THE BILTMORE FUNDS
BILTMORE EQUITY FUND
BILTMORE QUANTITATIVE EQUITY FUND
BILTMORE EQUITY INDEX FUND
BILTMORE SPECIAL VALUES FUND
BILTMORE EMERGING MARKETS FUND
BILTMORE BALANCED FUND
BILTMORE FIXED INCOME FUND
BILTMORE SHORT-TERM FIXED INCOME FUND
THE BILTMORE MUNICIPAL FUNDS
BILTMORE GA MUNICIPAL BOND FUND
BILTMORE NC MUNICIPAL BOND FUND
BILTMORE SC MUNICIPAL BOND FUND
COMBINED SEMI-ANNUAL REPORT
DATED MAY 31, 1997
[GRAPHIC]
Effective July 31, 1997 The Biltmore Funds became The Wachovia Funds
and The Biltmore Municipal Funds became The Wachovia Municipal Funds.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRESIDENT'S MESSAGE
Dear Shareholder:
I am pleased to present the combined Semi-Annual Report to
Shareholders for The Biltmore Funds and The Biltmore Municipal Funds.
This Report covers the six-month period from December 1, 1996 through
May 31, 1997, and includes a complete list of fund holdings and the
financial statements. The following fund-by-fund highlights cover
performance activity in Class A Shares, Class B Shares, and Class Y
Shares.
THE BILTMORE FUNDS
BILTMORE EQUITY FUND pursues growth through a portfolio of blue-chip
stocks issued by some of America's largest, best-known companies. In
particular, the fund's manager seeks stocks issued by companies that
are both undervalued and have good growth opportunities. Fund assets
stood at $174.5 million at the end of the period.
<TABLE>
<CAPTION>
TOTAL RETURN INCOME CAPITAL GAINS
BASED ON NAV* DISTRIBUTIONS DISTRIBUTIONS SHARE PRICE CHANGE
<S> <C> <C> <C> <C>
Class A Shares 9.46% $ 0.07 $ 1.86 $14.81 to $14.07
Class B Shares 8.99% $ 0.02 $ 1.86 $14.79 to $14.04
Class Y Shares 9.53% $ 0.08 $ 1.86 $14.81 to $14.07
</TABLE>
BILTMORE QUANTITATIVE EQUITY FUND pursues growth and income by
investing in a portfolio of stocks issued by large, established
companies across the entire industrial spectrum. On the last day of
the period, the portfolio included quality names like Anheuser-Busch,
BankAmerica, Chrysler, Coca-Cola, Dole Food, Exxon, General Electric,
Intel, Nike, and Xerox. Fund assets ended the period at $187.9
million.
<TABLE>
<CAPTION>
TOTAL RETURN INCOME CAPITAL GAINS
BASED ON NAV* DISTRIBUTIONS DISTRIBUTIONS SHARE PRICE CHANGE
<S> <C> <C> <C> <C>
Class A Shares 12.26% $ 0.11 $ 0.79 $15.67 to $16.57
Class B Shares 11.78% $ 0.05 $ 0.79 $15.65 to $16.54
Class Y Shares 12.39% $ 0.12 $ 0.79 $15.67 to $16.58
</TABLE>
BILTMORE EQUITY INDEX FUND pursues a total return that approximates
that of the Standard & Poor's 500 Index--a classic benchmark of stock
market performance.** As a result, the fund's extensive portfolio
contained stocks issued by some of America's largest, best-known
companies, such as American Brands, Avon, Bristol-Myers Squibb,
Brunswick, Caterpillar, Disney, Mattel, Rubbermaid, Whirlpool, Heinz,
and many, many more. At the end of the period, fund net assets totaled
$270.7 million.
<TABLE>
<CAPTION>
TOTAL RETURN INCOME CAPITAL GAINS
BASED ON NAV* DISTRIBUTIONS DISTRIBUTIONS SHARE PRICE CHANGE
<S> <C> <C> <C> <C>
Class A Shares 12.87% $ 0.14 $ 0.91 $15.98 to $16.83
Class Y Shares 12.94% $ 0.15 $ 0.91 $15.98 to $16.84
</TABLE>
BILTMORE SPECIAL VALUES FUND pursues growth by investing in a
diversified portfolio of small-company stocks.*** Unlike many other
funds that invest in small-company stocks through a high-flying
approach, this fund is managed through a highly disciplined approach.
Its manager seeks stocks issued by well-capitalized and well-run small
companies that are selling at less than their estimated long-term
values. At the end of the period, the fund's $97.2 million portfolio
was invested across 14 business sectors.
<TABLE>
<CAPTION>
TOTAL RETURN INCOME CAPITAL GAINS
BASED ON NAV* DISTRIBUTIONS DISTRIBUTIONS SHARE PRICE CHANGE
<S> <C> <C> <C> <C>
Class A Shares 12.88% $ 0.08 $ 1.61 $15.67 to $15.81
Class Y Shares 12.88% $ 0.08 $ 1.61 $15.67 to $15.81
</TABLE>
*Performance quoted represents past performance and is not
indicative of future results. Investment return and principal value
will fluctuate, so that an investor's shares, when redeemed, may be
worth more or less than their original cost.
**The Standard & Poor's 500 Index is an unmanaged index comprised of
common stocks in industry, transportation, and financial and public
utility companies. Investments cannot be made in an index.
***Small cap stocks have historically experienced greater volatility than
average.
BILTMORE EMERGING MARKETS FUND pursues growth over the long term by
investing in stocks of foreign companies located in emerging market
countries.*** The fund's managers use a unique "two-tier, equal
weighting" approach to selecting stocks for the fund that offers
greater diversification than most emerging market funds, with the
opportunity for better protection from unexpected negative
developments in any one country. At the end of the period, the fund's
portfolio contained stocks issued by companies from 28 countries. Fund
net assets ended the period at $164.7 million.
<TABLE>
<CAPTION>
TOTAL RETURN INCOME
BASED ON NAV* DISTRIBUTIONS SHARE PRICE CHANGE
<S> <C> <C> <C>
Class A Shares 15.30% $ 0.11 $11.67 to $13.33
Class Y Shares 15.39% $ 0.11 $11.67 to $13.34
</TABLE>
BILTMORE BALANCED FUND pursues a popular investment
objective--long-term growth and current income--by investing in a
quality combination of stocks (53.9% of net assets at the end of the
period) and bonds. Bond holdings were diversified across corporate
bonds (8.5% of net assets), mortgage-backed securities (9.9% of net
assets), and U.S. Treasury securities (24.9% of net assets). At the
end of the period, fund net assets stood at $282.7 million.
<TABLE>
<CAPTION>
TOTAL RETURN INCOME CAPITAL GAINS
BASED ON NAV* DISTRIBUTIONS DISTRIBUTIONS SHARE PRICE CHANGE
<S> <C> <C> <C> <C>
Class A Shares 5.88% $ 0.17 $ 1.44 $13.30 to $12.35
Class B Shares 5.40% $ 0.13 $ 1.44 $13.29 to $12.33
Class Y Shares 5.94% $ 0.18 $ 1.44 $13.30 to $12.35
</TABLE>
BILTMORE FIXED INCOME FUND pursues a high level of total return from a
diversified portfolio of income-producing securities. At the end of
the period, the fund's $184.2 million in net assets were invested
across U.S. Treasury obligations (47.5%), government agency securities
(17.0%), and corporate bonds (28.5%).
<TABLE>
<CAPTION>
TOTAL RETURN INCOME
BASED ON NAV* DISTRIBUTIONS SHARE PRICE CHANGE
<S> <C> <C> <C>
Class A Shares 0.14% $ 0.29 $ 9.83 to $9.55
Class B Shares (0.36)% $ 0.25 $ 9.83 to $9.54
Class Y Shares 0.25% $ 0.30 $ 9.83 to $9.55
</TABLE>
BILTMORE SHORT-TERM FIXED INCOME FUND pursues a high level of income
from a diversified portfolio that, at the end of the period, consisted
primarily of U.S. Treasury obligations (77.5% of net assets) and
corporate bonds (21% of net assets). These short-term,
income-producing securities are managed to attempt to provide an
income stream and cushion shareholders against volatility during
periods of interest rate increases. Total net assets stood at $117.7
million on the last day of the period.
<TABLE>
<CAPTION>
TOTAL RETURN INCOME
BASED ON NAV* DISTRIBUTIONS SHARE PRICE CHANGE
<S> <C> <C> <C>
Class A Shares 1.84% $ 0.25 $ 9.79 to $9.72
Class Y Shares 2.05% $ 0.26 $ 9.79 to $9.73
</TABLE>
THE BILTMORE MUNICIPAL FUNDS
BILTMORE GEORGIA MUNICIPAL BOND FUND pursues monthly income exempt
from federal regular income tax and Georgia state income tax.+ The
fund invests in a portfolio of bonds issued by municipalities across
Georgia that are rated A or higher by nationally recognized rating
agencies. Total net assets reached $14.3 million on the last day of
the period.
<TABLE>
<CAPTION>
TOTAL RETURN INCOME CAPITAL GAINS
BASED ON NAV* DISTRIBUTIONS DISTRIBUTIONS SHARE PRICE CHANGE
<S> <C> <C> <C> <C>
Class A Shares 0.86% $ 0.23 $ 0.02 $11.00 to $10.84
Class Y Shares 0.94% $ 0.24 $ 0.02 $11.00 to $10.84
</TABLE>
*Performance quoted represents past performance and is not
indicative of future results. Investment return and principal value
will fluctuate, so that an investor's shares, when redeemed, may be
worth more or less than their original cost.
***Foreign investing involves special risks including currency risk,
increased volatility of foreign securities, and differences in
auditing and other financial standards. Emerging markets' economic
structures may be less diverse and mature, and their political
systems may be less stable than those of established markets.
+Income may be subject to the federal alternative minimum tax.
BILTMORE NORTH CAROLINA MUNICIPAL BOND FUND pursues monthly income
exempt from federal regular income tax and North Carolina state income
tax.+ At the end of the period, the fund's $48.8 million portfolio was
invested in 77 bonds issued by municipalities across North Carolina.
All holdings are rated A or higher by nationally recognized rating
agencies at the time of purchase.
<TABLE>
<CAPTION>
TOTAL RETURN INCOME CAPITAL GAINS
BASED ON NAV* DISTRIBUTIONS DISTRIBUTIONS SHARE PRICE CHANGE
<S> <C> <C> <C> <C>
Class A Shares 0.98% $ 0.22 $ 0.02 $11.03 to $10.89
Class Y Shares 1.06% $ 0.23 $ 0.02 $11.03 to $10.89
</TABLE>
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND pursues monthly income
exempt from federal regular income tax and South Carolina state income
tax.+ The fund invests in a portfolio of bonds issued by
municipalities of South Carolina that are rated A or higher by
nationally recognized rating agencies at the time of purchase. Total
net assets reached $100.1 million at the period's end.
<TABLE>
<CAPTION>
TOTAL RETURN INCOME CAPITAL GAINS
BASED ON NAV* DISTRIBUTIONS DISTRIBUTIONS SHARE PRICE CHANGE
<S> <C> <C> <C> <C>
Class A Shares 1.42% $ 0.27 $ 0.05 $11.05 to $10.89
Class Y Shares 1.50% $ 0.28 $ 0.05 $11.05 to $10.89
</TABLE>
Thank you for pursuing your financial goals through one or more of
these funds.
We look forward to keeping you up-to-date on your investment progress.
Sincerely,
John W. McGonigle
President
July 15, 1997
*Performance quoted represents past performance and is not indicative
of future results. Investment return and principal value will
fluctuate, so that an investor's shares, when redeemed, may be worth
more or less than their original cost.
+Income may be subject to the federal alternative minimum tax.
Total returns for the period adjusted for the sales charge are as
follows:
Biltmore Equity Fund, Class A Shares, 4.52%; Class B Shares, 3.55%
Biltmore Quantitative Equity Fund, Class A Shares, 7.20%; Class B
Shares, 6.51% Biltmore Equity Index Fund, Class A Shares, 7.81%
Biltmore Special Values Fund, Class A Shares, 7.79% Biltmore Emerging
Markets Fund, Class A Shares, 10.11% Biltmore Balanced Fund, Class A
Shares, 1.09%; Class B Shares, 0.10% Biltmore Fixed Income Fund, Class
A Shares, (4.33)%; Class B Shares, 0.25% Biltmore Short-Term Fixed
Income Fund, Class A Shares, (0.70)% Biltmore Georgia Municipal Bond
Fund, Class A Shares, (3.69)% Biltmore North Carolina Municipal Bond
Fund, Class A Shares, (3.57)% Biltmore South Carolina Municipal Bond
Fund, Class A Shares, (3.14)%
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BILTMORE EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--85.0%
AUTOMOBILE--0.0%
1,800 (b)Lucas Varity PLC, ADR $ 57,825
------------
COMMERCIAL SERVICES--0.1%
5,000 Equifax, Inc. 156,250
------------
CONSUMER CYCLICAL--0.6%
24,925 (b)Lear Corp. 953,381
------------
CONSUMER DURABLES--3.0%
4,705 American Greetings Corp., Class
A 161,146
58,795 Ford Motor Co. 2,204,812
4,800 Goodyear Tire & Rubber Co. 280,800
16,942 Hasbro, Inc. 491,318
53,420 Newell Co. 2,043,315
2,000 Stanley Works 82,000
------------
Total 5,263,391
------------
CONSUMER NON-DURABLES--9.3%
3,900 American Brands, Inc. 191,100
3,580 Avon Products, Inc. 228,225
32,045 CPC International, Inc. 2,755,870
14,385 Coca-Cola Co. 981,776
4,242 Kellogg Co. 312,847
12,366 Nike, Inc., Class B 704,862
125,015 PepsiCo, Inc. 4,594,301
104,920 Philip Morris Cos., Inc. 4,616,480
4,500 Procter & Gamble Co. 620,438
4,905 R.J.R. Nabisco, Inc., Class A 194,361
17,900 Sara Lee Corp. 731,663
1,400 Unilever N.V., ADR 271,250
------------
Total 16,203,173
------------
CONSUMER SERVICES--2.9%
36,830 Disney (Walt) Co. 3,015,456
6,122 McDonald's Corp. 307,631
5,960 Sbarro, Inc. 174,330
20,840 Service Corp. International 734,610
20,520 Tribune Co. 887,490
------------
Total 5,119,517
------------
ELECTRONIC TECHNOLOGY--10.8%
23,330 (b)3Com Corp. 1,131,505
4,765 (b)Applied Materials, Inc. 310,916
6,915 Boeing Co. 727,804
54,240 (b)Cabletron Systems, Inc. 2,386,560
37,200 (b)Cisco Systems, Inc. 2,520,300
2,800 (b)Compaq Computer Corp. 303,100
Common Stocks--continued
ELECTRONIC TECHNOLOGY--CONTINUED
3,600 (b)Computer Sciences Corp. $ 278,550
40,173 Hewlett-Packard Co. 2,068,909
21,955 Intel Corp. 3,326,182
14,140 International Business Machines
Corp. 1,223,110
35,835 Motorola, Inc. 2,378,548
1,200 Northern Telecom Ltd. 100,800
7,765 Telefonaktiebolaget LM
Ericsson, Class B 276,628
12,550 Texas Instruments, Inc. 1,127,931
7,410 United Technologies Corp. 595,579
------------
Total 18,756,422
------------
ENERGY MINERALS--3.8%
16,990 Amoco Corp. 1,518,481
30,220 Exxon Corp. 1,790,535
12,380 Mapco, Inc. 393,065
1,350 Mobil Corp. 188,831
9,590 Occidental Petroleum Corp. 222,968
16,600 Phillips Petroleum Co. 705,500
9,655 Royal Dutch Petroleum Co., ADR 1,885,139
------------
Total 6,704,519
------------
FINANCE--13.1%
15,657 AMBAC 1,174,275
8,945 American Express Co. 621,677
32,897 American International Group,
Inc. 4,453,431
9,776 Capital One Financial Corp. 314,054
7,610 Chase Manhattan Corp. 719,145
30,599 Chubb Corp. 1,866,539
21,390 Citicorp 2,446,481
35,600 Countrywide Credit Industries,
Inc. 956,750
41,995 Federal Home Loan Mortgage
Corp. 1,385,835
57,965 Federal National Mortgage
Association 2,528,723
24,807 First USA, Inc. 1,227,946
14,450 KeyCorp 785,719
15,820 MBIA Insurance Corporation 1,698,673
7,115 MGIC Investment Corp. 633,235
11,750 Providian Corp. 703,531
5,010 Wells Fargo & Co. 1,320,135
------------
Total 22,836,149
------------
</TABLE>
(See Notes to Portfolios of Investments)
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BILTMORE EQUITY FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--continued
HEALTH SERVICES--3.6%
21,315 Bergen Brunswig Corp., Class A $ 809,970
67,685 Columbia/HCA Healthcare Corp. 2,478,963
850 Guidant Corp. 65,981
13,850 (b)HealthCare COMPARE Corp. 683,844
82,265 (b)Tenet Healthcare Corp. 2,262,288
------------
Total 6,301,046
------------
HEALTH TECHNOLOGY--8.9%
31,073 Abbott Laboratories 1,957,599
27,095 American Home Products Corp. 2,065,994
21,125 Baxter International, Inc. 1,114,344
8,545 Becton, Dickinson & Co. 420,841
45,738 Bristol-Myers Squibb Co. 3,356,026
34,210 Johnson & Johnson 2,048,324
4,800 Lilly (Eli) & Co. 446,400
21,925 Medtronic, Inc. 1,622,450
22,520 Merck & Co., Inc. 2,023,985
3,800 Pfizer, Inc. 390,925
1,590 Warner-Lambert Co. 160,193
------------
Total 15,607,081
------------
INDUSTRIAL SERVICES--2.2%
6,400 Baker Hughes, Inc. 240,000
4,400 Halliburton Co. 340,450
27,945 Schlumberger Ltd. 3,328,948
------------
Total 3,909,398
------------
MISCELLANEOUS--0.3%
27,250 (b)MedPartners, Inc. 517,750
------------
NON-ENERGY MINERALS--0.6%
8,425 Aluminum Co. of America 620,291
600 Georgia-Pacific Corp. 52,950
6,480 LTV Corp. 90,720
2,385 Potash Corporation of
Saskatchewan, Inc. 195,868
------------
Total 959,829
------------
PROCESS INDUSTRIES--4.9%
450 Air Products & Chemicals, Inc. 34,987
4,795 Dow Chemical Co. 399,783
32,110 Ecolab, Inc. 1,336,579
1,200 International Paper Co. 57,600
29,620 Kimberly-Clark Corp. 1,484,702
10,715 Mead Corp. 683,081
20,245 Millipore Corp. 873,066
Common Stocks--continued
PROCESS INDUSTRIES--CONTINUED
14,005 Monsanto Co. $ 616,220
1,805 NCH, Corp. 117,551
44,260 Praxair, Inc. 2,329,183
2,940 Sigma-Aldrich Corp. 90,038
19,400 Sonoco Products Co. 565,025
------------
Total 8,587,815
------------
PRODUCER MANUFACTURING--9.3%
6,000 Ametek, Inc. 140,250
9,600 Caterpillar, Inc. 937,200
5,275 Cooper Industries, Inc. 269,025
13,065 Dover Corp. 747,971
20,565 (b)FMC Corp. 1,480,680
44,800 General Electric Co. 2,704,800
39,840 Harsco Corp. 1,553,760
18,020 Honeywell, Inc. 1,310,955
33,005 Ingersoll-Rand Co. 1,798,772
5,650 Loews Corp. 549,463
16,310 Tecumseh Products Co., Class A 923,554
30,075 Tyco International, Ltd. 1,909,763
26,885 Xerox Corp. 1,821,459
------------
Total 16,147,652
------------
RETAIL TRADE--1.7%
4,350 American Stores Co. 197,925
4,600 (b)AutoZone, Inc. 107,525
2,800 Circuit City Stores, Inc. 110,600
11,700 Fingerhut Companies, Inc. 206,212
50,095 Lowe's Cos., Inc. 1,972,491
9,050 (b)Toys R Us, Inc. 281,681
------------
Total 2,876,434
------------
TECHNOLOGY SERVICES--3.7%
13,685 Avnet, Inc. 862,155
42,400 Computer Associates
International, Inc. 2,321,400
21,734 Danka Business Systems, PLC,
ADR 872,077
25,280 Electronic Data Systems Corp. 944,840
6,480 General Motors Corp. 370,980
8,805 (b)Microsoft Corp. 1,091,820
------------
Total 6,463,272
------------
TELECOMMUNICATIONS--0.0%
650 Lucent Technologies, Inc. 41,356
------------
</TABLE>
(See Notes to Portfolios of Investments)
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- --------------------------------------------------------------------------------
BILTMORE EQUITY FUND
<TABLE>
<CAPTION>
Shares or
Principal
Amount Value
<C> <S> <C>
- ---------------------------------------------------------
TRANSPORTATION--2.2%
70,990 CSX Corp. $ 3,762,470
3,350 Illinois Central Corp. 121,019
------------
Total 3,883,489
------------
UTILITIES--4.0%
13,000 AT&T Corp. 479,375
12,665 BellSouth Corp. 574,674
9,605 Carolina Power & Light Co. 333,774
17,270 Coastal Corp. 865,659
8,005 Equity Residential Properties
Trust 378,236
44,885 GTE Corp. 1,980,551
14,490 MCI Communications Corp. 556,054
3,200 NYNEX Corp. 172,000
55,330 Southern Co. 1,175,763
8,390 Sprint Corp. 410,061
------------
Total 6,926,147
------------
Total Common Stocks
(identified cost $120,492,170) 148,271,896
------------
U.S. Government Agencies--8.6%
FEDERAL HOME LOAN BANK--
DISCOUNT NOTES--0.7%
$ 750,000 Federal Home Loan Bank,
6/19/1997 748,072
500,000 Federal Home Loan Bank,
6/23/1997 498,420
------------
Total 1,246,492
------------
FEDERAL HOME LOAN MORTGAGE
CORPORATION--DISCOUNT
NOTES--6.0%
6,000,000 Federal Home Loan Mortgage
Corp., 6/19/1997 5,984,580
U.S. Government Agencies--continued
FEDERAL HOME LOAN MORTGAGE
CORPORATION--DISCOUNT
NOTES--CONTINUED
$4,500,000 Federal Home Loan Mortgage
Corp., 6/20/1997 $ 4,487,715
------------
Total 10,472,295
------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION--DISCOUNT
NOTES--1.9%
1,000,000 Federal National Mortgage
Association, 6/12/1997 998,490
2,250,000 Federal National Mortgage
Association, 6/20/1997 2,243,857
------------
Total 3,242,347
------------
Total U.S. Government Agencies
(identified cost $14,959,331) 14,961,134
------------
U.S. Treasury Obligations--0.4%
U.S. TREASURY BILLS--0.4%
700,000 (d)6/5/1997 (identified cost
$699,607) 699,748
------------
(a)Repurchase Agreement--5.6%
9,842,066 Nomura Securities
International, Inc., 5.54%,
dated 5/30/1997, due 6/2/1997
(at amortized cost) 9,842,066
------------
Total Investments (identified
cost $145,993,174) $173,774,844
------------
</TABLE>
(See Notes to Portfolios of Investments)
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- --------------------------------------------------------------------------------
BILTMORE QUANTITATIVE EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--92.6%
CAPITAL GOODS--3.9%
90,000 General Electric Co. $ 5,433,750
15,000 Harnischfeger Industries, Inc. 643,125
30,000 Harsco Corp. 1,170,000
------------
Total 7,246,875
------------
CONSUMER DURABLES--2.8%
50,000 Arvin Industries, Inc. 1,387,500
75,000 Chrysler Corp. 2,381,250
10,000 Deere & Co. 511,250
27,000 Newell Co. 1,032,750
------------
Total 5,312,750
------------
CONSUMER NON-DURABLES--24.0%
38,000 American Greetings Corp., Class
A 1,301,500
36,000 American Stores Co. 1,638,000
46,000 Anheuser-Busch Cos., Inc. 1,972,250
57,000 Bergen Brunswig Corp., Class A 2,166,000
42,400 Bristol-Myers Squibb Co. 3,111,100
8,000 Clorox Co. 1,010,000
75,000 Coca Cola Enterprises, Inc. 1,584,375
10,000 ConAgra, Inc. 601,250
68,000 Dayton-Hudson Corp. 3,272,500
10,000 Dean Foods Co. 380,000
50,000 Dole Food, Inc. 2,125,000
37,000 (b)Fruit of the Loom, Inc.,
Class A 1,290,375
35,000 Johnson & Johnson 2,095,625
30,000 Kimberly-Clark Corp. 1,503,750
30,000 (b)King World Productions, Inc. 1,128,750
12,600 Lilly (Eli) & Co. 1,171,800
25,000 Lowe's Cos., Inc. 984,375
5,000 Nike, Inc., Class B 285,000
90,000 PepsiCo, Inc. 3,307,500
80,000 Philip Morris Cos., Inc. 3,520,000
13,300 Procter & Gamble Co. 1,833,738
30,000 (b)Safeway, Inc. 1,350,000
25,000 Schering Plough Corp. 2,268,750
30,000 Sears, Roebuck & Co. 1,473,750
80,000 (b)Tenet Healthcare Corp. 2,200,000
63,000 Woolworth (F.W.) Co. 1,519,875
------------
Total 45,095,263
------------
CONSUMER SERVICES--1.9%
41,000 (b)HFS, Inc. 2,208,875
23,000 Times Mirror Co., Class A 1,290,875
------------
Total 3,499,750
------------
Common Stocks--continued
ELECTRONIC TECHNOLOGY--5.9%
15,000 (b)Advanced Micro Devices, Inc. $ 600,000
45,000 Beckman Instruments, Inc. 2,098,125
7,000 (b)Cisco Systems, Inc. 474,250
41,000 Harris Corp. 3,633,625
17,000 Intel Corp. 2,575,500
18,000 (b)Quantum Corp. 699,750
10,000 (b)Seagate Technology, Inc. 406,250
20,000 (b)Sun Microsystems, Inc. 645,000
------------
Total 11,132,500
------------
ENERGY--6.6%
14,000 British Petroleum Co. PLC, ADR 2,028,250
42,290 Exxon Corp. 2,505,682
14,608 Mobil Corp. 2,043,294
10,000 Phillips Petroleum Co. 425,000
10,000 Royal Dutch Petroleum Co., ADR 1,952,500
78,000 Williams Cos., Inc. (The) 3,441,750
------------
Total 12,396,476
------------
FINANCE--15.2%
43,000 AMBAC 3,225,000
22,500 Amsouth Bancorporation 880,312
15,500 BankAmerica Corp. 1,811,562
20,500 CIGNA Corp. 3,561,875
26,000 Chase Manhattan Corp. 2,457,000
14,500 First Union Corp. 1,245,187
15,000 Marsh & McLennan Cos., Inc. 1,976,250
25,000 NationsBank Corp. 1,471,875
65,000 PNC Financial Corp. 2,721,875
28,500 Providian Corp. 1,706,438
28,000 Reliastar Financial Corp. 1,795,500
51,258 SouthTrust Corp. 1,992,655
30,000 Travelers Group, Inc. 1,646,250
44,214 USLIFE Corp. 2,155,433
------------
Total 28,647,212
------------
HEALTH TECHNOLOGY--0.9%
19,000 Merck & Co., Inc. 1,707,625
------------
MATERIALS & SERVICES--5.2%
10,000 Air Products & Chemicals, Inc. 777,500
7,000 Crown Cork & Seal Co., Inc. 407,750
55,000 Ecolab, Inc. 2,289,375
108,977 Ennis Business Forms, Inc. 1,076,148
80,000 Lubrizol Corp. 2,850,000
37,000 Praxair, Inc. 1,947,125
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE QUANTITATIVE EQUITY FUND
<TABLE>
<CAPTION>
Principal
Amount
or Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--continued
MATERIALS & SERVICES--CONTINUED
15,000 Sonoco Products Co. $ 436,875
------------
Total 9,784,773
------------
NON-ENERGY MINERALS--1.8%
10,000 Potash Corporation of
Saskatchewan, Inc. 821,250
35,000 Vulcan Materials Co. 2,555,000
------------
Total 3,376,250
------------
PRODUCER MANUFACTURING--3.5%
45,000 Ingersoll-Rand Co. 2,452,500
50,000 Timken Co. 3,431,250
10,000 Xerox Corp. 677,500
------------
Total 6,561,250
------------
TECHNOLOGY--8.5%
74,338 Comdisco, Inc. 2,741,214
41,000 (b)Compaq Computer Corp. 4,438,250
35,000 Computer Associates
International, Inc. 1,916,250
5,000 General Motors Corp. 286,250
25,000 Hewlett-Packard Co. 1,287,500
20,000 International Business Machines
Corp. 1,730,000
30,000 Lockheed Martin Corp. 2,808,750
7,000 Textron, Inc. 829,500
------------
Total 16,037,714
------------
TRANSPORTATION--1.4%
9,400 CSX Corp. 498,200
36,000 GATX Corp. 2,043,000
------------
Total 2,541,200
------------
UTILITIES--11.0%
47,671 Ameritech Corp. 3,122,450
73,000 BellSouth Corp. 3,312,375
57,000 Coastal Corp. 2,857,125
60,000 DQE 1,687,500
45,000 GPU, Inc. 1,575,000
Common Stocks--continued
UTILITIES--CONTINUED
40,000 New England Electric System $ 1,385,000
39,000 Panenergy Corp. 1,823,250
19,000 Pinnacle West Capital Corp. 558,125
37,193 SBC Communications, Inc. 2,175,791
28,508 Scana Corp. 712,700
30,000 Sprint Corp. 1,466,250
------------
Total 20,675,566
------------
Total Common Stocks
(identified cost $117,364,827) 174,015,204
------------
(d) U.S. Government Agencies--6.5%
$1,250,000 Federal Home Loan Bank System,
Discount Note, 6/18/1997 1,246,975
1,500,000 Federal Home Loan Bank System,
Discount Note, 6/26/1997 1,494,555
6,000,000 Federal Home Loan Mortgage
Corp., Discount Note, 6/19/1997 5,984,580
1,250,000 Federal Home Loan Mortgage
Corp., Discount Note, 6/20/1997 1,246,587
500,000 Federal National Mortgage
Association, Discount Note,
6/17/1997 498,870
750,000 Federal National Mortgage
Association, Discount Note,
6/19/1997 748,080
1,000,000 Federal National Mortgage
Association, Discount Note,
7/18/1997 982,018
------------
Total U.S. Government Agencies
(identified cost $12,200,333) 12,201,665
------------
(d) U.S. Treasury Obligation--0.3%
550,000 United States Treasury Bill,
6/5/1997 (identified cost
$549,691) 549,802
------------
(a) Repurchase Agreement--1.0%
1,856,868 Nomura Securities
International, Inc., 5.54%,
dated 5/30/1997, due
6/2/1997 (at amortized cost) 1,856,868
------------
Total Investments (identified
cost $131,971,719) $188,623,539
------------
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE EQUITY INDEX FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--88.3%
CAPITAL GOODS--4.6%
1,028 Aeroquip-Vickers, Inc. $ 44,590
7,825 Browning-Ferris Industries,
Inc. 256,269
7,032 Caterpillar, Inc. 686,499
1,464 Cincinnati Milacron, Inc. 33,855
3,968 Cooper Industries, Inc. 202,367
1,451 Cummins Engine Co., Inc. 92,501
2,832 Eaton Corp. 225,852
16,419 Emerson Electric Co. 886,626
1,493 Foster Wheeler Corp. 57,853
120,942 General Electric Co. 7,301,873
1,832 General Signal Corp. 77,173
1,217 Giddings & Lewis, Inc. 23,066
1,949 Grainger (W.W.), Inc. 156,407
1,806 Harnischfeger Industries, Inc. 77,431
4,656 Honeywell, Inc. 338,724
4,340 ITT Industries, Inc. 107,415
9,098 Illinois Tool Works, Inc. 451,488
4,020 Ingersoll-Rand Co. 219,090
11,533 Laidlaw, Inc., Class B 155,695
301 NACCO Industries, Inc., Class
A 15,313
