<PAGE>
AHA INVESTMENT FUNDS, INC.
Semi-Annual Report to
Shareholders
As of December 31, 1998
<PAGE>
CONTENTS
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
<S> <C>
Portfolio of Investments 1
Full Maturity Fixed Income Portfolio
Limited Maturity Fixed Income Portfolio
Diversified Equity Portfolio
Balanced Portfolio
Financial Statement 45
Notes to Financial Statements 49
</TABLE>
i
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1998
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL
---------
LONG-TERM OBLIGATIONS 97.1% MARKET VALUE
--------------------- ------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS 60.8%
--------------------------------------
<S> <C> <C>
United States Treasury Bonds
$ 1,175,000 10.750% 08/15/05 $ 1,566,790
5,125,000 9.250% 02/15/16 7,363,984
2,343,000 6.375% 08/15/27 2,695,183
420,000 5.500% 08/15/28 440,344
United States Treasury Notes
350,000 7.750% 12/31/99 360,610
400,000 5.625% 11/30/00 407,250
590,000 6.250% 01/31/02 616,181
2,010,000 6.625% 03/31/02 2,124,948
616,000 6.500% 05/31/02 650,650
470,000 5.750% 10/31/02 487,038
200,000 5.750% 11/30/02 207,438
200,000 5.625% 12/31/02 206,625
2,460,000 5.500% 01/31/03 2,532,263
160,000 5.375% 06/30/03 164,600
1,050,000 5.250% 08/15/03 1,076,579
120,000 5.750% 08/15/03 125,288
100,000 7.500% 02/15/05 114,500
230,000 7.000% 07/15/06 261,984
United States Treasury Inflation Index
1,521,508 3.375% 01/15/07 1,466,830
1,634,246 3.625% 01/15/08 1,602,583
2,342,085 3.625% 04/15/28 2,282,803
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN
INTEGRAL PART OF THIS SCHEDULE.
1
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
--------------------------------------------------
<S> <C> <C>
United States Treasury Strips
$ 100,000 0.000% 11/15/04 $ 76,031
1,600,000 0.000% 11/15/04 1,212,997
410,000 0.000% 02/15/23 110,548
Federal Home Loan Mortgage Corporation
93,807 8.750% 04/01/09 95,717
70,576 10.500% 01/01/10 70,273
254,102 9.300% 04/15/19 263,958
1,030,374 7.000% 09/15/21 1,041,807
567,412 7.000% 06/15/21 575,228
342,859 7.000% 05/01/24 350,402
Federal National Mortgage Association
(mortgage-backed securities)
258,298 7.500% 03/25/03 265,159
522,176 9.500% 07/25/19 549,436
395,957 7.600% 11/25/19 406,513
817,690 7.000% 04/25/20 824,884
416,258 6.500% 09/25/20 418,682
123,626 7.500% 09/25/20 123,860
490,185 8.500% 09/25/20 507,407
486,650 7.000% 10/25/20 492,655
631,904 7.000% 01/25/21 636,116
450,912 7.000% 01/25/21 457,102
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
2
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
--------------------------------------------------
<S> <C> <C>
Federal National Mortgage Association- (Continued)
(mortgage-backed securities)
$ 794,045 8.000% 02/25/21 $ 812,221
700,000 7.000% 03/25/21 711,650
529,294 8.500% 09/25/21 548,400
312,595 6.520% 04/10/23 312,535
175,973 9.500% 02/01/25 188,375
2,800,000 5.500% 01/01/29 2,765,868
700,000 6.000% 01/01/29 701,533
30,000 6.000% 01/01/29 29,606
200,000 6.500% 01/01/29 201,312
900,000 7.500% 01/01/29 923,904
Government National Mortgage Association
(mortgage-backed securities)
274,905 9.500% 12/15/17 297,272
1,300,000 6.000% 01/01/29 1,288,222
1,174,000 6.000% 01/01/29 1,186,104
300,000 7.500% 01/01/29 307,032
1,000,000 7.500% 01/01/29 1,030,630
----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS 46,537,910
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
3
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
ASSET BACKED OBLIGATIONS 7.7%
------------------------
<S> <C> <C>
AT&T Universal Card Master
$ 272,000 5.950% 10/17/00 $ 275,453
Banc One Credit Card Trust
650,000 6.300% 09/15/00 Series 1995-B 661,625
Capital Equipment Trust
600,000 6.280% 06/15/00 Series 1996-1 603,459
Chase Commingled Mortgage Security
508,000 7.370% 02/19/07 Series 1997- A2 542,234
Chevy Chase Home Loan
307,563 7.150% 05/15/15 Series 1996-1 314,099
Ford Motor Credit Company
180,000 7.700% 05/15/97 Series 1995-A 208,352
500,000 6.500% 08/15/02 Series 1995-A 509,533
250,000 9.220% 09/15/21 Series 1996-A 331,326
30,000 6.625% 10/01/28 30,968
Green Tree Financial Corporation
309,088 6.900% 02/15/04 306,898
245,364 7.850% 07/15/04 247,895
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
4
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
ASSET BACKED OBLIGATIONS (CONTINUED)
------------------------------------
<S> <C> <C>
Keystone Owner Trust
$ 132,238 6.620% 11/25/08 Series 1998-P1 $ 132,238
Nomura Asset Securities Corporation
200,000 7.120% 04/13/36 Series 1996-M 215,913
Resolution Trust Corporation
500,024 7.025% 06/25/24 494,646
Rural Housing Trust
46,584 3.330% 04/01/26 Series 1987-1 45,753
Student Loan Marketing Association
900,236 5.787% 04/25/06 889,190
Standard Credit Card Trust Series 1993-2
65,000 8.250% 11/07/03 69,518
---------
TOTAL ASSET BACKED OBLIGATIONS 5,879,100
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
5
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
CORPORATE OBLIGATIONS 28.1%
---------------------
BANKS 2.3%
-----
<S> <C> <C>
Chase Manhattan Bank
$ 610,000 8.500% 02/15/02 $ 658,993
CIT Group Incorporated
375,000 5.570% 12/08/03 372,560
National Bank of Detroit
220,000 8.250% 11/01/24 274,336
NCNB Corporation
325,000 10.200% 07/15/15 440,429
-------
1,746,318
COMMUNICATION 1.1%
-------------
Continental Cablevision Incorporated
200,000 8.875% 09/15/05 228,022
200,000 9.000% 09/01/08 234,522
325,000 9.500% 08/01/13 387,454
-------
849,998
CONSUMER 0.5%
--------
Hertz Corporation
375,000 8.125% 03/11/99 376,649
DISTRIBUTION 0.4%
------------
Federal Express
300,000 9.650% 06/15/12 370,594
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
6
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
ELECTRONICS 0.5%
-----------
<S> <C> <C>
System Energy
$ 356,712 7.430% 01/15/11 $ 378,614
FINANCIAL 9.2%
---------
Auburn Hills Trust
280,000 12.000% 05/01/20 464,832
Bankers Trust Company
1,000,000 8.125% 04/01/02 1,064,296
British Aerospace Financial
650,000 7.500% 07/01/27 720,184
Donald Lufkin Jenrett
400,000 6.000% 12/01/01 398,594
Dresdner Bank New York
250,000 7.250% 09/15/15 263,493
General Motors Acceptance Corporation
800,000 0.000% 06/15/15 effective yield 6.35% 291,294
589,630 6.150% 11/15/07 599,292
660,000 6.750% 05/01/28 690,472
JPM Capital Trust
50,000 7.950% 02/01/27 53,853
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
7
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
FINANCIAL- (CONTINUED)
----------------------
<S> <C> <C>
Lehman Brothers Incorporated
$ 375,000 11.625% 05/15/05 $ 473,654
Merrill Lynch Company
375,000 6.875% 11/15/18 391,397
Paine Webber Incorporated
150,000 6.730% 01/20/04 151,479
Security Pacific Corporation
200,000 11.000% 03/01/01 220,989
Westam Mortgage Financial
750,000 6.360% 08/26/20 725,584
Zurich Capital Trust
500,000 8.376% 06/01/37 556,955
-------
7,066,368
FOOD, BEVERAGES & TOBACCO 0.8%
-------------------------
J. Seagram & Sons
170,000 6.400% 12/15/03 168,939
120,000 6.800% 12/15/08 119,722
330,000 7.500% 12/15/18 332,046
-------
620,707
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
8
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
INDUSTRIAL 1.8%
----------
<S> <C> <C>
Caterpillar Incorporated
$ 1,000,000 9.750% 06/01/19 $ 1,063,430
Nabisco Incorporated
300,000 6.375% 02/01/35 296,945
-------
1,360,375
INSURANCE 1.6%
---------
GEICO Corporation
125,000 9.150% 09/15/21 141,673
USF&G Corporation
1,000,000 8.375% 06/15/01 1,063,264
---------
1,204,937
PAPER 0.5%
-----
Georgia Pacific Corporation
75,000 9.875% 11/01/21 84,261
200,000 9.625% 03/15/22 224,148
50,000 9.500% 05/15/22 57,090
------
365,499
RAILROAD 1.6%
--------
Hocking Valley Railway
670,000 4.500% 07/01/99 667,417
Louisville & Nashville Railroad
600,000 3.375% 04/01/03 548,314
-------
1,215,731
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
9
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
CORPORATE OBLIGATIONS (CONTINUED)
----------------------------------
RETAIL STORES 0.9%
-------------
<S> <C> <C>
Dayton Hudson Corporation
$ 286,000 10.000% 01/01/11 $ 384,438
J.C. Penney Incorporated
250,000 9.750% 06/15/21 279,181
-------
663,619
TELECOMMUNICATION 0.6%
-----------------
TCI Communications Incorporated
50,000 8.750% 08/01/15 62,451
Sprint Capital Corporation
120,000 6.125% 11/15/08 122,668
U.S. West Communications
225,000 8.875% 06/01/31 252,730
-------
437,849
UTILITIES 0.4%
---------
Commonwealth Edison
250,000 9.875% 06/15/20 299,329
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
10
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
CORPORATE OBLIGATIONS (CONTINUED)
----------------------------------
MISCELLANEOUS 1.4%
-------------
<S> <C> <C>
News American Holdings
200,000 8.875% 04/26/23 242,659
300,000 7.625% 11/30/28 320,999
ML Commercial Bank
246,263 5.800% 03/15/06 245,520
ML Mortgage Investors
236,518 6.220% 02/15/30 241,079
-------
1,050,257
INTERNATIONAL 4.5%
-------------
Dryden Investor Trust
600,000 7.157% 07/23/08 583,200
Hydro-Quebec
800,000 11.750% 02/01/12 1,208,248
Korea Development Bank
95,000 7.125% 09/17/01 89,679
Korea Electric Power
95,000 7.750% 04/01/13 77,939
75,000 6.750% 08/01/27 63,946
Manitoba Province
200,000 9.500% 09/15/18 279,600
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
11
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
CORPORATE OBLIGATIONS (CONTINUED)
----------------------------------
INTERNATIONAL (CONTINUED)
-------------------------
<S> <C> <C>
Midland Bank
$ 375,000 6.950% 03/15/11 $ 399,495
National Bank Hungary
75,000 8.875% 11/01/13 90,007
Petrozuata Financial Guarantee
260,000 8.220% 04/01/17 216,775
