<PAGE> 1
SEMI-ANNUAL REPORT
December 31, 1995
THE MONTGOMERY FUNDS
Invest wisely.
<PAGE> 2
THE MONTGOMERY FUNDS
The Montgomery Funds represents a growing family of no-load mutual funds
providing a comprehensive range of equity, fixed-income and global investment
opportunities. We currently manage more than $3 billion on behalf of more than
300,000 individual investors, helping them meet their financial goals through a
combination of professional portfolio management and solid customer service.
GROWTH FUND
MICRO CAP FUND
SMALL CAP FUND
ASSET ALLOCATION FUND
EQUITY INCOME FUND
SELECT 50 FUND
GLOBAL OPPORTUNITIES FUND
GLOBAL COMMUNICATIONS FUND
INTERNATIONAL GROWTH FUND
INTERNATIONAL SMALL CAP FUND
EMERGING MARKETS FUND
SHORT GOVERNMENT BOND FUND
GOVERNMENT RESERVE FUND
CALIFORNIA TAX-FREE INTERMEDIATE BOND FUND
CALIFORNIA TAX-FREE MONEY FUND
This report and the financial statements contained herein are provided for the
general information of the shareholders of The Montgomery Funds. This report is
not authorized for distribution to prospective investors in the funds unless
preceded or accompanied by an effective prospectus. Mutual fund shares are not
deposits or obligations of, or guaranteed by, any depository institution. Shares
are not insured by the FDIC or any other agency and are subject to investment
risk, including the possible loss of principal. Neither The Montgomery Funds nor
Montgomery Securities is a bank. For more information on any Montgomery Fund,
including charges and expenses, call (800) 572-3863 for a free prospectus. Read
it carefully before you invest or send money. Montgomery Securities,
Distributor. 2/96
<PAGE> 3
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
DECEMBER 31, 1995
SEMI-ANNUAL REPORT
CONTENTS
<TABLE>
<CAPTION>
PORTFOLIO PORTFOLIO FINANCIAL
FUND NAME HIGHLIGHTS INVESTMENTS HIGHLIGHTS
- ------------------------------------------------------------ ----------- ------------ -----------
<S> <C> <C> <C> <C>
Growth...................................................... Page 1 14 67
Micro Cap................................................... Page 2 16 69
Small Cap................................................... Page 3 18 68
Equity Income............................................... Page 4 20 69
Select 50................................................... Page 5 22 70
Asset Allocation............................................ Page 6 24 71
Global Opportunities........................................ Page 7 28 70
Global Communications....................................... Page 8 30 72
International Growth........................................ Page 9 33 73
International Small Cap..................................... Page 10 35 73
Emerging Markets............................................ Page 11 37 74
Short Government Bond....................................... Page 12 44 75
California Tax-Free Intermediate Bond....................... Page 13 48 77
Government Reserve.......................................... Page n/a 46 76
California Tax-Free
Money..................................................... Page n/a 50 76
</TABLE>
<TABLE>
<CAPTION>
Page
-----
<S> <C>
Chairman's Letter to Shareholders............................................................... i
Statements of Assets and Liabilities as of December 31, 1995.................................... 54
Statements of Operations for the Six Months Ended December 31, 1995............................. 58
Statement of Cash Flows for the Six Months Ended December 31, 1995 (Asset Allocation Fund)...... 53
Statement of Cash Flows for the Six Months Ended December 31, 1995 (Short Government Bond
Fund)......................................................................................... 66
Statements of Changes in Net Assets for the Six Months Ended December 31, 1995.................. 62
Statements of Changes in Net Assets for the Year Ended June 30, 1995............................ 64
Notes to Financial Statements................................................................... 78
</TABLE>
<PAGE> 4
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
(THIS PAGE INTENTIONALLY LEFT BLANK.)
<PAGE> 5
<TABLE>
<S> <C>
- ------------------ DEAR FELLOW SHAREHOLDER:
[PHOTO] By now, you've probably noticed Montgomery's new logo: the great-horned owl,
- ------------------ the traditional symbol of wisdom, and our new tag-line: "Invest Wisely." At
Montgomery, the word wisdom represents many of the characteristics that we
aspire to, including knowledge, experience, expertise, and, of course,
appropriate prudence. Those attributes help us invest wisely on your behalf,
and they guide us in our efforts to help you learn how to "invest
wisely" -- to make investment decisions that are right for you and
appropriate for your situation.
Of course, if your portfolio was focused on the U.S. markets in 1995, you
</TABLE>
are probably feeling pretty wise indeed -- with good reason. It was an
incredible year in the United States for stocks as well as for bonds, and 1995
is destined to be a year investors remember fondly for a long time to come.
However, don't let the memory of 1995 cloud your vision of the future; as every
mutual fund advertisement reminds us, "past performance is no guarantee of
future results." We suspect that many investors will put new funds into last
year's winners, in the hope of another big score.
We don't see any clouds on the horizon, but we do believe it's unlikely that
U.S. markets will be as robust in 1996 as they were last year. As you make your
allocations for this year, I urge you to consider an alternative strategy:
Invest in those sectors that did not fare so well last year, such as
international markets including the emerging markets.
Montgomery's Emerging Markets Fund portfolio managers continue to point out
that, in the aggregate, developing country economies are growing substantially
faster than established economies like that of the United States; in addition,
many stocks in those regions are at their most attractive valuations in years.
They believe that the sector has the potential to outperform others in the years
ahead. It's worth remembering that emerging markets investments require a
long-term time horizon, and involve certain political, economic and currency
risks that you should be aware of before investing.
A CALCULATED APPROACH TO RISK
You should also be aware of your own tolerance for risk; that's a key element in
making wise investment decisions. At the Montgomery Funds, we believe that the
long-term rewards of equity and international investing are worth taking some
risks, but we offer a number of ways to get exposure to these important sectors,
covering the full spectrum of risk and reward, from the conservative to the
aggressive.
Our Equity Income and Asset Allocation Funds, for example, are designed to
provide a conservative (and therefore less volatile) approach to the markets.
Similarly, we offer several funds that focus on the world's established
economies for investors interested in international market exposure but who are
uncomfortable with the volatility of emerging markets, such as our International
Growth and Global Opportunities Funds. We also manage fixed-income funds, such
as our Short Government Bond Fund, for investors who have short time horizons or
who need current income.
Moreover, you should know that we emphasize a conservative approach to managing
the funds on the more aggressive end of the spectrum. For example, our Emerging
Markets Fund team addresses the inherent volatility of developing economies by
emphasizing the highest degree of diversification, by country and by security.
They also manage risk through intense scrutiny and fundamental analysis,
applying their collective wisdom to finding the stocks and countries that offer
the best risk-adjusted returns.
Montgomery's portfolio managers are extremely comfortable with taking calculated
risks in their quest for superior returns, but being "aggressive" to the point
of imprudence is simply not part of their game plan. I believe if you met with
them in person, you would realize that they are a hard-working, dedicated, and
serious group. They are passionate about picking securities and managing
portfolios. And they are passionate in their devotion to doing the best job they
can for you, Montgomery shareholders.
------------------ i ------------------
<PAGE> 6
A REMINDER: FOCUS ON THE LONG-TERM
As always, I urge you to keep in mind the recurring themes we stress for
Montgomery investors: Be aware of your own needs, time horizon, and tolerance
for risk. Invest regularly. And take a long-term view. I won't go out on the
limb and predict how well we will do in 1996, but I'm confident that if you
stick to that discipline, you'll be pleasantly surprised in the years to come.
Please let us know how we're doing, along with suggestions for how we might
serve your needs more effectively. Our customer service representatives can be
reached at (800) 572-FUND. Thank you for your continued support and confidence.
Sincerely,
LOGO
R. Stephen Doyle
Chairman and Chief Executive Officer
------------------ ii ------------------
<PAGE> 7
U.S. OR INTERNATIONAL IN 1996?
LET THE EXPERTS DECIDE.
THE U.S. STOCK MARKET ENJOYED A RECORD-SETTING YEAR IN 1995, BUT WHAT'S NEXT?
MANY INVESTORS ARE ASSESSING OPPORTUNITIES OVERSEAS--IN DEVELOPED COUNTRIES AS
WELL AS EMERGING MARKETS. HOW CAN YOU ALLOCATE YOUR INVESTMENTS TO TAKE
ADVANTAGE OF THIS YEAR'S POTENTIAL GAINS--WHEREVER THEY MAY BE?
THE MONTGOMERY SELECT 50 FUND:
Covers Your World with One Fund
Structured on a unique concept, the Montgomery Select 50 Fund brings together
five of Montgomery's portfolio management teams--domestic growth, micro cap,
equity income, emerging markets and international--allowing them to focus on
their particular area of expertise. Each team chooses the ten stocks they feel
have the greatest potential for capital appreciation. So as well as being
diversified geographically, the Fund is invested across a broad range of company
sizes and industries.
[ROGER HONOUR PHOTO]
ROGER HONOUR
Senior Portfolio Manager,
Montgomery Growth
and Micro Cap Funds;
Co-Manager,
Asset Allocation
and Select 50 Funds
"The Select 50 Fund invests where the action is--around the world and across
investment styles. Using only the ten best ideas of each of the teams makes this
a unique investment opportunity."
[ANDY PRATT PHOTO]
ANDY PRATT
Portfolio Manager,
Montgomery Growth
and Micro Cap Funds;
Co-Manager,
Select 50 Fund
"Because Montgomery emphasizes excellence in each of its investment
disciplines, this Fund allows the investor to tap into quality investment ideas
across the board."
[JOHN BROWN PHOTO]
JOHN BROWN
Senior Portfolio Manager,
Montgomery Equity
Income Fund;
Co-Manager,
Select 50 Fund
"Because of the Fund's built-in diversification, I don't have to worry about how
a particular stock fits within the context of the Fund's other holdings.
Instead, I can focus on identifying companies that I expect to provide the
biggest "kick."
[ANGELINE EE PHOTO]
ANGELINE EE
Portfolio Manager,
Montgomery Emerging
Markets Fund;
Co-Manager,
Select 50 Fund
"The nature of the Select 50 Fund allows me to focus on what I do best--picking
stocks with growth potential. I'm able to consider smaller, aggressive stocks in
the countries and companies of the world's developing markets."
[OSCAR CASTRO PHOTO]
OSCAR CASTRO
Senior Portfolio Manager,
Montgomery International
Small Cap, Global
Opportunities, Global
Communications and
International Growth Funds;
Co-Manager, Select 50 Fund
"The beauty of this Fund is that as a shareholder, you could be invested in
everything from Gucci--an Italian luxury goods manufacturer--to Axel Springer
Verlag, the largest listed newspaper and television media conglomerate in
Germany."
<PAGE> 8
THE SELECT 50 FUND
EQUITY DISCIPLINES
Growth
DOMESTIC Micro Cap
Equity Income
INTERNATIONAL Emerging Markets
International
SELECT 50:
A Unique Approach to Equity Investing
The Montgomery Select 50 Fund offers investors automatic diversification by
investing in stocks in five separate investment disciplines in the United States
and around the world.
According to Mark Geist, president of Montgomery Asset Management, "If you like
Montgomery's approach to picking stocks, you'll like Select 50. We like to think
of the Fund as fifty of our best ideas--all rolled up into one mutual fund."
Consider
SELECT 50
for your
IRA!
SO, IF YOU'RE LOOKING FOR A DIVERSIFIED, AGGRESSIVE STOCK FUND WITH LONG-TERM
GROWTH POTENTIAL, CONSIDER INVESTING IN THE MONTGOMERY SELECT 50 FUND. FOR MORE
INFORMATION, PLEASE CALL US.
(800 572-3863
http://www.xperts.montgomery.com/1
Foreign investing involves certain risks, such as currency fluctuation and
political and economic instability. There are also risks associated with
investing in small-cap companies. Investors are encouraged to read the
prospectus carefully before investing. Return and principal value will vary, and
shares may be worth more or less than their original value when redeemed.
Montgomery Securities, Distributor. 2/96
<PAGE> 9
THE SELECT 50 FUND
EQUITY DISCIPLINES
Growth
DOMESTIC Micro Cap
Equity Income
INTERNATIONAL Emerging Markets
International
SELECT 50:
A Unique Approach to Equity Investing
The Montgomery Select 50 Fund offers investors automatic diversification by
investing in stocks in five separate investment disciplines in the United States
and around the world.
According to Mark Geist, president of Montgomery Asset Management, "If you like
Montgomery's approach to picking stocks, you'll like Select 50. We like to think
of the Fund as fifty of our best ideas--all rolled up into one mutual fund."
Consider
SELECT 50
for you IRA!
SO, IF YOU'RE LOOKING FOR A DIVERSIFIED, AGGRESSIVE STOCK FUND WITH LONG-TERM
GROWTH POTENTIAL, CONSIDER INVESTING IN THE MONTGOMERY SELECT 50 FUND. FOR MORE
INFORMATION, PLEASE CALL US.
CALL 1-800-544-9697 FOR ACCESS TO HUNDREDS OF FUNDS AVAILABLE THROUGH FIDELITY
FUNDSNETWORK,(R) INCLUDING OVER 350 FUNDS AVAILABLE WITH NO TRANSACTION FEES TO
FIDELITY.
[FIDELITY INVESTMENTS LOGO]
Mutual Funds are available through FundsNetwork(R), a service of Fidelity
Brokerage Services, Inc., member NYSE, SIPC. Fidelity Brokerage Services, Inc.,
does not recommend or endorse any particular mutual fund.
Foreign investing involves certain risks, such as currency fluctuation and
political and economic instability. There are also risks associated with
investing in small-cap companies. Investors are encouraged to read the
prospectus carefully before investing. Return and principal value will vary, and
shares may be worth more or less than their original value when redeemed.
Montgomery Securities, Distributor. 2/96
<PAGE> 10
----------------------------------------------------
MONTGOMERY GROWTH FUND
----------------------------------------------------
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1995
------------------------------------------------------
INVESTMENT REVIEW
------------------------------------------------------
This past year was a very favorable environment for equities, with low
inflation, falling interest rates and moderate economic growth. The tight
monetary policy adopted by the Federal Reserve in 1994 served to slow the
economy to a non-inflationary pace. The S&P 500 Index reported that 1995
earnings were up approximately 16% over 1994. The 30-Year Treasury yield
declined steadily throughout the year and ended 1995 at 6%, a two-year low.
We have decreased the Fund's weighting in technology as fundamentals have
begun to deteriorate. Several high profile companies, including Motorola and
Apple Computer, recently reported disappointing earnings. We also remain
underweighted in basic materials, such as chemicals and papers, due to similar
concerns.
With the new year, we are seeing increased volatility, which in part may be
a reaction to the prospect of slower growth. We believe this slower growth
environment will favor stock selection, as the market seeks out companies that
can show earnings growth even under adverse conditions. We will continue to
focus our efforts on fundamental analysis of current holdings as well as the
research pipeline of candidates that pass our quantitative criteria.
GROWTH OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Montgomery Standard & Poors Lipper Growth
Growth Fund 500 Index(1) Funds Average(2)
<S> <C> <C> <C>
9/93 $10,000 $10,000 $10,000
12/93 11,834 10,231 10,229
12,530 9,843 9,885
6/94 12,798 9,885 9,642
13,846 10,368 10,156
12/94 14,309 10,366 10,033
15,128 11,376 10,795
6/95 16,193 12,462 11,831
17,360 13,452 12,858
12/95 $17,692 $14,263 $13,187
</TABLE>
TOTAL RETURN SUMMARY
<TABLE>
<CAPTION>
Montgomery Standard & Poors
Growth Fund 500 Index
<S> <C> <C>
1 Year 23.7% 37.6%
Inception (9/30/93)(3) 28.9% 17.1%
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<S> <C>
1. Octel Communications Corp. 3.7%
2. HFS Inc. 3.6%
3. Dayton Hudson Corp. 3.4%
4. Masco Corp. 3.2%
5. Nordstrom Inc. 3.1%
6. Oxford Health Plans, Inc. 3.0%
7. International Paper Company 2.9%
8. Healthsource Inc. 2.5%
9. Analog Devices Inc. 2.5%
10. Measurex Corp. 2.5%
</TABLE>
<TABLE>
TOP FIVE INDUSTRIES
<S> <C>
1. Telecommunications-Equipment 8.5%
2. Financial Services 7.9%
3. Technology-Miscellaneous 7.3%
4. Retail 6.8%
5. Health Care Services 6.7%
</TABLE>
- --------------------------------------------------------------------------------
(1) The Standard & Poors 500 Index is composed of 500 widely held common stocks
listed on the NYSE, AMEX, and OTC market.
(2) Lipper's Growth Funds Average universe consists of 572 funds.
(3) Average Annual Total Return
Note: The performance shown represents past performance and is not a guarantee
of future results.
------------------ 1 ------------------
<PAGE> 11
-------------------------------------------------------
MONTGOMERY MICRO CAP FUND
-------------------------------------------------------
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1995
------------------------------------------------------
INVESTMENT REVIEW
------------------------------------------------------
This past year was a very favorable environment for equities, with low
inflation, falling interest rates and moderate economic growth.
Our focus in this Fund is on small companies with market capitalizations of
less than $425 million. In this sector of the market, many companies are
under-researched or not covered at all, enabling us to find superior growth
stocks at attractive valuations.
With the new year, we are seeing increased volatility, which in part may be
a reaction to the prospect of slower growth. We believe this slower growth
environment will favor bottom-up stock selection and our diversified portfolio
of micro cap growth companies.
GROWTH OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Montgomery Russell Lipper Small
Micro Cap 2000 Company Growth
Fund Index(1) Funds Average(2)
<S> <C> <C> <C>
12/94 $10,000 $10,000 $10,000
3/95 10,558 10,462 10,566
6/95 11,458 11,443 11,535
9/95 12,475 12,573 12,930
12/95 $12,866 $12,845 $13,154
</TABLE>
TOTAL RETURN SUMMARY
<TABLE>
<CAPTION>
Montgomery Russell
Micro Cap Fund 2000 Index
<S> <C> <C>
1 Year 28.7% 28.5%
Inception (12/30/94)(3) 28.6% 28.5%
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<S> <C>
1. Comshare, Inc. 2.2%
2. Authentic Fitness Corp. 2.2%
3. Life RE Corp. 1.9%
4. Ha-Lo Industries 1.8%
5. Falcon Drilling Company Inc. 1.7%
6. Granite Construction Inc. 1.6%
7. AMRE Inc. 1.6%
8. Electroglas 1.6%
9. Renaissance Hotel Group, N.V. 1.6%
10. International Rectifer Corp. 1.5%
</TABLE>
<TABLE>
TOP FIVE INDUSTRIES
<S> <C>
1. Capital Goods 10.1%
2. Financial Services 6.0%
3. Industrial Products 6.0%
4. Consumer Non-Durables 5.0%
5. Energy Related 4.9%
</TABLE>
- -----------------------------------------------------------------------------
(1) The Russell 2000 Index is a capitalization weighted total return index which
is comprised of 2,000 of the smallest capitalized U.S. domiciled companies
whose common stock is traded in the U.S. on NYSE, AMEX, and NASDAQ.
(2) Lipper's Small Company Growth Funds Average universe consists of 305 funds.
(3) Average Annual Total Return
Note: The performance shown represents past performance and is not a guarantee
of future results.
------------------ 2 ------------------
<PAGE> 12
-------------------------------------------------------
MONTGOMERY SMALL CAP FUND
-------------------------------------------------------
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1995
------------------------------------------------------
INVESTMENT REVIEW
------------------------------------------------------
The Montgomery Small Cap Fund ended 1995 with a very good December to cap a
solid year of performance. The most gratifying aspect of 1995's performance is
that the bulk of the performance came from the same stocks that gave us a
sub-par showing in 1994. For example, our telecommunications holdings,
particularly the long distance telephone stocks performed exceptionally well in
1995.
We would not be surprised to have a period of consolidation in the overall
stock market after such strong performance. As always, though, we will remain
focused on our fundamental research to ensure the superior earnings growth of
our portfolio holdings. Looking out at this coming year, we think the earnings
of our small cap holdings will stand out above the earnings ability of the
average industrial company.
GROWTH OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Montgomery Russell Lipper Small
Small Cap 2000 Company Growth
Fund Index(1) Funds Average(2)
<S> <C> <C> <C>
7/90 $10,000 $10,000 $10,000
7,853 7,553 7,731
12/90 8,820 7,936 8,445
12,310 10,295 10,585
12,489 10,132 10,412
15,371 10,961 11,564
12/91 17,529 11,590 12,765
17,541 12,458 13,102
15,947 11,605 11,917
16,231 11,939 12,343
12/92 19,210 13,724 14,385
19,396 14,310 14,651
20,805 14,624 15,047
23,432 15,903 16,440
12/93 23,881 16,315 16,811
22,800 15,880 16,288
20,475 15,259 15,423
22,718 16,319 16,745
12/94 21,503 16,017 16,737
22,811 16,757 17,709
24,594 18,326 19,322
27,828 20,138 21,694
12/95 $29,056 $20,575 $22,036
</TABLE>
TOTAL RETURN SUMMARY
<TABLE>
<CAPTION>
Montgomery Small Russell
Cap Fund 2000 Index
<S> <C> <C>
1 Year 35.1% 28.5%
Inception (7/13/90)(3) 21.6% 15.2%
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<S> <C>
1. Frontier Corp. 6.9%
2. WorldCom, Inc. 4.7%
3. LCI International Worldwide Telecommunications 3.2%
4. Ornda Healthcorp 2.4%
5. Medaphis Corp. 2.0%
6. Centocor Inc. 2.0%
7. Teltrend Inc. 1.9%
8. Watson Pharmaceuticals 1.9%
9. Tommy Hilfiger Corp. 1.9%
10. Commercial Federal Corp. 1.8%
</TABLE>
TOP FIVE INDUSTRIES
<TABLE>
<S> <C>
1. Telecommunications 20.7%
2. Financial Services 15.8%
3. Information-Business Services 9.6%
4. Health Care Services 9.3%
5. Consumer-Leisure Time Products 7.9%
</TABLE>
- --------------------------------------------------------------------------------
(1) The Russell 2000 Index is a capitalization weighted total return index which
is comprised of 2,000 of the smallest capitalized U.S. domiciled companies
whose common stock is traded in the U.S. on NYSE, AMEX, and NASDAQ.
(2) Lipper's Small Company Growth Funds Average universe consists of 305 funds.
(3) Average Annual Total Return
Note: The performance shown represents past performance and is not a guarantee
of future results.
------------------ 3 ------------------
<PAGE> 13
----------------------------------------------------------------
MONTGOMERY EQUITY INCOME FUND
----------------------------------------------------------------
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1995
------------------------------------------------------
INVESTMENT REVIEW
------------------------------------------------------
During the fourth quarter, both the stock and bond markets continued their
strong advances. The Federal Reserve's twenty-five basis point cut in the
discount rate gave further credence to a soft landing scenario. This
confirmation of a slowing economy put additional pressure on cyclical issues.
The consumer non-durable stocks significantly outperformed the broader market
during the fourth quarter, while the cyclicals underperformed. Our often cited
preference for higher quality companies with more predictable, sustainable
earnings has paid off nicely in recent months.
Our research indicates that the non-durable, energy, and utility sectors
all remain very attractive. We have also recently begun to see economically
sensitive companies that are attractively valued. We will continue to use
diligent fundamental analysis to build wealth for our clients over time, while
maintaining greater stability of principal during the unavoidable periods of
market decline.
GROWTH OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Montgomery Standard & Poors Lipper Equity
Equity Income 500 Income Funds
Fund Index(1) Average(2)
<S> <C> <C> <C>
9/94 $10,000 $10,000 $10,000
12/94 9,907 9,998 9,744
3/95 10,824 10,972 10,494
6/95 11,426 12,019 11,194
9/95 12,280 12,975 12,002
12/95 $13,392 $13,756 $12,689
</TABLE>
TOTAL RETURN SUMMARY
<TABLE>
<CAPTION>
Montgomery Equity Standard & Poors
Income Fund 500 Index
<S> <C> <C>
1 Year 35.2% 37.6%
Inception (9/30/94)(3) 26.3% 29.1%
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<S> <C>
1. Philip Morris Companies Inc. 3.6%
2. Amoco Corp. 3.3%
3. Bristol-Myers Squibb Company 3.1%
4. Chevron Corp. 3.0%
5. Exxon Corp. 2.8%
6. American Home Products Corp. 2.7%
7. UST Inc. 2.6%
8. Texaco Inc. 2.6%
9. Kimberly-Clark Corp. 2.4%
10. Anheuser-Busch Companies Inc. 2.4%
</TABLE>
TOP FIVE INDUSTRIES
<TABLE>
<S> <C>
1. Energy Related 13.5%
2. Utilities 12.1%
3. Financial Services 9.6%
4. Consumer-Non-Durables 8.4%
5. Pharmaceuticals 7.7%
</TABLE>
- --------------------------------------------------------------------------------
(1) The Standard & Poors 500 Index is composed of 500 widely held common stocks
listed on the NYSE, AMEX, and OTC market.
(2) Lipper's Equity Income Funds Average universe consists of 130 funds.
(3) Average Annual Total Return
Note: The performance shown represents past performance and is not a guarantee
of future results.
------------------ 4 ------------------
<PAGE> 14
-----------------------------------------------------
MONTGOMERY SELECT 50 FUND
-----------------------------------------------------
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1995
------------------------------------------------------
INVESTMENT REVIEW
------------------------------------------------------
The fourth quarter of 1995 was the first quarter of operations for the
Montgomery Select 50 Fund. As such, the bulk of the Fund's activities during the
quarter related to developing an initial investment posture and achieving
appropriate diversification. By quarter end, the Fund was approximately 80%
invested in equities diversified across nineteen countries, with the top five
country exposures being: U.S. (48.98%), Israel (4.54%), Indonesia (3.24%), Hong
Kong (2.89%), and Italy (2.81%).
The Fund is composed of five separate portfolios, each of which is managed
by Montgomery's specialist investment teams in the following areas: U.S. Micro
Cap, U.S. Growth, U.S. Equity Income, International, and Emerging Markets. Each
discipline must contain at least ten holdings. Overall, the Fund is designed to
have at least fifty holdings.
Select 50 generated strong investment results for the quarter, with all
five individual disciplines producing positive results. The U.S. portion of the
portfolio delivered strong returns due to the continued strength in the U.S.
equity market, and good stock selection. Our intent is to maintain
diversification by keeping the five disciplines of the Fund fairly equally
weighted.
GROWTH OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Montgomery Standard & Poors Lipper Capital Appreciation
Select 50 Fund 500 Index(1) Funds Average(2)
<S> <C> <C> <C>
9/95 $10,000 $10,000 $10,000
10/95 10,417 9,954 9,793
11/95 11,080 10,401 10,134
12/95 $11,574 $10,602 $10,215
</TABLE>
TOTAL RETURN SUMMARY
<TABLE>
<CAPTION>
Montgomery Standard & Poors
Select 50 Fund 500 Index
<S> <C> <C>
Inception (9/30/95)(3) 15.7% 6.0%
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<S> <C>
1. Teva Pharmaceuticals-ADR 3.1%
2. Westmont Industries Berhad 2.5%
3. Comshare, Inc. 2.3%
4. Moog Inc., Class A 2.3%
5. MSC Industrial Company 2.1%
6. Octel Communications Corp. 2.0%
7. Lam Research Corp. 1.9%
8. Singer Co. 1.9%
9. Chevron Corp. 1.9%
10. Authentic Fitness Corp. 1.9%
</TABLE>
TOP FIVE INDUSTRIES
<TABLE>
<S> <C>
1. Telecommunications 7.4%
2. Textiles-Apparel 7.3%
3. Retail 7.1%
4. Utilities 5.5%
5. Health Care-Pharmaceuticals 4.9%
</TABLE>
- --------------------------------------------------------------------------------
(1) The Standard & Poors 500 Index is composed of 500 widely held common stocks
listed on the NYSE, AMEX, and OTC market.
(2) Lipper's Capital Appreciation Funds Average universe consists of 158 funds.
(3) Aggregate Total Return
Note: The performance shown represents past performance and is not a guarantee
of future results. Performance is for a limited period of time.
------------------ 5 ------------------
<PAGE> 15
----------------------------------------------------------------------
MONTGOMERY ASSET ALLOCATION FUND
----------------------------------------------------------------------
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1995
------------------------------------------------------
INVESTMENT REVIEW
------------------------------------------------------
The Montgomery Asset Allocation Fund uses a three-pronged strategy in its
goal to achieve high total returns. First, the allocation decision is made based
on results generated by a proprietary quantitative model. Expected continued
strength in the equity market over the last part of the year resulted in a shift
in October from 58% to 70% equities and from 42% to 30% fixed-income.
Second, the active management of the bond portion of the portfolio is
designed to generate consistently better performance than the high grade bond
market and provide an "anchor to windward" for the portfolio.
Third, and most importantly, the active management of the equity allocation
seeks out the best long-term growth opportunities that offer solid fundamental
value.
We will continue to review our allocation positions monthly in order to
take advantage of the continual shifting of economic, market, and political
environments.
GROWTH OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Montgomery
Asset Standard & Lehman Aggregate Lipper Flexible
Allocation Poors 500 High Grade Bond Portfolio Funds
Fund Index (1) Index (2) Average (3)
<S> <C> <C> <C> <C>
3/94 $10,000 $10,000 $10,000 $10,000
6/94 10,200 10,042 9,897 9,900
11,142 10,533 9,957 10,184
12/94 11,976 10,531 9,995 10,092
12,877 11,557 10,499 10,721
6/95 13,871 12,660 11,139 11,528
14,788 13,666 11,357 12,177
12/95 $15,882 $14,489 $11,841 $12,657
</TABLE>
TOTAL RETURN SUMMARY
<TABLE>
<CAPTION>
Montgomery Standard & Lehman Aggregate
Asset Allocation Poors High Grade
Fund 500 Index Index
<S> <C> <C> <C>
1 Year 33% 38% 18%
Inception (3/31/94)(4) 30% 24% 10%
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<S> <C>
1. FNMA 7.000% Mortgage Pass Thru, TBA 5.8%
2. FHLMC, REMIC, 1575 PE (PAC), @ 6.000% due 3/15/07 2.9%
3. US Treasury Bond @ 6.250% due 8/15/23 2.5%
4. US Treasury Note 5.875% due 11/15/05 2.5%
5. HFS Inc. 2.4%
6. Nordstrom Inc. 2.4%
7. Dayton Hudson Corp. 2.4%
8. Octel Communications Corp. 2.3%
9. Masco Corp. 2.1%
10. FHLB FRN due 03/17/00 2.0%
</TABLE>
ASSET MIX
<TABLE>
<S> <C>
Bonds 30%
Equity 70%
</TABLE>
- --------------------------------------------------------------------------------
(1) The Standard & Poors 500 Index is composed of 500 widely held common stocks
listed on the NYSE, AMEX, and OTC market.
(2) The Lehman Brothers Aggregate High Grade Bond Index includes fixed rate debt
issues rated investment grade or higher by Moody's, S&P or Fitch.
(3) Lipper's Flexible Portfolio Funds Average universe consists of 150 funds.
(4) Average Annual Total Return
Note: The performance shown represents past performance and is not a guarantee
of future results.
------------------ 6 ------------------
<PAGE> 16
- -------------------------------------------------------------------------------
MONTGOMERY GLOBAL OPPORTUNITIES FUND
- -------------------------------------------------------------------------------
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1995
------------------------------------------------------
INVESTMENT REVIEW
------------------------------------------------------
The past twelve months were characterized by a strong U.S. market, while
international and emerging markets lagged. However, there are early signs of
what may be a change in leadership among the major global asset classes.
Momentum appears to be shifting from the U.S. to the international markets.
The Montgomery Global Opportunities Fund outperformed the Lipper Global
Funds Average, during the past year and since inception. The Fund's performance
benefited from selective exposure to Japanese stocks. For example, NTT Data
Communication Systems Corporation, a top-five position, was up 50% during the
fourth quarter. Strong business momentum and earnings upgrades were behind the
stock's performance. The Fund also benefited from exposure to the retail sector
in Europe. For example, Dixons Group, a U.K.-based vendor of high technology
consumer electronics and computer products, reported a 41% increase in first
half pre-tax profit and the stock price finished the quarter up 29%.
Looking ahead, we will continue to emphasize our integrated global research
approach, focusing on those companies with positive business momentum,
attractive valuations versus their peers and relative superior total return
profiles. We believe that over time this investment strategy will continue to
add value.
GROWTH OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Montgomery Global MSCI Lipper Global
Opportunities Fund World Index(1) Funds Average(2)
<S> <C> <C> <C>
9/93 $10,000 $10,000 $10,000
12/93 11,850 10,161 10,917
11,508 10,224 10,661
6/94 10,767 10,530 10,589
11,608 10,756 11,105
12/94 10,836 10,677 10,638
10,343 11,176 10,735
6/95 11,459 11,654 11,500
12,315 12,305 12,164
12/95 $12,707 $12,890 $12,332
</TABLE>
TOTAL RETURN SUMMARY
<TABLE>
<CAPTION>
Montgomery Global MSCI
Opportunities Fund World Index
<S> <C> <C>
1 Year 17.3% 20.7%
Inception (9/30/93)(3) 11.2% 11.9%
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<S> <C>
1. NTT Data Communication Systems Corp. 3.0%
2. Waters Corp. 2.8%
3. Sola Int'l Inc. 2.4%
4. IHC Caland N.V. 2.3%
5. UCAR International, Inc. 2.3%
6. Intimate Brands, Inc. 2.2%
7. Axel Springer Verlag, Class A 2.2%
8. Adidas 2.1%
9. Nippon Television Network Corp. 2.1%
10. Aegis Group, ORD 1.9%
</TABLE>
REGIONAL ALLOCATION
<TABLE>
<S> <C>
Europe 48.1%
North America 26.9%
Asia 20.8%
Middle East/Africa 1.6%
Australia 1.6%
Latin America 1.0%
</TABLE>
- --------------------------------------------------------------------------------
(1) The Morgan Stanley Capital International World Index measures performance of
twenty global stock markets.
(2) Lipper's Global Funds Average universe consists of 128 funds.
(3) Average Annual Total Return
Note: The performance shown represents past performance and is not a guarantee
of future results.
------------------ 7 ------------------
<PAGE> 17
- --------------------------------------------------------------------------------
MONTGOMERY GLOBAL COMMUNICATIONS FUND
- --------------------------------------------------------------------------------
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1995
------------------------------------------------------
INVESTMENT REVIEW
------------------------------------------------------
The past twelve months were characterized by a strong U.S. market, while
international and emerging markets lagged. However, there are early signs of
what may be a change in leadership among the major global asset classes.
Momentum appears to be shifting from the U.S. to the international markets.
The Montgomery Global Communications Fund performance results lagged the
MSCI World Index results during 1995, due in part to the Fund's exposure to
emerging markets. Also, telecom equipment manufacturing stocks experienced a
severe correction during the second half of the year. On the other hand, our
investments in wireless telecom and media services industries contributed to the
Fund's strong performance during the year. For example, Reuters, a U.K.-based
financial services technology provider, and Axel Springer Verlag, the largest
listed newspaper and television conglomerate in Germany, increased substantially
as a result of strong business growth.
We believe that the communications companies in the emerging markets of the
world have excellent valuations, creating attractive buying opportunities. We
also believe that the recently passed Communications Bill creates new
opportunities within the U.S. communications sector. Further, after visiting
with many companies in Europe, we are enthusiastic about several privatizations
within this region.
GROWTH OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Montgomery Global MSCI Lipper Global
Communications Fund World Index(1) Funds Average(2)
<S> <C> <C> <C>
6/93 $10,000 $10,000 $10,000
12,017 10,378 10,699
12/93 13,483 10,546 11,715
12,558 10,610 11,426
6/94 11,833 10,929 11,349
12,950 11,163 11,907
12/94 11,675 11,081 11,385
11,241 11,599 11,462
6/95 12,878 12,095 12,267
14,297 12,770 12,971
12/95 $13,646 $13,377 $13,131
</TABLE>
TOTAL RETURN SUMMARY
<TABLE>
<CAPTION>
Montgomery Global MSCI
Communications Fund World Index
<S> <C> <C>
1 Year 16.9% 20.7%
Inception (6/01/93)(3) 12.8% 11.9%
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<S> <C>
1. NTT Data Communication Systems Corp. 3.7%
2. Global Telesystems Group, Inc. 3.4%
3. Gilat Satellite Networks, Ltd. 3.3%
4. Worldcom, Inc. 2.8%
5. Compania Peruana De Telefonas, Class B 2.8%
6. Indonesian Satellite Inc., ADR 2.7%
7. Tokyo Electron Ltd. 2.4%
8. Tele Danmark A.S., ADR 2.3%
9. Axel Springer Verlag, Class A 2.2%
10. DDI Corp. 2.2%
</TABLE>
REGIONAL ALLOCATION
<TABLE>
<S> <C>
Asia 39.9%
Europe 27.4%
North America 18.9%
Latin America 6.2%
Australia 4.2%
Middle East/Africa 3.4%
</TABLE>
- --------------------------------------------------------------------------------
(1) The Morgan Stanley Capital International World Index measures performance of
twenty global stock markets.
(2) Lipper's Global Funds Average universe consists of 128 funds.
(3) Average Annual Total Return
Note: The performance shown represents past performance and is not a guarantee
of future results.
------------------ 8 ------------------
<PAGE> 18
- --------------------------------------------------------------------------------
MONTGOMERY INTERNATIONAL GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1995
------------------------------------------------------
INVESTMENT REVIEW
------------------------------------------------------
The fourth quarter of 1995 was a continuation of the general trend during
the year, with a strong U.S. market. Also during 1995, international and
emerging markets lagged, however, there are early signs of what may be a change
in leadership among the major global asset classes. Momentum appears to be
shifting from the U.S. to the international markets.
The Montgomery International Growth Fund outperformed its benchmark, the
MSCI EAFE Index, since inception. The Fund's performance benefited from
selective exposure to Japanese stocks. For example, NTT Data Communication
Systems Corporation, a top-five position, was up 50% during the fourth quarter.
Strong business momentum and earnings upgrades were behind the stock's
performance. The Fund also benefited from exposure to the retail sector in
Europe. For example, Dixons Group, a U.K.-based vendor of high technology
consumer electronics and computer products, reported a 41% increase in first
half pre-tax profit and the stock price finished the quarter up 29%.
Looking ahead, we will continue to emphasize our integrated research
approach, focusing on those companies with positive business momentum,
attractive valuations versus their peers and relative superior total return
profiles. We believe that over time this investment strategy will continue to
add value.
GROWTH OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Montgomery MSCI Lipper International
International EAFE Funds
Growth Fund Index(1) Average(2)
<S> <C> <C> <C>
6/95 $10,000 $10,000 $10,000
7/95
8/95
9/95 10,417 10,417 10,496
10/95
11/95
12/95 $11,142 $10,839 $10,680
</TABLE>
TOTAL RETURN SUMMARY
<TABLE>
<CAPTION>
Montgomery MSCI
International EAFE
Growth Fund Index
<S> <C> <C>
1 Year
Inception (6/30/95)(3) 11.4% 8.4%
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<S> <C>
1. Gucci 4.2%
2. NTT Data Communication Systems Corp. 2.7%
3. UNI Storebrand, Class A 2.6%
4. Adidas 2.5%
5. Dixons Group ORD 2.4%
6. W.M. Data, AB, Class B 2.2%
7. Aegis Group, ORD 2.2%
8. Bulgari Spa 2.2%
9. Axel Springer Verlag, Class A 2.0%
10. Fokus Bank 2.0%
</TABLE>
REGIONAL ALLOCATION
<TABLE>
<S> <C>
Europe 67.1%
Asia 29.3%
Latin America 2.5%
Middle East/Africa 1.1%
</TABLE>
- --------------------------------------------------------------------------------
(1) The Morgan Stanley Capital International EAFE Index is composed of Europe,
Australia and a Far East Index of eighteen developed market countries.
(2) Lipper's International Funds Average universe consists of 254 funds.
(3) Aggregate Total Return
Note: The performance shown represents past performance and is not a guarantee
of future results. Performance is for a limited period of time.
------------------ 9 ------------------
<PAGE> 19
- --------------------------------------------------------------------------------
MONTGOMERY INTERNATIONAL SMALL CAP FUND
- --------------------------------------------------------------------------------
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1995
------------------------------------------------------
INVESTMENT REVIEW
------------------------------------------------------
The past year was a period of volatility for international equities, with
international small capitalization stocks lagging the large capitalization
sector. However, we are seeing increasing interest for the small and mid cap
sectors in countries such as Hong Kong and Japan, where valuation differentials
are compelling.
