 28
United Therapeutics Corp. New (a) 400 43
Universal Health Services,
Inc. Class B (a) 400 26
Varian Medical Systems, Inc. (a) 7,700 301
Vertex Pharmaceuticals, Inc. (a) 300 32
VISX, Inc. (a) 900 25
Vital Signs, Inc. 1,800 33
Watson Pharmaceuticals, Inc. (a) 600 32
Zoll Medical Corp. (a) 200 11
----------
9,994
----------
18 Aggressive Equity Fund
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
INTEGRATED OILS - 0.3%
Ashland, Inc. 1,600 56
Cabot Oil & Gas Corp. 4,700 100
Cross Timbers Oil Co. 3,800 84
Lyondell Petrochemical Co. 1,300 22
Tesoro Petroleum Corp. (a) 2,400 24
----------
286
----------
MATERIALS AND PROCESSING - 6.0%
Advanced Energy Industries, Inc. (a) 500 29
Albany International Corp. Class A (a) 2,700 39
Albemarle Corp. 3,800 75
Allegheny Technologies, Inc. 6,000 108
AMCOL International Corp. 1,700 28
American Standard Cos., Inc. (a) 1,900 78
Arch Chemicals, Inc. 900 20
Bemis Co., Inc. 800 27
Boise Cascade Corp. 800 21
Bowater, Inc. 700 31
Brady Corp. Class A 350 11
Cambrex Corp. 1,300 59
Centex Construction Products, Inc. 700 16
Chemed Corp. 3,400 96
Cleveland-Cliffs, Inc. 700 18
Commercial Metals Co. 2,500 69
Crompton Corp. (a) 2,600 32
Cytec Industries, Inc. (a) 2,200 54
Delta and Pine Land Co. 1,200 30
Eastman Chemical Co. 1,300 62
Engelhard Corp. 2,800 48
FMC Corp. (a) 1,100 64
Freeport-McMoRan Copper & Gold, Inc.
Class B (a) 5,200 48
Geon Co. 3,600 67
Georgia Gulf Corp. 14,900 310
Georgia-Pacific Corp. (Timber Group) 1,500 32
Granite Construction, Inc. 5,800 142
Greif Bros. Corp. Class A 900 28
Harland (John H.) Co. 3,600 54
Harsco Corp. 5,400 138
Hercules, Inc. 800 11
Hughes Supply, Inc. 3,200 63
Insituform Technologies, Inc.
Class A (a) 900 25
Kaufman & Broad Home Corp. 13,400 265
Lafarge Corp. 4,700 99
Lone Star Technologies, Inc. (a) 1,700 79
Louisiana Pacific Corp. 25,100 273
LTV Corp. 10,000 29
Lubrizol Corp. 5,700 120
Mead Corp. 2,300 58
Methode Electronics, Inc. Class A 350 14
Millennium Chemicals, Inc. 7,800 133
Mueller Industries, Inc. (a) 5,500 154
NCI Building Systems, Inc. (a) 1,600 32
Newmont Mining Corp. 1,600 35
NL Industries, Inc. 1,300 20
Nortek, Inc. (a) 1,700 34
Nucor Corp. 800 27
Olin Corp. 13,500 223
Owens-Illinois, Inc. (a) 1,900 22
Paxar Corp. (a) 4,100 49
Phelps Dodge Corp. 400 15
Pitt-Des Moines, Inc. 1,000 19
Pope & Talbot, Inc. 3,800 61
Precision Castparts Corp. 10,200 462
Rayonier, Inc. 8,100 291
Reliance Steel & Aluminum Co. 1,450 28
Ryerson Tull, Inc. 1,100 11
Shaw Group, Inc. (The) (a) 1,000 47
Sherwin-Williams Co. 1,300 28
Sigma Aldrich Corp. 8,000 234
Simpson Manufacturing Co., Inc. (a) 400 19
Smurfit-Stone Container Corp. (a) 1,600 21
Sonoco Products Co. 700 14
Spartech Corp. 4,300 116
St. Joe Co. (The) 1,100 33
Standex International Corp. 1,000 16
Symyx Technologies, Inc. New (a) 400 17
Temple-Inland, Inc. 500 21
Texas Industries, Inc. 4,700 136
Timken Co. 1,500 28
USG Corp. 2,000 61
USX-U.S. Steel Group 2,400 45
Valence Technology, Inc. (a) 1,500 28
Valmont Industries, Inc. 1,500 30
Valspar Corp. 900 29
W.R. Grace & Co. (a) 16,700 201
Waters Corp. (a) 1,300 161
Webb (Del E.) Corp. (a) 5,700 86
Westvaco Corp. 10,800 267
Willamette Industries, Inc. 1,400 37
----------
6,161
----------
MISCELLANEOUS - 0.1%
Adminstaff, Inc. (a) 300 19
Agribrands International, Inc. (a) 1,500 63
F.Y.I., Inc. (a) 1,300 44
----------
126
----------
Aggressive Equity Fund 19
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
OTHER ENERGY - 6.0%
Atwood Oceanics, Inc. (a) 700 31
BJ Services Co. (a) 1,200 75
Brown (Tom), Inc. (a) 2,700 62
Cleco Corp. 2,900 97
Cooper Cameron Corp. (a) 1,200 79
Devon Energy Corp. 1,300 73
EEX Corp. (a) 6,200 36
ENSCO International, Inc. 2,800 100
EOG Resources, Inc. 1,000 34
Forest Oil Corp. (a) 11,500 183
Global Marine, Inc. (a) 3,000 85
Hanover Compressor Co. (a) 5,400 205
Helmerich & Payne, Inc. 500 19
HS Resources, Inc. (a) 1,200 36
Key Energy Group, Inc. (a) 3,200 31
Kinder Morgan, Inc. 1,400 48
Marine Drilling Co, Inc. (a) 500 14
Nabors Industries, Inc. (a) 1,000 42
Newfield Exploration Co. (a) 3,400 133
Noble Affiliates, Inc. 10,300 384
Noble Drilling Corp. (a) 14,300 589
Northwestern Corp. 2,200 51
Ocean Energy, Inc. (a) 1,400 20
Octel Corp. (a) 1,900 15
ONEOK, Inc. 4,900 127
Patterson Energy, Inc. (a) 1,200 34
Pioneer Natural Resources Co. (a) 14,500 185
Pogo Producing Co. 3,000 66
Pride International, Inc. (a) 7,800 193
Rowan Cos., Inc. (a) 1,600 49
Seacor Holdings, Inc. (a) 1,050 41
Sempra Energy 8,400 143
Smith International, Inc. (a) 7,000 510
Stone Energy Corp. (a) 900 54
Sunoco, Inc. 500 15
Superior Energy Services, Inc. 1,900 20
Tidewater, Inc. 1,300 47
Ultramar Diamond Shamrock Corp. 15,100 375
UniSource Energy Corp. 10,800 162
Unit Corp. (a) 1,300 18
UTI Energy Corp. (a) 800 32
Valero Energy Corp. 28,300 898
Varco International, Inc. (a) 17,701 411
Vintage Petroleum, Inc. 10,500 236
Weatherford International, Inc. (a) 800 31
----------
6,089
----------
PRODUCER DURABLES - 5.9%
Alpine Group, Inc. (a) 2,200 15
American Power Conversion Corp. (a) 4,900 200
ANTEC Corp. (a) 400 17
Applied Industrial Technology, Inc. 4,100 67
Applied Power, Inc. Class A 5,300 178
Asyst Technologies, Inc. (a) 1,550 53
ATMI, Inc. (a) 7,600 353
Belden, Inc. 300 8
Briggs & Stratton Corp. 700 24
C-COR Electronics, Inc. (a) 600 16
Cognex Corp. (a) 1,300 67
Cohu, Inc. 600 16
Credence Systems Corp. (a) 1,800 99
Crossmann Communities, Inc. (a) 1,500 25
CTS Corp. 500 23
Cummins Engine Co., Inc. 10,800 294
D.R. Horton, Inc. 20,200 274
Detroit Diesel Corp. 1,700 25
Donaldson Co., Inc. 4,500 89
Electroglas, Inc. (a) 600 13
EMCOR Group, Inc. (a) 3,600 83
ESCO Electronics Corp. (a) 1,300 22
Franklin Electric Co., Inc. 200 13
GaSonics International Corp. (a) 250 10
GenCorp, Inc. 7,800 62
General Cable Corp. 5,700 46
General Semiconductor, Inc. (a) 2,400 35
Gentex Corp. (a) 600 15
Grant Prideco, Inc. (a) 800 20
Helix Technology Corp. 600 23
JLG Industries, Inc. 5,300 63
Kaman Corp. Class A 5,600 59
Kennametal, Inc. 800 17
Kent Electronics Corp. (a) 1,800 54
Kulicke & Soffa Industries, Inc. (a) 1,200 71
Lennar Corp. 2,600 53
Littlefuse, Inc. (a) 6,600 323
Litton Industries, Inc. (a) 500 21
LTX Corp. (a) 6,700 234
M.D.C. Holdings, Inc. 4,700 88
Mettler-Toledo International, Inc. (a) 1,200 48
Micrel, Inc. (a) 2,120 92
Millipore Corp. 1,700 128
Moog, Inc. (a) 900 24
National-Oilwell, Inc. (a) 6,200 204
Novellus Systems, Inc. (a) 3,600 204
NVR, Inc. (a) 1,600 91
Pall Corp. 800 15
Plexus Corp. (a) 900 102
Power Integrations, Inc. (a) 700 16
20 Aggressive Equity Fund
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Power-One, Inc. (a) 600 68
Presstek, Inc. (a) 800 13
PRI Automation, Inc. (a) 650 42
Primex Technologies, Inc. 1,600 35
Pulte Corp. 12,000 260
Republic Services, Inc. (a) 33,200 531
Ryland Group, Inc. 1,600 35
Sawtek, Inc. (a) 800 46
Sensormatic Electronics Corp. (a) 1,100 17
SPX Corp. (a) 600 73
Standard Pacific Corp. 6,600 66
Steelcase, Inc. Class A 1,300 22
Technitrol, Inc. 800 78
Tecumseh Products Co. Class A 3,500 134
Tektronix, Inc. 200 15
Terex Corp. (a) 7,400 105
Thermo Electron Corp. (a) 1,200 25
Toll Brothers, Inc. (a) 7,000 144
Triquint Semiconductor, Inc. (a) 1,700 163
Varian, Inc. New (a) 1,000 46
Watts Industries, Inc. Class A 1,800 22
WESCO International, Inc. (a) 1,700 15
----------
6,047
----------
TECHNOLOGY - 24.9%
Actel Corp. (a) 1,100 50
Acxiom Corp. (a) 700 20
Adaptec, Inc. (a) 1,600 36
Adtran, Inc. (a) 800 48
Advanced Digital Information (a) 2,000 32
Advanced Fibre Communications (a) 3,300 149
Advanced Radio Telecom Corp. (a) 8,200 117
Advent Software, Inc. (a) 1,400 91
Aeroflex, Inc. 900 45
Affiliated Computer Services, Inc.
