<PAGE>
TRAK(R)
-------------------------------------
PERSONALIZED INVESTMENT ADVISORY SERVICE
CONSULTING GROUP CAPITALMARKETS FUNDS
Annual Report
August 31, 1996
SMITH BARNEY
------------
A Member of TravelersGroup [LOGO]
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
TABLE OF CONTENTS
<TABLE>
<S> <C>
Shareholder Letter........................................................ 2
Schedules of Investments:
Government Money Investments............................................ 4
Intermediate Fixed Income Investments................................... 5
Long-Term Bond Investments.............................................. 10
Municipal Bond Investments.............................................. 12
Mortgage Backed Investments............................................. 16
Balanced Investments.................................................... 18
Large Capitalization Value Equity Investments........................... 22
Large Capitalization Growth Investments................................. 31
Small Capitalization Value Equity Investments........................... 38
Small Capitalization Growth Investments................................. 56
International Equity Investments........................................ 80
International Fixed Income Investments.................................. 102
Emerging Markets Equity Investments..................................... 104
Statements of Assets and Liabilities...................................... 110
Statements of Operations.................................................. 112
Statements of Changes in Net Assets....................................... 114
Notes to Financial Statements............................................. 118
Financial Highlights...................................................... 126
Portfolio Highlights and Performance of the Consulting Group Capital
Markets.................................................................. 133
Independent Auditors' Report.............................................. 158
Tax Information........................................................... 159
</TABLE>
1
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
Dear Shareholder:
Market Overview
The financial markets turned in a solid performance for the twelve months
ending August 31, 1996. The Standard & Poor's Composite Stock Price Index,
which represents a broad measure of the U.S. stock market's performance,
returned 18.7%, with dividends reinvested. The Lehman Brothers
Government/Corporate Bond Index, which tracks the performance of the U.S. bond
market, produced a return of 3.7%.
Conflicting signals on the strength of the economy have created a higher
level of volatility in the U.S. capital markets over the last year. As
evidence, both the U.S. stock and bond markets were jolted in early July by
signs of unexpected strength in the economy. A strong employment report on July
5 pushed long-term bond rates upward to almost 7.25% and led to one of the
largest daily declines in both the bond and stock markets. However, stock and
bond prices recovered sharply at the end of July as interest rates fell back to
6.75% and second quarter corporate earnings came in ahead of expectations.
Overseas equity markets trailed the U.S. markets in the twelve months ended
August 31, 1996. The Morgan Stanley Capital International Europe Australia Far
East Index, which measures the performance in twenty foreign countries,
returned 7.9%. The Morgan Stanley Emerging Markets Free Index, which tracks
stock market returns in thirteen less-developed countries, returned 3.8%. In
contrast, foreign bonds outpaced their U.S. counterparts returning 7.3%, as
measured by the Salomon Brothers Non-U.S. Government Bond Index.
Consulting Group Capital Markets Funds
All of the thirteen Consulting Group Capital Markets Funds posted positive
returns for the past fiscal year which ended August 31, 1996. While we are
pleased with the performance of the funds, the key element of the TRAK
Personalized Investment Service is the fund allocation advice which is designed
to provide you with investment diversification and reduce risk.
The Consulting Group Asset Allocation Committee is responsible for
determining your allocation advice. The Committee is comprised of the following
individuals: Sandip Bhagat, CFA and President of TIMCO; Glenn Regan, CFA and
Senior Vice President of Smith Barney Consulting Group; LeRoy Pease, CFA, Vice
President of Smith Barney Consulting Group; Richard Marston, Professor of
Finance, the Wharton School of the University of Pennsylvania; and Frank
Nickel, Assistant Vice President of Smith Barney Consulting Group. The
Committee meets formally on a monthly basis to review the conditions of the
global capital markets and to determine if its allocation advice needs to be
revised.
Recommended Asset Allocation Change
As this letter goes to press, a change in the allocation advice is being
recommended by the Committee. The current advice tilts U.S. stock exposure in
favor of the value style of investing. However, the Committee believes that we
are in the later stages of the economic and business cycle. The onset of an
economic slowdown generally signals a shift away from value into growth stocks.
In a slow growth environment, investors are more willing to pay a premium for
companies that can demonstrate stable earnings growth. As a result, for
investors with equity exposure, the recommended allocation to growth stocks is
being increased at the expense of value stocks.
The Committee is also introducing a recommended allocation to the emerging
equity markets in its asset allocation advice for moderate risk investors. This
will provide an important diversification benefit given the low correlation
between emerging market stocks and most other financial instruments.
Consulting Group Welcomes New President
On June 9, 1996 the Board of Trustees elected Frank L. Campanale as
investment officer of the Consulting Group Capital Markets Funds. Frank is the
new President and Chief Executive Officer of Smith Barney Consulting Group and
he brings over twenty years of experience in the investment business.
2
<PAGE>
We wish to thank you for the confidence you've shown in the Consulting Group
and your Financial Consultant. As of August 31, 1996, the number of clients
investing through TRAK Personalized Investment Advisory Service has risen to
over 82,000. In addition, on September 13, 1996 total shareholder assets
eclipsed $6 billion.
As always, if you should have any questions or comments about your TRAK
investments, your Financial Consultant remains ready to assist you.
Sincerely,
/s/ Heath B. McLendon
Heath B. McLendon
Chairman of the Board of Trustees of the
Consulting Group Capital Markets Funds
/s/ Frank L. Campanale
Frank L. Campanale
Investment Officer of the Consulting
Group Capital Markets Funds
October 25, 1996
3
<PAGE>
SCHEDULES OF INVESTMENTS AUGUST 31, 1996
GOVERNMENT MONEY INVESTMENTS
<TABLE>
<CAPTION>
ANNUALIZED
YIELD ON
FACE DATE OF
AMOUNT SECURITY PURCHASE VALUE
- ------------------------------------------------------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTES --
76.6%
$ 6,155,000 Federal Farm
Credit Bank
mature 9/5/96 to
11/20/96.......... 5.25% to 5.43% $ 6,113,675
39,430,000 Federal Home Loan
Bank mature
9/12/96 to
11/21/96.......... 5.26 to 5.48 39,172,943
88,331,000 Federal Home Loan
Mortgage Corp.
mature 9/3/96 to
11/29/96.......... 5.21 to 5.46 87,774,235
76,170,000 Federal National
Mortgage
Association
mature 9/5/96 to
12/23/96.......... 5.18 to 5.52 75,641,979
2,750,000 World Bank matures
9/4/96............ 5.28 2,748,808
- ------------------------------------------------------------
TOTAL U.S.
GOVERNMENT AGENCY
DISCOUNT NOTES
(Cost --
$211,451,640)..... 211,451,640
- ------------------------------------------------------------
U.S. TREASURY NOTES -- 23.4%
64,500,000 U.S. Treasury
Notes mature
9/30/96 to 7/31/97
(Cost --
$64,684,196)...... 4.72 to 5.79 64,684,196
- ------------------------------------------------------------
TOTAL
INVESTMENTS --
100% (Cost --
$276,135,836**)... $276,135,836
- ------------------------------------------------------------
</TABLE>
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART APPEARS HERE]
CLASSIFICATION OF INVESTMENTS
U.S. Treasury Notes 23.4%
U.S. Government Agency
Discount Notes 76.6%
SEE NOTES TO FINANCIAL STATEMENTS.
4
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
CORPORATE BONDS & NOTES -- 57.5%
BANKING -- 18.6%
$ 2,125,000 Advanta National Bank, 6.450% due 10/30/00..... $ 2,053,281
1,000,000 Bank of Boston, 5.613% due 8/28/98............. 1,000,490
Capital One Bank, Medium Term Notes:
3,675,000 6.740% due 5/31/99............................. 3,633,656
1,425,000 6.844% due 6/13/00............................. 1,394,719
525,000 7.350% due 6/20/00............................. 523,688
2,000,000 Chase Manhattan Bank, 5.719% due 12/30/09...... 1,955,000
1,000,000 Chemical Bank, Notes, 9.750% due 6/15/99....... 1,071,250
Citicorp, Subordinated Capital Notes:
94,000 9.000% due 4/15/99............................. 98,818
1,500,000 9.750% due 8/1/99.............................. 1,610,625
First Interstate Bancorp, Subordinated Capital
Notes:
1,500,000 8.625% due 4/1/99.............................. 1,558,125
1,450,000 9.900% due 11/15/01............................ 1,614,937
First National Bank of Boston, Notes, 8.375%
2,000,000 due 12/15/02................................... 2,107,500
First Security Corp., Notes, 7.000% due
2,325,000 7/15/05........................................ 2,223,281
First USA Bank, Notes:
900,000 8.200% due 2/15/98............................. 916,875
3,275,000 6.375% due 10/23/00............................ 3,168,563
2,100,000 5.850% due 2/22/01............................. 1,970,514
Fleet Financial Group Inc., Senior Notes:
2,100,000 7.250% due 10/15/97............................ 2,121,987
675,000 7.125% due 5/1/00.............................. 676,688
General Motors Acceptance Corp., Notes:
4,100,000 5.625% due 2/15/01............................. 3,879,625
4,525,000 Medium Term Notes, 6.700% due 4/30/01.......... 4,428,844
Hartford National Corp., Senior Notes, 9.850%
1,000,000 due 6/1/99..................................... 1,068,750
International Leasing Finance Corp., Notes:
1,075,000 5.750% due 3/15/98............................. 1,064,250
1,400,000 5.750% due 12/15/99............................ 1,354,500
Keycorp, Medium Term Notes, 6.300% due
1,685,000 4/20/00........................................ 1,647,087
1,325,000 Markel Corp., Notes, 7.250% due 11/1/03........ 1,300,156
Morgan Stanley Group, Inc., Notes:
250,000 7.320% due 1/15/97............................. 251,092
1,100,000 9.250% due 3/1/98.............................. 1,141,250
3,000,000 8.100% due 6/24/02............................. 3,120,000
1,000,000 NationsBank Corp., Notes, 6.625% due 1/15/98... 1,002,500
Shawmut National Corp., Subordinated Notes,
1,500,000 8.625% due 12/15/99............................ 1,571,250
St. Georges Bank, Notes:
2,175,000 6.875% due 4/1/99@............................. 2,166,539
500,000 7.150% due 10/15/05............................ 479,650
- ------------------------------------------------------------------------------
54,175,490
- ------------------------------------------------------------------------------
COMMUNICATIONS -- 1.8%
Time Warner, Inc., Notes:
4,695,000 7.750% due 6/15/05............................. 4,530,675
600,000 7.250% due 9/1/08.............................. 550,500
- ------------------------------------------------------------------------------
5,081,175
- ------------------------------------------------------------------------------
FINANCIAL SERVICES -- 20.7%
Avalon Properties Inc., Notes, 7.375% due
2,450,000 9/15/02........................................ 2,370,375
2,625,000 Banponce Corp., Notes, 6.750% due 12/15/05..... 2,454,375
Bear Stearns Cos., Inc., Notes, 6.750% due
1,675,000 8/15/00........................................ 1,649,875
3,500,000 CIT Group Holdings, 6.200% due 4/15/98......... 3,486,875
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
5
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 20.7% (CONTINUED)
$ 2,100,000 ERP Operation Ltd., Notes, 8.500% due 5/15/99.. $ 2,163,357
Finova Capital Corp., Notes:
525,000 6.750% due 3/25/99............................. 524,344
2,175,000 6.450% due 6/1/00.............................. 2,126,062
5,600,000 Ford Motor Credit Co., 5.750% due 1/25/01...... 5,306,000
Franchise Finance Corp., Notes, 7.000% due
2,000,000 11/30/00....................................... 1,915,000
General Electric Capital Corp., 8.650% due
2,800,000 5/1/18......................................... 2,765,000
Goldman Sachs Group, Notes, 6.375% due
5,425,000 6/15/00@....................................... 5,289,375
Green Tree Acceptance Corp., 10.250% due
2,775,000 6/1/02......................................... 3,180,843
2,000,000 H.F. Ahmanson, 9.875% due 11/15/99............. 2,147,500
3,085,000 Household Financial Corp., 7.150% due 6/15/00.. 3,088,856
Integra Financial Corp., Subordinated Notes,
1,900,000 6.500% due 4/15/00............................. 1,862,000
Merryland & Investment Corp., Notes, 6.875% due
1,225,000 11/1/03........................................ 1,169,875
Salomon Inc., Medium Term Notes:
700,000 6.125% due 5/15/98............................. 693,000
1,550,000 6.820% due 7/26/99............................. 1,536,438
1,575,000 7.750% due 5/15/00............................. 1,594,688
1,775,000 7.250% due 5/1/01.............................. 1,748,375
Spieker Properties, Notes, 6.650% due
2,600,000 12/15/00....................................... 2,486,250
United Financial Corp., Notes, 7.000% due
3,500,000 7/15/98........................................ 3,486,875
United States Fidelity and Guarantee Corp.,
Notes:
2,125,000 7.000% due 5/15/98............................. 2,130,313
2,100,000 8.375% due 6/15/01............................. 2,170,875
Washington Real Estate Investment Trust, 7.125%
3,125,000 due 8/13/03.................................... 3,019,531
- -------------------------------------------------------------------------------
60,366,057
- -------------------------------------------------------------------------------
HEALTHCARE -- 2.7%
Columbia Healthcare Corp., 6.125% due
1,675,000 12/15/00....................................... 1,618,469
Health & Rehab Properties Trust, 6.408% due
2,150,000 7/13/99........................................ 2,126,715
2,325,000 Meditrust Corp., Notes, 7.375% due 7/15/00..... 2,290,125
R.P. Scherer International Corp., 6.750% due
2,000,000 2/1/04......................................... 1,860,000
- -------------------------------------------------------------------------------
7,895,309
- -------------------------------------------------------------------------------
INDUSTRIAL -- 9.1%
2,450,000 Brascan Ltd., Notes, 7.375% due 10/1/02........ 2,379,563
Comdisco Inc., Notes:
5,025,000 6.500% due 6/15/00............................. 4,924,500
325,000 5.750% due 2/15/01............................. 306,719
2,675,000 Enterprise, Notes, 6.350% due 1/15/01@......... 2,578,031
Georgia-Pacific Corp., Debentures, 9.850% due
1,950,000 6/15/97........................................ 1,996,897
1,350,000 ITT Corp., Notes, 6.250% due 11/15/00.......... 1,302,750
2,625,000 Methanex Corp., Notes, 7.750% due 8/15/05...... 2,542,969
2,375,000 Novacor Chemical, Notes, 6.500% due 9/22/00.... 2,309,688
2,737,000 Purity Supreme, Notes, 11.750% due 8/1/99...... 2,990,172
Sears Roebuck Acceptance Corp., 6.690% due
5,335,000 4/30/01........................................ 5,221,631
- -------------------------------------------------------------------------------
26,552,920
- -------------------------------------------------------------------------------
OIL -- 2.5%
2,750,000 Kern River Funding Corp., 6.720% due 9/30/01... 2,677,813
Occidental Petroleum Corp., Notes:
700,000 9.500% due 8/15/97............................. 721,343
125,000 5.850% due 11/9/98............................. 122,500
2,100,000 5.900% due 11/9/98............................. 2,060,625
1,600,000 5.950% due 11/9/98............................. 1,572,000
- -------------------------------------------------------------------------------
7,154,281
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
POWER & LIGHTING -- 1.4%
$ 2,000,000 FPL Group Capital, Notes, 6.500% due 7/1/97.... $ 2,002,500
System Energy Resources, Notes:
1,000,000 6.000% due 4/1/98.............................. 982,500
1,100,000 7.625% due 4/1/99.............................. 1,104,125
- -------------------------------------------------------------------------------
4,089,125
- -------------------------------------------------------------------------------
REAL ESTATE -- 0.7%
2,100,000 Taubman Realty Group Ltd., 8.000% due 6/15/99.. 2,126,250
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$170,587,658)................................. 167,440,607
- -------------------------------------------------------------------------------
MORTGAGED-BACKED SECURITIES -- 21.7%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 3.3%
300,000 FHLMC, 5.500% due 8/15/03...................... 297,120
7,140,062 FHLMC, 6.500% due 3/1/26....................... 6,613,480
131,231 FHLMC, 7.500% due 8/1/99....................... 132,625
313,687 FHLMC, 7.500% due 3/1/00....................... 317,019
449,401 FHLMC, 7.500% due 6/1/00....................... 454,175
1,812,024 FHLMC, 7.500% due 10/1/00...................... 1,831,268
- -------------------------------------------------------------------------------
9,645,687
- -------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 12.7%
375,000 FNMA, 5.900% due 6/9/00........................ 364,380
2,500,000 FNMA, 6.000% due 11/25/06...................... 2,406,225
1,791,101 FNMA, 7.000% due 11/1/23....................... 1,705,451
1,889,895 FNMA, 7.000% due 5/1/24........................ 1,799,521
201,353 FNMA, 7.000% due 6/1/24........................ 191,725
175,826 FNMA, 7.000% due 12/1/24....................... 167,419
8,830,891 FNMA, 7.000% due 7/1/25........................ 8,408,604
15,585,200 FNMA, 7.000% due 8/1/25........................ 14,839,906
2,000,000 FNMA, 7.000% due 9/1/06........................ 1,901,860
2,771,383 FNMA, 7.205% due 6/1/06........................ 2,736,741
922,291 FNMA, 8.000% due 4/1/02........................ 922,578
1,560,013 FNMA, 8.000% due 6/1/02........................ 1,560,497
- -------------------------------------------------------------------------------
37,004,907
- -------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 1.5%
220,388 GNMA, 9.000% due 2/15/16....................... 230,030
622,975 GNMA, 9.000% due 4/15/16....................... 650,232
131,069 GNMA, 9.000% due 5/15/16....................... 136,804
88,854 GNMA, 9.000% due 6/15/16....................... 92,743
57,052 GNMA, 9.000% due 7/15/16....................... 59,549
577,153 GNMA, 9.000% due 8/15/16....................... 602,406
132,314 GNMA, 9.000% due 9/15/16....................... 138,104
365,600 GNMA, 9.000% due 10/15/16...................... 381,596
519,440 GNMA, 9.000% due 11/15/16...................... 542,169
174,943 GNMA, 9.000% due 12/15/16...................... 182,598
129,258 GNMA, 9.000% due 1/15/17....................... 134,894
101,282 GNMA, 9.000% due 2/15/17....................... 105,713
103,424 GNMA, 9.000% due 3/15/17....................... 107,949
29,597 GNMA, 9.000% due 5/15/17....................... 30,893
248,371 GNMA, 9.000% due 6/15/17....................... 259,238
34,957 GNMA, 9.000% due 9/15/17....................... 36,487
34,183 GNMA, 9.000% due 10/15/17...................... 35,679
217,298 GNMA, 9.000% due 11/15/17...................... 226,805
133,855 GNMA, 9.000% due 12/15/17...................... 141,803
146,692 GNMA, 9.000% due 11/15/24...................... 153,111
- -------------------------------------------------------------------------------
4,248,803
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
7
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATION -- 4.2%
$ 2,444,914 Chase Manhattan Bank, 7.600% due 7/18/28....... $ 2,443,766
Federal Deposit Insurance Co., Real Estate
Mortgage Investment Conduit Trust, 7.850% due
1,878,381 9/25/25........................................ 1,893,057
Merrill Lynch Mortgage Investors Inc., 8.917%
2,650,000 due 11/25/20................................... 2,717,072
2,294,000 Mortgage Capital Corp., 7.800% due 7/15/28..... 2,274,639
2,240,168 Puttable Project, 7.430% due 6/1/24............ 2,213,571
U.S. Department of Veteran Affairs:
366,279 6.500% due 2/15/07............................. 366,137
322,634 7.750% due 9/15/10............................. 324,951
- ------------------------------------------------------------------------------
12,233,193
- ------------------------------------------------------------------------------
TOTAL MORTGAGED-BACKED SECURITIES (Cost --
$64,488,934).................................. 63,132,590
- ------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 18.7%
U.S. TREASURY NOTES -- 16.2%
U.S. Treasury Notes:
6,740,000 5.125% due 11/30/98............................ 6,563,749
8,400,000 5.375% due 11/30/97............................ 8,336,244
3,000,000 5.625% due 1/31/98............................. 2,977,620
5,350,000 5.750% due 8/15/03............................. 5,028,519
2,000,000 5.875% due 4/30/98............................. 1,988,440
2,400,000 6.250% due 7/31/98............................. 2,396,833
2,425,000 6.250% due 4/30/01............................. 2,379,749
1,325,000 6.250% due 2/15/03............................. 1,286,045
100,000 6.375% due 8/15/02............................. 98,086
6,945,000 6.875% due 7/31/99............................. 7,006,949
200,000 6.875% due 8/31/99............................. 201,848
725,000 6.875% due 3/31/00............................. 730,749
550,000 6.875% due 5/15/06............................. 547,426
5,000,000 7.125% due 2/29/00............................. 5,078,950
2,575,000 7.500% due 5/15/02............................. 2,665,949
- ------------------------------------------------------------------------------
47,287,156
- ------------------------------------------------------------------------------
U.S. TREASURY STRIPS -- 0.9%
U.S. Treasury Strips:
125,000 Zero coupon due 11/15/99....................... 101,608
4,225,000 Zero coupon due 8/15/03........................ 2,643,794
- ------------------------------------------------------------------------------
2,745,402
- ------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES -- 1.6%
Government Trust Certificate, Resolution Trust
Corp.:
447,471 6.825% due 3/25/22............................. 436,145
875,000 7.250% due 10/25/23............................ 872,813
3,100,000 7.500% due 10/25/28............................ 3,067,078
48,355 9.000% due 9/25/28............................. 49,564
- ------------------------------------------------------------------------------
4,425,600
- ------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost -- $55,288,638).......................... 54,458,158
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
REGIONAL GOVERNMENT OBLIGATION -- 1.2%
Quebec Province, 7.500% due 7/15/02 (Cost --
$ 3,500,000 $3,646,160).................................... $ 3,539,375
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.9%
2,571,000 Chase Manhattan Bank, 5.188% due 9/3/96;
Proceeds at maturity -- $2,572,482;
(Fully collateralized by U.S. Treasury Bill due
10/17/96;
Market value -- $2,623,497) (Cost --
$2,571,000).................................... 2,571,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$296,582,390**)................................ $291,141,730
- -------------------------------------------------------------------------------
</TABLE>
@ Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions that are exempt from
registration to qualified institutional buyers.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART APPEARS HERE]
CLASSIFICATION OF INVESTMENTS
Regional Government Obligation 1.2%
U.S. Government & Agency Obligations 18.7%
Mortgage-Backed Securities 21.7%
Repurchase Agreement 0.9%
Corporate Bonds & Notes 57.5%
SEE NOTES TO FINANCIAL STATEMENTS.
9
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LONG-TERM BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 60.2%
$ 8,590,000 U.S. Treasury Bonds, 12.000% due 8/15/13....... $ 11,899,126
7,770,000 U.S. Treasury Bonds, 7.250% due 5/15/16........ 7,760,598
14,735,000 U.S. Treasury Bonds, 7.875% due 2/15/21........ 15,728,581
3,400,000 U.S. Treasury Bonds, 6.875% due 8/15/25........ 3,266,108
6,290,000 U.S. Treasury Notes, 10.625% due 8/15/15....... 8,474,139
3,085,000 U.S. Treasury Notes, 9.875% due 11/15/15....... 3,920,541
9,900,000 U.S. Treasury Notes, 7.500% due 11/15/16....... 10,137,402
8,755,000 U.S. Treasury Notes, 8.750% due 5/15/17........ 10,129,185
11,065,000 U.S. Treasury Notes, 8.500% due 2/15/20........ 12,571,832
7,075,000 U.S. Treasury Notes, 8.750% due 5/15/20........ 8,239,899
- ------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost --
$95,546,288)................................. 92,127,411
- ------------------------------------------------------------------------------
CORPORATE BONDS -- 34.8%
BANKING -- 4.5%
International Bank of Reconstruction and
3,350,000 Development, 8.250% due 10/30/25............... 3,597,063
3,000,000 NCNB Corp., 9.375% due 9/15/09................. 3,397,500
- ------------------------------------------------------------------------------
6,994,563
- ------------------------------------------------------------------------------
ENERGY -- 2.3%
2,900,000 Atlantic Richfield Co., 9.875% due 3/1/16...... 3,519,875
- ------------------------------------------------------------------------------
FINANCIAL SERVICES -- 8.0%
2,400,000 Continental Corp., 8.375% due 8/15/12.......... 2,409,000
3,500,000 GE Global Insurance, 7.000% due 2/15/26........ 3,189,375
3,700,000 Met Life Surplus Note, 7.800% due 11/1/25...... 3,445,625
3,000,000 Nationwide CSN Trust, 9.875% due 2/15/25....... 3,202,500
- ------------------------------------------------------------------------------
12,246,500
- ------------------------------------------------------------------------------
GAS TRANSMISSIONS -- 2.3%
Columbia Gas Systems, Inc., 7.320% due
3,750,000 11/28/10....................................... 3,487,500
- ------------------------------------------------------------------------------
HEALTHCARE -- 2.1%
3,500,000 Columbia/HCA Healthcare, 7.190% due 11/15/15... 3,272,500
- ------------------------------------------------------------------------------
INDUSTRIAL -- 5.6%
2,850,000 Ogden Corp., 9.250% due 3/1/22................. 3,110,063
2,000,000 Procter & Gamble Co., 9.360% due 1/1/21........ 2,362,500
Time Warner Entertainment LP, 8.375% due
3,300,000 7/15/33........................................ 3,135,000
- ------------------------------------------------------------------------------
8,607,563
- ------------------------------------------------------------------------------
TECHNOLOGY -- 1.8%
International Business Machines Corp., 7.000%
3,000,000 due 10/30/25................................... 2,703,750
- ------------------------------------------------------------------------------
TELEPHONE -- 1.7%
3,000,000 New York Telephone Co., 6.700% due 11/1/23..... 2,595,000
- ------------------------------------------------------------------------------
UTILITY-ELECTRIC -- 6.5%
Citizens Utilities Co.:
2,000,000 7.600% due 6/1/06.............................. 2,030,000
1,500,000 7.450% due 7/1/35.............................. 1,415,625
Tennessee Valley Authority:
2,700,000 8.250% due 4/15/42............................. 2,774,250
4,075,000 7.250% due 7/15/43............................. 3,692,969
- ------------------------------------------------------------------------------
9,912,844
- ------------------------------------------------------------------------------
TOTAL CORPORATE BONDS (Cost -- $55,054,625).... 53,340,095
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
10
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LONG-TERM BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS -- 3.3%
INDUSTRIAL -- 1.6%
$ 2,596,826 Federal Express Corp., 7.630% due 1/5/14........ $ 2,476,723
- -------------------------------------------------------------------------------
TELEPHONE -- 1.7%
US West Communications Inc., 7.200% due
3,000,000 11/10/26........................................ 2,662,500
- -------------------------------------------------------------------------------
TOTAL CONVERTIBLE BONDS (Cost -- $5,299,336).... 5,139,223
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.7%
2,546,000 Chase Manhattan Bank, 5.188% due 9/3/96;
Proceeds at maturity -- $2,547,468;
(Fully collateralized by U.S. Treasury Bill due
10/17/96;
Market value -- $2,597,987) (Cost --
$2,546,000).................................... 2,546,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$158,446,249**)............................... $153,152,729
- -------------------------------------------------------------------------------
</TABLE>
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART APPEARS HERE]
CLASSIFICATION OF INVESTMENTS
Repurchasing Agreement 1.7%
U.S. Treasury Obligations 60.2%
Convertible Bonds 3.3%
Corporate Bonds 34.8%
SEE NOTES TO FINANCIAL STATEMENTS.
11
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
MUNICIPAL BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <C> <S> <C>
MUNICIPAL BONDS AND NOTES -- 90.6%
ALABAMA -- 2.5%
$1,200,000 AAA Alabama Water Pollution Control Authority,
Revolving Loan, Series A, AMBAC-Insured,
5.250% due 8/15/10............................ $ 1,144,500
- --------------------------------------------------------------------------------
COLORADO -- 2.0%
1,000,000 AA Colorado Springs, CO Utilities Revenue Bonds,
Series A, 5.125% due 11/15/18................. 901,250
- --------------------------------------------------------------------------------
CONNECTICUT -- 4.3%
1,000,000 AA+ Connecticut State Clean Water Fund, Sewer
Improvement Revenue, 5.750% due 12/1/13....... 1,000,000
1,000,000 AA- Connecticut State Special Tax Obligation,
Series A, 5.400% due 9/1/10................... 971,250
- --------------------------------------------------------------------------------
1,971,250
- --------------------------------------------------------------------------------
GEORGIA -- 2.4%
1,000,000 AAA Atlanta, GA Airport Facilities Revenue, 6.500%
due 1/1/06.................................... 1,095,000
- --------------------------------------------------------------------------------
FLORIDA -- 8.7%
1,200,000 AA Florida State Board of Education, Series E,
5.700% due 6/1/14............................. 1,195,500
2,000,000 Aa* Orlando, FL Utilities Commission, Water and
Electricity Revenue, 5.000% due 10/1/14....... 1,815,000
1,000,000 Aa* St. Petersburg, FL Public Utilities Revenue,
Water and Sewer Revenue, 5.600% due 10/1/15... 977,500
- --------------------------------------------------------------------------------
3,988,000
- --------------------------------------------------------------------------------
ILLINOIS -- 2.1%
1,000,000 AAA Du Page County, IL Jail Revenue Refunding,
5.500% due 1/1/13............................. 967,500
- --------------------------------------------------------------------------------
INDIANA -- 4.1%
1,200,000 AAA Indiana State Office Commission, Health,
Hospital and Nursing Home Revenue, Series C,
AMBAC-Insured, 5.250% due 7/1/15.............. 1,105,500
750,000 AAA Indianapolis, IN Airport, 6.000% due 7/1/06.... 785,625
- --------------------------------------------------------------------------------
1,891,125
- --------------------------------------------------------------------------------
IOWA -- 5.9%
1,650,000 Aaa* Cedar Rapids, IA Revenue Bonds, Series A,
5.125%, due 6/1/13............................ 1,563,375
1,100,000 AA+ Des Moines, IA GO Bonds, Series A, 6.000% due
6/1/12........................................ 1,123,375
- --------------------------------------------------------------------------------
2,686,750
- --------------------------------------------------------------------------------
MARYLAND -- 7.6%
1,500,000 Aa* Harford County, MD Public Improvement Revenue,
4.900% due 12/1/11............................ 1,383,750
1,000,000 AA Maryland Water Quality Financing
Administration, Revolving Loan, Series A,
5.500% due 9/1/11(a).......................... 983,750
1,200,000 Aa1* Washington, MD Suburban Sanitation District, GO
Bonds Unlimited, 5.000% due 6/1/12............ 1,113,000
- --------------------------------------------------------------------------------
3,480,500
- --------------------------------------------------------------------------------
MASSACHUSETTS -- 4.6%
1,000,000 A+ Commonwealth of Massachusetts, Consolidated
Loan, 6.000% due 6/1/13....................... 1,016,250
1,100,000 Aa* Massachusetts State Water Pollution Abatement
Trust, 5.300% due 8/1/09(a)................... 1,075,250
- --------------------------------------------------------------------------------
2,091,500
- --------------------------------------------------------------------------------
MICHIGAN -- 5.2%
750,000 AA Michigan Municipal Bond Authority, Sewer
Revenue, Series A, 6.550% due 10/1/13......... 826,875
1,700,000 AA- Michigan State Public Power Agency, Revenue
Bonds, Series A, 5.250% due 1/1/18............ 1,527,875
- --------------------------------------------------------------------------------
2,354,750
- --------------------------------------------------------------------------------
NEVADA -- 2.3%
1,000,000 AAA Clark County, NV School District, 6.000% due
6/15/05....................................... 1,056,250
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
MUNICIPAL BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
NEW JERSEY -- 5.0%
$1,200,000 AAA Camden County, NJ Municipal Utilities
Authority, Sewer Revenue, FGIC-Insured,
5.000% due 7/15/09........................... $ 1,147,500
1,200,000 AAA New Jersey State Transportation Trust Fund,
Series A, MBIA-Insured, 5.000% due 12/15/11.. 1,125,000
- -------------------------------------------------------------------------------
2,272,500
- -------------------------------------------------------------------------------
NEW YORK -- 8.7%
2,000,000 Aa* New York State Environmental Facilities Corp.,
Series D, 5.875% due 6/15/14................. 1,995,000
1,000,000 A New York State Local Government Assistance
Corp., Series A, 5.900% due 4/1/13........... 1,006,250
1,000,000 AA Onondaga County, NY GO Bonds, 5.850% due
5/1/14....................................... 1,010,000
- -------------------------------------------------------------------------------
4,011,250
- -------------------------------------------------------------------------------
TEXAS -- 11.7%
1,500,000 Aa* Harris County, TX Municipal Utilities District
Revenue, 5.250% due 3/1/10(a)................ 1,445,625
2,000,000 Aa* Houston, TX Public Improvement Revenue
Refunding, 5.000% due 3/1/12................. 1,860,000
500,000 AAA San Antonio, TX Water Revenue, Series B, MBIA-
Insured, 6.500% due 5/15/10.................. 536,250
1,600,000 AAA Texas State Water Development Board Revenue,
5.250% due 7/15/15........................... 1,490,000
- -------------------------------------------------------------------------------
5,331,875
- -------------------------------------------------------------------------------
VIRGINIA -- 2.1%
1,000,000 Aa* Newport News, VA GO Bonds, Water, Series E,
5.150% due 1/1/10(a)......................... 961,250
- -------------------------------------------------------------------------------
WASHINGTON -- 6.5%
1,000,000 AAA Snohomish County, WA Public Utilities Revenue,
FGIC-Insured, 6.000% due 1/1/13.............. 1,015,000
1,000,000 Aa* Tacoma, WA Water Revenue Refunding, 5.500% due
12/1/13...................................... 967,500
1,000,000 AA Washington State, GO Bonds Unlimited, Series
B, 5.750% due 5/1/13......................... 1,001,250
- -------------------------------------------------------------------------------
2,983,750
- -------------------------------------------------------------------------------
WISCONSIN -- 4.9%
1,000,000 AA Green Bay, WI GO Bonds, Series B, 5.900% due
4/1/10....................................... 1,018,750
1,300,000 AA Wisconsin State GO Bonds, Series A, 5.000% due
5/1/11....................................... 1,209,000
- -------------------------------------------------------------------------------
2,227,750
- -------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS AND NOTES (Cost --
$42,277,848)................................ 41,416,750
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
MUNICIPAL BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <C> <S> <C>
SHORT-TERM MUNICIPAL BONDS AND NOTES(B) -- 9.4%
ARIZONA -- 3.3%
$1,500,000 P-1* Maricopa, AZ PCR, Series 1994 D, 3.750% due
5/1/29...................................... $ 1,500,000
- ------------------------------------------------------------------------------
NEW YORK -- 0.2%
100,000 VMIG 1* New York City, NY GO Bonds Unlimited, Series
E4, 3.700% due 8/1/21....................... 100,000
- ------------------------------------------------------------------------------
PUERTO RICO -- 5.9%
2,700,000 VMIG 1* Puerto Rico Government Development Bank,
3.100% due 12/1/15.......................... 2,700,000
- ------------------------------------------------------------------------------
TOTAL SHORT-TERM MUNICIPAL BONDS AND NOTES
(Cost -- $4,300,000)......................... 4,300,000
- ------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$46,577,848**).............................. $45,716,750
- ------------------------------------------------------------------------------
</TABLE>
(a) Security segregated by Custodian for open purchase commitment.
(b) Variable rate obligation payable at par on demand at any time on no more
than seven days notice.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART APPEARS HERE]
CLASSIFICATION OF INVESTMENTS
Texas 11.7%
Michigan 5.2%
New York 8.9%
Florida 8.7%
Maryland 7.6%
New Jersey 5.0%
Wisconsin 4.9%
Washington 6.5%
Iowa 5.9%
Other States & Puerto Rico 35.6%
SEE NOTES TO FINANCIAL STATEMENTS.
14
<PAGE>
BOND RATINGS
All ratings are by Standard & Poor's Corporation ("Standard & Poor's"), except
that those identified by an asterisk (*) are rated by Moody's Investors
Service Inc. ("Moodys"). The definitions of the applicable rating symbols are
set forth below:
Standard & Poor's--Rating from "AA" to "BB" may be modified by the addition of
a plus (+) or a minus (-) sign to show relative standings within the major
rating categories.
AAA--Debt rated "AAA" has the highest rating assigned by Standard & Poor's.
Capacity to pay interest and repay principal is extremely strong.
AA --Debt rated "AA" has a very strong capacity to pay interest and repay
principal and differs from the highest rated issue only in a small
degree.
A --Debt rated "A" has a strong capacity to pay interest and repay
principal although it is somewhat more susceptible to the adverse
effects of changes in circumstances and economic conditions than debt in
higher rated categories.
Moody's--Numerical modifiers 1, 2, and 3 may be applied to each generic rating
from "Aa" to "B", where 1 is the highest and 3 the lowest rating within its
generic category.
Aaa--Bonds that are rated "Aaa" are judged to be of the best quality. They
carry the smallest degree of investment risk and are generally referred
to as "gilt edge." Interest payments are protected by a large or by an
exceptionally stable margin and principal is secure. While the various
protective elements are likely to change, such changes as can be
visualized are most unlikely to impair the fundamentally strong position
of such issues.
Aa --Bonds that are rated "Aa" are judged to be of high quality by all
standards. Together with the "Aaa" group they comprise what are
generally known as high grade bonds. They are rated lower than the best
bonds because margins of protection may not be as large as in "Aaa"
securities or fluctuation of protective elements may be of greater
amplitude or there may be other elements present which make the long-
term risks appear somewhat larger than in "Aaa" securities.
A --Bonds that are rated "A" possess many favorable investment attributes
and are to be considered as upper medium grade obligations. Factors
giving security to principal and interest are considered adequate but
elements may be present which suggest a susceptibility to impairment
some time in the future.
NR --Indicates that the bond is not rated by Standard & Poor's or Moody's.
SHORT-TERM SECURITY RATINGS
VMIG 1 --Moody's highest rating for issues having demand feature -- variable-
rate demand obligation (VRDO).
P-1 --Moody's highest rating for commercial paper and for VRDO prior to the
advent of the VMIG 1 rating.
SECURITY DESCRIPTIONS
AMBAC --American Municipal Bond Assurance Corporation
FGIC --Financial Guaranty Insurance Corporation
GO --General Obligation
MBIA --Municipal Bond Investors Assurance Corporation
PCR --Pollution Control Revenue
15
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
MORTGAGE BACKED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
MORTGAGE-BACKED SECURITIES -- 91.4%
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 30.8%
$ 3,264,718 FNMA, 5.500% due 11/1/08....................... $ 2,994,334
4,854,490 FNMA, 6.000% due 9/1/08 - 9/1/09............... 4,419,092
6,540,803 FNMA, 6.500% due 3/1/09 - 8/1/23............... 6,139,785
3,937,598 FNMA, 7.000% due 1/1/24........................ 3,749,303
7,334,455 FNMA, 7.500% due 12/1/06 - 6/1/23.............. 7,183,230
5,221,923 FNMA, 8.000% due 9/1/02 - 12/1/22.............. 5,227,425
1,812,361 FNMA, 8.500% due 6/1/06 - 8/1/17............... 1,847,175
3,545,999 FNMA, 9.000% due 9/1/97 - 3/1/18............... 3,681,364
884,873 FNMA, 9.500% due 4/1/01 - 11/1/21.............. 938,337
109,731 FNMA, 10.000% due 1/1/21....................... 118,750
360,556 FNMA, 10.750% due 10/1/12...................... 397,514
178,871 FNMA, 12.500% due 6/1/15....................... 203,130
- ------------------------------------------------------------------------------
36,899,439
- ------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 40.8%
2,015,596 FHLMC, 5.500% due 10/1/97 - 7/1/98............. 1,932,455
1,683,518 FHLMC, 6.500% due 7/1/23....................... 1,559,359
20,329,997 FHLMC, 7.000% due 11/15/19 - 5/1/26............ 19,386,208
3,929,484 FHLMC, 7.500% due 12/1/12 - 8/1/23............. 3,844,725
11,284,771 FHLMC, 8.000% due 5/1/06 - 2/1/22.............. 11,314,656
6,265,533 FHLMC, 8.500% due 12/1/06 - 2/1/18............. 6,386,897
1,494,299 FHLMC, 9.000% due 12/1/04 - 7/1/11............. 1,546,798
1,364,930 FHLMC, 9.500% due 10/1/08 - 8/1/16............. 1,451,085
468,161 FHLMC, 10.000% due 4/1/09 - 10/1/09............ 504,149
254,099 FHLMC, 10.250% due 11/3/03 - 2/1/10............ 275,299
555,684 FHLMC, 11.000% due 4/1/00 - 10/1/00............ 585,030
107,172 FHLMC, 11.500% due 10/1/15..................... 119,965
- ------------------------------------------------------------------------------
48,906,626
- ------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 19.8%
8,664,265 GNMA I, 7.000% due 4/15/23 - 3/15/26........... 8,225,629
1,007,766 GNMA I, 8.000% due 1/15/14 - 9/15/22........... 1,008,703
370,160 GNMA I, 8.500% due 5/15/17..................... 378,256
371,362 GNMA I, 9.000% due 10/15/16.................... 387,609
761,739 GNMA I, 9.500% due 12/15/16 - 8/15/17.......... 812,441
246,974 GNMA I, 11.000% due 7/15/10 - 9/15/10.......... 275,915
8,605,283 GNMA II, 6.500% due 12/20/23 - 5/20/24......... 7,876,502
1,201,141 GNMA II, 7.000% due 11/20/16................... 1,134,322
2,075,247 GNMA II, 8.500% due 6/20/16 - 1/20/17.......... 2,105,070
1,421,114 GNMA II, 9.000% due 4/20/17 - 11/20/21......... 1,472,630
- ------------------------------------------------------------------------------
23,677,077
- ------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$112,792,803)................................. 109,483,142
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
MORTGAGE BACKED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 8.6%
$10,328,000 Chase Manhattan Bank, 5.188% due 9/3/96;
Proceeds at maturity -- $10,333,954;
(Fully collateralized by U.S. Treasury Bill due
10/17/96;
Market value -- $10,538,887) (Cost --
$10,328,000)................................... $ 10,328,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$123,120,803**)............................... $119,811,142
- -------------------------------------------------------------------------------
</TABLE>
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART APPEARS HERE]
CLASSIFICATION OF INVESTMENTS
Repurchase Agreement 8.6%
GNMA 19.8%
FNMA 30.8%
FHLMC 40.8%
SEE NOTES TO FINANCIAL STATEMENTS.
17
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 69.3%
AEROSPACE -- 1.7%
16,600 Raytheon Co............................................ $ 854,900
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 7.9%
17,300 Foster Wheeler Corp.................................... 746,062
1,340 Imation Corp.+......................................... 31,658
10,200 International Business Machines Corp. ................. 1,166,625
14,400 Minnesota Mining & Manufacturing Co.................... 990,000
26,400 Parker Hannifin Corp................................... 1,029,600
- --------------------------------------------------------------------------------
3,963,945
- --------------------------------------------------------------------------------
CHEMICAL -- 4.8%
22,000 ConAgra Inc............................................ 926,750
55,000 Hanson PLC, Sponsored ADR.............................. 694,375
14,300 Kerr McGee Corp. ...................................... 820,463
- --------------------------------------------------------------------------------
2,441,588
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 1.7%
29,000 Masco Corp............................................. 844,625
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 9.9%
40,600 American Greetings Corp., Class A Shares............... 1,045,450
11,700 Eastman Kodak Co....................................... 848,250
14,400 Kimberly Clark Corp. .................................. 1,128,600
11,900 Philip Morris Cos., Inc. .............................. 1,068,021
17,400 Whirlpool Corp......................................... 852,600
- --------------------------------------------------------------------------------
4,942,921
- --------------------------------------------------------------------------------
CONTAINERS -- 1.8%
19,500 Crown Cork and Seal Inc. .............................. 911,625
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 8.0%
14,717 CoreStates Financial Corp.............................. 608,916
17,899 Fleet Financial Group Inc. ............................ 747,317
26,900 H.F. Ahmanson & Co..................................... 679,225
28,700 H&R Block Inc. ........................................ 717,500
19,400 Providian Corp......................................... 802,675
11,300 Summit Bancorp......................................... 437,875
- --------------------------------------------------------------------------------
3,993,508
- --------------------------------------------------------------------------------
HEALTHCARE -- 3.9%
13,900 Ciba Geigy AG, Sponsored ADR........................... 879,175
25,660 Pharmacia & Upjohn Inc................................. 1,077,720
- --------------------------------------------------------------------------------
1,956,895
- --------------------------------------------------------------------------------
INSURANCE -- 1.4%
13,600 Aon Corp............................................... 686,800
- --------------------------------------------------------------------------------
OIL & GAS -- 7.4%
14,800 Elf Aquitaine, Sponsored ADR........................... 540,200
6,000 Mobil Corp............................................. 676,500
21,200 Repsol S.A., Sponsored ADR............................. 691,650
2,200 Royal Dutch Petroleum Co............................... 328,625
7,750 Shell Transportation and Trading Co. ADR............... 678,125
37,000 USX Marathon Group..................................... 772,375
- --------------------------------------------------------------------------------
3,687,475
- --------------------------------------------------------------------------------
PAPER PRODUCTS -- 1.8%
22,200 International Paper Co................................. 888,000
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
PUBLISHING -- 1.2%
8,700 Gannett Co., Inc....................................... $ 582,900
- --------------------------------------------------------------------------------
RECREATION -- 1.9%
44,500 Brunswick Corp......................................... 940,063
- --------------------------------------------------------------------------------
RETAIL -- 4.3%
31,100 American Stores Co..................................... 1,278,988
19,400 May Department Stores Co. ............................. 882,700
- --------------------------------------------------------------------------------
2,161,688
- --------------------------------------------------------------------------------
TECHNOLOGY -- 2.4%
22,500 Xerox Corp. ........................................... 1,234,688
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.8%
5,000 British Telecom PLC, Sponsored ADR..................... 293,125
5,000 Tele Danmark A/S ADR................................... 123,750
- --------------------------------------------------------------------------------
416,875
- --------------------------------------------------------------------------------
TELEPHONE -- 1.4%
15,000 SBC Communications, Inc. .............................. 699,375
- --------------------------------------------------------------------------------
TRANSPORTATION -- 5.0%
9,000 Burlington Northern Santa Fe........................... 720,000
26,000 Ryder Systems Inc...................................... 737,750
14,700 Union Pacific Corp..................................... 1,071,263
- --------------------------------------------------------------------------------
2,529,013
- --------------------------------------------------------------------------------
UTILITIES -- 0.5%
10,000 MCI Communications..................................... 251,250
- --------------------------------------------------------------------------------
VISION CARE AND INSTRUMENTS -- 1.5%
22,300 Bausch & Lomb Inc. .................................... 738,688
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $31,050,489).............. 34,726,822
- --------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY NOTES -- 13.8%
U.S. Treasury Notes:
$ 700,000 7.125% due 10/15/98.................................... 710,920
900,000 6.375% due 1/15/99..................................... 899,604
600,000 7.000% due 4/15/99..................................... 607,626
600,000 6.375% due 7/15/99..................................... 598,308
1,650,000 6.375% due 1/15/00..................................... 1,639,754
2,600,000 5.750% due 8/15/03..................................... 2,443,766
- --------------------------------------------------------------------------------
TOTAL U.S. TREASURY NOTES (Cost -- $7,176,033)......... 6,899,978
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.6%
$ 250,000 Federal Home Loan Banks, Consolidation Bonds,
6.700% due 4/28/98................................... $ 251,088
247,696 Federal Home Loan Mortgage Corp.:
Group #E6-0341, 7.500% due 4/1/10.................... 247,387
Multi-Class Mortgage PC:
300,000 7.000% due 8/15/06................................... 295,275
350,000 7.500% due 7/15/22................................... 347,452
Government National Mortgage Association:
369,618 9.000% due 7/20/16................................... 383,017
222,828 9.000% due 3/15/20................................... 232,576
345,870 9.000% due 3/20/20................................... 361,002
247,428 9.000% due 5/15/20................................... 258,253
704,748 9.000% due 6/15/20................................... 735,580
162,394 9.000% due 6/15/21................................... 169,498
519,855 9.000% due 6/15/21................................... 542,599
140,934 9.000% due 6/15/21................................... 147,100
284,843 8.500% due 12/15/21.................................. 291,073
510,892 9.000% due 4/15/22................................... 533,243
- ------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost --
$4,862,043)......................................... 4,795,143
- ------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 5.8%
100,000 Dean Witter Discover & Co., Note,
6.000% due 3/1/98.................................... 99,250
Ford Motor Credit Co., Notes:
150,000 5.625% due 12/15/98.................................. 146,812
200,000 7.250% due 5/15/99................................... 202,000
400,000 5.750% due 1/25/01................................... 379,000
400,000 Household Finance Co.,
6.450% due 3/15/01................................... 391,000
600,000 NationsBank Corp., Sr. Note,
5.375% due 4/15/00................................... 569,250
100,000 Norwest Corp., Bond,
5.750% due 3/15/98................................... 98,875
200,000 Ontario Province, CDA,
5.700% due 10/1/97................................... 199,000
100,000 Philip Morris Cos., Inc., Note,
7.375% due 2/15/99................................... 100,875
200,000 Salomon Brothers, Series C, Medium Term Note,
6.750% due 2/15/00................................... 196,750
400,000 Texas Instruments,
6.875% due 7/15/00................................... 398,500
100,000 Wal-Mart Stores Inc., Sr. Note,
5.500% due 3/1/98.................................... 98,500
- ------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost --
$2,948,020)......................................... 2,879,812
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 1.5%
Chase Manhattan Bank, 5.188% due 9/3/96; Proceeds at
$776,000 maturity -- $776,447;
(Fully collateralized by U.S. Treasury Bill due
10/17/96;
Market value -- $791,845) (Cost -- $776,000)........... $ 776,000
- ------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $46,812,585**)..... $50,077,755
- ------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART APPEARS HERE]
CLASSIFICATION OF INVESTMENTS
U.S. Government Agency Obligations 9.6%
U.S. Treasury Notes 13.8%
Repurchase Agreement 1.5%
Other Common Stocks 36.1%
Corporate Bonds & Notes 5.8%
Consumer Products 9.9%
Capital Goods 7.9%
Oil & Gas 7.4%
Financial Services 8.0%
SEE NOTES TO FINANCIAL STATEMENTS.