The Montgomery International Small Cap Fund outperformed its benchmark
index, MSCI EAFE, during the fourth quarter and full year of 1995. We took
advantage of price weaknesses during the year, selectively buying Japanese
stocks, which added value. Several top-ten stocks reflect this performance: IHC
Caland, a Dutch company specializing in oil and shipping services, reported
accelerating order inflow during the fourth quarter, driving the stock up 19.2%;
and Bulgari, the Italian manufacturer of jewelry, watches and perfumes, recorded
robust global sales growth, boosting that stock's price toward the end of the
year.
Looking ahead, we will continue to emphasize our integrated global research
approach, focusing on those small cap companies with positive business momentum,
attractive valuation versus their peers, and relative superior total return
profiles. We believe that over time this investment strategy will continue to
add value.
GROWTH OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Montgomery International MSCI Lipper International
Small Cap EAFE Small Cap
Fund Index(1) Funds Average(2)
<S> <C> <C> <C>
9/93 $10,000 $10,000 $10,000
12/93 11,342 10,086 11,145
11,158 10,439 11,534
6/94 10,017 10,972 11,318
10,517 10,983 11,528
12/94 9,835 10,871 10,794
9,301 11,073 10,294
6/95 9,793 11,154 10,755
10,751 11,619 11,368
12/95 $10,987 $12,089 $11,299
</TABLE>
TOTAL RETURN SUMMARY
<TABLE>
<CAPTION>
Montgomery International MSCI
Small Cap Fund EAFE Index
<S> <C> <C>
1 Year 11.7% 11.2%
Inception (9/30/93)(3) 4.3% 8.8%
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<S> <C>
1. IHC Caland N.V. 3.0%
2. Axel Springer Verlag, Class A 3.0%
3. UNI Storebrand, Class A 2.7%
4. Aegis Group, ORD 2.6%
5. Bulgari Spa 2.5%
6. Anglo Irish Bank Corp. 2.5%
7. Fielmann AG 2.4%
8. SGL Carbon AG 2.3%
9. Taiwan Semiconductor Co. 2.3%
10. W.M. Data, AB, Class B 2.3%
</TABLE>
REGIONAL ALLOCATIONS
<TABLE>
<S> <C>
Europe 61.5%
Asia 29.0%
North America 3.6%
Australia 2.4%
Latin America 2.1%
Middle East/Africa 1.4%
</TABLE>
- --------------------------------------------------------------------------------
(1) The Morgan Stanley Capital International EAFE Index is composed of Europe,
Australia and a Far East Index of eighteen developed market countries.
(2) Lipper's International Small Cap Funds Average universe consists of 12
funds.
(3) Average Annual Total Return
Note: The performance shown represents past performance and is not a guarantee
of future results.
------------------ 10 ------------------
<PAGE> 20
------------------------------------------------------------------------
MONTGOMERY EMERGING MARKETS FUND
------------------------------------------------------------------------
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1995
------------------------------------------------------
INVESTMENT REVIEW
------------------------------------------------------
The past twelve months marked a difficult period for emerging markets.
During the first quarter, declines were largely caused by the Mexican crisis.
While many markets rebounded in the second quarter, almost all lost their
momentum during the following five months. However, most emerging markets
rebounded in December and, as of this writing, are continuing to increase in
value.
The Montgomery Emerging Markets Fund outperformed its benchmark, the IFC
Global Index, during 1995. Our country allocation decisions as well as our stock
selection decisions added value. The largest contributors to performance
included our underweight in Mexico prior to the crisis and our stock selection
decisions in Asia and South Africa.
Looking forward to 1996, we are bullish on emerging markets. Attractive
valuations, improving liquidity conditions, economic growth and strong corporate
profits have created unusual buying opportunities. While risks in this asset
class remain, we believe the long-term prospects for emerging stock markets are
excellent.
GROWTH OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Montgomery IFG Global Lipper Emerging
Emerging Composite Markets Funds
Markets Fund Index(1) Average(2)
<S> <C> <C> <C>
3/92 $10,000 $10,000 $10,000
9,960 9,247 10,184
9,570 8,485 9,571
12/92 10,031 8,951 9,640
10,482 9,500 10,524
11,083 9,955 11,374
12,324 10,908 12,742
12/93 15,916 14,993 16,749
14,445 13,674 15,169
13,975 13,853 14,428
16,437 16,849 16,910
12/94 14,687 14,914 14,573
13,105 13,000 13,163
14,170 13,678 14,196
13,837 13,477 14,357
12/95 $13,353 $13,076 $13,980
</TABLE>
TOTAL RETURN SUMMARY
<TABLE>
<CAPTION>
Montgomery Emerging IFC Global
Markets Fund Composite Index
<S> <C> <C>
1 Year 91.% 12.3%
Inception (3/1/92) 7.8% 7.2%
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<S> <C>
1. Electrobtas "B" PRF 2.2%
2. United Engineers Conv. Bond
2.000% 3/1/04 2.0%
3. IOI Industrial Oxygen 1.7%
4. Arab Malaysian Corp. 1.7%
5. Vale do Rio Doce PRF 1.6%
6. Industrias Penoles GOP 1.6%
7. Banco Bradesco PRF 1.6%
8. Telebras ADR 1.4%
9. Perez Compac, "A" Shares 1.4%
10. IJM Corp. Berhad 1.3%
</TABLE>
REGIONAL ALLOCATION
<TABLE>
<S> <C>
Southeast Asia 30.4%
Latin America 28.5%
North Asia 18.0%
Middle East/Africa 9.0%
Europe 8.3%
South Asia 5.8%
</TABLE>
- --------------------------------------------------------------------------------
(1) The IFC Global Composite Index is comprised of over 1,200 individual stocks
from 25 developing countries in Asia, Latin America, Middle East, Africa and
Europe.
(2) Lipper's Emerging Markets Funds Average universe consists of 57 funds.
(3) Average Annual Total Return
Note: The performance shown represents past performance and is not a guarantee
of future results.
------------------ 11 ------------------
<PAGE> 21
- --------------------------------------------------------------------------------
MONTGOMERY SHORT GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1995
------------------------------------------------------
INVESTMENT REVIEW
------------------------------------------------------
The Montgomery Short Government Bond Fund achieved its first two objectives
in 1995, it outperformed the two-year U.S. Treasury(5) and it soundly beat money
market funds(6). In addition, by the end of 1995, the NAV of the Short
Government Bond Fund was higher than the Fund's inception NAV on 12/18/92, in
spite of a rise in two-year yields of about 1/2%. Even though bond prices
generally fall when interest rates rise, the Short Government Bond Fund's value
actually rose while its benchmark yield rose as well.
Interest rates fell across the board in 1995, with two-year rates falling
more than 2.50%. If the economy continues to slow and inflation remains subdued,
we could continue to finish the year with lower rates. Much will depend on the
Federal Reserve, which shifted gears last year from a tightening mode to an
easing posture. Further easing in the near term is expected, but certainly not
guaranteed. The Federal Reserve must first confirm economic and inflationary
weakness. The U.S. economy has been difficult to measure recently, as the U.S.
Government shutdown means few economic statistics are being released.
We believe the short-term interest rates have more room to come down in
1996 than long-term rates. If this happens, the Short Government Bond Fund
should provide a very competitive return for the year. We will continue to
manage the Fund with our eyes on consistent returns with relatively low risk.
This strategy has made the Short Government Bond Fund #1 in its class for the
three years ending December 31, 1995(4).
GROWTH OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Montgomery Lehman Lipper
Short Brothers Short US
Government Government Bond Government
Bond Fund (1-3 Yr.) Index(1) Funds Average(2)
<S> <C> <C> <C>
12/92 $10,000 $10,000 $10,000
10,350 10,216 10,269
10,565 10,330 10,415
10,758 10,472 10,579
12/93 10,856 10,538 10,604
10,831 10,487 10,471
10,829 10,487 10,404
10,938 10,592 10,466
12/94 10,979 10,593 10,456
11,351 10,944 10,801
11,725 11,291 11,171
11,918 11,459 11,331
12/95 $12,242 $11,741 $11,638
</TABLE>
TOTAL RETURN SUMMARY
<TABLE>
<CAPTION>
Montgomery Short Lehman 1-3 Year
Govt Bond Fund Govt Index
<S> <C> <C>
1 Year 11.5% 10.8%
Inception (12/18/92)(3) 6.9% 5.5%
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<S> <C>
1. US Treasury Note, 5.500% due 11/15/98 28.1%
2. SLMA 6.180% FRN due 04/21/97 16.7%
3. FNMA 4.730% FRN due 03/10/98 10.9%
4. FHLB 4.536% FLTR due 09/24/97 10.9%
5. SLMA 4.625% FRN due 06/01/98 6.0%
6. FNMA 9.000% TBA 5.9%
7. FNMA 7.000% TBA 5.6%
8. FHLMC 1134 I INV due 09/15/96 5.4%
9. FHLMC 1575 PE PAC @ 6.000%
due 03/15/07 4.5%
10. UAC Ser # 1995-CI PAC (ABS)
3.000% due 10/10/02 3.8%
</TABLE>
ASSET MIX
<TABLE>
<S> <C>
Treasuries 21.8%
Low Risk CMO's 4.7%
Asset Backed Securities 4.0%
Mortgage Pass Throughs 2.5%
Agencies 67%
</TABLE>
- --------------------------------------------------------------------------------
(1) The Lehman Brothers 1-3 Year Government Bond Index is composed of all U.S.
Government issues with maturities of 1-3 years.
(2) Lipper's Short U.S. Government Funds Average universe consists of 71 funds.
(3) Average Annual Total Return
(4) According to Lipper's Short U.S. Government Funds category of 71 funds. The
Montgomery Short Government Fund ranked 55 out of 128 for the one year ended
12/31/95.
(5) According to the Merrill Lynch two-year Treasury Index.
(6) According to Lipper's one year total return averages for U.S. Government
Money Market and Short U.S. Government categories.
Note: The performance shown represents past performance and is not a guarantee
of future results.
------------------ 12 ------------------
<PAGE> 22
- --------------------------------------------------------------------------------
MONTGOMERY CALIFORNIA TAX-FREE INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO HIGHLIGHTS
DECEMBER 31, 1995
------------------------------------------------------
INVESTMENT REVIEW
------------------------------------------------------
Intermediate term tax exempt rates moved lower in the second half of 1995,
but the decline was less than that experienced in other fixed income sectors.
Municipal market appreciation was held back due to the threat of radical tax
reform, an uptick in supply in December, and the absence of foreign flows which
lifted demand for U.S. Governments. At year-end, ten year municipal high grade
rates were at a three year high compared to ten year Treasury yields, a
condition which makes investments in municipals much more advantaged from an
income standpoint than is typical.
Share price appreciation of 42 cents between the end of June and the end of
December is attributed to the extension of average maturity from three to seven
years which was implemented in July. Fund performance continues to be favorable
with a 5.77% total return in the last half of 1995.
GROWTH OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Montgomery CA Merrill Lynch CA Lipper CA Muni
Tax-Free Intermediate Municipal Bond Debt Funds
Bond Fund Index(1) Average(2)
<S> <C> <C> <C>
6/93 $10,000 $10,000 $10,000
10,121 9,949 10,362
12/93 10,233 10,159 10,465
10,086 10,016 9,850
6/94 10,171 9,865 9,881
10,271 10,008 9,927
12/94 10,238 9,998 9,679
10,583 10,277 10,445
6/95 10,784 10,535 10,641
11,054 10,754 10,897
12/95 $11,406 $10,974 $11,479
</TABLE>
TOTAL RETURN SUMMARY
<TABLE>
<CAPTION>
Montgomery CA Merrill Lynch CA
Tax-Free Interm Bond Muni Bond
<S> <C> <C>
1 Year 11.4% 9.8%
Inception (6/30/93)(3) 5.4% 3.8%
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<S> <C>
1. Santa Rosa, CA, High School Dist. @ 7.000% due 05/01/01 5.9%
2. San Diego Mtr. Co., 6.375% due 05/01/06 4.6%
3. Eastern Mun Water, 6.250% due 07/01/05 4.2%
4. Southern Calif Pwr Auth, 5.500% due 07/01/12 4.2%
5. CA Univ, 6.450% due 06/01/02 4.0%
6. Los Angeles Wtr & Pwr, 5.900% due 02/01/05 3.9%
7. CA Med, 6.250% due 03/01/21 3.8%
8. North City West CA, 5.000% due 09/01/04 3.7%
9. Redwood City, CA, FRN due 10/01/08 3.6%
10. Desert Hospital, CA, 6.150% due 07/01/02 3.4%
</TABLE>
INVESTMENT GRADE
<TABLE>
<S> <C>
A 21%
Aa 21%
BBB 8%
Aaa 50%
</TABLE>
- --------------------------------------------------------------------------------
(1) Comprised of Merrill Lynch CA 0 - 7 years from June 1993 - June 1995 and
Merrill Lynch CA Intermediate from July 1995 - September 1995.
(2) Lipper's CA Muni Debt Funds Average universe consists of 27 funds.
(3) Average Annual Total Return
Note: The performance shown represents past performance and is not a guarantee
of future results.
------------------ 13 ------------------
<PAGE> 23
----------------------------------------------------
MONTGOMERY GROWTH FUND
----------------------------------------------------
PORTFOLIO INVESTMENTS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------------ ------------
<S> <C> <C>
COMMON STOCKS--74.1%
CAPITAL GOODS--5.7%
250,000 Lam Research Corporation+......... $ 11,406,250
750,200 Measurex Corporation.............. 21,193,150
450,000 Tyco International Ltd. .......... 16,031,250
------------
48,630,650
------------
COMPUTER SOFTWARE--1.2%
140,000 HBO & Company..................... 10,710,000
------------
CONSUMER DURABLES--1.5%
240,000 Whirlpool Corporation............. 12,780,000
------------
CONSUMER--LEISURE TIME
PRODUCTS--0.9%
372,500 Toy Biz., Inc.+................... 8,101,875
------------
CONSUMER NON-DURABLES--2.3%
99,000 Philip Morris Companies, Inc. .... 8,959,500
309,700 UST Inc. ......................... 10,336,237
------------
19,295,737
------------
DRUGS--DRUG DELIVERY--1.5%
325,000 Pharmacia and Upjohn Inc. ........ 12,593,750
------------
ENERGY RELATED--5.4%
400,000 Enron Corporation................. 15,250,000
240,000 Schlumberger Ltd. ................ 16,620,000
450,000 Tidewater Inc. ................... 14,175,000
------------
46,045,000
------------
FINANCIAL SERVICES--7.9%
250,000 American Express Company.......... 10,343,750
200,000 BankAmerica Corporation........... 12,950,000
125,000 Citicorp.......................... 8,406,250
375,000 Golden West Financial
Corporation..................... 20,718,750
380,000 Norwest Corporation............... 12,540,000
114,100 Prudential Reinsurance Holdings... 2,667,087
------------
67,625,837
------------
HEALTH CARE SERVICES--6.7%
600,000 Healthsource Inc.+................ 21,600,000
275,000 Living Centers America Inc.+...... 9,625,000
355,000 Oxford Health Plans Inc.+......... 26,181,250
------------
57,406,250
------------
HOME BUILDERS--4.3%
475,000 Clayton Homes Inc. ............... 10,153,125
865,000 Masco Corporation................. 27,139,375
------------
37,292,500
------------
HOUSEHOLD PRODUCTS--0.3%
103,600 Singer Company.................... 2,887,850
------------
INFORMATION--BUSINESS SERVICES--4.5%
115,000 Computer Sciences Corporation+.... 8,078,750
375,000 HFS Inc.+......................... 30,656,250
------------
38,735,000
------------
PAPER AND FOREST PRODUCTS--4.0%
325,000 Chesapeake Corporation............ 9,628,125
650,000 International Paper Company....... 24,618,750
------------
34,246,875
------------
REAL ESTATE INVESTMENT TRUST--1.2%
349,600 Starwood Lodging Trust............ 10,400,600
------------
RETAIL--6.8%
387,000 Dayton Hudson Corporation......... 29,025,000
660,000 Nordstrom, Inc. .................. 26,647,500
70,500 Staples Inc.+..................... 1,727,250
33,900 Tommy Hilfiger Corporation+....... 1,436,513
------------
58,836,263
------------
SEMICONDUCTORS--2.5%
600,000 Analog Devices Inc.+.............. 21,225,000
------------
TECHNOLOGY--MISCELLANEOUS--7.3%
571,700 Avid Technology Inc.+............. 10,898,031
975,000 Octel Communications
Corporation+.................... 31,504,688
472,700 PictureTel Corporation+........... 20,326,100
------------
62,728,819
------------
TELECOMMUNICATIONS--
EQUIPMENT--8.5%
350,000 Aspect Telecommunications
Corporation+.................... 11,681,250
300,000 Bay Networks Inc.+................ 12,318,750
950,000 Ericsson (L.M.) Telephone Company,
Class B, ADR.................... 18,525,000
850,000 General Instrument Corporation,
New+............................ 19,868,750
250,000 Northern Telecom Ltd. ............ 10,750,000
------------
73,143,750
------------
TRANSPORTATION--1.6%
900,000 Canadian National Railway
Company+........................ 13,500,000
------------
TOTAL COMMON STOCKS
(Cost $527,959,449)............. 636,185,756
------------
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
REPURCHASE AGREEMENTS--27.7%
$95,000,000 Agreement with Chemical Bank
Tri-Party, 6.000% dated
12/29/95, to be repurchased at
$95,063,333, on 01/02/96,
collateralized by $96,901,921
market value of U.S. Government
securities, having various
maturities and various interest
rates........................... 95,000,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 14 ------------------
<PAGE> 24
----------------------------------------------------
MONTGOMERY GROWTH FUND
----------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
------------ ------------
<S> <C> <C>
REPURCHASE AGREEMENTS--(CONTINUED)
$80,000,000 Agreement with Nikko Tri-Party,
5.930% dated 12/29/95, to be
repurchased at $80,052,711, on
01/02/96, collateralized by
$82,396,456 market value of U.S.
Government securities, having
various maturities and various
interest rates.................. $ 80,000,000
63,390,000 Agreement with Paine Webber
Mortgage Tri-Party, 6.000% dated
12/29/95, to be repurchased at
$63,432,260, on 01/02/96,
collateralized by $64,660,257
market value of U.S. Government
securities, having various
maturities and various interest
rates........................... 63,390,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $238,390,000)............. 238,390,000
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(NOTE 1)
------------
<S> <C> <C>
TOTAL INVESTMENTS (Cost
$766,349,449*)........................ 101.8% $874,575,756
OTHER ASSETS AND LIABILITIES (Net)...... (1.8) (15,141,253)
----- ------------
NET ASSETS.............................. 100.0% $859,434,503
===== =============
</TABLE>
- ------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
ABBREVIATION:
ADR American Depositary Receipt
The accompanying notes are an integral part of these financial statements.
------------------ 15 ------------------
<PAGE> 25
-------------------------------------------------------
MONTGOMERY MICRO CAP FUND
-------------------------------------------------------
PORTFOLIO INVESTMENTS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ------------
<S> <C> <C>
COMMON STOCKS--80.2%
BASIC MATERIALS--1.1%
125,000 IMCO Recycling, Inc. ............. $ 3,062,500
------------
BUILDING MATERIALS--1.9%
175,000 Republic Gypsum Company........... 2,450,000
150,000 Triangle Pacific Corporation+..... 2,606,250
------------
5,056,250
------------
BUSINESS SERVICES--1.0%
82,000 On Assignment Inc.+............... 2,716,250
------------
CAPITAL GOODS--10.1%
79,300 Beazer Homes USA Inc.+............ 1,635,562
120,000 Champion Enterprises Inc.+........ 3,705,000
60,000 Checkpoint Systems Inc.+.......... 2,242,500
170,000 Electroglas+...................... 4,292,500
125,000 Esterline Technologies
Corporation+.................... 2,953,125
141,000 Measurex Corporation.............. 3,983,250
145,000 Raymond Corporation+.............. 3,335,000
26,000 Scientific Technologies Inc. ..... 321,750
204,500 Southern Energy Homes+............ 3,502,063
118,100 Woodhead Industries, Inc. ........ 1,668,162
------------
27,638,912
------------
COMPUTER HARDWARE--1.5%
160,000 International Rectifier
Corporation+.................... 4,000,000
------------
COMPUTER SOFTWARE--4.0%
120,100 Avid Technology Inc.+............. 2,289,406
225,000 Comshare, Inc.+................... 5,962,500
74,000 Veritas Software Corporation+..... 2,775,000
------------
11,026,906
------------
COMPUTER SYSTEMS--3.4%
108,000 Henry (Jack) & Associates......... 2,700,000
60,000 Kronos, Inc.+..................... 2,910,000
300,000 The Cronos Group+................. 3,543,750
------------
9,153,750
------------
CONSUMER--LEISURE TIME
PRODUCTS--1.1%
175,000 Stratosphere Corporation.......... 1,739,063
55,900 Toy Biz, Inc.+.................... 1,215,825
------------
2,954,888
------------
CONSUMER NON-DURABLES--5.0%
300,500 AMRE Inc. ........................ 4,394,812
165,000 Ha-Lo Industries.................. 5,032,500
150,000 Norwood Promotional Products+..... 2,568,750
90,000 Petes Brewing Company+............ 1,282,500
42,500 Polk Audio, Inc.+................. 409,063
------------
13,687,625
------------
ELECTRICAL EQUIPMENT--1.5%
137,600 Giga-Tronics Inc. ................ 1,083,600
275,000 II-VI Inc.+....................... 3,007,813
------------
4,091,413
------------
ELECTRONICS--1.1%
120,000 Information Storage Devices+...... 1,320,000
100,000 Keithley Instruments Inc. ........ 1,675,000
------------
2,995,000
------------
ENERGY RELATED--4.9%
307,000 Falcon Drilling Company Inc.+..... 4,547,437
300,000 Pride Petroleum Services Inc.+.... 3,150,000
700,000 Unit Corporation+................. 3,325,000
200,000 Varco International Inc.+......... 2,400,000
------------
13,422,437
------------
ENGINEERING--CONSTRUCTION--1.6%
140,000 Granite Construction Inc. ........ 4,427,500
------------
FINANCIAL SERVICES--6.0%
85,000 Aames Financial Corporation....... 2,369,375
85,000 Amerin Corporation+............... 2,268,437
211,000 Life RE Corporation............... 5,275,000
190,000 Pioneer Financial Services
Inc. ........................... 3,515,000
142,500 U.S. Facilities Corporation....... 3,019,219
------------
16,447,031
------------
FOOD AND BEVERAGE--1.2%
135,000 Nature's Sunshine Products
Inc. ........................... 3,358,125
------------
HEALTH CARE SERVICES--2.7%
82,300 Genesis Health Ventures+.......... 3,003,950
65,000 HCIA Inc.+........................ 3,030,625
60,000 OccuSystems, Inc.+................ 1,200,000
------------
7,234,575
------------
INDUSTRIAL PRODUCTS--6.0%
89,000 Applied Power Inc. ............... 2,670,000
105,000 Charter Power Systems............. 2,979,375
82,000 Cyberoptics Corporation+.......... 3,259,500
180,000 Holopak Technologies Inc. ........ 945,000
218,000 Moog Inc., Class A+............... 3,760,500
172,800 Shelter Components Corporation.... 2,829,600
------------
16,443,975
------------
INFORMATION--BUSINESS SERVICES--2.3%
90,500 Continuum Company Inc.+........... 3,574,750
116,250 Right Management Consulting....... 2,775,469
------------
6,350,219
------------
INSURANCE--2.4%
165,000 AVEMCO Corporation................ 2,640,000
135,000 PennCorp Financial Group Inc. .... 3,965,625
------------
6,605,625
------------
LODGING--2.6%
120,000 Bristol Hotel Company+............ 2,925,000
166,000 Renaissance Hotel Group, N.V.+.... 4,233,000
------------
7,158,000
------------
MACHINERY--CONSTRUCTION--1.4%
125,000 Manitowoc Company................. 3,828,125
------------
MEDICAL PRODUCTS--TECHNOLOGY--0.9%
117,500 Circon Corporation+............... 2,372,031
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 16 ------------------
<PAGE> 26
-------------------------------------------------------
MONTGOMERY MICRO CAP FUND
-------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ------------
<S> <C> <C>
COMMON STOCKS--(CONTINUED)
MINING AND MINERALS--0.4%
67,700 Tremont Corporation, New+......... $ 1,125,513
------------
REAL ESTATE INVESTMENT TRUST--1.2%
114,000 Starwood Lodging Trust............ 3,391,500
------------
RESTAURANTS--1.0%
137,500 Sonic Corporation+................ 2,578,125
------------
RETAIL--1.0%
900,000 Filene's Basement Corporation..... 2,165,625
35,000 Whole Foods Market Inc.+.......... 487,813
------------
2,653,438
------------
SEMICONDUCTORS--1.4%
350,000 Actel Corporation+................ 3,784,375
------------
STEEL--0.1%
27,500 Bliss & Laughlin Industries
Inc.+........................... 247,500
------------
TECHNOLOGY--MISCELLANEOUS--4.7%
106,500 Bell and Howell Holdings+......... 2,982,000
100,000 Data Research Associates Inc.+.... 1,837,500
110,000 Data Translation Inc.+............ 1,760,000
225,000 Genicom Corporation+.............. 1,125,000
85,000 Octel Communications
Corporation+.................... 2,746,562
125,000 Plexus Corporation+............... 2,046,875
15,000 SDL Inc.+......................... 367,500
------------
12,865,437
------------
TELECOMMUNICATIONS--EQUIPMENT--1.0%
76,600 Aspect Telecommunications
Corporation+.................... 2,556,525
------------
TEXTILES--APPAREL--3.3%
285,000 Authentic Fitness Corporation..... 5,913,750
60,000 St. John Knits Inc. .............. 3,187,500
------------
9,101,250
------------
TRUCKING AND LEASING--2.1%
115,000 Midwest Express Holdings+......... 3,191,250
170,000 Swift Transportation Company
Inc. ........................... 2,571,250
------------
5,762,500
------------
UTILITY--0.3%
25,000 Otter Tail Power Company.......... 896,875
------------
TOTAL COMMON STOCKS
(Cost $181,873,908)............. 218,994,175
------------
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<S> <C> <C>
REPURCHASE AGREEMENTS--20.5%
$30,000,000 Agreement with Chemical Bank
Tri-Party, 6.000% dated
12/29/95, to be repurchased at
$30,020,000 on 01/02/96,
collateralized by $30,600,607
market value of U.S. Government
securities, having various
maturities and various interest
rates........................... 30,000,000
15,000,000 Agreement with Nikko Tri-Party,
5.930% dated 12/29/95, to be
repurchased at $15,009,883, on
01/02/96, collateralized by
$15,449,336 market value of U.S.
Government securities, having
various maturities and various
interest rates.................. 15,000,000
10,840,000 Agreement with Paine Webber
Mortgage Tri-Party, 6.000% dated
12/29 to be repurchased at
$10,847,227, on 01/02/96,
collateralized by $11,057,220
market value of U.S. Government
securities, having various
maturities and various interest
rates........................... 10,840,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $55,840,000).............. 55,840,000
------------
TOTAL INVESTMENTS
(Cost $237,713,908*)................ 100.7% 274,834,175
OTHER ASSETS AND LIABILITIES (Net).... (0.7) (1,878,942)
----- ------------
NET ASSETS............................ 100.0% $272,955,233
===== ============
</TABLE>
- ------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
The accompanying notes are an integral part of these financial statements.
------------------ 17 ------------------
<PAGE> 27
-------------------------------------------------------
MONTGOMERY SMALL CAP FUND
-------------------------------------------------------
PORTFOLIO INVESTMENTS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ------------
<S> <C> <C>
COMMON STOCKS--94.2%
BIOTECHNOLOGY--4.2%
152,000 Centocor Inc.+..................... $ 4,712,000
80,000 Cephalon Inc.+..................... 3,265,000
104,000 Sepracor Inc.+..................... 1,924,000
------------
9,901,000
------------
CAPITAL GOODS--5.6%
78,000 Del Webb Corporation............... 1,569,750
82,200 Elsag Bailey Process Auto N.V.+.... 2,209,125
180,000 Northwest Pipe Company+............ 1,980,000
74,100 Oakwood Homes Corporation.......... 2,843,587
96,000 Teltrend Inc.+..................... 4,512,000
------------
13,114,462
------------
COMPUTER HARDWARE--1.3%
95,100 Comverse Technology+............... 1,913,887
42,000 Hadco Corporation+................. 1,189,125
------------
3,103,012
------------
CONSUMER--LEISURE TIME
PRODUCTS--7.9%
80,000 Anthony Industries................. 1,840,000
288,000 Benson Eyecare Corporation+........ 2,592,000
165,000 CAI Wireless Systems Inc.+......... 1,577,813
64,000 Canandaigua Wine Company, Inc.,
Class A+......................... 2,096,000
52,000 Carmike Cinemas, Inc., Class A+.... 1,170,000
48,000 Exide Corporation.................. 2,202,000
64,900 Red Lions Hotels Inc.+............. 1,135,750
60,000 Regal Cinemas Inc.+................ 1,762,500
200,004 ShoLodge, Inc.+.................... 1,950,039
60,000 Silver King Communications Inc.+... 2,070,000
13,100 Young Broadcasting, Inc., Class
A+............................... 363,525
------------
18,759,627
------------
DRUGS--DRUG DELIVERY--3.1%
88,000 AmeriSource Health Corporation,
Class A+......................... 2,904,000
92,000 Watson Pharmaceuticals+............ 4,508,000
------------
7,412,000
------------
ENERGY RELATED--5.1%
82,400 BJ Services Company+............... 2,389,600
78,200 Camco International Inc. .......... 2,189,600
240,000 High Plains Corporation+........... 1,065,000
50,000 Nuevo Energy Company+.............. 1,112,500
120,000 Petroleum Geo-Services, ADR+....... 3,000,000
107,000 Seagull Energy Corporation+........ 2,380,750
------------
12,137,450
------------
FINANCIAL SERVICES--15.8%
220,000 AmeriCredit Corporation+........... 2,997,500
62,000 Amerin Corporation+................ 1,654,625
56,000 CMAC Investment Corporation........ 2,464,000
112,000 Commercial Federal Corporation..... 4,228,000
40,000 Conseco Inc. ...................... 2,505,000
95,300 Countrywide Credit Industries,
Inc. ............................ 2,072,775
62,900 Equitable of Iowa Companies........ 2,020,663
89,400 Life Re Corporation................ 2,235,000
64,000 Mid Ocean Ltd.+.................... 2,360,000
35,400 OnBancorp Inc. .................... 1,183,687
110,000 Prudential Reinsurance Holdings.... 2,571,250
208,000 Renters Choice Inc.+............... 2,860,000
40,000 The PMI Group Inc. ................ 1,810,000
100,000 Union Acceptance Corporation+...... 1,437,500
132,000 Union America Holdings, ADR+....... 2,244,000
48,000 Vesta Insurance Group Inc. ........ 2,616,000
------------
37,260,000
------------
HEALTH CARE SERVICES--9.3%
40,000 American Homepatient Inc.+......... 1,170,000
100,000 Community Health Systems, Inc.+.... 3,562,500
70,000 HealthPlans Services
Corporation+..................... 1,750,000
64,000 Lincare Holding Inc.+.............. 1,592,000
67,800 Medpartners/Mullikin, Inc.+........ 2,228,925
56,000 Omnicare, Inc. .................... 2,506,000
240,000 Ornda Healthcorp+.................. 5,580,000
89,000 Physician Sales & Services,
Inc.+............................ 2,514,250
40,400 Rotech Medical Corporation+........ 1,100,900
------------
22,004,575
------------
INDUSTRIAL PRODUCTS--3.4%
88,000 C-COR Electronics+................. 2,046,000
72,000 Greenfield Industries Inc. ........ 2,241,000
128,000 OEA Systems Inc. .................. 3,824,000
------------
8,111,000
------------
INFORMATION--BUSINESS SERVICES--9.6%
49,100 APAC Teleservices, Inc.+........... 1,638,712
48,600 BiSYS Group, Inc.+................. 1,482,300
114,600 Black Box Corporation+............. 1,876,575
72,000 Checkfree Corporation+............. 1,539,000
72,200 Global Direct Mail Corporation+.... 1,985,500
128,000 Medaphis Corporation+.............. 4,752,000
168,000 National Data Corporation.......... 4,158,000
120,000 Saville Systems Ireland, ADR+...... 1,710,000
88,000 Scientific-Atlanta Inc............. 1,320,000
82,000 VeriFone, Inc.+.................... 2,347,250
------------
22,809,337
------------
MEDICAL PRODUCTS--TECHNOLOGY--5.0%
48,000 Arrow International................ 1,950,000
256,000 Corvita Corporation+............... 2,608,000
107,000 I-Stat Corporation+................ 3,450,750
33,700 Owen Healthcare, Inc.+............. 909,900
103,200 Physio-Control International
Corporation+..................... 1,870,500
56,000 Ventritex Inc.+.................... 983,500
------------
11,772,650
------------
RETAIL--3.2%
13,400 APS Holding Corporation, Class
A+............................... 2,523,150
16,100 Proffitts Inc.+.................... 424,637
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 18 ------------------
<PAGE> 28
-------------------------------------------------------
MONTGOMERY SMALL CAP FUND
-------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ------------
<S> <C> <C>
COMMON STOCKS--(CONTINUED)
RETAIL--(CONTINUED)
104,000 Tommy Hilfiger Corporation+........ $ 4,407,000
9,800 Younkers Inc.+..................... 246,838
------------
7,601,625
------------
TELECOMMUNICATIONS--20.7%
96,000 ACC Corporation.................... 2,196,000
12,400 Arch Communications Group+......... 298,375
108,000 Equalnet Holding Corporation+...... 776,250
544,000 Frontier Corporation............... 16,320,000
36,000 Globalstar Telecommunication
Ltd.+............................ 1,345,500
200,000 IntelCom Group, Inc.+.............. 2,475,000
368,000 LCI International Worldwide
Telecommunications............... 7,544,000
88,000 Metrocall Inc.+.................... 1,672,000
160,000 MIDCOM Communications, Inc.+....... 2,840,000
113,100 Mobile Telecommunications
Technology Corporation+.......... 2,417,513
312,000 WorldCom, Inc.+.................... 11,037,000
------------
48,921,638
------------
TOTAL COMMON STOCKS
(Cost $158,240,916).............. 222,908,376
------------
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<S> <C> <C>
CORPORATE BONDS--2.7%
$1,000,000 All American Communications,
Subordinated Notes,
6.500% due 10/01/03.............. 890,000
2,500,000 Alliance Gaming Inc,
Subordinated Debenture,
7.500% due 09/15/03**............ 1,381,250
4,560,000 IntelCom Group, Subordinated Notes,
Payment-in-Kind,
7.000% due 10/30/98.............. 4,012,800
------------
TOTAL CORPORATE BONDS
(Cost $8,060,000)................ 6,284,050
------------
TOTAL SECURITIES
(Cost $166,300,916).............. 229,192,426
------------
REPURCHASE AGREEMENTS--2.9%
$3,387,000 Agreement with Chemical Bank
Tri-Party, 6.000% dated 12/29/95,
to be repurchased at $3,389,258,
on 01/02/96, collateralized by
$3,454,808 market value of U.S.
Government securities, having
various maturities and various
interest rates................... 3,387,000
3,387,000 Agreement with Paine Webber
Mortgage Tri-Party, 6.000% dated
12/31/95 to be repurchased at
$3,389,258, on 01/02/96,
collateralized by $3,454,871
market value of U.S. Government
securities, having various
maturities and various interest
rates............................ 3,387,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $6,774,000)................ 6,774,000
------------
TOTAL INVESTMENTS
(Cost $173,074,916*)................ 99.8% 235,966,426
OTHER ASSETS AND LIABILITIES (Net).... 0.2 532,956
----- ------------
NET ASSETS............................ 100.0% $236,499,382
===== =============
</TABLE>
- ------------
* Aggregate cost for Federal tax purposes.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
+ Non-income producing security.
ABBREVIATION:
ADR American Depositary Receipt
The accompanying notes are an integral part of these financial statements.
------------------ 19 ------------------
<PAGE> 29
----------------------------------------------------------------
MONTGOMERY EQUITY INCOME FUND
----------------------------------------------------------------
PORTFOLIO INVESTMENTS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<S> <C> <C>
COMMON STOCKS--89.1%
AUTOMOTIVE--1.4%
6,500 Genuine Parts Company............... $ 266,500
------------
CAPITAL GOODS--3.5%
2,300 Cooper Industries Inc. ............. 84,525
6,700 Minnesota Mining & Manufacturing
Company........................... 443,875
4,800 National Services Industries
Inc. ............................. 155,400
------------
683,800
------------
CHEMICALS--2.8%
9,400 Betz Laboratories Inc. ............. 385,400
1,000 Du Pont EI de Nemours & Company..... 69,875
1,400 Rohm & Haas Company................. 90,125
------------
545,400
------------
CONSUMER NON-DURABLES--8.4%
9,900 American Brands Inc. ............... 441,787
7,800 Philip Morris Companies, Inc. ...... 705,900
15,100 UST Inc. ........................... 503,962
------------
1,651,649
------------
DRUGS--DRUG DELIVERY--1.7%
7,800 Baxter International Inc. .......... 326,625
------------
ELECTRICAL EQUIPMENT--0.5%
1,500 Hubbell Inc., Class B............... 98,625
------------
ENERGY RELATED--13.5%
9,100 Amoco Corporation................... 654,063
11,200 Chevron Corporation................. 588,000
14,500 Dresser Industries Inc. ............ 353,437
6,800 Exxon Corporation................... 544,850
6,400 Texaco Inc. ........................ 502,400
------------
2,642,750
------------
FINANCIAL SERVICES--9.6%
8,600 Banc One Corporation................ 324,650
1,600 Federal National Mortgage
Association....................... 198,600
7,000 KeyCorp............................. 253,750
2,200 Morgan (J.P.) & Company Inc. ....... 176,550
5,300 National City Corporation........... 175,563
8,600 U.S. Bancorp........................ 288,638
9,900 Wachovia Corporation................ 452,925
------------
1,870,676
------------
FOOD AND BEVERAGE--5.1%
6,900 Anheuser-Busch Companies Inc. ...... 461,437
4,700 General Mills Inc. ................. 271,425
8,050 Heinz (H.J.) Company................ 266,656
------------
999,518
------------
INFORMATION--BUSINESS SERVICES--1.4%
3,200 McGraw-Hill Companies Inc. ......... 278,800
------------
INSURANCE--7.0%
5,200 American General Corporation........ 181,350
2,100 Lincoln National Corporation,
Ltd. ............................. 112,875
5,100 Marsh & McLennan Companies.......... 452,625
8,600 SAFECO Corporation.................. 297,237
6,000 St. Paul Companies, Inc. ........... 333,750
------------
1,377,837
------------
MACHINERY--CONSTRUCTION--2.7%
14,400 Fleetwood Enterprises............... 370,800
3,100 Stanley Works....................... 159,650
------------
530,450
------------
OFFICE EQUIPMENT--0.9%
3,800 Pitney Bowes Inc. .................. 178,600
------------
PAPER AND FOREST PRODUCTS--3.8%
5,700 Kimberly-Clark Corporation.......... 471,675
4,600 Potlach Corporation................. 184,000
2,000 Weyerhauser Company................. 86,500
------------
742,175
------------
PHARMACEUTICALS--7.7%
5,400 American Home Products
Corporation....................... 523,800
7,000 Bristol-Myers Squibb Company........ 601,125
3,000 Merck & Company, Inc. .............. 197,250
1,800 Warner-Lambert Company.............. 174,825
------------
1,497,000
------------
RETAIL--1.7%
6,900 Penney (J.C.) Company, Inc. ........ 328,612
------------
TELECOMMUNICATIONS--5.3%
10,300 GTE Corporation..................... 453,200
5,700 NYNEX Corporation................... 307,800
7,100 Southern New England
Telecommunications Corporation.... 282,225
------------
1,043,225
------------
UTILITIES--12.1%
12,900 Baltimore Gas & Electric Company.... 367,650
4,300 Florida Progress Corporation........ 152,113
3,400 IPALCO Enterprises Inc. ............ 129,625
5,300 National Fuel Gas Company........... 188,300
9,800 NICOR Inc. ......................... 269,500
17,300 Pacific Corporation................. 367,625
4,600 Questar Corporation................. 154,100
1,800 Union Electric Company.............. 75,150
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 20 ------------------
<PAGE> 30
----------------------------------------------------------------
MONTGOMERY EQUITY INCOME FUND
----------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<S> <C> <C>
COMMON STOCKS--(CONTINUED)
UTILITIES--(CONTINUED)
13,500 Western Resources Inc. ............. $ 450,563
6,700 Wisconsin Energy Corporation........ 205,188
------------
2,359,814
------------
TOTAL COMMON STOCKS
(Cost $15,636,748)................ 17,422,056
------------
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<S> <C> <C>
REPURCHASE AGREEMENT--7.9%
(Cost $1,552,000)
$1,552,000 Agreement with Chemical Bank
Tri-Party, 6.000% dated 12/29/95,
to be repurchased at $1,553,035 on
01/02/96, collateralized by
$1,583,071 market value of U.S.