2,854 PACCAR, Inc. 129,144
2,733 Parker-Hannifin Corp. 143,824
1,641 Raychem Corp. 121,638
2,139 Safety-Kleen Corp. 33,422
1,953 Thomas & Betts Corp. 99,359
17,740 Waste Management, Inc. 563,245
------------
Total 12,500,719
------------
CONSUMER CYCLICAL--0.1%
7,708 (b)Costco Cos., Inc. 260,145
------------
CONSUMER DURABLES--3.2%
2,751 American Greetings Corp.,
Class A 94,222
1,516 Armstrong World Industries,
Inc. 103,088
3,462 Black & Decker Corp. 120,305
1,062 Briggs & Stratton Corp. 54,826
3,615 Brunswick Corp. 110,258
1,061 Centex Corp. 42,307
25,805 Chrysler Corp. 819,309
3,022 Cooper Tire & Rubber Co. 67,617
3,739 Dana Corp. 135,071
9,400 Deere & Co. 480,574
4,132 Dover Corp. 236,556
12,240 Eastman Kodak Co. 1,014,390
2,292 Echlin, Inc. 76,496
Common Stocks--continued
CONSUMER DURABLES--CONTINUED
1,306 Fleetwood Enterprises, Inc. $ 35,262
43,541 Ford Motor Co. 1,632,788
27,766 General Motors Corp. 1,589,604
6,633 Genuine Parts Co. 222,206
5,706 Goodyear Tire & Rubber Co. 333,801
4,750 Hasbro, Inc. 137,750
1,420 Jostens, Inc. 34,968
1,428 Kaufman & Broad Homes Corp. 21,420
10,608 Mattel, Inc. 316,913
3,678 Maytag Corp. 98,386
5,834 Newell Co. 223,151
1,669 Polaroid Corp. 85,119
854 Pulte Corp. 27,008
5,501 Rubbermaid, Inc. 153,340
2,237 Snap-On Tools Corp. 89,200
3,265 Stanley Works 133,865
1,148 Timken Co. 78,781
2,286 Tupperware Corp. 82,867
2,731 Whirlpool Corp. 136,208
------------
Total 8,787,656
------------
CONSUMER NON-DURABLES-- 28.5%
28,533 Abbott Laboratories 1,797,578
2,053 Alberto-Culver Co., Class B 58,511
9,220 Albertsons, Inc. 308,870
2,404 Allergan, Inc. 71,219
6,251 American Brands, Inc. 306,298
23,456 American Home Products Corp. 1,788,520
5,354 American Stores Co. 243,607
9,713 (b)Amgen, Inc. 649,556
18,340 Anheuser-Busch Cos., Inc. 786,327
19,954 Archer-Daniels-Midland Co. 399,080
5,523 (b)AutoZone, Inc. 129,100
4,879 Avon Products, Inc. 311,036
2,095 Bard (C.R.), Inc. 67,040
2,039 Bausch & Lomb, Inc. 82,070
10,024 Baxter International, Inc. 528,765
4,516 Becton, Dickinson & Co. 222,413
3,648 (b)Beverly Enterprises, Inc. 51,527
3,821 Block (H&R), Inc. 126,093
6,535 (b)Boston Scientific Corp. 348,806
36,787 Bristol-Myers Squibb Co. 2,699,245
2,534 Brown-Forman Corp., Class B 129,551
5,280 CPC International, Inc. 454,080
14,568 (b)CUC International, Inc. 335,064
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE EQUITY INDEX FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--continued
CONSUMER NON-DURABLES--CONTINUED
3,883 CVS Corp. $ 185,899
17,163 Campbell Soup Co. 789,498
4,000 Cardinal Health, Inc. 233,000
3,871 (b)Charming Shoppes, Inc. 20,322
3,600 Circuit City Stores, Inc. 142,200
1,899 Clorox Co. 239,749
91,387 Coca-Cola Co. 6,237,163
10,790 Colgate-Palmolive Co. 668,980
24,657 Columbia/HCA Healthcare Corp. 903,063
11,987 Comcast Corp., Class A 208,274
8,819 ConAgra, Inc. 530,242
1,393 Coors Adolph Co., Class B 33,953
5,873 Darden Restaurants, Inc. 49,185
7,967 Dayton-Hudson Corp. 383,412
3,025 Deluxe Corp. 98,313
4,171 Dillards, Inc., Class A 140,771
24,796 Disney (Walt) Co. 2,030,173
5,542 Donnelley (R.R.) & Sons Co. 205,747
3,549 Dow Jones & Co. 137,967
6,253 Dun & Bradstreet Corp. 163,360
7,638 (b)Federated Department
Stores, Inc. 282,606
1,388 Fleming Cos., Inc. 26,372
2,824 (b)Fruit of the Loom, Inc.,
Class A 98,487
5,177 Gannett Co., Inc. 478,873
10,256 Gap (The), Inc. 351,268
5,931 General Mills, Inc. 375,136
2,199 Giant Foods, Inc., Class A 72,430
20,378 Gillette Co. 1,811,095
1,404 Great Atlantic & Pacific Tea
Co., Inc. 38,786
11,568 (b)HEALTHSOUTH Rehabilitation 264,618
4,726 (b)HFS, Inc. 254,613
2,612 Harcourt General, Inc. 123,744
1,134 Harland (John H.) Co. 25,940
3,779 (b)Harrah's Entertainment,
Inc. 70,384
13,525 Heinz (H.J.) Co. 581,575
5,640 Hershey Foods Corp. 316,545
9,075 Hilton Hotels Corp. 256,369
17,642 Home Depot, Inc. 1,111,446
5,973 (b)Humana, Inc. 135,139
4,273 (b)ITT Corp. 254,777
4,052 International Flavors &
Fragrances, Inc. 179,807
2,977 Interpublic Group Cos., Inc. 178,248
48,912 Johnson & Johnson 2,928,606
17,790 (b)K Mart Corp. 249,060
7,740 Kellogg Co. 570,825
20,754 Kimberly-Clark Corp. 1,040,293
Common Stocks--continued
CONSUMER NON-DURABLES--CONTINUED
1,373 (b)King World Productions,
Inc. $ 51,658
3,445 Knight-Ridder, Inc. 148,566
9,266 (b)Kroger Co., Inc. 237,441
20,267 Lilly (Eli) & Co. 1,884,831
9,956 Limited, Inc. 201,609
2,624 Liz Claiborne, Inc. 119,720
4,224 Loews Corp. 410,784
1,433 Longs Drug Stores Corp. 34,034
6,355 Lowe's Cos., Inc. 250,228
2,307 Manor Care, Inc. 66,038
4,702 Marriott Corp. 271,541
8,995 May Department Stores Co. 423,889
25,626 McDonald's Corp. 1,287,707
3,655 McGraw-Hill Cos., Inc. 199,653
8,816 Medtronic, Inc. 652,383
1,353 Mercantile Stores Co., Inc. 72,724
44,274 Merck & Co., Inc. 3,979,126
1,966 Meredith Corp. 50,870
5,226 (b)Morton International, Inc. 168,539
3,553 New York Times Co., Class A 163,660
10,591 Nike, Inc., Class B 603,687
2,946 Nordstrom, Inc. 141,408
9,072 Penney (J.C.) Co., Inc. 467,208
2,224 Pep Boys--Manny Moe & Jack 69,500
57,060 PepsiCo, Inc. 2,096,954
23,676 Pfizer, Inc. 2,435,668
18,662 Pharmacia & Upjohn, Inc. 646,172
89,736 Philip Morris Cos., Inc. 3,948,384
3,026 Pioneer Hi-Bred International 211,064
24,956 Procter & Gamble Co. 3,440,809
4,990 Quaker Oats Co. 205,838
3,905 Ralston Purina Co. 332,901
2,044 Reebok International Ltd. 83,804
4,501 Rite Aid Corp. 209,296
1,405 Russell Corp. 43,027
17,668 Sara Lee Corp. 722,180
13,567 Schering Plough Corp. 1,231,205
13,617 Seagram Co. Ltd. 548,084
14,380 Sears, Roebuck & Co. 706,418
8,657 Service Corp. International 305,159
740 Springs Industries, Inc.,
Class A 37,463
2,975 (b)St. Jude Medical, Inc. 100,778
1,822 Stride Rite Corp. 27,786
2,458 Super Valu Stores, Inc. 82,036
6,488 Sysco Corp. 226,269
2,855 TJX Cos., Inc. 137,040
24,390 (b)Tele-Communications, Inc.,
Class A 368,899
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE EQUITY INDEX FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--continued
CONSUMER NON-DURABLES--CONTINUED
11,065 (b)Tenet Healthcare Corp. $ 304,288
20,883 Time Warner, Inc. 971,060
3,632 Times Mirror Co., Class A 203,846
10,667 (b)Toys -R- Us, Inc. 332,010
4,524 Tribune Co. 195,663
2,306 U.S. Surgical Corp. 77,828
6,838 UST, Inc. 194,883
5,878 Unilever N.V., ADR 1,138,863
6,759 United Healthcare Corp. 381,884
2,340 V.F. Corp. 182,813
12,994 (b)Viacom, Inc., Class B 385,759
84,251 Wal-Mart Stores, Inc. 2,506,467
9,040 Walgreen Co. 422,620
9,963 Warner-Lambert Co. 1,003,772
4,751 Wendy's International, Inc. 111,055
22,187 Westinghouse Electric Corp. 449,287
3,811 Whitman Corp. 91,940
5,514 Winn-Dixie Stores, Inc. 210,911
4,921 Woolworth (F.W.) Co. 118,719
4,267 Wrigley (Wm.), Jr. Co. 252,820
------------
Total 77,013,195
------------
ELECTRONIC TECHNOLOGY--9.7%
6,463 (b)3Com Corp. 313,456
8,065 AMP, Inc. 331,673
5,015 (b)Advanced Micro Devices,
Inc. 200,600
4,456 (b)Amdahl Corp. 44,560
3,338 (b)Andrew Corp. 90,961
4,579 (b)Apple Computer, Inc. 76,126
6,645 (b)Applied Materials, Inc. 433,586
7,246 (b)Bay Networks, Inc. 177,527
13,161 Boeing Co. 1,385,195
5,723 (b)Cabletron Systems, Inc. 251,812
2,532 (b)Ceridian Corp. 93,051
24,146 (b)Cisco Systems, Inc. 1,635,891
9,946 (b)Compaq Computer Corp. 1,076,654
2,809 (b)Computer Sciences Corp. 217,345
4,306 (b)DSC Communications Corp. 110,072
1,467 (b)Data General Corp. 31,357
6,431 (b)Dell Computer Corp. 723,488
5,776 (b)Digital Equipment Corp. 207,213
1,739 EG & G, Inc. 33,911
9,026 (b)EMC Corp. Mass 359,912
2,317 General Dynamics Corp. 173,485
5,029 (b)General Instrument Corp. 121,953
1,433 Harris Corp. 127,000
37,248 Hewlett-Packard Co. 1,918,272
30,140 Intel Corp. 4,566,210
Common Stocks--continued
ELECTRONIC TECHNOLOGY--CONTINUED
1,748 (b)Intergraph Corp. $ 12,345
38,018 International Business
Machines Corp. 3,288,556
5,158 (b)LSI Logic Corp. 215,347
7,078 Lockheed Martin Corp. 662,678
7,792 McDonnell-Douglas Corp. 501,610
7,696 Micron Technology, Inc. 327,080
21,776 Motorola, Inc. 1,445,382
5,125 (b)National Semiconductor
Corp. 144,141
9,490 Northern Telecom Ltd. 797,160
2,120 Northrop Corp. 179,670
12,710 (b)Novell, Inc. 100,091
1,602 Perkin-Elmer Corp. 121,752
8,669 Raytheon Co. 413,945
8,042 Rockwell International Corp. 518,709
2,839 Scientific-Atlanta, Inc. 51,457
9,080 (b)Seagate Technology, Inc. 368,875
6,479 (b)Silicon Graphics, Inc. 122,291
13,519 (b)Sun Microsystems, Inc. 435,988
4,365 (b)Tandem Computers, Inc. 62,201
1,212 Tektronix, Inc. 69,539
6,584 (b)Tellabs, Inc. 330,846
6,994 Texas Instruments, Inc. 628,586
6,421 (b)Unisys Corp. 44,144
8,717 United Technologies Corp. 700,629
------------
Total 26,244,332
------------
ENERGY MINERALS--8.2%
3,421 Amerada-Hess Corp. 183,024
18,264 Amoco Corp. 1,632,345
2,389 Ashland, Inc. 114,373
5,916 Atlantic Richfield Co. 860,778
5,341 Baker Hughes, Inc. 200,288
4,588 Burlington Resources, Inc. 213,342
23,963 Chevron Corp. 1,677,410
6,458 Dresser Industries, Inc. 221,187
9,346 Enron Corp. 380,850
2,558 Enserch Corp. 54,676
91,218 Exxon Corp. 5,404,666
3,082 Fluor Corp. 162,960
4,598 Halliburton Co. 355,770
915 Helmerich & Payne, Inc. 51,354
1,782 Kerr-McGee Corp. 115,385
1,255 Louisiana Land & Exploration
Co. 64,633
2,017 McDermott International, Inc. 55,972
14,470 Mobil Corp. 2,023,991
12,080 Occidental Petroleum Corp. 280,860
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE EQUITY INDEX FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--continued
ENERGY MINERALS--CONTINUED
1,003 Oneok, Inc. $ 30,341
3,850 (b)Oryx Energy Co. 89,031
1,709 Pennzoil Co. 94,636
9,666 Phillips Petroleum Co. 410,805
3,142 (b)Rowan Companies, Inc. 72,659
19,689 Royal Dutch Petroleum Co., ADR 3,844,277
3,333 (b)Santa Fe Energy Resource,
Inc. 50,412
9,046 Schlumberger Ltd. 1,077,604
3,168 Sonat, Inc. 182,160
2,681 Sun Co., Inc. 80,095
9,713 Texaco, Inc. 1,059,930
10,560 USX Corp. 314,160
9,197 Unocal Corp. 392,022
1,970 (b)Western Atlas, Inc. 133,468
5,766 Williams Cos., Inc. (The) 254,424
------------
Total 22,139,888
------------
FINANCE--13.4%
5,965 AON Corp. 290,794
5,543 Aetna Services Inc. 559,843
3,875 Ahmanson (H.F.) & Co. 157,906
16,332 Allstate Corp. 1,202,444
17,405 American Express Co. 1,209,648
7,469 American General Corp. 330,503
17,245 American International Group,
Inc. 2,334,542
15,697 Banc One Corp. 678,895
14,405 Bank of New York Co., Inc. 614,013
13,179 BankAmerica Corp. 1,540,296
5,618 BankBoston Corp. 410,114
3,003 Bankers Trust New York Corp. 254,129
7,666 Barnett Banks, Inc. 403,423
1,985 Beneficial Corp. 127,536
2,761 CIGNA Corp. 479,724
16,118 Chase Manhattan Corp. 1,523,151
6,391 Chubb Corp. 389,851
17,013 Citicorp 1,945,862
3,946 Comerica, Inc. 246,625
6,239 Conseco, Inc. 249,560
8,212 Corestates Financial Corp. 434,210
11,809 Dean Witter, Discover & Co. 487,121
26,267 Federal Home Loan Mortgage
Corp. 866,811
40,108 Federal National Mortgage
Association 1,749,712
3,889 Fifth Third Bancorp 300,425
4,941 First Bank System, Inc. 405,162
Common Stocks--continued
FINANCE--CONTINUED
11,711 First Chicago NBD Corp. $ 693,877
10,421 First Union Corp. 894,903
9,635 Fleet Financial Group, Inc. 588,939
3,025 General RE Corp. 530,131
2,106 Golden West Financial Corp. 142,682
5,058 Great Western Financial Corp. 245,313
5,048 Green Tree Financial Corp. 176,680
4,314 Hartford Financial Services
Group, Inc. 336,492
3,562 Household International, Inc. 349,967
6,802 J.P. Morgan & Co., Inc. 731,215
2,598 Jefferson-Pilot Corp. 165,298
8,279 KeyCorp 450,171
3,831 Lincoln National Corp. 233,212
1,588 MBIA Insurance Corporation 170,512
12,272 MBNA Corp. 415,714
2,165 MGIC Investment Corp. 192,685
3,000 Marsh & McLennan Cos., Inc. 395,250
4,753 Mellon Bank Corp. 415,888
6,049 Merrill Lynch & Co., Inc. 641,194
5,599 Morgan Stanley Group, Inc. 377,933
8,198 National City Corp. 422,197
28,314 NationsBank Corp. 1,666,987
13,602 Norwest Corp. 727,707
12,322 PNC Financial Corp. 515,984
3,442 Providian Corp. 206,090
2,028 Republic New York Corp. 202,293
3,007 Ryder Systems, Inc. 99,607
4,630 SAFECO Corp. 201,405
4,005 Salomon, Inc. 214,768
6,500 Schwab (Charles) Corp. 264,063
3,048 St. Paul Cos., Inc. 218,313
8,191 SunTrust Banks, Inc. 437,195
2,584 Torchmark Corp. 169,575
2,433 Transamerica Corp. 221,099
23,467 Travelers Group, Inc. 1,287,752
5,549 U.S. Bancorp. 340,570
2,687 UNUM Corp. 212,609
4,248 USF&G Corp. 91,332
1,262 USLIFE Corp. 61,523
6,068 Wachovia Corp. 369,390
3,397 Wells Fargo & Co. 895,110
------------
Total 36,165,925
------------
HEALTH CARE--0.1%
2,723 Guidant Corp. 211,373
------------
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE EQUITY INDEX FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--continued
MATERIALS AND SERVICES--6.7%
1,571 ASARCO, Inc. $ 48,897
4,102 Air Products & Chemicals, Inc. 318,931
8,309 Alcan Aluminum, Ltd. 298,085
6,403 Allegheny Teledyne, Inc. 164,877
10,387 Allied-Signal, Inc. 797,202
6,369 Aluminum Co. of America 468,917
3,106 (b)Alza Corp. 91,627
3,916 (b)Armco, Inc. 14,685
3,828 Avery Dennison Corp. 144,029
1,121 Ball Corp. 32,649
13,120 Barrick Gold Corp. 331,280
8,250 Battle Mountain Gold Co. 50,531
1,923 Bemis Co., Inc. 76,920
4,101 (b)Bethlehem Steel Corp. 41,010
4,202 Biomet, Inc. 78,524
1,780 Boise Cascade Corp. 67,640
2,695 Case Corp. 159,005
3,509 Champion International Corp. 173,257
6,253 Cognizant Corp. 231,361
8,397 Corning, Inc. 422,998
1,688 Crane Co. 69,208
4,712 Crown Cork & Seal Co., Inc. 274,474
3,424 Cyprus Amax Minerals 83,460
8,925 Dow Chemical Co. 744,122
20,678 Du Pont (E.I.) de Nemours
& Co. 2,251,317
2,854 Eastman Chemical Co. 169,813
5,118 Echo Bay Mines Ltd. 31,348
2,371 Ecolab, Inc. 98,693
5,283 Engelhard Corp. 114,245
1,364 (b)FMC Corp. 98,208
16,439 First Data Corp. 657,560
7,098 Freeport-McMoRan Copper &
Gold, Inc., Class B 206,729
3,356 Georgia-Pacific Corp. 296,167
1,972 Goodrich (B.F.) Co. 84,796
3,049 Grace (W.R.) & Co. 159,310
2,324 Great Lakes Chemical Corp. 113,586
3,760 Hercules, Inc. 176,250
5,387 Homestake Mining Co. 74,744
6,180 Inco Ltd. 203,940
1,798 Inland Steel Industries, Inc. 44,276
11,024 International Paper Co. 529,152
3,161 James River Corp. of Virginia 111,030
3,994 Louisiana-Pacific Corp. 77,883
Common Stocks--continued
MATERIALS AND SERVICES--CONTINUED
2,717 Mallinckrodt, Inc. $ 101,548
5,893 Masco Corp. 229,090
1,919 Mead Corp. 122,336
1,589 Millipore Corp. 68,526
15,352 Minnesota Mining &
Manufacturing Co. 1,408,546
21,597 Monsanto Co. 950,268
2,474 Nalco Chemical Co. 91,847
1,665 National Service Industries,
Inc. 73,052
3,655 Newmont Mining Corp. 143,002
3,222 Nucor Corporation 190,098
1,912 Owens Corning 79,826
6,735 PPG Industries, Inc. 391,472
4,620 Pall Corp. 109,147
2,381 Phelps Dodge Corp. 199,111
8,794 Placer Dome, Inc. 160,491
1,059 Potlatch Corp. 45,405
5,746 Praxair, Inc. 302,383
2,339 Reynolds Metals Co. 158,760
2,350 Rohm & Haas Co. 202,688
6,306 Sherwin-Williams Co. 189,180
3,672 Sigma-Aldrich Corp. 112,455
3,642 Stone Container Corp. 50,078
2,035 Temple-Inland, Inc. 123,118
6,272 Tenneco, Inc. 280,672
5,483 (b)Thermo Electron Corp. 189,164
6,124 Tyco International, Ltd. 388,874
3,114 USX-U.S. Steel Group, Inc. 100,427
2,558 Union Camp Corp. 134,295
4,677 Union Carbide Corp. 218,650
3,742 Westvaco Corp. 116,938
7,284 Weyerhaeuser Co. 363,290
2,032 Willamette Industries, Inc. 151,383
3,545 Worthington Industries, Inc. 65,583
------------
Total 18,194,439
------------
TECHNOLOGY SERVICES--5.4%
59,511 AT&T Corp. 2,194,468
2,664 Adobe System, Inc. 118,881
18,417 (b)Airtouch Communications,
Inc. 513,374
1,754 Autodesk, Inc. 68,187
10,727 Automatic Data Processing,
Inc. 526,964
13,337 Computer Associates
International, Inc. 730,201
4,946 Ikon Office Solutions, Inc. 143,434
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE EQUITY INDEX FUND
<TABLE>
<CAPTION>
Shares or
Principal
Amount Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--continued
TECHNOLOGY SERVICES--CONTINUED
3,057 Johnson Controls, Inc. $ 129,540
25,156 MCI Communications Corp. 965,362
44,191 (b)Microsoft Corp. 5,479,684
3,668 Moore Corp. Ltd. 81,613
24,829 (b)Oracle Corp. 1,157,652
4,683 (b)Parametric Technology Corp. 210,150
5,452 Pitney Bowes, Inc. 383,003
864 Shared Medical Systems Corp. 45,792
4,664 TRW, Inc. 249,524
2,140 Tandy Corp. 115,560
3,037 Textron, Inc. 359,885
22,942 (b)U.S. West Media Group 455,972
11,921 Xerox Corp. 807,648
------------
Total 14,736,894
------------
TRANSPORTATION--1.2%
3,341 (b)AMR Corp. 332,012
5,618 Burlington Northern Santa Fe 466,294
7,967 CSX Corp. 422,251
1,438 Caliber System, Inc. 46,016
2,686 Delta Air Lines, Inc. 251,813
4,190 (b)Federal Express Corp. 219,451
2,696 (b)Navistar International
Corp. 44,821
4,594 Norfolk Southern Corp. 446,192
5,327 Southwest Airlines Co. 137,170
2,357 (b)USAir Group, Inc. 81,906
8,991 Union Pacific Corp. 609,140
9,175 Union Pacific Resources Group,
Inc. 264,928
------------
Total 3,321,994
------------
UTILITIES--7.2%
6,876 Alltel Corp. 226,049
6,884 American Electric Power Co.,
Inc. 280,523
20,178 Ameritech Corp. 1,321,659
5,420 Baltimore Gas & Electric Co. 142,275
16,079 Bell Atlantic Corp. 1,125,530
36,406 BellSouth Corp. 1,651,922
5,561 Carolina Power & Light Co. 193,245
7,746 Central & SouthWest Corp. 164,603
5,791 Cinergy Corp. 202,685
3,865 Coastal Corp. 193,733
2,028 Columbia Gas System, Inc. 130,553
8,631 Consolidated Edison Co. 251,378
3,483 Consolidated Natural Gas Co. 185,034
5,330 DTE Energy Co. 141,911
6,618 Dominion Resources, Inc. 229,148
Common Stocks--continued
UTILITIES--CONTINUED
7,404 Duke Power Co. $ 333,180
746 Eastern Enterprises 25,737
15,912 Edison International 371,943
8,482 Entergy Corp. 223,713
6,721 FPL Group, Inc. 312,527
6,012 Frontier Corp. 110,471
4,428 GPU, Inc. 154,980
35,327 GTE Corp. 1,558,804
8,610 Houston Industries, Inc. 178,658
23,439 Lucent Technologies, Inc. 1,491,306
1,830 NICOR, Inc. 62,906
16,160 NYNEX Corp. 868,600
5,302 Niagara Mohawk Power Corp. 46,393
5,043 Noram Energy Corp. 76,906
2,537 Northern States Power Co. 124,313
5,604 Ohio Edison Co. 119,085
15,141 P G & E Corp. 350,136
5,960 P P & L Resources, Inc. 119,945
3,124 Pacific Enterprises 102,311
10,823 Pacificorp 215,107
5,548 Panenergy Corp. 259,369
8,174 Peco Energy Co. 155,306
1,285 Peoples Energy Corp. 45,618
8,758 Public Service Enterprises
Group, Inc. 216,761
33,675 SBC Communications, Inc. 1,969,988
24,742 Southern Co. 525,768
15,809 Sprint Corp. 772,665
8,249 Texas Utilities Co. 283,559
17,605 U.S. West, Inc. 644,783
7,921 Unicom Corp. 180,203
3,751 Union Electric Co. 137,380
31,793 (b)WorldCom, Inc. 941,868
------------
Total 19,420,537
------------
Total Common Stocks
(identified cost $137,159,924) 238,997,097
------------
Warrants--0.0%
29 Morrison Knudsen Corp., Exp.
3/11/2002 (identified cost $0) 185
------------
(d) U.S. Government Agencies--10.7%
$ 2,000,000 Federal Home Loan Bank System
6/18/1997 1,995,160
1,000,000 Federal Home Loan Bank System
6/23/1997 996,840
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE EQUITY INDEX FUND
<TABLE>
<CAPTION>
Principal
Amount Value
<C> <S> <C>
- ---------------------------------------------------------
(d) U.S. Government Agencies--continued
$ 2,000,000 Federal Home Loan Bank System
6/26/1997 $ 1,992,740
6,000,000 Federal Home Loan Mortgage
Corp. 6/19/1997 5,984,580
10,000,000 Federal Home Loan Mortgage
Corp. 6/20/1997 9,972,700
5,000,000 Federal National Mortgage
Association 6/17/1997 4,988,700
2,000,000 Federal National Mortgage
Association 9/18/1997 1,967,060
1,000,000 Federal National Mortgage
Association 9/29/1997 981,820
------------
Total U.S. Government Agencies
(identified cost $28,860,879) 28,879,600
------------
(d) U.S. Treasury Bill--0.5%
$ 1,250,000 6/12/1997 (identified cost
$1,248,043) $ 1,248,538
------------
(a) Repurchase Agreement--0.4%
1,232,709 Nomura Securities
International, Inc., 5.54%,
dated 5/30/1997, due 6/2/1997
(at amortized cost) 1,232,709
------------
Total Investments
(identified cost $168,501,555) $270,358,129
------------
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE SPECIAL VALUES FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--90.2%
BASIC MATERIALS--0.5%
33,600 Consolidated Tomoka Co. $ 558,600
-----------
CAPITAL GOODS--4.3%
150,000 (b)Ansaldo Signal NV 881,250
13,000 Franklin Electronics, Inc. 617,500
30,000 Greif Brothers Corp., Class A 840,000
72,000 (b)Harding Lawson Associates
Group 486,000
55,000 Twin Disc, Inc. 1,320,000
-----------
Total 4,144,750
-----------
COMMERCIAL SERVICES--1.2%
4,000 Grey Advertising, Inc. 1,168,000
-----------
CONSUMER CYCLICAL--3.1%
40,000 (b)Department 56, Inc. 845,000
100,000 Johns Manville Corp. 1,137,500
45,290 Primex Technologies, Inc. 1,052,993
-----------
Total 3,035,493
-----------
CONSUMER DURABLES--4.4%
16,000 Allen Organ Co., Class B 638,000
29,000 Boston Acoustics, Inc. 725,000
62,900 Intermet Corp. 880,600
25,000 National Presto Industries, Inc. 943,750
35,000 Stanhome, Inc. 1,098,125
-----------
Total 4,285,475
-----------
CONSUMER NON-DURABLES--10.1%
60,000 (b)Anacomp, Inc. 780,000
63,000 (b)Buckhead America Corp. 437,063
70,000 CPI Corp. 1,312,500
42,000 (b)Cardinal Realty Services,
Inc. 1,008,000
30,000 (b)Carson Pirie Scott & Co. 967,500
200,000 Cordiant PLC, ADR 1,200,000
21,000 (b)Craig Corp. 354,375
25,000 Eskimo Pie Corp. 304,687
150,000 (b)Host Marriott Services Corp. 1,500,000
130,000 (b)Oneita Industries, Inc. 105,625
12,000 Plenum Publishing Corp. 433,500
110,000 (b)Spaghetti Warehouse, Inc. 556,875
11,000 Velco Industries N.V. 825,000
-----------
Total 9,785,125
-----------
CONSUMER SERVICES--1.9%
25,360 (b)Chris Craft Industries, Inc. 1,084,140
19,000 (b)GC Cos., Inc. 807,500
-----------
Total 1,891,640
-----------
CONSUMER STAPLES--0.8%
4,000 (b)Dick Clark Productions, Inc. 49,000
45,000 Jones Intercable Investors 689,063
-----------
Total 738,063
-----------
Common Stocks--continued
ENERGY--10.4%
41,000 (b)Alamco, Inc. $ 625,250
75,000 (b)American Pacific Corp. 487,500
11,000 (b)Atwood Oceanics, Inc. 737,000
30,000 Berry Petroleum Co., Class A 450,000
10,800 (b)Crystal Oil Corp. 378,000
47,000 (b)Dawson Production Services,
Inc. 528,750
18,000 (b)Destec Energy, Inc. 382,500
60,000 (b)Ensearch Exploration, Inc. 652,500
80,000 (b)Forest Oil Corp. 1,120,000
24,000 Holly Corp. 600,000
100,000 (b)McFarland Energy 1,275,000
55,000 (b)Offshore Energy Development
Corp. 264,688
500 Oilgear Co. 8,500
600,000 (b)Saxon Petroleum, Inc. 369,110
71,000 Snyder Oil Corp. 1,295,750
60,000 Wiser Oil Co. 937,500
-----------
Total 10,112,048
-----------
FINANCE--18.8%
55,000 Angeles Mortgage Investment
Trust, Class A 776,875
50,000 Argonaut Group, Inc. 1,475,000
5,000 Capital Southwest Corp. 356,875
54,000 (b)Capsure Holdings Corp. 675,000
71,000 (b)Danielson Holding Corp. 505,875
40,000 Eaton Vance Corp. 985,000
34,200 Financial Security Assurance
Holdings Ltd. 1,235,475
15,000 Forest City Enterprises, Inc.,
Class A 661,875
1,950 Forest City Enterprises, Inc.,
Class B 84,825
11,000 Fund American Enterprises, Inc. 1,116,500
58,800 Guaranty National Corp. 1,264,200
24,000 IPC Holdings Ltd. 612,000
40,000 John Nuveen & Co., Inc., Class A 1,180,000
30,000 (b)Kaiser Ventures, Inc. 296,250
40,000 Leucadia National Corp. 1,195,000
16,600 Liberty Corp. 659,850
50,000 Merchants Group, Inc. 956,250
10,000 Meridian Insurance Group, Inc. 148,750
12,000 NAC Re Corp. 478,500
30,000 PXRE Corp. 810,000
40,000 Price Enterprises, Inc. 735,000
7,600 Security Connecticut Corp. 369,550
25,000 Somerset Group, Inc. 356,250
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE SPECIAL VALUES FUND
<TABLE>
<CAPTION>
Principal
Amount
or Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--continued
FINANCE--CONTINUED
18,000 Stewart Information Services
Corp. $ 353,250
50,000 (b)Superior National Insurance
Group, Inc. 600,000
35,500 Unico American Corp. 377,188
-----------
Total 18,265,338
-----------
HEALTHCARE--1.1%
67,000 (b)America Service Group, Inc. 720,250
25,000 (b)Medical Resources, Inc. 346,875
-----------
Total 1,067,125
-----------
SERVICES--22.6%
15,500 AK Steel Holding Corp. 602,562
25,000 (b)Alltrista Corp. 600,000
20,600 Amcast Industrial Corp. 504,700
39,200 (b)Audits & Surveys, Inc. 110,250
28,000 (b)Banister Foundation, Inc. 310,625
20,000 Blount International, Inc.,
Class A 825,000
30,000 Cascade Corp. 506,250
30,000 Cleveland Cliffs, Inc. 1,267,500
30,000 Duff & Phelps Credit Rating 870,000
120,000 (b)Emcor Group Inc. 1,728,750
60,000 Furon Co. 1,530,000
40,000 (b)Hanger Orthopedic Group, Inc. 357,500
40,000 (b)Healthcare Services Group,
Inc. 460,000
90,000 (b)Isomedix, Inc. 1,406,250
26,700 Keystone International, Inc. 871,088
68,400 LTV Corp. 957,600
39,400 Lafarge Corp. 975,150
65,000 Midwest Grain Products, Inc. 771,875
100,000 (b)Morrison Knudsen Corp. 1,262,500
20,000 Raven Industries, Inc. 475,000
40,000 Roanoke Electric Corp. 647,500
132,500 (b)Steel West Virginia, Inc. 1,258,750
100,000 (b)Todd Shipyards Corp. 437,500
18,000 United Wisconsin Services, Inc. 641,250
40,000 Varlen Corp. 1,010,000
22,700 (b)Vertex Communications Corp. 519,263
16,000 (b)White River Corp. 1,024,000
-----------
Total 21,930,863
-----------
TECHNOLOGY SERVICES--10.5%
100,000 (b)4Front Software,
International, Inc. 393,750
10,000 (b)Astrosystems, Inc. 53,750
130,000 (b)ESCO Electronics Corporation 1,348,750
18,000 (b)Electroglas, Inc. 452,812
Common Stocks--continued
TECHNOLOGY SERVICES--CONTINUED
30,000 (b)Evans & Sutherland Computer
Co. $ 787,500
35,000 (b)Exar Corp. 643,125
40,000 (b)FSI International, Inc. 560,000
34,000 (b)Moore Products Co. 748,000
85,000 Salient 3 Communications, Inc.,
Class A 1,105,000
50,000 (b)Silicon Valley Group, Inc. 1,196,875
64,250 Timberline Software Corp. 505,969
160,600 United Industrial Corp. 1,324,950
55,000 (b)Wang Laboratories, Inc. 1,127,500
-----------
Total 10,247,981
-----------
TRANSPORTATION--0.5%
27,000 (b)Kirby Corp. 509,625
-----------
Total Common Stocks
(identified cost $74,042,575) 87,740,126
-----------
Corporate Bonds--0.9%
CONSUMER DURABLES--0.3%
$ 275,000 Bally Total Fitness Holding
Corp., Sr. Sub. Note, 13.00%,
1/15/2003 279,125
-----------
INDUSTRIAL SERVICES--0.2%
250,000 American Rice Inc., Mtg. Bond,
13.00%, 7/31/2002 256,250
-----------
TRANSPORTATION--0.4%
365,000 Trans World Airlines, Inc., Sr.