21
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 98.9%
BASIC INDUSTRIES -- 7.4%
57,700 Air Products & Chemicals, Inc. ........................ $ 3,159,075
16,100 AK Steel Holding Corp. ................................ 599,725
35,000 Albemarle Corp. ....................................... 564,375
176,570 Aluminum Co. of America................................ 10,969,411
156,100 Canadian Pacific Ltd. ................................. 3,512,250
53,700 Case Corp. ............................................ 2,443,350
73,200 Caterpillar Inc. ...................................... 5,041,650
56,400 Cyprus Amax Minerals Co. .............................. 1,198,500
111,500 Dow Chemical Co. ...................................... 8,892,125
169,400 E.I. du Pont de Nemours & Co. ......................... 13,911,975
56,900 Georgia Pacific Corp. ................................. 4,231,937
124,200 Great Lakes Chemical Corp. ............................ 7,141,500
146,653 Mark IV Industries, Inc. .............................. 3,153,040
110,000 Pharmacia & Upjohn, Inc. .............................. 4,620,000
60,800 Phelps Dodge Corp. .................................... 3,678,400
70,700 Reynolds Metals Co. ................................... 3,782,450
57,900 Rohm & Haas Co. ....................................... 3,618,750
15,700 Service Corp. International............................ 885,087
196,500 Terra Industries, Inc. ................................ 2,603,625
122,300 Union Carbide Corp. ................................... 5,289,475
100,000 USX-U.S. Steel Group, Inc. ............................ 2,750,000
56,500 Weyerhaeuser Co. ...................................... 2,521,313
134,700 Witco Corp. ........................................... 4,074,675
199,500 W.R. Grace & Co. ...................................... 13,092,188
- --------------------------------------------------------------------------------
111,734,876
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 8.3%
41,500 Armstrong World Industries, Inc. ...................... 2,567,812
29,400 Avnet, Inc. ........................................... 1,374,450
212,100 Boeing Co. ............................................ 19,195,050
231,600 Cooper Industries, Inc. ............................... 9,379,800
37,600 Crane Co. ............................................. 1,504,000
99,100 Dana Corp. ............................................ 2,973,000
180,500 Deere & Co. ........................................... 7,174,874
65,900 Eaton Corp. ........................................... 3,649,213
66,700 Echlin, Inc............................................ 2,034,350
38,000 General Dynamics Corp. ................................ 2,436,750
107,800 Ingersoll Rand Co. .................................... 4,608,450
37,300 Johnson Controls, Inc. ................................ 2,629,650
101,703 Lockheed Corp. ........................................ 8,555,765
135,600 McDonnell Douglas Corp. ............................... 6,796,950
62,900 Northrop Grumman Corp. ................................ 4,513,075
29,300 PACCAR, Inc. .......................................... 1,325,825
79,500 Parker Hannifin Corp. ................................. 3,100,500
131,700 Raytheon Co. .......................................... 6,782,550
69,300 Rockwell International Corp. .......................... 3,603,600
80,400 Sundstrand Corp. ...................................... 3,004,950
62,500 Textron, Inc. ......................................... 5,335,938
45,100 TRW, Inc. ............................................. 4,171,750
124,200 United Technologies Corp. ............................. 14,003,550
38,600 Vulcan Materials Co. .................................. 2,233,975
44,000 Warner-Lambert Co. .................................... 2,618,000
- --------------------------------------------------------------------------------
125,573,827
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER DURABLES -- 3.5%
265,994 Chrysler Corp. ........................................ $ 7,747,075
44,300 Cummins Engine, Inc. .................................. 1,666,788
462,800 Ford Motor Co. ........................................ 15,503,800
259,300 General Motors Corp. .................................. 12,900,175
31,100 General Motors Corp., Class H Shares................... 1,737,712
131,800 Goodyear Tire & Rubber Co. ............................ 6,013,375
166,600 Masco Corp. ........................................... 4,852,225
74,300 Owens-Illinois, Inc.+.................................. 1,142,363
17,100 Snap On, Inc. ......................................... 780,187
23,900 Whirlpool Corp. ....................................... 1,171,100
- --------------------------------------------------------------------------------
53,514,800
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 5.0%
56,900 American Brands, Inc. ................................. 2,311,563
107,800 American Greetings Corp., Class A Shares............... 2,775,850
227,100 American Stores Co. New................................ 9,339,487
732,792 Archer Daniels Midland Co. ............................ 13,007,074
74,100 Black & Decker Corp. .................................. 2,926,950
48,300 Bob Evans Farms, Inc. ................................. 706,388
48,400 Briggs & Stratton Corp. ............................... 2,105,400
136,400 Brunswick Corp. ....................................... 2,881,450
36,700 Eastman Kodak Co. ..................................... 2,660,750
12,900 Fruit of the Loom, Inc., Class A Shares+............... 357,974
94,400 Genuine Parts Co. ..................................... 4,047,400
57,500 Hasbro, Inc. .......................................... 2,113,125
41,900 Hershey Foods Corp. ................................... 3,650,538
157,800 IBP, Inc. ............................................. 3,688,574
56,400 Liz Claiborne, Inc. ................................... 1,959,900
463,080 RJR Nabisco Holdings Corp. ............................ 12,213,735
128,300 UST Inc. .............................................. 3,849,000
82,600 Union Planters Corp. .................................. 2,715,475
43,500 Universal Foods Corp. ................................. 1,245,188
62,200 Wendys International, Inc. ............................ 1,259,550
- --------------------------------------------------------------------------------
75,815,371
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 1.5%
109,100 Beverly Enterprises, Inc.+............................. 1,118,275
152,400 Dun & Bradstreet Corp. ................................ 8,782,050
74,800 Host Marriott Corp. ................................... 1,028,500
9,920 Host Marriott Services Co.+............................ 69,440
11,300 National Services Industries, Inc. .................... 429,400
42,600 R.R. Donnelley & Sons, Co. ............................ 1,389,825
96,800 Spelling Entertainment Group, Inc.+.................... 677,600
127,000 U.S. West Media Communications......................... 3,746,500
63,500 U.S. West Media Group.................................. 1,150,938
149,200 Viacom Inc.+........................................... 4,669,050
- --------------------------------------------------------------------------------
23,061,578
- --------------------------------------------------------------------------------
DIVERSIFIED -- 1.0%
25,750 AFLAC, Inc. ........................................... 885,156
84,700 Allied Signal Inc. .................................... 5,230,225
30,000 General Electric Co. .................................. 2,493,750
41,900 Honeywell, Inc. ....................................... 2,435,438
45,900 ITT Corp.+............................................. 2,444,175
15,000 Minnesota Mining & Manufacturing Co. .................. 1,031,250
- --------------------------------------------------------------------------------
14,519,994
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
ENERGY -- 13.0%
29,700 Amerada Hess Corp. .................................... $ 1,510,988
273,000 Amoco Corp. ........................................... 18,837,000
19,700 Ashland Oil, Inc. ..................................... 731,363
129,400 Atlantic Richfield Co. ................................ 15,107,450
83,800 Cabot Corp. ........................................... 2,304,500
328,300 Chevron Corp. ......................................... 19,328,663
57,600 DTE Energy Co. ........................................ 1,641,600
534,100 Exxon Corp. ........................................... 43,462,388
18,000 Georgia Gulf Corp. .................................... 567,000
77,700 Halliburton Co. ....................................... 4,088,962
45,500 Kerr McGee Corp. ...................................... 2,610,562
52,066 MCN Corp. ............................................. 1,392,766
207,100 Mobil Corp. ........................................... 23,350,525
13,900 Murphy Oil Corp. ...................................... 608,125
75,000 Noble Drilling Corp.+.................................. 1,068,750
91,800 Occidental Petroleum Corp. ............................ 2,134,350
179,200 Panenergy Corp. ....................................... 5,936,000
364,100 Peco Energy Co. ....................................... 8,556,350
7,300 Pennzoil Co. .......................................... 389,637
55,800 Schlumberger Ltd. ..................................... 4,708,125
62,350 Sonat, Inc. ........................................... 2,751,194
19,300 Sun, Inc. ............................................. 455,962
82,000 Texaco, Inc. .......................................... 7,277,500
58,000 Tosco Corp. ........................................... 2,784,000
345,700 TransCanada Pipeline Ltd. ............................. 5,574,413
574,700 USX-Marathon Group..................................... 11,996,862
75,000 Valero Energy Corp. ................................... 1,584,375
89,800 Williams Companies, Inc. .............................. 4,478,774
- --------------------------------------------------------------------------------
195,238,184
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 17.0%
147,000 American Express Co. .................................. 6,431,250
94,000 American General Corp. ................................ 3,431,000
52,500 AmSouth Bancorp........................................ 2,067,187
174,900 Banc One Corp. ........................................ 6,711,787
84,800 Banc Ponce Corp. ...................................... 2,204,800
145,600 BankAmerica Corp. ..................................... 11,284,000
116,380 Bank of Boston Corp. .................................. 6,139,045
152,000 Bank of New York, Inc. ................................ 4,237,000
27,300 Bankers Trust New York Corp. .......................... 2,122,574
44,500 Barnett Banks, Inc. ................................... 2,920,313
158,659 Bear Stearns Cos., Inc. ............................... 3,708,654
32,700 Beneficial Corp. ...................................... 1,843,463
61,700 Boatmen's Bancshares, Inc. ............................ 3,285,525
46,200 Central Fidelity Banks, Inc. .......................... 1,085,700
195,604 Chase Manhattan Bank................................... 14,548,048
187,700 Citicorp, Inc. ........................................ 15,626,025
43,400 Coamerica, Inc. ....................................... 2,115,750
31,700 Comdisco, Inc. ........................................ 824,200
68,100 Compass Bancshares, Inc. .............................. 2,289,863
53,042 Corestates Financial Corp. ............................ 2,194,613
75,900 Countrywide Credit Industries, Inc. ................... 1,831,088
23,300 Crestar Financial Corp. ............................... 1,354,313
121,000 Dean Witter, Discover & Co. ........................... 6,050,000
9,500 Federal Home Loan Mortgage Corp. ...................... 839,563
58,300 Firstar Corp. ......................................... 2,754,675
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 17.0% (CONTINUED)
37,000 First Bank System, Inc. ............................... $ 2,377,250
202,695 First Chicago Corp. ................................... 8,639,874
92,300 First Commerce Corp. .................................. 3,299,725
22,100 First of America Bank Corp. ........................... 1,044,225
97,200 First SEC Corp. ....................................... 2,648,700
91,600 First Tennessee National Corp. ........................ 3,125,850
147,230 First Union Corp. ..................................... 9,404,316
16,500 First Virginia Banks, Inc. ............................ 684,750
294,926 Fleet Financial Group, Inc. ........................... 12,313,161
32,700 Golden West Financial Corp. ........................... 1,814,850
25,100 Great Western Financial Corp. ......................... 621,225
28,000 Household International................................ 2,219,000
79,893 Huntington Bancshares, Inc. ........................... 1,807,579
56,300 J.P. Morgan & Co., Inc. ............................... 4,933,288
95,000 Kansas City Southern Industries, Inc. ................. 3,847,500
80,200 KeyCorp................................................ 3,218,025
62,100 Lehman Brothers Holdings............................... 1,311,863
40,300 Marshall & Ilsley Corp. ............................... 1,108,250
79,000 Mellon Bank Corp. ..................................... 4,374,625
33,300 Mercantile Bancorp., Inc. ............................. 1,627,536
139,200 Merrill Lynch & Co., Inc. ............................. 8,526,000
99,200 Morgan Stanley Group, Inc. ............................ 4,736,800
139,900 National City Corp. ................................... 5,263,738
122,700 NationsBank Corp. ..................................... 10,444,836
22,800 New Plan Realty Trust.................................. 490,200
160,700 Norwest Corp. ......................................... 6,046,338
45,396 Old Kent Financial Corp. .............................. 1,832,864
35,001 Old National Bancorp. ................................. 1,286,287
132,600 PaineWebber Group, Inc. ............................... 2,734,874
100,000 PNC Bank Corp. ........................................ 3,125,000
24,300 Regions Financial Corp. ............................... 1,111,725
22,700 Republic New York Corp. ............................... 1,501,038
67,500 Salomon, Inc. ......................................... 3,037,500
164,200 Signet Banking Corp. .................................. 3,961,324
89,400 South Trust Corp. ..................................... 2,637,300
64,100 Standard Federal Bankcorp. ............................ 2,684,188
15,900 Star Banc Corp. ....................................... 1,252,125
68,100 SunTrust Banks, Inc. .................................. 2,613,338
85,200 U.S.T. Bancorp. ....................................... 3,258,900
26,000 Wachovia Corp. ........................................ 1,189,500
36,780 Washington Federal Savings, Inc. ...................... 813,757
87,100 Washington Mutual, Inc. ............................... 3,157,375
21,133 Wells Fargo & Co. ..................................... 5,256,834
- --------------------------------------------------------------------------------
255,283,869
- --------------------------------------------------------------------------------
HEALTHCARE -- 4.9%
227,600 Aetna Inc. ............................................ 15,050,050
142,200 American Home Products Corp. .......................... 8,425,350
81,400 Baxter International, Inc. ............................ 3,632,475
103,800 Becton Dickinson & Co. ................................ 4,242,825
220,940 Bristol-Myers Squibb Co. .............................. 19,387,485
57,092 Eli Lilly & Co. ....................................... 3,268,517
145,900 Mallinckrodt Group, Inc. .............................. 5,908,950
90,100 McKesson Corp. ........................................ 3,840,512
89,200 Meditrust.............................................. 3,055,100
144,600 Tenet Healthcare Corp.+................................ 3,036,600
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
HEALTHCARE -- 4.9% (CONTINUED)
38,400 United Healthcare Corp. +.............................. $ 1,483,200
70,370 Vencor, Inc.+.......................................... 2,207,859
- --------------------------------------------------------------------------------
73,538,923
- --------------------------------------------------------------------------------
INSURANCE -- 5.6%
5,518 Alleghany Corp. ....................................... 1,114,636
172,205 Allstate Corp. ........................................ 7,684,648
28,450 Aon Corp. ............................................. 1,436,725
113,900 Chubb Corp. ........................................... 5,054,313
62,100 CIGNA Corp. ........................................... 7,211,363
55,608 Cincinnati Financial Corp. ............................ 3,016,733
87,800 Conseco, Inc. ......................................... 3,687,600
33,600 General Resources Corp. ............................... 4,867,800
3,870 Highlands Insurance Group+............................. 73,530
148,400 ITT Hartford Group..................................... 7,828,100
27,900 ITT Industries, Inc. .................................. 638,213
33,050 Jefferson Pilot Corp. ................................. 1,697,944
37,100 Leucadia National Corp.+............................... 844,025
75,100 Lincoln National Corp. ................................ 3,323,175
54,300 Loews Corp. ........................................... 4,058,925
46,400 MBIA, Inc. ............................................ 3,781,600
47,100 Mercury General Corp. ................................. 2,119,500
110,100 Old Republic International Corp. ...................... 2,449,725
99,350 Providian Corp. ....................................... 4,110,606
113,000 SAFECO Corp. .......................................... 3,743,125
184,400 St. Paul Cos., Inc. ................................... 9,542,700
38,200 Transamerica Corp. .................................... 2,602,375
38,700 UNUM Corp. ............................................ 2,457,450
21,200 U.S. Life Corp. ....................................... 620,100
- --------------------------------------------------------------------------------
83,964,911
- --------------------------------------------------------------------------------
MISCELLANEOUS -- 0.2%
183,800 Health & Retirement Properties Trust................... 3,239,475
18,700 Kimco Realty Corp. .................................... 542,300
- --------------------------------------------------------------------------------
3,781,775
- --------------------------------------------------------------------------------
PAPER AND PAPER PRODUCTS -- 2.2%
54,200 Bowater, Inc. ......................................... 1,951,200
33,400 Consolidated Papers, Inc. ............................. 1,720,100
3,750 Crown Vantage, Inc. +.................................. 38,438
38,500 International Paper Co. ............................... 1,540,000
348,900 James River Corp. ..................................... 9,071,400
30,186 Kimberly Clark Corp. .................................. 2,365,828
117,333 Mead Corp. ............................................ 6,717,314
51,700 Temple Inland, Inc. ................................... 2,552,687
9,700 Union Camp Corp. ...................................... 470,450
12,500 Union Pacific Corp. ................................... 910,938
46,850 Westvaco Corp. ........................................ 1,341,081
61,300 Willamette Industries, Inc. ........................... 3,785,275
- --------------------------------------------------------------------------------
32,464,711
- --------------------------------------------------------------------------------
POLLUTION CONTROL -- 1.0%
163,000 Browning Ferris Industries, Inc. ...................... 4,156,500
379,300 WMX Technologies, Inc. ................................ 11,995,363
- --------------------------------------------------------------------------------
16,151,863
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
PUBLISHING -- 0.4%
14,600 Central Newspapers Inc. .............................. $ 532,900
98,400 Knight Ridder, Inc. .................................. 3,321,000
64,828 Times Mirror Co., Class A Shares...................... 2,811,915
- -------------------------------------------------------------------------------
6,665,815
- -------------------------------------------------------------------------------
RETAIL -- 3.4%
8,400 Circuit City Stores, Inc. +........................... 264,600
186,900 Dayton Hudson Corp. .................................. 6,448,050
101,900 Dillard Dept Stores, Inc., Class A Shares............. 3,464,600
166,800 Federated Department Stores+.......................... 5,775,450
23,600 Great Atlantic & Pacific.............................. 631,300
14,400 Giant Food, Inc., Class A Shares...................... 484,200
55,600 Heilig Meyers Co. .................................... 986,900
99,700 J.C. Penney, Inc. .................................... 5,271,638
39,300 KMart Corp.+.......................................... 393,000
181,364 Limited, Inc. ........................................ 3,355,234
16,300 Nordstrom, Inc. ...................................... 635,700
198,700 Price/Costco, Inc. +.................................. 3,949,163
49,100 Reebok International, Ltd. ........................... 1,767,600
225,700 Sears, Roebuck & Co. ................................. 9,930,800
28,900 Spiegel, Inc., Class A Shares, Non-Voting Shares+..... 241,585
60,600 Supervalu, Inc. ...................................... 1,704,375
45,000 Tandy Corp. .......................................... 1,985,625
62,600 VF Corp. ............................................. 3,677,750
- -------------------------------------------------------------------------------
50,967,570
- -------------------------------------------------------------------------------
TECHNOLOGY -- 5.2%
31,200 Advanced Micro Devices, Inc.+......................... 397,800
27,500 Arrow Electronics, Inc. +............................. 1,254,688
25,000 Cirrus Logic, Inc.+................................... 387,500
105,100 Compaq Computer+...................................... 5,951,288
47,800 Frontier Corp. ....................................... 1,410,100
30,000 General Signal Corp. ................................. 1,203,750
1,500 Imation Corp. +....................................... 35,438
266,500 International Business Machines Corp. ................ 30,480,937
37,100 Litton Industries, Inc.+.............................. 1,729,788
87,200 National Semiconductor Corp. +........................ 1,602,300
124,800 Pacific Telesis....................................... 4,040,400
109,100 Pitney Bowes, Inc. ................................... 5,264,074
95,000 Read Rite Corp. +..................................... 1,258,750
103,800 Seagate Technology Inc. +............................. 4,982,400
91,600 Storage Technology Corp. +............................ 3,469,350
58,300 Tektronix, Inc. ...................................... 2,259,125
98,600 Unisys Corp.+......................................... 579,275
26,800 Western Digital Corp. +............................... 941,350
192,600 Xerox Corp. .......................................... 10,568,925
- -------------------------------------------------------------------------------
77,817,238
- -------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 8.4%
41,666 360 Communications Co. +.............................. 994,776
144,100 Ameritech Corp. ...................................... 7,439,163
466,500 AT&T Corp. ........................................... 24,491,250
167,600 Bell Atlantic Corp. .................................. 9,427,500
276,400 Bell South Corp. ..................................... 10,019,500
565,700 GTE Corp. ............................................ 22,274,438
255,000 MCI Communications Corp. ............................. 6,406,875
552,000 NYNEX Corp. .......................................... 23,805,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS -- 8.4% (CONTINUED)
250,000 SBC Communications, Inc. .............................. $ 11,656,250
250,300 Sprint Corp. .......................................... 10,168,436
- --------------------------------------------------------------------------------
126,683,188
- --------------------------------------------------------------------------------
TRANSPORTATION -- 2.0%
37,100 Caliber Systems, Inc. ................................. 644,613
77,800 Conrail, Inc. ......................................... 5,300,125
28,200 Consolidated Freightways, Inc. ........................ 648,600
112,400 CSX Corp. ............................................. 5,690,250
48,900 Delta Air Lines, Inc. ................................. 3,465,787
60,000 Federal Express Corp. ................................. 4,492,500
38,800 Norfolk Southern Corp. ................................ 3,234,950
9,250 Roadway Express, Inc. ................................. 146,843
41,200 Southwest Airlines Co. ................................ 942,450
36,000 UAL Corp. ............................................. 1,728,000
89,700 XTRA Corp. ............................................ 3,890,738
- --------------------------------------------------------------------------------
30,184,856
- --------------------------------------------------------------------------------
UTILITIES -- 8.9%
23,900 Allegheny Power System, Inc. .......................... 708,038
63,000 Alltel Corp. .......................................... 1,779,750
62,200 American Electric Power, Inc. ......................... 2,581,300
11,200 Atlantic Energy, Inc. ................................. 198,800
108,600 Baltimore Gas & Electric Co. .......................... 2,823,600
112,500 Boston Edison Co. ..................................... 2,601,563
85,100 Carolina Power & Light Co. ............................ 2,967,863
147,057 Cinergy Corp. ......................................... 4,411,710
21,400 CIPSCO, Inc. .......................................... 759,700
56,700 CMS Energy Corp. ...................................... 1,693,913
33,500 Coastal Corp. ......................................... 1,327,438
62,200 Comsat Corp. .......................................... 1,407,275
168,900 Consolidated Edison Co., New York Inc. ................ 4,412,513
28,700 Delmarva Power & Light Co. ............................ 588,350
63,400 Dominion Resourses, Inc. .............................. 2,369,575
77,700 DPL Inc. .............................................. 1,835,663
109,950 DQE Inc. .............................................. 3,051,113
56,300 Duke Power Co. ........................................ 2,632,025
290,100 Edison International................................... 5,040,488
26,100 Enova Corp. ........................................... 597,038
445,200 Entergy Corp. New...................................... 11,296,950
80,200 Equitable Iowa Cos. New................................ 2,947,350
7,900 Equitable Resources, Inc. ............................. 226,138
41,800 Florida Progress Corp. ................................ 1,447,325
192,290 FPL Group, Inc. ....................................... 8,508,833
242,700 General Public Utilities Corp. ........................ 7,645,048
186,000 Houston Industries, Inc. .............................. 4,045,500
24,600 IPALCO Enterprises, Inc. .............................. 664,200
35,700 Kansas City Power & Light Co. ......................... 981,750
22,900 KU Energy Corp. ....................................... 678,413
75,500 LG&E Energy Corp. ..................................... 1,717,625
30,200 Montana Power Co. ..................................... 653,074
31,200 National Fuel Gas Co. ................................. 1,154,400
45,400 New England Electric System............................ 1,481,175
55,700 New York State Electric & Gas Corp. ................... 1,197,550
20,500 Niagara Mohawk Power Corp. ............................ 169,125
84,300 NIPSCO Industries, Inc. ............................... 3,119,100
37,900 Northeast Utilities.................................... 483,225
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
UTILITIES -- 8.9% (CONTINUED)
100 Northern States Power Co., Minnesota................. $ 4,563
18,100 Ohio Edison Co. ..................................... 380,100
18,000 Oklahoma Gas & Electric Co. ......................... 729,000
137,300 Pacific Gas & Electric Co. .......................... 3,106,413
113,000 Pacificorp........................................... 2,274,123
42,000 Pennsylvania Power & Lighting Co. ................... 945,000
125,900 Phillips Petroleum Co. .............................. 5,098,950
138,300 Pinnacle West Capital Corp. ......................... 3,976,125
41,500 Public Service Co. Colorado.......................... 1,478,437
30,600 Public Service Enterprise Group...................... 830,025
42,200 Puget Sound Power & Light Co......................... 965,324
91,300 Questar Corp. ....................................... 3,309,625
9,400 Rochester Gas & Electric Corp. ...................... 175,075
48,700 SCANA Corp. ......................................... 1,327,075
270,400 Southern Co. ........................................ 6,117,797
84,800 Texas Utilities Co. ................................. 3,476,800
51,700 Unicom Corp. ........................................ 1,189,100
23,500 Union Electric Co. .................................. 878,312
64,800 UtiliCorp United, Inc. .............................. 1,871,100
28,800 Washington Water Power Co. .......................... 532,800
33,500 Western Resources, Inc. ............................. 984,063
30,500 Wisconsin Energy Corp. .............................. 838,750
- ------------------------------------------------------------------------------
132,693,053
- ------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $1,284,175,049)......... 1,489,656,402
- ------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK -- 0.1%
174,800 RJR Nabisco Holdings Corp., Depository Shares,
Convertible Series C, Exchange $0.6012 (Cost --
$1,140,305)......................................... 939,550
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENTS -- 1.0%
$6,689,000 Chase Manhattan Bank, 5.188% due 9/3/96, Proceeds
at maturity -- $6,692,856;
(Fully collateralized by U.S. Treasury Bill due
10/17/96;
Market value -- $6,825,589)........................ $ 6,689,000
8,164,000 Chase Manhattan Bank, 5.188% due 9/3/96, Proceeds
at maturity -- $8,168,707;
(Fully collateralized by U.S. Treasury Bill due
10/17/96;
Market value -- $8,330,709)........................ 8,164,000
- --------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost -- $14,853,000).. 14,853,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,300,168,354**)................................ $1,505,448,952
- --------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART APPEARS HERE]
CLASSIFICATION OF INVESTMENTS
Repurchase Agreements 1.0%
Other Common Stocks 30.3%
Telecommunications 8.4%
Utilities 8.9%
Basic Industries 7.4%
Capital Goods 8.3%
Convertible Preferred Stocks 0.1%
Energy 13.0%
Financial Services 17.0%
Insurance 5.6%
SEE NOTES TO FINANCIAL STATEMENTS.
30
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 95.2%
BASIC INDUSTRIES -- 3.9%
73,300 Allied Signal, Inc.................................... $ 4,526,275
7,900 Apollo Group, Inc., Class A Shares.................... 201,450
67,400 Bemis, Inc............................................ 2,013,575
23,000 Corrections Corp. America............................. 741,750
11,500 Dow Chemical Corp..................................... 917,125
212,050 Engelhard Corp........................................ 4,320,518
65,900 Foster Wheeler Co. ................................... 2,841,938
40,000 Franklin Quest Co.+................................... 730,000
31,100 Great Lakes Chemical Corp............................. 1,788,250
18,300 Kimberly-Clark Corp................................... 1,434,263
40,200 Louisiana Pacific Corp................................ 874,350
20,500 Maxim Integrated Products, Inc. ...................... 629,094
293,200 Monsanto Co........................................... 9,419,050
64,900 Morton International, Inc............................. 2,409,413
146,200 Nalco Chemical Co..................................... 4,696,675
14,900 PPG Industries, Inc. ................................. 735,688
71,800 Praxair, Inc.......................................... 2,952,775
40 Schweitzer Mauduit International...................... 1,280
112,800 WMX Technologies, Inc................................. 3,567,300
83,700 Worthington Industries, Inc........................... 1,694,925
39,300 Xerox Corp. .......................................... 2,156,587
- --------------------------------------------------------------------------------
48,652,281
- --------------------------------------------------------------------------------
BROADCASTING -- 0.7%
87,700 British Sky Broadcasting Group........................ 4,702,913
45,525 Liberty Media, Class A Shares......................... 1,200,722
182,100 Tele-Communications, Inc., Class A Shares............. 2,708,738
- --------------------------------------------------------------------------------
8,612,373
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 5.8%
20,800 Altera Corp........................................... 915,200
96,400 Dover Corp............................................ 4,229,550
32,500 Fluor Corp............................................ 2,080,000
482,300 General Electric Co. ................................. 40,091,188
42,500 Illinois Tool Works, Inc.............................. 2,937,813
17,800 Minnesota Mining & Manufacturing Co. ................. 1,223,750
20,800 Newmont Mining Corp................................... 1,099,800
70,200 Nucor Corp............................................ 3,281,850
40,600 Owens-Corning Fiberglass Corp.+....................... 1,476,825
114,300 Pall Corp............................................. 2,686,050
88,650 Thermo Electron Corp. ................................ 3,512,755
123,200 Tyco International Ltd. .............................. 5,205,200
30,200 W.W. Grainger, Inc.................................... 2,038,500
- --------------------------------------------------------------------------------
70,778,481
- --------------------------------------------------------------------------------
COMPUTER SERVICES -- 3.7%
24,100 Adobe Systems, Inc.................................... 840,487
13,700 American Online, Inc.+................................ 414,425
57,900 Autodesk, Inc......................................... 1,331,700
164,200 Automatic Data Processing, Inc........................ 6,834,825
66,000 Bay Networks Inc...................................... 1,815,000
39,450 Cadence Design Systems, Inc. ......................... 1,168,705
105,200 Ceridian Corp.+....................................... 4,484,150
174,700 EMC Corp. -- MASS+.................................... 3,362,975
103,900 Electronic Data Systems............................... 5,662,550
15,000 Fore Systems, Inc.+................................... 532,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMPUTER SERVICES -- 3.7% (CONTINUED)
40,000 GTECH Holdings Corp.+................................. $ 1,110,000
1,780 Imation Corp.+........................................ 42,053
18,600 Intuit, Inc.+......................................... 678,900
37,400 Iomega Corp. ......................................... 579,700
64,000 McAfee Associates, Inc................................ 3,816,000
48,600 National Semiconductor Corp.+......................... 893,025
92,000 Quantum Corp. Delaware+............................... 1,414,500
12,400 Rational Software Corp................................ 660,300
6,900 Shiva Corp.+.......................................... 348,450
78,900 Sun Microsystems+..................................... 4,290,187
112,400 3Com Corp.+........................................... 5,254,700
- --------------------------------------------------------------------------------
45,535,132
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 0.9%
141,100 Corning, Inc. ........................................ 5,255,975
59,300 Masco Corp. .......................................... 1,727,113
20,800 Nike Inc., Class B Shares............................. 2,246,400
30,000 Tupperware Corp.+..................................... 1,312,500
- --------------------------------------------------------------------------------
10,541,988
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 13.7%
62,600 Avon Products, Inc.................................... 2,996,975
47,600 Campbell Soup Co...................................... 3,099,950
50,900 Clorox Co. ........................................... 4,765,513
30,700 CPC International, Inc................................ 2,114,463
793,400 Coca Cola Co. ........................................ 39,670,000
81,400 Colgate-Palmolive Co.................................. 6,613,750
50,500 ConAgra, Inc. ........................................ 2,127,313
72,000 Cooper Tire & Rubber Co............................... 1,404,000
39,700 Crown Cork & Seal, Inc. .............................. 1,855,975
1,460 Earthgrains Co. ...................................... 49,275
32,000 Estee Lauder Cos., Class A Shares..................... 1,376,000
28,600 General Mills, Inc. .................................. 1,573,000
170,500 Gillette Co........................................... 10,869,375
88,950 H.J. Heinz Co. ....................................... 2,801,925
43,400 International Flavors & Fragrances, Inc............... 1,866,200
86,800 International Paper Co. .............................. 3,472,000
11,800 Kellogg Co. .......................................... 796,500
82,343 Mattel, Inc........................................... 2,171,796
506,000 PepsiCo, Inc.......................................... 14,547,500
268,300 Philip Morris Cos., Inc............................... 24,079,924
37,300 Pioneer Hi Bred International......................... 2,056,163
161,000 Procter & Gamble Co. ................................. 14,308,875
48,200 Quaker Oats Co. ...................................... 1,584,575
52,300 Ralston-Purina Group.................................. 3,268,750
56,400 Rubbermaid, Inc....................................... 1,494,600
74,800 Sara Lee Corp......................................... 2,356,200
49,900 Sherwin-Williams Co. ................................. 2,183,125
46,700 Union Carbide Corp. .................................. 2,019,775
182,900 UST, Inc. ............................................ 5,487,000
106,700 Whitman Corp.......................................... 2,387,413
44,700 Wm. Wrigley Jr. Co. .................................. 2,419,387
- --------------------------------------------------------------------------------
167,817,297
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 3.6%
111,800 Accustaff, Inc.+........ $ 2,599,350
197,600 Alco Standard Corp...... 8,620,300
44,700 Cablevision Systems
Corp., Class A
Shares+................ 1,882,987
62,400 Ecolab, Inc............. 1,895,400
175,800 HFS, Inc.+.............. 10,526,025
146,000 John H. Harland Co. .... 3,668,250
166,650 La Quinta Inns Inc. .... 3,187,181
53,000 Pitney Bowes, Inc....... 2,557,250
97,200 Service Corp............ 5,479,650
85,300 Sysco Corp.............. 2,740,263
41,600 Vanguard Cellular
Systems, Inc., Class A
Shares+................ 795,600
- ------------------------------------------------------
43,952,256
- ------------------------------------------------------
ENERGY -- 3.4%
18,000 Atlantic Richfield...... 2,101,500
50,400 Burlington Resources,
Inc. .................. 2,148,300
7,800 Chesapeake Energy
Corp. ................. 419,250
307,300 Enron Corp.............. 12,330,413
92,100 Global Marine, Inc.+.... 1,323,937
57,100 Halliburton Co. ........ 3,004,887
102,600 Phillips Petroleum
Co. ................... 4,155,300
72,800 Pogo Producing Co. ..... 2,484,300
162,700 Republic Industries,
Inc.+.................. 4,250,537
61,000 Seagull Energy Corp.+... 1,098,000
51,300 Tenneco, Inc. .......... 2,552,175
42,300 Tosco Corp.............. 2,030,400
58,800 Unocal Corp............. 2,013,900
70,000 Varstar Resources,
Inc.................... 2,441,250
- ------------------------------------------------------
42,354,149
- ------------------------------------------------------
ENTERTAINMENT -- 3.1%
89,300 Bally Entertainment
Corp.+................. 2,433,425
70,800 Circus Circus
Enterprises, Inc.+..... 2,407,200
117,400 Harrahs Entertainment,
Inc.+.................. 2,230,600
35,800 HBO & Co................ 1,955,575
34,000 Hilton Hotels Corp. .... 3,633,750
36,600 King World
Productions+........... 1,290,150
25,000 Marriot International,
Inc.................... 1,371,875
137,800 Mirage Resorts, Inc.+... 3,203,850
29,450 Promus Cos., Inc.+...... 887,181
105,500 Time Warner, Inc. ...... 3,521,063
69,000 Viacom, Inc., Class B
Shares+................ 2,173,500
220,034 Walt Disney Co. ........ 12,541,937
- ------------------------------------------------------
37,650,106
- ------------------------------------------------------
FINANCIAL SERVICES -- 9.4%
11,297 Aetna, Inc.............. 747,014
111,400 Alexander & Alexander
Services, Inc. ........ 1,754,550
49,200 American Express Co..... 2,152,500
107,150 American International
Group, Inc............. 10,179,250
68,100 Associates First
Capital................ 2,689,950
176,300 H&R Block, Inc.......... 4,407,500
51,900 Dean Witter, Discover &
Co..................... 2,595,000
80,300 Federal Home Loan
Mortgage Corp.......... 7,096,513
529,600 Federal National
Mortgage Association... 16,417,600
267,515 First Data Corp. ....... 20,866,170
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 9.4% (CONTINUED)
55,200 First USA, Inc........................................ $ 2,925,600
9,300 General Resources Corp. .............................. 1,347,338
101,600 Green Tree Financial.................................. 3,530,600
14,900 Household International............................... 1,180,825
58,600 John Alden Financial Corp. ........................... 1,172,000
22,900 Marsh & McLennan Cos., Inc. .......................... 2,129,700
394,975 MBNA Corp. ........................................... 11,997,365
40,000 Mercury Finance Co.................................... 465,000
168,800 MGIC Investment Corp.................................. 10,697,700
34,800 Norwest Corp.......................................... 1,309,350
94,200 Paychex, Inc.......................................... 5,039,700
36,300 Torchmark Corp........................................ 1,542,750
83,300 Wilmington Trust Corp................................. 2,728,075
- --------------------------------------------------------------------------------
114,972,050
- --------------------------------------------------------------------------------
HEALTHCARE -- 17.1%
94,200 Abbott Laboratories+.................................. 4,250,775
256,300 Alza Corporation+..................................... 7,016,213
132,800 American Home Products Co.+........................... 7,868,400
189,800 Amgen, Inc.+.......................................... 11,055,850
41,900 Bausch & Lomb, Inc.................................... 1,387,938
105,000 Boston Scientific Corp.+.............................. 4,816,875
3,800 Bristol-Myers Squibb Co. ............................. 333,450
57,000 Cardinal Health, Inc.................................. 4,182,375
167,600 Columbia/HCA Healthcare Corp.......................... 9,448,450
108,800 Elan Corp. PLC -- ADR+................................ 3,413,600
125,800 Eli Lilly & Co. ...................................... 7,202,050
34,000 Genzyme Corp.+........................................ 811,750
18,800 Guidant Corp. ........................................ 954,100
75,000 Health Care & Retirement Corp.+....................... 1,856,250
74,250 Health Management Associates, Inc., Class A Shares+... 1,689,187
160,400 HealthSouth Rehabilitation+........................... 5,192,950
85,000 Humana, Inc.+......................................... 1,593,750
20,300 Interneuron Pharmaceutical+........................... 634,375
46,300 Ivax Corp. ........................................... 746,587
411,700 Johnson & Johnson..................................... 20,276,225
195,300 Mallinckrodt Group, Inc. ............................. 7,909,650
24,900 McKesson Corp. ....................................... 1,061,363
197,700 Medtronic, Inc. ...................................... 10,280,400
438,800 Merck & Co., Inc. .................................... 28,796,250
63,000 Mid Atlantic Medical Services, Inc.+.................. 850,500
39,800 Ornda Healthcorp+..................................... 1,024,850
144,600 Oxford Health Plans, Inc.+............................ 6,615,450
311,900 Pfizer, Inc. ......................................... 22,144,900
606,600 Pharmacia & Upjohn, Inc. ............................. 25,477,200
6,800 Quintiles Transnational+.............................. 514,250
92,500 Schering-Plough Corp. ................................ 5,168,437
9,300 Shared Medical Systems Corp. ......................... 508,013
35,000 Stryker Corp. ........................................ 855,313
12,900 Thermo Cardiosystems, Inc. ........................... 440,213
102,200 United Healthcare Corp. .............................. 3,947,475
- --------------------------------------------------------------------------------
210,325,414
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
OTHER -- 0.8%
72,200 Eastman Kodak Co. ................................ $ 5,234,500
99,000 Trinova Corp. .................................... 3,106,125
114,300 USF&G Corp. ...................................... 1,843,087
- --------------------------------------------------------------------------------
10,183,712
- --------------------------------------------------------------------------------
PUBLISHING -- 0.7%
25,700 Dun & Bradstreet Corp. ........................... 1,480,963
44,000 Gannett, Inc. .................................... 2,948,000
50,400 McGraw-Hill, Inc. ................................ 2,066,400
30,200 Tribune Co........................................ 2,170,625
- --------------------------------------------------------------------------------
8,665,988
- --------------------------------------------------------------------------------
RESTAURANTS -- 1.1%
73,400 Luby's Cafeterias, Inc. .......................... 1,734,075
223,800 McDonalds Corp. .................................. 10,378,725
107,400 Shoneys, Inc.+.................................... 980,025
- --------------------------------------------------------------------------------
13,092,825
- --------------------------------------------------------------------------------
RETAIL -- 5.9%
54,000 Albertson's, Inc. ................................ 2,288,250
89,800 AutoZone, Inc.+................................... 2,447,050
72,700 Circuit City Stores, Inc.+........................ 2,290,050
93,100 Gap, Inc. ........................................ 3,258,500
15,700 Gucci Group NV.................................... 1,044,050
304,100 Home Depot, Inc. ................................. 16,155,313
67,000 Kohl's Corp. ..................................... 2,546,000
86,200 Kroger Co. ....................................... 3,652,725
38,073 Limited, Inc. .................................... 704,350
106,500 Lowe's Cos., Inc. ................................ 3,847,313
69,600 May Department Stores, Inc. ...................... 3,166,800
11,136 Payless Shoesource, Inc. ......................... 391,152
112,000 Pep Boys Manny Moe & Jack......................... 3,752,000
98,400 Price/Costco, Inc. ............................... 1,955,700
136,100 Sears Roebuck & Co. .............................. 5,988,400
142,400 Staples........................................... 2,812,400
40,600 TJX Companies..................................... 1,299,200
43,800 Tommy Hilfiger Corp. ............................. 2,195,475
60,800 Toys 'R' Us, Inc.+................................ 1,793,600
345,000 Wal-Mart Stores, Inc. ............................ 9,142,500
66,000 Walgreen Co. ..................................... 2,178,000
- --------------------------------------------------------------------------------
72,908,828
- --------------------------------------------------------------------------------
TECHNOLOGY -- 15.1%
17,500 Advanced Micro Devices Inc. ...................... 223,125
42,800 AMP, Inc. ........................................ 1,637,100
83,400 Analog Devices, Inc.+............................. 2,012,025
135,775 Andrew Corp.+..................................... 6,041,986
129,200 Applied Materials, Inc.+.......................... 3,133,100
16,500 C-Cube Microsystems............................... 631,125
70,800 Cabletron Systems, Inc.+.......................... 4,318,800
14,300 Cambridge Technology Partners..................... 403,975
16,800 Centocor, Inc. ................................... 569,100
370,600 Cisco Systems, Inc.+.............................. 19,549,150
49,400 Compaq Computer Corp.+............................ 2,797,275
215,225 Computer Association International, Inc. ......... 11,141,813
93,300 Computer Sciences Corp.+.......................... 6,531,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 15.1% (CONTINUED)
291,600 CUC International, Inc.+.......................... $ 10,023,750
46,700 Danka Business Systems, ADR+...................... 1,360,137
11,600 Electronics For Imaging........................... 733,700
48,100 General Instrument Corp........................... 1,316,738
48,800 Glenayre Technologies............................. 1,793,400
208,600 Hewlett Packard Co. .............................. 9,126,250
29,100 Informix Corp.+................................... 654,750
59,800 Integrated Device Technology...................... 545,675
281,100 Intel Corp. ...................................... 22,435,294
48,500 LSI Logic Corp. .................................. 1,060,937
49,300 Micron Technology, Inc. .......................... 1,121,575
204,800 Microsoft Corp.+.................................. 25,088,000
36,500 Millipore Corp. .................................. 1,396,125
206,000 Motorola, Inc. ................................... 10,995,250
70,200 Novell, Inc.+..................................... 732,713
420,875 Oracle Systems Corp.+............................. 14,835,844
19,000 Pairgain Technologies, Inc. ...................... 1,258,750
60,400 Scientific-Atlanta, Inc. ......................... 815,400
53,700 Perkin-Elmer Corp................................. 2,785,687
93,100 Seagate Technology Inc.+ ......................... 4,468,800
7,600 Security Dynamics Technologies.................... 495,900
48,900 Symbol Technologies, Inc.+........................ 2,176,050
34,700 Sungard Data Systems.............................. 1,483,425
52,300 Tektronix, Inc. .................................. 2,026,625
30,800 Teradyne, Inc. ................................... 477,400
54,200 Texas Instruments, Inc. .......................... 2,533,850
76,600 U.S. Robotics Corp. .............................. 4,021,500
28,000 Xilinx, Inc. ..................................... 980,000
- --------------------------------------------------------------------------------
185,733,099
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 4.5%
28,000 360 Communications Co. ........................... 668,500
30,900 ADC Telecommunications, Inc.+..................... 1,753,575
123,000 AirTouch Communications, Inc. .................... 3,382,500
39,200 Ascend Communications............................. 2,053,100
35,000 Asia Satelite Telecommunications.................. 918,750
12,200 Aspect Telecommunications......................... 634,400
344,700 AT&T Corp. ....................................... 18,096,750
27,300 Cascade Communications Co. ....................... 1,859,813
16,200 Clear Channel Communications...................... 1,334,475
153,100 Frontier Corp. ................................... 4,516,450
313,400 LM Ericsson Tel B, ADR+........................... 7,227,787
120,700 MCI Communications Corp. ......................... 3,032,587
34,900 MFS Communication................................. 1,478,887
84,000 Sprint Corp. ..................................... 3,412,500
69,800 Tellabs, Inc. .................................... 4,423,575
- --------------------------------------------------------------------------------
54,793,649
- --------------------------------------------------------------------------------
TRANSPORTATION -- 1.0%
76,500 Atlantic Southeast Airlines, Inc. ................ 1,759,500
36,800 Boeing Co. ....................................... 3,330,400
22,900 Burlington Northern, Inc. ........................ 1,832,000
25,300 JLG Industries, Inc. ............................. 480,700
102,700 Southwest Airlines Co. ........................... 2,349,263
36,700 Union Pacific Corp. .............................. 2,674,513
- --------------------------------------------------------------------------------
12,426,376
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
UTILITIES -- 0.8%
198,000 Westinghouse Electric Co. ................... $ 3,242,250
287,800 Worldcom Inc. ............................... 6,043,800
- -------------------------------------------------------------------------------
9,286,050
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $991,366,568)... 1,168,282,054
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY BILL -- 0.2%
$ 2,100,000 U.S. Treasury Bill, 5.090% due 12/26/96
(Cost -- $1,894,677)........................ 2,092,576
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 4.6%
56,894,000 Chase Manhattan Bank, 5.188% due 9/3/96;
Proceeds at Maturity -- $56,926,800;
(Fully collateralized by U.S. Treasury Bill
due 10/17/96;
Market value -- $58,055,715) (Cost --
$56,894,000) ............................... 56,894,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,050,155,245**).......................... $1,227,268,630
- -------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART APPEARS HERE]
CLASSIFICATION OF INVESTMENTS
Capital Goods 5.8%
Repurchase Agreement 4.6%
Other Common Stocks 24.8%
U.S. Treasury Bill 0.2%
Technology 15.1%
Consumer Products 13.7%
Energy 3.4%
Financial Services 9.4%
Healthcare 17.1%
Retail 5.9%
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 98.4%
BANKING -- 8.1%
6,400 American Federal Bank.................................... $ 109,600
1,625 Anchor Bancorp Wisconsin Inc. ........................... 57,281
20,228 Associated Banc-Corp. ................................... 804,063
21,303 AST Research Inc.+....................................... 114,504
27,455 BancorpSouth Inc. ....................................... 604,010
2,900 Bank of Boston........................................... 152,975
5,700 Bankers Corp. ........................................... 109,725
4,400 Banknorth Group Inc. .................................... 155,100
1,400 Brenton Banks Inc. ...................................... 34,300
32,000 California Federal Bank+................................. 728,000
500 CBT Corp. ............................................... 10,625
11,900 Centura Banks Inc.+...................................... 455,175
2,136 Citfed Bancorp Inc. ..................................... 80,100
7,600 Citizens Bancorp, Maryland............................... 228,000
15,471 Citizens Banking Corp., Michigan......................... 449,626
800 Citizens Corp. .......................................... 15,600
4,312 CNB Bancshares Inc. ..................................... 120,197
123,917 Collective Bancorp, Inc. ................................ 3,252,821
23,435 Colonial BancGroup Inc. ................................. 799,719
7,560 Commerce Bancorp Inc. ................................... 185,220
89,200 Commercial Federal....................................... 3,478,800
3,100 Community First Bankshares Inc. ......................... 73,237
27,600 Corus Bancorp............................................ 841,800
106,400 Cullen Frost Bankers Inc. ............................... 3,032,400
8,800 First Citizens BancShares Inc. .......................... 574,200
16,269 First Colorado Bancorp................................... 225,732
2,700 First Financial Bancorp.................................. 90,112
2,125 First Financial Bankshares Inc.+......................... 74,375
14,097 First Michigan Bank Corp. ............................... 347,139
4,000 First Midwest Bancorp Inc. .............................. 115,000
3,000 First Western Bancorp Inc. .............................. 70,500
5,798 Firstbank of Illinois Co. ............................... 175,389
67,250 Firstbank Puerto Rico San Juan........................... 1,513,125
4,100 Firstfed Financial Corp.+................................ 75,337
5,842 Guaranty National Corp. ................................. 82,518
800 Harris Savings Bank...................................... 12,400
2,800 Homeland Bankshares Corp. ............................... 95,200
6,480 Imperial Bancorp+........................................ 171,720
5,343 Liberty Bancorp Inc. .................................... 193,016
7,700 Long Island Bancorp Inc. ................................ 215,600
5,512 MAF Bancorp Inc. ........................................ 142,623
22,562 Magna Bancorp Inc. ...................................... 468,161
5,000 Mark Twain Bancshares Inc. .............................. 193,750
600 National Bancorp Alaska Inc. ............................ 37,125
3,277 National City Bancshares Inc. ........................... 92,575
13,956 National Commerce Bancorp. .............................. 455,314
6,400 New York Bancorp Inc. ................................... 195,200
10,027 North Side Savings Bank.................................. 466,255
17,900 Northfork Bancorp+....................................... 554,900
10,723 Old National Bancorp..................................... 394,070
10,200 Onbancorp Inc. .......................................... 328,950
9,200 One Valley Bancorp West Virginia Inc. ................... 333,500
5,500 Peoples Bank Bridgeport.................................. 119,625
10,568 Provident Bancorp Inc. .................................. 425,362
7,055 Provident Bankshares Corp. .............................. 239,870
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
BANKING -- 8.1% (CONTINUED)
7,256 Queens County Bancorp Inc. .............................. $ 272,100
126,673 RCSB Financial, Inc. .................................... 3,404,337
13,743 Republic Bancorp Inc. ................................... 156,327
216,200 Riggs National Corp. .................................... 3,459,200
6,153 S & T Bancorp Inc. ...................................... 190,743
343,322 Sovereign Bancorp Inc. .................................. 3,669,254
15,515 St. Paul Bancorp Inc. ................................... 401,451
1,753 Sumitomo Bank of California.............................. 44,044
21,315 Susquehanna Bancshares Inc. ............................. 634,121
6,437 Trustco Bank Corp. N.Y. ................................. 151,269
3,048 United Bankshares Inc. .................................. 88,773
17,218 United Carolina Bancshares Inc.+......................... 396,014
3,774 US Bancorp Inc-PA+....................................... 137,751
4,398 US Trust Corp-NY+........................................ 244,089
4,436 Wesbanco Inc. ........................................... 123,099
8,759 Westamerica Bancorp...................................... 427,001
3,100 12 Bancorp+.............................................. 78,662
- --------------------------------------------------------------------------------
38,249,756
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 15.3%
4,600 Acme Metals Inc.+........................................ 67,275
100,000 Allied Products Corp. ................................... 2,587,500
112,000 A.M. Castle & Co. ....................................... 2,492,000
54,815 Amax Gold Inc.+.......................................... 335,741
133,081 Amcast Industrial Corp. ................................. 2,362,187
3,500 AMCOL International Corp. ............................... 50,750
67,400 Armco Inc.+.............................................. 294,875
16,923 Ball Corp. .............................................. 399,806
41,500 Barnes Group Inc. ....................................... 2,054,250
34,324 Battle Mountain Gold..................................... 291,754
17,500 Birmingham Steel Corp. .................................. 273,437
8,200 Brush Wellman Inc. ...................................... 155,800
75,000 Butler Manufacturing Co.+................................ 2,250,000
16,200 Calgon Carbon Corp. ..................................... 186,300
8,200 Calmat Co. .............................................. 147,600
3,300 Cambrex Corp. ........................................... 108,487
115,000 Caraustar Industries Inc. ............................... 3,421,250
10,800 Carpenter Technology Corp. .............................. 364,500
6,200 CasTech Aluminum Group Inc.+............................. 125,550
2,100 Chaparral Steel Co. ..................................... 27,562
108,500 Charter Power Systems.................................... 2,522,625
12,800 Chesapeake Corp. ........................................ 313,600
17,953 Cincinnati Milacron Inc. ................................ 354,572
85,998 Cleveland Cliffs Inc. ................................... 3,353,922
8,600 Coeur d'Alene Mines Corp. ............................... 130,075
45,500 Collins & Aikman Corp.+.................................. 301,437
119,636 Commercial Metal Co. .................................... 3,604,035
14,700 Cone Mills Corp.+........................................ 132,300
20,729 Crompton & Knowles+...................................... 310,935
26,335 CSS Industries Inc.+..................................... 572,786
8,200 Dames & Moore Inc. ...................................... 100,450
8,900 Dexter Corp. ............................................ 259,212
3,892 Fab Industries Inc. ..................................... 99,732
4,000 Fibreboard Corp.+........................................ 119,500
120,000 First Mississippi Corp. ................................. 3,225,000
6,025 Florida Rock Industries Inc. ............................ 159,662
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
BASIC INDUSTRIES -- 15.3% (CONTINUED)
4,121 Foamex International Inc.+............................... $ 64,133
17,900 Furniture Brands International+.......................... 214,800
7,973 Furon Co. ............................................... 175,406
70,285 GATX Corp................................................ 3,250,681
7,331 General Binding Corp. ................................... 172,278
