<PAGE>
[LOGO]TRAK(R)
CONSULTING GROUP CAPITAL MARKETS FUNDS
Semi-Annual Report
February 28, 1997
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.......................................... 78
International Fixed Income Investments.................................... 100
Emerging Markets Equity Investments....................................... 102
Statements of Assets and Liabilities........................................ 108
Statements of Operations.................................................... 110
Statements of Changes in Net Assets......................................... 112
Notes to Financial Statements............................................... 116
Financial Highlights........................................................ 124
</TABLE>
1
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
Dear Shareholder:
The past few years have been a rewarding period for U.S. stock investors. In
the 12-month period ending February 28, 1997 the stock market, as measured by
the S&P 500 Index, a benchmark of the stock performance of the 500 most
significant stocks traded in the United States, returned 26.16%. With the
beginning of November 1996, the stock market had entered its seventh year
without a decline of 10% or more from a market peak. Since October 1990, when
the stock market hit the bottom of a three-month slide totaling -20% and the
world was embroiled in the Persian Gulf crisis, the S&P 500 Index has returned
an average annual return of 18.53%. Fueling the market's above-average
performance has been a combination of rising corporate profits, low interest
rates and low inflation. A stock market decline began in March 1997 and
continued into the first half of April. As of the writing of this letter,
however, the decline was less than 10%. It came as the Federal Reserve raised
interest rates for the first time in two years and investor fears of an
increase in inflation intensified.
We are pleased to report that all 13 portfolios of the Consulting Group
Capital Markets Funds posted positive returns for the 12 months ending February
28, 1997, the close of the fund's semi-annual period. The two largest
portfolios -- Large Capitalization Value Equity Investments and Large
Capitalization Growth Investments -- both outperformed their peer group of
mutual funds, according to data compiled by Lipper Analytical Services. In the
six-month semi-annual period ending February 28, 1997, all but two
portfolios -- Small Capitalization Growth Investments (-2.07%) and
International Fixed Income Investments (-0.21%) -- posted positive returns as
well. Still, these two portfolios are outperforming their market benchmark
indexes -- Salomon Brothers Non-U.S. Government and the Russell 2000 Growth,
respectively--over a 1-, 3-, and 5-year basis ending February 28, 1997.
The big gainers in the 7-year "bull market" have been small-company stocks,
which have outperformed many other investment types, including bonds, foreign
stocks and the S&P 500, which is predominantly a benchmark of large-company
stock performance. From October 1990 through the end of February 1997, small-
company stocks returned an average annual return of 21.83%, as measured by the
Russell 2000 Index; bonds 9.02%, as measured by the Lehman Brothers
Government/Corporate Bond Index; and foreign stocks 7.78%, as measured by the
Morgan Stanley Capital International Europe Australia Far East Index.
The range of returns in these indexes offers investors another compelling
reason to diversify their investment holdings among a number of different
investment types or "asset classes." In addition to minimizing fluctuations in
the overall value of an investor's holdings, diversification helps an investor
to participate in the returns of a multitude of asset classes. Combining these
asset classes so that they enhance the prospect of meeting the individual
investor's risk and return requirements is the essence of the Trak Personalized
Investment Advisory Service. For each investor we provide an asset allocation
recommendation suited to that person's risk and return needs. As market
conditions change and we identify investment opportunities, we will recommend
changes to our clients' Trak asset allocation. We encourage you to take
advantage of these suggested revisions as we release them.
Since the end of the last Trak fiscal year on August 31, 1996, we have issued
several asset allocation revisions. In October 1996, we recommended that
investors reduce some of their holdings in Large Capitalization Value Equity
Investments and increase their holdings in Large Capitalization Growth
Investments by a like amount. We recommended this change when we anticipated
better opportunities for growth stocks. In November 1996 we recommended that
stock investors increase their holdings in Emerging Markets Equity Investments.
Finally, in December 1996 we recommended that stock investors reduce their
holdings in Government Money Investments and increase their holdings in
International Equity Investments.
Besides the above asset allocation revisions, we have also made changes
pertaining to the investment advisers of several portfolios in the Consulting
Group Capital Markets Funds. In December 1996 we retained The Boston Company
Asset Management, Inc. ("TBCAM") as co-advisor of Large Capitalization Value
Equity Investments. TBCAM replaced Newbold's Asset Management, Inc. ("NAM"). We
terminated our relationship with Newbold's after key investment personnel left
the firm and we detected a change in the firm's investment discipline. Like
Newbold's, TBCAM will manage 20% of the portfolio's assets while 80% of the
fund will continue to be managed by Parametric Portfolio Associates. TBCAM, a
firm that currently manages more than $15 billion in client assets, has a
commendable investment performance track record. The firm outperformed the
portfolio's benchmark index -- Russell 1000 Value Index -- in eight of the last
ten calendar years.
2
<PAGE>
Another change occurred in March 1997, when we directed Boston Structured
Advisors ("BSA") to manage its portion of Large Capitalization Growth
Investments as a pure index manager. The firm will continue to manage 80% of
the portfolio's assets. The remaining 20% will continue to be managed by
Provident Investment Counsel. The investment objective of BSA is to manage its
portion of the portfolio's assets to match the performance of the Russell 1000
Growth Index. With this investment policy change, we lowered the advisory fee
paid to BSA to 0.05% from 0.15%.
Effective March 11, 1997 Pilgrim Baxter & Associates, Inc. ("PBA") resigned
as co-adviser of Small Capitalization Growth Investments. We replaced PBA with
Berger Associates Inc. ("Berger Associates"), which was founded in 1973 and is
based in Denver, CO. PBA had been responsible for managing 50% of the
portfolio's assets. However, since October 1996 we had reduced that percentage
to 30%, when PBA notified us of its intended departure. Berger Associates is
currently managing approximately 30% of the portfolio's assets. The remaining
70% will continue to be managed by Mellon Capital Management Corporation. The
search for a replacement for PBA once again underscored the fact that qualified
small-company stock advisers are difficult to find. In addition, we performed a
survey of fees paid to small-company stock advisers and determined that our fee
structure was low. In order to retain a high-quality, small-company investment
advisory firm, we sought to raise the management fee to 0.80%, from 0.60% of
the average net assets. The fee increase was approved by the shareholders of
Small Capitalization Growth Investments on March 31, 1997. The entire increase
in the management fee will be applied to Berger Associates which will now
receive 0.50% of the assets it manages.
Finally, we're also pleased to report that Trak assets surpassed $7 billion
in February 1997. In addition, the total number of clients investing through
the Trak Personalized Investment Advisory Service rose to 91,000. We thank you
for your continued confidence in us. As always, if you have any questions about
your Trak investment, your Financial Consultant remains ready to help you.
Sincerely,
/s/ Heath B. McLendon /s/ Frank L. Campanale
Heath B. McLendon Frank L. Campanale
Chairman of the Board of Trustees of Investment Officer of the Consulting
the Consulting Group Capital Markets Group Capital Markets Funds
Funds
April 25, 1997
3
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) FEBRUARY 28, 1997
GOVERNMENT MONEY INVESTMENTS
<TABLE>
<CAPTION>
FACE ANNUALIZED
AMOUNT SECURITY YIELD VALUE
- ------------------------------------------------------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTES --
70.1%
$ 6,045,000 Federal Farm
Credit Bank
mature 5/6/97 to
8/1/97............ 5.34% to 5.38% $ 5,917,320
10,185,000 Federal Home Loan
Bank mature
3/13/97 to
7/28/97........... 5.21 to 5.36 10,045,715
85,716,000 Federal Home Loan
Mortgage Corp.
mature 3/7/97 to
6/12/97........... 5.16 to 5.34 85,355,543
97,970,000 Federal National
Mortgage
Association
mature 3/4/97 to
6/16/97........... 5.22 to 5.35 97,397,512
4,335,000 Student Loan
Mortgage
Association
mature 3/25/97 to
3/31/97........... 5.19 to 5.30 4,319,047
- ------------------------------------------------------------
TOTAL U.S.
GOVERNMENT AGENCY
DISCOUNT NOTES
(Cost --
$203,035,137)..... 203,035,137
- ------------------------------------------------------------
U.S. TREASURY NOTES -- 29.9%
86,630,000 U.S. Treasury
Notes mature
3/31/97 to 2/28/98
(Cost --
$86,675,883)...... 4.74 to 5.89 86,675,883
- ------------------------------------------------------------
TOTAL
INVESTMENTS --
100%
(Cost --
$289,711,020**)... $289,711,020
- ------------------------------------------------------------
</TABLE>
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
U.S. Treasury Notes 29.9%
U.S. Government Agency Discount Notes 70.1%
SEE NOTES TO FINANCIAL STATEMENTS.
4
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
CORPORATE BONDS & NOTES -- 62.6%
- -------------------------------------------------------------------------------
BANKING -- 19.5%
Advanta National Bank:
$ 2,125,000 6.450% due 10/30/00............................ $ 2,101,094
4,000,000 7.470% due 9/10/01............................. 4,060,000
1,500,000 ANZ Banking Group Ltd., 7.550% due 9/15/06..... 1,539,375
1,000,000 Bank of Boston, 5.500% due 8/28/98............. 1,000,490
Capital One Bank, Medium Term Notes:
3,675,000 6.740% due 5/31/99............................. 3,693,375
1,425,000 6.844% due 6/13/00............................. 1,428,563
525,000 7.350% due 6/20/00............................. 534,188
2,000,000 Chase Manhattan Corp., 5.688% due 12/30/09..... 1,960,000
1,000,000 Chemical Bank, Notes, 9.750% due 6/15/99....... 1,068,750
Citicorp, Subordinated Capital Notes:
94,000 9.000% due 4/15/99............................. 98,935
1,500,000 9.750% due 8/1/99.............................. 1,610,625
2,425,000 Continental Bank, 12.500% due 4/1/01........... 2,903,938
First Interstate Bancorp, Subordinated Capital
Notes:
1,500,000 8.625% due 4/1/99.............................. 1,563,750
1,450,000 9.900% due 11/15/01............................ 1,629,438
First National Bank of Boston, Notes, 8.375%
2,000,000 due 12/15/02................................... 2,135,000
First Security Corp., Notes, 7.000% due
2,325,000 7/15/05........................................ 2,307,563
First USA Bank, Notes:
900,000 8.200% due 2/15/98............................. 918,522
3,275,000 6.375% due 10/23/00............................ 3,250,438
2,100,000 5.850% due 2/22/01............................. 2,006,949
Fleet Financial Group Inc., Senior Notes:
2,100,000 7.250% due 10/15/97............................ 2,118,459
675,000 7.125% due 5/1/00.............................. 683,438
General Motors Acceptance Corp.:
4,100,000 Notes, 5.625% due 2/15/01...................... 3,956,500
1,975,000 Medium Term Notes, 6.700% due 4/30/01.......... 1,967,593
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............................. 1,073,581
1,400,000 5.750% due 12/15/99............................ 1,375,500
1,685,000 Keycorp Medium Term Notes, 6.300% due 4/22/00.. 1,674,469
1,325,000 Markel Corp., Notes, 7.250% due 11/1/03........ 1,338,250
Morgan Stanley Group, Inc., Notes:
1,100,000 9.250% due 3/1/98.............................. 1,134,650
3,000,000 8.100% due 6/24/02............................. 3,180,000
1,000,000 NationsBank Corp., Notes, 6.625% due 1/15/98... 1,007,150
Shawmut National Corp., Subordinated Notes,
1,500,000 8.625% due 12/15/99............................ 1,578,750
St. Georges Bank, Notes:
2,175,000 6.875% due 4/1/99(a)........................... 2,190,682
500,000 7.150% due 10/15/05............................ 495,430
- -------------------------------------------------------------------------------
60,654,195
- -------------------------------------------------------------------------------
COMMUNICATIONS -- 1.7%
Time Warner, Inc., Notes:
4,695,000 7.750% due 6/15/05............................. 4,741,950
600,000 7.250% due 9/1/08.............................. 583,500
- -------------------------------------------------------------------------------
5,325,450
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
5
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -----------------------------------------------------------
<C> <S> <C> <C>
FINANCIAL SERVICES -- 22.1%
American Health Properties,
$ 2,500,000 7.050% due 1/15/02......... $ 2,490,625
Avalon Properties, Inc.,
2,450,000 Notes, 7.375% due 9/15/02.. 2,446,938
BanPonce Corp., Notes,
2,625,000 6.750% due 12/15/05........ 2,542,969
Bear Stearns Cos., Inc.,
1,675,000 Notes, 6.750% due 8/15/00.. 1,679,188
CIT Group Holdings, 6.200%
3,500,000 due 4/15/98................ 3,510,465
CP Limited Partnership,
750,000 8.750% due 3/2/00.......... 762,187
ERP Operation Ltd., Notes,
2,100,000 8.500% due 5/15/99......... 2,175,137
Finova Capital Corp.,
Notes:
525,000 6.750% due 3/25/99......... 528,281
2,175,000 6.450% due 6/1/00.......... 2,155,969
Ford Motor Credit Co.,
5,600,000 5.750% due 1/25/01......... 5,425,000
Franchise Finance Corp.,
Notes, 7.000% due
2,000,000 11/30/00................... 1,995,000
General Electric Capital
2,800,000 Corp., 6.660% due 5/1/18... 2,817,500
Goldman Sachs Group, Notes:
1,000,000 6.375% due 6/15/00(a)......... 991,250
7,000,000 7.200% due 3/1/07.......... 6,970,390
H.F. Ahmanson, 9.875% due
2,000,000 11/15/99................... 2,147,500
Household Financial Corp.,
3,085,000 7.150% due 6/15/00......... 3,131,275
Integra Financial Corp.,
Subordinated Notes, 6.500%
1,900,000 due 4/15/00................ 1,885,750
Merryland & Investment
Corp., Notes, 6.875% due
1,225,000 11/1/03.................... 1,206,625
Salomon Inc., Medium Term
Notes:
1,550,000 6.820% due 7/26/99......... 1,557,750
1,575,000 7.750% due 5/15/00......... 1,624,218
700,000 6.625% due 11/30/00........ 696,500
1,775,000 7.250% due 5/1/01.......... 1,786,093
Simon Debartolo Group,
3,025,000 Ltd., 6.875% due 11/15/06.. 2,915,344
Spieker Properties, Notes,
2,600,000 6.650% due 12/15/00........ 2,574,000
United Financial Corp.,
Notes:
3,500,000 7.000% due 7/15/98......... 3,500,000
1,500,000 7.700% due 1/15/04......... 1,488,750
United States Fidelity and
Guarantee Corp., Notes:
2,125,000 7.000% due 5/15/98......... 2,142,298
2,100,000 8.375% due 6/15/01......... 2,199,750
Washington Real Estate
Investment Trust, 7.125%
3,125,000 due 8/13/03................ 3,113,281
- -----------------------------------------------------------
68,460,033
- -----------------------------------------------------------
HEALTHCARE -- 1.9%
Columbia Healthcare Corp.,
1,675,000 6.125% due 12/15/00........ 1,645,688
Meditrust Corp., Notes,
2,325,000 7.375% due 7/15/00......... 2,345,344
R.P. Scherer International
2,000,000 Corp., 6.750% due 2/1/04... 1,912,500
- -----------------------------------------------------------
5,903,532
- -----------------------------------------------------------
INDUSTRIAL -- 13.1%
Brascan Ltd., Notes, 7.375%
2,450,000 due 10/1/02................ 2,440,813
Comdisco Inc., Notes:
5,025,000 6.500% due 6/15/00......... 4,987,313
325,000 5.750% due 2/15/01......... 313,219
Enterprise, Notes, 6.350%
2,675,000 due 1/15/01(a)............. 2,631,531
Falconbridge Ltd., 7.350%
2,950,000 due 11/1/06................ 2,950,089
Georgia-Pacific Corp.,
Debentures:
1,950,000 9.850% due 6/15/97......... 1,971,177
1,100,000 9.950% due 6/15/02......... 1,244,375
ITT Corp., Notes,
1,350,000 6.250% due 11/15/00........ 1,319,625
3,250,000 6.750% due 11/15/03........ 3,160,625
Methanex Corp., Notes,
2,625,000 7.750% due 8/15/05......... 2,605,313
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
INDUSTRIAL -- 13.1% (CONTINUED)
$ 5,975,000 News America Holdings, 8.500% due 2/15/05...... $ 6,415,656
3,000,000 Norwest Financial, Inc., 6.375% due 11/15/01... 2,966,250
2,375,000 Novacor Chemical, Notes, 6.500% due 9/22/00.... 2,348,281
Sears Roebuck Acceptance Corp., 6.690% due
5,335,000 4/30/01........................................ 5,321,663
- -------------------------------------------------------------------------------
40,675,930
- -------------------------------------------------------------------------------
OIL -- 2.3%
2,750,000 Kern River Funding Corp., 6.720% due 9/30/01... 2,722,500
Occidental Petroleum Corp., Notes:
700,000 9.500% due 8/15/97............................. 710,906
125,000 5.850% due 11/9/98............................. 124,124
2,100,000 5.900% due 11/9/98............................. 2,086,917
1,600,000 5.950% due 11/9/98............................. 1,591,264
- -------------------------------------------------------------------------------
7,235,711
- -------------------------------------------------------------------------------
POWER & LIGHTING -- 1.3%
FPL Group Capital Inc., Notes, 6.500% due
2,000,000 7/1/97......................................... 2,006,340
System Energy Resources, Notes:
1,000,000 6.000% due 4/1/98.............................. 992,500
1,100,000 7.625% due 4/1/99.............................. 1,113,750
- -------------------------------------------------------------------------------
4,112,590
- -------------------------------------------------------------------------------
REAL ESTATE -- 0.7%
2,100,000 Taubman Realty Group Ltd., 8.000% due 6/15/99.. 2,139,375
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$195,451,339)................................. 194,506,816
- -------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 9.9%
- -------------------------------------------------------------------------------
FEDERAL HOME LOAN BANK (FHLB) -- 2.0%
375,000 FHLB, 5.900% due 6/9/00........................ 369,720
2,925,000 FHLB, 5.000% due 10/20/00...................... 2,850,851
3,125,000 FHLB, 6.000% due 8/28/01....................... 2,949,344
- -------------------------------------------------------------------------------
6,169,915
- -------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.0%
116,864 FHLMC, 7.500% due 8/1/99....................... 119,019
- -------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 3.6%
804,583 FNMA, 8.000% due 4/1/02........................ 819,412
1,378,699 FNMA, 8.000% due 6/1/02........................ 1,404,109
2,760,233 FNMA, 7.205% due 6/1/06........................ 2,780,935
2,500,000 FNMA, 6.000% due 11/25/06...................... 2,463,350
1,723,576 FNMA, 7.000% due 11/1/23....................... 1,681,555
1,808,243 FNMA, 7.000% due 5/1/24........................ 1,764,144
192,897 FNMA, 7.000% due 6/1/24........................ 188,195
171,629 FNMA, 7.000% due 12/1/24....................... 167,446
- -------------------------------------------------------------------------------
11,269,146
- -------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 0.1%
133,972 GNMA, 9.000% due 11/15/24...................... 141,424
- -------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 4.2%
2,413,635 Chase Manhattan Corp., 7.600% due 7/18/28...... 2,464,152
Federal Deposit Insurance Co., REMIC Trust,
1,608,802 7.850% due 9/25/25............................. 1,624,891
Merrill Lynch Mortgage Investors, Inc., 8.917%
2,650,000 due 11/25/20................................... 2,756,000
2,294,000 Mortgage Capital Corp., 7.800% due 7/15/28..... 2,336,301
3,385,093 Puttable Project, 7.430% due 6/1/24............ 3,418,944
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
7
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS -- 4.2% (CONTINUED)
U.S. Department of Veteran Affairs:
$ 204,359 6.500% due 2/15/07............................. $ 204,239
221,875 7.750% due 9/15/10............................. 223,507
- -------------------------------------------------------------------------------
13,028,034
- -------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$30,596,523).................................. 30,727,538
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES & OBLIGATIONS -- 24.6%
- -------------------------------------------------------------------------------
U.S. TREASURY NOTES -- 22.3%
1,000,000 U.S. Treasury Notes, 5.875% due 4/30/98........ 1,000,940
2,400,000 U.S. Treasury Notes, 6.250% due 7/31/98........ 2,411,688
8,315,000 U.S. Treasury Notes, 5.125% due 11/30/98....... 8,196,761
6,475,000 U.S. Treasury Notes, 5.750% due 12/31/98....... 6,451,107
6,945,000 U.S. Treasury Notes, 6.875% due 7/31/99........ 7,054,106
200,000 U.S. Treasury Notes, 6.875% due 8/31/99........ 203,258
375,000 U.S. Treasury Notes, 5.625% due 1/30/00........ 366,514
5,000,000 U.S. Treasury Notes, 6.625% due 6/30/01........ 5,048,800
3,575,000 U.S. Treasury Notes, 6.375% due 8/15/02........ 3,572,355
9,925,000 U.S. Treasury Notes, 6.250% due 2/15/03........ 9,846,890
19,775,000 U.S. Treasury Notes, 5.750% due 8/15/03........ 19,053,015
6,000,000 U.S. Treasury Notes, 6.500% due 8/15/05........ 5,976,540
- -------------------------------------------------------------------------------
69,181,974
- -------------------------------------------------------------------------------
U.S. TREASURY STRIPS -- 0.9%
U.S. Treasury Strips, Zero coupon due
125,000 11/15/99....................................... 106,055
4,225,000 U.S. Treasury Strips, Zero coupon due 8/15/03.. 2,807,132
- -------------------------------------------------------------------------------
2,913,187
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES -- 1.4%
Government Trust Certificate, Resolution Trust
Corp.:
390,257 6.825% due 3/25/22............................. 387,819
875,000 7.250% due 10/25/23............................ 886,209
43,152 9.000% due 9/25/28............................. 43,975
3,100,000 7.500% due 10/25/28............................ 3,111,625
- -------------------------------------------------------------------------------
4,429,628
- -------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(Cost -- $77,121,715).......................... 76,524,789
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
REGIONAL GOVERNMENT OBLIGATION -- 1.2%
Quebec Province, 7.500% due 7/15/02 (Cost --
$ 3,500,000 $3,646,160).................................... $ 3,609,375
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.7%
5,301,000 Chase Manhattan Bank, 5.317% due 3/3/97;
Proceeds at maturity -- $5,303,349;
(Fully collateralized by U.S Treasury Note,
5.375% due 11/30/97;
Market value -- $5,407,029) (Cost --
$5,301,000).................................... 5,301,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$312,116,737**)................................ $310,669,518
- -------------------------------------------------------------------------------
</TABLE>
(a) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Repurchase Agreement 1.7% Corporate Bonds & Notes 62.6%
Regional Government Obligation 1.2%
Mortgage-Backed Securities 9.9%
U.S. Government Agencies & Obligations 24.6%
SEE NOTES TO FINANCIAL STATEMENTS.
9
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LONG-TERM BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 55.0%
$ 6,290,000 U.S. Treasury Note, 10.625% due 8/15/15........ $ 8,747,000
1,985,000 U.S. Treasury Note, 9.875% due 11/15/15........ 2,607,317
8,400,000 U.S. Treasury Note, 7.500% due 11/15/16........ 8,937,096
8,755,000 U.S. Treasury Note, 8.750% due 5/15/17......... 10,493,568
9,865,000 U.S. Treasury Note, 8.500% due 2/15/20......... 11,631,131
7,075,000 U.S. Treasury Note, 8.750% due 5/15/20......... 8,549,288
5,560,000 U.S. Treasury Bond, 12.000% due 8/15/13........ 7,861,729
5,900,000 U.S. Treasury Bond, 7.250% due 5/15/16......... 6,129,746
14,285,000 U.S. Treasury Bond, 7.875% due 2/15/21......... 15,832,922
9,200,000 U.S. Treasury Bond, 6.875% due 8/15/25......... 9,171,020
- -------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost --
$90,179,125)................................. 89,960,817
- -------------------------------------------------------------------------------
CORPORATE BONDS -- 43.5%
- -------------------------------------------------------------------------------
BANKING -- 6.2%
2,875,000 Bank Austria AG, 7.250% due 2/15/17............ 2,849,844
International Bank of Reconstruction &
3,350,000 Development, 8.250% due 9/1/16................. 3,768,750
3,000,000 NCNB Corp., 9.375% due 9/15/09................. 3,528,750
- -------------------------------------------------------------------------------
10,147,344
- -------------------------------------------------------------------------------
CONSUMER SERVICES -- 1.5%
Federal Express, 7.630% due 1/5/14, Convertible
2,565,315 Bond........................................... 2,514,009
- -------------------------------------------------------------------------------
FINANCIAL SERVICES -- 12.5%
3,300,000 American RE Corp., 7.450% due 12/15/26......... 3,238,125
2,000,000 BT Capital Trust A, 7.900% due 1/15/27......... 1,947,500
2,400,000 Continental Corp., 8.375% due 8/15/12.......... 2,478,000
1,425,000 Countrywide Capital, 8.000% due 12/15/26....... 1,421,438
1,425,000 First of America Capital, 8.120% due 1/31/27... 1,432,125
Metropolitan Life Insurance Co., 7.800% due
3,700,000 11/1/25........................................ 3,635,250
2,500,000 Nationwide, 9.875% due 2/15/25................. 3,296,250
3,025,000 World Financial Property, 6.950% due 9/1/13.... 2,934,250
- -------------------------------------------------------------------------------
20,382,938
- -------------------------------------------------------------------------------
GAS -- 2.2%
Columbia Gas Systems Inc., 7.320% due
3,750,000 11/28/10....................................... 3,656,250
- -------------------------------------------------------------------------------
HEALTHCARE -- 4.3%
Columbia/HCA Healthcare:
3,150,000 9.000% due 12/15/14............................ 3,606,750
3,500,000 7.190% due 11/15/15............................ 3,368,750
- -------------------------------------------------------------------------------
6,975,500
- -------------------------------------------------------------------------------
INDUSTRIAL -- 7.9%
2,100,000 GCB Enersis SA, 7.400% due 12/1/16............. 2,018,625
1,275,000 News America Holdings, 9.250% due 2/1/13....... 1,437,563
2,850,000 Ogden Corp., 8.250% due 3/1/22................. 3,199,125
2,075,000 Procter & Gamble, 9.360% due 1/1/21............ 2,521,125
3,800,000 Time Warner Entertainment, 8.375% due 7/15/33.. 3,842,750
- -------------------------------------------------------------------------------
13,019,188
- -------------------------------------------------------------------------------
RETAIL -- 0.9%
1,375,000 May Department Stores Co., 8.300% due 7/15/26.. 1,409,375
- -------------------------------------------------------------------------------
TELEPHONE -- 3.8%
Bellsouth Telecommunication, 7.000% due
3,780,000 12/1/2095...................................... 3,591,000
3,000,000 New York Telephone, 6.700% due 11/1/23......... 2,692,500
- -------------------------------------------------------------------------------
6,283,500
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
10
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LONG-TERM BOND INVESTMENTS
<TABLE>
- -------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------
<C> <S> <C> <C>
UTILITIES -- 4.2%
Tennessee Valley Authority:
$2,700,000 8.250% due 4/15/42............. $ 2,899,125
4,075,000 7.250% due 7/15/43............. 3,912,000
- -------------------------------------------------------------
6,811,125
- -------------------------------------------------------------
TOTAL CORPORATE BONDS (Cost --
$71,156,832)..................... 71,199,229
- -------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.5%
2,512,000 Chase Manhattan Bank, 5.317%
due 3/3/97; Proceeds at
maturity -- $2,513,113;
(Fully collateralized by U.S.
Treasury Notes, 5.375% due
11/30/97;
Market value -- $2,562,244)
(Cost -- $2,512,000)........... 2,512,000
- -------------------------------------------------------------
TOTAL INVESTMENTS -- 100%
(Cost -- $163,847,957**)...... $163,672,046
- -------------------------------------------------------------
</TABLE>
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Corporate Bonds 43.5%
Repurchase Agreement 1.5%
Corporate Bonds 43.5%
SEE NOTES TO FINANCIAL STATEMENTS.
11
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
MUNICIPAL BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
ALABAMA -- 2.7%
$1,200,000 AAA Alabama Water Pollution Control Authority,
Revolving Loan, Series A, AMBAC-Insured,
5.250% due 8/15/10 .......................... $ 1,188,000
- -------------------------------------------------------------------------------
ALASKA -- 2.3%
1,000,000 AAA Anchorage, AK GO, MBIA-Insured, 5.600% due
7/1/07....................................... 1,046,250
- -------------------------------------------------------------------------------
CONNECTICUT -- 4.6%
1,000,000 Aaa* Connecticut State Clean Water Fund, Sewer
Improvement Revenue, 5.750% due 12/1/13 ..... 1,022,500
1,000,000 AA- Connecticut State Special Tax Obligation,
Series A, 5.400% due 9/1/10 ................. 1,010,000
- -------------------------------------------------------------------------------
2,032,500
- -------------------------------------------------------------------------------
FLORIDA -- 13.0%
1,200,000 AA Florida State Board of Education, Series E,
5.700% due 6/1/14............................ 1,225,500
1,650,000 AAA Lee County, FL Airport Revenue, AMBAC-Insured,
5.500% due 10/1/10........................... 1,676,813
2,000,000 Aa* Orlando, FL Utilities Commission, Water and
Electricity Revenue, 5.000% due 10/1/14...... 1,887,500
1,000,000 Aa* St. Petersburg, FL Public Utilities Revenue,
Water and Sewer Revenue, 5.600% due
10/1/15...................................... 1,007,500
- -------------------------------------------------------------------------------
5,797,313
- -------------------------------------------------------------------------------
GEORGIA -- 2.5%
1,000,000 AAA Atlanta, GA Airport Facilities Revenue, AMBAC-
Insured, 6.500% due 1/1/06................... 1,125,000
- -------------------------------------------------------------------------------
HAWAII -- 2.3%
1,000,000 Aaa* Honolulu, HI City & County GO, MBIA-Insured,
5.500% due 11/1/08........................... 1,012,500
- -------------------------------------------------------------------------------
ILLINOIS -- 2.2%
1,000,000 AAA Du Page County, IL Jail Revenue Refunding,
5.500% due 1/1/13 ........................... 1,000,000
- -------------------------------------------------------------------------------
INDIANA -- 4.3%
1,200,000 AAA Indiana State Office Commission, Health,
Hospital and Nursing Home Revenue, Series C,
AMBAC-Insured, 5.250% due 7/1/15............. 1,137,000
750,000 AAA Indianapolis, IN Airport, FGIC-Insured, 6.000%
due 7/1/06................................... 808,125
- -------------------------------------------------------------------------------
1,945,125
- -------------------------------------------------------------------------------
IOWA -- 6.2%
1,650,000 Aaa* Cedar Rapids, IA Revenue Bonds, Series A,
5.125% due 6/1/13............................ 1,610,812
1,100,000 AA+ Des Moines, IA GO Bonds, Series A, 6.000% due
6/1/12....................................... 1,142,625
- -------------------------------------------------------------------------------
2,753,437
- -------------------------------------------------------------------------------
MARYLAND -- 4.9%
1,000,000 AA Maryland Water Quality Financing
Administration, Revolving Loan, Series A,
5.500% due 9/1/11(a)......................... 1,010,000
1,200,000 Aa1* Washington, MD Suburban Sanitation District,
GO Bonds Unlimited, 5.000% due 6/1/12........ 1,158,000
- -------------------------------------------------------------------------------
2,168,000
- -------------------------------------------------------------------------------
MASSACHUSETTS -- 4.8%
Commonwealth of Massachusetts, Consolidated
Loan, Series A:
725,000 A+ 6.000% due 6/1/13............................. 746,750
275,000 AAA Pre-Refunded--Escrowed with U.S. Government
Securities to 6/1/02, Call @ 100,
6.000% due 6/1/13(b)......................... 293,906
1,100,000 Aa* Massachusetts State Water Pollution Abatement
Trust, 5.300% due 8/1/09(a).................. 1,111,000
- -------------------------------------------------------------------------------
2,151,656
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
MUNICIPAL BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
MICHIGAN -- 5.9%
$1,700,000 AA- Michigan State Public Power Agency, Revenue
Bonds, Series A, 5.250% due 1/1/18.......... $ 1,604,375
1,000,000 Aaa* Utica, MI Community School GO Bonds, FGIC-
Insured, 5.250% due 5/1/09.................. 1,008,750
- -------------------------------------------------------------------------------
2,613,125
- -------------------------------------------------------------------------------
NEVADA -- 2.4%
1,000,000 AAA Clark County, NV School District, FGIC-
Insured, 6.000% due 6/15/05................. 1,078,750
- -------------------------------------------------------------------------------
NEW JERSEY -- 5.2%
1,200,000 AAA Camden County, NJ Municipal Utilities
Authority, Sewer Revenue, FGIC-Insured,
5.000% due 7/15/09 ......................... 1,188,000
1,200,000 AAA New Jersey State Transportation Trust Fund,
Series A, MBIA-Insured, 5.000% due
12/15/11.................................... 1,152,000
- -------------------------------------------------------------------------------
2,340,000
- -------------------------------------------------------------------------------
NEW YORK -- 13.9%
1,000,000 BBB+ New York City, NY GO Bonds, Series B, 5.700%
due 8/15/07................................. 1,006,250
100,000 VMIG 1* New York City, NY GO Unlimited, Series E4,
3.450% due 8/1/20(c)........................ 100,000
2,000,000 Aa* New York State Environmental Facilities
Corp., Series D, 5.875% due 6/15/14 ........ 2,065,000
1,000,000 A* New York State GO Bonds, 5.500% due 7/15/12.. 997,500
1,000,000 A New York State Local Government Assistance
Corp., Series A, 5.900% due 4/1/13 ......... 1,026,250
1,000,000 AA Onondaga County, NY GO Bonds, 5.850% due
5/1/14 ..................................... 1,036,250
- -------------------------------------------------------------------------------
6,231,250
- -------------------------------------------------------------------------------
PUERTO RICO -- 1.6%
700,000 VMIG 1* Puerto Rico Government Development Bank,
2.950% due 12/1/15(c)....................... 700,000
- -------------------------------------------------------------------------------
TEXAS -- 4.7%
500,000 AAA San Antonio, TX Water Revenue, Series B,
MBIA-Insured, 6.500% due 5/15/10............ 541,875
1,600,000 AAA Texas State Water Development Board Revenue,
5.250% due 7/15/15.......................... 1,548,000
- -------------------------------------------------------------------------------
2,089,875
- -------------------------------------------------------------------------------
VIRGINIA -- 2.2%
1,000,000 Aa* Newport News, VA GO Bonds, Water, Series E,
5.150% due 1/1/10(a)........................ 993,750
- -------------------------------------------------------------------------------
WASHINGTON -- 9.2%
1,000,000 AAA Snohomish County, WA Public Utilities
Revenue, FGIC-Insured, 6.000% due 1/1/13.... 1,036,250
1,000,000 Aa* Tacoma, WA Water Revenue Refunding, 5.500%
due 12/1/13 ................................ 1,000,000
1,000,000 AA Washington State GO Bonds, Unlimited, Series
B, 5.750% due 5/1/13........................ 1,020,000
1,000,000 Aa* Washington State Motor Vehicle Fuel Tax
Revenue, Series B, 5.700% due 7/1/11........ 1,032,500
- -------------------------------------------------------------------------------
4,088,750
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
MUNICIPAL BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
WISCONSIN -- 5.1%
$1,000,000 AA Green Bay, WI GO Bonds, Series B, 5.900% due
4/1/10....................................... $ 1,033,750
1,300,000 AA Wisconsin State GO Bonds, Series A, 5.000% due
5/1/11....................................... 1,259,375
- -------------------------------------------------------------------------------
2,293,125
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$44,152,066**)............................... $44,648,406
- -------------------------------------------------------------------------------
</TABLE>
(a) Security segregated by Custodian for open purchase commitment.
(b) Pre-refunded bond escrowed by U.S government securities is considered to be
triple-A rated even if issuer has not applied for new ratings.
(c) 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.
See page 15 for definition of ratings and certain security descriptions.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Michigan 5.9%
New York 13.9%
Florida 13.0%
Maryland 4.9%
New Jersey 5.2%
Wisconsin 5.1%
Washington 9.2%
Iowa 6.2%
Other States & Puerto Rico 31.8%
Massachusetts 4.8%
SEE NOTES TO FINANCIAL STATEMENTS.
14
<PAGE>
BOND RATINGS
All ratings are by Standard & Poor's Ratings Service ("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--Ratings from "AA" to "BBB" 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.
BBB--Debt rated "BBB" is regarded as having an adequate capacity to pay
interest and repay principal. Whereas it normally exhibits adequate
protection parameters, adverse economic conditions or changing
circumstances are more likely to lead to a weakened capacity to pay
interest and repay principal for debt in this category than in higher
rated categories.
Moody's--Numerical modifiers 1, 2, and 3 may be applied to each generic rating
from "Aa" to "Baa", 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
--AMBAC Indemnity Corporation
FGIC
--Financial Guaranty Insurance Company
GO --General Obligation
MBIA
--Municipal Bond Investors Assurance Corporation
PCR--Pollution Control Revenue
15
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
MORTGAGE BACKED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C> <C>
MORTGAGE-BACKED SECURITIES -- 91.0%
- ------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 25.7%
$ 3,057,268 FNMA, 5.500% due 11/1/06 - 11/1/08............. $ 2,865,211
4,642,499 FNMA, 6.000% due 9/1/08 - 12/1/23.............. 4,339,981
6,402,120 FNMA, 6.500% due 3/1/09 - 8/1/23............... 6,158,300
3,774,731 FNMA, 7.000% due 1/1/24........................ 3,682,703
6,897,373 FNMA, 7.500% due 12/1/06 - 9/1/23.............. 6,897,360
4,893,580 FNMA, 8.000% due 9/1/02 - 12/1/22.............. 4,985,924
1,657,108 FNMA, 8.500% due 6/1/06 - 6/1/17............... 1,718,404
3,137,818 FNMA, 9.000% due 9/1/97 - 3/1/18............... 3,292,746
779,198 FNMA, 9.500% due 4/1/01 - 11/1/21.............. 836,699
81,109 FNMA, 10.000% due 1/1/21....................... 88,739
311,088 FNMA, 10.750% due 10/1/12...................... 345,308
158,488 FNMA, 12.500% due 6/1/15....................... 180,577
- ------------------------------------------------------------------------------
35,391,952
- ------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 48.5%
1,733,085 FHLMC, 5.500% due 10/1/97 - 7/1/98............. 1,684,334
1,548,170 FHLMC, 6.500% due 7/1/23....................... 1,476,072
19,790,341 FHLMC, 7.000% due 11/1/22 - 5/1/26............. 19,345,059
13,774,077 FHLMC, 7.500% due 12/1/12 - 1/1/27............. 13,791,262
10,000,000 FHLMC, 7.500% due 6/1/25 (a)................... 10,012,500
10,529,259 FHLMC, 8.000% due 5/1/06 - 2/1/22.............. 10,762,179
5,689,890 FHLMC, 8.500% due 12/1/06 - 2/1/18............. 5,899,676
1,319,248 FHLMC, 9.000% due 12/1/04 - 7/1/11............. 1,382,071
1,214,400 FHLMC, 9.500% due 10/1/08 - 8/1/16............. 1,305,910
437,580 FHLMC, 10.000% due 4/1/09 - 10/1/09............ 475,729
228,413 FHLMC, 10.250% due 11/1/03 - 2/1/10............ 249,969
441,424 FHLMC, 11.000% due 4/1/00 - 10/1/00............ 466,255
106,386 FHLMC, 11.500% due 10/1/15..................... 120,117
- ------------------------------------------------------------------------------
66,971,133
- ------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 16.8%
8,502,051 GNMA I, 7.000% due 4/15/23 - 3/15/26........... 8,292,154
951,212 GNMA I, 8.000% due 1/15/14 - 9/15/22........... 970,532
344,081 GNMA I, 8.500% due 5/15/17..................... 357,198
326,184 GNMA I, 9.000% due 10/15/16 ................... 344,327
651,590 GNMA I, 9.500% due 12/15/16 - 8/15/19.......... 704,122
211,470 GNMA I, 11.000% due 7/15/10 - 9/15/10.......... 235,590
8,222,948 GNMA II, 6.500% due 12/20/23 - 5/20/24 ........ 7,768,055
1,186,421 GNMA II, 7.000% due 11/20/16................... 1,151,197
1,983,517 GNMA II, 8.500% due 6/20/16 - 1/20/17.......... 2,044,252
1,302,598 GNMA II, 9.000% due 4/20/17 - 11/20/21......... 1,365,280
- ------------------------------------------------------------------------------
23,232,707
- ------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$126,510,796)................................. 125,595,792
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
MORTGAGE BACKED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
REPURCHASE AGREEMENT -- 9.0%
$12,399,000 Chase Manhattan Bank, 5.317% due 3/3/97;
Proceeds at maturity -- $12,404,494;
(Fully collateralized by U.S. Treasury Notes,
5.375% due 11/30/97;
Market value -- $12,506,304) (Cost --
$12,399,000)................................... $ 12,399,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$138,909,796**)............................... $137,994,792
- -------------------------------------------------------------------------------
</TABLE>
(a) Security is traded on a "to-be-announced" basis (See Note 11).
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
FNMA 25.7%
FHLMC 48.5%
GNMA 16.8%
Repurchase Agreement 9.0%
SEE NOTES TO FINANCIAL STATEMENTS.