Class A (a) 700 23
Allaire Corp. (a) 1,300 48
Alliant Techsystems, Inc. (a) 400 27
Allscripts, Inc. New (a) 300 7
Alpha Industries, Inc. (a) 1,000 44
Amkor Technology, Inc. (a) 2,600 92
Amphenol Corp. Class A (a) 5,650 374
ANADIGICS, Inc. (a) 1,250 43
Anaren Microwave, Inc. (a) 537 70
Andrew Corp. (a) 1,450 49
Anixter International, Inc. (a) 10,900 289
AnswerThink Consulting
Group, Inc. (a) 200 3
Apex, Inc. (a) 1,100 48
Applied Micro Circuits Corp. (a) 1,300 128
AppNet, Inc. New (a) 700 25
Arrow Electronics, Inc. (a) 10,300 319
ASE Test, Ltd. (a) 17,000 499
Ask Jeeves, Inc. (a) 500 9
Aspen Technology, Inc. (a) 400 15
Atmel Corp. (a) 6,100 225
Audiovox Corp. Class A (a) 3,200 70
Autodesk, Inc. 600 21
Avnet, Inc. 10,200 604
AVX Corp. 15,300 351
AXENT Technologies, Inc. (a) 4,400 109
Barra, Inc. (a) 1,040 52
BEA Systems, Inc. (a) 4,300 212
BISYS Group, Inc. (a) 300 18
Black Box Corp. (a) 1,100 87
Brio Technology, Inc. (a) 600 13
Broadbase Software, Inc. (a) 750 23
BroadVision, Inc. (a) 20,375 1,034
Brocade Communications
Systems, Inc. (a) 600 110
Burr-Brown Corp. (a) 1,700 147
C-Cube Microsystems, Inc. New (a) 700 14
Cabletron Systems, Inc. (a) 1,900 48
CACI International, Inc. Class A (a) 800 15
Cadence Design Systems, Inc. (a) 4,100 84
Caliper Technologies Corp. New (a) 200 9
Carrier Access Corp. (a) 500 26
CDW Computer Centers, Inc. (a) 4,334 271
Ceridian Corp. (a) 1,400 34
CheckFree Holdings Corp. (a) 400 21
Ciber, Inc. (a) 1,100 15
Cirrus Logic, Inc. (a) 19,300 309
Clarent Corp. (a) 4,802 343
Clarus Corp. (a) 300 12
CNET Networks, Inc. (a) 5,800 142
Coherent, Inc. (a) 400 33
Comdisco, Inc. 21,300 475
Compuware Corp. (a) 3,900 40
Conexant Systems, Inc. (a) 3,600 175
Cooper Industries, Inc. 800 26
Covad Communications
Group, Inc. (a) 2,350 38
Cree, Inc. (a) 850 114
CSG Systems International, Inc. (a) 600 34
Cybex Computer Products Corp. (a) 650 27
Cymer, Inc. (a) 1,700 81
Cypress Semiconductor Corp. (a) 2,300 97
Dallas Semiconductor Corp. 2,500 102
Dendrite International, Inc. (a) 800 27
Digex, Inc. (a) 7,300 496
Digital Island, Inc. New (a) 1,250 61
Aggressive Equity Fund 21
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Ditech Communications
Corp. New (a) 1,200 113
Documentum, Inc. (a) 1,200 107
DSP Group, Inc. (a) 1,700 97
DST Systems, Inc. (a) 800 61
E-Tek Dynamics, Inc. (a) 700 185
E.piphany, Inc. New (a) 500 54
EarthLink, Inc. (a) 902 14
Elantec Semiconductor, Inc. (a) 900 63
Electro Rent Corp. (a) 2,200 25
Electro Scientific Industries, Inc. (a) 800 35
Electronic Arts, Inc. (a) 700 51
Emulex Corp. (a) 400 26
Entrust Technologies, Inc. (a) 1,000 83
ESS Technology, Inc. (a) 900 13
Esterline Corp. (a) 1,500 22
Exar Corp. (a) 200 17
Exchange Applications, Inc. (a) 800 21
Exodus Communications, Inc. (a) 6,400 295
FactSet Research Systems, Inc. 600 17
FileNet Corp. (a) 600 11
FirePond, Inc. New (a) 1,000 36
Go2Net, Inc. (a) 1,000 50
GTECH Holdings Corp. (a) 2,500 57
Haemonetics Corp. (a) 2,600 55
Harmonic Lightwaves, Inc. (a) 596 15
HNC Software, Inc. (a) 6,400 395
Hyperion Solutions Corp. (a) 500 16
IDT Corp. (a) 600 20
Illuminet Holdings, Inc. New (a) 950 48
Imation Corp. (a) 6,500 191
InFocus Corp. (a) 800 26
Informatica Corp. (a) 400 33
Informix Corp. (a) 17,700 132
InfoSpace.com, Inc. (a) 3,000 166
Ingram Micro, Inc. Class A (a) 900 16
Insight Enterprises, Inc. (a) 1,800 107
Integrated Device Technology, Inc. (a) 600 36
Integrated Silicon Solution, Inc. (a) 1,750 66
Interactive Intelligence, Inc. New (a) 700 26
Intergraph Corp. (a) 5,200 39
Interliant, Inc. New (a) 20,400 476
Internap Network Services Corp. (a) 1,500 62
International Rectifier Corp. (a) 9,250 518
Intertrust Technologies Corp. (a) 1,650 34
InterWorld Corp. New (a) 100 2
Interwoven, Inc. (a) 775 85
IntraNet Solutions, Inc. (a) 1,800 69
ISS Group, Inc. (a) 1,300 128
ITXC Corp. New (a) 350 12
IXL Enterprises, Inc. (a) 1,050 16
J.D. Edwards & Co. (a) 1,000 15
Jabil Circuit, Inc. (a) 5,700 283
JDA Software Group, Inc. (a) 1,000 19
Kana Communications, Inc. (a) 1,000 62
Kemet Corp. (a) 18,500 464
Keynote Systems, Inc. (a) 325 23
Kopin Corp. (a) 1,000 69
Lam Research Corp. (a) 4,000 150
Lattice Semiconductor Corp. (a) 1,900 131
Legato Systems, Inc. (a) 1,100 17
Macromedia, Inc. (a) 500 48
Macrovision Corp. (a) 1,300 83
MarchFirst, Inc. (a) 5,200 95
Mattson Technology, Inc. (a) 600 20
Mercator Software, Inc. (a) 100 7
Mercury Computer Systems, Inc. (a) 400 13
Mercury Interactive Corp. (a) 2,800 271
Microchip Technology, Inc. (a) 3,150 184
Micromuse, Inc. (a) 1,000 165
MicroStrategy, Inc. (a) 800 24
MMC Networks, Inc. (a) 500 27
National Computer Systems, Inc. 1,800 88
National Instruments Corp. (a) 1,150 50
Natural Microsystems Corp. (a) 800 90
NCR Corp. (a) 1,200 47
Netegrity, Inc. (a) 400 30
NetIQ Corp. (a) 800 48
Netopia, Inc. (a) 800 32
Network Appliance, Inc. (a) 6,300 507
Network Associates, Inc. (a) 12,500 255
New Era of Networks, Inc. (a) 500 21
Newport Corp. (a) 200 21
NVIDIA Corp. (a) 1,000 64
OnDisplay, Inc. (a) 200 16
Optimal Robotics Corp. New (a) 7,600 291
Paradyne Networks, Inc. New (a) 300 10
Parametric Technology Corp. (a) 2,600 28
Park Electrochemical Corp. 1,300 47
PeopleSoft, Inc. (a) 4,700 78
Peregrine Systems, Inc. (a) 1,200 42
Pericom Semiconductor Corp. (a) 4,900 337
PerkinElmer, Inc. 800 53
Perot Systems Corp. Class A (a) 4,200 46
Phoenix Technologies, Ltd. (a) 1,000 16
Pinnacle Systems, Inc. (a) 1,150 26
Pioneer-Standard Electronics, Inc. 3,600 53
PMC - Sierra, Inc. (a) 2,900 515
Polycom, Inc. (a) 400 38
Portal Software, Inc. (a) 10,594 677
Predictive Systems, Inc. New (a) 200 7
Progress Software Corp. (a) 900 16
22 Aggressive Equity Fund
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Proxicom, Inc. (a) 1,000 48
Proxim, Inc. (a) 1,000 98
Puma Technology, Inc. (a) 700 19
PurchasePro.com, Inc. New (a) 300 12
QLogic Corp. (a) 2,600 172
Quantum Corp. - DLT & Storage Systems
(a) 1,800 17
Quantum Corp. - Hard Disk Drive (a) 50,600 560
Rare Medium Group, Inc. (a) 2,200 35
Rational Software Corp. (a) 2,100 195
Redback Networks, Inc. (a) 1,200 215
Register.com, Inc. New (a) 1,400 43
REMEC, Inc. (a) 4,400 184
Remedy Corp. (a) 1,550 86
RF Micro Devices, Inc. (a) 1,800 158
Rhythms NetConnections, Inc. (a) 4,200 53
Robotic Vision Systems, Inc. (a) 3,000 55
Rogers Corp. (a) 1,000 35
RSA Security, Inc. (a) 1,500 104
Safeguard Scientifics, Inc. (a) 1,500 48
Sandisk Corp. (a) 6,680 409
Sanmina Corp. (a) 560 48
Sapient Corp. (a) 1,300 139
SCI Systems, Inc. (a) 3,300 129
Scientific-Atlanta, Inc. 3,400 253
Semtech Corp. (a) 1,400 106
Silicon Image, Inc. New (a) 300 15
Silicon Storage Technology, Inc. (a) 500 44
SilverStream Software, Inc. New (a) 200 12
SmartServ Online, Inc. (a) 400 28
Software.com, Inc. New (a) 1,000 130
SonicWALL, Inc. New (a) 400 35
StarTek, Inc. (a) 300 15
Stoneridge, Inc. (a) 1,800 16
Sybase, Inc. (a) 1,600 37
Symantec Corp. (a) 3,500 189
Symbol Technologies, Inc. 2,275 123
Synopsys, Inc. (a) 700 24
Tech Data Corp. (a) 1,200 52
Tekelec, Inc. (a) 1,000 48
TelCom Semiconductor, Inc. (a) 500 20
Three-Five Systems, Inc. (a) 1,100 65
Titan Corp. (a) 1,500 67
Trimble Navigation, Ltd. (a) 900 44
Tumbleweed Communications
Corp. New (a) 8,500 432
Universal Electronics, Inc. (a) 250 6
USinternetworking, Inc. (a) 900 18
VA Linux Systems, Inc. New (a) 13,100 563
Varian Semiconductor Equipment
Associates, Inc. (a) 2,925 184
VeriSign, Inc. (a) 1,300 229
Verity, Inc. (a) 650 25
VerticalNet, Inc. (a) 2,600 96
Viant Corp. New (a) 1,500 44
ViaSat, Inc. (a) 200 11
Vignette Corp. (a) 1,800 94
Vishay Intertechnology, Inc. (a) 7,900 300
Volt Information Sciences, Inc. (a) 800 26
Wave Systems Corp. (a) 600 9
Westell Technologies, Inc. (a) 1,100 16
Wind River Systems, Inc. (a) 1,750 66
Wink Communications, Inc. New (a) 500 15
Xircom, Inc. (a) 4,900 233
Zebra Technologies Corp. Class A (a) 400 18
Zoran Corp. (a) 500 34
----------
25,510
----------
UTILITIES - 10.4%
Adelphia Business Solutions, Inc. (a) 11,000 254
Allegiance Telecom, Inc. (a) 1,800 115
Alliant Energy Corp. 12,300 320
American Tower Corp. Class A (a) 600 25
Aspect Communications Corp. (a) 1,700 67
Black Hills Corp. 1,700 38
BroadWing, Inc. (a) 800 21
C&D Technologies, Inc. 1,200 68
Cable Design Technologies Corp. (a) 900 30
Calpine Corp. (a) 15,200 999
CapRock Communications
Corp. New (a) 900 18
Cascade Natural Gas Corp. 1,200 20
CenturyTel, Inc. 1,200 35
CH Energy Group, Inc. 2,900 98
Citizens Communications Co. (a) 4,000 69
Commonwealth Telephone Enterprises, Inc.
(a) 200 9
CommScope, Inc. (a) 2,300 94
Copper Mountain Networks, Inc. (a) 300 26
Digital Microwave Corp. (a) 8,250 314
DQE, Inc. 13,200 521
Dycom Industries, Inc. (a) 8,000 368
El Paso Electric Co. (a) 12,400 139
Energen Corp. 5,200 113
Energy East Corp. 2,800 53
Finisar Corp. (a) 1,500 39
Hawaiian Electric Industries, Inc. 10,300 338
ICG Communications, Inc. (a) 1,300 29
Idacorp, Inc. 7,000 226
InterDigital Communications Corp. (a) 800 13
Intermedia Communications, Inc. (a) 1,900 56
IPALCO Enterprises, Inc. 1,200 24
Aggressive Equity Fund 23
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
MasTec, Inc. (a) 5,500 210
McLeodUSA, Inc. (a) 4,300 89
MRV Communications, Inc. (a) 1,400 94
New Jersey Resources Corp. 1,400 53
Niagara Mohawk Holdings, Inc. (a) 8,300 116
Northwest Natural Gas Co. 2,400 54
NSTAR 800 33
OGE Energy Corp. 9,800 181
Piedmont Natural Gas Co., Inc. 2,000 53
Pinnacle Holdings, Inc. (a) 8,100 437
Pinnacle West Capital Corp. 14,400 488
Potomac Electric Power Co. 1,100 28
Powertel, Inc. (a) 1,000 71
Powerwave Technologies, Inc. (a) 1,750 77
Price Communications Corp. (a) 1,800 42
Primus Telecommunications
Group, Inc. (a) 700 17
Public Service Co. of New Mexico 12,000 185
Puget Sound Energy, Inc. 4,500 96
Quanta Services, Inc. (a) 9,450 520
RCN Corp. (a) 11,600 294
RGS Energy Group, Inc. 6,100 136
SBA Communications Corp. (a) 800 42
SCANA Corp. 12,600 304
SDL, Inc. (a) 1,900 542
South Jersey Industries, Inc. 1,500 39
TECO Energy, Inc. 1,400 28
Telephone & Data Systems, Inc. 800 80
Terayon Communication
Systems, Inc. (a) 1,300 83
Time Warner Telecom, Inc.
Class A (a) 4,400 284
Tollgrade Communications, Inc. (a) 500 66
TranSwitch Corp. (a) 1,800 139
Tut Systems, Inc. (a) 1,300 74
United Illuminating Co. 3,900 171
UtiliCorp United, Inc. 11,500 229
VoiceStream Wireless Corp. (a) 1,591 185
West TeleServices Corp. (a) 800 20
Western Wireless Corp. Class A (a) 8,000 436
WinStar Communications, Inc. (a) 2,100 72
WPS Resources Corp. 2,700 81
----------
10,688
----------
TOTAL COMMON STOCKS
(cost $86,357) 94,634
----------
SHORT-TERM INVESTMENTS - 7.5%
Frank Russell Investment Company
Money Market Fund,
due on demand (b) 6,468 6,468
United States Treasury Bills (c)(d)
5.94% due 12/21/00 1,200 1,166
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $7,634) 7,634
----------
TOTAL INVESTMENTS - 100.0%
(identified cost $93,991) 102,268
OTHER ASSETS AND LIABILITIES,
NET - 0.0% 23
----------
NET ASSETS - 100.0% 102,291
==========
(a) Nonincome-producing security.
(b) At cost, which approximates market.
(c) Held as collateral in connection with futures contracts purchased by the
Fund.
(d) Rate noted is yield-to-maturity from date of acquisition.
FUTURES CONTRACTS
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
--------- --------------
S&P 500 Index
expiration date 09/00 8 $ (30)
S&P 400 Midcap Index
expiration date 09/00 21 (165)
--------------
Total Unrealized Appreciation
(Depreciation) on Open
Futures Contracts Purchased $ (195)
==============
See accompanying notes which are an integral part of the financial statements.