Pohang Iron & Steel
65,000 7.125% 07/15/04 57,713
Wharf Capital International
175,000 7.625% 03/13/07 144,433
YPF Sociedad Anomia
300,000 7.750% 08/27/07 265,916
-------
3,476,951
---------
TOTAL CORPORATE OBLIGATIONS 21,483,795
----------
PREFERRED OBLIGATIONS 0.5%
---------------------
IBJ Preferred Capital Company
150,000 8.790% 12/29/49 129,234
SB Treasury Company
280,000 9.400% 12/29/49 266,485
-------
TOTAL PREFERRED OBLIGATIONS 395,719
-------
TOTAL LONG-TERM OBLIGATIONS (COST $72,512,189) 74,296,524
----------
</TABLE>
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
12
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL AMORTIZED COST
--------- --------------
SHORT-TERM OBLIGATIONS 12.6%
----------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS 0.3%
--------------------------------------
<S> <C> <C>
Federal National Mortgage Association
(A) $ 200,000 5.200% 02/17/99 $ 198,642
-------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS 198,642
DEMAND NOTES 12.3%
------------
Firstar Bank Demand Note
1,900,000 5.378% 12/31/31 1,900,000
General Mills Demand Note
2,053,575 5.233% 12/31/31 2,053,575
Pitney Bowes Demand Note
2,696,273 5.233% 12/31/31 2,696,273
Sara Lee Demand Note
1,205,621 5.229% 12/31/31 1,205,621
Warner Lambert Demand Note
593,736 5.176% 12/31/31 593,736
Wisconsin Corporation Credit Union Demand Note
717,629 5.174% 12/31/31 717,629
Wisconsin Electric Demand Note
261,500 5.174% 12/31/31 261,500
-------
TOTAL DEMAND NOTES 9,428,334
---------
TOTAL SHORT-TERM OBLIGATIONS
(AMORTIZED COST $9,626,976) 9,626,976
---------
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
13
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES, PRINCIPAL OR
NUMBER OF CONTRACTS MARKET VALUE
------------------- ------------
OPTIONS-PURCHASED 0.0%
-----------------
<S> <C> <C>
Call Options Eurodollar Futures
18 Exercise Price $95.00, Expiring January 1999 $ 3,150
Call Options Eurodollar Futures
22 Exercise Price $94.50, Expiring March 1999 30,250
------
TOTAL OPTIONS PURCHASED 33,400
(COST $31,158) ------
TOTAL INVESTMENTS
(COST BASIS $82,170,323) 83,956,900
----------
OPTIONS-WRITTEN 0.0%
---------------
Put Options 5 Year T-Note Futures
4 Exercise Price $114.50, Expiring February 1999 (138)
Call Options Treasury Bond
13 Exercise Price $134.00, Expiring February 1999 (4,469)
Putl Options Bond Futures
15 Exercise Price $124.00, Expiring February 1999 (9,141)
Putl Options Bond Futures
3 Exercise Price $128.00, Expiring February 1999 (6,094)
--------
TOTAL OPTIONS WRITTEN (PREMIUMS RECEIVED $35,994) (19,842)
--------
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
14
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<S> <C> <C>
TOTAL INVESTMENTS NET OF
OUTSTANDING WRITTEN OPTIONS 109.7% 83,937,058
CASH AND OTHER ASSETS, LESS
LIABILITIES -9.7% (7,437,682)
------------
TOTAL NET ASSETS 100.0% $ 76,499,376
------------
------------
</TABLE>
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
15
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
(A) $100,000 OF U.S. TREASURY BILLS PLEDGED AS MARGIN FOR FUTURES CONTRACTS. THE
PORTFOLIO HAD THE FOLLOWING OPEN FUTURES CONTRACTS AT DECEMBER 31, 1998:
OPEN FUTURES CONTRACTS:
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF PRINCIPAL GAINS (LOSSES)
TYPE CONTRACTS AMOUNT POSITION EXPIRATION DECEMBER 31, 1998
---- ----------- ------- -------- ---------- -----------------
<S> <C> <C> <C> <C> <C>
5 Year Treasury Notes 54 54,000 Long March 1999 ($31,280)
10 Year U.S. Treasury Notes 60 60,000 Short March 1999 64,238
Bond Futures 18 18,000 Long March 1999 (13,854)
--------
$19,104
</TABLE>
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
16
<PAGE>
LIMITED MATURITY FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1998
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL
---------
LONG-TERM OBLIGATIONS 98.1% MARKET VALUE
--------------------- ------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS 53.8%
--------------------------------------
<S> <C> <C>
United States Treasury Bonds
$ 3,235,000 6.375% 05/15/00 $ 3,229,947
United States Treasury Notes
10,670,000 7.750% 01/31/00 11,013,446
4,415,000 6.375% 05/15/00 4,515,719
9,460,000 6.125% 07/31/00 9,669,898
6,350,000 5.250% 01/31/01 6,613,669
665,000 6.500% 05/31/01 692,847
3,320,000 6.650% 06/30/01 3,473,550
5,090,000 6.375% 09/30/01 5,312,688
Federal National Mortgage Association
(mortgage-backed securities)
2,130,000 4.450% 10/16/00 2,111,740
2,040,000 6.375% 01/16/02 2,114,032
---------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS 48,747,536
ASSET BACKED OBLIGATIONS 10.0%
AT&T Universal Card Master Trust
1,550,000 5.950% 10/17/00 1,569,677
Chase Manhattan Grantor Trust
2,100,000 6.300% 04/15/03 Series 1997-2 2,135,984
Citibank Credit Card Trust
1,825,000 5.850% 04/10/03 1,844,281
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
17
<PAGE>
LIMITED MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
ASSET BACKED OBLIGATIONS (CONTINUED)
------------------------------------
<S> <C> <C>
Discovery Card Master Trust
$ 1,550,000 5.750% 10/16/03 $ 1,564,438
Premier Auto Trust
1,230,000 6.340% 01/06/02 Series 1997-3 1,252,220
Western Financial Grantor Trust
650,000 6.400% 07/20/02 663,036
-------
TOTAL ASSET BACKED OBLIGATIONS 9,029,636
CORPORATE OBLIGATIONS 34.3%
---------------------
BANKS 2.5%
-----
Nations Bank
2,250,000 5.750% 03/15/01 2,263,732
COMPUTER & OFFICE EQUIPMENT 2.2%
---------------------------
International Business Machine Corporation
2,000,000 6.375% 06/15/00 2,032,130
FINANCIAL 22.3%
---------
Associates Corporation
1,740,000 5.850% 01/15/01 1,753,360
American Express Credit Corporation
650,000 6.125% 11/15/01 661,587
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
18
<PAGE>
LIMITED MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
CORPORATE OBLIGATIONS (CONTINUED)
----------------------------------
FINANCIAL (CONTINUED)
---------------------
<S> <C> <C>
CIT Group Holdings
$ 2,500,000 6.000% 05/08/01 $ 2,527,065
Citicorp Capital
1,570,000 6.650% 05/15/00 1,598,221
Commercial Credit
2,100,000 6.750% 05/15/00 2,138,115
Ford Credit Grantor Trust
2,275,000 6.375% 10/06/00 Series 2,312,847
General Electric Capital Corporation
1,140,000 5.600% 01/14/00 1,144,083
1,250,000 5.920% 04/03/01 1,266,905
General Motors Acceptance Corporation Grantor Trust
1,600,000 5.800% 04/09/01 1,613,094
International Lease Financial Corporation
1,130,000 6.375% 01/18/00 1,139,883
700,000 6.200% 05/01/00 706,619
Merrill Lynch Corporation
1,250,000 6.050% 03/06/01 1,262,636
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
19
<PAGE>
LIMITED MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
CORPORATE OBLIGATIONS (CONTINUED)
----------------------------------
FINANCIAL (CONTINUED)
---------------------
<S> <C> <C>
Norwest Financial Corporation
$ 2,050,000 7.250% 03/15/00 $ 2,092,023
---------
20,216,438
RETAIL STORES 7.3%
-------------
J.C. Penney Incorporated
1,750,000 6.950% 04/01/00 1,776,065
1,600,000 6.375% 09/15/00 1,621,139
Wal-Mart Stores
3,000,000 9.100% 07/15/00 3,180,472
---------
6,577,676
TOTAL CORPORATE OBLIGATIONS 31,089,976
----------
Total Long-Term Obligations
(Cost $88,295,827) 88,867,148
----------
Total Investments
(Cost basis $88,295,827) 98.1% 88,867,148
Cash and Other Assets, Less
Liabilities 1.9% 1,687,553
---------
Total Net Assets 100.0% $ 90,554,701
------------
------------
</TABLE>
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
20
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1998
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL
---------
EQUITIES 97.8% MARKET VALUE
-------- ------------
AIR TRANSPORTATION 0.7%
------------------
<S> <C> <C>
8,000 AMR Corporation $ 475,000
6,400 Delta Airlines 332,800
-------
807,800
AUTOMOTIVE 5.1%
----------
4,700 Cummins Engine 166,850
1,558 DaimlerChrysler 149,665
24,700 Ford Motor Company 1,449,581
8,100 General Motors Corporation 579,656
42,500 Lear Corporation 1,636,250
13,000 Ryder System 338,000
95,000 Volkswagen ADR 1,517,245
---------
5,837,247
BANKS 7.7%
-----
26,744 Banc One Corporation 1,365,616
3,000 Bank of New York Corporation 120,750
16,492 BankAmerica Corporation 991,582
4,400 Bank Boston Corporation 171,325
18,800 Chase Manhattan 1,279,575
884 Citigroup Incorporated 43,758
30,000 Corporation Bancaria Espana ADR 1,545,000
4,300 First Union Corporation 261,494
11,100 Fleet Financial Group, Incorporated 496,031
82,000 Pacific Century Financial Corporation 1,998,750
1,300 PNC Financial Corporation 70,363
900 Sun Trust Banks, Incorporated 68,850
2,400 U.S. Bancorp 85,200
1,722 Washington Mutual, Incorporated 65,759
3,100 Wells Fargo Company 123,806
-------
8,687,859
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
21
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL
---------
EQUITIES (CONTINUED) MARKET VALUE
-------------------- ------------
BASIC INDUSTRIES 0.3%
----------------
<S> <C> <C>
1,000 Alcan Aluminum Ltd. $ 27,063
15,900 USX- US Steel 365,700
-------
392,763
BUILDING & HOUSING 0.7%
------------------
6,500 Centex Corporation 292,906
16,200 Pulte Corporation 450,563
-------
743,469
BUSINESS MECHANICS & SOFTWARE 4.8%
-----------------------------
2,800 American Online Incorporated 448,000
1,700 General Instruments Corporation 57,694
15,300 Intel Corporation 1,814,006
120,000 Novell 2,175,000
8,500 Xerox Corporation 1,003,000
---------
5,497,700
BUSINESS SERVICE 3.0%
----------------
300 Eastmen Kodak 216,000
57,000 First Data 1,806,188
52,800 Wallace Computer Services Incorporated 1,392,600
---------
3,414,788
CHEMICALS 0.9%
---------
8,600 Dow Chemical Company 782,063