Note, 12.00%, 11/3/1998 363,175
-----------
Total Corporate Bonds
(identified cost $831,419) 898,550
-----------
Mutual Fund Shares--0.6%
130,000 Royce Global Trust, Inc.
(identified cost $604,500) 625,625
-----------
Preferred Stock--0.7%
43,000 Craig Corp., Pfd. (identified
cost
$484,174) 693,375
-----------
(a) Repurchase Agreement--7.6%
7,361,354 Nomura Securities International,
Inc., 5.54%, dated 5/30/1997,
due
6/2/1997 (at amortized cost) 7,361,354
-----------
Total Investments
(identified cost $83,324,022) $97,319,030
-----------
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE EMERGING MARKETS FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--80.4%
ARGENTINA--7.1%
35,000 Banco de Galicia y Buenos
Aires S.A. de C.V., Class B,
ADR $ 918,750
30,000 (b)Bansud S.A., Class B 471,236
90,000 Central Costanera S.A.,
Class B 328,664
235,403 (b)Compania Naviera Perez
Companc, S.A., Class B 1,801,734
11,000 (b)IRSA Inversiones y
Representaciones S.A., GDR 430,375
20,000 Importadora y Exportadora 278,139
115,668 Juan Minetti, S.A. 514,980
41,000 Quilmes Industrial, S.A.,
ADR 476,625
124,000 Siderar, S.A., Class A 543,392
350,000 Siderca, S.A., Class A 840,420
24,000 (b)Telecom Argentina, S.A.,
ADR 1,281,000
30,000 Telefonica de Argentina,
S.A., ADR 1,087,500
92,000 YPF Sociedad Anonima, ADR 2,760,000
------------
Total 11,732,815
------------
BRAZIL--1.2%
3,000,000 Companhia Paulista de
Forca e Luz 438,860
4,000,000 (b)Companhia de
Electricidade do Estado da
Bahia 336,291
1,500,000 Light Participacoes, S.A. 493,199
25,000 (b)Makro Atacadista, S.A.,
GDR 314,993
11,000,000 Siderurgica Nacional 359,645
------------
Total 1,942,988
------------
CHILE--5.4%
25,000 (b)Banco de A. Edwards, ADR 521,875
36,500 Chilgener, S.A., ADR 1,003,750
15,800 Compania Cervecerias Unidas,
S.A., ADR 375,250
82,000 Compania Telecomunicacion
Chile, S.A., ADR 2,808,500
20,600 Cristalerias de Chile, S.A.,
ADR 478,950
9,000 (b)Embotelladora Andina,
S.A., Class B, ADR 192,375
25,500 Empresa Nacional
Electricidad, S.A., ADR 573,750
38,500 (b)Enersis, S.A., ADR 1,337,875
8,900 Madeco S.A., ADR 228,063
35,000 (b)Maderas Y Sinteticos,
S.A., ADR 542,500
18,000 Santa Isabel S.A., ADR 524,250
Common Stocks--continued
CHILE--CONTINUED
5,000 Sociedad Quimica Y Minera De
Chile, ADR $ 325,000
------------
Total 8,912,138
------------
CHINA--1.9% 10,000 (b)Guangshen Railway Co.
Ltd., Class H, ADR 240,000
2,200,000 Harbin Power Equipment Co.,
Class H 462,799
11,500 (b)Huaneng Power
International, Inc., Class
N, ADR 276,000
2,000,000 Maanshan Iron & Steel Co.,
Class H 420,727
1,600,000 Qingling Motors Co., Class H 887,914
1,000,000 Shanghai Petrochemical
Corp., Ltd. 246,499
6,000 Shanghai Petrochemcial
Corp., Ltd., Class H, ADR 145,500
2,000,000 Yizheng Chemcial Fibre
Co., Ltd. 392,334
------------
Total 3,071,773
------------
CROATIA--0.2%
20,000 Pliva D.D., GDR 310,000
------------
CZECH REPUBLIC--0.5%
3,000 (b)Ceske Energeticke Zavody
A.S. (CEZ) 83,021
5,000 (b)CKD Praha Holding A.S. 114,565
724 (b)Elektrarny Opatovice A.S. 90,506
12,500 (b)Komercni Banka A.S., GDR 303,125
2,500 SPT Telekom A.S. 230,281
5,700 (b)Sporitelni Privatiz IF
Cesky 61,976
------------
Total 883,474
------------
EGYPT--1.0%
50,000 (b)Commercial International
Bank Egypt, GDR 985,000
40,000 (b)Suez Cement Co., Class S,
GDR 734,000
------------
Total 1,719,000
------------
GREECE--3.8%
18,750 Alpha Credit Bank 1,383,624
22,350 Edrassi Psallidas 177,206
5,500 Ergo Bank, S.A. 387,735
18,680 Goody's, S.A. 468,266
24,000 Hellenic Bottling Co., S.A. 905,296
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE EMERGING MARKETS FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--continued
GREECE--CONTINUED
12,000 Hellenic Cables, S.A. $ 219,732
13,200 Hellenic Technodomiki, S.A. 144,781
17,000 (e)Hellenic
Telecommunications
Organization 423,350
24,000 Michaniki, S.A. 210,943
4,455 National Bank of Greece 605,290
32,500 Sarantis, S.A. 404,673
9,350 Titan Cement Co. 931,713
------------
Total 6,262,609
------------
HONG KONG--5.7%
375,000 Amoy Properties Ltd. 425,889
115,000 (b)Cheung Kong Holdings Ltd. 1,176,195
110,000 China Light and Power Co. 550,816
250,000 Citic Pacific Ltd. 1,429,309
100,000 Dah Sing Financial Group 490,417
500,000 GZI Transportation Ltd. 287,152
75,000 (b)Guoco Group Ltd. 361,038
84,400 HSBC Holdings PLC 2,559,721
60,000 (b)Hong Kong Electric
Holdings Ltd. 216,042
10,000 (b)Hong Kong
Telecommunications, Ltd.,
ADR 226,250
50,000 Hutchison Whampoa Ltd. 416,209
75,000 (b)Sun Hung Kai Properties 921,953
25,000 Swire Pacific Ltd., Class A 209,718
75,000 Wheelock & Co. Ltd. 183,423
------------
Total 9,454,132
------------
HUNGARY--1.8%
4,000 (b)(e)Borsodchem RT, GDR 144,000
8,000 Danubius Hotels and Spa RT 244,695
4,000 EGIS RT 240,326
35,000 (b)Euronet Services, Inc.,
ADR 385,000
10,000 (b)(e)Gedeon Richter, Ltd.,
GDR 830,000
450 Inter-Europa Bank RT 106,672
15,000 (b)(e)MOL Magyar Olaj, GDR 280,125
10,000 (b)OTP Bank, GDR 235,000
3,500 Pick Szeged RT 238,960
25,000 (b)Zalakeramia RT, GDR 196,250
------------
Total 2,901,028
------------
INDIA--1.9%
4,800 (b)Bajaj Auto Ltd., GDR 168,000
13,800 (b)BSES Ltd., GDR 345,000
6,750 (b)East India Hotels Ltd.,
GDR 106,313
11,000 (b)Grasim Industries Ltd.,
GDR 140,250
17,000 Gujarat Ambuja Cements
Ltd., GDR 156,825
Common Stocks--continued
INDIA--CONTINUED
7,500 (b)(e)Hindalco Industries
Ltd., GDR $ 247,500
8,500 (b)Indian Hotels Co., Ltd,
GDR 194,225
14,500 (b)Larsen & Toubro Ltd., GDR 191,763
20,500 (b)Mahindra and Mahindra
Ltd., GDR 266,500
11,000 Ranbaxy Laboratories Ltd.,
GDR 245,850
9,000 Reliance Industries Ltd.,
GDR 173,400
20,000 (b)(e)State Bank of India,
GDR 512,500
10,000 (b)(e)Steel Authority of
India
Ltd., GDR 81,250
350 Tata Electric Co., GDR 120,750
6,400 (b)Tata Engineering &
Locomotive Co. Ltd., ADR 80,640
6,940 (b)Tata Engineering &
Locomotive Co. Ltd., GDR 87,444
------------
Total 3,118,210
------------
INDONESIA--5.4%
200,000 (b)Daya Guna Samudera 332,991
382,812 PT Bank Dagang Nasional
Indonesia 413,106
902,946 PT Bank International
Indonesia 742,402
293,500 PT Ciputra Development 259,414
225,000 PT Gudang Garam 971,223
250,000 PT Hanjaya Mandala Sampoerna 1,009,764
1,022,180 PT Indah Kiat Pulp &
Paper Corp. 756,392
100,000 (b)PT Indofood Sukses Makmur 225,077
35,000 PT Indonesian Satellite
Corp., ADR 1,045,625
300,000 PT Mayora Indah 138,746
1,200,000 PT Mulia Industrindo 604,316
400,000 (b)PT Pan Indonesia Bank 271,326
50,000 (b)PT Ramayana Lestari
Sentosa 129,496
350,000 PT Semen Gresik 834,532
35,000 (b)PT Telekomunikasi
Indonesia, Class CS, ADR 1,163,750
------------
Total 8,898,160
------------
KOREA, REPUBLIC OF--5.6%
9,525 Chosun Brewery Co. 238,258
12,352 Dong-A Pharmaceutical 297,889
23,330 (b)Housing & Commercial
Bank, Korea 436,715
11,926 (b)Hyundai Engineering &
Construction Co. 276,913
12,980 Hyundai Motor Co. 433,254
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE EMERGING MARKETS FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--continued
KOREA, REPUBLIC OF--CONTINUED
6,170 Kookmin Bank $ 111,600
56,517 Korea Electric Power Corp. 1,743,374
19,290 Korean Air 361,955
8,000 L.G. Chemical 109,478
18,500 L.G. Electronics, Inc. 313,348
4,037 L.G. Information &
Communication Ltd. 416,606
15,400 (b)L.G. Securities Co., Ltd. 162,378
13,610 Pohang Iron and Steel Co.,
Ltd. 1,180,887
350 SK Telecom Co. Ltd. 215,467
5,225 Samsung Display Devices Ltd. 272,257
10,002 Samsung Electronics Co.,
Ltd. 984,717
1,480 Samsung Fire & Marine
Insurance 506,255
7,500 Seoul City Gas Co., Ltd. 391,195
6,000 Shinhan Bank Co., Ltd. 77,694
5,000 Shinsegae Department
Store Co. 190,129
15,500 (b)Ssangyong Investment
Securities Co. Ltd. 145,177
16,334 Yukong Ltd. 366,438
------------
Total 9,231,984
------------
LEBANON--0.8%
40,000 (b)(e)Banque Libanaise Pour
Le Commerce, Class B, GDR 760,000
25,000 (b)Lebanese Co. for
Development &
Reconstruction--Solidere,
GDR 475,000
------------
Total 1,235,000
------------
LITHUANIA--0.4%
10,000 Vilniaus Bankas AB, GDR 575,000
------------
MALAYSIA--3.9%
130,000 AMMB Holdings, BHD 822,621
20,000 Carlsberg Brewery 175,110
90,000 DCB Holdings, BHD 290,126
15,000 Genting, BHD 78,203
30,000 Hume Industries, BHD 159,987
152,500 Land & General, BHD 191,786
40,000 Malayan Banking, BHD 421,857
70,000 Malaysian International
Shipping, BHD 161,579
43,450 O.Y.L. Industries, BHD 300,884
50,000 Perusahaan Otomobil
Nasional, BHD 260,676
Common Stocks--continued
MALAYSIA--CONTINUED
220,000 Renong, BHD $ 315,199
50,000 Resorts World, BHD 167,151
12,000 Rothmans of Pall Mall, BHD 126,557
200,000 Sime Darby, BHD 652,684
75,000 (b)Telekom Malaysia, BHD 555,180
220,000 Tenaga Nasional, BHD 1,006,885
50,000 UMW Holdings, BHD 256,696
50,000 United Engineers Ltd., BHD 403,948
------------
Total 6,347,129
------------
MEXICO--6.2%
110,000 Alfa, S.A. de C.V., Class A 650,904
220,000 Cemex S.A. de C.V. 823,366
61,700 Consorcio Grupo Dina SA de
CV, ADR 169,675
70,800 (b)Corporacion GEO, S.A. de
C.V., Class B 339,722
27,310 (b)Desc S.A. de C.V.,
Class C, ADR 727,129
38,000 Empresas ICA Sociedad
Controladora S.A. de
C.V., ADR 551,000
160,000 Fomento Economico Mexicano,
S.A. de C.V., Class B 849,665
20,000 (b)Grupo Iusacell S.A., ADR 330,000
77,800 Grupo Carso S.A. de C.V. 441,677
40,000 Grupo Elektra 380,832
100,000 (b)Grupo Financiero Banamex
Accival, S.A. de C.V., Class
B 216,462
7,117 (b)Grupo Financiero Banamex
Accival, S.A. de C.V., Class
L 14,110
900,000 (b)Grupo Financiero
Bancomer, S.A. de C.V.,
Class B 337,969
15,000 Grupo Televisa, S.A., GDR 429,375
90,000 Industrias Penoles, S.A. 426,729
20,400 Pan American Beverage,
Class A 591,600
46,000 Telefonos de Mexico,
Class L, ADR 2,041,250
53,000 (b)Tubos de Acero de Mexico,
S.A. de C.V., ADR 927,500
------------
Total 10,248,965
------------
MOROCCO--0.5%
41,000 (b)(e)Banque Maroc du
Commerce Exterieur, GDR 790,550
------------
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE EMERGING MARKETS FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--continued
PERU--3.1%
39,000 Banco Wiese, ADR $ 273,000
43,000 (b)CPT Telefonica del Peru,
S.A., Class B, ADR 1,091,125
13,362 (b)Cementos Lima, S.A. 260,673
298,965 Cervecer Backus & Johnston,
Class T 291,618
28,000 (b)Cia de Minas
Buenaventura S.A. 257,363
38,081 (b)Compania de Minas
Buenaventura, S.A., Class C 414,312
248,217 (b)Consorcio de Alimientos
Fabril Pacifico, S.A. 432,087
44,292 (b)Credicorp Ltd., ADR 1,002,107
50,361 (b)Minsur, S.A. 219,166
343,300 (b)Telefonica Del Peru,
Class B 878,374
------------
Total 5,119,825
------------
PHILIPPINES--6.3%
1,014,844 Ayala Land, Inc., Class B 808,027
2,500,000 (b)Belle Corp. 663,507
2,750,000 C & P Homes, Inc. 1,042,654
1,250,000 (b)Filinvest Land, Inc. 284,360
900,000 (b)Fortune Cement Corp. 249,099
3,192,000 JG Summit Holdings, Inc. 617,221
100,000 (b)La Tondena Distillers,
Inc. 255,924
250,000 Manila Electric Co., Class B 1,402,844
70,000 Metropolitan Bank and
Trust Co. 1,579,147
335,937 Petron Corp. 91,706
28,000 Philippine Long Distance
Telephone Co., ADR 1,620,500
214,500 San Miguel Corp., Class B 646,550
3,500,000 Solid Group, Inc. 656,872
500,000 (b)Union Bank Philippines 445,498
------------
Total 10,363,909
------------
POLAND--1.7%
9,000 Agros Holding, S.A. 241,400
20,000 (b)Bank Gdanski, GDR 287,994
9,000 Bank Rozwoju Eksportu, S.A. 218,944
6,500 Bank Slaski, S.A. 506,815
41,000 Elektrim Spolka Akcyina,
S.A. 365,717
32,000 Polifarb Cieszyn, S.A. 180,644
26,000 (b)Stomil-Olsztyn, S.A. 324,361
78,000 Wielkopolski Bank
Kredytowy, S.A. 433,022
Common Stocks--continued
POLAND--CONTINUED
14,800 (b)Zaklady Metali Lekkich
Kety, S.A. $ 313,882
------------
Total 2,872,779
------------
PORTUGAL--4.0%
34,951 BPI-SGPS, S.A. 563,661
74,012 Banco Commercial Portugues,
Class R 1,293,285
40,700 Cimentos de Portugal, S.A. 893,753
12,299 (b)Estabelecimentos Jeronimo
Martins & Filho SGPS, S.A. 834,626
50,000 Portucel Industria 345,376
34,030 Portugal Telecom, SGPS, S.A. 1,304,352
20,000 (b)Somague-Sociedade Gestora
de Participacoes 212,139
23,700 Sonae Investimentos,
SGPS, S.A. 888,271
4,000 (b)(e)Telecel--Comunicacoes
Pessoai 306,936
------------
Total 6,642,399
------------
RUSSIA--2.2%
4,500 GAZ Auto Plant 245,475
25,000 (b)Lukoil Holdings, ADR 1,506,250
22,000 (b)Mosenergo, ADR 830,500
10,000 (b)Surgutneftegaz, ADR 427,500
2,000,000 (b)Unified Energy System 634,000
------------
Total 3,643,725
------------
SLOVENIA--0.3%
12,000 SKB Banka, GDR 426,000
------------
TAIWAN, PROVINCE OF CHINA--
1.6%
22,400 (b)(e) Acer, Inc., GDR 308,000
24,840 (b)Advanced Semiconductor
Engineering, Inc., GDR 401,166
25,501 (b)Asia Cement Corp., GDR 433,645
33,750 (b)GVC Corp., GDR 409,219
24,000 President Enterprises, GDR 438,000
35,000 (b)Yageo Corp., GDR 573,125
------------
Total 2,563,155
------------
THAILAND--2.3%
60,000 Bangkok Bank, Ltd. 537,678
93,750 Bank of Ayudhya Ltd. 198,574
50,000 Hana Microelectronics Co.,
Ltd. 252,546
55,000 PTT Exploration and
Production, Ltd. 770,672
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE EMERGING MARKETS FUND
<TABLE>
<CAPTION>
Stocks
or Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--continued
THAILAND--CONTINUED
50,000 Shinawatra Computer and
Communications Co. Ltd. $ 242,363
11,000 Siam Cement Co., Ltd 240,163
50,000 Siam Commercial Bank 268,839
250,000 (b)TelecomAsia Corp., Ltd. 292,770
250,000 (b)Thai Airways
International Ltd. 393,269
50,000 Thai Farmers Bank Co. 248,473
75,000 United Communication
Industries, Ltd. 345,214
------------
Total 3,790,561
------------
TURKEY--3.3%
14,988,766 Akbank T.A.S. 1,353,591
1,400,000 Akcansa Cimento A.S. 190,884
5,280,000 Aksigorta 329,100
1,400,000 (b)Alcatel Teletas 185,926
2,572,500 Arcelik A.S. 286,977
1,200,000 Aygaz 229,486
672,000 Brisa Bridgestone Sabanci,
Class Y 237,986
1,200,000 Cimsa Cimento Sanayi Ve
Ticaret, A.S. 150,866
637,425 Ege Biracilik Ve Malt
Sanayii, A.S. 167,048
2,340,000 Eregli Demir Ve Celik
Fabrikalari, T.A.S. 314,906
483,333 Koc Holding, A.S. 102,702
1,272,000 Koc Yatirim Ve Sanayi
Mamulleri Pazarlama, A.S. 306,320
429,100 Migros Turk, T.A.S. 285,692
420,000 Otosan Otomobil Sanayii,
A.S. 232,036
438,000 Petkim Petrokimya
Holding, A.S. 134,951
900,000 Tat Konserve Sanayii, A.S. 70,121
445,000 (b)Tupras Turkiye Petrol
Rafinerileri, A.S. 201,721
1,231,304 (b)Turk Sise Ve Cam
Fabrikalari, A.S. 126,457
22,215,385 Yapi ve Kredi Bankasi A.S. 527,121
------------
Total 5,433,891
------------
VENEZUELA--2.3%
45,000 (b)Compania Anonima Nacional
Telefonos de Venezuela,
Class D, ADR 1,670,625
137,000 Mavesa SA, ADR 1,027,500
180,000 Sider Venezolana, ADR 654,192
Common Stocks--continued
VENEZUELA--CONTINUED
75,000 Sudamtex de Venezuela,
Class B, ADR $ 227,670
138,000 (b)(e)Venepal, Class B, GDR 284,970
------------
Total 3,864,957
------------
Total Common Stocks
(identified cost
$115,309,034) 132,356,156
------------
Preferred Stocks--7.2%
BRAZIL--7.1%
1,800,000 Banco Itau, S.A., PN 924,801
213,000 (b)Centrais Electricas de
Santa Catarina SA-Celesc,
Preference, Series B 256,674
2,200,000 Centrais Eletricas
Brasileiras, PN, S.A., PNA 1,083,045
53,500,000 (b)Cia Paranaense de
Energia, Preference, Series
B 789,631
500,000 (b)Cia Riograndense De
Telecomunicacoes, Pfd. 677,721
53,500 Companhia Vale Do Rio Doce,
Preference 1,181,948
5,900,000 Petroleo Brasileiro S.A., PN 1,410,929
29,000,000 (b)Telecomunicacoes
Brasileiras, PN 4,001,214
5,100,000 Telecomunicacoes de Minas
Gerais, Preference, Series B 776,077
14,840,000 Uniao de Bancos
Brasileiros, PN 512,781
------------
Total 11,614,821
------------
KOREA, REPUBLIC OF--0.0%
1,952 Samsung Electronics Co. 77,252
------------
RUSSIA--0.1%
400,000 (b)Surgutneftegaz 220,800
------------
Total Preferred Stocks
(identified cost $7,174,166) 11,912,873
------------
Rights--0.1%
BRAZIL--0.0%
63,257 (b)Telecomunicacoes de Minas
Gerais, Rights 565
------------
GREECE--0.1%
13,200 Hellenic Technodomiki,
Rights 77,104
24,000 Michaniki, S.A., Rights 16,436
25,000 Sarantis, S.A., Rights 21,241
------------
Total 114,781
------------
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE EMERGING MARKETS FUND
<TABLE>
<CAPTION>
Principal
Amount
or Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Rights--continued
KOREA, REPUBLIC OF--0.0%
6,170 Kookmin Bank, Rights $ 9,061
10,002 Samsung Electronics Co.,
Rights 7,669
------------
Total 16,730
------------
PORTUGAL--0.0%
20,000 Somague-Sociedade Gestora de
Participacoes, Rights 9,886
------------
TURKEY--0.0%
600,000 Tat Konserve Sanayii A.S.,
Rights 42,497
------------
Total Rights
(identified cost $77,485) 184,459
------------
Warrants--0.1%
HONG KONG--0.0%
50,000 GZI Transportation Ltd.,
Warrants 7,550
------------
INDONESIA--0.1%
54,687 PT Bank Dagang Nasional,
Warrants 22,257
80,260 PT Bank International
Indonesia, Warrants 29,695
62,503 PT Indah Kiat Pulp & Paper
Corp., Warrants 19,914
------------
Total 71,866
------------
PORTUGAL--0.0%
1,483 Estabelecimentos Jeronimo
Martins & Filho SGPS, S.A.,
Warrants 34,289
------------
THAILAND--0.0%
9,375 Thai Farmers Bank Co.,
Warrants 6,492
------------
Total Warrants
(identified cost $55,060) 120,197
------------
Convertible Bond--0.2%
TAIWAN, PROVINCE OF CHINA--
0.2%
30,500 (b)Yang Ming Marine, Unsub.,
2.00%, 10/6/2001 (identified
cost $396,500) 353,800
------------
Closed-End Investment Companies--5.2%
CHILE--0.3%
10,000 Genesis Chile Fund $ 470,000
------------
CZECH REPUBLIC--0.1%
20,496 (b)Sporitelni Privat
Vseobecny 48,473
------------
HONG KONG--0.3%
30,000 (b)Formosa Growth Fund Ltd. 573,750
------------
HUNGARY--0.6%
7,000 (b)Hungarian Investment Co. 955,500
------------
INDIA--1.1%
495,000 (b)The India Fund 777,360
130,000 (b)India Fund Inc. 1,105,000
------------
Total 1,882,360
------------
MEXICO--0.3%
30,000 Mexico Fund 506,250
------------
ROMANIA--0.6%
1,000 Romania Investment Fund Ltd. 1,030,000
------------
TAIWAN, PROVINCE OF CHINA--
1.8%
7,000 Taipei Fund 773,500
200,000 ROC Taiwan Fund 2,200,000
------------
Total 2,973,500
------------
TURKEY--0.1%
12,000 Turkish Growth Fund 186,000
------------
Total Closed-End Investment
Companies (identified cost
$7,544,250) 8,625,833
------------
(a) Repurchase Agreement--4.0%
UNITED STATES--4.0%
$6,650,099 Nomura Securities
International, Inc., 5.54%,
dated 5/30/1997, due
6/2/1997 (at amortized cost) 6,650,099
------------
Total Investments
(identified cost
$137,206,594) $160,203,417
------------
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE BALANCED FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--53.9%
CAPITAL GOODS--2.2%
38,742 General Electric Co. $ 2,339,048
38,900 Harsco Corp. 1,517,100
16,000 Honeywell, Inc. 1,164,000
23,185 Ingersoll-Rand Co. 1,263,583
------------
Total 6,283,731
------------
COMMERCIAL SERVICES--0.1%
10,000 Equifax, Inc. 312,500
------------
CONSUMER DURABLES--2.1%
42,991 Dover Corp. 2,461,235
82,180 Ford Motor Co. 3,081,750
16,740 Hasbro, Inc. 485,460
------------
Total 6,028,445
------------
CONSUMER NON-DURABLES--21.3%
34,400 Abbott Laboratories 2,167,200
12,465 (b)Adaptec, Inc. 458,089
40,785 American Home Products Corp. 3,109,856
15,620 Baxter International, Inc. 823,955
57,440 Bristol-Myers Squibb Co. 4,214,660
42,035 CPC International, Inc. 3,615,010
16,000 Coca-Cola Co. 1,092,000
74,857 Columbia/HCA Healthcare Corp. 2,741,637
36,830 Danka Business Systems, PLC ,
ADR 1,477,804
46,260 Disney (Walt) Co. 3,787,537
51,606 Electronic Data Systems Corp. 1,928,774
5,455 Gillette Co. 484,813
31,830 (b)HealthCare COMPARE Corp. 1,571,606
36,550 Johnson & Johnson 2,188,431
23,610 Kellogg Co. 1,741,238
14,480 Kimberly-Clark Corp. 725,810
24,795 (b)Lear Corp. 948,409
62,515 Lowe's Cos., Inc. 2,461,528
19,570 McDonald's Corp. 983,393
18,755 Medtronic, Inc. 1,387,870
17,050 Merck & Co., Inc. 1,532,369
72,320 Newell Co. 2,766,240
17,770 Nike, Inc., Class B 1,012,890
143,385 PepsiCo, Inc. 5,269,399
101,895 Philip Morris Cos., Inc. 4,483,380
7,500 Procter & Gamble Co. 1,034,063
17,680 R.J.R. Nabisco, Inc., Class A 700,570
19,382 Service Corp. International 683,216
16,500 Tecumseh Products Co., Class A 934,313
74,800 (b)Tenet Healthcare Corp. 2,057,000
Common Stocks--continued
CONSUMER NON-DURABLES--CONTINUED
40,146 Tribune Co. $ 1,736,315
------------
Total 60,119,375
------------
ENERGY--3.3%
14,825 Amoco Corp. 1,324,984
29,100 Exxon Corp. 1,724,175
12,159 Mobil Corp. 1,700,740
7,920 Royal Dutch Petroleum Co., ADR 1,546,380
24,660 Schlumberger Ltd. 2,937,623
------------
Total 9,233,902
------------
FINANCE--8.3%
28,110 American International Group,
Inc. 3,805,391
17,115 Capital One Financial Corp. 549,819
10,000 Chase Manhattan Corp. 945,000
36,405 Chubb Corp. 2,220,705
24,650 Citicorp 2,819,343
64,175 Countrywide Credit Industries,
Inc. 1,724,703
57,860 Federal Home Loan Mortgage
Corp. 1,909,380
66,075 Federal National Mortgage
Association 2,882,522
18,667 First USA, Inc. 924,017
4,010 MBIA Insurance Corporation 430,574
12,920 MGIC Investment Corp. 1,149,880
6,200 PMI Group 340,225
10,000 Providian Corp. 598,750
11,810 Wells Fargo & Co. 3,111,935
------------
Total 23,412,244
------------
MATERIALS & SERVICES--4.5%
11,185 Air Products & Chemicals, Inc. 869,634
79,065 Ecolab, Inc. 3,291,080
15,795 FMC Corp. 1,137,240
18,945 Mead Corp. 1,207,744
27,485 Millipore Corp. 1,185,291
51,665 Praxair, Inc. 2,718,871
22,215 Sonoco Products Co. 647,012
26,190 Tyco International, Ltd. 1,663,065
------------
Total 12,719,937
------------
TECHNOLOGY--8.7%
25,420 (b)3Com Corp. 1,232,870
10,820 Avnet, Inc. 681,660
12,180 Boeing Co. 1,281,945
59,936 (b)Cabletron Systems, Inc. 2,637,184
51,740 Cisco Systems, Inc. 3,505,385
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE BALANCED FUND
<TABLE>
<CAPTION>
Shares or
Principal
Amount Value
<C> <S> <C>
- ---------------------------------------------------------
Common Stocks--continued
TECHNOLOGY--CONTINUED
8,885 Compaq Computer Corp. $ 961,801
50,530 Computer Associates
International, Inc. 2,766,517
35,840 Hewlett-Packard Co. 1,845,760
18,680 Intel Corp. 2,830,020
35,330 Motorola, Inc. 2,345,029
10,000 Texas Instruments, Inc. 898,750
10,290 United Technologies Corp. 827,059
42,180 Xerox Corp. 2,857,695
------------
Total 24,671,675
------------
TRANSPORTATION--1.5%
49,645 CSX Corp. 2,631,185
42,590 Illinois Central Corp. 1,538,564
------------
Total 4,169,749
------------
UTILITIES--1.9%
20,000 AT&T Corp. 737,500
21,760 BellSouth Corp. 987,360
9,920 CMS Energy Corp. 333,560
6,330 Coastal Corp. 317,291
9,261 GTE Corp. 408,642
23,305 LCI International, Inc. 565,146
69,392 Southern Co. 1,474,580
10,315 Sprint Corp. 504,145
------------
Total 5,328,224
------------
Total Common Stocks
(identified cost $116,201,806 ) 152,279,782
------------
Corporate Bonds--8.5%
ASSET-BACKED SECURITIES--1.4%
$ 965,000 Dayton Hudson Credit Card
Master Trust 1995-1 , Class A,
6.10%, 2/25/2002 965,444
575,000 Ford Credit Auto Loan Master
Trust 1995-1 A, Class A, 6.50%,
8/15/2002 572,470
1,000,000 Metris Master Trust 1997-1,
Class A, 6.869%, 11/20/2005 1,001,880
1,311,052 Prudential Home Mortgage
Securities 1993-60, Class A1,
6.75%, 12/25/2023 1,304,497
------------
Total 3,844,291
------------
CONSUMER SERVICES--0.7%
2,000,000 Tribune Co., Note, 6.25%,
11/10/2026 1,951,960
------------
Corporate Bonds--continued
FINANCE--5.1%
$1,165,000 BHP Finance (USA), Inc., 6.42%,
3/1/2026 $ 1,141,921
850,000 Bankers Trust New York Corp.,
Sub. Note, 7.375%, 5/1/2008 844,670
1,000,000 Chase Manhattan Corp., 7.25%,
6/1/2007 996,360
1,000,000 Deutsche Bank Financial, Inc.,
7.50%, 4/25/2009 1,010,064
1,000,000 Fleet Financial Group, Inc.,
Sr. Note, 6.00%, 10/26/1998 996,640
775,000 Fleet Financial Group, Inc.,
Sr. Note, 7.125%, 5/1/2000 782,014
2,100,000 Ford Motor Credit Corp., 7.32%,
5/23/2002 2,108,988
750,000 Ford Motor Credit Corp., Sr.