24 Aggressive Equity Fund
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) June 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $93,991) ................................ $ 102,268
Receivables:
Dividends ...................................................................... 107
Investments sold ............................................................... 4,203
Fund shares sold ............................................................... 43
Deferred organization expenses .................................................. 2
Prepaid expenses ................................................................ 1
---------
Total assets ................................................................. 106,624
LIABILITIES
Payables:
Investments purchased ............................................. $ 4,090
Fund shares redeemed .............................................. 4
Accrued fees to affiliates ........................................ 9
Other accrued expenses ............................................ 179
Daily variation margin on futures contracts ....................... 51
---------
Total liabilities ............................................................ 4,333
---------
NET ASSETS ...................................................................... $ 102,291
=========
NET ASSETS CONSIST OF:
Undistributed net investment income ............................................. $ 38
Accumulated net realized gain (loss) ........................................... 3,264
Unrealized appreciation (depreciation) on:
Investments .................................................................... 8,277
Futures contracts .............................................................. (195)
Shares of beneficial interest ................................................... 76
Additional paid-in capital ...................................................... 90,831
---------
NET ASSETS ...................................................................... $ 102,291
=========
NET ASSET VALUE, offering and redemption price per share:
($102,291,007 divided by 7,584,285 shares of $.01 par value
shares of beneficial interest outstanding) .................................. $ 13.49
=========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Aggressive Equity Fund 25
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF OPERATIONS
Amounts in thousands Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividends .............................................................. $ 752
Dividends from Money Market Fund ....................................... 46
Interest ............................................................... 19
-------
Total investment income .............................................. 817
EXPENSES
Management fees .............................................. $ 489
Custodian fees ............................................... 123
Transfer agent fees .......................................... 1
Professional fees ............................................ 12
Registration fees ............................................ 9
Trustees' fees ............................................... 8
Amortization of deferred organization expenses ............... 1
Miscellaneous ................................................ 28
-------
Expenses before reductions ................................... 671
Expense reductions ........................................... (21)
-------
Expenses, net ........................................................ 650
-------
Net investment income ................................................... 167
-------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments ..................................................... 3,328
Futures contracts ............................................... 947 4,275
------- -------
Net change in unrealized appreciation (depreciation) on:
Investments ..................................................... (357)
Futures contracts ............................................... (491) (848)
------- -------
Net realized and unrealized gain (loss) ................................ 3,427
-------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ................... $ 3,594
=======
</TABLE>
See accompanying notes which are an integral part of the financial statements.
26 Aggressive Equity Fund
<PAGE>
AGGRESSIVE EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income ................................................. $ 167 $ 221
Net realized gain (loss) .............................................. 4,275 2,030
Net change in unrealized appreciation (depreciation) .................. (848) 6,041
--------- ---------
Net increase (decrease) in net assets from operations ............... 3,594 8,292
--------- ---------
DISTRIBUTIONS
From net investment income ............................................ (171) (193)
From net realized gain ................................................ (2,512) (340)
--------- ---------
Net decrease in net assets from distributions ....................... (2,683) (533)
--------- ---------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ......... 2,230 66,784
--------- ---------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ............................ 3,141 74,543
NET ASSETS
Beginning of period ................................................... 99,150 24,607
--------- ---------
End of period (including undistributed net investment income of
$38 and $42, respectively) .......................................... $ 102,291 $ 99,150
========= =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Aggressive Equity Fund 27
<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,
-----------------------------------
2000* 1999 1998 1997**
---------- --------- --------- ---------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD .............. $ 13.36 $ 12.70 $ 13.45 $ 10.00
---------- --------- --------- ---------
INCOME FROM OPERATIONS
Net investment income (a) ........................ .02 .05 .02 .04
Net realized and unrealized gain (loss) .......... .44 .71 .13 3.45
---------- --------- --------- ---------
Total income from operations ................... .46 .76 .15 3.49
---------- --------- --------- ---------
DISTRIBUTIONS
From net investment income ....................... (.02) (.04) (.02) (.04)
From net realized gain ........................... (.31) (.06) (.88) --
---------- --------- --------- ---------
Total distributions ............................ (.33) (.10) (.90) (.04)
---------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD .................... $ 13.49 $ 13.36 $ 12.70 $ 13.45
========== ========= ========= =========
TOTAL RETURN (%)(b) ............................... 3.41 6.08 1.02 35.07
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in
thousands) ..................................... 102,291 99,150 24,607 15,372
Ratios to average net assets (%)(c):
Operating expenses, net ........................ 1.25 1.25 1.25 1.25
Operating expenses, gross ...................... 1.29 1.34 1.67 2.22
Net investment income .......................... .32 .37 .19 .39
Portfolio turnover rate (%) ...................... 122.12 111.46 79.88 91.56
</TABLE>
* For the six months ended June 30, 2000 (Unaudited).
** For the period January 2, 1997 (commencement of operations) to December 31,
1997.
(a) For periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
28 Aggressive Equity Fund
<PAGE>
NON-US FUND
STATEMENT OF NET ASSETS
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
COMMON STOCKS - 94.2%
AUSTRALIA - 1.5%
AMP, Ltd. 10,909 111
Australia & New Zealand Bank Group,
Ltd 93,724 718
Broken Hill Proprietary Co. 10,134 120
Cable & Wireless Optus, Ltd. (a) 306,700 913
CSR, Ltd. 26,798 74
Goodman Fielder Wattie 279,042 207
Lend Lease Corp. 7,539 96
National Australia Bank, Ltd. 8,200 137
Qantas Airways, Ltd. 149,200 302
Southcorp Holdings, Ltd. 39,500 114
Telstra Corp., Ltd. 41,460 154
Westpac Banking Corp. 12,486 90
WMC, Ltd. 9,313 42
----------
3,078
----------
AUSTRIA - 0.3%
Bank Austria AG 10,333 503
----------
BELGIUM - 0.3%
Agfa Gevaert 1,482 34
Dexia 3,611 543
Real Software 900 58
Ubizen (a) 1,236 44
----------
679
----------
CANADA - 1.0%
Ballard Power Systems, Inc. (a) 3,300 296
Nortel Networks Corp. 21,029 1,450
Rogers Communications, Inc.
Class B (a) 7,800 222
----------
1,968
----------
DENMARK - 0.5%
Jyske Bank A/S (Regd) 13,882 259
Novo Nordisk A/S Series B 791 135
Vestas Wind Systems A/S (a) 16,840 618
----------
1,012
----------
FINLAND - 2.0%
Helsinki Telephone Corp. Series E 7,700 754
Kesko Oyj 24,648 251
Nokia Oyj 47,108 2,404
Sampo Insurance Co., Ltd. Series A 1,125 46
Sonera Group Oyj 13,100 597
Tietoenator Oyj 1,488 49
----------
4,101
----------
FRANCE - 10.6%
Alcatel 11,755 771
Alcatel Alsthom Compagnie Generale
d'Electricite - ADR 15,011 998
Alstom 30,335 820
Assurances Generales de France 10,574 559
Aventis SA 14,084 1,010
AXA 1,386 218
Banque Nationale Paris 11,190 1,077
Bongrain SA 809 212
Carrefour SA 11,752 803
Castorama Dubois 2,640 653
Christian Dior SA 1,195 271
Cie de St. Gobain 2,400 324
CNP Assurances 1,375 47
Coface 565 54
Coflexip SA 538 65
Fimatex (a) 4,986 74
France Telecom SA 1,277 178
Genset (a) 1,127 81
Groupe Danone 2,792 371
L'Air Liquide 5,249 685
Lafarge SA 2,725 212
Lagardere S.C.A 1,760 134
Michelin (Cie Gen) Class B 14,483 465
Renault (Regie Nationale) 2,735 124
Rhodia SA 27,895 469
Rhone-Poulenc SA Class A - ADR 8,859 647
Societe Generale Series A 5,924 356
Societe Television Francaise (a) 7,530 525
Stmicroelectronics N.V 22,836 1,439
Suez Lyonnaise des Eaux SA 10,011 1,754
Thomson-CSF 5,271 208
Total Co. SA Class B 14,866 2,279
Total Fina SA - ADR (a) 11,816 908
Usinor Sacilor 30,652 374
Vivendi 26,107 2,303
----------
21,468
----------
GERMANY - 8.1%
1&1 Aktiengesellschaft & Co. (a) 328 40
Allianz AG 3,180 1,142
BASF AG 7,415 298
Bayer AG 27,582 1,076
Bayerische Hypo Vereinsbank AG 7,700 497
Bayerische Motoren Werke AG 14,514 439
Bilfinger & Berger BAU AG 1,903 25
Brokat Infosystems AG (a) 686 53
Consors Discount Broker AG (a) 6,470 578
DaimlerChrysler AG 3,119 163
30 Non-US Fund
<PAGE>
NON-US FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Deutsche Bank AG 13,848 1,140
Deutsche Lufthansa AG 22,548 521
Deutsche Telekom AG (a) 15,043 859
Dresdner Bank AG (a) 14,730 606
EM.TV & Merchandising AG 3,080 181
Infineon Technologies AG (a) 3,460 273
Intershop Communications AG (a) 176 79
Marschollek, Lautenschlaeger and
Partner AG 160 67
Merck KGAA 19,530 625
Metallgesellschaft AG 17,340 232
Metro AG 2,203 78
Muenchener
Rueckversicherungs-Gesellschaft AG 3,410 1,071
PrimaCom AG (a) 1,280 56
SAP AG (a) 8,187 1,509
Schering AG 3,449 189
Siemens AG 11,645 1,757
Veba AG 46,732 2,253
Volkswagen AG 16,443 623
----------
16,430
----------
GREECE - 0.4%
Hellenic Telecommunication
Organization SA - ADR 59,405 724
----------
HONG KONG - 1.5%
Bank of East Asia, Ltd. 60,154 140
Cheung Kong Holdings, Ltd. 11,598 128
Hong Kong Electric Holding, Ltd. 281,511 906
Hong Kong Telecommunications, Ltd. 54,576 120
Hutchison Whampoa, Ltd. 125,792 1,581
SmarTone Telecommunications Holdings,
Ltd. 36,489 81
Sunevision Holdings, Ltd. (a) 88,597 73
----------
3,029
----------
IRELAND - 0.4%
Bank of Ireland 69,200 433
CRH PLC 4,298 78
Fyffes PLC 1,000 1
Irish Life & Permanent PLC 5,181 44
Jefferson Smurfit Group PLC 42,718 73
Trintech Group PLC (a) 4,355 84
----------
713
----------
ITALY - 5.3%
Banca Nazionale del Lavoro (a) 175,734 619
Banca Pop di Milano 10,429 75
Banca Popolare di Bergamo CV 19,492 361
Banco Fideuram SPA 9,465 143
Bipop Carire SPA (a) 9,320 73