Government securities, having
various maturities and various
interest rates.................... 1,552,000
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(NOTE 1)
-----------
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $17,188,748*)................... 97.0% $18,974,056
OTHER ASSETS AND LIABILITIES (Net)...... 3.0 579,471
----- -----------
NET ASSETS.............................. 100.0% $19,553,527
===== ===========
</TABLE>
- ------------
* Aggregate cost for Federal tax purposes.
The accompanying notes are an integral part of these financial statements.
------------------ 21 ------------------
<PAGE> 31
-----------------------------------------------------
MONTGOMERY SELECT 50 FUND
-----------------------------------------------------
PORTFOLIO INVESTMENTS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<S> <C> <C>
COMMON STOCKS--79.0%
BROADCASTING--ADVERTISING--0.7%
19,000 Reuters, ORD (Great Britain)........ $ 173,944
------------
CAPITAL GOODS--3.4%
11,000 Lam Research Corporation+ (United
States)........................... 501,875
14,000 Measurex Corporation (United
States)........................... 395,500
------------
897,375
------------
COMPUTER SOFTWARE--4.4%
23,000 Comshare, Inc.+ (United States)..... 609,500
15,000 Scopus Technology Inc.+ (United
States)........................... 375,000
4,000 Veritas Software Corporation+
(United States)................... 150,000
------------
1,134,500
------------
CONSUMER NON-DURABLES--4.0%
4,000 Ha-Lo Industries (United States).... 122,000
5,500 Philip Morris Companies, Inc.
(United States)................... 497,750
13,000 UST Inc. (United States)............ 433,875
------------
1,053,625
------------
ENERGY RELATED--3.7%
9,500 Chevron Corporation (United
States)........................... 498,750
100,000 Unit Corporation+ (United States)... 475,000
------------
973,750
------------
FINANCIAL SERVICES--1.7%
12,000 KeyCorp (United States)............. 435,000
------------
FOOD AND BEVERAGE--1.5%
6,000 Anheuser-Busch Companies Inc.
(United States)................... 401,250
------------
FOOTWEAR--1.3%
6,540 Adidas (Germany).................... 346,155
------------
FURNITURE--1.4%
1,518,000 Lamex Holdings (Hong Kong).......... 374,960
------------
GLASS--1.9%
33,000 Tambang Timah (Indonesia)........... 40,772
37,400 Tambang Timah, GDR*** (Indonesia)... 454,410
------------
495,182
------------
HEALTH CARE--PHARMACEUTICALS--4.9%
5,500 Bristol-Myers Squibb Company (United
States)........................... 472,313
17,600 Teva Pharmaceuticals, ADR
(Israel).......................... 815,100
------------
1,287,413
------------
HEALTH CARE SERVICES--0.3%
1,000 Oxford Health Plans Inc.+ (United
States)........................... 73,750
------------
HOLDING--1.0%
1,835,000 Koc Holding (Turkey)................ 262,143
------------
HOME BUILDERS--1.8%
15,000 Masco Corporation (United States)... 470,625
------------
HOUSEHOLD PRODUCTS--1.9%
18,000 Singer Company (United States)...... 501,750
------------
INDUSTRIAL PRODUCTS--2.3%
35,000 Moog Inc., Class A+ (United
States)........................... 603,750
------------
INSURANCE--1.6%
12,000 SAFECO Corporation (United
States)........................... 414,750
------------
MACHINERY--CONSTRUCTION--3.0%
427,500 Komatsu Indonesia (Indonesia)....... 350,563
14,300 Manitowoc Company (United States)... 437,938
------------
788,501
------------
NEWSPAPERS--PUBLISHING--1.0%
380 Axel Springer Verlag, Class A
(Germany)......................... 255,718
------------
RETAIL--7.1%
40,600 Bulgari Spa (Italy)................. 346,738
6,000 Dayton Hudson Corporation (United
States)........................... 450,000
14,000 Hankyo Department Stores (Japan).... 207,457
22,000 Mitsukoshi Ltd. (Japan)............. 206,683
20,000 MSC Industrial Company (United
States)........................... 550,000
3,800 Staples Inc.+ (United States)....... 93,100
------------
1,853,978
------------
SEMICONDUCTORS--1.9%
14,000 Analog Devices Inc.+ (United
States)........................... 495,250
------------
SOFTWARE SYSTEMS--2.0%
10,000 DST System+ (United States)......... 285,000
8,460 Sysdeco Group+ (Norway)............. 231,266
------------
516,266
------------
STEEL--1.4%
196,400 Sivensa, ADR (Venezuela)............ 368,250
------------
TECHNOLOGY--MISCELLANEOUS--2.8%
16,000 Octel Communications Corporation+
(United States)................... 517,000
5,200 PictureTel Corporation+
(United States)................... 223,600
------------
740,600
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 22 ------------------
<PAGE> 32
-----------------------------------------------------
MONTGOMERY SELECT 50 FUND
-----------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<S> <C> <C>
COMMON STOCKS--(CONTINUED)
TELECOMMUNICATIONS--7.4%
4,300 Ericsson (L.M.) Telephone Company,
Class B, ADR+ (Sweden)............ $ 84,180
14,800 Gilat Satellite Networks, Ltd.+
(Israel).......................... 371,850
7,200 Nera S.A. (Norway).................. 234,366
3,810 Nokia AB Corporation, Series A
(Finland)......................... 147,576
900 Philippine Long Distance Telephone
(Philippines)..................... 48,894
6,300 Philippine Long Distance Telephone,
ADR (Philippines)................. 340,988
9,400 Telebras, ADR (Brazil).............. 445,325
9,600 Telefonica de Argentina, ADR
(Argentina)....................... 261,600
------------
1,934,779
------------
TEXTILES--APPAREL--7.3%
24,000 Authentic Fitness Corporation
(United States)................... 498,000
521,000 Goldlion Holdings Ltd. (Hong
Kong)............................. 380,685
10,000 Gucci (Italy)....................... 388,750
187,000 Westmont Industries Berhad**
(Malaysia)........................ 647,951
------------
1,915,386
------------
TRUCKING AND LEASING--1.8%
16,500 Midwest Express Holdings+
(United States)................... 457,875
------------
UTILITIES--5.5%
14,000 Florida Progress Corporation (United
States)........................... 495,250
9,000 Mosenergo, ADS*** (Russia).......... 73,125
13,000 Questar Corporation (United
States)........................... 435,500
13,000 Western Resources Inc. (United
States)........................... 433,875
------------
1,437,750
------------
TOTAL COMMON STOCKS
(Cost $19,316,674)................ 20,664,275
------------
PREFERRED STOCK--0.4% (Cost $79,772)
3,700 KEPCO, ADR (Korea).................. 98,050
------------
TOTAL SECURITIES
(Cost $19,396,446)................ 20,762,325
------------
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<S> <C> <C>
REPURCHASE AGREEMENTS--28.5%
$3,726,500 Agreement with Chemical Bank
Tri-Party, 6.000% dated 12/29/95,
to be repurchased at $3,728,984 on
01/02/96, collateralized by
$3,801,105 market value of U.S.
Government securities, having
various maturities and various
interest rates.................... $ 3,726,500
$3,726,500 Agreement with Paine Webber
Tri-Party, 6.000% dated 12/29/95,
to be repurchased at $3,728,984 on
01/02/96, collateralized by
$3,801,174 market value of U.S.
Government securities, having
various maturities and various
interest rates.................... 3,726,500
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $7,453,000)................. 7,453,000
------------
TOTAL INVESTMENTS
(Cost $26,849,446*)................... 107.9% 28,215,325
OTHER ASSETS AND LIABILITIES (Net)...... (7.9) (2,073,127)
----- -----------
NET ASSETS.............................. 100.0% $26,142,198
===== ===========
</TABLE>
- ------------
* Aggregate cost for Federal tax purposes.
** Illiquid or Special Situation Security (See Note 7 to Financial Statements).
*** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
+ Non-income producing security.
<TABLE>
<S> <C>
ABBREVIATIONS:
ADR American Depositary Receipt
ADS American Depositary Share
ORD Ordinary
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 23 ------------------
<PAGE> 33
----------------------------------------------------------------------
MONTGOMERY ASSET ALLOCATION FUND
----------------------------------------------------------------------
PORTFOLIO INVESTMENTS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ------------
<S> <C> <C>
COMMON STOCKS--65.9%
CAPITAL GOODS--4.9%
60,000 Champion Enterprises Inc.+........ $ 1,852,500
67,800 Measurex Corporation.............. 1,915,350
20,000 Oakwood Homes Corporation......... 767,500
39,000 Tyco International Ltd. .......... 1,389,375
------------
5,924,725
------------
COMPUTER HARDWARE--2.6%
81,400 International Rectifier
Corporation+.................... 2,035,000
25,000 Lam Research Corporation,
N.P.V........................... 1,140,625
------------
3,175,625
------------
COMPUTER SOFTWARE--0.6%
39,400 Avid Technology Inc.+............. 751,062
------------
COMPUTER SYSTEMS--0.7%
18,500 Kronos, Inc.+..................... 897,250
------------
CONSUMER DURABLES--0.9%
19,900 Whirlpool Corporation............. 1,059,675
------------
CONSUMER--LEISURE TIME
PRODUCTS--0.7%
37,200 Toy Biz, Inc.+.................... 809,100
------------
CONSUMER NON-DURABLES--3.8%
50,000 Estee Lauder Company, Inc., Class
A............................... 1,743,750
50,000 Norwood Promotional Products...... 856,250
8,800 Philip Morris Companies, Inc. .... 796,400
37,500 UST Inc. ......................... 1,251,563
------------
4,647,963
------------
DRUGS--DRUG DELIVERY--0.9%
28,500 Pharmacia and Upjohn Inc. ........ 1,104,375
------------
ENERGY RELATED--5.0%
40,400 Enron Corporation................. 1,540,250
130,000 Ethyl Corporation................. 1,625,000
21,800 Schlumberger Ltd. ................ 1,509,650
44,000 Tidewater Inc. ................... 1,386,000
------------
6,060,900
------------
ENGINEERING--CONSTRUCTION--1.1%
41,500 Granite Construction Inc. ........ 1,312,437
------------
FINANCIAL SERVICES--6.7%
20,500 American Express Company.......... 848,188
18,000 BankAmerica Corporation........... 1,165,500
10,000 Citicorp.......................... 672,500
38,500 Golden West Financial
Corporation..................... 2,127,125
70,000 Life Re Corporation............... 1,750,000
35,000 Norwest Corporation............... 1,155,000
15,900 Prudential Reinsurance Holdings... 371,663
------------
8,089,976
------------
HEALTH CARE SERVICES--2.8%
46,000 Healthsource Inc.+................ 1,656,000
24,000 Oxford Health Plans Inc.+......... 1,770,000
------------
3,426,000
------------
HOME BUILDER--2.9%
47,000 Clayton Homes Inc. ............... 1,004,625
81,700 Masco Corporation................. 2,563,337
------------
3,567,962
------------
INFORMATION--BUSINESS SERVICES--3.5%
11,900 Computer Sciences Corporation+.... 835,975
17,500 Global Direct Mail Corporation.... 481,250
36,000 HFS Inc.+......................... 2,943,000
------------
4,260,225
------------
INDUSTRIAL PRODUCTS--2.6%
25,000 Cyberoptics Corporation........... 993,750
66,000 UCAR International Inc. .......... 2,227,500
------------
3,221,250
------------
LODGING--0.7%
34,000 Renaissance Hotel Group, N.V.+.... 867,000
------------
MACHINERY--CONSTRUCTION--1.1%
42,000 Manitowoc Company................. 1,286,250
------------
MEDICAL PRODUCTS--TECHNOLOGY--0.7%
15,000 Objective Systems Integrator...... 819,375
------------
REAL ESTATE INVESTMENT TRUST--0.9%
35,700 Starwood Lodging Trust............ 1,062,075
------------
RETAIL--5.7%
38,000 Dayton Hudson Corporation......... 2,850,000
26,000 Department Fifty Six, Inc. ....... 997,750
71,000 Nordstrom, Inc. .................. 2,866,625
7,700 Staples Inc.+..................... 188,650
------------
6,903,025
------------
SEMICONDUCTORS--2.2%
74,000 Actel Corporation+................ 800,125
52,000 Analog Devices Inc.+.............. 1,839,500
------------
2,639,625
------------
SOFTWARE SYSTEMS--1.7%
71,000 DST System+....................... 2,023,500
------------
TECHNOLOGY--MISCELLANEOUS--3.9%
85,000 Octel Communications
Corporation+.................... 2,746,562
46,700 PictureTel Corporation+........... 2,008,100
------------
4,754,662
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 24 ------------------
<PAGE> 34
----------------------------------------------------------------------
MONTGOMERY ASSET ALLOCATION FUND
----------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ------------
<S> <C> <C>
COMMON STOCKS--(CONTINUED)
TELECOMMUNICATIONS--EQUIPMENT--4.6%
17,500 Aspect Telecommunications
Corporation+.................... $ 584,063
30,000 Bay Networks Inc.+................ 1,231,875
97,000 Ericsson (L.M.) Telephone Company,
Class B, ADR.................... 1,891,500
80,000 General Instruments Corporation,
New+............................ 1,870,000
------------
5,577,438
------------
TEXTILE--APPAREL--2.9%
90,000 Authentic Fitness Corporation..... 1,867,500
44,000 Gucci............................. 1,710,500
------------
3,578,000
------------
TRANSPORTATION--1.8%
34,000 Airborne Freight Corporation...... 905,250
83,000 Swift Transportation Company
Inc. ........................... 1,255,375
------------
2,160,625
------------
TOTAL COMMON STOCKS
(Cost $70,734,884).............. 79,980,100
------------
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS--0.0%#
(Cost $29,164)
$ 29,164 Drexel Burnham Lambert Mortgage,
Series C3, (SEQ) 9.500% due
05/20/14........................ 29,360
------------
CONVERTIBLE BOND--0.8%(Cost $811,700)
1,000,000 Sandoz, Convertible Bond,***
1.000% due 10/06/02............. 943,750
------------
CORPORATE BONDS--2.0%
1,250,000 Ford Motor Company, Notes,
7.875% due 10/15/96............. 1,271,488
425,000 Merrill Lynch and Company, MTN,
6.520% due 05/13/96............. 426,615
110,000 Occidental Petroleum
Corporation, MTN,
9.750% due 06/15/01............. 127,879
500,000 Smith Barney Holdings, MTN,
5.625% due 11/15/98............. 498,850
100,000 WMX Technology
Corporation, MTN,
4.875% due 06/15/96............. 99,667
25,000 Xerox Corporation, MTN,
9.200% due 07/15/99............. 25,459
------------
TOTAL CORPORATE BONDS
(Cost $2,435,146)............... 2,449,958
------------
FEDERAL HOME LOAN BANK (FHLB)--4.9%
1,000,000 4.300% due 08/24/98............... 963,125
2,500,000 4.875% (FLTR) due 03/17/00**...... 2,428,125
2,000,000 5.000% (FLTR) due 03/23/00**...... 1,905,000
650,000 5.150% (FLTR) due 03/22/00**...... 626,031
------------
TOTAL FEDERAL HOME LOAN BANK(Cost
$5,869,410)..................... 5,922,281
------------
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC)--6.3%
54,193 Pool #200043,
9.000% due 07/01/01............. 56,488
FHLMC, REMIC:
444,458 1574PB (PAC),
4.700% due 08/15/06............. 442,860
275,000 1394C (BPAC),
5.000% due 10/15/22............. 273,625
123,005 1366C (PAC),
5.500% due 05/15/01............. 122,736
510,870 1350C (XPAC),
5.650% due 02/15/11............. 509,752
3,500,000 1575PE (PAC),
6.000% due 03/15/07............. 3,522,422
1,800,000 1332KE, 8.000% due 02/15/08....... 1,904,344
283,120 11C (XTAC),
9.500% due 04/15/19............. 294,135
45,877 G-3 C (PO),
due 03/25/200................... 45,877
482,457 1134I (Inverse),
14.747% due 09/15/96*........... 509,068
------------
TOTAL FEDERAL HOME LOAN MORTGAGE
CORPORATION
(Cost $7,129,110)............... 7,681,307
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA)--14.7%
2,300,000 4.875% due 02/25/98*.............. 2,249,687
7,000,000 7.000% Mortgage Pass Thru, TBA.... 7,060,156
144,459 9.000% due 08/25/16**............. 144,662
9,000,000 9.000% Mortgage Pass Thru, TBA.... 2,107,188
FNMA, REMIC:
20,321,995 1995-DI (ABS),
3.000% due 02/07/99............. 797,003
53,587,494 1995-CI (ABS),
3.000% due 10/10/02............. 1,842,070
921,763 1993-220PB (PAC),
4.350% due 06/25/03............. 911,826
138,906 1993-167B (PAC),
4.750% due 02/25/09............. 137,908
560,374 1992-188PB (PAC),
5.000% due 01/25/08............. 558,185
713,027 1991-146FB (BPAC),
5.566% due 10/25/06............. 707,456
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 25 -----------------
<PAGE> 35
----------------------------------------------------------------------
MONTGOMERY ASSET ALLOCATION FUND
----------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- ------------
<S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)--(CONTINUED)
$ 385,221 1993-S44, Class A-12, (Inverse),
6.600% due 11/25/23............. $ 224,150
1,000,000 1991-74L (BPAC),
8.500% due 08/25/21............. 1,076,094
------------
TOTAL FEDERAL NATIONAL MORTGAGE
ASSOCIATION
(Cost $17,500,458).............. 17,816,385
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION II (GNMA II)--0.8%
412,855 Pool #8747 6.500%,
ARMS due 11/20/25............... 578,488
567,145 Pool #8770 6.500%,
ARMS due 12/20/25............... 420,854
------------
TOTAL GOVERNMNENT NATIONAL
MORTGAGE ASSOCIATION II
(Cost $991,072)................. 999,342
------------
STUDENT LOAN MORTGAGE ASSOCIATION
(SLMA)--0.4% (Cost $537,373)
550,000 4.625% (FLTR) due 06/01/98**...... 538,313
------------
U.S. TREASURY BONDS--3.7%
1,000,000 U.S. Treasury Bonds,
8.875% due 02/15/19............. 1,348,906
3,000,000 U.S. Treasury Bonds,
6.250% due 08/15/23............. 3,087,188
------------
TOTAL U.S. TREASURY BONDS
(Cost $4,042,263)............... 4,436,094
------------
U.S. TREASURY NOTES--4.2%
2,000,000 U.S. Treasury Notes,
5.500% due 12/31/00............. 2,010,625
3,000,000 U.S. Treasury Notes,
5.875% due 11/15/05++........... 3,067,969
------------
TOTAL U.S. TREASURY NOTES
(Cost $5,019,954)............... 5,078,594
------------
COMMERCIAL PAPER--0.4% (Cost $499,836)
500,000 General Electric Company,
5.900% due 01/03/96............. 499,836
------------
TOTAL SECURITIES
(Cost $115,600,370)............. 126,375,320
------------
REPURCHASE AGREEMENTS--5.4%
3,251,000 Agreement with Chemical Bank
Tri-Party, 6.000% dated
12/29/95, to be repurchased at
$3,253,167 on 01/02/96,
collateralized by $3,316,086
market value of U.S. Government
securities, having various
maturities and various interest
rates........................... 3,251,000
3,251,000 Agreement with Paine Webber
Tri-Party, 6.000% dated
12/29/95, to be repurchased at
$3,253,167 on 01/02/96,
collateralized by $3,316,146
market value of U.S. Government
securities, having various
maturities and various interest
rates........................... 3,251,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $6,502,000)............... 6,502,000
------------
TOTAL INVESTMENTS
(Cost $122,102,370*).................. 109.5% $132,877,320
OTHER ASSETS AND LIABILITIES (Net)...... (9.5) (11,537,491)
----- ------------
NET ASSETS.............................. 100.0% $121,339,829
===== =============
</TABLE>
- ------------
* Aggregate cost for Federal tax purposes.
** Floating rate note reflects the rate in effect at December 31, 1995.
*** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
+ Non-income producing security.
++ Security segregated as collateral.
The accompanying notes are an integral part of these financial statements.
------------------ 26 ------------------
<PAGE> 36
----------------------------------------------------------------------
MONTGOMERY ASSET ALLOCATION FUND
----------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<S> <C>
ABBREVIATIONS:
ABS Asset-Backed Securities.
ADR American Depositary Receipt.
ARMS Adjustable Rate Mortgage Security.
BPAC Planned Amortization Class: PAC bonds which have lost
their protection against prepayment risk, resulting in
a security similar to a sequential. Inverse Bonds with
coupon rates that adjust in an inverse relationship
with the index.
FLTR Floating rate securities; Bonds with coupon rates that
adjust in proportion to an index.
Inverse Bonds with coupon rates that rise when index rates
fall and fall when index rates rise.
MTN Medium-Term Note.
PAC Planned Amortization Class: Bonds which are protected
in part from variations in prepayments, generally
resulting in greater stability.
PO Principal Only: Bonds which receive no interest and
that are very sensitive to changes in prepayment
rates. Can be very volatile.
SEQ Sequential: Bonds which receive amortization from the
deal in sequential order. Their actual principal
paydowns are dependent on how quickly the underlying
mortgages prepay. Overall, the sequential bonds have
similar risks to mortgage backed pass-thrus.
REMIC Real Estate Mortgage Investment Conduit.
TBA To be Announced Security.
XPAC Broken Planned Amortization Class: PAC bonds which
have lost their protection against prepayment risk,
resulting in a security similar to a sequential.
XTAC Broken Targeted Amortization Class: TAC bonds which
have lost their their protection against prepayment
risk, resulting in a security similar to a Sequential.
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 27 ------------------
<PAGE> 37
- -------------------------------------------------------------------------------
MONTGOMERY GLOBAL OPPORTUNITIES FUND
- -------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- --------- -----------
<S> <C> <C>
COMMON STOCKS--97.1%
AUSTRALIA--1.6%
30,199 National Australia Bank Ltd., ORD
(Banks)............................. $ 271,589
------------
CANADA--2.7%
14,270 Brascan, Class A (Holdings)........... 250,855
11,300 Western International Communication,
Class B
(Broadcasting/Advertising).......... 194,507
------------
445,362
------------
CHILE--1.0%
15,900 Telex Chile, ADS (Telephone-
Long Distance)...................... 164,963
------------
FINLAND--2.2%
5,060 Metra AB, Class B, ORD (Machinery and
Tools).............................. 208,788
4,180 Nokia AB Corporation, Series A
(Telecommunications)................ 161,907
------------
370,695
------------
FRANCE--2.9%
3,700 Banque Nationale de Paris, ORD
(Banks)............................. 166,768
3,382 Clarins (Cosmetics/Personal Care)..... 321,569
------------
488,337
------------
GERMANY--7.9%
6,600 Adidas (Footwear)..................... 349,331
530 Axel Springer Verlag, Class A
(Newspaper/Publishing).............. 356,660
5,100 Praktiker (Retail Trade).............. 156,130
1,800 SGL Carbon AG (Metals and Mining)..... 139,331
815 Varta AG (Auto/Auto Parts)............ 156,294
530 Volkswagon AG (Auto/Auto Parts)....... 177,258
------------
1,335,004
------------
GREAT BRITAIN--7.4%
551,300 Aegis Group, ORD+
(Broadcasting/Advertising).......... 322,133
32,828 Dixons Group, ORD (Retail Trade)...... 227,124
19,200 Ethical Holdings, ADR (Health
Care/Pharmaceuticals)............... 171,600
32,800 M.A.I.D., PLC (Software Systems)...... 117,413
27,500 Reuters, ORD
(Broadcasting/Advertising).......... 251,761
79,500 Wickes (Building Materials)........... 154,947
------------
1,244,978
------------
HONG KONG--7.0%
148,000 First Pacific Company
(Telecommunications/Wireless)....... 164,604
200,000 Girodano International (Retail
Trade).............................. 170,708
290,000 Goldlion Holdings, Ltd. (Apparel and
Textiles)........................... 211,898
10,912 HSBC Holdings (Banks)................. 165,109
30,000 Hutchinson Whampoa, Ltd.
(Conglomerates)..................... 182,735
34,400 Sun Hung Kai Properties (Real
Estate)............................. 281,384
------------
1,176,438
------------
INDONESIA--2.4%
5,000 Indonesian Satellite Inc., ADR
(Telephone/Long Distance)........... 182,500
8,900 Telekomunikas Indonesia, ADR
(Telecommunications/Networking)..... 224,725
------------
407,225
------------
IRELAND--1.1%
191,431 Anglo Irish Bank Corporation
(Banks)............................. 190,077
------------
ISRAEL--1.6%
10,600 Gilat Satellite Network, Ltd.+
(Telecommunications)................ 266,325
------------
ITALY--4.2%
29,000 Bulgaria Spa (Retail Trade)........... 247,670
7,700 Gucci (Apparel and Textiles).......... 299,338
62,800 Telecom Italia Risp
(Telecommunications/Wireless)....... 66,126
49,400 Telecom Italia Spa
(Telecommunications/Wireless)....... 87,057
------------
700,191
------------
JAPAN--11.1%
3,150 Canon Sales Company (Wholesale)....... 83,898
30 DDI Corporation
(Telecommunications/Equipment)...... 232,446
4,000 Fuji Machine Manufacturing (Machinery
and Tools).......................... 143,341
11,000 Hankyu Department Stores (Retail)..... 163,002
17,000 Mitsukoshi Ltd. (Retail).............. 159,709
1,300 Nippon Television Network Corporation
(Broadcasting/
Advertising)........................ 347,506
15 NTT Data Communication Systems
Corporation (Software Systems)...... 504,116
6,000 Tokyo Electron Ltd. (Electronics)..... 232,446
------------
1,866,464
------------
NETHERLANDS--5.3%
6,359 ABN Amro Holdings (Banks)............. 289,676
11,400 IHC Caland N.V.
(Engineering/Construction).......... 383,623
5,860 Royal PTT Nederland
(Telephone/Networks)................ 212,898
------------
886,197
------------
NORWAY--2.8%
9,200 Sysdeco Group S.A.+ (Software
Systems)............................ 251,495
38,100 UNI Storebrand, Class A+
(Insurance)......................... 210,712
------------
462,207
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 28 ------------------
<PAGE> 38
- -------------------------------------------------------------------------------
MONTGOMERY GLOBAL OPPORTUNITIES FUND
- -------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- --------- -----------
<S> <C> <C>
COMMON STOCKS--(CONTINUED)
SPAIN--2.1%
2,600 Empresa Nacional de Electicidad
(Endesa) (Electric Utilities)....... $ 147,255
6,270 Repsol, ADR (Oil)..................... 206,126
------------
353,381
------------
SWEDEN--6.1%
4,600 Astra AB, Class A (Health
Care/Pharmaceuticals)............... 183,571
3,070 Autoliv (Auto/Auto Parts)............. 179,378
9,248 Ericsson (L.M.) Telephone Company,
Class B (Telecommunications)........ 181,047
16,200 Norbanken AB (Banks).................. 280,551
4,600 W.M. Data AB, Class B (Software
Systems)............................ 207,816
------------
1,032,363
------------
SWITZERLAND--3.9%
130 Compagnie Financiere Richemont, Series
A (Holdings)........................ 195,056
180 Danzas Holdings (Airfreight
Carriers)........................... 196,704
290 Sandoz AG (Health
Care/Pharmaceuticals)............... 265,603
------------
657,363
------------
UNITED STATES--23.8%
2,201 American International Group, Inc.
(Insurance)......................... 203,592
3,425 Andrew Corporation+
(Telecommunications/Equipment)...... 132,291
16,200 Claire's Stores Inc. (Retail Trade)... 285,525
4,800 DSC Communications Corporation+
(Telecommunications/Equipment)...... 177,600
5,000 Estee Lauder Company, Inc. (Cosmetics
and Personal Care).................. 174,375
11,300 Family Dollar Stores (Retail Trade)... 155,375
2,000 Federal National Mortgage Association
(Diversified Financial Services).... 248,250
3,700 First USA, Inc. (Diversified Financial
Services)........................... 164,188
9,200 General Nutrition Companies, Inc.
(Retail Trade)...................... 213,900
3,700 Great Lakes Chemical Corporation
(Chemicals)......................... 266,400
3,000 Intel Corporation (Semiconductors).... 170,437
24,200 Intimate Brands, Inc. (Apparel and
Textiles)........................... 363,000
2,050 Morgan Stanley Group, Inc. (Securities
Brokerage).......................... 165,281
15,900 Sola International Inc.+ (Cosmetics
and Personal Care).................. 401,475
1,500 System Software (Software Systems).... 32,438
11,200 UCAR International, Inc.
(Electrical Equipment).............. 378,000
25,850 Waters Corporation (Medical and
Biotechnology)...................... 471,762
------------
4,003,889
------------
TOTAL COMMON STOCKS
(Cost $14,226,345).................. 16,323,048
------------
PREFERRED STOCK--1.4% (Cost $255,625)
GERMANY--1.4%
4,720 Fielmann AG (Health
Care/Pharmaceuticals)............... 243,570
------------
TOTAL INVESTMENTS
(Cost $14,481,970*)..................... 98.5% 16,566,618
OTHER ASSETS AND LIABILITIES (Net)........ 1.5 251,500
----- -----------
NET ASSETS................................ 100.0% $16,818,118
===== ===========
</TABLE>
- ------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
<TABLE>
<S> <C>
ABBREVIATIONS:
ADR American Depositary Receipt
ADS American Depositary Share
ORD Ordinary
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 29 ------------------
<PAGE> 39
- --------------------------------------------------------------------------------
MONTGOMERY GLOBAL COMMUNICATIONS FUND
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ------------
<S> <C> <C>
COMMON STOCKS--97.6%
ARGENTINA--0.4%
73,650 Argentine Cellular Communications
Ltd.** (Telecommunications/
Wireless)....................... $ 941,179
------------
AUSTRALIA--3.1%
4,232,700 Australis Media Ltd.+
(Cable T.V.).................... 3,617,848
89,400 News Corporation Ltd., ADR
(Newspaper/Publishing).......... 1,910,925
344,000 Publishing and Broadcasting Ltd.
(Broadcasting/Advertising)...... 1,199,130
------------
6,727,903
------------
BRAZIL--0.5%
23,300 Telebras, ADR
(Telephone/Networks)............ 1,103,838
------------
CANADA--1.6%
131,100 Rogers Communication, Inc., Class
B+ (Telecommunications/
Wireless)....................... 3,456,949
------------
CHILE--1.2%
253,800 Telex Chile, ADS (Telephone/Long
Distance)....................... 2,633,175
------------
DENMARK--2.1%
169,700 Tele Danmark A.S., ADR
(Telephone/Networks)............ 4,687,963
------------
FINLAND--1.7%
94,300 Nokia AB Corporation, Series A
(Telecommunications/
Equipment)...................... 3,652,602
------------
GERMANY--2.1%
7,020 Axel Springer Verlag, Class A
(Newspaper/Publishing).......... 4,724,059
------------
GREAT BRITAIN--7.0%
6,237,000 Aegis Group, ORD+
(Broadcasting/Advertising)...... 3,644,380
67,300 Bell Cablemedia PLC, ADR+ (Cable
T.V.)........................... 1,064,181
366,100 General Cable+ (Cable T.V.)....... 1,094,465
4,651 Ionica** (Telecommunications/
Equipment)...................... 1,552,946
448,100 M.A.I.D., PLC (Software
Systems)........................ 1,604,048
459,900 Reuters, ORD (Broadcasting/
Advertising).................... 4,210,355
592,216 Vodafone Group, ORD
(Telecommunications/Wireless)... 2,119,935
------------
15,290,310
------------
HONG KONG--3.5%
3,570,125 First Pacific Company
(Telecommunications/Wireless)... 3,970,653
616,000 Hutchinson Whampoa, Ltd.
(Conglomerates)................. 3,752,163
------------
7,722,816
------------
INDONESIA--4.4%
160,600 Indonesian Satellite Inc., ADR
(Telephone/Long Distance)....... 5,861,900
146,900 Telekomunikas Indonesia, ADR
(Telecommunications/
Networking)..................... 3,709,225
------------
9,571,125
------------
ISRAEL--3.3%
290,700 Gilat Satellite Networks, Ltd.+
(Telecommunications/
Equipment)...................... 7,303,837
------------
ITALY--3.0%
680,700 S.T.E.T. (Telephone/Networks)..... 1,927,076
962,600 Telecom Italia Mobile Di Risp
(Telecommunications/Wireless)... 1,013,582
758,400 Telecom Italia Mobile Spa
(Telecommunications/Wireless)... 1,336,525
962,600 Telecom Italia Risp
(Telephone/Networks)............ 1,178,669
758,400 Telecom Italia Spa
(Telephone/Networks)............ 1,181,115
------------
6,636,967
------------
JAPAN--18.1%
606 DDI Corporation
(Telecommunications/
Wireless)....................... 4,695,400
60,000 Fuji Machine Manufacturing
(Machinery and Tools)........... 2,150,121
28,000 Kyocera Corporation
(Electronics)................... 2,080,000
28,600 Nintendo Company (Electronics).... 2,174,431
274 Nippon Telegraph and Telephone
Corporation (Telephone/
Regional--Local)................ 2,215,884
16,430 Nippon Television Network
Corporation (Broadcasting/
Advertising).................... 4,391,942
239 NTT Data Communication Systems
Corporation (Software
Systems)........................ 8,032,252
194,000 Omron Corporation (Electronics)... 4,471,864
75,000 Rohm Corporation (Electronics).... 4,234,867
137,000 Tokyo Electron Ltd.
(Electronics)................... 5,307,506
------------
39,754,267
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 30 ------------------
<PAGE> 40
- --------------------------------------------------------------------------------
MONTGOMERY GLOBAL COMMUNICATIONS FUND
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ------------
<S> <C> <C>
COMMON STOCKS--(CONTINUED)
KOREA--3.6%
23,150 Korea Mobile Telecom, GDS+
(Telecommunications/Wireless)... $ 1,024,388
3,670 Korean Mobile Telecom, ORD
(Telecommunications/Wireless)... 4,107,389
24,500 Sungmi Telecom, ORD
(Telecommunications/
Equipment)...................... 2,747,664
------------
7,879,441
------------
MALAYSIA--3.0%
657,000 Leader Universal Holdings
(Telecommunications/
Equipment)...................... 1,500,413
847,000 O'Connor's Engineering
(Telecommunications/
Equipment)...................... 2,517,955
694,000 Sistem Televisyen Malaysia
(Broadcasting/Advertising)...... 2,500,335
------------
6,518,703
------------
MEXICO--0.4%
31,300 Grupo Iusacell, Series D, ADR+
(Telecommunications/Wireless)... 250,400
57,700 Grupo Iusacell, Series L, ADR+
(Telecommunications/Wireless)... 584,213
105,000 Grupo Mexicano de Video, ADS+ **
(Leisure Time).................. 52,500
------------
887,113
------------
NETHERLANDS--1.7%
103,583 Royal PTT Nederland
(Telephone/Networks)............ 3,763,251
------------
NEW ZEALAND--1.1%
551,200 Telecom Corporation of New Zealand
(Telephone/Networks)............ 2,378,290
------------
NORWAY--3.4%
108,000 Nera S.A. (Telecommunications/
Equipment)...................... 3,515,497
18,800 Nera S.A., ADR+
(Telecommunications/
Equipment)...................... 611,000
126,940 Sysdeco Group S.A.+
(Software Systems).............. 3,470,087
------------
7,596,584
------------
PERU--3.5%
2,867,094 Compania Peruana De Telefonos,
Class B (Telephone/Networks).... 6,141,114
1,681,567 Tele 2000 (Telephone/
Regional--Local)................ 1,578,970
------------
7,720,084
------------
PHILIPPINES--0.6%
1,266,500 Pilipino Telephone Corporation
(Telecommunications/Wireless)... 1,279,537
------------
RUSSIA--5.2%
168,500 FGI Wireless**
(Telecommunications/
Wireless)....................... 2,198,925
450,987 Global Telesystems Group, Inc.**
(Telephone/Networks)............ 7,558,542
200,000 Russian Telecommunications
Development Corporation+ **
(Telephone/Networks)............ 1,732,000
------------
11,489,467
------------
SPAIN--1.4%
222,500 Telefonica Nacional de Espana, ORD
(Telephone/Networks)............ 3,081,616
------------
SWEDEN--3.1%
199,840 Ericsson (L.M.) Telephone Company,
Class B
(Telecommunications/
Equipment)...................... 3,912,236
64,200 W.M. Data AB, Class B (Software
Systems)........................ 2,900,384
------------
6,812,620
------------
SWITZERLAND--1.2%
1,800 Compagnie Financiere Richemont,
Series A (Holdings)............. 2,700,781
------------
TAIWAN--0.8%
172,000 ASE** (Semiconductors)............ 416,022
41,100 ASE, GDR*** (Electronics)......... 543,547
244,000 Taiwan Semiconductor Company**
(Semiconductors)................ 764,540
500 United Microelectronics
Corporation**
(Semiconductors)................ 1,255
------------
1,725,364
------------
UNITED STATES--16.6%
95,050 Andrew Corporation+
(Telecommunications/
Equipment)...................... 3,671,306
86,449 Arch Communications Group+
(Telecommunications/Wireless)... 2,080,179
27,542 Cisco Systems Inc.+
(Telecommunications/
Networking)..................... 2,057,043
108,600 DSC Communications Corporation+
(Telecommunications/
Equipment)...................... 4,018,200
30,000 DST System+ (Software Systems).... 855,000
82,900 Frontier Corporation
(Telecommunications/Wireless)... 2,487,000
35,120 Intel Corporation
(Semiconductors)................ 1,995,255
90,000 Montgomery Emerging Communications
Fund++
(Mutual Funds).................. 911,250
35,300 Motorola, Inc.
(Telecommunications/
Equipment)...................... 2,012,100
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 31 ------------------
<PAGE> 41
- --------------------------------------------------------------------------------
MONTGOMERY GLOBAL COMMUNICATIONS FUND
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ------------
<S> <C> <C>
COMMON STOCKS--(CONTINUED)
UNITED STATES--(CONTINUED)
84,500 Scripps Company (E.W.)
(Broadcasting/Advertising)...... $ 3,327,187
99,000 Sprint Corporation (Telephone/Long
Distance)....................... 3,947,625
107,500 Stanford Telecommunications+
(Telecommunications/
Equipment)...................... 2,391,875
25,875 System Software Association
(Software Systems).............. 559,547
173,904 Worldcom, Inc.+ (Telephone/
Long Distance).................. 6,151,854
------------
36,465,421
------------
VENEZUELA--0.0%#
8,651 Electricidad de Caracas
(Electric Utilities)............ 5,869
------------
TOTAL COMMON STOCKS (Cost
$182,896,237)................... 214,511,131
------------
PREFERRED STOCK--0.4% (Cost $1,169,667)
BRAZIL--0.4%
6,740,000 Telesp Brcz
(Telephone/Regional--Local)..... 991,635
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(NOTE 1)
------------
<S> <C> <C>
TOTAL INVESTMENTS
(Cost $184,065,904*)..................... 98.0% $215,502,766
OTHER ASSETS AND LIABILITIES (Net)......... 2.0 4,291,980
----- ------------
NET ASSETS................................. 100.0% $219,794,746
===== =============
</TABLE>
- ------------
* Aggregate cost for Federal tax purposes.
** Illiquid Security or Special Situation Security (See Note 7 to Financial
Statements).
*** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
# Amount represents less than 0.1%.
+ Non-income producing security.
++ See Note 2 to Financial Statements.