Unsub., 6.50%, 2/28/2002 736,815
360,000 Household Finance Corp., 7.25%,
7/15/2003 361,429
1,500,000 KFW International Finance,
7.00%, 3/1/2013 1,455,885
2,000,000 Lehman Brothers Holdings, Inc.,
6.90%, 3/30/2001 1,987,046
715,000 Merrill Lynch & Co., Inc., Sr.
Note, 6.64%, 9/19/2002 705,812
985,000 Norwest Corp., Sr. Note, Series
G, 6.00%, 10/13/1998 981,799
365,000 Sears Roebuck Acceptance Corp.,
6.56%, 11/20/2003 353,966
------------
Total 14,463,409
------------
INDUSTRIAL SERVICES--0.7%
2,000,000 WMX Technologies, Inc., Note,
8.00%, 4/30/2004 2,074,340
------------
PRODUCER MANUFACTURING--0.3%
750,000 General Signal Corp., Sr. Note,
7.114%, 4/8/2002 755,806
------------
RETAIL TRADE--0.3%
1,000,000 Penney (J.C.) Co., Inc., Note,
7.60%, 4/1/2007 1,019,920
------------
Total Corporate Bonds
(identified cost $24,145,662 ) 24,109,726
------------
Mortgage Backed Securities--9.9%
FEDERAL HOME LOAN BANK--0.9%
1,000,000 6/19/1997 997,430
1,500,000 6/26/1997 1,494,555
------------
Total 2,491,985
------------
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE BALANCED FUND
<TABLE>
<CAPTION>
Principal
Amount Value
<C> <S> <C>
- ---------------------------------------------------------
Mortgage Backed Securities--continued
FEDERAL HOME LOAN MORTGAGE
CORPORATION--4.3%
$ 247,358 6.50%, 12/1/2008 $ 243,175
73,149 6.50%, 2/1/2009 71,912
741,743 6.50%, 3/1/2009 729,200
60,878 6.50%, 4/1/2009 59,764
303,686 6.50%, 6/1/2009 298,128
333,878 6.50%, 7/1/2010 327,180
5,000,000 6/19/1997 4,987,150
5,500,000 (d)Discount Note, 6/20/1997 5,484,985
------------
Total 12,201,494
------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION--2.4%
1,000,217 6.00%, 12/1/2010 959,578
1,674,982 6.00%, 4/1/2011 1,604,448
174,416 7.50%, 4/1/2007 176,693
862,362 7.50%, 9/1/2022 864,785
301,857 8.00%, 1/1/2023 308,836
306,140 8.00%, 6/1/2022 313,408
31,868 8.50%, 10/1/2024 33,033
609,394 8.50%, 12/1/2024 631,673
51,310 8.50%, 6/1/2024 53,186
604,804 8.50%, 7/1/2024 628,524
52,544 8.50%, 8/1/2016 54,915
1,000,000 (d)Discount Note, 9/18/1997 983,530
135,201 Series 1989-75, Class C,
9/25/2018 133,507
------------
Total 6,746,116
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION--2.3%
2,508,294 6.50%, 4/15/2024 2,392,286
956,182 7.00%, 12/20/2025 927,783
751,954 7.00%, 5/15/2023 736,674
1,639,529 7.00%, 8/15/2023 1,606,214
435,482 7.00%, 8/15/2023 426,633
390,237 7.50%, 3/15/2023 390,846
------------
Total 6,480,436
------------
Total Mortgage Backed
Securities
(identified cost $28,131,750) 27,920,031
------------
U.S. Treasury--24.9%
U.S. TREASURY BILLS--0.2%
$ 700,000 (d)6/12/1997 $ 699,181
------------
U.S. TREASURY BONDS--6.8%
2,765,000 6.25%, 8/15/2023 2,518,307
16,136,000 7.25%, 8/15/2022 16,592,326
------------
Total 19,110,633
------------
U.S. TREASURY NOTES--17.9%
3,300,000 4.75%, 8/31/1998 3,251,523
1,770,000 5.125%, 11/30/1998 1,746,760
515,000 5.625%, 2/28/2001 501,239
2,350,000 5.875%, 8/15/1998 2,346,327
1,500,000 6.125%, 7/31/2000 1,489,215
7,900,000 6.125%, 8/31/1998 7,912,324
2,000,000 6.25%, 1/31/2002 1,979,680
1,700,000 6.25%, 2/15/2003 1,676,897
2,915,000 6.25%, 4/30/2001 2,894,041
3,400,000 6.375%, 8/15/2002 3,381,402
3,225,000 6.50%, 8/15/2005 3,193,750
1,260,000 6.75%, 6/30/1999 1,272,991
2,940,000 6.875%, 5/15/2006 2,979,043
4,075,000 7.00%, 7/15/2006 4,162,857
1,000,000 7.125%, 2/29/2000 1,019,220
3,000,000 7.25%, 8/15/2004 3,107,340
675,000 7.50%, 10/31/1999 692,827
1,000,000 7.50%, 11/15/2001 1,038,120
2,000,000 7.50%, 2/15/2005 2,102,820
1,500,000 7.75%, 1/31/2000 1,551,090
1,000,000 7.75%, 11/30/1999 1,032,810
1,115,000 8.00%, 5/15/2001 1,173,883
------------
Total 50,506,159
------------
Total U.S. Treasury
(identified cost $70,468,481 ) 70,315,973
------------
(a) Repurchase Agreement--2.3%
6,560,523 Nomura Securities
International, Inc., 5.54%,
dated 5/30/1997, due 6/2/1997
(at amortized cost) 6,560,523
------------
Total Investments
(identified cost $245,508,222) $281,186,035
------------
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Principal
Amount Value
<C> <S> <C>
- ---------------------------------------------------------
Asset-Backed Securities--2.1%
FINANCE--2.1%
$1,885,000 First Bank Corporate Card
Master Trust 1997-1, Class A,
6.40%,
2/15/2003 $ 1,854,859
1,940,000 Metris Master Trust 1997-1,
Class A, 6.87%, 11/20/2005 1,943,647
------------
Total Asset-Backed Securities
(identified cost $3,822,595) 3,798,506
------------
Corporate Bonds--28.5%
ELECTRONIC TECHNOLOGY--0.4%
605,000 Motorola, Inc., Deb., 8.40%,
8/15/2031 685,574
------------
FINANCE--25.4%
2,095,000 Alco Capital Resources, 6.94%,
5/21/2001 2,096,864
3,000,000 Bankers Trust New York Corp.,
Sr. Note, 6.75%, 10/3/2001 2,982,780
1,880,000 Bankers Trust New York Corp.,
Sub. Note, 7.375%, 5/1/2008 1,868,212
1,250,000 Beneficial Corp., Medium Term
Note, 7.99%, 2/14/2000 1,289,063
750,000 Beneficial Corp., Note, 6.20%,
12/4/2000 735,450
850,000 Beneficial Corp., Unsecured
Note, Series C, 10.00%,
1/12/2001 934,413
2,000,000 Caterpillar Financial Services
Corp., 6.38%, 5/15/2001 1,968,500
1,940,000 Countrywide Funding Corp.,
Company Guarantee, 6.28%,
1/15/2003 1,868,938
2,000,000 Deere (John) Capital Corp., Sr.
Note, Series C, 6.23%,
10/18/2000 1,968,080
2,085,000 Deutsche Bank Financial, Inc.,
Bank Guarantee, 7.50%,
4/25/2009 2,105,983
2,670,000 Empresa Nacional Electricidad
S.A., Bond, 7.325%, 2/1/2037 2,652,098
755,000 First Union Corp., Sub. Note,
6.824%, 8/1/2026 744,596
1,940,000 Ford Motor Credit Corp., 7.32%,
5/23/2002 1,948,303
2,000,000 Hanson Overseas B.V., Sr. Note,
6.75%, 9/15/2005 1,930,940
1,500,000 Household Finance Corp., Sr.
Note, 6.23%, 2/16/1999 1,496,400
Corporate Bonds--continued
FINANCE--CONTINUED
$1,915,000 International Lease Finance
Corp., 6.97%, 1/10/2001 $ 1,921,153
1,885,000 KFW International Finance,
7.00%, 3/1/2013 1,829,562
2,665,000 Lehman Brothers Holdings, Inc.,
6.90%, 3/30/2001 2,647,739
1,330,000 Lehman Brothers Holdings, Inc.,
Sr. Note, 7.11%, 5/16/1998 1,253,658
2,835,000 Mellon Capital I, Company
Guarantee, Series A, 7.72%,
12/1/2026 2,692,938
500,000 Merrill Lynch & Co., Inc.,
Medium Term Note, 6.00%,
5/20/2008 498,125
3,000,000 Merrill Lynch & Co., Inc., Sr.
Note, 6.64%, 9/19/2002 2,961,450
2,000,000 Merrill Lynch & Co., Inc., Sr.
Note, Series B, 6.80%,
4/26/2001 2,001,100
1,100,000 Metropolitan Life Limited,
7.00%, 11/1/2005 1,077,054
2,090,000 Morgan Stanley Group, Inc.,
Note, 6.875%, 3/1/2007 2,027,258
1,205,000 Sears Roebuck Acceptance Corp.,
7.11%, 6/19/2001 1,215,725
------------
Total 46,716,382
------------
HEALTH TECHNOLOGY--1.1%
2,000,000 Bausch & Lomb, Inc., Note,
6.56%, 8/12/2026 1,977,920
------------
INDUSTRIAL SERVICES--0.5%
1,000,000 Du Pont (E.I.) de Nemours &
Co., Unsecured Note, Series G,
6.47%, 9/26/2002 984,510
------------
PRODUCER MANUFACTURING--0.1%
240,000 Armstrong World Industries,
Inc., Deb., 9.75%, 4/15/2008 283,882
------------
UTILITIES--1.0%
2,000,000 Bell Atlantic-New Jersey, Deb.,
5.875%, 2/1/2004 1,878,960
------------
Total Corporate Bonds
(identified cost $52,923,666) 52,527,228
------------
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE FIXED INCOME FUND
<TABLE>
<CAPTION>
Principal
Amount Value
<C> <S> <C>
- ---------------------------------------------------------
Foreign Bonds--2.2%
FINANCE--2.2%
$2,090,000 Kingdom of Thailand, 7.75%,
4/15/2007 $ 2,102,436
2,075,000 Quebec, Province of, Deb.,
7.00%, 1/30/2007 2,032,608
------------
Total Foreign Bonds
(identified cost $4,137,005) 4,135,044
------------
U.S. Government Agencies--17.0%
FEDERAL HOME LOAN MORTGAGE
CORPORATION--3.8%
5,197 12.50%, 3/1/2014 6,015
7,115 12.50%, 7/1/2011 8,178
3,727 12.50%, 2/1/2010 4,244
16,799 11.00%, 10/1/2015 18,553
2,952 11.00%, 10/1/2010 3,250
769 9.50%, 2/1/2019 827
2,215 9.50%, 2/1/2019 2,381
29,306 9.50%, 7/1/2016 31,542
1,165 8.00%, 1/1/2009 1,197
20,560 8.00%, 12/1/2008 21,080
23,653 8.00%, 1/1/2008 24,363
1,182 9.00%, 1/1/2019 1,250
1,565 9.00%, 1/1/2019 1,654
135 9.00%, 9/1/2017 143
1,541 8.50%, 8/1/2017 1,612
5,789 8.50%, 7/1/2017 6,057
3,303 8.00%, 1/1/2019 3,402
2,100 8.00%, 7/1/2017 2,163
49,022 8.00%, 4/1/2009 50,492
9,563 8.00%, 2/1/2009 9,805
139,724 7.50%, 2/1/2023 140,204
126,875 7.50%, 2/1/2023 127,310
166,092 7.50%, 2/1/2023 166,662
182,487 7.50%, 2/1/2023 183,113
194,295 7.50%, 2/1/2023 194,962
2,539,203 7.50%, 9/1/2007 2,575,539
695,482 7.00%, 6/1/2008 695,698
1,941,871 6.50%, 11/1/2011 1,897,558
745,902 6.50%, 4/1/2009 732,252
------------
Total 6,911,506
------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION--5.6%
457 12.50%, 9/1/2013 528
200 9.50%, 7/1/2016 216
1,616 9.50%, 7/1/2016 1,742
1,197 9.50%, 7/1/2016 1,290
2,620 9.00%, 8/1/2018 2,787
1,092 9.00%, 1/1/2017 1,164
U.S. Government Agencies--continued
FEDERAL NATIONAL MORTGAGE
ASSOCIATION--CONTINUED
$ 868 8.50%, 2/1/2019 $ 907
448 8.50%, 2/1/2017 468
8,649 8.00%, 1/1/2009 8,923
30,456 8.00%, 9/1/2009 31,422
3,986 8.00%, 11/1/2008 4,114
1,940,747 7.50%, 5/1/2026 1,934,515
392,950 7.50%, 1/1/2023 394,271
194,870 7.50%, 1/1/2023 195,174
184,550 7.50%, 1/1/2023 185,068
892,737 7.50%, 4/1/2007 904,396
858,224 6.50%, 10/1/2010 838,107
2,632,623 6.50%, 9/1/2010 2,579,970
1,478,632 6.00%, 1/1/2009 1,426,407
1,877,452 6.00%, 4/1/2011 1,798,393
------------
Total 10,309,862
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION--7.1%
4,356 12.25%, 5/15/2014 4,966
8,525 12.25%, 8/15/2013 9,700
113 11.00%, 11/15/2015 127
1,059 11.00%, 11/15/2015 1,186
6,070 11.00%, 9/15/2015 6,795
7,138 11.00%, 9/15/2015 7,950
2,050 10.50%, 8/15/2017 2,249
36,932 10.50%, 8/15/2017 40,755
6,001 10.50%, 7/15/2017 6,629
5,158 10.50%, 9/15/2015 5,418
1,778 10.50%, 11/15/2000 1,868
664 10.50%, 11/15/2000 698
1,841 10.50%, 11/15/2000 1,934
3,237 10.50%, 10/15/2000 3,360
29,502 9.50%, 11/15/2020 31,784
16,737 9.50%, 11/15/2020 18,032
19,545 9.50%, 10/15/2020 21,057
61,506 9.50%, 10/15/2020 66,264
23,089 9.50%, 10/15/2020 24,875
39,032 9.50%, 9/15/2020 42,052
31,455 9.50%, 6/15/2020 33,888
39,533 9.50%, 4/15/2020 42,592
33,995 9.50%, 4/15/2020 36,625
23,821 9.50%, 4/15/2020 25,664
415 9.50%, 2/15/2019 447
3,155 9.50%, 7/15/2018 3,402
14,930 9.50%, 10/15/2017 16,107
19,804 9.50%, 9/15/2017 21,366
193,827 9.50%, 12/15/2016 209,209
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE FIXED INCOME FUND
<TABLE>
<CAPTION>
Principal
Amount Value
<C> <S> <C>
- ---------------------------------------------------------
U.S. Government Agencies--continued
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION--CONTINUED
$ 3,246 9.50%, 7/15/2016 $ 3,504
13,667 9.50%, 7/15/2016 14,751
47,506 9.50%, 6/15/2016 51,276
1,547 9.50%, 5/15/2016 1,669
2,544 9.50%, 5/15/2016 2,746
11,387 9.50%, 5/15/2016 12,291
1,748 9.50%, 6/15/2001 1,814
48,471 9.00%, 1/15/2021 51,621
42,084 9.00%, 1/15/2021 44,819
77,000 9.00%, 1/15/2021 82,004
98,770 9.00%, 1/15/2021 105,189
32,575 9.00%, 1/15/2021 34,692
45,646 9.00%, 1/15/2020 48,648
35,424 9.00%, 11/15/2020 37,754
23,215 9.00%, 6/15/2018 24,800
32,182 9.00%, 5/15/2018 34,379
9,296 9.00%, 4/15/2018 9,931
131,398 9.00%, 12/15/2019 140,143
45,661 9.00%, 12/15/2019 48,699
53,926 9.00%, 11/15/2019 57,515
48,648 9.00%, 10/15/2019 51,885
71,653 9.00%, 1/15/2017 76,668
6,623 9.00%, 1/15/2017 7,087
38,959 9.00%, 1/15/2017 41,685
53,324 9.00%, 1/15/2017 57,056
37,321 9.00%, 1/15/2017 39,933
825 9.00%, 7/15/2017 883
17,004 9.00%, 6/15/2017 18,194
29,939 9.00%, 5/15/2017 32,035
3,628 9.00%, 12/15/2016 3,882
51,827 9.00%, 11/15/2016 55,455
13,467 9.00%, 10/15/2016 14,410
284 9.00%, 10/15/2016 304
45,547 9.00%, 10/15/2016 48,734
48,696 9.00%, 10/15/2016 52,105
40,852 9.00%, 9/15/2016 43,711
37,870 9.00%, 9/15/2016 40,521
1,725 9.00%, 9/15/2016 1,846
40,420 9.00%, 9/15/2016 43,249
16,728 9.00%, 9/15/2016 17,898
1,834 9.00%, 8/15/2016 1,962
147 9.00%, 8/15/2016 158
17,311 9.00%, 7/15/2016 18,522
26,803 9.00%, 6/15/2016 28,679
8,745 9.00%, 5/15/2016 9,357
22,805 9.00%, 5/15/2016 24,401
33,380 9.00%, 5/15/2016 35,717
U.S. Government Agencies--continued
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION--CONTINUED
$ 19,757 9.00%, 6/15/2016 $ 21,078
1,872 9.00%, 6/15/2016 2,003
44,567 8.50%, 6/15/2022 46,516
123,811 8.50%, 5/15/2022 129,228
120,053 8.50%, 5/15/2022 125,305
16,070 8.50%, 4/15/2022 16,773
86,009 8.50%, 12/15/2021 89,959
102,127 8.50%, 11/15/2021 106,818
40,063 8.50%, 11/15/2021 41,903
30,807 8.50%, 11/15/2021 32,222
14,759 8.50%, 9/15/2021 15,437
56,286 8.50%, 5/15/2021 58,871
21,948 8.50%, 5/15/2016 23,091
114,977 8.50%, 6/15/2016 120,966
35,060 8.50%, 6/15/2016 36,886
10,154 8.50%, 6/15/2016 10,683
26,550 8.50%, 7/15/2016 27,933
6,749 8.50%, 6/15/2017 7,101
4,121 8.50%, 9/15/2017 4,336
10,925 8.00%, 6/15/2017 11,270
111,901 8.00%, 4/15/2022 114,626
17,616 8.00%, 2/15/2017 18,172
120,815 8.00%, 9/15/2022 123,758
208,884 8.00%, 9/15/2022 213,972
348,566 8.00%, 5/15/2022 357,058
1,179,439 8.00%, 9/15/2022 1,208,170
1,321,276 7.50%, 1/15/2024 1,321,685
86,928 7.50%, 3/15/2023 87,064
170,804 7.50%, 2/15/2023 171,070
141,032 7.50%, 2/15/2023 141,252
198,514 7.50%, 12/15/2022 199,010
141,590 7.50%, 12/15/2022 141,944
186,608 7.50%, 12/15/2022 187,074
167,230 7.50%, 12/15/2022 167,648
170,852 7.50%, 11/15/2022 171,279
177,562 7.50%, 10/15/2022 178,006
195,393 7.50%, 8/15/2022 195,881
166,199 7.50%, 2/15/2022 166,614
148,469 7.50%, 2/15/2022 148,841
823,850 7.00%, 6/15/2023 807,110
942,291 6.50%, 5/15/2011 925,207
1,501,655 6.50%, 5/15/2009 1,477,478
1,496,689 6.00%, 5/15/2009 1,444,305
1,616 5.50%, 8/15/1998 1,611
2,108 5.50%, 8/15/1998 2,102
------------
Total 13,160,897
------------
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE FIXED INCOME FUND
<TABLE>
<CAPTION>
Principal
Amount Value
<C> <S> <C>
- ---------------------------------------------------------
U.S. Government Agencies--continued
AID TO ISRAEL--0.5%
$1,000,000 5.625%, 9/15/2003 $ 945,120
------------
Total Government Agencies
(identified cost $31,675,338) 31,327,385
------------
U.S. Treasury Obligations--47.5%
U.S. TREASURY BONDS--15.6%
17,215,000 7.25%, 8/15/2022 17,701,840
11,250,000 6.75%, 8/15/2026 10,949,400
------------
Total 28,651,240
------------
U.S. TREASURY NOTES--31.9%
5,000,000 5.625%, 11/30/1998 4,969,550
3,750,000 5.75%, 8/15/2003 3,597,638
1,000,000 5.875%, 11/15/2005 949,370
3,500,000 6.00%, 9/30/1998 3,499,440
1,170,000 6.125%, 8/31/1998 1,171,825
5,045,000 6.25%, 10/31/2001 4,998,485
1,500,000 6.375%, 3/31/2001 1,495,785
4,500,000 6.50%, 10/15/2006 4,445,145
4,000,000 6.50%, 4/30/1999 4,023,120
1,000,000 6.50%, 5/15/2005 991,250
U.S. Treasury Obligations--continued
U.S. TREASURY NOTES--CONTINUED
$1,365,000 6.50%, 5/31/2001 $ 1,366,706
2,000,000 6.50%, 8/15/2005 1,980,620
2,000,000 6.625%, 6/30/2001 2,010,320
2,420,000 6.75%, 4/30/2000 2,444,587
3,000,000 6.75%, 6/30/1999 3,030,930
6,190,000 6.875%, 5/15/2006 6,272,203
7,000,000 7.00%, 4/15/1999 7,100,590
4,200,000 7.50%, 2/15/2005 4,415,922
------------
Total ]58,763,486
------------
Total U.S. Treasury Obligations
(identified cost $88,396,653) 87,414,726
------------
(a) Repurchase Agreement--1.9%
3,588,670 Nomura Securities
International, Inc., 5.54%,
dated 5/31/1997, due 6/2/1997
(at amortized cost) 3,588,670
------------
Total Investments
(identified cost
$184,543,927)(b) $182,791,559
------------
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE SHORT-TERM FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Principal
Amount Value
<C> <S> <C>
- ---------------------------------------------------------
Asset-Backed Securities--0.0%
FINANCE--0.0%
$ 479 Shawmut National Grantor Trust
1992-A, 5.55%, 11/15/1997
(identified cost $486) $ 478
------------
Corporate Bonds--21.0%
BANKING--3.0%
1,000,000 Fleet Financial Group, Inc.,
7.250%, 10/15/1997 1,006,630
2,500,000 International American
Development Bank, 9.50%,
10/15/1997 2,533,175
------------
Total 3,539,805
------------
FINANCE--14.6%
3,000,000 Associates Corp. of North
America, 6.00%, 3/15/1999 2,978,130
3,500,000 Household Financial Corp.,
6.81%, 5/25/2000 3,506,055
2,750,000 Lehman Brothers Holdings, Inc.,
6.70%, 1/24/2000 2,740,141
2,000,000 Norwest Corp., 6.250%,
4/15/1999 1,992,940
4,000,000 Sears Roebuck Acceptance Corp.,
6.54%, 5/6/1999 4,001,000
2,000,000 Transamerica Financial Corp.,
6.75%, 8/15/1997, Senior Notes 2,005,000
------------
Total 17,223,266
------------
INDUSTRIAL SERVICES--1.7%
2,000,000 WMX Technologies, Inc., 6.00%,
11/2/1998 1,990,040
------------
Corporate Bonds--continued
UTILITIES-ELECTRIC--1.7%
$2,000,000 Kansas City Power and Light
Co., 6.37%, 10/15/1999, Medium
Term Notes $ 1,982,560
------------
Total Corporate Bonds
(identified cost $24,781,190) 24,735,671
------------
U.S. Treasury Obligations--77.5%
U.S. TREASURY NOTES--77.5%
2,750,000 5.50%, 11/15/1998 2,728,935
25,250,000 5.625%, 11/30/1998 25,096,228
8,500,000 5.875%, 2/15/2000 8,404,375
7,250,000 6.00%, 9/30/1998 7,248,840
1,750,000 6.125%, 5/15/1998 1,754,095
6,000,000 6.125%, 8/31/1998 6,009,360
500,000 6.375%, 5/15/2000 500,235
25,000,000 6.50%, 4/30/1999 25,082,000
6,750,000 6.75%, 6/30/1999 6,819,593
1,500,000 6.875%, 3/31/2000 1,519,920
6,000,000 7.00%, 4/15/1999 6,086,220
------------
Total U.S. Treasury Obligations
(identified cost $91,446,261) 91,249,801
------------
(a) Repurchase Agreement--0.1%
145,597 Nomura Securities
International, Inc., 5.54%,
dated 5/30/1997, due 6/2/1997
(at amortized cost) 145,597
------------
Total Investments
(identified cost $116,373,534) $116,131,547
------------
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE GEORGIA MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Principal Credit
Amount Rating* Value
<C> <S> <C> <C>
- -----------------------------------------------------------------
Long-Term Municipals--96.4%
GEORGIA--96.4%
$ 100,000 Atlanta, GA Downtown
Development Authority,
Refunding Revenue Bonds,
6.25% (Original Issue Yield:
6.435%), 10/1/2016 AA $ 105,004
200,000 Atlanta, GA, GO UT (Series
A), 6.125% (Original Issue
Yield: 6.18%), 12/1/2023 AA 207,284
510,000 Atlanta, GA, Urban
Residential Finance
Authority, Dorm Facility
Revenue Refunding Bonds,
5.70% (Morehouse
College)/(MBIA INS),
12/1/2010 AAA 526,060
80,000 Brunswick, GA, Water & Sewer
Refunding Revenue Bonds,
6.10% (MBIA INS)/(Original
Issue Yield: 6.27%),
10/1/2019 AAA 86,284
500,000 Burke County, GA Development
Authority, PCR (Series 6),
4.375% (Georgia Power Company
Plant Vogtle)/(AMBAC INS),
11/1/2000 AAA 496,975
90,000 Burke County, GA Development
Authority, PCR Bonds, 7.50%
(Oglethorpe Power Corp.)/
(MBIA INS), 1/1/2003 AAA 97,816
50,000 Chatham County, GA School
District, GO UT, 6.75% (MBIA
INS), 8/1/2018 AAA 56,166
500,000 Cobb County, GA School
District, GO UT Refunding
Bonds, 6.65% (United States
Treasury PRF), 2/1/1999
(@102) AA 528,435
100,000 Cobb County, GA Solid Waste
Management Authority, Revenue
Bonds, 6.35%, 1/1/2009 AA+ 110,509
200,000 De Kalb County, GA School
District, GO UT Bonds (Series
A), 6.25%, 7/1/2011 AA 220,460
1,000,000 De Kalb County, GA Water &
Sewer, Refunding Revenue
Bonds, 5.125% (Original Issue
Yield: 5.25%), 10/1/2011 AA 976,130
Long-Term Municipals--continued
GEORGIA--CONTINUED
$ 500,000 De Kalb County, GA Water &
Sewer, Refunding Revenue
Bonds, 5.25% (Original Issue
Yield: 5.42%), 10/1/2023 AA $ 473,705
150,000 De Kalb County, GA, GO UT
Bonds, 5.50% (Original Issue
Yield: 5.60%), 1/1/2016 AA+ 148,188
100,000 Decatur, GA Housing
Authority, Mortgage Refunding
Revenue Bonds, 6.45% (FHA and
MBIA INS)/(Original Issue
Yield: 6.524%), 7/1/2025 AAA 102,792
500,000 Downtown Savannah, GA,
Refunding Revenue Bonds
(Series A), 4.95% (Original
Issue Yield: 5.05%), 1/1/2006 AA 501,265
120,000 Fayette County, GA School
District, GO UT Bonds, 6.125%
(Original Issue Yield:
6.30%),
3/1/2015 A+ 125,779
160,000 Fayette County, GA, Water
Revenue Bonds (Series B),
6.20% (FGIC INS)/(Original
Issue Yield: 6.30%),
10/1/2022 AAA 167,902
60,000 Forsyth County, GA School
District, GO UT Bonds, 6.70%,
7/1/2012 A+ 68,612
25,000 Fulton County, GA School
District, GO UT Bonds, 5.60%
(Original Issue Yield:
5.65%),
1/1/2011 AA 25,523
300,000 Fulton County, GA Water &
Sewage System, Revenue
Refunding Bonds, 5.625% (FGIC
INS)/(Original Issue Yield:
5.75%), 1/1/2001 AAA 311,199
475,000 Fulton County, GA, Water and
Sewer Refunding Revenue
Bonds, 6.25% (FGIC INS)/
(Original Issue Yield:
6.425%), 1/1/2007 AAA 522,989
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE GEORGIA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating* Value
<C> <S> <C> <C>
- -----------------------------------------------------------------
Long-Term Municipals--continued
GEORGIA--CONTINUED
$ 500,000 Fulton De Kalb, GA Hospital
Authority, Revenue Bonds,
5.50% (MBIA INS)/(Original
Issue Yield: 5.85%), 1/1/2012 AAA $ 501,430
400,000 Gainsville & Hall County, GA
Hospital Authority, Revenue Anticipation Certificates,
5.75% (Northeast GA Healthcare Project)/(MBIA
INS)/(Original Issue Yield:
5.98%), 10/1/2017 AAA 403,220
300,000 Georgia Medical Center
Hospital Authority, Refunding
Revenue Anticipation
Certificates (Series C),
5.90% (Columbus Regional
Healthcare System)/(MBIA
INS)/ (Original Issue Yield:
5.95%),
8/1/2001 AAA 314,274
285,000 Georgia Municipal Electric Authority, Electric Power
Revenue Refunding Bonds (Series B), 6.125% (FGIC INS)/
(Original Issue Yield:
6.30%),
1/1/2014 AAA 295,554
500,000 Georgia State HFA, Refunding
Revenue SFM Bonds (Subser
A-2), 6.55% (FHA/VA mtgs
GTD), 12/1/2027 AA+ 516,295
200,000 Georgia State, GO UT Bonds
(Series B), 7.20%, 3/1/2006 AA+ 233,224
500,000 Georgia State, GO UT Bonds
(Series D), 6.80%, 8/1/2000 AA+ 535,590
200,000 Georgia State, GO UT Bonds
(Series F), 6.50%, 12/1/2007 AA+ 226,644
430,000 Georgia State, GO UT, 6.25%,
4/1/2007 AA+ 476,083
500,000 Griffin, GA, Combined Public
Utility Revenue Bonds, 5.40%
(FSA INS), 1/1/2016 AAA 497,595
100,000 Gwinnett County, GA, Water &
Sewage Utility Certificates
of Participation, 8.40%,
8/1/2001 AA 114,393
30,000 Hapeville, GA, Water & Sewer
Revenue Bonds, 6.20% (MBIA
INS), 7/1/2006 AAA 32,726
Long-Term Municipals--continued
GEORGIA--CONTINUED
$ 25,000 Henry County, GA & Henry
County Water & Sewer
Authority, GO LT Revenue
Refunding Bonds (Series A),
5.25% (AMBAC INS)/(Original
Issue Yield: 5.40%), 2/1/2018 AAA $ 23,861
500,000 Houston County, GA School
District, GO UT Bond, 5.50%
(MBIA INS), 3/1/2016 AAA 492,200
400,000 Marietta, GA Development
Authority, Revenue Bonds
(Series B), 5.75% (Life
College, Inc.)/(CGIC
LOC)/(Original Issue Yield:
5.91%), 9/1/2014 AAA 406,308
500,000 Meriwether County, GA School
District, GO UT Bonds, 7.00%
(FSA INS), 2/1/2007 AAA 578,175
400,000 Newton County School
District, GA, GO UT Bonds,
5.625% (FGIC INS)/(Original
Issue Yield: 5.70%), 2/1/2013 AAA 407,356
100,000 Peach County, GA School
District, GO UT Bonds, 6.30%
(MBIA INS)/(Original Issue
Yield: 6.35%), 2/1/2014 AAA 107,677
250,000 Private Colleges &
Universities Facilities of
GA, Refunding Revenue Bonds,
5.625% (Agnes Scott College
Project)/(Original Issue
Yield: 5.70%), 6/1/2023 AA- 250,318
685,000 Richmond County, GA Water &
Sewage, Refunding Revenue
Bonds, 5.25% (FGIC INS)/
(Original Issue Yield:
5.491%), 10/1/2021 AAA 658,134
200,000 Rockdale County, GA School
District, GO UT Bonds, 6.30%,
1/1/2007 A1 219,294
150,000 Savannah, GA Resources
Recovery Development
Authority, Refunding Revenue
Bonds, 5.95% (Savannah Energy
Systems Co.), 12/1/2002 A+ 156,929
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE GEORGIA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating* Value
<C> <S> <C> <C>
- -----------------------------------------------------------------
Long-Term Municipals--continued
GEORGIA--CONTINUED
$ 335,000 Savannah, GA Resources
Recovery Development
Authority, Revenue Bonds,
6.30% (Savannah Energy
Systems Co.), 12/1/2006 A+ $ 353,636
110,000 Savannah, GA Water & Sewage,
Revenue Bonds, 5.10%
(Original Issue Yield:
5.55%), 12/1/2010 AA- 107,950
-----------
Total Long-Term Municipals
(identified cost $13,375,175) 13,767,943
-----------
Open-Ended Investment Companies--2.0%
$ 229,742 AIM Global Management S+T
Investments $ 229,742
50,133 Fidelity Tax Exempt Money
Market 50,133
-----------
Total Open-Ended Investment
Companies (at net asset
value) 279,875
-----------
Total Investments (identified
cost $13,655,050) $14,047,818
-----------
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE NORTH CAROLINA MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Principal Credit
Amount Rating* Value
<C> <S> <C> <C>
- -----------------------------------------------------------------
Long-Term Municipal Securities--90.9%
NORTH CAROLINA--90.9%
$1,030,000 Buncombe County, NC, GO UT
Bonds, 4.90% (Original Issue
Yield: 5.15%), 4/1/2014 AA- $ 970,723
190,000 Buncombe County, NC, GO UT
Bonds, 5.20%, 5/1/2008 AA- 193,239
1,400,000 Carteret County, NC, GO UT
Bonds, 5.40% (MBIA INS)/
(Original Issue Yield:
5.60%),
5/1/2015 AAA 1,402,324
100,000 Charlotte, NC, GO UT Bonds,
5.70%, 2/1/2007 AAA 105,906