3,800 E.I. duPont de Nemours and Company 201,638
900 PPG Industries 52,425
900 Rohm & Haas Company 27,113
------
1,063,239
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
22
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL
---------
EQUITIES (CONTINUED) MARKET VALUE
-------------------- ------------
COMMUNICATION 0.1%
-------------
<S> <C> <C>
800 Comcast Corporation $ 46,950
500 Interpublic Group Companies 39,875
------
86,825
CONSTRUCTION 1.1%
------------
2,500 Nacco Industries 230,000
34,000 Masco Corporation 977,500
-------
1,207,500
CONSUMER NON-DURABLES 0.9%
---------------------
14,300 Bandag Incorporated 571,106
2,000 Colgate Palmolive Company 185,750
3,300 Warner-Lambert Company 248,119
-------
1,004,975
CONTAINER 1.1%
---------
42,000 Crown Cork & Seal 1,294,125
COMPUTER & OFFICE EQUIPMENT 10.2%
---------------------------
9,000 Apple Computers Incorporated 368,438
31,100 Computer Associates International Incorporated 1,325,638
13,600 Compaq Computers Corporation 570,350
3,600 Computer Sciences 231,975
8,300 Cisco Systems Incorporated 770,344
8,900 Dell Computer Corporation 651,369
3,000 EMC Corporation Massachusetts 255,000
2,600 Hewlett-Packard Company 177,613
15,700 International Business Machines Corporation 2,900,575
14,100 Microsoft Corporation 1,955,494
1,200 Pitney Bowes Incorporated 79,275
26,400 Sun Microsystems* 2,260,500
1,700 Unisys Corporation 58,544
------
11,605,115
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
23
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL
---------
EQUITIES (CONTINUED) MARKET VALUE
-------------------- ------------
ELECTRONICS 3.7%
-----------
<S> <C> <C>
8,400 General Electric Company $ 857,325
700 Honeywell 52,719
24,500 Phillips Electronics 1,658,344
109,200 Vishay Intertechnology Incorporated 1,583,400
---------
4,151,788
ENERGY & RELATED (RAW MATERIALS) 0.1%
--------------------------------
1,100 McDermott International 27,156
ENTERTAINMENT & LEISURE 0.5%
-----------------------
4,600 Brunswick Corporation 113,850
6,400 King World Productions Incorporated 188,400
2,800 McDonald's Corporation 214,550
1,200 Service Corporation International 45,675
------
562,475
FINANCIAL COMPANY 0.5%
-----------------
2,100 American Express Company 214,725
900 Capital One Financial Corporation 103,500
3,300 Lehman Brothers Holdings 145,406
700 Merrill Lynch Company 46,725
900 National City Corporation 65,250
------
575,606
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
24
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL
---------
EQUITIES (CONTINUED) MARKET VALUE
-------------------- ------------
FINANCIAL SERVICE 3.8%
-----------------
<S> <C> <C>
3,074 Associates First Capital Corporation $ 130,261
800 Conseco Incorporated 24,450
600 Countrywide Credit Industries Incorporated 30,113
25,000 Equifax 854,688
25,600 Fannie Mae 1,894,400
2,000 MBIA Corporation 49,875
8,270 Morgan Stanley Group Incorporated 587,170
15,500 Student Loan Corporation 695,563
-------
4,266,520
FOOD, BEVERAGES & TOBACCO 2.6%
-------------------------
16,500 Anheuser-Busch Companies, Incorporated 1,082,813
36,500 Conagra Incorporated 1,149,750
5,700 Coors Adolph 321,694
11,300 McCormick and Company 382,081
1,400 Sysco Corporation 38,413
------
2,974,751
GOLD & PRECIOUS METALS 1.1%
----------------------
2,800 Barrick Gold Corporation 54,600
93,000 De Beers Construction Mines ADR 1,185,750
---------
1,240,350
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
25
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL
---------
EQUITIES (CONTINUED) MARKET VALUE
-------------------- ------------
HEALTH CARE 10.7%
-----------
<S> <C> <C>
58,600 Abbott Labs Company $ 2,871,400
12,600 American Home Products Corporation 709,538
26,200 Baxter International Incorporated 1,684,988
4,000 Becton Dickinson Company 170,750
8,400 Bristol-Meyers/ Squibb 1,124,025
4,500 Eli Lilly 399,938
800 Guidant Corporation 88,200
5,500 Johnson & Johnson 461,313
56,000 Mallincrokdt Incorporated 1,725,500
2,000 Medtronic Incorporated 148,500
6,400 Merck & Company 945,200
3,600 Pfizer Incorporated 451,575
12,600 Schering Plough Corporation 696,150
25,000 St. Jude Medical * 692,188
-------
12,169,265
INSURANCE 2.0%
---------
31,702 Allstate Corporation 1,224,490
1,600 American General Corporation 124,800
5,600 Cigna Corporation 432,950
1,100 Hartford Financial Services 60,363
450 Jefferson Pilot 33,750
3,300 Providian Financial Corporation 247,500
600 SAFECO Corporation 25,763
1,400 SunAmerica 113,575
300 Transamerica Corporation 34,650
------
2,297,841
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
26
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL
---------
EQUITIES (CONTINUED) MARKET VALUE
-------------------- ------------
METAL & MINERAL 1.2%
---------------
<S> <C> <C>
32,000 Minerals Technologies, Incorporated $ 1,310,000
PAPER & FOREST PRODUCTS 0.6%
-----------------------
5,800 Kimberly Clark 316,100
10,400 Mead Corporation 304,850
1,200 Weyerhaeuser Company 60,975
------
681,925
PETROLEUM 5.7%
---------
19,000 Amoco Corporation 1,121,000
1,900 Ashland Incorporated 91,913
2,900 Atlantic Richfield 189,225
450 Columbia Energy Group 25,988
10,700 Exxon Corporation 782,438
9,500 Mobil Corporation 827,688
13,700 Phillips Petroleum Company 583,963
88,400 R&B Falcon Corporation 674,050
1,900 Royal Dutch Petroleum ADR 90,963
3,200 Texaco 169,200
31,000 Transocean Offshore, Incorporated 831,188
38,000 YPF S.A. ADR 1,061,625
---------
6,449,241
PRINTING & PUBLISHING 0.5%
---------------------
39,500 Journal Register Company 592,500
RAILROADS 0.1%
---------
1,400 Burlington Northern Santa Fe Company 47,250
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
27
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL
---------
EQUITIES (CONTINUED) MARKET VALUE
-------------------- ------------
RESTAURANTS 1.4%
-----------
<S> <C> <C>
87,000 Dardeen Restaurants, Incorporated $ 1,566,000
RETAIL STORES 7.5%
-------------
1 Abercrombie & Fitch 70
2,000 Albertson's Incorporated 127,375
13,300 Dayton Hudson Corporation 721,525
900 Federated Department Stores 39,206
6,000 Home Depot 367,125
23,200 K Mart 355,250
2,500 Kroger 151,250
4,200 Loews Companies 214,988
55,000 Office Depot 2,031,563
2,300 Sears Roebuck & Company 97,750
43,100 Supervalu Incorporated 1,206,800
2,400 Tandy Corporation 98,850
55,100 The Limited Incorpoated 1,604,788
6,200 TJX Companies Incorporated 179,800
14,900 Wal-Mart Stores Incorporated 1,213,419
2,300 Walgreen Company 134,694
-------
8,544,453
SAVINGS & LOAN 0.1%
--------------
1,300 Federal Home Loan Mortgage Corporation 83,769
SERVICES 3.4%
--------
16,800 Caterpillar Incorporated 772,800
29,400 Cooper Industries 1,402,013
650 Ingersoll Rand Company 30,509
10,000 John Deere & Company 331,250
41,500 Raychem 1,340,969
---------
3,877,541
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
28
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL
---------
EQUITIES (CONTINUED) MARKET VALUE
-------------------- ------------
TECHNOLOGY 1.6%
----------
<S> <C> <C>
800 Amgen $ 83,650
34,000 Electronic Data Systems Corporation 1,708,500
1,600 Northern Telecom 80,200
------
1,872,350
TELECOMMUNICATION 4.0%
-----------------
22,300 Airtouch Communications 1,608,388
40,000 COMSAT Corporation 1,440,000
13,074 Lucent Technologies 1,438,140
---------
4,486,528
TEXTILE & APPAREL 0.7%
-----------------
1,400 CVS Corporation 77,000
17,500 Spring Industries 725,156
-------
802,156
TRAVEL & RECREATION 0.8%
-------------------
38,000 Budget Group Incorporated 603,250
9,300 Walt Disney Company 279,000
-------
882,250
UTILITIES-ELECTRIC 0.4%
------------------
8,300 Consolidated Edison 438,863
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
29
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL
---------
EQUITIES (CONTINUED) MARKET VALUE
-------------------- ------------
UTILITIES-ENERGY 1.8%
----------------
<S> <C> <C>
900 American Electric Power Company $ 42,356
1,000 Coastal Corporation 34,938
12,000 DTE Energy Company 514,500
900 FPL Group Incorporated 55,463
100 Niagara Mohawk Power 1,613
1,900 PECO Energy Company 79,088
35,800 PG&E Corporation 1,127,700
3,100 Public Service Enterprises 124,000
900 Unicom Corporation 34,706
------
2,014,364
UTILITIES-TELEPHONE 5.8%
-------------------
19,200 American Telephone and Telegraph 1,444,800
39,500 Ameritech Corporation 2,503,313
14,100 Bell Atlantic Corporation 747,300
10,000 GTE Corporation 650,000
5,500 Mediaone Group 258,500
14,800 US West Incorporated 956,450
-------
6,560,363
MISCELLANEOUS 0.6%
-------------
32 Berkshire Hataway, Inc 74,025
9,200 Unilever 763,005
-------
837,030
TOTAL COMMON STOCK (COST $90,488,267) 110,955,740
</TABLE>
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
30
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL
---------
SHORT-TERM OBLIGATIONS 2.4% AMORTIZED COST
---------------------- --------------
DEMAND NOTES 2.4%
------------
<S> <C> <C>
Firstar Bank Demand Note
$ 900,189 5.378% 12/31/31 $ 900,189
General Mills Demand Note
557,589 5.233% 12/31/31 557,589
Sara Lee Demand Note
73,225 5.228% 12/31/31 73,225
Pitney Bowes Demand Note
139,214 5.233% 12/31/31 139,214
Wisconsin Corporation Credit Union Demand Note
67,907 5.298% 12/31/31 67,907
Wisconsin Electric Demand Note
1,016,519 5.174% 12/31/31 1,016,519
---------
(AMORTIZED COST $2,754,643) 2,754,643
---------
TOTAL INVESTMENTS
(COST BASIS $93,242,910) 100.2% 113,710,383
CASH AND OTHER ASSETS, LESS LIABILITIES -0.2% (194,709)
--------
TOTAL NET ASSETS 100.0% $ 113,515,674
--------------
--------------
</TABLE>
* NON-INCOME PRODUCING STOCKS.