<TABLE>
<S> <C>
ABBREVIATIONS:
ADR American Depositary Receipt
ADS American Depositary Share
GDS Global Depositary Share
GDR Global Depositary Receipt
ORD Ordinary
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 32 ------------------
<PAGE> 42
- --------------------------------------------------------------------------------
MONTGOMERY INTERNATIONAL GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
--------- ----------
<S> <C> <C>
COMMON STOCKS--83.3%
CHILE--1.2%
10,200 Telex Chile, ADS (Telephone/
Long Distance)....................... $ 105,825
----------
FINLAND--3.6%
2,430 Metra AB, Class B, ORD (Machinery and
Tools)............................... 100,268
2,265 Nokia AB Corporation, Series A
(Telecommunications/Equipment)....... 87,732
6,135 Rauma Corporation+ (Machinery and
Tools)............................... 120,578
----------
308,578
----------
FRANCE--6.6%
880 Accor (Lodging)........................ 113,838
1,900 Banque National de Paris, ORD
(Banks).............................. 85,637
460 Cetelem (Diversified Financial
Services)............................ 86,256
1,000 Christian Dior (Cosmetics and Personal
Care)................................ 107,733
1,040 Clarins (Cosmetics and Personal
Care)................................ 98,886
450 S.I.T.A. (Consumer Services)........... 78,872
----------
571,222
----------
GERMANY--10.5%
4,100 Adidas (Footwear)...................... 217,009
260 Axel Springer Verlag, Class A
(Newspaper/Publishing)............... 174,965
2,595 Fielmann AG (Retail Trade)............. 133,912
3,300 Praktiker (Retail Trade)............... 101,025
1,200 SGL Carbon AG (Metals and Mining)...... 92,887
380 Varta AG (Auto/Auto Parts)............. 72,873
350 Volkswagon AG (Auto/Auto Parts)........ 117,057
----------
909,728
----------
GREAT BRITAIN--10.9%
319,500 Aegis Group, ORD+
(Broadcasting/Advertising)........... 186,689
24,000 ASDA Group (Retail Trade).............. 41,186
30,124 Dixons Group, ORD (Retail Trade)....... 208,416
17,800 Ethical Holdings ADR
(Healthcare/Pharmaceuticals)......... 159,088
14,100 M.A.I.D., PLC (Software Systems)....... 50,473
8,200 Reed International, ORD
(Newspapers/Publishing).............. 124,990
13,800 Reuters, ORD
(Broadcasting/Advertising)........... 126,338
24,400 Wickes (Building Materials)............ 47,556
----------
944,736
----------
HONG KONG--6.1%
74,405 First Pacific Company
(Telecommunications/Wireless)........ 82,752
88,000 Girodano International (Retail
Trade)............................... 75,112
174,000 Goldlion Holdings Ltd. (Textiles and
Apparel)............................. 127,139
5,200 HSBC Holdings (Banks).................. 78,681
14,000 Hutchison Whampoa, Ltd.
(Conglomerates)...................... 85,276
10,000 Sun Hung Kai Properties (Real
Estate).............................. 81,798
----------
530,758
----------
ISRAEL--0.9%
3,200 Gilat Satellite Network Ltd.+
(Telecommunications/Equipment)....... 80,400
----------
ITALY--8.2%
21,600 Bulgari Spa (Retail Trade)............. 184,472
7,200 De Rigo Spa, ADR (Cosmetics and
Personal Care)....................... 163,800
9,400 Gucci (Textiles and Apparel)........... 365,425
----------
713,697
----------
JAPAN--16.5%
4,200 Canon Sales Company (Retail Trade)..... 111,864
10 DDI Corporation
(Telecommunication/Equipment)........ 77,482
3,000 Fuji Machine Manufacturing (Machinery
and Tools)........................... 107,506
8,000 Hankyu Department Stores (Retail
Trade)............................... 118,547
1,000 Kyocera Corporation (Electronics)...... 74,286
8,000 Laox (Retail Trade).................... 161,162
13,000 Mitsukoshi Ltd. (Retail Trade)......... 122,131
1,500 Nintendo Company (Electronics)......... 114,044
570 Nippon Television Network Corporation
(Broadcasting/Advertising)........... 152,368
7 NTT Data Communication Systems
Corporation (Software Systems)....... 235,254
4,000 Tokyo Electron Ltd. (Electronics)...... 154,964
----------
1,429,608
----------
MALAYSIA--1.1%
28,000 Petronas Gas (Oil)..................... 95,366
----------
NORWAY--8.8%
31,300 Fokus Bank (Banks)..................... 169,148
4,070 Nera S.A.
(Telecommunication/Equipment)........ 132,482
26,500 Stolt Partners (Shipping).............. 69,092
5,970 Sysdeco Group S.A.+ (Software
Systems)............................. 163,199
41,400 UNI Storebrand, Class A+ (Insurance)... 228,962
----------
762,883
----------
PERU--0.9%
34,900 Telefonica del Peru, Class B
(Telecommunications)................. 74,753
----------
PHILIPPINES--0.7%
82,500 C and P Homes (Real Estate)............ 60,546
----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 33 ------------------
<PAGE> 43
- --------------------------------------------------------------------------------
MONTGOMERY INTERNATIONAL GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
--------- ----------
<S> <C> <C>
COMMON STOCKS--(CONTINUED)
SWEDEN--3.7%
1,580 Astra AB, Class A (Health
Care/Pharmaceuticals)................ $ 63,052
1,150 Autoliv (Auto/Auto Parts).............. 67,194
4,200 W.M. Data, AB, Class B (Software
Systems)............................. 189,745
----------
319,991
----------
SWITZERLAND--3.6%
50 Comagine Financiere Richemont, Series A
(Holding)............................ 75,022
110 Danzas Holding (Airfreight)............ 120,208
130 Sandoz AG (Health Care)................ 119,063
----------
314,293
----------
TOTAL COMMON STOCKS
(Cost $6,612,373).................... 7,222,384
----------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
REPURCHASE AGREEMENTS--14.3%
$618,500 Agreement with Chemical Bank Tri-Party,
6.000% dated 12/29/95, to be
repurchased at $618,912 on 01/02/96
collateralized by $630,883 market
value of U.S. Government securities,
having various maturities and various
interest rates....................... 618,500
----------
$618,500 Agreement with Paine Webber, 6.000%
dated 12/29/95, to be repurchased at
$618,912 on 01/02/96 collateralized
by $630,894 market value of U.S.
Government securities, having various
maturities and various interest
rates................................ 618,500
----------
TOTAL REPURCHASE AGREEMENTS
(Cost $1,237,000).................... 1,237,000
----------
TOTAL INVESTMENTS
(Cost $7,849,373*)........................... 97.6% 8,459,384
OTHER ASSETS AND LIABILITIES (Net)............. 2.4 204,000
----- ----------
NET ASSETS..................................... 100.0% $8,663,384
===== ==========
</TABLE>
- ------------
* Aggregate cost for federal tax purposes.
+ Non-income producing security.
<TABLE>
<S> <C>
ABBREVIATIONS:
ADR American Depositary Receipt
ADS American Depositary Share
ORD Ordinary
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 34 ------------------
<PAGE> 44
- --------------------------------------------------------------------------------
MONTGOMERY INTERNATIONAL SMALL CAP FUND
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- -----------
<S> <C> <C>
COMMON STOCKS--90.0%
AUSTRALIA--0.2%
62,500 Tyndall Australia Ltd. (Diversified
Financial Services)............... $ 75,719
------------
AUSTRIA--3.5%
16,660 Burgenland Holdings AG (Electric
Utilities)........................ 686,005
6,313 Voest Alpine Eisenbahnsystem
(Engineering/Construction)........ 532,425
------------
1,218,430
------------
CANADA--1.5%
67,200 GTC Transcontinental
(Newspapers/Publishing)........... 529,134
------------
CHILE--1.9%
62,700 Telex Chile, ADS (Telephone/
Long Distance).................... 650,513
------------
FINLAND--3.5%
14,000 Metra AB, Class B, ORD (Machinery
and Tools)........................ 577,675
17,200 Rauma Corporation+ (Machinery and
Tools)............................ 338,053
15,000 Rauma Corporation, ADR+ (Machinery
and Tools)........................ 283,125
------------
1,198,853
------------
FRANCE--3.9%
1,880 Cetelem (Diversified Financial
Services)......................... 352,524
6,660 Credit Commercial de France
(Diversified Financial
Services)......................... 339,591
1,780 Essilor International (Cosmetics and
Personal Care).................... 339,947
1,860 S.I.T.A. (Consumer Services)........ 326,003
------------
1,358,065
------------
GERMANY--11.2%
13,000 Adidas (Footwear)................... 688,075
1,550 Axel Springer Verlag, Class A
(Newspapers/Publishing)........... 1,043,061
16,440 Fielmann AG (Health
Care/Pharmaceuticals)............. 848,368
10,500 SGL Carbon AG (Metals and Mining)... 812,762
2,500 Varta AG (Auto/Auto Parts).......... 479,428
------------
3,871,694
------------
GREAT BRITAIN--6.1%
1,511,600 Aegis Group, ORD+
(Broadcasting/Advertising)........ 883,252
62,900 Ethical Holdings, ADR
(Healthcare/Pharmaceuticals)...... 562,169
114,500 M.A.I.D., PLC (Software Systems).... 409,872
133,300 Wickes (Retail Trade)............... 259,804
------------
2,115,097
------------
HONG KONG--6.5%
374,000 Girodano International (Retail
Trade)............................ 319,224
765,000 Goldlion Holdings Ltd. (Textiles and
Apparel).......................... 558,972
700,000 Harbour Ring International (Toys)... 66,085
773,000 International Bank of Asia
(Banks)........................... 367,381
582,000 JCG Holdings (Diversified Financial
Services)......................... 425,257
1,420,000 Lamex Holdings (Furniture).......... 350,753
1,770,000 Techtronic Industrial Company
(Electronics)..................... 180,834
------------
2,268,506
------------
IRELAND--4.1%
222,598 Anglo Irish Bank Corporation
(Banks)........................... 221,024
876,659 Anglo Irish Bank Corporation (UK)
(Banks)........................... 870,460
44,276 Irish Continental Group
(Shipping)........................ 336,104
------------
1,427,588
------------
ISRAEL--1.3%
18,000 Gilat Satellite Network Ltd.+
(Telecommunications/Equipment).... 452,250
------------
ITALY--2.5%
103,000 Bulgari Spa (Retail Trade).......... 879,656
------------
JAPAN--15.2%
16,000 Daiwabo Information Systems
(Computers and Office
Equipment)........................ 416,852
15,000 Fuji Machine Manufacturing
(Machinery and Tools)............. 537,530
47,000 Hankyu Department Stores (Retail
Trade)............................ 696,465
9,000 Hokuto Corporation (Agricultural
Commodities)...................... 326,877
34,000 Laox (Retail Trade)................. 684,939
3,000 Nichiha Corporation (Building
Materials)........................ 679,903
14,400 Nissin Company (Diversified
Financial Services)............... 683,390
17,000 Royal Ltd. (Retail Trade)........... 568,039
54,000 Tohoku Misawa Homes (Housing)....... 679,903
------------
5,273,898
------------
MALAYSIA--2.0%
71,000 Gamuda Berhad (Heavy
Construction)..................... 349,451
97,000 Sistem Televisyen Malaysia
(Broadcasting/Advertising)........ 349,470
------------
698,921
------------
MEXICO--1.8%
79,000 Apasa S.A. de C.V. (Cement)......... 323,577
304,500 Grupo Financiero del Norte, "B"
Shares+ (Banks)................... 283,384
------------
606,961
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 35 ------------------
<PAGE> 45
- --------------------------------------------------------------------------------
MONTGOMERY INTERNATIONAL SMALL CAP FUND
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- -----------
<S> <C> <C>
COMMON STOCKS--(CONTINUED)
NETHERLANDS--3.0%
31,060 IHC Caland N.V.
(Engineering/Construction)........ $ 1,045,205
------------
NEW ZEALAND--1.9%
652,700 Tasman Agriculture (Food and
Beverage)......................... 665,656
------------
NORWAY--7.5%
131,600 Stolt Partners (Shipping)........... 343,112
25,100 Sysdeco Group S.A.+ (Software
Systems).......................... 686,144
169,400 UNI Storebrand, Class A+
(Insurance)....................... 936,865
45,000 Unitor Ships Services (Shipping).... 618,625
------------
2,584,746
------------
SWEDEN--8.2%
24,200 Althin Medical "AB" (Medical and
Biotechnology).................... 491,981
5,770 Autoliv (Auto/Auto Parts)........... 337,137
39,600 Meda "A"+ (Health
Care/Pharmaceuticals)............. 703,682
30,700 Nordbanken "AB"+ (Banks)............ 531,662
17,600 W.M. Data, AB, Class B (Software
Systems).......................... 795,121
------------
2,859,583
------------
SWITZERLAND--1.9%
590 Danzas Holding (Airfreight
Carriers)......................... 644,753
------------
TAIWAN--2.3%
255,000 Taiwan Semiconductor Company**
(Semiconductors).................. 799,007
------------
VENEZUELA--0.0%#
3,070 Electricidad de Caracas (Electric
Utilities)........................ 2,083
------------
TOTAL COMMON STOCKS
(Cost $28,296,896).................. 31,226,318
------------
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- -----------
<S> <C> <C>
REPURCHASE AGREEMENTS--10.4%
$1,796,500 Agreement with Chemical Bank
Tri-Party, 6.000% dated 12/29/95
to be repurchased at $1,797,698,
on 01/02/96, collateralized by
$1,832,466 market value of U.S.
Government securities, having
various maturities and various
interest rates.................... $ 1,796,500
1,796,500 Agreement with Paine Webber
Tri-Party, 6.000% dated 12/29/95
to be repurchased at $1,797,698,
on 01/02/96, collateralized by
$1,832,500 market value of U.S.
Government securities, having
various maturities and various
interest rates.................... 1,796,500
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $3,593,000)................. 3,593,000
------------
TOTAL INVESTMENTS
(Cost $31,889,896*)........................ 100.4% 34,819,318
OTHER ASSETS AND LIABILITIES (Net)........... (0.4) (138,858)
----- ------------
NET ASSETS................................... 100.0% $34,680,460
===== ============
</TABLE>
- ------------
<TABLE>
<C> <S>
* Aggregate cost for Federal tax purposes.
** Illiquid or Special Situation Security (See Note 7 to
Financial Statements).
+ Non-income producing security.
# Amount represents less than 0.1%.
ABBREVIATIONS:
ADR American Depositary Receipt
ADS American Depositary Shares
ORD Ordinary
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 36 ------------------
<PAGE> 46
------------------------------------------------------------------------
MONTGOMERY EMERGING MARKETS FUND
------------------------------------------------------------------------
PORTFOLIO INVESTMENTS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
--------------- ------------
<S> <C> <C>
COMMON STOCKS--78.4%
ARGENTINA--3.9%
3,786,093 Cresud+ (Real Estate)......... $ 5,148,314
4,614,238 Dalmine Siderca, S.A.
(Steel)..................... 4,475,140
1,004,104 Inversiones Y Representaciones
(Real Estate)............... 2,529,963
45,496 Inversiones Y
Representaciones, GDR (Real
Estate)..................... 1,160,148
2,152,600 Perez Companc, "A" Shares
(Oil)....................... 11,407,069
300,450 Telefonica de Argentina, ADR
(Telecommunications)........ 8,187,263
------------
32,907,897
------------
BANGLADESH--0.1%
49,040 Apex Tannery (Apparel and
Textiles)................... 927,957
104,000 Eastern Housing Ltd. (Real
Estate)..................... 340,431
------------
1,268,388
------------
BRAZIL--2.1%
68,400,000 Telebras
(Telecommunications)........ 6,514,574
249,521 Telebras, ADR
(Telecommunications)........ 11,821,057
------------
18,335,631
------------
CHILE--3.8%
132,500 AFP Provida, ADR (Diversified
Financial Services)......... 3,660,313
89,900 Compania de Telefonos de
Chile, ADR
(Telecommunications)........ 7,450,463
152,650 Concha Y Tora S.A., ADR (Food
and Beverage)............... 2,747,700
375,725 Creditcorp Ltd. (Banks)....... 6,481,256
174,900 Enersis, S.A., ADR (Electric
Utilities).................. 4,984,650
29,616 Sociedad Quimica Minera De
Chile (Chemicals)........... 1,391,952
182,524 The Chile Fund (Mutual
Funds)...................... 4,745,624
82,783 The Moneda Chile Fund (Mutual
Funds)...................... 858,874
------------
32,320,832
------------
CHINA--2.5%
5,905,750 Guangdong Investment Holdings
Ltd. (Real Estate).......... 3,551,469
192,700 Huaneng Power International,
ADS+ (Electric Utilities)... 2,770,063
1,598,880 Johnson Electric Holdings
Ltd., ORD (Electronics)..... 2,853,481
5,622,000 M.C. Packaging of Hong Kong
(Containers and
Packaging).................. 1,999,418
3,252,740 Shanghai Dazhong Taxi, Class B
(Trucking).................. 2,485,093
1,067,800 Shanghai Diesel Engine, Class
B (Machinery and Machine
Tools)...................... 395,086
1,586,900 Shangri-La Asia (Lodging)..... 1,939,373
18,717,000 Tian An China Investments
Company (Real Estate)....... 2,323,740
10,362,880 Yue Yuen Industrial Holdings
(Footwear).................. 2,747,353
------------
21,065,076
------------
COLOMBIA--0.5%
36,800 Banco de Edwards, ADR
(Banks)..................... 722,200
69,200 Banco Ganadero, Class C, ADR
(Banks)..................... 899,600
52,005 Banco Industrial Colombiano
(Banks)..................... 184,242
119,900 Banco Industrial Colombiano,
ADR*** (Banks).............. 1,963,363
1,576,709 Construcel (Building
Materials).................. 358,072
138,802 Noel (Food and Beverage)...... 490,343
------------
4,617,820
------------
CZECH REPUBLIC--1.8%
13,262 Cokoladovny (Food and
Beverage)................... 1,273,184
3,182 Elektrarny Opatovice (Electric
Utilities).................. 381,253
3,591 Investicni Postovni Banka
(Banks)..................... 33,397
97,900 Komercni Banka IF, GDR
(Banks)..................... 1,781,780
136,479 PIF (Mutual Funds)............ 2,502,746
53,067 SP Cesky (Mutual Funds)....... 610,949
40,730 SPT Telecom
(Telecommunications)........ 3,849,081
71,000 The Czech Value Fund (Mutual
Funds)...................... 3,629,875
45,530 Vseobecny IF (Mutual Funds)... 228,794
195,244 Vynosovy IF (Mutual Funds).... 1,025,057
------------
15,316,116
------------
GREECE--0.7%
197,220 Aegek (Heavy Construction).... 1,697,518
34,420 Hellenic Bottling Company
(Food and Beverage)......... 1,125,501
40,480 Nikas S.A. (Food and
Beverage)................... 577,285
194,280 The Greek Progress Fund
(Mutual Funds).............. 1,647,622
86,060 Themeliodomi S.A. (Heavy
Construction)............... 871,457
------------
5,919,383
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 37 ------------------
<PAGE> 47
------------------------------------------------------------------------
MONTGOMERY EMERGING MARKETS FUND
------------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
--------------- ------------
<S> <C> <C>
COMMON STOCKS--(CONTINUED)
HONG KONG--2.9%
4,258,000 ASM Pacific Technology
(Semiconductors)............ $ 3,689,441
4,575,572 CDL Hotels International Ltd.
(Real Estate)............... 2,307,757
1,539,000 Cheung Kong Holdings (Real
Estate)..................... 9,374,316
592,400 HSBC Holdings (Banks)......... 8,963,569
------------
24,335,083
------------
HUNGARY--0.3%
109,853 Egis Gyogyszergyar (Health
Care/Pharmaceuticals)....... 2,440,195
------------
INDIA--4.3%
73,300 Arvind Mills, Ltd.** (Apparel
and Textiles)............... 254,304
710,987 Arvind Mills, Ltd., GDS
(Apparel and Textiles)...... 3,021,695
252,300 Bajaj Auto** (Auto/Auto
Parts)...................... 5,165,818
182,800 Bharat Petroleum (Oil)........ 1,226,811
805,800 Carrier Aircon Ltd.** (Home
Appliance).................. 3,895,521
500 Finolex Cables** (Electrical
Equipment).................. 3,270
443,200 Floatglass** (Glass).......... 428,517
172,550 Grasim Industries Ltd.**
(Conglomerates)............. 2,639,895
28,225 Grasim Industries Ltd., GDR
(Conglomerates)............. 578,612
8,500 Grasim Industries Ltd., GDS
(Conglomerates)............. 174,250
700 Great Eastern Shipping**
(Shipping).................. 931
780 Great Eastern Shipping, New+
(Shipping).................. 1,037
76,140 Housing Development and
Finance Corporation**
(Banks)..................... 5,878,575
635,950 ICI Corporation** (Banks)..... 1,437,737
100 Innovative Marine Products+
(Food and Beverage)......... 23
6,900 Kotak Mahindra** (Securities
Brokerage).................. 23,350
125,200 Lok Housing** (Building
Materials).................. 281,268
356,400 Mahanogar Telephone Nigam Ltd.
(Electric Utilities)........ 1,520,262
300 Reliance Industries Ltd.**
(Conglomerates)............. 1,766
2,100,000 Rolta India Ltd. (Software
Systems).................... 1,298,877
220,000 Shivalik Projects Ltd.**
(Broadcasting/Advertising)... 437,935
580,150 Tata Iron and Steel Company,
Ltd.+** (Steel)............. 3,241,845
84,750 The Indian Hotels Company,
Ltd.+** (Lodging)........... 1,383,378
155,700 The Indian Hotels Company,
Ltd., GDS+ (Lodging)........ 2,997,225
30,800 The Indian Hotels Company,
Ltd., Series S+ (Lodging)... 592,900
2,400 Titan Watch** (Household
Products)................... 8,053
150 Upcom Cables (Heavy
Construction)............... 142
------------
36,493,997
------------
INDONESIA--3.5%
452,300 Asia Pacific Resources, Class
A+ (Pulp and Paper)......... 2,148,425
786,000 Astra International (F)
(Auto/Auto Parts)........... 1,632,845
906,475 Bank Bali (F) (Banks)......... 1,784,009
627,100 Bank International Indonesia
(F) (Banks)................. 2,077,534
1,690,000 Bimantara (F)+
(Conglomerates)............. 1,404,330
968,200 Dankos Laboratories (F)
(Health Care/
Pharmaceuticals)............ 2,244,242
403,500 Hanjaya Mandala Sampoerna (F)
(Tobacco)................... 4,200,000
18,300 Indonesian Satellite, ADR
(Telecommunications)........ 667,950
994,000 Indorama (F) (Apparel and
Textiles)................... 3,597,354
2,698,500 International Indorayon Utama
(F) (Pulp and Paper)........ 2,832,451
751,000 Sekar Bumi (F) (Food and
Beverage)................... 656,899
1,118,000 Semen Gresik (F) (Building
Materials).................. 3,129,324
200,400 Tambang Timah, GDR***
(Glass)..................... 2,434,860
28,000 Telekomunikas Indonesia, ADR
(Telecommunications/
Networking)................. 707,000
------------
29,517,223
------------
ISRAEL--1.1%
1,022 Africa Israel+ (Real
Estate)..................... 1,232,260
67,829 ECI Telecommunications, Ltd.
(Telecommunications)........ 1,551,588
6,252 Teva Pharmaceuticals (Health
Care/Pharmaceuticals)....... 2,849,701
82,203 Teva Pharmaceuticals, ADR
(Health Care/
Pharmaceuticals)............ 3,807,026
------------
9,440,575
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 38 ------------------
<PAGE> 48
------------------------------------------------------------------------
MONTGOMERY EMERGING MARKETS FUND
------------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
--------------- ------------
<S> <C> <C>
COMMON STOCKS--(CONTINUED)
JORDAN--0.5%
267,950 Arab International Hotels
(Lodging)................... $ 2,229,767
203,084 Dar Aldawa (Health Care/
Pharmaceuticals)............ 2,205,567
------------
4,435,334
------------
KOREA--4.9%
45,450 Hanil Iron and Steel Company
(Steel)..................... 2,140,822
41,945 Hankook Tire Manufacturing
(Auto/Auto Parts)........... 2,487,232
169,830 KEPCO (Electric Utilities).... 7,422,527
126,537 Korea Long Term Credit Bank
(Banks)..................... 3,741,915
4,150 Korean Mobile
Telecommunications
(Telecommunications)........ 4,644,595
31,000 Korean Mobile Telephone
(Telecommunications)........ 1,371,750
63,440 Pohang Iron & Steel Company
(Steel)..................... 4,578,225
871 Samsung Electric Ltd., ADR
(Electronics)............... 81,741
172 Samsung Electric Ltd., ADS***
(Electronics)............... 16,142
2,344 Samsung Electronics Ltd
(Electronics)............... 428,899
10 Samsung Electronics Ltd.,
GDR*** (Electronics)........ 968
8,629 Samsung Electronics Ltd., GDS
(Electronics)............... 809,810
72,386 Samsung Engineering and
Construction, Ltd. (Heavy
Construction)............... 1,525,590
59,300 Samsung Engineering and
Construction, Ltd., New
(Heavy Construction)........ 1,498,266
8,067 Samsung Engineering and
Construction, Ltd., New,
GDR*** (Heavy
Construction)............... 82,134
5,000 Samsung Engineering and
Construction, Ltd.,
Non-voting, GDS (Heavy
Construction)............... 300,000
233,200 Shinhan Bank (Banks).......... 5,155,549
45,996 Shinhan Bank, New (Banks)..... 983,423
135,296 Shinil Engineering Company
(Heavy Construction)........ 2,337,050
23,370 Shinil Engineering Company,
New (Heavy Construction).... 397,659
105,701 SsangYong Investments and
Securities (Securities
Brokerage).................. 1,907,591
------------
41,911,888
------------
MALAYSIA--11.1%
4,013,000 Arab Malaysian Corporation**
(Diversified Financial
Services)................... 14,536,993
609,000 Arab Malaysian Finance (F)**
(Diversified Financial
Services)................... 2,589,755
738,000 Arab Malaysian Merchant Bank
(Banks)..................... 8,426,980
3,133,000 DCB Holdings Corporation**
(Banks)..................... 9,128,716
904,000 Genting Berhad (Leisure
Time)....................... 7,546,088
7,150,000 IJM Corporation Berhad (Heavy
Construction)............... 11,373,784
15,259,000 IOI Industrial Oxygen**
(Agricultural Commodities).. 14,953,755
200,000 Kwong Yik Bank (Banks)........ 429,185
1,649,000 Metacorp Berhad**
(Chemicals)................. 4,285,309
3,067,000 Petronas Gas** (Oil).......... 10,445,939
1,236,000 Resorts World Berhad (Leisure
Time)....................... 6,618,735
520,000 Telekom Malaysia
(Telecommunications)........ 4,054,022
32,700 United Engineers Malaysia
(Heavy Construction)........ 208,584
------------
94,597,845
------------
MEXICO--4.5%
116,000 Cementos Mexicanos, S.A.
(Building Materials)........ 381,905
1,636,000 Cementos Mexicanos, S.A.,
Series B (Building
Materials).................. 5,937,524
129,000 Grupo Financiero Banamex
(Banks)..................... 191,619
472,000 Grupo Financiero Banamex,
Series B (Banks)............ 790,439
1,258,000 Grupo Mexico, Class B (Metals
and Mining)................. 5,315,723
3,197,194 Industrias Penoles CPO (Metals
and Mining)................. 13,261,206
440,000 Kimberly Clark de Mexico,
Class A (Pulp and Paper).... 6,638,496
183,500 Telefonos de Mexico de CV
S.A., Series A, ADR
(Telecommunications)........ 5,849,063
------------
38,365,975
------------
PAKISTAN--0.9%
382,682 Adamjee Insurance Company**
(Insurance)................. 1,140,805
92,469 Dandot Cement+ (Building
Materials).................. 49,321
1,215,100 DG Khan Cement+** (Building
Materials).................. 1,065,385
346,240 Engro Chemical**
(Chemicals)................. 1,431,881
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 39 ------------------
<PAGE> 49
------------------------------------------------------------------------
MONTGOMERY EMERGING MARKETS FUND
------------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
--------------- ------------
<S> <C> <C>
COMMON STOCKS--(CONTINUED)
PAKISTAN--(CONTINUED)
31,600 Hub Power Company, GDR+***
(Electric Utilities)........ $ 551,104
93,700 ICI Pakistan (Chemicals)...... 169,376
518,760 ICI Pakistan, New
(Chemicals)................. 937,734
335,506 Khadim Ali Shah Bukhari and
Company** (Securities
Brokerage).................. 250,042
1,029,549 Nishat Textile+** (Apparel and
Textiles)................... 880,129
12 Pakistan International Airways
(Airlines).................. 3
9,950 Pakistan Elektron (Electrical
Equipment).................. 10,469
199,650 Pakistan State Oil** (Oil).... 1,546,282
------------
8,032,531
------------
PERU--1.4%
1,511,739 Ferreyros (Holding)........... 1,766,203
1,037,699 Southern Peru Copper
Corporation (Metals and
Mining)..................... 3,646,091
2,274,375 Telefonica del Peru
(Telecommunications)........ 4,812,503
792,700 Telefonica del Peru, "B"
Shares
(Telecommunications)........ 1,697,908
------------
11,922,705
------------
PHILIPPINES--4.7%
29,432,560 Aboitiz Equity Ventures+
(Conglomerates)............. 5,610,477
1,052,748 Ayala Land Inc., Class B (Real
Estate)..................... 1,284,328
4,225,716 Bacnotan Cement (Building
Materials).................. 2,899,843
190,550 BenPres Holdings, GDR+***
(Broadcasting/Advertising)... 952,750
3,034,800 C & P Homes (Real Estate)..... 2,227,217
5,010,000 DMCI Holdings (Building
Materials).................. 1,795,425
16,534,200 Fillinvest Land (Real
Estate)..................... 5,294,978
3,313,783 Keppel Shipyards, Inc., Class
B (Shipping)................ 1,389,692
1,110,595,882 Manila Mining, Class B (Metals
and Mining)................. 2,074,693
42,642,351 Metro Pacific Inc.
(Conglomerates)............. 7,884,689
62,970 Philippine Long Distance
Telephone
(Telecommunications)........ 3,420,978
91,795 Philippine Long Distance
Telephone, ADR
(Telecommunications)........ 4,968,404
------------
39,803,474
------------
POLAND--0.1%
94,100 Agros Holding (Food and
Beverage)................... 790,052
------------
PORTUGAL--3.1%
51,545 Capital Portugal Fund (Mutual
Funds)...................... 4,554,482
358,246 Cimpor (Building Materials)... 5,944,788
300,750 Electricas Empressa Fabril de
Maquinas (Heavy
Construction)............... 2,033,319
16,900 Estoril Sol, S.A.
(Photography)............... 84,732
641,600 Portucal Industries Empresa+
(Pulp and Paper)............ 3,800,897
452,550 Sonae Investmentos
(Conglomerates)............. 9,690,792
------------
26,109,010
------------
RUSSIA--0.7%
46,389 Global Telesystems Group
Inc.**
(Telecommunications)........ 777,480
16 Irkutskenergo RDC (Oil
Equipment and Services)..... 840,000
25 LukOil, RDC*** (Oil).......... 3,046,875
81,700 Mosenergo, ADS*** (Electric
Utilities).................. 663,813
75,400 The Templeton Russia Fund
(Mutual Funds).............. 1,036,750
------------
6,364,918
------------
SINGAPORE--1.2%
1,395,000 Far East Levingston (Heavy
Construction)............... 6,558,324
397,444 United Overseas Bank (F)
(Banks)..................... 3,821,307
------------
10,379,631
------------
SOUTH AFRICA--6.2%
79,310 Anglo American Corporation
(Conglomerates)............. 4,786,230
326,630 Barlow Ltd. (Building
Materials).................. 4,659,103
3,080,100 Clinic Holdings (Health
Care/Pharamaceuticals)...... 2,999,412
6,095,000 Highstone Property Fund (Real
Estate)..................... 3,093,060
2,086,100 Lonrho (Conglomerates)........ 5,865,457
538,482 Malbak Limited, N.P.V.
(Holding)................... 3,729,713
417,865 Murray and Roberts Holdings
(Conglomerates)............. 2,951,591
448,800 Nampak Ltd. (Insurance)....... 2,492,362
99,300 Nampak Ltd., ADR
(Insurance)................. 548,633
32,000 Pepsi International
Bottlers+** (Food and
Beverage)................... 3,200,000
478,144 Sasol Ltd. (Metals and
Mining)..................... 3,915,128
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 40 ------------------
<PAGE> 50
------------------------------------------------------------------------
MONTGOMERY EMERGING MARKETS FUND
------------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
--------------- ------------
<S> <C> <C>
COMMON STOCKS--(CONTINUED)
SOUTH AFRICA--(CONTINUED)
978,100 Servgro International
(Consumer Services)......... $ 6,036,826
5,317,498 South Africa Iron and Steel
Industrial Corporation
(Steel)..................... 4,784,362
1,091,600 Waltons Stationary+ (Retail
Trade)...................... 3,443,533
------------
52,505,410
------------
SRI LANKA--0.2%
288,195 Aitken Spence and Company
(Conglomerates)............. 997,085
61,300 Development Finance
Corporation of Ceylon+
(Banks)..................... 340,241
246,133 Habarana Lodge, Ltd.
(Lodging)................... 136,614
7,648 John Keells Holdings
(Holding)................... 19,810
------------
1,493,750
------------
TAIWAN--5.6%
3,353,644 ASE+** (Electronics).......... 8,111,573
1,314,840 Cathay Life Insurance**
(Insurance)................. 6,023,198
7,247,000 China Steel Corporation**
(Steel)..................... 5,789,739
95,402 China Steel Corporation,
ADS*** (Steel).............. 1,657,610
2,803,427 Nan Ya Plastics**
(Chemicals)................. 4,253,376
5,717,000 Pacific Construction** (Heavy
Construction)............... 4,085,517
1,473,500 Phoenixtec Power+**
(Electronics)............... 2,970,004
1,247,500 Taiwan Mask+**
(Semiconductors)............ 2,971,653
2,663,600 Taiwan Semiconductor
Company+**
(Semiconductors)............ 8,346,018
500 United Microelectronics
Corporation+**
(Semiconductors)............ 1,255
388,000 Yageo Corporation+**
(Electronics)............... 732,290
299,416 Yageo Corporation, GDR+***
(Electronics)............... 2,713,457
------------
47,655,690
------------
THAILAND--3.9%
337,500 Bangkok Bank Public Company
Ltd. (F) (Banks)............ 2,895,750
149,250 Bangkok Insurance Public
Company, Ltd. (F)
(Insurance)................. 2,547,737
1,986,450 Electricity Generating Company
of Thailand (F) (Electric
Utilities).................. 6,781,846
21,900 Land & House Public Company
Ltd. (F) (Real Estate)...... 359,929
142,300 Phatra Thanakit Company Ltd.
(Securities Brokerage)...... 1,045,905
163,800 Phatra Thanakit Company Ltd.
(F) (Securities
Brokerage).................. 1,404,557
266,600 Regional Container Lines (F)
(Shipping).................. 3,323,239
651,700 Sahaviriya Steel Industries
(F) (Steel)................. 866,691
85,100 Siam Cement Public Company
Ltd. (F) (Building
Materials).................. 4,716,141
633,300 Thai Farmers Bank Public
Company, Ltd. (F) (Banks)... 4,325,439
310,600 United Communications Industry
(F) (Telecommunications).... 3,970,353
1,391,500 Wongpaitoon Footwear Public
Company, Ltd. (F)
(Footwear).................. 1,325,764
------------
33,563,351
------------
TURKEY--1.3%
1,909,001 Akbank (Banks)................ 360,485
1,893,685 Cimentas*** (Building
Materials).................. 1,119,420
4,602,600 Efes Pilsen** (Food and
Beverage)................... 311,894
340,750 Erciyas Biracilik ve Malt,
ADR+ (Food and Beverage).... 3,322,313
7,127,180 Kartonsan (Pulp and Paper).... 1,872,494
9,952,900 Koc Holding (Holding)......... 1,421,843
3,964,512 Tat Konserve (Food and
Beverage)................... 2,506,301
1,134,000 Trakya Cam Sanayil (Glass).... 115,448
------------
11,030,198
------------
VENEZUELA--0.6%
4,449,606 Sivensa (Steel)............... 1,418,149
1,614,400 Sivensa, ADR (Steel).......... 3,027,000
256,451 Venprecar, GDS+ (Steel)....... 945,022
------------
5,390,171
------------
VIETNAM--0.0%#
38,000 The Vietnam Frontier Fund+
(Mutual Funds).............. 388,550
------------
TOTAL COMMON STOCKS
(Cost $691,787,331)......... 668,718,699
------------
PREFERRED STOCKS--11.3%
BRAZIL--10.3%
1,510,008,000 Banco Bradesco (Banks)........ 13,205,482
12,470,000 Brahma (Food and Beverage).... 5,132,080
6,286,675 Cimento Itau (Building
Materials).................. 1,500,600
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 41 ------------------
<PAGE> 51
------------------------------------------------------------------------
MONTGOMERY EMERGING MARKETS FUND
------------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
--------------- ------------
<S> <C> <C>
PREFERRED STOCKS--(CONTINUED)
BRAZIL--(CONTINUED)
11,805,400 Coteminas (Apparel and
Textiles)................... $ 3,947,482
70,772,000 Electrobras "B" (Electric
Utilities).................. 19,150,199
88,757,143 Industrias Romi, S.A.
(Machinery and Machine
Tools)...................... 1,872,032
50,500 Kepler Weber S.A. (Machinery
and Machine Tools).......... 129,894
83,872,000 Lojas Renner S.A. (Retail
Trade)...................... 2,243,605
9,680,000 Marcopolo S.A., "B" Shares,
NPV (Auto/Auto Parts)....... 1,434,148
49,255,300 Petroleo Brasileiro (Oil)..... 4,205,666
3,446,955,800 Randon (Auto/Auto Parts)...... 2,092,396
9,005,001 Sadia Concordia (Food and
Beverage)................... 6,670,714
24,025,000 Shultz (Steel)................ 704,473
202,055,194 Telebras
(Telecommunications)........ 9,729,084
17,879,000 Telesp (Telecommunications)... 2,630,482
80,981,000 Vale do Rio Doce (Metals and
Mining)..................... 13,330,892
------------
87,979,229
------------
GREECE--0.0%#
40,900 Aegek (Heavy Construction).... 265,753
------------
KOREA--0.8%
108,530 Mando Machinery Corporation
(Auto/Auto Parts)........... 2,892,524
21,465 Samsung Electronics Ltd.
(Electronics)............... 2,516,808
109,950 SsangYong Investments &
Securities (Securities
Brokerage).................. 1,155,131
------------
6,564,463
------------
PHILIPPINES--0.2%
23,500 Philippine Long Distance
Telephone, "A" Shares
(Telecommunications)........ 1,223,469
------------
TOTAL PREFERRED STOCKS
(Cost $102,837,382)......... 96,032,914
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------------
<S> <C> <C>
CONVERTIBLE BONDS--5.0%
$ 7,975,000 Bangkok Bank., 3.250% due
03/03/04 (Banks)............ 8,493,375
5,178,000 Ban Pu Coal, 3.500% due
08/25/04 (Coal)............. 6,362,468
2,820,000 Sappi, 7.500% due 08/01/02***
(Pulp and Paper)............ 2,671,950
1,500,000 Siam Sindorn, 2.000% due
07/31/00 (Real Estate)...... 1,305,000
5,755,000 U-Ming Marine, 1.500% due
02/07/01 (Shipping)......... 5,467,250
15,170,000 United Engineers, 2.000% due
03/01/04 (Heavy
Contstruction).............. 17,236,913
951,000 United Microelectronics,
1.250% due 06/08/04***
(Semiconductors)............ 1,198,260
------------
TOTAL CONVERTIBLE BONDS
(Cost $42,260,760).......... 42,735,216
------------
CORPORATE BONDS--0.5%
MYR 578,000 AMMB Loan Stock @ 7.500%
(Diversified Financial
Services)................... 307,241
SAFR 2,565,000 Barlow Ltd. @ 7.000% due
09/20/04 (Building
Materials).................. 4,065,525
------------
TOTAL CORPORATE BONDS
(Cost $3,203,002)........... 4,372,766
------------
<CAPTION>
SHARES
---------------
<S> <C> <C>
RIGHTS--0.2%
BRAZIL--0.0%#
26,449,718 Banco Bradesco, Rights, Expire
02/15/96+ (Banks)........... 43,541
------------
KOREA--0.0%#
997 Samsung Electronics Ltd.,
Rights, Expire 01/01/96+
(Electronics)............... 172,078
------------
PAKISTAN--0.0%#
415,740 DG Khan Cement, Rights, Expire
01/01/96+ (Building
Materials and Home
Builders)................... 145,806
------------
PHILIPPINES--0.2%
54,200 Philippine Long Distance
Telephone, Rights, Expire
12/31/96+
(Telecommunications)........ 1,696,325
------------
TOTAL RIGHTS
(Cost $2,078,452)........... 2,057,750
------------
WARRANTS--0.1%
INDONESIA--0.0%#
243,700 Bank Bali (F), Warrants,
Expire 08/29/00+ (Banks).... 106,582
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 42 ------------------
<PAGE> 52
------------------------------------------------------------------------
MONTGOMERY EMERGING MARKETS FUND
------------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
--------------- ------------
<S> <C> <C>
WARRANTS--(CONTINUED)
MALAYSIA--0.1%
589,500 DCB Holdings Corporation,
Warrants, Expire 12/28/99+
(Banks)..................... $ 584,927
105,000 Petronas Gas, Warrants, Expire
08/17/00+ (Oil)............. 170,335
------------
755,262
------------
TOTAL WARRANTS
(Cost $329,102)............. 861,844
------------
TOTAL SECURITIES
(Cost $842,496,029)......... 814,779,189
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------------
<S> <C> <C>
REPURCHASE AGREEMENTS--3.2%
$16,990,000 Agreement with Chemical Bank
Tri-Party, 6.000% dated
12/29/95 to be repurchased
at $17,001,327, on 01/02/96
collateralized by
$17,330,143 market value of
U.S. Government securities,
having various maturity
dates and various interest
rates....................... 16,990,000
10,104,000 Agreement with Paine Webber
Tri-Party, 6.000% dated
12/29/95 to be repurchased
at $10,110,736 on 01/02/96,
collateralized by
$10,306,472 market value of
U.S. Government securities,
having various maturity
dates and various interest
rates....................... 10,104,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $27,094,000).......... 27,094,000
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(NOTE 1)
------------
<S> <C> <C>
TOTAL INVESTMENTS (Cost
$869,590,029*)........................... 98.7% $841,873,189
OTHER ASSETS AND LIABILITIES (Net)......... 1.3 11,437,531
---- ------------
NET ASSETS................................. 100.0% $853,310,720
===== ============
</TABLE>
- ------------
* Aggregate cost for Federal tax purposes.