11,436 Geneva Steel Co., Class A Shares+........................ 50,032
13,900 Geon Co. ................................................ 309,275
13,800 Greif Brothers Corp., Class A Shares..................... 414,000
106,800 Guilford Mills Inc. ..................................... 2,416,350
7,900 Handy & Harman........................................... 138,250
8,600 HB Fuller................................................ 304,225
33,344 Hecla Mining Co.+........................................ 229,240
5,826 Huntco Inc., Class A Shares.............................. 97,585
9,115 Interpool Inc. .......................................... 186,857
16,048 J&L Specialty Steel Inc. ................................ 218,654
8,889 Kaiser Aluminum Corp.+................................... 108,890
14,226 Lawter International Inc. ............................... 168,934
1,500 LeaRonal Inc. ........................................... 32,625
6,500 Lilly Industries Inc., Class A Shares.................... 103,187
1,100 Lone Star Industries Inc. ............................... 35,750
13,180 Lukens Inc. ............................................. 265,247
9,264 McClatchy Newspapers Inc., Class A Shares................ 258,234
7,208 Medusa Corp. ............................................ 214,438
15,700 Miller Herman Inc. ...................................... 588,995
5,436 Mine Safety Appliances Co. .............................. 261,607
17,769 Mississippi Chemical Corp. .............................. 399,802
6,100 Mohawk Industries Inc.+.................................. 139,918
99,636 Mosinee Paper Corp. ..................................... 2,814,717
10,625 Mueller Industries Inc.+................................. 375,859
8,300 NAC Re Corp. ............................................ 313,325
41,100 NACCO Industries Inc., Class A Shares.................... 1,993,350
12,400 National Steel Corp., Class B Shares+.................... 127,100
3,535 NCH Corp. ............................................... 196,634
12,002 NL Industries Inc.+...................................... 132,022
5,600 OM Group Inc. ........................................... 212,800
15,040 Oregon Steel Metals Inc. ................................ 227,480
2,602 Petrolite Corp. ......................................... 84,239
10,699 Ply Gem Industries Inc. ................................. 131,063
14,262 Pope & Talbot Inc. ...................................... 228,192
11,830 Precision Castparts Corp. ............................... 578,191
130,773 Quanex Corp. ............................................ 2,909,699
2,744 Reliance Steel & Aluminum................................ 91,924
9,188 Rexene Foods, Inc.+...................................... 109,108
25,464 Rock-Tenn Co., Class A Shares............................ 458,352
7,768 Rogue Steel Co., Class A Shares.......................... 173,809
6,417 Sanderson Farms Inc. .................................... 69,785
5,031 Schnitzer Steel Industries Inc., Class A Shares.......... 132,063
20,318 Schulman................................................. 441,916
5,594 Shiloh Industries Inc.+.................................. 85,308
2,669 Simpson Manufacturing Inc.+.............................. 50,711
14,914 Steel Technologies Inc. ................................. 177,103
10,403 Stepan Chemical Co. ..................................... 180,752
89,000 Sturm Ruger & Co Inc. ................................... 3,192,875
57,905 Texas Industries Inc. ................................... 3,771,063
91,250 Thiokol Corp. ........................................... 4,094,844
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
BASIC INDUSTRIES -- 15.3% (CONTINUED)
8,341 Timberland Co., Class A Shares+.......................... $ 152,223
13,499 TJ International Inc. ................................... 215,984
14,997 Tredegar Industries Inc. ................................ 472,405
11,296 Universal Forest Products Inc. .......................... 148,260
136,978 Wellman Inc. ............................................ 2,825,171
13,665 Westpoint Stevens Inc., Class A Shares+.................. 356,998
8,037 Whittaker Corp.+......................................... 112,518
16,444 WHX Corp.+............................................... 168,551
2,007 Wolverine Tube Inc.+..................................... 82,287
- --------------------------------------------------------------------------------
72,264,541
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 9.3%
10,800 AAR Corp. ............................................... 233,550
12,600 Albany International Corp., Class A Shares............... 256,725
4,900 American Annuity Group Inc.+............................. 64,925
12,134 American Mobile Satellite Corp.+......................... 162,292
1,800 Ameron International Corp. .............................. 65,250
108,529 A.O. Smith Corp. ........................................ 2,631,828
8,780 Apogee Enterprises Inc. ................................. 300,715
2,300 Aptargroup Inc. ......................................... 80,500
10,488 Arctic Cat Inc. ......................................... 111,435
15,396 Argonaut Group Inc. ..................................... 450,333
19,907 Arvin Industries Inc. ................................... 457,861
4,300 Avondale Industries Inc.+................................ 67,725
9,900 Baldor Electric Co. ..................................... 205,425
16,957 Bassett Furniture Industries Inc. ....................... 404,848
7,050 Bearings Inc. ........................................... 203,568
6,100 BMC West Corp.+.......................................... 83,875
3,300 BRC Holdings Inc.+....................................... 108,075
60,000 Blount, Inc. ............................................ 2,055,000
4,500 Centex Construction Products Inc. ....................... 66,375
6,400 Commercial Intertech Corp. .............................. 160,000
1,800 Computer Language Research Inc. ......................... 18,225
99,834 Continental Homes Holding Corp. ......................... 1,921,804
8,020 Cubic Corp. ............................................. 147,367
800 Curtiss Wright Corp. .................................... 42,400
6,500 Daniel Industries........................................ 88,562
3,524 DT Industries Inc. ...................................... 92,505
12,301 Duriron Co. ............................................. 332,127
13,400 Duty Free International Inc. ............................ 195,975
7,840 Elcor Corp.+............................................. 140,140
300,000 Fedders Corp............................................. 1,762,500
27,251 Giddings & Lewis Inc. ................................... 354,263
19,044 Goulds Pumps Inc. ....................................... 423,729
6,300 Granite Construction Inc. ............................... 119,700
30,000 Hardinge Inc. ........................................... 705,000
65,420 Harman International Industries Inc. .................... 2,870,302
2,500 Hughes Supply Inc. ...................................... 96,875
12,641 Intelligent Electronics Inc. ............................ 91,647
24,808 International Cabletel Inc.+............................. 601,594
4,403 Ionics Inc.+............................................. 189,879
16,487 Juno Lighting Inc. ...................................... 241,122
13,300 Justin Industries Inc. .................................. 156,067
148,052 Kaman Corp., Class A Shares.............................. 1,406,494
22,000 Kaufman & Broad Home Corp. .............................. 269,500
13,365 Kennametal Inc. ......................................... 414,315
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CAPITAL GOODS -- 9.3% (CONTINUED)
85,000 Kysor Industrial Corp. .................................. $ 2,178,125
5,603 Lawson Products Inc. .................................... 120,464
99,700 Lennar Corp. ............................................ 2,230,787
8,999 Lincoln Electric Co.+.................................... 276,719
7,524 L.S. Starrett Co., Class A Shares........................ 178,695
1,050 Manitowac Inc. .......................................... 32,943
25,442 MascoTech Inc. .......................................... 368,909
2,546 Matthews International Corp., Class A Shares............. 77,016
4,896 Measurex Corp. .......................................... 134,640
2,756 Metricom Inc.+........................................... 31,349
6,309 Mikasa Inc.+............................................. 67,822
9,840 Modine Manufacturing..................................... 253,380
22,900 Morrison Knudsen Corp.+.................................. 14,312
3,505 National Presto Industries Inc. ......................... 127,932
45,095 Navistar International+.................................. 439,676
7,500 NVR Inc.+................................................ 70,312
9,978 Pacific Scientific Co. .................................. 132,208
2,500 Park Ohio Industries+.................................... 36,250
8,254 Pittway Corp., Class A Shares............................ 387,938
1,935 Plantronics Inc.+........................................ 74,497
163,257 Regal Beloit Corp. ...................................... 2,775,369
11,616 Rexel Inc.+.............................................. 161,172
2,870 Robbins & Myers Inc. .................................... 63,140
12,700 Rohr Inc.+............................................... 265,112
7,656 Skywest Inc. ............................................ 131,109
3,021 Specialty Equipment Cos. Inc.+........................... 39,273
8,378 SPS Technologies Inc.+................................... 525,719
11,919 SPX Corp.+............................................... 332,242
26,406 Standard Pacific Corp. .................................. 155,135
20,286 Stewart & Stevenson Servicing............................ 403,184
5,425 Stone & Webster Inc. .................................... 174,956
60,000 Tecumseh Products Co., Class A Shares.................... 3,150,000
13,175 Teleflex Inc. ........................................... 606,050
8,889 Toll Bros Inc.+.......................................... 154,446
2,808 Tremont Corp.+........................................... 89,505
14,607 Trinova.................................................. 458,294
8,500 US Home Corp.+........................................... 190,187
11,868 Valmont Industries Inc.+................................. 367,908
132,228 Varlen Corp. ............................................ 2,842,902
6,681 Washington Construction+................................. 62,634
92,782 Wyle Electronics Co. .................................... 2,992,219
13,235 Zurn Industries Inc. .................................... 272,972
- --------------------------------------------------------------------------------
44,299,899
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 4.9%
11,900 Be Aerospace Inc.+....................................... 196,350
8,581 Buckeye Cellulose Corp.+................................. 228,469
12,081 BW/IP Inc. .............................................. 218,968
13,100 CML Group Inc. .......................................... 54,037
160,000 Coachmen Industries Inc. ................................ 2,980,000
2,300 Cross AT Co., Class A Shares............................. 27,600
2,900 Detroit Diesel Corp.+.................................... 55,825
9,560 Donaldson Inc. .......................................... 246,170
9,400 Ethan Allen Interiors Inc.+.............................. 251,450
10,182 Exide Corp. ............................................. 271,095
23,300 Federal Mogul Corp. ..................................... 401,925
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER DURABLES -- 4.9% (CONTINUED)
3,436 Forest City Enterprises+................................. $ 148,607
153,300 GenCorp Inc. ............................................ 2,127,037
55,000 General Housewares Corp. ................................ 584,375
7,407 Hunt Manufacturing Co. .................................. 106,475
8,000 Interface Inc., Class A Shares........................... 123,000
3038 K2 Inc. ................................................. 74,431
6,200 La Z Boy Chair Co. ...................................... 182,900
28,642 Longview Fiber Co.+...................................... 440,370
16,900 Mesa Airlines Inc.+...................................... 166,887
23,583 Myers Industries Inc. ................................... 365,536
8,353 Oneida Ltd. ............................................. 122,162
7,200 Oshkosh B Gosh Inc., Class A Shares...................... 122,400
132,358 Outboard Marine Corp. ................................... 2,216,996
130,000 Pioneer Standard Electronics............................. 1,722,500
14,000 Pulte Corp. ............................................. 348,250
8,978 Rival Co. ............................................... 195,271
9,464 Russ Berrie & Co. Inc. .................................. 150,241
20,270 Ryland Group Inc. ....................................... 273,645
5,598 Sequa Corp., Class A Shares+............................. 244,912
16,989 Simpson Industries Inc. ................................. 172,013
9,958 Skyline Corp. ........................................... 252,684
14,066 Southdown Inc. .......................................... 327,034
6,500 Springs Industries Inc. ................................. 293,312
100,689 Standard Motor Products Inc. ............................ 1,472,577
12,918 Standard Products Co. ................................... 297,114
95,042 Stanhome Inc. ........................................... 2,423,571
14,514 Stant Corp. ............................................. 154,211
15,113 TBC Corp.+............................................... 101,068
10,656 Thomas Industries Inc. .................................. 194,472
4,594 Thor Industries Inc. .................................... 95,899
5,557 VMR Scientific Products+................................. 95,858
8,462 Walbro Corp. ............................................ 166,066
15,411 Watts Industries Inc. ................................... 287,029
230,000 Winnebago Industries Inc. ............................... 1,868,750
4,486 Wynns International Inc. ................................ 119,439
28,849 Zenith Electronics Corp.+................................ 425,522
- --------------------------------------------------------------------------------
23,394,503
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 5.2%
5,500 Acceptance Insurance Cos. Inc.+.......................... 94,875
6,449 Acclaim Entertainment Inc.+.............................. 52,398
7,200 Angelica Corp. .......................................... 150,300
5,218 Best Buy Company, Inc.+.................................. 114,796
19,867 Bob Evans Farms.......................................... 290,554
5,600 Bombay Co.+.............................................. 36,400
11,400 Brown Group Inc. ........................................ 216,600
11,600 Burlington Coat Factory Wholesale Corp.+................. 123,250
34,979 Burlington Industries Inc.+.............................. 472,216
3,270 Canandaigua Wine Co.+.................................... 93,195
16,200 Carter Wallace Inc. ..................................... 182,250
20,700 Chiquita Brands International Inc. ...................... 261,337
6,200 Church & Dwight Inc. .................................... 130,975
4,400 Coca Cola Bottling Co. .................................. 165,550
30,906 Coors Adolph Co., Class B Shares......................... 618,120
24,891 Dean Foods............................................... 644,054
4,500 Dekalb Genetics Corp., Class B Shares.................... 146,250
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER NON-DURABLES -- 5.2% (CONTINUED)
140,000 Dimon Inc. .............................................. $ 2,572,500
11,798 Felcor Suite Hotels Inc. ................................ 359,839
14,013 Fieldcrest Cannon Inc.+.................................. 255,737
73,378 Fleming Cos., Inc. ...................................... 1,174,048
2,885 Florida East Coast Industries............................ 234,766
28,550 Flowers Industries Inc. ................................. 513,900
7,103 Foodbrands America Inc.+................................. 89,675
41,000 Garan Inc. .............................................. 681,625
25,836 Griffon Corp.+........................................... 229,294
16,800 Hartmarx Corp.+.......................................... 81,900
18,749 Helig Meyers............................................. 332,794
5,243 Hometown Buffet Inc.+.................................... 81,266
20,105 Hudson Foods Inc. ....................................... 273,930
6,275 Ingles Markets Inc., Class A Shares...................... 85,496
129,658 International Multifoods Corp. .......................... 2,155,564
17,677 J.M. Smucker Co. ........................................ 291,670
809 JP Foodservice Inc.+..................................... 19,011
12,100 Kellwood Co. ............................................ 195,112
17,323 Kimball International Inc., Class B Shares............... 575,989
1,000 Lands End Inc.+.......................................... 21,000
117,100 Merrill Corp. ........................................... 2,371,275
10,685 Michaels Foods Inc. ..................................... 116,199
11,135 O'Sullivan Corp. ........................................ 128,052
22,624 Phillips-Van Heusen Corp. ............................... 240,380
7,450 Pilgrims Pride Corp. .................................... 62,393
85,000 Pillowtex Corp. ......................................... 1,062,500
30,910 Premark International+................................... 564,107
13,046 Ralcorp Holdings Inc.+................................... 270,704
2,282 Riviana Foods, Inc. ..................................... 36,226
1,162 Robert Mondavi Corp., Class A Shares+.................... 32,826
19,992 Savannah Foods & Industries Inc. ........................ 247,401
333 Seaboard Corp. .......................................... 65,934
3,700 Sovran Self Storage Inc. ................................ 99,900
35,909 Stride Rite Corp. ....................................... 305,226
105,395 Toro Co. ................................................ 3,293,594
9,886 Toy Biz Inc.+............................................ 168,062
30,359 Tyco Toys Inc.+.......................................... 159,384
17,350 Universal Corp. ......................................... 438,087
14,166 Universal Foods Corp. ................................... 405,501
17,610 Windmere Corp. .......................................... 250,942
14,138 WLR Foods Inc. .......................................... 165,238
- --------------------------------------------------------------------------------
24,502,167
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 8.6%
3,368 Aaron Rents Inc., Class A Shares......................... 49,046
14,202 ABM Industries Inc. ..................................... 243,209
800 Ackerley Communications Inc. ............................ 22,300
2,400 Adelphia Communications Corp, Class A Shares+............ 18,300
900 Alexanders Inc.+......................................... 62,437
19,300 Allwaste Inc.+........................................... 79,612
5,300 Ann Taylor Stores Corp.+................................. 76,850
4,500 Arbor Drugs Inc. ........................................ 93,375
11,700 Aviall Inc. ............................................. 99,450
26,000 Aztar Corp.+............................................. 286,000
11,700 Banta Corp. ............................................. 274,219
200 Berlitz International Inc.+.............................. 4,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 8.6% (CONTINUED)
1,200 Big B Inc. .............................................. $ 12,450
16,459 BJ Services Co.+......................................... 619,269
64,800 Blair Corp. ............................................. 1,449,900
85,186 Borg Warner Automotive Inc. ............................. 3,194,475
147,900 Bowne & Co., Inc. ....................................... 2,939,513
14,083 C Tec Corp.+............................................. 362,637
6,200 Carmike Cinemas Inc., Class A Shares+.................... 149,575
11,900 Carson Pirie Scott & Co.+................................ 300,475
8,302 Casino America+.......................................... 53,963
2,200 Casino Magic Corp.+...................................... 8,250
8,500 Cato Corp., Class A Shares+.............................. 57,375
3,700 Century Communications Corp., Class A Shares+............ 29,138
78,021 Charming Shoppes Inc.+................................... 521,765
7,000 CMAC Investment Corp. ................................... 437,500
7,300 CPI Corp. ............................................... 134,137
900 Dart Group Corp., Class A Shares......................... 81,000
300 Data Processing Resource+................................ 5,550
2,400 Delchamps Inc. .......................................... 48,000
151,041 Del E. Webb Corp. ....................................... 2,718,738
11,800 Dress Barn Inc.+......................................... 123,900
6,729 E Town Corp. ............................................ 189,253
10,500 Eagle Hardware & Garden Inc.+............................ 233,625
13,242 Egghead Inc.+............................................ 109,246
6,900 Equity Inns Inc. ........................................ 86,250
9,747 Exabyte Corp.+........................................... 143,768
11,500 Fabric Centers of America Inc., Class A Shares+.......... 155,250
25,700 Family Dollar Stores Inc. ............................... 436,900
153,400 Fays Inc. ............................................... 1,917,500
30,100 Fingerhut Cos., Inc. .................................... 402,587
9,879 Franklin Quest Co.+...................................... 180,291
17,900 Fred Meyer Inc.+......................................... 532,525
5,005 GC Companies Inc.+....................................... 185,810
10,000 Gibson Greetings Inc.+................................... 130,000
17,895 Golden Books Family Entertainment+....................... 201,318
400 Grey Advertising Inc. ................................... 86,400
16,216 Hancock Fabric Inc. ..................................... 139,863
20,015 Handleman Co. ........................................... 117,588
6,590 Hartford Steam Boiler Inc. .............................. 294,078
5,009 Harveys Casino Resorts................................... 86,405
560 Hayes Wheels International Inc. ......................... 17,290
21,100 Hechinger Co., Class A Shares............................ 81,762
13,589 Hollywood Park Inc.+..................................... 118,903
12,600 Hospitality Properties Trust............................. 337,050
10,300 Huffy Corp. ............................................. 139,050
15,874 John H. Harland Co. ..................................... 398,834
9,498 Jones Intercable Inc.+................................... 122,286
10,287 Kinder Care Learning Centers Inc.+....................... 150,447
12,631 Libbey Inc. ............................................. 353,668
8,400 Longs Drug Stores Corp. ................................. 336,000
9,000 Luby's Cafeterias Inc. .................................. 212,625
15,800 MacFrugal's Bargains Close Out Inc.+..................... 333,775
24,893 Marcus Corp. ............................................ 591,208
45,000 Marsh Supermarkets Inc., Class B Shares.................. 478,125
8,751 Michaels Stores Inc.+.................................... 122,514
5,800 MicroAge Inc.+........................................... 87,000
13,424 Mobil Telecommunications+................................ 186,258
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 8.6% (CONTINUED)
22,229 Mobile Media+............................................ $ 151,435
111,034 Morningstar Group+....................................... 1,235,253
92,768 Nash Finch Co. .......................................... 1,507,480
8,174 New England Business Service Inc. ....................... 126,697
31,200 Payless Cashways Inc.+................................... 62,400
7,111 People's Choice TV Corp.+................................ 91,554
26,893 Pier 1 Imports Inc. ..................................... 450,457
5,807 Pinkertons Inc.+......................................... 137,916
24,006 Players International Inc.+.............................. 156,039
15,402 Pool Energy Services Co.+................................ 179,048
17,374 Prime Hospitality Corp.+................................. 330,106
16,371 Proffits Inc.+........................................... 671,211
61,396 Rollins Environmental Services Inc.+..................... 191,862
20,281 Ross Stores Inc. ........................................ 780,818
2,282 Roto-Rooter Inc. ........................................ 93,562
7,001 Ruby Tuesday Inc......................................... 145,270
24,863 Ruddick Corp. ........................................... 320,111
55,055 Ryans Family Steak Houses Inc.+.......................... 461,085
23,487 Rykoff-Sexton+........................................... 346,433
34,797 Safety-Kleen Corp.+...................................... 600,248
27,837 Savoy Pictures Entertainment Inc.+....................... 97,429
16,890 Scotts Co., Class A Shares+.............................. 316,687
81,092 Service Merchandise Inc.+................................ 375,050
33,393 Shoney's Inc.+........................................... 304,711
148,459 Shopko Stores Inc. ...................................... 2,264,000
11,655 Showbiz Pizza Time Inc.+................................. 180,652
9,748 Showboat Inc. ........................................... 193,741
6,259 Sports & Recreation Inc.+................................ 57,113
10,132 Sports Authority Inc.+................................... 241,901
17,488 Storage USA Inc. ........................................ 568,360
7,296 Strawbridge & Clothier Co., Series A..................... 131,328
150,000 Super Food Services Inc. ................................ 1,781,250
15,679 True North Communications Inc. .......................... 301,820
16,605 Tuboscope Vetco International Corp.+..................... 207,562
9,543 Unifirst Corp. .......................................... 195,631
13,800 Valassis Communications Inc.+............................ 210,450
11,594 Value City Department Stores Inc.+....................... 113,041
17,197 Valuevision International Inc., Class A Shares+.......... 98,882
23,300 Waban Inc.+.............................................. 495,125
8,665 World Color Press Inc.+.................................. 189,546
22,306 Zale Corp.+.............................................. 404,296
- --------------------------------------------------------------------------------
41,019,920
- --------------------------------------------------------------------------------
ENERGY -- 4.2%
8,000 ACX Technologies Inc.+................................... 134,000
1,100 Aquila Gas Pipeline Corp. ............................... 13,475
17,536 Arcadian Corp. .......................................... 385,792
6,204 Ashland Coal Inc. ....................................... 146,569
24,204 Atlantic Energy Inc.+.................................... 429,621
8,655 Belden & Blake Corp.+.................................... 177,427
15,853 Cabot Oil & Gas Corp., Class A Shares.................... 247,703
5,825 Caere Corp.+............................................. 52,242
11,800 Camco International Inc. ................................ 399,725
5,100 Capsure Holdings Corp. .................................. 90,525
4,200 Cascade Corp. ........................................... 49,350
2,800 Crown Central Petroleum Corp., Class A Shares+........... 39,200
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
ENERGY -- 4.2% (CONTINUED)
9,400 Destec Energy Inc.+...................................... $ 124,550
113,424 Diamond Shamrock Inc. ................................... 3,104,982
1,282 DII Group, Inc.+......................................... 37,498
7,985 Dravo Corp.+............................................. 111,790
16,200 Eastern Enterprises...................................... 593,325
6,136 Getty Petroleum Corp. ................................... 89,739
18,600 Helmerich & Payne Inc. .................................. 734,700
1,455 Hondo Oil & Gas Co.+..................................... 22,188
26,800 KCS Energy Inc. ......................................... 844,200
23,336 Kelley Oil & Gas Corp.+.................................. 62,715
15,333 Keystone International................................... 308,576
3,316 Landmark Graphics Corp.+................................. 98,651
6,439 Louis Dreyfus Natural Gas Corp.+......................... 85,316
18,097 Magnetek Inc.+........................................... 187,756
39,098 Mesa Inc.+............................................... 161,279
20,340 Mitchell Energy & Development+........................... 381,375
5,845 North Carolina Natural Gas Corp. ........................ 170,235
5,813 Nuevo Energy Co.+........................................ 217,260
4,000 NUI Corp. ............................................... 75,000
3,629 Oceaneering International Inc.+.......................... 62,146
196,388 Offshore Logistics Inc.+................................. 2,454,850
26,066 Ogden Corp.+............................................. 511,545
28,862 Parker & Parsley Petroleum Co. .......................... 714,334
42,917 Parker Drilling Co.+..................................... 300,419
13,306 Petroleum Heat & Power Inc., Class A Shares.............. 89,815
35,237 Quaker State Corp. ...................................... 559,387
27,079 Seagull Energy Corp.+.................................... 487,422
8,691 Seitel Inc.+............................................. 321,567
20,600 Sierra Pacific Resources................................. 525,300
27,791 Snyder Oil Corp. ........................................ 274,436
11,116 Southeastern Michigan Gas Enterprises Inc. .............. 191,751
4,983 Tejas Gas Corp.+......................................... 173,159
24,025 Tesoro Petroleum Corp.+.................................. 306,318
700 Tom Brown Inc. .......................................... 11,200
9,972 Westcorp, Inc. .......................................... 209,412
15,383 Western Gas Resource Inc. ............................... 221,130
186,150 Zeigler Coal Holdings Co. ............................... 2,792,250
- --------------------------------------------------------------------------------
19,783,205
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 17.6%
9,600 Albank Financial Corp. .................................. 279,600
69,100 Alex Brown Inc. ......................................... 3,455,000
25,361 Alexander & Alexander.................................... 399,435
7,300 Alfa Corp. .............................................. 83,950
6,400 Allied Group Inc. ....................................... 246,400
2,900 Amcore Financial Inc. ................................... 58,000
7,129 Amerco+.................................................. 219,216
90,900 American Bankers Insurance Group Inc. ................... 4,317,929
600 American Financial Enterprises........................... 13,650
3,000 American Heritage Life Investment Corp. ................. 58,125
8,022 American Travelers Corp.+................................ 249,684
7,263 AMRESCO Inc. ............................................ 173,404
5,400 Amvestors Financial Corp.+............................... 78,975
3,650 Arbatax International Inc.+.............................. 19,710
6,369 Arthur J. Gallagher...................................... 216,546
15,600 Astoria Financial Corp. ................................. 418,275
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 17.6% (CONTINUED)
3,800 Avatar Holdings Inc.+.................................... $ 121,125
10,100 Baldwin & Lyons Inc., Class B Shares..................... 187,481
115,000 Bankers Life Holdings Co. ............................... 2,817,500
4,100 Bay View Capital Corp. .................................. 151,700
10,000 BHC Financial Inc. ...................................... 142,500
1,442 BOK Financial Corp.+..................................... 31,003
7,600 Capital Re Corp. ........................................ 288,800
1,200 Capital Southwest Corp.+................................. 76,500
2,100 Capitol American Financial Corp. ........................ 73,762
193,050 Capstead Mortgage Corp. ................................. 4,029,919
12,700 Cash America International Inc. ......................... 88,900
8,300 CCB Financial Corp. ..................................... 441,975
9,500 Center Financial Corp. .................................. 236,312
1,700 Chemical Financial Corp. ................................ 56,950
3,500 Chittenden Corp. ........................................ 82,250
28,500 City National Corp. ..................................... 502,312
13,100 Coast Savings Financial Inc.+............................ 404,462
24,681 Commerce Group Inc. ..................................... 515,215
6,987 Conseco Inc.+............................................ 293,454
3,200 CPB Inc. ................................................ 97,600
1,100 Delphi Financial Group Inc., Class A Shares+............. 33,000
22,773 Deposit Guaranty Corp. .................................. 1,050,405
3,360 Downey Financial Corp. .................................. 82,740
84,700 Eaton Vance Corp. ....................................... 3,250,363
6,400 Enhance Financial Services Group Inc. ................... 184,000
3,900 Executive Risk Inc. ..................................... 134,062
6,000 F&M National Corp. ...................................... 108,750
15,711 FNB Corp. ............................................... 377,064
5,500 Fidelity National Financial Corp. ....................... 83,187
24,296 Financial Security Assurance Holdings Ltd. .............. 695,473
2,640 Financial Trust Corp. ................................... 70,620
14,995 First American Financial Corp. .......................... 477,965
10,700 First Commercial Corp. .................................. 331,700
6,761 First Commonwealth Financial Corp. ...................... 125,923
1,211 First Financial Corp., Indiana........................... 37,843
162,362 First Financial Corp., Wisconsin......................... 3,856,098
17,337 First Indiana Corp. ..................................... 400,918
315 First Source Corp. ...................................... 6,851
23,100 Firstmerit Corp ......................................... 693,000
5,972 Foremost Corp. .......................................... 326,220
8,000 Fort Wayne National Corp., Indiana....................... 254,000
18,630 Franchise Financial Corp. ............................... 442,462
147,147 Fremont General Corp. ................................... 3,991,362
3,080 Frontier Insurance Group Inc. ........................... 120,120
10,010 Fulton Financial Corp. .................................. 190,190
3,270 Fund American Enterprises Holdings Inc. ................. 301,248
30,200 Glendale Federal Bank+................................... 536,050
9,600 Great Financial Corp. ................................... 272,400
12,577 Hancock Holding Co. ..................................... 465,349
3,900 Harleysville Group Inc. ................................. 97,500
6,382 Harleysville National Corp., Pennsylvania................ 153,168
300 Heritage Financial Services Inc. ........................ 6,412
20,031 Home Beneficial Corp., Class B Shares.................... 503,278
18,151 Horace Mann Educators Corp. ............................. 623,940
3,100 HUBCO Inc.+.............................................. 64,325
6,800 Integon Corp. ........................................... 138,550
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 17.6% (CONTINUED)
129,458 Inter-Regional Financial Group Inc. ..................... $ 3,446,819
252 Investors Financial Services, Class A Shares............. 5,701
1,200 Irwin Financial Corp. ................................... 49,350
12,900 JDN Realty Corp. ........................................ 301,537
9,158 Jefferies Group Inc. .................................... 277,029
8,700 Jefferson Bankshares Inc. ............................... 201,187
16,400 John Alden Financial Corp. .............................. 328,000
6,400 JSB Financial Inc. ...................................... 212,000
4,674 Kansas City Life Insurance Co. .......................... 252,688
25,800 Keystone Financial Inc. ................................. 632,100
5,500 Leader Financial Corp. .................................. 273,625
13,791 Legg Mason Inc. ......................................... 418,901
10,800 Liberty Corp. ........................................... 371,250
8,475 Liberty Financial Companies.............................. 258,487
11,200 Life USA Holding Inc.+................................... 99,400
7,857 Life Re Corp. ........................................... 243,567
13,400 Lone Star Technologies+.................................. 219,425
12,400 Magna Group Inc. ........................................ 308,450
7,737 MAIC Holdings, Inc.+..................................... 251,452
1,600 McDonald & Co. Investments Inc. ......................... 31,800
55,138 McGrath Rent Corp. ...................................... 1,392,235
11,001 Mercer International Inc.+............................... 165,015
9,170 Mid Am Inc. ............................................. 173,083
4,700 MMI Companies Inc. ...................................... 150,400
119,700 Morgan Keegan Inc. ...................................... 1,496,250
11,208 National Auto Center Inc.+............................... 128,892
12,604 National Re Corp. ....................................... 663,285
87,600 North American Mortgage.................................. 1,500,150
600 NYMAGIC Inc. ............................................ 11,250
9,800 Oasis Residential Inc. .................................. 214,375
3,900 Omega Financial Corp. ................................... 125,775
79,049 Orion Capital Corp. ..................................... 3,972,212
4,983 PEC Israel Economic Corp.+............................... 87,825
11,009 Penncorp Financial Group Inc. ........................... 335,774
3,697 Peoples First Corp. ..................................... 81,796
17,500 Peoples Heritage Financial Group Inc. ................... 385,000
21,400 PHH Corp. ............................................... 617,925
22,157 Phoenix Duff & Phelps Co. ............................... 141,250
6,843 Pikeville National Corp. ................................ 146,269
150,000 Pioneer Financial Services Inc. ......................... 2,456,250
9,728 Piper Jaffray Inc. ...................................... 115,520
20,570 Presidential Life Corp. ................................. 200,557
19,995 Price Enterprises Inc. .................................. 319,920
16,485 Primark Corp.+........................................... 492,489
107,257 PXRE Corp. .............................................. 2,493,725
119,195 Raymond James Financial Inc. ............................ 2,771,284
7,289 Reinsurance Group of America............................. 292,471
34,300 Reliance Group Holdings Inc. ............................ 270,112
8,536 Resource Bankshares Manufacturing Group Inc. ............ 104,578
3,326 Rightchoice Managed Care Inc., Class A Shares+........... 37,001
3,310 RLI Corp. ............................................... 82,336
26,389 Roosevelt Financial Group Inc. .......................... 465,106
97,620 Scotsman Industries Inc. ................................ 2,086,627
4,213 Seafield Capital Corp. .................................. 148,508
10,292 Security Capital Corp., Wisconsin+....................... 622,666
8,978 Security-Connecticut Corp. .............................. 271,584
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 17.6% (CONTINUED)
12,879 Selective Insurance Group Inc. .......................... $ 415,347
10,513 Shurgard Storage Centers Inc., Class A Shares............ 261,510
18,738 Standard Financial Inc. ................................. 304,492
983 Student Loan Corp. ...................................... 32,561
9,700 Thornberg Mortgage Asset................................. 158,837
9,230 TR Financial Corp. ...................................... 261,901
10,057 Trans Financial Inc. .................................... 186,054
7,552 Transnational Re Corp., Class A Shares................... 185,968
5,443 Trenwick Group Inc. ..................................... 289,839
5,725 Trust Co. of New Jersey.................................. 81,581
20,332 Trustmark Corp. ......................................... 437,138
11,004 UMB Financial Corp. ..................................... 407,148
2,632 United Wisconsin Services Inc. .......................... 72,709
185,000 US Facilities............................................ 3,145,000
15,304 UST Corp. ............................................... 241,038
11,891 Vallicorp Holdings Inc. ................................. 190,256
9,571 Vesta Insurance Group Inc. .............................. 369,679
10,767 Washington National Corp. ............................... 312,243
21,300 Wellsford Residential Property Trust..................... 460,612
3,956 White River Corp.+....................................... 225,492
8,553 Whitney Holding Co. ..................................... 263,004
6,700 W.R. Berkley............................................. 304,850
11,311 Zenith National Insurance Corp. ......................... 305,397
- --------------------------------------------------------------------------------
83,529,074
- --------------------------------------------------------------------------------
HEALTHCARE -- 3.9%
14,600 Acuson+.................................................. 198,925
8,310 Advanced Technology Labs Inc.+........................... 255,013
7,417 Alpharma, Inc. .......................................... 116,817
2,900 AMLI Residential Property Trust.......................... 59,450
8,383 Amerisource Health Corp., Class A Shares+................ 319,601
18,700 Avalon Properties Inc. .................................. 427,762
1,100 Bacou USA Inc.+.......................................... 18,975
110,000 Bergen Brunswig Corp., Class A Shares.................... 3,066,250
174,300 Bindley Western Industries Inc. ......................... 3,093,825
5,761 Bio Rad Labs Inc., Class A Shares+....................... 161,308
11,321 Block Drug Inc., Class A Shares.......................... 503,784
8,456 CellPro Inc.+............................................ 126,840
2,300 Chemed Corp. ............................................ 85,387
1,700 Coastal Physician Group Inc.+............................ 8,500
33,100 Community Psychiatric Centers+........................... 264,800
7,656 Cor Therapeutics+........................................ 75,124
6,000 Datascope Corp.+......................................... 106,500
11,300 FoxMeyer Health Corp.+................................... 45,200
10,391 GranCare Inc.+........................................... 203,923
72,300 Health Images Inc. ...................................... 768,188
29,818 Horizon/CMS Healthcare Corp.+............................ 372,725
9,700 Immulogic Pharmaceutical Corp.+.......................... 78,812
121,175 Integrated Health Services Inc. ......................... 2,787,025
53,993 Laboratory Corp. of America+............................. 215,972
2,363 Living Centers America Inc.+............................. 63,210
19,825 Mariner Health Group Inc.+............................... 356,850
14,212 Marquette Medical System+................................ 243,380
21,300 Merry Land & Investment.................................. 471,262
8,700 National Health Investor+................................ 291,450
11,700 NBTY Inc.+............................................... 169,650
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
HEALTHCARE -- 3.9% (CONTINUED)
39,053 NovaCare Inc.+........................................... $ 351,477
6,521 NPC International Inc. .................................. 54,613
10,100 Omega Healthcare Investors Inc. ......................... 289,112
7,600 Paragon Trade Brands Inc.+............................... 157,700
1,186 PDT Inc.+................................................ 41,510
27,945 Perrigo Co.+............................................. 254,998
16,233 Physician Corp. of America+.............................. 215,087
25,911 Playtex Products Inc.+................................... 213,765
4,157 Roberts Pharmaceuticals Corp.+........................... 73,267
37,821 Scios-Nova Inc.+......................................... 217,470
7,986 Smiths Food & Drug Centers Inc., Class B Shares.......... 235,587
11,622 Spacelabs Med Inc.+...................................... 246,967
20,470 Sun Healthcare Group Inc.+............................... 276,345
9,254 Sunrise Medical Inc.+.................................... 151,534
921 Systemix Inc.+........................................... 14,275
18,073 Universal Health Services Inc., Class B Shares+.......... 460,861
11,341 West Inc.+............................................... 283,525
- --------------------------------------------------------------------------------
18,494,601
- --------------------------------------------------------------------------------
REAL ESTATE -- 5.8%
8,700 Allied Capital Commercial................................ 195,750
163,200 American Health Properties, Inc. ........................ 3,570,000
7,900 Apartment Investment & Management........................ 161,950
400 Associated Estates Realty+............................... 8,350
7,700 Bay Apartment Community Inc. ............................ 215,600
15,600 Beacon Properties Corp. ................................. 425,100
16,100 Berkshire Realty Co. .................................... 156,975
8,300 Bradley Real Estate Inc. ................................ 133,837
17,000 BRE Properties, Class A Shares+.......................... 333,625
2,500 Bristol Hotel Co.+....................................... 68,437
10,900 Burnham Pacific Property Inc. ........................... 133,525
8,800 Cali Realty Corp. ....................................... 221,100
9,300 Camden Property Trust.................................... 237,150
5,817 Castle & Cooke Inc.+..................................... 88,709
11,500 CBL & Associates Property................................ 264,500
2,400 Centerpoint Properties+.................................. 64,200
14,623 Centex Corp.+............................................ 469,763
7,200 Chelsea GCA Realty+...................................... 209,700
11,200 Colonial Properties Trust................................ 281,400
7,400 Columbus Realty Trust.................................... 143,375
7,200 Commercial Net Lease Realty Inc. ........................ 99,900
14,400 Cousins Properties Inc. ................................. 329,400
13,000 Cresent Real Estate Equities............................. 529,750
19,400 Criimi Mae Inc. Maryland................................. 210,975
15,800 Crocker Realty Trust Inc. ............................... 173,800
15,300 Crown American Realty.................................... 126,225
27,600 CWM Mortgage Holding Inc. ............................... 507,150
6,100 Developers Divers Realty+................................ 199,775
17,800 Duke Realty Investment................................... 565,150
11,500 Evans Withycombe Residential............................. 241,500
8,400 Excel Realty Trust Inc. ................................. 183,750
18,600 Federal Realty Investors................................. 437,100
15,200 First Industrial Realty.................................. 374,300
9,700 Gables Residential Trust................................. 232,800
173,900 Glimcher Realty Trust.................................... 3,238,888
2,800 Health Care Invest Inc. ................................. 94,850
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
REAL ESTATE -- 5.8% (CONTINUED)
8,900 Health Care Real Estate Investment Trust Inc. ........... $ 199,137
7,600 Healthcare Realty Trust.................................. 175,750
16,400 Highwoods Properties Inc. ............................... 487,900
6,800 Horizon Group Inc. ...................................... 142,800
16,300 IRT Property............................................. 150,775
7,800 JP Realty Inc. .......................................... 165,750
6,100 Kimco Realty Corp.+...................................... 176,900
9,900 Koger Equity Inc.+....................................... 155,925
17,900 Liberty Property Trust................................... 382,612
11,700 LTC Properties Inc. ..................................... 190,125
15,600 Manufactured Home Communities............................ 290,550
4,800 Meridian Industrial Trust+............................... 84,600
7,300 MGI Properties Inc. ..................................... 134,137
6,600 Mid-America Apartment Communities Inc. .................. 159,225
13,000 National Golf Properties, Inc. .......................... 352,625
19,800 Nationwide Health Properties............................. 440,550
9,400 Paragon Group Inc. ...................................... 146,875
7,500 Patriot American Hospitality+............................ 228,750
28,300 Public Storage Inc. ..................................... 608,450
5,200 The Price Real Estate Investment Trust Inc. ............. 166,400
14,700 Realty Income Corp. ..................................... 328,912
4,400 Reckson Associates Realty+............................... 155,650
4,000 Redwood Trust Inc.+...................................... 109,000
5,800 Regency Realty Corp. .................................... 122,525
13,000 Resource Mortgage Capital................................ 321,750
15,500 RFS Hotel Investors Inc. ................................ 248,000
10,311 Roc Communities Inc. .................................... 247,464
5,400 Saul Centers Inc. ....................................... 69,525
233,000 Southwest Property Trust................................. 3,058,125
9,800 Storage Trust Realty..................................... 214,375
8,800 Summit Properties Inc. .................................. 168,300
8,300 Sun Communities Inc. .................................... 235,512
19,500 Taubman Centers Inc. .................................... 212,062
9,600 Town & Country Trust..................................... 135,600
7,800 Trinet Corporate Realty.................................. 245,700
34,400 United Dominion Realty................................... 468,700
5,300 Universal Health Realty Inc. ............................ 100,037
4,500 Urban Shopping Centers Inc. ............................. 111,937
15,038 Walden Residential Properties, Inc. ..................... 310,158
16,152 Walter Industries+....................................... 216,033
5,800 Washington Real Estate Investment Trust+................. 92,075
9,300 Weingarten Realty Investors.............................. 367,350
10,800 Western Investment Real Estate........................... 135,000
- --------------------------------------------------------------------------------
27,441,985
- --------------------------------------------------------------------------------
TECHNOLOGY -- 5.6%
25,791 American Business Products Inc. ......................... 525,491
7,890 Amtrol Inc. ............................................. 215,249
4,300 Analogic Corp. .......................................... 108,575
4,054 Antec Corp.+............................................. 56,249
3,074 Associated Group Inc.+................................... 101,442
11,600 Augat Inc. .............................................. 221,850
11,527 BancTec Inc.+............................................ 224,776
17,000 Borland International Inc.+.............................. 131,750
4,900 Brooktree Corp.+......................................... 72,887
9,847 Burr-Brown Corp.+........................................ 189,554
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 5.6% (CONTINUED)
10,830 California Microwave+................................... $ 158,388
45,312 Coltec Industries+...................................... 679,680
100,000 Computer Data System.................................... 2,212,500
160,000 Dallas Semiconductor.................................... 3,040,000
26,400 Data General Corp.+..................................... 297,000
100,000 Ennis Business Forms Inc. .............................. 1,075,000
3,200 Evans & Sutherland Computer+............................ 73,600
14,014 Ferro Corp. ............................................ 366,115
4,501 Fluke Corp. ............................................ 160,910
19,840 FSI International+...................................... 213,280
24,113 FTP Software Inc.+...................................... 186,875
2,069 General Magic Inc.+..................................... 8,534
5,233 GenRad, Inc.+........................................... 77,186
6,601 Genus Inc.+............................................. 44,556
15,260 Gerber Scientific Inc. ................................. 211,732
16,100 Global Industrial Technology+........................... 309,925
633 Hutchinson Technology Inc.+............................. 23,658
3,400 InaCom Corp.+........................................... 91,800
16,023 Information Resources, Inc.+............................ 202,290
156,000 Innovex Inc. ........................................... 2,593,500
19,250 Integrated Device Technologies+......................... 175,656
6,466 Integrated Silicon Solutions+........................... 57,385
33,700 Intergraph Corp.+....................................... 307,512
192,562 Lincoln Telecommunications.............................. 2,984,711
6,465 Logicon Inc.+........................................... 191,525
150,000 MacNeal Schwendler Corp. ............................... 1,293,750
5,144 Marshall Industries+.................................... 153,034
4,971 McWhorter Technologies Inc.+............................ 88,856
50,000 Mentor Graphics Corp.+.................................. 684,375
12,327 Minerals Technologies Inc. ............................. 469,966
176,467 MTS Systems Corp. ...................................... 3,264,640
16,113 Orbital Sciences Corp.+................................. 290,034
4,827 Park Electrochemical Corp. ............................. 87,489
8,600 Post Properties Inc. ................................... 308,525
16,895 Sequent Computer Systems Inc.+.......................... 190,068
4,159 Silicon Graphics+....................................... 96,696
8,967 Silicon Valley Group Inc.+.............................. 162,526
8,908 Southern Union Co.+..................................... 187,068
11,836 Standard Microsystems Corp.+............................ 150,909
12,510 Standard Register Co. .................................. 342,461
19,736 Stratus Computer Inc.+.................................. 370,050
5,932 Syratech Corp.+......................................... 135,694
5,861 Tech System Corp.+...................................... 162,642
9,172 Telxon Corp. ........................................... 107,771
5,000 Tracor Inc.+............................................ 96,875
6,347 VLSI Technology+........................................ 88,858
3,863 Wall Data Inc.+......................................... 95,609
7,300 Watkins Johnson Co. .................................... 146,000
10,664 Zero Corp. ............................................. 215,946
- --------------------------------------------------------------------------------
26,780,983
- --------------------------------------------------------------------------------
TRANSPORTATION -- 2.3%
12,800 Airborne Freight Corp. ................................. 302,400
37,086 Alaska Air Group Inc.+.................................. 783,441
26,821 America West Airlines Inc., Class B Shares+............. 358,730
130,577 APL Ltd. ............................................... 3,084,881
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TRANSPORTATION -- 2.3% (CONTINUED)
2,400 Arnold Industries Inc. .................................. $ 37,800
35,600 Greyhound Lines Inc.+.................................... 117,925
5,300 Harper Group Inc. ....................................... 102,025
18,600 Kirby Exploration Inc.+.................................. 302,250
16,862 J.B. Hunt Transportation Services Inc. .................. 305,623
7,808 M.S. Carriers Inc.+...................................... 169,824
21,000 Omi Corp.+............................................... 168,000
56,000 Oshkosh Truck Corp., Class B Shares...................... 679,000
18,804 Overseas Shipholding Group Inc. ......................... 352,575
8,077 Pittston Burlington...................................... 154,472
34,148 Rollins Truck Leasing Corp. ............................. 405,507
130,000 Sea Containers Ltd., Class A Shares...................... 2,437,500
19,636 US Freightways Corp. .................................... 407,447
18,928 Werner Enterprises Inc. ................................. 331,240
7,697 XTRA Corporation......................................... 333,857
22,965 Yellow Corp.+............................................ 307,156
- --------------------------------------------------------------------------------
11,141,653
- --------------------------------------------------------------------------------
UTILITIES -- 7.6%
3,200 Aquarion Co. ............................................ 82,800
24,588 ATG Resources Inc. ...................................... 497,907
10,600 Atmos Energy Corp. ...................................... 242,475
3,900 Bay State Gas Co. ....................................... 106,275
4,400 Black Hills Corp. ....................................... 110,000
2,000 California Water Service Co. ............................ 71,500
71,800 Central Hudson Gas & Electric Corp. ..................... 2,162,975
17,400 Central Louisiana Electric Inc. ......................... 458,925
23,800 Central Maine Power Co. ................................. 288,575
8,500 CILCORP Inc. ............................................ 359,125
35,480 Citizens Utilities Co., Series B+........................ 416,898
13,084 Colonial Gas Co. ........................................ 314,016
99,935 Commonwealth Energy Systems Cos. ........................ 2,335,981
1,400 Connecticut Energy Corp. ................................ 28,000
5,400 Connecticut Natural Gas Corp. ........................... 121,500
113,278 Eastern Utilities Association............................ 1,826,608
18,070 El Paso Electric Co.+.................................... 102,773
5,200 Empire District Electric Co. ............................ 92,300
98,752 Energen Corp. ........................................... 2,320,672
103,400 IES Industries Inc. ..................................... 3,438,050
9,900 Indiana Energy Inc. ..................................... 251,212
12,258 Insituform Technology, Class A Shares+................... 94,999
3,015 Interim Services Inc.+................................... 122,861
7,500 Interstate Power Co. .................................... 229,687
17,575 KN Energy Inc. .......................................... 604,140
6,100 Laclede Gas Co. ......................................... 142,587
6,900 Madison Gas & Electric Co. .............................. 158,700
14,192 Minnesota Power & Light.................................. 381,410
20,000 MDU Resources Group Inc. ................................ 437,500
21,019 Nevada Power............................................. 433,516
7,000 New Jersey Resource Corp. ............................... 200,375
7,200 Northwest Natural Gas Co. ............................... 255,600
9,071 Northwestern Public Service Co. ......................... 260,791
20,886 ONEOK Inc. .............................................. 571,754
8,900 Orange & Rockland Utilities Inc. ........................ 317,062
10,263 Otter Tail Power Co. .................................... 328,416
4,343 Pennsylvania Enterprises Inc. ........................... 180,234
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
UTILITIES -- 7.6% (CONTINUED)
18,360 Pentair Inc. ........................................ $ 500,310
8,166 Philadelphia Suburban Corp. ......................... 134,739
17,164 Piedmont Natural Gas Inc. ........................... 424,809
33,440 Public Service Co. of New Mexico..................... 652,080
8,510 Public Service Co. of North Carolina Inc. ........... 145,733
95,000 Rochester Gas & Electric Co. ........................ 1,769,375
10,491 Sigcorp, Inc. ....................................... 371,119
7,042 South Jersey Industries.............................. 162,846
66,894 Southern California Water Co. ....................... 1,471,668
25,907 Southwest Gas Corp. ................................. 463,087
22,092 Southwestern Energy Co. ............................. 339,664
11,461 TNP Enterprises Inc. ................................ 267,900
30,637 UGI Corp. ........................................... 716,139
11,307 United Cities Gas Co. ............................... 244,513
60,842 United Illuminating Co. ............................. 2,106,654
21,929 United Water Resources............................... 359,087
25,671 Washington Energy Co. ............................... 497,375
17,065 Washington Gas Light Co. ............................ 373,296
15,351 WICOR Inc. .......................................... 550,717
160,000 World Fuel Services Corp. ........................... 2,760,000
14,014 WPL Holdings Inc. ................................... 427,427
20,119 WPS Resource Corp. .................................. 628,718
25,700 Yankee Energy Systems Inc. .......................... 571,825
- -------------------------------------------------------------------------------
36,287,280
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $424,680,833)........... 467,189,567
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 1.6%
$7,598,000 Chase Manhattan Bank, 5.188% due 9/3/96; Proceeds at
maturity -- $7,602,380;
(Fully collateralized by U.S. Treasury Bill due
10/17/96;
Market value -- $7,753,143) (Cost -- $7,598,000)..... 7,598,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS (Cost -- $432,278,833**)........... $474,787,567
- -------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART APPEARS HERE]
CLASSIFICATION OF INVESTMENTS
Banking 8.1%
Basic Industries 15.3%
Capital Goods 9.3%
Consumer Durables and Non-Durables 10.1%
Consumer Services 8.6%
Financial Services 17.6%
Other Common Stocks 16.0%
Real Estate 5.8%
Repurchase Agreement 1.6%
Utilities 7.6%
SEE NOTES TO FINANCIAL STATEMENTS.