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
31
<PAGE>
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1998
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL
---------
EQUITIES 69.7% MARKET VALUE
-------- ------------
AUTOMOTIVE 4.5%
----------
<S> <C> <C>
35,000 Lear Corporation $ 1,347,500
90,000 Volkswagen ADR 1,437,390
---------
2,784,890
BANKS 5.6%
-----
24,500 Banc One Corporation 1,251,031
20,000 Corp Bancaria Espana ADR 1,030,000
49,000 Pacific Century Financial Corporation 1,194,375
---------
3,475,406
BUSINESS MECHANICS & SOFTWARE 3.7%
-----------------------------
90,000 Novell 1,631,250
6,000 Xerox Corporation 708,000
-------
2,339,250
BUSINESS SERVICES 4.4%
-----------------
46,000 First Data 1,457,625
50,000 Wallace Computer Services Incorporated 1,318,750
---------
2,776,375
COMPUTERS & OFFICE EQUIPMENT 4.9%
----------------------------
23,000 Computer Associates International Incorporated 980,375
4,000 International Business Machines Corporation 739,000
16,000 Sun Microsystems* 1,370,000
---------
3,089,375
CONSTRUCTION 1.1%
------------
23,000 Masco Corporation 661,250
CONSUMER NON-DURABLES 0.8%
---------------------
13,000 Bandag Incorporated 519,188
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
32
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL
---------
EQUITIES (CONTINUED) MARKET VALUE
-------------------- ------------
CONTAINER 1.8%
---------
<S> <C> <C>
36,000 Crown Cork & Seal $ 1,109,250
ELECTRONICS 1.4%
-----------
59,193 Vishay Intertechnology Incorporated 858,299
FINANCIAL SERVICES 4.6%
-------------------
30,000 Equifax 1,025,625
17,400 Fannie Mae 1,287,600
12,000 Student Loan Corporation 538,500
-------
2,851,725
FOOD, BEVERAGES & TOBACCO 2.6%
-------------------------
17,000 Anheuser-Busch Companies, Incorporated 1,115,625
14,800 McCormick and Company 500,425
-------
1,616,050
GOLD & PRECIOUS METALS 1.1%
----------------------
56,000 De Beers Construction Mines ADR 714,000
HEALTH CARE 6.8%
-----------
21,000 Abbott Labs 1,029,000
20,000 Baxter International Incorporated 1,286,250
40,000 Mallincrokdt Incorporated 1,232,500
25,500 St. Jude Medical* 706,031
-------
4,253,781
METAL & MINERAL 1.4%
---------------
21,300 Minerals Technologies, Incorporated 871,969
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
33
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL
---------
EQUITIES (CONTINUED) MARKET VALUE
-------------------- ------------
PETROLEUM 3.4%
---------
<S> <C> <C>
37,140 R&B Falcon Corporation $ 283,193
32,000 Transocean Offshore, Incorporated 858,000
36,000 YPF S.A. ADR 1,005,750
---------
2,146,943
POLLUTION CONTROL 2.2%
-----------------
20,000 Philip Services Corporation 1,353,750
PRINTING & PUBLISHING 1.2%
---------------------
48,000 Journal Register Company 720,000
RESTAURANTS 2.0%
-----------
70,000 Dardeen Restaurants, Incorporated 1,260,000
RETAIL STORES 5.1%
-------------
50,000 Office Depot 1,846,875
46,000 The Limited Incorporated 1,339,750
---------
3,186,625
SERVICES 3.4%
--------
24,700 Cooper Industries 1,177,881
30,000 Raychem 969,375
-------
2,147,256
TECHNOLOGY 2.5%
----------
31,000 Electronic Data Systems Corporation 1,557,750
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
34
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL
---------
EQUITIES (CONTINUED) MARKET VALUE
-------------------- ------------
TELECOMMUNICATION 3.3%
-----------------
<S> <C> <C>
14,500 Airtouch Communications $ 1,045,813
28,500 COMSAT Corporation 1,026,000
---------
2,071,813
TRAVEL & RECREATION 0.7%
-------------------
27,000 Budget Group Incorporated 428,625
UTILITIES -TELEPHONE 1.2%
--------------------
13,000 Ameritech Corporation 823,875
-------
TOTAL COMMON STOCK (COST $35,298,339) 43,617,445
TOTAL LONG-TERM OBLIGATIONS 27.9%
----------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS 19.4%
--------------------------------------
United States Treasury Bonds
$ 991,000 6.375% 08/15/27 1,139,960
70,000 5.500% 08/15/28 73,391
United States Treasury Inflation Index
124,205 3.375% 01/15/07 119,741
1,157,168 3.625% 01/15/08 1,134,748
1,622,224 3.625% 04/15/28 1,581,162
United States Treasury Notes
1,790,000 5.250% 08/15/03 1,835,310
</TABLE>
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
35
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL
---------
TOTAL LONG-TERM OBLIGATIONS (CONTINUED) MARKET VALUE
--------------------------------------- ------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
--------------------------------------------------
<S> <C> <C>
United States Treasury Strips
$ 210,000 0.000% 02/15/23 $ 56,623
Federal Home Loan Mortgage Corporation
600,000 5.500% 01/01/29 592,686
Federal National Mortgage Association
(mortgage-backed securities)
222,216 9.000% 08/01/07 233,634
600,000 6.000% 01/01/29 592,128
500,000 6.000% 01/01/29 495,470
300,000 6.500% 01/01/29 304,125
300,000 6.500% 01/01/29 301,968
Government National Mortgage Association
(mortgage-backed securities)
694,324 6.500% 09/15/28 702,141
785,000 6.500% 01/01/29 793,093
85,188 10.000% 12/15/20 93,894
1,000,000 7.500% 01/01/29 1,023,440
600,000 7.500% 01/01/29 618,378
Student Loan Marketing Association
517,005 5.790% 04/25/06 460,762
-------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS 12,152,654
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
36
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL
---------
TOTAL LONG-TERM OBLIGATIONS (CONTINUED) MARKET VALUE
--------------------------------------- ------------
ASSET BACKED OBLIGATIONS 2.3%
------------------------
<S> <C> <C>
Chase Commingled Mortgage Security
$ 287,000 7.370% 02/19/07 $ 306,340
CS First Boston Mortgage
96,705 6.260% 12/17/07 99,055
Chevy Chase Home Loan
123,025 7.150% 05/15/15 Series 1996-1 125,640
Ford Motor Company
180,000 7.700% 05/15/97 208,352
Green Tree Financial Corporation
120,200 6.900% 02/15/04 119,349
90,618 7.850% 07/15/04 91,552
Keystone Owner Trust
76,559 6.620% 11/25/08 Series 1998-P1 76,559
Merrill Lynch Mortgage Investors
100,000 6.960% 11/21/28 Series 1996-C2 106,352
Nomura Asset Securities Corporation
70,000 7.120% 04/13/36 Series 1996-M 75,569
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
37
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL
---------
TOTAL LONG-TERM OBLIGATIONS (CONTINUED) MARKET VALUE
--------------------------------------- ------------
ASSET BACKED OBLIGATIONS (CONTINUED)
------------------------------------
<S> <C> <C>
Resolution Trust Corporation
$ 250,012 7.076% 06/25/24 $ 247,323
-------
TOTAL ASSET BACKED OBLIGATIONS 1,456,091
CORPORATE OBLIGATIONS 5.7%
---------------------
COMMUNICATION 0.2%
-------------
Continental Cablevision Incorporated
100,000 9.000% 09/01/08 117,261
ELECTRONICS 0.2%
-----------
System Energy
129,308 7.430% 01/15/11 137,247
FINANCIAL 2.8%
---------
British Aerospace Financial
350,000 7.500% 07/01/27 387,791
General Electric Capital Corporation
260,000 8.200% 10/30/03 295,064
General Motors Acceptance Corporation
250,000 0.000% 06/15/15 effective yield 6.54% 91,029
400,000 6.750% 05/01/28 418,468
196,543 6.150% 11/15/07 199,764
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
38
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL
---------
TOTAL LONG-TERM OBLIGATIONS (CONTINUED) MARKET VALUE
--------------------------------------- ------------
FINANCIAL (CONTINUED)
---------------------
<S> <C> <C>
JPM Capital Trust
$ 20,000 7.950% 02/01/27 $ 21,541
Zurich Capital Trust
300,000 8.376% 06/01/37 334,173
-------
1,747,830
FOOD, BEVERAGES & TOBACCO 0.4%
-------------------------
J Seagram & Sons
80,000 6.400% 12/15/03 79,501
50,000 6.800% 12/15/08 49,884
150,000 7.500% 12/15/18 150,930
-------
280,315
INDUSTRIAL 0.3%
----------
Nabisco Incorporated
200,000 6.375% 02/01/35 197,963
TELECOMMUNICATION 0.3%
-----------------
Sprint Capital Corporation
50,000 6.125% 11/15/08 51,112
TCI Communications Incorporated
120,000 6.375% 05/01/03 124,265
-------
175,377
MISCELLANEOUS 0.4%
-------------
News American Holdings
100,000 8.875% 04/26/23 121,330
100,000 7.625% 11/30/28 106,999
-------
228,329
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
39
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL
---------
TOTAL LONG-TERM OBLIGATIONS (CONTINUED) MARKET VALUE
--------------------------------------- ------------
INTERNATIONAL 1.1%
-------------
<S> <C> <C>
Dryden Investor Trust
$ 300,000 7.157% 07/23/08 $ 291,600
Manitoba Province
90,000 9.500% 09/15/18 125,820
Petrozuata Financial Guarantee
110,000 8.220% 04/01/17 91,713
YPF Sociedad Anonima
200,000 7.750% 08/27/07 177,277
-------
686,410
-------
TOTAL CORPORATE OBLIGATIONS 3,570,732
---------
PREFERRED OBLIGATIONS 0.5%
---------------------
IBJ Preferred Capital Company
80,000 8.790% 12/29/49 68,925
SB Treasury Company
190,000 9.400% 12/29/49 180,833
-------
TOTAL PREFERRED OBLIGATIONS 249,758
-------
TOTAL LONG-TERM OBLIGATIONS
(COST $17,103,250) 17,429,235
----------
</TABLE>
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
40
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL
---------
SHORT-TERM OBLIGATIONS 10.8% AMORTIZED COST
---------------------- --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS 0.2%
--------------------------------------
<S> <C> <C>
Federal National Mortgage Association
(A) $ 100,000 5.200% 02/17/99 $ 99,321
------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS 99,321
DEMAND NOTES 10.6%
------------
Firstar Bank Demand Note
1,294,519 5.378% 12/31/31 1,294,519
General Mills Demand Note
1,362,818 5.237% 12/31/31 1,362,818
Sara Lee Demand Note
896,695 5.228% 12/31/31 896,695
Pitney Bowes Demand Note
1,154,439 5.233% 12/31/31 1,154,439
Warner Lambert Demand Note
752,457 5.176% 12/31/31 752,457
Wisconsin Corp Center Credit Union Demand Note
269,526 5.298% 12/31/31 269,526
Wisconsin Electric Demand Note
932,507 5.174% 12/31/31 932,507
-------
TOTAL DEMAND NOTES 6,662,961
TOTAL SHORT-TERM OBLIGATIONS
(AMORTIZED COST $6,762,282) 6,762,282
---------
</TABLE>
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
41
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL
---------
NUMBER OF CONTRACTS MARKET VALUE
------------------- ------------
OPTIONS-PURCHASED 0.0%
-----------------
<S> <C> <C>
Call Options Eurodollar Futures
10 Exercise Price $95.00, Expiring January 1999 1,750
Call Options Eurodollar Futures
10 Exercise Price $94.50, Expiring March1999 13,750
------
TOTAL OPTIONS PURCHASED 15,500
(COST $14,818) ------
TOTAL INVESTMENTS
(COST BASIS $59,163,871) 67,824,462
----------
OPTIONS-WRITTEN 0.0%
---------------
Call Options Treasury Bond
2 Exercise Price $114.50, Expiring February 1999 (966)
Call Options Treasury Bond
5 Exercise Price $134.00, Expiring February 1999 (1,719)
Call Options Bond Futures
7 Exercise Price $124.00, Expiring February 1999 (4,265)
Call Options Bond Futures
1 Exercise Price $128.00, Expiring February 1999 (2,031)
TOTAL OPTIONS WRITTEN (PREMIUMS RECEIVED $11,361) (8,981)
------
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
42
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
<S> <C> <C>
TOTAL INVESTMENTS NET OF
OUTSTANDING WRITTEN OPTIONS 108.4% 67,815,481
CASH AND OTHER ASSETS, LESS
LIABILITIES -8.4% (5,256,491)
----------
TOTAL NET ASSETS 100.0% $ 62,558,990
-------------
-------------
</TABLE>
* NON-INCOME PRODUCING STOCKS.