17
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCKS -- 73.9%
- --------------------------------------------------------------------------------
AEROSPACE -- 2.4%
30,900 Raytheon Co. .......................................... $ 1,456,163
- --------------------------------------------------------------------------------
AUTO TRUCKS & PARTS -- 0.8%
22,200 New Holland N.V. ADR+.................................. 513,375
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 2.0%
27,900 Parker Hannifin Corp. ................................. 1,220,625
- --------------------------------------------------------------------------------
CHEMICALS -- 3.3%
22,000 ConAgra Inc. .......................................... 1,166,000
14,300 Kerr McGee Corp. ...................................... 895,537
- --------------------------------------------------------------------------------
2,061,537
- --------------------------------------------------------------------------------
COMPUTERS -- 2.3%
9,700 International Business Machines Corp. ................. 1,394,375
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 1.9%
34,000 Masco Corp. ........................................... 1,194,250
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 5.8%
48,600 American Greetings Corp., Class A Shares............... 1,506,600
10,600 Eastman Kodak Co. ..................................... 950,025
10,400 Kimberly Clark Corp. .................................. 1,102,400
- --------------------------------------------------------------------------------
3,559,025
- --------------------------------------------------------------------------------
CONTAINERS -- 2.0%
22,500 Crown Cork and Seal Inc. .............................. 1,248,750
- --------------------------------------------------------------------------------
ENGINEERING AND CONSTRUCTION -- 1.7%
27,300 Foster Wheeler Corp. .................................. 1,064,700
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 8.2%
13,000 Beneficial Corp. ...................................... 898,625
30,400 H.F. Ahmanson & Co. ................................... 1,250,200
32,700 H&R Block Inc. ........................................ 960,562
24,400 Providian Corp. ....................................... 1,363,350
11,300 Summit Bancorp......................................... 539,575
- --------------------------------------------------------------------------------
5,012,312
- --------------------------------------------------------------------------------
HEALTHCARE -- 3.5%
17,813 Novartis AG ADR+....................................... 1,010,888
891 Novartis/CIBA Special Rights........................... 56,389
28,660 Pharmacia & Upjohn Inc. ............................... 1,056,837
- --------------------------------------------------------------------------------
2,124,114
- --------------------------------------------------------------------------------
INSURANCE -- 1.5%
15,000 Aon Corp. ............................................. 950,625
- --------------------------------------------------------------------------------
OIL & GAS -- 8.0%
7,000 Mobil Corp. ........................................... 859,250
26,200 Repsol S.A. Sponsored ADR.............................. 995,600
2,200 Royal Dutch Petroleum Co., New York Shares............. 380,600
7,750 Shell Transportation and Trading Co. ADR............... 785,656
31,400 Union Pacific Resources................................ 765,375
42,000 USX Marathon Group..................................... 1,118,250
- --------------------------------------------------------------------------------
4,904,731
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PUBLISHING -- 1.6%
12,700 Gannett Co., Inc. ..................................... $ 1,012,825
- --------------------------------------------------------------------------------
RECREATION -- 2.1%
44,500 Brunswick Corp. ....................................... 1,273,813
- --------------------------------------------------------------------------------
RETAIL -- 6.3%
31,100 American Stores Co. ................................... 1,391,725
19,400 May Department Stores Co. ............................. 904,525
15,000 Nordstrom Inc. ........................................ 551,250
20,000 Tandy Corp. ........................................... 1,007,500
- --------------------------------------------------------------------------------
3,855,000
- --------------------------------------------------------------------------------
TECHNOLOGY -- 2.0%
19,700 Xerox Corp. ........................................... 1,231,250
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 3.2%
5,000 British Telecom PLC Sponsored ADR...................... 348,750
39,300 MCI Communications Inc. ............................... 1,404,975
9,000 Tele Danmark A/S ADR................................... 238,500
- --------------------------------------------------------------------------------
1,992,225
- --------------------------------------------------------------------------------
TELEPHONE -- 1.6%
17,000 SBC Communications, Inc. .............................. 977,500
- --------------------------------------------------------------------------------
TOBACCO -- 4.8%
14,500 Loews Corp. ........................................... 1,480,812
10,900 Philip Morris Cos., Inc. .............................. 1,472,863
- --------------------------------------------------------------------------------
2,953,675
- --------------------------------------------------------------------------------
TRANSPORTATION -- 5.4%
14,500 Burlington Northern Santa Fe........................... 1,207,125
31,000 Ryder Systems Inc. .................................... 976,500
18,700 Union Pacific Corp. ................................... 1,126,675
- --------------------------------------------------------------------------------
3,310,300
- --------------------------------------------------------------------------------
UTILITIES -- 3.5%
26,600 Edison International................................... 571,900
25,200 PanEnergy Corp. ....................................... 1,074,150
22,500 PG & E Corp. .......................................... 517,500
- --------------------------------------------------------------------------------
2,163,550
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $36,106,953).............. 45,474,720
- --------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY NOTES -- 11.1%
$ 900,000 U.S. Treasury Notes, 6.375% due 1/15/99................ 906,093
600,000 U.S. Treasury Notes, 7.000% due 4/15/99................ 610,872
600,000 U.S. Treasury Notes, 6.375% due 7/15/99................ 603,390
3,600,000 U.S. Treasury Notes, 6.375% due 1/15/00................ 3,620,628
1,100,000 U.S. Treasury Notes, 5.750% due 8/15/03................ 1,059,839
- --------------------------------------------------------------------------------
TOTAL U.S. TREASURY NOTES (Cost -- $6,941,438)......... 6,800,822
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 8.9%
- -------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.5%
$ 239,518 FHLMC, Group #E6-0341, 7.500% due 4/1/10............. $ 242,885
FHLMC, Multiclass Mortgage PC:
300,000 7.000% due 8/15/06................................... 299,490
350,000 7.500% due 7/15/22................................... 352,384
- -------------------------------------------------------------------------------
894,759
- -------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 7.4%
408,796 GNMA, 9.000% due 5/20/16............................. 428,467
366,276 GNMA, 9.000% due 7/20/16............................. 383,902
218,515 GNMA, 9.000% due 3/15/20............................. 230,670
280,729 GNMA, 9.000% due 3/20/20............................. 294,239
236,945 GNMA, 9.000% due 5/15/20............................. 250,125
638,326 GNMA, 9.000% due 6/15/20............................. 673,831
629,511 GNMA, 9.000% due 6/15/21............................. 664,525
237,328 GNMA, 8.500% due 12/15/21............................ 246,375
466,384 GNMA, 9.000% due 4/15/22............................. 492,324
344,381 GNMA, 8.000% due 8/15/22............................. 351,376
398,537 GNMA, 8.000% due 11/15/22............................ 406,632
122,285 GNMA, 9.000% due 6/15/25............................. 129,086
- -------------------------------------------------------------------------------
4,551,552
- -------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost -- $5,476,038) 5,446,311
- -------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 4.8%
- -------------------------------------------------------------------------------
BANKING -- 1.4%
600,000 NationsBank Corp., Senior Note, 5.375% due 4/15/00... 581,250
100,000 Norwest Corp., Bond, 5.750% due 3/15/98.............. 99,735
Salomon Brothers, Series C, Medium Term Note, 6.750%
200,000 due 2/15/00.......................................... 199,750
- -------------------------------------------------------------------------------
880,735
- -------------------------------------------------------------------------------
DISCOUNT STORES -- 0.2%
Wal-Mart Stores Inc., Senior Note, 5.500% due
100,000 3/1/98............................................... 99,647
- -------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.7%
400,000 Texas Instruments, 6.875% due 7/15/00................ 403,500
- -------------------------------------------------------------------------------
FINANCIAL SERVICES -- 2.0%
100,000 Dean Witter Discover & Co., Note, 6.000% due 3/1/98.. 100,074
Ford Motor Credit Co., Notes:
150,000 5.625% due 12/15/98.................................. 148,749
200,000 7.250% due 5/15/99................................... 203,750
400,000 5.750% due 1/25/01................................... 387,500
400,000 Household Finance Co., 6.450% due 3/15/01............ 397,500
- -------------------------------------------------------------------------------
1,237,573
- -------------------------------------------------------------------------------
TECHNOLOGY -- 0.3%
200,000 Lucent Technologies, 6.900% due 7/15/01.............. 201,750
- -------------------------------------------------------------------------------
TOBACCO -- 0.2%
100,000 Philip Morris Cos., Inc., Note, 7.375% due 2/15/99... 101,750
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost -- $2,953,875)... 2,924,955
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
REGIONAL GOVERNMENT OBLIGATION -- 0.3%
Ontario Province, CDA, 5.700% due 10/1/97 (Cost --
$200,000 $202,500)............................................ $ 200,000
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.0%
652,000 Chase Manhattan Bank, 5.317% due 3/3/97; Proceeds at
maturity -- $652,289:
(Fully collateralized by U.S. Treasury Notes, 5.375%
due 11/30/97;
Market value -- $665,041) (Cost -- $652,000).......... 652,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $52,332,804**)..... $61,498,808
- -------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Corporate Bonds & Notes 4.8%
Consumer Products 5.8%
Oil & Gas 8.0%
Financial Services 8.2%
Retail 6.3%
Transportation 5.4%
Telecommunications 3.2%
Chemicals 3.3%
Healthcare 3.5%
Other Common Stocks 21.9%
Utilities 3.5%
Tobacco 4.8%
Regional Government Obligation 0.3%
Repurchase Agreement 1.0%
U.S. Treasury Notes 11.1%
Mortgage-Backed Securities 8.9%
SEE NOTES TO FINANCIAL STATEMENTS.
21
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 99.3%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 6.3%
38,700 Air Products & Chemicals, Inc. ........................ $ 2,868,638
16,100 AK Steel Holding Corp. ................................ 579,600
47,000 Alumax, Inc.+.......................................... 1,838,875
79,900 Aluminum Co. of America................................ 5,692,875
100,900 Bethlehem Steel Corp.+................................. 832,425
90,400 Case Corp. ............................................ 4,689,500
149,900 Caterpillar, Inc. ..................................... 11,748,413
8,400 Cooper Cameron Corp.+.................................. 550,200
159,400 Cooper Tire & Rubber Co. .............................. 3,168,075
149,350 Dow Chemical Co. ...................................... 12,097,350
81,500 Dresser Industries, Inc. .............................. 2,475,563
169,400 E.I. du Pont de Nemours & Co. ......................... 18,168,150
73,600 Great Lakes Chemical Corp. ............................ 3,413,200
53,700 IMC Global, Inc. ...................................... 1,872,788
65,600 Imperial Chemical Sponsored ADR........................ 3,271,800
24,400 Lyondell Petrochemical Co. ............................ 576,450
146,653 Mark IV Industries, Inc. .............................. 3,409,682
16,800 Morton International, Inc. ............................ 693,000
49,400 NGC Corp. ............................................. 975,650
60,800 Phelps Dodge Corp. .................................... 4,347,200
55,500 Reynolds Metals Co. ................................... 3,482,625
57,900 Rohm & Haas Co. ....................................... 5,326,800
196,500 Terra Industries, Inc. ................................ 2,677,313
31,500 Timken Corp. .......................................... 1,649,813
14,200 Trinity Industries, Inc. .............................. 457,950
91,000 Ultramar Diamond Shamrock Corp. ....................... 2,775,500
122,300 Union Carbide Corp. ................................... 5,778,675
100,000 USX-U.S. Steel Group, Inc. ............................ 3,137,500
56,500 Weyerhaeuser Co. ...................................... 2,613,125
- --------------------------------------------------------------------------------
111,168,735
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 5.9%
49,700 Armstrong World Industries, Inc. ...................... 3,423,088
29,400 Avnet, Inc. ........................................... 1,837,500
108,000 Boeing Co. ............................................ 10,989,000
59,700 Crane Co. ............................................. 1,947,713
99,100 Dana Corp. ............................................ 3,072,100
180,500 Deere & Co. ........................................... 7,693,813
20,900 Eaton Corp. ........................................... 1,499,575
43,300 Fleetwood Enterprises, Inc. ........................... 1,125,800
208,900 General Instruments Corp.+............................. 4,961,375
31,000 Hanson PLC ADR......................................... 689,750
16,200 Harnischfeger Industries, Inc. ........................ 710,775
141,400 Ingersoll Rand Co. .................................... 6,716,500
37,300 Johnson Controls, Inc. ................................ 3,142,525
20,500 Lafarge Corp. ......................................... 476,625
146,303 Lockheed Corp. ........................................ 12,947,816
85,600 McDonnell Douglas Corp. ............................... 5,435,600
32,500 PACCAR, Inc. .......................................... 2,132,813
230,900 Raytheon Co. .......................................... 10,881,163
50,300 Textron, Inc. ......................................... 4,960,838
90,200 TRW, Inc. ............................................. 4,724,225
128,200 United Technologies Corp. ............................. 9,647,050
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CAPITAL GOODS -- 5.9% (CONTINUED)
38,600 Vulcan Materials Co. .................................. $ 2,499,350
24,000 Warner-Lambert Co. .................................... 2,016,000
- --------------------------------------------------------------------------------
103,530,994
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 4.0%
58,000 American Standard Co.+................................. 2,610,000
412,594 Chrysler Corp. ........................................ 13,976,622
558,350 Ford Motor Co. ........................................ 18,355,756
349,950 General Motors Corp. .................................. 20,253,356
131,800 Goodyear Tire & Rubber Co. ............................ 6,952,450
100,000 Masco Corp. ........................................... 3,512,500
117,700 Maytag Corp. .......................................... 2,589,400
89,500 Owens-Illinois, Inc.+.................................. 2,159,188
- --------------------------------------------------------------------------------
70,409,272
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 5.9%
107,800 American Greetings Corp., Class A Shares............... 3,341,800
100,000 Anheuser-Busch Cos., Inc. ............................. 4,450,000
703,392 Archer Daniels Midland Co. ............................ 13,012,750
104,600 Black & Decker Corp. .................................. 3,307,975
136,400 Brunswick Corp. ....................................... 3,904,450
111,000 Deluxe Corp. .......................................... 3,510,375
183,300 Eastman Kodak Co. ..................................... 16,428,263
49,800 First Brands Corp. .................................... 1,238,775
85,200 Fruit of the Loom, Inc., Class A Shares+............... 3,482,551
18,000 Harris Corp. .......................................... 1,327,500
138,200 Hasbro, Inc. .......................................... 5,908,050
107,800 IBP, Inc. ............................................. 2,506,350
56,400 Liz Claiborne, Inc. ................................... 2,284,200
42,000 Philip Morris Co. ..................................... 5,675,250
121,100 Polaroid Corp. ........................................ 5,116,475
554,430 RJR Nabisco Holdings Corp. ............................ 20,305,999
60,000 Shaw Industries, Inc. ................................. 780,000
108,600 Sonoco Product Co. .................................... 2,850,750
82,600 Union Planters Corp. .................................. 3,696,350
- --------------------------------------------------------------------------------
103,127,863
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 0.9%
73,100 Beverly Enterprises, Inc.+............................. 1,050,813
92,500 Dun & Bradstreet Corp. ................................ 2,266,250
126,900 H&R Block, Inc. ....................................... 3,727,688
50,100 Host Marriott Corp.+................................... 901,800
70,600 Pittston Brink's Group................................. 1,817,950
80,200 Ryder Systems, Inc. ................................... 2,526,300
96,800 Spelling Entertainment Group, Inc.+.................... 605,000
77,900 Viacom, Inc.+.......................................... 2,745,975
- --------------------------------------------------------------------------------
15,641,776
- --------------------------------------------------------------------------------
DIVERSIFIED -- 1.9%
84,700 Allied Signal, Inc. ................................... 6,119,575
56,900 American Brands, Inc. ................................. 2,994,363
92,500 Cognizant Corp. ....................................... 3,225,938
31,000 Energy Group PLC Sponsored ADR+........................ 1,054,000
20,000 General Electric Co. .................................. 2,057,500
60,100 Honeywell, Inc. ....................................... 4,274,613
123,700 ITT Corp.+............................................. 6,989,050
500 Minnesota Mining & Manufacturing Co. .................. 46,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
DIVERSIFIED -- 1.9% (CONTINUED)
68,900 News Corp. Ltd. Sponsored ADR.......................... $ 1,464,125
79,000 Tenneco, Inc. ......................................... 3,110,625
21,500 Unisource Worldwide, Inc. ............................. 462,250
76,000 Whitman Corp. ......................................... 1,786,000
- --------------------------------------------------------------------------------
33,584,039
- --------------------------------------------------------------------------------
ENERGY -- 10.9%
14,850 Amerada Hess Corp. .................................... 792,619
190,600 Amoco Corp. ........................................... 16,105,700
64,400 Ashland Oil, Inc. ..................................... 2,696,750
70,900 Atlantic Richfield Co. ................................ 8,862,500
24,400 British Petroleum Co. PLC Sponsored ADR................ 3,229,950
56,100 Cabot Corp. ........................................... 1,318,350
21,000 Calenergy, Inc.+....................................... 700,875
183,300 Chevron Corp. ......................................... 11,822,850
18,200 Columbia Gas Systems, Inc. ............................ 1,069,250
50,450 Diamond Offshore Drilling, Inc.+....................... 2,976,550
57,600 DTE Energy Co. ........................................ 1,742,400
119,400 Elf Aquitaine SA Sponsored ADR......................... 5,731,200
84,000 Enron Corp. ........................................... 3,349,500
457,500 Exxon Corp. ........................................... 45,692,813
77,700 Halliburton Co. ....................................... 5,021,363
22,750 Kerr McGee Corp. ...................................... 1,424,719
18,500 Mapco, Inc. ........................................... 587,375
174,200 Mobil Corp. ........................................... 21,383,050
13,900 Murphy Oil Corp. ...................................... 644,613
16,400 Nicor, Inc. ........................................... 549,400
121,350 Noble Drilling Corp.+.................................. 2,153,963
259,800 Occidental Petroleum Corp. ............................ 6,624,900
211,750 Oryx Energy Co.+....................................... 4,235,000
78,800 Panenergy Corp. ....................................... 3,358,850
20,200 Pennzoil Co. .......................................... 1,158,975
86,800 Reading & Bates Corp.+................................. 2,104,900
28,200 Rowan Cos., Inc.+...................................... 560,475
62,350 Sonat, Inc. ........................................... 2,868,100
19,300 Sun, Inc. ............................................. 521,100
122,000 Texaco, Inc. .......................................... 12,062,750
175,500 Tosco Corp. ........................................... 4,892,063
87,400 Union Texas Petroleum Holdings, Inc. .................. 1,616,900
224,100 USX-Marathon Group..................................... 5,966,663
75,000 Valero Energy Corp. ................................... 2,362,500
161,400 Wheelabrator Technologies, Inc. ....................... 2,299,950
83,425 Williams Cos., Inc. ................................... 3,649,844
- --------------------------------------------------------------------------------
192,138,760
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 19.3%
45,200 American Express Co. .................................. 2,954,950
34,000 American General Corp. ................................ 1,474,750
174,900 Banc One Corp. ........................................ 7,717,463
20,200 Bancorp Hawaii, Inc. .................................. 888,800
226,580 Bank of Boston Corp. .................................. 17,078,468
127,000 Bank of New York, Inc. ................................ 4,921,250
222,600 BankAmerica Corp. ..................................... 25,320,750
57,300 Bankers Trust New York Corp. .......................... 5,199,975
84,800 Banponce Corp. ........................................ 3,052,800
59,600 Barnett Banks, Inc. ................................... 2,756,500
166,591 Bear Stearns Cos., Inc. ............................... 4,997,759
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 19.3% (CONTINUED)
32,700 Beneficial Corp. ........................................ $ 2,260,388
251,304 Chase Manhattan Bank..................................... 25,161,813
212,700 Citicorp, Inc. .......................................... 24,832,725
31,700 Comdisco, Inc. .......................................... 986,663
43,400 Comerica, Inc. .......................................... 2,609,425
68,100 Compass Bancshares, Inc. ................................ 3,038,963
102,342 Corestates Financial Corp. .............................. 5,385,748
85,300 Countrywide Credit Industries, Inc. ..................... 2,484,363
393,400 Dean Witter, Discover & Co. ............................. 15,096,725
40,000 Donaldson, Lufkin, Jenrette, Inc. ....................... 1,720,000
37,000 First Bank System, Inc. ................................. 2,904,500
202,695 First Chicago Corp. ..................................... 11,857,658
38,400 First Commerce Corp. .................................... 1,593,600
97,200 First SEC Corp. ......................................... 3,389,850
61,400 First Tennessee National Corp. .......................... 2,870,450
174,830 First Union Corp. ....................................... 15,341,333
78,100 Firstar Corp. ........................................... 2,391,813
210,626 Fleet Financial Group, Inc. ............................. 12,848,186
32,700 Golden West Financial Corp. ............................. 2,215,425
87,850 Great Western Financial Corp. ........................... 3,854,419
29,100 H.F. Ahmanson & Co. ..................................... 1,196,738
28,000 Household International, Inc. ........................... 2,712,500
20,200 J.P. Morgan & Co., Inc. ................................. 2,123,525
88,900 Kansas City Southern Industries, Inc. ................... 4,667,250
145,200 KeyCorp.................................................. 7,768,200
62,100 Lehman Brothers Holdings................................. 2,088,113
79,000 Mellon Bank Corp. ....................................... 6,349,625
109,200 Merrill Lynch & Co., Inc. ............................... 10,483,200
99,200 Morgan Stanley Group, Inc. .............................. 6,262,000
139,900 National City Corp. ..................................... 7,064,950
421,200 NationsBank Corp. ....................................... 25,219,350
160,700 Norwest Corp. ........................................... 7,994,825
88,800 PaineWebber Group, Inc. ................................. 2,897,100
132,000 PNC Bank Corp. .......................................... 5,593,500
61,000 Republic New York Corp. ................................. 5,665,376
67,500 Salomon, Inc. ........................................... 3,754,688
59,900 South Trust Corp. ....................................... 2,373,538
64,100 Standard Federal Bancorp................................. 3,693,763
18,100 Unionbancal Corp. ....................................... 1,090,525
17,400 Wachovia Corp. .......................................... 1,059,225
190,500 Washington Mutual, Inc. ................................. 10,072,688
33 Wells Fargo & Co. ....................................... 10,040
- --------------------------------------------------------------------------------
339,348,231
- --------------------------------------------------------------------------------
FOOD/RESTAURANTS -- 0.7%
99,400 American Stores Co. ..................................... 4,448,150
168,100 Darden Restaurants, Inc. ................................ 1,218,725
76,100 Dole Food Co. ........................................... 2,910,825
22,750 Interstate Bakeries, Corp. .............................. 1,063,563
53,000 Kroger Co.+.............................................. 2,809,000
41,700 Wendy's International, Inc. ............................. 865,275
- --------------------------------------------------------------------------------
13,315,538
- --------------------------------------------------------------------------------
HEALTHCARE -- 4.8%
118,600 Aetna, Inc. ............................................. 9,828,976
12,280 Allegiance Corp. ........................................ 323,885
52,100 Allergan, Inc. .......................................... 1,771,400
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
HEALTHCARE -- 4.8% (CONTINUED)
142,200 American Home Products Corp. ......................... $ 9,100,800
44,900 Baxter International, Inc. ........................... 2,065,400
103,800 Becton Dickinson & Co. ............................... 5,112,150
137,040 Bristol Myers Squibb Co. ............................. 17,883,720
2,650 CIBA Specialty Chemicals -- Special Rights+........... 167,711
50,000 Foundation Health Corp.+.............................. 1,887,500
4,461 Fresenius Medical Care AG ADR+........................ 140,522
90,100 Mallinckrodt Group Inc. .............................. 3,829,250
89,200 Meditrust, SBI Corp. ................................. 3,434,200
53,000 Novartis AG ADR....................................... 3,027,625
22,500 Pacificare Health Systems, Inc., Class B Shares+...... 1,884,375
255,300 Pharmacia & Upjohn, Inc. ............................. 9,414,188
34,900 Schering-Plough Corp. ................................ 2,674,213
309,820 Tenet Healthcare Corp.+............................... 8,403,867
70,370 Vencor, Inc.+......................................... 2,436,561
26,300 Wellpoint Health Network, Inc.+....................... 1,127,613
- -------------------------------------------------------------------------------
84,513,956
- -------------------------------------------------------------------------------
INSURANCE -- 8.9%
5,518 Alleghany Corp.+...................................... 1,177,403
52,100 Allmerica Financial Corp. ............................ 1,947,238
397,005 Allstate Corp. ....................................... 25,160,192
25,800 AMBAC, Inc. .......................................... 1,722,150
60,900 American Financial Group, Inc. ....................... 2,283,750
19,300 American International Group, Inc. ................... 2,335,300
1,200 American National Insurance Co. ...................... 99,000
187,100 Chubb Corp. .......................................... 10,968,738
108,850 CIGNA Corp. .......................................... 16,640,444
36,508 Cincinnati Financial Corp. ........................... 2,523,616
7,300 CNA Financial Corp.+.................................. 812,125
175,600 Conseco, Inc. ........................................ 6,892,300
113,500 Equitable Cos., Inc. ................................. 3,561,063
80,200 Equitable of Iowa Cos. ............................... 4,260,625
122,650 Everest Reinsurance Holdings, Inc. ................... 3,863,475
43,800 General Resources Corp. .............................. 7,429,575
174,200 ITT Hartford Group.................................... 13,065,000
27,900 ITT Industries Inc. .................................. 725,400
75,100 Lincoln National Corp. ............................... 4,365,188
138,050 Loews Corp. .......................................... 14,098,356
31,900 MBIA, Inc. ........................................... 3,114,238
47,100 Mercury General Corp. ................................ 2,890,763
35,200 Ohio Casualty Corp. .................................. 1,394,800
110,100 Old Republic International Corp. ..................... 2,986,463
35,000 The PMI Group, Inc. .................................. 1,916,250
69,600 Providian Corp. ...................................... 3,888,900
203,000 SAFECO Corp. ......................................... 8,475,250
34,400 St. Paul Cos., Inc. .................................. 2,322,000
23,200 Torchmark Corp. ...................................... 1,365,900
47,400 Transamerica Corp. ................................... 4,153,425
21,150 U.S. Life Corp. ...................................... 1,007,269
- -------------------------------------------------------------------------------
157,446,196
- -------------------------------------------------------------------------------
MISCELLANEOUS -- 0.2%
183,800 Health & Retirement Properties Trust.................. 3,630,050
41,400 International Game Technology......................... 724,500
- -------------------------------------------------------------------------------
4,354,550
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
PAPER AND PAPER PRODUCTS -- 1.2%
22,400 Consolidated Papers, Inc. ............................. $ 1,134,000
3,971 Deltic Timber Corp. ................................... 98,282
38,500 International Paper Co. ............................... 1,607,375
236,400 James River Corp. ..................................... 7,742,100
46,086 Kimberly Clark Corp. .................................. 4,885,116
63,000 Louisiana Pacific Corp. ............................... 1,338,750
22,433 Mead Corp. ............................................ 1,306,722
46,850 Westvaco Corp. ........................................ 1,382,075
15,000 Williamette Industries, Inc. .......................... 960,000
- --------------------------------------------------------------------------------
20,454,420
- --------------------------------------------------------------------------------
POLLUTION CONTROL -- 0.4%
175,500 Browning Ferris Industries, Inc. ...................... 5,506,313
67,000 WMX Technologies, Inc. ................................ 2,118,875
- --------------------------------------------------------------------------------
7,625,188
- --------------------------------------------------------------------------------
PUBLISHING -- 1.0%
19,800 Central Newspapers, Inc. .............................. 910,800
143,400 Knight Ridder, Inc. ................................... 5,700,150
70,700 McGraw Hill Cos., Inc. ................................ 3,667,563
77,300 New York Times Co. .................................... 3,439,850
64,828 Times Mirror Co., Class A Shares....................... 3,338,642
- --------------------------------------------------------------------------------
17,057,005
- --------------------------------------------------------------------------------
RETAIL -- 4.2%
98,700 Costco Cos., Inc.+..................................... 2,529,188
157,600 Dayton Hudson Corp. ................................... 6,619,200
146,500 Dillard Department Stores, Inc., Class A Shares........ 4,413,313
166,800 Federated Department Stores, Inc.+..................... 5,796,300
37,400 Footstar, Inc.+........................................ 944,350
23,600 Great Atlantic & Pacific Tea Co., Inc. ................ 702,100
76,800 Harcourt General, Inc. ................................ 3,619,200
29,400 J.C. Penney, Inc. ..................................... 1,447,950
259,000 Limited, Inc. ......................................... 4,921,000
49,200 Payless Shoe Source, Inc.+............................. 2,115,600
92,500 Rite Aid Corp.......................................... 3,896,563
153,500 Sears Roebuck & Co. ................................... 8,327,375
24,600 Spiegel Inc., Class A Non-Voting Shares+............... 166,050
107,000 Supervalu, Inc. ....................................... 3,317,000
41,900 Tandy Corp. ........................................... 2,110,713
166,500 Toys R Us, Inc.+....................................... 4,329,000
67,900 VF Corp. .............................................. 4,719,050
299,000 Wal-Mart Stores, Inc. ................................. 7,886,125
343,100 Woolworth Corp.+....................................... 7,162,213
- --------------------------------------------------------------------------------
75,022,290
- --------------------------------------------------------------------------------
TECHNOLOGY -- 5.1%
27,500 Arrow Electronics, Inc.+............................... 1,543,438
105,100 Compaq Computer Corp.+................................. 8,329,175
70,600 Digital Equipment Corp.+............................... 2,312,150
32,000 Frontier Corp. ........................................ 708,000
52,250 Imation Corp.+......................................... 1,391,156
233,800 International Business Machines Corp. ................. 33,608,750
12,700 KLA Instruments Corp.+................................. 529,431
52,150 Litton Industries, Inc.+............................... 2,242,450
9,062 NCR Corp.+............................................. 299,046
206,700 Novell, Inc.+.......................................... 2,092,838
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 5.1% (CONTINUED)
137,300 Philips Electronics NV................................. $ 6,178,500
80,000 Pitney Bowes, Inc. .................................... 4,970,000
95,000 Read Rite Corp.+....................................... 2,915,313
241,800 Seagate Technology, Inc.+.............................. 11,425,050
132,800 Silicon Graphics, Inc.+................................ 3,203,800
91,600 Storage Technology Corp.+.............................. 3,824,300
58,300 Tektronix, Inc. ....................................... 2,842,125
19,000 Tencor Instruments+.................................... 761,188
26,800 Western Digital Corp.+................................. 1,581,200
- --------------------------------------------------------------------------------
90,757,910
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 8.1%
270,200 Alcatel Alsthom, Inc. ................................. 5,539,100
284,250 Ameritech Corp. ....................................... 18,120,938
177,000 AT&T Corp. ............................................ 7,057,875
239,100 Bell Atlantic Corp. ................................... 16,527,788
321,400 Bell South Corp. ...................................... 15,065,625
17,800 Century Telephone Enterprises, Inc. ................... 545,125
395,000 GTE Corp. ............................................. 18,466,250
47,126 Lucent Technologies, Inc. ............................. 2,538,913
85,900 MCI Communications Corp. .............................. 3,070,925
76,100 Nokia Corp. Sponsored ADR.............................. 4,451,850
338,900 NYNEX Corp. ........................................... 17,453,350
317,800 SBC Communications, Inc. .............................. 18,273,500
113,400 Scientific Atlanta, Inc. .............................. 1,899,450
197,900 Sprint Corp.+.......................................... 9,004,450
230,766 360 Communications Co.+................................ 4,990,315
- --------------------------------------------------------------------------------
143,005,454
- --------------------------------------------------------------------------------
TRANSPORTATION -- 2.2%
90,900 AMR Corp.+............................................. 7,147,013
45,588 Conrail, Inc. ......................................... 4,763,946
14,100 Consolidated Freightways Corp.+........................ 119,850
28,200 Consolidated Freightways, Inc. ........................ 697,950
303,200 CSX Corp. ............................................. 13,985,100
72,750 Delta Air Lines, Inc. ................................. 5,856,375
38,800 Norfolk Southern Corp. ................................ 3,535,650
43,500 UAL Corp.+............................................. 2,468,625
21,200 US Air Group, Inc.+.................................... 418,700
- --------------------------------------------------------------------------------
38,993,209
- --------------------------------------------------------------------------------
UTILITIES -- 7.4%
11,950 Allegheny Power System, Inc. .......................... 365,969
42,200 Alltel Corp. .......................................... 1,492,825
62,200 American Electric Power, Inc. ......................... 2,596,850
112,500 Boston Edison Co. ..................................... 3,009,375
85,100 Carolina Power & Light Co. ............................ 3,159,338
180,300 Centerior Energy Corp. ................................ 1,870,613
147,057 Cinergy Corp. ......................................... 5,073,467
171,450 CMS Energy Corp. ...................................... 5,614,988
108,200 Coastal Corp. ......................................... 4,923,100
62,200 Comsat Corp., Series 1................................. 1,632,750
235,000 Consolidated Edison Co., New York Inc. ................ 7,255,625
14,350 Delmarva Power & Light Co. ............................ 278,031
109,950 DQE Inc. .............................................. 3,257,269
28,150 Duke Power Co. ........................................ 1,245,638
94,500 Edison International................................... 2,031,706
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
UTILITIES -- 7.4% (CONTINUED)
56,000 Enova Corp. ........................................... $ 1,253,000
348,050 Entergy Corp. ......................................... 9,179,819
5,300 Equitable Resources, Inc. ............................. 157,013
41,800 Florida Progress Corp. ................................ 1,316,700
61,300 FPL Group, Inc. ....................................... 2,789,150
96,800 General Public Utilities Corp. ........................ 3,388,000
186,000 Houston Industries, Inc. .............................. 4,324,500
125,300 Illinova Corp. ........................................ 3,132,500
29,400 IPALCO Enterprises, Inc. .............................. 929,775
11,450 KU Energy Corp. ....................................... 343,500
75,500 LG&E Energy Corp. ..................................... 1,868,625
39,800 Long Island Lighting Co. .............................. 915,400
30,200 Montana Power Co. ..................................... 660,625
46,000 National Fuel Gas Co. ................................. 1,978,000
97,500 New England Electric System............................ 3,400,313
55,700 New York State Electric & Gas Corp. ................... 1,295,025
10,250 Niagara Mohawk Power Corp.+............................ 105,063
84,300 Nipsco Industries, Inc. ............................... 3,361,463
100 Northern States Power Co., Minnesota................... 4,763
18,000 OGE Electric Corp. .................................... 758,250
62,500 Ohio Edison Co. ....................................... 1,406,250
32,300 Pacificorp............................................. 666,188
125,900 Phillips Petroleum Co.................................. 5,209,113
219,800 Pinnacle West Capital Corp............................. 6,868,750
41,500 Public Service Co. Colorado............................ 1,618,500
159,800 Public Service Enterprise Group, Inc. ................. 4,494,375
42,200 Puget Sound Power & Light Co. ......................... 1,070,825
91,300 Questar Corp. ......................................... 3,309,625
36,700 SCANA Corp. ........................................... 958,788
196,400 Southern Co. .......................................... 4,271,700
228,300 Texas Utilities Co. ................................... 9,217,613
160,700 Unicom Corp. .......................................... 3,575,575
28,800 Washington Water Power Co. ............................ 529,200
33,500 Western Resources, Inc. ............................... 1,013,375
- --------------------------------------------------------------------------------
129,178,905
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $1,367,543,370)........... 1,750,674,291
- --------------------------------------------------------------------------------
NON-CONVERTIBLE PREFERRED STOCK -- 0.0%
6,350 Fresenius Medical Care AG (Cost -- $863)............... 635
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 0.7%
$11,512,000 Chase Manhattan Bank, 5.317% due 3/3/97, Proceeds
at maturity -- $11,517,101;
(Fully collateralized by U.S. Treasury Notes,
5.375% due 11/30/97;
Market value -- $11,742,259) (Cost --
$11,512,000)..................................... $ 11,512,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,379,056,233**)............................... $1,762,186,926
- -------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Basic Industries 6.3%
Capital Goods 5.9%
Consumer Products 5.9%
Energy 10.9%
Financial Services 19.3%
Insurance 8.9%
Utilities 7.4%
Telecommunications 8.1%
Technology 5.1%
Other Common Stocks 21.5%
Repurchase Agreement 0.7%
SEE NOTES TO FINANCIAL STATEMENTS.