55
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 99.2%
BASIC INDUSTRIES -- 6.6%
5,400 ABC Rail Products Corp.+................................. $ 112,725
6,600 Allied Products Corp. ................................... 170,775
6,300 Alltrista Corp.+......................................... 141,750
9,000 A.M. Castle & Co. ....................................... 200,250
5,700 American Homestar Corp.+................................. 133,950
4,400 Atwood Oceanics Inc.+.................................... 204,600
3,900 Augat Inc. .............................................. 74,588
14,700 Authentic Fitness Corp. ................................. 194,775
14,300 Berry Petroleum Co., Class A Shares...................... 159,088
20,400 Boyd Gaming Corp.+....................................... 237,150
4,350 Butler Manufacturing Co. ................................ 130,500
16,600 Caraustar Industries Inc. ............................... 493,850
10,600 Cavalier Homes Inc. ..................................... 204,050
30,600 Champion Enterprises Inc.+............................... 581,400
7,300 Chase Brass Industries Inc.+............................. 122,275
8,200 Chesapeake Corp. ........................................ 200,900
5,600 Church & Dwight Co. ..................................... 118,300
98,800 Chyron Corp.+............................................ 432,250
10,500 Clarcor Inc. ............................................ 225,750
22,619 Crompton & Knowles+...................................... 339,285
7,300 Digicon Inc.+............................................ 91,250
6,000 First Mississippi Corp. ................................. 161,250
12,000 Freeport McMoRan Inc. ................................... 412,500
1,927 Furon Co. ............................................... 42,394
18,700 G & K Services Inc. ..................................... 556,325
46,900 Gaylord Container Corp., Class A Shares+................. 340,025
2,200 Geon Co. ................................................ 48,950
24,276 Getchell Gold Corp.+..................................... 1,062,075
5,800 Handy & Harman........................................... 101,500
59,700 Harken Energy Corp.+..................................... 164,175
11,800 Hecla Mining Co.+........................................ 81,125
33,600 Hexcel Corp.+............................................ 592,200
13,400 Interim Services, Inc.+.................................. 546,050
7,100 Knickerbocker L.L. Co.+.................................. 75,438
13,800 Lawter International Inc. ............................... 163,875
2,000 Learonal Inc. ........................................... 43,500
5,300 Lilly Industries Inc., Class A Shares.................... 84,138
10,600 Littelfuse Inc.+......................................... 392,200
4,600 Liqui Box Corp. ......................................... 135,700
11,300 Lomak Petroleum.......................................... 142,663
1,400 Macdermid Inc.+.......................................... 96,600
11,100 Material Sciences Corp.+................................. 177,600
6,500 Medusa Corp. ............................................ 193,375
3,800 Mohawk Industries Inc.+.................................. 87,163
4,266 Mosinee Paper Corp. ..................................... 120,515
16,500 Mycogen Corp.+........................................... 262,969
162,200 Nautica Enterprises Inc.+................................ 4,298,300
10,310 Newpark Research Inc.+................................... 372,449
5,300 NL Industries Inc.+...................................... 58,300
4,300 Nuevo Energy+............................................ 160,713
3,600 Glatfelter P.H. Co.+..................................... 65,700
8,200 Precision Castparts Corp. ............................... 400,775
5,400 Quiksilver Inc.+......................................... 126,900
11,100 Royal Gold Inc.+......................................... 149,850
7,300 Seacor Holdings Inc.+.................................... 332,150
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
BASIC INDUSTRIES -- 6.6% (CONTINUED)
11,400 Shorewood Packaging Corp.+............................... $ 193,800
14,800 Solv-Ex Corp. ........................................... 172,050
91,500 St. John Knits Inc. ..................................... 3,648,563
7,500 Stein Mart Inc.+......................................... 156,563
3,700 Stepan Co. .............................................. 64,288
12,400 Stillwater Mining Co.+................................... 254,200
125,300 Sunshine Mining & Refining Co.+.......................... 156,625
9,400 Swift Energy Co. ........................................ 233,825
5,000 Sybron Chemical Inc.+.................................... 78,750
14,900 Synetic Inc.+............................................ 487,975
4,000 TransTexas Gas Corp. .................................... 44,000
13,000 Triangle Pacific Corp.+.................................. 282,750
39,300 20th Century Industries+................................. 584,588
15,446 Uni First Corp.+......................................... 316,643
222,900 United Waste Systems+.................................... 6,575,550
7,500 US Can Corp.+............................................ 113,438
9,100 Valspar Corp. ........................................... 429,975
15,000 Varco International+..................................... 241,875
7,500 Watsco Inc. ............................................. 146,250
25,375 Wausau Paper Mills Co. .................................. 453,578
5,000 WD 40 Co. ............................................... 227,500
9,100 Weeks Corp. ............................................. 260,488
4,700 Wet Seal Inc., Class A Shares............................ 171,550
17,100 W.H. Brady Co. .......................................... 389,025
10,400 Wolverine Tube Inc.+..................................... 426,400
8,531 Zeigler Coal Holdings Co.+ .............................. 127,965
- --------------------------------------------------------------------------------
32,857,117
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 8.4%
7,600 ABT Building Products Co.+............................... 159,600
14,000 Actel Corp.+............................................. 224,000
4,000 AG-Chem Equipment Co.+ .................................. 65,000
15,300 Air & Water Technologies Corp., Class A Shares+.......... 128,138
4,300 Alamo Group Inc. ........................................ 63,425
11,500 Alliance Entertainment Corp.+............................ 64,688
19,500 Alliance Semiconductor+.................................. 121,875
3,400 American Buildings Co.+.................................. 88,613
8,400 American Telecasting Inc.+............................... 84,000
23,400 Ametek Inc. ............................................. 453,375
21,000 Ampex Corp., Class A Shares+............................. 156,188
5,400 Ancor Communications Inc.+............................... 69,525
25,500 Anixter+................................................. 392,063
11,400 APS Holding Corp.+....................................... 319,200
10,720 Apogee Enterprises+...................................... 367,160
8,200 Aptargroup Inc. ......................................... 287,000
9,000 Armco Inc.+.............................................. 39,375
7,650 Baldor Electric Co. ..................................... 158,738
16,700 Belden Inc. ............................................. 452,988
8,700 Blount Inc., Class A Shares.............................. 297,975
94,900 Blyth Industries Inc.+................................... 4,481,549
10,200 Carlisle Cos. Inc. ...................................... 525,300
7,400 Centennial Cellular Corp., Class A Shares+............... 105,913
18,100 Credence Systems Corp.+.................................. 244,350
15,000 Dallas Semiconductor Corp. .............................. 285,000
121,400 DSP Communications+...................................... 6,176,225
8,400 Duriron Co. ............................................. 226,800
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
57
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CAPITAL GOODS -- 8.4% (CONTINUED)
12,700 Electroglas Inc.+......................................... $ 165,894
8,900 Expeditors International Washington, Inc. ................ 291,475
30,600 Fedders Corp. ............................................ 179,775
14,000 Fisher Scientific International Inc. ..................... 556,500
3,600 Franklin Electric Inc. ................................... 118,350
10,700 Gasonics International Corp.+............................. 85,600
27,000 Gentex Corp.+............................................. 648,000
11,900 Genus Inc.+............................................... 80,325
8,250 Graco Inc. ............................................... 154,688
11,500 Greenfield Industries Inc. ............................... 333,500
12,415 Harman International Industries Inc. ..................... 544,708
80,000 Input/Output Inc.+........................................ 2,830,000
12,500 Integrated Process Equipment Corp.+....................... 190,625
12,600 Integrated Silicon Solution Inc.+......................... 111,825
12,297 Ionics Inc.+.............................................. 530,308
9,700 Itron Inc.+............................................... 334,650
15,400 Kaydon Corp. ............................................. 691,075
36,800 Kemet Corp.+.............................................. 625,600
22,000 Kent Electronics Corp.+................................... 486,750
5,900 Lawson Products Inc. ..................................... 126,850
12,300 Level One Communications Inc.+............................ 264,450
5,700 Lindsay Manufacturing Co.+................................ 220,875
18,900 Lo-Jack Corp.+............................................ 200,813
14,700 Lydall Inc.+.............................................. 363,825
9,150 Manitowac Inc. ........................................... 287,081
2,700 Merix Corp.+.............................................. 50,963
5,800 Metricom Inc.+............................................ 65,975
3,800 Modine Manufacturing...................................... 97,850
4,200 Nichols Research Corp.+................................... 135,450
7,100 NN Ball & Roller Inc. .................................... 106,500
14,700 Novellus Systems Inc.+.................................... 554,925
15,200 OEA Inc. ................................................. 587,100
2,800 OHM Corp.+................................................ 106,400
6,300 Optical Coating Laboratories+............................. 89,775
6,200 Oregon Metallurgical Corp.+............................... 184,450
11,796 Pittway Corp., Class A Shares............................. 554,412
6,000 Plantronics Inc.+......................................... 231,000
11,700 Quickturn Design Systems Inc.+............................ 160,875
10,600 Redman Industries Inc.+................................... 238,500
7,100 Regal Beloit Corp. ....................................... 120,700
14,700 Robotic Vision Systems Inc.+.............................. 211,313
5,400 Rogers Corp.+............................................. 135,000
12,500 Roper Industries Inc. .................................... 518,750
15,600 Sanmina Corp.+............................................ 546,000
14,400 Schweitzer Manduit International.......................... 460,800
3,900 Simula Inc.+.............................................. 64,350
10,700 Specialty Equipment Cos. Inc.+............................ 139,100
9,900 Standex International Corp.+.............................. 287,100
4,700 Stanford Telecommunications+.............................. 211,500
9,300 Strategic Distribution+................................... 44,756
8,500 Sturm Ruger & Co. Inc. ................................... 304,938
13,700 Symmetricom Inc.+......................................... 203,788
7,100 Teleflex Inc. ............................................ 326,600
6,500 Tennant Co. .............................................. 145,438
8,400 Thermotrex Corp.+......................................... 316,050
5,649 Toll Bros Inc.+........................................... 98,151
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
58
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
CAPITAL GOODS -- 8.4% (CONTINUED)
3,100 Tractor Supply+......................................... $ 68,975
3,000 Tremont Corp.+.......................................... 95,625
17,000 Trimble Navigation Ltd.+................................ 306,000
3,200 Trinova Corp.+.......................................... 100,400
4,000 Turbochef Inc.+......................................... 34,000
15,900 Ultratech Stepper Inc.+................................. 242,475
11,300 UNR Industries Inc.+.................................... 103,113
12,300 Uniphase Corp.+......................................... 458,175
4,261 Valmont Industries+..................................... 132,091
84,400 Vitesse Semiconductor Corp.+............................ 2,690,250
82,300 Waters Corp.+........................................... 2,582,163
11,200 Wireless Telecom Group Inc.+............................ 100,100
6,500 Wyle Electronics+....................................... 209,625
17,300 Wyman-Gordon Co. ....................................... 361,138
12,100 X-Rite Inc. ............................................ 199,650
7,500 Zoltek Cos. Inc.+....................................... 239,063
3,300 Zygo Corp.+............................................. 112,200
- -------------------------------------------------------------------------------
41,795,157
- -------------------------------------------------------------------------------
CONSUMER DURABLES -- 5.1%
6,000 3D Systems Corp.+....................................... 90,375
12,800 Aaron Rents Inc., Class A Shares........................ 186,400
3,200 ACX Technologies Inc.+.................................. 53,600
20,100 Allen Group Inc. ....................................... 314,063
3,700 American Business Products.............................. 75,388
7,800 Anadigics+.............................................. 249,600
3,700 Berg Electronics Corp.+................................. 89,725
11,500 Breed Technologies Inc. ................................ 306,188
7,300 BT Office Products International+....................... 94,900
7,800 Bush Industries Inc. ................................... 143,325
8,400 BWIP Inc. .............................................. 152,250
14,000 California Amplifier Inc.+.............................. 175,000
6,700 Cannondale Corp.+....................................... 122,275
4,700 Charter Power Systems .................................. 109,275
62,400 Chicago Miniature Lamp Inc.+............................ 1,747,200
9,600 Cincinnati Milacron Inc. ............................... 189,600
24,100 CML Group Inc. ......................................... 99,413
5,100 Copart Inc.+............................................ 83,513
3,100 Cort Business Services Corp.+........................... 62,000
7,400 CP Clare Corp.+......................................... 114,700
16,900 Department 56 Inc.+..................................... 403,488
10,900 Donaldson Inc. ......................................... 280,675
15,200 ESS Technology, Inc.+................................... 190,000
9,900 Etec Systems Inc. ...................................... 301,950
4,200 Exide Corp.+............................................ 111,825
8,200 Falcon Building Products................................ 96,350
15,300 Figgie International Holdings Inc., Class A Shares+ .... 206,550
2,500 Fluke Corp. ............................................ 89,375
9,100 Foamex International Inc.+.............................. 141,619
13,800 General Magic Inc.+..................................... 56,925
10,500 Helig Meyers+........................................... 186,375
4,800 Holophane Corp.+........................................ 73,200
20,800 Hon Industries Inc. .................................... 733,200
46,200 Inso Corp.+............................................. 2,367,750
51,200 Integrated Device Technology+........................... 467,200
11,600 Intermedia Communications Inc.+......................... 359,600
4,900 Jabil Circuit Inc.+..................................... 60,025
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER DURABLES -- 5.1% (CONTINUED)
6,650 Kronos Inc.+............................................. $ 197,838
4,600 Kuhlman Corp.+........................................... 75,900
4,300 Logicon Inc. ............................................ 127,388
5,100 LSI Industries+.......................................... 85,425
39,300 Marine Drilling Company Inc.+............................ 343,875
3,400 Matthews International Corp., Class A Shares+............ 102,850
33,400 Microchip Technology+.................................... 1,227,450
1,900 Miller Herman Inc. ...................................... 71,280
4,600 Miller Industries Inc.+.................................. 154,100
11,275 Mueller Industries Inc.+................................. 398,853
5,000 NCI Building Systems+.................................... 139,375
5,100 New England Business Services............................ 79,050
8,900 Nimbus CD International+................................. 109,025
3,100 Ontrak Systems Inc.+..................................... 45,338
9,250 Palm Harbor Homes Inc.+.................................. 274,031
6,200 Perceptron Inc.+......................................... 201,500
90,000 Rational Software Corp.+................................. 4,792,500
5,200 Recoton Corp.+........................................... 78,000
2,000 Reliance Steel & Aluminum................................ 67,000
11,000 RMI Titanium Co.+........................................ 224,125
6,700 Robbins & Myers Inc. .................................... 147,400
6,800 Samsonite Corp.+......................................... 139,400
5,700 Semitool Inc.+........................................... 68,400
8,400 Sheldahl Inc.+........................................... 158,025
13,500 Southern Energy Homes Inc.+.............................. 175,500
2,558 Stanhome Inc.+........................................... 65,229
13,200 Stormedia Inc., Class A Shares+.......................... 145,200
10,500 Superior Industries International........................ 246,750
8,300 TBC Corp.+............................................... 55,506
4,000 Thor Industries Inc. .................................... 83,500
24,300 Top Source Technologies Inc.+............................ 113,906
2,400 Toro Co. ................................................ 75,000
5,100 Tower Automotive Inc.+................................... 122,400
9,900 Transwitch Corp.+........................................ 94,050
4,900 Trimas Corp. ............................................ 113,925
126,750 United States Filter Corp.+.............................. 3,311,344
13,700 United Stationers Inc.+.................................. 270,575
6,400 USA Detergents Inc.+..................................... 195,200
12,000 Winnebago Industries Inc. ............................... 97,500
23,474 Zenith Electronics Corp.+................................ 346,242
7,100 Zytec Corp.+............................................. 69,225
- --------------------------------------------------------------------------------
25,474,077
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 3.9%
22,500 Apple South Inc. ........................................ 472,500
22,900 Bombay Co.+.............................................. 148,850
13,500 Boston Beer Co.+......................................... 281,813
60,500 Boston Chicken Inc.+..................................... 2,102,375
4,400 Bush Boake Allen Inc.+................................... 99,000
3,930 Canandaigua Wine Inc., Class B Shares+ .................. 112,005
7,300 Carrington Laboratories Inc.+............................ 171,550
7,320 Consolidated Products Inc.+.............................. 106,140
18,448 Delta & Pine Land Co. ................................... 523,462
28,800 Dimon Inc. .............................................. 529,200
8,200 Donnkenny Inc.+.......................................... 144,525
9,600 Dreyers Grand Ice Cream Inc. ............................ 278,400
3,400 Earthgrains Co. ......................................... 114,750
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
60
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER NON-DURABLES -- 3.9% (CONTINUED)
11,200 Flowers Industries Inc. ................................. $ 201,600
8,100 Foodbrands America Inc.+................................. 102,263
8,700 Hometown Buffet Inc.+.................................... 134,850
3,900 Inbrand Corp.+........................................... 111,150
8,100 JP Foodservice Inc.+..................................... 190,350
10,400 Lance Inc. .............................................. 176,800
62,700 Landry's Seafood Restaurants+............................ 1,732,088
10,200 Lands End Inc.+.......................................... 214,200
4,700 Longhorn Steaks Inc.+.................................... 78,725
4,700 Luby's Cafeterias........................................ 111,038
2,000 Manhattan Bagel Co.+..................................... 27,250
13,900 Natures Sunshine Products Inc. .......................... 312,750
5,800 Northland Cranberries, Class A Shares ................... 208,800
10,500 NPC International+....................................... 87,938
57,000 Papa Johns International Inc.+........................... 2,579,250
5,650 Performance Food Group+.................................. 90,400
3,200 Pete's Brewing Co.+...................................... 28,800
27,400 Pride Petroleum Services Inc.+........................... 393,875
3,400 Quality Dining Inc.+..................................... 99,875
9,000 Rainforest Cafe Inc.+.................................... 252,000
14,800 Ralcorp Holdings Inc.+................................... 307,100
5,000 Red Hook Ale Brewery Inc.+............................... 116,250
80,850 Regis Corp.+............................................. 2,021,250
10,050 Rexall Sundown Inc.+..................................... 347,981
4,900 Riviana Foods Inc.+...................................... 77,788
4,500 Robert Mondavi Corp., Class A Shares+ ................... 127,125
10,500 Ruby Tuesday Inc. ....................................... 217,875
2,175 Showbiz Pizza Time Inc.+................................. 33,713
12,700 Smithfield Foods Inc.+................................... 352,425
8,900 Stride Rite Corp. ....................................... 75,650
7,200 Tejon Ranch Co. ......................................... 114,300
6,700 The Cheesecake Factory+.................................. 157,450
34,600 Tommy Hilfiger Corp.+.................................... 1,734,325
15,412 Tootsie Roll Industries Inc. ............................ 545,200
31,000 Topps Inc.+.............................................. 147,250
13,500 Whole Foods Market Inc.+................................. 452,250
- -------------------------------------------------------------------------------
19,046,504
- -------------------------------------------------------------------------------
CONSUMER SERVICES -- 20.0%
5,100 ABM Industries Inc. ..................................... 87,338
45,900 Accustaff Inc.+.......................................... 1,067,175
8,200 Ackerley Communications.................................. 228,575
7,000 Action Performance Cos.+................................. 81,375
20,400 Acxiom Corp.+............................................ 775,200
7,000 Addington Resources Inc.+................................ 161,000
10,200 Adelphia Communication+.................................. 77,775
13,600 Advo Inc. ............................................... 134,300
11,700 Affiliated Computer Services Inc., Class A Shares+ ...... 634,725
1,300 Alexanders Inc.+......................................... 90,188
54,962 Allied Waste Industries+................................. 439,696
11,200 Allwaste Inc.+........................................... 46,200
65,300 Alternative Resources Corp.+ ............................ 2,350,800
3,700 American Eagle Outfitter+................................ 75,850
33,700 American Media Inc., Class A Shares+..................... 197,988
12,100 American Radio Systems+.................................. 429,550
6,200 Anchor Gaming+........................................... 338,675
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
61
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 20.0% (CONTINUED)
11,000 Ann Taylor Stores Corp.+................................. $ 159,500
32,800 Apac Teleservices+....................................... 1,451,400
29,100 Applebees International Inc. ............................ 843,900
8,600 Arbor Drugs Inc. ........................................ 178,450
12,194 Arch Communications Group Inc.+ ......................... 166,143
16,800 Arctic Cat Inc. ......................................... 178,500
7,600 Argosy Gaming Corp.+..................................... 49,400
8,300 Argyle Television Inc., Class A Shares+.................. 234,475
7,100 Armor All Products....................................... 105,613
1,600 Associated Group Inc., Class A Shares+ .................. 52,800
15,700 ATC Communications Inc.+................................. 270,825
8,700 Baby Superstore Inc.+.................................... 147,900
1,000 Bally's Grand Inc.+...................................... 38,000
17,400 Barefoot Inc. ........................................... 174,000
18,400 Best Buy Co., Inc.+...................................... 404,800
7,100 Bet Holdings Inc., Class A Shares+....................... 181,938
7,500 Big B Inc.+.............................................. 77,813
12,400 Big Flower Press Holdings Inc.+.......................... 162,750
12,900 Billing Information Concepts+............................ 241,875
10,800 BJ Services Co.+......................................... 406,350
7,800 Books A Million+......................................... 54,600
11,700 Borg Warner Security Corp.+.............................. 102,375
7,900 Brightpoint Inc.+........................................ 172,813
10,700 Bristol Hotel Co.+....................................... 292,913
1,300 Buckle Inc.+............................................. 42,575
18,400 Buffets Inc.+............................................ 253,000
5,600 Calgon Carbon Corp. ..................................... 64,400
148,900 Cambridge Technology Partners, Inc.+..................... 4,206,425
84,400 Career Horizons Inc.+.................................... 2,943,450
23,200 Casey's General Stores Inc. ............................. 455,300
8,912 Casino America Inc.+..................................... 57,928
12,100 Casino Magic Corp.+...................................... 45,375
17,200 Catalina Marketing Corp.+................................ 817,000
9,000 Cato Corp., Class A Shares............................... 60,750
71,450 CDW Computer Certified Inc.+............................. 4,644,250
4,000 Cellstar Corp.+.......................................... 35,000
22,200 Century Communications Corp., Class A Shares+ ........... 174,825
4,700 Central Parking Corp.+................................... 135,713
9,100 Chancellor Broadcasting+................................. 341,250
7,050 Citicasters Inc., Class A Shares+........................ 226,481
17,300 CKE Restaurants+......................................... 480,075
1,600 CKS Group Inc.+.......................................... 43,200
24,700 Claires Stores Inc. ..................................... 815,100
12,600 Coachmen Industries Inc. ................................ 234,675
5,400 Coastcast Corp.+......................................... 118,125
8,800 Cole National Corp.+..................................... 167,200
5,400 Collins & Aikman Corp.+.................................. 35,775
3,300 Comforce Corp.+.......................................... 63,938
20,300 Compucom Systems Inc.+................................... 243,600
9,200 Continental Waste Industries+............................ 184,000
142,400 Corrections Corp. America+............................... 4,592,400
65,700 Corestaff Inc.+.......................................... 2,759,400
14,900 Culligan Water Technologies+............................. 571,788
3,800 Daisytek International Corp.+............................ 158,650
8,300 Daka International Inc.+................................. 143,175
4,800 Day Runner Inc.+......................................... 127,200
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
62
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 20.0% (CONTINUED)
5,800 Desktop Data Inc.+..................................... $ 145,000
12,900 Devry Inc.+............................................ 593,400
6,000 Discount Auto Parts Inc.+.............................. 141,000
2,100 Dollar Tree Stores+.................................... 67,200
21,100 Doubletree Corp.+...................................... 799,163
8,532 D.R. Horton+........................................... 75,722
9,900 Eagle Hardware & Garden Inc.+.......................... 220,275
39,200 Einstein/Noah Bagel Corp.+............................. 1,195,600
6,500 Electro Rent Inc.+..................................... 159,250
5,600 Emcare Holdings Inc.+.................................. 133,000
64,600 Emmis Broadcasting Corp.+.............................. 3,375,350
4,700 Equity Corp. International+............................ 145,113
19,350 Evergreen Media Corp., Class A Shares+................. 609,525
9,600 Exabyte Corp.+......................................... 141,600
4,800 Executive Risk Inc.+................................... 165,000
16,200 Executive Telecard Ltd.+............................... 164,025
25,100 Extended Stay America+................................. 382,775
6,000 EZ Communications Inc., Class A Shares+................ 250,500
11,700 Fairchild Corp.+....................................... 162,338
7,300 Fair, Issac & Co. Inc. ................................ 295,650
9,800 Fastcomm Communications+............................... 109,025
37,000 Finnish Line, Class A Shares+.......................... 1,165,500
34,000 Foodmaker Inc.+........................................ 314,500
2,400 Fossil Inc.+........................................... 19,800
6,400 Franklin Quest Co.+.................................... 116,800
11,700 Friedmans Inc., Class A Shares+........................ 245,700
6,300 Fusion Systems Corp.+.................................. 121,275
2,500 Gadzooks, Inc.+........................................ 95,000
6,700 Galileo Electro-Optics Corp.+.......................... 180,063
16,300 Garden Ridge Corp.+.................................... 254,688
20,000 General Communication Inc., Class A Shares+............ 135,000
4,700 General Scanning Inc.+................................. 70,206
22,400 Genesco Inc.+.......................................... 173,600
24,000 Gymboree Corp.+........................................ 693,000
55,850 Ha-Lo Industries Inc.+................................. 1,396,250
7,300 Hancock Fabrics Inc. .................................. 62,963
14,242 Harte-Hanks Communications Inc.+....................... 363,171
12,000 Heartland Wireless Communications, Inc.+............... 253,500
23,800 Hearx Ltd.+............................................ 96,688
6,400 Heftel Broadcasting Corp., Class A Shares+............. 228,800
29,700 Heritage Media Corp., Class A Shares+.................. 594,000
17,500 Hollywood Entertainment Corp.+......................... 310,625
24,400 Host Marriott Services+................................ 170,800
9,600 Houghton Mifflin Co. .................................. 456,000
4,400 IDEX Corp. ............................................ 512,325
6,600 IHOP Corp.+............................................ 163,350
6,900 IMCO Recycling Inc.+................................... 109,538
4,800 Insilco Corp.+......................................... 172,800
13,000 International Dairy Queen Inc., Class A Shares+........ 273,000
22,375 International Family Entertainment Inc., Class B
Shares+............................................... 402,750
5,500 International Imaging Materials+....................... 123,750
5,400 ITT Educational Services+.............................. 195,076
2,700 Iron Mountain Inc.+.................................... 65,475
6,000 Jacor Communications+.................................. 201,000
7,400 Jenny Craig Inc.+...................................... 85,100
11,300 John H. Harland Co. ................................... 283,913
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
63
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 20.0% (CONTINUED)
10,500 John Wiley & Sons Inc., Class A Shares................... $ 299,250
3,202 Jones Intercable Inc.+................................... 41,226
10,200 Jostens Inc. ............................................ 189,975
11,350 Just For Feet Inc.+...................................... 507,913
9,400 Katz Media Group+........................................ 113,975
14,700 Kelley Oil & Gas Corp.+.................................. 39,506
4,400 Kenneth Cole Productions+................................ 85,800
9,400 KFX Inc.+................................................ 61,100
10,000 K2 Inc. ................................................. 245,000
16,000 Lewis Galoob Toys Inc.+.................................. 420,000
6,600 Lin Television Corp.+.................................... 235,950
6,100 Mail Boxes Etc.+......................................... 122,000
5,550 Marcus Corp. ............................................ 131,813
4,100 Marisa Christina Inc.+................................... 40,231
10,400 Measurex Corp. .......................................... 286,000
6,400 Media General Inc. ...................................... 200,000
10,150 Mens Wearhouse Inc.+..................................... 220,763
33,200 Metromedia International+................................ 373,500
5,200 Microage Inc.+........................................... 78,000
13,800 Molten Metal Technology Inc.+............................ 420,900
3,100 Movie Gallery+........................................... 47,275
33,300 National Education Corp.+................................ 603,563
14,400 National Media+.......................................... 230,400
11,900 Nelson Thomas Inc. ...................................... 126,438
8,500 NFO Research+............................................ 189,125
11,600 Norrell Corp. ........................................... 324,800
16,500 Oak Industries+.......................................... 495,000
5,000 On Assignment Inc.+...................................... 187,500
8,100 Optical Data Systems Inc.+............................... 158,456
2,800 O'Reilly Automotive+..................................... 101,500
15,200 Paxson Communications Co.+............................... 159,600
2,300 Penn National Gaming Inc.+............................... 53,475
4,000 Personnel Group of America+.............................. 92,000
11,400 Petco Animal Supplies+................................... 273,600
5,000 Photronics Inc.+......................................... 138,750
6,400 Phymatrix Inc.+.......................................... 152,000
23,353 Pier 1 Imports........................................... 391,163
12,900 Playboy Enterprises Inc., Class B Shares+................ 161,250
9,400 Players International Inc.+.............................. 61,100
21,600 Polaris Industries Inc. ................................. 621,000
19,600 Prepaid Legal Services+.................................. 291,550
6,000 Primadonna Resorts Inc.+................................. 121,500
4,485 Primark Corp.+........................................... 133,989
22,600 Prime Hospitality Corp.+................................. 429,400
10,100 Proffits Inc.+........................................... 414,100
9,200 Pronet Inc.+............................................. 74,750
3,400 Pulitzer Publishing Co. ................................. 184,450
5,000 Quality Food Centers Inc.+............................... 156,250
27,100 Red Lion Hotels Inc.+.................................... 755,413
102,950 Regal Cinemas Inc.+...................................... 3,834,888
10,700 Renaissance Communications Corp.+........................ 377,175
9,500 Rio Hotel & Casino Inc.+................................. 165,063
6,200 Rollins Inc. ............................................ 129,425
5,300 Romac International Inc.+................................ 164,300
12,419 Ross Stores, Inc.+....................................... 478,131
23,400 Rotech Medical Corp.+.................................... 380,250
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
64
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 20.0% (CONTINUED)
12,100 RTW Inc.+............................................... $ 341,825
7,200 Sbarro Inc.............................................. 178,200
10,100 Scholastic Corp.+....................................... 684,275
11,100 Scientific Games Holdings Corp.+........................ 277,500
7,000 Seattle Filmworks Inc.+................................. 130,375
5,700 SFX Broadcasting Inc.+.................................. 240,825
11,490 Showboat Inc.+.......................................... 228,364
13,200 Shuffle Master Inc.+.................................... 140,250
8,700 Silver King Communications Inc.+........................ 226,200
100,100 Sitel Corp.+............................................ 3,516,013
9,800 Smart & Final Food Inc. ................................ 227,850
4,000 Sodak Gaming Inc.+...................................... 208,000
11,350 Sonic Corp.+............................................ 226,725
37,300 Sothebys Holdings Inc., Class A Shares.................. 578,150
10,500 Sparteck Corp.+......................................... 103,688
12,400 Sports & Recreation Inc.+............................... 113,150
26,893 Sports Authority Inc.+.................................. 642,070
21,200 Starsight Telecast Inc.+................................ 190,800
10,700 Starter Corp.+.......................................... 77,575
13,900 Station Casinos Inc.+................................... 161,588
6,700 Stone Energy Corp.+..................................... 131,488
2,900 Stratosphere Corp.+..................................... 5,800
7,900 Studio Plus Hotels Inc.+................................ 124,425
11,100 Sylvan Learning Systems Inc.+........................... 407,925
13,700 TCA Cable TV Inc.+...................................... 356,200
6,500 Toy Biz Inc.+........................................... 110,500
20,100 Triarc Cos.+............................................ 218,588
3,000 True North Communications............................... 57,750
19,400 Trump Hotels & Casino+.................................. 468,025
33,800 United International Holdings Inc., Class A Shares...... 464,750
23,800 United Meridian Corp.+.................................. 946,050
3,700 United Television Inc. ................................. 348,725
9,500 United Video Satellite Group I, Class A Shares+......... 182,875
6,500 Unitog Co. ............................................. 175,500
7,700 Urban Outfitters Inc.+.................................. 176,138
12,900 US Long Distance Corp.+................................. 99,975
128,500 US Office Products Co.+................................. 3,405,250
21,800 ValueVision International Inc.+......................... 125,350
7,000 Vans Inc.+.............................................. 105,000
7,900 VWR Scientific Products................................. 136,275
4,300 Volt Information Sciences Inc.+......................... 167,700
13,600 Wabash National Corp. .................................. 224,400
9,300 Wackenhut Corp., Class A Shares......................... 182,513
6,850 Wackenhut Corp., Class B Shares......................... 109,600
5,700 Wackenhut Corrections Co.+.............................. 138,938
9,177 Westpoint Stevens Inc.+................................. 239,749
25,100 Westwood One Inc.+...................................... 429,838
7,100 West Marine+............................................ 275,125
17,300 Williams Sonoma Inc.+................................... 447,638
16,600 WMS Industries Inc.+.................................... 383,875
118,850 Wolverine Worldwide Inc. ............................... 2,867,257
12,600 Wonderware Corp.+....................................... 122,850
11,100 World Color Press Inc.+................................. 242,813
81,400 Wyndham Hotel Corp.+.................................... 1,505,900
7,100 Young Broadcasting Inc., Class A Shares+................ 245,838
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
65
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 20.0% (CONTINUED)
5,900 Youth Services International+............................ $ 114,313
4,300 Zale Corp.+.............................................. 77,935
- --------------------------------------------------------------------------------
99,131,908
- --------------------------------------------------------------------------------
ENERGY -- 2.0%
18,000 Avid Technology Inc.+.................................... 333,000
27,060 Barrett Resource Corp.+.................................. 896,363
25,400 Benton Oil & Gas Co.+.................................... 504,825
13,400 Box Energy Corp., Class B Shares+........................ 118,925
70,800 Cable Design Technologies Corp.+......................... 2,513,400
5,000 Cairn Energy USA Inc.+................................... 51,250
13,100 Cidco Inc.+.............................................. 304,575
5,000 Coeur D'Alene Mines Corp. ............................... 75,625
9,500 Cree Research Inc. ...................................... 97,375
11,800 Cross Timbers Oil Co. ................................... 268,450
8,200 Devon Energy Corp. ...................................... 186,550
11,400 Dravo Corp.+............................................. 159,600
9,600 Energy Conversion Device+................................ 174,600
10,400 Energy Ventures Inc.+.................................... 341,900
3,200 Enterprise Systems Inc.+................................. 78,400
11,000 Falcon Drilling Co.+..................................... 248,875
9,800 Flores & Rucks Inc.+..................................... 322,175
18,000 Forest Oil Corp.+........................................ 254,250
22,100 Global Industries+....................................... 292,825
27,000 Global National Resources Inc.+.......................... 411,750
3,500 Holly Corp. ............................................. 99,313
7,400 KCS Energy Inc.+......................................... 233,100
7,700 Mattson Technology Inc.+................................. 65,450
15,800 Newfield Exploration Co.+................................ 705,075
17,700 Oceaneering International Inc.+.......................... 303,113
11,500 Petroleum Heat & Power Inc., Class A Shares.............. 77,625
10,900 Plains Resources Inc.+................................... 148,513
6,100 Production Operators Corp. .............................. 213,500
9,200 Tom Brown Inc.+.......................................... 147,200
8,925 Tejas Gas Corp.+......................................... 310,144
7,400 Vintage Petroleum Inc. .................................. 186,850
- --------------------------------------------------------------------------------
10,124,596
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 4.4%
10,900 Aames Financial Corp. ................................... 532,738
7,700 Acordia Inc. ............................................ 236,775
6,328 American Travellers Corp.+............................... 196,959
25,900 Americredit Corp.+....................................... 427,350
23,400 Amerin Co.+.............................................. 532,350
133,500 Amresco Inc.+............................................ 3,187,313
9,200 Arthur J. Gallagher & Co. ............................... 312,800
7,650 Bank Granite Corp. ...................................... 212,288
3,700 Capitol American Financial Corp. ........................ 129,963
9,200 Cash America International Inc. ......................... 64,400
62,900 Catellus Development Corp.+.............................. 597,550
3,200 CBT Corp.+............................................... 68,000
4,200 Cityscape Financial Corp.+............................... 115,500
5,400 Cole Taylor Financial.................................... 156,600
7,900 Coventry Corp.+.......................................... 144,175
16,200 Crawford & Co., Class B Shares........................... 313,875
19,000 Credit Acceptance Corp.+................................. 422,750
11,300 Envoy Corp.+............................................. 374,313
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
66
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 4.4% (CONTINUED)
9,600 E.W. Blanch Holdings Inc. ............................... $ 192,000
4,380 Financial Trust Corp. ................................... 117,165
2,000 First Financial Bancorp.................................. 66,750
7,028 Foremost Corp. of America................................ 383,905
2,530 Frontier Insurance Group Inc. ........................... 98,670
13,650 Gainsco Inc. ............................................ 136,500
2,200 Harleysville National Corp.+............................. 52,800
76,400 HCC Insurance Holdings................................... 2,005,500
7,200 Hubco Inc. .............................................. 149,400
8,800 Imperial Credit Industries+.............................. 266,200
22,200 Insignia Financial Group Inc., Class A Shares+........... 571,650
2,000 Investment Technology Group+............................. 32,500
10,500 Irvine Apartment Communities Inc. ....................... 236,250
2,300 Irwin Financial Corp. ................................... 93,725
7,600 Jayhawk Acceptance Corp.+................................ 84,550
2,700 Long Island Bancorp...................................... 75,600
3,600 Markel Corp.+............................................ 316,800
4,700 Meadowbrook Insurance Group.............................. 135,713
17,400 Mills Corp.+............................................. 354,525
4,300 Morgan Keegan Inc. ...................................... 53,750
7,300 National Commerce Bancorp................................ 238,163
3,040 National Penn Banchares Inc. ............................ 80,560
30,100 Olympic Financial Ltd.+.................................. 737,450
3,900 Park National Corp. ..................................... 191,100
19,691 Penncorp Financial Group+................................ 600,576
10,043 Phoenix Duff & Phelps Co. ............................... 64,024
18,300 Pioneer Group Inc. ...................................... 478,088
2,800 Poe & Brown Inc. ........................................ 66,850
9,700 Quick & Reilly Group Inc. ............................... 283,725
3,100 RAC Financial Group Inc.+................................ 108,500
4,800 Reinsurance Group of America............................. 192,600
24,200 Riscorp Inc.+............................................ 332,750
2,900 S & T Bancorp Inc. ...................................... 89,900
62,900 Sirrom Capital Corp.+.................................... 1,698,300
2,000 Student Loan Corp. ...................................... 66,250
9,400 TrustCo Bank Corp. N.Y. ................................. 220,900
31,300 UICI..................................................... 723,813
10,100 United Companies Financial Corp.+........................ 383,800
4,500 United Dental Care Inc.+................................. 174,375
1,100 United Fire and Casualty+................................ 33,000
7,102 US Trust Corp. .......................................... 394,161
6,100 Valley National Bancorp.................................. 157,075
9,184 Vesta Insurance Group Inc. .............................. 354,732
6,000 Wall Data+............................................... 148,500
7,550 Waterhouse Investment Services Inc. ..................... 282,181
2,920 WFS Financial Inc.+...................................... 62,415
2,000 Winthrop Resources Corp.+................................ 49,500
16,200 World Acceptance Corp.+.................................. 125,550
- --------------------------------------------------------------------------------
21,788,490
- --------------------------------------------------------------------------------
HEALTHCARE -- 17.2%
10,400 ABR Information Services................................. 587,600
16,200 Adac Laboratories+....................................... 372,600
10,900 Advanced Polymer Systems+................................ 80,388
11,090 Advanced Technology Labs+................................ 340,324
10,000 Agouron Pharmaceuticals Inc.+............................ 390,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
67
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
HEALTHCARE -- 17.2% (CONTINUED)
12,400 Alkermes Inc.+........................................... $ 164,300
26,800 Alliance Pharmaceutical Corp.+........................... 375,200
8,400 Alpharma Inc. ........................................... 132,300
13,300 Alteon Inc. ............................................. 119,700
5,750 American Homepatient Inc.+............................... 140,875
16,400 American Medical Response Inc.+.......................... 567,850
29,500 American Oncology Resource+.............................. 298,688
21,089 Amerisource Health Corp., Class A Shares+................ 804,018
16,600 Amylin Pharmaceuticals Inc.+............................. 176,375
14,400 Angeion Corp.+........................................... 97,200
5,100 Aphton Corp.+............................................ 91,800
26,900 Applied Bioscience International+........................ 262,275
4,200 Arbor Health Care Co. ................................... 90,300
10,400 Arrow International Inc. ................................ 278,200
5,600 Arthrocare Corp.+........................................ 63,000
14,000 ATS Medical.............................................. 122,500
24,700 Ballard Medical Products................................. 413,725
4,150 Barr Laboratories Inc.+.................................. 106,863
6,300 Biomatrix Inc.+.......................................... 88,200
6,989 Bio-Rad Labs+............................................ 195,692
41,400 Bio-Technology General Corp.+............................ 370,013
26,200 Calgene Inc.+............................................ 147,375
14,000 Capstone Pharmacy Services+.............................. 166,250
11,100 Cellpro Inc.+............................................ 166,500
22,400 Cephalon+................................................ 375,200
9,400 Chad Therapeutics Inc.+.................................. 164,500
11,200 Chronimed Inc.+.......................................... 137,200
44,900 Clinitrials Research Inc.+............................... 1,840,900
6,800 Coastal Physician Group Inc.+............................ 34,000
17,100 Cocensys Inc.+........................................... 119,700
11,100 Coherent Inc.+........................................... 435,675
6,000 Collagen Corp. .......................................... 118,500
26,200 Columbia Laboratories Inc.+.............................. 334,050
5,800 Community Psychiatric Centers+........................... 46,400
64,600 Compdent Corp.+.......................................... 2,212,550
13,200 Conmed Corp.+............................................ 224,400
4,800 Copley Pharmaceutical Inc.+.............................. 52,800
13,700 Cor Therapeutics Inc.+................................... 134,431
38,400 Coram Healthcare Corp.+.................................. 148,800
26,200 Coventry+................................................ 345,513
38,900 CRA Managed Care+........................................ 1,731,050
26,000 Creative Biomolecules Inc.+.............................. 188,500
5,800 Cryolife Inc.+........................................... 72,500
9,300 Curative Technologies Inc.+.............................. 176,700
15,400 Cygnus Therapeutic Systems+.............................. 265,650
14,300 Cytel Corp.+............................................. 41,113
45,600 Cytogen Corp.+........................................... 296,400
9,500 Depotech Corporation+.................................... 179,313
9,800 Diagnostic Products Corp. ............................... 363,825
104,700 Dura Pharmaceuticals Inc.+............................... 3,638,325
3,400 Emeritus Corp.+.......................................... 61,200
18,200 Employee Solutions Inc.+................................. 304,850
12,700 Endosonics Corp.+........................................ 182,563
17,445 Enzo Biochem Inc.+....................................... 290,023
10,900 Epitope Inc.+............................................ 158,050
10,000 Equimed Inc.+............................................ 75,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
68
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
HEALTHCARE -- 17.2% (CONTINUED)
6,300 Ergo Science Corp.+...................................... $ 90,563
49,600 Express Scripts Inc., Class A Shares+.................... 1,612,000
7,200 Fresenius USA+........................................... 176,400
11,600 Fuisz Technologies Ltd.+................................. 208,800
5,700 Gelman Sciences Inc.+.................................... 165,300
10,700 Geltex Pharmaceuticals Inc.+............................. 153,813
34,500 Genelabs Technologies Inc.+.............................. 146,625
22,300 Genesis Health Ventures Inc.+............................ 568,650
26,200 Gilead Sciences Inc.+.................................... 635,350
9,800 Grancare Inc.+........................................... 192,325
8,600 GRC International Inc.+.................................. 176,300
82,700 Gulf South Medical Supply Inc.+.......................... 1,798,725
18,000 Haemonetics Corp.+....................................... 369,000
10,900 Healthdyne Technologies+................................. 98,100
13,350 Health Management Systems+............................... 368,794
8,000 Healthplan Services Corp.+............................... 192,000
10,600 Herbalife International Inc.+............................ 137,800
12,800 Hilb, Rogal & Hamilton Co. .............................. 168,000
37,800 Hologic Inc.+............................................ 1,502,550
8,000 Horizon/CMS Healthcare Corp. ............................ 100,000
17,200 Human Genome Sciences Inc.+.............................. 586,950
18,500 Hybridon Inc.+........................................... 161,875
28,586 ICN Pharmaceuticals Inc.+................................ 600,306
26,500 ICOS Corp.+.............................................. 208,688
6,000 ICU Medical Inc.+........................................ 53,250
11,400 IDEC Pharmaceuticals+.................................... 266,475
4,400 IDX Systems Corp.+....................................... 127,600
63,400 Imatron Inc.+............................................ 400,213
19,500 Imclone Systems+......................................... 170,625
13,600 Immune Response Corp.+................................... 122,400
15,800 Immunex Corp.+........................................... 207,375
18,600 Immunomedics Inc.+....................................... 148,800
9,400 Incontrol Inc.+.......................................... 93,413
10,100 Inhale Therapeutic Systems Inc.+......................... 151,500
9,300 Inphynet Medical Management Inc.+........................ 144,150
20,400 Integra Lifesciences Corp.+.............................. 91,800
10,600 Integrated Health Services Inc.+......................... 243,800
2,400 Intercardia Inc.+........................................ 51,000
25,000 Invacare Corp. .......................................... 756,250
23,900 Isis Pharmaceuticals+.................................... 313,688
17,600 Isolyser Inc.+........................................... 167,200
10,300 I-Stat Corp.+............................................ 146,775
67,500 Jones Medical Industries+................................ 2,700,000
10,200 Keravision Inc.+......................................... 168,300
17,500 Kinetic Concepts Inc.+................................... 260,313
9,100 Lifecore Biomedical Inc.+................................ 166,075
9,600 Life Technologies Inc. .................................. 213,600
20,600 Ligand Pharmaceutical Inc., Class B Shares+.............. 251,063
32,100 Liposome Inc.+........................................... 485,513
11,500 Living Centers America Inc.+............................. 307,625
4,950 Lunar Corp.+............................................. 174,488
21,200 Magellan Health Services+................................ 365,700
9,030 Mariner Health Group Inc.+............................... 162,540
12,600 Martek Biosciences Corp.+................................ 382,725
30,100 Matria Healthcare Inc.+.................................. 221,988
16,800 Matrix Pharmaceuticals+.................................. 212,100
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
69
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
HEALTHCARE -- 17.2% (CONTINUED)
16,000 Maxicare Health Plans Inc.+.............................. $ 266,000
10,100 Medcath Inc.+............................................ 179,275
13,600 Medimmune Inc.+.......................................... 190,400
4,700 Medicis Pharmaceutical+.................................. 192,186
20,600 Mentor Corp. ............................................ 651,475
7,500 Meridian Diagnostics Inc.+............................... 105,938
39,800 Mid Atlantic Medical Services+........................... 537,300
3,300 Minimed Inc.+............................................ 71,775
5,400 Morrison Health Care Inc.+............................... 66,150
12,550 Multicare Cos. Inc.+..................................... 236,881
7,800 Myriad Genetics Inc.+.................................... 171,600
7,800 National Surgery Centers+................................ 206,700
27,600 Nabi Inc.+............................................... 293,250
7,700 Neopath Inc.+............................................ 185,763
18,500 Neoprobe Corp.+.......................................... 275,188
12,900 Neurex Corp.+............................................ 236,231
11,600 Neurogen Corp.+.......................................... 266,800
28,500 Neuromedical Systems Inc.+............................... 470,250
24,757 Nexstar Pharmaceuticals+................................. 544,654
12,200 Northfield Labs Inc.+.................................... 164,700
14,500 Noven Pharmaceuticals Inc.+.............................. 190,313
18,300 Occusystems Inc.+........................................ 507,825
86,000 Omnicare Inc. ........................................... 2,107,000
15,100 Oncogene Science Inc.+................................... 132,125
155,400 Orthologic Corp.+........................................ 1,476,300
7,200 Orthondontic Centers of America+......................... 271,800
7,200 Osmonics Inc.+........................................... 140,400
7,700 Ostex International Inc.+................................ 69,300
10,200 Owen Healthcare Inc.+.................................... 122,400
21,100 Owens & Minor Inc. ...................................... 221,550
81,800 Oxford Resources+........................................ 1,820,050
16,000 Palomar Medical Technology+.............................. 160,000
6,800 Parexel International Corp.+............................. 329,800
10,100 Pathogenesis Corp.+...................................... 162,863
9,700 Patterson Dental Co.+.................................... 232,800
4,600 PDT Inc.+................................................ 161,000
61,200 Pediatrix Medical Group+................................. 2,754,000
6,600 Perclose Inc.+........................................... 118,800
13,800 Perrigo Co.+............................................. 125,925
2,400 Pharmaceutical Product Development Inc.+................. 67,200
8,900 Pharmacopeia Inc.+....................................... 184,675
10,300 PHP HealthCare Corp.+.................................... 251,063
8,700 Physician Corp. of America+.............................. 115,275
64,300 Physician Resource Group+................................ 1,567,313
121,000 Physician Sales & Service Inc.+.......................... 2,117,500
5,300 Physicians Health Services Inc., Class A Shares+......... 109,313
15,600 Physio-Control International+............................ 286,650
11,200 Possis Corp.+............................................ 166,600
8,800 Prime Medical Services Inc.+............................. 107,800
9,300 Protein Design Labs Inc. ................................ 140,663
6,500 Protocol Systems Inc.+................................... 122,688
28,900 Quintiles Transnational Corp.+........................... 2,185,563
8,000 Regency Health Services Inc.+............................ 88,000
18,900 Regeneron Pharmaceutical+................................ 316,575
116,000 Renal Treatment Centers Inc.+............................ 3,784,500
4,600 Res-Care Inc.+........................................... 83,375
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
70
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
HEALTHCARE -- 17.2% (CONTINUED)
9,500 Research Medical Inc.+................................... $ 172,188
13,600 Resound Corp.+........................................... 117,300
14,700 Respironics Inc.+........................................ 345,450
6,300 Roberts Pharmaceutical Corp.+............................ 111,038
21,000 R.P. Scherer Corp.+...................................... 1,010,625
11,900 Sangstat Medical Corp. .................................. 233,538
5,700 Schein Henry Inc.+....................................... 189,525
13,700 Sciclone Pharmaceuticals+................................ 113,025
7,603 Scios Inc.+.............................................. 43,717
24,900 Sepracor Inc.+........................................... 329,925
27,800 Sequus Pharmaceuticals Inc.+............................. 403,100
8,000 Serologicals Corp.+...................................... 234,000
8,700 Sierra Health Services Inc.+............................. 275,138
19,400 Sofamor/Danek Group Inc.+................................ 557,750
21,700 Sola International Inc.+................................. 759,500
17,400 Somatix Therapy Corp.+................................... 83,738
15,300 Somatogen Inc.+.......................................... 206,550
9,800 Spine Technology Inc.+................................... 220,500
12,400 Staar Surgical Co.+...................................... 164,300
2,700 Summit Care+............................................. 60,075
5,500 Summit Medical Systems+.................................. 93,500
24,300 Summit Technology Inc.+.................................. 160,988
14,100 Sun Healthcare Group Inc.+............................... 190,350
5,500 Sunrise Medical Inc.+.................................... 90,063
1,800 Systemix Inc.+........................................... 27,900
9,100 Target Therapeutics Inc.+................................ 295,750
24,500 Techne Corp.+............................................ 612,163
12,300 Tecnol Medical Products Inc.+............................ 202,950
8,800 Theragenics Corp.+....................................... 151,800
13,150 Theratech Inc.+.......................................... 141,363
15,000 Theratx Inc.+............................................ 232,500
6,000 Thoratec Laboratories Inc.+.............................. 57,000
55,100 Total Renal Care Holdings+............................... 2,265,988
14,700 Transcend Services Inc.+................................. 82,688
24,227 Universal Health Service+................................ 617,789
9,200 Urohealth Systems Inc.+.................................. 124,200
18,900 Uromed Corp.+............................................ 196,088
21,087 US Bioscience Inc.+...................................... 247,772
16,600 Ventritex Inc.+.......................................... 226,175
16,300 Vertex Pharmaceuticals Inc.+............................. 517,525
68,200 Veterinary Centers of America+........................... 1,440,725
5,300 Vital Signs Inc. ........................................ 107,988
2,000 Vitalink Pharmaceuticals+................................ 46,500
14,700 Vivus Inc.+.............................................. 514,500
2,759 West Co. ................................................ 68,975
24,200 Xoma Corp.+.............................................. 143,688
21,100 Zila Inc.+............................................... 155,612
- --------------------------------------------------------------------------------
84,862,092
- --------------------------------------------------------------------------------
MEDICAL TECHNOLOGY -- 1.1%
11,750 Access Health Inc.+...................................... 596,312
35,000 Advanced Tissue Sciences Inc., Class A Shares+........... 481,250
3,400 Boca Research+........................................... 36,125
93,000 CNS Inc.+................................................ 1,971,613
30,500 Cognex Corp.+............................................ 427,000
6,400 Incyte Pharmaceuticals+.................................. 260,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
71
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
MEDICAL TECHNOLOGY -- 1.1% (CONTINUED)
8,300 Landauer Inc. ........................................... $ 161,850
41,000 Medic Computer Systems Inc.+............................. 1,429,875
16,000 Physician Computer Network+.............................. 175,000
7,750 TSX Corp.+............................................... 94,938
- --------------------------------------------------------------------------------
5,633,963
- --------------------------------------------------------------------------------
REAL ESTATE -- 1.5%
14,900 Associated Estates Realty Corp. ......................... 311,038
2,000 Avatar Holdings Inc.+.................................... 63,750
4,000 Cali Reality Corp.+...................................... 100,500
13,600 CarrAmerica Realty Corp. ................................ 333,200
13,600 Centerpoint Properties Corp. ............................ 363,800
8,200 Charles E. Smith Residential Realty Inc. ................ 195,775
2,300 Crescent Real Estate Equities Inc. ...................... 93,725
16,400 Developers Divers Realty Corp. .......................... 537,100
12,500 Federal Realty Investors................................. 293,750
27,000 General Growth Properties Inc. .......................... 678,375
16,000 Health Care Property Investors Inc. ..................... 542,000
4,000 Kimco Realty Corp.+...................................... 116,000
23,800 Nationwide Health Properties Inc.+....................... 529,550
2,900 NHP Inc.+................................................ 55,100
9,500 Pennsylvania Real Estate Investment Trust................ 195,938
18,400 Post Properties Inc. .................................... 660,100
5,700 Price Enterprises Inc.+.................................. 91,200
4,000 Reckson Associates Realty+............................... 141,500
12,800 Renters Choice Inc.+..................................... 225,600
9,900 Saul Centers Inc. ....................................... 127,463
26,400 Spieker Properties Inc. ................................. 788,700
9,800 Urban Shopping Centers Inc. ............................. 243,775
9,000 Vornado Realty Trust..................................... 374,625
26,900 Washington Real Estate Investment Trust.................. 427,038
3,400 Weingarten Realty Investment............................. 134,300
- --------------------------------------------------------------------------------
7,623,902
- --------------------------------------------------------------------------------
TECHNOLOGY -- 25.0%
13,500 3Do Co.+................................................. 109,688
17,900 Acclaim Entertainment Inc.+.............................. 145,438
11,100 Activision+.............................................. 133,200
8,500 ACT Networks Inc.+....................................... 210,375
2,700 Advent Software Inc.+.................................... 79,650
11,100 Alliant Techsystems Inc.+................................ 573,038
12,700 Altron Inc.+............................................. 227,013
8,000 American Business Information, Inc.+..................... 113,000
5,500 Amisys Managed Care Systems+............................. 112,750
11,400 Amre Inc.+............................................... 189,525
5,300 Amtrol Inc. ............................................. 144,591
6,700 Analysts International Corp. ............................ 246,225
10,700 Antec Corp.+............................................. 148,463
3,900 A+ Network Inc.+......................................... 31,200
11,100 Applied Digital Access Inc.+............................. 91,575
8,300 Applied Innovation Inc.+................................. 69,772
25,300 Applied Magnetics Corp.+................................. 370,013
7,900 Applied Power Inc. ...................................... 237,000
70,400 Applix Inc.+............................................. 1,795,200
10,700 Arbor Software Corp.+.................................... 449,400
7,700 Aspen Technology Inc.+................................... 533,225
4,700 Astea International Inc.+................................ 36,425
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
72
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 25.0% (CONTINUED)
3,100 Atlantic Tele-Network Inc.+.............................. $ 70,138
63,800 Aura Systems Inc.+....................................... 207,350
22,000 Auspex Systems Inc.+..................................... 346,500
12,675 Avant Corp.+............................................. 405,600
9,499 Banctec Inc.+............................................ 185,231
5,100 Barra Inc.+.............................................. 108,375
16,100 BBN Corp.+............................................... 295,838
14,500 BDM International+....................................... 768,500
12,900 Bell & Howell Co.+....................................... 387,000
21,900 Bisys Group Inc.+........................................ 785,663
14,100 Black Box Corp.+......................................... 371,888
25,400 BMC Industries Inc.+..................................... 762,000
10,700 Boole & Babbage Inc.+.................................... 254,125
19,200 Borland International Inc.+.............................. 148,800
21,200 Boston Technology Inc.+.................................. 323,300
8,400 Brite Voicesystems+...................................... 106,050
10,600 Broadband Technologies Inc.+............................. 235,850
16,000 Broderbund Software Inc.+................................ 482,000
9,100 Brooktree Corp.+......................................... 135,363
9,400 Brooktrout Technology+................................... 235,000
10,400 Caere Corp.+............................................. 93,275
24,570 CAI Wireless Systems+.................................... 182,739
11,500 California Microwave Inc.+............................... 168,188
8,800 Casino Data System+...................................... 161,700
7,800 C Cor Electronics Inc.+.................................. 120,900
8,900 CDI Corp.+............................................... 230,288
10,100 Cellular Communications Inc.+............................ 313,100
19,298 Cellular Technical Services Inc.+........................ 340,127
7,000 Centennial Technologies+................................. 239,750
22,200 Cerner Corp.+............................................ 310,800
19,900 Checkfree Corp.+......................................... 330,838
35,100 Cheyenne Software Inc.+.................................. 649,350
17,600 Chips & Technologies Inc.+............................... 194,700
6,500 Ciber Inc.+.............................................. 164,125
52,400 Citrix Systems Inc.+..................................... 2,200,800
4,300 Clarify Inc.+............................................ 179,794
83,500 Coherent Communications Systems+......................... 1,628,250
8,000 Cohu Inc. ............................................... 143,000
10,600 Colonial Data Tech Corp.+................................ 100,700
12,100 Commnet Cellular Inc.+................................... 387,200
83,600 Computer Horizons Corp.+................................. 2,006,400
1,750 Computer Management Services+............................ 35,875
20,200 Computer Network Technology Co.+......................... 111,100
7,600 Computer Task Group Inc. ................................ 218,500
20,900 Computer Products Inc.+.................................. 407,550
57,900 Computervision Corp.+.................................... 405,300
8,600 Comshare Inc.+........................................... 126,850
142,800 Comverse Technology Inc.+................................ 5,033,700
13,098 Control Data Systems Inc.+............................... 243,950
45,000 Cooper & Chyan Technology+............................... 978,750
43,800 Copytele Inc.+........................................... 273,750
5,900 CMG Information Services+................................ 98,088
2,300 CSG Systems International+............................... 49,450
7,100 Cybercash Inc.+.......................................... 205,900
15,800 Cyrix Corp.+............................................. 213,300
23,700 Data Broadcasting+....................................... 183,675
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
73
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 25.0% (CONTINUED)
4,600 Data Translation Inc.+................................... $ 37,950
7,600 Data Transmission Network+............................... 163,400
4,200 Datastream Systems Inc.+................................. 123,900
5,000 Davox+................................................... 170,000
4,500 DecisionOne Corp.+....................................... 75,375
67,200 Dendrite International+.................................. 1,680,000
3,800 Devon Group Inc.+........................................ 106,400
6,600 DH Technology Inc.+...................................... 161,700
6,700 Dialogic Corp.+.......................................... 238,688
31,800 Diamond Multimedia Systems+.............................. 298,125
2,900 Diana Corp.+............................................. 90,263
9,800 Digi International Inc.+................................. 139,650
15,000 Digital Microwave Corp.+................................. 249,375
4,600 Digital Systems Inc.+.................................... 71,300
6,500 DII Group+............................................... 190,125
11,500 Dionex Corp.+............................................ 411,125
8,800 Documentum Inc.+......................................... 222,200
16,400 Dynatech Corp.+.......................................... 643,700
4,750 Edmark Corp.+............................................ 70,953
7,800 Eis International Inc.+.................................. 127,725
3,800 Elcom International Inc.+................................ 22,325
6,000 Electro Scientific Industries Inc.+...................... 109,500
75,000 Electronics For Imaging Inc.+............................ 4,743,750
4,500 Eltron International Inc.+............................... 129,375
8,700 Encad Inc.+.............................................. 252,300
14,700 Ennis Business Forms Inc.+............................... 158,025
96,200 Epic Design Technology Inc.+............................. 1,851,850
8,600 Excalibur Technologies+.................................. 130,075
36,500 Executone Information Systems+........................... 104,938
14,300 Filenet Corp. ........................................... 343,200
6,500 Franklin Electronic Publishers Inc.+..................... 90,188
16,800 Gen Datacomm Industries Inc.+............................ 182,700
14,800 Genrad Inc.+............................................. 218,300
52,800 Geotek Communications Inc.+.............................. 481,800
9,800 Geoworks+................................................ 216,825
5,400 Hadco Corp.+............................................. 139,725
9,200 Harbinger Corp.+......................................... 236,900
7,900 Harmonic Lightwaves+..................................... 158,000
45,700 HCIA Inc.+............................................... 2,587,763
5,900 Helix Technology Corp. .................................. 156,350
21,900 Highway Master+.......................................... 306,600
15,200 HNC Software+............................................ 467,400
9,800 HPR Inc.+................................................ 169,050
4,800 Hutchinson Technology Inc.+.............................. 179,400
14,000 Hyperion Software Corp.+................................. 185,500
17,900 Identix Inc.+............................................ 168,931
7,000 Ikos Systems Inc.+....................................... 119,000
5,800 Imnet Systems Inc.+...................................... 109,475
26,700 IMP Inc.+................................................ 135,169
8,200 In Focus Systems Inc.+................................... 127,100
4,000 Inacom Corp.+............................................ 108,000
3,300 Indus Group Inc.+........................................ 64,350
7,600 Inference+............................................... 118,750
10,977 Information Resources Inc.+.............................. 138,585
1,800 Integrated Measurement Systems+.......................... 31,050
14,600 Integrated Systems Inc.+................................. 485,450
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
74
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 25.0% (CONTINUED)
7,200 Intercel Inc.+........................................... $ 125,100
43,200 Interdigital Communications Corp.+....................... 359,100
10,262 Intermagnetics Gen Corp.+................................ 146,234
19,000 Intermet Corp. .......................................... 229,188
1,500 International Cabletel Inc.+............................. 36,375
18,100 Intersolv Inc.+.......................................... 142,538
67,500 Inter-Tel Inc.+.......................................... 1,409,063
15,100 Intervoice Inc.+......................................... 205,738
2,700 IPC Information Systems+................................. 45,225
7,900 ITI Technologies Inc.+................................... 266,625
7,300 Jack Henry & Associates+................................. 215,350
15,100 Jacobs Engineering Group Inc.+........................... 352,963
15,100 Keane Inc.+.............................................. 679,500
14,800 Kulicke & Soffa Industries Inc.+......................... 146,150
10,200 Landmark Graphics Corp.+................................. 303,450
20,400 Lattice Semiconductor Corp.+............................. 578,850
4,300 Learning Tree International+............................. 117,175
16,300 Legato Systems Inc.+..................................... 643,850
4,500 Logic Works Inc.+........................................ 42,188
32,000 LTX Corp.+............................................... 164,000
6,800 Manugistics Group Inc.+.................................. 187,850
5,700 Mastec Inc.+............................................. 168,150
4,800 Maxis Inc.+.............................................. 55,200
81,700 McAfee Associates Inc.+.................................. 4,871,363
8,100 McWhorter Technologies Inc.+............................. 144,788
59,800 MDL Information Systems+................................. 1,681,875
12,300 Mercury Interactive Corp.+............................... 172,200
7,400 Metaltools Inc.+......................................... 133,200
28,350 Methode Electronics Inc., Class A Shares+................ 538,650
6,000 Metrocall Inc.+.......................................... 41,250
13,700 Microcom Inc.+........................................... 116,450
6,000 Micron Electronics Inc.+................................. 95,250
7,200 Micros Systems Inc.+..................................... 180,000
5,700 Microtouch Systems Inc.+................................. 84,075
9,200 Microware Systems Corp.+................................. 189,750
7,500 Minerals Technologies Inc. .............................. 285,938
13,500 MRV Communications, Inc.+................................ 269,789
17,800 Mylex Corp.+............................................. 293,700
9,800 National Computer Systems Inc. .......................... 198,450
24,400 National Data Corp. ..................................... 1,024,800
7,400 National Instruments Corp.+.............................. 208,125
9,500 Netcom On-Line Communicaton Services Inc.+............... 185,250
29,800 Netmanage Inc.+.......................................... 260,750
9,900 Network Appliance+....................................... 277,200
17,800 Network Equipment Technologies+.......................... 226,950
8,100 Network Peripherals Inc.+................................ 129,600
57,300 Nova Corp.+.............................................. 1,661,700
10,100 Novadigm Inc.+........................................... 75,750
18,900 Nu-Kote Holdings Inc., Class A Shares+................... 229,163
28,700 Oak Technologies Inc.+................................... 195,519
83,700 Octel Communications Corp.+.............................. 2,437,763
40,100 OIS Optical Imaging Systems Inc.+........................ 112,781
11,525 Organogenesis Inc.+...................................... 200,247
5,400 Ortel Corp.+............................................. 134,325
6,100 Pacific Scientific Co.+.................................. 80,825
5,700 Park Electrochemical Corp. .............................. 103,313
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
75
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 25.0% (CONTINUED)
5,700 Palmer Wireless Inc.+.................................... $ 111,150
16,375 Paxar Corp.+............................................. 339,781
15,400 P-Com Inc.+.............................................. 381,150
8,300 Peak Technologies Group Inc.+............................ 186,750
21,600 Performance Systems Inc.+................................ 237,600
4,800 Periphonics Corp.+....................................... 193,200
15,100 Phoenix Technology Ltd.+................................. 258,588
5,000 Pinnacle Systems Inc.+................................... 75,000
15,800 Pioneer Standard Electronics Inc. ....................... 209,350
5,900 Pixar Inc.+.............................................. 73,750
4,200 Planar Systems Inc.+..................................... 49,088
44,796 Platinum Technology Inc.+................................ 481,557
27,400 PMT Services Inc.+....................................... 496,625
12,400 Policy Management System+................................ 437,100
5,700 PRI Automation+.......................................... 166,725
11,600 Precision Systems Inc.+.................................. 71,050
5,000 Premenos Technology Corp.+............................... 67,500
4,800 Premiere Technologies Inc.+.............................. 102,000
36,000 Premisys Communications+................................. 1,404,000
13,300 Pricellular Corp.+....................................... 177,888
9,600 Prism Solutions Inc.+.................................... 150,000
8,300 Progress Software Corp.+................................. 133,838
91,100 Project Software & Development+.......................... 3,450,413
7,900 Proxim Inc.+............................................. 256,750
22,602 Pure Atria Corp.+........................................ 695,026
26,800 Quarterdeck Corp.+....................................... 214,400
6,200 Quickresponse Services+.................................. 196,850
4,400 Radisys Corp.+........................................... 163,350
1,800 Rainbow Technologies Inc.+............................... 32,625
21,100 Ramtron International Co.+............................... 125,281
9,800 Red Brick Systems Inc.+.................................. 208,250
41,650 Remedy Corp.+............................................ 1,895,075
2,900 Renaissance Solutions+................................... 112,375
11,200 Ross Technology Inc.+.................................... 78,400
6,000 Saga Communications, Inc. ............................... 126,750
7,100 Safeskin Corp.+.......................................... 230,750
14,900 Santa Cruz Operations Inc.+.............................. 102,438
52,900 Sapient Corp.+........................................... 2,287,925
75,600 Scopus Technology Inc.+.................................. 1,379,700
7,200 SDL Inc.+................................................ 138,600
3,900 Secure Computing Corp.+.................................. 51,675
27,300 Security Dyamics Technologies Inc.+...................... 1,781,325
10,800 SEI Corp. ............................................... 230,850
13,000 Sequent Computer Systems Inc.+........................... 146,250
11,400 Seventh Level Inc.+...................................... 81,225
19,200 Shiva Corp.+............................................. 969,600
25,200 Sierra Semiconductor Corp.+.............................. 292,950
9,800 Silicon Storage Technology+.............................. 72,275
13,300 Silicon Valley Group Inc.+............................... 241,063
8,800 Siliconix Inc.+.......................................... 162,800
10,400 Smart Modular Technology+................................ 156,000
5,300 Software 2000 Inc.+...................................... 58,963
21,900 Spectrum Holobyte Inc.+.................................. 112,238
5,800 SPSS Inc.+............................................... 138,475
5,500 SPS Transaction Services+................................ 79,750
9,700 Spyglass Inc.+........................................... 161,263
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
76
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 25.0% (CONTINUED)
2,300 SQA Inc.+................................................ $ 54,625
18,100 Stac Electronics+........................................ 153,850
10,300 State of the Art Inc.+................................... 158,363
44,800 S3 Inc.+................................................. 660,800
3,600 Storage Computer Corp.+.................................. 54,450
30,400 Structural Dynamics Research Corp.+...................... 767,600
9,200 Submicron Corp.+......................................... 58,650
5,500 Summit Medical Systems Inc.+............................. 93,500
22,500 Sunriver Corp.+.......................................... 90,000
6,600 Supertex Inc.+........................................... 110,550
51,800 Symantec Corp.+.......................................... 505,050
9,100 Sync Research Inc.+...................................... 125,125
17,800 Systemsoft Corp.+........................................ 578,500
26,000 System Software Associates Inc.+......................... 273,000
10,300 Systems & Computer Technology+........................... 136,475
11,000 TCSI Corp.+.............................................. 264,000
34,666 Tech Data Corp.+......................................... 918,649
6,800 Technitrol Inc.+......................................... 207,400
15,400 Technology Solutions Co.+................................ 454,300
4,500 Tekelec+................................................. 45,281
6,900 Telco Systems Inc.+...................................... 116,438
9,300 Tel-Save Holdings Inc.+.................................. 213,900
6,100 Teltrend+................................................ 285,938
9,700 Telxon Corp.............................................. 113,975
26,100 Tencor Instruments+...................................... 450,225
135,170 Tetra Tech+.............................................. 2,618,919
10,600 Tetra Technologies, Inc.+................................ 188,150
1,200 Thermospectra Corp.+..................................... 18,600
5,350 Transaction Network Services+............................ 88,275
129,200 Transaction Systems Architects+.......................... 3,940,600
5,400 Trescom International+................................... 63,450
8,200 Trident Microsystems Inc.+............................... 94,300
6,700 Triquint Semiconductor+.................................. 134,838
10,200 Tseng Labs Inc.+......................................... 85,425
2,900 Unison Software Inc.+.................................... 53,650
8,200 Unitrode Corp.+.......................................... 151,700
5,500 U.S. Data Corp.+......................................... 68,750
3,700 U.S. Order Inc.+......................................... 35,613
25,700 Vanguard Cellular System+................................ 491,513
12,800 Vanstar Corp.+........................................... 270,400
4,100 Vantive Corp.+........................................... 180,400
23,600 Veritas Software Co.+.................................... 1,091,500
7,200 Verity Inc.+............................................. 175,500
7,500 Viasoft Inc.+............................................ 446,250
12,400 Vical Inc.+.............................................. 164,300
28,600 Vicor Corp.+............................................. 704,275
92,200 Videoserver Inc.+........................................ 2,558,550
5,400 Videolan Technologies Inc.+.............................. 48,600
14,100 Viewlogic Systems Inc.+.................................. 181,538
56,300 Visio Corp.+............................................. 2,026,800
8,800 Visx Inc.+............................................... 170,500
34,700 VLSI Technology+......................................... 485,800
33,500 Wang Laboratories Inc.+.................................. 598,813
8,950 Wind River Systems+...................................... 311,013
26,300 Winstar Communications Inc.+............................. 509,563
8,300 Workgroup Technology Corp.+.............................. 139,025
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
77
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 25.0% (CONTINUED)
14,500 Xircom Inc.+.............................................. $ 185,781
18,000 Xicor Inc.+............................................... 173,250
3,100 Xpedite Systems Inc.+..................................... 55,025
15,600 Zebra Technologies Corp., Class A Shares+................. 329,550
15,800 Zilog Inc.+............................................... 408,825
3,900 Zoran Corp.+.............................................. 60,450
- --------------------------------------------------------------------------------
123,788,888
- --------------------------------------------------------------------------------
TRANSPORTATION -- 2.6%
15,600 Air Express International Corp. .......................... 434,850
15,200 American Freightways Corp. ............................... 169,100
10,300 Atlantic Southeast Airlines+.............................. 236,900
94,700 Atlas Air Inc.+........................................... 4,261,500
1,900 Eagle USA Airfreight Inc.+................................ 38,475
3,600 Greenwich Air Services Corp.+............................. 88,200
4,600 Harper Group Inc. ........................................ 88,550
8,890 Heartland Express Inc.+................................... 253,365
10,900 Landstar Systems Inc.+.................................... 286,125
3,100 Midwest Express Holdings+................................. 93,775
5,402 Monro Muffler Brake Inc.+................................. 106,690
4,700 Railtex Inc.+............................................. 103,400
77,700 Rural/Metro Corp.+........................................ 2,680,650
9,900 Swift Transportation Inc.+................................ 218,419
5,600 United Transnet Inc.+..................................... 72,800
32,500 ValueJet Inc.+............................................ 406,250
6,000 Western Pacific Airlines+................................. 60,750
90,900 Wisconsin Central Transportation Corp.+................... 3,204,225
- --------------------------------------------------------------------------------
12,804,024
- --------------------------------------------------------------------------------
UTILITIES -- 1.4%
12,450 ACC Corp.+................................................ 591,375
79,800 Aspect Telecommunications Corp.+.......................... 4,149,600
7,700 Cellular Communications of Puerto Rico +.................. 205,975
8,700 CFW Communications Co. ................................... 182,700
14,500 Lincoln Telecommunications Co. ........................... 224,750
10,600 Mid Comm Communications+.................................. 164,300
36,300 Mobile Telecommunications+................................ 503,663
2,200 Otter Tail Power Co. ..................................... 70,400
29,800 Tuscon Electric Power Co.+................................ 480,525
5,800 Western Water Co.+........................................ 110,650
- --------------------------------------------------------------------------------
6,683,938
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $423,514,180)................ 491,614,656
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
78
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 0.8%
$4,055,000 Chase Manhattan Bank, 5.188% due 9/3/96; Proceeds at
maturity -- $4,057,338;
(Fully collateralized by U.S. Treasury Bill due
10/17/96;
Market value -- $4,137,799) (Cost -- $4,055,000)..... $ 4,055,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $427,569,180**)... $495,669,656
- -------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART APPEARS HERE]
CLASSIFICATION OF INVESTMENTS
Repurchase Agreement 0.8%
Other Common Stocks 6.0%
Basic Industries 6.6%
Consumer Services 20.0%
Transportation 2.6%
Financial Services 4.4%
Capital Goods 8.4%
Consumer Durables & Non-Durables 9.0%
Healthcare 17.2%
Technology 25.0%
SEE NOTES TO FINANCIAL STATEMENTS.