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL
PART OF THIS SCHEDULE.
43
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
(A) $100,000 OF U.S. TREASURY BILLS PLEDGED AS MARGIN FOR FUTURES CONTRACTS. THE
PORTFOLIO HAD THE FOLLOWING OPEN FUTURES CONTRACTS AT DECEMBER 31, 1998:
OPEN FUTURES CONTRACTS:
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF PRINCIPAL GAINS (LOSSES)
TYPE CONTRACTS AMOUNT POSITION EXPIRATION DECEMBER 31, 1998
---- --------- --------- -------- ---------- -----------------
<S> <C> <C> <C> <C> <C>
5 Year U.S. Treasury Notes 20 20,000 Long March 1999 ($11,486)
10 Year U.S. Treasury Notes 19 19,000 Short March 1999 20,326
U.S. Govt Bond Futures 6 6,000 Long March 1999 361
---
$9,201
------
</TABLE>
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
44
<PAGE>
AHA INVESTMENT FUNDS, INC.
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
FULL LIMITED
MATURITY MATURITY DIVERSIFIED
FIXED INCOME FIXED INCOME EQUITY BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at market value $ 83,956,900 $ 88,867,148 $ 113,710,383 $ 67,824,459
Receivable for investments sold 6,942,666 0 1,560,777 1,906,797
Cash 0 138,812 102 6,601
Dividends and interest receivable 1,056,835 1,571,206 123,712 257,612
Futures variation margin (1,219) 0 0 (469)
Prepaid Insurance 2,917 5,337 2,657 3,626
------------ -------------- -------------- ------------
Total Assets $ 91,958,099 $ 90,582,503 $ 115,397,631 $ 69,998,626
------------ -------------- -------------- ------------
------------ -------------- -------------- ------------
LIABILITIES:
Payable for investments purchased $ 15,417,211 $ 0 $ 1,864,388 $ 7,404,916
Payable for options 21,640 0 0 8,984
Accrued expenses and other liabilities 19,872 27,802 17,569 25,736
------------ -------------- -------------- ------------
Total Liabilities 15,458,723 27,802 1,881,957 7,439,636
------------ -------------- -------------- ------------
NET ASSETS $ 76,499,376 $ 90,554,701 $ 113,515,674 $ 62,558,990
------------ -------------- -------------- ------------
------------ -------------- -------------- ------------
Net Assets consist of:
Capital Stock ($0.01 par value and
200 million shares authorized) and
Paid-in Capital $ 75,107,172 $ 92,162,084 $ 91,616,668 $ 53,469,650
Undistributed net investment income 0 0 51,664 726,149
Accumulated net realized gain
(loss) on investments sold (394,373) (2,178,704) 1,379,869 (297,397)
Net unrealized appreciation of
investments and futures 1,786,577 571,321 20,467,473 8,660,588
------------ -------------- -------------- ------------
TOTAL NET ASSETS $ 76,499,376 $ 90,554,701 $ 113,515,674 $ 62,558,990
------------ -------------- -------------- ------------
------------ -------------- -------------- ------------
Number of Shares Outstanding at
the end of period 7,421,762 8,776,762 5,747,326 4,626,996
------------ --------------- -------------- ------------
NET ASSET VALUE PER SHARE $ 10.31 $ 10.32 $ 19.75 $ 13.52
------------ --------------- -------------- ------------
------------ --------------- -------------- ------------
</TABLE>
The accompanying notes to the financial statements are an integral part of these
statements.
- --------------------------------------------------------------------------------
45
<PAGE>
AHA INVESTMENT FUNDS, INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------
FULL LIMITED
MATURITY MATURITY DIVERSIFIED
FIXED INCOME FIXED INCOME EQUITY BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income $ 2,310,741 $ 3,015,867 $ 75,918 $ 584,435
Dividends 0 0 758,609 250,789
------------ ------------ ------------ ------------
Total investment income $ 2,310,741 $ 3,015,867 $ 834,527 $ 835,224
EXPENSES:
Custodian fees $ 12,590 $ 11,724 $ 10,340 $ 13,806
Accounting fees 24,578 21,606 17,720 15,417
Transfer agent fees 5,651 8,096 7,343 4,208
Legal fees 4,180 4,180 4,180 4,180
Audit and tax return fees 6,387 6,388 6,388 6,388
Director fees and expenses 2,592 2,592 2,592 2,592
Officers and directors insurance 3,494 6,404 3,189 4,351
Administrative and other fees 6,015 5,530 7,778 6,133
------------- ------------ ------------ ------------
Total Expenses $ 65,487 $ 66,520 $ 59,530 $ 57,075
NET INVESTMENT INCOME $ 2,245,254 $ 2,949,347 $ 774,997 $ 778,149
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gain on investments sold $ 554,602 $ 948,951 $ 2,154,863 $ 1,882,189
Net realized gain on closed
futures and options contracts 109,930 0 0 50,336
Net change in unrealized appreciation
(depreciation) of investments
futures, and options 332,291 141,885 3,348,667 (393,520)
------------ ------------ ------------ ------------
NET GAIN ON INVESTMENTS $ 996,823 $ 1,090,836 $ 5,503,530 $ 1,539,005
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ 3,242,077 $ 4,040,183 $ 6,278,527 $ 2,317,154
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
The accompanying notes to the financial statements are an integral part of these
statements.
- --------------------------------------------------------------------------------
46
<PAGE>
AHA INVESTMENT FUNDS, INC.
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
FULL MATURITY LIMITED MATURITY
FIXED INCOME PORTFOLIO FIXED INCOME PORTFOLIO
------------------------------------ --------------------------------------
YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED
JUNE 30, 1998 DECEMBER 31, 1998 JUNE 30, 1998 DECEMBER 31, 1998
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 3,918,929 $ 2,245,254 $ 7,056,403 $ 2,949,347
Net realized gain (loss) on
investments sold and closed
futures and options contracts 775,137 664,532 603,041 948,951
Net change in unrealized
appreciation of investments,
futures and options 1,500,369 332,291 111,803 141,885
------------ ------------- ------------ ------------
Net increase in net assets
resulting from operations 6,194,435 3,242,077 7,771,247 4,040,183
------------ ------------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment
income (3,918,929) (2,245,254) (7,056,403) (2,949,347)
Capital gains distributions -- -- -- --
------------ ------------- ------------ ------------
Net decrease in net assets
resulting from distributions $ (3,918,929) $ (2,245,254) $ (7,056,403) $ (2,949,347)
SHARE TRANSACTIONS:
Subscriptions of fund shares 19,714,754 7,801,377 66,599,835 10,123,720
Investment income dividends
reinvested 3,905,490 2,280,907 6,698,745 2,910,068
Capital gains distributions
reinvested -- -- -- --
------------ ------------- ------------ ------------
Gross increase in fund shares 23,620,244 10,082,284 73,298,580 13,033,788
Redemptions of fund shares (4,862,697) (6,409,069) (85,320,203) (53,286,519)
------------ ------------- ------------ ------------
Net increase (decrease) from
share transactions 18,757,547 3,673,215 (12,021,623) (40,252,731)
------------ ------------- ------------ ------------
Net increase (decrease) in net
assets $ 21,033,053 $ 4,670,038 $(11,306,779) $(39,161,895)
TOTAL NET ASSETS
Beginning of period 50,796,285 71,829,338 141,023,375 129,716,596
------------ ------------- ------------ ------------
End of period $ 71,829,338 $ 76,499,376 $129,716,596 $ 90,554,701
------------ ------------- ------------ ------------
------------ ------------- ------------ ------------
Undistributed net investment
income $ 0 $ 0 $ 0 $ 0
------------ ------------- ------------ ------------
------------ ------------- ------------ ------------
</TABLE>
The accompanying notes to the financial statements are an integral part of these
statements.
- --------------------------------------------------------------------------------
47
<PAGE>
AHA INVESTMENT FUNDS, INC.