1,500,000 Charlotte, NC, GO UT
Refunding Bonds, 5.00%
(Original Issue Yield:
5.05%),
2/1/2008 AAA 1,506,675
1,250,000 Charlotte, NC, GO UT
Refunding Bonds, 5.00%
(Original Issue Yield:
5.10%),
2/1/2009 AAA 1,251,563
840,000 Charlotte, NC, GO UT
Refunding Bonds, 5.00%
(Original Issue Yield:
5.15%),
2/1/2012 AAA 823,267
900,000 Charlotte, NC, GO UT Water &
Sewer Bonds (Series A),
5.30%, 4/1/2008 AAA 926,487
960,000 Charlotte-Mecklenburg
Hospital Authority, NC,
Health System Revenue
Refunding Bonds, 5.75%
(Original Issue Yield:
6.498%), 1/1/2012 AA 968,045
1,000,000 Charlotte-Mecklenburg
Hospital Authority, NC,
Revenue Bonds, 5.60%
(Original Issue Yield:
5.70%), 1/15/2009 AA 1,037,650
345,000 Concord, NC, Certificate of Particiapation, 5.60% (MBIA
INS)/(Original Issue Yield:
5.70%), 6/1/2005 AAA 359,669
445,000 Concord, NC, Certificate of Participation, 5.40% (MBIA
INS)/(Original Issue Yield:
5.50%), 6/1/2003 AAA 457,847
Long-Term Municipal Securities--continued
NORTH CAROLINA--CONTINUED
$ 210,000 Cumberland County, NC
Hospital Facilities, Revenue
Bonds, 6.00% (MBIA INS)/
(Original Issue Yield:
6.84%), 10/1/2021 AAA $ 212,572
100,000 Cumberland County, NC,
Certificate of Participation (Series A), 6.375%
(Cumberland County, NC Civic Center Project)/(AMBAC
INS)/(Original Issue Yield:
6.50%), 12/1/2010 AAA 108,421
100,000 Cumberland County, NC, GO UT,
5.70% (MBIA INS)/(Original
Issue Yield: 5.70%), 2/1/2006 AAA 105,229
615,000 Currituck County, NC, GO UT
Bonds, 5.40% (MBIA Insurance
Corporation INS), 4/1/2009 AAA 630,043
110,000 Dare County, NC, GO UT
Refunding Bonds, 5.00% (MBIA
INS), 5/1/2010 AAA 107,995
100,000 Durham County, NC, GO UT
Bonds, 5.75% (Original Issue
Yield: 5.95%), 2/1/2009 AAA 104,477
50,000 Durham County, NC, GO UT
Bonds, 5.80% (Original Issue
Yield: 6.00%), 4/1/2010 AAA 52,636
1,200,000 Durham County, NC, GO UT,
5.40%, 2/1/1999 AAA 1,225,008
50,000 Durham, NC Water & Sewer
Utility System, Revenue
Bonds, 5.80% (Original Issue
Yield: 5.85%), 12/1/2003 AA 53,037
100,000 Durham, NC, GO UT Revenue
Bonds, 5.80% (Original Issue
Yield: 5.95%), 2/1/2012 AAA 104,817
100,000 East Carolina University, NC,
Revenue Bonds, 5.50%
(Original Issue Yield:
5.60%), 5/1/2018 A 97,509
1,500,000 Fayetteville, NC Public Works
Commission, Refunding Revenue
Bonds, 4.75% (FGIC INS)/
(Original Issue Yield:
5.23%),
3/1/2014 AAA 1,378,530
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE NORTH CAROLINA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating* Value
<C> <S> <C> <C>
- -----------------------------------------------------------------
Long-Term Municipal Securities--continued
NORTH CAROLINA--CONTINUED
$1,000,000 Forsyth County, NC, GO UT,
4.75%, 2/1/2005 AAA $ 998,980
500,000 Franklin County, NC,
Certificates of Participation, 6.10% (Jail & School
Project)/ (FGIC INS)/(Original Issue Yield:
6.20%), 6/1/2003 AAA 536,110
320,000 Fremont, NC Housing
Development Corp., First Lien
Revenue Refunding Bonds,
6.75% (Torhunta
Apts)/(Federal National
Mortgage Association COL),
7/15/2022 Aaa 329,974
100,000 Gastonia, NC Combined
Utilities System, Revenue
Bonds, 6.00% (MBIA
INS)/(Original Issue Yield:
6.10%), 5/1/2014 AAA 104,450
500,000 Gastonia, NC, GO UT Bonds,
5.30% (FGIC INS)/(Original
Issue Yield: 5.40%), 6/1/2009 AAA 508,130
1,000,000 Greensboro, NC, Certificate
of Participation (Series A),
5.625% (Original Issue Yield:
6.05%), 12/1/2015 AA 1,001,680
105,000 Greensboro, NC, Certificates
of Participation, 6.65%
(Coliseum Arena Expansion
Project)/ (Original Issue
Yield: 6.70%), 12/1/2004 AA 114,300
100,000 Greenville, NC Combined
Enterprise System, Revenue
Bonds, 5.70% (Original Issue
Yield: 5.75%), 9/1/2006 A+ 105,848
75,000 Harnett County, NC,
Certificates of
Participation, 5.90% (AMBAC
INS), 12/1/2000 AAA 78,583
500,000 Harnett County, NC,
Certificates of
Participation, 6.20% (AMBAC
INS), 12/1/2009 AAA 543,240
600,000 High Point, NC, GO UT Revenue
Bonds, 5.60%, 3/1/2008 AA 629,184
1,000,000 Johnston County, NC,
Certificate of Participation,
4.50% (MBIA INS), 9/1/2000 AAA 998,050
600,000 Lee County, NC, GO UT, 5.00%
(MBIA INS)/(Original Issue
Yield: 5.05%), 4/1/2009 AAA 596,520
Long-Term Municipal Securities--continued
NORTH CAROLINA--CONTINUED
$ 100,000 Martin County, NC IFA, PCR
Bonds, 6.80% (Weyerhaeuser
Co.), 5/1/2024 A $ 108,309
850,000 Martin County, NC IFA,
Revenue Bonds, 5.65%
(Weyerhaeuser Co.), 12/1/2023 A 826,132
100,000 Mecklenburg County, NC, GO UT
Bonds, 6.25% (United States
Treasury PRF)/(Original Issue
Yield: 6.35%), 1/1/2002
(@102) AAA 108,436
100,000 Mecklenburg County, NC, GO UT
Refunding Bonds, 5.90%
(Original Issue Yield:
6.05%),
3/1/2004 AAA 105,830
1,225,000 Mecklenburg County, NC, GO
UT, 4.70% (Original Issue
Yield: 4.90%), 4/1/2010 AAA 1,151,978
100,000 North Carolina Educational
Facilities Finance Agency,
Refunding Revenue Bonds,
6.00% (Davidson College)/
(Original Issue Yield:
6.20%), 12/1/2012 AA 102,947
450,000 North Carolina Educational
Facilities Finance Agency,
Revenue Bonds (Series B),
4.25% (Duke
University)/(Original Issue
Yield: 4.30%), 10/1/2003 AA+ 435,276
1,000,000 North Carolina Educational
Facilities Finance Agency, Revenue Bonds (Series C), 6.75%
(Duke University)/ (Original Issue Yield:
6.769%), 10/1/2021 AA+ 1,085,770
20,000 North Carolina HFA, Multi-
Family Refunding Revenue
Bonds (Series B), 6.90% (FHA
INS), 7/1/2024 AA 21,025
85,000 North Carolina HFA, Revenue
Bonds (Series Z), 6.60%,
9/1/2026 AA 87,960
750,000 North Carolina HFA, Revenue
Bonds, 6.20%, 3/1/2018 AA 763,463
50,000 North Carolina Medical Care
Commission Hospital,
Refunding Revenue Bonds,
6.125% (Rex
Hospital)/(Original Issue
Yield: 6.219%), 6/1/2010 A+ 51,985
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE NORTH CAROLINA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating* Value
<C> <S> <C> <C>
- -----------------------------------------------------------------
Long-Term Municipal Securities--continued
NORTH CAROLINA--CONTINUED
$1,000,000 North Carolina Medical Care
Commission Hospital, Revenue
Bonds (Series C), 5.25% (Duke
University
Hospital)/(Original Issue
Yield: 5.65%), 6/1/2017 AA $ 964,610
525,000 North Carolina Medical Care
Commission Hospital, Revenue
Bonds, 5.20% (Moore Regional
Hospital)/(FGIC INS)/(Original Issue Yield:
5.30%), 10/1/2013 AAA 506,483
1,500,000 North Carolina Medical Care Commission Hospital, Revenue
Bonds, 5.375% (Wake County Hospital Systems)/(MBIA INS)/
(Original Issue Yield:
5.75%), 10/1/2026 AAA 1,442,145
1,000,000 North Carolina Medical Care
Commission Hospital, Revenue
Bonds, 7.00% (Duke University
Hospital)/(Original Issue
Yield: 7.08%), 6/1/2021 Aaa 1,105,630
1,095,000 North Carolina Medical Care
Commission Hospital, Revenue
Refunding Bonds, 5.10%
(Wilson Memorial Hospital)/
(AMBAC INS)/(Original Issue
Yield: 5.25%), 11/1/2009 AAA 1,091,463
1,525,000 North Carolina Medical Care
Commission Hospital, Revenue
Refunding Bonds, 5.20%
(Wilson Memorial Hospital)/
(AMBAC INS)/(Original Issue
Yield: 5.35%), 11/1/2010 AAA 1,518,961
850,000 North Carolina Medical Care
Commission Hospital, Revenue
Refunding Bonds, 7.375%
(Presbyterian
Hospital)/(United States
Treasury PRF)/(Original Issue
Yield: 7.417%), 10/1/2000
(@102) Aaa 941,035
115,000 North Carolina Municipal
Power Agency No. 1, Catawba
Electric Revenue Refunding
Bonds, 5.90% (Original Issue
Yield: 5.95%), 1/1/2003 A- 119,248
Long-Term Municipal Securities--continued
NORTH CAROLINA--CONTINUED
$ 100,000 North Carolina Municipal
Power Agency No. 1, Catawba
Electric Revenue Refunding
Bonds, 7.875% (United States
Treasury PRF), 1/1/1998
(@102) AAA $ 104,367
500,000 North Carolina Municipal
Power Agency No. 1, Refunding
Revenue Bonds, 7.625% (AMBAC
INS)/(Original Issue Yield:
7.70%), 1/1/2014 AAA 521,150
400,000 North Carolina State, GO UT
Bonds (Series A), 4.70%,
2/1/2005 AAA 398,168
1,000,000 North Carolina State, GO UT
Refunding Bonds (Series C),
4.80% (North Carolina Prison
Facilities)/(Original Issue
Yield: 4.85%), 3/1/2009 AAA 969,260
575,000 Onslow County, NC, GO UT
Bonds, 5.70% (MBIA INS)/
(Original Issue Yield:
5.85%),
3/1/2013 AAA 597,563
635,000 Pitt County, NC, Refunding
Revenue Bonds, 5.20% (Pitt
County Memorial Hospital)/
(Original Issue Yield:
5.30%), 12/1/2008 AA- 638,473
400,000 Raleigh, NC, GO UT Refunding
Bonds, 6.40%, 3/1/2006 AAA 428,472
515,000 Randolph County, NC,
Certificate of Participation,
4.25% (MBIA INS), 6/1/1999 AAA 515,242
800,000 Randolph County, NC,
Certificates of Participation, 4.875% (MBIA INS)/(Original
Issue Yield:
5.05%), 6/1/2006 AAA 798,848
500,000 Robeson County, NC, GO UT
Refunding Revenue Bonds,
4.90% (AMBAC INS), 2/1/2007 AAA 499,395
250,000 Rutherford County, NC, GO UT
Refunding Bonds, 5.10% (MBIA
INS), 6/1/2009 AAA 249,668
1,025,000 Sanford, NC, GO UT Bonds,
4.90% (MBIA INS), 3/1/2009 AAA 1,000,687
200,000 Sanford, NC, GO UT Bonds,
4.90% (Original Issue Yield:
4.95%), 3/1/2010 AAA 193,374
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE NORTH CAROLINA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating* Value
<C> <S> <C> <C>
- -----------------------------------------------------------------
Long-Term Municipal Securities--continued
NORTH CAROLINA--CONTINUED
$1,135,000 Shelby, NC Housing
Development Corp., Mortgage
Revenue Bonds, 6.10% (Hickory
Creek Apartments)/(FHA INS),
2/1/2023 AAA $ 1,147,735
500,000 Wake County, NC, GO UT
Refunding Bonds, 4.60%
(Original Issue Yield:
4.70%),
4/1/2004 AAA 495,950
650,000 Wake County, NC, GO UT
Refunding Bonds, 4.70%
(Original Issue Yield:
4.80%),
4/1/2005 AAA 646,971
500,000 Wake County, NC, GO UT,
4.90%, 3/1/2004 AAA 506,125
1,375,000 Wake County, NC, Hospital
Revenue Bonds, 5.125% (MBIA
INS)/(Original Issue Yield:
5.35%), 10/1/2026 AAA 1,303,101
75,000 Wilmington, NC, GO UT Revenue
Bonds, 5.60% (Original Issue
Yield: 5.75%), 6/1/2010 A+ 77,812
-----------
Total Long-Term Municipal
Securities (identified cost
$43,336,587) 44,359,765
-----------
Short-Term Municipal Securities--1.0%
NORTH CAROLINA--1.0%
$ 500,000 Alamance County, NC
Industrial Facilities &
Pollution Control Financing
Authority, Revenue Bonds
Weekly VRDNs (SCI Systems,
Inc.) (at amortized cost) A1 $ 500,000
-----------
Open-Ended Investment Companies--7.0%
1,167,185 AIM Short Term Investments
Co. 1,167,185
1,081,194 Dreyfus Tax Exempt Money
Market Fund 1,081,194
1,188,870 Fidelity Tax Exempt Money
Market 1,188,870
-----------
Total Open-Ended Investment
Companies (at net asset
value) 3,437,249
-----------
Total Investments
(identified cost $47,273,836) $48,297,014
-----------
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Principal Credit
Amount Rating* Value
<C> <S> <C> <C>
- -----------------------------------------------------------------
Long-Term Municipals--96.9%
SOUTH CAROLINA--96.9%
$ 540,000 Barnwell County, SC School
District No. 45, GO UT
Refunding Bonds, 5.60%
(AMBAC INS)/(State Aid
Withholding LOC)/(Original
Issue Yield: 5.65%),
2/1/2012 AAA $ 549,515
570,000 Barnwell County, SC School
District No. 45, GO UT
Refunding Bonds, 5.60%
(AMBAC INS)/(State Aid
Withholding LOC)/(Original
Issue Yield: 5.70%),
2/1/2013 AAA 578,151
1,000,000 Beaufort County, SC,
Certificate of
Participation, 5.00% (Hilton
Head Airport), 7/1/2001 A 1,008,410
675,000 Beaufort County, SC,
Certificates of
Participation, 7.125% (AMBAC
INS)/ (Original Issue Yield:
7.45%), 6/1/2012 AAA 731,396
855,000 Beaufort-Jasper, SC Water &
Sewer Authority, Waterworks and Sewer System Revenue
Bonds, 5.90% (FGIC INS)/ (Original Issue Yield:
6.00%), 3/1/2016 AAA 871,091
750,000 Berkeley County, SC,
Pollution Control Facilities
Revenue Bonds, 6.50% (South
Carolina Electric and Gas),
10/1/2014 A- 808,673
1,500,000 Berkeley County, SC, Water &
Sewer Refunding Revenue
Bonds, 5.50% (MBIA INS)/
(Original Issue Yield:
5.55%), 6/1/2013 AAA 1,508,190
1,000,000 Camden, SC Public Utility,
Revenue Refunding Bonds,
5.50% (MBIA INS)/(Original
Issue Yield: 5.80%),
3/1/2022 AAA 978,090
1,105,000 Charleston County, SC
Airport District, Airport
System Refunding Revenue
Bonds, 4.75% (MBIA INS),
7/1/2015 AAA 988,577
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$1,900,000 Charleston, SC, Certificates
of Participation, 5.00%
(AMBAC INS)/(Original Issue
Yield: 5.39%), 9/1/2015 AAA $ 1,780,870
1,000,000 Charleston, SC, Certificates
of Participation, 7.10%
(MBIA INS)/(United States
Treasury PRF), 6/1/2001
(@102) AAA 1,109,260
250,000 Charleston, SC, GO Bonds
(Series A), 6.30%, 9/1/2005 AA 268,565
1,315,000 Charleston, SC, GO UT Bonds,
9.00% (State Aid Withholding
LOC), 6/1/2001 AA 1,527,202
310,000 Charleston, SC, Resources
Recovery Revenue Bonds
(Series A), 9.00% (Foster
Wheeler Corp.), 1/1/2005 A 325,760
400,000 Charleston, SC, Water &
Sewer Refunding Revenue
Bonds (Series A), 7.05%,
1/1/2006 AA- 408,356
1,000,000 Charleston, SC, Water &
Sewer Refunding Revenue
Bonds, 6.00% (Original Issue
Yield: 6.242%), 1/1/2012 AA- 1,030,320
1,260,000 Charleston, SC, Waterworks &
Sewer Refunding Revenue
Bonds, 5.00% (MBIA INS),
1/1/2022 AAA 1,138,675
875,000 Chester County, SC School
District, GO UT, 6.85%
(United States Treasury
PRF)/ (Original Issue Yield:
6.95%), 2/1/2012 A 942,909
1,125,000 Chester County, SC School
District, GO UT, 6.85%
(United States Treasury
PRF)/ (Original Issue Yield:
6.90%), 2/1/2000 (@102) A 1,212,311
1,500,000 Columbia, SC Waterworks &
Sewer System, Refunding
Revenue Bonds, 5.70%,
2/1/2010 AA 1,572,105
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating* Value
<C> <S> <C> <C>
- -----------------------------------------------------------------
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$1,000,000 Columbia, SC, Parking
Facilities Refunding Revenue
Bonds, 5.875% (AMBAC INS)/
(Original Issue Yield:
6.007%), 12/1/2013 AAA $ 1,034,570
1,065,000 Dorchester County, SC School
District No. 002, GO UT
Bonds, 5.125% (FGIC INS)/
(Original Issue Yield:
5.25%), 2/1/2012 AAA 1,047,683
1,500,000 Dorchester County, SC School
District No. 002, GO UT
Bonds, 5.20% (FGIC INS),
2/1/2018 AAA 1,440,255
2,250,000 Dorchester County, SC School
District No. 002, GO UT
Bonds, 5.20% (FGIC INS)/
(Original Issue Yield:
5.35%), 2/1/2017 AAA 2,178,495
600,000 Dorchester County, SC School
District No. 002, GO UT
Bonds, 6.65% (MBIA INS)/
(United States Treasury
PRF)/ (Original Issue Yield:
6.85%), 7/1/1999 (@102) AAA 639,108
870,000 Edgefield County, SC School
District, GO UT Bonds, 6.40%
(FSA INS)/(Original Issue
Yield: 6.60%), 2/1/2009 AAA 943,689
1,155,000 Fairfield County, SC School
District, Certificates of Participation, 5.50% (Fairfield
Primary Geiger)/(Asset Guaranty GTD)/(Original Issue
Yield:
5.60%), 3/1/2007 AA 1,169,680
2,000,000 Fairfield County, SC, PCR
Bonds, 6.50% (South Carolina
Electric and Gas), 9/1/2014 A 2,155,120
500,000 Florence County, SC,
Hospital Revenue Bonds, 6.75% (Mcleod Regional Medical
Center)/ (FGIC INS)/(Original Issue Yield:
7.00%), 11/1/2010 AAA 535,855
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$2,805,000 Grand Strand Water & Sewage Authority, SC, Revenue
Refunding Bonds, 6.375% (South Carolina Waterworks & Sewer
System)/(MBIA INS)/ (Original Issue Yield:
6.508%), 6/1/2012 AAA $ 3,128,276
800,000 Grand Strand Water & Sewage Authority, SC, Waterworks &
Sewer System Revenue Refunding Bonds, 6.00% (MBIA
INS)/(Original Issue Yield:
6.595%), 6/1/2019 AAA 813,968
500,000 Greenville County, SC,
Industrial Revenue Bonds,
7.10% (Lockheed Aeromod
Center Incorporated
Project), 11/1/2011 AAA 531,045
5,250,000 Greenville, SC Hospital
System Facilities, Refunding
Revenue Bonds (Series B),
5.25% (Original Issue Yield:
6.125%), 5/1/2023 AA- 4,955,528
600,000 Greenville, SC Hospital
System Facilities, Refunding
Revenue Bonds, 5.75%
(Original Issue Yield:
5.95%), 5/1/2013 AA- 605,784
1,500,000 Greenville, SC Hospital
System Facilities, Revenue
Bonds (Series B), 5.25%
(Original Issue Yield:
6.076%), 5/1/2017 AA- 1,433,040
760,000 Greenville, SC Hospital
System Facilities, Revenue
Bonds, 7.00% (Greenville
Health
Corporation)/(Original Issue
Yield: 7.454%), 5/1/2017 AAA 825,292
2,000,000 Greenville, SC Waterworks
Revenue, Revenue Bonds,
5.50% (Original Issue Yield:
5.60%), 2/1/2022 AA 1,977,220
1,000,000 Hilton Head Island, SC
Public Facilities Corp.,
Certificates of
Participation, 5.40% (AMBAC
INS)/(Original Issue Yield:
5.599%), 3/1/2009 AAA 1,019,120
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating* Value
<C> <S> <C> <C>
- -----------------------------------------------------------------
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$ 100,000 Horry County, SC, GO UT Bonds, 7.45% (United
States Treasury PRF), 12/1/1988
(@102) A+ $ 106,698
980,000 Horry County, SC, GO UT
Refunding Bonds (Series B),
4.65% (MBIA INS), 12/1/2005 AAA 963,056
1,960,000 Lancaster County, SC School District, GO UT, 6.50% (MBIA
INS)/(Original Issue Yield:
6.599%), 7/1/2008 AAA 2,135,302
655,000 Lexington & Richland
Counties, SC School District
No. 005, GO UT Bonds, 5.05%
(MBIA INS), 3/1/2005 AAA 666,934
175,000 Lexington County, SC,
Revenue Bonds (Series C),
8.00% (J.B. White & Co.
Project), 1/1/2011 NR 195,169
805,000 Medical University of South
Carolina, Hospital
Facilities Revenue Bonds,
5.25% (MBIA INS)/(Original
Issue Yield: 5.25%),
7/1/2004 AAA 827,725
2,000,000 North Charleston, SC Sewer
District, Refunding Revenue
Bonds (Series A), 6.00%
(MBIA INS)/(Original Issue
Yield: 6.593%), 7/1/2018 AAA 2,035,300
500,000 North Charleston, SC Sewer
District, Revenue Bonds (Series B), 6.00% (MBIA INS)/
(Original Issue Yield:
6.593%), 7/1/2018 AAA 508,825
1,275,000 Oconee County, SC School
District, GO UT Bonds, 5.10%
(MBIA INS)/(Original Issue
Yield: 5.50%), 9/1/2013 AAA 1,233,180
2,500,000 Oconee County, SC, PCR
Refunding Bonds, 5.80% (Duke
Power Co.), 4/1/2014 AA- 2,541,450
100,000 Piedmont Municipal Power
Agency, SC, Electricity Refunding Revenue Bonds (Series
A), 7.40% (AMBAC INS)/(Original Issue Yield:
7.483%), 1/1/2018 AAA 103,747
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$ 590,000 Piedmont Municipal Power
Agency, SC, Electricity
Refunding Revenue Bonds,
6.85% (FGIC INS), 1/1/2007 AAA $ 640,657
590,000 Piedmont Municipal Power
Agency, SC, Refunding Bonds,
5.50% (MBIA INS)/(Original
Issue Yield: 5.60%),
1/1/2013 AAA 598,933
970,000 Piedmont Municipal Power
Agency, SC, Refunding
Revenue Bonds (Series A),
6.375% (FGIC LOC)/(Original
Issue Yield: 6.45%),
1/1/2006 AAA 1,062,490
410,000 Piedmont Municipal Power
Agency, SC, Refunding
Revenue Bonds, 5.50% (MBIA
INS)/(Original Issue Yield:
5.60%), 1/1/2013 AAA 416,642
1,000,000 Piedmont Municipal Power
Agency, SC, Refunding
Revenue Bonds, 6.50% (FGIC
INS)/(Original Issue Yield:
6.88%), 1/1/2011 AAA 1,071,020
1,325,000 Richland-Lexington Airport District, Airport & Marina
Revenue Bonds, 6.125% (Columbia Metropolitan
Airport)/(AMBAC INS)/ (Original Issue Yield:
6.40%), 1/1/2025 AAA 1,349,831
600,000 Richland County, SC Hospital
Facilities, Revenue Bonds
(Series PG-A), 7.10%
(Community Provider Pooled
Loan Program)/(CGIC INS),
7/1/2005 AAA 663,216
255,000 Richland County, SC Hospital
Facilities, Revenue Bonds,
8.125% (Sun Health-
Orangeburg)/(Sumitomo Bank
Ltd., Osaka LOC), 10/1/2011 A 270,453
1,500,000 Richland County, SC School
District No. 001, GO UT,
5.40%, 3/1/2022 AA- 1,317,105
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating* Value
<C> <S> <C> <C>
- -----------------------------------------------------------------
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$1,050,000 Richland County, SC School
District No. 002, GO UT
Bonds (Series B), 6.75%
(MBIA INS), 3/1/2001 AAA $ 1,129,706
650,000 Richland County, SC Solid
Waste Disposal Facilities,
Revenue Bonds (Series A),
7.45% (Union Camp Corp.
Project)/(Original Issue
Yield: 7.513%), 4/1/2021 A- 712,192
1,390,000 Richland County, SC, GO UT
Refunding Bonds (Series B),
6.25% (State Aid Withholding
LOC), 3/1/2001 AA 1,474,748
140,000 Rock Hill, SC Housing
Development Corp., Multi-
Family Refunding Revenue
Bonds, 7.50%, 7/1/2010 NR 150,270
1,000,000 South Carolina Job
Development Authority, Revenue Bonds, 5.25% (Anderson Area
Medical Center, Inc.)/(MBIA INS)/ (Original Issue Yield:
5.63%), 2/1/2015 AAA 966,410
500,000 South Carolina Resources
Authority, Local Government
Program, Revenue Bonds
(Series A), 7.00%, 6/1/2003 A+ 543,640
1,000,000 South Carolina State
Educational Assistance
Authority, Refunding Revenue
Bonds (Series A-3), 5.80%
(Original Issue Yield:
5.90%), 9/1/2004 AAA 1,038,220
1,000,000 South Carolina State
Educational Assistance
Authority, Refunding Revenue
Bonds (Series B), 5.70%
(Original Issue Yield:
5.75%), 9/1/2005 A 1,021,670
405,000 South Carolina State
Educational Assistance
Authority, Revenue Bonds,
6.50% (Original Issue Yield:
6.65%), 9/1/2004 AA 426,635
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$ 975,000 South Carolina State Housing
Finance & Development
Authority, Refunding Revenue
Bonds (Series A), 6.15%,
7/1/2008 AA $ 1,014,839
1,200,000 South Carolina State Housing
Finance & Development
Authority, Revenue Bonds
(Series A), 7.30% (FHA/VA
mtgs GTD), 7/1/2011 AA 1,259,603
1,000,000 South Carolina State Housing
Finance & Development
Authority, Revenue Bonds
(Series A-1), 6.45% (FHA/VA
mtgs GTD), 7/1/2017 AA 1,033,930
500,000 South Carolina State Housing
Finance & Development
Authority, Revenue Bonds
(Series C), 7.70% (FHA/VA
mtgs GTD), 7/1/2011 AA 525,375
520,000 South Carolina State Housing
Finance & Development
Authority, Revenue Bonds
(Series C), 7.75% (FHA/VA
mtgs GTD), 7/1/2022 AA 546,405
100,000 South Carolina State Housing
Finance & Development
Authority, Revenue Refunding
Bonds (Series A), 7.50%
(FHA/ VA mtgs GTD), 7/1/2011 AA 104,001
1,000,000 South Carolina State Ports
Authority, Revenue Bonds,
6.50% (AMBAC INS)/(Original
Issue Yield: 6.75%),
7/1/2006 AAA 1,072,260
1,000,000 South Carolina State Ports
Authority, Revenue Bonds,
6.625% (AMBAC INS)/
(Original Issue Yield:
6.823%), 7/1/2011 AAA 1,068,200
525,000 South Carolina State Ports
Authority, Revenue Bonds,
6.75% (AMBAC INS)/(Original
Issue Yield: 6.90%),
7/1/2021 AAA 561,787
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating* Value
<C> <S> <C> <C>
- -----------------------------------------------------------------
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$1,950,000 South Carolina State Public Service Authority, Revenue
Bonds (Series D), 6.50% (Santee Cooper)/(AMBAC INS)/
(Original Issue Yield:
6.553%), 7/1/2014 AAA $ 2,114,288
4,500,000 South Carolina State, GO UT
Revenue Bonds (Series A),
5.00% (Original Issue Yield:
5.45%), 3/1/2008 AAA 4,511,700
590,000 South Carolina State, State
Capital Improvement (Series
B), 5.75%, 8/1/2000 AAA 614,060
1,500,000 Spartanburg County, SC
Health Services District,
Inc., Refunding Revenue
Bonds, 5.50% (AMBAC
INS)/(Original Issue Yield:
5.70%), 4/15/2015 AAA 1,502,730
1,500,000 Spartanburg County, SC
Health Services District,
Inc., Revenue Bonds, 5.50%
(MBIA INS)/ (Original Issue
Yield: 6.00%), 4/15/2027 AAA 1,462,335
1,000,000 Spartanburg County, SC
Hospital Facilities, Revenue
Refunding Bonds, 6.55%
(Spartanburg General
Hospital System)/(FSA INS),
4/15/2010 AAA 1,079,040
200,000 Spartanburg County, SC Hospital Facilities, Revenue
Refunding Bonds, 7.80% (Mary Black Memorial Project)/
(United States Treasury PRF)/ (Original Issue Yield:
7.80%), 10/1/2000 NR 213,036
100,000 Spartanburg County, SC
Hospital Facilities, Revenue
Refunding Bonds, 8.25% (Mary
Black Memorial Project)/
(United States Treasury
PRF), 10/1/2008 NR 107,081
450,000 Spartanburg, SC Leased
Housing Corp, Refunding
Revenue Bonds, 7.50%,
10/1/2011 A2 482,729
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$1,000,000 Sumter County, SC Hospital
Facilities, Revenue
Refunding Bonds, 6.625%
(Tuomey Regional Medical
Center)/ (MBIA
INS)/(Original Issue Yield:
6.98%), 11/15/2004 AAA $ 1,112,600
1,000,000 University South Carolina,
Parking Facilities Refunding
Revenue Bonds, 5.00% (MBIA
INS)/(Original Issue Yield:
5.40%), 5/1/2015 AAA 947,250
1,465,000 University of South
Carolina, Revenue Bonds,
5.70% (MBIA INS), 6/1/2020 AAA 1,464,062
1,300,000 Western Carolina Regional
Sewer Authority, SC, Sewer
System Revenue Bonds, 5.50%
(FGIC INS)/(Original Issue
Yield: 5.627%), 3/1/2010 AAA 1,319,955
1,000,000 York County, SC, GO UT
Refunding Bonds, 4.90%
(AMBAC INS)/(Original Issue
Yield: 5.10%), 6/1/2010 AAA 964,670
-----------
Total Long-Term Municipals
(identified cost
$93,428,225) 97,025,314
-----------
Open-Ended Investment Companies--1.8%
759,416 Dreyfus Tax Exempt Money
Market Fund 759,416
1,055,665 Fidelity Tax Exempt Money
Market 1,055,665
-----------
Total Open-Ended Investment
Companies (at net asset
value) 1,815,081
-----------
Total Investments
(identified
cost $95,243,306) $98,840,395
-----------
</TABLE>
(See Notes to Portfolios of Investments)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
NOTES TO PORTFOLIOS OF INVESTMENTS
* Please refer to the Appendix of the Statement of Additional
Information for an explanation of the credit ratings.