79
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
STOCKS -- 94.5%
AUSTRALIA -- 3.4%
6,000 Aberfoyle Ltd. ........................................ $ 14,290
39,000 Amcor Ltd. ............................................ 238,862
17,800 Ashton Mining Ltd.+.................................... 23,522
462,128 Australia and New Zealand Banking Group Ltd. .......... 2,417,163
18,500 Australian Gas Light Co. Ltd. ......................... 89,298
49,800 Australian National Industries Ltd. ................... 40,194
72,070 Boral Ltd. ............................................ 173,368
13,900 Brambles Industries Ltd. .............................. 207,882
272,598 Broken Hill Proprietary Co. Ltd. ...................... 3,714,479
33,445 Burns, Philp & Co. Ltd. ............................... 49,489
31,343 Coca-Cola Amatil Ltd. ................................. 407,989
68,160 Coles Myer Ltd. ....................................... 237,314
26,743 CRA Ltd. .............................................. 406,729
32,100 Crown Ltd.+............................................ 74,932
60,500 CSR Ltd. .............................................. 212,559
24,200 David Jones Ltd. ...................................... 32,554
13,300 Delta Gold NL+......................................... 31,783
5,500 Dominion Mining Ltd.+.................................. 3,046
18,000 Email Ltd. ............................................ 45,394
7,700 F.H. Faulding & Co. Ltd. .............................. 46,306
122,600 Foster's Brewing Group Ltd. ........................... 225,071
21,100 Futuris Corp. Ltd. .................................... 24,042
44,800 General Property Trust................................. 81,181
37,300 Gio Australia Holdings Ltd. ........................... 92,383
80,334 Goodman Fielder Ltd. .................................. 83,274
16,400 Great Central Mines NL+................................ 50,611
11,556 Howard Smith Ltd. ..................................... 85,133
18,800 ICI Australia Ltd. .................................... 171,674
25,144 James Hardie Industries Ltd. .......................... 55,511
16,700 Leighton Holdings Ltd. ................................ 67,130
14,754 Lend Lease Corp. Ltd. ................................. 241,436
12,300 Metal Manufactures Ltd. ............................... 25,987
102,650 M.I.M. Holdings Ltd. .................................. 131,587
97,448 National Australia Bank Ltd. .......................... 950,776
14,700 Newcrest Mining Ltd. .................................. 53,391
1,335,548 News Corp. Ltd. ....................................... 7,122,978
174,256 News Corp. Ltd. Preferred.............................. 785,967
78,155 Normandy Mining Ltd. .................................. 129,254
43,878 North Ltd. ............................................ 130,897
66,300 Pacific Dunlop Ltd. ................................... 143,749
56,225 Pioneer International Ltd. ............................ 162,391
12,100 Plutonic Resources Ltd. ............................... 60,799
14,500 QBE Insurance Group Ltd. .............................. 87,201
41,400 QCT Resources Ltd. .................................... 56,019
13,004 RGC Ltd. .............................................. 59,682
11,700 Resolute Samantha Ltd. ................................ 24,997
7,700 Rothmans Holdings Ltd. ................................ 43,260
34,100 Santos Ltd. ........................................... 130,529
25,557 Schroders Property Fund................................ 46,109
4,500 Sons of Gwalia NL...................................... 29,163
36,100 Southcorp Holdings Ltd. ............................... 90,839
20,504 Stockland Trust Group.................................. 48,187
35,400 Sydney Harbour Casino Holdings Ltd.+................... 50,421
19,500 TABCORP Holdings Ltd. ................................. 89,033
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
80
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
AUSTRALIA -- 3.4% (CONTINUED)
36,700 TNT Ltd.+............................................ $ 42,980
65,981 Westfield Trust...................................... 121,651
115,700 Westpac Banking Corp. Ltd. .......................... 568,548
1,035,672 WMC Ltd. ............................................ 7,211,858
- ------------------------------------------------------------------------------
28,042,852
- ------------------------------------------------------------------------------
AUSTRIA -- 0.2%
200 Austria Mikro Systeme International AG............... 13,809
200 Austrian Airlines Osterreichische Luftverkehrs AG.... 28,060
4,970 Bank Austria AG...................................... 389,439
500 Bank Austria AG Participant Certificate.............. 20,771
300 Bau Holding AG....................................... 16,876
800 Boehler-Uddeholm AG.................................. 62,468
100 BWT AG............................................... 11,808
2,160 Creditanstalt-Bankverein............................. 138,129
1,180 Creditanstalt-Bankverein:Vorzu....................... 53,366
500 EA-Generali AG....................................... 142,322
1,600 Flughafen Wien AG.................................... 111,857
200 Lenzing AG........................................... 12,635
900 Mayr-Melnhof Karton AG+.............................. 42,321
600 Oesterreichische Brau-Beteiligungs AG................ 36,926
2,300 Oesterreichische Elekrizitaetswirtschafts AG Class A
Shares.............................................. 167,077
2,020 OMV AG............................................... 202,021
1,000 Radex-Heraklith Industriebeteiligungs AG............. 29,137
600 Steyr-Daimler-Puch AG+............................... 9,231
140 Strabag Oesterreich AG............................... 9,558
300 Universale-Bau AG.................................... 12,707
1,100 VA Technologie AG.................................... 140,899
500 Wienerberger Baustoffindustrie AG.................... 93,519
- ------------------------------------------------------------------------------
1,744,936
- ------------------------------------------------------------------------------
BELGIUM -- 0.6%
700 Barco Industries+.................................... 120,308
170 Bekaert S.A.......................................... 128,770
1,500 Cimenteries CBR Cementbedrijven...................... 113,867
250 Cimenteries CBR Cementbedrijven -- STR VVPR+......... 57
3,800 Delhaize-Le Lion S.A. ............................... 203,549
625 Electrabel S.A....................................... 657
3,900 Electrabel S.A. -- STRIP VVPR+....................... 863,818
2,800 Fortis AG............................................ 391,061
1,100 Generale de Banque S.A............................... 406,671
1,625 Gevaert NV........................................... 105,734
450 Glaverbel S.A........................................ 49,096
1,750 Groupe Bruxelles Lambert S.A......................... 218,821
950 Kredietbank NV....................................... 301,889
100 Kredietbank NV VVPR.................................. 31,712
1,700 PetroFina S.A........................................ 536,312
1,150 Royale Belge......................................... 213,910
175 Royale Belge -- STRIP VVPR+.......................... 57
610 Solvay S.A........................................... 357,320
1,000 Tractebel............................................ 423,102
150 Tractebel -- STRIP VVPR+............................. 73
1,550 The Union Miniere Group+............................. 119,446
- ------------------------------------------------------------------------------
4,586,230
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
81
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
CANADA -- 0.5%
100 Canadian Pacific Ltd. ................................ $ 2,250
180,500 Placer Dome, Inc. ADR................................. 4,332,000
- -------------------------------------------------------------------------------
4,334,250
- -------------------------------------------------------------------------------
DENMARK -- 0.9%
210 Aarhus Oliefabrik A/S Class A Shares.................. 10,895
55 Aarhus Oliefabrik A/S Class B Shares.................. 2,795
10 A/S Dampskibsselskabet Svendborg Class B Shares....... 368,535
1,420 A/S Det Ostasiatiske Kompagni+........................ 28,341
2,340 Carlsberg A/S Class A Shares.......................... 138,471
1,900 Carlsberg A/S Class B Shares.......................... 112,766
3,670 Danisco A/S........................................... 207,280
3,510 Den Danske Bank....................................... 250,723
14 D/S 1912 Class B Shares............................... 354,179
610 FLS Industries A/S Class B Shares..................... 69,417
395 GN Store Nord A/S..................................... 36,997
1,975 ISS International Service System A/S Class B Shares... 51,520
178 J. Lauritzen Holdings A/S Class B Shares.............. 15,581
805 Korn-OG Foderstof Kompagniet A/S...................... 33,120
495 NKT Holding A/S....................................... 24,612
34,255 Novo Nordisk AS Class B Shares........................ 5,271,578
675 Radiometer A/S Class B Shares......................... 41,952
190 Royal Copenhagen A/S Class A Shares................... 14,636
3,120 SAS Danmark A/S....................................... 37,144
1,585 Sophus Berendsen A/S Class A Shares................... 190,084
1,585 Sophus Berendsen A/S Class B Shares................... 18,938
410 Superfos AS........................................... 43,427
8,690 Tele Danmark A/S Class B Shares....................... 429,038
3,530 Unidanmark A/S Class A Shares......................... 156,358
- -------------------------------------------------------------------------------
7,908,387
- -------------------------------------------------------------------------------
FINLAND -- 0.3%
1,600 Amer Group, Ltd. Class A Shares....................... 39,027
500 Cultor Oy Series 1.................................... 26,518
1,000 Cultor Oy Series 2.................................... 50,575
1,000 Instrumentarium Group Class A Shares.................. 32,896
300 Instrumentarium Group Class B Shares.................. 9,533
6,000 Kesko................................................. 98,688
400 Kone Corp. Class B Shares............................. 48,068
46,866 Merita Ltd. Class A Shares+........................... 99,424
900 Metra Oy Class A Shares............................... 47,330
900 Metra Oy Class B Shares............................... 47,733
8,500 Oy Nokia AB........................................... 360,467
11,400 Oy Nokia AB Class A Shares............................ 481,650
8,300 Outokumpu Oy Class A Shares........................... 156,950
1,400 Pohjola Insurance Group Class A Shares................ 25,533
1,300 Pohjola Insurance Group Class B Shares................ 23,855
1,000 Sampo Insurance Co. Ltd. Class A Shares............... 63,554
600 Stockmann AB Class A Shares........................... 33,836
400 Stockmann AB Class B Shares........................... 21,572
17,660 UPM-Kymmene Corp.+.................................... 403,896
- -------------------------------------------------------------------------------
2,071,105
- -------------------------------------------------------------------------------
FRANCE -- 6.1%
1,791 Accor S.A............................................. 217,140
123,222 Alcatel Alsthom....................................... 9,553,414
11,402 AXA S.A............................................... 640,898
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
82
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
FRANCE -- 6.1% (CONTINUED)
11,675 Banque Nationale de Paris............................ $ 421,178
110 Bongrain S.A......................................... 50,364
1,436 Bouygues............................................. 139,876
1,318 Canal Plus........................................... 302,383
2,295 Carrefour S.A........................................ 1,161,548
3,650 Casino Guichard Perrachon............................ 144,307
1,000 Casino Guichard Perrachon Preferred.................. 26,304
450 Chargeurs International S.A.+........................ 16,242
806 Club Mediterranee S.A................................ 60,432
36,644 Compagnie Bancaire S.A............................... 3,631,077
5,098 Compagnie de Saint Gobain............................ 632,195
9,887 Compagnie de Suez S.A................................ 355,307
83,490 Compagnie Financiere de Paribas...................... 5,256,000
950 Compagnie Francaise d'Etudes et de Construction
Technip............................................. 86,242
81,283 Compagnie Generale de Geophysique S.A................ 7,843,795
7,131 Compagnie Generale des Eaux.......................... 688,827
300 Comptoirs Modernes................................... 129,348
624 CPR Parisienne de Reescompte......................... 50,600
885 Credit National...................................... 56,886
400 Dollfus-Mieg & Cie................................... 15,980
800 Docks de France S.A.................................. 197,780
600 Ecco S.A. ........................................... 148,454
16,250 Elf Aquitaine S.A. .................................. 1,185,300
1,550 Eridania Beghin-Say S.A. ............................ 218,271
550 Essilor International................................ 145,764
100 Europe 1 Communication............................... 21,142
700 Finextel............................................. 10,591
4,324 Groupe Danone........................................ 597,788
500 Groupe Saint Louis................................... 116,690
919 GTM ENTREPOSE S.A. .................................. 55,346
3,825 Havas S.A. .......................................... 257,214
900 Imetal S.A. ......................................... 118,905
5,621 Lafarge S.A. ........................................ 311,283
5,244 Lagardere S.C.A. .................................... 125,185
3,950 L'Air Liquide........................................ 673,424
1,660 Legrand S.A. ........................................ 248,535
4,015 L'OREAL.............................................. 1,256,250
3,516 Lyonnaise des Eaux S.A. ............................. 308,617
6,508 Michelin............................................. 304,541
5,200 Moet Hennessy Louis Vuitton.......................... 1,097,367
1,700 Moulinex+............................................ 30,932
800 Nord-Est S.A. ....................................... 20,221
450 Pathe S.A.+.......................................... 119,172
3,375 Pernod- Ricard....................................... 204,792
1,350 Pinault-Printemps-Redoute S.A. ...................... 433,347
1,200 Primagaz Cie......................................... 128,874
1,050 Promodes............................................. 255,018
3,000 PSA Peugeot.......................................... 344,138
19,587 Rhone-Poulenc Class A Shares......................... 514,071
200 Sagem S.A. .......................................... 113,526
100 Salomon S.A. ........................................ 83,067
6,238 Sanofi S.A. ......................................... 493,749
7,706 Schneider S.A. ...................................... 344,141
1,600 Sidel S.A. .......................................... 95,820
934 Simco S.A. .......................................... 75,738
50 Skis Rossignol S.A. ................................. 18,690
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
83
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
FRANCE -- 6.1% (CONTINUED)
1,650 Societe BIC S.A. .................................... $ 241,164
220 Societe Eurafrance S.A. Bonus rights................. 89,199
950 Societe Francaise d' Investissements Immobiliers et
de gestion.......................................... 68,035
5,336 Societe Generale..................................... 587,834
3,100 Societe Nationale d'Exploitation Industrielle des
Tabacs et Allumettes................................ 124,463
400 Sodexho S.A. ........................................ 183,461
1,500 Sommer Allibert...................................... 38,537
7,112 Thomson CSF.......................................... 197,348
14,277 Total S.A. Class B Shares............................ 1,051,834
18,445 Union des Assurances de Paris........................ 371,373
550 Union du Credit-Bail Immobilier...................... 56,347
500 Union Immobiliere de France.......................... 39,556
14,550 Usinor Sacilor....................................... 200,000
112,534 Valeo S.A............................................ 5,675,595
- ------------------------------------------------------------------------------
51,078,832
- ------------------------------------------------------------------------------
GERMANY -- 6.5%
2,700 Adidas AG............................................ 232,947
2,500 AGIV-AG fuer Industrie und Verkehrswesen+............ 41,108
1,350 Allianz AG Holding................................... 2,410,779
50 AMB Aachener & Muenchener Beteiligungs AG Bearer
Shares.............................................. 38,740
250 AMB Aachener & Muenchener Beteiligungs AG Registered
Shares.............................................. 203,004
37,000 BASF AG.............................................. 1,100,385
41,500 Bayer AG............................................. 1,506,052
15,350 Bayerische Hypotheken-und Wechsel-Bank AG............ 432,932
15,900 Bayerische Vereinsbank AG............................ 531,721
5,000 Beiersdorf AG........................................ 230,071
2,000 Bilfinger & Berger Bau AG............................ 79,848
250 Brau Und Brunnen AG+................................. 21,061
75 Buders Lahn.......................................... 33,876
1,500 CKAG Colonia Konzern AG.............................. 122,614
500 CKAG Colonia Konzern AG Preferred.................... 36,371
5,650 Continental AG....................................... 95,657
316,903 Daimler-Benz AG+..................................... 17,236,880
500 Degussa AG........................................... 175,362
28,400 Deutsche Bank AG..................................... 1,408,277
2,150 Deutsche Lufthansa AG................................ 302,321
150 Deutsche Lufthansa AG Non Voting Preferred........... 20,960
150 Didier-Werke AG+..................................... 11,063
100 DLW AG+.............................................. 7,680
1,850 Douglas Holding AG................................... 75,362
26,600 Dresdner Bank AG..................................... 725,389
116 Dyckerhoff AG........................................ 40,634
116 Dyckerhoff AG Preferred.............................. 25,485
50 Escada AG............................................ 8,187
50 Escada AG Preferred.................................. 7,748
3,380 George Schaefer Kommanditgesellschaft auf Aktien..... 44,140
50 Groche frdh Preferred................................ 13,702
250 Heidelberger Zement AG............................... 166,294
100 Herlitz AG+.......................................... 10,623
100 Herlitz AG Preferred................................. 10,217
4,000 Hochtief AG.......................................... 188,388
50 Holsten-Brauerei AG.................................. 11,571
150 IWKA AG.............................................. 32,716
500 Karstadt AG.......................................... 176,275
3,500 Kloeckner-Humboldt-Deutz AG+......................... 18,947
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
84
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
GERMANY-- 6.5% (CONTINUED)
500 Linde AG............................................. $ 311,273
150 Linotype-Hell AG+.................................... 9,576
650 MAN AG............................................... 163,621
250 MAN AG -- Vorzugsaktien.............................. 49,482
22,760 Mannesmann AG........................................ 8,239,680
9,800 Merck KGaA........................................... 360,752
4,225 Metro AG+............................................ 397,112
450 Muenchener Rueckversicherungs-Gesellschaft........... 1,036,845
900 Preussag AG.......................................... 212,302
400 PWA Papierwerke Waldhof-Aschaffenburg AG............. 56,299
100 Rheinmetall Berlin AG................................ 13,465
66 Rheinmetall Berlin AG Preferred...................... 7,145
20,000 RWE AG............................................... 729,462
12,000 RWE AG Preferred..................................... 361,347
100 Salamander AG........................................ 10,150
3,650 SAP AG............................................... 607,098
2,400 SAP AG -- Vorzugsaktien.............................. 394,478
4,100 Schering AG.......................................... 301,021
33,500 Siemens AG........................................... 1,776,102
150 STRABAG AG+.......................................... 12,738
1,900 Thyssen AG........................................... 345,209
29,250 VEBA AG.............................................. 1,534,942
1,606 Viag AG.............................................. 585,975
23,841 Volkswagen AG........................................ 8,856,379
- ------------------------------------------------------------------------------
54,207,840
- ------------------------------------------------------------------------------
HONG KONG -- 3.8%
50,000 Applied International Holdings....................... 3,620
84,640 Bank of East Asia, Ltd. ............................. 307,027
269,000 Cathay Pacific Airways............................... 447,017
180,000 Cheung Kong Holdings Ltd. ........................... 1,262,818
156,000 China Light & Power Co. Ltd. ........................ 663,726
151,116 Chinese Estates Holdings............................. 134,842
45,000 Dickson Concepts International Ltd. ................. 54,702
65,000 Elec & Eltek (Bermuda) International Holdings........ 11,936
46,000 Giordano International Ltd. ......................... 38,072
106,000 Hang Lung Development Co. ........................... 200,137
568,400 Hang Seng Bank Ltd. ................................. 5,825,351
235,000 Hong Kong & China Gas Co. Ltd. ...................... 379,880
18,000 Hong Kong and China Gas Co. Ltd. Warrants, Expire
9/30/97+............................................ 4,830
12,400 Hong Kong Aircraft Engineering Co. Ltd. ............. 31,269
78,000 Hong Kong & Shanghai Hotels Ltd. .................... 134,661
826,400 Hong Kong Telecommunications Ltd. ................... 1,383,977
13,800 Hong Kong Telecommunications Ltd. ADR................ 232,875
343,000 Hopewell Holdings Ltd. .............................. 182,972
999,000 Hutchison Whampoa Ltd. .............................. 6,046,167
81,000 Hysan Development Co. Ltd. .......................... 249,828
3,650 Hysan Development Co. Ltd. Rights.................... 1,876
16,795 Jardine Matheson Holdings Ltd.+...................... 105,808
25,500 Johnson Electric Holdings Ltd. ...................... 56,885
25,000 Kumagai Gumi (Hong Kong) Ltd. ....................... 23,277
5,000 Kumagai Gumi (Hong Kong) Ltd. Warrants, Expire
6/30/98+............................................ 1,008
16,000 Lai Sun Garment (International) Ltd. ................ 20,587
4,900 Melco International Development Ltd. ................ 1,600
45,000 Miramar Hotel and Investment Ltd. ................... 83,508
1,043,119 New World Development Co. Ltd. ...................... 5,058,641
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
85
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
HONG KONG -- 3.8% (CONTINUED)
898 New World Infrastructure Ltd. ....................... $ 2,112
96,000 Oriental Press Group................................. 49,348
42,000 Peregrine Investment Holdings Ltd. .................. 59,203
4,200 Peregrine Investment Holdings Ltd. Warrants, Expire
5/15/98+ ........................................... 684
44,000 Playmates Toys Holdings Ltd. ........................ 11,095
196,000 Regal Hotels International........................... 51,961
116,000 Shangri-La Asia Ltd. ................................ 151,512
98,000 Shun Tak Holdings Ltd. .............................. 57,664
100,000 South China Morning Post Holdings Ltd. .............. 70,479
62,000 Stelux Holdings International Ltd. .................. 12,828
663,000 Sun Hung Kai Properties Ltd. ........................ 6,369,423
145,500 Swire Pacific Ltd. Class A Shares.................... 1,293,612
41,000 Tai Cheung Holdings Ltd. ............................ 31,547
33,000 Television Broadcasts Ltd. .......................... 117,358
171,000 Wharf Holdings Ltd. ................................. 645,725
15,140 Wing Lung Bank....................................... 87,714
17,000 Winsor Industrial Corp. Ltd. ........................ 15,059
- ------------------------------------------------------------------------------
31,976,221
- ------------------------------------------------------------------------------
IRELAND -- 0.1%
45,600 Allied Irish......................................... 256,811
24,186 CRH PLC.............................................. 240,627
19,300 Fyffes PLC........................................... 32,263
11,764 Greencore Group PLC.................................. 58,806
16,647 Independent Newspapers PLC........................... 78,355
20,900 Irish Life PLC....................................... 81,070
3,000 James Crean PLC...................................... 9,738
71,800 Jefferson Smurfit Group PLC.......................... 195,191
11,100 Kerry Group PLC...................................... 107,737
48,600 Wedgwood PLC......................................... 58,369
14,500 Woodchester Investments PLC.......................... 42,360
- ------------------------------------------------------------------------------
1,161,327
- ------------------------------------------------------------------------------
ITALY -- 4.0%
9,000 Arnoldo Mondadori Editore S.p.A. .................... 62,416
53,000 Assicurazioni Generali............................... 1,167,810
2,180,600 Banca Commerciale Italiana........................... 4,147,399
34,000 Banco Ambrosiano Veneto S.p.A. ...................... 75,481
15,000 Banco Ambrosiano Veneto S.p.A. di Risp NC# .......... 20,725
14,000 Banco Popolare di Milano............................. 66,893
12,000 Benetton Group S.p.A. ............................... 129,680
5,000 Bulgari S.p.A. ...................................... 84,328
9,000 Burgo Cartiere S.p.A. ............................... 41,004
15,000 Cementir S.p.A. ..................................... 11,749
150,000 Credito Italiano..................................... 174,257
42,000 Edison S.p.A. ....................................... 227,427
318,000 Ente Nazionale Idrocarburi S.p.A. ................... 1,393,406
5,000 Falck Acciaierie & Ferriere Lombarde ................ 19,632
3,674,599 Fiat S.p.A. ......................................... 11,357,596
30,000 Impregilo S.p.A. .................................... 29,125
53,000 Istituto Bancario San Paolo di Torino................ 333,389
40,000 Istituto Mobiliare Italiano S.p.A. .................. 313,961
871,800 Istituto Nazionale delle Assicurazioni............... 1,245,614
11,000 Italcementi S.p.A. .................................. 73,480
45,000 Italgas S.p.A. ...................................... 154,058
4,000 La Previdente........................................ 20,411
11,000 La Rinascente S.p.A. ................................ 65,607
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
86
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
ITALY -- 4.0% (CONTINUED)
3,000 La Rinascente S.p.A. di Risp NC#....................... $ 6,888
2,000 La Rinascente S.p.A. PRIV.............................. 4,228
800 La Rinascente Warrants, Expire 12/31/99+............... 429
27,500 Magneti Marelli S.p.A. ................................ 34,990
32,000 Mediobanca S.p.A.+..................................... 171,708
45,000 Montedison S.p.A.+..................................... 24,304
262,700 Montedison S.p.A. di Risp NC+# ........................ 168,886
5,362,050 Olivetti Group+........................................ 2,805,794
75,000 Parmalat Finanziara S.p.A. ............................ 102,983
2,676,700 Pirelli S.p.A. ........................................ 4,486,074
22,000 Riunione Adriatica di Sicurta S.p.A. .................. 189,780
8,800 Riunione Adriatica di Sicurta S.p.A. Risp NC# ......... 39,072
6,000 Sasib S.p.A. .......................................... 21,471
4,000 Sasib S.p.A. di Risp NC# .............................. 7,109
15,000 Sirti S.p.A. di Risp NC# .............................. 104,622
45,000 Snia BPD S.p.A. ....................................... 41,630
5,000 Snia BPD S.p.A. di Risp NC# ........................... 3,015
4,000 Societa Assicuratrice Industriale...................... 13,068
8,000 Societa Assicuratrice Industriale di Risp NC# ......... 65,474
7,000 Spa Fabbriche Riunit di Risp@ ......................... 7,348
532,400 Stet Societa Finanziaria Telefonica S.p.A. ............ 1,695,311
447,500 Telecom Italia Mobile S.p.A............................ 923,781
102,500 Telecom Italia Mobile S.p.A. di Risp NC# .............. 123,898
440,000 Telecom Italia S.p.A. ................................. 864,560
105,000 Telecom Italia S.p.A. di Risp NC# ..................... 169,088
- --------------------------------------------------------------------------------
33,290,959
- --------------------------------------------------------------------------------
JAPAN -- 36.6%
10,000 Acom Ltd. ............................................. 401,473
5,500 Advantest Corp. ....................................... 199,033
46,000 Ajinomoto Co. Inc. .................................... 487,108
13,000 Alps Electric Co. Ltd. ................................ 153,222
20,000 Amada Co. Ltd. ........................................ 187,845
6,000 Amano Corp. ........................................... 76,243
27,000 Aoki Corp.+............................................ 89,005
5,000 Aoyama Trading Co. Ltd. ............................... 132,136
3,700 Arabian Oil Co. Ltd. .................................. 155,018
163,000 Asahi Bank Ltd. ....................................... 1,816,114
30,000 Asahi Breweries Ltd. .................................. 325,966
101,000 Asahi Chemical Industries Co. Ltd. .................... 678,913
83,000 Asahi Glass Co. Ltd. .................................. 924,769
8,000 Asahi Optical Co. Ltd.+................................ 37,200
44,000 Ashikaga Bank Ltd. .................................... 253,222
3,000 Autobacs Seven Co. Ltd. ............................... 253,591
326,600 Bank of Tokyo-Mitsubishi Ltd. ......................... 6,646,279
80,000 Bank of Yokohama Ltd. ................................. 650,460
56,000 Bridgestone Corp. ..................................... 917,863
17,000 Brother Industries Ltd. ............................... 88,443
59,000 Canon Inc. ............................................ 1,097,421
19,000 Casio Computer Corp. Ltd. ............................. 164,456
55,000 Chiba Bank Ltd. ....................................... 435,543
41,000 Chichibu Onoda Cement Corp. ........................... 200,847
14,000 Chiyoda Corp. ......................................... 150,828
17,000 Chugai Pharmaceutical Co. ............................. 151,058
20,000 Citizen Watch Co. Ltd. ................................ 160,773
44,000 Cosmo Oil Co. Ltd. .................................... 255,248
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
87
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
JAPAN -- 36.6% (CONTINUED)
9,100 Credit Saison Co. Ltd. ................................ $ 218,701
4,000 CSK Corp. ............................................. 120,073
53,000 Dai Nippon Printing Co. Ltd. .......................... 932,136
26,000 Daicel Chemical Industries Ltd. ....................... 138,379
27,000 Daido Steel Co. Ltd. .................................. 120,580
731,000 Daiei Inc. ............................................ 7,336,923
7,000 Daifuku Co. Ltd. ...................................... 89,594
19,000 Dai-ichi Pharmaceutical Co. ........................... 290,423
19,000 Daikin Industries Ltd. ................................ 187,200
12,000 Daikyo Inc. ........................................... 79,447
17,000 Daimaru Inc. .......................................... 105,662
56,000 Dainippon Ink & Chemical Inc. ......................... 244,419
10,000 Dainippon Screen Manufacturing Co. Ltd. ............... 81,952
9,725 Daito Trust Construction Co. Ltd. ..................... 122,681
34,000 Daiwa House Industry Co. Ltd. ......................... 485,267
9,000 Daiwa Kosho Lease Co. Ltd. ............................ 87,016
970,000 Daiwa Securities Co. Ltd. ............................. 10,986,186
1,290 DDI Corp. ............................................. 10,274,861
30,000 Denki Kagaku Kogyo K.K. ............................... 101,104
281 East Japan Railway Co. ................................ 1,314,438
20,000 Ebara Corp. ........................................... 302,025
251,800 Eisai Co. Ltd. ........................................ 4,358,968
8,000 Ezaki Glico Co. ....................................... 81,031
16,800 Fanuc.................................................. 614,143
203,000 Fuji Bank Ltd. ........................................ 3,738,489
36,000 Fuji Photo Film........................................ 1,083,977
24,000 Fujikura Ltd. ......................................... 185,856
35,000 Fujita Corp. .......................................... 138,904
8,000 Fujita Kanko Inc. ..................................... 155,432
129,000 Fujitsu Ltd. .......................................... 1,162,900
46,000 Furukawa Electric Co. ................................. 251,178
6,000 Gakken Co. ............................................ 41,988
36,000 Gunma Bank............................................. 361,325
13,000 Gunze Ltd. ............................................ 72,900
6,000 Hankyu Corp.+.......................................... 332,596
12,000 Hankyu Department Store................................ 153,591
27,000 Haseko Corp.+.......................................... 100,690
20,000 Hazama Corp. .......................................... 75,874
16,000 Higo Bank.............................................. 115,359
3,000 Hirose Electric........................................ 180,662
234,000 Hitachi Ltd. .......................................... 2,150,386
70,000 Hitachi Zosen Corp. ................................... 341,620
272,000 Hokuetsu Bank Ltd. .................................... 1,382,541
48,000 Hokuriku Bank.......................................... 270,055
68,000 Honda Motor Co. ....................................... 1,571,639
22,000 Honshu Paper Co. Ltd. ................................. 146,869
8,000 House Foods Industry................................... 145,856
8,000 Hoya Corp. ............................................ 254,143
17,000 Inax Corp. ............................................ 162,799
165,000 Industrial Bank of Japan............................... 3,509,668
13,200 Industrial Bank of Japan Rights+....................... 0
15,000 Isetan................................................. 204,419
20,000 Ishihara Sangyo Kaisha+................................ 68,139
143,000 Ito-Yokado Co. Ltd. ................................... 7,545,027
100,000 Itochu Corp. .......................................... 606,814
14,000 Itoham Foods........................................... 99,650
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
88
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
JAPAN -- 36.6% (CONTINUED)
16,000 Iwatani International Corp. ........................... $ 85,893
10,000 Jaccs.................................................. 78,637
125,000 Japan Airlines+........................................ 932,320
77,000 Japan Energy Corp. .................................... 265,174
8,000 Japan Metals & Chemicals+.............................. 36,169
23,000 Japan Steel Works+..................................... 66,289
4,000 Jeol+.................................................. 28,176
11,000 JGC Corp. ............................................. 131,675
56,000 Joyo Bank.............................................. 407,366
22,000 Jusco Corp. ........................................... 652,302
67,000 Kajima Corp. .......................................... 600,902
6,000 Kaken Pharmaceutical Co. .............................. 45,690
19,000 Kamigumi Co. Ltd. ..................................... 154,659
13,200 Kandenko Co. Ltd. ..................................... 154,364
32,000 Kanebo Ltd.+........................................... 82,209
22,000 Kaneka Corp. .......................................... 134,511
68,700 Kansai Electric Power Co. ............................. 1,530,883
17,000 Kansai Paint........................................... 80,303
42,000 Kao Corp. ............................................. 498,895
4,000 Katokichi.............................................. 88,766
965,000 Kawasaki Heavy Industries.............................. 4,442,908
37,000 Kawasaki Kisen Kaisha Ltd.+............................ 106,298
228,000 Kawasaki Steel......................................... 766,298
35,930 Keihin Electric Express Railway........................ 201,816
12,600 Kikkoman Corp. ........................................ 92,005
18,500 Kinden Corp. .......................................... 282,780
113,940 Kinki Nippon Railway................................... 802,616
74,000 Kirin Brewery Co. Ltd. ................................ 763,167
4,300 Kissei Pharmaceutical Co. ............................. 113,637
9,000 Kokuyo Co. ............................................ 236,187
70,000 Komatsu Ltd. .......................................... 598,802
194,000 Komori Corp. .......................................... 4,305,155
2,000 Konami Co. Ltd. ....................................... 60,773
25,000 Konica Corp. .......................................... 172,651
12,000 Koyo Seiko Co. Ltd. ................................... 108,508
99,000 Kubota Corp. .......................................... 581,602
48,000 Kumagai Gumi Co. Ltd. ................................. 170,607
17,000 Kurabo Industries...................................... 60,893
22,000 Kuraray Co. Ltd. ...................................... 224,861
14,000 Kureha Chemical Industry............................... 72,836
8,800 Kurita Water Industries................................ 183,941
53,000 Kyocera Corp. ......................................... 3,601,657
31,000 Kyowa Hakko Kogyo...................................... 268,038
50,000 Kyudenko Co. Ltd. ..................................... 63,996
18,000 Lion Corp. ............................................ 98,784
7,000 Maeda Road Construction................................ 108,931
6,000 Makino Milling Machine................................. 52,430
11,000 Makita Corp. .......................................... 158,011
105,000 Marubeni Corp. ........................................ 510,497
19,000 Maruha Corp. .......................................... 64,732
26,000 Marui Co. Ltd. ........................................ 509,944
147,000 Matsushita Electric Industrial Co. .................... 2,477,071
187,300 Matsuzakaya Ltd. ...................................... 2,017,872
19,000 Meiji Milk Products.................................... 111,270
27,000 Meiji Seika............................................ 155,635
27,000 Minebe Co. Ltd. ....................................... 225,745
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
89
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
JAPAN -- 36.6% (CONTINUED)
8,000 Misawa Homes........................................... $ 70,570
154,000 Mitsubishi Chemical Corp. ............................. 646,629
122,000 Mitsubishi Corp. ...................................... 1,415,653
151,000 Mitsubishi Electric Corp. ............................. 969,125
91,000 Mitsubishi Estates Co. Ltd. ........................... 1,114,456
35,000 Mitsubishi Gas Chemical Co. ........................... 144,383
237,000 Mitsubishi Heavy Industries Ltd. ...................... 1,874,613
80,000 Mitsubishi Materials Corp. ............................ 386,740
32,000 Mitsubishi Oil Co. .................................... 246,040
23,000 Mitsubishi Paper Mills................................. 121,353
44,000 Mitsubishi Rayon Co. .................................. 176,243
452,000 Mitsubishi Trust & Banking............................. 6,784,161
109,000 Mitsui & Co. .......................................... 920,377
58,000 Mitsui Engineering & Ship Building+.................... 155,948
57,000 Mitsui Fodosan......................................... 703,314
51,000 Mitsui Marine & Fire Insurance......................... 354,558
36,000 Mitsui Mining & Smelting............................... 131,933
78,000 Mitsui O.S.K. Lines Ltd.+.............................. 234,143
9,000 Mitsui Soko............................................ 69,613
55,000 Mitsui Toatsu Chemicals................................ 199,033
84,000 Mitsui Trust & Banking................................. 843,093
34,000 Mitsukoshi Ltd. ....................................... 306,814
6,000 Mori Seiki............................................. 99,447
68,000 Murata Manufacturing Co. Ltd. ......................... 2,416,942
9,000 Nagase & Co. .......................................... 75,331
56,000 Nagoya Railroad Co. Ltd. .............................. 261,952
2,700 Namco.................................................. 87,762
34,450 Nankai Electric Railway................................ 207,144
558,000 NEC Corp. ............................................. 5,960,220
52,000 New Oji Paper Co. Ltd. ................................ 422,320
25,000 NGK Insulators......................................... 262,430
14,000 NGK Spark Plug......................................... 144,383
923,200 Nichido Fire & Marine Insurance Ltd. .................. 6,418,194
19,000 Nichiei Co. Ltd. ...................................... 299,171
22,000 Nichirei Corp. ........................................ 142,817
23,000 Nihon Cement Co. Ltd. ................................. 150,791
21,000 Niigata Engineering Co. Ltd.+.......................... 73,287
149,000 Nikon Corp. ........................................... 1,618,968
10,000 Nippon Beet Sugar Manufacturing........................ 44,751
7,000 Nippon Comsys Corp. ................................... 92,817
7,000 Nippon Denko Co. Ltd. ................................. 28,103
75,000 Nippon Express Co. Ltd. ............................... 660,911
41,000 Nippon Fire & Marine Insurance Ltd. ................... 243,130
38,000 Nippon Light Metal Co. ................................ 191,749
16,000 Nippon Meat Packers Inc. .............................. 222,467
86,000 Nippon Oil Co. Ltd. ................................... 526,611
67,000 Nippon Paper Industries Co. ........................... 401,012
9,000 Nippon Sharyo Ltd. .................................... 82,872
31,000 Nippon Sheet Glass..................................... 133,305
22,000 Nippon Shinpan Co. .................................... 140,589
14,000 Nippon Shokubai K.K. Co. .............................. 120,534
3,896,000 Nippon Steel Co. ...................................... 12,340,920
19,000 Nippon Suisan Kaisha Ltd.+............................. 76,979
901 Nippon Telegraph & Telephone Corp. .................... 6,396,602
82,000 Nippon Yusen Kabushiki Kaish........................... 433,407
61,000 Nippondenso Co. Ltd. .................................. 1,258,195
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
90
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
JAPAN -- 36.6% (CONTINUED)
19,000 Nishimatsu Construction................................ $ 176,703
1,713,000 Nissan Motor Co. Ltd.+................................. 12,823,839
15,000 Nisshinbo Industries................................... 137,707
9,000 Nissin Food Products................................... 217,127
11,000 Nitto Denko Corp. ..................................... 168,139
1,839,000 NKK Corp.+............................................. 4,859,972
14,000 NOF Corp. ............................................. 77,863
258,000 Nomura Securities Co. Ltd. ............................ 4,490,054
10,000 Noritake Co. Ltd. ..................................... 90,239
40,000 NSK Ltd. .............................................. 263,351
33,000 NTN Corp. ............................................. 211,187
2,790 NTT Data Communication Systems Corp. .................. 8,554,972
434,000 Obayashi Corp. ........................................ 3,604,676
51,320 Odakyu Electric Railway................................ 331,737
10,000 Okamoto Industries Inc. ............................... 57,550
8,000 Okuma Corp. ........................................... 75,138
17,000 Okumura Corp. ......................................... 127,891
19,000 Olympus Optical Co. Ltd. .............................. 174,953
18,000 Omron Corp. ........................................... 329,834
12,000 Onward Kashiyama Co. Ltd. ............................. 165,745
24,000 Orient Corp. .......................................... 144,751
5,000 Orix Corp. ............................................ 186,924
177,000 Osaka Gas Co. ......................................... 609,558
2,000 Oyo Corp. ............................................. 106,814
25,000 Penta-Ocean Construction............................... 149,401
284,000 Pioneer Electronic Corp. .............................. 5,753,222
10,000 Q.P. Corp. ............................................ 90,147
17,000 Renown Inc.+........................................... 58,545
8,000 Rohm Co. .............................................. 479,558
244,000 Sakura Bank Ltd. ...................................... 2,314,180
9,000 Sanden................................................. 64,309
16,000 Sankyo Aluminum Industry Co. .......................... 84,714
31,000 Sankyo Co. Ltd. ....................................... 770,718
5,000 Sanrio Co. Ltd.+....................................... 52,025
15,000 Sanwa Shutter.......................................... 135,359
137,000 Sanyo Electric Co. Ltd. ............................... 706,445
24,000 Sapporo Breweries...................................... 220,331
16,000 Sato Kogyo Co. ........................................ 85,745
8,000 Secom.................................................. 511,970
7,000 Sega Enterprises....................................... 299,723
10,000 Seino Transportation................................... 147,329
16,000 Seiyu Ltd. ............................................ 181,215
39,000 Sekisui Chemical Co. .................................. 423,756
49,000 Sekisui House Ltd. .................................... 518,876
400 Seven-Eleven........................................... 24,088
27,000 Seventy-Seventh Bank................................... 261,049
1,116,000 Sharp Corp. ........................................... 17,675,138
4,000 Shimachu............................................... 114,180
9,000 Shimano Inc. .......................................... 166,574
55,000 Shimizu Corp. ......................................... 511,510
24,000 Shin-Etsu Chemical Co. ................................ 424,309
25,000 Shionogi & Co. ........................................ 195,441
28,000 Shiseido Co. Ltd. ..................................... 340,331
56,000 Shizuoka Bank.......................................... 623,941
9,000 Shokusan Jutaku Sogo................................... 30,082
73,000 Showa Denko K.K.+...................................... 209,723
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
91
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
JAPAN -- 36.6% (CONTINUED)
7,000 Skylark................................................ $ 132,136
4,000 SMC.................................................... 279,926
23,000 Snow Brand Milk Products............................... 145,073
165,100 Sony Corp. ............................................ 10,368,157
577,000 Sumitomo Bank.......................................... 10,573,019
114,000 Sumitomo Chemical Co. ................................. 495,469
75,000 Sumitomo Corp. ........................................ 633,287
50,000 Sumitomo Electric Industries........................... 662,983
12,000 Sumitomo Forestry Co. ................................. 173,480
37,000 Sumitomo Heavy Industries Ltd.+........................ 132,191
47,000 Sumitomo Marine & Fire................................. 363,535
221,000 Sumitomo Metal Industries.............................. 624,742
39,000 Sumitomo Metal Mining Co. ............................. 320,690
29,000 Sumitomo Osaka Cement Co. Ltd. ........................ 117,762
1,003,000 Sumitomo Realty & Development Co. Ltd. ................ 7,056,095
562,000 Taisei Corp. .......................................... 3,565,542
24,000 Taisho Pharmaceutical.................................. 481,767
7,000 Taiyo Yuden Co., Ltd. ................................. 83,793
15,000 Takara Shuzo........................................... 150,552
9,000 Takara Standard........................................ 92,817
20,000 Takashimaya Co. ....................................... 272,559
61,000 Takeda Chemical Industries............................. 1,055,985
5,000 Takuma Co. Ltd. ....................................... 65,837
68,000 Teijin Ltd. ........................................... 331,860
17,000 Teikoku Oil Ltd. ...................................... 104,723
12,000 Toa Corp. ............................................. 74,033
60,000 Tobu Railway Co. Ltd. ................................. 362,430
9,000 Toei................................................... 64,061
1,200 Toho Co. .............................................. 197,790
35,300 Tohoku Electric Power.................................. 760,607
142,000 Tokai Bank............................................. 1,686,740
109,000 Tokyo Marine & Fire Insurance Co. ..................... 1,244,567
12,000 Tokyo Broadcasting System.............................. 183,425
11,000 Tokyo Dome Corp. ...................................... 204,604
95,000 Tokyo Electric Power................................... 2,318,316
11,000 Tokyo Electronics Ltd. ................................ 287,661
197,000 Tokyo Gas Co. Ltd. .................................... 656,666
11,000 Tokyo Steel Manufacturing.............................. 196,500
7,000 Tokyo Style Co. ....................................... 112,154
14,000 Tokyo Tatemono Co. Ltd. ............................... 73,738
18,000 Tokyotokeiba........................................... 74,585
77,000 Tokyu Corp. ........................................... 506,243
49,000 Toppan Printing Co. Ltd. .............................. 618,139
98,000 Toray Industries Inc. ................................. 610,920
42,000 Tosoh Corp. ........................................... 173,259
15,000 Tostem Corp. .......................................... 428,176
24,000 Toto Ltd. ............................................. 318,232
11,000 Toyo Engineering....................................... 67,255
3,000 Toyo Exterior.......................................... 60,220
14,000 Toyo Seikan Kaisha..................................... 449,907
49,000 Toyobo Ltd. ........................................... 163,784
20,000 Toyoda Automatic Loom Works............................ 384,898
263,000 Toyota Motor Corp. .................................... 6,344,935
1,000 Trans Cosmos........................................... 41,344
6,000 Tsugami Corp. ......................................... 26,022
12,000 Tsubakimoto Chain...................................... 75,690
59,000 UBE Industries Ltd. ................................... 206,445
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
92
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
JAPAN -- 36.6% (CONTINUED)
5,000 Uni-Charm.............................................. $ 121,086
3,000 Uniden Corp. .......................................... 54,419
30,000 Unitika Ltd.+.......................................... 79,834
13,000 Uny Co. Ltd. .......................................... 228,637
10,000 Wacoal Corp. .......................................... 131,149
14,000 Yamaguchi Bank......................................... 212,707
14,000 Yamaha Corp. .......................................... 221,731
85,000 Yamaichi Securities.................................... 516,574
23,000 Yamanouchi Pharmaceutical.............................. 474,401
26,000 Yamato Transport Co. Ltd. ............................. 282,504
15,000 Yamazaki Baking Co. Ltd. .............................. 255,524
77,000 Yasuda Trust & Banking................................. 385,000
18,000 Yokogawa Electric...................................... 154,972
- --------------------------------------------------------------------------------
305,094,196
- --------------------------------------------------------------------------------
MALAYSIA -- 1.9%
9,000 Aluminium Co. of Malaysia Berhad....................... 13,353
30,000 AMMB Holdings Berhad................................... 204,507
84,000 Amsteel Corp. Berhad................................... 59,619
15,000 Antah Holdings Berhad.................................. 19,488
13,000 Aokam Perdana Berhad................................... 20,017
51,000 Berjaya Group Berhad................................... 33,743
30,000 Berjaya Leisure Berhad................................. 28,270
21,000 Commerce Asset Holdings Berhad......................... 131,365
59,000 DCB Holdings Berhad.................................... 179,805
17,000 Edaran Otomobil Nasional Berhad........................ 177,239
17,000 Ekran Berhad........................................... 72,259
173,200 Genting Berhad......................................... 1,390,869
5,800 Genting International Ltd. ADR......................... 12,180
81,000 Golden Hope Plantation Berhad.......................... 130,571