Credito Emiliano SPA 25,914 74
Ente Nazionale Idrocarburi SPA 296,866 1,715
Fiat SPA 3,450 90
Finmeccanica SPA (a) 379,000 521
Istituto Mobiliare Italiano SPA 132,935 2,359
Mediaset SPA 91,148 1,392
Mediolanum SPA 6,066 99
Saipem SPA 15,969 95
Telecom Italia Mobile SPA 117,622 1,202
Telecom Italia SPA 129,462 859
Telecom Italia SPA di Risp 62,528 859
Unicredito Italiano SPA 25,897 123
----------
10,659
----------
JAPAN - 23.3%
77th Bank, Ltd. (The) 59,000 472
Advantest Corp. 500 111
AIFUL Corp. 3,900 359
Ajinomoto Co., Inc. 15,000 192
Asahi Bank, Ltd. 11,000 46
Bank of Fukuoka, Ltd. (The) 16,000 109
Bank of Tokyo - Mitsubishi, Ltd. 20,000 241
Bridgestone Tire Corp. 8,000 169
Canon, Inc. 38,000 1,891
Credit Saison Co. 42,600 988
Dai-Tokyo Fire & Marine 102,000 362
Daiwa Securities Group, Inc. 47,000 620
DDI Corp. 6 58
Ebara Corp. 23,000 311
Fuji Bank, Ltd. 87,000 661
Fuji Heavy Industries, Ltd. 17,000 123
Fuji Machine Manufacturing Co. 13,600 714
Fujitsu, Ltd. 61,000 2,110
Hitachi, Ltd. 61,000 880
Hitachi Software Engineering
Co., Ltd. 500 54
Honda Motor Co., Ltd. 18,000 612
Industrial Bank of Japan, Ltd. 13,000 99
Ito-Yokado Co., Ltd. 2,000 120
Itochu Corp. (a) 45,000 227
Kaken Pharmaceutical Co., Ltd. 3,000 23
Kao Corp. 19,000 580
Katokichi Co. 9,000 228
Kawasaki Steel Corp. 50,000 72
Kyocera Corp. 5,300 899
Mabuchi Motor Co., Ltd. 7,000 904
Marubeni Corp. 228,000 784
Marui Co., Ltd. 6,000 115
Matsumotokiyoshi 9,700 1,017
Matsushita Communication 900 105
Non-US Fund 31
<PAGE>
NON-US FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Matsushita Electric Industrial Co., Ltd. 12,000 311
Minebea Co., Ltd. 85,000 1,065
Mitsubishi Chemical 87,000 357
Mitsubishi Corp. 40,000 362
Mitsubishi Estate Co., Ltd. 12,000 141
Mitsubishi Heavy Industries 71,000 314
Namco 13,400 482
NEC Corp. 41,000 1,287
Nichiei Co., Ltd. 9,100 149
Nikko Securities Co., Ltd. 5,000 49
Nintendo Co., Ltd. 900 157
Nippon Express Co., Ltd. 156,000 957
Nippon Meat Packers, Inc. 8,000 117
Nippon Telegraph & Telephone Corp. 162 2,153
Nippon Yusen 74,000 356
Nishimatsu Construction 97,000 382
Nissan Motor Co., Ltd. (a) 196,000 1,155
Nisshin Steel Co. 42,000 46
Nomura Securities Co., Ltd. 47,000 1,149
NTT Mobile Communication Network, Inc. 76 2,056
Omron Corp. 2,000 54
Oriental Land Co., Ltd. 800 82
Orix Corp. 700 103
Osaka Gas Co. 39,000 112
Paris Miki, Inc. 1,200 78
Pioneer Corp. 25,000 973
Promise Co., Ltd. 1,400 111
Ricoh Co., Ltd. 7,000 148
Rinnai Corp. 29,100 649
Rohm Co. 6,000 1,753
Sakura Bank, Ltd. 84,000 580
Sankyo Co., Ltd. 26,000 587
Sanwa Bank 77,000 614
Shin-Etsu Chemical Co., Ltd. 17,000 862
Shohkoh Fund & Co., Ltd. 1,770 399
Snow Brand Milk Products Co., Ltd. 16,000 86
Softbank Corp. 3,300 448
Sony Corp. 10,200 952
Sumitomo Bakelite Co., Ltd. 7,000 92
Sumitomo Bank 10,000 123
Sumitomo Rubber Industries 23,000 139
Sumitomo Trust & Banking 17,000 121
Suzuki Motor Corp. 6,000 77
Taiheiyo Cement Corp. 20,000 42
Taisho Pharmaceutical Co., Ltd. 14,000 501
Takeda Chemical Industries 13,000 853
Takefuji Corp. 3,700 447
TDK Corp. 7,000 1,005
Tokio Marine & Fire Insurance Co. 8,000 92
Tokuyama Corp. 15,000 109
Tokyo Electric Power 6,900 168
Tokyo Electron, Ltd. 1,000 137
Tokyo Gas Co. 34,000 95
Tokyo Steel Manufacturing 14,000 46
Toppan Printing Co., Ltd. 19,000 201
Toshiba Corp. 110,000 1,241
Tostem Corp. 11,000 179
Toyo Trust & Banking Co., Ltd. (The) 24,000 81
Toyota Motor Corp. 12,000 546
UNY Co., Ltd. 13,000 179
West Japan Railway Co. 80 324
Yamanouchi Pharmaceutical 40,000 2,183
Yasuda Fire & Marine Insurance
Co., Ltd. (The) 14,000 74
York-Benimaru Co., Ltd. 1,000 28
Yoshitomi Pharmaceutical Ind., Ltd. 6,000 78
----------
47,053
----------
LUXEMBOURG - 0.1%
Carrier 1 International SA (a) 730 41
Compagnie Luxembourgeoise pour
l'Audio-Visuel et la Finance 687 89
----------
130
----------
NETHERLANDS - 7.2%
ABN Amro Holding 37,598 921
AKZO Nobel 12,563 534
ASM Lithography Holding (a) 14,501 623
Buhrmann 13,524 387
Equant (a) 2,742 111
Fortis (NL) 26,400 768
Getronics (a) 5,205 80
Heineken 12,000 730
Hunter Douglas 19,699 533
ING Groep 5,143 348
Koninklijke (Royal) Philips
Electronics (a) 26,519 1,251
Koninklijke Ahold 25,403 748
Koninklijke KPN (a) 58,489 2,616
Koninklijke Numico 2,222 105
KPNQwest (a) 2,559 101
Lycos Europe (a) 5,896 56
Royal Dutch Petroleum Co. 7,263 451
Stork 30,888 419
Unilever 14,732 676
United Pan-Europe
Communications New (a) 5,286 138
Vedior 27,870 345
Verenigde Nederlandse
Uitgeversbedrijven 23,801 1,229
32 Non-US Fund
<PAGE>
NON-US FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- ----------
Versatel Telecom International (a) 12,327 518
Wolters Kluwer 32,683 871
----------
14,559
----------
NEW ZEALAND - 0.3%
Fletcher Challenge Building 2,800 3
Fletcher Challenge Energy 1,600 5
Fletcher Challenge Paper 221,911 254
Lion Nathan, Ltd. 15,449 34
Telecom Corp. of New Zealand, Ltd. 107,296 376
----------
672
----------
NORWAY - 0.4%
Norsk Hydro AS 9,383 394
Orkla ASA Class A 25,748 489
----------
883
----------
PORTUGAL - 0.6%
Banco Comercial Portugues, SA 90,500 471
Portugal Telecom SA (a) 55,825 627
PT Multimedia - Servicos de
Telecomunicacoes e Multimedia SGPS SA (a) 1,428 71
PT Multimedia.com 1,428 11
Telecel - Comunicacoes
Pessoais SA (a) 4,016 60
----------
1,240
----------
SINGAPORE - 1.0%
Chartered Semiconductor Manufacturing,
Ltd (a) 5,000 44
DBS Group Holdings, Ltd. 48,251 620
Natsteel Electronics, Ltd. 70,000 215
Oversea-Chinese Banking Corp., Ltd. 94,000 648
Singapore Press Holdings, Ltd. 9,949 156
United Overseas Bank, Ltd. 53,024 346
Venture Manufacturing (Singapore), Ltd. 731 7
----------
2,036
----------
SOUTH KOREA - 0.6%
Samsung Electronics - GDR (a) 6,470 1,265
----------
SPAIN - 3.2%
Amadeus Global Travel Distribution SA
Class A (a) 5,499 63
Banco Bilbao Vizcaya SA 88,863 1,328
Banco Popular Espanol SA 14,307 443
Banco Santander Central Hispano SA 26,013 274
Endesa SA 60,630 1,174
Indra Sistemas SA 2,655 61
Repsol SA 9,808 195
Repsol SA - ADR 34,389 681
Tabacalera SA Class A (Regd) 61,436 944
Telefonica SA (a) 64,144 1,378
----------
6,541
----------
SWEDEN - 3.1%
Autoliv, Inc. 26,596 651
Hennes & Mauritz AB 2,638 55
Investor AB Class B 32,690 447
Skandia Forsakrings AB 46,595 1,231
Skandinaviska Enskilda Banken Series A 34,006 403
Stora Enso Oyj Class R 17,145 156
Tele1 Europe Holding AB (a) 3,144 38
Telefonaktiebolaget LM
Ericsson AB (a) 143,216 2,833
Telia AB (a) 41,000 387
----------
6,201
----------
SWITZERLAND - 5.2%
ABB, Ltd. 5,098 610
Ares Serono SA Series B (a) 576 480
Barry Callebaut AG (Regd) 2,913 416
Clariant AG (Regd) 2,045 760
Credit Suisse Group 1,411 281
Fantastic Corp. German Certificate (a) 3,816 38
Forbo Holding AG 496 207
Givaudan AG (Regd) (a) 58 18
Julius Baer Holding, Ltd. Class B 260 1,028
Nestle SA 295 590
Novartis AG 1,423 2,254
Richemont Series A 83 224
Roche Holdings Genusscheine AG 58 565
Schweizerische Lebensversicherungs-und
Rentenanstalt 175 105
SGS Holding (BR) 50 86
Sulzer AG (Regd) 582 387
Swatch Group (The) AG 77 98
Swisscom AG 1,969 682
UBS AG (a) 9,188 1,345
Zurich Allied AG 775 382
----------
10,556
----------
UNITED KINGDOM - 16.9%
3i Group PLC 6,600 136
ARM Holdings PLC (a) 12,700 136
Bank of Scotland Governor
& Co. PLC 12,000 114
Barclays PLC 38,290 952
BG Group PLC 22,588 146
Billiton PLC 25,700 105
BOC Group PLC 33,162 477
Non-US Fund 33
<PAGE>
NON-US FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
Bookham Technology PLC (a) 500 29
BP Amoco PLC 121,726 1,168
British Aerospace PLC 255,301 1,592
British Airways PLC 8,000 46
British American Tobacco PLC 11,211 75
British Sky Broadcasting Group PLC 9,200 180
British Telecom PLC 22,200 287
Bunzl PLC 144,253 773
Cable & Wireless PLC 63,186 1,070
Cadbury Schweppes PLC 27,500 181
Carlton Communications PLC 5,455 70
Celltech Group PLC (a) 3,400 66
CMG PLC (a) 4,000 57
COLT Telecom Group PLC - ADR (a) 2,500 335
Compass Group PLC 7,900 104
Diageo PLC 235,764 2,115
Dixons Group PLC New (a) 142,326 579
Elan Corp. PLC - ADR (a) 22,400 1,085
Energis PLC (a) 4,770 179
Enterprise Oil PLC 13,900 116
FirstGroup PLC 14,100 50
Freeserve PLC (a) 51,600 254
Glaxo Wellcome PLC 52,290 1,525
Glynwed International PLC 17,500 63
Granada Group PLC 9,000 90
Great University Stores PLC 12,500 80
Hanson PLC 20,400 144
Hays PLC 19,500 109
HSBC Holdings PLC 34,100 390
Imperial Chemical Industries PLC 8,000 63
Invensys PLC 129,100 484
Jazztel PLC (a) 956 24
Johnson Matthey PLC 2,219 31
Kingfisher PLC 9,300 85
Ladbroke Group, Ltd. PLC 17,000 60
Laird Group PLC 65,422 239
Lloyds TSB Group PLC 39,300 371
Marconi PLC 16,800 219
MFI Furniture Group PLC 31,697 31
Morgan Crucible PLC 144,388 478
National Power PLC 11,539 74
Next PLC 65,300 571
Northern Foods PLC 17,730 32
Nycomed Amersham PLC 10,119 100
Ocean Group PLC 4,500 74
Pearson PLC 30,700 975
PowerGen PLC 82,182 703
Prudential Corp. PLC 12,700 186
Railtrack Group PLC 42,594 662
Reckitt Benckiser PLC 12,200 137
Reed International PLC 121,444 1,057
Reuters Group PLC 9,396 160
Rexam PLC 135,354 526
Rio Tinto Corp. PLC (Regd) 32,477 531
Royal & Sun Alliance Insurance Group PLC 156,806 1,018
Royal Bank of Scotland Group PLC 46,856 784
Safeway PLC 110,680 430
Sage Group PLC (The) 10,800 87
Schroders PLC (a) 2,900 52
Scottish & Southern Energy PLC 50,045 459
ScottishPower PLC 73,300 621
Severn Trent PLC 5,660 62
Shire Pharmaceuticals Group PLC (a) 21,400 372
Smith & Nephew PLC 17,300 64
SmithKline Beecham PLC 30,800 403
Somerfield PLC 79,796 70
Standard Chartered Bank Group PLC 8,600 107
TeleWest Communications PLC (a) 88,027 304
Tesco Store Holdings PLC 41,500 129
TI Group PLC 10,700 58
Tomkins PLC 96,969 315
Trinity PLC 4,000 36
Unilever PLC 128,510 778
United Newspaper, Ltd. PLC 3,200 46
Vodafone Group PLC 914,543 3,695
Williams PLC 12,500 73
Wolseley PLC 94,457 507
Woolwich PLC 13,800 57
WPP Group PLC 7,800 113
Zeneca Group PLC 15,508 723
----------
34,114
----------
UNITED STATES - 0.4%
Flextronics International, Ltd. (a) 2,900 199
NTL, Inc. (a) 10,492 628
VIA NET.WORKS, Inc. (a) 3,819 70
----------
897
----------
TOTAL COMMON STOCKS
(cost $172,150) 190,511
----------
34 Non-US Fund
<PAGE>
NON-US FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- ----------
PREFERRED STOCKS - 0.5%
AUSTRALIA - 0.2%
News Corp., Ltd. 25,900 312
----------
GERMANY - 0.3%
Marschollek, Lautenschlaeger und
Partner AG 287 142
Porsche AG 145 395
ProSieben Media AG 672 84
Volkswagen AG 831 19
----------
640
----------
LUXEMBOURG - 0.0%
AB International Cayman
Trust Units (conv.) 2,000,000 15
----------
TOTAL PREFERRED STOCKS
(cost $801) 967
----------
PRINCIPAL
AMOUNT
(000)
$
-----------
SHORT-TERM INVESTMENTS - 3.5%
UNITED STATES - 3.5%
Frank Russell Investment Company Money
Market Fund, due on demand (b) 5,439 5,439
United States Treasury Bills
5.940% due 12/21/00 (c)(d) 1,700 1,652
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $7,091) 7,091
----------
TOTAL INVESTMENTS - 98.2%
(identified cost $180,042) 198,569
----------
OTHER ASSETS AND LIABILITIES,
NET - 1.8% 3,688
----------
NET ASSETS - 100.0% 202,257
==========
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) Held as collateral in connection with futures contracts purchased by the
Fund.
(d) Rate noted is yield-to-maturity from date of acquisition.
Abbreviations:
ADR - American Depositary Receipt
BR - Bearer
GDR - Global Depositary Receipt
Foreign Currency Abbreviations:
EUR - Euro dollar
GBP - British pound
JPY - Japanese yen
CHF - Swiss franc
SEK - Swedish krona
SGD - Singapore dollar
NZD - New Zealand dollar
USD - United States dollar
See accompanying notes which are an integral part of the financial statements.