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
DIVERSIFIED EQUITY PORTFOLIO BALANCED PORTFOLIO
------------------------------------- --------------------------------------
YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED
JUNE 30, 1998 DECEMBER 31, 1998 JUNE 30, 1998 DECEMBER 31, 1998
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 1,155,391 $ 774,997 $ 1,670,427 $ 778,149
Net realized gain on
investments sold and closed
futures and options contracts 14,530,821 2,154,863 7,424,058 1,932,525
Net change in unrealized
appreciation of investments,
futures, and options 910,168 3,348,667 283,712 (393,520)
Net increase in net assets
resulting from operations 16,596,380 6,278,527 9,378,197 2,317,154
------------ ------------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment
income (1,146,547) (777,899) (1,662,939) (829,627)
Capital gains distribution (14,645,221) (8,635,723) (7,943,151) (5,761,408)
------------ ------------- ------------ ------------
Net decrease in net assets
resulting from distributions $(15,791,768) $ (9,413,622) $ (9,606,090) $ (6,591,035)
SHARE TRANSACTIONS:
Subscriptions of fund shares 20,167,552 23,863,918 8,202,099 1,380,210
Investment income dividends
reinvested 1,146,547 777,899 1,377,522 690,723
Capital gains distributions
reinvested 14,645,221 8,635,723 6,594,632 5,761,408
------------ ------------- ------------ ------------
Gross increase in fund shares 35,959,320 33,277,540 16,174,253 7,832,341
Redemptions of fund shares (21,618,574) (2,362,527) (8,723,903) (359,165)
------------ ------------- ------------ ------------
Net increase from
share transactions 14,340,746 30,915,013 7,450,350 7,473,176
------------ ------------- ------------ ------------
Net increase in net assets $ 15,145,358 $ 27,779,918 $ 7,222,457 $ 3,199,295
TOTAL NET ASSETS
Beginning of period 70,590,398 85,735,756 52,137,238 59,359,695
------------ ------------- ------------ ------------
End of period $ 85,735,756 $ 113,515,674 $ 59,359,695 $ 62,558,990
------------ ------------- ------------ ------------
------------ ------------- ------------ ------------
Undistributed net investment
income $ 54,567 $ 51,664 $ 777,628 $ 726,149
------------ ------------- ------------ ------------
------------ ------------- ------------ ------------
</TABLE>
The accompanying notes to the financial statements are an integral part of these
statements.
- --------------------------------------------------------------------------------
48
<PAGE>
AHA INVESTMENT FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1998
(UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1.
SIGNIFICANT ACCOUNTING POLICIES
The following are the significant accounting policies of Full Maturity Fixed
Income, Limited Maturity Fixed Income, Diversified Equity and Balanced
Portfolios (the "Portfolios"), each a series of AHA Investment Funds, Inc., a
Maryland corporation, ("Fund").
SECURITY VALUATIONS
All securities are recorded at fair market value as of December 31, 1998.
Securities traded on national securities exchanges are valued at last reported
sales prices or, if there are no sales, at the latest bid quotation. Each
over-the-counter security for which the last sale price is available from NASDAQ
is valued at that price. All other over-the-counter securities for which
reliable quotations are available are valued at the latest bid quotation.
Securities convertible into equity securities are valued at the greater of
latest bid valuation or net conversion value. Other assets and securities are
valued by a method that the Board of Directors believes represents a fair value.
ACCOUNTING FOR FUTURES
The Fund may enter into long or short positions in futures contracts in order to
hedge against the effect of changing values on portfolio securities held. When
the Fund enters into a futures contract, it is required to deposit, into a
segregated account at its custodian bank, U.S. Government securities as
guarantee that it will meet the futures commitment. Each day the Fund receives
or pays cash, called "variation margin," equal to the daily change in the market
value of the futures contracts. Such receipts and payments are recorded as
unrealized gains or losses until the futures contracts expire or are closed out.
Risks of entering into futures contracts include the possibility that there may
be an illiquid market at the time the Portfolios seek to close out a contract
and changes in the value of the futures contract may not correlate with changes
in the value of the portfolio securities being hedged. The Full Maturity
Fixed Income and Balanced Portfolios had open futures contracts as of
December 31, 1998.
ACCOUNTING FOR OPTIONS
The Fund may purchase and write (sell) put and call options on U.S.
securities, stock indices, and futures contracts that are traded on U.S.
securities exchanges and over-the-counter markets.
The risk associated with purchasing an option is that the Fund pays a premium
whether or not the option is exercised. Additionally, the Fund bears the risk
of loss of premium and change in market value should the counterparty not
perform under the contract. Put and call options purchased are accounted for
in the same manner as portfolio securities. The cost of securities acquired
through the exercise of call options is increased by premiums paid. The
proceeds from securities sold through the exercise of put options are
decreased by the premiums paid.
- --------------------------------------------------------------------------------
49
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
ACCOUNTING FOR OPTIONS (CONTINUED)
When the Fund writes an option, the premium received by the Fund is recorded
as a liability and is subsequently adjusted to the current market value of
the option written. Premiums received from writing options which expire
unexercised are recorded by the Fund on the expiration date as realized gains
from option transactions. The difference between the premium and the amount
paid on effecting a close purchase transaction, including brokerage
commissions, is also treated as a realized gain, or if the premium is less
than the amount paid for the closing purchase transaction, as a realized
loss. If a call option is exercised, the premium is added to the proceeds
from the sale of the underlying security or currency in determining whether
the Fund has realized a gain or loss. If a put option is exercised, the
premium reduces the cost basis of the security or currency purchased by the
Fund. In writing an option, the Fund bears the market risk of an unfavorable
change in the price of the security or currency underlying the written
option. Exercise of an option written by the Fund could result in the Fund
selling or buying a security or currency at a price different from the
current market value. Transactions in put options written for the six months
ended December 31, 1998, for the Fund were as follows:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
FULL MATURITY FIXED INCOME PORTFOLIO BALANCED PORTFOLIO
------------------------------------ ---------------------------
NUMBER OF PREMIUMS NUMBER OF PREMIUMS
CONTRACTS (000'S) CONTRACTS (000'S)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Options Outstanding at Beginning 21 $ 13,155 14 $ 8,786
of Period
Options Written 275 $ 179,169 101 $ 71,808
Options Terminated in Closing 223 $ 142,297 84 $ 62,941
Purchase Transactions
Options Expired 38 $ 14,033 16 $ 6,292
Options Outstanding 12/31/98 35 $ 35,994 15 $ 11,361
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
The Limited Maturity and Diversified Equity Portfolios did not purchase or hold
any options during the six month ended December 31, 1998.
- --------------------------------------------------------------------------------
50
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
INVESTMENT OPTIONS
FULL MATURITY FIXED INCOME PORTFOLIO
Seeks over the long term the highest level of income consistent with
preservation of capital. Invests primarily on high quality fixed income
securities. There is no restriction on the maximum maturity of the securities
purchased. The average dollar-weighted maturity will vary and may exceed 20
years.
LIMITED MATURITY FIXED INCOME PORTFOLIO
Seeks a high level of current income, consistent with preservation of capital
and liquidity. Invests primarily in high quality fixed income securities and
maintains an average dollar-weighted portfolio maturity of five years or less.
DIVERSIFIED EQUITY PORTFOLIO
Seeks long-term capital growth. Invests primarily in equity securities and
securities having equity characteristics.
BALANCED PORTFOLIO
Seeks a combination of growth of capital and income. Invests varying proportions
of its assets in equity and fixed income securities, with not less than 25
percent of total assets invested in fixed income securities.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with respect to any of the
types of securities in which they are authorized to invest without regard to
the maturity of the underlying security. Repurchase agreements will be
effected only with banks, savings institutions and broker-dealers. They
involve the purchase by a Portfolio of a debt security with the condition
that, after a stated period of time, the original seller will buy back the
same security at a predetermined price or yield. Repurchase agreements are
used to enhance liquidity and to earn income for periods as short as
overnight. To minimize risk, the securities underlying each repurchase
agreement will be maintained with the Fund's custodian, or a subcustodian, in
an amount at least equal in value to the repurchase price under the agreement
(including accrued interest thereunder), and such agreements will only be
effected with parties that meet certain creditworthiness standards. However,
in the event the other party to the repurchase agreement fails to repurchase
the securities subject to such agreement, a Portfolio could suffer a loss to
the extent it is precluded from selling the securities or, if due to delays,
proceeds from the same are less than the repurchase price. The Fund had no
outstanding repurchase agreements as of December 31, 1998.
- --------------------------------------------------------------------------------
51
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEDERAL INCOME TAXES
No provision is made for Federal Income Taxes since the Portfolios elect to be
taxed as "regulated investment companies" and make such distributions to their
shareholders as to be relieved of all Federal income taxes under provisions of
current Federal tax law. At June 30, 1998, the Funds' most recent fiscal year
end, the approximate capital loss carryforward for U.S. Federal income tax
purposes for the Full Maturity Fixed Income Portfolio and Limited Maturity
Fixed Income Portfolio were approximately $1.0 million and $3.1 million
respectively. This capital loss carryforward expires beginning in the year
ending June 30, 2003, and is available to offset future capital gains.
USE OF ESTIMATES
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of increases and decreases in net assets from operations
during the reporting period. Actual results could differ from those estimates.
OTHER INFORMATION
The accounts of the Fund are kept on the accrual basis of accounting. Securities
transactions are recorded on the trade date. Realized gains or losses from sales
of securities are determined on the specific identification cost basis. Dividend
income is recognized on the ex-dividend date.
NOTE 2.
FUND DISTRIBUTIONS
The Full Maturity Fixed Income Portfolio and the Limited Maturity Fixed Income
Portfolio declare income dividends from net investment income daily and pay
these dividends monthly, on the last day of every month.
In the Diversified Equity Portfolio and Balanced Portfolio, dividends from net
investment income are declared on the thirteenth day of the last month of each
quarter; the ex-dividend date is the fourteenth; and payment is made on the
fifteenth. The aggregate distributions of net investment income for the
Diversified Equity Portfolio and Balanced Portfolio were $0.15 and $0.20 per
share, respectively, during the six months ended December 31, 1998.
During the six months ended December 31, 1998, the Diversified Equity and
Balanced Portfolios made a long-term capital gain distribution of $1.628 and
$1.263 per share, respectively.
During the six months ended December 31, 1998, the Diversified Equity and
Balanced Portfolios made a short-term capital gain distribution of $0.015 and
$0.111 per share, respectively.
- --------------------------------------------------------------------------------
52
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 3.
DIRECTORS' FEES AND TRANSACTIONS WITH AFFILIATES
Directors not affiliated with Hewitt Associates LLC ("Hewitt") or American
Hospital Association ("AHA") receive $1,000 for each quarterly meeting and $500
for each special meeting of the Board of Directors, or committee thereof, (plus
travel expenses). No remuneration has been paid to any principal or employee of
the Fund's investment consultant, Hewitt, or any director or officer of AHA. The
investments of the Portfolios are managed by various advisory organizations
which serve as the investment managers. The Fund pays no fees to Hewitt or to
the investment managers.
Hewitt is compensated for its services by the shareholders pursuant to The
Program Services Agreement it has with each shareholder, under which Hewitt
provides asset allocation consulting and certain other services. Fees of the
investment managers are paid by Hewitt.