(a) The repurchase agreements are fully collateralized by U.S.
Government and/or agency obligations based on market prices at
the date of the portfolio.
(b) Non-income producing.
(c) Current rate and next demand date shown.
(d) Represents securities held as collateral within a margin account,
used to ensure the Fund is able to satisfy the obligations of its
outstanding long futures contracts.
(e) Denotes a restricted security which is subject to restrictions on
resale under Federal Securities laws. At May 31, 1997, Emerging
Markets Fund held restricted securities amounting to $4,969,181
which represents 3.0% of net assets.
The following abbreviations are used in these portfolios:
ADR--American Depositary Receipt
AMBAC-- American Municipal Bond Assurance Corporation
CGIC--Capital Guaranty Insurance Corporation
COL--Collateralized
FHA--Federal Housing Administration
FHA/VA-- Federal Housing Administration/
Veterans Administration FGIC--Financial Guaranty Insurance
Company FSA--Financial Security Assurance GO--General Obligation
GDR--Global Depositary Receipt GTD--Guaranteed HFA--Housing Finance
Authority IFA--Industrial Finance Authority INS--Insured LOC--Letter
of Credit LT--Limited Tax MBIA--Municipal Bond Investors Assurance
PCFA--Pollution Control Finance Authority PCR--Pollution Control
Revenue PLC--Public Limited Company PO--Principal Only
PRF--Prerefunded SFM--Single Family Mortgage UT--Unlimited Tax
VRDNs--Variable Rate Demand Notes VA--Veterans Administration
<TABLE>
<CAPTION>
Net Gross Gross
Unrealized Unrealized Unrealized
Cost of Appreciation/ Appreciation Depreciation
Investments (Depreciation) for Federal for Federal
for Federal for Federal Tax Tax Total Net
Fund Tax Purposes Tax Purposes Purposes Purposes Assets**
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Equity Fund $ 145,993,174 $ 27,781,670 $ 28,398,133 $ 616,463 $ 174,451,088
Quantitative Equity Fund 131,971,719 56,651,820 57,294,166 642,346 187,914,162
Equity Index Fund 168,501,555 101,856,574 104,257,590 2,401,016 270,736,078
Special Values Fund 83,324,022 13,995,008 15,722,740 1,727,732 97,243,558
Emerging Markets Fund 137,206,594 22,996,823 33,400,578 10,403,755 164,690,001
Balanced Fund 245,508,222 35,677,813 37,607,202 1,939,389 282,713,798
Fixed Income Fund 184,543,927 (1,752,368) 526,121 2,278,489 184,203,099
Short-Term Fixed Income Fund 116,412,178 (280,631) 125,716 406,347 117,709,319
Georgia Municipal Bond Fund 13,655,050 392,768 399,523 6,755 14,272,716
North Carolina Municipal Bond Fund 47,273,836 1,023,178 1,085,808 62,630 48,806,953
South Carolina Municipal Bond Fund 95,243,306 3,597,089 3,782,425 185,336 100,145,984
</TABLE>
** The categories of investments are shown as a percentage of net
assets at May 31, 1997.
At May 31, 1997, the following Funds had investments that were subject
to alternative minimum tax:
<TABLE>
<CAPTION>
Percentage of total market value
Fund subject to alternative minimum tax
<S> <C>
Georgia Municipal Bond Fund 3.68%
North Carolina Municipal Bond Fund 2.94%
South Carolina Municipal Bond Fund 11.8%
</TABLE>
(See Notes which are an integral part of the Financial Statements)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Biltmore Biltmore Biltmore
Biltmore Quantitative Biltmore Special Emerging Biltmore
Equity Equity Equity Values Markets Balanced
Fund Fund Index Fund Fund Fund Fund
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
Assets:
Investments in securities, at value $173,774,844 $188,623,539 $270,358,129 $97,319,030 $160,203,417 $281,186,035
Cash -- -- 952,690 41,788 -- --
Interest-bearing demand deposit -- -- -- -- 4,372,862 --
Income receivable 278,708 348,499 532,586 126,615 847,501 1,834,245
Receivable for investments sold 1,717,503 -- -- -- 1,800,542 2,189,423
Receivable for shares sold 40,539 40,072 119,825 247,589 13,112 --
Receivable for daily variation margin 99,450 82,089 186,150 -- -- 86,700
Deferred expenses 6,227 14,870 15,038 1,723 19,696 16,876
------------ ------------ ------------ ----------- ------------ ------------
Total assets 175,917,271 189,109,069 272,164,418 97,736,745 167,257,130 285,313,279
------------ ------------ ------------ ----------- ------------ ------------
Liabilities:
Payable for investments purchased 1,266,013 982,018 1,245,952 227,694 2,241,862 2,024,289
Payable for shares redeemed -- 23,765 19,109 144,048 63 32,246
Income distribution payable 285 -- -- -- -- --
Payable to Bank 20,213 526 -- -- 21,738 312,591
Payable for taxes withheld -- -- -- -- 17,592 --
Accrued expenses 179,672 188,598 163,279 121,445 285,874 230,355
------------ ------------ ------------ ----------- ------------ ------------
Total liabilities 1,466,183 1,194,907 1,428,340 493,187 2,567,129 2,599,481
------------ ------------ ------------ ----------- ------------ ------------
Net Assets Consist of:
Paid in capital 132,622,258 120,971,415 165,331,361 80,032,012 138,884,047 237,710,796
Net unrealized appreciation
(depreciation) of investments,
futures contracts, and translation
of assets and liabilities in foreign
currency 28,895,329 57,448,262 103,830,844 13,995,015 23,002,512 36,526,281
Accumulated net realized gain (loss)
on investments, futures, and foreign
currency transactions 12,888,806 9,164,802 819,871 3,089,185 1,907,797 7,179,882
Undistributed net investment income 44,695 329,683 754,002 127,346 895,645 1,296,839
------------ ------------ ------------ ----------- ------------ ------------
Total Net Assets $174,451,088 $187,914,162 $270,736,078 $97,243,558 $164,690,001 $282,713,798
------------ ------------ ------------ ----------- ------------ ------------
Net Assets
Class A Shares $25,776,683 $21,419,194 $25,952,167 $15,945,792 $7,432,940 $23,390,918
------------ ------------ ------------ ----------- ------------ ------------
Class B Shares $2,196,590 $2,983,915 $ -- $ -- $ -- $3,783,791
------------ ------------ ------------ ----------- ------------ ------------
Class Y Shares $146,477,815 $163,511,053 $244,783,911 $81,297,766 $157,257,061 $255,539,089
------------ ------------ ------------ ----------- ------------ ------------
Shares Outstanding
Class A Shares 1,832,541 1,292,681 1,541,560 1,008,873 557,472 1,894,137
Class B Shares 156,482 180,406 -- -- -- 306,812
Class Y Shares 10,409,713 9,863,371 14,537,579 5,143,331 11,788,463 20,685,067
------------ ------------ ------------ ----------- ------------ ------------
Total Shares Outstanding 12,398,736 11,336,458 16,079,139 6,152,204 12,345,935 22,886,016
------------ ------------ ------------ ----------- ------------ ------------
Net Asset Value Per Share
Class A Shares $ 14.07 $ 16.57 $ 16.83 $ 15.81 $ 13.33 $ 12.35
------------ ------------ ------------ ----------- ------------ ------------
Class B Shares $ 14.04 $ 16.54 -- -- -- $ 12.33
------------ ------------ ------------ ----------- ------------ ------------
Class Y Shares $ 14.07 $ 16.58 $ 16.84 $ 15.81 $ 13.34 $ 12.35
------------ ------------ ------------ ----------- ------------ ------------
Offering Price Per Share*
Class A Shares $ 14.73** $ 17.35** $ 17.62** $ 16.55** $ 13.96** $ 12.93**
------------ ------------ ------------ ----------- ------------ ------------
Class B Shares $ 14.04 $ 16.54 -- -- -- $ 12.33
------------ ------------ ------------ ----------- ------------ ------------
Class Y Shares $ 14.07 $ 16.58 $ 16.84 $ 15.81 $ 13.34 $ 12.35
------------ ------------ ------------ ----------- ------------ ------------
Redemption Proceeds Per Share*
Class A Shares $ 14.07 $ 16.57 $ 16.83 $ 15.81 $ 13.33 $ 12.35
------------ ------------ ------------ ----------- ------------ ------------
Class B Shares $ 14.34*** $ 15.71*** -- -- -- $ 11.71****
------------ ------------ ------------ ----------- ------------ ------------
Class Y Shares $ 14.07 $ 16.58 $ 16.84 $ 15.81 $ 13.34 $ 12.35
------------ ------------ ------------ ----------- ------------ ------------
Investments, at identified cost $145,993,174 $131,971,719 $168,501,555 $83,324,022 $137,206,594 $245,508,222
------------ ------------ ------------ ----------- ------------ ------------
Investments, at tax cost $145,993,174 $131,971,719 $168,501,555 $83,324,022 $137,206,594 $245,508,222
------------ ------------ ------------ ----------- ------------ ------------
</TABLE>
* See "What Shares Cost" in the Prospectus.
** Computation of Offering Price: 100+95.50 of net asset value.
*** Computation of Offering Price: 100+97.50 of net asset value.
**** Computation of Redemption Proceeds: 95+100 of net asset value.
(See Notes which are an integral part of the Financial Statements)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENTS OF ASSETS AND LIABILITIES--CONTINUED
MAY 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Biltmore Biltmore Biltmore
Biltmore Short-Term Biltmore North South
Fixed Fixed Georgia Carolina Carolina
Income Income Municipal Municipal Municipal
Fund Fund Bond Fund Bond Fund Bond Fund
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets:
Investments in securities, at value $182,791,559 $116,131,547 $14,047,818 $48,297,014 $98,840,395
Cash -- -- -- -- --
Interest-bearing demand deposit -- -- -- -- --
Income receivable 2,460,724 1,655,473 276,050 720,382 1,801,960
Receivable for investments sold -- -- -- -- --
Receivable for shares sold 2,272 489 -- 87,766 164,379
Receivable for daily variation -- -- -- -- --
Deferred expenses 13,864 15,332 11,470 14,856 --
------------ ------------ ----------- ----------- ------------
Total assets 185,268,419 117,802,841 14,335,338 49,120,018 100,806,734
------------ ------------ ----------- ----------- ------------
Liabilities:
Payable for investments purchased 920,035 -- -- -- --
Payable for shares redeemed 416 482 -- 76,722 112,618
Income distribution payable 496 -- 49,354 153,674 403,930
Payable to Bank -- -- -- 10,000 --
Payable for taxes withheld -- -- -- -- --
Accrued expenses 144,373 93,040 13,268 72,669 144,202
------------ ------------ ----------- ----------- ------------
Total liabilities 1,065,320 93,522 62,622 313,065 660,750
------------ ------------ ----------- ----------- ------------
Net Assets Consist of:
Paid in capital 190,575,360 121,741,087 13,894,457 47,802,298 96,538,152
Net unrealized appreciation (depreciation) of
investments, futures contracts, and translation of
assets and liabilities in foreign currency (1,752,368) (241,987) 392,768 1,023,178 3,597,089
Accumulated net realized gain (loss) on investments,
futures, and foreign currency transactions (4,734,001) (3,972,750) (14,509) (18,523) 10,743
Undistributed net investment income 114,108 182,969 -- -- --
------------ ------------ ----------- ----------- ------------
Total Net Assets $184,203,099 $117,709,319 $14,272,716 $48,806,953 $100,145,984
------------ ------------ ----------- ----------- ------------
Net Assets
Class A Shares $4,391,457 $2,224,893 $6,667,951 $11,574,842 $61,890,194
------------ ------------ ----------- ----------- ------------
Class B Shares $ 120,944 $ -- $ -- $ -- $ --
------------ ------------ ----------- ----------- ------------
Class Y Shares $179,690,698 $115,484,426 $7,604,765 $37,232,111 $38,255,790
------------ ------------ ----------- ----------- ------------
Shares Outstanding
Class A Shares 460,054 228,874 614,859 1,062,653 5,683,222
Class B Shares 12,673 -- -- -- --
Class Y Shares 18,824,731 11,873,073 701,238 3,418,168 3,512,911
------------ ------------ ----------- ----------- ------------
Total Shares Outstanding 19,297,458 12,101,947 1,316,097 4,480,821 9,196,133
------------ ------------ ----------- ----------- ------------
Net Asset Value Per Share
Class A Shares $ 9.55 $ 9.72 $ 10.84 $ 10.89 $ 10.89
------------ ------------ ----------- ----------- ------------
Class B Shares $ 9.54 -- -- -- --
------------ ------------ ----------- ----------- ------------
Class Y Shares $ 9.55 $ 9.73 $ 10.84 $ 10.89 $ 10.89
------------ ------------ ----------- ----------- ------------
Offering Price Per Share*
Class A Shares $ 10.00** $ 9.97*** $ 11.35** $ 11.40** $ 11.40**
------------ ------------ ----------- ----------- ------------
Class B Shares $ 9.54 -- -- -- --
------------ ------------ ----------- ----------- ------------
Class Y Shares $ 9.55 $ 9.73 $ 10.84 $ 10.89 $ 10.89
------------ ------------ ----------- ----------- ------------
Redemption Proceeds Per Share*
Class A Shares $ 9.55 $ 9.72 $ 10.84 $ 10.89 $ 10.89
------------ ------------ ----------- ----------- ------------
Class B Shares $ 9.06**** -- -- -- --
------------ ------------ ----------- ----------- ------------
Class Y Shares $ 9.55 $ 9.73 $ 10.84 $ 10.89 $ 10.89
------------ ------------ ----------- ----------- ------------
Investments, at identified cost $184,543,927 $116,373,534 $13,655,050 $47,273,836 $95,243,306
------------ ------------ ----------- ----------- ------------
Investments, at tax cost $184,543,927 $116,412,178 $13,655,050 $47,273,836 $95,243,306
------------ ------------ ----------- ----------- ------------
</TABLE>
* See "What Shares Cost" in the Prospectus.
** Computation of Offering Price: 100+95.50 of net asset value.
*** Computation of Offering Price: 100+97.50 of net asset value.
**** Computation of Redemption Proceeds: 95+100 of net asset value.
(See Notes which are an integral part of the Financial Statements)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED MAY 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Biltmore Biltmore
Biltmore Biltmore Biltmore Special Emerging Biltmore
Equity Quantitative Equity Values Markets Balanced
Fund Equity Fund Index Fund Fund Fund Fund
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
Investment Income:
Dividends $ 1,166,665 $ 1,748,565 $ 2,084,034 $ 493,143 $ 1,806,545 $ 1,208,152
Interest 508,449 252,547 740,268 161,946 253,741 3,920,423
----------- ----------- ----------- ----------- ----------- -----------
Total income 1,675,114 2,001,112 2,824,302 655,089 2,060,286 5,128,575
----------- ----------- ----------- ----------- ----------- -----------
Expenses:
Investment advisory fee 551,611 599,208 360,916 313,050 748,906 926,553
Administrative personnel and services fee 66,498 72,275 101,530 33,016 63,193 111,710
Custodian fees 15,760 17,120 24,007 7,826 178,105 26,078
Transfer and dividend disbursing agent fees and
expenses 49,312 49,589 39,823 35,065 50,057 50,581
Trustees' fees 3,878 3,891 5,527 2,421 2,722 4,629
Auditing fees 7,646 7,894 7,645 6,269 8,696 7,592
Legal fees 4,353 2,860 4,706 2,394 8,359 7,173
Portfolio accounting fees 40,868 40,161 19,404 23,114 36,760 54,256
Distribution services fee--Class B Shares 5,599 7,713 -- -- -- 10,541
Shareholder services fee--Class A Shares 23,995 19,110 22,131 11,805 6,732 21,959
Shareholder services fee--Class B Shares 1,866 2,571 -- -- -- 3,514
Share registration costs 16,005 14,335 17,489 11,631 13,719 18,256
Printing and postage 7,364 7,663 6,997 7,194 9,963 8,066
Insurance premiums 3,652 3,627 4,502 1,849 1,865 2,652
Miscellaneous 8,498 5,823 6,792 6,511 7,870 6,851
----------- ----------- ----------- ----------- ----------- -----------
Total expenses 806,905 853,840 621,469 462,145 1,136,947 1,260,411
----------- ----------- ----------- ----------- ----------- -----------
Waivers and reimbursements--
Waiver of investment advisory fee (66,232) (79,717) (46,172) (11,587) -- (218,874)
Reimbursement of other operating expenses -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total waivers and reimbursements (66,232) (79,717) (46,172) (11,587) -- (218,874)
----------- ----------- ----------- ----------- ----------- -----------
Net expenses 740,673 774,123 575,297 450,558 1,136,947 1,041,537
----------- ----------- ----------- ----------- ----------- -----------
Net investment income 934,441 1,226,989 2,249,005 204,531 923,339 4,087,038
----------- ----------- ----------- ----------- ----------- -----------
Realized and Unrealized Gain (Loss) on
Investments:
Net realized gain (loss) on investments, futures
contracts and foreign currency transactions 13,634,340 10,171,825 4,349,230 3,051,404 1,969,816 8,704,856
Net change in unrealized appreciation
(depreciation) of investments, futures
contracts and translation of
assets and liabilities in foreign currency 468,178 9,102,907 24,111,465 6,189,137 18,163,165 3,207,968
----------- ----------- ----------- ----------- ----------- -----------
Net realized and unrealized gain (loss) on
investments, futures contracts and foreign
currency 14,102,518 19,274,732 28,460,695 9,240,541 20,132,981 11,912,824
----------- ----------- ----------- ----------- ----------- -----------
Change in net assets resulting
from operations $15,036,959 $20,501,721 $30,709,700 $ 9,445,072 $21,056,320 $15,999,862
----------- ----------- ----------- ----------- ----------- -----------
Foreign taxes withheld from dividends $ -- $ -- $ -- $ -- $ 135,455 $ --
----------- ----------- ----------- ----------- ----------- -----------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENTS OF OPERATIONS--CONTINUED
SIX MONTHS ENDED MAY 31, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
Biltmore Biltmore Biltmore
Biltmore Short-Term Biltmore North South
Fixed Fixed Georgia Carolina Carolina
Income Income Municipal Municipal Municipal
Fund Fund Bond Fund Bond Fund Bond Fund
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
Investment Income:
Dividends $ -- $ -- $ -- $ -- $ --
Interest 6,210,148 3,565,542 377,340 1,130,627 2,813,946
----------- ---------- --------- ---------- ----------
Total income 6,210,148 3,565,542 377,340 1,130,627 2,813,946
----------- ---------- --------- ---------- ----------
Expenses:
Investment advisory fee 547,940 327,744 53,512 167,530 372,970
Administrative personnel and services fee 77,153 49,930 6,022 18,853 41,975
Custodian fees 18,268 11,918 1,427 4,467 9,946
Transfer and dividend disbursing agent fees and expenses 45,330 27,987 29,530 35,638 47,272
Trustees' fees 3,949 3,405 1,040 1,167 2,620
Auditing fees 7,646 7,643 7,251 7,446 6,564
Legal fees 3,926 3,452 1,666 2,457 3,205
Portfolio accounting fees 47,376 31,388 33,035 34,084 37,092
Distribution services fee--Class B Shares 435 -- -- -- --
Shareholder services fee--Class A Shares 4,454 2,136 7,269 12,758 64,562
Shareholder services fee--Class B Shares 145 -- -- -- --
Share registration costs 19,792 16,178 12,143 14,974 10,133
Printing and postage 8,830 8,397 8,092 7,869 8,110
Insurance premiums 2,299 2,217 1,569 1,579 1,948
Miscellaneous 6,914 6,854 2,781 3,937 995
----------- ---------- --------- ---------- ----------
Total expenses 794,457 499,249 165,337 312,759 607,392
----------- ---------- --------- ---------- ----------
Waivers and reimbursements--
Waiver of investment advisory fee (113,496) (121,709) (53,512) (110,205) (254,535)
Reimbursement of other operating expenses -- -- (38,945) -- --
----------- ---------- --------- ---------- ----------
Total waivers and reimbursements (113,496) (121,709) (92,457) (110,205) (254,535)
----------- ---------- --------- ---------- ----------
Net expenses 680,961 377,540 72,880 202,554 352,857
----------- ---------- --------- ---------- ----------
Net investment income 5,529,187 3,188,002 304,460 928,073 2,461,089
----------- ---------- --------- ---------- ----------
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain (loss) on investments (1,391,664) 67,508 (14,367) (18,351) 10,963
Net change in unrealized appreciation (depreciation) of
investments (3,681,577) (884,665) (158,614) (370,924) (1,044,997)
----------- ---------- --------- ---------- ----------
Net realized and unrealized gain (loss) on investments (5,073,241) (817,157) (172,981) (389,275) (1,034,034)
----------- ---------- --------- ---------- ----------
Change in net assets resulting
from operations $ 455,946 $2,370,845 $ 131,479 $ 538,798 $1,427,055
----------- ---------- --------- ---------- ----------
Foreign taxes withheld from dividends $ -- $ -- $ -- $ -- $ --
----------- ---------- --------- ---------- ----------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Biltmore Biltmore Biltmore
Equity Fund Quantitative Equity Fund Equity Index Fund
------------------------- --------------------------- ---------------------------
Six Months Six Months Six Months
Ended Year Ended Year Ended Year
May 31, Ended May 31, Ended May 31, Ended
1997 November 30, 1997 November 30, 1997 November 30,
(unaudited) 1996 (unaudited) 1996 (unaudited) 1996
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets
Operations--
Net investment income $ 934,441 $ 2,201,687 $ 1,226,989 $ 2,254,916 $ 2,249,005 $ 4,454,110
Net realized gain (loss) on
investments, futures contracts and
foreign currency transactions 13,634,340 19,131,328 10,171,825 7,530,844 4,349,230 10,769,067
Net change in unrealized appreciation
(depreciation) of investments,
futures contracts and translation of
assets and liabilities in foreign
currency 468,178 10,638,899 9,102,907 21,813,876 24,111,465 35,375,170
------------ ------------- ------------ ------------- ------------ -------------
Change in net assets resulting from
operations 15,036,959 31,971,914 20,501,721 31,599,636 30,709,700 50,598,347
------------ ------------- ------------ ------------- ------------ -------------
Distributions to Shareholders--
Distributions from net investment
income
Class A Shares (114,190) (2,069,120) (118,317) (1,630,989) (172,616) (3,509,012)
Class B Shares (2,167) (554) (5,916) (1,415) -- --
Class Y Shares (773,389) (317,016) (1,139,303) (496,978) (2,056,507) (993,850)
Distributions from net realized gain on
investments, futures contracts and
foreign currency
Class A Shares (2,671,987) (7,457,396) (807,333) (2,223,749) (1,056,751) (10,955,920)
Class B Shares (136,881) -- (76,012) -- -- --
Class Y Shares (16,595,270) -- (7,488,144) -- (12,242,705) --
------------ ------------- ------------ ------------- ------------ -------------
Change in net assets from
distributions to shareholders (20,293,884) (9,844,086) (9,635,025) (4,353,131) (15,528,579) (15,458,782)
------------ ------------- ------------ ------------- ------------ -------------
Share Transactions--
Proceeds from sale of shares 33,332,765 189,693,742 16,071,428 174,821,403 41,076,517 262,739,184
Net asset value of shares issued to
shareholders in payment of dividends
declared 15,688,964 8,245,418 8,917,595 4,130,882 15,473,084 15,191,415
Cost of shares redeemed (20,268,744) (199,262,124) (17,669,252) (158,365,608) (32,982,288) (267,923,924)
------------ ------------- ------------ ------------- ------------ -------------
Change in net assets from share
transactions 28,752,985 (1,322,964) 7,319,771 20,586,677 23,567,313 10,006,675
------------ ------------- ------------ ------------- ------------ -------------
Change in net assets 23,496,060 20,804,864 18,186,467 47,833,182 38,748,434 45,146,240
Net Assets:
Beginning of period 150,955,028 130,150,164 169,727,695 121,894,513 231,987,644 186,841,404
------------ ------------- ------------ ------------- ------------ -------------
End of period $174,451,088 $ 150,955,028 $187,914,162 $ 169,727,695 $270,736,078 $ 231,987,644
------------ ------------- ------------ ------------- ------------ -------------
Undistributed net investment income
included in net assets at end of period $ 44,695 $ -- $ 329,683 $ 366,230 $ 754,002 $ 734,120
------------ ------------- ------------ ------------- ------------ -------------
Net gain (loss) as computed for federal
tax purposes $ 13,634,340 $ 19,406,213 $ 10,171,825 $ 8,371,356 $ 4,349,230 $ 13,299,459
------------ ------------- ------------ ------------- ------------ -------------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS--CONTINUED
<TABLE>
<CAPTION>
Biltmore Biltmore Biltmore
Special Values Fund Emerging Markets Fund Balanced Fund
------------------------- --------------------------- ---------------------------
Six Months Six Months Six Months
Ended Year Ended Year Ended Year
May 31, Ended May 31, Ended May 31, Ended
1997 November 30, 1997 November 30, 1997 November 30,
(unaudited) 1996 (unaudited) 1996 (unaudited) 1996
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets
Operations--
Net investment income $ 204,531 $ 278,972 $ 923,339 $ 714,746 $ 4,087,038 $ 6,828,442
Net realized gain (loss) on
investments, futures contracts and
foreign currency transactions 3,051,404 6,976,279 1,969,816 61,826 8,704,856 27,473,989
Net change in unrealized appreciation
(depreciation) of investments,
futures contracts and translation of
assets and liabilities in foreign
currency 6,189,137 5,819,755 18,163,165 7,809,461 3,207,968 5,189,140
----------- ------------ ------------ ------------- ------------ -------------
Change in net assets resulting from
operations 9,445,072 13,075,006 21,056,320 8,586,033 15,999,862 39,491,571
----------- ------------ ------------ ------------- ------------ -------------
Distributions to Shareholders--
Distributions from net investment
income
Class A Shares (37,238) (159,350) (1,158,562) (220,244) (282,289) (5,630,367)
Class B Shares -- -- -- -- (26,986) (2,544)
Class Y Shares (307,189) -- (48,643) -- (3,509,344) (1,430,793)
Distributions from net realized gain
on investments, futures contracts
and foreign currency
Class A Shares (749,987) (1,814,204) (1,807) -- (2,073,561) (5,927,062)
Class B Shares -- -- -- -- (233,430) --
Class Y Shares (6,186,789) -- (43,032) -- (25,776,331) --
----------- ------------ ------------ ------------- ------------ -------------
Change in net assets from
distributions to shareholders (7,281,203) (1,973,554) (1,252,044) (220,244) (31,901,941) (12,990,766)
----------- ------------ ------------ ------------- ------------ -------------
Share Transactions--
Proceeds from sale of shares 29,020,603 84,294,300 21,818,584 170,757,238 41,146,900 287,699,284
Net asset value of shares issued to
shareholders in payment of dividends
declared 4,550,589 1,868,520 366,510 99,884 29,825,371 12,337,554
Cost of shares redeemed (3,830,185) (56,018,664) (5,822,583) (121,975,580) (28,588,705) (277,726,827)
----------- ------------ ------------ ------------- ------------ -------------
Change in net assets from share
transactions 29,741,007 30,144,156 16,362,511 48,881,542 42,383,566 22,310,011
----------- ------------ ------------ ------------- ------------ -------------
Change in net assets 31,904,876 41,245,608 36,166,787 57,247,331 26,481,487 48,810,816
Net Assets:
Beginning of period 65,338,682 24,093,074 128,523,214 71,275,883 256,232,311 207,421,495
----------- ------------ ------------ ------------- ------------ -------------
End of period $97,243,558 $65,338,682 $164,690,001 $ 128,523,214 $282,713,798 $ 256,232,311
----------- ------------ ------------ ------------- ------------ -------------
Undistributed net investment income
included in net assets at end of
period $ 127,346 $ 267,242 $ 895,645 $ 1,179,511 $ 1,296,839 $ 1,028,420
----------- ------------ ------------ ------------- ------------ -------------
Net gain (loss) as computed for federal
tax purposes $ 3,051,404 $6,991,741 $ 1,969,816 $ 269,156 $ 8,704,856 $ 28,082,553
----------- ------------ ------------ ------------- ------------ -------------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS--CONTINUED
<TABLE>
<CAPTION>
Biltmore Biltmore
Biltmore Short-Term Fixed Income Georgia Municipal Bond
Fixed Income Fund Fund Fund
--------------------------- --------------------------- -------------------------
Six Months Six Months Six Months
Ended Year Ended Year Ended Year
May 31, Ended May 31, Ended May 31, Ended
1997 November 30, 1997 November 30, 1997 November 30,
(unaudited) 1996 (unaudited) 1996 (unaudited) 1996
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets
Operations--
Net investment income $ 5,529,187 $ 10,631,415 $ 3,188,002 $ 6,549,285 $ 304,460 $ 495,030
Net realized gain (loss) on investments (1,391,664) 1,687,779 67,508 (495,516) (14,367) 31,331
Net change in unrealized appreciation
(depreciation) of investments (3,681,577) (2,913,248) (884,665) (187,582) (158,614) 79,327
------------ ------------- ------------ ------------- ----------- ------------
Change in net assets resulting from
operations 455,946 9,405,946 2,370,845 5,866,187 131,479 605,688
------------ ------------- ------------ ------------- ----------- ------------
Distributions to Shareholders--
Distributions from net investment income
Class A Shares (128,647) (8,570,109) (50,637) (5,949,042) (147,402) (484,412)
Class B Shares (3,003) (1,660) -- -- -- --
Class Y Shares (5,611,946) (2,030,423) (3,105,089) (1,398,673) (157,058) (10,618)
Distributions from net realized gain on
investments
Class A Shares -- -- -- -- (16,531) (11,785)
Class B Shares -- -- -- -- -- --
Class Y Shares -- -- -- -- (14,820) --
------------ ------------- ------------ ------------- ----------- ------------
Change in net assets from distributions
to shareholders (5,743,596) (10,602,192) (3,155,726) (7,347,715) (335,811) (506,815)
------------ ------------- ------------ ------------- ----------- ------------
Share Transactions--
Proceeds from sale of shares 35,448,565 247,240,013 14,073,778 137,936,967 2,132,287 12,804,228
Net asset value of shares issued to
shareholders in payment of
distributions declared 3,947,063 8,147,703 3,070,993 7,199,936 129,338 298,680
Cost of shares redeemed (30,706,892) (243,235,068) (16,463,479) (150,562,107) (2,118,099) (9,088,233)
------------ ------------- ------------ ------------- ----------- ------------
Change in net assets from share
transactions 8,688,736 12,152,648 681,292 (5,425,204) 143,526 4,014,675
------------ ------------- ------------ ------------- ----------- ------------
Change in net assets 3,401,086 10,956,402 (103,589) (6,906,732) (60,806) 4,113,548
Net Assets:
Beginning of period 180,802,013 169,845,611 117,812,908 124,719,640 14,333,522 10,219,974
------------ ------------- ------------ ------------- ----------- ------------
End of period $184,203,099 $ 180,802,013 $117,709,319 $ 117,812,908 $14,272,716 $14,333,522
------------ ------------- ------------ ------------- ----------- ------------
Undistributed net investment income
included in net assets at end of period $ 114,108 $ 328,517 $ 182,969 $ 150,693 $ -- $ --
------------ ------------- ------------ ------------- ----------- ------------
Net gain (loss) as computed for federal tax
purposes $ (1,391,664) $ 1,803,528 $ 67,508 $ (467,185) $ (14,367) $ 31,331
------------ ------------- ------------ ------------- ----------- ------------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS--CONTINUED
<TABLE>
<CAPTION>
Biltmore Biltmore
North Carolina Municipal South Carolina Municipal
Bond Fund Bond Fund
------------------------- --------------------------
Six Months Six Months
Ended Year Ended Year
May 31, Ended May 31, Ended
1997 November 30, 1997 November 30,
(unaudited) 1996 (unaudited) 1996
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets
Operations--
Net investment income $ 928,073 $1,188,362 $ 2,461,089 $ 5,055,130
Net realized gain (loss) on investments (18,351) 86,649 10,963 403,809
Net change in unrealized appreciation (depreciation) of investments (370,924) 607,688 (1,044,997) (118,760)
----------- ------------ ------------ ------------
Change in net assets resulting from operations 538,798 1,882,699 1,427,055 5,340,179
----------- ------------ ------------ ------------
Distributions to Shareholders--
Distributions from net investment income
Class A Shares (247,451) (1,149,617) (1,520,944) (4,983,121)
Class B Shares -- -- -- --
Class Y Shares (680,622) (38,745) (940,145) (72,009)
Distributions from net realized gain on investments
Class A Shares (26,602) (91,423) (253,097) (300,151)
Class B Shares -- -- -- --
Class Y Shares (60,175) -- (150,564) --
----------- ------------ ------------ ------------
Change in net assets from distributions to shareholders (1,014,850) (1,279,785) (2,864,750) (5,355,281)
----------- ------------ ------------ ------------
Share Transactions--
Proceeds from sale of shares 12,106,980 51,438,806 7,802,027 58,383,436
Net asset value of shares issued to shareholders in payment of
distributions declared 255,494 580,018 1,077,326 2,158,700
Cost of shares redeemed (5,114,693) (29,265,298) (9,786,960) (51,760,595)
----------- ------------ ------------ ------------
Change in net assets from share transactions 7,247,781 22,753,526 (907,607) 8,781,541
----------- ------------ ------------ ------------
Change in net assets 6,771,729 23,356,440 (2,345,302) 8,766,439
Net Assets:
Beginning of period 42,035,224 18,678,784 102,491,286 93,724,847
----------- ------------ ------------ ------------
End of period $48,806,953 $42,035,224 $100,145,984 $102,491,286
----------- ------------ ------------ ------------
Undistributed net investment income included in net assets at end of
period $ -- $ -- $ -- $ --
----------- ------------ ------------ ------------
Net gain (loss) as computed for federal tax purposes $ (18,351) $ 86,649 $ 10,963 $ 403,809
----------- ------------ ------------ ------------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
FINANCIAL HIGHLIGHTS--CLASS A SHARES
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Net Realized and Distributions from
Unrealized Gain/ Net Realized Gain
(Loss) on on Investment
Net Investments, Transactions,
Net Asset Investment Futures Distributions Futures
Value, Income/ Contracts, and Total from from Net Contracts and
Period Ended beginning (Operating Foreign Currency Investment Investment Foreign Currency Total
November 30, of period Loss) Transactions Operations Income Transactions Distributions
<S> <C> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
BILTMORE EQUITY FUND
1993(a) $ 10.00 0.12 0.25 0.37 (0.09) -- (0.09)
1994 $ 10.28 0.20 0.12 0.32 (0.20) (0.08) (0.28)
1995 $ 10.32 0.23 2.64 2.87 (0.25) (0.23) (0.48)
1996 $ 12.71 0.22(i) 2.83 3.05 (0.22) (0.73) (0.95)
1997** $ 14.81 0.07(i) 1.12 1.19 (0.07) (1.86) (1.93)
BILTMORE QUANTITATIVE EQUITY FUND
1994(b) $ 10.00 0.12 (0.43) (0.31) (0.09) -- (0.09)
1995 $ 9.60 0.22 3.51 3.73 (0.22) -- (0.22)
1996 $ 13.11 0.24(i) 2.77 3.01 (0.21) (0.24) (0.45)
1997** $ 15.67 0.10(i) 1.70 1.80 (0.11) (0.79) (0.90)
BILTMORE EQUITY INDEX FUND
1993(a) $ 10.00 0.15 0.43 0.58 (0.11) -- (0.11)
1994 $ 10.47 0.25 (0.19) 0.06 (0.24) (0.02) (0.26)
1995 $ 10.27 0.28 3.37 3.65 (0.27) (0.03) (0.30)
1996 $ 13.62 0.32 3.13 3.45 (0.31) (0.78) (1.09)
1997** $ 15.98 0.13(i) 1.77 1.90 (0.14) (0.91) (1.05)
BILTMORE SPECIAL VALUES FUND
1993(a) $ 10.00 (0.002) 0.242 0.24 -- -- --
1994 $ 10.24 0.06 (0.22) (0.16) (0.05) (0.28) (0.33)
1995 $ 9.75 0.09 2.42 2.51 (0.02) (0.06) (0.08)
1996 $ 12.18 0.35 4.13 4.48 (0.08) (0.91) (0.99)
1997** $ 15.67 0.03 1.80 1.83 (0.08) (1.61) (1.69)
BILTMORE EMERGING MARKETS FUND
1995(c) $ 10.00 0.05 0.36 0.41 -- -- --
1996 $ 10.41 0.09(i) 1.20 1.29 (0.03) -- (0.03)
1997** $ 11.67 0.07(i) 1.70 1.77 (0.11) -- (0.11)
BILTMORE BALANCED FUND
1993(a) $ 10.00 0.19 0.29 0.48 (0.15) -- (0.15)
1994 $ 10.33 0.35 (0.38) (0.03) (0.33) (0.04) (0.37)
1995 $ 9.93 0.40 2.13 2.53 (0.38) (0.16) (0.54)
1996 $ 11.92 0.38(i) 1.72 2.10 (0.38) (0.34) (0.72)
1997** $ 13.30 0.17(i) 0.49 0.66 (0.17) (1.44) (1.61)
BILTMORE FIXED INCOME FUND
1993(a) $ 10.00 0.31 (0.01) 0.30 (0.30) -- (0.30)
1994 $ 10.00 0.56 (0.98) (0.42) (0.55) (0.06) (0.61)
1995 $ 8.97 0.58 0.92 1.50 (0.57) -- (0.57)
1996 $ 9.90 0.61(i) (0.09) 0.52 (0.59) -- (0.59)
1997** $ 9.83 0.28(i) (0.27) 0.01 (0.29) -- (0.29)
BILTMORE SHORT-TERM FIXED INCOME FUND
1993(a) $ 10.00 0.27 (0.10) 0.17 (0.26) -- (0.26)
1994 $ 9.91 0.45 (0.33) 0.12 (0.45) -- (0.45)
1995 $ 9.58 0.59 0.24 0.83 (0.52) -- (0.52)
1996 $ 9.89 0.56(i) (0.06) 0.50 (0.60) -- (0.60)
1997** $ 9.79 0.25(i) (0.07) 0.18 (0.25) -- (0.25)
BILTMORE GEORGIA MUNICIPAL BOND FUND
1995(c) $ 10.00 0.41 0.96 1.37 (0.41) -- (0.41)
1996 $ 10.96 0.47 0.05 0.52 (0.47) (0.01) (0.48)
1997** $ 11.00 0.23 (0.14) 0.09 (0.23) (0.02) (0.25)
BILTMORE NORTH CAROLINA MUNICIPAL BOND FUND
1995(c) $ 10.00 0.43 0.99 1.42 (0.43) -- (0.43)
1996 $ 10.99 0.45 0.09 0.54 (0.45) (0.05) (0.50)
1997** $ 11.03 0.22 (0.12) 0.10 (0.22) (0.02) (0.24)
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND (D)
9/30/91(e) $ 10.00 0.43 0.17 0.60 (0.43) -- (0.43)
9/30/92 $ 10.17 0.60 0.36 0.96 (0.60) -- (0.60)
9/30/93 $ 10.53 0.59 0.74 1.33 (0.59) -- (0.59)
11/30/93(f) $ 11.27 0.10 (0.15) (0.05) (0.10) -- (0.10)
11/30/94 $ 11.12 0.56 (1.04) (0.48) (0.56) (0.03) (0.59)
11/30/95 $ 10.05 0.56 1.10 1.66 (0.56) (0.10) (0.66)
11/30/96 $ 11.05 0.55 0.03 0.58 (0.55) (0.03) (0.58)
5/31/97** $ 11.05 0.27 (0.11) 0.16 (0.27) (0.05) (0.32)
</TABLE>
* Computed on an annualized basis.