30
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 95.3%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 4.6%
101,100 AES Corp. ............................................ $ 6,609,413
7,900 Apollo Group, Inc., Class A Shares.................... 213,300
67,400 Bemis, Inc. .......................................... 2,788,675
23,000 Corrections Corp. of America.......................... 655,500
11,500 Dow Chemical Corp. ................................... 931,500
212,050 Engelhard Corp. ...................................... 4,691,606
65,900 Foster Wheeler Co. ................................... 2,570,100
31,100 Great Lakes Chemical Corp. ........................... 1,442,263
238,300 Hercules Inc. ........................................ 11,080,950
18,300 Kimberly-Clark Corp. ................................. 1,939,800
20,500 Maxim Integrated Products, Inc. ...................... 1,017,313
344,000 Monsanto Co. ......................................... 12,513,000
64,900 Morton International, Inc. ........................... 2,677,125
146,200 Nalco Chemical Co. ................................... 5,372,850
14,900 PPG Industries, Inc. ................................. 834,400
71,800 Praxair, Inc. ........................................ 3,491,275
33,600 Read Rite Corp. ...................................... 1,031,100
150,500 Republic Industries Inc. ............................. 5,342,750
112,800 WMX Technologies, Inc. ............................... 3,567,300
83,700 Worthington Industries, Inc. ......................... 1,747,238
22,100 Xerox Corp. .......................................... 1,381,248
- --------------------------------------------------------------------------------
71,898,706
- --------------------------------------------------------------------------------
BROADCASTING -- 0.4%
88,400 British Sky Broadcasting Group........................ 5,215,600
68,287 Liberty Media, Class A Shares......................... 1,434,038
- --------------------------------------------------------------------------------
6,649,638
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 7.0%
68,000 Boeing Co. ........................................... 6,919,000
96,400 Dover Corp. .......................................... 4,783,850
72,500 Fluor Corp. .......................................... 4,395,313
558,400 General Electric Co.++................................ 57,445,400
42,500 Illinois Tool Works, Inc. ............................ 3,585,938
17,800 Minnesota Mining & Manufacturing Co. ................. 1,637,600
44,000 Newmont Mining Corp. ................................. 2,090,000
70,200 Nucor Corp. .......................................... 3,378,375
40,600 Owens-Corning Fiberglass Corp.+....................... 1,720,425
114,300 Pall Corp. ........................................... 2,486,025
52,300 Tektronix Inc. ....................................... 2,549,625
88,650 Thermo Electron Corp. ................................ 3,025,181
164,800 Tyco International Ltd. .............................. 9,723,200
198,000 Westinghouse Electric Corp. .......................... 3,415,500
30,200 W.W. Grainger, Inc. .................................. 2,393,349
- --------------------------------------------------------------------------------
109,548,781
- --------------------------------------------------------------------------------
COMPUTER SERVICES -- 8.3%
24,100 Adobe Systems, Inc. .................................. 879,650
41,600 Altera Corp. ......................................... 1,887,600
57,900 Autodesk, Inc. ....................................... 1,961,363
86,200 Automatic Data Processing, Inc. ...................... 3,674,275
66,000 Bay Networks Inc. .................................... 1,254,000
49,700 BMC Software Corp. ................................... 2,127,781
39,450 Cadence Design Systems, Inc. ......................... 1,454,719
328,300 Ceridian Corp.+....................................... 12,844,738
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMPUTER SERVICES -- 8.3% (CONTINUED)
127,900 EMC Corp. -- MASS..................................... $ 4,604,400
15,000 Fore Systems, Inc.+................................... 502,500
40,000 GTECH Holdings Corp.+................................. 1,255,000
266,900 Hewlett-Packard Co. .................................. 14,946,400
303,200 Intel Corp. .......................................... 43,016,500
18,600 Intuit, Inc.+......................................... 420,825
37,400 Iomega Corp. ......................................... 579,700
24,150 McAfee Associates, Inc. .............................. 1,107,881
296,000 Microsoft Corp. ...................................... 28,860,000
24,800 Rational Software Corp. .............................. 641,700
6,900 Shiva Corp.+.......................................... 114,713
157,800 Sun Microsystems+..................................... 4,872,075
45,800 Sungard Data Systems Inc. ............................ 2,324,350
14,200 3Com Corp.+........................................... 470,152
20,200 Western Digital Corp. ................................ 1,191,800
- --------------------------------------------------------------------------------
130,992,122
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 1.2%
141,100 Corning, Inc. ........................................ 5,308,888
59,300 Masco Corp. .......................................... 2,082,912
138,000 Nike Inc., Class B Shares............................. 9,918,750
30,000 Tupperware Corp.+..................................... 1,342,500
- --------------------------------------------------------------------------------
18,653,050
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 16.3%
132,800 American Home Products Corp. ......................... 7,830,550
17,200 American Power Conversion Corp. ...................... 359,050
25,000 American Standard Co. ................................ 1,125,000
47,600 Campbell Soup Co. .................................... 4,289,950
34,400 Clorox Co. ........................................... 4,110,800
919,400 Coca-Cola Co.++....................................... 56,083,400
81,400 Colgate-Palmolive Co. ................................ 8,424,900
20,600 ConAgra, Inc. ........................................ 1,091,800
30,700 CPC International, Inc. .............................. 2,582,638
39,700 Crown Cork & Seal, Inc. .............................. 2,203,350
72,200 Eastman Kodak Co. .................................... 6,470,925
28,600 General Mills, Inc. .................................. 1,866,150
293,300 Gillette Co. ......................................... 23,207,363
88,950 H.J. Heinz, Co. ...................................... 3,702,544
43,400 International Flavors & Fragrances, Inc. ............. 2,012,675
11,800 Kellogg Co. .......................................... 808,300
82,343 Mattel, Inc. ......................................... 2,048,282
506,000 PepsiCo, Inc. ........................................ 16,698,000
362,300 Philip Morris Cos., Inc.++............................ 48,955,788
37,300 Pioneer Hi-Bred International, Inc. .................. 2,541,063
173,500 Procter & Gamble Co. ................................. 20,841,688
48,200 Quaker Oats Co. ...................................... 1,729,175
52,300 Ralston-Purina Group.................................. 4,295,138
56,400 Rubbermaid, Inc. ..................................... 1,346,550
125,000 Safeway Inc. ......................................... 6,015,625
74,800 Sara Lee Corp. ....................................... 2,898,500
49,900 Sherwin-Williams Co. ................................. 2,800,638
26,500 Starbucks Corp. ...................................... 891,062
117,500 Sunglass Hut International Inc. ...................... 851,875
182,900 UST, Inc. ............................................ 5,647,037
79,300 Warner-Lamert Co. .................................... 6,661,200
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 16.3% (CONTINUED)
106,700 Whitman Corp. ........................................ $ 2,507,450
44,700 Wm. Wrigley Jr. Co. .................................. 2,676,410
- --------------------------------------------------------------------------------
255,574,876
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 2.1%
40,800 Accustaff, Inc.+...................................... 846,600
43,500 Checkpoint System Inc. ............................... 886,313
62,400 Ecolab, Inc. ......................................... 2,363,400
200,100 HFS, Inc.+............................................ 13,706,850
166,650 La Quinta Inns Inc. .................................. 3,291,337
53,000 Pitney Bowes, Inc. ................................... 3,292,625
189,900 Service Corp. ........................................ 5,507,100
85,300 Sysco Corp. .......................................... 2,964,175
- --------------------------------------------------------------------------------
32,858,400
- --------------------------------------------------------------------------------
ENERGY -- 2.8%
50,400 Burlington Resources, Inc. ........................... 2,211,300
15,600 Chesapeake Energy Corp. .............................. 323,700
248,000 Enron Corp............................................ 9,889,000
41,100 Ensco International Inc. ............................. 1,782,713
202,100 Global Marine, Inc.+.................................. 3,764,112
57,100 Halliburton Co. ...................................... 3,690,088
156,700 Oryx Energy Co. ...................................... 3,134,000
102,600 Phillips Petroleum Co. ............................... 4,245,075
55,600 Pogo Producing Co. ................................... 1,911,250
90,400 Reading Bates Corp. .................................. 2,192,200
43,500 Republic Industries, Inc.+............................ 1,544,250
18,900 Smith International Inc. ............................. 767,812
158,400 Tosco Corp. .......................................... 4,415,400
58,800 Unocal Corp. ......................................... 2,271,150
70,000 Varstar Resources, Inc. .............................. 2,030,000
- --------------------------------------------------------------------------------
44,172,050
- --------------------------------------------------------------------------------
ENTERTAINMENT -- 2.8%
47,000 Brunswick Corp. ...................................... 1,345,375
103,600 Grand Casinos......................................... 1,139,600
145,600 Hilton Hotels Corp. .................................. 3,658,200
74,100 Marriott International, Inc. ......................... 3,927,300
137,800 Mirage Resorts, Inc.+................................. 3,427,775
29,450 Promus Cos., Inc.+.................................... 1,041,794
105,500 Time Warner, Inc. .................................... 4,325,500
69,000 Viacom, Inc. Class B Shares+.......................... 2,432,250
306,534 Walt Disney Co. ...................................... 22,760,150
- --------------------------------------------------------------------------------
44,057,944
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 9.0%
49,200 American Express Co. ................................. 3,216,450
115,150 American International Group, Inc. ................... 13,933,150
106,600 Associates First Capital.............................. 5,143,450
103,800 Dean Witter, Discover & Co. .......................... 3,983,325
75,000 Dow Jones & Co. ...................................... 3,009,375
342,000 Federal Home Loan Mortgage Corp. ..................... 10,174,500
573,900 Federal National Mortgage Association................. 22,956,000
572,430 First Data Corp. ..................................... 20,965,249
9,300 General Resources Corp. .............................. 1,577,512
101,600 Green Tree Financial.................................. 3,810,000
14,900 Household International............................... 1,443,438
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 9.0% (CONTINUED)
69,700 H&R Block, Inc. ...................................... $ 2,047,438
57,200 Marsh & McLennan Cos., Inc. .......................... 6,692,400
523,462 MBNA Corp. ........................................... 16,750,783
174,700 MGIC Investment Corp. ................................ 13,735,788
94,200 Paychex, Inc. ........................................ 4,097,700
61,700 State Street Boston Corp. ............................ 4,959,137
10,000 Wells Fargo & Co. .................................... 3,042,500
- --------------------------------------------------------------------------------
141,538,195
- --------------------------------------------------------------------------------
HEALTHCARE -- 17.6%
180,800 Abbott Laboratories+.................................. 10,170,000
11,297 Aetna, Inc. .......................................... 936,239
256,300 Alza Corp.+........................................... 7,272,513
135,000 Amgen, Inc. .......................................... 8,251,875
90,100 Apria Healthcare Group Inc. .......................... 1,610,538
134,000 Boston Scientific Corp.+.............................. 8,877,500
50,800 Bristol-Myers Squibb Co. ............................. 6,629,400
86,000 Cardinal Health, Inc. ................................ 5,289,000
279,900 Columbia/HCA Healthcare Corp. ........................ 11,755,800
97,800 Elan Corp. PLC ADR+................................... 3,386,325
180,400 Eli Lilly & Co. ...................................... 15,762,450
34,000 Genzyme Corp.+........................................ 875,500
18,800 Guidant Corp. ........................................ 1,259,600
35,800 HBO & Co. ............................................ 2,062,975
125,000 Health Care & Retirement Corp.+....................... 3,390,625
74,250 Health Management Associates, Inc., Class A Shares+... 1,967,625
234,700 HealthSouth Rehabilitation+........................... 9,446,675
20,300 Interneuron Pharmaceutical+........................... 555,713
46,300 Ivax Corp. ........................................... 567,175
475,100 Johnson & Johnson++................................... 27,377,638
195,300 Mallinckrodt Group, Inc. ............................. 8,300,250
24,900 McKesson Corp. ....................................... 1,649,625
117,700 Medpartners, Inc. .................................... 2,589,400
206,700 Medtronic, Inc. ...................................... 13,383,825
471,600 Merck & Co., Inc.++................................... 43,387,200
118,800 Oxford Health Plans, Inc.+............................ 6,623,100
387,600 Pfizer, Inc. ......................................... 35,513,850
606,600 Pharmacia & Upjohn, Inc.++............................ 22,368,375
69,800 Physician Sales & Services, Inc. ..................... 1,064,450
6,800 Quintiles Transnational+.............................. 444,550
92,500 Schering-Plough Corp. ................................ 7,087,812
25,900 Shared Medical Systems Corp. ......................... 1,414,788
35,000 Stryker Corp. ........................................ 1,015,000
53,730 Tenet Healthcare Corp. ............................... 1,457,425
12,900 Thermo Cardiosystems, Inc. ........................... 361,200
45,700 United Healthcare Corp. .............................. 2,279,287
- --------------------------------------------------------------------------------
276,385,303
- --------------------------------------------------------------------------------
PRECIOUS METALS -- 0.2%
131,200 Santa Fe Pacific Gold Corp. .......................... 2,460,000
- --------------------------------------------------------------------------------
PUBLISHING -- 0.5%
44,000 Gannett, Inc. ........................................ 3,509,000
50,400 McGraw-Hill, Inc. .................................... 2,614,500
60,400 Tribune Co. .......................................... 2,370,700
- --------------------------------------------------------------------------------
8,494,200
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
RESTAURANTS -- 0.6%
223,800 McDonalds Corp. ...................................... $ 9,679,350
- --------------------------------------------------------------------------------
RETAIL -- 5.9%
54,000 Albertson's, Inc. .................................... 1,903,500
142,000 AutoZone, Inc.+....................................... 3,514,500
23,800 Avery Dennison Corp. ................................. 960,925
48,400 Avon Products, Inc. .................................. 2,819,300
72,700 Circuit City Stores, Inc.+............................ 2,271,875
72,000 Cooper Tire & Rubber Co. ............................. 1,431,000
70,400 Costco Cos., Inc. .................................... 1,804,000
63,000 CVS Corp. ............................................ 2,913,750
2,500 Dayton-Hudson Corp. .................................. 105,000
12,800 Estee Lauder Co. Class A Shares....................... 595,200
93,100 Gap, Inc. ............................................ 3,072,300
15,700 Gucci Group NV........................................ 1,014,613
27,800 Harcourt General, Inc. ............................... 1,310,075
282,400 Home Depot, Inc. ..................................... 15,390,800
196,100 Ikon Office Solutions, Inc. .......................... 8,089,125
67,000 Kohl's Corp. ......................................... 3,082,000
86,200 Kroger Co. ........................................... 4,568,600
38,073 Limited, Inc. ........................................ 723,387
86,100 Lowe's Cos., Inc. .................................... 3,142,650
11,136 Payless Shoesource, Inc. ............................. 478,848
112,000 Pep Boys Manny, Moe & Jack............................ 3,654,000
55,100 Safeway, Inc. ........................................ 2,651,687
136,100 Sears Roebuck & Co. .................................. 7,383,425
69,800 TJX Cos. ............................................. 2,914,150
55,800 Tommy Hilfiger Corp. ................................. 3,048,075
345,000 Wal-Mart Stores, Inc. ................................ 9,099,375
94,600 Walgreen Co. ......................................... 4,044,150
- --------------------------------------------------------------------------------
91,986,310
- --------------------------------------------------------------------------------
TECHNOLOGY -- 9.7%
17,500 Advanced Micro Devices, Inc. ......................... 627,813
60,000 AMP, Inc. ............................................ 2,332,500
42,333 Analog Devices, Inc.+................................. 984,242
131,575 Andrew Corp.+......................................... 7,236,625
59,100 Applied Materials, Inc.+.............................. 2,991,938
16,500 C-Cube Microsystems................................... 480,563
14,300 Cambridge Technology Partners......................... 343,200
16,800 Centocor, Inc. ....................................... 636,300
40,900 Cirrus Logic, Inc. ................................... 554,706
311,200 Cisco Systems, Inc.+.................................. 17,310,500
104,900 Compaq Computer Corp.+................................ 8,313,325
54,600 Compusa, Inc. ........................................ 1,092,000
154,025 Computer Association International, Inc............... 6,700,088
100,300 Computer Sciences Corp.+.............................. 6,770,250
11,200 Compuware Corp. ...................................... 697,200
20,200 Cooper Cameron Corp. ................................. 1,323,100
439,300 CUC International, Inc.+.............................. 10,488,288
62,700 Danka Business Systems ADR+........................... 2,625,563
52,700 Dell Computer Corp. .................................. 3,748,288
23,200 Electronics For Imaging............................... 893,200
48,100 General Instrument Corp. ............................. 1,142,375
64,300 Input/Output, Inc. ................................... 1,374,412
48,500 LSI Logic Corp. ...................................... 1,673,250
71,300 Micron Technology, Inc. .............................. 2,673,750
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 9.7% (CONTINUED)
206,300 Microsoft Corp.+...................................... $ 20,114,250
36,500 Millpore Corp. ....................................... 1,574,062
16,600 Nellcor, Inc. ........................................ 288,425
70,200 Novell, Inc.+......................................... 710,775
331,975 Oracle Systems Corp.+................................. 13,030,018
40,500 Pairgain Technologies, Inc. .......................... 1,197,280
53,700 Perkin-Elmer Corp. ................................... 3,812,700
49,000 Schlumberger Ltd. .................................... 4,930,625
37,800 SCI Systems, Inc. .................................... 2,022,300
60,400 Scientific-Atlanta, Inc. ............................. 1,011,700
69,200 Seagate Technology Inc. .............................. 3,269,700
15,200 Security Dynamics Technologies........................ 418,000
48,900 Symbol Technologies, Inc.+............................ 2,457,225
30,800 Teradyne, Inc. ....................................... 839,300
115,800 Texas Instruments, Inc. .............................. 8,931,075
26,300 U.S. Robotics Corp. .................................. 1,467,869
61,800 Verifone Inc. ........................................ 2,147,550
28,000 Xilinx, Inc. ......................................... 1,263,500
- --------------------------------------------------------------------------------
152,499,830
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 6.0%
61,800 ADC Telecommunications, Inc.+......................... 1,668,600
125,000 AirTouch Communications, Inc. ........................ 3,406,250
344,700 American Telephone Telegraph Corp. ................... 13,744,913
71,000 Ascend Communications, Inc. .......................... 3,709,750
24,400 Aspect Telecommunications............................. 606,950
141,600 Cabletron Systems, Inc. .............................. 4,248,000
27,300 Cascade Communications Co. ........................... 842,887
32,400 Clear Channel Communications.......................... 1,551,150
52,100 DSC Communications Corp. ............................. 1,094,100
176,800 Frontier Corp. ....................................... 3,911,700
108,100 LCI International, Inc. .............................. 2,053,900
328,400 LM Ericsson Tel, Class B Shares, ADR+................. 10,359,993
238,511 Lucent Technologies, Inc. ............................ 12,849,780
30,400 MCI Communications Corp. ............................. 1,086,800
206,000 Motorola, Inc. ....................................... 11,510,250
84,500 Picturetel Corp. ..................................... 1,330,875
18,210 TCI Satellite Entertainment, Inc. .................... 145,680
182,100 Tele-Communications, Inc., Class A Shares............. 2,162,432
122,200 Tellabs, Inc. ........................................ 4,872,725
28,000 360 Communications Co. ............................... 605,500
471,900 Worldcom, Inc. ....................................... 12,564,337
- --------------------------------------------------------------------------------
94,326,572
- --------------------------------------------------------------------------------
TRANSPORTATION -- 0.3%
22,900 Burlington Northern, Inc. ............................ 1,906,425
25,300 JLG Industries, Inc. ................................. 468,050
102,700 Southwest Airlines Co. ............................... 2,413,450
31,081 Union Pacific Corp. .................................. 757,605
- --------------------------------------------------------------------------------
5,545,530
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $1,123,859,863).......... 1,497,320,857
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY BILLS -- 0.2%
$ 2,100,000 U.S. Treasury Bill, 4.760% due 3/20/97............ $ 2,094,724
200,000 U.S. Treasury Bill, 4.870% due 3/20/97............ 199,486
200,000 U.S. Treasury Bill, 4.890% due 3/20/97............ 199,484
- -------------------------------------------------------------------------------
TOTAL U.S. TREASURY BILLS (Cost -- $2,493,694).... 2,493,694
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 4.5%
10,569,000 Chase Manhattan Bank, 5.317% due 3/3/97; Proceeds
at Maturity -- $10,573,683;
(Fully collateralized by U.S. Treasury Bill due
11/30/97;
Market value -- $10,780,398)...................... 10,569,000
60,000,000 CS First Boston, 5.327% due 3/3/97; Proceeds at
Maturity -- $60,026,635;
(Fully collateralized by U.S. Treasury Bill due
5/15/99;
Market value -- $61,227,314)...................... 60,000,000
- -------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost --
$70,569,000).................................... 70,569,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,196,922,557**)............................... $1,570,383,551
- -------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
++ Security serves as collateral for futures contracts.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Consumer Products 16.3%
Computer Services 8.3%
Financial Services
Healthcare 17.6%
Retail 5.9%
Technology 9.7%
Telecommunications 6.0%
U.S. Treasury Bills 0.2%
Other Common Stocks 15.5%
Repurchase Agreement 4.5%
Capital Goods 7.0%
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 98.8%
- --------------------------------------------------------------------------------
BANKING -- 8.2%
6,400 American Federal Bank.................................... $ 184,800
1,625 Anchor Bancorp Wisconsin Inc. ........................... 73,125
18,628 Associated Banc-Corp. ................................... 891,816
21,603 AST Research Inc. ....................................... 101,264
26,055 BancorpSouth Inc. ....................................... 749,081
5,700 Bankers Corp. ........................................... 140,363
4,400 Banknorth Group Inc. .................................... 198,000
1,540 Brenton Banks Inc. ...................................... 42,735
500 CBT Corp. ............................................... 11,625
11,900 Centura Banks Inc. ...................................... 520,625
3,204 Citfed Bancorp Inc. ..................................... 110,138
13,971 Citizens Banking Corp., Michigan......................... 454,058
800 Citizens Corp. .......................................... 19,900
6,527 CNB Bancshares Inc. ..................................... 248,026
98,717 Collective Bancorp, Inc. ................................ 4,059,737
43,470 Colonial Bancgroup Inc. ................................. 988,943
7,938 Commerce Bancorp Inc. ................................... 239,132
113,800 Commercial Federal....................................... 4,082,575
3,300 Commonwealth Bancorp..................................... 52,388
3,100 Community First Bankshares Inc. ......................... 95,325
6,843 Community Trust Bank..................................... 187,327
26,100 Corus Bancorp............................................ 900,450
16,300 Cullen Frost Bankers Inc. ............................... 581,706
20,700 Dauphin Deposits......................................... 877,163
8,700 First Citizens BancShares Inc. .......................... 672,075
15,069 First Colorado Bancorp................................... 258,057
4,970 First Financial Bancorp.................................. 167,738
2,125 First Financial Bankshares Inc. ......................... 82,875
15,800 First Hawaiian Inc. ..................................... 525,350
14,097 First Michigan Bank Corp. ............................... 426,434
5,000 First Midwest Bancorp Inc. .............................. 158,125
3,000 First Western Bancorp Inc. .............................. 88,500
5,798 Firstbank of Illinois Co. ............................... 215,976
105,250 Firstbank Puerto Rico San Juan........................... 2,960,156
4,100 Firstfed Financial Corp.+................................ 106,600
5,842 Guaranty National Corp. ................................. 104,426
800 Harris Savings Bank...................................... 17,300
2,800 Homeland Bankshares Corp. ............................... 119,000
10,692 Imperial Bancorp......................................... 279,328
5,343 Liberty Bancorp Inc. .................................... 278,504
16,800 Long Island Bancorp Inc. ................................ 615,300
5,512 MAF Bancorp Inc. ........................................ 223,925
21,162 Magna Bancorp Inc. ...................................... 396,787
8,000 Mark Twain Bancshares Inc. .............................. 437,000
6,200 ML Bancorp Inc. ......................................... 105,400
600 National Bancorp Alaska Inc. ............................ 42,600
3,440 National City Bancshares Inc. ........................... 115,670
13,856 National Commerce Bancorp................................ 620,056
9,600 New York Bancorp Inc. ................................... 309,600
33,402 Northfork Bancorp+....................................... 1,356,956
11,259 Old National Bancorp..................................... 416,583
10,100 Onbancorp Inc. .......................................... 450,712
11,500 One Valley Bancorp West Virginia Inc. ................... 458,562
5,500 Peoples Bank Bridgeport.................................. 189,750
15,752 Provident Bancorp Inc. .................................. 586,762
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
BANKING -- 8.2% (CONTINUED)
6,955 Provident Bankshares Corp. .............................. $ 290,371
7,156 Queens County Bancorp Inc. .............................. 406,103
111,573 RCSB Financial, Inc. .................................... 3,751,642
14,017 Republic Bancorp Inc. ................................... 188,353
16,400 Riggs National Corp. .................................... 326,975
6,153 S & T Bancorp Inc. ...................................... 218,431
19,268 St. Paul Bancorp Inc. ................................... 510,602
3,100 Silicon Valley Bancshares Inc. .......................... 117,025
350,306 Sovereign Bancorp Inc. .................................. 4,422,618
1,753 Sumitomo Bank of California.............................. 51,275
19,715 Susquehanna Bancshares Inc. ............................. 702,347
7,302 Trustco Bank Corp. New York.............................. 156,993
6,248 United Bankshares Inc. .................................. 212,432
17,118 United Carolina Bancshares Inc. ......................... 746,773
3,974 US Bancorp Inc. Pennsylvania............................. 189,758
8,596 US Trust Corp. New York.................................. 404,012
4,936 Wesbanco Inc. ........................................... 160,420
8,659 Westamerica Bancorp...................................... 580,153
- --------------------------------------------------------------------------------
42,032,692
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 13.3%
4,600 Acme Metals Inc.+........................................ 75,900
90,000 Allied Products Corp. ................................... 2,632,500
102,000 A.M. Castle & Co. ....................................... 2,129,250
51,815 Amax Gold Inc. .......................................... 395,089
7,981 Amcast Industrial Corp. ................................. 184,561
3,500 AMCOL International Corp. ............................... 66,063
65,300 Armco Inc. .............................................. 269,363
16,923 Ball Corp. .............................................. 427,306
46,100 Barnes Group Inc. ....................................... 3,071,413
140,224 Battle Mountain Gold..................................... 1,034,152
8,555 Belden & Blake........................................... 192,488
17,800 Birmingham Steel Corp. .................................. 322,625
8,200 Brush Wellman Inc. ...................................... 144,525
70,500 Butler Manufacturing Co. ................................ 2,555,625
16,500 Calgon Carbon Corp. ..................................... 185,625
8,200 Calmat Co. .............................................. 149,650
3,300 Cambrex Corp. ........................................... 110,550
105,000 Caraustar Industries Inc. ............................... 3,123,750
10,700 Carpenter Technology Corp. .............................. 390,550
2,100 Chaparral Steel Co. ..................................... 25,725
5,100 Chemfirst................................................ 116,025
12,700 Chesapeake Corp. ........................................ 376,238
85,898 Cleveland Cliffs Inc. ................................... 3,693,614
17,853 Cincinnati Milacron Inc. ................................ 383,840
5,100 Cliffs Drilling.......................................... 236,513
8,600 Coeur d'Alene Mines Corp. ............................... 156,950
44,200 Collins & Aikman Corp.+.................................. 348,075
118,036 Commercial Metal Co. .................................... 3,423,044
13,600 Cone Mills Corp.+........................................ 107,100
21,029 Crompton & Knowles....................................... 399,551
24,835 CSS Industries Inc.+..................................... 689,171
8,200 Dames & Moore Inc. ...................................... 112,750
15,900 Dexter Corp. ............................................ 469,050
3,892 Fab Industries Inc. ..................................... 109,949
4,000 Fibreboard Corp.+........................................ 133,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
BASIC INDUSTRIES -- 13.3% (CONTINUED)
100,000 Fleetwood Enterprises.................................... $ 2,600,000
6,025 Florida Rock Industries Inc. ............................ 205,603
4,121 Foamex International Inc.+............................... 76,754
8,500 Freeport McMoRan Inc. ................................... 231,625
40,700 Furniture Brands International........................... 600,325
7,873 Furon Co. ............................................... 174,190
10,285 GATX Corp. .............................................. 503,965
7,231 General Binding Corp. ................................... 226,873
10,236 Geneva Steel Co., Class A Shares+........................ 23,031
13,900 Geon Co. ................................................ 298,850
13,700 Greif Brothers Corp., Class A Shares..................... 414,425
95,000 Guilford Mills Inc. ..................................... 2,719,375
7,900 Handy & Harman........................................... 130,350
8,600 HB Fuller................................................ 419,250
32,044 Hecla Mining Co.+........................................ 228,314
5,826 Huntco Inc. ............................................. 66,999
9,015 Interpool Inc. .......................................... 214,106
14,948 J & L Specialty Steel Inc. .............................. 207,404
9,089 Kaiser Aluminum Corp.+................................... 113,613
13,126 Lawter International Inc. ............................... 152,590
1,500 LeaRonal Inc. ........................................... 36,188
6,500 Lilly Industries Inc., Class A Shares.................... 125,937
5,100 Lone Star Industries Inc. ............................... 221,212
13,080 Lukens Inc. ............................................. 243,615
1,700 Maxxam Inc. ............................................. 81,812
15,580 McClatchy Newspapers Inc., Class A Shares................ 371,972
7,108 Medusa Corp. ............................................ 283,431
15,600 Miller Herman Inc.+...................................... 1,025,700
5,336 Mine Safety Appliances Co. .............................. 310,822
19,272 Mississippi Chemical Corp. .............................. 472,164
8,200 Mohawk Industries Inc.+.................................. 216,275
88,636 Mosinee Paper Corp. ..................................... 2,947,147
10,425 Mueller Industries Inc.+................................. 449,578
8,300 NAC Re Corp. ............................................ 305,025
41,100 NACCO Industries Inc., Class A Shares.................... 2,229,675
12,700 National Steel Corp., Class B Shares..................... 106,362
3,535 NCH Corp. ............................................... 210,332
12,302 NL Industries Inc. ...................................... 139,935
8,400 OM Group Inc. ........................................... 243,600
14,940 Oregon Steel Metals Inc. ................................ 253,980
2,602 Petrolite Corp. ......................................... 150,916
10,899 Ply Gem Industries Inc. ................................. 155,311
13,162 Pope & Talbot Inc. ...................................... 204,011
11,730 Precision Castparts Corp. ............................... 574,770
120,673 Quanex Corp. ............................................ 3,228,003
2,744 Reliance Steel & Aluminum................................ 84,721
9,188 Rexene Foods, Inc. ...................................... 121,741
26,810 Rock-Tenn Co., Class A Shares............................ 529,497
7,668 Rogue Steel Co., Class A Shares.......................... 123,646
6,417 Sanderson Farms Inc. .................................... 108,287
5,031 Schnitzer Steel Industries Inc., Class A Shares.......... 139,610
20,318 Schulman Inc. ........................................... 393,661
5,494 Shiloh Industries Inc.+.................................. 96,145
2,669 Simpson Manufacturing Inc.+.............................. 68,059
13,714 Steel Technologies Inc. ................................. 149,140
10,303 Stepan Chemical Co. ..................................... 199,621
64,805 Texas Industries Inc. ................................... 3,774,891
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
BASIC INDUSTRIES -- 13.3% (CONTINUED)
61,050 Thiokol Corp. ........................................... $ 3,403,537
8,241 Timberland Co., Class A Shares+.......................... 333,760
13,399 TJ International Inc. ................................... 271,330
13,397 Tredegar Industries Inc. ................................ 537,555
180,196 Universal Forest Products Inc. .......................... 2,545,268
137,278 Wellman Inc. ............................................ 2,402,365
12,265 Westpoint Stevens Inc., Class A Shares................... 423,142
8,037 Whittaker Corp.+......................................... 81,375
15,344 WHX Corp.+............................................... 124,670
2,007 Wolverine Tube Inc.+..................................... 73,757
- --------------------------------------------------------------------------------
68,423,273
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 10.0%
10,800 AAR Corp. ............................................... 275,400
12,600 Albany International Corp., Class A Shares............... 274,050
4,900 American Annuity Group Inc. ............................. 74,725
12,334 American Mobile Satellite Corp. ......................... 168,051
1,800 Ameron International Corp. .............................. 87,525
88,529 A.O. Smith Corp. ........................................ 2,976,788
17,160 Apogee Enterprises Inc. ................................. 341,055
7,050 Applied Industrial....................................... 217,669
2,300 Aptargroup Inc. ......................................... 91,425
10,788 Arctic Cat Inc. ......................................... 103,835
15,296 Argonaut Group Inc. ..................................... 439,760
19,207 Arvin Industries Inc. ................................... 451,365
4,300 Avondale Industries Inc.+................................ 88,688
9,900 Baldor Electric Co. ..................................... 245,025
15,457 Bassett Furniture Industries Inc. ....................... 382,561
6,100 BMC West Corp.+.......................................... 76,250
3,300 BRC Holdings Inc. ....................................... 117,975
60,000 Blount International, Inc. .............................. 2,505,000
14,623 Centex Corp. ............................................ 590,404
4,500 Centex Construction Products Inc. ....................... 76,500
6,700 Commercial Intertech Corp. .............................. 85,425
1,400 Computer Language Research Inc. ......................... 19,600
139,734 Continental Homes Holding Corp. ......................... 2,969,348
7,920 Cubic Corp. ............................................. 187,110
800 Curtiss Wright Corp. .................................... 42,000
6,500 Daniel Industries........................................ 79,625
3,524 DT Industries Inc. ...................................... 103,958
12,201 Duriron Co. ............................................. 272,997
13,400 Duty Free International Inc. ............................ 190,950
7,740 Elcor Corp.+............................................. 187,695
300,000 Fedders Corp. ........................................... 1,912,500
26,051 Giddings & Lewis Inc. ................................... 359,829
18,344 Goulds Pumps Inc. ....................................... 432,231
6,300 Granite Construction Inc. ............................... 113,006
50,000 Hardinge Inc. ........................................... 1,325,000
56,420 Harman International Industries Inc. .................... 2,574,163
2,500 Hughes Supply Inc. ...................................... 87,813
12,941 Intelligent Electronics Inc. ............................ 45,293
23,608 International Cabletel Inc.+............................. 457,405
4,303 Ionics Inc.+............................................. 212,461
15,787 Juno Lighting Inc. ...................................... 236,805
13,600 Justin Industries Inc. .................................. 158,100
146,952 Kaman Corp., Class A Shares.............................. 2,020,590
22,300 Kaufman & Broad Home Corp. .............................. 314,987
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CAPITAL GOODS -- 10.0% (CONTINUED)
13,365 Kennametal Inc. ......................................... $ 547,965
75,000 Kysor Industrial Corp. .................................. 3,206,250
5,603 Lawson Products Inc. .................................... 123,266
11,700 Lennar Corp. ............................................ 295,425
11,699 Lincoln Electric Co. .................................... 425,551
7,424 L.S. Starrett Co., Class A Shares........................ 221,792
24,242 MascoTech Inc. .......................................... 460,598
2,546 Matthews International Corp., Class A Shares............. 72,561
3,656 Metricom Inc. ........................................... 42,958
6,609 Mikasa Inc.+............................................. 66,090
60,000 Mississippi Chemical..................................... 1,470,000
9,840 Modine Manufacturing..................................... 270,600
6,981 Morrison Knudsen Corp. .................................. 69,810
3,505 National Presto Industries Inc. ......................... 131,876
44,495 Navistar International................................... 428,264
7,800 NVR Inc.+................................................ 99,450
10,178 Pacific Scientific Co. .................................. 138,675
2,500 Park Ohio Industries+.................................... 35,937
8,054 Pittway Corp., Class A Shares............................ 426,862
1,935 Plantronics Inc.+........................................ 84,656
143,257 Regal Beloit Corp. ...................................... 3,205,375
11,116 Rexel Inc.+.............................................. 200,088
2,870 Robbins & Myers Inc. .................................... 78,925
12,700 Rohr Inc.+............................................... 230,187
7,556 Skywest Inc. ............................................ 92,089
3,021 Specialty Equipment Cos., Inc.+.......................... 39,651
8,278 SPS Technologies Inc.+................................... 529,792
11,819 SPX Corp. ............................................... 542,197
25,206 Standard Pacific Corp. .................................. 195,346
20,186 Stewart & Stevenson Servicing............................ 527,359
5,425 Stone & Webster Inc. .................................... 195,300
45,000 Tecumseh Products Co. ................................... 2,576,250
13,075 Teleflex Inc. ........................................... 686,437
8,889 Toll Brothers Inc.+...................................... 172,224
2,808 Tremont Corp. ........................................... 95,121
14,507 Trinova.................................................. 538,572
8,500 US Home Corp.+........................................... 230,562
10,468 Valmont Industries Inc. ................................. 442,273
100,000 Varlen Corp. ............................................ 1,900,000
72,782 Wyle Electronics Co. .................................... 2,665,641
128,135 Zurn Industries Inc. .................................... 3,283,459
- --------------------------------------------------------------------------------
51,018,376
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 5.4%
11,900 BE Aerospace Inc.+....................................... 288,575
8,581 Buckeye Cellulose Corp. ................................. 258,503
12,081 BW/IP Holdings, Inc. .................................... 193,296
14,400 CML Group Inc. .......................................... 36,000
2,300 Cross AT Co., Class A Shares............................. 27,600
2,900 Detroit Diesel Corp. .................................... 50,388
9,460 Donaldson Inc. .......................................... 318,093
9,400 Ethan Allen Interiors Inc. .............................. 431,225
10,182 Exide Corp. ............................................. 199,822
23,500 Federal Mogul Corp. ..................................... 578,688
5,154 Forest City Enterprises.................................. 249,969
153,500 GenCorp Inc. ............................................ 2,897,313
7,407 Hunt Manufacturing Co. .................................. 132,400
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER DURABLES -- 5.4% (CONTINUED)
8,000 Interface Inc., Class A Shares........................... $ 185,000
8,000 Jostens Inc. ............................................ 172,000
3,038 K2 Inc. ................................................. 83,925
6,200 LaZBoy Chair Co. ........................................ 214,675
28,942 Longview Fiber Co. ...................................... 444,983
16,200 Mesa Airlines Inc. ...................................... 103,275
22,183 Myers Industries Inc. ................................... 363,247
8,253 Oneida Ltd. ............................................. 156,807
7,200 Oshkosh B Gosh Inc., Class A Shares...................... 111,600
117,458 Outboard Marine Corp. ................................... 1,703,141
13,900 Pulte Corp. ............................................. 474,338
80,000 Riser Foods Inc., Class A Shares......................... 2,500,000
8,878 Rival Co. ............................................... 189,767
9,364 Russ Berrie & Co., Inc. ................................. 202,497
18,970 Ryland Group Inc. ....................................... 239,496
7,800 Samsonite Corp. ......................................... 370,500
5,598 Sequa Corp., Class A Shares+............................. 219,721
15,789 Simpson Industries Inc. ................................. 153,943
9,858 Skyline Corp. ........................................... 237,824
103,966 Southdown Inc. .......................................... 3,716,784
6,500 Springs Industries Inc. ................................. 286,812
75,689 Standard Motor Products Inc. ............................ 1,050,185
12,818 Standard Products Co. ................................... 301,223
100,042 Stanhome Inc. ........................................... 2,538,566
13,914 Stant Corp. ............................................. 191,317
170,000 Sturm Ruger & Co. ....................................... 2,953,750
15,413 TBC Corp.+............................................... 136,790
10,556 Thomas Industries Inc. .................................. 261,261
4,594 Thor Industries Inc. .................................... 118,295
6,757 VMR Scientific Products.................................. 92,909
8,562 Walbro Corp. ............................................ 156,256
15,311 Watts Industries Inc. ................................... 396,172
200,000 Winnebago Industries Inc. ............................... 1,425,000
7,479 Wynns International Inc. ................................ 154,254
26,749 Zenith Electronics Corp.+................................ 257,459
- --------------------------------------------------------------------------------
27,825,644
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 6.4%
5,500 Acceptance Insurance Cos. Inc.+.......................... 116,188
6,749 Acclaim Entertainment Inc. .............................. 35,854
7,200 Angelica Corp. .......................................... 140,400
5,218 Best Buy Co., Inc. ...................................... 48,267
20,167 Bob Evans Farms.......................................... 274,775
5,900 Bombay Co. .............................................. 29,500
161,400 Brown Group Inc. ........................................ 2,622,750
6,434 Buffets Inc. ............................................ 46,244
11,900 Burlington Coat Factory Wholesale Corp.+................. 178,500
35,279 Burlington Industries Inc.+.............................. 454,217
3,470 Canandaigua Wine Co. .................................... 115,378