** Illiquid or Special Situation Security (See Note 7 to Financial Statements).
*** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
+ Non-income producing security.
# Amount represents less than 0.1%.
<TABLE>
<S> <C>
ABBREVIATIONS:
ADR American Depositary Receipt
ADS American Depositary Share
(F) Foreign or alien shares.
GDR Global Depositary Receipt
GDS Global Depositary Share
MYR Malaysian Ringgit
ORD Ordinary
RDC Russian Depositary Share
SAFR South African Financial Rand
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 43 ------------------
<PAGE> 53
- --------------------------------------------------------------------------------
MONTGOMERY SHORT GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- -----------
<S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS (CMO)--6.1%
Collateralized Mortgage Securities
Corporation:
$ 3,085 Series 1990-7B, (SEQ) 9.500% due
03/20/19**....................... $ 3,085
56,722 Series 1991-9H, (PAC) 8.250% due
06/20/96......................... 56,828
Drexel Burnham Lambert Mortgage:
262,479 Series C3, (SEQ) 9.500% due
05/20/14......................... 264,242
183,487 Series J2, (SEQ) 8.000% due
07/01/17......................... 183,487
575,168 Smith Barney Shearson Mortgage,
Series 2Z, (Accrual) 9.900% due
09/01/17**....................... 581,909
-----------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (Cost $1,076,969).... 1,089,551
-----------
FEDERAL HOME LOAN BANK (FHLB)--10.9%
(Cost $1,948,879)
2,000,000 4.536% (FLTR) due 09/24/97......... 1,956,777
-----------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC)--19.5%
200,000 7.665% due 02/27/98................ 200,510
241,789 9.000% Pass Thru Pools due
10/01/16-05/01/20................ 250,932
131,724 Pool #308601 9.500% due 10/01/18... 138,310
FHLMC, REMIC:
152,510 1380D (PAC) 5.250% due 01/15/01.... 152,033
290,000 1611E (PAC) 5.500% due 12/15/18.... 285,378
800,000 1575PE (PAC) 6.000% due 03/15/07... 805,125
64,669 1098F (XPAC) 8.000% due 03/15/05... 64,719
212,507 199B (XPAC) 8.500% due 03/15/01.... 212,341
67,668 170E (XPAC) 8.500% due 05/15/19.... 67,604
233,689 72F (XPAC) 9.000% due 04/15/20**... 235,989
63,267 35B (XPAC) 9.600% due 05/15/13..... 63,139
921,160 1134I (INV) 14.757% due 09/15/96... 971,967
FHLMC, Tiered Payment:
8,312 Pool #730288 8.500% due 07/01/06... 8,549
29,924 Pool #730223 9.500% due 01/01/06... 30,967
-----------
TOTAL FEDERAL HOME LOAN MORTGAGE
CORPORATION (Cost $3,656,111).... 3,487,563
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)--34.6%
2,000,000 4.730% (FRN) due 03/10/98.......... 1,959,375
400,000 4.785% (FRN) due 02/25/98.......... 391,250
100,000 6.717% (INV) due 12/02/96.......... 100,172
1,000,000 7.000% due TBA..................... 1,008,594
1,000,000 9.000 due TBA...................... 1,053,594
FNMA, REMIC:
250,346 94-42A (PAC) 4.750% due 01/25/05... 249,134
47,236 92-22C (XPAC) 5.750% due
01/25/00......................... 47,067
143,810 92-24G (PAC) 6.500% due 04/25/97... 143,923
650,000 93-99D (PAC) 6.700% due
03/25/04**....................... 670,719
96,579 91-108JD (SEQ) 7.000% due
05/25/96......................... 96,428
19,727 1070E (SEQ) 7.500% due 04/15/96.... 19,724
249,832 92-31J (PAC) 8.000% due 01/25/97... 251,745
138,048 91-125J (SEQ) 8.500% due
09/25/01......................... 137,681
7,872 91-30E (XPAC) 8.500% due
03/25/09......................... 7,875
66,629 88-29B (XTAC) 9.500% due
12/25/18......................... 70,211
-----------
TOTAL FEDERAL NATIONAL MORTGAGE
ASSOCIATION (Cost $5,871,071).... 6,207,492
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA)--1.8%
GNMA I:
178,942 9.000% Pass Thru Pools due
04/15/16-12/15/19**.............. 189,734
101,662 9.500% Pass Thru Pools due
09/15/16-04/15/20**.............. 109,223
GNMA II:
25,055 10.500% Pass thru Pools due
01/20/19......................... 27,576
-----------
TOTAL GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION (Cost $313,535)...... 326,533
-----------
STUDENT LOAN MORTGAGE ASSOCIATION (SLMA)--22.8%
1,100,000 4.625% (FRN) due 06/01/98.......... 1,076,625
3,000,000 6.180% (FRN) due 04/21/97.......... 3,010,593
-----------
TOTAL STUDENT LOAN MORTGAGE
ASSOCIATION (Cost $4,074,966).... 4,087,218
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 44 ------------------
<PAGE> 54
- --------------------------------------------------------------------------------
MONTGOMERY SHORT GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- -----------
<S> <C> <C>
UNION ACCEPTANCE CORPORATION (UAC)--5.1%
$ 5,903,056 95-DI 3.000% (ABS) due 02/07/99.... $ 231,510
19,961,331 95-CI (PAC) (ABS) 3.000% due
10/10/02......................... 686,171
-----------
TOTAL UNION ACCEPTANCE
CORPORATION
(Cost $908,177).................. 917,681
-----------
U.S. TREASURY OBLIGATION--28.1% (Cost $4,993,057)
5,000,000 U.S. Treasury Note, 5.500% due
11/15/98......................... 5,037,500
-----------
TOTAL SECURITIES (Cost
$22,842,765)..................... 23,110,315
-----------
REPURCHASE AGREEMENT--5.8%
(Cost $1,029,000)
1,029,000 Agreement with Chemical Bank
Tri-Party, 6.000% dated 12/29/95
to be repurchased at $1,029,686
on 01/02/96, collateralized by
$1,049,601 market value of U.S.
Government securities, having
various maturities and various
interest rates................... 1,029,000
-----------
TOTAL INVESTMENTS (Cost $23,871,765*)..... 134.7% 24,139,315
OTHER ASSETS AND LIABILITIES (Net)........ (34.7) (6,213,533)
----- -----------
NET ASSETS................................ 100.0% $17,925,782
===== ===========
</TABLE>
- ------------
* Aggregate cost for Federal tax purposes.
** Security pledged as collateral.
<TABLE>
<S> <C>
ABBREVIATIONS:
ABS Asset-Backed securities.
Accrual Bonds which receive negative amortization (coupon
interest is added to principal) according to the
stated coupon rate for a period of time.
FRN Bonds with coupon rates that adjust periodically at a
spread to an index.
INV Bonds with coupon rates that adjust in an inverse
relationship to an index.
PAC Planned Amortization Class: bonds which are protected
in part from variations in prepayments, generally
resulting in greater stability.
SEQ Sequential: bonds which receive amortization from the
deal in sequential order. Their actual principal
paydowns are dependent on how quickly the underlying
mortgages prepay and overall have similar risks to
mortgage backed pass-thrus.
REMIC Real Estate Mortgage Investment Conduit.
TAC Targeted Amortization Class: Bonds which are protected
from prepayments. However, these bonds are usually
less stable than PAC's.
TBA To be Announced Security.
XPAC Broken Planned Amortization Class: PAC bonds which
have lost their protection against prepayment risk,
resulting in a security similar to a sequential.
XTAC Broken Targeted Amortization Class: TAC bonds which
have lost their protection against prepayment risk,
resulting in a security similar to a sequential.
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 45 ------------------
<PAGE> 55
-----------------------------------------------------------------------------
MONTGOMERY GOVERNMENT RESERVE FUND
-----------------------------------------------------------------------------
PORTFOLIO INVESTMENTS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
<S> <C> <C>
FEDERAL FARM CREDIT BANK (FFCB)--6.8%
$ 1,135,000 Discount Note due 01/03/96........ $ 1,134,644
680,000 6.760% due 02/28/96............... 680,084
1,000,000 6.120% due 02/28/96............... 1,000,113
1,000,000 5.600%** due 04/24/96++++......... 999,824
1,000,000 6.050%** due 05/06/96++++......... 1,000,712
10,000,000 6.025%** due 05/20/96+++++........ 10,007,828
2,000,000 5.600% due 07/01/96............... 1,997,671
1,000,000 6.170%** due 09/24/96++++......... 1,000,447
2,750,000 5.600% due 10/25/96+++............ 2,751,941
------------
20,573,264
------------
FEDERAL HOME LOAN BANK (FHLB)--18.2%
10,425,000 Discount Note due 01/02/96........ 10,423,352
3,000,000 6.800% due 01/02/96............... 2,999,994
1,000,000 7.310% due 01/04/96............... 1,000,091
1,600,000 Discount Note due 01/09/96........ 1,597,984
2,000,000 7.415% due 01/10/96............... 2,000,132
3,400,000 Discount Note due 01/19/96........ 3,390,395
1,000,000 5.500%** due 02/05/96+++++........ 998,897
1,150,000 6.787% due 02/15/96............... 1,150,240
4,350,000 5.410%** due 02/16/96+++++........ 4,347,395
7,750,000 5.750%** due 02/16/96+++++........ 7,743,412
1,180,000 Discount Note due 02/22/96........ 1,170,711
5,000,000 4.460% due 03/01/96............... 4,988,986
1,000,000 4.150% due 03/11/96............... 996,773
2,000,000 4.265% due 03/12/96............... 1,993,783
2,000,000 9.000% due 03/15/96............... 2,012,193
1,000,000 7.750% due 04/25/96............... 1,005,583
1,000,000 4.800% due 07/12/96............... 994,491
650,000 7.750% due 07/12/96............... 656,172
500,000 4.723%** due 07/22/96+++++........ 496,782
2,745,000 8.000% due 07/25/96............... 2,776,995
1,000,000 3.020%** due 08/05/96+++++........ 983,509
1,000,000 4.611%** due 10/01/96+++++........ 990,669
------------
54,718,539
------------
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC)--3.2%
853,867 8.500% due 02/01/96............... 854,786
323,566 8.500% due 02/01/96............... 323,717
204,909 9.000% due 05/01/96............... 206,074
1,753,355 8.500% due 08/01/96............... 1,767,709
2,186,653 8.500% due 10/01/96............... 2,200,476
448,671 5.500%** due 10/15/96............. 447,401
2,566,920 6.575%** due 10/15/96............. 2,575,592
1,270,735 8.000% due 12/15/96............... 1,281,040
------------
9,656,795
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA)--0.2%
450,000 4.566%** due 10/25/96++++++....... 444,924
------------
STUDENT LOAN MARKETING ASSOCIATION
(SLMA)--24.1%
2,000,000 6.943% due 02/21/96............... 2,001,145
500,000 5.270% due 04/16/96+.............. 499,934
10,000,000 5.230% due 05/14/96+.............. 10,001,922
200,000 4.950% due 06/03/96++++........... 199,296
2,500,000 3.510% due 07/01/96+.............. 2,477,511
5,950,000 6.080% due 07/01/96+++............ 5,950,485
5,150,000 5.200% due 07/19/96+.............. 5,149,557
8,255,000 5.500% due 08/22/96+.............. 8,268,231
2,000,000 5.330% due 08/28/96+++............ 1,994,820
6,000,000 4.950% due 09/23/96+.............. 5,962,653
5,000,000 5.200% due 09/23/96+.............. 4,999,392
500,000 4.611% due 10/01/96++++++......... 495,115
2,500,000 5.450% due 11/01/96+.............. 2,503,927
6,000,000 5.260% due 12/20/96+.............. 5,999,450
500,000 5.950% due 01/21/97++++........... 500,914
3,000,000 5.550% due 01/29/97+.............. 3,002,326
10,000,000 6.130% due 06/30/97++............. 9,997,174
2,500,000 5.400% due 10/30/97+.............. 2,500,538
------------
72,504,390
------------
TENNESSEE VALLEY AUTHORITY (TVA)--1.8%
Medium Term Note,
5,350,000 4.320% due 01/11/96............... 5,347,216
------------
U.S. SOVEREIGN BONDS--0.7%
700,000 AID-Israel, 4.375% due 03/15/96... 697,821
1,487,080 AID-Israel, Series B, 5.563% due
01/09/99+....................... 1,487,080
------------
2,184,901
------------
U.S. TREASURY BILLS--1.6%
4,000,000 4.930%** due 04/04/96............. 3,939,943
1,000,000 5.000%** due 05/02/96............. 979,836
------------
4,919,779
------------
U.S. TREASURY NOTES--0.7%
2,000,000 9.375% due 04/15/96............... 2,017,907
------------
TOTAL SECURITIES.................. 172,367,715
------------
REPURCHASE AGREEMENTS--42.5%
60,000,000 Agreement with Bear Stearns
Mortgage Tri-Party, 5.875% dated
12/29/95, to be repurchased at
$60,039,167, on 01/02/96,
collateralized by $60,112,596
market value of U.S. Government
securities, having various
maturities and various interest
rates........................... 60,000,000
12,000,000 Agreement with Chemical Bank
Tri-Party, 6.020% dated
12/29/95, to be repurchased at
$12,008,027, on 01/02/96,
collateralized by $16,384,585
market value of U.S. Government
securities, having various
maturities and various interest
rates........................... 12,000,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 46 ------------------
<PAGE> 56
-----------------------------------------------------------------------------
MONTGOMERY GOVERNMENT RESERVE FUND
-----------------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
<S> <C> <C>
REPURCHASE AGREEMENTS--(CONTINUED)
$16,063,000 Agreement with Chemical Bank
Tri-Party, 6.000% dated
12/29/95, 1to be repurchased at
$16,073,709, on 01/02/96,
collateralized by $16,384,585
market value of U.S. Government
securities, having various
maturities and various interest
rates........................... $ 16,063,000
20,000,000 Agreement with Chemical Bank
Tri-Party, 5.910% dated
12/12/95, to be repurchased at
$20,075,517, on 01/04/96,
collateralized by $20,317,850
market value of U.S. Government
securities, having various
maturities and various interest
rates........................... 20,000,000
20,000,000 Agreement with Morgan Stanley
Mortgage Tri-Party, 5.960% dated
12/29/95, to be repurchased at
$20,013,244, on 01/02/96,
collateralized by $21,363,075
market value of U.S. Government
securities, having various
maturities and various interest
rates........................... 20,000,000
------------
TOTAL REPURCHASE AGREEMENTS....... 128,063,000
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(NOTE 1)
------------
<S> <C> <C>
TOTAL INVESTMENTS
(at amortized cost*).................. 99.8% $300,430,715
OTHER ASSETS AND LIABILITIES (Net)...... 0.2 623,684
----- ------------
NET ASSETS.............................. 100.0% $301,054,399
===== ============
</TABLE>
- ------------
* Aggregate cost for Federal tax purposes.
** Rate represents annualized yield at date of purchase.
+ Floating rate note, rate resets weekly.
++ Floating rate note, rate resets annually.
+++ Floating rate note, rate resets semi-annually.
++++ Floating rate note, rate resets daily.
+++++ Floating rate note, rate resets quarterly.
++++++ Floating rate note, rate resets monthly.
The accompanying notes are an integral part of these financial statements.
------------------ 47 ------------------
<PAGE> 57
- --------------------------------------------------------------------------------
MONTGOMERY CALIFORNIA TAX-FREE INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- ----------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES--97.7%
CALIFORNIA--97.7%
$ 55,000 Alameda, California, School District,
6.900% due 07/01/97.................. $ 57,406
200,000 Bakersfield, California, Hospital,
7.375% due 01/01/14.................. 221,500
200,000 Bay Area Government Association,
California, Tax Allocation Revenue,
Redevelopment Agency, Pool A4, (CGIC
Insured),
5.750% due 12/15/08.................. 209,500
350,000 California Health Facilities Financing
Authority, Revenue Refunding, Kaiser
Permanente, Series A,
6.250% due 03/01/21.................. 367,938
200,000 California Housing Finance Agency,
Housing Revenue, Series C, (MBIA
Insured),
6.150% due 08/01/14.................. 209,250
40,000 California State,
6.800% due 03/01/99.................. 43,150
250,000 California State, (FGIC Insured),
7.000% due 04/01/06.................. 294,688
90,000 California State, Health Facilities,
Financing Authority, Centinela
Hospital,
6.500% due 08/01/96.................. 91,255
California State, Public Works:
100,000 High-Tech,
7.750% due 08/01/06.................. 119,625
75,000 Series A,
7.000% due 03/01/96.................. 75,370
75,000 California State, University Revenue,
(AMBAC Insured),
6.250% due 11/01/00.................. 81,750
365,000 California State, University Trust
Certificates,
6.450% due 06/01/02.................. 384,619
California State, Veterans Bond:
25,000 Series AG,
8.100% due 10/01/98.................. 27,625
70,000 Series AL,
9.600% due 04/01/01.................. 86,450
100,000 Series AT,
9.500% due 02/01/10.................. 143,500
200,000 Series AQ,
8.900% due 10/01/99.................. 232,750
250,000 California Statewide Communities,
Development Authority Revenue,
Certificates of Participation, (St.
Joseph Health System Group),
6.500% due 07/01/04.................. 279,375
100,000 Carpinteria, California, (FGIC
Insured),
7.500% due 07/01/00.................. 113,125
290,000 Contra Costa, California, Water
District, Water Revenue, (FGIC
Insured),
5.250% due 10/01/10.................. 291,450
300,000 Desert Hospital District, California,
Hospital Revenue, Certificates of
Participation, (CGIC Insured),
6.150% due 07/01/02.................. 327,375
75,000 East Bay, California, Utility District,
Series M,
7.500% due 03/01/00.................. 84,562
375,000 Eastern Municipal Water District,
California, Water & Sewer Revenue,
Certificates of Participation,
Refunding, Series A, (FGIC Insured),
6.250% due 07/01/05.................. 406,406
270,000 Emeryville, California, Public
Financing Authority, Housing Revenue,
5.600% due 09/01/06.................. 276,413
50,000 Estero, California, Series S-1,
7.000% due 07/01/00.................. 55,187
90,000 Fremont, California, School District,
(CGIC Insured),
7.700% due 09/01/96.................. 92,380
100,000 Los Angeles, California, Series A,
6.400% due 09/01/98.................. 105,875
350,000 Los Angeles, California, Water & Power,
5.900% due 02/01/05.................. 377,563
25,000 Los Angeles County, California, Adult &
Juvenile Detention,
6.700% due 06/01/96.................. 25,306
Los Angeles County, California,
Certificates of Participation:
200,000 6.700% due 03/01/99.................... 208,000
200,000 6.708% due 06/01/15.................... 201,250
50,000 Los Angeles County, California, Public
Works, Revenue Anticipation Notes,
4.500% due 03/01/01.................. 50,500
200,000 Los Angeles County, California,
Transportation Authority,
5.625% due 07/01/18.................. 203,750
20,000 Mt. Diablo, California, School
District, (FGIC Insured),
6.800% due 08/01/97.................. 20,875
350,000 North City West, California, School
Facilities Financing Authority,
Special Tax Refunding, Series B,
(CGIC Insured),
5.000% due 09/01/04.................. 358,312
100,000 Northern California Transmission,
California-Oregon Transportation
Project, Series A, Pre-refunded
05/01/00, (MBIA Insured),
7.000% due 05/01/10.................. 112,250
250,000 Ontario, California, Redevelopment
Financing Authority, Revenue
Refunding, (Ontario Redevelopment
Project No 1), (MBIA Insured),
6.550% due 08/01/06.................. 285,625
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 48 ------------------
<PAGE> 58
- --------------------------------------------------------------------------------
MONTGOMERY CALIFORNIA TAX-FREE INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- ----------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES--(CONTINUED)
CALIFORNIA--(CONTINUED)
$ 75,000 Paramount, California, Redevelopment
Agency,
5.100% due 08/01/98.................. $ 76,312
Piedmont, California, School District:
Series A:
75,000 8.300% due 08/01/01.................... 89,437
45,000 7.100% due 08/01/02.................... 52,144
40,000 Series C,
7.200% due 08/01/01.................. 45,550
350,000 Redwood City, California, Multi-family
Housing, (Redwood Shores), Series B,
Mandatory Put 10/01/00,
5.200% due 10/01/08.................. 350,000
200,000 Sacramento, California, City Financing
Authority, (AMBAC Insured),
4.650% due 11/01/02.................. 202,000
400,000 San Diego County, California, Water
Authority, Water Revenue,
Certificates of Participation, Series
A,
6.375% due 05/01/06.................. 438,000
50,000 San Francisco, California, City &
County Police Facilities,
8.000% due 06/15/99.................. 56,188
100,000 San Francisco, California, City &
County, Series A,
6.100% due 12/15/98.................. 105,625
200,000 Santa Ana, California, Financing
Authority, Lease Revenue, Police
Administration & Holdings Facility,
Series A, (MBIA Insured),
5.600% due 07/01/08.................. 207,750
500,000 Santa Rosa, California, High School
District, (FGIC Insured),
7.000% due 05/01/01.................. 565,625
400,000 Southern California Public Power
Authority, Refunding, Series A,
(AMBAC-TCRS Insured),
5.500% due 07/01/12.................. 404,000
200,000 University of California, Research
Facilities Revenue, Series B,
5.700% due 09/01/06.................. 207,250
65,000 Watsonville, California, Water Revenue,
(MBIA Insured),
6.100% due 05/15/99.................. 68,900
----------
TOTAL MUNICIPAL BONDS
AND NOTES
(Cost $9,110,628).................... 9,390,736
----------
TOTAL INVESTMENTS (Cost $9,110,628*)....... 97.7% 9,390,736
OTHER ASSETS AND LIABILITIES (Net)......... 2.3 224,984
----- ----------
NET ASSETS................................. 100.0% $9,615,720
===== ==========
</TABLE>
- ------------
* Aggregate cost for Federal tax purposes.
<TABLE>
<S> <C>
ABBREVIATIONS:
AMBAC American Municipal Bond Assurance Corporation
CGIC Capital Guaranty Insurance Corporation
FGIC Federal Guaranty Insurance Corporation
MBIA Municipal Bond Investors Assurance
TCRS Transferable Custodial Receipts
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 49 ------------------
<PAGE> 59
- --------------------------------------------------------------------------------
MONTGOMERY CALIFORNIA TAX-FREE MONEY FUND
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- -----------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES--98.6%
CALIFORNIA--98.6%
$1,550,000 ABAG Finance Authority for Non-
Profit Corporations, Certificates
of Participation, (Lucile Salter
Packard Project), (AMBAC
Insured),
3.950% due 08/01/23++............ $ 1,550,000
2,000,000 Alameda County, California,
Certificates of Participation,
(Alameda Municipal Financing
Project),
6.150% due 09/01/21, Mandatory
Put 09/01/95..................... 2,024,488
1,500,000 Alameda County, California, TRANS,
4.750% due 07/25/96.............. 1,507,971
1,100,000 Burbank, California, Redevelopment
Agency Revenue, Issue A,
4.800% due 11/01/10++............ 1,100,000
1,500,000 California Community College,
TRANS,
4.750% due 07/10/96.............. 1,505,257
California Education Facilities
Authority Revenue:
California Institutue of
Technology:
1,900,000 4.600% due 01/01/24++.............. 1,900,000
250,000 Pre-refunded,
8.625% due 01/01/96.............. 255,000
California State, Department of
Water Resources, Water Systems
Revenue:
200,000 Series-V1,
4.800% due 12/01/25++............ 200,000
2,700,000 Series-V2,
4.900% due 12/01/25++............ 2,700,000
California State, Health Facilities
Finance Authority Revenue,
(CASMED):
1,400,000 Catholic Healthcare, Series C,
(MBIA Insured),
4.850% due 07/01/20++............ 1,400,000
1,800,000 St. Frances Memorial Hospital,
Series B,
5.900% due 11/01/2019+........... 1,800,000
St. Joseph Health System:
200,000 Series A,
5.900% due 07/01/13+............. 200,000
1,220,000 Series B,
5.900% due 07/01/13+............. 1,220,000
700,000 Sutter Health System, Series A,
5.900% due 03/01/2020+........... 700,000
California State, Pollution Control
Finance Authority, Commercial
Paper:
1,700,000 3.650% due 01/03/96................ 1,700,000
1,200,000 3.400% due 02/15/96................ 1,200,000
California State, Pollution Control
Finance Authority:
(Shell Oil Company Project), PCR:
400,000 5.900% due 10/01/10+............... 400,000
200,000 Series A,
5.900% due 10/01/09+............. 200,000
(Southern California Edison
Project):
600,000 Series A,
5.400% due 02/28/08+............. 600,000
1,800,000 Series C,
5.400% due 02/28/08+............. 1,800,000
Resource Recovery Revenue:
570,000 (Stanislaus Project),
6.000% due 12/01/17+............. 570,000
4,000,000 California State, Revenue
Anticipation Warrants,
5.750% due 04/25/96.............. 4,024,757
California Statewide Communities
Development Authority Revenue:
Certificates of Participation:
1,600,000 (St. Joseph Health System Group),
5.900% due 07/01/24+............. 1,600,000
2,900,000 Solid Waste Facilities, (Chevron
U.S.A. Inc. Project),
6.050% due 12/15/24+............. 2,900,000
300,000 (Sutter Health Group), (AMBAC
Insured),
5.900% due 07/01/15+............. 300,000
2,700,000 Refunding, Series A,
4.900% due 05/15/25++............ 2,700,000
1,000,000 Tax and Revenue Anticipation Notes,
Series A,
4.750% due 07/05/96.............. 1,003,414
500,000 Chico, California, Multi-family
Housing Revenue, (Ceres Plaza
Project), Series A,
4.800% due 05/01/13++............ 500,000
1,000,000 Chula Vista, California,
Multi-family Housing Revenue,
(Terra Nova Association), Series
A,
5.350% due 03/01/05++............ 1,000,000
3,000,000 Contra Costa, California,
Transportation Authority, Sales
Tax Revenue, Series A, (FGIC
Insured),
4.900% due 03/01/09++............ 3,000,000
2,500,000 Del Mar Race Track Authority,
Commercial Paper,
3.250% due 02/07/96.............. 2,500,000
1,300,000 East Bay, California, MUD,
Commercial Paper,
3.650% due 02/06/96.............. 1,300,000
1,000,000 East Bay, California, MUD, Waste
Water, Commercial Paper,
3.600% due 02/01/96.............. 1,000,000
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 50 ------------------
<PAGE> 60
- --------------------------------------------------------------------------------
MONTGOMERY CALIFORNIA TAX-FREE MONEY FUND
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- -----------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES--(CONTINUED)
CALIFORNIA--(CONTINUED)
$ 250,000 East Bay, California, Regional Park
District, Prommissory Notes,
Pre-refunded 03/01/96,
7.600% due 03/01/08.............. $ 257,268
2,000,000 Eastern Municipal Water District,
Water and Sewer Revenue,
Certificates of Participation,
Series B, (FGIC Insured),
5.000% due 07/01/20++............ 2,000,000
2,375,000 Fremont, California, Certificates
of Participation, (Building and
Equipment Financing Project),
5.300% due 07/01/15++............ 2,375,000
1,000,000 Gardena, California, Public
Financing Agency, (Gardena Public
Parking Project),
5.300% due 09/01/11++............ 1,000,000
2,500,000 Kern, California, Community College
District, Certificates of
Participation,
5.450% due 01/01/25++............ 2,500,000
2,500,000 La Cimenta, California, Commercial
Paper,
3.500% due 03/05/96.............. 2,500,000
300,000 Lancaster, California,
Redevelopment Agency, Multi-
family Housing Revenue, (Westwood
Park Apartments), Series K,
4.800% due 12/01/07++............ 300,000
Los Angeles, California, Department
of Water and Power, Commercial
Paper:
1,000,000 3.650% due 02/02/96................ 1,000,000
1,000,000 3.300% due 02/13/96................ 1,000,000
Los Angeles, California,
Multi-family Housing Revenue:
1,200,000 Series A,
6.250% due 08/01/26+............. 1,200,000
600,000 Series B,
6.250% due 12/01/26+............. 600,000
2,900,000 Series K,
4.400% due 07/01/10++............ 2,900,000
2,500,000 Los Angeles, California, Municipal
Transit Authority, Commercial
Paper,
3.500% due 01/10/96.............. 2,500,000
1,000,000 Los Angeles, California, Wastewater
Systems Revenue, Series A,
6.500% due 02/01/96.............. 1,002,093
700,000 Los Angeles County, California,
Metropolitan Rapid Transit
Authority Revenue, (Union Station
Gateway Project), Series A, (FSA
Insured),
4.650% due 07/01/25++............ 700,000
300,000 Los Angeles County, California,
Transportation Commission, Sales
Tax Revenue Refunding, Series A,
(FGIC Insured),
5.100% due 07/01/12++............ 300,000
1,000,000 Madera, California, Public
Financing Authority, Lease
Revenue, (Municipal Golf Course
Project),
4.300% due 11/01/23, Mandatory
Put 08/01/96..................... 1,000,000
1,550,000 Modesto, California, Multi-family
Housing Revenue, (Shadowbrook
Apartments), Series A,
5.000% due 03/01/26, Mandatory
Put 03/01/96..................... 1,552,373
Palm Springs, California, Community
Redevelopment Agency, Certficates
of Participation:
100,000 District No. 1,
4.800% due 12/01/14++............ 100,000
500,000 District No. 5,
4.800% due 12/01/14++............ 500,000
700,000 District No. 6,
4.800% due 12/01/14++............ 700,000
200,000 District No. 10,
4.800% due 12/01/14++............ 200,000
100,000 District No. 11,
4.800% due 12/01/14++............ 100,000
1,825,000 Richmond, California, Joint Powers
Finance Authority, Port Terminal
Lease Revenue,
6.000% due 09/01/04+............. 1,825,000
Sacramento, California,
Multi-family Housing Revenue:
2,700,000 Series C,
5.300% due 04/15/07++............ 2,700,000
1,000,000 Series E, (River Oaks Apartments),
5.300% due 09/15/07++............ 1,000,000
1,000,000 San Diego, California, Multi-family
Housing Revenue, (La Cima
Apartments), Series K,
4.800% due 12/01/08++............ 1,000,000
1,700,000 San Diego, California, Regional
Transit Authority, Commercial
Paper,
3.450% due 01/11/96.............. 1,700,000
4,000,000 San Francisco, California, City and
County Tax and Revenue
Anticipation Notes,
4.750% due 09/19/96.............. 4,023,965
</TABLE>
The accompanying notes are an integral part of these financial statements.
------------------ 51 ------------------
<PAGE> 61
- --------------------------------------------------------------------------------
MONTGOMERY CALIFORNIA TAX-FREE MONEY FUND
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS--(CONTINUED)
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
---------- -----------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES--(CONTINUED)
CALIFORNIA--(CONTINUED)
$2,000,000 San Joaquin, (County of),
California, TRANS,
4.500% due 10/15/96.............. $ 2,009,074
2,300,000 Southern California, Public Power
Authority Revenue, (Southern
Transmission Project), (AMBAC
Insured),
4.850% due 07/01/19++............ 2,300,000
500,000 Stockton, California, Multi-family
Housing Revenue, (Mariners Point
Association), Series A,
4.900% due 08/01/18++............ 500,000
-----------
TOTAL MUNICIPAL BONDS AND NOTES.... 89,705,660
-----------
TOTAL INVESTMENTS
(at amortized cost*)..................... 98.6% 89,705,660
OTHER ASSETS AND LIABILITIES (Net)......... 1.4 1,320,637
----- -----------
NET ASSETS................................. 100.0% $91,026,297
===== ===========
</TABLE>
- ------------
* Aggregate cost for Federal tax purposes.
+ Floating rate note, rate resets daily.
++ Floating rate note, rate resets weekly.
ABBREVIATIONS:
AMBAC American Municipal Bond Assurance Corporation
FGIC Federal Guaranty Insurance Corporation
FSA Federal Security Assurance
MBIA Municipal Bond Investors Guaranty
PCR Pollution Control Revenue
TRANS Tax and Revenue Anticipation Notes
The accompanying notes are an integral part of these financial statements.
------------------ 52 ------------------
<PAGE> 62
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
ASSET ALLOCATION FUND
STATEMENT OF CASH FLOWS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<S> <C> <C>
Cash flows from operating activities:
Dividends and interest received....................................... $ 1,578,594
Operating expense paid................................................ (486,956)
Proceeds from sales of long-term securities........................... 84,972,415
Net proceeds from futures transactions................................ 9,396
Purchases of short-term securities.................................... (6,920,300)
Purchases of long-term securities..................................... (137,275,052)
-------------
CASH USED BY OPERATING ACTIVITIES....................................... $(58,121,903)
Cash flows from financing activities:
Proceeds received from subscriptions.................................. 72,950,993
Payments on shares redeemed........................................... (24,580,806)
Cash provided from reverse repurchase agreement....................... 3,048,750
Dollar roll deferred fee income....................................... 73,828
Cash dividends paid*.................................................. (137,506)
Reverse repurchase agreement and dollar roll interest expenses........ (40,156)
-------------
CASH PROVIDED BY FINANCING ACTIVITIES................................... 51,315,103
------------
Decrease in cash........................................................ (6,806,800)
Cash at beginning of period............................................. 7,268,120
------------
Cash at end of period................................................... $ 461,320
============
RECONCILIATION OF NET INCREASE IN NET ASSETS
FROM OPERATIONS TO CASH USED BY OPERATING ACTIVITIES:
Net increase in net assets resulting from operations.................... $ 12,267,552
Increase in investments............................................... $ (73,016,425)
Increase in interest and dividends receivable......................... (159,089)
Increase in deferred fee income....................................... 72,257
Decrease in other assets.............................................. 6,269
Increase in receivables for investments sold.......................... (1,809,199)
Increase in payable for investments purchased......................... 4,366,040
Increase in accrued expenses.......................................... 101,665
Increase in interest expense.......................................... 49,027
-------------
CASH USED BY OPERATING ACTIVITIES....................................... $(58,121,903)
============
</TABLE>
- ------------
* Non cash activities include reinvestment of dividends of $4,696,501.
The accompanying notes are an integral part of these financial statements.