** Six months ended May 31, 1997 (unaudited).
(a) Reflects operations for the period from May 10, 1993 (date of
initial public investment) to November 30, 1993.
(b) Reflects operations for the period from March 28, 1994 (date of
initial public investment) to November 30, 1994.
(c) Reflects operations for the period from December 26, 1994 (date
of initial public investment) to November 30, 1995.
(d) Prior to November 30, 1993 the Fund's year end was September 30.
(e) Reflects operations for the period from January 11, 1991 (date of
initial public investment) to September 30, 1991.
(f) Reflects operations for the two months ended November 30, 1993.
(g) Based on net asset value, which does not reflect the sales charge
or contingent deferred sales charge, if applicable.
(h) This voluntary expense decrease is reflected in both the expense
and net investment income ratios shown above.
(i) Per share information is based on average shares outstanding.
(j) On July 22, 1996, the Funds created Class Y Shares for certain
institutional investors. Certain of these investors' shares were
converted from Class A to Class Y Shares, which accounts for a
portion of the decrease in Class A Shares' assets.
(k) Represents total commissions paid on portfolio securities divided
by total portfolio shares purchased or sold on which commissions
were charged.
(See Notes which are an integral part of the Financial Statements)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
FINANCIAL HIGHLIGHTS--CLASS A SHARES--CONTINUED
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Ratios to Average Net Assets Net Assets, Average
Net Asset Net end of period Commission
Period Ended Value, end Total Investment Expense Waiver/ (000 Rate Portfolio
November 30, of period Return(g) Expenses Income Reimbursement(h) omitted)(j) Paid(k) Turnover Rate
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
BILTMORE EQUITY FUND
1993(a) $ 10.28 3.68% 0.81%* 2.18%* 0.32%* $ 61,997 -- 50%
1994 $ 10.32 3.10% 0.87% 1.98% 0.16% $ 87,022 -- 35%
1995 $ 12.71 28.74% 0.90% 1.99% 0.07% $ 130,150 -- 65%
1996 $ 14.81 25.56% 0.90% 1.62% 0.15% $ 20,774 $ 0.0652 64%
1997** $ 14.07 9.46% 1.11%* 1.02%* 0.08%* $ 25,776 $ 0.0391 9%
BILTMORE QUANTITATIVE EQUITY FUND
1994(b) $ 9.60 (3.08%) 0.90%* 1.83%* 0.10%* $ 91,979 -- 64%
1995 $ 13.11 39.33% 0.87% 1.93% 0.10% $ 121,895 -- 63%
1996 $ 15.67 23.74% 0.87% 1.70% 0.15% $ 15,742 $ 0.0532 44%
1997** $ 16.57 12.26% 1.08%* 1.26%* 0.09%* $ 21,419 $ 0.0484 33%
BILTMORE EQUITY INDEX FUND
1993(a) $ 10.47 5.80% 0.43%* 2.54%* 0.12%* $ 149,266 -- 9%
1994 $ 10.27 0.56% 0.46% 2.44% 0.08% $ 183,852 -- 9%
1995 $ 13.62 36.15% 0.48% 2.39% 0.05% $ 186,841 -- 60%
1996 $ 15.98 27.19% 0.48% 2.23% 0.13% $ 18,154 $ 0.0137 12%
1997** $ 16.83 12.87% 0.70%* 1.71%* 0.04%* $ 25,952 $ 0.0241 29%
BILTMORE SPECIAL VALUES FUND
1993(a) $ 10.24 2.40% 1.25%* (0.03%)* 1.79%* $ 12,072 -- 68%
1994 $ 9.75 (1.61%) 1.13% 0.63% 1.09% $ 17,431 -- 62%
1995 $ 12.18 25.91% 1.29% 0.80% 0.58% $ 24,093 -- 57%
1996 $ 15.67 39.78% 1.21% 0.47% 0.29% $ 6,642 $ 0.0650 38%
1997** $ 15.81 12.88% 1.35%* 0.33%* 0.03%* $ 15,946 $ 0.0522 25%
BILTMORE EMERGING MARKETS FUND
1995(c) $ 10.41 4.10% 1.80%* 0.85%* 0.28%* $ 71,276 -- 17%
1996 $ 11.67 12.45% 1.69% 0.73% 0.09% $ 5,488 $ 0.0009 30%
1997** $ 13.33 15.30% 1.72%* 1.07%* 0.00%* $ 7,433 $ 0.0003 27%
BILTMORE BALANCED FUND
1993(a) $ 10.33 4.89% 0.75%* 3.30%* 0.19%* $ 166,271 -- 60%
1994 $ 9.93 (0.39%) 0.75% 3.46% 0.17% $ 194,430 -- 74%
1995 $ 11.92 26.32% 0.76% 3.58% 0.16% $ 207,421 -- 102%
1996 $ 13.30 18.55% 0.76% 3.05% 0.24% $ 18,619 $ 0.0545 99%
1997** $ 12.35 5.88% 0.97%* 2.91%* 0.17%* $ 23,392 $ 0.0725 60%
BILTMORE FIXED INCOME FUND
1993(a) $ 10.00 3.02% 0.68%* 5.44%* 0.19%* $ 140,325 -- 149%
1994 $ 8.97 (4.30%) 0.71% 5.90% 0.13% $ 148,751 -- 148%
1995 $ 9.90 17.20% 0.74% 6.07% 0.10% $ 169,846 -- 155%
1996 $ 9.83 5.51% 0.74% 6.05% 0.18% $ 4,853 -- 181%
1997** $ 9.55 0.14% 0.95%* 5.85%* 0.12%* $ 4,391 -- 79%
BILTMORE SHORT-TERM FIXED INCOME FUND
1993(a) $ 9.91 1.69% 0.58%* 4.78%* 0.22%* $ 154,459 -- 73%
1994 $ 9.58 1.27% 0.60% 4.62% 0.18% $ 148,326 -- 151%
1995 $ 9.89 8.82% 0.63% 5.83% 0.16% $ 124,720 -- 147%
1996 $ 9.79 5.29% 0.63% 5.50% 0.27% $ 1,675 -- 145%
1997** $ 9.72 1.84% 0.84%* 5.13%* 0.20%* $ 2,225 -- 146%
BILTMORE GEORGIA MUNICIPAL BOND FUND
1995(c) $ 10.96 13.93% 0.92%* 4.30%* 1.88%* $ 10,220 -- 14%
1996 $ 11.00 4.97% 0.89% 4.40% 1.61% $ 7,531 -- 14%
1997** $ 10.84 0.86% 1.12%* 4.16%* 1.30%* $ 6,668 -- 22%
BILTMORE NORTH CAROLINA MUNICIPAL BOND FUND
1995(c) $ 10.99 14.40% 0.85%* 4.40%* 1.19%* $ 18,679 -- 19%
1996 $ 11.03 5.17% 0.84% 4.24% 0.77% $ 13,752 -- 7%
1997** $ 10.89 0.98% 1.05%* 4.00%* 0.50%* $ 11,575 -- 12%
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND (D)
9/30/91(e) $ 10.17 6.32% 0.82%* 5.73%* 0.86%* $ 21,438 -- 0%
9/30/92 $ 10.53 9.73% 0.61% 5.83% 0.73% $ 63,139 -- 0%
9/30/93 $ 11.27 13.03% 0.55% 5.46% 0.62% $ 82,674 -- 4%
11/30/93(f) $ 11.12 (0.48%) 0.55%* 5.11%* 0.60%* $ 83,371 -- 2%
11/30/94 $ 10.05 (4.52%) 0.60% 5.22% 0.59% $ 75,995 -- 23%
11/30/95 $ 11.05 16.97% 0.58% 5.23% 0.55% $ 93,725 -- 15%
11/30/96 $ 11.05 5.54% 0.57% 5.10% 0.59% $ 65,981 -- 20%
5/31/97** $ 10.89 1.42% 0.79%* 4.87%* 0.51%* $ 61,890 -- 9%
</TABLE>
* Computed on an annualized basis.
** Six months ended May 31, 1997 (unaudited).
(a) Reflects operations for the period from May 10, 1993 (date of
initial public investment) to November 30, 1993.
(b) Reflects operations for the period from March 28, 1994 (date of
initial public investment) to November 30, 1994.
(c) Reflects operations for the period from December 26, 1994 (date
of initial public investment) to November 30, 1995.
(d) Prior to November 30, 1993 the Fund's year end was September 30.
(e) Reflects operations for the period from January 11, 1991 (date of
initial public investment) to September 30, 1991.
(f) Reflects operations for the two months ended November 30, 1993.
(g) Based on net asset value, which does not reflect the sales charge
or contingent deferred sales charge, if applicable.
(h) This voluntary expense decrease is reflected in both the expense
and net investment income ratios shown above.
(i) Per share information is based on average shares outstanding.
(j) On July 22, 1996, the Funds created Class Y Shares for certain
institutional investors. Certain of these investors' shares were
converted from Class A to Class Y Shares, which accounts for a
portion of the decrease in Class A Shares' assets.
(k) Represents total commissions paid on portfolio securities divided
by total portfolio shares purchased or sold on which commissions
were charged.
(See Notes which are an integral part of the Financial Statements)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
FINANCIAL HIGHLIGHTS--CLASS B SHARES
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Distributions
Net Realized and from Net Realized
Unrealized Gain/ Gain on
(Loss) on Investment
Investments, Transactions,
Net Asset Futures Distributions Futures Contracts
Value, Net Contracts and Total From from Net and Foreign
Period Ended beginning Investment Foreign Currency Investment Investment Currency Total
November 30, of period Income Transactions Operations Income Transactions Distributions
<S> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------
BILTMORE EQUITY FUND
1996(a) $ 12.43 0.02 2.37 2.39 (0.03) -- (0.03)
1997** $ 14.79 0.02 1.11 1.13 (0.02) (1.86) (1.88)
BILTMORE QUANTITATIVE EQUITY FUND
1996(a) $ 13.09 0.04 2.56 2.60 (0.04) -- (0.04)
1997** $ 15.65 0.05 1.68 1.73 (0.05) (0.79) (0.84)
BILTMORE BALANCED FUND
1996(a) $ 11.68 0.09 1.59 1.68 (0.07) -- (0.07)
1997** $ 13.29 0.13 0.48 0.61 (0.13) (1.44) (1.57)
BILTMORE FIXED INCOME FUND
1996(a) $ 9.45 0.15 0.40 0.55 (0.17) -- (0.17)
1997** $ 9.83 0.24 (0.28) (0.04) (0.25) -- (0.25)
</TABLE>
* Computed on an annualized basis.
** Six months ended May 31, 1997 (unaudited).
(a) Reflects operations for the period from July 22, 1996 (date of
initial public investment) to November 30, 1996.
(b) Based on net asset value, which does not reflect the sales charge
or contingent deferred sales charge, if applicable.
(c) This voluntary expense decrease is reflected in both the expense
and net investment income ratios shown above.
(d) Represents total commissions paid on portfolio securities divided
by total portfolio shares purchased or sold on which commissions
were charged.
(See Notes which are an integral part of the Financial Statements)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
FINANCIAL HIGHLIGHTS--CLASS B SHARES--CONTINUED
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Ratios to Average Net Assets Average
Net Asset Net Expense Net Assets, Commission
Period Ended Value, Total Investment Waiver/ end of period Rate
November 30, end of period Return(b) Expenses Income Reimbursement(c) (000 omitted) Paid(d)
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
BILTMORE EQUITY FUND
1996(a) $ 14.79 19.25% 1.90%* 0.02%* 0.20%* $ 976 $ 0.0652
1997** $ 14.04 8.99% 1.90%* 0.23%* 0.08%* $ 2,197 $ 0.0391
BILTMORE QUANTITATIVE EQUITY FUND
1996(a) $ 15.65 19.90% 1.87%* 0.46%* 0.11%* $ 1,414 $ 0.0532
1997** $ 16.54 11.78% 1.81%* 0.47%* 0.09%* $ 2,984 $ 0.0484
BILTMORE BALANCED FUND
1996(a) $ 13.29 14.47% 1.76%* 1.93%* 0.16%* $ 1,821 $ 0.0545
1997** $ 12.33 5.40% 1.76%* 2.13%* 0.17%* $ 3,784 $ 0.0725
BILTMORE FIXED INCOME FUND
1996(a) $ 9.83 5.83% 1.74%* 5.20%* 0.13%* $ 113 --
1997** $ 9.54 (0.36%) 1.76%* 5.05%* 0.12%* $ 121 --
<CAPTION>
Portfolio
Period Ended Turnover
November 30, Rate
<S> <C>
- ------------
BILTMORE EQUITY FUND
1996(a) 64%
1997** 9%
BILTMORE QUANTITATIVE EQUITY FUND
1996(a) 44%
1997** 33%
BILTMORE BALANCED FUND
1996(a) 99%
1997** 60%
BILTMORE FIXED INCOME FUND
1996(a) 181%
1997** 79%
</TABLE>
* Computed on an annualized basis.
** Six months ended May 31, 1997 (unaudited).
(a) Reflects operations for the period from July 22, 1996 (date of
initial public investment) to November 30, 1996.
(b) Based on net asset value, which does not reflect the sales charge
or contingent deferred sales charge, if applicable.
(c) This voluntary expense decrease is reflected in both the expense
and net investment income ratios shown above.
(d) Represents total commissions paid on portfolio securities divided
by total portfolio shares purchased or sold on which commissions
were charged.
(See Notes which are an integral part of the Financial Statements)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
FINANCIAL HIGHLIGHTS--CLASS Y SHARES
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Net Realized and Distributions from
Unrealized Gain/ Net Realized Gain
(Loss) on on Investment
Investments, Transactions,
Net Asset Futures Distributions Futures Contracts
Value, Net Contracts, and Total From from Net and Foreign
Period Ended beginning Investment Foreign Currency Investment Investment Currency Total
November 30, of period Income Transactions Operations Income Transactions Distributions
<S> <C> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
BILTMORE EQUITY FUND
1996(a) $ 12.43 0.03 2.40 2.43 (0.05) -- (0.05)
1997** $ 14.81 0.09 1.11 1.20 (0.08) (1.86) (1.94)
BILTMORE QUANTITATIVE EQUITY FUND
1996(a) $ 13.09 0.04 2.60 2.64 (0.06) -- (0.06)
1997** $ 15.67 0.12 1.70 1.82 (0.12) (0.79) (0.91)
BILTMORE EQUITY INDEX FUND
1996(a) $ 13.37 0.09(d) 2.60 2.69 (0.08) -- (0.08)
1997** $ 15.98 0.15 1.77 1.92 (0.15) (0.91) (1.06)
BILTMORE SPECIAL VALUES FUND
1996(a) $ 13.62 0.03 2.02 2.05 -- -- --
1997** $ 15.67 0.04 1.79 1.83 (0.08) (1.61) (1.69)
BILTMORE EMERGING MARKETS FUND
1996(a) $ 11.92 0.01(d) (0.26) (0.25) -- -- --
1997** $ 11.67 0.08 1.70 1.78 (0.11) -- (0.11)
BILTMORE BALANCED FUND
1996(a) $ 11.68 0.08 1.63 1.71 (0.09) -- (0.09)
1997** $ 13.30 0.19 0.48 0.67 (0.18) (1.44) (1.62)
BILTMORE FIXED INCOME FUND
1996(a) $ 9.45 0.17 0.40 0.57 (0.19) -- (0.19)
1997** $ 9.83 0.29 (0.27) 0.02 (0.30) -- (0.30)
BILTMORE SHORT-TERM FIXED INCOME FUND
1996(a) $ 9.67 0.11(d) 0.18 0.29 (0.17) -- (0.17)
1997** $ 9.79 0.26 (0.06) 0.20 (0.26) -- (0.26)
BILTMORE GEORGIA MUNICIPAL BOND FUND
1996(a) $ 10.71 0.17 0.29 0.46 (0.17) -- (0.17)
1997** $ 11.00 0.24 (0.14) 0.10 (0.24) (0.02) (0.26)
BILTMORE NORTH CAROLINA MUNICIPAL BOND FUND
1996(a) $ 10.71 0.16 0.32 0.48 (0.16) -- (0.16)
1997** $ 11.03 0.23 (0.12) 0.11 (0.23) (0.02) (0.25)
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND
1996(a) $ 10.73 0.20 0.32 0.52 (0.20) -- (0.20)
1997** $ 11.05 0.28 (0.11) 0.17 (0.28) (0.05) (0.33)
</TABLE>
* Computed on an annualized basis.
** Six months ended May 31, 1997 (unaudited).
(a) Reflects operations for the period from July 22, 1996 (date of
initial public investment) to November 30, 1996.
(b) Based on net asset value, which does not reflect the sales charge
or contingent deferred sales charge, if applicable.
(c) This voluntary expense decrease is reflected in both the expense
and net investment income ratios shown above.
(d) Per share information is based on average shares outstanding.
(e) On July 22, 1996, the Funds created Class Y Shares for certain
institutional investors. Certain of these investors' shares were
converted from Class A to Class Y Shares, which accounts for a
portion of the decrease in Class A Shares' assets.
(f) Represents total commissions paid on portfolio securities divided
by total portfolio shares purchased or sold on which commissions
were charged.
(See Notes which are an integral part of the Financial Statements)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
FINANCIAL HIGHLIGHTS--CLASS Y SHARES--CONTINUED
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Ratios to Average Net Assets Net Assets, Average
Net Asset Net Expense end of period Commission
Period Ended Value, Total Investment Waiver/ (000 Rate
November 30, end of period Return(b) Expenses Income Reimbursement(c) omitted)(e) Paid(f)
<S> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
BILTMORE EQUITY FUND
1996(a) $ 14.81 19.57% 0.90%* 0.91%* 0.19%* $ 129,205 $ 0.0652
1997** $ 14.07 9.53% 0.90%* 1.23%* 0.08%* $ 146,475 $ 0.0391
BILTMORE QUANTITATIVE EQUITY FUND
1996(a) $ 15.67 20.19% 0.87%* 1.19%* 0.11%* $ 152,571 $ 0.0532
1997** $ 16.58 12.39% 0.87%* 1.47%* 0.09%* $ 163,511 $ 0.0484
BILTMORE EQUITY INDEX FUND
1996(a) $ 15.98 20.14% 0.48%* 1.92%* 0.06%* $ 213,833 $ 0.0137
1997** $ 16.84 12.94% 0.46%* 1.88%* 0.04%* $ 244,784 $ 0.0241
BILTMORE SPECIAL VALUES FUND
1996(a) $ 15.67 15.05% 1.15%* 1.76%* 0.24%* $ 58,697 $ 0.0650
1997** $ 15.81 12.88% 1.12%* 0.55%* 0.03%* $ 81,298 $ 0.0522
BILTMORE EMERGING MARKETS FUND
1996(a) $ 11.67 (2.10%) 0.63%* 0.45%* 0.13%* $ 123,036 $ 0.0009
1997** $ 13.34 15.39% 1.51%* 1.24%* 0.00%* $ 157,257 $ 0.0003
BILTMORE BALANCED FUND
1996(a) $ 13.30 14.69% 0.76%* 2.85%* 0.16%* $ 235,791 $ 0.0545
1997** $ 12.35 5.94% 0.76%* 3.11%* 0.17%* $ 255,557 $ 0.0725
BILTMORE FIXED INCOME FUND
1996(a) $ 9.83 6.12% 0.75%* 6.33%* 0.14%* $ 175,836 --
1997** $ 9.55 0.25% 0.74%* 6.06%* 0.12%* $ 179,691 --
BILTMORE SHORT-TERM FIXED INCOME FUND
1996(a) $ 9.79 3.00% 0.64%* 5.77%* 0.19%* $ 116,138 --
1997** $ 9.73 2.05% 0.63%* 5.35%* 0.20%* $ 115,484 --
BILTMORE GEORGIA MUNICIPAL BOND FUND
1996(a) $ 11.00 4.31% 0.89%* 4.84%* 1.57%* $ 6,803 --
1997** $ 10.84 0.94% 0.92%* 4.38%* 1.30%* $ 7,605 --
BILTMORE NORTH CAROLINA MUNICIPAL BOND FUND
1996(a) $ 11.03 4.55% 0.84%* 4.16%* 0.65%* $ 28,283 --
1997** $ 10.89 1.06% 0.85%* 4.21%* 0.49%* $ 37,232 --
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND
1996(a) $ 11.05 4.86% 0.57%* 5.56%* 0.54%* $ 36,511 --
1997** $ 10.89 1.50% 0.58%* 5.08%* 0.51%* $ 38,256 --
<CAPTION>
Portfolio
Period Ended Turnover
November 30, Rate
<S> <C>
- ------------
BILTMORE EQUITY FUND
1996(a) 64%
1997** 9%
BILTMORE QUANTITATIVE EQUITY FUND
1996(a) 44%
1997** 33%
BILTMORE EQUITY INDEX FUND
1996(a) 12%
1997** 29%
BILTMORE SPECIAL VALUES FUND
1996(a) 38%
1997** 25%
BILTMORE EMERGING MARKETS FUND
1996(a) 30%
1997** 27%
BILTMORE BALANCED FUND
1996(a) 99%
1997** 60%
BILTMORE FIXED INCOME FUND
1996(a) 181%
1997** 79%
BILTMORE SHORT-TERM FIXED INCOME FUND
1996(a) 145%
1997** 146%
BILTMORE GEORGIA MUNICIPAL BOND FUND
1996(a) 14%
1997** 22%
BILTMORE NORTH CAROLINA MUNICIPAL BOND FUND
1996(a) 7%
1997** 12%
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND
1996(a) 20%
1997** 9%
</TABLE>
* Computed on an annualized basis.
** Six months ended May 31, 1997 (unaudited).
(a) Reflects operations for the period from July 22, 1996 (date of
initial public investment) to November 30, 1996.
(b) Based on net asset value, which does not reflect the sales charge
or contingent deferred sales charge, if applicable.
(c) This voluntary expense decrease is reflected in both the expense
and net investment income ratios shown above.
(d) Per share information is based on average shares outstanding.
(e) On July 22, 1996, the Funds created Class Y Shares for certain
institutional investors. Certain of these investors' shares were
converted from Class A to Class Y Shares, which accounts for a
portion of the decrease in Class A Shares' assets.
(f) Represents total commissions paid on portfolio securities divided
by total portfolio shares purchased or sold on which commissions
were charged.
(See Notes which are an integral part of the Financial Statements)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
COMBINED NOTES TO FINANCIAL STATEMENTS
MAY 31, 1997 (UNAUDITED)
(1) ORGANIZATION
The Biltmore Funds and The Biltmore Municipal Funds (individually
referred to as the "Trust" or collectively as the "Trusts") are
registered under the Investment Company Act of 1940, as amended (the
"Act") as open-end management investment companies. The Trusts consist
of fifteen portfolios. The financial statements of the following
portfolios (individually referred to as the "Fund" or collectively as
the "Funds") are presented herein:
THE BILTMORE FUNDS*
<TABLE>
<CAPTION>
Portfolio Name Investment Objective
<S> <C>
Biltmore Equity Fund ("Equity Fund") To produce growth of principal and income.
Biltmore Quantitative Equity Fund To provide growth of principal and income.
("Quantitative Equity Fund")
Biltmore Equity Index Fund
("Equity Index
Fund") To provide a
total return that
approximates that of
the stock market as
measured by the S&P
500 Index.
Biltmore Special Values Fund ("Special To produce growth of principal.
Values Fund")
Biltmore Emerging Markets Fund To produce long-term capital appreciation.
("Emerging Markets Fund")
Biltmore Balanced Fund ("Balanced Fund") To provide long-term growth
of principal and current income. Biltmore Fixed Income Fund ("Fixed
Income Fund") To seek a high level of total return. Biltmore
Short-Term Fixed Income Fund To produce a high level of current income
with a minimum of principal ("Short-Term Fixed Income Fund")
volatility. </TABLE>
THE BILTMORE MUNICIPAL FUNDS
<TABLE>
<CAPTION>
Portfolio Name Investment Objective
<S> <C>
Biltmore Georgia Municipal Bond Fund ("Georgia To provide current income which is exempt from federal regular income
Municipal Bond Fund")** tax and the personal income taxes imposed by the State of Georgia.
Biltmore North Carolina Municipal Bond Fund To provide current income which is exempt from federal regular income
("North Carolina Municipal Bond Fund")** tax and the income tax imposed by the State of North Carolina.
Biltmore South Carolina Municipal Bond Fund To provide current income which is exempt from federal regular income
("South Carolina Municipal Bond Fund")** tax and South Carolina state income taxes.
</TABLE>
* In addition, The Biltmore Funds offers the following money market
portfolios, each having distinctive investment objectives and
policies: Biltmore Money Market Fund, Biltmore Prime Cash
Management Fund, Biltmore Tax-Free Money Market Fund, and Biltmore
U.S. Treasury Money Market Fund. The financial statements of the
money market portfolios are presented separately.
** Non-diversified portfolio.
Effective July 22, 1996, the Funds designated the existing share class
as Class A Shares.
Also on July 22, 1996, the Funds added Class Y Shares. In addition,
Equity Fund, Quantitative Equity Fund, Balanced Fund and Fixed Income
Fund added Class B Shares on July 22, 1996.
The assets of each portfolio are segregated and a shareholder's
interest is limited to the portfolio in which shares are held.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
(2) SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies
consistently followed by the Funds in the preparation of their
financial statements. These policies are in conformity with generally
accepted accounting principles.