16,400 Carter Wallace Inc. ..................................... 235,750
20,900 Chiquita Brands International Inc. ...................... 282,150
6,200 Church & Dwight Inc. .................................... 165,075
4,400 Coca-Cola Bottling Co. .................................. 189,200
29,606 Coors Adolph Co., Class B Shares......................... 632,828
25,091 Dean Foods............................................... 818,594
9,100 Dekalb Genetics Corp. ................................... 593,775
110,000 Dimon Inc. .............................................. 2,585,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
43
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
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CONSUMER NON-DURABLES -- 6.4% (CONTINUED)
300 Earthgrains Co. ......................................... $ 16,425
11,798 Felcor Suite Hotels Inc. ................................ 399,657
12,813 Fieldcrest Cannon Inc.+.................................. 206,610
23,578 Fleming Cos., Inc. ...................................... 412,615
2,885 Florida East Coast Industries............................ 281,648
28,750 Flowers Industries Inc. ................................. 664,844
7,003 Foodbrands America Inc.+................................. 98,917
17,800 Fred Meyer Inc. ......................................... 705,325
35,000 Garan Inc. .............................................. 691,250
24,636 Griffon Corp.+........................................... 344,904
20,315 Handelman Co. ........................................... 177,756
17,100 Hartmarx Corp.+.......................................... 96,188
19,049 Helig Meyers............................................. 269,067
4,000 Houghton Mifflin Co. .................................... 220,500
3,939 HSN Inc. ................................................ 101,429
18,905 Hudson Foods Inc. ....................................... 330,838
6,275 Ingles Markets Inc., Class A Shares...................... 94,125
129,858 International Multifoods Corp. .......................... 2,743,250
698 J.C. Penney Corp. ....................................... 34,376
17,977 J.M. Smucker Co. ........................................ 298,868
809 JP Foodservice Inc. ..................................... 22,955
12,100 Kellwood Co. ............................................ 285,863
17,123 Kimball International Inc., Class B Shares............... 676,358
1,000 Lands' End Inc. ......................................... 27,750
117,100 Merrill Corp. ........................................... 2,810,400
10,485 Michaels Foods Inc. ..................................... 116,646
10,435 O'Sullivan Corp. ........................................ 92,611
5,900 Pepsi-Cola, Puerto Rico.................................. 25,075
21,424 Phillips Van Heusen Corp. ............................... 273,156
6,350 Pilgrims Pride Corp. .................................... 70,644
75,000 Pillowtex Corp. ......................................... 1,190,625
31,210 Premark International.................................... 737,336
12,946 Ralcorp Holdings Inc.+................................... 137,551
3,805 Rite-Aid Corp. .......................................... 160,286
2,282 Riviana Foods, Inc. ..................................... 41,076
1,162 Robert Mondavi Corp., Class A Shares..................... 47,642
18,792 Savannah Foods & Industries Inc. ........................ 274,833
333 Seaboard Corp. .......................................... 85,248
3,700 Sovran Self Storage Inc. ................................ 114,237
34,709 Stride Rite Corp. ....................................... 416,508
80,295 Toro Co. ................................................ 2,780,214
9,786 Toy Biz Inc. ............................................ 172,478
29,159 Tyco Toys Inc.+.......................................... 328,039
97,350 Universal Corp. ......................................... 3,066,525
14,166 Universal Foods Corp. ................................... 488,727
16,610 Windmere Corp. .......................................... 207,625
13,238 WLR Foods Inc. .......................................... 156,374
- --------------------------------------------------------------------------------
32,559,819
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 7.9%
3,368 Aaron Rents Inc., Class A Shares......................... 37,048
12,702 ABM Industries Inc. ..................................... 238,163
1,600 Ackerley Communications Inc. ............................ 19,800
2,700 Adelphia Communications Corp., Class A Shares+........... 16,200
1,400 Advo Inc. ............................................... 18,025
900 Alexanders Inc.+......................................... 65,250
19,600 Allwaste Inc.+........................................... 120,050
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 7.9% (CONTINUED)
5,300 Ann Taylor Stores Corp.+................................. $ 106,000
6,750 Arbor Drugs Inc. ........................................ 129,938
130,000 ASA Holdings Inc. ....................................... 2,941,250
200 Ascent Entertainment..................................... 2,650
10,600 Aviall Inc. ............................................. 117,925
25,400 Aztar Corp.+............................................. 187,325
21,200 Banta Corp. ............................................. 535,300
200 Berlitz International Inc.+.............................. 4,050
16,359 BJ Services Co.+......................................... 650,270
4,800 Blair Corp. ............................................. 87,000
81,486 Borg Warner Automotive Inc. ............................. 3,218,697
126,600 Bowne & Co., Inc. ....................................... 3,418,200
12,983 C Tec Corp.+............................................. 370,016
6,200 Carmike Cinemas Inc., Class A Shares+.................... 158,875
11,800 Carson Pirie Scott & Co.+................................ 321,550
8,602 Casino America........................................... 26,344
4,300 Casino Magic Corp.+...................................... 10,884
8,800 Cato Corp., Class A Shares............................... 42,900
4,000 Century Communications Corp., Class A Shares+............ 20,250
1,300 Chancellor Broadcasting.................................. 35,425
75,321 Charming Shoppes Inc.+................................... 334,237
13,900 CMAC Investment Corp. ................................... 486,500
7,300 CPI Corp. ............................................... 134,138
900 Dart Group Corp., Class A Shares......................... 81,225
300 Data Processing Resource................................. 5,888
150,541 Del E. Webb Corp. ....................................... 2,427,474
2,400 Delchamps Inc. .......................................... 48,000
11,800 Dress Barn Inc.+......................................... 202,075
6,629 E Town Corp. ............................................ 197,213
10,400 Eagle Hardware & Garden Inc.+............................ 202,800
13,542 Egghead Inc.+............................................ 69,403
6,900 Equity Inns Inc. ........................................ 93,150
9,747 Exabyte Corp. ........................................... 106,608
11,400 Fabric Centers of America Inc., Class A Shares........... 186,675
25,900 Family Dollar Stores Inc. ............................... 611,888
29,500 Fingerhut Cos., Inc. .................................... 431,438
9,879 Franklin Quest Co. ...................................... 206,224
5,005 GC Cos., Inc.+........................................... 188,939
10,000 Gibson Greetings Inc.+................................... 206,250
16,695 Golden Books Family Entertainment........................ 156,516
400 Grey Advertising Inc. ................................... 111,200
703 Halliburton Co. ......................................... 45,431
15,116 Hancock Fabric Inc. ..................................... 190,840
12,390 Hartford Steam Broiler Inc. ............................. 566,842
5,009 Harveys Casino Resorts................................... 77,639
3,200 Hearx Ltd. .............................................. 7,600
21,400 Hechinger Co., Class A Shares............................ 34,106
12,489 Hollywood Park Inc.+..................................... 174,846
12,600 Hospitality Properties Trust............................. 407,925
10,600 Huffy Corp. ............................................. 139,125
15,774 John H. Harland Co. ..................................... 477,163
9,798 Jones Intercable Inc. ................................... 95,530
6,559 Jumbosports Inc.+........................................ 39,354
12,531 Libbey Inc. ............................................. 375,930
16,800 Longs Drug Stores Corp. ................................. 426,300
129,000 Luby's Cafeterias Inc. .................................. 2,628,375
15,700 MacFrugal's Bargains Close Out Inc.+..................... 425,862
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 7.9% (CONTINUED)
23,393 Marcus Corp. ............................................ $ 508,798
20,000 Marsh Supermarkets Inc. ................................. 270,000
9,051 Michaels Stores Inc.+.................................... 133,502
5,800 MicroAge Inc.+........................................... 75,400
12,324 Mobile Telecommunications................................ 95,511
26,329 MobileMedia Corp. ....................................... 33,734
6,934 Morningstar Group........................................ 159,482
92,668 Nash Finch Co. .......................................... 1,818,609
8,074 New England Business Service Inc. ....................... 181,665
31,500 Payless Cashways Inc.+................................... 63,000
7,411 People's Choice TV Corp. ................................ 28,718
25,493 Pier 1 Imports Inc. ..................................... 442,941
5,707 Pinkertons Inc.+......................................... 150,522
22,806 Players International Inc. .............................. 122,582
14,702 Pool Energy Services Co.+................................ 203,990
16,074 Prime Hospitality Corp.+................................. 265,221
14,771 Proffits Inc.+........................................... 478,211
59,296 Rollins Environmental Services Inc.+..................... 163,064
18,681 Ross Stores Inc. ........................................ 896,688
7,001 Ruby Tuesday Inc. ....................................... 120,767
23,663 Ruddick Corp. ........................................... 378,608
52,755 Ryans Family Steak Houses Inc.+.......................... 389,068
22,287 Rykoff-Sexton............................................ 390,022
34,997 Safety-Kleen Corp. ...................................... 629,946
16,490 Scotts Co., Class A Shares+.............................. 350,412
78,392 Service Merchandise Inc.+................................ 284,171
32,393 Shoney's Inc.+........................................... 267,242
157,259 Shopko Stores Inc. ...................................... 2,457,172
11,555 Showbiz Pizza Time Inc. ................................. 242,655
8,648 Showboat Inc. ........................................... 177,284
9,032 The Sports Authority Inc. ............................... 172,737
17,288 Storage USA Inc. ........................................ 633,173
7,196 Strawbridge & Clothier Co., Class A Shares............... 111,538
14,979 True North Communications Inc. .......................... 299,580
19,905 Tuboscope Vetco International Corp.+..................... 258,765
8,843 Unifirst Corp. .......................................... 177,965
13,800 Valassis Communications Inc.+............................ 267,375
10,694 Value City Department Stores Inc.+....................... 86,889
16,297 Valuevision International Inc., Class A Shares........... 72,318
23,400 Waban Inc.+.............................................. 669,825
8,665 World Color Press Inc. .................................. 183,048
21,406 Zale Corp.+.............................................. 396,011
- --------------------------------------------------------------------------------
40,608,303
- --------------------------------------------------------------------------------
ENERGY -- 6.7%
8,000 ACX Technologies Inc. ................................... 153,000
126,100 Aquila Gas Pipeline Corp. ............................... 1,655,063
17,536 Arcadian Corp. .......................................... 458,128
6,104 Ashland Coal Inc. ....................................... 156,415
24,504 Atlantic Energy Inc. .................................... 419,631
6,100 Berry Petroleum Co. ..................................... 89,975
16,053 Cabot Oil & Gas Corp., Class A Shares.................... 254,841
4,725 Caere Corp. ............................................. 49,613
1,000 Cairn Energy USA Inc. ................................... 9,750
16,900 Camco International Inc. ................................ 652,763
5,400 Capsure Holdings Corp. .................................. 59,400
4,200 Cascade Corp. ........................................... 68,775
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
ENERGY -- 6.7% (CONTINUED)
90,000 Charter Power Systems.................................... $ 2,958,750
2,800 Crown Central Petroleum Corp., Class A Shares............ 36,750
9,400 Destec Energy Inc.+...................................... 195,050
1,282 DII Group, Inc.+......................................... 34,935
7,885 Dravo Corp.+............................................. 98,563
96,100 Eastern Enterprises...................................... 3,231,362
6,136 Getty Petroleum Corp. ................................... 119,652
18,500 Helmerich & Payne Inc. .................................. 781,625
1,455 Hondo Oil & Gas Co.+..................................... 17,460
21,636 Kelley Oil & Gas Corp. .................................. 54,090
15,333 Keystone International................................... 289,410
6,439 Louis Dreyfus Natural Gas Corp.+......................... 103,829
16,997 Magnetek Inc.+........................................... 282,575
39,398 Mesa Inc.+............................................... 241,313
140,640 Mitchell Energy & Development............................ 3,013,440
135,000 The Montana Power Co. ................................... 2,953,125
160,000 Monterey Resources....................................... 2,520,000
5,845 North Carolina Natural Gas Corp. ........................ 187,771
5,713 Nuevo Energy Co.+........................................ 237,089
4,000 NUI Corp. ............................................... 84,000
3,629 Oceaneering International Inc.+.......................... 57,610
132,288 Offshore Logistics Inc.+................................. 2,414,256
26,366 Ogden Corp. ............................................. 537,207
27,662 Parker & Parsley Petroleum Co. .......................... 816,029
41,617 Parker Drilling Co. ..................................... 348,542
45,000 Penn Virginia Corp. ..................................... 2,002,500
12,206 Petroleum Heat & Power Inc., Class A Shares.............. 67,133
33,837 Quaker State Corp. ...................................... 494,866
25,879 Seagull Energy Corp.+.................................... 475,527
8,591 Seitel Inc. ............................................. 292,094
20,500 Sierra Pacific Resources................................. 599,625
26,491 Snyder Oil Corp. ........................................ 423,856
11,016 Southeastern Michigan Gas Enterprises Inc. .............. 227,205
4,983 Tejas Gas Corp. ......................................... 218,006
22,825 Tesoro Petroleum Corp. .................................. 268,194
3,500 Tom Brown Inc. .......................................... 64,750
3,192 Ultramarine Diamond Shamrock............................. 97,356
9,972 Westcorp, Inc. .......................................... 184,482
14,083 Western Gas Resource Inc. ............................... 262,296
124,750 Zeigler Coal Holdings Co. ............................... 3,165,531
- --------------------------------------------------------------------------------
34,485,208
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 16.3%
600 Acordia Inc. ............................................ 19,200
9,500 Albank Financial Corp. .................................. 333,688
83,650 Alex Brown Inc. ......................................... 4,862,156
7,600 Alfa Corp. .............................................. 95,475
9,600 Allied Group Inc. ....................................... 321,600
2,900 Amcore Financial Inc. ................................... 72,500
7,129 Amerco+.................................................. 194,265
15,800 American Bankers Insurance Group Inc. ................... 870,975
600 American Financial Enterprises........................... 16,500
3,000 American Heritage Life Investment Corp. ................. 78,000
7,163 AMRESCO Inc. ............................................ 146,842
175,400 Amvestors Financial Corp.+............................... 3,091,425
1,050 Arbatax International Inc. .............................. 7,350
6,269 Arthur J. Gallagher & Co. ............................... 192,772
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 16.3% (CONTINUED)
15,500 Astoria Financial Corp. ................................. $ 666,500
3,800 Avatar Holdings Inc.+.................................... 127,775
10,000 Baldwin & Lyons Inc., Class B Shares..................... 173,750
4,100 Bay View Capital Corp. .................................. 229,600
20,000 BHC Financial Inc. ...................................... 400,000
1,485 BOK Financial Corp. ..................................... 44,550
7,600 Capital Re Corp. ........................................ 328,700
1,200 Capital Southwest Corp. ................................. 83,100
2,100 Capitol American Financial Corp. ........................ 76,388
191,450 Capstead Mortgage Corp. ................................. 4,642,663
13,000 Cash America International Inc. ......................... 123,500
8,300 CCB Financial Corp. ..................................... 569,588
1,785 Chemical Financial Corp. ................................ 65,153
3,500 Chittenden Corp. ........................................ 96,250
27,300 City National Corp. ..................................... 662,025
13,000 Coast Savings Financial Inc.+............................ 607,750
23,381 Commerce Group Inc. ..................................... 616,674
3,362 Conseco Inc. ............................................ 131,959
3,200 CPB Inc. ................................................ 102,400
12,692 Crestar Financial........................................ 466,431
5,320 Delphi Financial Group Inc., Class A Shares.............. 180,880
43,146 Deposit Guaranty Corp. .................................. 1,326,740
5,040 Downey Financial Corp. .................................. 119,070
66,200 Eaton Vance Corp. ....................................... 2,929,350
6,400 Enhance Financial Services Group Inc. ................... 220,800
3,900 Executive Risk Inc. ..................................... 187,688
6,000 F&M National Corp. ...................................... 123,000
6,050 Fidelity National Financial Corp. ....................... 80,163
24,396 Financial Security Assurance Holdings Ltd. .............. 869,108
2,640 Financial Trust Corp. ................................... 114,180
13,895 First American Financial Corp. .......................... 569,695
11,235 First Commercial Corp. .................................. 443,782
6,761 First Commonwealth Financial Corp. ...................... 125,078
1,211 First Financial Corp., Indiana........................... 44,807
162,652 First Financial Corp., Wisconsin......................... 4,350,941
15,737 First Indiana Corp. ..................................... 444,570
393 First Source Corp. ...................................... 9,432
1,555 First Union Corp. ....................................... 136,451
22,900 Firstmerit Corp. ........................................ 921,725
14,211 FNB Corp. ............................................... 355,275
5,872 Foremost Corp. .......................................... 349,384
8,000 Fort Wayne National Corp., Indiana....................... 344,000
27,530 Franchise Financial Corp. ............................... 712,339
116,947 Fremont General Corp. ................................... 3,376,845
3,080 Frontier Insurance Group Inc. ........................... 133,210
22,310 Fulton Financial Corp. .................................. 557,750
3,270 Fund American Enterprises Holdings Inc. ................. 348,255
30,300 Glendale Federal Bank+................................... 806,737
9,600 Great Financial Corp. ................................... 313,200
14,263 Hancock Holding Co. ..................................... 600,829
3,900 Harleysville Group Inc. ................................. 117,000
6,282 Harleysville National Corp. Pennsylvania................. 160,191
300 Heritage Financial Services Inc. ........................ 7,425
18,431 Home Beneficial Corp., Class B Shares.................... 700,378
18,051 Horace Mann Educators Corp. ............................. 773,937
3,193 HUBCO Inc. .............................................. 83,816
6,800 Integon Corp. ........................................... 87,550
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 16.3% (CONTINUED)
11,158 Interral Financial Group Inc. ........................... $ 456,083
252 Investors Financial Services, Class A Shares+............ 8,001
2,400 Irwin Financial Corp. ................................... 72,000
12,700 JDN Realty Corp. ........................................ 365,125
9,058 Jefferies Group Inc. .................................... 399,684
8,700 Jefferson Bankshares Inc. ............................... 254,475
16,600 John Alden Financial Corp. .............................. 315,400
6,400 JSB Financial Inc. ...................................... 254,800
4,574 Kansas City Life Insurance Co. .......................... 311,032
26,000 Keystone Financial Inc. ................................. 708,500
13,591 Legg Mason Inc. ......................................... 604,800
10,700 Liberty Corp. ........................................... 440,037
8,375 Liberty Financial Cos. .................................. 358,031
11,500 Life USA Holding Inc. ................................... 120,211
7,757 Life Re Corp. ........................................... 333,551
13,400 Lone Star Technologies+.................................. 211,050
12,400 Magna Group Inc. ........................................ 395,250
8,095 MAIC Holdings, Inc. ..................................... 280,289
1,600 McDonald & Co. Investments Inc. ......................... 61,800
55,138 McGrath Rent Corp. ...................................... 1,481,834
10,801 Mercer International Inc. ............................... 102,609
10,087 Mid Am Inc. ............................................. 170,218
4,700 MMI Cos. Inc. ........................................... 106,925
49,700 Morgan Keegan Inc. ...................................... 925,662
10,108 National Auto Center Inc. ............................... 101,080
12,500 North American Mortgage.................................. 254,687
600 NYMAGIC Inc. ............................................ 12,150
9,800 Oasis Residential Inc. .................................. 226,625
3,900 Omega Financial Corp. ................................... 157,950
68,849 Orion Capital Corp. ..................................... 4,406,336
4,983 PEC Israel Economic Corp. ............................... 100,283
9,509 Penncorp Financial Group Inc. ........................... 332,815
3,882 Peoples First Corp. ..................................... 102,869
17,400 Peoples Heritage Financial Group Inc. ................... 545,925
21,300 PHH Corp. ............................................... 1,019,737
22,457 Phoenix Duff & Phelps Co. ............................... 179,656
9,628 Piper Jaffray Inc. ...................................... 163,676
19,470 Presidential Life Corp. ................................. 292,050
18,695 Price Enterprises Inc. .................................. 331,836
16,285 Primark Corp.+........................................... 405,089
15,143 PXRE Corp. .............................................. 391,825
75,000 Quick & Reilly Group..................................... 2,625,000
110,795 Raymond James Financial Inc. ............................ 3,697,783
7,289 Reinsurance Group of America............................. 357,161
34,600 Reliance Group Holdings Inc. ............................ 376,275
8,436 Resource Bankshares Manufacturing Group Inc. ............ 126,540
3,626 Rightchoice Managed Care Inc., Class A Shares+........... 52,124
3,310 RLI Corp. ............................................... 114,195
25,189 Roosevelt Financial Group Inc. .......................... 579,347
107,920 Scotsman Industries Inc. ................................ 3,008,270
4,213 Seafield Capital Corp. .................................. 171,680
8,878 Security Capital Corp., Connecticut...................... 412,827
10,192 Security Capital Corp., Wisconsin........................ 884,156
12,779 Selective Insurance Group Inc. .......................... 536,718
10,513 Shurgard Storage Centers Inc., Class A Shares............ 294,364
17,538 Standard Financial Inc. ................................. 359,529
983 Student Loan Corp. ...................................... 39,689
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 16.3% (CONTINUED)
9,700 Thornberg Mortgage Asset................................. $ 208,550
9,130 TR Financial Corp. ...................................... 322,403
9,957 Trans Financial Inc. .................................... 256,393
5,343 Trenwick Group Inc. ..................................... 263,143
5,725 Trust Co. of New Jersey.................................. 80,150
20,232 Trustmark Corp. ......................................... 538,677
11,454 UMB Financial Corp. ..................................... 486,795
2,987 Union Planters Corp. .................................... 133,668
2,400 United Cos. Financial.................................... 62,400
2,632 United Wisconsin Services Inc. .......................... 70,077
150,000 US Facilities............................................ 2,868,750
15,304 UST Corp. ............................................... 316,601
11,991 Vallicorp Holdings Inc. ................................. 268,299
9,571 Vesta Insurance Group Inc. .............................. 374,465
31,460 Washington Federal....................................... 802,230
10,767 Washington National Corp. ............................... 306,859
3,956 White River Corp.+....................................... 261,096
9,053 Whitney Holding Co. ..................................... 346,277
6,700 W.R. Berkley............................................. 344,213
11,311 Zenith National Insurance Corp. ......................... 299,741
- --------------------------------------------------------------------------------
83,551,486
- --------------------------------------------------------------------------------
HEALTHCARE -- 3.8%
14,500 Acuson+.................................................. 402,375
8,110 Advanced Technology Labs Inc.+........................... 287,905
7,317 Alpharma, Inc. .......................................... 97,865
8,183 Amerisource Health Corp., Class A Shares................. 412,219
2,900 AMLI Residential Property Trust.......................... 68,875
18,600 Avalon Properties Inc. .................................. 518,475
1,100 Bacou USA Inc. .......................................... 16,844
90,000 Bergen Brunswig Corp., Class A Shares.................... 2,891,250
139,300 Bindley Western Industries Inc. ......................... 2,664,113
5,661 Bio Rad Labs Inc., Class A Shares........................ 149,309
11,560 Block Drug Inc., Class A Shares.......................... 537,540
6,956 CellPro Inc.+............................................ 79,994
2,300 Chemed Corp. ............................................ 84,813
3,900 Coastal Physician Group Inc.+............................ 8,775
7,956 Cor Therapeutics......................................... 97,958
6,000 Datascope Corp. ......................................... 126,000
11,600 FoxMeyer Health Corp.+................................... 14,500
4,900 Gensia Pharmaceuticals................................... 23,581
10,391 GranCare Inc.+........................................... 83,128
29,218 Horizon/CMS Healthcare Corp.+............................ 478,445
20,600 IES Industries Inc. ..................................... 625,725
10,000 Immulogic Pharmaceutical Corp.+.......................... 55,000
121,175 Integrated Health Services Inc. ......................... 3,604,956
52,793 Laboratory Corp. of America.............................. 197,974
2,363 Living Centers America Inc.+............................. 75,321
1,100 Magellan Health Services................................. 27,088
18,625 Mariner Health Group Inc. ............................... 181,594
12,712 Marquette Medical System................................. 241,528
21,600 Merry Land & Investment.................................. 467,100
8,700 National Health Investor................................. 344,737
11,600 NBTY Inc. ............................................... 208,800
38,453 NovaCare Inc.+........................................... 480,662
5,421 NPC International Inc. .................................. 56,920
10,100 Omega Healthcare Inc. ................................... 316,887
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
HEALTHCARE -- 3.8% (CONTINUED)
7,600 Paragon Trade Brands Inc.+............................... $ 138,700
1,186 PDT Inc. ................................................ 34,690
28,245 Perrigo Co. ............................................. 342,471
16,533 Physician Corp. of America............................... 72,332
24,611 Playtex Products Inc.+................................... 246,110
4,157 Roberts Pharmaceuticals Corp.+........................... 54,561
36,321 Scios-Nova Inc.+......................................... 261,057
7,886 Smiths Food & Drug Centers Inc., Class B Shares.......... 259,252
11,522 Spacelabs Med Inc.+...................................... 250,603
20,770 Sun Healthcare Group Inc.+............................... 285,587
9,254 Sunrise Medical Inc. .................................... 124,929
31,900 Transitional Hospitals Corp. ............................ 287,100
16,373 Universal Health Services Inc., Class B Shares+.......... 558,729
4,967 Vitalink Pharmaceuticals................................. 104,926
11,341 West Inc. ............................................... 316,130
- --------------------------------------------------------------------------------
19,265,433
- --------------------------------------------------------------------------------
REAL ESTATE -- 6.5%
8,700 Allied Capital Commercial................................ 212,063
123,000 American Health Properties, Inc. ........................ 3,151,875
7,900 Apartment Investment & Management........................ 229,100
400 Associated Estates Realty................................ 9,400
7,700 Bay Apartment Community Inc. ............................ 276,238
22,500 Beacon Properties Corp. ................................. 801,563
16,400 Berkshire Realty Co. .................................... 190,650
8,300 Bradley Real Estate Inc. ................................ 161,850
20,200 BRE Properties, Class A Shares........................... 494,900
2,500 Bristol Hotel Co. ....................................... 100,625
11,200 Burnham Pacific Property Inc. ........................... 163,800
8,800 Cali Realty Corp. ....................................... 281,600
9,300 Camden Property Trust.................................... 254,588
5,817 Castle & Cooke Inc. ..................................... 93,072
11,500 CBL & Associates Property................................ 286,063
2,400 Centerpoint Properties................................... 75,900
10,639 Chateau Properties....................................... 273,954
7,200 Chelsea GCA Realty....................................... 245,700
11,200 Colonial Properties Trust................................ 326,200
7,400 Columbus Realty Trust.................................... 154,475
7,200 Commercial Net Lease Realty Inc. ........................ 112,500
14,400 Cousins Properties Inc. ................................. 351,000
13,000 Cresent Real Estate Equities............................. 711,750
19,600 Criimi Mae Inc. Maryland................................. 316,050
15,600 Crown American Realty.................................... 122,850
27,800 CWM Mortgage Holding Inc. ............................... 642,875
6,100 Developers Divers Realty................................. 223,413
10,900 Devon Energy............................................. 340,625
17,700 Duke Realty Investment................................... 710,213
11,500 Evans Withycombe Residential............................. 235,750
118,400 Excel Realty Trust Inc. ................................. 2,900,800
18,500 Federal Realty Investors................................. 497,188
15,100 First Industrial Realty.................................. 451,113
9,700 Gables Residential Trust................................. 250,988
133,900 Glimcher Realty Trust.................................... 2,795,163
2,800 Health Care Invest Inc. ................................. 95,550
7,600 Health Care Real Estate Investment Trust Inc. ........... 210,900
8,900 Healthcare Realty Trust.................................. 221,387
19,300 Highwoods Properties Inc. ............................... 665,850
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
REAL ESTATE -- 6.5% (CONTINUED)
6,800 Horizon Group Inc. ...................................... $ 89,250
16,600 IRT Property............................................. 186,750
8,000 Irvine Apartment Co. .................................... 216,000
7,800 JP Realty Inc. .......................................... 200,850
6,100 Kimco Realty Corp. ...................................... 205,112
9,900 Koger Equity Inc. ....................................... 176,962
17,800 Liberty Property Trust................................... 422,750
11,700 LTC Properties Inc. ..................................... 206,212
15,500 Manufactured Home Communities............................ 352,625
4,800 Meridian Industrial Trust................................ 106,200
7,300 MGI Properties Inc. ..................................... 158,775
6,600 Mid-America Apartment Communities Inc. .................. 191,400
12,800 National Golf Properties, Inc. .......................... 419,200
20,100 Nationwide Health Properties............................. 442,200
9,400 Paragon Group Inc. ...................................... 162,150
7,500 Patriot American Hospitality............................. 339,375
5,200 The Price Real Estate Investment Trust Inc. ............. 191,100
34,000 Public Storage Inc. ..................................... 913,750
14,600 Realty Income Corp. ..................................... 365,000
4,400 Reckson Associates Realty................................ 201,300
4,000 Redwood Trust Inc. ...................................... 191,000
5,800 Regency Realty Corp. .................................... 158,775
13,000 Resource Mortgage Capital................................ 393,250
15,800 RFS Hotel Investors Inc. ................................ 268,600
5,400 Saul Centers Inc. ....................................... 91,800
9,700 Storage Trust Realty..................................... 260,687
8,800 Summit Properties Inc. .................................. 178,200
8,300 Sun Communities Inc. .................................... 266,637
19,700 Taubman Centers Inc. .................................... 258,562
9,600 Town & Country Trust..................................... 139,200
7,800 Trinet Corp. Realty...................................... 266,175
208,682 United Dominion Realty................................... 3,130,230
5,300 Universal Health Realty Inc. ............................ 110,637
4,500 Urban Shopping Centers Inc. ............................. 141,188
13,638 Walden Residential Properties, Inc. ..................... 351,178
17,752 Walter Industries........................................ 269,608
5,800 Washington Real Estate Investment Trust.................. 103,675
6,000 Weeks Corp. ............................................. 201,000
9,300 Weingarten Realty Investors.............................. 398,737
19,700 Wellsford Residential.................................... 576,225
11,100 Western Investment Real Estate........................... 142,912
- --------------------------------------------------------------------------------
33,084,818
- --------------------------------------------------------------------------------
TECHNOLOGY -- 4.7%
147,862 Aliant Communications, Inc. ............................. 2,476,689
24,291 American Business Products Inc. ......................... 567,802
4,300 Analogic Corp. .......................................... 152,113
4,354 Antec Corp. ............................................. 37,009
2,200 Arch Communications...................................... 16,088
3,074 Associated Group Inc. ................................... 125,266
10,427 BancTec Inc.+............................................ 265,889
17,300 Borland International Inc.+.............................. 140,562
9,847 Burr-Brown Corp. ........................................ 322,489
10,730 California Microwave..................................... 154,244
1,000 Cellstar Corp. .......................................... 25,875
4,200 Centennial Cellular...................................... 47,775
43,912 Coltec Industries........................................ 801,394
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 4.7% (CONTINUED)
100,000 Computer Data System..................................... $ 2,975,000
119,800 Dallas Semiconductor..................................... 3,114,800
25,200 Data General Corp.+...................................... 488,250
100,000 Ennis Business Forms Inc. ............................... 1,112,500
3,200 Evans & Sutherland Computer+............................. 76,000
14,014 Ferro Corp. ............................................. 441,441
4,501 Fluke Corp. ............................................. 203,108
18,640 FSI International........................................ 277,270
23,013 FTP Software Inc. ....................................... 169,721
3,869 General Magic Inc. ...................................... 4,594
5,233 GenRad, Inc.+............................................ 104,006
6,901 Genus Inc. .............................................. 35,368
15,060 Gerber Scientific Inc. .................................. 240,960
16,000 Global Industrial Technology+............................ 284,000
1,400 Hadco Corp. ............................................. 56,700
600 HMT Technology Corp. .................................... 11,475
1,899 Hutchinson Technology Inc. .............................. 61,005
3,400 InaCom Corp.+............................................ 88,400
14,823 Information Resources, Inc.+............................. 220,492
18,150 Integrated Device Technologies........................... 199,650
6,766 Integrated Silicon Solutions............................. 61,740
32,400 Intergraph Corp. ........................................ 267,300
6,365 Logicon Inc. ............................................ 240,279
5,144 Marshall Industries+..................................... 170,395
4,971 McWhorter Technologies Inc.+............................. 106,876
12,227 Minerals Technologies Inc. .............................. 463,098
159,267 MTS Systems Corp. ....................................... 3,464,057
16,113 Orbital Sciences Corp.+.................................. 277,949
4,827 Park Electrochemical Corp. .............................. 117,658
8,600 Post Properties Inc. .................................... 325,725
700 Progress Software Corp. ................................. 9,494
1,900 Ramtron International.................................... 12,587
5,400 Sandisk Corp. ........................................... 71,550
17,195 Sequent Computer Systems Inc.+........................... 295,539
8,967 Silicon Valley Group Inc. ............................... 191,670
9,253 Southern Union Co. ...................................... 208,192
10,736 Standard Microsystems Corp.+............................. 91,256
12,410 Standard Register Co. ................................... 404,876
19,636 Stratus Computer Inc.+................................... 665,170
5,832 Syratech Corp. .......................................... 181,521
5,861 Tech System Corp.+....................................... 172,900
9,372 Telxon Corp. ............................................ 152,295
7,372 Thomas & Betts........................................... 328,975
5,000 Tracor Inc. ............................................. 119,375
700 Trident Microsystem...................................... 15,662
6,547 VLSI Technology.......................................... 122,347
3,963 Wall Data Inc.+.......................................... 61,426
7,400 Watkins Johnson Co. ..................................... 186,850
900 Wireless One Inc. ....................................... 2,362
10,664 Zero Corp. .............................................. 234,608
- --------------------------------------------------------------------------------
24,321,667
- --------------------------------------------------------------------------------
TRANSPORTATION -- 2.6%
12,800 Airborne Freight Corp. .................................. 350,400
34,886 Alaska Air Group Inc.+................................... 828,543
27,121 America West Airlines Inc., Class B Shares+.............. 376,304
119,077 APL Ltd. ................................................ 2,738,771
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TRANSPORTATION -- 2.6% (CONTINUED)
2,400 Arnold Industries Inc. .................................. $ 33,300
34,400 Greyhound Lines Inc.+.................................... 152,650
5,300 Harper Group Inc. ....................................... 115,938
17,062 J.B. Hunt Transportation Services Inc. .................. 236,735
18,800 Kirby Exploration Inc.+.................................. 347,800
7,708 M.S. Carriers Inc.+...................................... 132,963
19,900 Omi Corp. ............................................... 179,100
56,000 Oshkosh Truck Corp. ..................................... 707,000
19,004 Overseas Shipholding Group Inc. ......................... 330,194
8,077 Pittston Burlington...................................... 154,473
135,000 Roadway Express Inc. .................................... 2,632,500
32,848 Rollins Truck Leasing Corp. ............................. 459,872
130,000 Sea Containers Ltd. ..................................... 2,258,750
19,036 US Freightways Corp. .................................... 459,243
17,928 Werner Enterprises Inc. ................................. 313,740
8,300 Westinghouse Air Brakes.................................. 104,787
7,697 XTRA Corp. .............................................. 311,728
22,065 Yellow Corp. ............................................ 344,766
- --------------------------------------------------------------------------------
13,569,557
- --------------------------------------------------------------------------------
UTILITIES -- 7.0%
37,588 AGL Resources Inc. ...................................... 732,966
3,200 Aquarion Co. ............................................ 87,200
10,600 Atmos Energy Corp. ...................................... 259,700
3,900 Bay State Gas Co. ....................................... 103,837
4,400 Black Hills Corp. ....................................... 122,100
2,000 California Water Service Co. ............................ 84,000
71,700 Central Hudson Gas & Electric Corp. ..................... 2,366,100
17,300 Central Louisiana Electric Inc. ......................... 460,613
22,700 Central Maine Power Co. ................................. 252,538
8,500 CILCORP Inc. ............................................ 319,813
36,929 Citizens Utilities Co., Series B Shares.................. 438,527
11,984 Colonial Gas Co. ........................................ 251,664
98,435 Commonwealth Energy Systems Cos. ........................ 2,202,483
1,400 Connecticut Energy Corp. ................................ 32,725
5,400 Connecticut Natural Gas Corp. ........................... 123,525
112,078 Eastern Utilities Association............................ 2,059,433
18,370 El Paso Electric Co.+.................................... 128,590
5,200 Empire District Electric Co. ............................ 96,200
108,652 Energen Corp. ........................................... 3,259,560
9,900 Indiana Energy Inc. ..................................... 257,400
12,558 Insituform Technology, Class A Shares.................... 75,348
3,015 Interim Services Inc. ................................... 113,816
7,500 Interstate Power Co. .................................... 218,438
17,375 KN Energy Inc. .......................................... 686,313
6,100 Laclede Gas Co. ......................................... 141,063
6,900 Madison Gas & Electric Co. .............................. 148,350
19,900 MDU Resources Group Inc. ................................ 422,875
400 Metrocall Inc. .......................................... 2,300
14,192 Minnesota Power & Light.................................. 397,376
32,619 Nevada Power............................................. 664,612
7,000 New Jersey Resource Corp. ............................... 201,250
10,800 Northwest Natural Gas Co. ............................... 261,900
8,971 Northwestern Public Service Co. ......................... 336,412
20,186 ONEOK Inc. .............................................. 575,301
8,900 Orange & Rockland Utilities Inc. ........................ 319,287
10,163 Otter Tail Power Co. .................................... 327,757
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
UTILITIES -- 7.0% (CONTINUED)
4,343 Pennsylvania Enterprises Inc. ....................... $ 201,407
18,360 Pentair Inc. ........................................ 576,045
8,166 Philadelphia Suburban Corp. ......................... 164,341
17,164 Piedmont Natural Gas Inc. ........................... 405,500
32,140 Public Service Co. of New Mexico..................... 590,572
8,510 Public Service Co. of North Carolina Inc............. 155,307
21,131 Puget Sound Energy................................... 536,199
113,000 Rochester Gas & Electric Co. ........................ 2,245,875
10,491 Sigcorp, Inc. ....................................... 367,185
6,942 South Jersey Industries Inc. ........................ 152,724
66,794 Southern California Water Co. ....................... 1,502,865
24,607 Southwest Gas Corp. ................................. 455,230
20,892 Southwestern Energy Co. ............................. 282,042
11,361 TNP Enterprises Inc. ................................ 296,806
29,337 UGI Corp. ........................................... 729,758
11,207 United Cities Gas Co. ............................... 263,364
70,742 United Illuminating Co. ............................. 2,060,361
20,729 United Water Resources............................... 370,531
27,065 Washington Gas Light Co. ............................ 598,813
15,251 WICOR Inc. .......................................... 535,691
165,000 World Fuel Services Corp. ........................... 3,114,375
14,014 WPL Holdings Inc. ................................... 388,888
19,919 WPS Resource Corp. .................................. 535,323
24,300 Yankee Energy Systems Inc. .......................... 561,937
- -------------------------------------------------------------------------------
35,622,511
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $410,285,594)........... 506,368,787
- -------------------------------------------------------------------------------
RIGHTS & WARRANTS -- 0%
3,160 California Federal Bank Participation Certificates,
Rights.............................................. 59,250
1,717 Morrison Knudsen Warrants strike price $12, Expire
3/11/03............................................. 8,156
- -------------------------------------------------------------------------------
TOTAL RIGHTS & WARRANTS (Cost -- $125,085)........... 67,406
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 1.2%
$6,042,000 Chase Manhattan Bank, 5.317% due 3/3/97; Proceeds at
maturity -- $6,044,677;
(Fully collateralized by U.S. Treasury Note, 5.375%
due 11/30/97;
Market value -- $6,162,850) (Cost -- $6,042,000)..... 6,042,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $416,452,679**)... $512,478,193
- -------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Banking 8.2%
Basic Industries 13.3%
Capital Goods 10.0%
Consumer Durables and Non-Durables 11.8%
Consumer Services 7.9%
Energy 6.7%
Financial Services 16.3%
Other Common Stocks, Rights & Warrants 11.1%
Real Estate 6.5%
Repurchase Agreement 1.2%
Utilities 7.0%
SEE NOTES TO FINANCIAL STATEMENTS.