10,000 Golden Plus Holdings Berhad............................ 20,049
20,000 Guinness Anchor Berhad................................. 45,312
40,000 Highlands & Lowlands Berhad............................ 68,008
9,000 Hong Leong Industries Berhad........................... 41,502
47,000 Hong Leong Properties Berhad........................... 52,959
17,000 Hume Industries Berhad................................. 87,256
37,000 Idris Hydraulic Berhad................................. 48,664
31,000 IGB Corp. Berhad....................................... 32,071
63,000 IOI Corp. Berhad....................................... 92,461
21,000 Jaya Tiasa Holdings Berhad............................. 116,208
21,000 Johan Holdings Berhad.................................. 18,862
31,000 Kedah Cement Holdings Berhad........................... 55,441
8,000 Kelanamas Industries Berhad............................ 14,628
21,000 Kemayan Corp. Berhad................................... 26,778
8,000 Kian Joo Can Factory Berhad............................ 47,477
58,000 Kuala Lumpur Kepong Berhad............................. 144,197
40,000 Land & General Holdings Berhad......................... 73,141
28,000 Landmarks Berhad....................................... 34,806
29,000 Leader Universal Holdings Berhad....................... 62,795
153,250 Magnum Corp. Berhad.................................... 248,266
93,000 Malayan Banking Berhad................................. 883,831
22,000 Malayan Cement Berhad.................................. 54,695
87,000 Malayan United Industries Berhad....................... 63,144
9,000 Malayawata Steel Berhad................................ 16,168
82,000 Malaysia International Shipping Berhad................. 249,899
85,000 Malaysia Mining Corp. Berhad........................... 95,436
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
93
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
MALAYSIA -- 1.9% (CONTINUED)
63,000 Malaysian Airline System Berhad...................... $ 188,206
400 Malaysian Helicopter Services Berhad................. 599
18,000 Malaysian Mosaics Berhad............................. 22,952
9,000 Malaysian Oxygen Berhad.............................. 44,029
13,000 Malaysian Pacific Industries Berhad.................. 46,655
33,000 Malaysian Resources Corp. Berhad..................... 104,539
52,000 MBF Capital Berhad................................... 74,232
53,000 Metroplex Berhad..................................... 57,169
47,000 Mulpha International Berhad.......................... 41,462
50,000 Multi-Purpose Holdings Berhad........................ 69,773
23,000 Mycom Berhad......................................... 29,513
19,000 Nestle Malaysia Berhad............................... 189,710
15,000 New Straits Times Press Berhad....................... 84,208
10,000 Oriental Holdings Berhad............................. 80,599
10,000 Palmco Holdings Berhad............................... 12,831
55,000 Pan-Malaysia Cement Works Berhad..................... 61,532
25,000 Perlis Plantations Berhad............................ 87,717
41,000 Perusahaan Otomobil Nasional Berhad.................. 221,950
13,000 Petaling Garden Berhad............................... 15,743
14,000 Pilecon Engineering Berhad........................... 17,178
36,000 Promet Berhad........................................ 31,191
104,666 Public Bank Berhad................................... 200,620
23,000 Rashid Hussain Berhad................................ 82,544
2,002,000 Renong Berhad........................................ 2,922,158
242,000 Resorts World Berhad................................. 1,319,751
17,000 R.J. Reynolds Berhad................................. 49,081
23,000 Rothmans of Pall Mall Berhad......................... 242,100
23,000 Selangor Properties Berhad........................... 26,746
20,000 Shell Refining Co. Berhad............................ 60,149
189,000 Sime Darby Berhad.................................... 640,408
11,000 Sungei Way Holdings Berhad........................... 55,577
41,000 TA Enterprise Berhad................................. 58,200
45,000 Tan Chong Motor Holdings Berhad...................... 79,757
51,000 Technology Resources Industries Berhad............... 147,245
162,000 Telekom Malaysia Berhad.............................. 1,423,048
250,000 Tenaga Nasional Berhad............................... 907,249
52,000 Time Engineering Berhad.............................. 110,514
17,000 UMW Holdings Berhad.................................. 67,487
61,000 United Engineers Ltd. ............................... 432,953
45,000 YTL Corp. Berhad..................................... 221,950
- ------------------------------------------------------------------------------
15,696,664
- ------------------------------------------------------------------------------
NETHERLANDS -- 3.0%
24,503 ABN AMRO Holding NV.................................. 1,341,556
5,528 Akzo Nobel........................................... 643,698
51,554 Elsevier NV.......................................... 821,577
6,729 Getronics NV......................................... 164,102
3,902 Heineken NV.......................................... 869,623
205 Hollandsche Beton Groep NV........................... 37,371
9,864 Koninklijke Ahold NV................................. 552,565
2,000 Koninklijke Nederlandsche Hoogovens en
Staalfabrienken NV.................................. 71,230
1,428 Koninklijke Nedlloyd Groep NV........................ 34,049
1,998 Koninklijke Pakhoed NV............................... 56,444
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
94
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
NETHERLANDS -- 3.0% (CONTINUED)
1,509 IHC Caland NV.......................................... $ 81,981
58,848 ING Groep NV........................................... 1,836,573
7,067 KLM Royal Dutch Air Lines NV........................... 194,954
7,921 NV Koninklijke KNP BT.................................. 183,608
1,472 Oce-Van Der Griten NV.................................. 151,767
26,835 Philips Electronics NV................................. 908,754
41,690 Royal Dutch Petroleum Co. ............................. 6,241,478
36,006 Royal PTT Netherlands NV............................... 1,264,969
1,912 Stad Rotterdam NV...................................... 67,680
1,855 Stork NV............................................... 55,652
12,446 Unilever NV............................................ 1,791,845
63,809 Wolters Kluwer NV...................................... 8,031,012
- --------------------------------------------------------------------------------
25,402,488
- --------------------------------------------------------------------------------
NEW ZEALAND -- 0.2%
176,900 Brierley Investments Ltd. ............................. 175,843
114,700 Carter Holt Harvey Ltd. ............................... 257,325
3,200 Ceramco Corp. Ltd. .................................... 3,247
7,200 Fisher & Paykel Industries Ltd. ....................... 24,154
24,575 Fletcher Challenge Building............................ 54,115
24,575 Fletcher Challenge Energy.............................. 56,835
53,300 Fletcher Challenge Forests............................. 73,585
49,150 Fletcher Challenge Paper............................... 94,659
36,300 Lion Nathan Ltd. ...................................... 95,971
125,300 Telecom Corp. of New Zealand Ltd. ..................... 599,405
6,500 Wilson & Horton Ltd. .................................. 42,177
- --------------------------------------------------------------------------------
1,477,316
- --------------------------------------------------------------------------------
NORWAY -- 0.2%
2,700 Aker AS Class A Shares................................. 53,310
600 Aker AS Class B Shares................................. 11,238
2,700 Bergesen d.y. ASA Class A Shares....................... 56,892
1,100 Bergesen d.y. ASA Class B Shares....................... 22,835
1,700 Dyno Industrier AS..................................... 38,740
3,300 Elkem AS............................................... 46,872
4,000 Hafslund Nycomed ASA+.................................. 29,343
2,700 Hafslund Nycomed Class B Shares........................ 17,067
1,400 Helikopter Services Group AS........................... 16,279
2,300 Kvaerner ASA Class A Shares............................ 82,030
600 Kvaerner ASA Class B Shares............................ 19,666
2,000 Leif Hoegh & Co. AS.................................... 34,650
5,200 NCL Holdings AS........................................ 11,931
15,300 Norsk Hydro AS......................................... 703,302
400 Norske Skogindustrier AS............................... 11,612
1,800 Norske Skogindustrier AS Class A Shares................ 55,487
4,000 Nycomed AS Class A Shares+............................. 49,946
2,700 Nycomed AS Class B Shares+............................. 32,239
2,600 Orkla AS Class A Shares................................ 143,862
600 Orkla AS Class B Shares................................ 30,530
1,800 Petroleum Geo-Services AS+............................. 49,728
3,500 Transocean AS+......................................... 93,143
18,500 UNI Storebrand AS Class A Shares....................... 102,508
1,300 Unitor Ships Service AS................................ 18,261
- --------------------------------------------------------------------------------
1,731,471
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
95
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
SINGAPORE -- 2.6%
20,000 Amcol Holdings Ltd. ................................... $ 37,237
15,000 Chun Hup Holdings Ltd. ................................ 10,979
836,000 City Developments Ltd. ................................ 6,950,824
42,000 Comfort Group Ltd. .................................... 39,994
7,000 Creative Technology Ltd.+.............................. 28,354
19,000 Cycle & Carriage Ltd. ................................. 182,276
73,000 DBS Land Ltd. ......................................... 242,779
93,000 Development Bank of Singapore Ltd. .................... 1,090,462
16,000 First Capital Corp. Ltd. .............................. 39,795
322,000 Fraser & Neave Ltd. ................................... 3,143,481
30,000 Goldtron Ltd. ......................................... 19,826
29,000 Hai Sun Hup Group Ltd. ................................ 21,638
12,000 Haw Par Brothers International Ltd. ................... 26,094
27,000 Hotel Properties Ltd. ................................. 41,787
11,000 Inchcape Berhad........................................ 34,863
79,000 IPC Corp. ............................................. 28,631
17,089 Jardine Matheson Holdings Ltd. ........................ 107,660
7,000 Jurong Shipyard Ltd. .................................. 31,836
513,000 Keppel Corp. Ltd. ..................................... 3,899,891
8,000 Low Keng Huat Ltd. .................................... 3,411
22,000 Lum Chang Holdings Ltd. ............................... 18,447
7,000 Metro Holdings Ltd. ................................... 25,618
22,000 Natsteel Ltd. ......................................... 36,426
46,000 Neptune Orient Lines Ltd. ............................. 40,861
203,700 Oversea-Chinese Banking Corp. Ltd. .................... 2,446,368
8,000 Overseas Union Enterprise Ltd. ........................ 42,353
19,000 Parkway Holdings Ltd. ................................. 59,678
3,000 Prima Ltd. ............................................ 11,192
4,000 Robinson & Co. Ltd. ................................... 16,344
8,000 Sembawang Maritime Ltd. ............................... 20,579
10,000 Shangri-La Hotel Ltd. ................................. 34,820
55,000 Singapore Airlines Ltd. ............................... 582,362
13,000 Singapore Press Holdings Ltd. ......................... 225,412
49,000 Singapore Technologies Industrial Corp. ............... 116,301
484,000 Singapore Telephone Corp. ............................. 1,176,293
20,000 Straits Trading Co. Ltd. .............................. 47,754
90,000 United Industrial Corp. Ltd. .......................... 85,702
47,000 United Overseas Bank Ltd. ............................. 450,895
33,000 United Overseas Land Ltd. ............................. 55,812
9,000 Van Der Horst Ltd. .................................... 31,983
- --------------------------------------------------------------------------------
21,507,018
- --------------------------------------------------------------------------------
SPAIN -- 2.7%
750 Acerinox S.A. ......................................... 83,969
9,200 Argentina Corp. ....................................... 380,375
15,120 Autopistas Concesionaria Espanola S.A. ................ 162,028
16,500 Banco Bilbao Vizcaya S.A.+............................. 694,070
12,050 Banco Central Hispanoamericano S.A. ................... 245,249
78,190 Banco Santander S.A. .................................. 4,014,392
1,100 Corporacion Financiera Alba............................ 92,190
1,800 Corporacion Mapfre..................................... 87,808
3,800 Dragados & Construcciones S.A. ........................ 48,014
3,200 Ebro Argicolas, Compania de Alimentacion S.A. ......... 35,187
1,650 El Aguila S.A.+........................................ 9,764
1,400 Empresa Nacional de Celulosas S.A. .................... 20,824
19,100 Empresa Nacional de Electridad S.A. ................... 1,113,511
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
96
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
SPAIN -- 2.7% (CONTINUED)
11,200 Ercros S.A.+......................................... $ 6,001
1,000 Fomento de Construcciones y Contratas S.A. .......... 78,371
2,750 Gas Natural SDG...................................... 527,809
2,881 General de Agnas Barcelona S.A. ..................... 112,779
68,250 Iberdrola S.A. ...................................... 616,757
1,500 Inmobiliaria Metropolitana Vasco Central S.A. ....... 50,141
2,750 Inmobiliaria Urbis S.A.+............................. 10,996
500 Portland Valderrivas S.A. ........................... 31,548
800 Prosegur, CIA de Seguridad S.A. ..................... 29,429
77,830 Repsol S.A. ......................................... 2,530,119
3,800 Sarrio S.A. ......................................... 13,067
2,450 Tabacalera S.A. ..................................... 99,924
592,010 Telefonica de Espana................................. 11,007,438
19,250 Union Electrica Fenosa S.A. ......................... 116,843
3,450 Uralita S.A. ........................................ 29,245
2,850 Vallehermosa S.A. ................................... 52,079
1,550 Viscofan Industria Navarra De Envolturas Celulosicas
S.A. ............................................... 20,948
660 Zardoya -- Otis S.A. ................................ 63,865
- ------------------------------------------------------------------------------
22,384,740
- ------------------------------------------------------------------------------
SWEDEN -- 3.4%
4,900 ABB AB Class A Shares................................ 529,605
2,000 ABB AB Class B Shares................................ 214,049
8,500 AGA AB Class A Shares................................ 141,339
7,100 AGA AB Class B Shares................................ 115,376
388,009 Astra AB Class A Shares.............................. 16,422,915
53,694 Astra AB Class B Shares.............................. 2,223,958
8,000 Atlas Copco AB Class A Shares........................ 160,234
4,000 Atlas Copco AB Class B Shares........................ 80,117
3,600 Autoliv AB........................................... 118,906
5,400 Electrolux AB Class B Shares......................... 314,271
1,200 Esselte AB Class A Shares............................ 25,214
1,000 Esselte AB Class B Shares............................ 21,314
3,100 Euroc Industies...................................... 99,814
1,660 Fastighets AB Nackebro+.............................. 22,960
3,000 Hennes & Mauritz AB Class B Shares................... 312,003
4,800 Securitas AB......................................... 120,085
24,660 Skandia Forsakrings AB............................... 306,810
372,607 Skandinaviska Enskilda Banke Class A Shares.......... 3,097,876
9,300 Skanska AB Class B Shares............................ 348,646
3,200 SKF AB Class A Shares................................ 73,042
4,200 SKF AB Class B Shares................................ 98,725
9,000 Stadshypotek AB...................................... 233,322
3,900 Stora Kopparbergs Class A Shares..................... 54,532
19,200 Stora Kopparbergs Class B Shares..................... 269,919
14,500 Svenska Cellulosa AB................................. 307,960
15,200 Svenska Handelsbanken Class A Shares................. 311,355
1,400 Svenska Handelsbanken Class B Shares................. 27,300
34,000 Swedish Match AB+.................................... 97,652
70,400 Telefonaktiebolaget LM Ericsson Class B Shares....... 1,644,188
7,700 Trelleborg AB Class B Shares......................... 101,265
10,400 Volvo AB Class A Shares.............................. 223,245
23,600 Volvo AB Class B Shares.............................. 503,015
- ------------------------------------------------------------------------------
28,621,012
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
97
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ----------------------------------------------------------------
<C> <S> <C>
SWITZERLAND -- 4.5%
532 Adia S.A. ........................... $ 150,146
155 Alusoisse Lonza Class A Shares....... 121,012
320 Alusoisse Lonza Class B Shares....... 251,436
300 Brown Boveri......................... 73,396
648 Brown Boveri PLC..................... 800,260
5,964 Ciba Geigy AG........................ 7,544,637
14,655 CS Holdings AG....................... 1,523,503
200 Danzas Holding AG.................... 38,744
140 Distebora Holdings AG+............... 2,063
115 Forbo Holding AG Registered Shares... 47,244
180 Gebrueder Sulzer AG.................. 113,176
40 Georg Fischer AG..................... 40,013
30 Georg Fischer AG Preferred........... 5,886
25 Grands Magasins Jemoli SA+........... 14,132
90 Grands Magasins Jemoli SA Registered
Shares+............................. 9,994
552 Holderbank Financiere Glaris AG Class
B Shares............................ 423,126
35 Moevenpick Holding AG................ 9,936
25 Moevenpick Holding AG Bearer Shares.. 6,784
3,040 Nestle SA Registered Shares.......... 3,566,466
25 Reiseburo Kuoni AG Registered Shares... 58,032
414 Roche Holding AG..................... 3,793,339
545 Roche Holding AG Bearer Shares....... 4,161,677
220 Sandoz AG............................ 260,855
6,798 Sandoz AG Registered Shares.......... 8,105,831
105 Schindler Holding AG................. 103,281
70 Schindler Holding AG Warrants, Expire
12/16/96+........................... 17
3,390 Schweizerische Bankgesellschaft Class
B Shares............................ 661,667
2,015 Schweizerische Bankverein Class B
Shares.............................. 1,960,149
2,515 Schweizerische Bankverein Registered
Shares.............................. 490,882
1,089 Schweizerische Rueckversicherungs-
Gesellschaft Registered Shares...... 1,179,386
130 SGS Societe Generale de Surveillance
Holding S.A......................... 304,505
185 Sika Finanz AG Bearer Shares......... 46,188
280 SMH AG Bearer Shares................. 194,989
1,170 SMH AG Registered Shares............. 181,224
90 Sulzer AG............................ 52,229
170 Swissair AG Registered Shares+....... 155,719
320 Valora Holdings AG................... 58,249
3,535 Zurich Versicherungsgesellschaft
Registered Shares................... 974,078
- ----------------------------------------------------------------
37,484,251
- ----------------------------------------------------------------
UNITED KINGDOM -- 12.5%
94,400 Abbey National PLC................... 871,997
12,100 AMEC PLC............................. 17,770
6,900 Amstrad PLC.......................... 14,828
16,000 Anglian Water PLC.................... 146,045
16,706 Argosargos........................... 197,278
48,900 Arjo Wiggins Appleton PLC............ 141,395
5,017,574 Asda Group PLC....................... 8,783,499
64,300 Associated British Foods PLC......... 400,493
113,300 Barclays PLC......................... 1,609,717
11,000 Barratt Developments PLC............. 43,669
62,800 Bass PLC............................. 816,655
220,900 B.A.T. Industries PLC................ 1,486,362
24,400 BBA Group PLC........................ 124,326
21,100 The BICC Group....................... 110,314
43,600 Blue Circle Industries PLC........... 251,119
34,400 BOC Group PLC........................ 466,695
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
98
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM -- 12.5% (CONTINUED)
64,500 Boots Co. PLC.......................................... $ 628,567
11,500 Bowthorpe PLC.......................................... 78,547
30,000 BPB Industries PLC..................................... 167,630
30,600 British Aerospace PLC.................................. 475,883
68,700 British Airways PLC.................................... 564,267
313,600 British Gas PLC........................................ 1,002,363
25,700 British Land Co. PLC................................... 184,776
403,497 British Petroleum Co. PLC.............................. 3,913,252
122,600 British Sky Broadcasting Group PLC..................... 1,095,121
145,600 British Steel PLC...................................... 423,282
445,800 British Telecommunications PLC......................... 2,616,409
286,100 BTR PLC................................................ 1,140,286
11,900 Burmah Castrol PLC..................................... 195,016
168,000 Cable and Wireless PLC................................. 1,105,469
70,900 Cadbury Schweppes PLC.................................. 568,485
10,100 Calor Group PLC........................................ 39,860
35,700 Caradon PLC............................................ 123,873
41,350 Carlton Communications PLC............................. 309,898
16,700 Chubb Security PLC..................................... 83,917
41,600 Coats Viyella PLC...................................... 103,057
5,400 Cobham PLC............................................. 52,961
49,550 Commercial Union PLC................................... 457,706
3,100 Costain Group PLC+..................................... 3,222
24,100 Courtaulds PLC......................................... 162,537
6,100 Courtaulds Textiles PLC................................ 29,937
11,700 Dawson International PLC............................... 12,160
13,300 De La Rue PLC.......................................... 133,041
8,900 Delta PLC.............................................. 51,608
11,500 East Midlands Electricity PLC.......................... 103,532
25,300 Electrocomponents PLC.................................. 152,836
18,300 English China Clays PLC................................ 72,221
33,400 FKI PLC................................................ 96,838
196,400 General Electric Co. PLC............................... 1,183,372
21,600 George Wimpey PLC...................................... 45,070
25,000 GKN PLC................................................ 410,675
558,318 Glaxo Wellcome PLC..................................... 8,010,876
72,840 Granada Group PLC...................................... 992,186
149,600 Grand Metropolitan PLC................................. 1,108,321
19,300 Great Portland Estates PLC............................. 58,370
71,900 Great Universal Stores PLC............................. 732,148
31,500 GTD.................................................... 101,914
53,575 Guardian Royal Exchange PLC............................ 211,854
137,700 Guinness PLC........................................... 1,029,844
16,900 Hammerson PLC.......................................... 101,695
369,100 Hanson PLC............................................. 908,615
42,400 Harrisons & Crosfield PLC.............................. 88,471
14,500 Hepworth PLC........................................... 62,664
127,500 HSBC Holdings PLC...................................... 2,188,105
61,600 Hong Kong Shang Hai Banking Corp. ..................... 1,081,706
74,000 Huntingdon International Holdings PLC ADR.............. 508,750
7,400 Hyder PLC.............................................. 84,548
20,500 IMI PLC................................................ 126,883
51,800 Imperial Chemical Industries PLC....................... 654,584
131,000 J. Sainsbury PLC....................................... 797,507
5,400 John Laing PLC......................................... 23,421
12,900 Johnson Matthey PLC.................................... 124,705
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
99
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM -- 12.5% (CONTINUED)
47,900 Kingfisher PLC......................................... $ 490,379
1,659,592 Ladbroke Group PLC..................................... 5,408,328
8,500 Laird Group PLC........................................ 64,301
36,600 Land Securities PLC.................................... 389,854
57,700 LASMO PLC.............................................. 174,957
35,300 Legal & General Group PLC.............................. 397,800
6,600 Lex Service PLC........................................ 40,179
369,400 Lloyds TSB Group PLC................................... 2,165,129
10,200 London Electricity PLC................................. 100,437
46,200 Lonrho PLC............................................. 126,367
52,812 Lucas Industries PLC................................... 197,281
201,100 Marks & Spencer PLC.................................... 1,548,011
20,416 Marley PLC............................................. 39,568
24,300 MEPC PLC............................................... 165,025
10,900 Mercury Asset Management Group PLC..................... 167,469
7,500 Meyer International PLC................................ 47,182
111,858 National Grid Group PLC................................ 304,209
81,300 National Power PLC..................................... 510,825
22,400 Next PLC............................................... 203,238
28,300 Northern Electric PLC.................................. 252,896
9,200 Ocean Group PLC........................................ 64,420
648,685 Orange PLC+............................................ 1,941,593
2,900 Oxford Instruments PLC................................. 21,303
39,800 Pearson PLC............................................ 424,562
59,700 Pilkington PLC......................................... 188,487
16,000 Provident Financial PLC................................ 112,535
136,800 Prudential Corp. PLC................................... 923,688
16,800 Racal Electronic PLC................................... 77,461
16,800 Railtrack Group PLC.................................... 113,941
59,500 Rank Organisation PLC.................................. 416,630
31,000 Redland PLC............................................ 212,464
40,400 Reed International PLC................................. 724,585
770,545 Rentokil Group PLC..................................... 4,925,803
119,800 Reuters Holdings PLC................................... 1,396,855
29,900 Rexam PLC.............................................. 177,586
14,700 RMC Group PLC.......................................... 247,335
104,300 Rolls-Royce PLC........................................ 361,903
47,719 Royal & Sun Alliance Insurance Group PLC............... 264,742
57,600 Royal Bank of Scotland Group PLC....................... 438,437
76,400 RTZ Corp. PLC Registered Shares........................ 1,137,999
38,100 Rugby Group PLC........................................ 63,718
67,800 Safeway PLC............................................ 361,359
11,600 Schroders PLC.......................................... 251,562
43,700 Scottish & Newcastle PLC............................... 462,750
54,549 Scottish Power PLC..................................... 241,590
90,100 Sears PLC.............................................. 135,896
32,700 Sedgwick Group PLC..................................... 61,842
23,300 Slough Estates PLC..................................... 89,769
196,767 SmithKline Beecham PLC................................. 2,300,433
18,000 Smiths Industries PLC.................................. 213,113
15,159 Southern Electric PLC.................................. 159,100
16,300 St. Jame's Place Capital PLC........................... 22,292
31,700 T & N PLC.............................................. 68,622
55,000 Tarmac PLC............................................. 86,394
23,600 Tate & Lyle PLC........................................ 170,046
22,900 Taylor Woodrow PLC..................................... 61,026
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
100
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM -- 12.5% (CONTINUED)
154,000 Tesco PLC........................................... $ 729,321
24,100 Thames Water PLC.................................... 209,622
43,300 The Peninsular and Oriental Steam Navigation Co. ... 347,861
30,800 Thorn Emi........................................... 693,698
30,800 Thorn PLC+.......................................... 187,264
28,518 TI Group PLC........................................ 244,484
8,900 Transport Development Group PLC..................... 27,334
14,100 Unigate PLC......................................... 95,094
58,300 Unilever PLC........................................ 1,253,640
37,400 United Utilities PLC................................ 354,241
5,433 Value Realisation Trust PLC......................... 6,007
2,852 Value Realisation Trust PLC Convertible Unsecured
Loan Stock......................................... 4,078
19,700 Vickers PLC......................................... 83,135
2,637,069 Vodafone Group PLC.................................. 9,953,924
564,917 W.H. Smith Group PLC................................ 4,511,919
34,600 Williams Holdings PLC............................... 191,170
25,000 Willis Corroon Group PLC............................ 51,578
11,800 Wilson Connolly Holdings PLC........................ 29,785
33,000 Wolseley PLC........................................ 238,293
67,700 Zeneca Group PLC.................................... 1,318,964
- --------------------------------------------------------------------------------
104,513,691
- --------------------------------------------------------------------------------
UNITED STATES -- 0.5%
411,100 Echo Bay Mines Ltd. ................................ 4,085,306
- --------------------------------------------------------------------------------
TOTAL STOCKS (Cost -- $764,528,275)................. 788,401,092
- --------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT++ SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE NOTE -- 0.0%
279,800 Michelin Convertible Note, 6.375% due 1/1/01
(Cost -- $119,854)................................. 158,546
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 5.5%
$45,653,000 CS First Boston Corp., 5.200% due 9/3/96; Proceeds
at maturity -- $45,679,377;
(Fully collateralized by U.S. Treasury Bill due
11/29/96;
Market value -- $46,601,205) (Cost -- $45,653,000).. 45,653,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $810,301,129**).. $834,212,638
- --------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
# Risp NC--Risparmio Non-Convertible (Non-Convertible savings shares).
@ Risp--Risparmio (savings shares).
++Represents local currency.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART APPEARS HERE]
CLASSIFICATION OF INVESTMENTS
Other Common Stocks, Preferred Stocks, Warrants and Convertibles Notes 13.7%
Repurchase Agreement 5.5%
Australia 3.4%
Switzerland 4.5%
Italy 4.0%
Sweden 3.4%
Hong Kong 3.8%
Japan 36.6%
United Kingdom 12.5%
France 6.1%
Germany 6.5%
SEE NOTES TO FINANCIAL STATEMENTS.
101
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT++ SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
BONDS -- 98.3%
AUSTRALIA -- 2.5%
3,800,000 Australia Government, 8.750% due 1/15/01........ $ 3,144,515
- ------------------------------------------------------------------------------
AUSTRIA -- 4.8%
8,400,000 Republic of Austria, 6.875% due 4/3/00.......... 6,042,793
- ------------------------------------------------------------------------------
DENMARK -- 8.4%
Kingdom of Denmark:
31,710,000 7.000% due 12/15/04............................. 5,541,116
27,000,000 8.000% due 3/15/06.............................. 4,940,719
- ------------------------------------------------------------------------------
10,481,835
- ------------------------------------------------------------------------------
GERMANY -- 7.7%
Bundesrepublik Deutschland:
9,000,000 6.000% due 1/5/06............................... 5,927,527
6,222,000 6.000% due 6/20/16.............................. 3,765,703
- ------------------------------------------------------------------------------
9,693,230
- ------------------------------------------------------------------------------
ITALY -- 4.0%
7,300,000,000 Buoni Poliennali Del Tesoro, 9.500% due
12/1/99........................................ 4,953,826
- ------------------------------------------------------------------------------
JAPAN -- 14.9%
600,000,000 Asian Development Bank, 3.125% due 6/29/05...... 5,640,334
2,550,000 Japanese Development, 9.125% due 1/31/05........ 4,221,967
Japanese Government:
621,000,000 3.300% due 6/20/06.............................. 5,873,196
315,000,000 3.200% due 9/20/06.............................. 2,954,502
- ------------------------------------------------------------------------------
18,689,999
- ------------------------------------------------------------------------------
NETHERLANDS -- 13.8%
3,000,000 Dresdner, 6.000% due 12/07/99................... 4,575,023
7,000,000 LKB Baden Wurt Finance, 6.500% due 9/15/08...... 4,646,772
4,070,000 Netherlands, 6.250% due 7/15/98................. 2,564,940
Netherlands Government:
4,260,000 9.000% due 1/15/01.............................. 2,953,404
3,660,000 8.500% due 3/15/01.............................. 2,498,768
- ------------------------------------------------------------------------------
17,238,907
- ------------------------------------------------------------------------------
NEW ZEALAND -- 2.5%
4,830,000 New Zealand Government, 6.500% due 2/15/00...... 3,170,099
- ------------------------------------------------------------------------------
NORWAY -- 2.4%
18,339,000 Norwegian Government, 9.000% due 1/31/99........ 3,061,366
- ------------------------------------------------------------------------------
SPAIN -- 9.9%
Government of Spain:
298,700,000 12.250% due 3/25/00............................. 2,705,248
760,690,000 10.100% due 2/28/01............................. 6,538,363
300,000,000 4.750% due 3/14/05.............................. 3,135,082
- ------------------------------------------------------------------------------
12,378,693
- ------------------------------------------------------------------------------
SWEDEN -- 6.5%
49,000,000 Swedish Government, 10.250% due 5/5/00.......... 8,190,739
- ------------------------------------------------------------------------------
UNITED KINGDOM -- 8.0%
8,400,000,000 Abbey National, 9.400% due 2/7/00............... 5,691,943
2,885,000 United Kingdom Treasury, 6.750% due 11/26/04.... 4,247,235
- ------------------------------------------------------------------------------
9,939,178
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
102
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
INTERNATIONAL FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
UNITED STATES -- 12.9%
KFW International Finance:
$1,700,000 10.625% due 9/3/01.................................. $ 2,995,326
5,450,000 6.250% due 10/15/03................................. 3,728,038
6,000,000 European Investment Bank, 7.750% due 1/26/05........ 4,413,317
6,900,000 International Bank Reconstruction & Development,
7.250% due 10/13/99................................ 5,026,298
- --------------------------------------------------------------------------------
16,162,979
- --------------------------------------------------------------------------------
TOTAL BONDS (Cost -- $120,510,599).................. 123,148,159
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.7%
2,097,000 CS First Boston Corp., 5.200% due 9/3/96; Proceeds
at maturity -- $2,098,212;
(Fully collateralized by U.S. Treasury Bill
due 11/29/96;
Market value -- $2,141,790) (Cost -- $2,097,000).... 2,097,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $122,607,599**).. $125,245,159
- --------------------------------------------------------------------------------
</TABLE>
++Represents local currency.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART APPEARS HERE]
CLASSIFICATION OF INVESTMENTS
Austria 4.8%
Australia 2.5%
Repurchase Agreement 1.7%
United States 12.9%
United Kingdom 8.0%
Sweden 6.5%
Spain 9.9%
Denmark 8.4%
Germany 7.7%
Japan 14.9%
Italy 4.0%
Netherlands 13.8%
New Zealand 2.5%
Norway 2.4%
SEE NOTES TO FINANCIAL STATEMENTS.
103
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
STOCKS -- 93.3%
ARGENTINA -- 2.9%
1 Banco de Galicia y Buenos Aires S.A. de CV Series
B.................................................. $ 5
49,700 Banco Frances del Rio de la Plata S.A. ............. 383,227
43,500 Buenos Aires Embotelladora S.A. ADR................. 206,625
28,000 Quilmes Industrial S.A. ............................ 266,000
18,600 Quilmes Industrial S.A. ADR ........................ 186,000
20,800 Siderar S.A. ADR+................................... 416,000
25,000 Telefonica de Argentina S.A. ADR.................... 596,875
137,400 Transportadora de Gas del Sur S.A. Series B......... 326,095
13,600 YPF S.A. ADR........................................ 287,300
- ------------------------------------------------------------------------------
2,668,127
- ------------------------------------------------------------------------------
BRAZIL -- 11.4%
55,000 Aracruz Celulose S.A. ADR........................... 488,125
1,750,000 Banco Itau S.A. Preferred........................... 719,626
1,350,000 Brasmotor S.A. Preferred............................ 446,104
41,385 Cemig S.A. ADR...................................... 1,244,447
4,500,000 Centrais Electricas Brasileiras S.A. ............... 1,159,862
1,016,081 Companhia Cervejaria Brahma Preferred............... 644,734
71,534 Companhia Cervejaria Brahma Preferred Warrants,
Expire 4/30/03+.................................... 3,519
31,824,000 Companhia de Acos Especiais Itabira Acesita
Preferred+......................................... 73,572
6,500,000 Companhia Paulista de Forca e Luz................... 588,293
21,400 Companhia Vale do Rio Doce ADR...................... 413,288
4,600,000 Petroleo Brasileiro S.A. Preferred.................. 547,053
19,730 Telecomunicacoes Brasileiras S.A. ADR............... 1,467,419
104,124 Telecomunicacoes de Minas Gerais S.A. .............. 9,117
6,010,000 Telecomunicacoes de Minas Gerais Preferred Series
B.................................................. 682,828
128,568 Telecomunicacoes de Sao Paulo S.A. ................. 21,502
4,500,000 Telecomunicacoes de Sao Paulo S.A. Preferred........ 867,241
4,290,000 Telecomunicacoes do Rio de Janeiro S.A. Preferred... 462,130
70,000 Usiminas Siderurgicas de Minas Gerais S.A. ADR...... 725,900
- ------------------------------------------------------------------------------
10,564,760
- ------------------------------------------------------------------------------
CHILE -- 4.0%
50,800 Banco Santander Chile ADR........................... 641,350
13,500 Cia. De Telecomunicaciones de Chile S.A. ADR........ 1,319,625
19,000 Empresa Nacional Eletricidad S.A. ADR............... 372,875
20,900 Enersis S.A. ADR.................................... 650,512
14,100 Quimica Minera Chile S.A. ADR....................... 743,775
- ------------------------------------------------------------------------------
3,728,137
- ------------------------------------------------------------------------------
CHINA -- 3.2%
580,000 China North Industries Investment Ltd. ............. 281,300
2,230,000 Guangshen Railway Co. Ltd. Series H................. 865,157
62,000 Huaneng Power International, Inc. ADR............... 1,092,750
1,800,000 Qingling Motors Co. Series H........................ 692,514
- ------------------------------------------------------------------------------
2,931,721
- ------------------------------------------------------------------------------
CROATIA -- 1.5%
30,000 Pliva D.D. GDR...................................... 1,410,000
- ------------------------------------------------------------------------------
HONG KONG -- 4.5%
1,231,000 China Resources Enterprise Ltd. .................... 1,106,399
820,000 Continental Mariner Investment+..................... 79,532
650,000 Cosco Pacific Ltd. ................................. 500,149
327,700 Dah Sing Financial Group............................ 1,072,175
100,000 Guoco Group Ltd. ................................... 474,608
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
104
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
HONG KONG -- 4.5% (CONTINUED)
277,800 Hong Kong Telecommunications Ltd. .................. $ 465,233
132,812 Jardine Strategic Holdings Ltd. .................... 424,998
19,312 Jardine Strategic Holdings Ltd. Warrants, Expire
5/2/98+............................................ 5,311
- ------------------------------------------------------------------------------
4,128,405
- ------------------------------------------------------------------------------
HUNGARY -- 5.6%
30,000 Borsodchem GDR...................................... 567,000
18,941 Egis Pharmaceutical RT EDR.......................... 1,282,893
24,000 Gedeon Richter Ltd. GDR Registered Shares........... 1,344,000
40,000 MOL Magyar Olaj -- es Gazipari GDR.................. 410,000
60,000 OTP Bank GDR+....................................... 1,068,000
2,614 Pick Szeged RT GDR+@................................ 123,977
40,000 Tisza Vegyi Kobinat GDR............................. 350,000
- ------------------------------------------------------------------------------
5,145,870
- ------------------------------------------------------------------------------
INDIA -- 4.5%
74,000 Arvind Mills Ltd. GDR+.............................. 307,100
59,000 Ashok Leyland Ltd. GDR.............................. 663,750
17,000 Bombay Dyeing GDR................................... 72,250
57,450 Indian Aluminum Co. Ltd. GDR........................ 290,122
19,000 Indian Hotels Co. Ltd. GDR+......................... 496,470
25,000 Indian Rayon & Industries GDR....................... 277,000
32,000 Industrial Credit & Investment Corp. of India Ltd.
GDR................................................ 366,080
29,700 Larsen & Toubro Ltd. GDR............................ 451,440
23,000 Ranbaxy Laboratories Ltd. GDR....................... 442,750
25,000 Raymond Limited GDR................................. 471,875
28,000 Steel Authority of India Ltd. GDR................... 353,640
1 Tube Investments of India Ltd. GDR.................. 3
- ------------------------------------------------------------------------------
4,192,480
- ------------------------------------------------------------------------------
INDONESIA -- 1.1%
93,500 PT Panca Wiratama Sakti............................. 36,929
437,500 PT Panin Indonesia Bank............................. 429,654
191,200 PT Semen Cibinong................................... 381,665
120,000 PT Tempo Scan Pacific............................... 211,998
- ------------------------------------------------------------------------------
1,060,246
- ------------------------------------------------------------------------------
MALAYSIA -- 9.7%
270,000 Ekran Berhad........................................ 1,147,646
200,000 Gamuda Berhad Warrants, Expire 1/17/00+............. 689,710
650,000 Industrial Oxygen Inc. Berhad....................... 953,966
127,000 Malaysian Resources Corp. Berhad.................... 402,318
680,000 MBF Capital Berhad.................................. 970,727
805,000 Multi-Purpose Holdings Berhad....................... 1,123,346
180,000 Petronas Dagangan Berhad............................ 505,253
290,000 Tan Chong Motor Holdings Berhad..................... 513,995
220,000 Tanjong PLC......................................... 820,435
240,000 Tenaga Nasional Berhad.............................. 870,960
334,000 Tongkah Holdings Berhad............................. 533,050
24,533 UMW Holdings Berhad Warrants, Expire 1/26/00+....... 39,350
61,620 United Engineers Ltd. .............................. 437,354
- ------------------------------------------------------------------------------
9,008,110
- ------------------------------------------------------------------------------
MEXICO -- 9.0%
50,000 Carso Global Telecom Series A-1..................... 142,349
328,800 Cemex S.A. de C.V. ................................. 1,206,943
250,000 Cifra S.A. de C.V. Series C+........................ 385,528
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
105
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
MEXICO -- 9.0% (CONTINUED)
107,000 Desc S.A. de C.V. Series B+.......................... $ 550,020
2,480 Desc S.A. de C.V. Series C+.......................... 12,617
44,000 Empresas ICA Sociedad Controladora S.A. de C.V. ..... 649,532
60,000 Empresas La Moderna S.A. de C.V. .................... 302,886
10,000 Empresas La Moderna S.A. de C.V. ADR................. 203,750
12,000 Carso Global Telecom ADR............................. 68,327
12,000 Grupo Carso S.A. de C.V. ADR@........................ 110,082
50,000 Grupo Carso S.A. de C.V. Series A-1+................. 229,340
50,500 Grupo Financiero Bancomer GDR........................ 505,000
11,111 Grupo Financiero Bancomer S.A. de C.V. Series L+..... 4,042
25,000 Grupo Televisa S.A. GDR.............................. 375,643
15,000 Hylsamex S.A. GDR.................................... 382,500
98,000 Industrias Penoles S.A. ............................. 423,672
62,000 Invercorporation S.A. Series A-1+.................... 8,008
20,000 Kimberly-Clark de Mexico S.A. de C.V. Series A....... 366,943
65,000 Sears Roebuck de Mexico ADR+@........................ 347,100
788,000 Telefonos de Mexico S.A. ADR Series L................ 1,292,042
71,000 Tubos de Acero de Mexico S.A. ADR.................... 781,000
- -------------------------------------------------------------------------------
8,347,324
- -------------------------------------------------------------------------------
PAKISTAN -- 0.6%
5,967 Pakistan Telecommunications Corp. GDR+............... 593,717
- -------------------------------------------------------------------------------
PERU -- 3.3%
77,800 Banco Wiese ADR...................................... 544,600
18,000 Compania de Minas Buenaventura S.A. ADR.............. 340,875
24,800 Creditcorp Ltd. ..................................... 483,600
322,000 Empresas de Generacion Electrica De Lima Series B+... 754,810
300,000 Telefonica del Peru S.A. Series B.................... 700,810
11,100 Telefonica del Peru S.A. Series B ADR................ 259,463
- -------------------------------------------------------------------------------
3,084,158
- -------------------------------------------------------------------------------
PHILIPPINES -- 3.1%
76,490 Bacnotan Consolidated Industries..................... 373,763
930,000 International Container Terminal Services, Inc.+..... 568,047
16,000 Philippine Long Distance Telephone Co. ADR........... 958,000
418,900 Union Bank of Philippines............................ 639,664
1,638,000 William Gothong & Aboitiz............................ 375,186
- -------------------------------------------------------------------------------
2,914,660
- -------------------------------------------------------------------------------
POLAND -- 5.6%
39,608 Bank Rozwoju Eksportu S.A. .......................... 1,214,925
36,793 Debica S.A. ......................................... 799,410
150,000 Elektrim Spolka Akcyjna S.A. ........................ 1,478,912
59,350 Okocimskie Zaklady Piwowarskie S.A. ................. 476,794
24,900 Rolimpex S.A. ....................................... 1,209,312
- -------------------------------------------------------------------------------
5,179,353
- -------------------------------------------------------------------------------
SOUTH AFRICA -- 3.4%
9,900 Anglo American Corp. of South Africa Ltd. ........... 601,170
14,500 Anglo American Industrial Corp. Ltd. ................ 536,379
89,000 Barlow Ltd. ......................................... 819,097
42,000 Free State Consolidated Gold Mines Ltd. ............. 465,627
27,000 Kloof Gold Mining Co. Ltd. ADR....................... 256,500
135,000 Murray & Roberts Holdings Ltd. ...................... 466,295
- -------------------------------------------------------------------------------
3,145,068
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
106
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
SOUTH KOREA -- 4.3%
8,850 Cho Sun Brewery Co. Ltd.+............................ $ 260,957
3,800 Daehan City Gas Co. ................................. 352,981
32 Daewoo Corp. Warrants, Expire 11/8/96+............... 6,400
7,200 Daewoo Securities Co. ............................... 157,315
38,646 Han Wha Corp. ....................................... 632,110
9,700 Housing & Commercial Bank, Korea..................... 248,642
13,124 Hyundai Engineering & Construction Co.+.............. 498,207
10,700 Korea Electric Power Corp. .......................... 374,725
58,200 Kumho Construction & Engineering Co. Ltd. ........... 547,013
13,330 LG Industrial Systems+............................... 333,555
7,340 Samsung Display Devices.............................. 496,871
123 Samsung Electronics.................................. 9,449
491 Samsung Electronics GDR+@............................ 21,850
148 Samsung Electronics GDR+............................. 6,993
1,763 Samsung Electronics Preferred........................ 69,293
- --------------------------------------------------------------------------------
4,016,361
- --------------------------------------------------------------------------------
SRI LANKA -- 1.1%
1,592,200 Asian Hotels Corp. Ltd.+............................. 236,253
56,666 Development Finance Corp. of Ceylon+................. 270,084
1,252,420 Distilleries Co. of Sri Lanka+....................... 129,522
105,111 Hayleys Ltd.+........................................ 340,287
- --------------------------------------------------------------------------------
976,146
- --------------------------------------------------------------------------------
TAIWAN -- 6.4%
8,716 Asia Cement Corp. GDR................................ 190,446
418,000 Cathay Construction Corp. ........................... 738,072
157,000 Cathay Life Insurance Co. Ltd. ...................... 960,262
484,000 China Steel Corp. ................................... 472,238
76,700 GVC Corp. GDR+....................................... 555,441
470,000 Shinkong Synthetic Fiber............................. 379,867
30,500 Taipei Fund.......................................... 2,516,250
10,782 Tung Ho Steel Enterprise GDR......................... 103,779
- --------------------------------------------------------------------------------
5,916,355
- --------------------------------------------------------------------------------
THAILAND -- 7.6%
122,600 Bangkok Bank Public Co. Ltd. ........................ 1,056,186
46,250 Bank of Ayudhya Public Co. Ltd. ..................... 208,358
70,800 Grammy Entertainment Co. Ltd. ....................... 951,274
27,200 Kang Yong Electric Public Co. Ltd. .................. 106,145
63,100 Loxley Public Co. Ltd. .............................. 753,061
300,000 National Finance and Securities Co. Ltd. ............ 948,429
40,000 Siam City Cement Public Co. Ltd. .................... 289,271
253,000 Thai Airways International Public Co. Ltd. .......... 524,896
300,000 Thai Military Bank Ltd. ............................. 995,851
80,800 United Communication Industry Public Co. Ltd. ....... 798,261
58,300 Total Access Communication Public Co. ............... 443,080
- --------------------------------------------------------------------------------
7,074,812
- --------------------------------------------------------------------------------
ZIMBABWE -- 0.5%
3,055,100 T.A. Holdings Ltd. .................................. 428,423
- --------------------------------------------------------------------------------
TOTAL STOCKS (Cost -- $85,355,601)................... 86,514,233
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
107
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1996
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT++ SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS -- 2.1%
TAIWAN -- 2.1%
90,000 Acer Inc., 4.000% due 6/10/01......................... $ 217,800
570,000 President Enterprises, zero coupon due 7/22/01+....... 899,175
170,000 United Micro Electronics, 1.250% due 6/8/04........... 205,063
529,000 Yangming Marine Transportation, 2.000% due 10/6/01.... 629,510
- -------------------------------------------------------------------------------
TOTAL CONVERTIBLE BONDS (Cost -- $1,788,124).......... 1,951,548
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 4.6%
$4,300,000 CS First Boston Corp., 5.200% due 9/3/96; Proceeds at
maturity -- $4,302,484;
(Fully collateralized by U.S. Treasury Bill due
11/29/96;
Market value -- $4,392,150) (Cost -- $4,300,000)...... 4,300,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $91,443,725**)..... $92,765,781
- -------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
@ Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
++Represents local currency.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART APPEARS HERE]
CLASSIFICATION OF INVESTMENTS
Other Common Stocks, Preferred Stocks and Warrants 24.7%
Repurchase Agreement 4.6%
South Korea 4.3%
India 4.5%
Poland 5.6%
Brazil 11.4%
Hong Kong 4.5%
Mexico 9.0%
Malaysia 9.7%
Thailand 7.6%
Taiwan 8.5%
Hungary 5.6%
SEE NOTES TO FINANCIAL STATEMENTS.