INVESTMENT VALUATIONS--Municipal bonds are valued by an
independent pricing service, taking into consideration yield,
liquidity, risk, credit quality, coupon, maturity, type of issue,
and any other factors or market data the pricing service deems
relevant. U.S. government securities, listed corporate bonds,
other fixed income and asset-backed securities, unlisted
securities and private placement securities are generally valued
at the latest bid prices as furnished by an independent pricing
service. Listed equity securities and investments in closed-end
investment companies are valued at the last sale price reported
on a national securities exchange. Short-term securities are
valued at the prices provided by an independent pricing service.
However, short-term securities with remaining maturities of sixty
days or less at the time of purchase may be valued at amortized
cost, which approximates fair market value. Investments in other
open-end regulated investment companies are valued at net asset
value. With respect to valuation of foreign securities, trading
in foreign cities may be completed at times which vary from the
closing of the New York Stock Exchange. Therefore, foreign
securities are valued at the latest closing price on the exchange
on which they are traded prior to the closing of the New York
Stock Exchange. Foreign securities quoted in foreign currencies
are translated into US dollars at the foreign exchange rate in
effect at noon, Eastern time, on the day the value of the foreign
security is determined.
REPURCHASE AGREEMENTS--It is the policy of the Funds to require
the custodian bank to take possession, to have legally segregated
in the Federal Reserve Book Entry System, or to have segregated
within the custodian bank's vault, all securities held as
collateral under repurchase agreement transactions. Additionally,
procedures have been established by the Funds to monitor, on a
daily basis, the market value of each repurchase agreement's
collateral to ensure that the value of collateral at least equals
the repurchase price to be paid under the repurchase agreement
transaction.
The Funds will only enter into repurchase agreements with banks
and other recognized financial institutions, such as
broker/dealers, which are deemed by the Funds' adviser to be
creditworthy pursuant to the guidelines and/or standards reviewed
or established by the Boards of Trustees (the "Trustees"). Risks
may arise from the potential inability of counterparties to honor
the terms of the repurchase agreement. Accordingly, the Funds
could receive less than the repurchase price on the sale of
collateral securities.
INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS--Interest income
and expenses are accrued daily. Bond premium and discount, if
applicable, are amortized as required by the Internal Revenue
Code, as amended (the "Code"). Dividend income and distributions
to shareholders are recorded on the ex-dividend date. Certain
dividends from foreign securities may be recorded after the
ex-dividend date based upon when the Fund is reasonably able to
obtain information.
FEDERAL TAXES--It is the Funds' policy to comply with the
provisions of the Code applicable to regulated investment
companies and to distribute to shareholders each year
substantially all of their income. Accordingly, no provisions for
federal tax are necessary.
Withholding taxes on foreign interest and dividends have been
provided for in accordance with the Emerging Markets Fund's
understanding of the applicable country's tax rules and rates.
At November 30, 1996, the Funds listed below, for federal tax
purposes, had capital loss carryforwards, as noted, which will
reduce each Fund's taxable income arising from future net
realized gain on investments, if any, to the extent permitted by
the Code, and thus will reduce the amount of the distributions to
shareholders which would otherwise be necessary to relieve the
Funds of any liability for federal tax.
<TABLE>
<CAPTION>
Total Amount Amount Amount Amount
Capital Loss Expiring Expiring Expiring Expiring
Fund Carryforward In 2001 In 2002 In 2003 In 2004
<S> <C> <C> <C> <C> <C>
Fixed Income Fund $ 3,203,415 -- $ 1,946,168 $ 1,257,247 --
Short-Term Fixed Income Fund $ 4,001,614 $ 493,199 $ 2,790,650 $ 250,580 $ 467,185
</TABLE>
WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS--The Funds may
engage in when-issued or delayed delivery transactions. The Funds
record when-issued securities on the trade date and maintain
security positions such
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
that sufficient liquid assets will be available to make payment
for the securities purchased. Securities purchased on a
when-issued or delayed delivery basis are marked to market daily
and begin earning interest on the settlement date.
DEFERRED EXPENSES--The costs incurred by each Fund with respect
to registration of its shares in its first fiscal year, excluding
the initial expense of registering their shares, have been
deferred and are being amortized over a period not to exceed five
years from each Fund's commencement date.
FUTURES CONTRACTS--The Funds listed below purchase stock index
futures contracts to manage cashflows, enhance yield, and to
potentially reduce transaction costs. Upon entering into a stock
index futures contract with a broker, the Funds listed below are
required to deposit in a segregated account a specified amount of
cash or U.S. government securities. Futures contracts are valued
daily and unrealized gains or losses are recorded in a "variation
margin" account. Daily, the Funds receive from or pay to the
broker a specified amount of cash based upon changes in the
variation margin account. When a contract is closed, the Funds
recognize a realized gain or loss.
For the period ended May 31, 1997, the following Funds had
realized gains/losses on futures contracts as follows:
<TABLE>
<CAPTION>
Realized Gain (Loss)
Fund on Futures Contracts
<S> <C>
Equity Fund $ 794,615
Quantitative Equity Fund $ 1,209,067
Equity Index Fund $ 3,945,805
Balanced Fund $ 1,631,357
</TABLE>
Futures contracts have market risks, including the risk that the
change in the value of the contract may not correlate with
changes in the value of the underlying securities.
At May 31, 1997, the Funds had outstanding futures contracts as
set forth below:
EQUITY FUND
<TABLE>
<CAPTION>
Contracts to Unrealized
Expiration Date Deliver/Receive Position Appreciation
<C> <S> <C> <C>
June 1997 39 S&P 500 Index Futures Long $ 1,113,660
</TABLE>
QUANTITATIVE EQUITY FUND
<TABLE>
<CAPTION>
Contracts to Unrealized
Expiration Date Deliver/Receive Position Appreciation
<C> <S> <C> <C>
June 1997 32 S&P 500 Index Futures Long $ 796,442
</TABLE>
EQUITY INDEX FUND
<TABLE>
<CAPTION>
Contracts to Unrealized
Expiration Date Deliver/Receive Position Appreciation
<C> <S> <C> <C>
June 1997 73 S&P 500 Index Futures Long $ 1,974,270
</TABLE>
BALANCED FUND
<TABLE>
<CAPTION>
Contracts to Unrealized
Expiration Date Deliver/Receive Position Appreciation
<C> <S> <C> <C>
June 1997 34 S&P 500 Index Futures Long $ 848,468
</TABLE>
FOREIGN EXCHANGE CONTRACTS--Emerging Markets Fund may enter into
foreign currency exchange contracts as a way of managing foreign
exchange rate risk. The Fund may enter into these contracts for
the purchase or sale of a specific foreign currency at a fixed
price on a future date as a hedge or cross hedge against either
specific transactions or portfolio positions. The objective of
the Fund's foreign currency hedging transactions is to reduce the
risk that the U.S. dollar value of the Fund's foreign currency
denominated securities will decline in value due to changes in
foreign currency exchange rates. All foreign currency exchange
contracts are "marked to market" daily at the applicable
translation rates resulting in unrealized gains or losses.
Realized gains or losses are recorded at the time the foreign
currency exchange contract is offset by entering into a closing
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
transaction or by the delivery or receipt of the currency. Risk
may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts
and from unanticipated movements in the value of a foreign
currency relative to the U.S. dollar. At May 31, 1997, Emerging
Markets Fund had no outstanding foreign currency contracts.
FOREIGN CURRENCY TRANSLATION--The accounting records of Emerging
Markets Fund are maintained in U.S. dollars. All assets and
liabilities denominated in foreign currencies ("FC") are
translated into U.S. dollars based on the rate of exchange of
such currencies against U.S. dollars on the date of valuation.
Purchases and sales of securities, income and expenses are
translated at the rate of exchange quoted on the respective date
that such transactions are recorded. Differences between income
and expense amounts recorded and collected or paid are adjusted
when reported by the custodian bank. The Fund does not isolate
that portion of the results of operations resulting from changes
in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized
gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from
sales of portfolio securities, sales and maturities of short-term
securities, sales of FCs, currency gains or losses realized
between the trade and settlement dates on securities
transactions, the difference between the amounts of dividends,
interest, and foreign withholding taxes recorded on the Fund's
books, and the U.S. dollar equivalent of the amounts actually
received or paid. Net unrealized foreign exchange gains and
losses arise from changes in the value of assets and liabilities
other than investments in securities at fiscal year end,
resulting from changes in the exchange rate.
RESTRICTED SECURITIES--Restricted securities are securities that
may only be resold upon registration under federal securities
laws or in transactions exempt from such registration. In some
cases, the issuer of restricted securities has agreed to register
such securities for resale, at the issuer's expense either upon
demand by the Fund or in connection with another registered
offering of the securities. Many restricted securities may be
resold in the secondary market in transactions exempt from
registration. Such restricted securities may be determined to be
liquid under criteria established by the Trustees. The Fund will
not incur any registration costs upon such resales. The Fund's
restricted securities are valued at the price provided by dealers
in the secondary market or, if no market prices are available, at
the fair value as determined by the Fund's pricing committee.
Additional information on each restricted security held by
Emerging Markets Fund at May 31, 1997 is as follows:
<TABLE>
<CAPTION>
Security Acquisition Dates Acquisition Cost
<S> <C> <C>
Acer, Inc., GDR 3/29/96 $ 170,000
Banque Libanaise Pour Le Commerce, Class B, GDR 12/11/96 472,000
Banque Maroc du Commerce Exterieur, GDR 3/10/97 701,100
Borsodchem RT, GDR 2/15/96 49,800
Gedeon Richter, Ltd., GDR 11/10/95-11/26/96 394,754
Hellenic Telecommunications Organization 7/8/96-11/15/96 290,415
Hindalco Industries Ltd., GDR 6/21/95-10/4/95 159,375
MOL Magyar Olaj, GDR 5/7/97 243,750
State Bank of India, GDR 10/3/96 283,000
Steel Authority of India Ltd., GDR 3/7/96 129,750
Telecel--Comunicacoes Pessoai 12/10/96-5/2/97 327,483
Venepal, Class B, GDR 10/24/96-11/26/96 365,565
</TABLE>
USE OF ESTIMATES--The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the
amounts of assets, liabilities, expenses and revenues reported in
the financial statements. Actual results could differ from those
estimated.
OTHER--Investment transactions are accounted for on the trade
date.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
(3) SHARES OF BENEFICIAL INTEREST
The Declaration of Trust of both The Biltmore Funds and The Biltmore
Municipal Funds permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value).
Transactions in shares were as follows:
<TABLE>
<CAPTION>
Equity Fund Quantitative Equity Fund
---------------------------------------------------- ----------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
May 31, 1997 November 30, 1996 May 31, 1997 November 30, 1996
CLASS A SHARES Shares Dollars Shares Dollars Shares Dollars Shares Dollars
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 334,308 $ 4,441,115 3,573,564 $ 46,093,419 302,462 $ 4,641,870 2,247,495 $ 30,400,863
Shares issued to
shareholders in
payment of
distributions
declared 217,602 2,762,788 648,674 7,928,297 61,719 901,005 280,873 3,632,489
Shares redeemed (122,279) (1,635,272) (13,058,201) (177,023,298) (76,267) (1,179,063) (10,818,173) (154,534,825)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
Class A Shares
transactions 429,631 $ 5,568,631 (8,835,963) $(123,001,582) 287,914 $ 4,363,812 (8,289,805) $(120,501,473)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
</TABLE>
<TABLE>
<CAPTION>
Six Months Ended Period Ended Six Months Ended Period Ended
May 31, 1997 November 30, 1996** May 31, 1997 November 30, 1996**
CLASS B SHARES Shares Dollars Shares Dollars Shares Dollars Shares Dollars
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 84,969 $ 1,125,031 68,238 $ 938,331 88,082 $ 1,357,264 90,413 $ 1,298,561
Shares issued to
shareholders in
payment of
distributions
declared 10,783 136,862 38 519 5,619 81,925 100 1,415
Shares redeemed (5,256) (68,904) (2,290) (31,569) (3,657) (55,834) (151) (2,206)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
Class B Shares
transactions 90,496 1,192,989 65,986 $ 907,281 90,044 $ 1,383,355 90,362 $ 1,297,770
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
</TABLE>
<TABLE>
<CAPTION>
Six Months Ended Period Ended Six Months Ended Period Ended
May 31, 1997 November 30, 1996** May 31, 1997 November 30, 1996**
CLASS Y SHARES Shares Dollars Shares Dollars Shares Dollars Shares Dollars
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 2,093,881 $ 27,766,619 10,334,286 $ 142,661,992 654,392 $ 10,072,294 9,959,050 $ 143,121,979
Shares issued to
shareholders in
payment of
distributions
declared 1,007,312 12,789,315 23,469 316,602 543,509 7,934,665 35,172 496,978
Shares redeemed (1,416,692) (18,564,568) (1,632,543) (22,207,257) (1,072,395) (16,434,355) (256,357) (3,828,577)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
Class Y Shares
transactions 1,684,501 $ 21,991,366 8,725,212 $ 120,771,337 125,506 $ 1,572,604 9,737,865 $ 139,790,380
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
fund shares
transactions 2,204,628 $ 28,752,986 (44,765) $ (1,322,964) 503,464 $ 7,319,971 1,538,422 $ 20,586,677
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
<TABLE>
<CAPTION>
Equity Index Fund Special Values Fund
---------------------------------------------------- ----------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
May 31, 1997 November 30, 1996 May 31, 1997 November 30, 1996
CLASS A SHARES Shares Dollars Shares Dollars Shares Dollars Shares Dollars
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 499,230 $ 7,772,524 4,245,012 $ 58,360,015 607,202 $ 9,205,888 2,051,670 $ 28,299,705
Shares issued to
shareholders in
payment of
distributions
declared 79,719 1,221,632 1,080,710 14,197,673 55,077 784,291 163,047 1,868,520
Shares redeemed (173,247) (2,729,921) (17,907,828) (256,433,877) (77,282) (1,174,004) (3,768,276) (55,765,196)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
Class A Shares
transactions 405,702 $ 6,264,235 (12,582,106) $(183,876,189) 584,997 $ 8,816,175 (1,553,559) $ (25,596,971)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
</TABLE>
<TABLE>
<CAPTION>
Six Months Ended Period Ended Six Months Ended Period Ended
May 31, 1997 November 30, 1996** May 31, 1997 November 30, 1996**
CLASS Y SHARES Shares Dollars Shares Dollars Shares Dollars Shares Dollars
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 2,176,306 $ 33,303,993 14,081,776 $ 204,392,991 1,311,024 $ 19,814,715 3,761,852 $ 55,994,595
Shares issued to
shareholders in
payment of
distributions
declared 948,243 14,251,452 69,106 993,742 264,487 3,766,298 -- --
Shares redeemed (1,964,908) (30,252,367) (772,944) (11,455,108) (177,031) (2,656,181) (17,001) (253,468)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
Class Y Shares
transactions 1,159,641 $ 17,303,078 13,377,938 $ 193,931,625 1,398,480 $ 20,924,832 3,744,851 $ 55,741,127
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
fund shares
transactions 1,565,343 $ 23,567,313 795,832 $ 10,055,436 1,983,477 $ 29,741,007 2,191,292 $ 30,144,156
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
</TABLE>
<TABLE>
<CAPTION>
Emerging Markets Fund Balanced Fund
---------------------------------------------------- ----------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
May 31, 1997 November 30, 1996 May 31, 1997 November 30, 1996
CLASS A SHARES Shares Dollars Shares Dollars Shares Dollars Shares Dollars
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 180,904 $ 2,252,936 3,906,620 $ 45,872,322 429,793 $ 5,125,230 4,734,155 $ 56,693,222
Shares issued to
shareholders in
payment of
distributions
declared 4,411 51,046 9,503 99,884 196,062 2,267,865 933,946 10,904,370
Shares redeemed (97,910) (1,184,963) (10,296,117) (121,538,320) (131,834) (1,573,884) (21,667,531) (267,918,591)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
Class A Shares
transactions 87,405 $ 1,119,019 (6,379,994) $ (75,566,114) 494,021 $ 5,819,211 (15,999,430) $(200,320,999)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
<TABLE>
<CAPTION>
Emerging Markets Fund continued Balanced Fund continued
---------------------------------------------------- ----------------------------------------------------
Six Months Ended Period Ended Six Months Ended Period Ended
May 31, 1997 November 30, 1996** May 31, 1997 November 30, 1996**
CLASS B SHARES Shares Dollars Shares Dollars Shares Dollars Shares Dollars
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold -- $ -- -- $ -- 159,458 $ 1,906,737 138,824 $ 1,742,415
Shares issued to
shareholders in
payment of
distributions
declared -- -- -- -- 21,986 254,526 199 2,452
Shares redeemed -- -- -- -- (11,710) (137,424) (1,945) (24,476)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
Class B Shares
transactions -- $ -- -- $ -- 169,734 $ 2,023,839 137,078 $ 1,720,391
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
</TABLE>
<TABLE>
<CAPTION>
Six Months Ended Period Ended Six Months Ended Period Ended
May 31, 1997 November 30, 1996** May 31, 1997 November 30, 1996**
CLASS Y SHARES Shares Dollars Shares Dollars Shares Dollars Shares Dollars
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 1,598,581 $ 19,565,648 10,575,616 $ 124,884,916 2,863,392 $ 34,114,933 18,394,067 $ 229,263,647
Shares issued to
shareholders in
payment of
distributions
declared 27,265 315,464 -- -- 2,360,317 27,302,980 116,320 1,430,732
Shares redeemed (375,796) (4,637,620) (37,203) (437,260) (2,271,545) (26,877,397) (777,484) (9,783,760)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
Class Y Shares
transactions 1,250,050 $ 15,243,492 10,538,413 $ 124,447,656 2,952,164 $ 34,540,516 17,732,903 $ 220,910,619
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
fund shares
transactions 1,337,455 $ 16,362,511 4,158,419 $ 48,881,542 3,615,919 $ 42,383,566 1,870,551 $ 22,310,011
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
</TABLE>
<TABLE>
<CAPTION>
Fixed Income Fund Short-Term Fixed Income Fund
---------------------------------------------------- ----------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
May 31, 1997 November 30, 1996 May 31, 1997 November 30, 1996
CLASS A SHARES Shares Dollars Shares Dollars Shares Dollars Shares Dollars
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 129,272 $ 1,238,839 6,715,943 $ 64,981,743 60,924 $ 593,574 1,790,753 $ 17,444,566
Shares issued to
shareholders in
payment of
distributions
declared 10,605 101,434 660,839 6,370,033 4,262 41,392 596,490 5,812,653
Shares redeemed (173,726) (1,689,958) (24,034,268) (231,527,214) (7,592) (73,897) (14,822,145) (144,192,757)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
Class A Shares
transactions (33,849) $ (349,685) (16,657,486) $(160,175,438) 57,594 $ 561,069 (12,434,902) $(120,935,538)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
<TABLE>
<CAPTION>
Fixed Income Fund continued Short-Term Fixed Income Fund continued
---------------------------------------------------- ----------------------------------------------------
Six Months Ended Period Ended Six Months Ended Period Ended
May 31, 1997 November 30, 1996** May 31, 1997 November 30, 1996**
CLASS B SHARES Shares Dollars Shares Dollars Shares Dollars Shares Dollars
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 1,148 $ 10,873 11,286 $ 108,503 -- -- -- --
Shares issued to
shareholders in
payment of
distributions
declared 314 3,002 173 1,660 -- -- -- --
Shares redeemed (248) (2,336) -- -- -- -- -- --
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
Class B Shares
transactions 1,214 $ 11,539 11,459 $ 110,163 -- -- -- --
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
</TABLE>
<TABLE>
<CAPTION>
Six Months Ended Period Ended Six Months Ended Period Ended
May 31, 1997 November 30, 1996** May 31, 1997 November 30, 1996**
CLASS Y SHARES Shares Dollars Shares Dollars Shares Dollars Shares Dollars
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 3,562,190 $ 34,198,853 18,920,202 $ 182,149,767 1,381,990 $ 13,480,204 12,375,109 $ 120,492,401
Shares issued to
shareholders in
payment of
distributions
declared 401,620 3,842,627 185,028 1,776,010 311,899 3,029,601 142,721 1,387,283
Shares redeemed (3,032,275) (29,014,598) (1,212,034) (11,707,854) (1,685,303) (16,389,582) (653,343) (6,369,350)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
Class Y Shares
transactions 931,535 $ 9,026,882 17,893,196 $ 172,217,923 8,586 $ 120,223 11,864,487 $ 115,510,334
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
fund shares
transactions 898,900 $ 8,688,736 1,247,169 $ 12,152,648 66,180 $ 681,292 (570,415) $ (5,425,204)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
</TABLE>
<TABLE>
<CAPTION>
Georgia Municipal Bond Fund North Carolina Municipal Bond Fund
---------------------------------------------------- ----------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
May 31, 1997 November 30, 1996 May 31, 1997 November 30, 1996
CLASS A SHARES Shares Dollars Shares Dollars Shares Dollars Shares Dollars
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 35,809 $ 386,678 560,134 $ 6,056,816 149,717 $ 1,619,303 2,169,547 $ 23,350,755
Shares issued to
shareholders in
payment of
distributions
declared 10,111 109,296 27,478 297,430 18,465 200,150 53,359 578,075
Shares redeemed (115,859) (1,251,939) (835,094) (9,088,233) (352,643) (3,823,239) (2,674,655) (29,234,426)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
Class A Shares
transactions (69,939) $ (755,965) (247,482) $ (2,733,987) (184,461) $ (2,003,786) (451,749) $ (5,305,596)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
<TABLE>
<CAPTION>
Georgia Municipal Bond Fund continued North Carolina Municipal Bond Fund continued
---------------------------------------------------- ----------------------------------------------------
Six Months Ended Period Ended Six Months Ended Period Ended
May 31, 1997 November 30, 1996** May 31, 1997 November 30, 1996**
CLASS Y SHARES Shares Dollars Shares Dollars Shares Dollars Shares Dollars
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 161,053 $ 1,745,609 618,468 $ 6,747,412 967,537 $ 10,487,677 2,567,467 $ 28,088,051
Shares issued to
shareholders in
payment of
distributions
declared 1,853 20,042 113 1,250 5,101 55,344 176 1,943
Shares redeemed (80,249) (866,160) -- -- (119,299) (1,291,454) (2,814) (30,872)
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
Class Y Shares
transactions 82,657 $ 899,491 618,581 $ 6,748,662 853,339 $ 9,251,567 2,564,829 $ 28,059,122
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
Net change
resulting from
fund shares
transactions 12,718 $ 143,526 371,099 $ 4,014,675 668,878 $ 7,247,781 2,113,080 $ 22,753,526
---------- ------------ ----------- ------------- ---------- ------------ ----------- -------------
</TABLE>
<TABLE>
<CAPTION>
South Carolina Municipal Bond Fund
----------------------------------------------------
Six Months Ended Year Ended
May 31, 1997 November 30, 1996
CLASS A SHARES Shares Dollars Shares Dollars
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------
Shares sold 296,208 $ 3,214,366 2,016,192 $ 21,951,155
Shares issued to
shareholders in
payment of
distributions
declared 90,596 981,911 197,897 2,151,141
Shares redeemed (677,567) (7,363,770) (4,721,556) (51,567,032)
---------- ------------ ----------- -------------
Net change
resulting from
Class A Shares
transactions (290,763) $ (3,167,493) (2,507,467) $ (27,464,736)
---------- ------------ ----------- -------------
</TABLE>
<TABLE>
<CAPTION>
Six Months Ended Period Ended
May 31, 1997 November 30, 1996**
CLASS Y SHARES Shares Dollars Shares Dollars
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------
Shares sold 422,355 $ 4,587,660 3,322,198 $ 36,432,281
Shares issued to
shareholders in
payment of
distributions
declared 8,792 95,416 683 7,559
Shares redeemed (223,528) (2,434,191) (17,589) (193,563)
---------- ------------ ----------- -------------
Net change
resulting from
Class Y Shares
transactions 207,619 $ 2,248,885 3,305,292 $ 36,246,277
---------- ------------ ----------- -------------
Net change
resulting from
fund shares
transactions (83,144) $ (918,608) 797,825 $ 8,781,541
---------- ------------ ----------- -------------
</TABLE>
** For the period from July 22, 1996 (date of initial public
investment) to November 30, 1996.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
(4) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY FEE--Wachovia Asset Management, the Funds'
investment adviser (the "Adviser"), receives for its services an
annual investment advisory fee based on a percentage of each Fund's
average daily net assets as listed below. The Adviser may voluntarily
choose to waive any portion of its fee. The Adviser can modify or
terminate this voluntary waiver at any time at its sole discretion.
<TABLE>
<CAPTION>
Fund Annual Rate
<S> <C>
Equity Fund 0.70%
Quantitative Equity Fund 0.70%
Equity Index Fund 0.30%
Special Values Fund 0.80%
Emerging Markets Fund 1.00%
Balanced Fund 0.70%
Fixed Income Fund 0.60%
Short-Term Fixed Income Fund 0.55%
Georgia Municipal Bond Fund 0.75%
North Carolina Municipal Bond Fund 0.75%
South Carolina Municipal Bond Fund 0.75%
</TABLE>
SUB ADVISORY FEE--The Adviser has entered into a sub-advisory
agreement with Twin Capital Management, Inc. (the "Sub-Adviser"). The
Sub-Adviser furnishes certain advisory services to the Adviser for
Quantitative Equity Fund, including investment research, quantitative
analysis, statistical and other factual information, and
recommendations based on the Sub-Adviser's analysis, and assists the
Adviser in identifying securities for potential purchase and/or sale.
The Sub-Adviser is entitled to receive an annual fee of $55,000,
payable by the Adviser. The Sub-Adviser may elect to waive some or all
of its fee.
ADMINISTRATIVE FEE--Federated Administrative Services ("FAS") provides
the Funds with certain administrative personnel and services. The fee
paid to FAS is based on the level of average aggregate net assets of
the Trusts for the period. The Administrative Fee during any fiscal
year for the Funds shall aggregate at least $75,000.
DISTRIBUTION SERVICES FEE--Equity Fund, Quantitative Equity Fund,
Balanced Fund, and Fixed Income Fund have adopted a Distribution Plan
(the "Plan") pursuant to Rule 12b-1 under the Act. Under the terms of
the Plan, the Funds will compensate Federated Securities Corp.
("FSC"), the principal distributor, from their respective net assets
to finance certain activities intended to result in the sale of Class
B Shares. The Plan provides that each Fund may incur distribution
expenses up to 0.75% of the average daily net assets of each Fund's
Class B Shares, annually, to compensate FSC. The distributor may
voluntarily choose to waive any portion of its fee and/or reimburse
certain operating expenses of the Funds. The distributor can modify or
terminate this voluntary waiver and/or reimbursement at any time at
its sole discretion.
SHAREHOLDER SERVICES FEE--Under the terms of a Shareholder Services
Agreement with FAS, the Fund will pay FAS up to 0.25% of average daily
net assets of each Fund's Class A Shares and Class B Shares for the
period. The fee paid to FAS is used to finance certain services for
shareholders and to maintain shareholder accounts.
TRANSFER AND DIVIDEND DISBURSING AGENT FEES--Federated Services
Company ("FServ"), through its subsidiary, Federated Shareholder
Services Company ("FSSC") serves as transfer and dividend disbursing
agent for the Funds. The fee paid to FSSC is based on the size, type,
and number of accounts and transactions made by shareholders.
PORTFOLIO ACCOUNTING FEES--FServ, through its subsidiary, FAS,
maintains the Funds' accounting records for which it receives a fee.
The fee is based on the level of each Fund's average daily net assets
for the period, plus out-of-pocket expenses. FAS may voluntarily
choose to waive any portion of its fee.
CUSTODIAN FEES--Wachovia Bank, N.A. is the Funds' custodian. The fee
is based on the level of each Fund's average daily net assets for the
period, plus out-of-pocket expenses.
ORGANIZATIONAL EXPENSES--Organizational expenses were borne initially
by FAS. The Funds have agreed to reimburse FAS for the organizational
expenses during the five year period following the effective date of
each Fund. For the period ended May 31, 1997, the Funds did not make
any reimbursements to FAS.
GENERAL--Certain of the Officers of the Trusts are Officers and
Directors or Trustees of the above companies.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
(5) INVESTMENT TRANSACTIONS
Purchases and sales of investments, excluding short-term securities,
for the period ended May 31, 1997, were as follows:
<TABLE>
<CAPTION>
Fund Purchases Sales
<S> <C> <C>
Equity Fund $ 11,778,534 $ 67,123,566
Quantitative Equity Fund $ 54,391,210 $ 55,237,301
Equity Index Fund $ 73,892,397 $ 62,577,180
Special Values Fund $ 36,792,566 $ 19,445,138
Emerging Markets Fund $ 49,901,402 $ 38,426,416
Balanced Fund $ 168,062,512 $ 153,065,726
Fixed Income Fund $ 149,532,449 $ 140,153,859
Short-Term Fixed Income Fund $ 173,917,010 $ 169,619,649
Georgia Municipal Bond Fund $ 3,001,137 $ 3,096,130
North Carolina Municipal Bond Fund $ 10,032,687 $ 5,145,213
South Carolina Municipal Bond Fund $ 8,407,155 $ 11,445,059
</TABLE>
(6) CONCENTRATION OF CREDIT RISK
Since The Biltmore Municipal Funds invest a substantial portion of
their assets in issuers located in one state, they will be more
susceptible to factors adversely affecting issuers of that state than
would be a comparable tax-exempt mutual fund that invests nationally.
In order to reduce the credit risk associated with such factors, at
May 31, 1997, the securities in the portfolio of investments are
backed by letters of credit or bond insurance of various financial
institutions and financial guaranty assurance agencies, as indicated
below. The largest percentage of investments insured by or supported
(backed) by a letter of credit from any one institution or agency is
also indicated below.
<TABLE>
<CAPTION>
% of Portfolio % of Portfolio Backed by
Fund Guaranteed/Insured Largest Guarantor/Insurer
<S> <C> <C>
Georgia Municipal Bond Fund 54% 19%
North Carolina Municipal Bond Fund 40% 23%
South Carolina Municipal Bond Fund 60% 28%
</TABLE>
Emerging Markets Fund invests in securities of non-U.S. issuers.
Although the Fund maintains a diversified investment portfolio, the
political or economic developments within a particular country or
region may have an adverse effect on the ability of domiciled issuers
to meet their obligations. Additionally, political or economic
developments may have an effect on the liquidity and volatility of
portfolio securities and currency holdings.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
(7) SUBSEQUENT EVENT
Effective July 31, 1997, the Trusts and the Funds will change their
names as follows:
<TABLE>
<S> <C>
CURRENT TRUST NAME NEW TRUST NAME
The Biltmore Funds The Wachovia Funds
CURRENT PORTFOLIO NAME NEW PORTFOLIO NAME
Biltmore Equity Fund Wachovia Equity Fund
Biltmore Quantitative Equity Fund Wachovia Quantitative Equity Fund
Biltmore Equity Index Fund Wachovia Equity Index Fund
Biltmore Special Values Fund Wachovia Special Values Fund
Biltmore Emerging Markets Fund Wachovia Emerging Markets Fund
Biltmore Balanced Fund Wachovia Balanced Fund
Biltmore Fixed Income Fund Wachovia Fixed Income Fund
Biltmore Short-Term Fixed Income Fund Wachovia Short-Term Fixed Income Fund
Biltmore Money Market Fund Wachovia Money Market Fund
Biltmore Tax-Free Money Market Fund Wachovia Tax-Free Money Market Fund
Biltmore U.S. Treasury Money Market Fund Wachovia U.S. Treasury Money Market Fund
Biltmore Prime Cash Management Fund Wachovia Prime Cash Management Fund
CURRENT TRUST NAME NEW TRUST NAME
The Biltmore Municipal Funds The Wachovia Municipal Funds
CURRENT PORTFOLIO NAME NEW PORTFOLIO NAME
Biltmore Georgia Municipal Bond Fund Wachovia Georgia Municipal Bond Fund
Biltmore North Carolina Municipal Bond Fund Wachovia North Carolina Municipal Bond Fund
Biltmore South Carolina Municipal Bond Fund Wachovia South Carolina Municipal Bond Fund
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TRUSTEES OFFICERS
<TABLE>
<S> <C>
James A. Hanley John W. McGonigle
Samuel E. Hudgins President and Treasurer
J. Berkley Ingram, Jr. Charles L. Davis, Jr.
D. Dean Kaylor Vice President and Assistant Treasurer
Charles S. Way, Jr. Peter J. Germain
Secretary
Gail Cagney
Assistant Secretary
</TABLE>
Mutual funds are not bank deposits or obligations, are not guaranteed
by any bank, and are not insured or guaranteed by the U.S. government,
the Federal Deposit Insurance Corporation, the Federal Reserve Board,
or any other government agency. Investment in mutual funds involves
risk, including possible loss of principal.
This report is authorized for distribution to prospective investors
only when preceded or accompanied by the Funds' prospectuses which
contain facts concerning their investment objectives and policies,
management fees, expenses and other information.
Federated Securities Corp.
is the distributor of the funds.
831-27 (7/97) G01715-01 (7/97)