55
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 97.5%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 7.7%
10,600 ABC Rail Products Corp.+................................. $ 227,900
10,000 Allied Products Corp. ................................... 292,500
3,200 Alltrista Corp.+......................................... 68,000
9,900 A.M. Castle & Co. ....................................... 206,663
8,875 American Homestar Corp. ................................. 148,656
6,200 Atwood Oceanics Inc.+.................................... 325,500
22,700 Authentic Fitness Corp. ................................. 329,150
18,900 Berry Petroleum Co., Class A Shares...................... 278,775
39,000 Boyd Gaming Corp.+....................................... 224,250
7,650 Butler Manufacturing Co. ................................ 277,313
25,900 Caraustar Industries Inc. ............................... 770,525
21,450 Cavalier Homes Inc. ..................................... 235,950
66,244 Champion Enterprises Inc.+............................... 1,283,478
6,500 Chase Brass Industries Inc.+............................. 154,375
8,300 Chemfirst Inc. .......................................... 188,825
4,900 Chesapeake Corp. ........................................ 145,163
3,100 Church & Dwight Co., Inc. ............................... 82,538
42,890 Chyron Corp.+............................................ 246,618
5,300 Clarcor Inc. ............................................ 121,900
40,319 Crompton & Knowles+...................................... 766,061
19,700 Freeport McMoRan Inc. ................................... 536,825
27,600 G & K Services Inc. ..................................... 893,550
71,100 Gaylord Container Corp., Class A Shares+................. 453,263
4,100 Geon Co. ................................................ 88,150
37,376 Getchell Gold Corp.+@.................................... 1,924,864
12,700 Glatfelter P.H. Co. ..................................... 217,488
110,400 Harken Energy Corp.+..................................... 538,200
33,600 Hecla Mining Co.+........................................ 239,400
49,900 Hexcel Corp.+............................................ 960,575
19,600 Interim Services, Inc.+.................................. 739,900
11,000 Knickerbocker L.L. Co. .................................. 60,500
20,000 Lawter International Inc. ............................... 232,500
4,400 Learonal Inc. ........................................... 106,150
13,100 Lilly Industries Inc., Class A Shares+................... 253,813
2,900 Liqui-Box Corp. ......................................... 91,350
16,100 Littelfuse Inc.+......................................... 744,625
20,100 Lomak Petroleum ......................................... 321,600
8,000 Macdermid Inc.+.......................................... 268,000
3,500 Material Sciences Corp.+................................. 57,313
10,800 Medusa Corp. ............................................ 430,650
3,502 Mississippi Chemical Corp. .............................. 85,799
8,266 Mosinee Paper Corp. ..................................... 274,845
24,000 Mycogen Corp.+........................................... 627,000
160,400 Nautica Enterprises Inc.+@............................... 4,010,000
14,910 Newpark Research Inc.+................................... 678,405
10,700 NL Industries Inc.+...................................... 121,713
8,300 Nuevo Energy+............................................ 344,450
13,600 Precision Castparts Corp. ............................... 666,400
9,400 Quiksilver Inc.+......................................... 235,000
19,200 Royal Gold Inc.+......................................... 230,400
73,800 St. John Knits Inc. ..................................... 3,025,800
13,900 Seacor Holdings Inc.+.................................... 644,613
18,000 Shorewood Packaging Corp.+............................... 315,000
21,000 Solv-Ex Corp. ........................................... 238,875
12,100 Stein Mart Inc.+......................................... 287,375
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
BASIC INDUSTRIES -- 7.7% (CONTINUED)
22,800 Stillwater Mining Co.+................................... $ 534,375
195,700 Sunshine Mining & Refining Co.+.......................... 220,163
55,100 Swift Energy Co. ........................................ 1,184,650
24,300 Synetic Inc.+............................................ 1,181,588
9,200 TransTexas Gas Corp. .................................... 138,719
7,200 Triangle Pacific Corp.+.................................. 203,400
64,600 20th Century Industries+................................. 1,130,500
23,446 Uni First Corp.+......................................... 471,851
161,700 United Waste Systems+@................................... 5,821,200
5,800 US Can Corp.+............................................ 87,725
14,800 Valspar Corp. ........................................... 847,300
67,400 Varco International+..................................... 1,516,500
16,600 Watsco Inc. ............................................. 481,400
37,535 Wausau Paper Mills Co. .................................. 746,008
8,500 WD 40 Co. ............................................... 439,875
2,200 Weeks Corp. ............................................. 73,700
7,600 Wet Seal Inc., Class A Shares............................ 151,050
32,080 W.H. Brady Co. .......................................... 854,130
15,800 Wolverine Tube Inc.+..................................... 580,650
11,331 Zeigler Coal Holdings Co.+............................... 287,524
- --------------------------------------------------------------------------------
44,270,839
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 8.8%
5,400 ABT Building Products Co.+............................... 121,500
25,300 Actel Corp.+............................................. 493,350
5,800 AG-Chem Equipment Co.+................................... 130,500
24,600 Air & Water Technologies Corp., Class A Shares........... 139,913
17,300 Alliance Entertainment Corp.+............................ 30,275
31,100 Alliance Semiconductor+.................................. 276,013
5,700 American Buildings Co.+.................................. 151,050
12,100 American Telecasting Inc.+............................... 43,863
26,300 Ametek Inc. ............................................. 565,450
32,000 Ampex Corp., Class A Shares+............................. 230,000
7,800 Anchor Communications Inc.+.............................. 58,500
37,800 Anixter+................................................. 510,300
34,640 Apogee Enterprises+...................................... 688,470
19,000 APS Holding Corp.+....................................... 171,000
10,000 Aptargroup Inc. ......................................... 397,500
14,300 Armco Inc.+.............................................. 58,988
7,650 Baldor Electric Co. ..................................... 189,338
19,800 Belden Inc. ............................................. 705,375
14,700 Blount International Inc., Class A Shares................ 613,725
68,500 Blyth Industries Inc.+................................... 2,243,375
33,800 Carlisle Cos. Inc. ...................................... 1,106,950
7,400 Centennial Cellular Corp., Class A Shares+............... 84,175
26,400 Credence Systems Corp.+.................................. 613,800
17,600 Dallas Semiconductor Corp. .............................. 457,600
189,900 DSP Communications+@..................................... 2,219,457
15,900 Duriron Co. ............................................. 355,763
19,600 Electroglas Inc.+........................................ 362,600
31,700 Expeditors International Washington, Inc. ............... 792,500
59,800 Fedders Corp. ........................................... 381,225
26,400 Fisher Scientific International Inc. .................... 1,194,600
12,200 Franklin Electric Publishing Inc. ....................... 147,925
10,200 Gasonics International Corp.+............................ 170,850
43,100 Gentex Corp.+............................................ 797,350
5,700 Genus Inc.+.............................................. 29,213
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
57
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CAPITAL GOODS -- 8.8% (CONTINUED)
16,350 Graco Inc. .............................................. $ 508,894
17,900 Greenfield Industries Inc. .............................. 391,563
18,315 Harman International Industries Inc. .................... 835,622
10,000 Integrated Silicon Solution Inc.+........................ 91,250
20,000 Integrated Process Equipment Corp.+...................... 505,000
19,797 Ionics Inc.+............................................. 977,477
13,300 Itron Inc.+.............................................. 227,763
22,600 Kaydon Corp. ............................................ 977,450
52,100 Kemet Corp.+............................................. 1,159,225
33,700 Kent Electronics Corp.+.................................. 926,750
3,800 Lawson Products Inc. .................................... 83,600
18,500 Level One Communications Inc.+........................... 608,188
9,400 Lindsay Manufacturing Co.+............................... 437,100
30,100 Lo-Jack Corp.+........................................... 308,525
24,700 Lydall Inc.+............................................. 555,750
15,650 Manitowac Inc. .......................................... 526,231
4,700 Merix Corp.+............................................. 78,725
4,600 Metricom Inc.+........................................... 54,050
7,400 Modine Manfacturing...................................... 203,500
12,800 Nichols Research Corp.+.................................. 323,200
12,200 NN Ball & Roller Inc. ................................... 137,250
22,100 Novellus Systems Inc.+................................... 1,806,675
21,900 OEA Inc. ................................................ 1,015,613
9,650 Om Group Inc.+........................................... 279,850
10,500 Optical Coating Laboratories Inc.+....................... 114,844
10,900 Oregon Metallurgical Corp.+.............................. 239,800
18,196 Pittway Corp., Class A Shares............................ 964,388
9,800 Plantronics Inc.+........................................ 428,750
17,700 Quickturn Design Systems Inc.+........................... 282,094
8,700 Regal Beloit Corp. ...................................... 194,663
24,500 Robotic Vision Systems Inc.+............................. 385,875
7,700 Rogers Corp.+............................................ 207,900
18,000 Roper Industries Inc. ................................... 724,500
24,000 Sanmina Corp.+........................................... 1,110,000
21,200 Schweitzer Mauduit International......................... 723,450
7,500 Simula Inc.+............................................. 133,125
14,100 Specialty Equipment Cos. Inc.+........................... 185,063
15,050 Standex International Corp.+............................. 425,163
6,600 Stanford Telecommunications+............................. 231,000
16,000 Strategic Distribution Inc.+............................. 59,000
26,400 Sturm Ruger & Co., Inc. ................................. 458,700
22,900 Symmetricom Inc.+........................................ 369,263
4,000 Teleflex Inc. ........................................... 210,000
3,400 Tennant Co. ............................................. 94,350
12,800 Thermotrex Corp.+........................................ 342,400
5,100 Tractor Supply+.......................................... 98,175
5,200 Tremont Corp.+........................................... 176,150
26,900 Trimble Navigation Ltd.+................................. 349,700
5,700 Trinova Corp.+........................................... 211,613
5,900 Turbochef Inc.+.......................................... 70,063
24,200 Ultratech Stepper Inc.+.................................. 632,225
54,700 Uniphase Corp.+.......................................... 1,791,425
36,830 UNR Industries Inc.+..................................... 276,225
9,161 Valmont Industries+...................................... 387,052
76,400 Vitesse Semiconductor Corp.+............................. 3,204,025
105,800 Waters Corp.+............................................ 3,187,225
18,900 Wireless Telecom Group Inc.+............................. 203,175
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
58
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
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CAPITAL GOODS -- 8.8% (CONTINUED)
10,200 Wyle Electronics+....................................... $ 373,575
26,700 Wyman-Gordon Co. ....................................... 477,263
18,200 X-Rite Inc. ............................................ 298,025
10,300 Zoltek Cos. Inc.+....................................... 267,156
58,400 Zygo Corp.+............................................. 1,489,200
- -------------------------------------------------------------------------------
50,928,344
- -------------------------------------------------------------------------------
CONSUMER DURABLES -- 5.9%
19,500 Aaron Rents Inc., Class A Shares........................ 214,500
3,200 ACX Technologies Inc.+.................................. 61,200
97,900 Allen Group Inc. ....................................... 2,043,663
14,300 Alliant Techsystems+.................................... 623,838
9,150 Anadigics+.............................................. 235,613
6,000 Berg Electronics Corp.+................................. 189,000
18,900 Breed Technologies Inc. ................................ 413,438
10,000 BT Office Products International+....................... 86,250
13,400 Bush Industries Inc. ................................... 269,675
4,200 BW/IP Inc. ............................................. 67,200
16,500 California Amplifier Inc.+.............................. 88,688
9,000 Cannondale Corp.+....................................... 183,375
7,300 Charter Power Systems................................... 239,988
6,500 Chicago Miniature Lamp Inc.+............................ 110,500
16,000 Cincinnati Milacron Inc. ............................... 344,000
11,300 CML Group Inc. ......................................... 28,250
6,700 Copart Inc.+............................................ 113,900
12,900 Corecomm Inc. .......................................... 225,750
6,500 Cort Business Services Corp.+........................... 156,813
12,600 CP Clare Corp.+......................................... 118,125
25,300 Department 56 Inc.+..................................... 455,400
15,600 Donaldson Inc. ......................................... 524,550
75,700 ESS Technology, Inc.+................................... 1,991,857
17,100 Etec Systems Inc. ...................................... 619,875
4,200 Exide Corp.+............................................ 82,425
8,200 Falcon Building Products................................ 140,425
23,800 Figgie International Holdings Inc., Class A Shares+..... 285,600
1,800 Fluke Corp. ............................................ 81,225
14,100 Foamex International Inc.+.............................. 262,613
9,500 General Magic Inc.+..................................... 11,281
20,000 Helig Meyers+........................................... 282,500
7,600 Holophane Corp.+........................................ 164,350
32,000 Hon Industries Inc.@.................................... 1,224,000
43,700 Inso Corp.+............................................. 1,513,113
77,000 Integrated Device Technology+........................... 847,000
21,100 Intermedia Communications Inc.+......................... 377,163
8,800 Jabil Circuit Inc.+..................................... 291,500
10,850 Kronos Inc.+............................................ 295,663
12,400 Kuhlman Corp.+.......................................... 291,400
6,800 Logicon Inc. ........................................... 256,700
11,200 LSI Industries+......................................... 148,400
57,200 Marine Drilling Co., Inc.+.............................. 865,150
9,200 Matthews International Corp., Class A Shares+........... 262,200
72,250 Microchip Technology+@.................................. 2,700,344
4,000 Miller Inc. ............................................ 263,000
127,100 Miller Industries Inc.+................................. 1,620,526
17,175 Mueller Industries Inc.+................................ 740,672
9,400 NCI Building Systems+................................... 314,900
5,100 New England Business Services........................... 114,750
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
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SMALL CAPITALIZATION GROWTH INVESTMENTS
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- --------------------------------------------------------------------------------
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CONSUMER DURABLES -- 5.9% (CONTINUED)
17,400 Nimbus CD International+................................. $ 182,700
6,800 Ontrak Systems Inc.+..................................... 154,700
17,550 Palm Harbor Homes Inc.+.................................. 425,588
10,600 Perceptron Inc.+......................................... 344,500
122,070 Rational Software Corp.+................................. 3,158,561
6,900 Recoton Corp.+........................................... 105,225
3,500 Reliance Steel & Aluminum................................ 108,063
83,700 RMI Titanium Co.+........................................ 1,506,600
11,500 Robbins & Myers Inc. .................................... 316,250
10,000 Semitool Inc.+........................................... 123,125
12,100 Sheldahl Inc.+........................................... 270,738
13,700 Southern Energy Homes Inc.+.............................. 154,125
20,200 Stormedia Inc., Class A Shares+.......................... 287,850
18,800 Superior Industries International........................ 451,200
4,400 TBC Corp.+............................................... 39,050
9,500 3D Systems Corp.+........................................ 102,125
34,800 Top Source Technologies Inc.+............................ 82,650
9,000 Tower Automotive Inc.+................................... 345,375
16,200 Transwitch Corp.+........................................ 87,075
8,100 Trimas Corp. ............................................ 197,438
52,350 United States Filter Corp.+@............................. 1,832,250
19,400 United Stationers Inc.+.................................. 402,550
9,600 USA Detergents Inc.+..................................... 215,400
7,400 Winnebago Industries Inc. ............................... 52,725
33,974 Zenith Electronics Corp.+................................ 327,000
9,000 Zytec Corp.+............................................. 114,750
- --------------------------------------------------------------------------------
34,229,961
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 3.1%
32,800 Apple South Inc. ........................................ 442,800
9,200 Bombay Co.+.............................................. 46,000
22,900 Boston Beer Co.+......................................... 211,825
2,500 Bush Boake Allen Inc.+................................... 62,813
3,930 Canandaigua Wine Inc., Class B Shares+................... 130,673
9,700 Carrington Laboratories Inc.+............................ 65,475
11,600 The Cheesecake Factory+.................................. 246,500
15,862 Consolidated Products Inc.+.............................. 251,809
28,148 Delta & Pine Land Co. ................................... 1,044,995
45,000 Dimon Inc. .............................................. 1,057,500
14,000 Donnkenny Inc.+.......................................... 46,375
14,400 Dreyers Grand Ice Cream Inc. ............................ 445,500
5,500 Earthgrains Co. ......................................... 301,125
20,500 Flowers Industries Inc. ................................. 474,063
12,040 Foodbrands America Inc.+................................. 170,065
11,100 Inbrand Corp.+........................................... 148,463
55,100 JP Foodservice Inc.+..................................... 1,563,463
13,800 Lance Inc. .............................................. 255,300
90,600 Landry's Seafood Restaurants+............................ 1,630,800
11,500 Lands' End Inc.+......................................... 319,125
6,900 Luby's Cafeterias........................................ 140,588
4,900 Manhattan Bagel Co.+..................................... 26,950
20,600 Natures Sunshine Products Inc. .......................... 316,725
16,500 Northland Cranberries, Class A Shares.................... 284,625
19,780 NPC International+....................................... 207,690
84,000 Papa Johns International Inc.+........................... 2,047,500
14,950 Performance Food Group+.................................. 246,675
11,700 Pete's Brewing Co.+...................................... 69,469
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
60
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SMALL CAPITALIZATION GROWTH INVESTMENTS
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- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER NON-DURABLES -- 3.1% (CONTINUED)
40,600 Pride Petroleum Services Inc.+............................ $ 680,050
14,000 Quality Dining Inc.+...................................... 162,750
12,300 Rainforest Cafe Inc.+..................................... 250,613
23,000 Ralcorp Holdings Inc.+.................................... 244,375
12,200 Red Hook Ale Brewery Inc.+................................ 134,200
18,650 Regis Corp.+.............................................. 305,394
13,350 Rexall Sundown Inc.+...................................... 348,769
8,600 Riviana Foods Inc.+....................................... 154,800
8,500 Robert Mondavi Corp., Class A Shares+..................... 348,500
3,100 Ruby Tuesday Inc. ........................................ 53,475
5,375 Showbiz Pizza Time Inc.+.................................. 112,875
19,500 Smithfield Foods Inc.+.................................... 755,625
12,500 Tejon Ranch Co. .......................................... 209,375
22,512 Tootsie Roll Industries Inc. ............................. 951,132
54,850 Topps Inc.+............................................... 233,113
26,400 Whole Foods Market Inc.+.................................. 580,800
- --------------------------------------------------------------------------------
17,780,737
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 18.9%
11,200 ABM Industries Inc. ...................................... 210,000
24,400 Ackerley Communications .................................. 301,950
9,600 Action Performance Cos.+.................................. 206,400
58,800 Acxiom Corp.+............................................. 896,700
12,100 Adelphia Communication+................................... 72,600
9,900 Advo Inc. ................................................ 127,463
36,500 Affiliated Computer Services Inc., Class A Shares+........ 752,813
1,300 Alexanders Inc.+.......................................... 94,250
82,762 Allied Waste Industries+.................................. 724,168
18,300 Alternative Resources Corp.+.............................. 281,363
3,700 American Eagle Outfitter+................................. 33,300
55,100 American Media Inc., Class A Shares+...................... 303,050
28,700 American Radio Systems+................................... 961,450
9,000 Anchor Gaming+............................................ 279,000
12,500 Ann Taylor Stores Corp.+.................................. 250,000
43,800 Applebees International Inc. ............................. 1,105,950
14,700 Applied Graphics Technologies............................. 387,713
19,050 Arbor Drugs Inc.+......................................... 366,713
18,694 Arch Communications Group Inc.+........................... 136,700
9,100 Arctic Cat Inc. .......................................... 87,588
7,600 Argosy Gaming Corp.+...................................... 29,450
13,300 Argyle Television Inc., Class A Shares+................... 329,175
23,300 ATC Communications Inc.+.................................. 177,663
1,700 Bally's Grand Inc.+....................................... 57,800
24,500 Best Buy Co., Inc.+....................................... 226,625
9,300 Bet Holdings Inc., Class A Shares+........................ 273,188
19,800 Big Flower Press Holdings Inc.+........................... 371,250
19,200 Billing Information Concepts+............................. 513,600
16,000 BJ Services Co.+.......................................... 636,000
12,500 Books A Million Inc.+..................................... 65,625
14,400 Borg Warner Security Corp.+............................... 180,000
18,950 Brightpoint Inc.+......................................... 511,650
17,170 Bristol Hotel Co.+........................................ 691,093
2,900 Buckle Inc.+.............................................. 73,225
34,379 Buffets Inc.+............................................. 247,099
60,900 Cambridge Technology Partners, Inc.+...................... 1,461,600
35,100 Casey's General Stores Inc. .............................. 675,675
17,012 Casino America Inc.+...................................... 52,099
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
61
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 18.9% (CONTINUED)
7,900 Casino Magic Corp.+...................................... $ 19,997
26,800 Catalina Marketing Corp.+@............................... 1,346,700
4,900 Cato Corp., Class A Shares+.............................. 23,888
7,000 Cellstar Corp.+.......................................... 181,125
6,300 Central Parking Corp.+................................... 170,888
33,300 Century Communications Corp., Class A Shares............. 168,581
15,900 Chancellor Broadcasting+................................. 433,275
39,750 CKE Restaurants+......................................... 770,156
2,500 CKS Group Inc.+.......................................... 83,750
54,350 Claires Stores Inc. ..................................... 767,694
21,000 Coachmen Industries Inc. ................................ 425,250
9,500 Coastcast Corp.+......................................... 149,625
16,100 Cole National Corp.+..................................... 515,200
14,100 Collins & Aikman Corp.+.................................. 111,038
7,200 Comforce Corp.+.......................................... 54,900
30,300 Compucom Systems Inc.+................................... 227,250
122,400 Corestaff Inc.+.......................................... 2,891,700
132,400 Corrections Corp. America+............................... 3,773,400
23,800 Culligan Water Technologies+............................. 928,200
8,532 D.R. Horton+............................................. 106,650
5,500 Daisytek International Corp.+............................ 188,375
13,000 Daka International Inc.+................................. 94,250
7,600 Day Runner Inc.+......................................... 188,100
8,600 Desktop Data Inc.+....................................... 133,300
36,400 Devry Inc.+.............................................. 723,450
12,400 Discount Auto Parts Inc.+................................ 176,700
47,200 Dollar Tree Stores+...................................... 1,852,600
42,499 Doubletree Corp.+@....................................... 1,774,333
71,300 Dover Downs Entertainment................................ 1,212,100
6,100 Eagle Hardware & Garden Inc.+............................ 118,950
64,600 Einstein/Noah Bagel Corp.+............................... 1,687,675
11,700 Electro Rent Inc.+....................................... 280,800
9,600 Emcare Holdings Inc.+.................................... 264,000
11,200 Emmis Broadcasting Corp.+................................ 386,400
11,350 Equity Corp. International+.............................. 224,163
28,750 Evergreen Media Corp., Class A Shares+................... 862,500
4,100 Exabyte Corp.+........................................... 44,844
7,900 Executive Risk Inc.+..................................... 380,188
21,600 Executive Telecard Ltd.+................................. 143,100
32,700 Extended Stay America+................................... 645,825
10,800 Fair, Issac & Co., Inc. ................................. 391,500
19,600 Fairchild Corp.+......................................... 274,400
12,900 Fastcomm Communications+................................. 94,331
126,100 Finnish Line, Class A Shares+............................ 2,711,150
53,600 Foodmaker Inc.+.......................................... 515,900
6,200 Fossil Inc.+............................................. 80,600
3,800 Franklin Quest Co.+...................................... 79,325
19,800 Friedmans Inc., Class A Shares+.......................... 299,475
11,200 Fusion Systems Corp.+.................................... 305,200
5,100 Gadzooks, Inc.+.......................................... 124,950
9,500 Galileo Electro-Optics Corp.+............................ 65,313
23,400 Garden Ridge Corp.+...................................... 166,725
31,200 General Communication Inc., Class A Shares+.............. 222,300
11,900 General Scanning Inc.+................................... 117,513
35,200 Genesco Inc.+............................................ 334,400
34,400 Gymboree Corp.+.......................................... 847,100
12,275 Ha-Lo Industries Inc.+................................... 193,331
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
62
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
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SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 18.9% (CONTINUED)
7,300 Hancock Fabrics Inc. ................................... $ 92,163
22,342 Harte-Hanks Communications Inc.+........................ 578,099
19,700 Heartland Wireless Communications, Inc.+................ 76,338
31,500 Hearx Ltd.+............................................. 74,813
64,400 Heftel Broadcasting Corp., Class A Shares+.............. 2,600,150
45,900 Heritage Media Corp., Class A Shares+................... 516,375
27,100 Hollywood Entertainment Corp.+.......................... 650,400
27,600 Host Marriott Services+................................. 251,850
8,400 Houghton Mifflin Co. ................................... 463,050
13,800 HSN Inc.+............................................... 355,350
31,350 IDEX Corp. ............................................. 795,506
10,900 IHOP Corp.+............................................. 282,038
13,600 IMCO Recycling Inc.+.................................... 214,200
4,800 Insilco Corp.+.......................................... 175,200
21,800 International Dairy Queen Inc., Class A Shares+......... 468,700
35,155 International Family Entertainment Inc., Class B
Shares................................................. 672,339
8,300 International Imaging Materials+........................ 183,638
4,800 Iron Mountain Inc.+..................................... 134,400
71,900 ITT Educational Services+............................... 1,698,638
8,600 Jacor Communications+................................... 253,163
10,100 Jenny Craig Inc.+....................................... 89,638
17,300 John H. Harland Co. .................................... 523,325
17,700 John Wiley & Sons Inc., Class A Shares.................. 508,875
21,300 Jostens Inc. ........................................... 457,950
5,600 Jumbosports Inc.+....................................... 33,600
25,125 Just For Feet Inc.+..................................... 543,328
16,000 K2 Inc. ................................................ 442,000
19,310 Katz Media Group+....................................... 142,411
14,700 Kelley Oil & Gas Corp.+................................. 36,750
8,700 Kenneth Cole Productions+............................... 170,738
12,600 KFX Inc.+............................................... 59,063
20,300 Lewis Galoob Toys Inc.+................................. 332,413
10,600 Lin Television Corp.+................................... 439,900
9,900 Mail Boxes Etc.+........................................ 184,388
8,250 Marcus Corp. ........................................... 179,438
9,100 Marisa Christina Inc.+.................................. 76,213
11,500 Media General Inc. ..................................... 345,000
16,750 Mens Wearhouse Inc.+.................................... 395,719
51,100 Metromedia International+............................... 507,806
5,200 Microage Inc.+.......................................... 67,600
19,300 Molten Metal Technology Inc.+........................... 219,538
6,800 Movie Gallery+.......................................... 73,100
49,400 National Education Corp.+............................... 636,025
25,200 National Media+......................................... 173,250
9,500 Nelson Thomas Inc. ..................................... 110,438
14,800 NFO Research+........................................... 329,300
20,500 Norrell Corp. .......................................... 548,375
66,700 North Face Inc.+........................................ 1,158,913
25,800 Oak Industries+......................................... 522,450
8,000 On Assignment Inc.+..................................... 244,000
14,700 Optical Data Systems Inc.+.............................. 255,413
5,700 O'Reilly Automotive+.................................... 190,238
4,200 Paxson Communications Co.+.............................. 37,275
8,000 Penn National Gaming Inc.+.............................. 124,000
6,300 Personnel Group of America+............................. 161,438
20,000 Petco Animal Supplies+.................................. 552,500
7,800 Photronics Inc.+........................................ 269,100
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
63
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
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SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 18.9% (CONTINUED)
11,500 Phymatrix Inc.+......................................... $ 158,125
32,453 Pier 1 Imports.......................................... 563,871
29,000 Playboy Enterprises Inc., Class B Shares+............... 442,250
6,900 Players International Inc.+............................. 37,088
36,000 Polaris Industries Inc. ................................ 918,000
48,000 Precision Response Corp.+............................... 1,392,000
29,900 Prepaid Legal Services+................................. 478,400
11,200 Primadonna Resorts Inc.+................................ 208,600
32,600 Prime Hospitality Corp.+................................ 537,900
16,900 Proffits Inc.+.......................................... 547,138
16,500 Pronet Inc.+............................................ 81,469
8,166 Pulitzer Publishing Co. ................................ 392,989
9,100 Quality Food Centers Inc.+.............................. 333,288
10,100 Rare Hospitality International Inc.+.................... 148,975
133,025 Regal Cinemas Inc.+..................................... 3,541,790
9,500 Renaissance Communications Corp.+....................... 339,625
17,100 Rio Hotel & Casino Inc.+................................ 267,188
12,600 Rollins Inc. ........................................... 237,825
34,300 Rotech Medical Corp.+................................... 634,550
17,819 Ross Stores, Inc.+...................................... 855,312
9,000 Romac International Inc.+............................... 231,750
16,600 RTW Inc.+............................................... 149,400
9,200 Saga Communications Inc.+............................... 213,900
7,200 Sbarro Inc. ............................................ 187,200
15,000 Scholastic Corp.+....................................... 495,000
16,900 Scientific Games Holdings Corp.+........................ 418,275
11,700 Seattle Filmworks Inc.+................................. 198,900
7,600 SFX Broadcasting Inc.+.................................. 252,700
16,090 Showboat Inc.+.......................................... 329,845
15,600 Shuffle Master Inc.+.................................... 142,350
176,900 Sitel Corp.+............................................ 2,940,963
12,800 Smart & Final Inc. ..................................... 276,800
12,900 Sodak Gaming Inc.+...................................... 185,438
17,460 Sonic Corp.+............................................ 316,463
56,200 Sothebys Holdings Inc., Class A Shares.................. 955,400
21,800 Sparteck Corp.+......................................... 253,425
40,593 Sports Authority Inc.+.................................. 776,341
33,500 Starsight Telecast Inc.+................................ 276,375
3,900 Starter Corp.+.......................................... 19,988
23,600 Station Casinos Inc.+................................... 221,250
12,000 Stone Energy Corp.+..................................... 264,000
2,900 Stratosphere Corp.+..................................... 2,175
12,800 Studio Plus Hotels Inc.+................................ 304,000
50,700 Sykes Enterprises Inc.+................................. 1,641,413
24,950 Sylvan Learning Systems Inc.+........................... 851,419
21,900 TCA Cable TV Inc.+...................................... 700,800
8,700 Toy Biz Inc.+........................................... 153,338
32,300 Triarc Cos.+............................................ 452,200
3,000 True North Communications............................... 60,000
36,300 Trump Hotels & Casino+.................................. 335,775
57,200 United International Holdings Inc., Class A Shares...... 586,300
40,400 United Meridian Corp.+@................................. 1,217,050
5,300 United Television Inc. ................................. 477,000
14,300 United Video Satellite Group I, Class A Shares+......... 241,313
12,300 Unitog Co. ............................................. 249,075
12,000 Urban Outfitters Inc. .................................. 136,500
20,300 US Long Distance Corp.+................................. 203,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
64
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 18.9% (CONTINUED)
53,700 US Office Products Co.+.................................. $ 1,718,400
35,700 ValueVision International Inc.+.......................... 158,419
14,400 Vans Inc.+............................................... 196,200
3,900 VMR Scientific Products.................................. 53,625
5,800 Volt Information Sciences Inc.+.......................... 259,550
16,900 Wabash National Corp. ................................... 289,413
16,300 Wackenhut Corp., Class A Shares.......................... 285,250
8,100 Wackenhut Corrections Corp.+............................. 139,725
11,400 West Marine+............................................. 330,600
12,977 Westpoint Stevens Inc.+.................................. 447,707
41,365 Westwood One Inc.+....................................... 770,423
25,800 Williams Sonoma Inc.+.................................... 649,838
23,000 WMS Industries Inc.+..................................... 457,125
108,750 Wolverine Worldwide Inc. ................................ 3,860,625
17,800 Wonderware Corp.+........................................ 167,153
17,700 World Color Press Inc.+.................................. 373,913
93,200 Wyndham Hotel Corp.+..................................... 2,621,250
10,300 Young Broadcasting Inc., Class A Shares+................. 299,988
8,600 Youth Services International+............................ 129,000
10,500 Zale Corp.+.............................................. 194,250
- --------------------------------------------------------------------------------
109,420,297
- --------------------------------------------------------------------------------
ENERGY -- 2.6%
27,400 Avid Technology Inc.+.................................... 297,975
42,460 Barrett Resource Corp.+.................................. 1,395,873
41,900 Benton Oil & Gas Co.+.................................... 638,975
16,400 Box Energy Corp., Class B Shares+........................ 131,200
70,100 Cable Design Technologies Corp.+......................... 1,857,650
11,300 Cairn Energy USA Inc.+................................... 110,175
23,800 Cidco Inc.+.............................................. 309,400
15,700 Cree Research Inc. ...................................... 162,888
21,300 Cross Timbers Oil Co. ................................... 575,100
4,400 Devon Energy Corp. ...................................... 137,500
7,100 Dravo Corp.+............................................. 88,750
15,300 Energy Conversion Device+................................ 200,813
19,500 Energy Ventures Inc.+.................................... 994,500
5,300 Enterprise Systems Inc.+................................. 137,800
16,400 Falcon Drilling Co.+..................................... 555,550
16,200 Flores & Rucks Inc.+..................................... 729,000
32,200 Forest Oil Corp.+........................................ 430,675
81,700 Global Industries+....................................... 1,491,025
6,800 Holly Corp.+............................................. 181,900
12,600 KCS Energy Inc.+......................................... 453,600
15,200 Mattson Technology Inc.+................................. 152,238
51,800 Newfield Exploration Co.+................................ 1,029,525
25,800 Oceaneering International Inc.+.......................... 409,575
11,500 Petroleum Heat & Power Inc., Class A Shares.............. 63,250
6,300 Plains Resources Inc.+................................... 83,475
9,400 Production Operators Corp. .............................. 459,425
36,560 Seagull Energy Corp.+.................................... 671,790
10,525 Tejas Gas Corp.+......................................... 460,469
3,000 Tom Brown Inc.+.......................................... 55,500
16,840 Veritas DGC Inc.+........................................ 279,965
6,200 Vintage Petroleum Inc. .................................. 186,775
- --------------------------------------------------------------------------------
14,732,336
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
65
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 5.0%
33,750 Aames Financial Corp. ................................... $ 1,016,719
4,700 Acordia Inc. ............................................ 150,400
40,400 Americredit Corp.+....................................... 787,800
32,400 Amerin Co.+.............................................. 680,400
117,300 Amresco Inc.+............................................ 2,404,650
17,300 Arthur J. Gallagher & Co.+............................... 531,975
12,050 Bank of Granite Corp. ................................... 352,463
3,224 Cash America International Inc. ......................... 30,628
99,200 Catellus Development Corp.+.............................. 1,525,200
3,200 CBT Corp.+............................................... 72,000
7,100 Cityscape Financial Corp.+............................... 194,363
10,000 CMAC Investment Corp.+................................... 350,000
14,000 Covenant Transport+...................................... 197,750
20,200 Crawford & Co., Class B Shares........................... 454,500
28,500 Credit Acceptance Corp.+................................. 605,625
18,300 Envoy Corp.+............................................. 439,200
11,000 E.W. Blanch Holdings Inc. ............................... 250,250
4,380 Financial Trust Corp. ................................... 189,435
12,028 Foremost Corp. of America................................ 715,666
4,230 Frontier Insurance Group Inc. ........................... 182,948
24,750 Gainsco Inc. ............................................ 225,844
2,200 Harleysville National Corp.+............................. 56,100
40,800 HCC Insurance Holdings................................... 1,004,700
3,502 Hubco Inc. .............................................. 91,928
33,900 Imperial Credit Industries+.............................. 817,838
44,000 Insignia Financial Group Inc., Class A Shares+........... 935,000
5,500 Investment Technology Group+............................. 106,563
2,700 Irvine Apartment Communities Inc. ....................... 72,900
4,000 Irwin Financial Corp. ................................... 120,000
14,700 Jayhawk Acceptance Corp.+................................ 34,913
6,000 Markel Corp.+............................................ 654,000
7,000 Meadowbrook Insurance Group.............................. 150,500
19,600 Mills Corp.+............................................. 460,600
13,000 National Commerce Bancorp................................ 581,750
3,192 National Penn Bancshares Inc. ........................... 86,982
51,700 Olympic Financial Ltd.+.................................. 568,700
3,900 Park National Corp. ..................................... 202,313
29,191 Penncorp Financial Group+................................ 1,021,685
5,543 Phoenix Duff & Phelps Corp. ............................. 44,344
34,160 Pioneer Group Inc. ...................................... 798,490
6,700 Poe & Brown Inc. ........................................ 182,575
14,900 Quick & Reilly Group Inc. ............................... 521,500
10,400 RAC Financial Group Inc.+................................ 339,300
9,200 Reinsurance Group of America............................. 450,800
10,600 Reliance Acceptance Group Inc.+.......................... 140,450
49,600 Riscorp Inc.+............................................ 124,000
2,400 S & T Bancorp Inc. ...................................... 85,200
17,300 SEI Investment Cos.+..................................... 382,763
62,900 Sirrom Capital Corp.+.................................... 2,547,450
2,000 Student Loan Corp. ...................................... 80,750
23,925 TrustCo Bank Corp. New York.............................. 514,388
47,500 UICI@.................................................... 1,401,250
17,400 United Cos. Financial Corp.+............................. 452,400
7,800 United Dental Care Inc.+................................. 215,475
4,100 United Fire and Casualty+................................ 135,813
22,604 US Trust Corp. .......................................... 1,062,388
12,684 Vesta Insurance Group Inc. .............................. 496,262
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
66
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 5.0% (CONTINUED)
8,800 Wall Data+................................................ $ 136,400
5,920 WFS Financial Inc.+....................................... 87,320
3,900 Winthrop Resources Corp.+................................. 126,750
27,100 World Acceptance Corp.+................................... 152,438
- --------------------------------------------------------------------------------
28,802,794
- --------------------------------------------------------------------------------
HEALTHCARE -- 16.8%
28,800 ABR Information Services.................................. 673,200
21,700 ATS Medical............................................... 151,900
25,100 Adac Laboratories+........................................ 533,375
22,900 Advanced Polymer Systems+................................. 186,063
17,790 Advanced Technology Labs+................................. 631,545
16,700 Agouron Pharmaceuticals Inc.+............................. 1,469,600
19,700 Alkermes Inc.+............................................ 490,038
39,500 Alliance Pharmaceutical Corp.+............................ 493,750
11,300 Alpharma Inc. ............................................ 151,138
19,900 Alteon Inc. .............................................. 99,500
13,450 American Homepatient Inc.+................................ 319,438
66,600 American Oncology Resource+............................... 607,725
30,789 Amerisource Health Corp., Class A Shares+@................ 1,550,996
28,600 Amylin Pharmaceuticals Inc.+.............................. 425,425
39,300 Angeion Corp.+............................................ 152,902
8,400 Aphton Corp.+............................................. 147,000
8,700 Arbor Health Care Co. .................................... 217,500
15,600 Arrow International Inc. ................................. 549,900
9,100 Arthrocare Corp.+......................................... 81,900
36,900 Ballard Medical Products.................................. 724,163
6,750 Barr Laboratories Inc.+................................... 244,688
9,100 Biomatrix Inc.+........................................... 141,050
9,789 Bio-Rad Labs+............................................. 258,185
65,100 Bio-Technology General Corp.+............................. 1,057,875
42,700 Calgene Inc.+............................................. 314,913
19,300 Capstone Pharmacy Services+............................... 226,775
18,800 Cellpro Inc.+............................................. 216,200
33,900 Cephalon+................................................. 800,888
15,082 Chad Therapeutics Inc.+................................... 192,296
20,800 Chronimed Inc.+........................................... 241,800
13,350 Clinitrials Research Inc.+................................ 130,163
6,800 Coastal Physician Group Inc.+............................. 15,300
24,400 Cocensys Inc.+............................................ 137,250
15,100 Coherent Inc.+............................................ 711,588
11,725 Collagen Corp. ........................................... 234,500
36,700 Columbia Laboratories Inc.+............................... 559,675
13,800 Compdent Corp.+........................................... 415,725
20,000 Conmed Corp.+............................................. 395,000
8,600 Copley Pharmaceutical Inc.+............................... 70,413
8,500 Cor Therapeutics Inc.+.................................... 104,656
55,700 Coram Healthcare Corp.+................................... 320,275
38,500 Coventry+................................................. 281,531
4,900 CRA Managed Care+......................................... 194,775
39,400 Creative Biomolecules Inc.+............................... 418,625
10,600 Cryolife Inc.+............................................ 103,350
14,200 Curative Technologies Inc.+............................... 358,550
21,600 Cygnus Therapeutic Systems+............................... 332,100
28,800 Cytel Corp.+.............................................. 93,600
65,400 Cytogen Corp.+............................................ 335,175
13,800 Depotech Corp.+........................................... 244,950
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
67
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
HEALTHCARE -- 16.8% (CONTINUED)
16,300 Diagnostic Products Corp. ............................... $ 505,300
124,600 Dura Pharmaceuticals Inc.+@.............................. 4,189,675
7,000 Emeritus Corp.+.......................................... 84,875
27,300 Employee Solutions Inc.+................................. 651,788
18,200 Endosonics Corp.+........................................ 207,025
28,817 Enzo Biochem Inc.+....................................... 443,065
17,800 Epitope Inc.+............................................ 238,075
17,700 Equimed Inc.+............................................ 73,013
9,800 Ergo Science Corp.+...................................... 142,100
22,400 Express Scripts Inc., Class A Shares+.................... 761,600
19,500 Fuisz Technologies Ltd.+................................. 134,063
15,900 Geltex Pharmaceuticals Inc.+............................. 333,900
50,100 Genelabs Technologies Inc.+.............................. 338,175
32,800 Genesis Health Ventures Inc.+............................ 1,135,700
40,600 Gilead Sciences Inc.+.................................... 1,238,300
3,600 Grancare Inc.+........................................... 28,800
11,900 GRC International Inc.+.................................. 52,063
17,800 Gulf South Medical Supply Inc.+.......................... 376,025
29,600 Haemonetics Corp.+....................................... 510,600
20,450 Health Management Systems+............................... 163,600
18,200 Healthdyne Technologies Inc.+............................ 252,525
11,400 Healthplan Services Corp.+............................... 209,475
10,100 Henry Schein Inc.+....................................... 272,700
17,200 Herbalife International Inc.+............................ 361,200
14,960 Hilb, Rogal & Hamilton Co. .............................. 200,090
16,100 Hologic Inc.+............................................ 418,600
6,100 Horizon/CMS Healthcare Corp. ............................ 99,888
24,900 Human Genome Sciences Inc.+.............................. 946,200
30,700 Hybridon Inc.+........................................... 207,225
47,886 ICN Pharmaceuticals Inc.+................................ 1,209,122
39,300 ICOS Corp.+.............................................. 334,050
10,800 ICU Medical Inc.+........................................ 99,900
18,000 IDEC Pharmaceuticals+.................................... 447,750
6,900 IDX Systems Corp.+....................................... 217,350
102,300 Imatron Inc.+............................................ 278,128
25,500 Imclone Systems+......................................... 218,344
18,700 Immune Response Corp.+................................... 133,238
24,600 Immunex Corp.+........................................... 694,950
34,200 Immunomedics Inc.+....................................... 190,238
19,000 Incontrol Inc.+.......................................... 171,000
15,300 Inhale Therapeutic Systems Inc.+......................... 302,175
15,600 Inphynet Medical Management Inc.+........................ 444,600
36,300 Integra Lifesciences Corp.+.............................. 154,275
4,300 Integrated Health Services Inc.+......................... 127,925
2,400 Intercardia Inc.+........................................ 65,400
41,000 Invacare Corp. .......................................... 994,250
34,900 Isis Pharmaceuticals+.................................... 676,188
29,800 Isolyser Inc.+........................................... 178,800
17,600 I-Stat Corp.+............................................ 321,200
112,700 Jones Medical Industries+@............................... 3,409,175
19,100 Keravision Inc.+......................................... 233,975
20,600 Kinetic Concepts Inc.+................................... 306,425
15,800 Life Technologies Inc. .................................. 434,500
16,300 Lifecore Biomedical Inc.+................................ 317,850
31,900 Ligand Pharmaceutical Inc., Class B Shares+.............. 386,788
44,700 Liposome Inc.+........................................... 1,111,913
15,300 Living Centers America Inc.+............................. 487,688
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
68
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
HEALTHCARE -- 16.8% (CONTINUED)
7,550 Lunar Corp.+............................................. $ 260,475
27,700 Magellan Health Services+................................ 682,113
18,430 Mariner Health Group Inc.+............................... 179,693
18,200 Martek Biosciences Corp.+................................ 364,000
48,500 Matria Healthcare Inc.+.................................. 278,875
23,100 Matrix Pharmaceuticals+.................................. 147,263
23,900 Maxicare Health Plans Inc.+.............................. 528,788
15,400 Medcath Inc.+............................................ 223,300
36,600 Medicis Pharmaceutical+.................................. 1,571,513
18,900 Medimunne Inc.+.......................................... 274,050
30,500 Mentor Corp. ............................................ 758,688
11,500 Meridian Diagnostics Inc.+............................... 127,938
59,600 Mid Atlantic Medical Services+........................... 879,100
4,900 Minimed Inc.+............................................ 138,425
18,650 Multicare Cos. Inc.+..................................... 345,025
11,700 Myriad Genetics Inc.+.................................... 424,125
43,200 Nabi Inc.+............................................... 415,800
75,400 National Surgery Centers+................................ 2,280,850
12,000 Neopath Inc.+............................................ 196,500
26,200 Neoprobe Corp.+.......................................... 450,313
18,100 Neurex Corp.+............................................ 262,450
17,000 Neurogen Corp.+.......................................... 297,500
40,200 Neuromedical Systems Inc. ............................... 316,575
39,757 Nexstar Pharmaceuticals+................................. 591,385
17,500 Northfield Labs Inc.+.................................... 201,250
20,100 Noven Pharmaceuticals Inc.+.............................. 271,350
28,000 Occusystems Inc.+........................................ 658,000
27,300 Oncogene Science Inc.+................................... 187,688
26,100 Orthologic Corp.+........................................ 153,338
21,000 Orthondontic Centers of America+......................... 312,375
11,000 Osmonics Inc.+........................................... 211,750
12,200 Ostex International Inc.+................................ 68,625
16,100 Owen Healthcare Inc. .................................... 442,750
31,200 Owens & Minor Inc. ...................................... 319,800
8,300 Oxford Resources+........................................ 342,375
29,800 Palomar Medical Technology+.............................. 236,538
23,000 Parexel International Corp.+............................. 644,000
14,500 Pathogenesis Corp.+...................................... 427,750
17,700 Patterson Dental Co.+.................................... 601,800
7,000 PDT Inc.+................................................ 204,750
69,700 Pediatrix Medical Group+................................. 2,613,750
10,600 Perclose Inc.+........................................... 258,375
23,700 Perrigo Co.+............................................. 287,363
16,905 Pharmaceutical Product Development Inc.+................. 397,268
14,600 Pharmacopeia Inc.+....................................... 253,675
16,300 PHP HealthCare Corp.+.................................... 332,113
12,700 Physician Corp. of America+.............................. 55,563
27,900 Physician Resource Group+................................ 415,013
103,600 Physician Sales & Service Inc.+.......................... 1,579,900
10,125 Physicians Health Services Inc., Class A Shares+......... 194,906
23,100 Physio-Control International+............................ 444,675
15,900 Possis Corp.+............................................ 248,438
13,400 Prime Medical Services Inc.+............................. 149,075
15,000 Protein Design Labs Inc.+................................ 562,500
11,800 Protocol Systems Inc.+................................... 105,463
4,000 Regency Health Services Inc.+............................ 42,500
26,800 Regeneron Pharmaceutical Inc.+........................... 268,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
69
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
HEALTHCARE -- 16.8% (CONTINUED)
122,700 Renal Treatment Centers Inc.+............................ $ 3,190,200
7,300 Res-Care Inc.+........................................... 140,525
13,100 Research Medical Inc.+................................... 306,213
25,300 Resound Corp.+........................................... 170,775