------------------ 53 ------------------
<PAGE> 63
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
GROWTH
FUND
------------
<S> <C>
ASSETS:
Investments in securities, at value (Note 1)
Securities........................................................................................... $636,185,756
Repurchase agreements................................................................................ 238,390,000
------------
Total investments...................................................................................... 874,575,756
Cash................................................................................................... --
Foreign currency, at value (Cost $90,543, $92,575 and $729,798, respectively).......................... --
Forward foreign currency exchange contracts:
Forward foreign currency exchange contracts to buy, at value
(Contract cost $484,812 and $563,419, respectively) (Note 3)......................................... --
Forward foreign currency exchange contracts to sell (Note 3)......................................... --
Receivables:
Dividends............................................................................................ 445,874
Interest............................................................................................. 118,728
Expenses absorbed by Manager......................................................................... --
Shares of beneficial interest sold................................................................... 836,816
Investment securities sold........................................................................... 17,528,261
Other Assets:
Organization costs (Note 1).......................................................................... 29,934
------------
Total Assets........................................................................................... 893,535,369
------------
LIABILITIES:
Forward foreign currency exchange contracts:
Payable for forward foreign exchange contracts to buy (Note 3)....................................... --
Payable for forward foreign currency exchange contracts to sell, at value
(Contract cost $243,779 and $441,977, respectively) (Note 3)......................................... --
Reverse repurchase agreements (Note 3)................................................................. --
Payables:
Deferred fee income on dollar roll transactions...................................................... --
Deferred gain on dollar roll transactions............................................................ --
Shares of beneficial interest redeemed............................................................... 964,166
Investment securities purchased...................................................................... 29,239,073
Management fees...................................................................................... 134,246
Administration fees.................................................................................. 57,869
Custodian fees....................................................................................... 105,881
Dividends............................................................................................ --
Trustees' fees and expenses.......................................................................... 2,970
Due to custodian..................................................................................... 2,689,261
Transfer agency and servicing fees................................................................... 579,251
Accrued liabilities and expenses..................................................................... 328,149
------------
Total Liabilities...................................................................................... 34,100,866
------------
NET ASSETS............................................................................................. $859,434,503
============
Investments at Identified Cost......................................................................... $766,349,449
============
NET ASSETS CONSIST OF:
Undistributed net investment income/(accumulated net investment loss).................................. $ 382,340
Accumulated net realized gain/(loss) on securities sold, forward foreign currency exchange contracts,
futures contracts, foreign currency transactions and securities sold short........................... 23,570,671
Net unrealized appreciation of investments, forward foreign currency exchange contracts,
futures contracts, foreign currency transactions, securities sold short and net other assets......... 108,226,307
Shares of beneficial interest.......................................................................... 447,627
Additional paid-in capital............................................................................. 726,807,558
------------
NET ASSETS............................................................................................. $859,434,503
============
Net Asset Value, offering and redemption price per share outstanding................................... $19.20
======
Number of Fund shares outstanding...................................................................... 44,762,745
============
</TABLE>
- ------------
** Amount represents distributions in excess of net investment income.
------------------ 54 ------------------
<PAGE> 64
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
<TABLE>
<CAPTION>
EQUITY ASSET GLOBAL GLOBAL
MICRO CAP SMALL CAP INCOME SELECT 50 ALLOCATION OPPORTUNITIES COMMUNICATIONS
FUND FUND FUND FUND FUND FUND FUND
------------ ------------ ----------- ----------- ------------ ------------- --------------
<S> <C> <C> <C> <C> <C> <C>
$218,994,175 $229,192,426 $17,422,056 $20,762,325 $126,375,320 $16,566,618 $215,502,766
55,840,000 6,774,000 1,552,000 7,453,000 6,502,000 -- --
------------ ------------ ----------- ----------- ------------ ----------- ------------
274,834,175 235,966,426 18,974,056 28,215,325 132,877,320 16,566,618 215,502,766
1,554,431 496,834 -- 11,867 461,320 -- --
-- -- -- 90,576 -- 83,319 723,021
-- -- -- 483,919 -- -- 559,811
-- -- -- -- -- 243,779 441,977
117,746 41,044 57,521 6,688 64,643 22,466 101,877
27,832 158,690 776 3,727 506,557 -- --
-- -- -- -- -- -- --
943,408 166,415 733,143 857,391 2,854,291 7,700 99,770
1,330,766 806,745 -- 560,665 1,073,216 569,604 5,858,554
21,313 -- 22,781 24,833 38,399 30,361 38,875
------------ ------------ ----------- ----------- ------------ ----------- ------------
278,829,671 237,636,154 19,788,277 30,254,991 137,875,746 17,523,847 223,326,651
------------ ------------ ----------- ----------- ------------ ----------- ------------
-- -- -- 484,812 -- -- 563,419
-- -- -- -- -- 243,329 438,479
-- -- -- -- 3,057,621 -- --
-- -- -- -- 2,723 -- --
-- -- -- -- 85,859 -- --
151,973 91,882 199,901 196,353 90,286 9,729 290,074
5,432,760 734,428 -- 3,387,071 13,091,466 74,193 1,288,196
111,638 38,294 -- 15,439 93,176 17,278 74,250
12,740 12,219 1,267 1,284 6,178 673 11,640
5,822 95,286 1,841 5,547 4,678 5,980 33,164
-- -- 7,173 -- -- -- --
2,469 2,970 1,469 2,470 2,469 2,470 2,970
-- -- 1,064 -- -- 330,801 627,940
80,724 80,830 3,687 8,842 50,302 5,293 110,644
76,312 80,863 18,348 10,975 51,159 15,983 91,129
------------ ------------ ----------- ----------- ------------ ----------- ------------
5,874,438 1,136,772 234,750 4,112,793 16,535,917 705,729 3,531,905
------------ ------------ ----------- ----------- ------------ ----------- ------------
$272,955,233 $236,499,382 $19,553,527 $26,142,198 $121,339,829 $16,818,118 $219,794,746
============ ============ =========== =========== ============ =========== ============
$237,713,908 $173,074,916 $17,188,748 $26,849,446 $122,102,370 $14,481,970 $184,065,904
============ ============ =========== =========== ============ =========== ============
$ (57,473)** $ (541,827) $ 141 $ (11,786)** $ 13,413 $ (109,729) $ (1,797,292)
1,431,719 4,423,913 66,235 516,053 1,657,432 (742,214) (9,624,643)
37,120,267 62,891,510 1,785,308 1,364,878 10,774,950 2,074,732 31,430,342
178,604 129,396 12,726 18,898 67,951 11,501 134,491
234,282,116 169,596,390 17,689,117 24,254,155 108,826,083 15,583,828 199,651,848
------------ ------------ ----------- ----------- ------------ ----------- ------------
$272,955,233 $236,499,382 $19,553,527 $26,142,198 $121,339,829 $16,818,118 $219,794,746
============ ============ =========== =========== ============ =========== ============
$15.28 $18.28 $15.36 $13.83 $17.86 $14.62 $16.34
====== ====== ====== ====== ====== ====== ======
17,860,384 12,939,615 1,272,639 1,889,840 6,795,076 1,150,094 13,449,107
============ ============ =========== =========== ============ =========== ============
</TABLE>
------------------ 55 ------------------
<PAGE> 65
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<CAPTION>
INTERNATIONAL
GROWTH
FUND
-------------
<S> <C>
ASSETS:
Investments in securities, at value (Note 1)
Securities........................................................................................... $ 7,222,384
Repurchase agreements................................................................................ 1,237,000
----------
Total investments...................................................................................... 8,459,384
Cash................................................................................................... 19,954
Foreign currency, at value (Cost $60,544 and $21,088,404, respectively)................................ 61,206
Forward foreign currency exchange contracts:
Forward foreign currency exchange contracts to buy, at value
(Contract cost $55,666, $418,534, $3,519,998 respectively) (Note 3).................................. 55,844
Forward foreign currency exchange contracts to sell (Note 3)......................................... 84,397
Receivables:
Dividends............................................................................................ 1,291
Interest............................................................................................. 618
Expenses absorbed by Manager......................................................................... --
Shares of beneficial interest sold................................................................... 123,199
Investment securities sold........................................................................... 157,283
Other Assets:
Organization costs (Note 1).......................................................................... 31,343
----------
Total Assets........................................................................................... 8,994,519
----------
LIABILITIES:
Forward foreign exchange contracts:
Payable for forward foreign exchange contracts to buy (Note 3)....................................... 55,666
Payable for forward foreign exchange contracts to sell, at value
(Contract cost $84,397, $544,790 and $756,079, respectively) (Note 3)................................ 84,376
Reverse repurchase agreements (Note 3)................................................................. --
Payables:
Deferred fee income on dollar roll transactions...................................................... --
Deferred gain on dollar roll transactions............................................................ --
Shares of beneficial interest redeemed............................................................... --
Investment securities purchased...................................................................... 181,381
Management fees...................................................................................... --
Administration fees.................................................................................. 486
Custodian fees....................................................................................... 3,219
Dividends............................................................................................ --
Trustees' fees and expenses.......................................................................... 1,969
Due to custodian..................................................................................... --
Transfer agency and servicing fees................................................................... 1,888
Accrued liabilities and expenses..................................................................... 2,150
----------
Total Liabilities...................................................................................... 331,135
----------
NET ASSETS............................................................................................. $ 8,663,384
==========
Investments at Identified Cost......................................................................... $ 7,849,373
==========
NET ASSETS CONSIST OF:
Undistributed net investment income/(accumulated net investment loss).................................. $ (11,518)
Accumulated net realized gain/(loss) on securities sold, forward foreign currency exchange contracts,
futures contracts, foreign currency transactions and securities sold short........................... 3,370
Net unrealized appreciation/(depreciation) of investments, forward foreign currency exchange contracts,
futures contracts, foreign currency transactions, securities sold short and net other assets......... 609,515
Shares of beneficial interest.......................................................................... 6,482
Additional paid-in capital............................................................................. 8,055,535
----------
NET ASSETS............................................................................................. $ 8,663,384
==========
Net Asset Value, offering and redemption price per share outstanding................................... $13.37
======
Number of Fund shares outstanding...................................................................... 648,202
==========
</TABLE>
- ------------
** Amount represents distributions in excess of net investment income.
------------------ 56 ------------------
<PAGE> 66
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA
INTERNATIONAL EMERGING SHORT GOVERNMENT TAX-FREE CALIFORNIA
SMALL CAP MARKETS GOVERNMENT RESERVE INTERMEDIATE TAX-FREE MONEY
FUND FUND BOND FUND FUND BOND FUND FUND
----------- ------------ ----------- ------------ ---------- --------------
<S> <C> <C> <C> <C> <C>
$31,226,318 $814,779,189 $23,110,315 $172,367,715 $9,390,736 $ 89,705,660
3,593,000 27,094,000 1,029,000 128,063,000 -- --
---------- ----------- ---------- ----------- --------- ----------
34,819,318 841,873,189 24,139,315 300,430,715 9,390,736 89,705,660
-- -- -- -- -- 68,331
-- 21,081,536 -- -- -- --
417,578 3,513,898 -- -- -- --
544,790 756,079 -- -- -- --
54,379 1,253,507 -- -- -- --
1,797 605,170 235,513 2,295,875 180,038 761,995
-- -- 47,722 -- 3,194 --
137,500 6,307,166 80,715 -- 119,964 229,008
889,843 4,275,896 625,250 -- -- 700,000
30,797 25,137 33,632 29,062 21,169 3,456
---------- ----------- ---------- ----------- --------- ----------
36,896,002 879,691,578 25,162,147 302,755,652 9,715,101 91,468,450
---------- ----------- ---------- ----------- --------- ----------
418,534 3,519,998 -- -- -- --
545,088 764,140 -- -- -- --
-- -- 5,026,536 -- -- --
-- -- 586 -- -- --
-- -- 15,390 -- -- --
89,027 4,516,389 42,559 256,886 18,453 --
569,378 16,169,118 2,041,513 -- -- --
28,613 150,538 -- 4,857 -- 114,496
1,809 42,894 643 10,940 399 1,781
9,906 486,004 781 6,253 -- 5,078
-- -- 86,877 1,345,614 35,198 270,616
2,469 2,969 1,970 2,470 1,970 1,469
512,868 -- 52 573 33,108 --
17,373 401,051 3,836 27,346 2,600 2,080
20,477 327,757 15,622 46,314 7,653 46,633
---------- ----------- ---------- ----------- --------- ----------
2,215,542 26,380,858 7,236,365 1,701,253 99,381 442,153
---------- ----------- ---------- ----------- --------- ----------
$34,680,460 $853,310,720 $17,925,782 $301,054,399 $9,615,720 $ 91,026,297
========== =========== ========== =========== ========= ==========
$31,889,896 $869,590,029 $23,871,765 $300,430,715 $9,110,628 $ 89,705,660
========== =========== ========== =========== ========= ==========
$ (193,768) $ (4,481,920) $ (90,380)** $ 565 $ 282 $ (1,756)**
(5,179,024) (26,188,822) (378,211) (44,483) (136,691) (6,745)
2,924,320 (27,784,308) 267,550 -- 280,108 --
26,352 687,583 17,782 3,011,026 7,716 910,348
37,102,580 911,078,187 18,109,041 298,087,291 9,464,305 90,124,450
---------- ----------- ---------- ----------- --------- ----------
$34,680,460 $853,310,720 $17,925,782 $301,054,399 $9,615,720 $ 91,026,297
========== =========== ========== =========== ========= ==========
$13.16 $12.41 $10.08 $1.00 $12.46 $1.00
====== ====== ====== ===== ====== ======
2,635,235 68,758,342 1,778,180 301,102,622 771,558 91,034,798
========== =========== ========== =========== ========= ==========
</TABLE>
------------------ 57 ------------------
<PAGE> 67
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 1995--(UNAUDITED)*
<TABLE>
<CAPTION>
GROWTH
FUND
-----------
<S> <C>
NET INVESTMENT INCOME:
INVESTMENT INCOME:
Interest.................................................................................... $ 6,650,988
Dividends (Net of foreign withholding taxes of $14, $10,551 and $82,164 for the Montgomery
Select 50 Fund, the Montgomery Global Opportunities Fund and the Montgomery Global
Communications Fund, respectively)........................................................ 3,117,741
-----------
Total Income.............................................................................. 9,768,729
-----------
EXPENSES:
Management fee (Note 2)..................................................................... 4,192,158
Custodian fee............................................................................... 122,409
Transfer agency and servicing fees.......................................................... 1,054,468
Administration fee (Note 2)................................................................. 285,736
Legal and audit fees........................................................................ 115,326
Trustees' fees.............................................................................. 5,072
Registration fees........................................................................... 52,664
Printing fees............................................................................... 182,119
Amortization of organization expenses (Note 1).............................................. 5,644
Other....................................................................................... 231,974
Interest expense............................................................................ --
Fees deferred and/or expenses absorbed by Manager (Note 2).................................. --
-----------
Total Expenses............................................................................ 6,247,570
-----------
NET INVESTMENT INCOME/(LOSS)................................................................ 3,521,159
-----------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized gain/(loss) from:
Security transactions..................................................................... 64,530,799
Forward foreign currency exchange contracts............................................... --
Futures contracts......................................................................... --
Foreign currency transactions............................................................. --
Securities sold short..................................................................... --
-----------
Net realized gain on investments during the period.......................................... 64,530,799
-----------
Net change in unrealized appreciation/(depreciation) of:
Securities................................................................................ 7,844,105
Forward foreign currency exchange contracts............................................... --
Futures contracts......................................................................... --
Securities sold short..................................................................... --
Foreign currency transactions and other assets............................................ --
-----------
Net unrealized appreciation of investments during the period................................ 7,844,105
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS............................................. 72,374,904
-----------
NET INCREASE IN NET ASSETS RESULTING IN OPERATIONS.......................................... $75,896,063
===========
</TABLE>
- ------------
* The Montgomery Select 50 Fund commenced operations on October 2, 1995.
------------------ 58 ------------------
<PAGE> 68
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
<TABLE>
<CAPTION>
EQUITY SELECT ASSET GLOBAL GLOBAL
MICRO CAP SMALL CAP INCOME 50 ALLOCATION OPPORTUNITIES COMMUNICATIONS
FUND FUND FUND FUND FUND FUND FUND
----------- ----------- ---------- ---------- ----------- ------------- --------------
<S> <C> <C> <C> <C> <C> <C>
$ 2,438,730 $ 540,238 $ 27,672 $ 71,392 $ 1,418,231 $ 6,278 $ 49,622
452,023 367,049 188,604 27,795 247,195 98,027 758,290
----------- ----------- ---------- ---------- ----------- ---------- -----------
2,890,753 907,287 216,276 99,187 1,665,426 104,305 807,912
----------- ----------- ---------- ---------- ----------- ---------- -----------
1,826,240 1,094,210 31,686 40,745 490,313 181,172 1,812,967
16,536 2,247 2,998 7,688 9,080 12,584 68,009
205,418 99,994 8,220 9,514 102,719 13,285 266,393
82,027 75,543 3,877 2,282 31,289 5,554 78,390
34,223 49,563 9,669 3,239 25,254 11,049 34,123
4,838 5,072 3,301 3,625 4,571 4,572 5,072
20,748 24,219 21,203 1,410 26,644 11,451 12,956
29,254 30,067 -- 3,550 27,639 4,006 52,408
2,661 6,528 2,579 3,108 6,012 5,698 7,643
66,358 61,671 2,937 4,741 26,378 13,694 117,430
-- -- -- -- 49,027 17,103 70,577
(161,045) -- (41,563) (21,229) (155,009) (104,347) (287,671)
----------- ----------- ---------- ---------- ----------- ---------- -----------
2,127,258 1,449,114 44,907 58,673 643,917 175,821 2,238,297
----------- ----------- ---------- ---------- ----------- ---------- -----------
763,495 (541,827) 171,369 40,514 1,021,509 (71,516) (1,430,385)
----------- ----------- ---------- ---------- ----------- ---------- -----------
2,257,575 18,749,053 174,529 542,505 3,867,058 742,732 12,434,082
-- -- -- (16,944) -- (71,394) (518,440)
-- -- -- -- 9,396 -- --
-- -- -- 6,188 -- 16,182 19,082
-- -- -- -- -- --
----------- ----------- ---------- ---------- ----------- ---------- -----------
2,257,575 18,749,053 174,529 531,749 3,876,454 687,520 11,934,724
----------- ----------- ---------- ---------- ----------- ---------- -----------
22,407,548 17,781,662 1,467,213 1,365,879 7,369,589 968,748 1,830,412
-- -- -- (893) -- 2,505 10,261
-- -- -- -- -- -- --
-- -- -- -- -- -- --
-- -- -- (108) -- (11,650) (90,956)
----------- ----------- ---------- ---------- ----------- ---------- -----------
22,407,548 17,781,662 1,467,213 1,364,878 7,369,589 959,603 1,749,717
----------- ----------- ---------- ---------- ----------- ---------- -----------
24,665,123 36,530,715 1,641,742 1,896,627 11,246,043 1,647,123 13,684,441
----------- ----------- ---------- ---------- ----------- ---------- -----------
$25,428,618 $35,988,888 $1,813,111 $1,937,141 $12,267,552 $1,575,607 $12,254,056
=========== =========== ========== ========== =========== ========== ===========
</TABLE>
------------------ 59 ------------------
<PAGE> 69
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 1995--(UNAUDITED)*
<TABLE>
<CAPTION>
INTERNATIONAL
GROWTH
FUND
-------------
<S> <C>
NET INVESTMENT INCOME:
INVESTMENT INCOME:
Interest..................................................................................... $ 19,132
Dividends (Net of foreign withholding taxes of $967, $7,624 and $607,036 for the
Montgomery International Growth Fund, Montgomery International Small Cap Fund and
Montgomery Emerging Markets Fund, respectively)............................................ 8,211
-----------
Total Income............................................................................... 27,343
-----------
EXPENSES:
Management fee (Note 2)...................................................................... 25,891
Custodian fee................................................................................ 10,795
Transfer agency and servicing fees........................................................... 3,977
Administration fee (Note 2).................................................................. 1,650
Legal and audit fees......................................................................... 7,853
Trustees' fees............................................................................... 3,683
Registration fees............................................................................ 14,697
Printing fees................................................................................ 814
Amortization of organization expenses (Note 1)............................................... 6,284
Other........................................................................................ 3,799
Interest expense............................................................................. --
Fees deferred and/or expenses absorbed by Manager (Note 2)................................... (40,582)
-----------
Total Expenses............................................................................. 38,861
-----------
NET INVESTMENT INCOME/(LOSS)................................................................. (11,518)
-----------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized gain/(loss) from:
Security transactions (Net of foreign capital gains tax of $291,538 for the
Montgomery Emerging Markets Fund)....................................................... (33,173)
Forward foreign currency exchange contracts................................................ 33,063
Futures contracts.......................................................................... --
Foreign currency transactions.............................................................. 3,480
Securities sold short...................................................................... --
-----------
Net realized gain/(loss) on investments during the period.................................... 3,370
-----------
Net change in unrealized appreciation/(depreciation) of:
Securities................................................................................. 610,011
Forward foreign currency exchange contracts................................................ 199
Futures contracts.......................................................................... --
Securities sold short...................................................................... --
Foreign currency transactions and other assets............................................. (695)
-----------
Net unrealized appreciation/(depreciation) of investments during the period.................. 609,515
-----------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS....................................... 612,885
-----------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.............................. $ 601,367
===========
</TABLE>
- ------------
* The Montgomery International Growth Fund commenced operations on July 3, 1995.
------------------ 60 ------------------
<PAGE> 70
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA
INTERNATIONAL EMERGING SHORT GOVERNMENT TAX-FREE CALIFORNIA
SMALL CAP MARKETS GOVERNMENT RESERVE INTERMEDIATE TAX-FREE MONEY
FUND FUND BOND FUND FUND BOND FUND FUND
------------- ------------ ---------- ---------- ------------ --------------
<S> <C> <C> <C> <C> <C>
$ 56,033 $ 1,714,106 $ 677,242 $9,178,291 $ 180,561 $ 1,601,631
119,825 6,004,788 -- -- -- --
----------- ----------- ---------- ---------- ----------- ----------
175,858 7,718,894 677,242 9,178,291 180,561 1,601,631
----------- ----------- ---------- ---------- ----------- ----------
345,705 5,151,141 44,965 1,061,291 18,189 364,752
25,579 1,123,849 1,333 6,807 -- 78
42,371 1,048,822 8,842 61,761 2,981 7,487
10,677 301,153 4,360 72,463 1,819 19,294
12,497 100,680 17,831 36,588 8,528 13,697
4,572 5,052 4,073 4,572 4,072 3,302
12,257 84,096 19,000 35,123 2,418 --
9,088 228,339 208 11,307 116 --
5,771 10,840 8,719 8,722 4,259 736
20,067 471,433 18,771 93,837 16,813 19,162
-- 18,885 84,493 -- -- --
(193,793) -- (74,143) (469,848) (37,318) (171,403)
----------- ----------- ---------- ---------- ----------- ----------
294,791 8,544,290 138,452 922,623 21,877 257,105
----------- ----------- ---------- ---------- ----------- ----------
(118,933) (825,396) 538,790 8,255,668 158,684 1,344,526
----------- ----------- ---------- ---------- ----------- ----------
1,381,893 (1,931,538) 123,330 (6,765) 6,133 (5,421)
(164,340) (1,401,417) -- -- -- --
-- -- 8,593 -- -- --
(5,250) (659,856) -- -- -- --
-- -- -- -- -- --
----------- ----------- ---------- ---------- ----------- ----------
1,212,303 (3,992,811) 131,923 (6,765) 6,133 (5,421)
----------- ----------- ---------- ---------- ----------- ----------
2,375,990 (56,506,972) 118,044 -- 241,277 --
8,867 (1,678) -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
(7,684) 13,069 -- -- -- --
----------- ----------- ---------- ---------- ----------- ----------
2,377,173 (56,495,581) 118,044 -- 241,277 --
----------- ----------- ---------- ---------- ----------- ----------
3,589,476 (60,488,392) 249,967 (6,765) 247,410 (5,421)
----------- ----------- ---------- ---------- ----------- ----------
$ 3,470,543 $(61,313,788) $ 788,757 $8,248,903 $ 406,094 $ 1,339,105
=========== =========== ========== ========== =========== ==========
</TABLE>
------------------ 61 ------------------
<PAGE> 71
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED DECEMBER 31, 1995--(UNAUDITED)*
<TABLE>
<CAPTION>
GROWTH
FUND
------------
<S> <C>
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income/(loss).............................................................. $ 3,521,159
Net realized gain on securities, forward foreign currency exchange contracts, futures
contracts,
securities sold short and foreign currency transactions during the period............... 64,530,799
Net unrealized appreciation of securities, forward foreign currency exchange contracts,
futures contracts, securities sold short, foreign currency transactions and net other
assets during the period................................................................ 7,844,105
------------
Net increase in net assets resulting from operations...................................... 75,896,063
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.............................................................. (6,831,015)
From net realized gains on investments.................................................. (63,292,297)
BENEFICIAL INTEREST TRANSACTIONS:
Net increase/(decrease) from beneficial interest transactions (Note 4).................... (25,113,958)
------------
Net increase/(decrease) in net assets..................................................... (19,341,207)
NET ASSETS:
Beginning of period....................................................................... 878,775,710
------------
End of period............................................................................. $859,434,503
============
Accumulated undistributed net investment income/(accumulated net investment loss)......... $ 382,340
============
</TABLE>
- ------------
* The Montgomery Select 50 Fund commenced operations on October 2, 1995.
<TABLE>
<CAPTION>
INTERNATIONAL
GROWTH
FUND
-------------
<S> <C>
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income/(loss)................................................................ $ (11,518)
Net realized gain/(loss) on securities, forward foreign currency exchange contracts, futures
contracts, securities sold short and foreign currency transactions during the period...... 3,370
Net unrealized appreciation/(depreciation) of securities, forward foreign currency exchange
contracts, futures contracts, securities sold short, foreign currency transactions and net
other assets during the period............................................................ 609,515
----------
Net increase/(decrease) in net assets resulting from operations............................. 601,367
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................................................................ --
From net realized gains on investments.................................................... --
BENEFICIAL INTEREST TRANSACTIONS:
Net increase/(decrease) from beneficial interest transactions (Note 4)...................... 8,062,017
----------
Net increase/(decrease) in net assets....................................................... 8,663,384
NET ASSETS:
Beginning of period......................................................................... --
----------
End of period............................................................................... $8,663,384
==========
Accumulated undistributed net investment income/(accumulated net investment loss)........... $ (11,518)
==========
</TABLE>
- ------------
* The Montgomery International Growth Fund commenced operations on July 3, 1995.
------------------ 62 ------------------
<PAGE> 72
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
<TABLE>
<CAPTION>
EQUITY SELECT ASSET GLOBAL GLOBAL
MICRO CAP SMALL CAP INCOME 50 ALLOCATION OPPORTUNITIES COMMUNICATIONS
FUND FUND FUND FUND FUND FUND FUND
------------ ------------ ----------- ----------- ------------ ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
$ 763,495 $ (541,827) $ 171,369 $ 40,514 $ 1,021,509 $ (71,516) $ (1,430,385)
2,257,575 18,749,053 174,529 531,749 3,876,454 687,520 11,934,724
22,407,548 17,781,662 1,467,213 1,364,878 7,369,589 959,603 1,749,717
------------ ------------ ----------- ----------- ----------- ----------- ------------
25,428,618 35,988,888 1,813,111 1,937,141 12,267,552 1,575,607 12,254,056
(1,525,243) -- (172,208) (52,300) (1,517,689) (80,874) --
(1,138,576) (20,796,826) (148,268) (15,696) (3,316,318) -- --
87,240,938 18,908,479 11,678,274 24,273,053 53,672,455 1,646,314 (2,103,516)
------------ ------------ ----------- ----------- ----------- ----------- ------------
110,005,737 34,100,541 13,170,909 26,142,198 61,106,000 3,141,047 10,150,540
162,949,496 202,398,841 6,382,618 -- 60,233,829 13,677,071 209,644,206
------------ ------------ ----------- ----------- ----------- ----------- ------------
$272,955,233 $236,499,382 $19,553,527 $26,142,198 $121,339,829 $ 16,818,118 $ 219,794,746
============ ============ =========== =========== =========== =========== ============
$ (57,473) $ (541,827) $ 141 $ (11,786) $ 13,413 $ (109,729) $ (1,797,292)
============ ============ =========== =========== =========== =========== ============
</TABLE>
<TABLE>
<CAPTION>
CALIFORNIA
INTERNATIONAL EMERGING SHORT GOVERNMENT TAX-FREE CALIFORNIA
SMALL CAP MARKETS GOVERNMENT RESERVE INTERMEDIATE TAX-FREE MONEY
FUND FUND BOND FUND FUND BOND FUND FUND
------------- ------------ ----------- ------------ ------------ --------------
<S> > <C> <C> <C> <C> <C>
$ (118,933) $ (825,396) $ 538,790 $ 8,255,668 $ 158,684 $ 1,344,526
1,212,303 (3,992,811) 131,923 (6,765) 6,133 (5,421)
2,377,173 (56,495,581) 118,044 -- 241,277 --
----------- ------------ ----------- ------------ ---------- -----------
3,470,543 (61,313,788) 788,757 8,248,903 406,094 1,339,105
(56,527) -- (541,976) (8,255,560) (158,719) (1,345,887)
-- -- -- -- -- --
2,750,851 (83,458,887) 585,598 42,105,032 4,215,175 26,253,182
----------- ------------ ----------- ------------ ---------- -----------
6,164,867 (144,772,675) 832,379 42,098,375 4,462,550 26,246,400
28,515,593 998,083,395 17,093,403 258,956,024 5,153,170 64,779,897
----------- ------------ ----------- ------------ ---------- -----------
$34,680,460 $853,310,720 $17,925,782 $301,054,399 $ 9,615,720 $ 91,026,297
=========== ============ =========== ============ ========== ===========
$ (193,768) $ (4,481,920) $ (90,380) $ 565 $ 282 $ (4,660)
=========== ============ =========== ============ ========== ===========
</TABLE>
------------------ 63 ------------------
<PAGE> 73
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
YEAR ENDED JUNE 30, 1995*
<TABLE>
<CAPTION>
GROWTH
FUND
------------
<S> <C>
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income/(loss).............................................................. $ 5,493,419
Net realized gain/(loss) on securities, forward foreign currency exchange contracts,
futures contracts, securities sold short and foreign currency transactions during the
year.................................................................................... 25,117,201
Net unrealized appreciation of securities, forward foreign currency exchange contracts,
futures contracts, securities sold short, foreign currency transactions and net other
assets during the year.................................................................. 99,934,770
------------
Net increase/(decrease) in net assets resulting from operations........................... 130,545,390
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.............................................................. (2,115,772)
In excess of net investment income...................................................... --
From net realized gains on investments.................................................. (2,056,942)
In excess of net realized gains on investments.......................................... --
From capital............................................................................ --
BENEFICIAL INTEREST TRANSACTIONS:
Net increase/(decrease) from beneficial interest transactions (Note 4).................... 603,300,386
------------
Net increase/(decrease) in net assets..................................................... 729,673,062
NET ASSETS:
Beginning of year......................................................................... 149,102,648
------------
End of year............................................................................... $878,775,710
============
Accumulated undistributed net investment income........................................... $ 3,692,196
============
</TABLE>
- ------------
* The Montgomery Micro Cap Fund and the Montgomery Equity Income Fund commenced
operations on December 30, 1994 and September 30, 1994, respectively.
<TABLE>
<CAPTION>
INTERNATIONAL
SMALL CAP
FUND
-------------
<S> <C>
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income...................................................................... $ 298,709
Net realized loss on securities, forward foreign currency exchange contracts, futures
contracts, securities sold short and foreign currency transactions during the year....... (6,513,569)
Net unrealized appreciation/(depreciation) of securities, forward foreign currency exchange
contracts, futures contracts, securities sold short, foreign currency transactions and
net other assets during the year......................................................... 5,715,641
-----------
Net increase/(decrease) in net assets resulting from operations............................ (499,219)
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income............................................................... (4,674)
In excess of net investment income....................................................... --
From net realized gains on investments................................................... --
In excess of net realized gains on investments........................................... --
From capital............................................................................. --
BENEFICIAL INTEREST TRANSACTIONS:
Net increase/(decrease) from beneficial interest transactions (Note 4)..................... (5,535,750)
-----------
Net increase/(decrease) in net assets...................................................... (6,039,643)
NET ASSETS:
Beginning of period........................................................................ 34,555,236
-----------
End of period.............................................................................. $ 28,515,593
===========
Accumulated undistributed net investment income/(accumulated net investment loss).......... $ (18,308)
===========
</TABLE>
- ------------
* The Montgomery California Tax-Free Money Fund commenced operations on
September 30, 1994.
------------------ 64 ------------------
<PAGE> 74
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
<TABLE>
<CAPTION>
EQUITY ASSET GLOBAL GLOBAL
MICRO CAP SMALL CAP INCOME ALLOCATION OPPORTUNITIES COMMUNICATIONS
FUND FUND FUND FUND FUND FUND
------------ ------------ ---------- ----------- ------------- --------------
<S> <C> <C> <C> <C> <C>
$ 704,275 $ (1,190,171) $ 86,962 $ 556,718 $ 136,864 $ (230,457)
312,720 6,527,411 39,974 1,156,097 (1,468,276) (19,650,990)
14,712,719 32,375,979 318,095 3,378,657 2,069,410 36,382,328
------------ ------------ ---------- ----------- ----------- ------------
15,729,714 37,713,219 445,031 5,091,472 737,998 16,500,881
-- -- (86,042) (59,071) -- --
-- -- -- -- -- --
-- (12,839,859) -- (35,860) (519,575) --
-- -- -- -- -- (523,480)
-- -- -- -- -- --
147,219,782 (31,537,136) 6,023,629 53,689,330 954,427 (41,218,767)
------------ ------------ ---------- ----------- ----------- ------------
162,949,496 (6,663,776) 6,382,618 58,685,871 1,172,850 (25,241,366)
-- 209,062,617 -- 1,547,958 12,504,221 234,885,572
------------ ------------ ---------- ----------- ----------- ------------
$162,949,496 $202,398,841 $6,382,618 $60,233,829 $ 13,677,071 $209,644,206
============ ============ ========== =========== =========== ============
$ 704,275 $ -- $ 980 $ 509,593 $ 42,661 $ (366,907)
============ ============ ========== =========== =========== ============
</TABLE>
<TABLE>
<CAPTION>
CALIFORNIA
EMERGING SHORT GOVERNMENT TAX-FREE CALIFORNIA
MARKETS GOVERNMENT BOND RESERVE INTERMEDIATE TAX-FREE MONEY
FUND FUND FUND BOND FUND FUND
------------ --------------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
$ 1,967,991 $ 1,271,461 $ 12,335,736 $ 325,756 $ 1,328,088
(1,014,943) (97,852) (12,875) (87,106) (1,324)
(9,853,241) 295,502 -- 197,541 --
------------ ------------ ----------- ----------- -----------
(8,900,193) 1,469,111 12,322,861 436,191 1,326,764
-- (1,253,298) (12,336,143) (325,716) (1,328,088)
-- -- -- -- (395)
(26,061,048) -- -- (1,870) --
(22,548,326) -- -- --
-- (20,117) -- -- --
400,632,672 (5,039,019) 47,840,494 (6,511,663) 64,781,616
------------ ------------ ----------- ----------- -----------
343,123,105 (4,843,323) 47,827,212 (6,403,058) 64,779,897
654,960,290 21,936,726 211,128,812 11,556,228 64,781,616
------------ ------------ ----------- ----------- -----------
$998,083,395 $17,093,403 $258,956,024 $ 5,153,170 $129,561,513
============ ============ =========== =========== ===========
$ (3,656,524) $ (87,194) $ 457 $ 317 $ (395)
============ ============ =========== =========== ===========
</TABLE>
------------------ 65 ------------------
<PAGE> 75
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
SHORT GOVERNMENT FUND
STATEMENT OF CASH FLOWS
DECEMBER 31, 1995--(UNAUDITED)
<TABLE>
<S> <C> <C>
Cash flows from operating activities:
Interest received....................................................... $ 754,652
Operating expense paid.................................................. (107,134)
Proceeds from sales of long-term securities and purchased options....... 27,781,228
Net proceeds from futures transactions.................................. 8,593
Purchases of short-term securities...................................... (2,014,065)
Purchases of long-term securities....................................... (28,595,532)
------------
CASH USED BY OPERATING ACTIVITIES......................................... $(2,172,258)
Cash flows from financing activities:
Proceeds received from subscriptions.................................... 8,363,970
Payments on shares redeemed............................................. (7,964,922)
Cash provided from reverse repurchase agreement......................... 980,000
Dollar roll deferred fee income......................................... 30,742
Cash dividends paid*.................................................... (42,118)
Reverse repurchase agreement and dollar roll interest expenses.......... (79,140)
------------
CASH PROVIDED BY FINANCING ACTIVITIES..................................... 1,288,532
-----------
Decrease in cash.......................................................... (883,726)
Cash at beginning of period............................................... 883,674
-----------
(Due to Custodian) at end of period....................................... $ (52)
===========
RECONCILIATION OF NET INCREASE IN NET ASSETS
FROM OPERATIONS TO CASH USED BY OPERATING ACTIVITIES:
Net increase in net assets resulting from operations...................... $ 788,757
Increase in investments................................................. $ (4,359,931)
Increase in interest receivable......................................... (96,862)
Increase in other assets................................................ (53,888)
Increase in receivables for investments sold............................ (562,287)
Increase in payable for investments purchased........................... 2,026,747
Increase in accrued expenses............................................ 713
Increase in interest expense............................................ 84,493
------------
CASH USED BY OPERATING ACTIVITIES......................................... $(2,172,258)
===========
</TABLE>
- ------------
* Non cash activities include reinvestment of dividends of $418,910.
------------------ 66 ------------------
<PAGE> 76
----------------------------------------------------
MONTGOMERY GROWTH FUND
----------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
12/31/95 ENDED ENDED
(UNAUDITED) 06/30/95 06/30/94*
----------- -------- ---------
<S> <C> <C> <C>
Net asset value--beginning of period............................ $ 19.16 $ 15.27 $ 12.00
-------- -------- --------
Net investment income........................................... 0.09 0.12 0.04
Net realized and unrealized gain on investments................. 1.66 3.91 3.31 ++
-------- -------- --------
Net increase in net assets resulting from
investment operations......................................... 1.75 4.03 3.35
-------- -------- --------
Distributions:
Dividends from net investment income.......................... (0.17) (0.07) (0.01)
Distributions from net realized capital gains................. (1.54) (0.07) --
Distributions in excess of net realized capital gains......... -- -- (0.07)
-------- -------- --------
Total distributions............................................. (1.71) (0.14) (0.08)
-------- -------- --------
Net asset value--end of period.................................. $ 19.20 $ 19.16 $ 15.27
======== ======== ========
Total return**.................................................. 9.26% 26.53% 27.98%
======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)............................ $ 859,435 $878,776 $149,103
Ratio of net investment income to average net assets............ 0.80%+ 0.98% 1.09%+
Ratio of operating expenses to average net assets............... 1.42%+ 1.50% 1.49%+
Portfolio turnover rate......................................... 62.74% 128.36% 110.65%
Net investment income before deferral of fees by Manager........ -- -- $ 0.03
Operating expense ratio before deferral of fees by Manager...... -- -- 1.79%+
</TABLE>
- ------------
* The Fund commenced operations on September 30, 1993.
** Total return represents aggregate total return for the periods indicated.
+ Annualized.
++ The amount shown in this caption for each share outstanding throughout the
period may not accord with the change in the aggregate gains and losses in
the portfolio securities because of the timing of purchases and withdrawal of
shares in relation to the fluctuating market values of the portfolio.
The accompanying notes are an integral part of these financial statements.
------------------ 67 ------------------
<PAGE> 77
-------------------------------------------------------
MONTGOMERY SMALL CAP FUND
-------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS PERIOD
ENDED YEAR ENDED JUNE 30, ENDED
12/31/95 ------------------------------------------------- JUNE 30,
(UNAUDITED) 1995 1994 1993 1992 1991 1991*
----------- -------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value--beginning
of period................ $ 17.11 $ 15.15 $ 16.83 $ 12.90 $ 13.24 $ 10.05 $ 10.62
-------- -------- -------- -------- -------- ------- -------
Net investment loss........ (0.04) (0.10) (0.12) (0.11) (0.06) (0.06) (0.07)
Net realized and unrealized
gain/(loss) on
investments.............. 2.99 3.04 (0.47) 4.04 3.25 3.27 2.71
-------- -------- -------- -------- -------- ------- -------
Net increase/(decrease) in
net assets resulting from
investment operations.... 2.95 2.94 (0.59) 3.93 3.19 3.21 2.64
-------- -------- -------- -------- -------- ------- -------
Distributions:
Dividends from net
realized capital
gains................. (1.78) (0.98) (1.09) -- (2.75) (0.02) (0.02)
Distributions from
capital............... -- -- -- -- (0.78) -- --
-------- -------- -------- -------- -------- ------- -------
Total distributions........ (1.78) (0.98) (1.09) -- (3.53) (0.02) (0.02)
-------- -------- -------- -------- -------- ------- -------
Net asset value--end of
period................... $ 18.28 $ 17.11 $ 15.15 $ 16.83 $ 12.90 $ 13.24 $ 13.24
======== ======== ======== ======== ======== ======= =======
Total return**............. 18.14% 20.12% (1.59)% 30.47% 27.69% 31.97% 24.89%
======== ======== ======== ======== ======== ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period
(in 000's)............... $ 236,499 $202,399 $209,063 $219,968 $176,588 $27,181 $27,181
Ratio of net investment
loss to average net
assets................... (0.49)%+ (0.57)% (0.68)% (0.69)% (0.44)% (0.47)% (0.45)%+
Ratio of operating expenses
to average net assets.... 1.32%+ 1.37% 1.35% 1.40% 1.50% 1.50% 1.45%+
Portfolio turnover rate.... 43.31% 85.07% 95.22% 130.37% 80.67% 194.63% 188.16%
</TABLE>
- ------------
* The Fund's shares became available for investment by the public on July 13,
1990.
** Total return represents aggregate total return for the periods indicated.
+ Annualized.
------------------ 68 ------------------
<PAGE> 78
----------------------------------------------------------------
MONTGOMERY EQUITY INCOME FUND
----------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED PERIOD
12/31/95 ENDED
(UNAUDITED) 06/30/95*
----------- ---------
<S> <C> <C>
Net asset value--beginning of period.................................................................. $ 13.38 $ 12.00
------- ------
Net investment income................................................................................. 0.19 0.31
Net realized and unrealized gain on investments....................................................... 2.10 1.38
------- ------
Net increase in net assets resulting from investment operations....................................... 2.29 1.69
------- ------
Distributions:
Dividends from net investment income................................................................ (0.19) (0.31)
Distributions from net realized capital gains....................................................... (0.12) --
------- ------
Total distributions................................................................................... (0.31) (0.31)
------- ------
Net asset value--end of period........................................................................ $ 15.36 $ 13.38
======= ======
Total return**........................................................................................ 17.20% 14.26%
======= ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).................................................................. $19,554 $ 6,383
Ratio of net investment income to average net assets.................................................. 3.24%+ 4.06%+
Ratio of operating expenses to average net assets..................................................... 0.85%+ 0.84%+
Portfolio turnover rate............................................................................... 19.42% 29.46%
Net investment income before deferral of fees by Manager.............................................. $ 0.14 $ 0.13
Operating expense ratio before deferral of fees by Manager............................................ 1.63%+ 3.16%+
</TABLE>
- ------------
* The Fund commenced operations on September 30, 1994.
** Total return represents aggregate total return for the periods indicated.
+ Annualized.
-------------------------------------------------------
MONTGOMERY MICRO CAP FUND
-------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED PERIOD
12/31/95 ENDED
(UNAUDITED)# 06/30/95*#
------------ ----------
<S> <C> <C>
Net asset value--beginning of period................................................................ $ 13.75 $ 12.00
-------- --------
Net investment income............................................................................... 0.05 0.09
Net realized and unrealized gain on investments..................................................... 1.64 1.66
-------- --------
Net increase in net assets resulting from investment operations..................................... 1.69 1.75
-------- --------
Distributions
Dividends from net investment income.............................................................. (0.09) --
Distributions from net realized capital gains..................................................... (0.07) --
-------- --------
Total distributions................................................................................. (0.16) --
-------- --------
Net asset value--end of period...................................................................... $ 15.28 $ 13.75
======== ========
Total return**...................................................................................... 12.29% 14.58%
======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................................................................ $272,955 $162,949
Ratio of net investment income to average net assets................................................ 0.63%+ 1.40%+
Ratio of operating expenses to average net assets................................................... 1.75%+ 1.75%+
Portfolio turnover rate............................................................................. 43.99% 36.81%
Net investment income before deferral of fees by Manager............................................ $ 0.02 $ 0.07
Operating expense ratio before deferral of fees by Manager.......................................... 1.88%+ 2.07%+
</TABLE>
- ------------
* The Fund commenced operations on December 30, 1994.