108
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
109
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-TERM MUNICIPAL MORTGAGE
MONEY FIXED INCOME BOND BOND BACKED
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments -- Cost.... $276,135,836 $296,582,390 $158,446,249 $46,577,848 $123,120,803
Foreign currency --
Cost................. -- -- -- -- --
Foreign currency --
Segregated for
futures contracts --
Cost................. -- -- -- -- --
- ----------------------------------------------------------------------------------------------
Investments, at value.. $276,135,836 $291,141,730 $153,152,729 $45,716,750 $119,811,142
Foreign currency, at
value................. -- -- -- -- --
Foreign currency,
Segregated for futures
contracts............. -- -- -- -- --
Cash................... 54,359 56 704 62,378 28,875
Receivable for
securities sold....... -- 1,950,136 -- -- --
Receivable for Fund
shares sold........... 1,905,378 1,351,399 806,526 135,627 663,002
Dividends and interest
receivable............ 1,141,045 4,048,940 2,378,648 709,001 802,988
Receivable for open
forward foreign
currency contracts.... -- -- -- -- --
Deferred organization
costs, net............ -- 2,731 2,731 2,782 2,731
Other assets........... 15,267 -- -- -- --
- ----------------------------------------------------------------------------------------------
TOTAL ASSETS........... 279,251,885 298,494,992 156,341,338 46,626,538 121,308,738
- ----------------------------------------------------------------------------------------------
LIABILITIES:
Management fees
payable............... 23,116 103,927 54,142 16,412 140,097
Administration fees
payable............... 30,822 51,963 27,071 8,191 55,041
Payable for open
forward foreign
currency contracts.... -- -- -- -- --
Payable for securities
purchased............. -- 1,903,750 -- -- --
Payable for Fund shares
purchased............. -- 188,432 160,397 69,728 75,603
Payable to brokers --
variation margin..... -- -- -- -- --
Dividends payable...... 705,454 41,877 26,063 15,661 28,072
Accrued expenses....... 330,733 152,289 164,095 31,700 64,589
- ----------------------------------------------------------------------------------------------
TOTAL LIABILITIES...... 1,090,125 2,442,238 431,768 141,692 363,402
- ----------------------------------------------------------------------------------------------
TOTAL NET ASSETS........ $278,161,760 $296,052,754 $155,909,570 $46,484,846 $120,945,336
- ----------------------------------------------------------------------------------------------
NET ASSETS:
Par value of shares of
beneficial interest... $ 278,209 $ 37,386 $ 19,810 $ 5,627 $ 15,617
Capital paid in excess
of par value.......... 277,931,217 308,447,919 161,727,188 49,261,452 125,360,112
Undistributed
(overdistributed) net
investment income..... 6,379 336,837 1,197,377 (12,879) (28,072)
Accumulated net
realized gain (loss)
from security
transactions, foreign
currencies and futures
contracts............. (54,045) (7,328,728) (1,741,285) (1,908,256) (1,092,660)
Net unrealized
appreciation
(depreciation) of
investments, foreign
currencies and futures
contracts............. -- (5,440,660) (5,293,520) (861,098) (3,309,661)
- ----------------------------------------------------------------------------------------------
TOTAL NET ASSETS........ $278,161,760 $296,052,754 $155,909,570 $46,484,846 $120,945,336
- ----------------------------------------------------------------------------------------------
Shares Outstanding...... 278,209,426 37,386,377 19,810,193 5,627,070 15,617,018
- ----------------------------------------------------------------------------------------------
Net Asset Value......... $1.00 $7.92 $7.87 $8.26 $7.74
- ----------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
110
<PAGE>
AUGUST 31, 1996
<TABLE>
<CAPTION>
LARGE LARGE SMALL SMALL EMERGING
CAPITALIZATION CAPITALIZATION CAPITALIZATION CAPITALIZATION INTERNATIONAL INTERNATIONAL MARKETS
BALANCED VALUE EQUITY GROWTH VALUE EQUITY GROWTH EQUITY FIXED INCOME EQUITY
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$46,812,585 $1,300,168,354 $1,050,155,245 $432,278,833 $427,569,180 $810,301,129 $122,607,599 $91,443,725
-- -- -- -- -- 3,366,219 1,867,976 2,253,853
-- -- -- -- -- 4,842,845 -- --
- -----------------------------------------------------------------------------------------------------------------
$50,077,755 $1,505,448,952 $1,227,268,630 $474,787,567 $495,669,656 $834,212,638 $125,245,159 $92,765,781
-- -- -- -- -- 3,381,189 1,945,912 2,513,706
-- -- -- -- -- 6,368,171 -- --
409 1,457 624 1,741 769 6,345,955 503 351,699
-- 870,177 23,389,282 2,866,997 3,253,927 -- 1,314,337 2,985,690
110,108 5,156,191 4,398,673 1,714,493 1,434,842 2,894,042 511,363 347,776
259,939 5,191,559 1,164,551 690,513 70,866 1,938,886 4,301,510 61,402
-- -- -- -- -- 623,642 3,803 --
27,504 2,731 2,734 2,731 -- 19,109 2,731 17,326
-- -- -- -- -- 2,547 -- --
- -----------------------------------------------------------------------------------------------------------------
50,475,715 1,516,671,067 1,256,224,494 480,064,042 500,430,060 855,786,179 133,325,318 99,043,380
- -----------------------------------------------------------------------------------------------------------------
70,344 630,666 509,351 211,692 209,567 411,442 205,313 80,500
23,414 256,630 208,222 79,670 81,888 116,048 82,125 8,944
-- -- -- -- -- 337,389 262,455 --
-- 2,151,042 48,921,184 244,755 4,260,668 8,834,863 3,184,057 1,090,121
25,800 775,797 475,192 299,269 1,064,442 419,945 67,980 53,274
-- -- 246,262 -- -- 1,046,245 -- --
48 -- -- -- -- -- 23,397 --
75,322 406,281 447,549 344,585 490,559 890,680 89,589 321,112
- -----------------------------------------------------------------------------------------------------------------
194,928 4,220,416 50,807,760 1,179,971 6,107,124 12,056,612 3,914,916 1,553,951
- -----------------------------------------------------------------------------------------------------------------
$50,280,787 $1,512,450,651 $1,205,416,734 $478,884,071 $494,322,936 $843,729,567 $129,410,402 $97,489,429
- -----------------------------------------------------------------------------------------------------------------
$ 5,029 $ 130,926 $ 92,038 $ 43,091 $ 27,789 $ 80,446 $ 14,202 $ 11,475
45,592,638 1,230,739,213 975,730,922 407,841,243 369,151,926 758,868,517 122,791,134 96,255,825
110,018 22,347,339 5,512,170 4,124,953 -- 130,661 1,485,949 (243,721)
1,307,932 53,952,575 46,962,619 24,366,050 57,042,745 60,096,904 2,623,840 120,421
3,265,170 205,280,598 177,118,985 42,508,734 68,100,476 24,553,039 2,495,277 1,345,429
- -----------------------------------------------------------------------------------------------------------------
$50,280,787 $1,512,450,651 $1,205,416,734 $478,884,071 $494,322,936 $843,729,567 $129,410,402 $97,489,429
- -----------------------------------------------------------------------------------------------------------------
5,028,511 130,926,138 92,038,178 43,091,306 27,789,471 80,446,288 14,201,520 11,474,511
- -----------------------------------------------------------------------------------------------------------------
$10.00 $11.55 $13.10 $11.11 $17.79 $10.49 $9.11 $8.50
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
111
<PAGE>
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-TERM MUNICIPAL MORTGAGE
MONEY FIXED INCOME BOND BOND BACKED
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest............... $14,052,094 $19,144,622 $10,555,530 $2,620,644 $ 7,897,592
Dividends.............. -- -- -- -- --
Less: Foreign
withholding tax ...... -- -- -- -- --
- --------------------------------------------------------------------------------------------
TOTAL INVESTMENT
INCOME................ 14,052,094 19,144,622 10,555,530 2,620,644 7,897,592
- --------------------------------------------------------------------------------------------
EXPENSES:
Management fees (Note
2).................... 381,354 1,102,332 604,542 195,025 570,243
Administration fees
(Note 2).............. 508,472 551,166 302,271 97,512 228,097
Shareholder and system
servicing fees........ 671,436 245,999 206,742 43,917 182,328
Registration fees...... 79,754 59,998 26,290 28,796 30,000
Audit and legal........ 34,697 40,000 26,479 35,567 24,500
Shareholder
communications........ 30,279 40,000 10,928 38,973 10,000
Custody................ 22,274 13,000 8,259 5,585 7,000
Trustees' fees......... 16,826 12,001 7,000 6,858 8,000
Pricing service fees... -- 13,159 7,400 5,520 3,000
Amortization of
deferred organization
costs................. 18,504 16,378 16,378 12,901 16,378
Other.................. 66,363 58,217 1,797 22,087 --
- --------------------------------------------------------------------------------------------
TOTAL EXPENSES......... 1,829,959 2,152,250 1,218,086 492,741 1,079,546
Less: Management and
administration fee
waivers (Note 2).... (306,506) -- -- (102,692) (165,803)
Custody earnings
credits (Note 1).... -- -- -- -- --
- --------------------------------------------------------------------------------------------
NET EXPENSES........... 1,523,453 2,152,250 1,218,086 390,049 913,743
- --------------------------------------------------------------------------------------------
NET INVESTMENT INCOME
(LOSS)................. 12,528,641 16,992,372 9,337,444 2,230,595 6,983,849
- --------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS, FOREIGN
CURRENCIES AND FUTURES
CONTRACTS (NOTES 4, 5
AND 7):
Realized Gain (Loss)
From:
Security transactions
(excluding short-term
securities)........... 2,498* (14,966)** 1,425,173 (415,420) (26,586)
Foreign currency
transactions.......... -- -- -- -- --
Futures contracts...... -- -- -- -- --
- --------------------------------------------------------------------------------------------
NET REALIZED GAIN
(LOSS)................ 2,498* (14,966)** 1,425,173 (415,420) (26,586)
- --------------------------------------------------------------------------------------------
Change in Net
Unrealized Appreciation
(Depreciation) of
Investments, Foreign
Currencies and Futures
Contracts:
Beginning of year...... -- 1,392,548 4,341,460 (958,795) (1,015,016)
End of year............ -- (5,440,660) (5,293,520) (861,098) (3,309,661)
- --------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET UNREALIZED
APPRECIATION
(DEPRECIATION)........ -- (6,833,208) (9,634,980) 97,697 (2,294,645)
- --------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON
INVESTMENTS, FOREIGN
CURRENCIES AND FUTURES
CONTRACTS.............. 2,498 (6,848,174) (8,209,807) (317,723) (2,321,231)
- --------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS
FROM OPERATIONS........ $12,531,139 $10,144,198 $ 1,127,637 $1,912,872 $ 4,662,618
- --------------------------------------------------------------------------------------------
</TABLE>
* Represents gains from the sale of short-term securities.
** Includes gains of $59,689 from the sale of short-term securities.
SEE NOTES TO FINANCIAL STATEMENTS.
112
<PAGE>
FOR THE YEAR ENDED AUGUST 31, 1996
<TABLE>
<CAPTION>
LARGE LARGE SMALL SMALL EMERGING
CAPITALIZATION CAPITALIZATION CAPITALIZATION CAPITALIZATION INTERNATIONAL INTERNATIONAL MARKETS
BALANCED VALUE EQUITY GROWTH VALUE EQUITY GROWTH EQUITY FIXED INCOME EQUITY
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 790,709 $ 1,395,580 $ 2,308,496 $ 497,884 $ 1,376,349 $ 3,126,331 $ 8,937,778 $ 299,130
788,122 40,069,087 12,861,429 9,549,614 751,285 5,198,109 -- 1,450,899
(21,716) (98,184) (17,438) -- -- (1,749,194) (129,075) (150,706)
- --------------------------------------------------------------------------------------------------------------------
1,557,115 41,366,483 15,152,487 10,047,498 2,127,634 6,575,246 8,808,703 1,599,323
- --------------------------------------------------------------------------------------------------------------------
243,698 6,468,340 5,143,031 2,188,471 2,217,550 4,205,662 605,151 697,117
81,199 2,660,110 2,085,238 823,189 828,378 1,509,451 242,060 154,915
40,310 973,331 950,994 545,280 717,664 808,200 197,669 192,266
42,132 252,517 234,995 101,211 142,776 120,000 35,980 81,529
34,997 37,496 33,000 27,000 27,543 28,801 27,057 31,264
9,010 49,863 79,995 23,425 22,158 24,986 15,000 22,000
5,000 64,821 51,994 33,165 46,024 660,089 74,013 226,830
9,000 29,915 14,995 19,060 14,050 24,000 7,500 10,500
2,500 -- -- -- -- 98,000 2,441 11,153
18,926 16,378 16,378 16,378 16,353 16,378 16,378 6,567
23,480 48,901 22,993 90,397 105,682 19,450 4,466 99,355
- --------------------------------------------------------------------------------------------------------------------
510,252 10,601,672 8,633,613 3,867,576 4,138,178 7,515,017 1,227,715 1,533,496
(105,974) -- -- -- -- -- -- (102,379)
-- -- -- -- -- (23,716) (60,296) (34,818)
- --------------------------------------------------------------------------------------------------------------------
404,278 10,601,672 8,633,613 3,867,576 4,138,178 7,491,301 1,167,419 1,396,299
- --------------------------------------------------------------------------------------------------------------------
1,152,837 30,764,811 6,518,874 6,179,922 (2,010,544) (916,055) 7,641,284 203,024
- --------------------------------------------------------------------------------------------------------------------
1,856,415 57,624,889 58,958,400 30,005,753 61,940,936 52,760,403 4,167,147 3,185,949
-- -- -- -- -- 13,725,369 1,279,984 (267,138)
-- -- 4,344,235 -- -- 6,831,521 -- --
- --------------------------------------------------------------------------------------------------------------------
1,856,415 57,624,889 63,302,635 30,005,753 61,940,936 73,317,293 5,447,131 2,918,811
- --------------------------------------------------------------------------------------------------------------------
1,633,070 126,943,947 134,881,911 30,475,630 54,177,197 70,458,331 2,048,866 (1,155,994)
3,265,170 205,280,598 177,118,985 42,508,734 68,100,476 24,553,039 2,495,277 1,345,429
- --------------------------------------------------------------------------------------------------------------------
1,632,100 78,336,651 42,237,074 12,033,104 13,923,279 (45,905,292) 446,411 2,501,423
- --------------------------------------------------------------------------------------------------------------------
3,488,515 135,961,540 105,539,709 42,038,857 75,864,215 27,412,001 5,893,542 5,420,234
- --------------------------------------------------------------------------------------------------------------------
$4,641,352 $166,726,351 $112,058,583 $48,218,779 $73,853,671 $ 26,495,946 $13,534,826 $ 5,623,258
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
113
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-TERM MUNICIPAL MORTGAGE
MONEY FIXED INCOME BOND BOND BACKED
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income
(loss)................ $ 12,528,641 $ 16,992,372 $ 9,337,444 $ 2,230,595 $ 6,983,849
Net realized gain
(loss)................ 2,498 (14,966) 1,425,173 (415,420) (26,586)
Increase (decrease) in
net unrealized
appreciation
(depreciation)........ -- (6,833,208) (9,634,980) 97,697 (2,294,645)
- ------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS
FROM OPERATIONS....... 12,531,139 10,144,198 1,127,637 1,912,872 4,662,618
- ------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM (NOTE
3):
Net investment income.. (12,522,565) (17,206,933) (8,417,818) (2,264,250) (7,011,921)
Net realized gains..... -- -- -- -- --
Capital................ -- -- -- -- (393,687)
- ------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS
FROM
DISTRIBUTIONS TO
SHAREHOLDERS.......... (12,522,565) (17,206,933) (8,417,818) (2,264,250) (7,405,608)
- ------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS
(NOTE 10):
Net proceeds from sale
of shares............. 437,963,687 131,547,146 70,757,014 25,163,494 43,928,000
Net asset value of
shares issued for
reinvestment of
dividends............. 12,180,500 16,708,381 8,103,907 2,094,769 7,083,593
Cost of shares
reacquired............ (413,581,060) (91,462,730) (53,206,580) (25,777,761) (32,112,636)
- ------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS
FROM
FUND SHARE
TRANSACTIONS.......... 36,563,127 56,792,797 25,654,341 1,480,502 18,898,957
- ------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS.. 36,571,701 49,730,062 18,364,160 1,129,124 16,155,967
NET ASSETS:
Beginning of year...... 241,590,059 246,322,692 137,545,410 45,355,722 104,789,369
- ------------------------------------------------------------------------------------------------
END OF YEAR*........... $ 278,161,760 $296,052,754 $155,909,570 $ 46,484,846 $120,945,336
- ------------------------------------------------------------------------------------------------
* Includes undistributed
(overdistributed)
net investment income
of:................... $6,379 $336,837 $1,197,377 $(12,879) $(28,072)
- ------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
114
<PAGE>
FOR THE YEAR ENDED AUGUST 31, 1996
<TABLE>
<CAPTION>
LARGE LARGE SMALL SMALL EMERGING
CAPITALIZATION CAPITALIZATION CAPITALIZATION CAPITALIZATION INTERNATIONAL INTERNATIONAL MARKETS
BALANCED VALUE EQUITY GROWTH VALUE EQUITY GROWTH EQUITY FIXED INCOME EQUITY
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 1,152,837 $ 30,764,811 $ 6,518,874 $ 6,179,922 $ (2,010,544) $ (916,055) $ 7,641,284 $ 203,024
1,856,415 57,624,889 63,302,635 30,005,753 61,940,936 73,317,293 5,447,131 2,918,811
1,632,100 78,336,651 42,237,074 12,033,104 13,923,279 (45,905,292) 446,411 2,501,423
- ---------------------------------------------------------------------------------------------------------------------------
4,641,352 166,726,351 112,058,583 48,218,779 73,853,671 26,495,946 13,534,826 5,623,258
- ---------------------------------------------------------------------------------------------------------------------------
(1,135,885) (26,466,589) (4,153,946) (4,982,003) -- (12,130,831) (12,189,960) --
(1,082,919) (15,515,274) (36,845,945) -- (53,196,733) (17,152,620) -- --
-- -- -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
(2,218,804) (41,981,863) (40,999,891) (4,982,003) (53,196,733) (29,283,451) (12,189,960) --
- ---------------------------------------------------------------------------------------------------------------------------
30,383,440 557,482,735 526,999,100 210,816,835 376,242,292 346,914,895 42,109,193 75,247,060
2,218,161 41,543,633 40,686,861 4,932,281 52,926,147 29,028,066 11,659,731 --
(15,011,768) (281,357,570) (215,722,183) (120,408,080) (270,535,854) (192,556,264) (31,587,471) (42,713,977)
- ---------------------------------------------------------------------------------------------------------------------------
17,589,833 317,668,798 351,963,778 95,341,036 158,632,585 183,386,697 22,181,453 32,533,083
- ---------------------------------------------------------------------------------------------------------------------------
20,012,381 442,413,286 423,022,470 138,577,812 179,289,523 180,599,192 23,526,319 38,156,341
30,268,406 1,070,037,365 782,394,264 340,306,259 315,033,413 663,130,375 105,884,083 59,333,088
- ---------------------------------------------------------------------------------------------------------------------------
$ 50,280,787 $1,512,450,651 $1,205,416,734 $ 478,884,071 $ 494,322,936 $ 843,729,567 $129,410,402 $ 97,489,429
- ---------------------------------------------------------------------------------------------------------------------------
$110,018 $22,347,339 $5,512,170 $4,124,953 -- $130,661 $1,485,949 $(243,721)
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
115
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-TERM MUNICIPAL MORTGAGE
MONEY FIXED INCOME BOND BOND BACKED
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income
(loss)................ $ 11,395,849 $ 14,094,916 $ 7,619,177 $ 2,362,348 $ 7,210,936
Net realized gain
(loss)................ (12,842) (3,398,646) (1,937,986) (1,310,665) (1,209,658)
Increase (decrease) in
net unrealized
appreciation.......... -- 7,656,383 8,674,793 1,972,430 3,533,625
- -------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS
FROM OPERATIONS....... 11,383,007 18,352,653 14,355,984 3,024,113 9,534,903
- -------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
FROM (NOTE 3):
Net investment income.. (11,396,511) (13,439,233) (7,376,803) (2,340,393) (6,763,944)
Overdistribution of net
investment income..... -- -- -- (12,537) --
Net realized gains..... -- -- -- -- --
Capital................ -- -- -- -- (242,721)
- -------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS
FROM
DISTRIBUTIONS TO
SHAREHOLDERS.......... (11,396,511) (13,439,233) (7,376,803) (2,352,930) (7,006,665)
- -------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS
(NOTE 8):
Net proceeds from sale
of shares............. 307,350,449 112,872,502 91,845,047 14,838,689 32,672,111
Net asset value of
shares issued for
reinvestment of
dividends............. 10,833,392 12,965,781 7,052,493 2,175,381 6,696,916
Cost of shares
reacquired............ (261,236,040) (107,976,586) (62,959,427) (28,954,538) (57,534,987)
- -------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS FROM
FUND SHARE
TRANSACTIONS.......... 56,947,801 17,861,697 35,938,113 (11,940,468) (18,165,960)
- -------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS............. 56,934,297 22,775,117 42,917,294 (11,269,285) (15,637,722)
NET ASSETS:
Beginning of year...... 184,655,762 223,547,575 94,628,116 56,625,007 120,427,091
- -------------------------------------------------------------------------------------------------
END OF YEAR*........... $ 241,590,059 $ 246,322,692 $137,545,410 $ 45,355,722 $104,789,369
- -------------------------------------------------------------------------------------------------
* Includes undistributed
(overdistributed)
net investment income
of:................... $303 $551,398 $222,615 -- --
- -------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
116
<PAGE>
FOR THE YEAR ENDED AUGUST 31, 1995
<TABLE>
<CAPTION>
LARGE LARGE SMALL SMALL EMERGING
CAPITALIZATION CAPITALIZATION CAPITALIZATION CAPITALIZATION INTERNATIONAL INTERNATIONAL MARKETS
BALANCED VALUE EQUITY GROWTH VALUE EQUITY GROWTH EQUITY FIXED INCOME EQUITY
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 627,561 $ 25,880,666 $ 6,093,723 $ 4,491,188 ($812,083) $ 10,719,486 $ 6,977,507 $ 76,703
534,576 14,835,032 22,682,334 (343,816) 54,492,262 13,690,237 6,952,534 (2,599,014)
1,278,055 100,030,653 108,120,936 30,913,921 26,169,089 (23,675,709) 3,247,949 (5,147,019)
- ---------------------------------------------------------------------------------------------------------------------------
2,440,192 140,746,351 136,896,993 35,061,293 79,849,268 734,014 17,177,990 (7,669,330)
- ---------------------------------------------------------------------------------------------------------------------------
(636,646) (21,453,227) (4,334,639) (3,890,576) -- -- (6,918,169) --
-- -- -- -- -- -- -- --
(70,178) (14,119,177) (332,576) (5,170) (1,133,278) (18,399,952) -- (1,164,897)
-- -- -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
(706,824) (35,572,404) (4,667,215) (3,895,746) (1,133,278) (18,399,952) (6,918,169) (1,164,897)
- ---------------------------------------------------------------------------------------------------------------------------
28,901,315 380,422,455 362,502,760 132,442,395 162,081,212 280,767,233 30,711,397 51,754,032
703,833 35,140,953 4,611,574 3,858,908 1,128,666 18,256,451 6,591,458 1,160,479
(16,010,557) (282,838,427) (174,537,827) (169,548,095) (107,067,464) (213,192,359) (58,608,069) (21,112,073)
- ---------------------------------------------------------------------------------------------------------------------------
13,594,591 132,724,981 192,576,507 (33,246,792) 56,142,414 85,831,325 (21,305,214) 31,802,438
- ---------------------------------------------------------------------------------------------------------------------------
15,327,959 237,898,928 324,806,285 (2,081,245) 134,858,404 68,165,387 (11,045,393) 22,968,211
14,940,447 832,138,437 457,587,979 342,387,504 180,175,009 594,964,988 116,929,476 36,364,877
- ---------------------------------------------------------------------------------------------------------------------------
$ 30,268,406 $1,070,037,365 $ 782,394,264 $ 340,306,259 $ 315,033,413 $ 663,130,375 $105,884,083 $ 59,333,088
- ---------------------------------------------------------------------------------------------------------------------------
$93,066 $22,607,890 $3,147,242 $2,927,034 -- $(547,822) $4,742,882 $(179,607)
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
117
<PAGE>
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
Consulting Group Capital Markets Funds ("Fund"), a Massachusetts business
trust, is registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The Fund consists of
thirteen separate investment portfolios ("Portfolios"): Government Money
Investments, Intermediate Fixed Income Investments, Long-Term Bond Investments,
Municipal Bond Investments, Mortgage Backed Investments, Balanced Investments,
Large Capitalization Value Equity Investments, Large Capitalization Growth
Investments, Small Capitalization Value Equity Investments, Small
Capitalization Growth Investments, International Equity Investments,
International Fixed Income Investments and Emerging Markets Equity Investments.
The significant accounting policies consistently followed by the Fund are:
(a) security transactions are accounted for on trade date; (b) securities
traded on national securities markets are valued at the closing price on such
markets or, if there were no sales during the day, at current quoted bid price;
securities primarily traded on foreign exchanges are generally valued at the
preceding closing values of such securities on their respective exchanges,
except that when a significant occurrence exists subsequent to the time a value
was so established and it is likely to have significantly changed the value,
then the fair value of those securities will be determined by consideration of
other factors by or under the direction of the Board of Trustees; securities
traded in the over-the-counter market are valued on the basis of the bid price
at the close of business on each day; U.S. Government and Agency obligations
are valued at the mean between the bid and asked prices; (c) securities
maturing within 60 days are valued at cost plus accreted discount, or minus
amortized premium, which approximates value; (d) dividend income is recorded on
the ex-dividend date except that certain dividends from foreign securities are
recorded as soon as the Fund is informed of the ex-dividend date and interest
income is recorded on the accrual basis; (e) gains or losses on the sale of
securities are calculated by using the specific identification method;
(f) dividends and distributions to shareholders are recorded on the ex-dividend
date; (g) the accounting records of the Fund are maintained in U.S. dollars.
All assets and liabilities denominated in foreign currencies 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; (h) each Portfolio intends to comply with the requirements of
the Internal Revenue Code of 1986, as amended, pertaining to regulated
investment companies and to make distributions of taxable income sufficient to
relieve it from substantially all federal income and excise taxes; (i) the
character of income and gains to be distributed are determined in accordance
with income tax regulations which may differ from generally accepted accounting
principles. At August 31, 1996, reclassifications were made to the capital
accounts of the Long-Term Bond Investments, Municipal Bond Investments,
Mortgage Backed Investments, International Equity Investments, Small
Capitalization Growth Investments and International Fixed Income Investments to
reflect permanent book/tax differences and income and gains available for
distributions under income tax regulations. Accordingly, a portion of
undistributed net investment income amounting to $413,282 and $20,776 has been
reclassified to paid-in capital for Mortgage Backed Investments and Municipal
Bond Investments, respectively. In addition, a portion of accumulated net
realized loss amounting to $1,624,983 has been reclassified to paid-in capital
for Large Capitalization Value Equity Investments. Net investment income, net
realized gains and net assets were not affected by this change; (j) estimates
and assumptions are required to be made regarding assets, liabilities and
changes in net assets resulting from operations when financial statements are
prepared. Changes in the economic environment, financial markets and any other
parameters used in determining these estimates could cause actual results to
differ; and (k) certain prior year numbers have been restated to reflect
current year's presentations. Net investment income, net realized gains and net
assets were not affected by this change.
Organization costs have been deferred and are being amortized on a straight
line basis over a five-year period, beginning with each portfolio's respective
commencement of operations.
International Equity Investments, International Fixed Income Investments and
Emerging Markets Equity Investments have an arrangement with their custodian,
Morgan Guaranty Trust Company of New York, where they earn custody credits on
available cash balances. These credits offset custody fees which may be charged
118
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
to the portfolios during the current year. For the year ended August 31, 1996,
custody credits totalled $23,716, $60,296 and $34,818 for the International
Equity Investments, International Fixed Income Investments and Emerging Markets
Equity Investments, respectively.
In addition, the Fund may from time to time enter into futures contracts in
order to hedge market risk. Also, certain portfolios may enter into forward
exchange contracts in order to hedge against foreign currency risk. These
contracts are marked to market daily, by recognizing the difference between the
contract exchange rate and the current market rate as an unrealized gain or
loss. Realized gains or losses are recognized when contracts are settled.
2. INVESTMENT ADVISORY AGREEMENT, ADMINISTRATION AGREEMENT AND OTHER
TRANSACTIONS
The Fund has entered into an investment management agreement ("Management
Agreement") with the Consulting Group ("Manager") of Smith Barney Mutual Funds
Management Inc. ("SBMFM"), a subsidiary of Smith Barney Holdings Inc. ("SBH") .
The Manager has entered into an investment advisory agreement with each adviser
selected for the Portfolios (collectively, "Advisers"). The Fund's Advisers as
of August 31, 1996, are as follows:
<TABLE>
<CAPTION>
PORTFOLIO ADVISERS
- -------------------------------------------------------------------------------
<S> <C>
Government Money
Investments and
Intermediate Fixed
Income Investments..... Standish, Ayer & Wood, Inc.
Long-Term Bond
Investments............ National Asset Management
Municipal Bond
Investments............ Smith Affiliated Capital Corp.
Mortgage Backed
Investments............ Atlantic Portfolio Analytics & Management, Inc.
Balanced Investments.... Palley-Needelman Asset Management, Inc.
Large Capitalization
Value Equity Newbold's Asset Management, Inc. and
Investments............ Parametric Portfolio Associates, Inc.
Large Capitalization Provident Investment Counsel Inc. and
Growth Investments..... Boston Structured Advisors
Small Capitalization
Value Equity
Investments............ Barclays Global Fund Advisors and NFJ Investment Group
Small Capitalization Pilgrim Baxter & Associates, Inc. and
Growth Investments..... Mellon Capital Management Corp.
International Equity Oechsle International Advisors, L.P. and
Investments............ State Street Global Advisors
International Fixed
Income Investments..... Julius Baer Investments Management Inc.
Emerging Markets Equity
Investments............ John Govett & Co. Limited
- -------------------------------------------------------------------------------
</TABLE>
The Manager pays each Adviser a monthly portfolio management fee. The
Portfolios pay no direct investment advisory fee to any of the Advisers.
Under the Management Agreement, each Portfolio pays the Manager a monthly
fee calculated at the annual rates applied to the value of each Portfolio's
average daily net assets. The annual rates for each Portfolio are as follows:
<TABLE>
<CAPTION>
ANNUAL
PORTFOLIO RATES
- --------------------------------------------------------------------------------
<S> <C>
Government Money Investments............................................ 0.15%
Intermediate Fixed Income Investments................................... 0.40%
Long-Term Bond Investments.............................................. 0.40%
Municipal Bond Investments.............................................. 0.40%
Mortgage Backed Investments............................................. 0.50%
Balanced Investments.................................................... 0.60%
Large Capitalization Value Equity Investments:
Portion of the Portfolio managed by:
Newbold's Asset Management, Inc. ...................................... 0.60%
Parametric Portfolio Associates, Inc. :
on the first $300 million............................................. 0.50%
on the amount over $300 million....................................... 0.45%
</TABLE>
119
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
ANNUAL
PORTFOLIO RATES
- --------------------------------------------------------------------------------
<S> <C>
Large Capitalization Growth Investments:
Portfolio of the Portfolio managed by:
Provident Investment Counsel Inc. ..................................... 0.60%
Boston Structured Advisors:
on the first $300 million............................................. 0.50%
on the amount over $300 million....................................... 0.45%
Small Capitalization Value Equity Investments:
Portfolio of the Portfolio managed by:
NFJ Investment Group................................................... 0.60%
Barclays Global Fund Advisors:
on the first $200 million............................................. 0.45%
on the next $100 million.............................................. 0.40%
on the amount over $300 million....................................... 0.35%
Small Capitalization Growth Investments:
Portfolio of the Portfolio managed by:
Pilgrim Baxter & Associates, Inc. ..................................... 0.60%
Mellon Capital Management Corp.:
on the first $200 million............................................. 0.45%
on the next $100 million.............................................. 0.40%
on the amount over $300 million....................................... 0.35%
International Equity Investments:
Portfolio of the Portfolio managed by:
Oechsle International Advisors L.P. ................................... 0.70%
State Street Global Advisors........................................... 0.37%
International Fixed Income Investments.................................. 0.50%
Emerging Markets Equity Investments..................................... 0.90%
- --------------------------------------------------------------------------------
</TABLE>
SBMFM acts as the Fund's administrator for which the Fund pays a fee
calculated at an annual rate of 0.20% of the average daily net assets of each
respective Portfolio. This fee is calculated daily and paid monthly.
In addition, The Boston Company Advisors Inc. ("Boston Advisors"), an
indirect wholly owned subsidiary of Mellon Bank Corporation, had entered into a
sub-administration agreement with the Fund and SBMFM. SBMFM paid Boston
Advisors a portion of its administration fee at a rate agreed upon from time to
time between SBMFM and Boston Advisors. As of September 1, 1995, this
relationship was terminated.
For the year ended August 31, 1996, the following fees were waived:
<TABLE>
<CAPTION>
TOTAL
FEE WAIVERS MANAGER ADMINISTRATOR
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Government Money Investments................. $306,506 $306,506 $ --
Municipal Bond Investments................... 102,692 68,453 34,239
Mortgaged Backed Investments................. 165,803 117,720 48,083
Balanced Investments......................... 105,974 79,480 26,494
Emerging Markets............................. 102,379 83,765 18,614
- --------------------------------------------------------------------------------
</TABLE>
For the year ended August 31, 1996, Smith Barney Inc. ("SB"), another
subsidiary of SBH, received brokerage commissions of $14,240.
All officers and one Trustee of the Fund are employees of SB.
3. EXEMPT-INTEREST DIVIDENDS AND OTHER DIVIDENDS
Municipal Bond Investments intends to satisfy conditions that will enable
interest from municipal securities, which is exempt from regular Federal income
tax and from designated state income taxes, to retain such tax-exempt status
when distributed to the shareholders of the portfolio.
Capital gain distributions, if any, are taxable to shareholders, and are
declared and paid at least annually. Additional taxable distributions may be
made if necessary to avoid a Federal excise tax.
120
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
4. INVESTMENTS
During the year ended August 31, 1996, the aggregate cost of purchases and
proceeds from sales of investments (including maturities, but excluding short-
term securities) were as follows:
<TABLE>
<CAPTION>
PORTFOLIO PURCHASES SALES
- -------------------------------------------------------------------------------
<S> <C> <C>
Intermediate Fixed Income Investments................ $330,218,826 $263,118,167
Long-Term Bond Investments........................... 206,664,615 178,644,350
Municipal Bond Investments........................... 13,342,295 14,815,095
Mortgage Backed Investments.......................... 47,695,645 23,810,666
Balanced Investments................................. 34,856,902 18,422,024
Large Capitalization Value Equity Investments........ 614,516,003 309,642,210
Large Capitalization Growth Investments.............. 717,381,679 400,937,426
Small Capitalization Value Equity Investments........ 249,480,551 155,876,744
Small Capitalization Growth Investments.............. 445,047,523 334,946,395
International Equity Investments..................... 552,952,755 362,814,735
International Fixed Income Investments............... 253,693,895 231,556,815
Emerging Markets Equity Investments.................. 103,127,941 75,270,000
- -------------------------------------------------------------------------------
</TABLE>
At August 31, 1996, the aggregate gross unrealized appreciation and
depreciation of investments were as follows:
<TABLE>
<CAPTION>
NET APPRECIATION
PORTFOLIO APPRECIATION* DEPRECIATION* (DEPRECIATION)*
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
Intermediate Fixed Income In-
vestments...................... $ 668,442 $ (6,109,102) $ (5,440,660)
Long-Term Bond Investments...... 42,654 (5,336,174) (5,293,520)
Municipal Bond Investments...... 398,932 (1,260,030) (861,098)
Mortgage Backed Investments..... 179,392 (3,489,053) (3,309,661)
Balanced Investments............ 4,334,042 (1,068,872) 3,265,170
Large Capitalization Value Eq-
uity Investments............... 235,441,136 (30,160,536) 205,280,599
Large Capitalization Growth In-
vestments...................... 210,760,561 (33,647,176) 177,113,385
Small Capitalization Value Eq-
uity Investments............... 61,653,512 (19,144,778) 42,508,734
Small Capitalization Growth In-
vestments...................... 95,306,609 (27,206,133) 68,100,476
International Equity Invest-
ments.......................... 64,915,114 (41,003,605) 23,911,509
International Fixed Income In-
vestments...................... 2,927,715 (290,155) 2,637,560
Emerging Markets Equity Invest-
ments.......................... 8,987,580 (7,665,524) 1,322,056
- ------------------------------------------------------------------------------
</TABLE>
*Substantially the same for Federal income tax purposes.
5. FUTURES CONTRACTS
Initial margin deposits made upon entering into futures contracts are
recognized as assets. The initial margin is segregated by the custodian. During
the period the futures contract is open, changes in the value of the contract
are recognized as unrealized gains or losses by "marking to market" on a daily
basis to reflect the market value of the contract at the end of each day's
trading. Variation margin payments are made or received and recognized as
assets due from or liabilities due to broker, depending upon whether unrealized
gains or losses are incurred. When the contract is closed, the Portfolio
records a realized gain or loss equal to the difference between the proceeds
from (or cost of) the closing transactions and the Portfolio's basis in the
contract. The Portfolio enters into such contracts to hedge a portion of its
portfolio. The Portfolio bears the market risk that arises from changes in the
value of the financial instruments and securities indices (futures contracts)
and the credit risk should a counterparty fail to perform under such contracts.
At August 31, 1996, Large Capitalization Growth Investments and International
Equity Investments had the following open futures contracts:
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
# OF BASIS MARKET UNREALIZED
PURCHASED CONTRACTS CONTRACTS EXPIRATION VALUE VALUE GAIN (LOSS)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
S&P 500 Index......... 72 9/96 $23,658,625 $23,448,600 $(210,025)
S&P 400 Midcap........ 108 9/96 12,336,675 12,552,300 215,625
- -------------------------------------------------------------------------------
TOTAL................. $35,995,300 $36,000,900 $ 5,600
- -------------------------------------------------------------------------------
</TABLE>
121
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
# OF BASIS MARKET UNREALIZED
PURCHASED CONTRACTS CONTRACTS EXPIRATION VALUE VALUE GAIN (LOSS)
- ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Australian ALL Ordi-
naries................. 12 9/96 $ 534,824 $ 536,740 $ 1,916
Deutsche Terminboerse
DAX.................... 44 9/96 7,406,285 7,559,616 153,331
London Financial Times
Stock Exchange 100..... 62 9/96 9,029,822 9,399,813 369,991
Marche a Terme Interna-
tional de France CAC
40..................... 80 9/96 6,530,065 6,243,547 (286,518)
MIB 30.................. 22 9/96 2,208,173 2,067,218 (140,955)
Osaka Securities Ex-
change Nikkei 300...... 210 9/96 5,944,600 5,563,260 (381,340)
Tokyo Stock Exchange
TOPIX.................. 73 9/96 11,110,869 10,365,193 (745,676)
Tokyo Stock Exchange
TOPIX.................. 5 12/96 727,399 710,405 (16,994)
- ----------------------------------------------------------------------------------
TOTAL................... $43,492,037 $42,445,792 $(1,046,245)
- ----------------------------------------------------------------------------------
</TABLE>
6. FOREIGN SECURITIES
International Equity Investments, International Fixed Income Investments and
Emerging Markets Equity Investments invest in foreign securities which may
involve risks not present in domestic investments. Since securities may be
denominated in a foreign currency and may require settlement in foreign
currencies and pay interest and/or a dividend in foreign currencies, changes in
the relationship of these foreign currencies to the U.S. dollar can
significantly affect the value of the investments and earnings of the
Portfolios. Foreign investments may also subject the Fund to foreign government
exchange restrictions, expropriation, taxation or other political, social or
economic developments, all of which could affect the market and/or credit risk
of the investments.
7. FORWARD FOREIGN CURRENCY CONTRACTS
At August 31, 1996, International Equity Investments and International Fixed
Income Investments had the following open forward foreign currency contracts.
The Portfolios bear the market risk that arises from changes in foreign
currency exchange rates. The unrealized gain (loss) on the contracts reflected
in the accompanying financial statements were as follows:
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE GAIN (LOSS)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
TO SELL:
British Pound................. 5,020,000 $ 7,834,557 9/18/96 $ (53,557)
French Franc.................. 100,480,000 19,888,903 9/25/96 (97,298)
German Deutschemark........... 30,350,000 20,567,570 9/25/96 (140,864)
- -------------------------------------------------------------------------------
48,291,030 (291,719)
- -------------------------------------------------------------------------------
TO BUY:
Australian Dollar............. 410,103 324,503 9/5/96 (421)
Australian Dollar............. 2,200,000 1,739,710 9/18/96 13,762
British Pound................. 444,721 693,064 9/5/96 (479)
British Pound................. 9,400,000 14,670,285 9/18/96 213,103
Danish Krone.................. 592,953 103,663 9/3/96 18
Dutch Guilder................. 263,405 159,051 9/3/96 325
French Franc.................. 27,350,000 5,408,172 9/18/96 110,170
French Franc.................. 2,885,827 571,573 9/30/96 868
German Deutschemark........... 997,671 660,813 9/3/96 225
German Deutschemark........... 12,092,000 8,187,664 9/18/96 274,465
Italian Lira.................. 682,188,050 450,720 9/5/96 (1,599)
Italian Lira.................. 2,000,000,000 1,321,668 9/18/96 9,849
Japanese Yen.................. 356,355,168 3,288,402 9/3/96 83
Japanese Yen.................. 1,340,000,000 12,379,380 9/18/96 (41,981)
Malaysian Ringgit............. 272,427 109,189 9/9/96 (74)
Singapore Dollar.............. 446,990 317,674 9/5/96 (219)
Spanish Peseta................ 39,984,586 319,162 9/5/96 (843)
Swedish Krona................. 2,206,747 333,236 9/3/96 (54)
Swiss Franc................... 299,419 250,707 9/3/96 774
- -------------------------------------------------------------------------------
51,288,636 577,972
- -------------------------------------------------------------------------------
TOTAL UNREALIZED GAIN ON
FORWARD
FOREIGN CURRENCY CONTRACTS... $ 286,253
- -------------------------------------------------------------------------------
</TABLE>
122
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
INTERNATIONAL FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE GAIN (LOSS)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
TO SELL:
German Deutschemark........ 9,318,750 $ 6,316,632 9/27/96 $ (66,632)
Japanese Yen............... 50,792,970 468,711 9/3/96 (314)
New Zealand Dollar......... 9,011,000 6,218,258 9/16/96 (78,343)
- -------------------------------------------------------------------------------
13,003,601 (145,289)
- -------------------------------------------------------------------------------
TO BUY:
New Zealand Dollar......... 4,505,500 3,109,129 9/16/96 3,803
- -------------------------------------------------------------------------------
<CAPTION>
MARKET VALUE
CROSS FORWARDS**: ------------------------
Japanese Canadian
Yen Dollar
TO SELL: ------------ -----------
<S> <C> <C> <C> <C>
Japanese Yen vs. Canadian
Dollar.................... $ 4,693,374 $ 4,690,291 9/30/96 (3,083)
Japanese Yen vs. Canadian
Dollar.................... 4,695,804 4,690,291 9/30/96 (5,513)
<CAPTION>
German Italian
Deutschemark Lira
------------ -----------
<S> <C> <C> <C> <C>
German Deutschemark vs.
Italian Lira.............. $ 6,554,889 $ 6,446,319 7/9/97 (108,570)
- -------------------------------------------------------------------------------
15,944,067 15,826,901 (117,166)
- -------------------------------------------------------------------------------
TOTAL UNREALIZED LOSS ON
FORWARD
FOREIGN CURRENCY
CONTRACTS................. $(258,652)
- -------------------------------------------------------------------------------
<CAPTION>
** Local Currency on Cross
Forwards Sell Buy
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell Japanese Yen vs. Cana-
dian Dollar............... 507,530,980 6,410,000
Sell Japanese Yen vs. Cana-
dian Dollar............... 507,793,790 6,410,000
Sell German Deutschemark
vs. Italian Lira.......... 9,500,000 9,937,000,000
- -------------------------------------------------------------------------------
</TABLE>
8. REPURCHASE AGREEMENTS
The Fund purchases (and its custodian takes possession of) U.S. Government
securities from banks and securities dealers subject to agreements to resell
the securities to the sellers at a future date (generally, the next business
day) at an agreed-upon higher repurchase price. The Fund requires continual
maintenance of the market value of the collateral in amounts at least equal to
the repurchase price.
9. CAPITAL LOSS CARRYFORWARD
At August 31, 1996, the Fund had, for Federal income tax purposes,
approximately the following unused capital loss carryforwards available to
offset future capital gains:
<TABLE>
<CAPTION>
PORTFOLIO TOTAL 8/31/02 8/31/03 8/31/04
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Government Money Investments......... $ 54,000 $1,000 $ 45,000 $ 8,000
Intermediate Fixed Income Invest-
ments............................... 6,548,000 -- 5,086,000 1,462,000
Long-Term Bond Investments........... 1,691,000 -- 1,691,000 --
Municipal Bond Investments........... 1,486,000 -- 238,000 1,248,000
Mortgage Backed Investments.......... 920,000 -- 538,000 382,000
- ------------------------------------------------------------------------------
</TABLE>
To the extent that these capital carryforward losses are used to offset
capital gains, it is probable that the gains so offset will not be distributed.
123
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
10. SHARES OF BENEFICIAL INTEREST
At August 31, 1996, the Fund had an unlimited number of shares of beneficial
interest authorized with a par value of $0.001 per share. Transactions in
shares were as follows:
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
AUGUST 31, 1996 AUGUST 31, 1995
- -------------------------------------------------------------------------------
<S> <C> <C>
GOVERNMENT MONEY INVESTMENTS
Shares sold.................................... 438,920,652 307,350,449
Shares issued on reinvestment.................. 11,223,535 10,833,392
Shares redeemed................................ (413,581,060) (261,236,040)
- -------------------------------------------------------------------------------
Net Increase................................... 36,563,127 56,947,801
- -------------------------------------------------------------------------------
INTERMEDIATE FIXED INCOME INVESTMENTS
Shares sold.................................... 16,226,689 14,257,926
Shares issued on reinvestment.................. 2,067,760 1,644,966
Shares redeemed................................ (11,307,251) (13,738,827)
- -------------------------------------------------------------------------------
Net Increase................................... 6,987,198 2,164,065
- -------------------------------------------------------------------------------
LONG-TERM BOND INVESTMENTS
Shares sold.................................... 8,616,173 11,749,472
Shares issued on reinvestment.................. 988,796 893,508
Shares redeemed................................ (6,509,335) (7,964,868)
- -------------------------------------------------------------------------------
Net Increase................................... 3,095,634 4,678,112
- -------------------------------------------------------------------------------
MUNICIPAL BOND INVESTMENTS
Shares sold.................................... 2,986,970 1,867,148
Shares issued on reinvestment.................. 249,750 274,716
Shares redeemed................................ (3,091,008) (3,684,749)
- -------------------------------------------------------------------------------
Net Increase (Decrease)........................ 145,712 (1,542,885)
- -------------------------------------------------------------------------------
MORTGAGE BACKED INVESTMENTS
Shares sold.................................... 5,541,780 4,269,136
Shares issued on reinvestment.................. 898,184 874,423
Shares redeemed................................ (4,063,287) (7,555,641)
- -------------------------------------------------------------------------------
Net Increase (Decrease)........................ 2,376,677 (2,412,082)
- -------------------------------------------------------------------------------
BALANCED INVESTMENTS
Shares sold.................................... 3,107,830 3,206,487
Shares issued on reinvestment.................. 228,475 82,632
Shares redeemed................................ (1,537,798) (1,789,639)
- -------------------------------------------------------------------------------
Net Increase................................... 1,798,507 1,499,480
- -------------------------------------------------------------------------------
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
Shares sold.................................... 50,806,724 40,567,406
Shares issued on reinvestment.................. 2,398,347 4,143,981
Shares redeemed................................ (24,969,181) (30,602,117)
- -------------------------------------------------------------------------------
Net Increase................................... 28,235,890 14,109,270
- -------------------------------------------------------------------------------
LARGE CAPITALIZATION GROWTH INVESTMENTS
Shares sold.................................... 40,898,526 34,793,582
Shares issued on reinvestment.................. 3,324,041 466,363
Shares redeemed................................ (16,659,319) (16,532,262)
- -------------------------------------------------------------------------------
Net Increase................................... 27,563,248 18,727,683
- -------------------------------------------------------------------------------
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
Shares sold.................................... 20,888,354 14,946,504
Shares issued on reinvestment.................. 229,397 472,906
Shares redeemed................................ (12,034,896) (19,338,022)
- -------------------------------------------------------------------------------
Net Increase (Decrease)........................ 9,082,855 (3,918,612)
- -------------------------------------------------------------------------------
SMALL CAPITALIZATION GROWTH INVESTMENTS
Shares sold.................................... 21,661,872 11,435,282
Shares issued on reinvestment.................. 3,403,611 83,420
Shares redeemed................................ (15,605,234) (7,607,305)
- -------------------------------------------------------------------------------
Net Increase................................... 9,460,249 3,911,397
- -------------------------------------------------------------------------------
</TABLE>
124
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
AUGUST 31, 1996 AUGUST 31, 1995
- --------------------------------------------------------------------------------
<S> <C> <C>
INTERNATIONAL EQUITY INVESTMENTS
Shares sold..................................... 32,796,549 27,699,298
Shares issued on reinvestment................... 2,783,132 1,843,836
Shares redeemed................................. (18,301,671) (21,167,881)
- --------------------------------------------------------------------------------
Net Increase.................................... 17,278,010 8,375,253
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED INCOME INVESTMENTS
Shares sold..................................... 4,607,116 3,564,496
Shares issued on reinvestment................... 1,344,169 771,628
Shares redeemed................................. (3,507,513) (6,898,451)
- --------------------------------------------------------------------------------
Net Increase (Decrease)......................... 2,443,772 (2,562,327)
- --------------------------------------------------------------------------------
EMERGING MARKETS EQUITY INVESTMENTS
Shares sold..................................... 9,176,431 6,214,297
Shares issued on reinvestment................... -- 148,020
Shares redeemed................................. (5,261,534) (2,632,648)
- --------------------------------------------------------------------------------
Net Increase.................................... 3,914,897 3,729,669
- --------------------------------------------------------------------------------
</TABLE>
125
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
GOVERNMENT MONEY INVESTMENTS 1996 1995 1994 1993 1992(1)
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF YEAR.................... $1.00 $1.00 $1.00 $1.00 $1.00
- ---------------------------------------------------------------------------------
Net investment income(2)... 0.05 0.05 0.03 0.03 0.03
Dividends from net invest-
ment income............... (0.05) (0.05) (0.03) (0.03) (0.03)
- ---------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR....................... $1.00 $1.00 $1.00 $1.00 $1.00
- ---------------------------------------------------------------------------------
TOTAL RETURN................ 5.02% 5.24% 3.10% 2.76% 2.72%++
- ---------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)..................... $278,162 $241,590 $184,656 $84,034 $30,353
- ---------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(2)................ 0.60% 0.60% 0.55% 0.50% 0.49%+
Net investment income...... 4.93 5.14 3.16 2.71 3.37+
- ---------------------------------------------------------------------------------
<CAPTION>
INTERMEDIATE FIXED INCOME
INVESTMENTS 1996 1995 1994 1993 1992(1)
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF YEAR.................... $8.10 $7.92 $8.58 $8.25 $8.00
- ---------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment income(2)... 0.50 0.50 0.47 0.51 0.34
Net realized and unrealized
gain (loss)............... (0.17) 0.16 (0.56) 0.33 0.25
- ---------------------------------------------------------------------------------
Total Income (Loss) From Op-
erations................... 0.33 0.66 (0.09) 0.84 0.59
- ---------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income...... (0.51) (0.48) (0.50) (0.48) (0.34)
Net realized gains......... -- -- (0.05) (0.03) --
Overdistribution of net re-
alized gains.............. -- -- (0.01) -- --
Capital.................... -- -- (0.01) -- --
- ---------------------------------------------------------------------------------
Total Distributions......... (0.51) (0.48) (0.57) (0.51) (0.34)
- ---------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR....................... $7.92 $8.10 $7.92 $8.58 $8.25
- ---------------------------------------------------------------------------------
TOTAL RETURN................ 4.08% 8.70% (1.13)% 10.59% 7.53%++
- ---------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)..................... $296,053 $246,323 $223,548 $140,580 $58,545
- ---------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(2)................ 0.73% 0.80% 0.80% 0.80% 0.79%+
Net investment income...... 5.78 6.40 5.77 5.94 6.00+
- ---------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE..... 98% 98% 86% 92% 169%
- ---------------------------------------------------------------------------------
</TABLE>
(1) For the period from November 18, 1991 (inception date) to August 31, 1992.
(2) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET INVESTMENT INCOME EXPENSE RATIOS WITHOUT WAIVERS
PER SHARE DECREASE AND REIMBURSEMENTS
----------------------------- --------------------------------------
PORTFOLIO 1996 1995 1994 1993 1992 1996 1995 1994 1993 1992
--------- ----- ----- ----- ----- ----- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Government Money
Investments............ $0.01 $0.05 $0.03 $0.02 $0.01 0.72% 0.74% 0.84% 1.39% 2.48%+
Intermediate Fixed
Income Investments..... N/A N/A N/A 0.01 0.03 N/A N/A N/A 0.88 1.30+
</TABLE>
++Total return is not annualized, as it may not be representative of the total
return for the year.
+Annualized.
126
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
LONG-TERM BOND INVESTMENTS 1996 1995 1994(1) 1993 1992(2)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF YEAR.................... $8.23 $7.86 $8.70 $8.26 $8.00
- --------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment income(3)... 0.51 0.45 0.38 0.47 0.31
Net realized and unrealized
gain (loss)............... (0.41) 0.36 (0.75) 0.42 0.26
- --------------------------------------------------------------------------------
Total Income (Loss) From Op-
erations................... 0.10 0.81 (0.37) 0.89 0.57
- --------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income...... (0.46) (0.44) (0.41) (0.45) (0.31)
Net realized gains......... -- -- (0.01) -- --
Overdistribution of net re-
alized gains.............. -- -- (0.05) -- --
Capital.................... -- -- (0.00)* -- --
- --------------------------------------------------------------------------------
Total Distributions......... (0.46) (0.44) (0.47) (0.45) (0.31)
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR....................... $7.87 $8.23 $7.86 $8.70 $8.26
- --------------------------------------------------------------------------------
TOTAL RETURN................ 1.11% 10.71% (3.93)% 11.08% 7.37%++
- --------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)..................... $155,910 $137,545 $94,628 $64,734 $34,986
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(3)................ 0.80% 0.80% 0.80% 0.80% 0.79%+
Net investment income...... 6.18 5.80 5.34 5.40 5.69+
- --------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE..... 125% 62% 43% 35% 4%
- --------------------------------------------------------------------------------
<CAPTION>
MUNICIPAL BOND INVESTMENTS 1996 1995 1994 1993 1992(2)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF YEAR.................... $8.27 $8.06 $8.85 $8.25 $8.00
- --------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment income(3)... 0.38 0.40 0.40 0.41 0.30
Net realized and unrealized
gain (loss)............... -- 0.21 (0.71) 0.62 0.25
- --------------------------------------------------------------------------------
Total Income (Loss) From Op-
erations................... 0.38 0.61 (0.31) 1.03 0.55
- --------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income...... (0.39) (0.40) (0.40) (0.41) (0.30)
Net realized gains......... -- (0.00)* -- -- --
Overdistribution of net re-
alized gains.............. -- -- (0.05) (0.02) --
Capital.................... -- -- (0.03) -- --
- --------------------------------------------------------------------------------
Total Distributions......... (0.39) (0.40) (0.48) (0.43) (0.30)
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR....................... $8.26 $8.27 $8.06 $8.85 $8.25
- --------------------------------------------------------------------------------
TOTAL RETURN................ 4.62% 7.86% (3.78)% 12.94% 7.06%++
- --------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)..................... $46,485 $45,356 $56,625 $47,811 $21,795
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(3)................ 0.80% 0.80% 0.80% 0.80% 0.79%+
Net investment income...... 4.59 4.99 4.59 4.76 4.71+
- --------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE..... 29% 49% 132% 15% 76%
- --------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method, which more appropriately presents the per share data for the period
since the use of the undistributed net investment income method does not
accord with results of operations.
(2) For the period from November 18, 1991 (inception date) to August 31, 1992.
(3) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET INVESTMENT INCOME EXPENSE RATIOS WITHOUT WAIVERS
PER SHARE DECREASE AND/OR REIMBURSEMENTS
----------------------------- --------------------------------------
PORTFOLIO 1996 1995 1994 1993 1992 1996 1995 1994 1993 1992
--------- ----- ----- ----- ----- ----- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Long-Term Bond
Investments............ N/A $0.01 $0.01 $0.02 $0.06 N/A 0.93% 0.95% 1.09% 1.91%+
Municipal Bond
Investments............ $0.02 0.02 0.01 0.02 0.06 1.02% 1.04 0.93 1.02 1.66+
</TABLE>
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
127
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
MORTGAGE BACKED
INVESTMENTS 1996(1) 1995 1994 1993 1992(2)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF YEAR............ $7.91 $7.69 $8.21 $8.19 $8.00
- -------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(3)................ 0.48 0.51 0.41 0.53 0.40
Net realized and
unrealized gain
(loss)................. (0.14) 0.22 (0.41) 0.00* 0.19
- -------------------------------------------------------------------------------
Total Income From Opera-
tions................... 0.34 0.73 0.00 0.53 0.59
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income... (0.48) (0.49) (0.41) (0.42) (0.40)
Net realized gains...... -- -- (0.01) -- --
Overdistribution of net
realized gains......... -- -- -- (0.04) --
Capital................. (0.03) (0.02) (0.10) (0.05) --
- -------------------------------------------------------------------------------
Total Distributions...... (0.51) (0.51) (0.52) (0.51) (0.40)
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR.................... $7.74 $7.91 $7.69 $8.21 $8.19
- -------------------------------------------------------------------------------
TOTAL RETURN............. 4.37% 9.96% (0.20)% 6.68% 7.56%++
- -------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S).................. $120,945 $104,789 $120,427 $94,421 $35,694
- -------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(3)............. 0.80% 0.80% 0.80% 0.80% 0.79%+
Net investment income... 6.09 6.85 6.38 6.53 6.55+
- -------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.. 23% 30% 53% 93% 35%
- -------------------------------------------------------------------------------
<CAPTION>
BALANCED INVESTMENTS 1996 1995 1994 1993(4)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF YEAR............ $9.37 $8.63 $8.41 $8.00
- -------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(3)................ 0.29 0.26 0.21 0.09
Net realized and
unrealized gain........ 0.95 0.81 0.16 0.42
- -------------------------------------------------------------------------------
Total Income From Opera-
tions................... 1.24 1.07 0.37 0.51
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income... (0.28) (0.29) (0.15) (0.10)
Net realized gains...... (0.33) (0.04) -- --
Capital................. -- -- -- (0.00)*
- -------------------------------------------------------------------------------
Total Distributions...... (0.61) (0.33) (0.15) (0.10)
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR.................... $10.00 $9.37 $8.63 $8.41
- -------------------------------------------------------------------------------
TOTAL RETURN............. 13.60% 12.76% 4.62% 6.35%++
- -------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S).................. $50,281 $30,268 $14,940 $5,258
- -------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(3)............. 1.00% 1.00% 1.00% 1.00%+
Net investment income... 2.85 3.28 2.66 2.67+
- -------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.. 47% 47% 43% 10%
- -------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(5)......... $0.06 -- -- --
- -------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method, which more appropriately presents the per share data for this
period, since use of the undistributed net investment income method does
not accord with results of operations.