23,400 Respironics Inc.+........................................ 460,688
11,500 Roberts Pharmaceutical Corp.+............................ 150,938
33,100 R.P. Scherer Corp.+@..................................... 1,911,525
17,200 Sangstat Medical Corp. .................................. 550,400
19,300 Sciclone Pharmaceuticals+................................ 130,275
14,603 Scios Inc.+.............................................. 104,959
36,800 Sepracor Inc.+........................................... 887,800
41,900 Sequus Pharmaceuticals Inc.+............................. 481,850
12,300 Serologicals Corp.+...................................... 338,250
9,900 Sierra Health Services Inc.+............................. 261,113
31,700 Sofamor/Danek Group Inc.+................................ 1,256,113
34,000 Sola International Inc.+@................................ 884,000
26,800 Somatix Therapy Corp.+................................... 67,000
25,200 Somatogen Inc.+.......................................... 330,750
13,000 Spine Technology Inc.+................................... 357,500
18,700 Staar Surgical Co.+...................................... 236,088
2,700 Summit Care+............................................. 34,425
10,200 Summit Medical Systems+.................................. 48,450
42,700 Summit Technology Inc.+.................................. 378,963
8,000 Sun Healthcare Group Inc.+............................... 110,000
2,200 Sunrise Medical Inc.+.................................... 29,700
14,800 Target Therapeutics Inc.+................................ 1,045,250
11,900 Techne Corp.+............................................ 294,525
21,000 Technol Medical Products Inc.+........................... 309,750
13,100 Theragenics Corp.+....................................... 312,763
21,050 Theratech Inc.+.......................................... 273,650
21,500 Theratx Inc.+............................................ 354,750
10,000 Thoratec Laboratories Inc.+.............................. 97,500
55,200 Total Renal Care Holdings+............................... 1,925,100
19,700 Transcend Services Inc.+................................. 86,188
5,800 Transitional Hospitals Corp. ............................ 52,200
39,627 Universal Health Service+................................ 1,352,271
19,600 Urohealth Systems Inc.+.................................. 183,750
32,500 Uromed Corp.+............................................ 264,063
28,187 U.S. Bioscience Inc.+.................................... 398,141
25,100 Ventritex Inc.+.......................................... 520,825
23,500 Veterinary Centers of America+........................... 249,688
25,800 Vertex Pharmaceuticals Inc.+............................. 1,193,250
9,400 Vital Signs Inc. ........................................ 232,650
9,721 Vitalink Pharmaceuticals+................................ 205,352
24,800 Vivus Inc.+.............................................. 1,370,200
43,300 Xoma Corp.+.............................................. 297,688
30,700 Zila Inc.+............................................... 245,600
- --------------------------------------------------------------------------------
96,902,885
- --------------------------------------------------------------------------------
MEDICAL TECHNOLOGY -- 1.0%
18,450 Access Health Inc.+...................................... 433,575
42,400 Acuson Corp.+............................................ 1,176,600
50,400 Advanced Tissue Sciences Inc., Class A Shares+........... 648,900
7,100 Boca Research+........................................... 55,913
26,400 CNS Inc.+................................................ 356,400
44,100 Cognex Corp.+............................................ 799,313
9,500 Incyte Pharmaceuticals+.................................. 503,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
70
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
MEDICAL TECHNOLOGY -- 1.0% (CONTINUED)
10,300 Landauer Inc. ............................................ $ 218,875
41,000 Medic Computer Systems Inc.+.............................. 1,476,000
23,400 Physician Computer Network+............................... 187,200
- --------------------------------------------------------------------------------
5,856,276
- --------------------------------------------------------------------------------
REAL ESTATE -- 2.4%
14,900 Associated Estates Realty Corp. .......................... 350,150
2,000 Avatar Holdings Inc.+..................................... 67,250
4,000 Cali Realty Corp.+........................................ 128,000
42,000 CarrAmerica Realty Corp. ................................. 1,275,750
13,600 Centerpoint Properties Corp. ............................. 430,100
11,700 Charles E. Smith Residential Realty Inc. ................. 330,525
16,400 Developers Diversified Realty Corp. ...................... 600,650
12,500 Federal Realty Investors.................................. 335,938
34,100 General Growth Properties Inc. ........................... 1,044,313
33,300 Health Care Investment Inc. .............................. 1,136,363
20,500 Kimco Realty Corp.+....................................... 689,313
20,500 Macerich Co.+............................................. 566,313
23,800 Nationwide Health Properties Inc.+........................ 523,600
9,700 NHP Inc.+................................................. 235,225
18,400 Post Properties Inc. ..................................... 696,900
9,500 Real Estate Investment Trust.............................. 217,313
4,000 Reckson Associates Realty+................................ 183,000
19,700 Renters Choice Inc.+...................................... 273,338
9,900 Saul Centers Inc. ........................................ 168,300
39,100 Spieker Properties Inc. .................................. 1,422,263
8,100 Urban Shopping Centers Inc. .............................. 254,138
32,200 Vornado Realty............................................ 1,863,575
26,900 Washington Real Estate Investment Trust................... 480,838
8,900 Weingarten Realty Investment.............................. 381,588
- --------------------------------------------------------------------------------
13,654,743
- --------------------------------------------------------------------------------
TECHNOLOGY -- 23.5%
26,400 Acclaim Entertainment Inc.+............................... 140,250
13,100 ACT Networks Inc.+........................................ 261,181
16,400 Activision+............................................... 219,350
4,300 Advent Software Inc.+..................................... 98,900
6,200 Aliant Techsystems Inc.+.................................. 103,850
17,300 Altron Inc.+.............................................. 320,050
14,800 American Business Information Inc.+....................... 284,900
9,900 Amisys Managed Care Systems+.............................. 191,813
19,500 Analysis International Corp. ............................. 526,500
24,350 Antec Corp.+.............................................. 206,975
16,200 Applied Digital Access Inc.+.............................. 113,400
11,700 Applied Innovation Inc.+.................................. 58,500
32,900 Applied Magnetics Corp.+.................................. 1,278,988
13,200 Applied Power Inc. ....................................... 516,450
11,000 Applix Inc.+.............................................. 122,375
16,200 Arbor Software Corp.+..................................... 532,575
13,700 Aspen Technology Inc.+.................................... 844,263
4,700 Astea International Inc.+................................. 23,353
5,200 Atlantic Tele-Network Inc.+............................... 65,000
94,000 Aura Systems Inc.+........................................ 252,625
33,800 Auspex Systems Inc.+...................................... 392,925
24,075 Avant Corp.+.............................................. 734,288
18,699 Banctec Inc.+............................................. 476,825
7,400 Barra Inc.+............................................... 223,850
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
71
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 23.5% (CONTINUED)
28,400 BBN Corp.+............................................... $ 596,400
20,700 BDM International+....................................... 869,400
18,200 Bell & Howell Co.+....................................... 432,250
35,700 BISYS Group Inc.+@....................................... 1,115,625
20,900 Black Box Corp.+......................................... 632,225
40,100 BMC Industries Inc.+..................................... 1,147,863
24,550 Boole & Babbage Inc.+.................................... 644,438
14,500 Borland International Inc.+.............................. 117,813
33,000 Boston Technology Inc.+.................................. 820,875
11,900 Brite Voicesystems+...................................... 148,750
16,300 Broadband Technologies Inc.+............................. 152,813
23,200 Broderbund Software Inc.+................................ 681,500
13,500 Brooktrout Technology+................................... 251,438
13,400 C-Cor Electronics Inc.+.................................. 184,250
16,500 Caere Corp.+............................................. 173,250
34,170 CAI Wireless Systems+.................................... 80,086
4,800 California Microwave Inc.+............................... 69,000
13,100 Casino Data System+...................................... 75,325
13,100 CDI Corp.+............................................... 429,025
53,250 CDW Computer Centers Inc.+............................... 2,798,953
13,500 Cellular Communications Inc.+............................ 381,375
27,498 Cellular Technical Services Inc.+........................ 288,729
17,100 Centennial Technologies+................................. 47,025
33,700 Cerner Corp.+............................................ 513,925
27,500 Checkfree Corp.+......................................... 426,250
32,400 Chips & Technologies Inc.+............................... 413,100
11,300 Ciber Inc.+.............................................. 319,225
96,000 Citrix Systems Inc.+@.................................... 1,212,001
13,900 Clarify Inc.+............................................ 356,188
12,300 Coherent Communications Systems+......................... 232,163
11,300 Cohu Inc. ............................................... 281,088
19,695 Commnet Cellular Inc.+................................... 502,223
87,900 Computer Horizons Corp.+................................. 2,285,400
6,325 Computer Management Services+............................ 104,363
30,100 Computer Network Technology Co.+......................... 167,431
31,900 Computer Products Inc.+.................................. 546,288
41,900 Computer Task Group Inc. ................................ 1,796,463
86,700 Computervision Corp.+.................................... 509,363
13,500 Comshare Inc.+........................................... 195,750
117,600 Comverse Technology Inc.+................................ 5,130,301
18,298 Control Data Systems Inc.+............................... 274,470
9,800 Cooper & Chyan Technology................................ 300,738
61,500 Copytele Inc.+........................................... 411,281
10,500 CMG Information Services+................................ 139,125
3,400 CSG Systems International+............................... 63,325
6,600 Cybercash Inc.+.......................................... 132,000
24,100 Cyrix Corp.+............................................. 671,788
36,300 Data Broadcasting+....................................... 249,563
2,550 Data Translation Inc.+................................... 9,244
12,600 Data Transmission Network+............................... 289,800
5,800 Datastream Systems Inc.+................................. 110,200
7,700 Davox+................................................... 220,413
8,300 Decisionone Corp.+....................................... 124,500
14,800 Dendrite International+.................................. 140,600
4,900 Devon Group Inc.+........................................ 140,875
10,200 DH Technology Inc.+...................................... 170,850
10,400 Dialogic Corp.+.......................................... 371,800
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
72
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 23.5% (CONTINUED)
41,700 Diamond Multimedia Systems+............................... $ 523,856
4,245 Diana Corp.+.............................................. 33,960
16,800 Digi International Inc.+.................................. 138,600
21,300 Digital Microwave Corp.+.................................. 532,500
15,500 DII Group+................................................ 422,375
17,500 Dionex Corp.+............................................. 787,500
12,500 Documentum Inc.+.......................................... 315,625
25,000 Dynatech Corp.+........................................... 700,000
12,800 Eis International Inc.+................................... 75,200
10,900 Elcom International Inc.+................................. 76,300
9,800 Electro Scientific Industries Inc.+....................... 264,600
7,600 Eltron International Inc.+................................ 165,300
12,600 Encad Inc.+............................................... 429,975
14,700 Ennis Business Forms Inc.+................................ 163,538
17,200 Epic Design Technology Inc.+.............................. 457,950
11,600 Excalibur Technologies+................................... 92,800
63,500 Executone Information Systems+............................ 174,625
19,900 Filenet Corp. ............................................ 378,100
5,900 Franklin Electronic Publishers Inc.+...................... 283,200
25,700 General Datacomm Industries Inc.+......................... 199,175
28,300 Genrad Inc.+.............................................. 562,463
75,600 Geotek Communications Inc.+............................... 448,875
14,700 Geoworks+................................................. 275,625
2,900 Hadco Corp.+.............................................. 117,450
19,200 Harbinger Corp.+.......................................... 470,400
11,700 Harmonic Lightwaves+...................................... 195,975
3,700 HCIA Inc.+................................................ 126,725
9,900 Helix Technology Corp. ................................... 344,025
28,100 Highway Master+........................................... 393,400
25,600 HNC Software+............................................. 640,000
19,100 HPR Inc.+................................................. 267,400
20,700 Hutchinson Technology Inc.+............................... 664,988
23,900 Hyperion Software Corp.+.................................. 473,519
25,100 Identix Inc.+............................................. 257,275
12,300 Ikos Systems Inc.+........................................ 270,600
9,500 Imnet Systems Inc.+....................................... 231,563
42,600 IMP Inc.+................................................. 74,550
13,100 In Focus Systems Inc.+.................................... 270,188
2,100 Inacom Corp.+............................................. 54,600
4,800 Indus Group Inc.+......................................... 103,200
11,700 Inference+................................................ 92,138
11,700 Infinium Software Inc.+................................... 81,900
15,477 Information Resources Inc.+............................... 230,220
44,800 Insight Enterprises+...................................... 1,400,000
4,200 Integrated Measurement Systems+........................... 75,075
20,500 Integrated Systems Inc.+.................................. 466,375
19,600 Intelidata Technologies Corp.+............................ 105,350
13,100 Intercel Inc.+............................................ 150,650
67,500 Interdigital Communications Corp.+........................ 405,000
16,962 Intermagnetics General Corp.+............................. 184,462
25,000 Intermet Corp.+........................................... 378,125
3,900 International Cabletel Inc.+.............................. 75,563
27,100 Intersolv Inc.+........................................... 247,288
12,100 Inter-Tel Inc.+........................................... 181,500
23,200 Intervoice Inc.+.......................................... 255,200
5,000 IPC Information Systems+.................................. 62,500
13,700 ITI Technologies Inc.+.................................... 198,650
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
73
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 23.5% (CONTINUED)
67,600 Jack Henry & Associates+.................................. $ 2,230,800
20,000 Jacobs Engineering Group Inc.+............................ 515,000
29,200 JDS Software Group Inc.+.................................. 751,900
46,000 Keane Inc.+............................................... 1,621,500
24,000 Kulicke & Soffa Industries Inc.+.......................... 636,000
30,600 Lattice Semiconductor Corp.+.............................. 1,461,150
56,550 Learning Tree International+.............................. 1,753,050
25,200 Legato Systems Inc.+...................................... 510,300
10,100 Logic Works Inc.+......................................... 65,650
47,800 LTX Corp.+................................................ 271,863
10,200 Manufistics Group Inc.+................................... 321,300
9,700 Mastec Inc.+.............................................. 509,250
8,000 Maxis Inc.+............................................... 83,000
3,600 McWhorter Technologies Inc.+.............................. 77,400
11,400 MDL Information Systems+.................................. 233,700
10,200 Media 100 Inc.+........................................... 72,675
20,800 Mercury Interactive Corp.+................................ 270,400
12,800 Metaltools Inc.+.......................................... 172,800
41,450 Methode Electronics Inc., Class A Shares+................. 658,019
20,126 Metrocall Inc.+........................................... 115,725
21,600 Microcom Inc.+............................................ 226,800
10,300 Micros Systems Inc.+...................................... 397,838
5,600 Microtouch Systems Inc.+.................................. 147,000
7,400 Microware Systems Corp.+.................................. 87,875
13,200 Minerals Technologies Inc. ............................... 499,950
9,200 Mosaix+................................................... 100,050
17,300 MRV Communications, Inc.+................................. 419,525
27,700 Mylex Corp.+.............................................. 308,163
17,000 National Computer Systems Inc. ........................... 420,750
35,400 National Data Corp. ...................................... 1,243,425
10,700 National Instruments Corp.+............................... 409,275
15,200 Netcom On-Line Communication Services Inc.+............... 159,600
39,800 Netmanage Inc.+........................................... 154,225
55,000 Network Appliance+........................................ 2,200,000
29,100 Network Equipment Technologies+........................... 469,238
14,000 Network Peripherals Inc.+................................. 201,250
31,900 Nova Corp.+............................................... 522,363
14,300 Novadigm Inc.+............................................ 87,588
28,400 Nu-Kote Holdings Inc., Class A Shares+.................... 159,750
44,200 Oak Technologies Inc.+.................................... 596,700
24,300 OIS Optical Imaging Systems Inc.+......................... 66,825
17,825 Organogenesis Inc.+....................................... 394,378
9,500 Ortel Corp.+.............................................. 123,500
3,400 Pacific Scientific Co.+................................... 46,325
10,800 Palmer Wireless Inc.+..................................... 162,000
5,700 Park Electrochemical Corp. ............................... 138,938
33,868 Paxar Corp.+.............................................. 643,492
46,600 P-Com Inc.+............................................... 1,497,025
12,200 Peak Technologies Group Inc.+............................. 131,150
31,900 Performance Systems Inc.+................................. 263,175
14,400 Periphonics Corp.+........................................ 172,800
24,100 Phoenix Technology Ltd.+.................................. 429,281
10,700 Pinnacle Systems Inc.+.................................... 141,775
22,100 Pioneer Standard Electronics Inc. ........................ 309,400
12,000 Pixar Inc.+............................................... 235,500
4,200 Planar Systems Inc.+...................................... 53,025
66,796 Platinum Technology Inc.+................................. 993,591
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
74
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 23.5% (CONTINUED)
39,300 PMT Services Inc.+........................................ $ 505,988
18,100 Policy Management System+................................. 778,300
23,700 Precision Systems Inc.+................................... 94,800
8,000 Premenos Technology Corp.+................................ 62,000
9,100 Premiere Technologies Inc.+............................... 170,625
39,600 Premisys Communications+.................................. 584,100
8,600 PRI Automation+........................................... 424,625
29,875 Pricellular Corp.+........................................ 265,141
7,785 Primark Corp. ............................................ 193,652
14,600 Prism Solutions Inc.+..................................... 98,550
9,400 Progress Software Corp.+.................................. 127,488
8,600 Project Software & Development+........................... 305,300
13,100 Proxim Inc.+.............................................. 248,900
32,502 Pure Atria Corp.+......................................... 623,632
46,300 Quarterdeck Corp.+........................................ 173,625
9,000 Quickresponse Services+................................... 247,500
7,400 Radisys Corp.+............................................ 264,550
4,600 Rainbow Technologies Inc.+................................ 81,650
28,700 Ramtron International Co.+................................ 190,138
17,600 Red Brick Systems Inc.+................................... 347,600
61,700 Remedy Corp.+............................................. 2,367,738
3,500 Renaissance Solutions+.................................... 109,813
26,700 Ross Technology Inc.+..................................... 78,431
21,200 Safeskin Corp.+........................................... 392,200
22,200 Santa Cruz Operations Inc.+............................... 158,175
39,700 Sapient Corp.+............................................ 1,533,413
71,550 Scopus Technology Inc.+................................... 1,565,157
13,100 SDL Inc.+................................................. 268,550
68,700 SIII Inc.+@............................................... 1,189,369
20,100 Secure Computing Corp.+................................... 140,700
60,200 Security Dynamics Technologies Inc.+...................... 1,655,500
4,900 Sequent Computer Systems Inc.+............................ 84,219
20,300 Seventh Level Inc.+....................................... 71,684
40,700 Sierra Semiconductor Corp.+............................... 651,200
18,500 Silicon Storage Technology+............................... 75,156
21,400 Silicon Valley Group Inc.+................................ 457,425
12,900 Siliconix Inc.+........................................... 303,150
19,400 Smart Modular Technology+................................. 565,025
37,400 Spectrum Holobyte Inc.+................................... 308,550
9,100 SPS Transaction Services+................................. 153,563
8,400 SPSS Inc.+................................................ 210,000
16,900 Spyglass Inc.+............................................ 177,450
33,300 Stac Electronics+......................................... 199,800
13,900 State of the Art Inc.+.................................... 166,800
7,600 Storage Computer Corp.+................................... 121,600
48,300 Structural Dynamics Research Corp.+....................... 959,963
17,700 Submicron Corp.+.......................................... 70,800
31,300 Sunriver Corp.+........................................... 46,950
10,100 Supertex Inc.+............................................ 121,200
75,900 Symantec Corp.+........................................... 1,185,938
21,000 Sync Research Inc.+....................................... 165,375
17,000 Systems & Computer Technology+............................ 344,250
38,500 System Software Associates Inc.+.......................... 399,438
22,300 Systemsoft Corp.+......................................... 362,375
16,700 TCSI Corp.+............................................... 91,850
52,866 Tech Data Corp.+@......................................... 1,268,784
9,400 Technitrol Inc.+.......................................... 420,650
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
75
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 23.5% (CONTINUED)
80,900 Technology Solutions Co.+................................ $ 2,396,663
10,100 Tekelec+................................................. 202,000
11,700 Telco Systems Inc.+...................................... 181,350
18,200 Tel-Save Holdings Inc.+.................................. 325,325
8,200 Teltrend+................................................ 145,550
8,900 Telxon Corp. ............................................ 144,625
39,500 Tencor Instruments+...................................... 1,582,469
114,970 Tetra Tech, Inc.+........................................ 1,552,096
16,800 Tetra Technologies, Inc.+................................ 396,900
6,000 Thermospectra Corp.+..................................... 90,000
21,500 3DO Co.+................................................. 87,344
14,050 Transaction Network Services+............................ 140,500
117,200 Transaction Systems Architects+@......................... 3,047,200
11,700 Trescom International Inc.+.............................. 73,125
11,800 Trident Microsystems Inc.+............................... 264,025
11,100 Triquint Semiconductor+.................................. 348,263
17,500 Tseng Labs Inc.+......................................... 63,438
6,750 Unison Software Inc.+.................................... 111,375
14,400 Unitrode Corp.+.......................................... 525,600
9,200 U.S. Data Corp.+......................................... 36,800
38,500 Vanguard Cellular System+................................ 543,813
21,500 Vanstar Corp.+........................................... 295,625
12,200 Vantive Corp.+........................................... 271,450
20,800 Veeco Instruments Inc.................................... 509,600
73,700 Verilink Corp.+.......................................... 1,271,325
42,300 Veritas Software Co.+.................................... 1,343,025
12,000 Verity Inc.+............................................. 117,750
52,600 Viasoft Inc.+............................................ 1,893,600
19,300 Vical Inc.+.............................................. 337,750
42,300 Vicor Corp.+............................................. 692,663
16,500 Videolan Technologies Inc.+.............................. 19,594
72,500 Videoserver Inc.+........................................ 1,540,625
25,600 Viewlogic Systems Inc.+.................................. 377,600
45,500 Visio Corp.+............................................. 1,922,375
14,300 Visx Inc.+............................................... 318,175
52,500 VLSI Technology+......................................... 981,094
48,700 Wang Laboratories Inc.+.................................. 1,068,356
13,550 Wind River Systems+...................................... 508,125
37,500 Winstar Communications Inc.+............................. 506,250
7,700 Workgroup Technology Corp.+.............................. 34,650
24,400 Xicor Inc.+.............................................. 170,800
22,300 Xircom Inc.+............................................. 443,213
5,300 Xpedite Systems Inc.+.................................... 117,925
26,200 Zebra Technologies Corp., Class A Shares+................ 582,950
25,700 Zilog Inc.+.............................................. 607,163
6,700 Zoran Corp.+............................................. 121,019
- --------------------------------------------------------------------------------
135,474,279
- --------------------------------------------------------------------------------
TRANSPORTATION -- 1.1%
25,200 Air Express International Corp. ......................... 781,200
12,700 American Freightways Corp. .............................. 152,400
15,000 Asa Holdings Inc.+....................................... 339,375
7,600 Eagle USA Airfreight Inc.+............................... 254,600
9,800 Greenwich Air Services Corp.+............................ 214,375
22,885 Heartland Express Inc.+.................................. 480,585
16,100 Landstar Systems Inc.+................................... 360,238
7,100 Midwest Express Holdings+................................ 240,513
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
76
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
TRANSPORTATION -- 1.1% (CONTINUED)
3,402 Monro Muffler Brake Inc.+............................ $ 60,386
4,700 Railtex Inc.+........................................ 85,188
84,800 Rural/Metro Corp.+................................... 2,671,200
16,300 Swift Transportation Inc.+........................... 433,988
53,600 ValueJet Inc.+....................................... 391,950
13,800 Western Pacific Airlines+............................ 77,625
- -------------------------------------------------------------------------------
6,543,623
- -------------------------------------------------------------------------------
UTILITIES -- 0.7%
19,950 ACC Corp.+........................................... 558,600
84,700 Aspect Telecommunications Corp.+..................... 2,106,913
16,100 CFW Communications Co.+.............................. 334,075
14,900 Mid Comm Communications+............................. 144,344
52,400 Mobile Telecommunications+........................... 406,100
42,700 Tuscon Electric Power Co.+........................... 640,500
8,600 Western Water Co.+................................... 115,967
- -------------------------------------------------------------------------------
4,306,499
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $538,380,031)........... 562,903,613
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY BILLS -- 0.1%
$ 200,000 U.S. Treasury Bills, 4.91% due 3/13/97++............. 199,673
300,000 U.S. Treasury Bills, 4.97% due 3/13/97++............. 299,503
- -------------------------------------------------------------------------------
TOTAL U.S TREASURY BILLS (Cost--$499,176)............ 499,176
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 2.4%
13,473,000 Chase Manhattan Bank, 5.317% due 3/3/97; Proceeds at
maturity -- $13,478,970;
(Fully collateralized by U.S. Treasury Notes, 5.375%
due 11/30/97;
Market value -- $13,742,482) ........................ 13,473,000
602,000 Chase Manhattan Bank, 4.280% due 3/3/97; Proceeds at
maturity -- $602,215;
(Fully collateralized by U.S. Treasury Notes, 6.875%
due 3/31/97;
Market value -- $617,250) ........................... 602,000
- -------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost -- $14,075,000).... 14,075,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $552,954,207**)... $577,477,789
- -------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
@ Security has been partially segregated by custodian to cover open
commitments.
++ Security serves as collateral for futures contracts.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
U.S. Treasury Bills 0.1%
Consumer Durables & Non-Durables 9.0%
Healthcare 16.8%
Technology 23.5%
Capital Goods 8.8%
Financial Services 5.0%
Energy 2.6%
Consumer Services 18.9%
Basic Industries 7.7%
Other Common Stocks 5.2%
Repurchase Agreement 2.4%
SEE NOTES TO FINANCIAL STATEMENTS.
77
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
STOCKS -- 96.8%
- --------------------------------------------------------------------------------
AUSTRALIA -- 3.3%
6,000 Aberfoyle Ltd. ....................................... $ 17,790
48,300 Amcor Ltd. ........................................... 317,919
17,800 Ashton Mining Ltd.+................................... 27,771
22,100 Australian Gas Light Co. Ltd. ........................ 126,425
49,800 Australian National Industries Ltd. .................. 55,276
87,664 Boral Ltd. ........................................... 238,156
16,900 Brambles Industries Ltd. ............................. 284,655
316,711 Broken Hill Proprietary Co. Ltd. ..................... 4,191,413
39,845 Burns, Philp & Co. Ltd. .............................. 61,855
41,833 Coca-Cola Amatil Ltd. ................................ 383,154
82,460 Coles Myer Ltd. ...................................... 362,910
26,743 CRA Ltd. ............................................. 400,461
38,000 Crown Ltd.+........................................... 69,344
74,600 CSR Ltd. ............................................. 263,465
26,048 David Jones Ltd. ..................................... 33,765
13,300 Delta Gold NL+........................................ 22,195
8,250 Dominion Mining Ltd.+................................. 4,653
23,150 Email Ltd. ........................................... 73,135
7,785 F. H. Faulding & Co. Ltd. ............................ 45,320
149,500 Foster's Brewing Group Ltd. .......................... 312,152
33,051 Futuris Corp. Ltd. ................................... 46,177
87,500 General Property Trust................................ 170,473
46,587 Gio Australia Holdings Ltd. .......................... 130,902
93,434 Goodman Fielder Ltd. ................................. 113,136
16,400 Great Central Mines NL+............................... 42,390
14,587 Howard Smith Ltd. .................................... 122,361
22,600 ICI Australia Ltd. ................................... 214,013
29,544 James Hardie Industries Ltd. ......................... 84,849
19,800 Leighton Holdings Ltd. ............................... 86,065
18,554 Lend Lease Corp. Ltd. ................................ 339,301
12,300 Metal Manufactures Ltd. .............................. 29,979
125,016 M.I.M. Holdings Ltd. ................................. 173,697
112,148 National Australia Bank Ltd. ......................... 1,411,937
18,442 Newcrest Mining Ltd. ................................. 70,142
1,884,682 News Corp. Ltd. ...................................... 10,035,410
227,872 News Corp. Ltd. Preferred............................. 1,029,406
123,480 Normandy Mining Ltd. ................................. 170,604
55,409 North Ltd. ........................................... 179,345
78,000 Pacific Dunlop Ltd. .................................. 187,685
67,625 Pioneer International Ltd. ........................... 201,039
12,100 Plutonic Resources Ltd. .............................. 47,993
22,400 QBE Insurance Group Ltd. ............................. 112,145
49,700 QCT Resources Ltd. ................................... 68,667
16,240 RGC Ltd. ............................................. 64,540
11,700 Resolute Samantha Ltd. ............................... 27,245
9,300 Rothmans Holdings Ltd. ............................... 62,802
41,000 Santos Ltd. .......................................... 147,664
26,612 Schroders Property Fund............................... 49,162
7,800 Sons of Gwalia NL .................................... 43,470
46,050 Southcorp Holdings Ltd. .............................. 162,992
24,904 Stockland Trust Group................................. 63,984
41,700 Sydney Harbour Casino Holdings Ltd.+.................. 76,064
23,100 TABCORP Holdings Ltd. ................................ 105,967
36,700 TNT Ltd.+............................................. 68,652
87,381 Westfield Trust....................................... 168,206
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
78
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
AUSTRALIA -- 3.3% (CONTINUED)
137,700 Westpac Banking Corp. Ltd. ......................... $ 780,243
1,140,565 WMC Ltd. ........................................... 7,189,562
- ------------------------------------------------------------------------------
31,370,083
- ------------------------------------------------------------------------------
AUSTRIA -- 0.2%
200 Austria Mikro Systeme International AG.............. 18,803
200 Austrian Airlines Osterreichische Luftverkehrs AG... 29,795
500 Bank Austria AG..................................... 17,549
4,970 Bank Austria AG Participant Certificate............. 340,084
300 Bau Holding AG...................................... 16,463
800 Boehler-Uddeholm AG................................. 55,247
100 BWT AG.............................................. 10,479
2,160 Creditanstalt-Bankverein............................ 132,714
1,180 Creditanstalt-Bankverein:Vorzu...................... 45,179
500 EA-Generali AG...................................... 138,876
1,600 Flughafen Wien AG................................... 80,127
200 Lenzing AG.......................................... 9,629
900 Mayr-Melnhof Karton AG+............................. 46,056
600 Oesterreichische Brau-Beteiligungs AG............... 36,865
2,300 Oesterreichische Elekrizitaetswirtschafts AG, Class
A Shares........................................... 167,062
2,020 OMV AG.............................................. 238,023
1,000 Radex-Heraklith Industriebeteiligungs AG............ 36,271
600 Steyr-Daimler-Puch AG+.............................. 10,605
140 Strabag Oesterreich AG.............................. 8,142
300 Universale-Bau AG................................... 11,867
1,100 VA Technologie AG................................... 165,918
500 Wienerberger Baustoffindustrie AG................... 90,774
- ------------------------------------------------------------------------------
1,706,528
- ------------------------------------------------------------------------------
BELGIUM -- 0.6%
1,000 Barco Industries+................................... 170,562
180 Bekaert S.A. ....................................... 110,219
1,800 Cimenteries CBR Cementbedrijven..................... 170,304
250 Cimenteries CBR Cementbedrijven--STRIP VVPR+........ 43
4,100 Delhaize-Le Lion S.A. .............................. 240,754
625 Electrabel S.A. .................................... 628
4,350 Electrabel S.A.--STRIP VVPR+........................ 1,003,000
3,364 Fortis AG........................................... 586,330
1,540 Generale de Banque S.A. ............................ 528,736
2,050 Gevaert NV.......................................... 148,337
550 Glaverbel S.A. ..................................... 64,987
1,900 Groupe Bruxelles Lambert S.A. ...................... 261,328
1,025 Kredietbank NV...................................... 370,844
150 Kredietbank NV VVPR................................. 54,270
1,860 PetroFina S.A. ..................................... 666,269
1,275 Royale Belge........................................ 296,547
175 Royale Belge--STRIP VVPR+........................... 45
670 Solvay S.A ......................................... 411,223
1,100 Tractebel........................................... 476,943
150 Tractebel--STRIP VVPR+.............................. 99
1,100 Tractebel Warrants, Expire 11/30/99................. 9,191
2,000 The Union Miniere Group+............................ 147,878
- ------------------------------------------------------------------------------
5,718,537
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
79
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
CANADA -- 0.6%
100 Canadian Pacific Ltd. .............................. $ 2,476
72,400 Inco Ltd. .......................................... 2,534,000
161,800 Placer Dome, Inc. ADR............................... 3,478,700
- -------------------------------------------------------------------------------
6,015,176
- -------------------------------------------------------------------------------
DENMARK -- 0.4%
255 Aarhus Oliefabrik A/S, Class A Shares............... 13,660
65 Aarhus Oliefabrik A/S, Class B Shares............... 3,502
10 A/S Dampskibsselskabet Svendborg, Class B Shares.... 415,770
1,710 A/S Det Ostasiatiske Kompagni+...................... 42,217
1,015 Bang & Olufsen Holdings A/S......................... 57,367
2,815 Carlsberg A/S, Class A Shares....................... 173,088
2,285 Carlsberg A/S, Class B Shares....................... 140,500
4,420 Danisco A/S......................................... 267,658
4,225 Den Danske Bank..................................... 377,871
17 D/S 1912, Class B Shares............................ 490,970
735 FLS Industries A/S, Class B Shares.................. 97,577
475 GN Store Nord A/S................................... 50,153
2,375 ISS International Service System A/S, Class B Shares
................................................... 68,223
215 J. Lauritzen Holdings A/S, Class B Shares........... 25,205
970 Korn-OG Foderstof Kompagniet A/S.................... 36,900
600 NKT Holding A/S..................................... 36,800
5,990 Novo Nordisk A/S, Class B Shares.................... 574,790
825 Radiometer A/S, Class B Shares...................... 49,961
3,750 SAS Danmark A/S..................................... 45,708
524 Sophus Berendsen A/S, Class A Shares................ 71,274
1,574 Sophus Berendsen A/S, Class B Shares................ 212,627
495 Superfos A/S........................................ 60,565
10,455 Tele Danmark A/S, Class B Shares.................... 543,829
4,250 Unidanmark A/S, Class A Shares...................... 223,049
- -------------------------------------------------------------------------------
4,079,264
- -------------------------------------------------------------------------------
FINLAND -- 0.3%
1,900 Amer Group, Ltd., Class A Shares.................... 39,623
600 Cultor Oy Series 1.................................. 35,750
1,200 Cultor Oy Series 2.................................. 72,694
1,200 Instrumentarium Group, Class A Shares............... 45,046
400 Instrumentarium Group, Class B Shares............... 15,015
10,500 Kemira Oy........................................... 118,870
7,200 Kesko............................................... 105,249
500 Kone Corp., Class B Shares.......................... 55,115
66,066 Merita Ltd., Class A Shares......................... 237,501
1,100 Metra Oy, Class A Shares............................ 64,669
1,000 Metra Oy, Class B Shares............................ 59,584
9,900 Outokumpu Oy, Class A Shares........................ 173,032
8,500 Oy Nokia AB......................................... 513,218
15,900 Oy Nokia AB, Class A Shares......................... 930,150
1,600 Pohjola Insurance Group, Class A Shares............. 48,780
1,600 Pohjola Insurance Group, Class B Shares............. 48,938
1,200 Sampo Insurance Co. Ltd., Class A Shares............ 113,210
700 Stockmann AB, Class A Shares........................ 40,597
500 Stockmann AB, Class B Shares........................ 27,309
21,260 UPM-Kymmene Corp.+.................................. 447,588
- -------------------------------------------------------------------------------
3,191,938
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
80
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
FRANCE -- 8.0%
2,541 Accor S.A. ......................................... $ 349,665
407 Adecco S.A. ........................................ 131,516
152,908 Alcatel Alsthom..................................... 15,700,211
14,802 AXA S.A. ........................................... 985,449
15,925 Banque Nationale de Paris........................... 722,555
160 Bongrain S.A. ...................................... 62,008
1,836 Bouygues............................................ 175,308
1,918 Canal Plus.......................................... 359,543
2,955 Carrefour S.A. ..................................... 1,821,040
4,700 Casino Guichard Perrachon........................... 214,488
1,300 Casino Guichard Perrachon Preferred................. 49,857
450 Chargeurs International S.A.+....................... 22,748
1,056 Club Mediterranee S.A. ............................. 81,091
33,990 Compagnie Bancaire S.A. ............................ 4,122,483
6,648 Compagnie de Saint Gobain........................... 980,170
12,537 Compagnie de Suez S.A. ............................. 612,624
94,236 Compagnie Financiere de Paribas..................... 6,416,047
1,250 Compagnie Francaise d'Etudes et de Construction
Technip............................................ 126,376
250 Compagnie Generale de Geophysique S.A............... 21,436
99,653 Compagnie Generale des Eaux......................... 13,870,159
400 Comptoirs Modernes.................................. 197,918
824 CPR Parisienne de Reescompte........................ 70,305
1,115 Credit National..................................... 73,390
400 Dollfus-Mieg & Cie.................................. 11,346
20,950 Elf Aquitaine S.A................................... 2,004,062
2,000 Eridania Beghin-Say S.A. ........................... 323,311
700 Essilor International............................... 192,161
150 Europe 1 Communication.............................. 35,543
700 Finextel............................................ 11,856
5,574 Groupe Danone....................................... 845,301
600 Groupe Saint Louis.................................. 157,548
1,169 GTM ENTREPOSE S.A. ................................. 62,787
4,925 Havas S.A. ......................................... 389,000
1,100 Imetal S.A. ........................................ 158,321
7,241 Lafarge S.A. ....................................... 453,730
7,444 Lagardere S.C.A. ................................... 219,506
5,615 L'Air Liquide....................................... 883,057
2,140 Legrand S.A. ....................................... 375,617
5,215 L'OREAL............................................. 1,767,533
4,541 Lyonnaise des Eaux S.A. ............................ 463,880
8,908 Michelin............................................ 557,874
6,710 Moet Hennessy Louis Vuitton......................... 1,569,942
2,540 Moulinex+........................................... 58,849
800 Nord-Est S.A. ...................................... 21,329
600 Pathe S.A.+ ........................................ 150,387
4,325 Pernod-Ricard....................................... 236,090
1,700 Pinault-Printemps-Redoute S.A. ..................... 719,411
1,550 Primagaz Cie........................................ 159,154
1,450 Promodes............................................ 428,843
3,850 PSA Peugeot......................................... 425,728
25,187 Rhone-Poulenc, Class A Shares....................... 884,173
300 Sagem S.A. ......................................... 165,341
1,200 Salomon S.A. ....................................... 82,355
8,038 Sanofi S.A. ........................................ 795,716
10,356 Schneider S.A. ..................................... 545,492
1,600 Sidel S.A. ......................................... 117,108
</TABLE>
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INTERNATIONAL EQUITY INVESTMENTS
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<C> <S> <C>
FRANCE -- 8.0% (CONTINUED)
1,184 Simco S.A. ......................................... $ 114,715
1,150 Skis Rossignol S.A. ................................ 31,287
2,100 Societe BIC S.A. ................................... 340,582
280 Societe Eurafrance S.A. ............................ 132,203
1,200 Societe Francaise d'Investissements Immobiliers et
de destion......................................... 99,310
7,036 Societe Generale.................................... 815,081
3,950 Societe Nationale d'Exploitation Industrielle des
Tabacs et Allumettes............................... 151,142
600 Sodexho S.A. ....................................... 333,842
1,500 Sommer Allibert..................................... 45,548
9,212 Thomson CSF......................................... 291,852
18,577 Total S.A., Class B Shares.......................... 1,481,973
700 Union du Credit-Bail Immobilier..................... 67,207
650 Union Immobiliere de France......................... 53,850
18,650 Usinor Sacilor...................................... 288,066
123,928 Valeo S.A. ......................................... 8,352,791
- ------------------------------------------------------------------------------
75,038,187
- ------------------------------------------------------------------------------
GERMANY -- 8.7%
3,450 Adidas AG........................................... 330,041
2,500 AGIV-AG fuer Industrie und Verkehrswesen+........... 41,316
1,750 Allianz AG Holding.................................. 3,405,254
50 AMB Aachener & Muenchener Beteiligungs AG Bearer
Shares............................................. 31,098
300 AMB Aachener & Muenchener Beteiligungs AG Registerd
Shares............................................. 202,583
46,650 BASF AG............................................. 1,720,153
54,000 Bayer AG............................................ 2,267,859
19,700 Bayerische Hypotheken-und Wechsel-Bank AG........... 583,695
20,200 Bayerische Vereinsbank AG........................... 740,659
6,450 Beiersdorf AG....................................... 353,027
2,750 Bilfinger & Berger Bau AG........................... 112,398
250 Brau Und Brunnen AG+................................ 20,954
200 Buders Lahn......................................... 91,221
1,900 CKAG Colonia Konzern AG............................. 171,633
500 CKAG Colonia Konzern AG Preferred................... 37,763
7,200 Continental AG...................................... 141,595
256,727 Daimler-Benz AG+.................................... 18,628,678
650 Degussa AG.......................................... 275,678
38,250 Deutsche Bank AG.................................... 1,982,058
21,500 Deutsche Lufthansa AG............................... 289,095
7,700 Deutsche Lufthansa AG Non Voting Preferred.......... 103,536
167,950 Deutsche Telecomm................................... 3,223,303
150 Didier-Werke AG+.................................... 12,262
100 DLW AG+............................................. 8,234
2,450 Douglas Holding AG.................................. 86,785
34,050 Dresdner Bank AG.................................... 1,129,487
117 Dyckerhoff AG....................................... 45,585
117 Dyckerhoff AG Preferred............................. 35,777
50 Escada AG........................................... 9,374
50 Escada AG Preferred................................. 8,574
250 Friedrich Grohe AG.................................. 68,860
4,630 George Schaefer Kommanditgesellschaft auf Aktien.... 70,210
3,350 Heidelberger Zement AG.............................. 275,033
100 Herlitz AG+......................................... 9,685
100 Herlitz AG Preferred................................ 9,270
5,350 Hochtief AG......................................... 232,926
104,911 Hoechst AG.......................................... 4,483,668
100 Holsten-Brauerei AG................................. 19,488
150 IWKA AG............................................. 34,519
</TABLE>
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GERMANY -- 8.7% (CONTINUED)
650 Karstadt AG......................................... $ 212,457
3,500 Kloeckner-Humboldt-Deutz AG+........................ 17,104
650 Linde AG............................................ 426,608
850 MAN AG.............................................. 217,560
350 MAN AG -- Vorzugsaktien............................. 73,433
25,698 Mannesmann AG....................................... 10,156,205
13,150 Merck KGaA.......................................... 501,635
6,925 Metro AG+........................................... 602,994
500 Metro AG -- Non Voting Preferred.................... 32,579
600 Muenchener Rueckversicherungs-Gesellschaft.......... 1,492,714
1,150 Preussag AG......................................... 295,640
550 PWA Papierwerke Waldhof-Aschaffenburg AG............ 79,167
116 Rheinmetall Berlin AG............................... 19,377
50 Rheinmetall Berlin AG Preferred..................... 6,930
25,850 RWE AG.............................................. 1,153,006
16,600 RWE AG Preferred.................................... 602,269
100 Salamander AG....................................... 11,610
4,650 SAP AG.............................................. 712,567
3,250 SAP AG -- Vorzugsaktien............................. 500,341
5,250 Schering AG......................................... 472,693
1,600 Sgl Carbon AG....................................... 217,036
42,850 Siemens AG.......................................... 2,167,628
150 STRABAG AG+......................................... 12,928
2,400 Thyssen AG.......................................... 506,243
37,350 VEBA AG............................................. 2,152,680
2,006 Viag AG............................................. 881,681
34,691 Volkswagen AG....................................... 16,870,815
500 Volkswagen AG Preferred............................. 191,772
- ------------------------------------------------------------------------------
81,881,006
- ------------------------------------------------------------------------------
HONG KONG -- 4.2%
50,000 Applied International Holdings...................... 3,002
107,808 Bank of East Asia, Ltd.............................. 393,282
282,000 Cathay Pacific Airways.............................. 438,804
188,000 Cheung Kong Holdings Ltd. .......................... 1,796,488
163,000 China Light & Power Co. Ltd. ....................... 753,538
153,501 Chinese Estates Holdings............................ 163,531
22,000 Dickson Concepts International Ltd. ................ 80,398
65,000 Elec & Eltek (Bermuda) International Holdings....... 16,619
23,907 Evergo China Holdings Ltd. ......................... 3,766
46,000 Giordano International Ltd. ........................ 32,671
111,000 Hang Lung Development Co. .......................... 223,605
455,400 Hang Seng Bank Ltd. ................................ 5,263,210
245,000 Hong Kong & China Gas Co. Ltd. ..................... 465,070
18,000 Hong Kong & China Gas Co. Ltd. Warrants, Expire
9/30/97+........................................... 8,949
12,400 Hong Kong Aircraft Engineering Co. Ltd. ............ 39,310
942,800 Hong Kong Telecommunications Ltd. .................. 1,625,307
13,800 Hong Kong Telecommunications Ltd. ADR .............. 239,775
102,500 Hong Kong & Shanghai Hotels Ltd. ................... 180,672
343,000 Hopewell Holdings Ltd. ............................. 204,852
1,080,000 Hutchison Whampoa Ltd. ............................. 8,228,305
84,000 Hysan Development Co. Ltd. ......................... 289,618
3,650 Hysan Development Co. Ltd. Rights................... 2,357
17,089 Jardine Matheson Holdings Ltd. ..................... 103,389
31,500 Johnson Electric Holdings Ltd. ..................... 87,048
25,000 Kumagai Gumi (Hong Kong) Ltd. ...................... 28,571
5,000 Kumagai Gumi (Hong Kong) Ltd. Warrants, Expire
6/30/98+........................................... 1,969
</TABLE>
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HONG KONG -- 4.2% (CONTINUED)
16,000 Lai Sun Garment (International) Ltd. ............... $ 23,348
4,900 Melco International Development Ltd. ............... 1,772
45,000 Miramar Hotel and Investment Ltd. .................. 85,130
1,137,119 New World Development Co. Ltd. ..................... 7,048,258
898 New World Infrastructure Ltd. ...................... 2,668
96,000 Oriental Press Group ............................... 39,979
9,600 Oriental Press Group Warrants, Expire 10/2/98....... 508
52,000 Peregrine Investment Holdings Ltd. ................. 95,015
4,200 Peregrine Investment Holdings Ltd. Warrants, Expire
5/15/98............................................ 1,451
44,000 Playmates Toys Holdings Ltd. ....................... 10,739
254,000 Regal Hotels International.......................... 75,439
130,000 Shangri-La Asia Ltd. ............................... 169,551
120,000 Shun Tak Holdings Ltd. ............................. 84,452
142,000 South China Morning Post Holdings Ltd. ............. 128,357
62,000 Stelux Holdings International Ltd. ................. 13,530
12,400 Stelux Holdings International Ltd. Warrants, Expire
2/28/98 ........................................... 0
718,000 Sun Hung Kai Properties Ltd. ....................... 8,298,167
151,500 Swire Pacific Ltd., Class A Shares.................. 1,300,975
41,000 Tai Cheung Holdings Ltd. ........................... 37,061
33,000 Television Broadcasts Ltd. ......................... 140,625
185,000 Wharf Holdings Ltd. ................................ 821,799
15,140 Wing Lung Bank ..................................... 108,017
17,000 Winsor Industrial Corp. Ltd. ....................... 4,149
8,500 Winsor Properties Holdings Ltd. .................... 15,751
- ------------------------------------------------------------------------------
39,180,847
- ------------------------------------------------------------------------------
IRELAND -- 0.1%
45,600 Allied Irish........................................ 326,400
24,186 CRH PLC............................................. 250,106
19,300 Fyffes PLC.......................................... 34,231
11,764 Greencore Group PLC................................. 71,351
16,647 Independent Newspapers PLC.......................... 89,632
20,900 Irish Life PLC...................................... 105,912
3,000 James Crean PLC..................................... 9,977
72,458 Jefferson Smurfit Group PLC......................... 183,018
11,100 Kerry Group PLC..................................... 116,015
48,600 Waterford Wedgewood PLC............................. 65,803
14,751 Woodchester Investments PLC......................... 63,890
- ------------------------------------------------------------------------------
1,316,335
- ------------------------------------------------------------------------------
ITALY -- 4.8%
9,000 Arnoldo Mondadori Editore S.p.A. ................... 59,214
67,300 Assicurazioni Generali.............................. 1,216,338
139,000 Banca Commerciale Italiana.......................... 281,290
39,000 Banco Ambrosiano Veneto S.p.A. ..................... 99,231
15,000 Banco Ambrosiano Veneto S.p.A. di Risp NC#.......... 27,604
16,000 Banco Popolare di Milano............................ 87,574
13,000 Benetton Group S.p.A. .............................. 148,508
6,000 Bulgari S.p.A. ..................................... 102,604
9,000 Burgo Cartiere S.p.A. .............................. 41,272
15,000 Cementir S.p.A. .................................... 9,630
190,000 Credito Italiano.................................... 260,491
3,000 Danieli & Co. ...................................... 21,845
3,000 Danieli & Co. Warrants, Expire 11/30/99............. 11,432
49,000 Edison S.p.A. ...................................... 269,384
618,000 Ente Nazionale Idrocarburi S.p.A. .................. 3,047,215
11,000 Falck Acciaierie & Ferriere Lombarde................ 48,784
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
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INTERNATIONAL EQUITY INVESTMENTS
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ITALY -- 4.8% (CONTINUED)