Non-US Fund 35
<PAGE>
NON-US FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
FUTURES CONTRACTS CONTRACTS (000)
----------- ----------------
TOPIX Index (Japan)
expiration date 09/00 17 $ 25
FTSE - 100 Index (UK)
expiration date 09/00 19 (39)
CAC - 40 Index (France)
expiration date 09/00 39 (89)
DAX Index (Germany)
expiration date 09/00 11 (16)
----------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $ (119)
==========
MARKET
% OF VALUE
NET (000)
INDUSTRY DIVERSIFICATION ASSETS $
---------------------------
Auto & Transportation 4.7% 9,554
Consumer Discretionary 10.5 21,221
Consumer Staples 5.4 10,995
Financial Services 20.4 41,187
Health Care 7.1 14,434
Integrated Oils 0.9 1,784
Materials & Processing 7.2 14,525
Other Energy 3.5 7,158
Producer Durables 8.2 16,536
Technology 8.9 17,986
Utilities 17.9 36,098
Short-Term Investments 3.5 7,091
---------- ----------
Total Investments 98.2 198,569
Other Assets and Liabilities, Net 1.8 3,688
---------- ----------
NET ASSETS 100.0% 202,257
========== ==========
MARKET
% OF VALUE
NET (000)
GEOGRAPHIC DIVERSIFICATION ASSETS $
-------- --------
Europe 48.0% 97,054
Japan 23.3 47,053
United Kingdom 16.9 34,114
Pacific Basin 5.1 10,392
Other 1.4 2,865
Short-Term Investments 3.5 7,091
---------- ----------
Total Investments 98.2 198,569
Other Assets and Liabilities, Net 1.8 3,688
---------- ----------
NET ASSETS 100.0% 202,257
========== ==========
See accompanying notes which are an integral part of the financial statements.
36 Non-US Fund
<PAGE>
NON-US FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
FOREIGN CURRENCY EXCHANGE SPOT CONTRACTS
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
------------- ------------ ---------- --------------
USD 31 CHF 50 07/05/00 $ --
USD 188 EUR 198 07/03/00 --
USD 123 GBP 82 07/03/00 --
USD 112 GBP 74 07/03/00 --
USD 130 GBP 86 07/05/00 --
USD 70 SEK 615 07/03/00 --
USD 199 SEK 1,741 07/03/00 (2)
SGD 40 NZD 49 07/05/00 --
CHF 62 USD 38 07/03/00 --
EUR 40 USD 37 07/03/00 (1)
EUR 152 USD 144 07/03/00 (1)
EUR 86 USD 81 07/03/00 (1)
EUR 44 USD 42 07/03/00 (1)
GBP 32 USD 48 07/03/00 --
GBP 124 USD 187 07/05/00 --
JPY 1,038 USD 10 07/03/00 --
JPY 1,060 USD 10 07/05/00 --
NZD 49 SGD 40 07/05/00 --
------------
$ (6)
============
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
UNREALIZED
CONTRACTS TO IN EXCHANGE APPRECIATION
DELIVER FOR SETTLEMENT (DEPRECIATION)
(000) (000) DATE (000)
------------- ------------ ---------- --------------
USD 5,064 EUR 5,250 09/14/00 $ (28)
USD 946 EUR 1,000 09/14/00 13
USD 479 EUR 500 09/14/00 1
USD 2,296 GBP 1,525 09/14/00 15
USD 3,903 JPY 410,000 09/14/00 14
USD 957 JPY 100,000 09/14/00 (2)
EUR 2,000 USD 1,930 09/14/00 12
GBP 300 USD 451 09/14/00 (4)
JPY 200,000 USD 1,907 09/14/00 (5)
------------
$ 16
============
See accompanying notes which are an integral part of the financial statements.
Non-US Fund 37
<PAGE>
NON-US FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
ASSETS
<S> <C>
Investments at market (identified cost $180,042) ................................... $ 198,569
Foreign currency holdings (identified cost $1,758) ................................. 1,772
Unrealized appreciation on forward foreign currency exchange contracts ............. 55
Receivables:
Dividends and interest ............................................................. 217
Investments sold ................................................................... 3,493
Fund shares sold ................................................................... 83
Foreign taxes recoverable .......................................................... 182
Daily variation margin on futures contracts ........................................ 39
Deferred organization expenses ...................................................... 2
Prepaid expenses .................................................................... 1
---------
Total assets ..................................................................... 204,413
LIABILITIES
Payables:
Investments purchased ................................................. $ 1,621
Fund shares redeemed .................................................. 68
Accrued fees to affiliates ............................................ 46
Other accrued expenses ................................................ 376
Unrealized depreciation on forward foreign currency exchange
contracts ............................................................ 39
Unrealized depreciation on foreign currency exchange spot contracts .... 6
---------
Total liabilities ................................................................ 2,156
---------
NET ASSETS .......................................................................... $ 202,257
=========
NET ASSETS CONSIST OF:
Undistributed net investment income ................................................. $ 730
Accumulated distributions in excess of net realized gain ............................ (214)
Unrealized appreciation (depreciation) on:
Investments ........................................................................ 18,527
Futures contracts .................................................................. (119)
Foreign currency-related transactions .............................................. 30
Shares of beneficial interest ....................................................... 154
Additional paid-in capital .......................................................... 183,149
---------
NET ASSETS .......................................................................... $ 202,257
=========
NET ASSET VALUE, offering and redemption price per share:
($202,257,297 divided by 15,427,722 shares of $.01 par value
shares of beneficial interest outstanding) ...................................... $ 13.11
=========
</TABLE>
See accompanying notes which are an integral part of the financial statements
38 Non-US Fund
<PAGE>
NON-US FUND
STATEMENT OF OPERATIONS
Amounts in thousands
<TABLE>
<CAPTION>
Six Months Ended June 30, 2000 (Unaudited)
<S> <C>
INVESTMENT INCOME
Dividends ............................................................... $ 3,052
Dividends from Money Market Fund ........................................ 105
Interest ................................................................ 19
Less foreign taxes withheld ............................................. (279)
--------
Total investment income ............................................... 2,897
EXPENSES
Management fees .............................................. $ 950
Custodian fees ............................................... 358
Transfer agent fees .......................................... 2
Professional fees ............................................ 19
Registration fees ............................................ 18
Trustees' fees ............................................... 8
Amortization of deferred organization expenses ............... 1
Miscellaneous ................................................ 18
--------
Expenses before reductions ................................... 1,374
Expense reductions ........................................... (67)
--------
Expenses, net ......................................................... 1,307
--------
Net investment income .................................................... 1,590
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments .................................................. 2,488
Futures contracts ............................................ 1,139
Foreign currency-related transactions ........................ (1,168) 2,459
--------
Net change in unrealized appreciation (depreciation) on:
Investments .................................................. (12,391)
Futures contracts ............................................ (1,152)
Foreign currency-related transactions ........................ 24 (13,519)
-------- --------
Net realized and unrealized gain (loss) ................................. (11,060)
--------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .................... $ (9,470)
========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Non-US Fund 39
<PAGE>
NON - US FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------------ -------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
<S> <C> <C>
Net investment income ......................................................... $ 1,590 $ 848
Net realized gain (loss) ..................................................... 2,459 8,154
Net change in unrealized appreciation (depreciation) ......................... (13,519) 30,115
--------- ---------
Net increase (decrease) in net assets from operations ....................... (9,470) 39,117
--------- ---------
DISTRIBUTIONS
From net investment income .................................................... (257) (1,621)
From net realized gain ........................................................ (6,096) (3,985)
--------- ---------
Net decrease in net assets from distributions ............................... (6,353) (5,606)
--------- ---------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ................. 22,561 140,588
--------- ---------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS .................................... 6,738 174,099
NET ASSETS
Beginning of period ........................................................... 195,519 21,420
--------- ---------
End of period (including undistributed net investment income of
$730 and accumulated distributions in excess of
net investment income of $603, respectively) ............................... $ 202,257 $ 195,519
========= =========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
40 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,
-----------------------------------
2000* 1999 1998 1997**
---------- ---------- --------- --------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ............... $ 14.19 $ 11.09 $ 10.03 $ 10.00
---------- ---------- --------- --------
INCOME FROM OPERATIONS
Net investment income (a) ........................ .11 .10 .08 .09
Net realized and unrealized gain (loss) .......... (.76) 3.53 1.21 (.06)
---------- ---------- --------- --------
Total income from operations .................... (.65) 3.63 1.29 .03
---------- ---------- --------- --------
DISTRIBUTIONS
From net investment income ........................ (.01) (.23) (.18) --
From net realized gain ............................ (.42) (.30) (.05) --
---------- ---------- --------- --------
Total distributions ............................. (.43) (.53) (.23) --
---------- ---------- --------- --------
NET ASSET VALUE, END OF PERIOD ..................... $ 13.11 $ 14.19 $ 11.09 $ 10.03
========== ========== ========= ========
TOTAL RETURN (%)(b) ............................... (4.67) 33.36 12.96 .30
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ......... 202,257 195,519 21,420 6,876
Ratios to average net assets (%)(c):
Operating expenses, net ......................... 1.30 1.30 1.30 1.30
Operating expenses, gross ....................... 1.36 1.50 2.37 3.60
Net investment income ........................... 1.58 .80 .77 .98
Portfolio turnover rate (%) ...................... 45.78 83.45 50.36 68.54
</TABLE>
* For the six months ended June 30, 2000 (Unaudited).
** For the period January 2, 1997 (commencement of operations) to December 31,
1997.
(a) For periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
Non-US Fund 41
<PAGE>
CORE BOND FUND
STATEMENT OF NET ASSETS
June 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
LONG-TERM INVESTMENTS - 100.9%
ASSET-BACKED SECURITIES - 4.0%
Advanta Mortgage Loan Trust
Series 1999-2 Class A6
6.820% due 05/25/29 100 96
Series 1999-3 Class A1
6.810% due 05/25/14 645 641
Series 1999-3 Class A4
7.750% due 10/25/26 100 99
Advanta Mortgage Loan Trust
Step Up Bond
Series 1999-3 Class A7
7.051% due 08/25/29 (c) 898 900
American Express Credit Account
Master Trust
Series 2000-1 Class B
7.400% due 09/17/07 300 301
ARG Funding Corp.
Series 1999-1A Class A3
6.020% due 05/20/05 200 193
Capital One Master Trust
Series 2000-1 Class B
7.300% due 04/17/06 200 200
Delta Funding Home Equity
Loan Trust
Series 1998-4 Class A4F
6.340% due 04/15/26 125 115
Discover Card Master Trust I
Series 1998-7 Class A
5.600% due 05/15/06 350 333
MBNA Master Credit Card Trust
Series 1999-G Class B
6.600% due 12/15/06 175 170
Series 1999-J Class A
7.000% due 02/15/12 100 98
Residential Asset Securities Corp.
Series 1998-KS3 Class AI7
5.980% due 10/25/29 175 162
Student Loan Marketing Association
Loan Trust
Series 1996-4 Class A1
6.284% due 07/25/04 (c) 158 157
Vanderbilt Mortgage & Finance, Inc.
Series 1998-C Class 1A6
6.750% due 10/07/28 100 86
--------
3,551
--------
CORPORATE BONDS AND NOTES - 38.0%
Adelphia Communications Corp.
Series B
8.125% due 07/15/03 50 47
Ahold Finance USA, Inc.
6.250% due 05/01/09 215 190
Allied Waste North America, Inc.
Series B
7.375% due 01/01/04 50 45
7.625% due 01/01/06 200 174
American General Finance Corp.
6.170% due 05/06/03 400 386
American Standard, Inc.
7.375% due 04/15/05 50 47
7.625% due 02/15/10 100 92
Amerus Life Holdings, Inc.
6.950% due 06/15/05 75 69
Aramark Corp.
6.750% due 08/01/04 15 14
7.000% due 07/15/06 100 93
Bank of America Corp.
7.800% due 02/15/10 2,500 2,487
Bankers Trust Corp.
Series E
6.819% due 05/11/03 (c) 200 200
Beckman Coulter, Inc.
7.450% due 03/04/08 50 46
Charter Communications Holdings Step
Up Bond
Zero Coupon due 01/15/10 (c) 350 199
Citicorp
9.500% due 02/01/02 50 52
Citigroup, Inc.
6.200% due 03/15/09 3,000 2,753
Citizens Utilities Co.
8.450% due 09/01/01 200 202
Clear Channel Communications
7.875% due 06/15/05 300 301
Cleveland Electric Illumination Co.
7.430% due 11/01/09 100 94
Coastal Corp.
7.750% due 06/15/10 275 272
Conmed Corp.
9.000% due 03/15/08 25 23
Cox Communications, Inc.
7.500% due 08/15/04 150 149
Crescent Real Estate Equities
7.000% due 09/15/02 75 69
42 Core Bond Fund
<PAGE>
CORE BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
Crompton Corp.
8.500% due 03/15/05 200 203
CSC Holdings, Inc.
7.875% due 12/15/07 150 145
CSX Corp.
7.250% due 05/01/04 350 341
6.800% due 12/01/28 50 41
CVS Corp.
5.500% due 02/15/04 150 141
DaimlerChrysler NA Holding Corp.
7.125% due 04/10/03 375 372
Delta Air Lines, Inc.
8.300% due 12/15/29 350 306
DTE Capital Corp.
7.110% due 11/15/03 500 483
Duke Realty, L.P.
7.375% due 09/22/05 325 316
Emerson Electric Co.
7.875% due 06/01/05 25 26
Enron Corp.
6.625% due 11/15/05 300 287
EOP Operating, L.P.
6.500% due 01/15/04 75 72
ERAC USA Finance Co.
7.500% due 06/15/03 50 49
Exide Corp.
10.000% due 04/15/05 150 133
2.900% due 12/15/05 75 36
Exodus Communications, Inc.
11.625% due 07/15/10 250 249
Extendicare Health Services, Inc.
9.350% due 12/15/07 25 11
First Union Corp.
7.700% due 02/15/05 400 399
7.500% due 07/15/06 150 148
Ford Motor Credit Co.
7.019% due 06/04/02 (c) 250 250
6.700% due 07/16/04 600 581
Series 1
7.080% due 11/24/03 (c) 1,000 998
Fort James Corp.
6.875% due 09/15/07 300 284
Fred Meyer, Inc.
7.450% due 03/01/08 125 119
Global Crossing Holdings, Ltd.