Hewitt has voluntarily undertaken to pay certain expenses of the Portfolios (or
to reimburse the Portfolios for certain expenses) as may be necessary to limit
total expenses of the Portfolios to specified amounts. American Hospital
Association Services, Inc. has, in this regard, agreed to reimburse Hewitt for
one-half of the amounts incurred by Hewitt pursuant to this undertaking. The
maximum expense as a percent of average net assets for the Full Maturity Fixed
Income Portfolio, the Limited Maturity Fixed Income Portfolio, the Diversified
Equity Portfolio, and the Balanced Portfolio is 0.50% (annual percentage). The
Portfolios have reached asset levels which allow the reduction of expenses to
percentage amounts below that set forth above. The Portfolios may reimburse
Hewitt for the expenses of the Portfolios it voluntarily has absorbed on or
after September 1, 1989, provided that such reimbursement does not cause the
percentage expense limitations set forth above to be exceeded and is approved by
the Board of Directors of the Fund. There is no commitment, however, by the Fund
to make any such reimbursement. As of December 31, 1998, approximate expenses
paid on behalf of or reimbursed to the Portfolio by Hewitt since September 1,
1989, were: $101,400 for the Full Maturity Fixed Income Portfolio; $41,000 for
the Limited Maturity Fixed Income Portfolio; $116,000 for the Diversified Equity
Portfolio; and $10,900 for the Balanced Portfolio.
NOTE 4.
SHORT-TERM DEBT
To facilitate portfolio liquidity, each Portfolio is authorized to borrow
against portfolio securities. During the six months ended December 31, 1998,
there were no borrowings.
- --------------------------------------------------------------------------------
53
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 5.
INVESTMENT TRANSACTIONS
The aggregate cost of purchases and proceeds from sales of securities (exclusive
of short-term obligations) for the six months ended December 31, 1998, is
presented below:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PORTFOLIO PURCHASES SALES
- --------------------------------------------------------------------------------
<S> <C> <C>
Full Maturity Fixed Income 141,876,922 130,336,971
Limited Maturity Fixed Income 116,250,515 155,063,876
Diversified Equity 42,955,832 19,493,937
Balanced 65,711,662 61,714,148
- --------------------------------------------------------------------------------
</TABLE>
At December 31, 1998, gross unrealized appreciation and depreciation of
investments and futures on a tax basis and the cost of investments for financial
reporting purposes and for Federal income tax purposes were as follows:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
COST OF INVESTMENTS
--------------------------------------
FINANCIAL FEDERAL
PORTFOLIO APPRECIATION DEPRECIATION REPORTING INCOME TAX
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Full Maturity Fixed Income 2,278,106 491,529 82,170,323 82,170,323
Limited Maturity Fixed Income 651,882 80,561 88,295,827 88,295,827
Diversified Equity 26,261,752 5,794,279 93,242,910 93,242,910
Balanced 11,931,996 3,271,408 59,163,871 59,163,871
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
54
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 6.
TRANSACTIONS IN CAPITAL STOCK SHARES
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED DECEMBER 31, 1998
---------------------------------------------------------------------------
FULL LIMITED
MATURITY MATURITY DIVERSIFIED
FIXED INCOME FIXED INCOME EQUITY BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Transactions in capital stock shares
were as follows:
Subscriptions of fund shares 762,818 983,499 1,172,753 104,870
Investment income dividends
reinvested 221,545 282,251 40,838 49,899
Capital Gains Distribution reinvested 0 0 450,011 436,139
----------------- ----------------- -------------- --------------
Gross increase in fund shares 984,363 1,265,750 1,663,602 590,908
Redemptions of fund shares (620,142) (5,176,391) (125,195) (25,798)
----------------- ----------------- -------------- --------------
Net increase (decrease) in fund
shares 364,221 (3,910,641) 1,538,407 565,110
Beginning of Period 7,057,541 12,687,403 4,208,919 4,061,886
----------------- ----------------- -------------- --------------
End of Period 7,421,762 8,776,762 5,747,326 4,626,996
----------------- ----------------- -------------- --------------
----------------- ----------------- -------------- --------------
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
FOR THE YEAR ENDED JUNE 30, 1998
---------------------------------------------------------------------------
FULL LIMITED
MATURITY MATURITY DIVERSIFIED
FIXED INCOME FIXED INCOME EQUITY BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Transactions in capital stock shares
were as follows:
Subscriptions of fund shares 1,961,116 6,517,696 993,893 582,923
Investment income dividends
reinvested 387,960 655,990 54,313 90,950
Capital Gains Distribution reinvested 0 0 822,303 484,187
----------------- ---------------- -------------- --------------
Gross increase in fund shares 2,349,076 7,173,686 1,870,509 1,158,060
Redemptions of fund shares (481,959) (8,360,183) (1,069,048) (603,703)
----------------- ---------------- -------------- --------------
Net increase (decrease) in fund shares 1,867,117 (1,186,497) 801,461 554,357
Beginning of Year 5,190,424 13,873,900 3,407,458 3,507,529
----------------- ----------------- -------------- --------------
End of Year 7,057,541 12,687,403 4,208,919 4,061,886
----------------- ----------------- -------------- --------------
----------------- ----------------- -------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
55
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 7:
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD:
FULL MATURITY FIXED INCOME PORTFOLIO
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
PERIOD ENDED JUNE 30, 1998
-------------------------------------------------------------------
1989 (A) 1990 1991 1992 1993
- ----------------------------------------- ----------- ---------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00 $10.30 $10.01 $10.03 $10.58
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.55(1) 0.78(1) 0.79(1) 0.75 0.72
Net realized and unrealized gain (loss)
on investments and futures
Total from Investment Operations 0.30 (0.29) 0.02 0.64 0.53
----------- ---------- ---------- ---------- - ----------
0.85 0.49 0.81 1.39 1.25
LESS DISTRIBUTIONS:
Net investment income (0.55) (0.78) (0.79) (0.75) (0.72)
Net realized capital gains (0.00) (0.00) (0.00) (0.09) (0.35)
----------- ---------- ---------- ---------- - ----------
Total Distributions (0.55) (0.78) (0.79) (0.84) (1.07)
----------- ---------- ---------- ---------- - ----------
NET ASSET VALUE, END OF PERIOD $10.30 $10.01 $10.03 $10.58 $10.76
----------- ---------- ---------- ---------- - ----------
----------- ---------- ---------- ---------- - ----------
TOTAL RETURN ON NET ASSET VALUE (B) 8.60% 4.62% 7.87% 13.66% 11.98%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in thousands) $1,422 $11,134 $19,893 $47,500 $52,094
Ratio of Expenses to Average Net Assets 0.50%(1) 0.50%(1) 0.50%(1) 0.42% 0.27%
Ratio of Net Investment Income to
Average Net Assets 8.12%(1) 8.44%(1) 8.06%(1) 7.37% 6.77%
Ratio of Expenses to Average Net
Assets (C) 1.94% 1.36% 0.89% 0.42% 0.27%
Ratio of Net Investment Income to
Average Net Assets (C) 6.67% 7.56% 7.68% 7.37% 6.77%
Portfolio turnover rate 234.20% 203.83% 411.24% 252.89% 266.03%
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
6 MOS
PERIOD ENDED JUNE 30, 1998 ENDED
---------------------------------------------------------------
1994 1995 1996 1997 1998 12/31/98
- ----------------------------------------- ---------- ---------- ---------- ---------- ---------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.76 $9.48 $9.88 $9.63 $9.79 $10.18
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.59 0.65 0.65 0.65 0.64 0.31
Net realized and unrealized gain (loss)
on investments and futures
Total from Investment Operations (0.64) 0.40 0.25 0.16 0.39 0.13
---------- ---------- ---------- ---------- ---------- ----------
(0.05) 1.05 0.40 0.81 1.02 0.44
LESS DISTRIBUTIONS:
Net investment income (0.59) (0.65) (0.65) (0.65) (0.64) (0.31)
Net realized capital gains (0.64) (0.00) (0.00) (0.00) (0.00) (0.00)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (1.23) (0.65) (0.65) (0.65) (0.64) (0.31)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $9.48 $9.88 $9.63 $9.79 $10.18 $10.31
---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ----------
TOTAL RETURN ON NET ASSET VALUE (B) (1.43)% 10.99% 3.58% 8.09% 10.20% 3.50%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in thousands) $48,752 $39,874 $53,292 $50,796 $71,829 $76,499
Ratio of Expenses to Average Net Assets 0.24% 0.21% 0.21% 0.21% 0.17% 0.17%
Ratio of Net Investment Income to
Average Net Assets 5.67% 6.88% 6.52% 6.63% 6.19% 5.85%
Ratio of Expenses to Average Net
Assets (C) 0.24% 0.21% 0.21% 0.21% 0.17% 0.17%
Ratio of Net Investment Income to
Average Net Assets (C) 5.67% 6.88% 6.52% 6.63% 6.19% 5.85%
Portfolio turnover rate 331.63% 279.42% 283.13% 304.93% 178.52% 173.95%
</TABLE>
- -----------------------------------------
(1) Reflects the waiver of certain management fees and reimbursement of
certain other expenses by the Investment Advisor.
(A) Commencement date for the Full Maturity Fixed Income Portfolio was
October 20, 1988.
(B) Total Return on Net Asset Value is net of the management fee of 0.50% per
annum.
(C) Ratios include all management fees and expenses.
- --------------------------------------------------------------------------------
56
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 7:
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD:
LIMITED MATURITY FIXED INCOME PORTFOLIO
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
PERIOD ENDED JUNE 30, 1998
-------------------------------------------------------------------
1989 (A) 1990 1991 1992 1993 1994
- ----------------------------------------- ----------- ---------- ---------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00 $10.07 $9.98 $10.11 $10.48 $10.52
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.43(1) 0.77(1) 0.74(1) 0.64 0.49 0.49
Net realized and unrealized gain
(loss) on investments and futures 0.07 (0.09) 0.13 0.45 0.12 (0.32)
Total from Investment Operations 0.50 0.68 0.87 1.09 0.61 0.17
----------- ---------- ---------- ----------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income (0.43) (0.77) (0.74) (0.64) (0.49) (0.49)
Net realized capital gains (0.00) (0.00) (0.00) (0.08) (0.08) (0.11)
----------- ---------- ---------- ----------- ---------- ----------
Total Distributions (0.43) (0.77) (0.74) (0.72) (0.57) (0.60)
----------- ---------- ---------- ----------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $10.07 $9.98 $10.11 $10.48 $10.52 $10.09
----------- ---------- ---------- ----------- ---------- ----------
----------- ---------- ---------- ----------- ---------- ----------
TOTAL RETURN ON NET ASSET VALUE (B) 5.01% 6.52% 8.49% 10.46% 5.49% 1.14%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in thousands) $6,284 $18,522 $30,151 $101,881 $162,694 $189,542
Ratio of Expenses to Average Net Assets 0.50%(1) 0.50%(1) 0.50%(1) 0.29% 0.17% 0.14%
Ratio of Net Investment Income to
Average Net Assets 8.49%(1) 8.04%(1) 7.49%(1) 6.02% 4.66% 4.73%
Ratio of Expenses to Average Net
Assets (C) 1.97% 0.88% 0.55% 0.29% 0.17% 0.14%
Ratio of Net Investment Income to
Average Net Assets (C) 7.01% 7.66% 7.45% 6.02% 4.66% 4.73%
Portfolio turnover rate 0.00% 137.50% 279.16% 99.86% 167.38% 178.01%
<CAPTION>
- -------------------------------------------------------------------------------------------------