2,759,214 Fiat S.p.A. ......................................... $ 8,465,399
72,000 Fiat S.p.A. Preferred................................ 120,994
30,000 Impregilo S.p.A. .................................... 22,385
63,000 Instituto Bancario San Paolo di Torino............... 444,616
46,000 Istituto Mobiliare Italiano S.p.A. .................. 398,404
3,845,205 Istituto Nazionale delle Assicurazioni............... 5,030,621
13,000 Italcementi S.p.A. .................................. 70,577
7,000 Italcementi S.p.A. Warrants, Expire 12/31/97......... 17,078
51,000 Italgas S.p.A. ...................................... 181,729
4,000 La Previdente........................................ 21,089
11,000 La Rinascente S.p.A. ................................ 55,130
2,000 La Rinascente S.p.A. di Risp NC#..................... 3,964
3,000 La Rinascente S.p.A. PRIV............................ 7,328
800 La Rinascente S.p.A. Warrants, Expire 12/31/99....... 388
27,500 Magneti Marelli S.p.A. .............................. 36,808
4,000 Marzotto & Figli S.p.A. ............................. 30,769
89,000 Mediaset S.p.A. ..................................... 375,222
37,000 Mediobanca S.p.A.+ .................................. 241,157
45,000 Montedison S.p.A.+................................... 30,355
305,700 Montedison S.p.A. di Risp NC+#....................... 221,587
3,292,741 Olivetti Group+...................................... 1,205,844
115,000 Parmalat Finanziara S.p.A. .......................... 157,462
3,558,035 Pirelli S.p.A. ...................................... 7,033,962
25,000 Riunione Adriatica di Sicurta S.p.A. ................ 224,660
8,800 Riunione Adriatica di Sicurta S.p.A. di Risp NC# .... 47,645
6,000 Sasib S.p.A. ........................................ 17,751
4,000 Sasib S.p.A. di Risp NC#............................. 7,858
17,000 Sirti S.p.A. di Risp NC#............................. 104,766
55,000 Snia BPD S.p.A. ..................................... 54,871
5,000 Snia BPD S.p.A. di Risp NC#.......................... 3,728
12,000 Societa Assicuratrice Industriale.................... 81,689
2,685,944 Stet Societa Finanziaria Telefonica S.p.A............ 11,393,806
512,000 Telecom Italia S.p.A. ............................... 1,198,504
122,500 Telecom Italia S.p.A. di Risp NC#.................... 246,812
513,500 Telecom Italia Mobile S.p.A. ........................ 1,340,873
122,500 Telecom Italia Mobile S.p.A. di Risp NC#............. 185,997
- -------------------------------------------------------------------------------
44,814,244
- -------------------------------------------------------------------------------
JAPAN -- 30.1%
11,500 Acom Ltd. ........................................... 447,842
6,400 Advantest Corp. ..................................... 361,654
51,000 Ajinomoto Co. Inc. .................................. 460,602
14,000 Alps Electric Co. Ltd. .............................. 148,480
23,000 Amada Co. Ltd. ...................................... 167,893
8,000 Amano Corp. ......................................... 80,205
33,000 Aoki Corp.+.......................................... 47,576
5,700 Aoyama Trading Co. Ltd. ............................. 143,102
4,200 Arabian Oil Co. Ltd. ................................ 133,980
182,000 Asahi Bank Ltd. ..................................... 1,333,068
35,000 Asahi Breweries Ltd. ................................ 339,299
113,000 Asahi Chemical Industries Co. Ltd. .................. 611,393
92,000 Asahi Glass Co. Ltd. ................................ 815,644
8,000 Asahi Optical Co. Ltd.+ ............................. 33,474
49,000 Ashikaga Bank Ltd. .................................. 163,618
3,000 Autobacs Seven Co. Ltd. ............................. 211,534
365,600 Bank of Tokyo -- Mitsubishi Ltd. .................... 5,997,912
89,000 Bank of Yokohama Ltd. ............................... 426,232
</TABLE>
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INTERNATIONAL EQUITY INVESTMENTS
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<C> <S> <C>
JAPAN -- 30.1% (CONTINUED)
63,000 Bridgestone Corp. .................................... $ 1,127,517
21,000 Brother Industries Ltd. .............................. 88,740
202,000 Canon Inc. ........................................... 4,217,748
22,000 Casio Computer Corp. Ltd. ............................ 169,525
61,000 Chiba Bank Ltd. ...................................... 360,875
45,000 Chichibu Onoda Cement Corp. .......................... 158,091
14,000 Chiyoda Corp. ........................................ 74,240
19,000 Chugai Pharmaceutical Co. ............................ 150,029
25,000 Citizen Watch Co. Ltd. ............................... 178,142
50,000 Cosmo Oil Co. Ltd. ................................... 194,714
10,700 Credit Saison Co. Ltd. ............................... 227,848
5,000 CSK Corp. ............................................ 118,900
59,000 Dai Nippon Printing Co. Ltd. ......................... 982,600
29,000 Daicel Chemical Industries Ltd. ...................... 124,948
34,000 Daido Steel Co. Ltd. ................................. 103,107
869,000 Daiei Inc. ........................................... 5,745,812
9,000 Daifuku Co. Ltd. ..................................... 105,891
21,000 Dai-ichi Pharmaceutical Co. .......................... 342,779
21,000 Daikin Industries Ltd. ............................... 164,604
15,000 Daikyo Inc. .......................................... 56,550
21,000 Daimaru Inc. ......................................... 99,180
62,000 Dainippon Ink & Chemical Inc. ........................ 195,725
13,000 Dainippon Screen Manufacturing Co. Ltd. .............. 104,913
11,125 Daito Trust Construction Co. Ltd. .................... 108,770
40,000 Daiwa House Industry Co. Ltd. ........................ 444,113
12,000 Daiwa Kosho Lease Co. Ltd. ........................... 94,457
1,043,000 Daiwa Securities Co. Ltd. ............................ 8,192,593
1,126 DDI Corp. ............................................ 6,782,683
37,000 Denki Kagaku Kogyo K.K. .............................. 82,467
314 East Japan Railway Co. ............................... 1,337,277
23,000 Ebara Corp. .......................................... 289,668
120,800 Eisai Co. Ltd. ....................................... 2,262,059
10,000 Ezaki Glico Co. ...................................... 82,857
18,800 Fanuc................................................. 584,141
227,000 Fuji Bank Ltd. ....................................... 2,652,001
40,000 Fuji Photo Film....................................... 1,338,968
27,000 Fujikura Ltd. ........................................ 211,633
35,000 Fujita Corp. ......................................... 62,350
10,000 Fujita Kanko Inc. .................................... 110,200
144,000 Fujitsu Ltd. ......................................... 1,419,836
51,000 Furukawa Electric Co. ................................ 237,062
6,000 Gakken Co. ........................................... 27,094
40,000 Gunma Bank............................................ 309,553
19,000 Gunze Ltd. ........................................... 86,743
67,000 Hankyu Corp.+......................................... 321,427
15,000 Hankyu Department Store............................... 134,228
34,000 Haseko Corp.+......................................... 65,921
25,000 Hazama Corp. ......................................... 55,928
20,000 Higo Bank............................................. 112,685
3,000 Hirose Electric....................................... 168,034
261,000 Hitachi Ltd. ......................................... 2,249,068
169,000 Hitachi Metals Ltd. .................................. 1,176,237
79,000 Hitachi Zosen Corp. .................................. 316,157
39,000 Hokuetsu Bank Ltd. ................................... 154,461
12,150 Hokuetsu Bank Ltd. Rights............................. 22,450
54,000 Hokuriku Bank......................................... 185,682
76,000 Honda Motor Co. ...................................... 2,348,828
</TABLE>
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- --------------------------------------------------------------------------------
<C> <S> <C>
JAPAN -- 30.1% (CONTINUED)
9,000 House Foods Industry.................................. $ 125,280
9,000 Hoya Corp. ........................................... 383,296
19,000 Inax Corp. ........................................... 125,155
199,200 Industrial Bank of Japan.............................. 2,376,734
102,000 Isetan................................................ 1,115,585
25,000 Ishihara Sangyo Kaisha+............................... 57,793
204,000 Ito-Yokado Co. Ltd. .................................. 9,262,739
112,000 Itochu Corp. ......................................... 551,230
18,000 Itoham Foods.......................................... 93,960
20,000 Iwatani International Corp. .......................... 72,914
12,000 Jaccs................................................. 69,600
139,000 Japan Airlines+....................................... 577,007
86,000 Japan Energy Corp. ................................... 202,370
8,000 Japan Metals & Chemicals+............................. 20,416
29,000 Japan Steel Works+.................................... 61,032
354 Japan Tobacco, Inc. .................................. 2,375,839
4,000 Jeol+................................................. 23,664
14,000 JGC Corp. ............................................ 79,924
74,600 Joyo Bank............................................. 371,486
25,000 Jusco Corp. .......................................... 708,427
75,000 Kajima Corp. ......................................... 410,142
6,000 Kaken Pharmaceutical Co. ............................. 30,972
21,000 Kamigumi Co. Ltd. .................................... 110,664
16,200 Kandenko Co. Ltd. .................................... 136,913
40,000 Kanebo Ltd.+.......................................... 69,268
28,000 Kaneka Corp. ......................................... 140,592
76,700 Kansai Electric Power Co. ............................ 1,391,772
22,000 Kansai Paint.......................................... 90,960
47,000 Kao Corp. ............................................ 514,044
4,000 Katokichi............................................. 64,297
1,221,000 Kawasaki Heavy Industries............................. 5,058,414
46,000 Kawasaki Kisen Kaisha Ltd.+........................... 93,761
255,000 Kawasaki Steel........................................ 682,451
39,930 Keihin Electric Express Railway....................... 172,372
15,600 Kikkoman Corp. ....................................... 84,146
20,500 Kinden Corp. ......................................... 266,675
126,940 Kinki Nippon Railway.................................. 762,545
83,000 Kirin Brewery Co. Ltd. ............................... 708,344
4,300 Kissei Pharmaceutical Co. ............................ 85,865
10,000 Kokuyo Co. ........................................... 213,771
78,000 Komatsu Ltd. ......................................... 581,655
6,000 Komori Corp. ......................................... 125,280
2,800 Konami Co. Ltd. ...................................... 80,272
28,000 Konica Corp. ......................................... 168,432
15,000 Koyo Seiko Co. Ltd. .................................. 111,484
111,000 Kubota Corp. ......................................... 504,922
48,000 Kumagai Gumi Co. Ltd. ................................ 75,565
21,000 Kurabo Industries..................................... 52,548
27,000 Kuraray Co. Ltd. ..................................... 223,714
17,000 Kureha Chemical Industry.............................. 65,639
10,800 Kurita Water Industries............................... 228,188
85,300 Kyocera Corp. ........................................ 5,053,401
35,000 Kyowa Hakko Kogyo..................................... 232,289
5,000 Kyudenko Co. Ltd. .................................... 38,114
23,000 Lion Corp. ........................................... 96,238
7,000 Maeda Road Construction............................... 59,740
6,000 Makino Milling Machine................................ 42,108
</TABLE>
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- --------------------------------------------------------------------------------
<C> <S> <C>
JAPAN -- 30.1% (CONTINUED)
13,000 Makita Corp. ......................................... $ 178,805
117,000 Marubeni Corp. ....................................... 457,569
24,000 Maruha Corp. ......................................... 57,668
29,000 Marui Co. Ltd. ....................................... 415,693
166,000 Matsushita Electric Industrial Co. ................... 2,558,290
223,300 Matsuzakaya Ltd. ..................................... 1,827,992
23,000 Meiji Milk Products................................... 102,527
31,000 Meiji Seika........................................... 149,490
31,000 Minebe Co. Ltd. ...................................... 256,343
10,000 Misawa Homes.......................................... 60,983
123,000 Mitsubishi Corp. ..................................... 1,141,437
172,000 Mitsubishi Chemical Corp. ............................ 477,421
168,000 Mitsubishi Electric Corp. ............................ 943,773
102,000 Mitsubishi Estates Co. Ltd. .......................... 1,200,099
39,000 Mitsubishi Gas Chemical Co. .......................... 142,829
264,000 Mitsubishi Heavy Industries Ltd. ..................... 1,900,870
13,000 Mitsubishi Logistics Corp. ........................... 150,800
89,000 Mitsubishi Materials Corp. ........................... 330,367
36,000 Mitsubishi Oil Co. ................................... 149,739
26,000 Mitsubishi Paper Mills................................ 96,512
49,000 Mitsubishi Rayon Co. ................................. 177,827
380,000 Mitsubishi Trust & Banking............................ 4,187,588
122,000 Mitsui & Co. ......................................... 903,704
65,000 Mitsui Engineering & Ship Building+................... 122,255
64,000 Mitsui Fodosan........................................ 694,672
57,000 Mitsui Marine & Fire Insurance........................ 302,262
40,000 Mitsui Mining & Smelting.............................. 153,782
87,000 Mitsui O.S.K. Lines Ltd.+............................. 173,005
11,000 Mitsui Soko........................................... 60,974
55,000 Mitsui Toatsu Chemicals............................... 147,651
94,000 Mitsui Trust & Banking................................ 581,026
38,000 Mitsukoshi Ltd. ...................................... 232,364
8,000 Mori Seiki............................................ 107,383
102,000 Murata Manufacturing Co. Ltd. ........................ 3,574,944
12,000 Nagase & Co. ......................................... 78,847
64,000 Nagoya Railroad Co. Ltd. ............................. 236,507
3,800 Namco................................................. 107,366
39,450 Nankai Electric Railway............................... 192,854
522,000 NEC Corp. ............................................ 6,055,183
81,333 New Oji Paper Co. Ltd. ............................... 452,863
27,000 NGK Insulators........................................ 246,085
17,000 NGK Spark Plug........................................ 174,662
36,200 Nichido Fire & Marine Insurance Ltd. ................. 201,561
22,000 Nichiei Co. Ltd. ..................................... 282,542
22,000 Nichirei Corp. ....................................... 95,153
26,000 Nihon Cement Co. Ltd. ................................ 123,871
26,000 Niigata Engineering Co. Ltd.+ ........................ 50,841
112,000 Nikon Corp. .......................................... 1,642,555
10,000 Nippon Beet Sugar Manufacturing....................... 33,723
9,000 Nippon Comsys Corp. .................................. 99,180
7,000 Nippon Denko Co. Ltd. ................................ 17,980
61,000 Nippon Denso Co. Ltd. ................................ 1,172,591
84,000 Nippon Express Co. Ltd. .............................. 540,790
46,000 Nippon Fire & Marine Insurance Ltd. .................. 195,526
42,000 Nippon Light Metal Co. ............................... 149,292
18,000 Nippon Meat Packers Inc. ............................. 180,462
96,000 Nippon Oil Co. Ltd. .................................. 404,872
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
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INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
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- --------------------------------------------------------------------------------
<C> <S> <C>
JAPAN -- 30.1% (CONTINUED)
74,000 Nippon Paper Industries Co. .......................... $ 347,038
12,000 Nippon Sharyo Ltd. ................................... 69,103
31,000 Nippon Sheet Glass.................................... 98,890
22,000 Nippon Shinpan Co. ................................... 92,965
14,000 Nippon Shokubai K.K. Co. ............................. 89,320
3,670,000 Nippon Steel Co. ..................................... 9,761,124
23,000 Nippon Suisan Kaisha Ltd.+ ........................... 61,173
1,306 Nippon Telegraph & Telephone Corp. ................... 9,295,335
92,000 Nippon Yusen Kabushiki Kaish.......................... 358,273
22,000 Nishimatsu Construction............................... 164,057
1,585,000 Nissan Motor Co. Ltd.+................................ 9,350,567
19,000 Nisshinbo Industries.................................. 136,962
10,000 Nissin Food Products.................................. 191,399
12,000 Nitto Denko Corp. .................................... 160,080
2,114,000 NKK Corp.+ ........................................... 4,536,631
17,000 NOF Corp. ............................................ 70,006
295,000 Nomura Securities Co. Ltd. ........................... 3,935,289
13,000 Noritake Co. Ltd. .................................... 84,663
44,000 NSK Ltd. ............................................. 252,283
36,000 NTN Corp. ............................................ 176,585
3,090 NTT Data Communication Systems Corp. ................. 7,936,863
589,000 Obayashi Corp. ....................................... 3,635,803
57,320 Odakyu Electric Railway............................... 294,935
10,000 Okamoto Industries Inc. .............................. 41,263
11,000 Okuma Corp. .......................................... 91,143
19,000 Okumura Corp. ........................................ 100,439
21,000 Olympus Optical Co. Ltd. ............................. 175,739
21,000 Omron Corp. .......................................... 330,599
14,000 Onward Kashiyama Co. Ltd. ............................ 171,680
27,000 Orient Corp. ......................................... 120,582
5,000 Orix Corp. ........................................... 211,285
198,000 Osaka Gas Co. ........................................ 487,248
2,700 Oyo Corp. ............................................ 93,960
28,000 Penta-Ocean Construction.............................. 99,992
307,000 Pioneer Electronic Corp. ............................. 5,926,837
13,000 Q.P. Corp. ........................................... 98,020
22,000 Renown Inc.+ ......................................... 43,748
31,000 Rohm Co. ............................................. 2,221,808
269,000 Sakura Bank Ltd. ..................................... 1,718,444
11,000 Sanden ............................................... 88,408
35,000 Sankyo Co. Ltd. ...................................... 974,397
20,000 Sankyo Aluminum Industry Co. ......................... 66,120
5,000 Sanrio Co. Ltd.+ ..................................... 31,486
19,000 Sanwa Shutter......................................... 137,434
153,000 Sanyo Electric Co. Ltd. .............................. 637,658
27,000 Sapporo Breweries..................................... 199,776
21,000 Sato Kogyo Co. ....................................... 46,980
9,000 Secom................................................. 507,084
7,900 Sega Enterprises...................................... 221,245
12,000 Seino Transportation.................................. 119,314
18,000 Seiyu Ltd. ........................................... 155,108
43,000 Sekisui Chemical Co. ................................. 445,356
56,000 Sekisui House Ltd. ................................... 519,679
400 Seven-Eleven.......................................... 24,062
30,000 Seventy-Seventh Bank.................................. 244,842
1,066,000 Sharp Corp. .......................................... 13,337,145
4,000 Shimachu.............................................. 92,800
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
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INTERNATIONAL EQUITY INVESTMENTS
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JAPAN -- 30.1% (CONTINUED)
11,000 Shimano Inc. ......................................... $ 189,577
62,000 Shimizu Corp. ........................................ 373,983
27,000 Shin-Etsu Chemical Co. ............................... 521,253
28,000 Shionogi & Co. ....................................... 174,232
31,000 Shiseido Co. Ltd. .................................... 362,168
63,000 Shizuoka Bank......................................... 537,658
9,000 Shokusan Jutaku Sogo.................................. 15,138
81,000 Showa Denko K.K.+..................................... 177,852
8,000 Skylark............................................... 115,337
4,900 SMC................................................... 333,325
25,000 Snow Brand Milk Products.............................. 121,593
212,300 Sony Corp............................................. 15,321,344
746,000 Sumitomo Bank......................................... 9,395,310
83,000 Sumitomo Corp. ....................................... 623,755
127,000 Sumitomo Chemical Co. ................................ 484,050
56,000 Sumitomo Electric Industries.......................... 774,878
14,000 Sumitomo Forestry Co. ................................ 160,079
46,000 Sumitomo Heavy Industries Ltd.+ ...................... 138,736
53,000 Sumitomo Marine & Fire................................ 306,521
247,000 Sumitomo Metal Industries............................. 589,411
45,000 Sumitomo Metal Mining Co. ............................ 311,335
36,000 Sumitomo Osaka Cement Co. Ltd. ....................... 98,434
1,190,000 Sumitomo Realty & Development Co. Ltd. ............... 8,351,396
723,000 Taisei Corp. ......................................... 3,115,088
27,000 Taisho Pharmaceutical................................. 621,924
9,000 Taiyo Yuden Co., Ltd. ................................ 105,145
17,000 Takara Shuzo.......................................... 102,544
11,000 Takara Standard....................................... 82,119
24,000 Takashimaya Co. ...................................... 264,479
69,000 Takeda Chemical Industries............................ 1,383,545
7,000 Takuma Co. Ltd. ...................................... 79,460
76,000 Teijin Ltd. .......................................... 302,262
21,000 Teikoku Oil Ltd. ..................................... 98,832
15,000 Toa Corp. ............................................ 69,848
67,000 Tobu Railway Co. Ltd. ................................ 299,776
12,000 Toei.................................................. 74,770
1,300 Toho Co. ............................................. 170,188
39,400 Tohoku Electric Power................................. 675,764
159,000 Tokai Bank............................................ 1,285,807
122,000 Tokio Marine & Fire Insurance Co. .................... 1,162,482
14,000 Tokyo Broadcasting System............................. 202,999
13,000 Tokyo Dome Corp. ..................................... 178,805
106,100 Tokyo Electric Power.................................. 1,969,210
12,000 Tokyo Electronics Ltd. ............................... 419,587
220,000 Tokyo Gas Co. Ltd. ................................... 559,615
12,200 Tokyo Steel Manufacturing............................. 134,444
8,000 Tokyo Style Co. ...................................... 91,474
18,000 Tokyo Tatemono Co. Ltd. .............................. 78,300
23,000 Tokyotokeiba.......................................... 62,888
86,000 Tokyu Corp. .......................................... 402,602
55,000 Toppan Printing Co. Ltd. ............................. 633,441
110,000 Toray Industries Inc. ................................ 636,175
47,000 Tosoh Corp. .......................................... 144,867
17,000 Tostem Corp. ......................................... 394,399
26,000 Toto Ltd. ............................................ 264,976
14,000 Toyo Engineering...................................... 61,479
4,000 Toyo Exterior......................................... 54,686
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
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INTERNATIONAL EQUITY INVESTMENTS
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<C> <S> <C>
JAPAN -- 30.1% (CONTINUED)
16,000 Toyo Seikan Kaisha.................................... $ 375,176
54,000 Toyobo Ltd. .......................................... 135,570
22,000 Toyoda Automatic Loom Works........................... 380,976
296,000 Toyota Motor Corp. ................................... 7,578,424
2,000 Trans Cosmos.......................................... 62,971
15,000 Tsubakimoto Chain..................................... 78,175
6,000 Tsugami Corp. ........................................ 14,318
66,000 UBE Industries Ltd. .................................. 184,290
6,000 Uni-Charm............................................. 154,114
4,000 Uniden Corp. ......................................... 43,086
37,000 Unitika Ltd.+ ........................................ 65,606
15,000 Uny Co. Ltd. ......................................... 264,728
12,000 Wacoal Corp. ......................................... 137,494
16,000 Yamaguchi Bank........................................ 196,205
15,000 Yamaha Corp. ......................................... 285,856
95,000 Yamaichi Securities................................... 329,025
25,000 Yamanouchi Pharmaceutical............................. 521,999
29,000 Yamato Transport Co. Ltd. ............................ 285,939
17,000 Yamazaki Baking Co. Ltd. ............................. 254,950
87,000 Yasuda Trust & Banking................................ 236,440
20,000 Yokogawa Electric..................................... 153,285
- --------------------------------------------------------------------------------
283,560,572
- --------------------------------------------------------------------------------
MALAYSIA -- 2.4%
9,000 Aluminium Co. of Malaysia Berhad...................... 14,426
33,000 AMMB Holdings Berhad.................................. 310,995
105,000 Amsteel Corp. Berhad.................................. 93,033
15,000 Antah Holdings Berhad................................. 25,614
13,000 Aokam Perdana Berhad.................................. 28,010
71,000 Berjaya Group Berhad.................................. 98,937
41,000 Berjaya Leisure Berhad................................ 114,760
23,000 Commerce Asset Holdings Berhad........................ 176,923
65,000 DCB Holdings Berhad................................... 260,471
19,000 Edaran Otomobil Nasional Berhad....................... 195,127
21,000 Ekran Berhad.......................................... 75,272
194,200 Genting Berhad........................................ 1,321,780
5,800 Genting International Ltd. ADR........................ 16,878
81,000 Golden Hope Plantation Berhad......................... 146,146
10,000 Golden Plus Holdings Berhad........................... 25,775
25,000 Guinness Anchor Berhad................................ 64,438
50,000 Highlands & Lowlands Berhad........................... 89,409
30,000 Kemayan Corp. Berhad.................................. 45,187
20,400 Hong Leong Industries Berhad.......................... 69,835
58,000 Hong Leong Properties Berhad.......................... 107,451
21,000 Hume Industries Berhad................................ 132,783
47,000 Idris Hydraulic Berhad................................ 72,308
31,000 IGB Corp. Berhad...................................... 37,954
70,000 IOI Corp. Berhad...................................... 126,299
21,000 Jaya Tiasa Holdings Berhad............................ 115,022
21,000 Johan Holdings Berhad................................. 22,666
31,000 Kedah Cement Holdings Berhad.......................... 60,177
8,000 Kelanamas Industries Berhad........................... 16,915
10,000 Kian Joo Can Factory Berhad........................... 47,120
58,000 Kuala Lumpur Kepong Berhad............................ 175,191
40,000 Land & General Holdings Berhad........................ 81,353
35,000 Landmarks Berhad...................................... 62,867
36,000 Leader Universal Holdings Berhad...................... 76,843
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
91
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INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
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MALAYSIA -- 2.4% (CONTINUED)
167,250 Magnum Corp. Berhad.................................. $ 346,894
95,000 Malayan Banking Berhad............................... 1,128,675
28,000 Malayan Cement Berhad................................ 73,298
108,000 Malayan United Industries Berhad..................... 98,735
9,000 Malayawata Steel Berhad.............................. 17,761
88,000 Malaysia International Shipping Berhad............... 232,139
85,000 Malaysia Mining Corp. Berhad......................... 117,761
63,000 Malaysian Airline System Berhad...................... 167,459
400 Malaysian Helicopter Services Berhad................. 567
18,000 Malaysian Mosaics Berhad............................. 31,317
3,600 Malaysian Mosaics Berhad Warrants, Expire 4/23/01.... 3,523
12,000 Malaysian Oxygen Berhad.............................. 64,760
17,000 Malaysian Pacific Industries Berhad.................. 70,520
42,000 Malaysian Resources Corp. Berhad..................... 177,608
65,000 MBF Capital Berhad................................... 133,508
66,000 Metroplex Berhad..................................... 89,843
63,000 Mulpha International Berhad.......................... 68,506
64,000 Multi-Purpose Holdings Berhad........................ 152,074
23,000 Mycom Berhad......................................... 32,791
19,000 Nestle Malaysia Berhad............................... 144,623
15,000 New Straits Times Press Berhad....................... 95,449
17,000 Oriental Holdings Berhad............................. 153,363
10,000 Palmco Holdings Berhad............................... 15,304
55,000 Pan-Malaysia Cement Works Berhad..................... 65,566
31,000 Perlis Plantations Berhad............................ 96,134
45,000 Perusahaan Otomobil Nasional Berhad.................. 297,221
13,000 Petaling Garden Berhad............................... 22,199
14,000 Pilecon Engineering Berhad........................... 25,373
49,000 Promet Berhad........................................ 55,453
104,666 Public Bank Berhad................................... 244,489
29,000 Rashid Hussain Berhad................................ 234,756
2,229,000 Renong Berhad........................................ 4,057,624
918,000 Resorts World Berhad................................. 4,288,683
22,000 R.J. Reynolds Berhad................................. 60,250
24,000 Rothmans of Pall Mall Berhad......................... 248,892
23,000 Selangor Properties Berhad........................... 30,753
25,000 Shell Refining Co. Berhad............................ 80,548
193,000 Sime Darby Berhad.................................... 730,648
35,200 Sungei Way Holdings Berhad........................... 102,070
51,000 TA Enterprise Berhad................................. 80,926
56,000 Tan Chong Motor Holdings Berhad...................... 113,894
63,000 Technology Resources Industries Berhad............... 147,162
166,000 Telekom Malaysia Berhad.............................. 1,343,778
256,000 Tenaga Nasional Berhad............................... 1,226,903
52,000 Time Engineering Berhad.............................. 117,277
22,000 UMW Holdings Berhad.................................. 116,070
63,000 United Engineers Ltd................................. 581,031
49,000 YTL Corp. Berhad..................................... 284,172
- -------------------------------------------------------------------------------
22,376,315
- -------------------------------------------------------------------------------
NETHERLANDS -- 4.2%
27,483 ABN Amro Holding NV.................................. 1,972,790
5,887 Akzo Nobel........................................... 847,954
55,006 Elsevier NV.......................................... 880,652
6,893 Getronics NV......................................... 225,071
4,155 Heineken NV.......................................... 736,556
262 Hollandsche Beton Groep NV........................... 57,649
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
92
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
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- -------------------------------------------------------------------------------
<C> <S> <C>
NETHERLANDS -- 4.2% (CONTINUED)
2,107 IHC Caland NV....................................... $ 117,179
262,692 ING Groep NV........................................ 10,168,454
7,243 KLM Royal Dutch Air Lines NV........................ 222,005
13,932 Koninklijke Ahold NV................................ 900,282
2,586 Koninklijke Nederlandsche Hoogovens en
Staalfabrienken NV................................. 116,580
1,806 Koninklijke Nedlloyd Groep NV....................... 53,073
2,551 Koninklijke Pakhoed NV.............................. 79,937
8,143 NV Koninklijke KNP BT............................... 186,121
1,627 Oce-Van Der Griten NV............................... 203,161
28,710 Philips Electronics NV.............................. 1,295,790
44,392 Royal Dutch Petroleum Co. .......................... 7,682,332
38,731 Royal PTT Netherlands NV............................ 1,387,038
2,514 Stad Rotterdam NV................................... 109,494
2,377 Stork NV............................................ 97,393
13,253 Unilever NV......................................... 2,525,245
126,505 VNU-Verenigde Nederlandse Utigevesbedrijven Verenigd
Bezit.............................................. 2,618,310
53,996 Wolters Kluwer NV................................... 6,927,231
- -------------------------------------------------------------------------------
39,410,297
- -------------------------------------------------------------------------------
NEW ZEALAND -- 0.2%
176,900 Brierley Investments Ltd. .......................... 170,108
114,700 Carter Holt Harvey Ltd. ............................ 259,474
3,200 Ceramco Corp. Ltd. ................................. 2,679
7,507 Fisher & Paykel Industries Ltd. .................... 28,771
24,575 Fletcher Challenge Building......................... 73,785
24,575 Fletcher Challenge Energy........................... 63,074
54,169 Fletcher Challenge Forests.......................... 77,197
49,150 Fletcher Challenge Paper............................ 96,906
36,300 Lion Nathan Ltd..................................... 89,400
125,300 Telecom Corp. of New Zealand Ltd. .................. 562,570
- -------------------------------------------------------------------------------
1,423,964
- -------------------------------------------------------------------------------
NORWAY -- 0.2%
2,700 Aker ASA, Class A Shares............................ 68,916
600 Aker ASA, Class B Shares............................ 14,513
4,200 Bergesen d.y. ASA, Class A Shares................... 87,258
1,100 Bergesen d.y. ASA, Class B Shares................... 23,017
43,400 Christiania Bank Og Kreditkasse ASA................. 162,301
1,700 Dyno Industrier ASA................................. 40,364
3,300 Elkem ASA........................................... 52,889
2,700 Hafslund Nycomed ASA+............................... 17,830
4,000 Hafslund Nycomed ASA, Class B Shares................ 29,383
1,400 Helikopter Services Group ASA....................... 19,945
2,300 Kvaerner ASA, Class A Shares........................ 112,976
600 Kvaerner ASA, Class B Shares........................ 26,712
2,000 Leif Hoegh & Co. ASA................................ 38,584
5,200 NCL Holdings ASA.................................... 10,803
18,100 Norsk Hydro ASA..................................... 906,531
400 Norske Skogindustrier ASA........................... 11,516
1,800 Norske Skogindustrier ASA, Class A Shares........... 55,294
4,000 Nycomed ASA, Class A Shares+........................ 62,327
2,700 Nycomed ASA, Class B Shares+........................ 40,068
3,100 Orkla ASA, Class A Shares........................... 248,420
600 Orkla ASA, Class B Shares........................... 44,297
2,500 Petroleum Geo-Services ASA+......................... 104,250
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
93
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INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
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- --------------------------------------------------------------------------------
<C> <S> <C>
NORWAY -- 0.2% (CONTINUED)
18,500 UNI Storebrand ASA, Class A Shares.................... $ 123,817
1,300 Unitor Ships Service ASA.............................. 16,784
- --------------------------------------------------------------------------------
2,318,795
- --------------------------------------------------------------------------------
SINGAPORE -- 1.7%
20,000 Amcol Holdings Ltd. .................................. 36,746
15,000 Chun Hup Holdings Ltd. ............................... 11,571
662,000 City Developments Ltd. ............................... 6,545,722
42,000 Comfort Group Ltd. ................................... 36,522
7,000 Creative Technology Ltd.+............................. 89,832
19,000 Cycle & Carriage Ltd. ................................ 199,860
73,000 DBS Land Ltd. ........................................ 284,116
100,000 Development Bank of Singapore Ltd. ................... 1,325,386
16,000 First Capital Corp. Ltd. ............................. 48,022
24,000 Fraser & Neave Ltd. .................................. 215,428
30,000 Goldtron Ltd. ........................................ 20,933
6,000 Goldtron Ltd. Preferred Rights........................ 4,187
29,000 Hai Sun Hup Group Ltd. ............................... 21,557
12,000 Haw Par Brothers International Ltd. .................. 27,938
27,000 Hotel Properties Ltd. ................................ 47,714
11,000 Inchcape Berhad....................................... 38,415
79,000 IPC Corp. ............................................ 29,084
7,000 Jurong Shipyard Ltd. ................................. 33,380
67,000 Keppel Corp. Ltd. .................................... 483,940
8,000 Low Keng Huat Ltd. ................................... 3,619
22,000 Lum Chang Holdings Ltd. .............................. 20,673
7,000 Metro Holdings Ltd. .................................. 22,875
22,000 Natsteel Ltd. ........................................ 53,997
46,000 Neptune Orient Lines Ltd. ............................ 39,677
221,700 Oversea-Chinese Banking Corp. Ltd. ................... 2,938,379
8,000 Overseas Union Enterprise Ltd. ....................... 40,673
19,000 Parkway Holdings Ltd. ................................ 79,944
3,000 Prima Ltd. ........................................... 10,435
4,000 Robinson & Co. Ltd. .................................. 16,410
11,000 Shangri-La Hotel Ltd. ................................ 34,712
55,000 Singapore Airlines Ltd. .............................. 485,975
13,000 Singapore Press Holdings Ltd. ........................ 253,436
49,000 Singapore Technologies Industrial Corp. .............. 131,262
484,000 Singapore Telephone Corp. ............................ 1,133,633
20,000 Straits Trading Co. Ltd. ............................. 49,369
90,000 United Industrial Corp. Ltd. ......................... 77,629
47,000 United Overseas Bank Ltd. ............................ 533,941
33,000 United Overseas Land Ltd. ............................ 52,763
9,000 Van Der Horst Ltd. ................................... 37,237
- --------------------------------------------------------------------------------
15,516,992
- --------------------------------------------------------------------------------
SPAIN -- 3.2%
1,000 Acerinox S.A. ........................................ 138,961
10,450 Argentina Corp. ...................................... 418,437
19,820 Autopistas Concesionaria Espanola S.A. ............... 221,221
18,750 Banco Bilbao Vizcaya S.A.+ ........................... 1,105,249
13,650 Banco Central Hispanoamericano S.A. .................. 361,842
13,300 Banco Santander S.A. ................................. 899,965
1,200 Corporacion Financiera Alba........................... 115,103
2,350 Corporacion Mapfre.................................... 123,443
4,450 Dragados & Construcciones S.A. ....................... 67,363
3,750 Ebro Argicolas, Compania de Alimentacion S.A. ........ 65,661
</TABLE>
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94
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INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
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- ------------------------------------------------------------------------------
<C> <S> <C>
SPAIN -- 3.2% (CONTINUED)
1,950 El Aguila S.A.+ .................................... $ 8,842
1,650 Empresa Nacional de Celulosas S.A. ................. 22,560
127,124 Empresa Nacional de Electridad S.A. ................ 7,759,574
11,200 Ercros S.A.+ ....................................... 7,266
1,150 Fomento de Construcciones y Contratas S.A. ......... 99,397
3,100 Gas Natural SDG..................................... 670,387
3,681 General de Agnas Barcelona S.A. .................... 141,231
76,650 Iberdrola S.A. ..................................... 836,814
3,200 Inmobiliaria Metropolitana Vasco Central S.A. ...... 15,180
1,750 Inmobiliaria Urbis S.A. ............................ 58,842
550 Portland Valderrivas S.A. .......................... 34,799
4,650 Prosegur, CIA de Seguridad S.A. .................... 49,955
86,875 Repsol S.A. ........................................ 3,302,886
4,850 Sarrio S.A. ........................................ 17,627
2,850 Tabacalera S.A. .................................... 129,030
556,260 Telefonica de Espana................................ 12,805,427
25,400 Union Electrica Fenosa S.A. ........................ 201,109
4,100 Uralita S.A. ....................................... 32,176
3,350 Vallehermosa S.A. .................................. 70,108
1,800 Viscofan Industria Navarra De Envolturas Celulosic
S.A. .............................................. 31,392
760 Zardoya--Otis S.A. ................................. 79,579
- ------------------------------------------------------------------------------
29,891,426
- ------------------------------------------------------------------------------
SWEDEN -- 3.5%
5,200 ABB AB, Class A Shares.............................. 586,015
2,100 ABB AB, Class B Shares.............................. 234,980
9,800 AGA AB, Class A Shares.............................. 143,770
8,200 AGA AB, Class B Shares.............................. 118,110
403,699 Astra AB, Class A Shares............................ 19,382,462
55,064 Astra AB, Class B Shares............................ 2,577,648
9,200 Atlas Copco AB, Class A Shares...................... 212,881
4,600 Atlas Copco AB, Class B Shares...................... 106,747
4,100 Autoliv AB.......................................... 186,461
3,870 Diligentia AB....................................... 51,355
5,700 Electrolux AB, Class B Shares....................... 356,530
1,400 Esselte AB, Class A Shares.......................... 33,889
1,100 Esselte AB, Class B Shares.......................... 26,700
3,900 Euroc Industries.................................... 145,117
1,660 Fastighets AB Nackebro+............................. 23,467
3,200 Hennes & Mauritz AB, Class B Shares................. 454,942
5,400 Securitas AB........................................ 154,839
7,700 Skandia Forsakrings AB.............................. 234,139
251,727 Skandinaviska Enskilda Banken, Class A Shares....... 2,652,197
9,800 Skanska AB, Class B Shares.......................... 432,616
3,700 SKF AB, Class A Shares.............................. 87,342
4,800 SKF AB, Class B Shares.............................. 114,589
9,500 Stadshypotek AB..................................... 240,727
4,500 Stora Kopparbergs, Class A Shares................... 60,915
20,300 Stora Kopparbergs, Class B Shares................... 277,504
15,300 Svenska Cellulosa AB................................ 339,746
16,100 Svenska Handelsbanken, Class A Shares............... 450,914
1,600 Svenska Handelsbanken, Class B Shares............... 42,892
36,000 Swedish Match AB+................................... 128,191
74,400 Telefonaktiebolaget LM Ericsson, Class B Shares..... 2,366,520
8,800 Trelleborg AB, Class B Shares....................... 137,902
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
95
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
SWEDEN -- 3.5% (CONTINUED)
11,000 Volvo AB, Class A Shares............................ $ 273,603
25,000 Volvo AB, Class B Shares............................ 626,825
- -------------------------------------------------------------------------------
33,262,535
- -------------------------------------------------------------------------------
SWITZERLAND -- 5.3%
1,350 Adia S.A. .......................................... 437,492
155 Alusoisse Lonza, Class A Shares..................... 121,163
335 Alusoisse Lonza, Class B Shares..................... 269,136
658 Brown Boveri PLC.................................... 747,666
420 Brown Boveri PLC Preferred.......................... 93,966
17,570 Ciba Geigy AG....................................... 1,111,973
15,545 CS Holdings AG...................................... 1,657,255
200 Danzas Holding AG................................... 42,712
115 Forbo Holding AG Registered Shares.................. 46,546
180 Gebrueder Sulzer AG................................. 112,271
40 Georg Fischer AG.................................... 40,814
30 Georg Fischer AG Preferred.......................... 5,776
35 Grands Magasins Jemoli SA+.......................... 18,793
90 Grands Magasins Jemoli SA Registered Shares+........ 9,519
584 Holderbank Financiere Glaris AG, Class B Shares..... 434,735
140 Interdiscount Holdings.............................. 1,557
320 Merkur Holdings..................................... 67,471
55 Moevenpick Holding AG............................... 15,288
35 Moevenpick Holding AG Bearer Shares................. 9,136
3,250 Nestle SA Registered Shares......................... 3,538,644
564 Novartis AG Bearer Shares........................... 645,445
17,570 Novartis AG Registered Shares....................... 20,083,405
30 Reiseburo Kuoni AG Registered Shares................ 78,915
1,061 Roche Holding AG.................................... 9,374,146
580 Roche Holding AG Bearer Shares...................... 4,881,831
105 Schindler Holding AG................................ 117,458
2,875 Schweizerische Bankgesellschaft, Class B Shares..... 545,763
3,390 Schweizerische Bankverein, Class B Shares........... 643,525
2,115 Schweizerische Bankverein Registered Shares......... 1,901,348
1,205 Schweizerische Rueckversicherungs-Gesellschaft
Registered Shares.................................. 1,232,775
140 SGS Societe Generale de Surveillance Holding SA..... 317,966
185 Sika Finanz AG Bearer Shares........................ 45,905
300 SMH AG Bearer Shares................................ 170,847
1,180 SMH AG Registered Shares............................ 155,400
90 Sulzer AG........................................... 53,695
180 Swissair AG Registered Shares+...................... 153,396
3,750 Zurich Versicherungsgesellschaft Registered Shares.. 1,116,102
- -------------------------------------------------------------------------------
50,299,835
- -------------------------------------------------------------------------------
UNITED KINGDOM -- 14.4%
110,900 Abbey National PLC.................................. 1,366,958
12,100 AMEC PLC............................................ 23,689
6,900 Amstrad PLC......................................... 21,277
21,300 Anglian Water PLC................................... 226,404
22,506 Argosargos.......................................... 251,163
64,900 Arjo Wiggins Appleton PLC........................... 173,122
6,225,418 Asda Group PLC...................................... 11,350,243
71,100 Associated British Foods PLC........................ 564,921
120,900 Barclays PLC........................................ 2,187,494
18,300 Barratt Developments PLC............................ 83,151
69,400 Bass PLC............................................ 968,088
244,300 B.A.T. Industries PLC............................... 2,140,360
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
96
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM -- 14.4% (CONTINUED)
32,700 BBA Group PLC......................................... $ 183,792
346,500 BG PLC................................................ 963,866
33,136 The BICC Group........................................ 150,021
58,000 Blue Circle Industries PLC............................ 376,144
38,200 BOC Group PLC......................................... 616,380
71,300 Boots Co. PLC......................................... 789,275
15,300 Bowthorpe PLC......................................... 93,982
39,900 BPB Industries PLC.................................... 222,307
34,083 British Aerospace PLC................................. 710,375
76,000 British Airways PLC................................... 781,786
34,100 British Land Co. PLC.................................. 296,253
445,797 British Petroleum Co. PLC............................. 4,942,148
135,500 British Sky Broadcasting Group PLC.................... 1,320,889
160,800 British Steel PLC..................................... 394,831
496,900 British Telecommunications PLC........................ 3,449,512
317,400 BTR PLC............................................... 1,235,050
15,900 Burmah Castrol PLC.................................... 268,100
858,113 Cable and Wireless PLC................................ 6,979,089
78,500 Cadbury Schweppes PLC................................. 650,613
10,100 Calor Group PLC....................................... 49,682
47,400 Caradon PLC........................................... 211,120
582,042 Carlton Communications PLC............................ 4,980,684
346,500 Centricia PLC......................................... 371,696
22,200 Chubb Security PLC.................................... 154,114
55,300 Coats Viyella PLC..................................... 117,289
7,300 Cobham PLC............................................ 69,376
53,550 Commercial Union PLC.................................. 596,718
32,000 Courtaulds PLC........................................ 190,821
6,100 Courtaulds Textiles PLC............................... 24,930
17,700 De La Rue PLC......................................... 180,052
11,800 Delta PLC............................................. 66,900
33,500 Electrocomponents PLC................................. 218,622
41,140 Energy Group.......................................... 351,374
24,600 English China Clays PLC............................... 84,886
44,600 FKI PLC............................................... 134,616
218,200 General Electric Co. PLC.............................. 1,326,081
28,500 George Wimpey PLC..................................... 64,865
27,600 GKN PLC............................................... 422,603
277,100 Glaxo Wellcome PLC.................................... 4,701,744
82,040 Granada Group PLC..................................... 1,216,352
165,500 Grand Metropolitan PLC................................ 1,224,516
28,688 Great Portland Estates PLC............................ 98,524
79,400 Great Universal Stores PLC............................ 846,555
72,775 Guardian Royal Exchange PLC........................... 328,890
152,200 Guinness PLC.......................................... 1,138,526
22,400 Hammerson PLC......................................... 161,167
51,425 Hanson PLC............................................ 231,984
56,300 Harrisons & Crosfield PLC............................. 120,329
19,300 Hepworth PLC.......................................... 81,712
141,500 HSBC Holdings PLC..................................... 3,542,521
68,200 HSBC Holdings PLC (HK$10)............................. 1,760,273
74,000 Huntingdon International Holdings PLC ADR............. 730,750
7,400 Hyder PLC............................................. 100,388
27,400 IMI PLC............................................... 156,462
57,300 Imperial Chemical Industries PLC...................... 708,152
36,910 Imperial Tobacco Group PLC............................ 255,629
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
97
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM -- 14.4% (CONTINUED)
144,800 J. Sainsbury PLC..................................... $ 727,626
17,100 Johnson Matthey PLC.................................. 150,374
52,900 Kingfisher PLC....................................... 584,297
1,861,663 Ladbroke Group PLC................................... 7,046,577
11,200 Laird Group PLC...................................... 65,965
40,400 Land Securities PLC.................................. 520,712
76,300 LASMO PLC............................................ 300,629
98,350 Legal & General Group PLC............................ 628,196
8,900 Lex Service PLC...................................... 50,604
426,400 Lloyds TSB Group PLC................................. 3,537,507
13,800 London Electricity PLC............................... 158,617
61,500 Lonrho PLC........................................... 143,985
112,012 Lucas Industries PLC................................. 372,807
224,074 Marks & Spencer PLC.................................. 1,813,269
26,616 Marley PLC........................................... 53,412
33,100 MEPC PLC............................................. 251,384
14,400 Mercury Asset Management Group PLC................... 315,638
10,000 Meyer International PLC.............................. 65,831
5,272 Millennium Chemicals Inc. ADR........................ 100,827
134,658 National Grid Group PLC.............................. 455,868
89,800 National Power PLC................................... 716,431
29,600 Next PLC............................................. 287,341
12,300 Ocean Group PLC...................................... 94,016
1,552,438 Orange PLC+.......................................... 5,356,903
44,900 Pearson PLC.......................................... 563,329
47,900 The Peninsular and Oriental Steam Navigation Co...... 521,255
79,300 Pilkington PLC....................................... 186,305
21,200 Provident Financial PLC.............................. 207,528
151,400 Prudential Corp. PLC................................. 1,403,018
22,400 Racal Electronic PLC................................. 106,896
39,500 Railtrack Group PLC.................................. 292,256
65,800 Rank Organisation PLC................................ 449,810
41,000 Redland PLC.......................................... 234,121
44,600 Reed International PLC............................... 832,071
325,730 Rentokil Group PLC................................... 2,396,754
132,500 Reuters Holdings PLC................................. 1,420,268
39,800 Rexam PLC............................................ 212,659
19,700 RMC Group PLC........................................ 305,497
115,500 Rolls-Royce PLC...................................... 439,063
120,219 Royal & Sun Alliance Insurance Group PLC............. 967,942
64,100 Royal Bank of Scotland Group PLC..................... 603,947
84,500 RTZ Corp. PLC Registered Shares...................... 1,292,460
50,700 Rugby Group PLC...................................... 89,748
85,500 Safeway PLC.......................................... 506,363
15,400 Schroders PLC........................................ 424,491
48,600 Scottish & Newcastle PLC............................. 537,595
91,249 Scottish Power PLC................................... 522,546
120,300 Sears PLC............................................ 160,942
43,200 Sedgwick Group PLC................................... 89,511
30,900 Slough Estates PLC................................... 143,679
217,467 SmithKline Beecham PLC............................... 3,260,604
24,000 Smiths Industries PLC................................ 301,698
20,459 Southern Electric PLC................................ 264,862
22,500 St. Jame's Place Capital PLC......................... 47,355
42,000 T & N PLC............................................ 110,665
73,200 Tarmac PLC........................................... 122,412
34,600 Tate & Lyle PLC...................................... 246,405
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
98
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM -- 14.4% (CONTINUED)
30,500 Taylor Woodrow PLC................................... $ 95,790
170,600 Tesco PLC............................................ 943,556
29,300 Thames Water PLC..................................... 328,886
34,000 Thorn Emi............................................ 640,138
34,200 Thorn PLC+........................................... 106,294
37,218 TI Group PLC......................................... 321,520
8,900 Transport Development Group PLC...................... 29,767
18,700 Unigate PLC.......................................... 139,122
64,400 Unilever PLC......................................... 1,656,414
41,800 United Biscuits Holdings PLC......................... 164,355
41,500 United Utilities PLC................................. 451,948
5,433 Value Realisation Trust PLC.......................... 7,800
2,852 Value Realisation Trust PLC Convertible Unsecured
Loan Stock.......................................... 5,118
26,300 Vickers PLC.......................................... 116,497
2,934,864 Vodafone Group PLC................................... 13,957,758
45,800 Williams Holdings PLC................................ 238,740
33,200 Willis Corroon Group PLC............................. 82,603
11,800 Wilson Connolly Holdings PLC......................... 30,129
44,800 Wolseley PLC......................................... 345,359
74,800 Zeneca Group PLC..................................... 2,202,764
- --------------------------------------------------------------------------------
135,729,615
- --------------------------------------------------------------------------------
UNITED STATES -- 0.4%
429,400 Echo Bay Mines Ltd. ................................. 3,327,850
- --------------------------------------------------------------------------------
TOTAL STOCKS (Cost -- $874,146,214).................. 911,430,341
- --------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT++ SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE NOTE -- 0.0%
279,800 Michelin Convertible Note, 6.375% due 1/1/01 (Cost --
$119,853).......................................... 172,502
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 3.2%
29,706,000 CS First Boston Corp., 5.330% due 3/3/97; Proceeds at
maturity -- $29,719,194; (Fully collateralized by
U.S. Treasury Note 5.875% due 10/31/98; Market
value -- $30,318,874) (Cost -- $29,706,000).......... 29,706,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $903,972,067**)... $941,308,843