9.625% due 05/15/08 50 49
Golden State Holdings
7.125% due 08/01/05 75 67
Grove Worldwide, LLC
9.250% due 05/01/08 25 10
GS Escrow Corp.
7.000% due 08/01/03 150 139
Health Care REIT, Inc.
7.625% due 03/15/08 50 41
Horseshoe Gaming Holding Corp.
6.264% due 05/15/09 250 233
Household Finance Corp.
6.979% due 08/20/01 (c) 150 151
6.778% due 05/07/02 (c) 150 151
Series E
6.125% due 02/27/03 1,000 961
Huntsman ICI Holdings, LLC
Zero Coupon due 12/31/09 1,100 352
IBJ Preferred Capital Co, LLC
8.790% due 12/29/49 (c) 100 91
ICI Wilmington, Inc.
9.500% due 11/15/00 2,000 2,013
Idex Corp.
6.875% due 02/15/08 50 46
Imperial Capital Trust I
Series B
9.980% due 12/31/26 25 20
International Paper Co.
8.000% due 07/08/03 125 126
Isle of Capri Casinos, Inc.
8.750% due 04/15/09 200 184
John Deere Capital Corp.
Series C
6.461% due 04/21/03 (c) 700 700
Kaufman and Broad Home Corp.
7.750% due 10/15/04 50 46
Kentucky Power Co.
7.304% due 11/02/00 (c) 1,000 1,000
Kroger Co.
8.050% due 02/01/10 75 74
8.000% due 09/15/29 100 95
Lear Corp.
Series B
7.960% due 05/15/05 250 235
Lehman Brothers Holdings, Inc.
6.625% due 04/01/04 175 167
7.625% due 06/01/06 25 24
Series E
7.190% due 04/02/02 (c) 300 301
Level 3 Communications, Inc.
11.000% due 03/15/08 50 50
11.250% due 03/15/10 25 25
Level 3 Communications, Inc.
Step Up Bond
Zero Coupon due 03/15/10 (c) 350 192
Core Bond Fund 43
<PAGE>
CORE BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
Lilly Industries, Inc.
7.750% due 12/01/07 125 112
Lite-On Technology Corp.
Zero Coupon due 12/15/02 (conv.) 50 56
McLeod USA, Inc.
8.375% due 03/15/08 125 114
9.500% due 11/01/08 150 146
8.125% due 02/15/09 50 45
McLeod USA, Inc.
Step Up Bond
Zero Coupon due 03/01/07 (c) 100 83
Metromedia Fiber Network, Inc.
10.000% due 12/15/09 175 173
Mohegan Tribal Gaming Authority
8.125% due 01/01/06 125 119
8.750% due 01/01/09 25 24
Nabors Industries, Inc.
6.800% due 04/15/04 500 483
News America, Inc.
7.125% due 04/08/28 50 42
7.625% due 11/30/28 200 180
Nextlink Communications, Inc.
12.500% due 04/15/06 150 158
Niagara Mohawk Power Corp.
Series F
7.625% due 10/01/05 132 130
Norfolk Southern Corp.
7.800% due 05/15/27 100 96
NVR, Inc.
8.000% due 06/01/05 75 69
Paine Webber Group, Inc.
6.375% due 05/15/04 100 94
Panamsat Corp.
6.000% due 01/15/03 75 70
Park Place Entertainment Corp.
8.500% due 11/15/06 50 49
9.375% due 02/15/07 100 100
Parker Retirement Savings Plan
6.340% due 07/15/08 445 411
Philip Morris Cos., Inc.
7.250% due 01/15/03 500 488
Phillips Pete Co.
8.500% due 05/25/05 75 77
Premier Parks, Inc.
9.750% due 06/15/07 100 96
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 30
Qwest Communications
International, Inc.
Series B
7.250% due 11/01/08 25 24
7.500% due 11/01/08 25 24
Qwest Communications
International, Inc.
Step Up Bond
Zero Coupon due 10/15/07 (c) 25 21
Series B
Zero Coupon due 02/01/08 (c) 125 100
Regency Centers, L.P.
7.400% due 04/01/04 75 72
Republic of New York Corp.
6.315% due 10/28/02 (c) 750 741
Rose Hills Corp.
9.500% due 11/15/04 25 16
Safeway, Inc.
6.050% due 11/15/03 100 95
Salomon Smith Barney Holdings, Inc.
6.500% due 10/15/02 500 490
SB Treasury Co., LLC
9.400% due 12/29/49 (e) 400 385
Scotts Co.
8.625% due 01/15/09 50 48
Sequa Corp.
9.000% due 08/01/09 300 288
Sierra Pacific Power Co.
7.298% due 06/12/01 (c) 200 200
Simon Debartolo Group, L.P.
6.625% due 06/15/03 75 72
6.750% due 06/15/05 50 47
Simon Property Group, Inc.
6.750% due 02/09/04 25 24
Smithfield Foods, Inc.
7.625% due 02/15/08 75 67
Speedway Motorsports, Inc.
Series D
8.500% due 08/15/07 275 256
Sprint Capital Corp.
6.875% due 11/15/28 100 87
Station Casinos, Inc.
9.625% due 06/01/03 75 75
Tanger Properties, L.P.
8.750% due 03/11/01 25 25
7.875% due 10/24/04 25 23
Tenet Healthcare Corp.
7.875% due 01/15/03 125 122
8.625% due 12/01/03 100 99
Texas Utilities
7.315% due 06/25/01 (c) 600 599
44 Core Bond Fund
<PAGE>
CORE BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
Time Warner, Inc.
7.750% due 06/15/05 75 75
6.625% due 05/15/29 425 351
Toll Brothers Corp.
7.750% due 09/15/07 25 22
Travelers Property Casualty Corp.
6.750% due 04/15/01 25 25
Tricon Global Restaurants, Inc.
7.450% due 05/15/05 25 23
7.650% due 05/15/08 175 156
U.S. Bancorp
Series J
6.000% due 05/15/04 125 117
6.875% due 12/01/04 275 267
Union Planters Bank
6.500% due 03/15/18 50 43
United Technologies Corp.
6.625% due 11/15/04 175 172
US West Communications, Inc.
5.650% due 11/01/04 750 691
Viacom, Inc.
7.750% due 06/01/05 75 74
Walt Disney Co.
5.125% due 12/15/03 50 46
7.300% due 02/08/05 350 352
Waste Management, Inc.
6.375% due 12/01/03 300 277
6.500% due 05/15/04 1,000 917
Wells Fargo & Co.
Series BNKT
6.625% due 07/15/04 100 97
7.800% due 06/15/10 (c) 600 604
Westdeutsche Landesbank NY
6.050% due 01/15/09 500 446
Williams Communications
Group, Inc.
10.700% due 10/01/07 150 146
Wisconsin Central
Transportation Corp.
6.625% due 04/15/08 325 289
---------
34,189
---------
EURODOLLAR BONDS - 6.8%
APP Global Finance
10.761% due 04/17/02 (c) 400 313
Brazil, Republic of
14.500% due 10/15/09 25 27
Series EI-L
7.375% due 04/15/06 (c) 107 97
Series - 20 yr
8.000% due 04/15/14 (c) 24 17
Bulgaria, Republic of
Series A
2.750% due 07/28/12 (c) 100 74
Flextronics International, Ltd.
9.875% due 07/01/10 125 126
Ford Credit of Canada, Ltd.
6.953% due 12/16/02 (c) 1,000 996
Guangdong Enterprises Holdings, Ltd.
8.875% due 05/22/07 (d) 300 123
Korea Development Bank
7.625% due 10/01/02 2,000 1,985
Merita Bank, Ltd.
7.150% due 12/29/49 (e) 250 245
Morgan Stanley Dean Witter
Series E
6.998% due 03/11/03 (c) 300 300
Nordbanken AB
8.950% due 11/29/49 (e) 150 150
Panama, Republic of
9.375% due 04/01/29 110 105
Poland, Republic of
Step Up Bond
Series RSTA
4.000% due 10/27/24 (c) 500 323
Royal Bank of Scotland PLC
Series 1
9.118% due 03/31/49 650 671
Tyco International Group SA
6.875% due 09/05/02 200 196
United Mexican States
9.875% due 02/01/10 50 52
11.375% due 09/15/16 55 63
Upm-Kymmene Corp.
7.450% due 11/26/27 50 43
Vodafone Airtouch PLC
7.625% due 02/15/05 225 225
---------
6,131
---------
MORTGAGE-BACKED SECURITIES - 34.3%
Advanta Mortgage Loan Trust
Series 1997-4 Class M1
7.040% due 01/25/29 50 49
Chase Commercial Mortgage Securities
Corp
Series 1997-2 Class D
6.600% due 12/19/07 450 407
Chase Mortgage Finance Corp.
Series 1993-N Class A9
6.750% due 11/25/24 850 799
Federal Home Loan Mortgage Corp.
6.000% 30 Year Gold TBA(b) 300 275
Core Bond Fund 45
<PAGE>
CORE BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
Federal Home Loan Mortgage Corp.
Participation Certificate
6.000% due 2029 888 813
Federal National Mortgage Association
6.000% 30 Year TBA (b) 200 183
6.008% due 2017 (c) 380 365
9.000% due 2025 203 209
6.500% due 2029 3,139 2,963
7.500% due 2029 718 708
7.500% due 2030 2,979 2,936
Series 1997-77 Class G
6.500% due 05/18/23 202 198
Federal National Mortgage Association
(REMIC)
Series 1992-10 Class ZD
8.000% due 11/25/21 978 994
GMAC Commercial Mortgage Securities,
Inc
Series 1997-C1 Class A2
6.850% due 09/15/06 125 123
Series 1998-C1 Class A2
6.700% due 03/15/08 1,000 953
Government National Mortgage
Association
6.000% 30 Year Jumbo TBA (b) 500 458
6.000% 30 Year TBA (b) 400 368
6.500% 30 Year TBA (b) 7,600 7,212
7.000% 30 Year TBA (b) 600 582
7.500% 30 Year TBA (b) 3,000 2,975
8.000% 30 Year TBA (b) 400 404
9.000% due 2017 467 488
8.000% due 2024 97 98
6.500% due 2027 (c) 333 335
7.000% due 2027 382 371
7.000% due 2028 2,234 2,172
7.500% due 2029 569 565
8.000% due 2029 1,671 1,689
Government National Mortgage
Association II
7.000% 30 Year TBA (b) 250 241
Merrill Lynch Mortgage Investors, Inc.
Series 1997-C1 Class D
7.120% due 06/18/29 350 326
Midland Realty Acceptance Corp.
Series 1996-C2 Class A2
7.233% due 01/25/29 125 124
Morgan Stanley Capital I, Inc.
Series 1998-HF1 Class A2
6.520% due 01/15/08 125 119
Norwest Asset Securities Corp.
Series 1998-14 Class A2
6.500% due 06/25/13 329 318
Residential Funding Mortgage
Securities II
Series 1997-HS5 Class M1
7.010% due 05/25/27 50 48
---------
30,868
---------
UNITED STATES GOVERNMENT AGENCIES - 2.8%
Federal Home Loan Mortgage Corp.
6.300% due 06/01/04 1,000 967
5.750% due 03/15/09 825 751
Federal National Mortgage Association
5.625% due 05/14/04 875 834
---------
2,552
---------
UNITED STATES GOVERNMENT
TREASURIES - 12.5%
United States Treasury Bonds
11.250% due 02/15/15 350 516
9.250% due 02/15/16 250 324
8.750% due 08/15/20 300 386
8.125% due 05/15/21 (f) 1,250 1,525
8.000% due 11/15/21 800 967
6.625% due 02/15/27 (f) 705 749
United States Treasury Notes
5.500% due 08/31/01 1,775 1,755
6.625% due 04/30/02 125 125
3.625% due 07/15/02 863 857
7.875% due 11/15/04 1,375 1,456
3.375% due 01/15/07 2,125 2,038
6.000% due 08/15/09 500 497
---------
11,195
---------
YANKEE BONDS - 2.5%
Amvescap PLC
6.600% due 05/15/05 50 47
British Sky Broadcasting Group PLC
6.875% due 02/23/09 200 176
8.200% due 07/15/09 175 164
Colt Telecom Group PLC
Step Up Bond
Zero Coupon due 12/15/06 (c) 150 132
Domtar, Inc.
8.750% due 08/01/06 100 104
Edperbrascan Corp.
7.125% due 12/16/03 50 47
Innova S de R.L
12.875% due 04/01/07 30 28
46 Core Bond Fund
<PAGE>
CORE BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
----------- --------
Korea Development Bank
9.600% due 12/01/00 1,000 1,007
National Australia Bank, Ltd.
Series A
8.600% due 05/19/10 200 210
Royal Caribbean Cruises, Ltd.
8.125% due 07/28/04 125 120
Stagecoach Holdings PLC
8.625% due 11/15/09 275 222
---------
2,257
---------
TOTAL LONG-TERM INVESTMENTS
(cost $92,077) 90,743
---------
NUMBER
OF
SHARES
-------------
PREFERRED STOCKS - 0.2%
Equity Office Property Trust Series B 1,500 63
Global Crossing Holdings, Ltd. 800 77
---------
TOTAL PREFERRED STOCKS
(cost $149) 140
---------
PRINCIPAL
AMOUNT
(000)
$
-------------
SHORT-TERM INVESTMENTS - 10.7%
Cox Communications Inc.
6.810% due 07/17/00 (a) 1,700 1,695
Frank Russell Investment Company
Money Market Fund,
due on demand (a) 7,848 7,848
United States Treasury Notes
5.125% due 08/31/00 (a) 130 130
---------
TOTAL SHORT-TERM INVESTMENTS
(cost $9,673) 9,673
---------
TOTAL INVESTMENTS - 111.8%
(identified cost $101,899) 100,556
OTHER ASSETS AND LIABILITIES, NET, (10,612)
INCLUDING OPTIONS WRITTEN - (11.8%) ---------
NET ASSETS - 100.0% 89,944
=========
(a) At amortized cost, which approximates market.