** Total return represents aggregate total return for the periods indicated.
+ Annualized.
# Per shares numbers have been calculated using the average shares method,
which more appropriately represent the per share data for the period since
the use of the undistributed income method did not accord with the results of
operations.
------------------ 69 ------------------
<PAGE> 79
-----------------------------------------------------
MONTGOMERY SELECT 50 FUND
-----------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT THE PERIOD.
<TABLE>
<CAPTION>
PERIOD
ENDED
12/31/95
(UNAUDITED)*
------------
<S> <C>
Net asset value--beginning of period............................................................................... $ 12.00
-------
Net investment income.............................................................................................. 0.04
Net realized and unrealized gain on investments.................................................................... 1.84
-------
Net increase in net assets resulting from investment operations.................................................... 1.88
-------
Distributions:
Dividends from net investment income............................................................................. (0.04)
Distributions from net realized capital gains.................................................................... (0.01)
-------
Total distributions................................................................................................ (0.05)
-------
Net asset value--end of period..................................................................................... $ 13.83
=======
Total return**..................................................................................................... 15.74%
=======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)............................................................................... $ 26,142
Ratio of net investment income to average net assets............................................................... 1.24%+
Ratio of operating expenses to average net assets.................................................................. 1.80%+
Portfolio turnover rate............................................................................................ 49.71%
Net investment income before deferral of fees by Manager........................................................... $ 0.02
Operating expense ratio before deferral of fees by Manager......................................................... 2.44%+
</TABLE>
- ------------
* The Fund commenced operations on October 2, 1995.
** Total return represents aggregate total return for the period indicated.
+ Annualized.
-----------------------------------------------------
MONTGOMERY GLOBAL OPPORTUNITIES FUND
-----------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
12/31/95 ENDED ENDED
(UNAUDITED) 06/30/95 06/30/94*
----------- -------- ---------
<S> <C> <C> <C>
Net asset value--beginning of period...................................................... $ 13.25 $ 12.92 $ 12.00
------- ------- -------
Net investment income..................................................................... (0.07) 0.13 0.01
Net realized and unrealized gain on investments........................................... 1.51 0.70 0.91
------- ------- -------
Net increase in net assets resulting from investment operations........................... 1.44 0.83 0.92
------- ------- -------
Distributions from net realized capital gains............................................. (0.07) (0.50) --
------- ------- -------
Net asset value--end of period............................................................ $ 14.62 $ 13.25 $ 12.92
======= ======= =======
Total return**............................................................................ 10.89% 6.43% 7.67%
======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)...................................................... $16,818 $13,677 $12,504
Ratio of net investment income to average net assets...................................... (0.85)%+ 1.03% 0.02%+
Ratio of operating expenses to average net assets#........................................ 1.90%+ 1.90% 1.90%+
Portfolio turnover rate................................................................... 87.00% 118.75% 67.22%
Net investment income/(loss) before deferral of fees by Manager........................... $ (0.16) $ (0.01) $ (0.05)
Operating expense ratio before deferral of fees, excluding interest expense, by Manager... 3.14%+ 2.99% 1.11%+
</TABLE>
- ------------
* The Fund commenced operations on September 30, 1993.
** Total return represents aggregate total return for the periods indicated.
+ Annualized.
# Annualized expense ratios including interest expense and taxes for the period
ended December 31, 1995, the year ended June 30, 1995 and the period ended
June 30, 1994 were 2.10%, 1.91% and 1.99%, respectively.
------------------ 70 ------------------
<PAGE> 80
----------------------------------------------------------------------
MONTGOMERY ASSET ALLOCATION FUND
----------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
12/31/95 ENDED ENDED
(UNAUDITED)# 06/30/95 06/30/94*
------------ -------- ---------
<S> <C> <C> <C>
Net asset value--beginning of period.......................... $ 16.33 $ 12.24 $ 12.00
-------- ------- -------
Net investment income......................................... 0.19 0.25 0.06
Net realized and unrealized gain on investments............... 2.14 4.11 0.18
-------- ------- -------
Net increase in net assets resulting from investment
operations.................................................. 2.33 4.36 0.24
-------- ------- -------
Distributions:
Dividends from net investment income........................ (0.25) (0.17) --
Distributions from net realized capital gains............... (0.55) (0.10) --
-------- ------- -------
Total distributions........................................... (0.80) (0.27) --
-------- ------- -------
Net asset value--end of period................................ $ 17.86 $ 16.33 $ 12.24
======== ======= =======
Total return**................................................ 14.50% 35.99% 2.00%
======== ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).......................... $121,340 $60,234 $ 1,548
Ratio of net investment income to average net assets.......... 2.23%+ 3.43% 2.54%+
Ratio of operating expenses to average net assets##........... 1.30%+ 1.30% 1.30%+
Portfolio turnover rate....................................... 106.95% 95.75% 190.94%
Net investment income/(loss) before deferral of fees and
absorption of expenses by Manager........................... $ 0.10 $ 0.19 $ (0.11)
Operating expense ratio before deferral of fees and absorption
of expenses, excluding interest expense, by Manager......... 1.74%+ 2.07% 8.86%+
</TABLE>
- ------------
* The Fund commenced operations on March 31, 1994.
** Total return represents aggregate total return for the periods indicated.
+ Annualized.
# Per shares numbers have been calculated using the average shares method which
more appropriately represents the per share data for the period since the use
of the undistributed income method did not accord with the results of
operations.
## Annualized expense ratios including interest expense for the period ended
December 31, 1995, the year ended June 30, 1995 and the period ended June 30,
1994 were 1.40%, 1.31% and 1.43%, respectively.
------------------ 71 ------------------
<PAGE> 81
- --------------------------------------------------------------------------------
MONTGOMERY GLOBAL COMMUNICATIONS FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED JUNE 30, PERIOD
12/31/95 --------------------- ENDED
(UNAUDITED) 1995 1994 06/30/93*
----------- -------- -------- ---------
<S> <C> <C> <C> <C>
Net asset value--beginning of period................ $ 15.42 $ 14.20 $ 12.45 $ 12.00
-------- -------- -------- ------
Net investment loss................................. (0.11) (0.03) (0.05) 0.00#
Net realized and unrealized gain on investments..... 1.03 1.28 1.80++ 0.45
-------- -------- -------- ------
Net increase in net assets resulting from investment
operations........................................ 0.92 1.25 1.75 0.45
-------- -------- -------- ------
Distributions in excess of net realized gains on
investment........................................ -- (0.03) -- --
-------- -------- -------- ------
Net asset value--end of period...................... $ 16.34 $ 15.42 $ 14.20 $ 12.45
======== ======== ======== ======
Total return**...................................... 5.97% 8.83% 14.06% 3.75%
======== ======== ======== ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................ $ 219,795 $209,644 $234,886 $ 4,670
Ratio of net investment loss to average net
assets............................................ (1.25)%+ (0.10)% (0.46)% (0.05)%+
Ratio of operating expenses to average net
assets##.......................................... 1.90%+ 1.90% 1.90% 1.90%+
Portfolio turnover rate............................. 55.38% 50.17% 29.20% 0.00%
Net investment loss before deferral of fees and/or
absorption of expenses by Manager................. $ (0.13) $ (0.07) $ (0.06) $ (0.04)
Operating expense ratio before deferral of fees
and/or absorption of expenses, excluding interest
expense, by Manager............................... 2.15%+ 2.08% 1.99% 8.96%+
</TABLE>
- ------------
* The Fund commenced operations on June 1, 1993.
** Total return represents aggregate total return for the periods indicated.
+ Annualized.
++ The amount shown in this caption for each share outstanding throughout the
period may not accord with the change in the aggregate gains and losses in
the portfolio securities because of the timing of purchases and withdrawal of
shares in relation to the fluctuating market values of the portfolio.
# Amount represents less than $0.01 per share.
## Annualized expense ratios including interest expense for the period ended
December 31, 1995, the year ended June 30, 1995 and the period ended June 30,
1994 were 1.96%, 1.91% and 1.94%, respectively.
------------------ 72 ------------------
<PAGE> 82
- --------------------------------------------------------------------------------
MONTGOMERY INTERNATIONAL GROWTH FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT THE PERIOD.
<TABLE>
<CAPTION>
PERIOD
ENDED
12/31/95
(UNAUDITED)*
------------
<S> <C>
Net asset value--beginning of period............................................................................... $12.00
--------
Net investment loss................................................................................................ (0.02)
Net realized and unrealized gain on investments.................................................................... 1.39
--------
Net increase in net assets resulting from investment operations.................................................... 1.37
--------
Net asset value--end of period..................................................................................... $13.37
========
Total return**..................................................................................................... 11.42%
========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)............................................................................... $8,663
Ratio of net investment loss to average net assets................................................................. (0.49)%+
Ratio of operating expenses to average net assets.................................................................. 1.65%+
Portfolio turnover rate............................................................................................ 95.17%
Net investment loss before deferral of fees by Manager............................................................. $(0.15)
Operating expense ratio before deferral of fees by Manager......................................................... 3.37%+
</TABLE>
- ------------
* The Fund commenced operations on July 3, 1995.
** Total return represents aggregate total return for the period indicated.
+ Annualized.
- --------------------------------------------------------------------------------
MONTGOMERY INTERNATIONAL SMALL CAP FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
12/31/95 ENDED ENDED
(UNAUDITED) 06/30/95 06/30/94*
----------- -------- ---------
<S> <C> <C> <C>
Net asset value--beginning of period.................................................... $ 11.75 $ 12.02 $ 12.00
------- ------- -------
Net investment (loss)................................................................... (0.04) 0.12 0.00#
Net realized and unrealized gain/(loss) on investments.................................. 1.47 (0.39) 0.02
------- ------- -------
Net increase/(decrease) in net assets resulting from investment operations.............. 1.43 (0.27) 0.02
------- ------- -------
Distributions from net investment income................................................ (0.02) (0.00)# --
------- ------- -------
Net asset value--end of period.......................................................... $ 13.16 $ 11.75 $ 12.02
======= ======= =======
Total return**.......................................................................... 12.19% (2.23)% 0.17%
======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).................................................... $34,680 $28,516 $34,555
Ratio of net investment income to average net assets.................................... (0.77)%+ 0.95% 0.04%+
Ratio of operating expenses to average net assets....................................... 1.90%+ 1.91% 1.99%+##
Portfolio turnover rate................................................................. 98.17% 156.13% 123.50%
Net investment income/(loss) before deferral of fees by Manager......................... $ (0.12) $ 0.05 $ (0.02)
Operating expense ratio before deferral of fees, excluding interest expense, by
Manager............................................................................... 3.14%+ 2.50% 2.32%+
</TABLE>
- ------------
* The Fund commenced operations on September 30, 1993.
** Total return represents aggregate total return for the periods indicated.
+ Annualized.
# Amount represents less than $0.01 per share.
## Annualized expense ratio including interest expense for the period ended June
30, 1994 was 1.90%.
------------------ 73 ------------------
<PAGE> 83
------------------------------------------------------------------------
MONTGOMERY EMERGING MARKETS FUND
------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED JUNE 30, PERIOD
12/31/95 -------------------------------- ENDED
(UNAUDITED)++ 1995++ 1994 1993 06/30/92*
------------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value--beginning of period..... $ 13.17 $ 13.68 $ 11.07 $ 9.96 $ 10.00
-------- -------- -------- -------- -------
Net investment/(loss) income............. (0.01) (0.03) (0.03) 0.07 0.03
Net realized and unrealized gain/(loss)
on investments......................... (0.75) 0.25## 2.92 1.05 (0.07)
-------- -------- -------- -------- -------
Net increase/(decrease) in net assets
resulting from investment operations... (0.76) 0.28 2.89 1.12 (0.04)
-------- -------- -------- -------- -------
Distributions:
Dividends from net investment income... -- -- -- (0.01) --
Distributions from net realized capital
gains............................... -- (0.42) (0.28) (0.00)# --
Distributions in excess of net realized
capital gains....................... -- (0.37) -- -- --
-------- -------- -------- -------- -------
Total distributions...................... -- (0.79) (0.28) (0.01) --
-------- -------- -------- -------- -------
Net asset value--end of period........... $ 12.41 $ 13.17 $ 13.68 $ 11.07 $ 9.96
======== ======== ======== ======== =======
Total return**........................... (5.77)% 1.40% 26.10% 11.27% (0.40)%
======== ======== ======== ======== =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)..... $ 853,311 $998,083 $654,960 $206,617 $54,625
Ratio of net investment income/(loss) to
average net assets###.................. (0.17)%+ 0.23% (0.14)% 0.66% 1.70%+
Ratio of operating expenses to average
net assets............................. 1.76%+ 1.80% 1.85% 1.90% 1.90%+
Portfolio turnover....................... 54.84% 92.09% 63.79% 21.40% 0.19%
Net investment income before deferral of
fees by Manager........................ -- -- -- $ 0.06 $ 0.01
Operating expense ratio before deferral
of fees by Manager..................... -- -- -- 1.93% 2.80%+
</TABLE>
- ------------
* The Fund commenced operations on March 1, 1992.
** Total return represents aggregate total return for the periods indicated.
+ Annualized.
++ Per shares numbers have been calculated using the average shares method,
which more appropriately represents the per share data for the period since
the use of the undistributed income method did not accord with the results
of operations.
# Amount represents less than $0.01 per share.
## The amount shown in this caption for each share outstanding throughout the
period may not accord with the change in the aggregate gains and losses in
the portfolio securities because of the timing of purchases and withdrawal
of shares in relation to the fluctuating market values of the portfolio.
### Annualized expense ratio including interest expense for the period ended
December 31, 1995 was 1.76%.
------------------ 74 ------------------
<PAGE> 84
- --------------------------------------------------------------------------------
MONTGOMERY SHORT GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
12/31/95 -------------------------------
(UNAUDITED) 1995 1994 1993*
----------- ------- ------- -------
<S> <C> <C> <C> <C>
Net asset value--beginning of period.................... $ 9.95 $ 9.80 $ 10.23 $ 10.00
------- ------- ------- -------
Net investment income................................... 0.30 0.62 0.61 0.33
Net realized and unrealized gain/(loss) on
investments........................................... 0.13 0.16 (0.34) 0.23
------- ------- ------- -------
Net increase in net assets resulting from investment
operations............................................ 0.43 0.78 0.27 0.56
------- ------- ------- -------
Distributions:
Dividends from net investment income.................. (0.30) (0.62) (0.56) (0.33)
Distributions in excess of net investment income...... -- -- (0.07) --
Distributions in excess of net realized capital
gains.............................................. -- -- (0.07) --
Distributions from capital............................ -- (0.01) -- 0.00#
------- ------- ------- -------
Total distributions..................................... (0.30) (0.63) (0.70) (0.33)
------- ------- ------- -------
Net asset value--end of period.......................... $ 10.08 $ 9.95 $ 9.80 $ 10.23
------- ------- ------- -------
Total return**.......................................... 4.41% 8.28% 2.49% 5.66%
======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).................... $17,926 $17,093 $21,937 $22,254
Ratio of net investment income to average net assets.... 5.97%+ 6.41% 5.93% 6.02%+
Ratio of operating expenses to average net assets##..... 0.60%+ 0.47% 0.25% 0.22%+
Portfolio turnover...................................... 151.06% 284.23% 603.07% 213.22%
Net investment income before deferral of fees and
absorption of expenses by Manager..................... $ 0.26 $ 0.54 $ 0.51 $ 0.27
Ratio of operating expense to average net assets before
deferral of fees and absorption of expenses, excluding
interest expense, by Manager.......................... 1.42%+ 1.33% 1.29% 2.07%+
</TABLE>
- ------------
* The Fund commenced operations on December 18, 1992.
** Total return represents aggregate total return for the periods indicated.
+ Annualized.
# Amount represents less than $0.01 per share.
## Annualized expense ratios including interest expense for the period ended
December 31, 1995 and the years ended June 30, 1995 and June 30, 1994 were
1.54%, 1.38% and 0.71%, respectively.
------------------ 75 ------------------
<PAGE> 85
-----------------------------------------------------------------------------
MONTGOMERY GOVERNMENT RESERVE FUND
-----------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED JUNE 30, PERIOD
12/31/95 --------------------- ENDED
(UNAUDITED) 1995 1994 06/30/93*
----------- -------- -------- ---------
<S> <C> <C> <C> <C>
Net asset value--beginning of period.......................................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- --------
Net investment income......................................................... 0.029 0.049 0.029 0.024
Net realized and unrealized gain on investments#.............................. 0.000 0.000 0.000 0.000
-------- -------- -------- --------
Net increase in net assets resulting from investment operations............... 0.029 0.049 0.029 0.024
-------- -------- -------- --------
Dividends from net investment income.......................................... (0.029) (0.049) (0.029) (0.024)
-------- -------- -------- --------
Net asset value--end of period................................................ $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ========
Total return**................................................................ 2.73% 4.97% 2.96% 2.41%
======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).......................................... $ 301,054 $258,956 $211,129 $124,795
Ratio of net investment income to average net assets.......................... 5.35%+ 4.92% 2.99% 2.96%+
Ratio of operating expenses to average net assets............................. 0.60%+ 0.63%## 0.60% 0.38%+
Net investment income before deferral of fees by Manager...................... $ 0.026 $ 0.047 $ 0.028 $ 0.013
Ratio of operating expense to average net assets before absorption of
expenses, excluding interest expense, by Manager............................ 0.90%+ 0.79% 0.71% 0.77%+
</TABLE>
- ------------
* The Fund commenced operations on September 14, 1992.
** Total return represents aggregate total return for the periods indicated.
+ Annualized.
# Amount represents less than $0.01 per share.
## Annualized operating expense ratio including interest expense for the year
ended June 30, 1995 was 0.60%.
- --------------------------------------------------------------------------------
MONTGOMERY CALIFORNIA TAX-FREE MONEY FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED PERIOD
12/31/95 ENDED
(UNAUDITED) 06/30/95*
----------- ---------
<S> <C> <C>
Net asset value--beginning of period................................................................... $ 1.00 $ 1.00
------- -------
Net investment income.................................................................................. 0.016 0.027
Net realized and unrealized gain on investments........................................................ -- 0.000
------- -------
Net increase in net assets resulting from investment operations........................................ 0.016 0.027
------- -------
Distributions:
Dividends from net investment income................................................................. (0.016) (0.027)
------- -------
Dividends in excess of net investment income......................................................... (0.000) (0.000)#
------- -------
(0.016) (0.027)
------- -------
Net asset value--end of period......................................................................... $ 1.00 $ 1.00
======= =======
Total return**......................................................................................... 1.58% 2.68%
======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................................................................... $91,023 $64,780
Ratio of net investment income to average net assets................................................... 3.13%+ 3.55%+
Ratio of operating expenses to average net assets...................................................... 0.60%+ 0.33%+
Net investment income before deferral of fees and absorption of expenses by Manager.................... $ 0.014 $ 0.023
Operating expense ratio before deferral of fees and absorption of expenses by Manager.................. 1.00%+ 0.86%+
</TABLE>
- ------------
* The Fund commenced operations on September 30, 1994.
** Total return represents aggregate total return for the period indicated.
+ Annualized.
# Amount represents less than $0.001 per share.
------------------ 76 ------------------
<PAGE> 86
- --------------------------------------------------------------------------------
MONTGOMERY CALIFORNIA TAX-FREE INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED JUNE
ENDED 30,
12/31/95 ------------------
(UNAUDITED) 1995 1994*
----------- ------ -------
<S> <C> <C> <C>
Net asset value--beginning of period................................. $ 12.04 $11.79 $ 12.00
------ ------ -------
Net investment income................................................ 0.27 0.44 0.41
Net realized and unrealized gain/(loss) on investments............... 0.42 0.25 (0.21)
------ ------ -------
Net increase in net assets resulting from investment operations...... 0.69 0.69 0.20
------ ------ -------
Distributions:
Dividends from net investment income............................... (0.27) (0.44) (0.41)
Distributions from net realized capital gains...................... -- (0.00)# --
------ ------ -------
Total distributions.................................................. (0.27) (0.44) (0.41)
------ ------ -------
Net asset value--end of period....................................... $ 12.46 $12.04 $ 11.79
====== ====== =======
Total return**....................................................... 5.77% 6.03% 1.65%
====== ====== =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................................. $ 9,616 $5,153 $11,556
Ratio of net investment income to average net assets................. 4.35%+ 3.71% 3.44%
Ratio of operating expenses to average net assets.................... 0.60%+ 0.56% 0.23%
Portfolio turnover................................................... 28.07% 37.93% 77.03%
Net investment income before deferral of fees and absorption of
expenses by Manager................................................ $ 0.20 $ 0.34 $ 0.25
Operating expense ratio before deferral of fees and absorption of
expenses by Manager................................................ 1.62%+ 1.41% 1.63%
</TABLE>
- ------------
* The Fund commenced operations on July 1, 1993.
** Total return represents aggregate total return for the periods indicated.
# Amount represents less than $0.01 per share.
------------------ 77 ------------------
<PAGE> 87
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES:
The Montgomery Funds and The Montgomery Funds II (individually, the "Trust"
and, collectively, the "Trusts") are registered under the Investment Company Act
of 1940, as amended (the "1940 Act"), as diversified, open-end management
investment companies. As of December 31, 1995, the Trusts had eighteen publicly
offered series: Montgomery Growth Fund, Montgomery Micro Cap Fund, Montgomery
Small Cap Fund, Montgomery Equity Income Fund, Montgomery Select 50 Fund,
Montgomery Asset Allocation Fund, Montgomery Global Opportunities Fund,
Montgomery Global Communications Fund, Montgomery International Growth Fund,
Montgomery International Small Cap Fund, Montgomery Emerging Markets Fund,
Montgomery Short Government Bond Fund, Montgomery Government Reserve Fund,
Montgomery California Tax-Free Intermediate Bond Fund, Montgomery California
Tax-Free Money Fund, Montgomery Small Cap II Fund, Montgomery Advisors Emerging
Markets Fund and Montgomery Institutional Series: Emerging Markets Portfolio
(individually, a "Fund" and, collectively, the "Funds").
The Montgomery Funds were organized as a Massachusetts business trust on
May 10, 1990 and commenced operations with the Montgomery Small Cap Fund. The
Montgomery Funds II were organized as a Delaware business trust on September 8,
1993 and commenced operations with the Montgomery Institutional Series: Emerging
Markets Portfolio. Prior to the public offerings of shares of each Fund, a
limited number of shares were sold to Montgomery Asset Management, L.P. and/or
affiliated persons of Montgomery Asset Management in private placement
offerings. Otherwise, no Fund had any significant operations prior to the date
on which it commenced operations (i.e., commenced selling shares to the public).
On December 1, 1995, Montgomery Growth Fund, Montgomery Equity Income Fund,
Montgomery Emerging Markets Fund, Montgomery Asset Allocation Fund, Montgomery
Short Government Bond Fund and Montgomery Government Reserve Fund commenced
offering Class P Shares. As of December 31, 1995, no Class P Shares had been
sold. Any shares outstanding prior to December 1, 1995 were designated as Class
R Shares.
The preparation of financial statements in accordance with Generally
Accepted Accounting Principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates. Information
presented in these financial statements pertains to all the above Funds except
for Montgomery Small Cap II Fund, Montgomery Advisors Emerging Markets Fund and
Montgomery Institutional Series: Emerging Markets Portfolio which are presented
under separate covers.
The following is a summary of significant accounting policies.
A. PORTFOLIO VALUATION--For the Montgomery Growth Fund, the Montgomery
Micro Cap Fund, the Montgomery Small Cap Fund, the Montgomery Equity Income
Fund, the Montgomery Select 50 Fund, the Montgomery Asset Allocation Fund, the
Montgomery Short Government Bond Fund and the Montgomery California Tax-Free
Intermediate Bond Fund, portfolio securities are valued using current market
valuations: either the last reported sales price, or, in the case of securities
for which there is no reported last sale and in the case of fixed income
securities, the mean of the closing bid and asked prices.
For the Montgomery International Growth Fund, Montgomery International
Small Cap Fund and the Montgomery Emerging Markets Fund, portfolio securities
which are traded primarily on foreign securities exchanges or for which market
quotations are readily available are generally valued at the last reported sales
price on the respective exchanges or markets, except that when an occurrence
subsequent to the time that a value was so established is likely to have changed
said value, the fair value of those securities will be determined by
consideration of other factors by or under the direction of the Board of
Trustees or its delegates. Securities traded on the over-the-counter market are
valued at the mean between the last available bid and ask price prior to the
time of valuation.
For the Montgomery Global Opportunities Fund and the Montgomery Global
Communications Fund, portfolio securities are valued using current market
valuations: either the last reported sales price, or, in the case of securities
for which there is no reported last sale and in the case of fixed income
securities, the mean of the closing bid and asked prices. The value of portfolio
securities which are traded primarily on foreign securities exchanges are
generally valued at the immediate preceding closing values of such securities on
the respective exchanges or
------------------ 78 ------------------
<PAGE> 88
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) (CONTINUED)
markets, except that when an occurrence subsequent to the time that a value was
so established is likely to have changed said value, the fair value of those
securities will be determined by consideration of other factors by or under the
Board of Trustees or its delegates.
Securities, including American Depositary Receipts and European Depositary
Receipts, which are traded on securities exchanges, are valued at the last sale
price on the exchange on which such securities are traded, as of the close of
business on the day the securities are being valued or, lacking any reported
sales and in the case of fixed income securities, at the mean between the last
available bid and asked price. In cases where securities are traded on more than
one exchange, the securities are valued on the exchange determined by the
Manager to be the primary market. Securities traded in the over-the-counter
market are valued at the mean between the last available bid and asked price
prior to the time of valuation. Securities and assets for which market
quotations are not readily available (including restricted securities which are
subject to limitations as to their sale) are valued at fair value as determined
in good faith by or under the supervision of the Trusts in accordance with
methods which are authorized by the Trust's Board of Trustees.
For the Montgomery Government Reserve Fund and the Montgomery California
Tax-Free Money Fund, portfolio securities are valued at amortized cost, which
means they are valued at acquisition cost (as adjusted for amortization of
premium or discount) rather than at current market value. Amortized cost
involves valuing a portfolio security instrument at its cost, initially, and
thereafter, assuming a constant amortization to maturity of any discount or
premium, regardless of the impact of fluctuating interest rates on the market
value of the instrument. Calculations are made to compare the value of a Fund's
investments valued at amortized cost with market values. Market valuations are
obtained by using actual quotations provided by market makers, estimates of
market value, or values obtained from yield data relating to classes of money
market instruments.
For each of the Funds, securities for which market quotations are not
readily available are valued at fair market value as determined in good faith by
or under the supervision of the Trusts' officers in accordance with methods
which are authorized by the Trusts' Board of Trustees. Short-term securities
with maturities of 60 days or less (excluding the Montgomery Government Reserve
Fund and the Montgomery California Tax-Free Money Fund which value all
securities at amortized cost) are carried at amortized cost, which approximates
market value.
B. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS--Certain Funds may engage in
forward foreign currency contracts. Forward foreign currency contracts are
valued at the forward rate and are marked-to-market daily. The change in market
value is recorded by a Fund as an unrealized gain or loss.
When the contract is closed, a Fund records a realized gain or loss equal
to the difference between the value of the contract at the time it was opened
and the value at the time it was closed. Forward foreign currency contracts have
been used solely to establish a rate of exchange for settlement of transactions.
Although forward foreign currency contracts limit the risk of loss due to a
decline in the value of the hedged currency, they also limit any potential gain
that might result should the value of the currency increase. In addition, a Fund
could be exposed to risks if the counterparties to the contracts are unable to
meet the terms of their contracts.
C. FOREIGN CURRENCY--Foreign currencies, investments and other assets and
liabilities are translated into U.S. dollars at the exchange rates prevailing at
the end of the period, and purchases and sales of investment securities and
income and expenses are translated on the respective dates of such transactions.
Unrealized gains and losses which result from changes in foreign currency
exchange rates on investments have been included in the unrealized
appreciation/(depreciation) of securities. Net realized foreign currency gains
and losses resulting from movement in exchange rates include foreign currency
gains and losses between trade date and settlement date on investment securities
transactions, foreign currency transactions and the difference between the
amounts of interest and dividends recorded on the books of a Fund and the amount
actually received and the portion of foreign currency gains and losses related
to fluctuations in exchange rates between the initial purchase trade date and
subsequent sale trade date.
D. REPURCHASE AGREEMENTS--Each Fund may engage in repurchase agreement
transactions individually or jointly through a joint repurchase account with
other series of the Trusts pursuant to a joint repurchase agreement. Under the
terms of a typical repurchase agreement, a Fund writes a financial contract with
a counterparty and takes possession of a government debt obligation as
collateral. A Fund also agrees with the counterparty to allow the counterparty
to repurchase the financial contract at a specified date and price, thereby
------------------ 79 ------------------
<PAGE> 89
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) (CONTINUED)
determining the yield during the Fund's holding period. This arrangement results
in a fixed rate of return that is not subject to market fluctuations during a
Fund's holding period. The value of the collateral is at least equal at all
times to the total amount of the repurchase obligations, including interest. In
the event of counterparty default, a Fund has the right to use the collateral to
offset losses incurred. There could be potential loss to the Fund in the event a
Fund is delayed or prevented from exercising its rights to dispose of the
collateral securities, including the risk of a possible decline in the value of
the underlying securities during the period while a Fund seeks to assert its
rights. A Fund's investment manager, acting under the supervision of the Board
of Trustees, reviews the value of the collateral and the creditworthiness of
those banks and dealers with which a Fund enters into repurchase agreements to
evaluate potential risks. A Fund may also participate on an individual or joint
basis in tri-party repurchase agreements which involves a counterparty and a
custodian bank.
E. DOLLAR ROLL TRANSACTIONS--The Asset Allocation Fund and the Short
Government Bond Fund may enter into dollar roll transactions with financial
institutions to take advantage of opportunities in the mortgage market. A dollar
roll transaction involves a sale by the Fund of securities with a simultaneous
agreement to repurchase substantially similar securities at an agreed upon price
at a future date. The securities repurchased will bear the same interest as
those sold, but generally will be collateralized by the different pools of
mortgages with different prepayment histories. During the period between the
sale and repurchase, a Fund will not be entitled to receive interest and
principal payments on the securities sold. A Fund will invest the proceeds of
the sale in additional instruments, the income from which, together with any
additional fee income received for the dollar roll, may or may not generate
income for the Fund exceeding the yield on the securities sold. Dollar roll
transactions involve the risk that the market value of the securities sold by
the Fund may decline below the repurchase price of those securities.
F. SHORT SALES/FORWARD COMMITMENTS--Certain Funds may seek to hedge
investments through forward commitments to sell high grade liquid debt
securities. In some cases, a Fund may enter into forward commitments to sell
securities the Fund does not yet own (but has the right to acquire). Such
forward commitments effectively constitute a form of short sale and have been
limited to date to the Montgomery Short Government Bond Fund and to securities
issued by the Federal Home Loan Mortgage Corporation ("FHLMC") in connection
with certain FHLMC conversion programs. To complete such a transaction, a Fund
must obtain a security that is convertible into the security it has made a
commitment to deliver. Forward commitments involve transaction costs and entail
risk to the extent interest rates move in a direction different from that
anticipated. There is a risk that the market price will increase for the
security it must purchase. Whenever a Fund engages in this type of transaction,
it maintains other high quality liquid debt securities equal in value to the
forward commitment in a segregated account with its custodian.
G. REVERSE REPURCHASE AGREEMENTS--The Montgomery Growth Fund, the
Montgomery Micro Cap Fund, the Montgomery Small Cap Fund, the Montgomery Equity
Income Fund, the Montgomery Select 50 Fund, the Montgomery Asset Allocation
Fund, the Montgomery International Growth Fund, the Montgomery International
Small Cap Fund, the Montgomery Global Opportunities Fund, the Montgomery
Government Reserve Fund, the Montgomery California Tax-Free Intermediate Bond
Fund and the Montgomery California Tax-Free Money Fund may enter into reverse
repurchase agreement transactions with member banks on the Federal Reserve Bank
of New York's list of reporting dealers for leverage purposes. A reverse
repurchase agreement involves a sale by the Fund of securities that it holds
with an agreement by a Fund to repurchase the same securities at an agreed upon
price and date. A reverse repurchase agreement involves the risk that the market
value of the securities sold by a Fund may decline below the repurchase price of
the securities. In the event the buyer of securities under a reverse repurchase
agreement files for bankruptcy or becomes insolvent, a Fund's use of the
proceeds of the agreement may be restricted pending a determination by the
party, or its trustee or receiver, whether to enforce a Fund's obligation to
repurchase the securities. Each Fund will establish a segregated account with
its custodian in which a Fund will maintain cash, U.S. government securities or
other liquid high grade debt obligations equal in value to its obligations with
respect to reverse repurchase agreements.
H. REVERSE DOLLAR ROLL TRANSACTIONS--The Montgomery Asset Allocation Fund
and the Montgomery Short Government Bond Fund may enter into reverse dollar roll
transactions. When a Fund engages in a reverse dollar roll, it purchases a
security from a financial institution and concurrently agrees to resell a
similar security to that institution at a later date at an agreed-upon price.
Under the 1940 Act, reverse dollar roll
------------------ 80 ------------------
<PAGE> 90
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) (CONTINUED)
transactions are considered to be loans by a Fund and must be fully
collateralized. If the seller defaults on its obligation to repurchase the
underlying security, a Fund may experience delay or difficulty in exercising its
rights to realize upon the security, may incur a loss if the value of the
security declines and may incur disposition costs in liquidating the security.
I. FUTURES CONTRACTS--Upon entering into a futures contract, a Fund (the
Montgomery Government Reserve Fund and Montgomery California Tax-Free Money Fund
do not enter into futures contracts) is required to deposit with the custodian
on behalf of the broker an amount of cash or cash equivalents equal to a certain
percentage of the contract amount. This is known as the "initial margin."
Subsequent payments ("variation margin") are made or received by a Fund each
day, depending on the daily fluctuation of the value of the contract.
There are several risks in connection with the use of futures contracts as
a hedging device. The change in value of futures contracts primarily corresponds
with the value of their underlying instruments, which may not correlate with the
change in value of the hedged investments. In addition, there is the risk a Fund
may not be able to enter into a closing transaction because of an illiquid
secondary market.
J. DIVIDENDS AND DISTRIBUTIONS--Dividends, if any, from net investment
income of the Montgomery Growth Fund, the Montgomery Micro Cap Fund, the
Montgomery Small Cap Fund, the Montgomery Select 50 Fund, the Montgomery Asset
Allocation Fund, the Montgomery Global Opportunities Fund, the Montgomery Global
Communications Fund, the Montgomery International Growth Fund, the Montgomery
International Small Cap Fund and the Montgomery Emerging Markets Fund are
declared and paid at least annually. Dividends from net investment income of the
Montgomery Short Government Bond Fund, the Montgomery Government Reserve Fund,
the Montgomery California Tax-Free Intermediate Bond Fund and the Montgomery
California Tax-Free Money Fund are declared daily and paid monthly. Dividends
from net investment income of the Montgomery Equity Income Fund are declared and
paid quarterly.
Distributions of any short-term capital gains earned by a Fund are
distributed no less frequently than annually. Additional distributions of net
investment income and capital gains for each Fund may be made in order to avoid
the application of a 4% non-deductible excise tax on certain undistributed
amounts of ordinary income and capital gains. Income distributions and capital
gain distributions are determined in accordance with income tax regulations
which may differ from generally accepted accounting principles. These
differences are primarily due to differing treatments of income and gains on
various investment securities held by a Fund, timing differences and differing
characterization of distributions made by a Fund.
K. SECURITIES TRANSACTIONS AND INVESTMENT INCOME--Securities transactions
are recorded on a trade-date basis. Realized gain and loss from securities
transactions are recorded on the specific identified cost basis. Dividend income
is recognized on the ex-dividend date. Dividend income on foreign securities is
recognized as soon as a Fund is informed of the ex-dividend date. Interest
income, including, where applicable, amortization of discount on short-term
investments, is recognized on the accrual basis. Securities purchased on a
when-issued or delayed delivery basis may be settled a month or more after the
trade date; interest income is not accrued until settlement date. The Funds
instruct their custodian to segregate assets in a separate account with a
current value at least equal to the amount of its when issued purchase
commitments.
The Montgomery Small Cap Fund has invested in pay-in-kind ("PIK") bonds.
PIK bonds pay interest through the issuance of additional bonds. PIK bonds are
recorded at fair market value on the date of payment and carry a risk in that
unlike bonds which pay interest in cash throughout the period to maturity, the
Fund will realize no cash until the cash payment date unless a portion of such
securities are sold and, if the issuer defaults, the Fund may obtain no return
at all on its investment.
L. FEDERAL INCOME TAXES--Each Fund has qualified and it is the intention of
each Fund to continue to qualify and elect treatment as a regulated investment
company under Subchapter M of the Internal Revenue Code of 1986, as amended (the
"Code"), by complying with the provisions available to certain investment
companies, as defined in applicable sections of the Code, and to make
distributions of taxable income to shareholders sufficient to relieve each Fund
from all or substantially all federal income taxes.
------------------ 81 ------------------
<PAGE> 91
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) (CONTINUED)
M. ORGANIZATION COSTS--Expenses incurred in connection with the
organization of each Fund, including the fees and expenses of registering and
qualifying its shares for distribution under federal and state securities
regulations, are being amortized on a straight-line basis over a period of five
years from the following dates:
<TABLE>
<S> <C>
Growth Fund.......................................................................... September 30, 1993
Micro Cap Fund....................................................................... December 30, 1994
Equity Income Fund................................................................... September 30, 1994
Select 50 Fund....................................................................... September 30, 1995
Asset Allocation Fund................................................................ March 31, 1994
Global Opportunities Fund............................................................ September 30, 1993
Global Communications Fund........................................................... August 1, 1993
International Growth Fund............................................................ July 3, 1995
International Small Cap Fund......................................................... September 30, 1993
Emerging Markets Fund................................................................ March 1, 1992
Short Government Bond Fund........................................................... December 18, 1992
Government Reserve Fund.............................................................. September 14, 1992
California Tax-Free Intermediate Bond Fund........................................... July 1, 1993
California Tax-Free Money Fund....................................................... September 30, 1994
</TABLE>
All such costs for the Montgomery Small Cap Fund have been fully amortized.
N. CASH--Cash, as used in the Statement of Cash Flows, is the amount
reported in the Statement of Assets and Liabilities for the Montgomery Asset
Allocation Fund and the Montgomery Short Government Bond Fund. The Fund issues
and redeems its shares, invests in securities and distributes dividends from net
investment income and net realized gains (which are either paid in cash or
reinvested at the discretion of shareholders). These activities are reported in
the Statement of Changes in Net Assets. Information on cash payments is
presented in the Statement of Cash Flows. Accounting practices that do not
affect reporting activities on a cash basis include unrealized gain or loss on
investment securities and accretion income recognized on investment securities.
Amounts reported as Due to Custodian on the Statement of Assets and Liabilities
reflect cash and foreign currency overdrafts.
O. EXPENSES--Most expenses of a Trust can be directly attributed to a Fund.
Expenses which cannot be directly attributed are apportioned between the Funds
in a Trust.
2. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH
AFFILIATES AND OTHER CONTRACTUAL COMMITMENTS:
a. Montgomery Asset Management, L.P. is the Funds' Manager (the "Manager").
The Manager, a California limited partnership, is an investment adviser
registered with the Securities and Exchange Commission under the Investment
Advisers Act of 1940, as amended (the "Advisers Act"). The general partner of
the Manager is Montgomery Asset Management, Inc. The sole limited partner of the
Manager is Montgomery Securities, the Funds' principal underwriter and
distributor. Under the Advisers Act, both Montgomery Asset Management, Inc. and
Montgomery Securities may be deemed controlling persons of the Manager. Although
the operations and management of the Manager are independent from those of
Montgomery Securities, it is expected that the Manager may draw upon the
research and administrative resources of Montgomery Securities at its discretion
in a manner consistent with applicable regulations.