(2) For the period from November 18, 1991 (inception date) to August 31, 1992.
(3) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET INVESTMENT INCOME EXPENSE RATIOS WITHOUT WAIVERS
PER SHARE DECREASE AND REIMBURSEMENTS
----------------------------- --------------------------------------
PORTFOLIO 1996 1995 1994 1993 1992 1996 1995 1994 1993 1992
--------- ----- ----- ----- ----- ----- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Mortgage Backed
Investments............ $0.01 $0.02 $0.02 $0.04 $0.05 0.94% 1.09% 1.06% 1.13% 1.66%+
Balanced Investments.... 0.03 0.06 0.08 0.15 -- 1.26 1.75 2.01 5.55 --
</TABLE>
(4) For the period from February 16, 1993 (inception date) to August 31, 1993.
(5) As of September 1995, the SEC instituted new guidelines requiring the
disclosure of average commissions per share.
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
128
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
LARGE CAPITALIZATION
VALUE EQUITY INVESTMENTS 1996 1995(1) 1994 1993(1) 1992(2)
- ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF YEAR........... $10.42 $9.39 $9.35 $8.77 $8.00
- ----------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(3)............... 0.26 0.27 0.17 0.25 0.09
Net realized and
unrealized gain....... 1.25 1.16 0.02 0.54 0.68
- ----------------------------------------------------------------------------------
Total Income From Opera-
tions.................. 1.51 1.43 0.19 0.79 0.77
- ----------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.24) (0.24) (0.15) (0.14) --
Net realized gains..... (0.14) (0.16) 0.00 (0.07) --
- ----------------------------------------------------------------------------------
Total Distributions..... (0.38) (0.40) (0.15) (0.21) --
- ----------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR................... $11.55 $10.42 $9.39 $9.35 $8.77
- ----------------------------------------------------------------------------------
TOTAL RETURN............ 14.75% 16.14% 2.09% 9.25% 9.63%++
- ----------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)................. $1,512,451 $1,070,037 $832,138 $562,507 $197,695
- ----------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(3)............ 0.80% 0.83% 0.88% 0.95% 1.24%+
Net investment income.. 2.31 2.93 2.57 2.88 3.24+
- ----------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 24% 21% 108% 47% 12%
- ----------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(4)........ $0.06 -- -- -- --
- ----------------------------------------------------------------------------------
<CAPTION>
LARGE CAPITALIZATION
GROWTH INVESTMENTS 1996 1995 1994 1993(1) 1992(2)
- ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF YEAR........... $12.13 $10.00 $9.76 $8.88 $8.00
- ----------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(3)............... 0.07 0.09 0.03 0.00* 0.01
Net realized and
unrealized gain....... 1.46 2.13 0.21 0.89 0.87
- ----------------------------------------------------------------------------------
Total Income From Opera-
tions.................. 1.53 2.22 0.24 0.89 0.88
- ----------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.06) (0.08) -- (0.00)* --
Overdistribution of net
investment income..... -- -- -- (0.01) --
Net realized gains..... (0.50) (0.01) -- -- --
Capital................ -- -- -- (0.00)* --
- ----------------------------------------------------------------------------------
Total Distributions..... (0.56) (0.09) -- (0.01) --
- ----------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR................... $13.10 $12.13 $10.00 $9.76 $8.88
- ----------------------------------------------------------------------------------
TOTAL RETURN............ 12.89% 22.30% 2.46% 10.00% 11.00%++
- ----------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)................. $1,205,417 $782,394 $457,588 $238,256 $85,401
- ----------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(3)............ 0.83% 0.88% 0.98% 1.12% 1.24%+
Net investment income
(loss)................ 0.63 0.98 0.39 (0.04) 0.31+
- ----------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 40% 38% 104% 47% 19%
- ----------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(4)........ $0.06 -- -- -- --
- ----------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method, which more appropriately presents the per share data for the period
since the use of the undistributed net investment income method does not
accord with results of operations.
(2) For the period from November 18, 1991 (inception date) to August 31, 1992.
(3) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
EXPENSE RATIOS
NET INVESTMENT INCOME WITHOUT WAIVERS
PER SHARE DECREASE AND REIMBURSEMENTS
------------------------ ---------------------
PORTFOLIO 1995 1994 1993 1992 1995 1994 1993 1992
--------- ----- ----- ---- ----- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Large Capitalization Value
Equity Investments....... $0.01 $0.00 N/A N/A 0.93% 0.92% N/A N/A
Large Capitalization
Growth Investments....... 0.00* 0.00* N/A $0.01 0.98 1.02 N/A 1.42%+
</TABLE>
(4) As of September 1995, the SEC instituted new guidelines requiring the
disclosure of average commissions per share.
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
129
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
SMALL CAPITALIZATION
VALUE EQUITY INVESTMENTS 1996 1995 1994 1993 1992(1)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF YEAR........... $10.01 $9.03 $9.94 $8.68 $8.00
- -------------------------------------------------------------------------------
INCOME (LOSS) FROM OPER-
ATIONS:
Net investment in-
come(2)............... 0.16 0.15 0.08 0.06 0.03
Net realized and
unrealized gain
(loss)................ 1.08 0.95 (0.40) 1.31 0.65
- -------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 1.24 1.10 (0.32) 1.37 0.68
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.14) (0.12) (0.07) (0.03) --
Net realized gains..... -- (0.00)* (0.51) (0.08) --
Overdistribution of net
realized gains........ -- -- (0.01) -- --
- -------------------------------------------------------------------------------
Total Distributions..... (0.14) (0.12) (0.59) (0.11) --
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR................... $11.11 $10.01 $9.03 $9.94 $8.68
- -------------------------------------------------------------------------------
TOTAL RETURN............ 12.48% 12.50% (3.30)% 15.74% 8.50%++
- -------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)................. $478,884 $340,306 $342,388 $183,051 $93,458
- -------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(2)............ 0.95% 1.11% 1.06% 1.11% 1.24%+
Net investment income.. 1.52 1.54 1.12 0.82 0.99+
- -------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 39% 115% 65% 70% 20%
- -------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(3)........ $0.04 -- -- -- --
- -------------------------------------------------------------------------------
<CAPTION>
SMALL CAPITALIZATION
GROWTH INVESTMENTS 1996 1995(4) 1994(4) 1993(4) 1992(1)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF YEAR........... $17.19 $12.50 $11.21 $7.99 $8.00
- -------------------------------------------------------------------------------
INCOME (LOSS) FROM OPER-
ATIONS:
Net investment
loss(2)............... (0.08) (0.05) (0.09) (0.07) (0.01)
Net realized and
unrealized gain....... 3.36 4.81 1.56 3.29 --
- -------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 3.28 4.76 1.47 3.22 (0.01)
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net realized gains..... (2.68) (0.07) (0.04) -- --
Overdistribution of net
realized gains........ -- -- (0.10) -- --
Capital................ -- -- (0.04) -- --
- -------------------------------------------------------------------------------
Total Distributions..... (2.68) (0.07) (0.18) -- --
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR................... $17.79 $17.19 $12.50 $11.21 $7.99
- -------------------------------------------------------------------------------
TOTAL RETURN............ 21.33% 38.25% 13.18% 40.30% (0.13)%++
- -------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)................. $494,323 $315,033 $180,175 $ 75,498 $22,145
- -------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(2)............ 1.00% 1.14% 1.20% 1.25% 1.24%+
Net investment loss.... (0.49) (0.35) (0.78) (0.72) (0.25)+
- -------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 83% 174% 94% 97% 35%
- -------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(3)........ $0.08 -- -- -- --
- -------------------------------------------------------------------------------
</TABLE>
(1) For the period from November 18, 1991 (inception date) to August 31, 1992.
(2) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
EXPENSE RATIOS
NET INVESTMENT INCOME WITHOUT WAIVERS
PER SHARE DECREASE AND/OR REIMBURSEMENTS
------------------------ -------------------------
PORTFOLIO 1995 1994 1993 1992 1995 1994 1993 1992
--------- ----- ----- ---- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Small Capitalization
Value Equity
Investments............ $0.00 N/A N/A $0.01 1.13% N/A N/A 1.40%+
Small Capitalization
Growth Investments..... 0.00* $0.00* N/A 0.04 1.16 1.49% N/A 2.61+
</TABLE>
(3) As of September 1995, the SEC instituted new guidelines requiring the
disclosure of average commissions per share.
(4) Per share amounts have been calculated using the monthly average shares
method, which more appropriately presents the per share data for the period
since the use of the undistributed net investment income method does not
accord with results of operations.
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
130
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
INVESTMENTS 1996 1995 1994(1) 1993 1992(2)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF YEAR........... $10.50 $10.86 $9.57 $7.76 $8.00
- --------------------------------------------------------------------------------
INCOME (LOSS) FROM OPER-
ATIONS:
Net investment in-
come(3)............... -- 0.05 0.02 0.05 0.03
Net realized and
unrealized gain
(loss)................ 0.44 (0.09) 1.54 1.79 (0.27)
- --------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 0.44 (0.04) 1.56 1.84 (0.24)
- --------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.17) -- (0.03) (0.03) --
Net realized gains..... (0.28) (0.32) (0.24) -- --
- --------------------------------------------------------------------------------
Total Distributions..... (0.45) (0.32) (0.27) (0.03) --
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR................... $10.49 $10.50 $10.86 $9.57 $7.76
- --------------------------------------------------------------------------------
TOTAL RETURN............ 4.23% (0.18)% 16.74% 23.73% (3.00)%++
- --------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)................. $843,730 $663,130 $594,965 $270,302 $115,779
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(3)(4)......... 1.00% 1.19% 1.19% 1.32% 1.50%+
Net investment income
(loss)................ (0.12) 0.43 0.23 0.61 1.08+
- --------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 50% 28% 33% 46% 10%
- --------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(5)........ $0.02 -- -- -- --
- --------------------------------------------------------------------------------
<CAPTION>
INTERNATIONAL FIXED
INCOME INVESTMENTS 1996 1995 1994 1993 1992(2)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF YEAR........... $9.01 $8.17 $8.86 $8.71 $8.00
- --------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(3)............... 0.55 0.56 0.40 0.51 0.39
Net realized and
unrealized gain
(loss)................ 0.49 0.84 (0.32) 0.20 0.69
- --------------------------------------------------------------------------------
Total Income From Opera-
tions.................. 1.04 1.40 0.08 0.71 1.08
- --------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.94) (0.56) (0.65) (0.55) (0.37)
Overdistribution of net
realized gains........ -- -- (0.07) (0.01) --
Net realized gains..... -- -- (0.05) -- --
Capital................ -- -- (0.00)* -- --
- --------------------------------------------------------------------------------
Total Distributions..... (0.94) (0.56) (0.77) (0.56) (0.37)
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR................... $9.11 $9.01 $8.17 $8.86 $8.71
- --------------------------------------------------------------------------------
TOTAL RETURN............ 12.05% 17.66% 1.00% 8.67% 13.93%++
- --------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)................. $129,410 $105,884 $116,929 $100,362 $39,182
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(3)(4)......... 1.02% 0.95% 0.95% 0.95% 0.95%+
Net investment income.. 6.34 6.50 5.54 6.03 6.34+
- --------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 211% 307% 358% 251% 106%
- --------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method, which more appropriately presents the per share data for the period
since the use of the undistributed net investment income method does not
accord with results of operations.
(2) For the period from November 18, 1991 (inception date) to August 31, 1992.
(3) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET INVESTMENT INCOME EXPENSE RATIOS WITHOUT WAIVERS
PER SHARE DECREASE AND/OR REIMBURSEMENTS
----------------------- ----------------------------------
PORTFOLIO 1995 1994 1993 1992 1995 1994 1993 1992
--------- ----- ----- ----- ----- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
International Equity
Investments............ N/A N/A N/A $0.00* N/A N/A N/A 1.52%+
International Fixed
Income Investments..... $0.02 $0.01 $0.02 0.06 1.18% 1.08% 1.22% 1.87+
</TABLE>
(4) During the year ended August 31, 1996, the portfolios have earned credits
from the custodian which reduce service fees incurred. If the credits are
taken into consideration, the ratio of expenses to average net assets for
International Equity Investments and International Fixed Income Investments
would be 1.00% and 0.97%, respectively; prior year numbers have not been
restated to reflect these numbers.
(5) As of September 1995, the SEC instituted new guidelines requiring the
disclosure of average commissions per shares.
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
131
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
EMERGING MARKETS EQUITY INVESTMENTS 1996 1995(1) 1994(2)
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR............... $7.85 $9.49 $8.00
- ------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (loss)(3)................. 0.03 0.01 (0.02)
Net realized and unrealized gain (loss)......... 0.62 (1.45) 1.51
- ------------------------------------------------------------------------------
Total Income (Loss) From Operations.............. 0.65 (1.44) 1.49
- ------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income........................... -- -- --
Net realized gains.............................. -- (0.20) --
- ------------------------------------------------------------------------------
Total Distributions.............................. -- (0.20) --
- ------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR..................... $8.50 $7.85 $9.49
- ------------------------------------------------------------------------------
TOTAL RETURN..................................... 8.28% (15.13)% 18.63%++
- ------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000S)................... $97,489 $59,333 $36,365
- ------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(3)(4).................................. 1.84% 1.75% 1.72%+
Net investment income (loss).................... 0.26 0.15 (0.42)+
- ------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.......................... 106% 89% 16%
- ------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER SHARE PAID ON EQUITY
TRANSACTIONS(5)................................. $0.00* -- --
- ------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method, which more appropriately presents the per share data for the period
since the use of the undistributed net investment income method does not
accord with results of operations.
(2) For the period from April 21, 1994 (inception date) to August 31, 1994.
(3) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
EXPENSE RATIOS
NET INVESTMENT INCOME WITHOUT WAIVERS
PER SHARE DECREASE OR CREDITS
----------------------- -------------------
PORTFOLIO 1996 1995 1994 1996 1995 1994
--------- ------- ------- ------- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C>
Emerging Markets Equity
Investments................. $ 0.01 $ 0.02 $ 0.02 1.97% 1.96% 2.56%+
</TABLE>
(4) During the year ended August 31, 1996, the portfolio has earned credits
from the custodian which reduce service fees incurred. If the credits are
taken into consideration, the ratio of expenses to average net assets for
Emerging Markets Equity Investments would be 1.80%; prior year numbers have
not been restated to reflect these numbers.
(5) As of September 1995, the SEC instituted new guidelines requiring the
disclosure of average commissions per share.
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
132
<PAGE>
PORTFOLIO HIGHLIGHTS--GOVERNMENT MONEY INVESTMENTS (UNAUDITED)
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
GOVERNMENT MONEY INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
---------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/96 5.02% 3.46%
Inception (11/18/91) through 8/31/96 3.93 2.39
</TABLE>
For the year ended August 31, 1996, Government Money Investments had a total
return of 5.02% versus 4.88% for the Lipper Government Money Market Average--
the Portfolio's benchmark.
The philosophy of Standish Ayer & Wood, manager for the Portfolio, is to:
make a modest maturity extension to increase income and return; actively manage
among sectors; and use innovative instruments to add value. Throughout the
fiscal year, the Portfolio maintained an average maturity between 80-90 days
believing that the steepness of the yield curve would reward the Portfolio with
a relatively high yield. The Portfolio was active in changing exposure to the
various sectors of the permissible bond universe. The Portfolio consists of
approximately 75% agency securities and 25% Treasuries and has a modest
exposure to one-year securities.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
133
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERMEDIATE FIXED INCOME INVESTMENTS AS OF AUGUST 31,
1996
For the year ended August 31, 1996, Intermediate Fixed Income Investments had
a total return of 4.08% versus 4.43% for the Lehman Brothers' Intermediate
Government Corporate Bond Index--the Portfolio's benchmark.
The Portfolio's manager, Standish, Ayer & Wood, Inc. ("Standish"), applied
the following investment philosophy throughout the period under review: contain
the impact of duration on the Portfolio; invest mainly in intermediate
securities; maximize the use of corporate and mortgages; and minimize, when
possible the use of U.S. Treasury issues. During the period under review,
interest rate volatility drove home the need to maintain a duration or interest
rate sensitivity that was relatively equivalent to that of the market as a
whole. Throughout the year, the Portfolio was weighted slightly more toward the
longer end of the market than its benchmark. This had a slightly negative
impact on the Portfolio's performance during the period as interest rates rose
for the most part. However, the effect was offset by the Portfolio's
positioning in intermediate securities, as this sector outperformed both
shorter and longer ends of the market.
Corporate securities were by far the best performers, especially those at the
lower end of the permissible quality range. Standish concentrated the
Portfolio's holdings in the lower categories of the investment grade rating, in
this case A and BBB by Moody's Investor Services, Inc. and Standard & Poor's
Ratings Services. The largest position in the Portfolio was in finance-related
issues. The Portfolio's manager felt that this sector had the best combination
of yield spread and qualitative results to be found for investors. The
Portfolio's manager also increased mortgage holdings as it saw a diminishing
fear of prepayment and refinancings which had plagued the total return of
mortgages for quite some time.
Standish will continue to apply its core philosophy which has been in place
for over two decades. The Portfolio's manager believes that the economic and
market conditions of the latest fiscal year were consistent with the
application of this philosophy, and they remain optimistic going forward that
good value will come from this philosophy.
134
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERMEDIATE FIXED INCOME INVESTMENTS (UNAUDITED)
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE FIXED INCOME
INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/96 4.08% 2.53%
Inception (11/18/91) through 8/31/96 6.14 4.57
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
INTERMEDIATE FIXED INCOME INVESTMENTS
VS.
LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE BOND INDEX
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1996
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Intermediate Fixed Income Investments Lehman Bros. Intermediate Gov't/Corp. Bond Index
<S> <C> <C>
11/18/91 10000 10000
2/92 10122 10192
8/92 10753 10872
2/93 11277 11370
8/93 11892 11876
2/94 11928 11898
8/94 11758 11836
2/95 12053 12158
8/95 12781 12957
2/96 13284 13466
8/96 13302 13532
</TABLE>
- --------------------------------------------------------------------------------
The Lehman Brothers Intermediate Government/Corporate Bond Index is a weighted
composite of (i) Lehman Brothers Intermediate Government Bond Index, which is
comprised of all publicly issued, non-convertible debt of the U.S. government
or any agency thereof, quasi-federal corporations, and corporate debt
guaranteed by the U.S. government with a maturity between one and ten years and
(ii) Lehman Brothers Corporate Bond Index, which is comprised of all public
fixed-rate, non-convertible investment-grade domestic corporate debt with a
maturity of between one and ten years, excluding collateralized mortgage
obligations. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
135
<PAGE>
PORTFOLIO HIGHLIGHTS--LONG-TERM BOND INVESTMENTS AS OF AUGUST 31, 1996
For the year ended August 31, 1996, Long-Term Bond Investments had a total
return of 1.11% versus 1.87% for the Lehman Brothers Government/Corporate Long
Bond Index--the Portfolio's benchmark.
The long-term fixed income approach of the Portfolio's manager, National
Asset Management Corp. ("National"), focused on sector allocation, duration
management and security selection. For the period under review, this strategy
produced a positive return for the Portfolio while maintaining a high level of
quality holdings.
Going forward, National's investment strategy is to maintain a neutral
duration stance, with a concentration in securities with maturities in the
years 2015 to 2020, and an underweighting in callable issues. This approach is
consistent with National's belief that interest rates are in a long-term
downward trend based on the stable rate of inflation, a modestly growing
economy and the Federal Reserve's commitment to price stability.
136
<PAGE>
PORTFOLIO HIGHLIGHTS--LONG-TERM BOND INVESTMENTS (UNAUDITED)
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG-TERM BOND INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
-------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/96 1.11% (0.39)%
Inception (11/18/91) through 8/31/96 5.33 3.77
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
LONG-TERM BOND INVESTMENTS
VS.
LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1996
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Long-term Bond Investments* Lehman Bros. Gov't/Corp. Bond Index
<S> <C> <C>
11/18/91 $10000 10000
2/92 10042 10708
8/92 10737 11329
2/93 l1340 l2054
8/93 11926 11976
2/94 11851 1l773
8/94 11457 12136
2/95 11787 13126
8/95 12684 13667
2/96 13157 13614
8/96 12825 13581
</TABLE>
- --------------------------------------------------------------------------------
The Lehman Brothers Government/Corporate Bond Index is a weighted composite of
(i) Lehman Brothers Government Bond Index, which is comprised of all publicly
issued, non-convertible debt of the U.S. government or any agency thereof,
quasi-federal corporations, and corporate debt guaranteed by the U.S.
government and (ii) Lehman Brothers Corporate Bond Index, which is comprised of
all public fixed-rate, non-convertible investment-grade domestic corporate
debt, excluding collateralized mortgage obligations. Because the index is not a
managed portfolio, there are no advisory fees or internal management expenses
reflected in the index's performance
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
137
<PAGE>
PORTFOLIO HIGHLIGHTS--MUNICIPAL BOND INVESTMENTS AS OF AUGUST 31, 1996
For the year ended August 31, 1996, Municipal Bond Investments had a total
return of 4.62% versus 5.24% for the Lehman Brothers' Municipal Bond Index--the
Portfolio's benchmark.
During the period under review, there were some gradual but significant
changes in the Portfolio's composition of investments. Late last year and early
this year, fears of a "flat tax" played a key role in the weak demand for
municipal securities as evidenced by the outflow of funds from tax-exempt bond
mutual funds. A U.S. economy that was stronger than bond market analysts and
investors anticipated helped drive Treasury bond yields sharply higher, along
with the full range of maturities. As flat tax fears diminished and supply
remained weak, the Portfolio's manager, Smith Affiliated Capital Corporation
("Smith Affiliated"), reduced the average maturity of the Portfolio's tax-
exempt bonds to 14.3 years from 17.8 years a year ago.
Smith Affiliated also made some sector changes over the period. Given the
deregulation that is occurring in the public utilities industry, the manager
reduced the Portfolio's exposure to this sector. The manager also increased the
Portfolio's weighting in state and local general obligation bonds. A lack of
supply required Smith Affiliated to increase the Portfolio's short-term
investment position from less than 2% to just over 9% at August 31, 1996. When
municipal bonds experience a more favorable supply/demand environment, the
fund's short-term investments will be put back into the market.
138
<PAGE>
PORTFOLIO HIGHLIGHTS--MUNICIPAL BOND INVESTMENTS (UNAUDITED)
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL BOND INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
-------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/96 4.62% 3.07%
Inception (11/18/91) through 8/31/96 5.85 4.28
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
MUNICIPAL BOND INVESTMENTS
VS.
LEHMAN BROTHERS MUNICIPAL BOND INDEX
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1996
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Municipal Bond Investments* Lehman Brothers Municipal Bond Index
<S> <C> <C>
l1/18/91 $10000 10000
2/92 10167 10241
8/92 10706 10845
2/93 11565 11651
8/93 12091 12168
2/94 12065 12296
8/94 11634 12185
2/95 11996 12528
8/95 12548 13266
2/96 13288 13912
8/96 13128 13962
</TABLE>
- --------------------------------------------------------------------------------
The Lehman Brothers Municipal Bond Index is a weighted composite which is
comprised of more than 15,000 bonds issued within the last five years, having a
minimum credit rating of at least Baa and a maturity of at least two years,
excluding all bonds subject to the Alternative Minimum Tax and bonds with
floating or zero coupons. Because the index is not a managed portfolio, there
are no advisory fees or internal management expenses reflected in the index's
performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
139
<PAGE>
PORTFOLIO HIGHLIGHTS--MORTGAGE BACKED INVESTMENTS AS OF AUGUST 31, 1996
For the year ended August 31, 1996, Mortgage Backed Investments had a total
return of 4.37% versus 4.97% for the Lehman Brothers Mortgage Securities
Index--the Portfolio's benchmark.
During the period in review, Treasury yields rose approximately 0.50%. The
mortgage sector posted slightly higher returns than either the government or
corporate sectors as a result of having a slightly shorter average maturity,
which is beneficial in a rising interest rate environment.
The Portfolio's manager, Atlantic Portfolio Analytics & Management, Inc.
("Atlantic Portfolio Analytics"), viewed mortgages as undervalued in comparison
to other domestic fixed-income securities for long-term investors and focused
on the mortgage pool market, duration management and cash management. Atlantic
Portfolio Analytics expects no major changes to this strategy in the near
future.
140
<PAGE>
PORTFOLIO HIGHLIGHTS--MORTGAGE BACKED INVESTMENTS (UNAUDITED)
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
MORTGAGE BACKED INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
--------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/96 4.37% 2.82%
Inception (11/18/91) through 8/31/96 5.87 4.30
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN MORTGAGE BACKED INVESTMENTS
VS.
LEHMAN BROTHERS MORTGAGE BACKED SECURITIES INDEX AND LIPPER U.S. MORTGAGE FUND
AVERAGE NOVEMBER 18, 1991 THROUGH AUGUST 31, 1996
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman Brothers Mortgage Backed
Mortgage Backed Investments Securities Index Lipper U.S. Mortgage Fund Average
<S> <C> <C> <C>
11/18/91 $10000 10000 10000
2/92 10198 10179 10183
8/92 10756 10750 10788
2/93 11138 11167 11246
8/93 11474 11543 11721
2/94 11585 11691 11709
8/94 11452 11586 11344
2/95 11835 12015 11638
8/95 12593 12855 12419
2/96 13082 13387 12898
8/96 13142 13494 12902
</TABLE>
- --------------------------------------------------------------------------------
The Lehman Brothers Mortgage-Backed Securities Index includes all fixed-rate
securities backed by mortgage pools of the Government National Mortgage
Association (GNMA), Federal Home Loan Mortgage Corporation (FHLMC) and Federal
National Mortgage Association (FNMA). The Lipper U.S. Mortgage Fund Average is
an average of funds invested at least 65% in mortgage securities issued or
guaranteed as to principal and interest by the U.S. Government and certain
federal agencies. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
141
<PAGE>
PORTFOLIO HIGHLIGHTS--BALANCED INVESTMENTS AS OF AUGUST 31, 1996
For the fiscal year ended August 31, 1996, Balanced Investments had a total
return of 13.60%. The Portfolio's benchmarks, the Lehman Brothers
Government/Corporate Bond Index and Standard & Poor's 500 Stock Composite Index
had total returns of 3.71% and 18.7%, respectively) over the same period. The
Portfolio is managed by Palley-Needelman Asset Management, Inc. ("Palley-
Needelman").
For most of the year, the Portfolio was invested in approximately 70% common
stocks and 28% fixed income, with the balance in cash equivalents. Of the
portion invested in common stocks, 12% represented foreign stocks that
outperformed domestic stocks during the period.
Throughout the period under review, the Portfolio focused on large
capitalization issues of better-known companies that had a history of paying
dividends. These holdings were spread across a wide range of sectors including
food, capital goods, railroads and retail--each of which outperformed other
sectors of the market. At the same time, the Portfolio maintained an
underweighting in the technology sector. The fixed income portion of the
Portfolio, which had an average duration of 3.3 years, was not negatively
affected by the rise in long-term interest rates.
Palley-Needelman intends to continue emphasizing large capitalization value
equity issues, and an underweighting in technology. At this time, the
Portfolio's manager intends to maintain an average duration of approximately
3.3 years in the fixed income portion of the Portfolio.
142
<PAGE>
PORTFOLIO HIGHLIGHTS--BALANCED INVESTMENTS (UNAUDITED)
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
-------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/96 13.60% 11.91%
Inception (2/16/93) through 8/31/96 10.49 8.85
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN BALANCED INVESTMENTS
VS.
LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX
AND STANDARD & POOR'S 500 INDEX
FEBRUARY 16, 1993 THROUGH AUGUST 31, 1996
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Balanced Investments* Lehman Brothers Gov't/Corp. Bond Index Standard & Poor's 500 Index
<S> <C> <C> <C>
2/16/93 $10000 10000 10000
8/93 10635 10640 10605
2/94 10973 10571 10831
8/94 11113 10392 11184
2/95 11162 10712 11627
8/95 12532 11586 13579
2/96 13827 12064 15658
8/96 14235 12017 16121
</TABLE>
- --------------------------------------------------------------------------------
The Lehman Brothers Government/Corporate Bond Index is a weighted composite of
(i) Lehman Brothers Government Bond Index, which is comprised of all publicly
issued, non-convertible debt of the U.S. government or any agency thereof,
quasi-federal corporations, and corporate debt guaranteed by the U.S.
government and (ii) Lehman Brothers Corporate Bond Index, which is comprised of
all public fixed-rate, non-convertible investment-grade domestic corporate
debt, excluding collateralized mortgage obligations. The S&P 500 Index is an
index composed of 500 widely held common stocks listed on the New York Stock
Exchange, American Stock Exchange and over-the-counter market. Because the
index is not a managed portfolio, there are no advisory fees or internal
management expenses reflected in the index's performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
143
<PAGE>
PORTFOLIO HIGHLIGHTS--LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS AS OF
AUGUST 31, 1996
For the year ended August 31, 1996, Large Capitalization Value Equity
Investments had a total return of 14.75% versus 17.54% for the Russell 1000
Value Index--the Portfolio's benchmark. The Portfolio is managed 80% by
Parametric Portfolio Associates ("Parametric") and 20% by Newbold's Asset
Management, Inc. ("Newbold's").
Parametric uses a quantitative investment approach with risk characteristics
similar to that of the Russell 1000 Value Index. The Portfolio is rebalanced
over time to maintain risk characteristics similar to the index. During the
period under review, the Portfolio's performance benefited from a strong stock
market across nearly all economic sectors. The best performing sectors of the
market were technology, financial services and health care. The worst
performing sectors were shelter (comprised of forest products and
homebuilders), consumer durables and utilities.
Newbold's focuses on high quality companies selling at attractive valuation
levels. During the period under review, Newbold's maintained an underweighting
in the positive performing financial sectors and an overweighting in the
lackluster utility sector. As a result, this portion of the Portfolio
underperformed the Russell 1000 Value Index. In response, Newbold's has begun
to increase the Portfolio's financial sector exposure and trim its electric
utility holdings.
Going forward, Parametric's strategy is to continue to manage a replication
of the Russell 1000 Value Index, while adding value through security selection
based on earnings estimates combined with a reasonable valuation of those
earnings. The Newbolds' portion of the Portfolio will continue to be managed
with a focus on high quality companies selling at attractive valuation levels.
144
<PAGE>
PORTFOLIO HIGHLIGHTS--LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
(UNAUDITED)
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE CAPITALIZATION VALUE EQUITY
INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
--------------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/96 14.75% 13.02%
Inception (11/18/91) through 8/31/96 10.73 9.08
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
VS.
RUSSELL 1000 VALUE INDEX AND LIPPER GROWTH AND INCOME FUND AVERAGE
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1996
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Large Capitalization Value
Investments Russell 1000 Value Fund Index Lipper Growth and Income Fund Average
<S> <C> <C> <C>
11/18/91 $10000 10000 10000
2/92 10438 11121 11351
8/92 10963 11496 10877
2/93 11067 13141 12029
8/93 11977 14588 12932
2/94 11966 14605 13546
8/94 12228 15008 13501
2/95 12292 15302 13665
8/95 14200 17881 16262
2/96 15995 20527 17869
8/96 16292 21018 18344
</TABLE>
- --------------------------------------------------------------------------------
The Russell 1000 Value Index is a capitalization weighted total return index
which is comprised of 1000 of the largest capitalized U.S. domiciled companies
with greater-than-average value orientation whose common stock is traded in the
United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Growth and Income Fund Average is composed of the Portfolio's peer group
of mutual funds investing in growth and income oriented funds.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
145
<PAGE>
PORTFOLIO HIGHLIGHTS--LARGE CAPITALIZATION GROWTH INVESTMENTS AS OF AUGUST 31,
1996
For the year ended August 31, 1996, Large Capitalization Growth Investments
had a total return of 12.89% versus 18.37% for the Russell 1000 Growth Index--
the Portfolio's benchmark. Large Capitalization Growth Investments is managed
80% by Boston Structured Advisors ("Boston Structured") and 20% by Provident
Investment Counsel Inc. ("Provident").
Boston Structured's strategy for the past year was to emphasize stocks that
had good earnings growth prospects with reasonable price earning multiples.
Boston Structured believes that focusing on more reasonably valued issues
within the Portfolio's benchmark will, over the long-term, lead to better
performance.
In the portion of the Portfolio managed by Provident, an overweighting in
high growth electronic technology caused the Portfolio to underperform the
Russell 1000 Growth Index. Shares of companies throughout this sector were
affected by news of earnings disappointments by a few high profile companies.
In addition, during the period under review, Provident maintained an
underweighting in lower growth, large capitalization companies in the consumer
non-durable sector believing that this area was overvalued. These stocks
outperformed shares of more rapidly growing companies that were in the same
sector.
Going forward, Boston Structured will continue to manage a replication of the
Russell 1000 Growth Index, while seeking to add value through security
selection that favors companies that are slightly smaller, less expensive on a
price to book value basis and have positive earnings potential. Provident will
continue to seek high-quality growth companies that remain moderately priced
relative to their high growth rates.
146
<PAGE>
PORTFOLIO HIGHLIGHTS--LARGE CAPITALIZATION GROWTH INVESTMENTS (UNAUDITED)
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE CAPITALIZATION GROWTH
INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
--------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/96 12.89% 11.21%
Inception (11/18/91) through 8/31/96 12.09 10.42
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
LARGE CAPITALIZATION GROWTH INVESTMENTS
VS.
RUSSELL 1000 GROWTH INDEX AND LIPPER GROWTH FUND AVERAGE
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1996
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Large Capitalization Growth
Investments Russell 1000 Growth Fund Index Lipper Growth Fund Average
<S> <C> <C> <C>
11/18/91 $10000 10000 10000
2/92 11150 11155 11351
8/92 11100 11075 10877
2/93 11610 11659 12029
8/93 12210 11961 12932
2/94 12473 12387 13546
8/94 12510 12740 13501
2/95 12973 13472 13665
8/95 15300 15879 16262
2/96 17008 18277 17869
8/96 17272 18798 18344
</TABLE>
- --------------------------------------------------------------------------------
The Russell 1000 Growth Index is a capitalization weighted total return index
which is comprised of 1000 of the largest capitalized U.S. domiciled companies
with a greater-than-average growth orientation whose common stock is traded in
the United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Growth Fund Average is composed of the Portfolio's peer group of mutual
funds investing in companies where long term earnings are expected to grow
significantly faster than the earnings of the stocks represented in the major
unmanaged stock indices.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
147
<PAGE>
PORTFOLIO HIGHLIGHTS--SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS AS OF
AUGUST 31, 1996
For the year ended August 31, 1996, Small Capitalization Value Equity
Investments had a total return of 12.48% versus 12.12% for the Russell 2000
Value Index--the Portfolio's benchmark.
The Portfolio is managed 50% by Barclays Global Fund Advisors ("Barclays")
and 50% by NFJ Investment Group ("NFJ"). Small capitalization stocks generally
underperformed their large capitalization counterparts during the fiscal year.
The Portfolio's value bias made little difference over the year as both value
and growth stocks achieved similar returns. In general, the stock market rally
continued into 1996 with a greater level of volatility than last year. In
particular, small stocks which soared in April and May gave back most of those
gains a month later.
NFJ maintains a concentrated portfolio of approximately 110 names. Stock
selection is made from 88 industries on the basis of below median industry
valuation, dividend yield, capitalization size and internal NFJ quality
parameters. In general, selected securities are characterized as having below
average price earnings ratios and a small number of shares outstanding relative
to the stock market in general and have below average industry coverage.
Barclays maintains a highly diversified portfolio of over 1,000 stocks in
order to match the characteristics of the Russell 2000 Value Index and will
continue to manage as a full replication of that index. NFJ intends to maintain
a fully invested position and remains optimistic about the valuation and upward
trend of small-capitalization issues.
148
<PAGE>
PORTFOLIO HIGHLIGHTS--SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
(UNAUDITED)
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAPITALIZATION VALUE
EQUITY INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
-------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/96 12.48% 10.80%
Inception (11/18/91) through 8/31/96 9.38 7.76
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
VS.
RUSSELL 2000 VALUE INDEX AND LIPPER SMALL COMPANY FUND AVERAGE
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1996
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Small Capitalization Value
Investments* Russell 2000 Value Fund Index Lipper Small Company Fund Average
<S> <C> <C> <C>
11/18/91 $10000 10000 10000
2/92 11250 12090 11900
8/92 10850 11926 10640
2/93 12495 14538 12507
8/93 12558 16206 14010
2/94 12506 17584 15217
8/94 12143 17513 14667
2/95 11778 17350 15118
8/95 13661 20241 18474
2/96 14439 21615 19889
8/96 15366 22694 21345
</TABLE>
- --------------------------------------------------------------------------------
The Russell 2000 Value Index is a capitalization weighted total return index
which is comprised of 2000 of the smallest capitalized U.S. domiciled companies
with less-than-average growth orientation whose common stock is traded in the
United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Small Company Fund Average is composed of the Portfolio's peer group of
mutual funds which limit their investments to companies on the basis of the
size of the company.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
149
<PAGE>
PORTFOLIO HIGHLIGHTS--SMALL CAPITALIZATION GROWTH INVESTMENTS AS OF AUGUST 31,
1996
For the year ended August 31, 1996, Small Capitalization Growth Investments
had a total return of 21.33% versus 9.30% for the Russell 2000 Growth Index--
the Portfolio's benchmark.
The Portfolio is managed 50% by Pilgrim Baxter & Associates, Inc. ("Pilgrim
Baxter") and 50% by Mellon Capital Management Corp. ("Mellon"). The first
quarter of 1996 provided a range of experiences, pre-announcements of select
earnings disappointments carried through the market in early January as
investors feared a broad slowing of growth had finally reached the market. The
earnings reporting season exasperated this uncertainty leading to significant
early declines in technology and consumer stocks, which were the most heavily
weighted sectors in the Portfolio. However, when earnings were reported in
February, the Portfolio experienced solid returns for these sectors. Consumer,
service and technology led the charge with strong returns to more than offset
the earlier declines. The second quarter continued to have strong performance
with reports of solid earnings results that continued until June. At that time,
renewed fears of a Federal Reserve tightening due to a strong economy caused
the general market and small-cap stocks to decline. Fortunately, the panic
selling was abated with the reporting of positive earnings results that
significantly turned the market around.
During the period under review, Pilgrim Baxter maintained a highly selective
portfolio of stocks by focusing on investment in "emerging growth companies"
that are believed to be undervalued in the marketplace and have earnings that
are expected to grow faster than the economy as a whole.
Mellon maintained a highly diversified portfolio of over 1,000 stocks in
order to replicate the characteristics of the Russell 2000 Growth Index. During
the past fiscal year, there were few changes to the portion of the Portfolio
managed by Mellon. However, more stocks were added as the portion of the assets
allocated to the Portfolio grew to over $304 million.
Mellon will continue to manage the Portfolio as a full replication of the
Russell 2000 Growth Index. Pilgrim Baxter intends to maintain a fully invested
position and remains optimistic about the valuation and upward trend of small-
capitalization issues.
150
<PAGE>
PORTFOLIO HIGHLIGHTS--SMALL CAPITALIZATION GROWTH INVESTMENTS (UNAUDITED)
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAPITALIZATION GROWTH
INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
--------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/96 21.33% 19.55%
Inception (11/18/91) through 8/31/96 22.67 20.84
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
SMALL CAPITALIZATION GROWTH INVESTMENTS
VS.
RUSSELL 2000 GROWTH INDEX AND LIPPER SMALL COMPANY FUND AVERAGE
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1996
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Small Cap Value Investments* Russell 2000 Growth Fund Index Lipper Small Company Fund Average
<S> <C> <C> <C>
11/18/91 $10000 10000 10000
2/92 11613 11944 11900
8/92 9988 9823 10640
2/93 11513 11306 12507
8/93 14013 12627 14010
2/94 16862 13682 15217
8/94 15860 13103 14687
2/95 17577 13386 15118
8/95 21926 16525 18474
2/96 24898 17747 19889
8/96 26603 18061 21345
</TABLE>
- --------------------------------------------------------------------------------
The Russell 2000 Growth Index is a capitalization weighted total return index
which is comprised of 2000 of the smallest capitalized U.S. domiciled companies
with greater-than-average growth orientation whose common stock is traded in
the United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Small Company Fund Average is composed of the Portfolio's peer group of
mutual funds which limit their investments to companies on the basis of the
size of the company.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
151
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERNATIONAL EQUITY INVESTMENTS AS OF AUGUST 31, 1996
For the year ended August 31, 1996, International Equity Investments had a
total return of 4.23%. The Portfolio's benchmark, the Morgan Stanley Capital
International Europe Australia Far East Index ("EAFE Index") had a total return
of 7.86% over the same period. EAFE is a market value weighted average of the
performance of over 1,000 foreign common stocks, and includes the reinvestment
of dividends.
The portfolio is 50% managed by State Street Global Advisors ("State Street")
and 50% managed by Oeschle International Advisors, L.P. ("Oeschle").
The portion of the Portfolio managed by Oeschle slightly underperformed the
EAFE Index. This modest underperformance was due to overweighted positions in
Japanese and Italian securities, both of which lagged the EAFE Index; and an
underweighted exposure in Swiss securities, which was the strongest market for
the period. The Portfolio's performance benefited from overweighted position
and good stock selection in Hong Kong, Germany, Singapore, Spain and Sweden. It
was during this period that the Portfolio began to build positions in some blue
chip growth companies to give it more growth exposure.
In late 1995, State Street assumed management responsibilities for half of
the Portfolio's assets. At that point, State Street initiated significant
trading to restructure the assets to replicate the EAFE Index. The
restructuring required that approximately 80% of the assets allocated to State
Street be turned over (i.e. bought and sold). This transition occurred over
several months and was accomplished in an efficient and cost-effective manner.
Looking forward, Oeschle continues to have a positive outlook for
international equities. The delay in the economic recovery expected by Oeschle
gives them more conviction that when the recovery does come, it will be
stronger and last longer than originally expected. The combination of rising
earnings and reasonable valuations, together with a favorable monetary
environment, should result in solid gains. State Street continues to manage the
assets allocated to them as a full replication of the EAFE Index.
152
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERNATIONAL EQUITY INVESTMENTS (UNAUDITED)
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
-------------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/96 4.23% 2.68%
Inception (11/18/91) through 8/31/96 8.19 6.58
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
INTERNATIONAL EQUITY INVESTMENTS
VS.
MORGAN STANLEY CAPITAL INTERNATIONAL EAFE-GDP WEIGHTED INDEX
AND MORGAN STANLEY CAPITAL INTERNATIONAL EAFE-CAPITALIZATION WEIGHTED INDEX
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1996
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
International Equity Investments* MSCI EAFE-GDP Weighted Index MSCI EAFE-CAP Weighted Index
<S> <C> <C> <C>
11/18/91 $10000 10000 10000
2/92 9850 10358 9932
8/92 9700 10333 9827
2/93 9343 10072 9557
8/93 12002 12993 12493
2/94 13354 13810 13338
8/94 14012 14558 13884
2/95 12358 13587 12780
8/95 13987 14864 13995
2/96 14607 15828 14981
8/96 14579 15940 15120
</TABLE>
- --------------------------------------------------------------------------------
The Morgan Stanley Capital International EAFE-GDP Weighted Index is a composite
portfolio consisting of equity total returns for the countries of Australia and
New Zealand and countries in Europe and the Far East, weighted based on each
country's gross domestic product. The Morgan Stanley Capital International
EAFE-Capitalization Weighted Index is a composite portfolio consisting of
equity total returns for the countries of Australia, New Zealand and countries
in Europe and the Far East, weighted based on each country's market
capitalization. Because the indices are not managed portfolios, there are no
advisory fees or internal management expenses reflected in the indices'
performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
153
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERNATIONAL FIXED INCOME INVESTMENTS AS OF AUGUST 31,
1996
For the year ended August 31, 1996, International Fixed Income Investments
had a total return of 12.05% versus 7.31% for the Salomon Brothers Non-U.S.
Government Bond Index--the Portfolio's benchmark. The Portfolio is managed by
Julius Baer Investment Management, Inc. ("Julius Baer").
The Portfolio's outperformance of the benchmark over the year can be
attributed to Julius Baer's long-held strategy of significantly underweighting
Japanese securities in favor of European markets. The choice of markets within
Europe also contributed positively to performance, as the high yielding markets
of Italy, Spain and Sweden have performed especially well.
During the period under review, the Portfolio's strategy remained consistent.
The Portfolio held less than 15% in Japanese bonds during the period. In
contrast, the Portfolio was more positive on the prospects of Europe. Over the
period, European markets dealt with low inflation, falling rates and a push
towards monetary union--all which have helped bond markets to perform well.
Within Europe, the high yielding bond markets performed best, as investors
viewed favorably the efforts of each respective government to continue pursuing
tight fiscal policies. Lastly, the Portfolio has maintained a bullish outlook
for the U.S. dollar. While the exact amounts and currencies involved have
changed over the course of the year, hedges into the U.S. dollar have been in
place for most of the period.
Because Julius Baer believes that the Japanese bond market is overvalued, the
Portfolio will remain underweighted in this sector. The Portfolio's manager
will continue to overweight the European bond market with a short duration in
the high yielding markets and partially offset the longer duration in the core
European bond markets where yield curves are steepest. Julius Baer continues to
forecast a stronger U.S. dollar, and has adjusted the long U.S. dollar hedges
accordingly.
154
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERNATIONAL FIXED INCOME INVESTMENTS (UNAUDITED)
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL FIXED INCOME
INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
-------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/96 12.05% 10.39%
Inception (11/18/91) through 8/31/96 11.00 9.36
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
INTERNATIONAL FIXED INCOME INVESTMENTS
VS.
SALOMON BROTHERS NON-U.S. GOVERNMENT BOND INDEX
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1996
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
International Fixed Income
Investments Salomon Brothers Non-U.S. Gov't. Bond Index
<S> <C> <C>
11/18/91 $10000 10000
2/92 10331 10322
8/92 11393 11859
2/93 11214 11574
8/93 12381 12650
2/94 12457 12980
8/94 12504 13319
2/95 13297 14354
8/95 14713 15451
2/96 15656 15920
8/96 16485 16576
</TABLE>
- --------------------------------------------------------------------------------
The Salomon Brothers Non-U.S. Government Bond Index is an index subset of the
Salomon Brothers World Bond Index that excludes corporate bonds denominated in
U.S. dollars. It contains foreign government and supranational bonds
denominated in Australian, Austrian, Belgian, British, Canadian, Danish, Dutch,
French, German, Italian, Japanese, Spanish, and Swedish currencies. Because the
index is not a managed portfolio, there are no advisory fees or internal
management expenses reflected in the index's performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
155
<PAGE>
PORTFOLIO HIGHLIGHTS--EMERGING MARKETS EQUITY INVESTMENTS AS OF AUGUST 31,
1996
For the year ended August 31, 1996, Emerging Markets Equity Investments had a
total return of 8.20% versus 3.83% for the Morgan Stanley Capital International
Emerging Markets Free Index--the Portfolio's benchmark.
After a prolonged period of depressed performance, the Portfolio experienced
a significant turnaround during the period under review as markets recovered
from heavily oversold levels in December 1995. This strength was sustained
throughout the first half of 1996, with foreign investors returning to emerging
equity markets who were encouraged by depressed valuation levels and signs of
improving economic and monetary conditions across most countries.
The recovery was led mainly by the major Latin American markets of Brazil,
Mexico and Argentina, where the prospects of economic and political progress
were sharpest and equity markets appeared most oversold. In particular, the
success of the Mexican authorities in stabilizing their economy, tackling
inflation and allowing interest rates to fall from a high of 44% at the
beginning of the year to 24% by the end of August 1996, played a major part in
restoring investors' confidence in the region as a whole. In anticipation of
this, the fund's manager, John Govett & Co. Limited ("John Govett") built a
significant exposure to these markets at the end of 1995.
The other region which has shown marked strength over the period has been
Central Europe, where Poland and Hungary, in particular, have responded to a
sharply improving economic and corporate earnings outlook. In addition, given
the early stages of these markets, equity valuations were at levels that in no
way reflected their strong earnings potential. In contrast to these buoyant
investment areas, the Asian equity markets provided few investment
opportunities over the past fiscal year as political concerns and pressures on
current accounts overshadowed sentiment. The one exception to this was Hong
Kong, where the improving economic conditions in China have set a much more
positive tone for Hong Kong companies and helped to drive the market higher.
John Govett will continue to increase its positions in selected countries
where equities appear well supported by attractive equity valuations and strong
economic growth.
156
<PAGE>
PORTFOLIO HIGHLIGHTS--EMERGING MARKETS EQUITY INVESTMENTS (UNAUDITED)
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING MARKETS EQUITY INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
----------------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/96 8.28% 6.67%
Inception (4/21/94) through 8/31/96 3.71 2.17
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
EMERGING MARKETS EQUITY INVESTMENTS
VS.
MORGAN STANLEY CAPITAL INTERNATIONAL EMERGING MARKETS FREE INDEX
APRIL 21, 1994 THROUGH AUGUST 31, 1996
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Emerging Markets Equity Investments* MSCI Emerging Markets Free Index
<S> <C> <C>
4/20/94 $10000 10000
8/94 11863 12008
2/95 9068 9053
8/95 10068 10039
2/96 10607 10388
8/96 10902 10421
</TABLE>
- --------------------------------------------------------------------------------
The Morgan Stanley Capital International Emerging Markets Free Index is an
index comprised of thirteen emerging markets open to direct foreign
participation. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
157
<PAGE>
INDEPENDENT AUDITORS' REPORT
The Board of Trustees of
Consulting Group Capital Markets Funds:
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of Government Money Investments,
Intermediate Fixed Income Investments, Long-Term Bond Investments, Municipal
Bond Investments, Mortgage Backed Investments, Balanced Investments, Large
Capitalization Value Equity Investments, Large Capitalization Growth
Investments, Small Capitalization Value Equity Investments, Small Capitalization
Growth Investments, International Equity Investments, International Fixed Income
Investments, and Emerging Markets Equity Investments (the "Portfolios") of
Consulting Group Capital Markets Funds (the "Fund"), the related statements of
operations for the year then ended, and the statements of changes in net assets
and financial highlights for each of the years in the two-year period then
ended. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits. The financial highlights for each of the years or periods in the three-
year period ended August 31, 1994, were audited by other auditors whose report
thereon, dated October 19, 1994, expressed an unqualified opinion on those
financial highlights.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
August 31, 1996, by correspondence with the custodian. As to securities
purchased and sold but not received and delivered we performed other appropriate
auditing procedures. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Portfolios as of August 31, 1996, the result of its operations for the year then
ended, and the changes in its net assets and financial highlights for each of
the years in the two-year period then ended, in conformity with generally
accepted accounting principles.
/s/ KPMG Peat Marwick LLP
New York, New York
October 25, 1996
158
<PAGE>
TAX INFORMATION (UNAUDITED)
The following tax information represents fiscal year end disclosures of
various tax benefits passed through to shareholders at calendar year end.
Of the distributions made from investment income the following percentages
have been derived from investments in U.S. Government and Agency Obligations.
All of a portion of the distributions from this income may be exempt from
taxation at the state level. Consult your tax advisor for the state specific
information.
<TABLE>
<S> <C>
Government Money Investments 61.27%
Intermediate Fixed Income Investments 12.49%
Long-Term Bond Investments 40.75%
Balanced Investments 17.50%
Mortgage Backed Investments 1.21%
</TABLE>
Of the distributions made by the following Portfolios the corresponding
percentage represents the amount of each distribution which will qualify for
the dividend received deduction available to corporate shareholders.
<TABLE>
<S> <C>
Balanced Investments 25.46%
Large Capitalization Value Equity Investments 73.50%
Large Capitalization Growth Investments 54.17%
Small Capitalization Value Equity Investments 51.54%
Small Capitalization Growth Investments 5.50%
</TABLE>
The capital gains dividend distribution paid to shareholders for fiscal year
ended August 31, 1996, whether taken in shares or in cash, from long term
capital gains is as follows:
<TABLE>
<S> <C>
Balanced Investments $ 805,452
Large Capitalization Value Equity Investments 10,394,469
Large Capitalization Growth Investments 24,502,369
Small Capitalization Growth Investments 31,868,012
International Equity Investments 15,701,458
</TABLE>
For Municipal Bond Investments, 98.39% of the dividends from net investment
income for the year ended August 31, 1996, are tax-exempt for regular Federal
income tax purposes.
For the fiscal year ended August 31, 1996, the total income received by
International Equity Investments from the sources within foreign countries and
possessions of the United States was $0.0381 per share (representing a total of
$3,065,727). The total amount of taxes paid by the Portfolio to such countries
was $0.0217 per share (representing a total of $1,749,194).
For the fiscal year ended August 31, 1996, the total income received by
International Fixed Income Investments from the sources within foreign
countries and possessions of the United States was $0.6204 per share
(representing a total of $8,810,633). The total amount of taxes paid by the
Portfolio to such countries was $0.0090 per share (representing a total of
$129,075).
The above figures may differ from those cited elsewhere in this report due to
differences in the calculations of income and capital gains for Securities and
Exchange Commission (book) purposes and Internal Revenue Service (tax)
purposes.
159
<PAGE>
THIS REPORT IS SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF
CONSULTING GROUP CAPITAL MARKETS FUNDS.
IT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS UNLESS
ACCOMPANIED OR PRECEDED BY AN EFFECTIVE PROSPECTUS FOR THE TRUST WHICH CONTAINS
INFORMATION CONCERNING THE TRUST'S INVESTMENT POLICIES, CHARGES AND EXPENSES AS
WELL AS OTHER PERTINENT INFORMATION.
TK0423, 10/9__CONSULTING6GROUP CAPITAL MARKETS FUNDS . 222 DELAWARE
AVENUE . WILMINGTON, DELAWARE . 19801