6 MOS.
PERIOD ENDED JUNE 30, 1998 ENDED
-------------------------------------------
1995 1996 1997 1998 12/31/98
- ----------------------------------------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.09 $10.22 $10.12 $10.16 $10.22
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.62 0.62 0.61 0.60 0.28
Net realized and unrealized gain
(loss) on investments and futures 0.13 (0.10) 0.04 0.06 0.10
Total from Investment Operations 0.75 0.52 0.65 0.66 0.38
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income (0.62) (0.62) (0.61) (0.60) (0.28)
Net realized capital gains (0.00) (0.00) (0.00) (0.00) (0.00)
---------- ---------- ---------- ---------- ----------
Total Distributions (0.62) (0.62) (0.61) (0.60) (0.28)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $10.22 $10.12 $10.16 $10.22 $10.32
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
TOTAL RETURN ON NET ASSET VALUE (B) 7.19% 4.66% 6.03% 6.11% 4.10%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in thousands) $186,856 $201,196 $141,023 $129,717 $90,555
Ratio of Expenses to Average Net Assets 0.12% 0.10% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to
Average Net Assets 6.17% 6.03% 6.04% 5.92% 5.54%
Ratio of Expenses to Average Net
Assets (C) 0.12% 0.10% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to
Average Net Assets (C) 6.17% 6.03% 6.04% 5.92% 5.54%
Portfolio turnover rate 155.12% 132.75% 121.70% 144.97% 108.53%
</TABLE>
- -----------------------------------------
(1)Reflects the waiver of certain management fees and reimbursement of
certain other expenses by the Investment Advisor.
(A) Commencement date for the Limited Maturity Fixed Income Portfolio was
December 22, 1988.
(B) Total Return on Net Asset Value is net of the management fee of 0.50% per
annum.
(C) Ratios include all management fees and expenses.
- --------------------------------------------------------------------------------
57
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 7:
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD:
DIVERSIFIED EQUITY PORTFOLIO
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
PERIOD ENDED JUNE 30, 1998
-------------------------------------------------------------------
1989 (A) 1990 1991 1992 1993 1994
- ----------------------------------------- ----------- ---------- ---------- ----------- ----------- ----------
<C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00 $11.16 $11.42 $11.47 $12.95 $13.95
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.35(1) 0.43(1) 0.35(1) 0.31(1) 0.25(1) 0.26
Net realized and unrealized gain
(loss) on investments and futures 1.12 0.52 0.08 1.52 1.70 0.45
Total from Investment Operations 1.47 0.95 0.43 1.83 1.95 0.71
----------- ---------- ---------- ----------- ----------- ----------
LESS DISTRIBUTIONS:
Net investment income (0.31) (0.44) (0.34) (0.31) (0.25) (0.26)
Net realized capital gains (0.00) (0.25) (0.04) (0.04) (0.70) (0.50)
----------- ---------- ---------- ----------- ----------- ----------
Total Distributions (0.31) (0.69) (0.38) (0.35) (0.95) (0.76)
----------- ---------- ---------- ----------- ----------- ----------
NET ASSET VALUE, END OF PERIOD $11.16 $11.42 $11.47 $12.95 $13.95 $13.90
----------- ---------- ---------- ----------- ----------- ----------
----------- ---------- ---------- ----------- ----------- ----------
TOTAL RETURN ON NET ASSET VALUE (B) 14.45% 7.76% 3.24% 15.14% 14.47% 4.21%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in thousands) $3,556 $7,920 $10,725 $13,878 $21,087 $22,547
Ratio of Expenses to Average Net Assets 0.50%(1) 0.50%(1) 0.50%(1) 0.50%(1) 0.50%(1) 0.40%
Ratio of Net Investment Income to
Average Net Assets 4.88%(1) 4.45%(1) 3.37%(1) 2.13%(1) 1.90%(1) 1.83%
Ratio of Expenses to Average Net
Assets (C) 2.68% 1.33% 1.08% 0.66% 0.53% 0.40%
Ratio of Net Investment Income to
Average Net Assets (C) 2.70% 3.61% 2.80% 1.97% 1.87% 1.83%
Portfolio turnover rate 29.99% 33.57% 72.49% 65.89% 45.87% 100.45%
<CAPTION>
- -------------------------------------------------------------------------------------------------
6 MOS
PERIOD ENDED JUNE 30, 1998 ENDED
-------------------------------------------
<S> 1995 1996 1997 1998 12/31/98
- ----------------------------------------- ---------- ---------- ---------- ---------- ----------
<C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $13.90 $14.76 $17.59 $20.72 $20.37
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.29 0.35 0.34 0.32 0.15
Net realized and unrealized gain
(loss) on investments and futures 2.34 3.57 5.18 4.14 1.02
Total from Investment Operations 2.63 3.92 5.52 4.46 1.17
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income (0.29) (0.35) (0.34) (0.32) (0.15)
Net realized capital gains (1.48) (0.74) (2.05) (4.49) (1.64)
---------- ---------- ---------- ---------- ----------
Total Distributions (1.77) (1.09) (2.39) (4.81) (1.79)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $14.76 $17.59 $20.72 $20.37 $19.75
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
TOTAL RETURN ON NET ASSET VALUE (B) 20.11% 26.42% 32.97% 24.05% 5.68%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in thousands) $39,634 $54,435 $70,590 $85,736 $113,516
Ratio of Expenses to Average Net Assets 0.31% 0.18% 0.17% 0.14% 0.12%
Ratio of Net Investment Income to
Average Net Assets 2.30% 2.09% 1.83% 1.51% 1.53%
Ratio of Expenses to Average Net
Assets (C) 0.31% 0.18% 0.17% 0.14% 0.12%
Ratio of Net Investment Income to
Average Net Assets (C) 2.30% 2.09% 1.83% 1.51% 1.53%
Portfolio turnover rate 68.12% 57.76% 67.31% 65.82% 20.29%
</TABLE>
- -----------------------------------------
(1)Reflects the waiver of certain management fees and reimbursement of
certain other expenses by the Investment Advisor.
(A) Commencement date for the Diversified Equity Portfolio was
October 20, 1988
(B) Total Return on Net Asset Value is net of the management fee of 0.75% per
annum.
(C) Ratios include all management fees and expenses.
- --------------------------------------------------------------------------------
58
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 7:
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD:
BALANCED PORTFOLIO
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
PERIOD ENDED JUNE 30, 1998
-------------------------------------------------------------------------
1989 (A) 1990 1991 1992 1993 1994
- ----------------------------------------- ------------ ----------- ----------- ------------ ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00 $10.68 $10.69 $10.87 $12.03 $12.76
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.39(1) 0.56(1) 0.54(1) 0.44 0.44 0.42
Net realized and unrealized gain
(loss) on investments and futures 0.64 0.11 0.21 1.16 1.18 (0.26)
Total from Investment Operations 1.03 0.67 0.75 1.60 1.62 0.16
------------ ----------- ----------- ------------ ----------- -----------
LESS DISTRIBUTIONS:
Net investment income (0.35) (0.56) (0.57) (0.44) (0.44) (0.42)
Net realized capital gains (0.00) (0.10) (0.00) (0.00) (0.45) (0.84)
------------ ----------- ----------- ------------ ----------- -----------
Total Distributions (0.35) (0.66) (0.57) (0.44) (0.89) (1.26)
------------ ----------- ----------- ------------ ----------- -----------
NET ASSET VALUE, END OF PERIOD $10.68 $10.69 $10.87 $12.03 $12.76 $11.66
------------ ----------- ----------- ------------ ----------- -----------
------------ ----------- ----------- ------------ ----------- -----------
TOTAL RETURN ON NET ASSET VALUE (B) 9.96% 5.34% 6.62% 13.99% 13.02% 0.29%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in thousands) $13,545 $34,565 $33,547 $34,853 $41,313 $46,523
Ratio of Expenses to Average Net Assets 0.50%(1) 0.50%(1) 0.50%(1) 0.38% 0.31% 0.26%
Ratio of Net Investment Income to
Average Net Assets 6.06%(1) 6.12%(1) 4.92%(1) 3.73% 3.51% 3.39%
Ratio of Expenses to Average Net
Assets (C) 1.27% 0.52% 0.52% 0.38% 0.31% 0.26%
Ratio of Net Investment Income to
Average Net Assets (C) 5.29% 6.11% 4.89% 3.73% 3.51% 3.39%
Portfolio turnover rate 106.23% 132.60% 201.36% 201.93% 132.14% 208.31%
<CAPTION>
- ------------------------------------------------------------------------------------------------
6 MOS
PERIOD ENDED JUNE 30, 1998 ENDED
-------------------------------------------
1995 1996 1997 1998 12/31/98
- ----------------------------------------- ---------- ---------- ---------- ---------- ----------
<C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $11.66 $12.63 $13.38 $14.86 $14.61
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.32 0.41 0.37 0.41 0.20
Net realized and unrealized gain
(loss) on investments and futures 1.44 1.98 2.65 2.01 0.25
Total from Investment Operations 1.76 2.39 3.02 2.42 0.45
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Net investment income (0.32) (0.41) (0.39 ) (0.44) (0.17)
Net realized capital gains (0.47) (1.23) (1.15) (2.23) (1.37)
---------- ---------- ---------- ---------- ---------
Total Distributions (0.79) (1.64) (1.54) (2.67) (1.54)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $12.63 $13.38 $14.86 $14.61 $13.52
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
TOTAL RETURN ON NET ASSET VALUE (B) 14.97% 19.20% 23.23% 16.79% 3.25%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in thousands) $46,646 $43,130 $52,137 $59,360 $62,559
Ratio of Expenses to Average Net Assets 0.21% 0.23% 0.23% 0.18% 0.20%
Ratio of Net Investment Income to
Average Net Assets 4.12% 3.08% 2.81% 2.86% 2.67%
Ratio of Expenses to Average Net
Assets (C) 0.21% 0.23% 0.23% 0.18% 0.20%
Ratio of Net Investment Income to
Average Net Assets (C) 4.12% 3.08% 2.81% 2.86% 2.67%
Portfolio turnover rate 160.41% 146.69% 173.60% 169.04% 108.29%
</TABLE>
- -----------------------------------------
(1)Reflects the waiver of certain management fees and reimbursement of
certain other expenses by the Investment Advisor.
(A) Commencement date for the Balanced Portfolio was October 20, 1988.
(B) Total Return on Net Asset Value is net of the management fee of 0.75% per
annum.
(C) Ratios include all management fees and expenses.
- --------------------------------------------------------------------------------
59