(b) Forward commitment.
(c) Adjustable or floating rate security.
(d) Issuer in default.
(e) Perpetual floating rate note.
(f) Held as collateral in connection with futures contracts purchased (sold) and
options written by the Fund.
Abbreviations:
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.
Core Bond Fund 47
<PAGE>
CORE BOND FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
UNREALIZED
NUMBER APPRECIATION
OF (DEPRECIATION)
CONTRACTS (000)
FUTURES CONTRACTS ----------- ----------------
LONG POSITIONS
Eurodollar Futures
expiration date 03/01 22 $ 4
United States Treasury Notes
10 Year Futures
expiration date 09/00 44 125
SHORT POSITIONS
United States Treasury Notes
5 Year Futures
expiration date 09/00 19 (7)
-----------
Total Unrealized Appreciation
(Depreciation) on Open
Futures Contracts $ 122
===========
NOTIONAL MARKET
AMOUNT VALUE
(000) (000)
$ $
OPTIONS WRITTEN ---------- --------
Eurodollar Futures
Dec 95.25 Put 10 --
Mar 93.00 Call 30 6
Mar 93.25 Call 8 1
Mar 92.75 Put 5 1
Eurodollar Mid Curve 1 Year Future
Mar 92.50 Put 30 4
United States Treasury Bonds
Aug 100.00 Call 12 4
Aug 94.00 Put 2 1
-----------
Total Liability For Options Written 17
(premiums received $22)
===========
See accompanying notes which are an integral part of the financial statements.
48 Core Bond Fund
<PAGE>
CORE BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
ASSETS
<S> <C>
Investments at market (identified cost $101,899) ................................ $ 100,556
Receivables:
Dividends and interest .......................................................... 1,218
Investments sold ................................................................ 1,081
Fund shares sold ................................................................ 16
Daily variation margin on futures contracts ..................................... 3
Deferred organization expenses ................................................... 2
Prepaid expenses ................................................................. 1
---------
Total assets .................................................................. 102,877
LIABILITIES
Payables:
Investments purchased (regular settlement) ......................... $ 980
Investments purchased (delayed settlement) ......................... 11,835
Fund shares redeemed ................................................ 13
Accrued fees to affiliates .......................................... 1
Other accrued expenses .............................................. 87
Options written, at market value (premiums received $22).............. 17
---------
Total liabilities ............................................................. 12,933
---------
NET ASSETS ....................................................................... $ 89,944
=========
NET ASSETS CONSIST OF:
Undistributed net investment income .............................................. $ 1,372
Accumulated net realized gain (loss) ............................................ (2,052)
Unrealized appreciation (depreciation) on:
Investments ..................................................................... (1,343)
Futures contracts ............................................................... 122
Options written ................................................................. 5
Shares of beneficial interest .................................................... 91
Additional paid-in capital ....................................................... 91,749
---------
NET ASSETS ....................................................................... $ 89,944
=========
NET ASSET VALUE, offering and redemption price per share:
($89,944,045 divided by 9,128,709 shares of $.01 par value
shares of beneficial interest outstanding) ................................... $ 9.85
=========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Core Bond Fund 49
<PAGE>
CORE BOND FUND
STATEMENT OF OPERATIONS
Amounts in thousands Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
INVESTMENT INCOME
<S> <C>
Interest ............................................................... $ 2,851
Dividends .............................................................. 137
Dividends from Money Market Fund ....................................... 59
-------
Total investment income .............................................. 3,047
EXPENSES
Management fees .............................................. $ 256
Custodian fees ............................................... 69
Transfer agent fees .......................................... 2
Professional fees ............................................ 13
Registration fees ............................................ 8
Trustees' fees ............................................... 8
Amortization of deferred organization expenses ............... 1
Miscellaneous ................................................ 6
-------
Expenses before reductions ................................... 363
Expense reductions ........................................... (17)
-------
Expenses, net ........................................................ 346
-------
Net investment income ................................................... 2,701
-------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments .................................................. (550)
Futures contracts ............................................ 34
Options written .............................................. 18
Foreign currency-related transactions ........................ 13 (485)
-------
Net change in unrealized appreciation (depreciation) on:
Investments .................................................. 892
Futures contracts ............................................ 132
Options written .............................................. 5 1,029
------- -------
Net realized and unrealized gain (loss) ................................ 544
-------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ................... $ 3,245
=======
</TABLE>
See accompanying notes which are an integral part of the financial statements.
50 Core Bond Fund
<PAGE>
CORE BOND FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------- --------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
<S> <C> <C>
Net investment income ................................................. $ 2,701 $ 3,342
Net realized gain (loss) ............................................. (485) (1,435)
Net change in unrealized appreciation (depreciation) ................. 1,029 (2,251)
-------- --------
Net increase (decrease) in net assets from operations ............... 3,245 (344)
-------- --------
DISTRIBUTIONS
From net investment income ............................................ (1,329) (3,428)
From net realized gain ................................................ -- (911)
Tax return of capital ................................................. -- (1,152)
-------- --------
Net decrease in net assets from distributions ....................... (1,329) (5,491)
-------- --------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ......... 4,408 57,150
-------- --------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS ............................ 6,324 51,315
NET ASSETS
Beginning of period ................................................... 83,620 32,305
-------- --------
End of period (including undistributed net investment income of
$1,372 at June 30, 2000) ........................................... $ 89,944 $ 83,620
======== ========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Core Bond Fund 51
<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,
------------------------------------
2000* 1999 1998 1997**
--------- --------- --------- --------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD .............................. $ 9.64 $ 10.68 $ 10.45 $ 10.00
--------- --------- --------- --------
INCOME FROM OPERATIONS
Net investment income (a) ....................................... .30 .59 .56 .64
Net realized and unrealized gain (loss) ......................... .05 (.65) .19 .30
--------- --------- --------- --------
Total income from operations ................................... .35 (.06) .75 .94
--------- --------- --------- --------
DISTRIBUTIONS
From net investment income ....................................... (.14) (.61) (.47) (.49)
From net realized gain ........................................... -- (.16) (.05) --
Tax return of capital ............................................ -- (.21) -- --
--------- --------- --------- --------
Total distributions ............................................ (.14) (.98) (.52) (.49)
--------- --------- --------- --------
NET ASSET VALUE, END OF PERIOD .................................... $ 9.85 $ 9.64 $ 10.68 $ 10.45
========= ========= ========= ========
TOTAL RETURN (%)(b) .............................................. 3.68 (.61) 7.38 9.73
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ........................ 89,944 83,620 32,305 8,523
Ratios to average net assets (%)(c):
Operating expenses, net ........................................ .80 .80 .80 .80
Operating expenses, gross ...................................... .84 .86 1.28 2.20
Net investment income .......................................... 6.25 5.77 5.34 6.38
Portfolio turnover rate (%) ..................................... 107.03 139.06 75.95 53.86
</TABLE>
* For the six months ended June 30, 2000 (Unaudited).
** For the period January 2, 1997 (commencement of operations) to December 31,
1997.
(a) For the periods subsequent to December 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
52 Core Bond Fund
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF NET ASSETS
June 30, 2000 (Unaudited)
MARKET
NUMBER VALUE
OF (000)
SHARES $
-------- --------
COMMON STOCKS (b) - 90.4%
APARTMENT - 23.2%
Amli Residential Properties Trust 27,800 655
Apartment Investment & Management Co.
Class A 65,500 2,833
Archstone Communities Trust 43,550 917
Avalonbay Communities, Inc. 75,500 3,152
Brookfield Properties Corp. 25,200 335
Camden Property Trust 17,900 526
Equity Residential Properties Trust 61,500 2,829
Essex Property Trust, Inc. 26,500 1,113
Post Properties, Inc. 28,400 1,250
Smith (Charles E.) Residential
Realty, Inc. 34,300 1,303
Summit Properties, Inc. 11,500 242
Sun Communities, Inc. 6,600 221
United Dominion Realty Trust, Inc. 40,000 440
-------
15,816
-------
HEALTH CARE - 3.5%
Health Care Property Investors, Inc. 46,400 1,264
Manor Care, Inc. (a) 40,900 286
Nationwide Health Properties, Inc. 61,100 852
-------
2,402
-------
HOTELS/LEISURE - 6.0%
Golf Trust of America, Inc. 3,700 59
Hospitality Properties Trust 20,000 451
Host Marriott Corp. 45,500 427
Starwood Hotels & Resorts Worldwide,
Inc 97,700 3,181
-------
4,118
-------
LEASING - 0.7%
Franchise Finance Corp. of America 6,800 156
MeriStar Hospitality Corp. 16,300 343
-------
499
-------
OFFICE/INDUSTRIAL - 38.7%
AMB Property Corp. 60,500 1,380
Arden Realty Group, Inc. 104,600 2,458
Boston Properties, Inc. 52,500 2,028
Cabot Industrial Trust 8,300 163
CarrAmerica Realty Corp. 13,900 368
Cousins Properties, Inc. 10,600 408
Crescent Real Estate Equities, Inc. 46,900 961
Duke-Weeks Realty Corp. 30,336 679
Equity Office Properties Trust 178,949 4,932
First Industrial Realty Trust, Inc. 9,600 283
Frontline Capital Group (a) 21,200 452
Highwoods Properties, Inc. 40,600 974
Kilroy Realty Corp. 17,500 454
Liberty Property Trust 43,400 1,126
Mack-Cali Realty Corp. 71,300 1,832
Pacific Gulf Properties, Inc. 8,500 213
Prentiss Properties Trust 48,000 1,152
ProLogis Trust 99,200 2,114
PS Business Parks, Inc. 7,200 173
Reckson Associates Realty Corp. 46,300 1,100
SL Green Realty Corp. 21,400 572
Spieker Properties, Inc. 49,500 2,277
Trizec Hahn Corp. 14,600 261
-------
26,360
-------
OUTLET CENTERS - 0.4%
Chelsea GCA Realty, Inc. 7,900 273
-------
REGIONAL MALLS - 8.1%
General Growth Properties, Inc. 61,000 1,937
Macerich Co. (The) 30,500 673
Rouse Co. (The) 22,600 559
Simon Property Group, Inc. 55,100 1,223
Taubman Centers, Inc. 18,900 208
Urban Shopping Centers, Inc. 27,300 920
-------
5,520
-------
SELF STORAGE - 2.4%
Public Storage, Inc. 62,700 1,470
Shurgard Storage Centers, Inc. Class A 7,900 178
-------
1,648
-------
SHOPPING CENTER - 7.4%
Bradley Real Estate, Inc. 17,100 364
Federal Realty Investment Trust 35,200 704
Kimco Realty Corp. 23,600 968
Philips International Realty Corp. 8,200 142
Regency Realty Corp. 13,400 318
Vornado Realty Trust 72,800 2,530
-------
5,026
-------
TOTAL COMMON STOCKS
(cost $60,283) 61,662
-------
54 Real Estate Securities Fund
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF NET ASSETS, CONTINUED
June 30, 2000 (Unaudited)
PRINCIPAL MARKET
AMOUNT VALUE
(000) (000)
$ $
-------- --------
SHORT-TERM INVESTMENTS - 8.9%
Frank Russell Investment Company
Money Market Fund,
due on demand (c) 6,058 6,058
----------
TOTAL SHORT-TERM INVESTMENTS
(cost $6,058) 6,058
----------
TOTAL INVESTMENTS - 99.3%
(identified cost $66,341) 67,720
OTHER ASSETS AND LIABILITIES,
NET - 0.7% 481
----------
NET ASSETS - 100.0% 68,201
==========
(a) Nonincome-producing security.
(b) All common stocks held are Real Estate Investment Trusts (REIT) with the
exception of the following:
Brookfield Properties Corp.
Frontline Capital Group
Manor Care, Inc.
Starwood Hotels & Resorts Worldwide, Inc.
Trizec Hahn Corp.
(c) At amortized cost, which approximates market.
See accompanying notes which are an integral part of the financial statements.
Real Estate Securities Fund 55
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
Amounts in thousands (except per share amounts) June 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
ASSETS
Investments at market (identified cost $66,341) ............................. $ 67,720
Receivables:
Dividends .................................................................. 514
Investments sold ........................................................... 263
Fund shares sold ........................................................... 31
--------
Total assets ............................................................. 68,528
LIABILITIES
Payables:
Investments purchased ........................................ $ 220
Accrued fees to affiliates ................................... 52
Other accrued expenses ....................................... 55
--------
Total liabilities ........................................................ 327
--------
NET ASSETS .................................................................. $ 68,201
========
NET ASSETS CONSIST OF:
Undistributed net investment income ......................................... $ 905
Accumulated net realized gain (loss) ........................................ (1,649)
Unrealized appreciation (depreciation) on investments ....................... 1,379
Shares of beneficial interest ............................................... 70
Additional paid-in capital .................................................. 67,496
--------
NET ASSETS .................................................................. $ 68,201
========
NET ASSET VALUE, offering and redemption price per share:
($68,201,386 divided by 7,012,273 shares of $.01 par value
shares of beneficial interest outstanding) ............................... $ 9.73
========
</TABLE>
See accompanying notes which are an integral part of the financial statements.