Pursuant to investment management agreements ("Investment Management
Agreements"), the Manager provides each Fund with advice on buying and selling
securities, manages the investments of each Fund including the placement of
orders for portfolio transactions, furnishes each Fund with office space and
certain administrative services, and provides the personnel needed by the Trusts
with respect to the Manager's responsibilities under such agreement. The Manager
has agreed to reduce some or all of its management fee or absorb fund expenses
if necessary to keep each Fund's annual operating expenses, exclusive of
interest and taxes, at or below the maximum allowed by applicable state expense
limitations or the following percentages of each Fund's average net assets,
whichever is lower: 1.50% for the Montgomery Growth Fund; 1.75% for the
Montgomery Micro Cap Fund; 1.40% for the Montgomery Small Cap Fund; 0.85% for
the Montgomery Equity Income Fund; 1.80% for the
------------------ 82 ------------------
<PAGE> 92
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) (CONTINUED)
Montgomery Select 50 Fund; 1.30% for the Montgomery Asset Allocation Fund; 1.90%
for the Montgomery Global Opportunities Fund, the Montgomery Global
Communications Fund; 1.65% for the Montgomery International Growth Fund, the
Montgomery International Small Cap Fund; and 1.80% for the Montgomery Emerging
Markets Fund, 0.60% for the Montgomery Government Reserve Fund and the
Montgomery California Tax-Free Money Fund; and 0.70% for the Montgomery Short
Government Bond Fund and the Montgomery California Tax-Free Intermediate Bond
Fund. Any reductions or absorptions made to a Fund by the Manager are subject to
recovery within the following two years (three years for the Montgomery Asset
Allocation Fund) provided a Fund is able to affect such reimbursement and remain
in compliance with applicable expense limitations. The Manager may terminate
these reductions or absorptions at any time.
Montgomery Asset Management, L.P. serves as the Funds' administrator (the
"Administrator"). The Administrator performs services with regard to various
aspects of each Fund's administrative operations.
As compensation, each Fund has accrued a monthly management and
administration fee (accrued daily) based upon the average daily net assets of
each Fund at the following effective annual rates:
<TABLE>
<CAPTION>
MANAGEMENT ADMINISTRATION
NAME OF FUND FEE FEE
------------ ---------- --------------
<S> <C> <C>
Growth Fund.................................................................... 0.95% 0.07%
Micro Cap Fund................................................................. 1.50 0.07
Small Cap Fund................................................................. 1.00 0.07
Equity Income Fund............................................................. 0.60 0.07
Select 50 Fund................................................................. 1.25 0.07
Asset Allocation Fund.......................................................... 1.07 0.07
Global Opportunities Fund...................................................... 2.16 0.07
Global Communications Fund..................................................... 1.59 0.07
International Growth Fund...................................................... 1.09 0.07
International Small Cap Fund................................................... 2.22 0.07
Emerging Markets Fund.......................................................... 1.06 0.06
Short Government Bond Fund..................................................... 0.50 0.05
Government Reserve Fund........................................................ 0.69 0.05
California Tax-Free Intermediate Bond Fund..................................... 0.50 0.05
California Tax-Free Money Fund................................................. 0.71 0.05
</TABLE>
The Manager recouped previously deferred fees and/or absorbed expenses
during the six months ended December 31, 1995. These amounts have been included
with current year management fees in the Statement of Operations and are part of
the effective rates shown above. The amounts recouped during the six months
ended December 31, 1995 were $158,785, $124,429, $76,825, $387,886, $151,912,
$474,297, and $193,349, for the Montgomery Micro Cap Fund, the Montgomery Asset
Allocation Fund, the Montgomery Global Opportunities Fund, the Montgomery Global
Communications Fund, the Montgomery International Small Cap Fund, the Montgomery
Government Reserve Fund and the Montgomery California Tax-Free Money Fund,
respectively.
For the six months ended December 31, 1995, the Manager deferred fees
and/or absorbed expenses as follows:
<TABLE>
<CAPTION>
FEES EXPENSES
DEFERRED ABSORBED
-------- --------
<S> <C> <C>
Micro Cap Fund........................................................................ $161,045 --
Equity Income Fund.................................................................... 31,686 $ 9,877
Select 50 Fund........................................................................ 21,229 --
Asset Allocation Fund................................................................. 155,009 --
Global Opportunities Fund............................................................. 104,347 --
Global Communications Fund............................................................ 287,671 --
International Growth Fund............................................................. 25,891 14,691
International Small Cap Fund.......................................................... 193,793 --
Short Government Bond Fund............................................................ 44,965 29,179
Government Reserve Fund............................................................... 469,848 --
California Tax-Free Intermediate Bond Fund............................................ 18,189 19,129
California Tax-Free Money Fund........................................................ 171,403 --
</TABLE>
------------------ 83 ------------------
<PAGE> 93
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) (CONTINUED)
As of December 31, 1995, the deferred management fees and absorbed expenses
subject to recoupment are $161,045, $91,216, $21,229, $155,009, $172,205,
$287,671, $40,582, $225,894, $488,199, $469,848, $250,599 and $176,981 for the
Montgomery Micro Cap Fund, the Montgomery Equity Income Fund, the Montgomery
Select 50 Fund, the Montgomery Asset Allocation Fund, the Montgomery Global
Opportunities Fund, the Montgomery Global Communications Fund, the Montgomery
International Growth Fund, the Montgomery International Small Cap Fund, the
Montgomery Short Government Bond Fund, the Montgomery Government Reserve Fund,
the Montgomery California Tax-Free Intermediate Bond Fund and the Montgomery
California Tax-Free Money Fund, respectively.
b. Certain officers and Trustees of the Trusts are, with respect to the
Trusts' Manager and/or principal underwriter, "affiliated persons" as defined in
the 1940 Act. Each Trustee who is not an "affiliated person" will receive an
annual retainer and quarterly meeting fee totaling $30,000 per annum, as well as
reimbursement for expenses, for service as a Trustee of all three Trusts advised
by the Manager ($25,000 of which will be allocated to the Montgomery Funds).
c. For the six months ended December 31, 1995, the Funds' securities
transactions generated commissions of $8,393,584 of which $108,736 was paid to
Montgomery Securities.
d. The Class R Shares of the Funds have no sales load and do not pay
distribution (Rule 12b-1) fees to their distributor. Therefore, Montgomery
Securities has received no direct compensation for serving as the Funds'
principal underwriter and distributor.
e. At December 31, 1995, Montgomery Global Communications Fund owned 90,000
shares of Montgomery Emerging Communications Fund which has the same investment
manager as the Trust. For the six months ended December 31, 1995, the Montgomery
Global Communications Fund received no dividend income from the Montgomery
Emerging Communications Fund.
f. Certain Funds are parties to agreements with financial intermediaries
and recordkeepers related to the Funds' participation in various purchase,
marketplace and retirement programs. The Funds that participate in the programs
make payments to the financial intermediaries and recordkeepers for certain
services provided to shareholders who own shares of the Funds through such
programs. These fees are paid for shareholder servicing and recordkeeping and
are reflected in the Funds' financial statement as "servicing fees." The Manager
may make additional payments to Schwab in connection with the Funds'
participation in these programs. The following Funds participate in one or more
of these programs: Montgomery Growth Fund; Montgomery Micro Cap Fund; Montgomery
Small Cap Fund; Montgomery Equity Income Fund; Montgomery Select 50 Fund;
Montgomery Asset Allocation Fund; Montgomery Global Opportunities Fund;
Montgomery Global Communications Fund; Montgomery International Growth Fund,
Montgomery International Small Cap Fund; Montgomery Emerging Markets Fund;
Montgomery Short Government Bond Fund and Montgomery California Tax-Free
Intermediate Bond Fund.
3. SECURITIES TRANSACTIONS:
a. The aggregate amount of purchases and sales of long-term securities,
excluding long-term U.S. Government securities, during the six months ended
December 31, 1995 were:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
Growth Fund................................................................... $404,910,798 $506,429,323
Micro Cap Fund................................................................ 162,775,045 76,089,268
Small Cap Fund................................................................ 90,660,626 91,198,089
Equity Income Fund............................................................ 11,736,030 1,933,723
Select 50 Fund................................................................ 23,308,310 4,454,369
Asset Allocation Fund......................................................... 82,697,711 35,224,894
Global Opportunities Fund..................................................... 15,256,604 14,320,559
Global Communications Fund.................................................... 109,209,534 121,867,574
International Growth Fund..................................................... 10,412,835 3,833,916
International Small Cap Fund.................................................. 28,401,547 29,704,288
Emerging Markets Fund......................................................... 494,733,711 582,104,856
Short Government Bond Fund.................................................... 1,117,733 235,437
California Tax-Free Intermediate Bond Fund.................................... 6,055,513 1,983,294
</TABLE>
------------------ 84 ------------------
<PAGE> 94
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) (CONTINUED)
The aggregate amount of purchases and sales of long-term U.S. Government
securities, during the six months ended December 31, 1995, were:
<TABLE>
<CAPTION>
PURCHASES SALES
----------- ------------
<S> <C> <C>
Growth Fund.................................................................... -- $136,000,000
Asset Allocation Fund.......................................................... $63,016,980 60,447,033
Global Opportunities Fund...................................................... 17,317 17,317
International Small Cap Fund................................................... 264,466 259,762
Short Government Bond Fund..................................................... 29,504,546 30,114,953
</TABLE>
b. At December 31, 1995, aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost and aggregate
gross unrealized depreciation for all securities in which there was an excess of
tax cost over value were as follows:
<TABLE>
<CAPTION>
TAX BASIS TAX BASIS
UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION
------------ ------------
<S> <C> <C>
Growth Fund.................................................................... $129,406,370 $ 21,180,063
Micro Cap Fund................................................................. 42,613,197 5,492,930
Small Cap Fund................................................................. 70,608,835 7,717,325
Equity Income Fund............................................................. 1,785,308 --
Select 50 Fund................................................................. 1,556,212 190,333
Asset Allocation Fund.......................................................... 12,713,766 1,938,816
Global Opportunities Fund...................................................... 2,374,329 289,681
Global Communications Fund..................................................... 41,011,980 9,575,118
International Growth Fund...................................................... 761,725 151,714
International Small Cap Fund................................................... 3,793,629 864,207
Emerging Markets Fund.......................................................... 56,255,248 83,972,088
Short Government Bond Fund..................................................... 269,352 1,802
California Tax-Free Intermediate Bond Fund..................................... 280,315 207
</TABLE>
c. Information regarding transactions under dollar roll transactions is as
follows:
<TABLE>
<CAPTION>
AVERAGE
MAXIMUM AVERAGE AVERAGE DEBT
AMOUNT AMOUNT AMOUNT SHARES PER SHARE
OUTSTANDING OUTSTANDING OUTSTANDING OUTSTANDING OUTSTANDING
DURING AS OF DURING DURING DURING
NAME OF FUND PERIOD 12/31/95 PERIOD PERIOD PERIOD
- ------------ ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Asset Allocation Fund.................................. $5,041,875 $9,190,625 $3,841,820 5,266,071 $0.73
Short Government Bond Fund............................. 2,062,188 2,062,188 1,536,958 1,796,507 0.86
</TABLE>
The average amount outstanding during the period was calculated by totaling
borrowings at the end of each day and dividing the sum by the number of days in
the six months ended December 31, 1995.
Interest income earned for the six months ended December 31, 1995 by the
Montgomery Asset Allocation Fund and the Montgomery Short Government Bond Fund
under dollar roll transactions aggregated $38,914 and $6,055, respectively.
------------------ 85 ------------------
<PAGE> 95
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) (CONTINUED)
Information regarding borrowing under reverse repurchase agreements is as
follows:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------- ----------
<S> <C> <C>
Reverse Repurchase Agreements outstanding at December 31, 1995:
ASSET ALLOCATION FUND
$3,048,750 Reverse Repurchase Agreement with Barclays Bank, dated 12/29/95 bearing 5.400% to be
repurchased at $3,050,579 on 01/02/96, collateralized by $3,000,000 U.S. Treasury Notes,
5.875% due 11/15/05...................................................................... $3,048,750
SHORT GOVERNMENT BOND FUND
5,000,000 Reverse Repurchase Agreement with Barclays Bank, dated 12/29/95 bearing 5.900% to be
repurchased at $5,003,278 on 01/02/96, collateralized by $20,598,000 U.S. Treasury Bond,
5.500% due 11/15/98...................................................................... 5,000,000
</TABLE>
<TABLE>
<CAPTION>
AVERAGE
MAXIMUM AVERAGE AVERAGE DEBT
AMOUNT AMOUNT SHARES PER SHARE
OUTSTANDING OUTSTANDING OUTSTANDING OUTSTANDING
DURING DURING DURING DURING
NAME OF FUND PERIOD PERIOD PERIOD PERIOD
- ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Asset Allocation Fund.............................................. $8,130,000 $1,753,404 5,266,071 $0.33
Short Government Bond Fund......................................... 5,985,000 2,854,321 1,796,507 1.59
</TABLE>
The average interest rate approximated 4.775% and 4.61% for the Montgomery
Asset Allocation Fund and the Montgomery Short Government Bond Fund
respectively, during the period. The average amount outstanding during the
period was calculated by adding the borrowings at the end of each day and
dividing the sum by the number of days in the six months ended December 31,
1995.
Interest expense for the six months ended December 31, 1995 on borrowings
by the Montgomery Asset Allocation Fund and the Montgomery Short Government Bond
Fund under reverse repurchase agreements aggregated $49,027 and $84,493,
respectively.
d. The Montgomery Global Opportunities Fund, the Montgomery Global
Communications Fund, the Montgomery International Growth Fund, the Montgomery
International Small Cap Fund, Montgomery Select 50 Fund, and the Montgomery
Emerging Markets Fund regularly trade in forward foreign currency exchange
contracts with off balance sheet risk in the normal course of its investing
activities in order to manage exposure to market risks.
------------------ 86 ------------------
<PAGE> 96
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) (CONTINUED)
The schedule of forward foreign currency exchange contracts at December 31,
1995 was as follows:
<TABLE>
<CAPTION>
CONTRACT
VALUE VALUE
DATE (NOTE 1)
-------- ----------
<S> <C> <C>
SELECT 50 FUND:
Forward Foreign Currency Exchange Contracts to Buy:
59,160 Great Britian Pound................................................................... 01/02/96 $ 91,874
849,647 Hong Kong Dollar..................................................................... 01/02/96 109,880
98,685,570 Italian Lira...................................................................... 01/03/96 62,210
106,497 German Deutschemark.................................................................. 01/03/96 74,265
15,037,630 Japanese Yen...................................................................... 01/04/96 145,690
--------
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE
CONTRACTS TO BUY:
(Contract cost $484,812)................................................................. $ 483,919
========
GLOBAL OPPORTUNITIES FUND:
Forward Foreign Currency Exchange Contracts to Sell:
119,378 Singapore Dollars.................................................................... 01/03/96 $ 84,404
6,830,660 Japanese Yen....................................................................... 01/04/96 66,178
131,171 Singapore Dollars.................................................................... 01/04/96 92,747
--------
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE
CONTRACTS TO SELL:
(Contract cost $243,779)................................................................. $ 243,329
========
GLOBAL COMMUNICATIONS FUND:
Forward Foreign Currency Exchange Contracts to Buy:
38,262,240 Japanese Yen...................................................................... 01/04/96 $ 370,697
19,517,276 Japanese Yen...................................................................... 01/05/96 189,114
--------
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE
CONTRACTS TO BUY:
(Contract cost $563,419)................................................................. $ 559,811
========
Forward Foreign Currency Exchange Contracts to Sell:
(Contract cost $441,977)
45,258,400 Japanese Yen.................................................................... 01/04/96 $ 438,479
========
INTERNATIONAL GROWTH FUND:
Forward Foreign Currency Exchange Contracts to Buy:
(Contract cost $55,666)
64,378 Swiss Francs........................................................................ 01/03/96 $ 55,844
========
Forward Foreign Currency Exchange Contracts to Sell:
(Contract cost $84,397)
119,338 Singapore Dollars.................................................................. 01/03/96 $ 84,376
========
</TABLE>
------------------ 87 ------------------
<PAGE> 97
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
CONTRACT
VALUE VALUE
DATE (NOTE 1)
-------- --------
<S> <C> <C>
INTERNATIONAL SMALL CAP FUND:
Forward Foreign Exchange Contracts to Buy:
83,691 Swiss Francs.......................................................................... 01/03/96 $ 72,596
35,603,387 Japanese Yen...................................................................... 01/05/96 344,982
--------
TOTAL FORWARD FOREIGN EXCHANGE
CONTRACTS TO BUY:
(Contract cost $418,534)................................................................. $ 417,578
========
Forward Foreign Exchange Contracts to Sell:
305,132 Singapore Dollars.................................................................... 01/03/96 $ 215,739
465,793 Singapore Dollars.................................................................... 01/04/96 329,349
--------
TOTAL FORWARD FOREIGN EXCHANGE
CONTRACTS TO SELL:
(Contract cost $544,790)................................................................. $ 545,088
========
EMERGING MARKETS FUND:
Forward Foreign Exchange Contracts to Buy:
57,965 Brazilian Real........................................................................ 01/02/96 $ 59,637
1,802,458 Hong Kong Dollars.................................................................. 01/02/96 233,102
5,958,184 Malaysian Ringitt.................................................................. 01/02/96 2,345,972
915,091 South African Rand................................................................... 01/02/96 251,019
606,660 Brazilian Real....................................................................... 01/03/96 624,168
--------
TOTAL FORWARD FOREIGN EXCHANGE
CONTRACTS TO BUY:
(Contract cost $3,519,998)............................................................... $3,513,898
========
Forward Foreign Exchange Contracts to Sell:
7,841,739 Sri Lankan Rupee................................................................... 01/02/96 $ 145,083
7,682,589 Portugese Escudo................................................................... 01/04/96 51,417
7,196,768 Sri Lankan Rupee................................................................... 01/04/96 133,150
23,484,158 Sri Lankan Rupee.................................................................. 01/08/96 434,490
--------
TOTAL FORWARD FOREIGN EXCHANGE
CONTRACTS TO SELL:
(Contract cost $756,079)................................................................. $ 764,140
========
</TABLE>
g. Under an unsecured Revolving Credit Agreement with Credit Lyonnais San
Francisco Branch and Cayman Islands Branch, each of the Funds of The Montgomery
Funds and The Montgomery Funds II may, for one year starting October 1, 1994,
borrow (consistent with applicable law and its investment policies) amounts over
$1,000,000 but not more than 10% of its net asset value, provided that the
aggregate principal amount of outstanding loans under the agreement to all Funds
does not exceed $25,000,000. For the six months ended December 31, 1995 the
Funds, except for Montgomery Emerging Markets Fund, did not borrow under the
Revolving Credit Agreement.
Information regarding borrowings by the Montgomery Emerging Markets Fund
for the six months ended December 31, 1995 was as follows:
<TABLE>
<CAPTION>
AVERAGE
MAXIMUM AVERAGE AVERAGE DEBT
AMOUNT AMOUNT SHARES PER SHARE
OUTSTANDING OUTSTANDING OUTSTANDING OUTSTANDING
DURING DURING DURING DURING
PERIOD PERIOD PERIOD PERIOD
----------- ----------- ----------- -----------
<S> <C> <C> <C>
$20,000,000 $298,913 74,343,684 $0.00#
</TABLE>
- ------------
# Amount equals less than $0.01.
------------------ 88 ------------------
<PAGE> 98
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) (CONTINUED)
The interest expense for the six months ended December 31, 1995 for the
Montgomery Emerging Markets Fund was $18,885. The average interest rate
approximated 8.75% during the period.
4. TRANSACTIONS IN SHARES WITH A BENEFICIAL INTEREST:
The Trusts have authorized an unlimited number of shares of beneficial
interest divided into 2 classes (Class P and Class R) which have a par value of
$0.01. Because the Montgomery Government Reserve Fund and the Montgomery
California Tax-Free Money Fund are money market funds and money market funds
sell shares, issue shares for reinvestment of dividends and redeem shares only
at a constant net asset value of $1.00 per share, the number of shares
represented by such sales, reinvestments and redemptions are the same as the
dollar amounts shown for such transactions. Transactions in shares of beneficial
interest for the years and periods indicated below were:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
DECEMBER 31, 1995 JUNE 30, 1995
----------------------------- -----------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ----------- -------------
<S> <C> <C> <C> <C>
GROWTH FUND:
Shares Sold......................................... 7,313,774 $ 146,146,752 55,250,712 $ 934,030,969
Issued as Reinvestment of Dividends................. 3,637,815 68,572,799 231,401 3,882,010
Shares Redeemed..................................... (12,043,754) (239,833,509) (19,392,480) (334,612,593)
----------- ------------- ----------- -------------
Net Increase/(Decrease)............................. (1,092,165) $ (25,113,958) 36,089,633 $ 603,300,386
=========== ============= =========== =============
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED PERIOD ENDED
DECEMBER 31, 1995 JUNE 30, 1995*
----------------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
MICRO CAP FUND:
Shares Sold.......................................... 7,795,387 $ 113,449,899 12,671,633 $ 157,656,419
Issued as Reinvestment of Dividends.................. 178,773 2,611,887 -- --
Shares Redeemed...................................... (1,964,098) (28,820,848) (821,311) (10,436,637)
----------- ------------- ----------- -------------
Net Increase......................................... 6,010,062 $ 87,240,938 11,850,322 $ 147,219,782
=========== ============= =========== =============
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
DECEMBER 31, 1995 JUNE 30, 1995
----------------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
SMALL CAP FUND:
Shares Sold.......................................... 1,082,766 $ 20,170,488 1,496,300 $ 23,945,432
Issued as Reinvestment of Dividends.................. 1,145,414 19,277,326 773,942 11,895,470
Shares Redeemed...................................... (1,116,471) (20,539,335) (4,243,870) (67,378,038)
----------- ------------- ----------- -------------
Net Increase/(Decrease).............................. 1,111,709 $ 18,908,479 (1,973,628) $ (31,537,136)
=========== ============= =========== =============
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED PERIOD ENDED
DECEMBER 31, 1995 JUNE 30, 1995*
----------------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
EQUITY INCOME FUND:
Shares Sold.......................................... 1,100,614 $ 16,064,763 753,880 $ 9,630,958
Issued as Reinvestment of Dividends.................. 24,391 363,054 2,677 33,435
Shares Redeemed...................................... (329,291) (4,749,543) (279,632) (3,640,764)
----------- ------------- ----------- -------------
Net Increase......................................... 795,714 $ 11,678,274 476,925 $ 6,023,629
=========== ============= =========== =============
</TABLE>
------------------ 89 ------------------
<PAGE> 99
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
PERIOD ENDED
DECEMBER 31, 1995*
-----------------------------
SHARES AMOUNT
----------- -------------
<S> <C> <C>
SELECT 50 FUND:
Shares Sold.......................................... 2,048,265 $ 26,302,824
Issued as Reinvestment of Dividends.................. 4,733 61,763
Shares Redeemed...................................... (163,158) (2,091,534)
----------- -------------
Net Increase......................................... 1,889,840 $ 24,273,053
=========== =============
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
DECEMBER 31, 1995 JUNE 30, 1995
----------------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
ASSET ALLOCATION FUND:
Shares Sold.......................................... 4,257,320 $ 73,518,719 4,354,998 $ 65,485,176
Issued as Reinvestment of Dividends.................. 274,649 4,696,501 6,393 90,647
Shares Redeemed...................................... (1,425,525) (24,542,765) (799,234) (11,886,493)
----------- ------------- ----------- -------------
Net Increase......................................... 3,106,444 $ 53,672,455 3,562,157 $ 53,689,330
=========== ============= =========== =============
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
DECEMBER 31, 1995 JUNE 30, 1995
----------------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
GLOBAL OPPORTUNITIES FUND:
Shares Sold.......................................... 685,352 $ 9,504,659 642,384 $ 8,407,571
Issued as Reinvestment of Dividends.................. 5,378 76,525 37,775 497,870
Shares Redeemed...................................... (572,711) (7,934,870) (615,561) (7,951,014)
----------- ------------- ----------- -------------
Net Increase......................................... 118,019 $ 1,646,314 64,598 $ 954,427
=========== ============= =========== =============
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED PERIOD ENDED
DECEMBER 31, 1995 JUNE 30, 1995
----------------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
GLOBAL COMMUNICATIONS FUND:
Shares Sold.......................................... 3,002,278 $ 49,431,053 4,810,419 $ 70,362,748
Issued as Reinvestment of Dividends.................. -- -- 32,523 487,504
Shares Redeemed...................................... (3,151,748) (51,534,569) (7,788,313) (112,069,019)
----------- ------------- ----------- -------------
Net Decrease......................................... (149,470) $ (2,103,516) (2,945,371) $ (41,218,767)
=========== ============= =========== =============
</TABLE>
<TABLE>
<CAPTION>
PERIOD ENDED
DECEMBER 31, 1995*
-----------------------------
SHARES AMOUNT
----------- -------------
<S> <C> <C>
INTERNATIONAL GROWTH FUND:
Shares Sold.......................................... 787,227 $ 9,771,716
Issued as Reinvestment of Dividends.................. -- --
Shares Redeemed...................................... (139,025) (1,709,699)
----------- -------------
Net Increase......................................... 648,202 $ 8,062,017
=========== =============
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
DECEMBER 31, 1995 JUNE 30, 1995
----------------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
INTERNATIONAL SMALL CAP FUND:
Shares Sold.......................................... 1,395,764 $ 17,727,637 2,251,600 $ 26,655,775
Issued as Reinvestment of Dividends.................. 4,289 54,639 360 4,392
Shares Redeemed...................................... (1,191,448) (15,031,425) (2,700,718) (32,195,917)
----------- ------------- ----------- -------------
Net Increase/(Decrease).............................. 208,605 $ 2,750,851 (448,758) $ (5,535,750)
=========== ============= =========== =============
</TABLE>
------------------ 90 ------------------
<PAGE> 100
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
DECEMBER 31, 1995 JUNE 30, 1995
----------------------------- -----------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ----------- -------------
<S> <C> <C> <C> <C>
EMERGING MARKETS FUND:
Shares Sold......................................... 21,485,984 $ 276,547,072 54,598,981 $ 765,638,358
Issued as Reinvestment of Dividends................. -- -- 3,026,103 44,907,086
Shares Redeemed..................................... (28,523,492) (360,005,959) (29,715,496) (409,912,772)
----------- ------------- ----------- -------------
Net Increase/(Decrease)............................. (7,037,508) $ (83,458,887) 27,909,588 $ 400,632,672
=========== ============= =========== =============
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
DECEMBER 31, 1995 JUNE 30, 1995
----------------------------- -----------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ----------- -------------
<S> <C> <C> <C> <C>
SHORT GOVERNMENT BOND
Fund:
Shares Sold......................................... 814,303 $ 8,117,617 1,495,452 $ 14,635,908
Issued as Reinvestment of Dividends................. 42,024 418,910 119,259 1,164,807
Shares Redeemed..................................... (796,386) (7,950,929) (2,134,721) (20,839,734)
----------- ------------- ----------- -------------
Net Increase/(Decrease)............................. 59,941 $ 585,598 (520,010) $ (5,039,019)
=========== ============= =========== =============
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
DECEMBER 31, 1995 JUNE 30, 1995
----------------- -----------------
SHARES AND AMOUNT SHARES AND AMOUNT
----------------- -----------------
<S> <C> <C>
GOVERNMENT RESERVE FUND:
Shares Sold.......................................... $ 1,140,450,148 $ 1,548,087,417
Issued as Reinvestment of Dividends.................. 6,498,647 11,696,059
Shares Redeemed...................................... (1,104,843,763) (1,511,942,982)
--------------- ---------------
Net Increase......................................... $ 42,105,032 $ 47,840,494
=============== ===============
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
DECEMBER 31, 1995 JUNE 30, 1995
----------------------------- -----------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ----------- -------------
<S> <C> <C> <C> <C>
CALIFORNIA TAX-FREE INTERMEDIATE BOND FUND:
Shares Sold......................................... 489,151 $ 5,995,070 303,088 $ 3,581,420
Issued as Reinvestment of Dividends................. 8,120 99,412 26,720 315,799
Shares Redeemed..................................... (153,749) (1,879,307) (881,940) (10,408,882)
----------- ------------- ----------- -------------
Net Increase/(Decrease)............................. 343,522 $ 4,215,175 (552,132) $ (6,511,663)
=========== ============= =========== =============
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS ENDED PERIOD ENDED
DECEMBER 31, 1995 JUNE 30, 1995*
----------------- -----------------
SHARES AND AMOUNT SHARES AND AMOUNT
----------------- -----------------
<S> <C> <C>
CALIFORNIA TAX-FREE MONEY FUND:
Shares Sold.......................................... $ 257,878,958 $ 286,800,141
Issued as Reinvestment of Dividends.................. 1,041,528 1,284,285
Shares Redeemed...................................... (232,667,304) (223,302,810)
--------------- -------------
Net Increase......................................... $ 26,253,182 $ 64,781,616
=============== =============
</TABLE>
- ------------
* The Montgomery Micro Cap Fund, the Montgomery Equity Income Fund, the
Montgomery Select 50 Fund, the Montgomery International Growth Fund, and the
Montgomery California Tax-Free Money Fund commenced operations on December 30,
1994, September 30, 1994, September 30, 1995, July 3, 1995, and September 30,
1994, respectively.
5. FOREIGN SECURITIES:
Certain Funds may purchase securities on foreign security exchanges.
Securities of foreign companies and foreign governments involve special risks
and considerations not typically associated with investing in U.S.
------------------ 91 ------------------
<PAGE> 101
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) (CONTINUED)
companies and the U.S. government. These risks include revaluation of
currencies, less reliable information about issuers, different securities
transactions clearance and settlement practices, and future adverse political
and economic developments. These risks are heightened for investments in
emerging market countries. Moreover, securities of many foreign companies and
foreign governments and their markets may be less liquid and their prices more
volatile than those of securities of comparable U.S. companies and the U.S.
government. The Montgomery Emerging Markets Fund invests at least 65% of its
total assets in the equity securities of companies in emerging market countries.
6. PORTFOLIO CONCENTRATION:
The Montgomery Global Communications Fund concentrates its investments in
the global communications industry. Because of this concentration, the value of
this Fund's shares may vary in response to factors affecting the global
communications industry, and therefore may be more volatile than that of
investment companies that do not similarly concentrate their investments. The
global communications industry may be subject to greater changes in governmental
policies and governmental regulation than many other industries, and regulatory
approval requirements may materially affect the products and services of this
industry.
The Montgomery California Tax-Free Intermediate Bond Fund and the
Montgomery California Tax-Free Money Fund concentrate in California municipal
securities. Certain California constitutional amendments, legislative measures,
executive orders, administrative regulations, court decisions and voter
initiatives could result in certain adverse consequences, including impairing
the ability of certain issuers of California municipal securities to pay
principal and interest on their obligations.
7. ILLIQUID AND SPECIAL SITUATION SECURITIES:
Each Fund may not invest more than 15% (10% for Montgomery Government
Reserve Fund) of its net assets in illiquid securities. The securities shown in
the table below have been determined by the Manager to be illiquid because they
are restricted or because there is an exceptionally low trading volume in the
primary trading market for the security at December 31, 1995. These securities
are valued at market price.
SELECT 50 FUND:
<TABLE>
<CAPTION>
12/31/95 MARKET
ACQUISITION MARKET VALUE PER % OF TOTAL
SECURITY DATE SHARES VALUE SHARE COST NET ASSETS
- -------- ----------- --------- ----------- --------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Westmont Industries.................................. 11/27/95 187,000 $ 647,951 $ 3.46 $ 622,247 2.48%
======== =====
</TABLE>
GLOBAL COMMUNICATIONS FUND:
<TABLE>
<CAPTION>
12/31/95 MARKET
ACQUISITION MARKET VALUE PER % OF TOTAL
SECURITY DATE SHARES VALUE SHARE COST NET ASSETS
- --------- ----------- --------- ----------- --------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Argentine Cellular Communications Ltd. .............. 02/25/94 73,650 $ 941,179 $ 12.78 $ 761,153 0.43%
ASE.................................................. 07/28/95 172,000 416,022 2.42 393,585 0.19
FGI Wireless......................................... 12/21/95 168,500 2,198,925 13.05 2,198,925 1.00
Global Telesystems Group, Inc. ...................... 04/22/94 450,987 7,558,542 16.76 3,881,177 3.44
Grupo Mexicano de Video, ADS. ....................... 09/03/93 105,000 52,500 0.50 1,865,000 0.02
Ionica............................................... 02/23/95 4,651 1,552,946 333.90 1,592,894 0.70
Russian Telecommunications Development Corporation... 12/22/93 200,000 1,732,000 8.66 2,000,000 0.79
Taiwan Semiconductor Company......................... 07/28/95 244,000 764,540 3.13 974,433 0.35
United Microelectronics Corporation.................. 07/28/95 500 1,255 2.51 1,532 0.00#
----------- ------
$15,217,909 6.92%
=========== ======
</TABLE>
- ------------
# Amount equals less than 0.01%.
------------------ 92 ------------------
<PAGE> 102
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) (CONTINUED)
INTERNATIONAL SMALL CAP FUND:
<TABLE>
<CAPTION>
12/31/95 MARKET
ACQUISITION MARKET VALUE PER % OF TOTAL
SECURITY DATE SHARES VALUE SHARE COST NET ASSETS
- -------- ----------- --------- ----------- --------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Taiwan Semiconductor Company........................ 07/20/95 255,000 $ 799,007 $ 3.13 $ 959,135 2.30%
======== =====
</TABLE>
EMERGING MARKETS FUND:
<TABLE>
<CAPTION>
12/31/95 MARKET
ACQUISITION MARKET VALUE PER % OF TOTAL
SECURITY DATE SHARES VALUE SHARE COST NET ASSETS
- -------- ----------- --------- ----------- --------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
ASE................................................. 07/10/95 3,353,644 $ 8,111,573 $ 2.42 $ 7,939,295 0.95%
Cathay Life Insurance............................... 07/20/95 1,314,840 6,023,198 4.58 6,801,513 0.70
China Steel Corporation............................. 07/10/95 7,247,000 5,789,739 0.80 6,316,131 0.68
Efes Pilsen......................................... 07/12/95 4,602,600 311,480 0.07 344,989 0.04
Global Telesystems Group Inc. ...................... 05/17/95 46,389 777,480 16.76 497,627 0.09
Nan Ya Plastics..................................... 07/28/95 2,803,427 4,253,376 1.52 4,957,373 0.50
Pacific Construction................................ 07/10/95 5,717,000 4,085,517 0.71 4,074,468 0.48
Pepsi International Bottlers........................ 12/27/95 32,000 3,200,000 100.00 3,200,000 0.38
Phoenixtec Power.................................... 07/28/95 1,473,500 2,970,004 2.02 3,259,458 0.35
Shivalik Projects Ltd. ............................. 04/06/95 220,000 437,935 1.99 1,261,183 0.05
Taiwan Mask......................................... 07/18/95 1,247,500 2,971,653 2.38 2,593,081 0.35
Taiwan Semiconductor Company........................ 07/20/95 2,663,600 8,346,018 3.13 9,840,245 0.98
United Micro Electronics Corporation................ 07/26/95 500 1,255 2.51 1,548 0.00#
Yageo Corporation................................... 08/15/95 388,000 732,290 1.89 814,648 0.08
---------- -----
$48,011,518 5.63%
========== =====
</TABLE>
- ------------
# Amount equals less than 0.01%.
The following securities held by the Emerging Markets Fund on December 31,
1995 are unrestricted securities for which reliable market prices can be
established. These securities are valued at their market prices. However,
because the process of re-registering the securities in the Fund's name can take
more than seven days, the following shares of each of these securities were
deemed temporarily restricted in the hands of the Fund at December 31, 1995. The
Emerging Markets Fund bears the cost of re-registering these securities:
EMERGING MARKETS FUND:
<TABLE>
<CAPTION>
12/31/95 MARKET
ACQUISITION MARKET VALUE PER % OF TOTAL
SECURITY DATE SHARES VALUE SHARE COST NET ASSETS
- -------- ----------- --------- ----------- --------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Adamjee Insurance Company........................... 05/16/95 56,924 $ 169,695 $ 2.98 $ 242,657 0.02%
Arab Malaysian Corporation.......................... 05/04/95 400,000 1,448,990 3.62 1,413,265 0.17
Arab Malaysian Finance (F).......................... 07/31/95 100,000 425,247 4.25 363,662 0.05
Arvind Mills, Ltd................................... 07/14/95 5,533 19,196 3.47 25,116 0.00#
Bajaj Auto.......................................... 07/18/95 50 1,024 20.47 1,145 0.00#
Carrier Aircon Ltd.................................. 06/27/95 6,800 32,874 4.83 19,248 0.00#
DCB Holdings Corporation............................ 08/10/95 400,000 1,165,492 2.91 1,015,293 0.14
DG Khan Cement...................................... 08/21/95 633,900 555,796 0.88 747,195 0.07
Engro Chemical...................................... 08/21/95 5,010 20,719 4.14 30,403 0.00#
Finolex Cables...................................... 12/02/93 55 360 6.54 752 0.00#
Floatglass.......................................... 08/11/95 6,600 6,381 0.97 9,084 0.00#
Grasim Industries Ltd............................... 07/03/95 1,416 21,664 15.30 28,183 0.00#
Great Eastern Shipping.............................. 01/12/94 100 133 1.33 306 0.00#
Housing Development and Finance Corporation......... 07/14/95 45 3,474 77.21 3,148 0.00#
ICI Corporation..................................... 03/27/95 120 271 2.26 273 0.00#
IOI Industrial Oxygen............................... 07/25/95 384,000 376,318 0.98 509,882 0.04
Khadim Ali Shah Bukhari and Company................. 10/06/94 30,497 22,728 0.75 93,556 0.00#
Kotak Mahindra...................................... 05/26/94 5,900 19,966 3.38 40,089 0.00#
Lox Housing......................................... 05/22/95 1,000 2,247 2.25 4,205 0.00#
</TABLE>
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<PAGE> 103
---------------------------------------------
THE MONTGOMERY FUNDS
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
12/31/95 MARKET
ACQUISITION MARKET VALUE PER % OF TOTAL
SECURITY DATE SHARES VALUE SHARE COST NET ASSETS
- -------- ----------- --------- ----------- --------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Metacorp Berhad..................................... 07/19/95 512,000 $ 1,330,551 $ 2.60 $ 1,627,678 0.16%
Nishat Textile...................................... 08/28/95 153,577 131,288 0.85 249,097 0.02
Pakistan State Oil.................................. 09/14/95 43,745 338,803 7.74 206,477 0.04
Petronas Gas........................................ 07/31/95 1,221,000 4,158,621 3.41 4,179,356 0.49
Reliance Industries Ltd............................. 11/12/93 270 1,589 5.89 2,350 0.00#
Tata Iron and Steel Company Ltd..................... 07/14/95 117,903 658,835 5.59 891,210 0.08
The Indian Hotels Company, Ltd...................... 08/14/95 50 816 16.32 485 0.00#
Titan Watch......................................... 07/26/95 1,756 5,892 3.36 7,631 0.00#
--------- -----
$10,918,970 1.28%
========= =====
</TABLE>
- ------------
# Amount represents less than 0.01%.
8. CAPITAL LOSS CARRYFORWARDS:
At June 30, 1995, the following funds had available for federal income tax
purposes unused capital losses as follows:
<TABLE>
<CAPTION>
EXPIRING EXPIRING
FUND IN 2002 IN 2003
---- -------- --------
<S> <C> <C>
Global Opportunities Fund............................................................... -- $143,750
International Small Cap Fund............................................................ -- 790,579
Short Government Bond Fund.............................................................. -- 480,154
Government Reserve Fund................................................................. $12,270 20,906
California Tax-Free Intermediate Fund................................................... -- 80,892
</TABLE>
Under current tax law, net capital and currency losses realized after
October 31 may be deferred and treated as occurring on the first day of the
following fiscal year. In the fiscal year ended June 30, 1995 the following
Funds elected to defer losses occurring between November 1, 1994 and June 30,
1995 under these rules as follows:
<TABLE>
<CAPTION>
FUND AMOUNT
---- -----------
<S> <C>
Global Opportunities Fund.................................................................... $ 1,319,188
Global Communications Fund................................................................... 21,935,054
International Small Cap Fund................................................................. 5,675,016
Emerging Markets Fund........................................................................ 23,480,023
Short Government Bond Fund................................................................... 26,123
Government Reserve Fund...................................................................... 4,542
California Tax-Free Intermediate Bond Fund................................................... 61,932
California Tax-Free Money Fund............................................................... 1,324
</TABLE>
Such deferred losses will be treated as arising on the first day of the
fiscal year ending June 30, 1996.
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[MONTGOMERY FUNDS LOGO]
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San Francisco, CA 94111-9361
(800) 572-3863