56 Real Estate Securities Fund
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF OPERATIONS
Amounts in thousands Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividends ............................................................... $ 1,915
Dividends from Money Market Fund ........................................ 89
-------
Total investment income ............................................... 2,004
EXPENSES
Management fees ............................................ $ 254
Custodian fees ............................................. 42
Transfer agent fees ........................................ 6
Professional fees .......................................... 10
Registration fees .......................................... 8
Trustees' fees ............................................. 8
Miscellaneous .............................................. 12
-------
Total expenses ........................................................ 340
-------
Net investment income .................................................... 1,664
-------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments .................................. (946)
Net change in unrealized appreciation (depreciation) on investments ...... 6,297
-------
Net realized and unrealized gain (loss) ................................. 5,351
-------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .................... $ 7,015
=======
</TABLE>
See accompanying notes which are an integral part of the financial statements.
Real Estate Securities Fund 57
<PAGE>
REAL ESTATE SECURITIES FUND
STATEMENT OF CHANGES IN NET ASSETS
Amounts in thousands
<TABLE>
<CAPTION>
SIX MONTHS ENDED APRIL 30, 1999*
JUNE 30, 2000 TO
(UNAUDITED) DECEMBER 31, 1999
--------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income ......................................................... $ 1,664 $ 1,970
Net realized gain (loss) ..................................................... (946) (703)
Net change in unrealized appreciation (depreciation) ......................... 6,297 (4,918)
-------- --------
Net increase (decrease) in net assets from operations ....................... 7,015 (3,651)
-------- --------
DISTRIBUTIONS
From net investment income .................................................... (759) (1,970)
Tax return of capital ......................................................... -- (670)
-------- --------
Net decrease in net assets from distributions ............................... (759) (2,640)
-------- --------
SHARE TRANSACTIONS
Net increase (decrease) in net assets from share transactions ................. 6,627 61,609
-------- --------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS .................................... 12,883 55,318
NET ASSETS
Beginning of period ........................................................... 55,318 --
-------- --------
End of perod (including undistributed net investment income
of $905 at June 30, 2000) ................................................... $ 68,201 $ 55,318
======== ========
</TABLE>
* Commencement of operations.
See accompanying notes which are an integral part of the financial statements.
58 Real Estate Securities Fund
<PAGE>
REAL ESTATE SECURITIES 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.
2000* 1999**
---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD .............. $ 8.81 $ 10.00
---------- ----------
INCOME FROM OPERATIONS
Net investment income (a) ....................... .25 .35
Net realized and unrealized gain (loss) ......... .78 (1.08)
---------- ----------
Total income from operations ................... 1.03 (.73)
---------- ----------
DISTRIBUTIONS
From net investment income ....................... (.11) (.34)
Tax return of capital ............................ -- (.12)
---------- ----------
Total distributions ............................ (.11) (.46)
---------- ----------
NET ASSET VALUE, END OF PERIOD .................... $ 9.73 $ 8.81
========== ==========
TOTAL RETURN (%)(b) .............................. 11.87 (7.26)
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (in thousands) ........ 68,201 55,318
Ratios to average net assets (%)(c):
Operating expenses ............................. 1.12 1.15
Net investment income .......................... 5.50 5.84
Portfolio turnover rate (%) ..................... 29.30 23.98
* For the six months ended June 30, 2000 (Unaudited).
** For the period April 30, 1999 (commencement of operations) to December 31,
1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
Real Estate Securities Fund 59
<PAGE>
RUSSELL INSURANCE FUNDS
NOTES TO FINANCIAL STATEMENTS
June 30, 2000 (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 held by the Funds 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.
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 and capital gains. Therefore, no
federal income tax provision was required for the Funds. From November 1,
1999 to December 31, 1999, the Non-US, Core Bond and Real Estate Securities
Funds incurred net realized capital losses of $353,830, $189,912 and
$481,589, respectively. As permitted by tax regulations, these Funds have
elected to defer these losses and treat them as arising in the year ending
December 31, 2000.
At December 31, 1999, the Core Bond Fund and the Real Estate Securities
Fund had net tax basis capital loss carryforwards of $1,192,480 and
$54,901, respectively. Their respective expiration dates are December 31,
2007.
60 Notes to Financial Statements
<PAGE>
RUSSELL INSURANCE FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
June 30, 2000 (Unaudited)
The aggregate cost of investments and the compostion of gross unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of June 30, 2000 are as follows:
NET
GROSS GROSS UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
Multi-Style Equity $255,911,690 $ 33,319,686 $(13,189,687) $ 20,129,999
Aggressive Equity 94,706,100 13,183,507 (5,621,103) 7,562,404
Non-US 182,401,931 24,389,927 (8,222,482) 16,167,445
Core Bond 102,093,259 442,814 (1,980,006) (1,537,192)
Real Estate Securities 66,507,519 3,420,708 (2,208,519) 1,212,189
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. An additional distribution may be paid by the funds to avoid
imposition of federal income tax on any remaining undistributed capital
gains and net investment income.
The timing and characterization of certain income, capital gain
distributions, and return of capital 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.
Notes to Financial Statements 61
<PAGE>
RUSSELL INSURANCE FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
June 30, 2000 (Unaudited)
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 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. Open contracts at June 30, 2000 are presented on the
Statement of Net Assets for the Non-US Fund.
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.
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.
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 market 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.
62 Notes to Financial Statements
<PAGE>
RUSSELL INSURANCE FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
June 30, 2000 (Unaudited)
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
market 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.
3. INVESTMENT TRANSACTIONS
SECURITIES: During period ended June 30, 2000, 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 $269,812,821 $246,703,976
Aggressive Equity 116,000,539 115,152,757
Non-US 108,536,248 85,979,762
Core Bond 26,267,965 16,364,433
Real Estate Securities 22,817,738 15,922,134
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 $118,165,141 $77,013,755
OPTIONS WRITTEN: Fund transactions in written options for the period ended
June 30, 2000 are as follows:
WRITTEN OPTIONS
NOTIONAL AMOUNT PREMIUMS
(000) RECEIVED
--------------- -------------
CORE BOND
Outstanding December 31, 1999 $ -- $ --
Opened 239 66,635
Closed (21) (11,646)
Exercised (21) (3,731)
Expired (100) (29,573)
--------------- ------------
Outstanding June 30, 2000 $ 97 $ 21,685
============= ============
4. RELATED PARTIES
ADVISOR: FRIMCo advises and administers all of the Funds which comprise the
Investment Company. 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.
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, 2000, $36,300,000 of the Money Market Fund's net assets
represents investments by the Funds.
Notes to Financial Statements 63
<PAGE>
RUSSELL INSURANCE FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
June 30, 2000 (Unaudited)
For the period ended June 30, 2000, the management fee paid to FRIMCo, for
the Funds listed below, in accordance with the Investment Company's
Management Agreement with that firm, amounted to $3,039,843 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% Core Bond 0.60%
Aggressive Equity 0.95 Real Estate Securities 0.85
Non-US 0.95
FRIMCo calculates its management fee based on average daily net assets for
each Fund, less any management fee incurred on the Fund's assets invested
in the Frank Russell Investment Company Money Market Fund (see Note 5)
thereby eliminating any duplication of fees.
FRIMCo has contractually agreed to waive a portion of its management 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. There were no reimbursements for the period ended
June 30, 2000.
The expense caps and waivers as of June 30, 2000 were as follows:
EXPENSE ADVISORY
CAP FEES WAIVED
------------- -----------------
Multi-Style Equity 0.92% $ 15,189
Aggressive Equity 1.25 20,503
Non-US 1.30 66,765
Core Bond 0.80 17,221
Real Estate Securities 1.15 --
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 analytical services used by FRIMCo.
TRANSFER AGENT: The Funds have a contract with FRIMCo to provide transfer
agent services to the Investment Company. Total fees for the period ended
June 30, 2000 were $13,670.
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.
BROKERAGE COMMISSIONS: The Funds may effect portfolio transactions through
Frank Russell Securities, Inc., an affiliate of the Advisor, when a money
manager determines that the Fund will receive competitive execution, price
and commissions. Upon completion of such transactions, Frank Russell
Securities, Inc. will refund up to 70% of the commissions paid by the Fund
after reimbursement for research services provided to FRIMCo. Amounts
retained by Frank Russell Securities, Inc. for the period ended June 30,
2000 for the Multi-Style Equity Fund were $45,158, for the Aggressive
Equity Fund were $16,254, and for the Non-US Fund were $30,145.
Additionally, the Funds paid brokerage commissions to non-affiliated
brokers who provided brokerage and research services to the Advisor.
BOARD OF TRUSTEES: The Investment Company pays each of its Trustees not
affiliated with FRIMCo a retainer of $12,000 per year plus out-of-pocket
expenses. Total Trustee expenses for the period ended June 30, 2000 were
$41,770, and were allocated to each Fund, where appropriate, on a prorata
basis.
64 Notes to Financial Statements
<PAGE>
RUSSELL INSURANCE FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
June 30, 2000 (Unaudited)
BENEFICIAL INTEREST: As of June 30, 2000, 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 27.2% 24.4% 22.1% 10.3% 5.6%
Aggressive Equity 33.3 29.0 11.7 10.9 --
Non-US 49.9 22.0 12.2 8.4 --
Core Bond 34.6 23.5 18.3 9.9 --
Real Estate Securities 76.1 15.7 -- -- --
5. FUND SHARE TRANSACTIONS
Share transactions for the period ended June 30, 2000 and year ended
December 31, 1999, were as follows:
<TABLE>
<CAPTION>
SHARES DOLLARS (000)
--------------------------- -------------------------------
2000 1999 2000 1999
--------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
MULTI-STYLE EQUITY
Proceeds from shares sold 3,951,592 11,745,128 $ 62,338 $ 189,719
Proceeds from reinvestment of distributions 573,641 939,137 8,735 14,695
Payments for shares redeemed (3,685,280) (278,205) (58,967) (4,463)
----------- ----------- ------------ ------------
Total net increase (decrease) 839,953 12,406,060 $ 12,106 $ 199,951
=========== ========== ============ ============
AGGRESSIVE EQUITY
Proceeds from shares sold 1,913,340 5,674,972 $ 25,578 $ 69,088
Proceeds from reinvestment of distributions 201,257 43,364 2,682 533
Payments for shares redeemed (1,952,006) (234,243) (26,030) (2,837)
----------- ---------- ------------ ------------
Total net increase (decrease) 162,591 5,484,093 $ 2,230 $ 66,784
=========== ========== =========== ============
NON-US
Proceeds from shares sold 3,540,514 11,717,694 $ 47,413 $ 138,551
Proceeds from reinvestment of distributions 469,904 421,468 6,353 5,606
Payments for shares redeemed (2,363,206) (290,553) (31,205) (3,569)
----------- ----------- ------------ ------------
Total net increase (decrease) 1,647,212 11,848,609 $ 22,561 $ 140,588
========== ========== =========== ===========
CORE BOND
Proceeds from shares sold 1,912,215 5,515,116 $ 18,488 $ 55,881
Proceeds from reinvestment of distributions 136,287 554,482 1,329 5,491
Payments for shares redeemed (1,596,043) (419,365) (15,409) (4,222)
----------- ---------- ------------ ------------
Total net increase (decrease) 452,459 5,650,233 $ 4,408 $ 57,150
=========== ========== ============ ============
REAL ESTATE SECURITIES*
Proceeds from shares sold 974,684 6,055,783 $ 8,912 $ 59,679
Proceeds from reinvestment of distributions 85,814 301,212 759 2,640
Payments for shares redeemed (328,848) (76,372) (3,044) (710)
---------- ----------- ------------ ------------
Total net increase (decrease) 731,650 6,280,623 $ 6,627 $ 61,609
========== =========== ============ ============
</TABLE>
* Share transactions for 1999 are for the period April 30, 1999 (commencement
of operations) to December 31, 1999.
Notes to Financial Statements 65
<PAGE>
RUSSELL INSURANCE FUNDS
NOTES TO FINANCIAL STATEMENTS, CONTINUED
June 30, 2000 (Unaudited)
6. DIVIDENDS
On July 3, 2000, the Board of Trustees declared the following dividends
payable on July 7, 2000, to shareholders of record on July 5, 2000:
NET INVESTMENT
INCOME
-------------------
Multi-Style Equity $ 0.0175
Aggressive Equity 0.0052
Core Bond 0.1487
Real Estate Securities 0.1260
66 Notes to Financial Statements
<PAGE>
RUSSELL INSURANCE FUNDS
909 A Street, Tacoma, Washington 98402
(800) 832-6688
In Washington (253) 627-7001
TRUSTEES
Lynn L. Anderson, Chairman
Paul E. Anderson
Paul Anton, PhD
William E. Baxter
Kristianne Blake
Lee C. Gingrich
Eleanor W. Palmer
Raymond P. Tennison, Jr.
TRUSTEES EMERITUS
George F. Russell, Jr.
OFFICERS
Lynn L. Anderson, Chairman of the Board and President
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
Allan Forbes Building
150 Newport Avenue AFB35
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
Barclay's Global Fund Advisors, San Francisco, CA
Peachtree Asset Management, Atlanta, GA
Sanford C. Bernstein & Co., Inc., New York, NY
Strong Capital Management, Inc., Menomonee Falls, WI
Turner Investment Partners, Inc., Berwyn, PA
Westpeak Investment Advisors, L.P., Boulder, CO
AGGRESSIVE EQUITY FUND
CapitalWorks Investment Partners, LLC, San Diego, CA
Geewax, Terker & Company, Phoenixville, PA
Jacobs Levy Equity Management, Inc., Roseland, NJ
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, 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, New York, NY
Security Capital Global Capital Management Group Incorporated, Chicago, IL
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 Frank Russell Investment
Company. Such offering is made only by Prospectus, which includes details as to
offering price and other material information.
Manager, Money Managers and Service Providers 67
<PAGE>
[LOGO OF FRANK RUSSELL]
Frank Russell Investment Company
909 A Street
Tacoma, Washington 98402
253-627-7001
800-787-7354
Fax: 253-591-3495
www.russell.com