- --------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
# Risp NC -- Risparmio Non-Convertible (Non-Convertible savings shares).
++Represents local currency.
** Aggregate cost for Federal income tax purposes is subtantially the same.
[PIE CHART]
CLASSIFICATION INVESTMENTS
Japan 30.1%
United Kingdom 14.4%
France 8.0%
Germany 8.7%
Hong Kong 4.2%
Sweden 3.5%
Repurchase Agreement 3.2%
Netherlands 4.2%
Other Stocks, Preferred Stocks,
Warrants and Convertible Note 13.6%
SEE NOTES TO FINANCIAL STATEMENTS.
99
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
INTERNATIONAL FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT++ SECURITY VALUE
- ----------------------------------------------------------------------------------
<C> <S> <C>
BONDS -- 96.6%
- ----------------------------------------------------------------------------------
AUSTRALIA -- 9.4%
7,820,000 Australia Government, 6.750% due 11/15/06......... $ 5,689,475
6,500,000 Treasury Corp. of Victoria, 10.250% due 11/15/06.. 5,848,754
- ----------------------------------------------------------------------------------
11,538,229
- ----------------------------------------------------------------------------------
DENMARK -- 8.1%
Kingdom of Denmark:
31,710,000 7.000% due 12/15/04............................... 5,234,861
27,000,000 8.000% due 3/15/06................................ 4,693,757
- ----------------------------------------------------------------------------------
9,928,618
- ----------------------------------------------------------------------------------
FINLAND -- 2.3%
13,000,000 Finnish Government, 7.250% due 4/18/06............ 2,821,586
- ----------------------------------------------------------------------------------
FRANCE -- 7.7%
52,960,000 French Treasury Bill, 4.500% due 10/12/98......... 9,442,503
- ----------------------------------------------------------------------------------
GERMANY -- 22.0%
5,120,000 Bundesrepublik Deutschland, 2.995% due 9/20/04(a).... 3,010,070
9,600,000 Deutsche Ausgleichsbank, 6.125% due 12/19/03...... 5,982,230
7,600,000 European Investment Bank, 7.750% due 1/26/05...... 5,179,362
3,000,000 Interamer Development Bank, 7.750% due 12/6/04.... 2,039,154
9,200,000 KFW International Finance, 6.000% due 2/9/06...... 5,610,354
8,150,000 LKB Baden Wurt Finance, 6.750% due 6/22/05........ 5,230,734
- ----------------------------------------------------------------------------------
27,051,904
- ----------------------------------------------------------------------------------
ITALY -- 13.5%
8,400,000,000 Abbey National Treasury, 9.400% due 2/7/00........ 5,259,195
Buoni Poliennali Del Tesoro:
7,300,000,000 9.500% due 12/1/99................................ 4,564,012
1,400,000,000 8.250% due 7/1/01................................. 873,799
10,200,000,000 6.250% due 1/1/02................................. 5,885,823
- ----------------------------------------------------------------------------------
16,582,829
- ----------------------------------------------------------------------------------
NEW ZEALAND -- 4.5%
New Zealand Government:
1,595,000 8.000% due 2/15/01................................ 1,132,223
4,580,000 8.000% due 4/15/04................................ 3,231,189
1,595,000 8.000% due 11/15/06............................... 1,132,223
- ----------------------------------------------------------------------------------
5,495,635
- ----------------------------------------------------------------------------------
SPAIN -- 7.2%
Government of Spain:
298,700,000 12.250% due 3/25/00............................... 2,433,774
769,700,000 11.300% due 1/15/02............................... 6,455,600
- ----------------------------------------------------------------------------------
8,889,374
- ----------------------------------------------------------------------------------
SWEDEN -- 6.1%
49,000,000 Swedish Government, 10.250% due 5/5/00............ 7,471,779
- ----------------------------------------------------------------------------------
UNITED KINGDOM -- 15.8%
2,000,000 Depfa Financial N.V., 7.125% due 11/11/03......... 3,206,238
3,200,000 Japanese Development Bank, 9.125% due 1/31/05..... 5,707,406
2,700,000 Royal Bank of Scotland, 7.875% due 12/7/06........ 4,460,134
3,550,000 United Kingdom Treasury, 8.000% due 6/10/03....... 6,066,965
- ----------------------------------------------------------------------------------
19,440,743
- ----------------------------------------------------------------------------------
TOTAL BONDS (Cost -- $123,540,142)................ 118,663,200
- ----------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
100
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
INTERNATIONAL FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 3.4%
$4,258,000 CS First Boston Corp., 5.330% due 3/3/97; Proceeds
at maturity -- $4,259,891;
(Fully collateralized by U.S. Treasury Note 5.875%
due 10/31/98;
Market value -- $4,347,248) (Cost -- $4,258,000).... $ 4,258,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $127,798,142**).. $122,921,200
- --------------------------------------------------------------------------------
</TABLE>
++Represents local currency.
(a) Floating rate security.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHARTS]
CLASSIFICATION OF INVESTMENTS
Denmark 8.1%
Germany 22.0%
Italy 13.5%
New Zealand 4.5%
France 7.7%
Spain 7.2%
Sweden 6.1%
United Kingdom 15.8%
Repurchase Agreement 3.4%
Australia 9.4%
Finland 2.3%
SEE NOTES TO FINANCIAL STATEMENTS.
101
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
STOCKS -- 95.8%
- ------------------------------------------------------------------------------
ARGENTINA -- 4.9%
580,000 Acindar Industria Argentina de Aceros S.A. Series
A+................................................. $ 1,087,935
125,000 Banco Frances del Rio de la Plata S.A............... 1,194,228
27,600 Central Costanera S.A. ADR.......................... 952,200
29,200 Disco S.A. ADR+..................................... 894,250
154,000 Perez Companc S.A................................... 1,178,571
38,000 Quilmes Industrial S.A. ADR......................... 427,500
46,000 Siderar S.A. ADR+................................... 1,196,511
90,400 Telefonica de Argentina S.A. ADR.................... 2,858,900
- ------------------------------------------------------------------------------
9,790,095
- ------------------------------------------------------------------------------
BRAZIL -- 12.3%
137,000 Aracruz Celulose S.A. ADR........................... 1,267,250
130,200,000 Banco Bradesco S.A. Preferred....................... 1,083,968
3,440,000 Banco Itau S.A. Preferred........................... 1,774,006
81,400 Cemig S.A. ADR...................................... 3,373,216
71,534 Companhia Cervejaria Brahma Preferred Warrants,
Expire 4/30/03+.................................... 5,105
85,000,000 Companhia Paranaense de Energia--Copel Preferred
Series B+.......................................... 1,006,898
10,100,000 Companhia Paulista de Forca e Luz................... 1,394,397
58,000 Companhia Siderurgica Nacional ADR.................. 2,124,772
62,800 Companhia Vale do Rio Doce ADR...................... 1,664,200
5,800,000 Petroleo Brasileiro S.A. Preferred.................. 1,186,489
47,700 Telecomunicacoes Brasileiras S.A. ADR............... 4,626,900
10,210,000 Telecomunicacoes de Minas Gerais Preferred Series
B.................................................. 1,496,042
6,290,000 Telecomunicacoes de Rio de Janeiro S.A. Preferred... 951,579
9,080,000 Telecomunicacoes de Sao Paulo S.A. Preferred........ 2,462,226
- ------------------------------------------------------------------------------
24,417,048
- ------------------------------------------------------------------------------
CHILE -- 2.1%
70,800 Banco Santander Chile ADR........................... 1,247,850
49,640 Cia De Telecommunicaciones de Chile S.A. ADR........ 1,451,970
18,600 Enersis S.A. ADR.................................... 616,125
14,100 Quimica Minera Chile S.A. ADR....................... 821,325
- ------------------------------------------------------------------------------
4,137,270
- ------------------------------------------------------------------------------
CHINA -- 3.3%
196,000 China North Industries Investment Ltd............... 87,220
5,000,000 Guangshen Railway Co. Ltd. Series H................. 2,421,229
126,000 Huaneng Power International, Inc. ADR............... 2,772,000
2,100,000 Qingling Motors Co. Series H........................ 1,274,535
- ------------------------------------------------------------------------------
6,554,984
- ------------------------------------------------------------------------------
CROATIA -- 1.5%
185,000 Pliva D.D. GDR...................................... 2,941,500
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
102
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
CZECH REPUBLIC -- 1.8%
80,000 Komercni Banka a.s GDR.............................. $ 2,794,000
9,000 Ostravar a.s........................................ 679,129
- ------------------------------------------------------------------------------
3,473,129
- ------------------------------------------------------------------------------
EGYPT -- 1.0%
18,800 Al-Ahram Beverages Co. GDR+......................... 331,820
84,000 Commercial International Bank GDR+.................. 1,680,000
- ------------------------------------------------------------------------------
2,011,820
- ------------------------------------------------------------------------------
HONG KONG -- 8.7%
4,517,000 China Overseas Land & Investment.................... 2,639,389
967,000 China Resources Enterprise Ltd. .................... 2,172,753
3,874,000 China Travel International Investment Hong Kong
Ltd. .............................................. 2,051,059
820,000 Continental Mariner Investment+..................... 428,848
732,000 Cosco Pacific Ltd. ................................. 1,020,868
618,500 Dah Sing Financial Group............................ 2,587,732
169,000 Guoco Group Ltd. ................................... 947,133
277,800 Hong Kong Telecommunications Ltd. .................. 478,904
218,000 Jardine Matheson Holdings Ltd. ..................... 1,318,900
384,812 Jardine Strategic Holdings Ltd. .................... 1,262,183
19,312 Jardine Strategic Holdings Ltd. Warrants, Expire
5/2/98+............................................ 6,566
1,000,000 Lai Sun Development Co. Ltd. ....................... 1,497,935
140,000 New World Development Co. Ltd. ..................... 867,769
- ------------------------------------------------------------------------------
17,280,039
- ------------------------------------------------------------------------------
HUNGARY -- 4.8%
34,000 Borsodchem GDR...................................... 1,266,500
36,000 Egis Pharmaceutical RT EDR.......................... 2,132,784
37,350 Gedeon Richter Ltd. GDR Registered Shares........... 2,549,138
78,600 OTP Bank GDR+....................................... 1,670,250
9,614 Pick Szeged RT GDR+@................................ 643,503
2,200 Scala ECE Ltd.+..................................... 361,075
74,000 Tisza Vegyi Kobinat GDR............................. 953,120
- ------------------------------------------------------------------------------
9,576,370
- ------------------------------------------------------------------------------
INDIA -- 3.5%
87,000 Arvind Mills Ltd. GDR+.............................. 413,250
111,000 Ashok Leyland Ltd. GDR.............................. 985,125
212,450 Indian Aluminum Co. Ltd. GDR........................ 824,306
19,000 Indian Hotels Co. Ltd. GDR+......................... 435,100
25,000 Indian Rayon & Industries GDR....................... 240,750
110,000 Industrial Credit & Investment Corp. of India Ltd.
GDR................................................ 1,086,800
69,700 Larsen & Toubro Ltd. GDR............................ 982,770
43,000 Ranbaxy Laboratories Ltd. GDR....................... 865,590
9,500 Raymond Ltd. GDR.................................... 51,063
118,000 Steel Authority of India Ltd. GDR................... 1,062,000
- ------------------------------------------------------------------------------
6,946,754
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
103
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
INDONESIA -- 5.1%
2,850,000 PT Bank Danamon Indonesia........................... $ 3,328,467
1,291,500 PT Bimantara Citra.................................. 1,885,401
960,000 PT Hero Supermarket................................. 1,051,095
1,600,000 PT Mayora Indah..................................... 667,362
93,500 PT Panca Wiratama Sakti............................. 61,423
1,000,000 PT Panin Indonesia Bank............................. 1,376,434
648,000 PT Telekomunikasi Indonesia......................... 1,128,425
270,000 PT Tempo Scan Pacific............................... 599,687
- ------------------------------------------------------------------------------
10,098,294
- ------------------------------------------------------------------------------
MALAYSIA -- 11.9%
137,000 ACP Industries Berhad............................... 976,601
393,600 Gamuda Berhad Warrants, Expire 1/17/00+............. 1,046,218
1,275,000 Hong Leong Properties Berhad........................ 2,362,062
1,250,000 IJM Corp. Berhad.................................... 3,347,766
1,242,000 Kumpulan Guthrie Berhad............................. 2,160,870
1,182,000 LARUT Consolidated Berhad........................... 1,932,710
103,000 Malaysian Resources Corp. Berhad.................... 435,562
1,640,000 MBF Capital Berhad.................................. 3,368,506
700,000 Multi-Purpose Holdings Berhad....................... 1,663,311
1,305,000 Multi-Purpose Holdings Berhad -- ICULS, 3.000%
Expire 1/1/02...................................... 741,059
765,000 Nylex Berhad........................................ 1,848,570
124,000 Petronas Dagangan Berhad............................ 332,098
420,000 Tanjong PLC......................................... 1,759,162
334,000 Tongkah Holdings Berhad............................. 706,202
447,000 United Merchant Group............................... 882,118
- ------------------------------------------------------------------------------
23,562,815
- ------------------------------------------------------------------------------
MEXICO -- 6.1%
187,000 Alfa S.A. de C.V. Series A.......................... 1,060,527
369,000 Cemex S.A. de C.V. ................................. 1,490,816
167,000 Desc S.A. de C.V. Series B+......................... 1,068,632
91,000 Empresas ICA Sociedad Controladora S.A. de C.V. .... 1,499,159
25,000 Empresas La Moderna S.A. de C.V. ................... 525,000
60,000 Empresas La Moderna S.A. de C.V. ADR................ 312,798
108,000 Grupo Elektra S.A. de C.V. ......................... 1,059,674
1 Grupo Financiero Bancomer GDR....................... 0
111,100 Grupo Financiero Bancomer S.A. de C.V. Series L+.... 854,359
19,000 Panamerican Beverages Inc. Series A................. 1,071,125
170,000 Sanluis Corp. S.A. de C.V. ......................... 1,019,573
620,000 Telefonos de Mexico S.A. ADR Series L............... 1,199,548
62,000 Tubos de Acero de Mexico S.A. ADR................... 1,023,000
- ------------------------------------------------------------------------------
12,184,211
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
104
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
PHILIPPINES -- 4.0%
142,490 Bacnotan Consolidated Industries..................... $ 492,436
2,280,000 DCMI Holdings Inc. .................................. 1,688,472
711,250 First Philippine Holdings Corp. Series B............. 1,674,705
2,943,000 International Container Terminal Services, Inc.+..... 1,788,277
27,600 Philipine Long Distance Telephone Co. ADR............ 1,600,800
502,680 Union Bank of Philippines............................ 553,623
1,232,000 William Gothong & Aboitiz............................ 145,043
- --------------------------------------------------------------------------------
7,943,356
- --------------------------------------------------------------------------------
POLAND -- 3.2%
32,800 Bank Rozwoju Eksportu S.A. .......................... 1,147,378
22,000 Debica S.A. ......................................... 654,505
270,000 Elektrim Spolka Akcyjna S.A. ........................ 2,736,367
51,000 Krosno S.A. ......................................... 883,680
119,350 Okocimskie Zaklady Piwowarskie S.A. ................. 792,077
1,316 Zaklady Ptyt Wiorowych S.A. ......................... 38,721
- --------------------------------------------------------------------------------
6,252,728
- --------------------------------------------------------------------------------
RUSSIA -- 3.1%
55,670 Irkutskenergo ADR.................................... 709,793
25,700 Lukoil Holding ADR................................... 1,516,300
31,560 Mosenergo ADR........................................ 1,309,740
36,300 Surgutneftegaz ADR................................... 1,506,450
19,143 Trade House GUM ADR+................................. 1,148,580
- --------------------------------------------------------------------------------
6,190,863
- --------------------------------------------------------------------------------
SOUTH AFRICA -- 2.2%
16,500 Anglo American Corp. of South Africa Ltd. ........... 1,040,109
189,000 Barlow Ltd. ......................................... 1,992,692
470,000 Reunert Ltd. ........................................ 1,258,507
- --------------------------------------------------------------------------------
4,291,308
- --------------------------------------------------------------------------------
SOUTH KOREA -- 3.0%
135,100 Cho Hung Bank Co. Ltd. GDR+.......................... 807,898
4,766 Daehan City Gas Co. ................................. 249,231
49,000 Dong-Ah Construction Industrial Co. EDR+............. 573,300
4 Hyundai Engineering & Construction Co.+.............. 95
47,000 Korea Electric Power Corp. .......................... 1,348,528
58,230 LG Semicon Co........................................ 1,792,003
4,900 S 1 Corp.+........................................... 1,187,655
- --------------------------------------------------------------------------------
5,958,710
- --------------------------------------------------------------------------------
SRI LANKA -- 0.4%
1,592,200 Asian Hotels Corp. Ltd.+............................. 325,363
56,665 Development Finance Corp. of Ceylon+................. 266,084
84,122 Hayleys Ltd.+........................................ 286,015
- --------------------------------------------------------------------------------
877,462
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
105
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ----------------------------------------------------------------------------------
<C> <S> <C>
TAIWAN -- 6.0%
1,418 Asia Cement Corp. GDR.................................... $ 27,855
583,000 China Developement Corp. ................................ 2,277,344
594,000 China Motor Co. Ltd. .................................... 1,413,772
290,000 Clevo Co. ............................................... 2,107,558
896,000 Hung Poo Construction Corp. ............................. 2,213,953
15,600 Taipei Fund.............................................. 1,599,000
1,545,000 Zig Sheng Industry Co. Ltd. ............................. 2,234,411
- ----------------------------------------------------------------------------------
11,873,893
- ----------------------------------------------------------------------------------
THAILAND -- 4.9%
122,600 Bangkok Bank Public Co. Ltd. ............................ 833,273
645,250 Bank of Ayudhya Public Co. Ltd. ......................... 1,470,158
132,800 Grammy Entertainment Co. Ltd. ........................... 1,805,198
318,000 Italian -- Thai Development Public Co. Ltd. ............. 1,301,718
27,200 Kang Yong Electric Public Co. Ltd. ...................... 103,464
55,500 Land and House Public Co. Ltd. .......................... 315,061
63,100 Loxley Public Co. Ltd. .................................. 272,918
60,000 Siam City Cement Public Co. Ltd. ........................ 1,603,398
236,200 Thai Airways International Public Co. Ltd. .............. 369,419
617,000 Thai Military Bank Ltd. ................................. 964,993
113,800 United Communication Industry Public Co. Ltd. ........... 703,147
- ----------------------------------------------------------------------------------
9,742,747
- ----------------------------------------------------------------------------------
TURKEY -- 2.0%
3,180,000 Arcelik A.S. ............................................ 530,280
11,800,000 Eregli Demir Ve Celik Fabrikalari T.A.S. ................ 2,039,696
29,000,000 Yapi ve Bankasi A.S. .................................... 1,368,204
- ----------------------------------------------------------------------------------
3,938,180
- ----------------------------------------------------------------------------------
TOTAL STOCKS (Cost -- $167,133,331)...................... 190,043,576
- ----------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ----------------------------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS -- 0.9%
TAIWAN -- 0.9%
$1,158,000 Compal Electronics, 1.000% due 11/21/03.................. 1,243,621
529,000 Yangming Marine Transportation, 2.000% due 10/6/01....... 613,640
- ----------------------------------------------------------------------------------
TOTAL CONVERTIBLE BONDS (Cost -- $1,787,724)................ 1,857,261
- ----------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
106
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1997
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 3.3%
$6,500,000 CS First Boston Corp., 5.330% due 3/3/97; Proceeds at
maturity -- $6,502,887;
(Fully collateralized by U.S. Treasury Note 5.875%
due 10/31/98;
Market value -- $6,635,273) (Cost -- $6,500,000)..... $ 6,500,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $175,421,055**)... $198,400,837
- --------------------------------------------------------------------------------
</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 exempt from registration,
normally to qualified institutional buyers.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Brazil 12.3%
Hong Kong 8.7%
Mexico 6.1%
Malaysia 11.9%
Thailand 4.9%
Taiwan 6.0%
Hungary
Argentina 4.9%
Indonesia 5.1%
Phillipines 4.0%
Repurchase Agreement 3.3%
Other Stocks, Preferred Stocks
and Warrants 28.0%
SEE NOTES TO FINANCIAL STATEMENTS.
107
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
<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.... $289,711,020 $312,116,737 $163,847,957 $44,152,066 $138,909,796
Foreign currency --
Cost................. -- -- -- -- --
- ---------------------------------------------------------------------------------------------
Investments, at value.. 289,711,020 310,669,518 163,672,046 44,648,406 137,994,792
Foreign currency, at
value................. -- -- -- -- --
Cash................... 184,331 457 703 3,977 759
Receivable for
securities sold....... -- 13,878,748 3,648,450 955,558 18,771,208
Dividends and interest
receivable............ 1,326,666 4,259,408 2,335,930 619,476 834,443
Receivable for Fund
shares sold........... 1,212,646 1,377,223 480,296 58,378 390,378
Receivable for open
forward foreign
currency contracts.... -- -- -- -- --
Receivable from
brokers............... -- -- -- -- --
Deposits with broker
for securities sold
short................. -- -- -- -- 10,041,250
Deferred organization
costs................. -- -- -- -- --
Other assets........... 17,078 -- -- -- --
- ---------------------------------------------------------------------------------------------
TOTAL ASSETS........... 292,451,741 330,185,354 170,137,425 46,285,795 168,032,830
- ---------------------------------------------------------------------------------------------
LIABILITIES:
Dividends payable...... 408,170 1,567,519 917,938 162,784 690,484
Administration fees
payable............... 106,853 50,014 25,611 20,513 62,964
Management fees
payable............... 80,143 100,028 51,221 43,506 161,306
Payable for open
forward foreign
currency contracts.... -- -- -- -- --
Payable for securities
purchased............. -- 13,746,426 3,686,857 -- 28,744,958
Securities sold short,
at value.............. -- -- -- -- 10,004,000
Payable to brokers --
variation margin..... -- -- -- -- --
Accrued expenses....... 101,061 85,601 84,840 19,340 38,984
- ---------------------------------------------------------------------------------------------
TOTAL LIABILITIES...... 696,227 15,549,588 4,766,467 246,143 39,702,696
- ---------------------------------------------------------------------------------------------
TOTAL NET ASSETS........ $291,755,514 $314,635,766 $165,370,958 $46,039,652 $128,330,134
- ---------------------------------------------------------------------------------------------
NET ASSETS:
Par value of shares of
beneficial interest... $ 291,803 $ 39,214 $ 20,416 $ 5,416 $ 16,263
Capital paid in excess
of par value.......... 291,510,722 323,211,711 166,767,821 47,483,566 130,474,208
Undistributed
(overdistributed) net
investment income..... 7,528 26,727 (107,680) 34,566 (225,548)
Accumulated net
realized gain (loss)
on security
transactions, foreign
currencies and futures
contracts............. (54,539) (7,194,667) (1,133,688) (1,980,236) (1,057,035)
Net unrealized
appreciation
(depreciation) of
investments, foreign
currencies, futures
contracts and short
sales of securities... -- (1,447,219) (175,911) 496,340 (877,754)
- ---------------------------------------------------------------------------------------------
TOTAL NET ASSETS........ $291,755,514 $314,635,766 $165,370,958 $46,039,652 $128,330,134
- ---------------------------------------------------------------------------------------------
Shares Outstanding...... 291,802,525 39,213,643 20,415,852 5,415,800 16,263,014
- ---------------------------------------------------------------------------------------------
Net Asset Value......... $1.00 $8.02 $8.10 $8.50 $7.89
- ---------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
108
<PAGE>
FEBRUARY 28, 1997
<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>
$52,332,804 $1,379,056,233 $1,196,922,557 $416,452,679 $552,954,207 $903,972,067 $127,798,142 $175,421,055
-- -- -- -- -- 20,886,890 6,266,639 4,083,303
- ---------------------------------------------------------------------------------------------------------------------
61,498,808 1,762,186,926 1,570,383,551 512,478,193 577,477,789 941,308,843 122,921,200 198,400,837
-- -- -- -- -- 20,572,280 6,334,795 4,074,502
143 1,055 320 168,265 350 7,346,076 309 2,260,761
-- 2,075,937 35,058,646 3,085,194 990,694 4,952,196 21,502,545 3,350,813
231,193 4,756,813 1,259,976 599,347 133,155 1,918,239 2,868,207 97,945
14,659 4,351,076 4,247,024 1,732,769 1,622,456 3,348,979 370,911 930,115
-- -- -- -- -- 5,730,434 409,956 --
-- -- -- -- 49,300 2,117,116 -- --
-- -- -- -- -- -- -- --
18,145 -- -- -- -- 10,920 -- 14,042
-- -- -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------
61,762,948 1,773,371,807 1,610,949,517 518,063,768 580,273,744 987,305,083 154,407,923 209,129,015
- ---------------------------------------------------------------------------------------------------------------------
110,729 -- -- -- -- -- 596,123 --
19,677 271,256 248,264 79,590 93,560 145,374 19,824 31,183
59,133 664,141 605,341 208,185 212,565 433,356 49,560 140,324
-- -- -- -- -- 7,361,872 186,528 --
905,905 5,179,599 37,108,987 4,369,375 1,036,191 14,319,482 25,836,065 2,001,691
-- -- -- -- -- -- -- --
-- -- 122,850 -- -- 163,853 -- --
64,343 174,460 123,302 81,797 190,510 625,230 247,659 161,320
- ---------------------------------------------------------------------------------------------------------------------
1,159,787 6,289,456 38,208,744 4,738,947 1,532,826 23,049,167 26,935,759 2,334,518
- ---------------------------------------------------------------------------------------------------------------------
$60,603,161 $1,767,082,351 $1,572,740,773 $513,324,821 $578,740,918 $964,255,916 $127,472,164 $206,794,497
- ---------------------------------------------------------------------------------------------------------------------
$ 5,509 $ 135,954 $ 104,868 $ 42,686 $ 37,970 $ 96,978 $ 14,883 $ 21,566
50,749,820 1,295,236,430 1,162,365,472 402,350,720 541,877,030 927,339,786 128,871,215 182,496,215
(2,922) (6,754,219) 764,781 (16,556) (932,242) (9,803,929) 1,780,783 (804,908)
684,750 95,333,493 33,983,083 14,922,457 13,484,888 7,602,025 1,524,064 2,114,843
9,166,004 383,130,693 375,522,569 96,025,514 24,273,272 39,021,056 (4,718,781) 22,966,781
- ---------------------------------------------------------------------------------------------------------------------
$60,603,161 $1,767,082,351 $1,572,740,773 $513,324,821 $578,740,918 $964,255,916 $127,472,164 $206,794,497
- ---------------------------------------------------------------------------------------------------------------------
5,509,058 135,954,398 104,867,615 42,685,656 37,969,686 96,978,289 14,883,098 21,566,014
- ---------------------------------------------------------------------------------------------------------------------
$11.00 $13.00 $15.00 $12.03 $15.24 $9.94 $8.56 $9.59
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
109
<PAGE>
STATEMENTS OF OPERATIONS (UNAUDITED)
<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............... $7,973,386 $10,566,004 $ 5,943,075 $1,215,468 $4,362,401
Dividends.............. -- -- -- -- --
Less: Foreign
withholding tax ...... -- -- -- -- --
- -------------------------------------------------------------------------------------------
TOTAL INVESTMENT
INCOME................ 7,973,386 10,566,004 5,943,075 1,215,468 4,362,401
- -------------------------------------------------------------------------------------------
EXPENSES:
Shareholder and system
servicing fees........ 306,741 121,656 102,154 15,520 92,290
Administration fees
(Note 2).............. 292,919 303,598 162,415 45,864 124,895
Management fees (Note
2).................... 219,689 607,196 324,829 91,727 312,236
Registration fees...... 31,381 29,671 13,001 14,400 14,837
Custody................ 16,642 6,429 3,898 1,875 2,373
Shareholder
communications........ 16,351 19,781 6,943 4,000 21,097
Audit and legal........ 15,484 19,781 13,193 10,450 12,857
Trustees' fees......... 5,227 5,935 3,491 3,430 4,486
Pricing service fees... -- 5,230 2,328 2,600 1,500
Amortization of
deferred organization
costs................. -- 2,731 2,731 2,782 2,731
Other.................. 3,822 4,315 6,257 1,427 1,756
- -------------------------------------------------------------------------------------------
TOTAL EXPENSES......... 908,256 1,126,323 641,240 194,075 591,058
Less: Management and
administration fee
waivers (Note 2)...... -- -- -- (10,620) (93,493)
- -------------------------------------------------------------------------------------------
NET EXPENSES........... 908,256 1,126,323 641,240 183,455 497,565
- -------------------------------------------------------------------------------------------
NET INVESTMENT INCOME
(LOSS)................. 7,065,130 9,439,681 5,301,835 1,032,013 3,864,836
- -------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS, FOREIGN
CURRENCIES, FUTURES
CONTRACTS AND SHORT
SALES OF SECURITIES
(NOTE 4, 5 AND 7):
Realized Gain (Loss)
From:
Security transactions
(excluding short-term
securities)........... (494)* 134,061 607,597 (71,980) 35,625
Foreign currency
transactions.......... -- -- -- -- --
Futures contracts...... -- -- -- -- --
- -------------------------------------------------------------------------------------------
NET REALIZED GAIN
(LOSS)................ (494) 134,061 607,597 (71,980) 35,625
- -------------------------------------------------------------------------------------------
Change in Net
Unrealized Appreciation
(Depreciation) of
Investments, Foreign
Currencies, Futures
Contracts and Short
Sales of Securities
Beginning of period.... -- (5,440,660) (5,293,520) (861,098) (3,309,661)
End of period.......... -- (1,447,219) (175,911) 496,340 (877,754)
- -------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET UNREALIZED
APPRECIATION
(DEPRECIATION)........ -- 3,993,441 5,117,609 1,357,438 2,431,907
- -------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON
INVESTMENTS, FOREIGN
CURRENCIES, FUTURES
CONTRACTS AND SHORT
SALES OF SECURITIES.... (494) 4,127,502 5,725,206 1,285,458 2,467,532
- -------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS............. $7,064,636 $13,567,183 $11,027,041 $2,317,471 $6,332,368
- -------------------------------------------------------------------------------------------
</TABLE>
* Represents loss from sale of short-term securities.
SEE NOTES TO FINANCIAL STATEMENTS.
110
<PAGE>
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1997
<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>
$ 531,017 $ 404,118 $ 1,340,292 $ 207,293 $ 481,134 $ 1,451,732 $ 4,475,140 $ 305,894
465,142 21,257,780 7,569,571 6,096,266 983,491 4,515,447 -- 677,319
(12,026) (28,756) (5,767) -- -- (628,693) (10,540) (44,217)
- ------------------------------------------------------------------------------------------------------------------
984,133 21,633,142 8,904,096 6,303,559 1,464,625 5,338,486 4,464,600 938,996
- ------------------------------------------------------------------------------------------------------------------
14,159 476,732 459,763 216,181 382,768 399,684 93,704 96,399
56,108 1,633,694 1,412,511 490,217 562,708 884,596 125,466 144,384
168,325 4,004,513 3,463,653 1,292,627 1,333,635 2,367,943 313,664 649,730
19,370 125,458 88,132 33,876 49,462 59,343 21,157 34,797
2,429 32,146 25,714 20,354 15,825 316,569 33,206 85,958
7,346 24,726 49,080 42,362 9,890 9,890 5,970 8,988
16,937 18,594 16,239 13,354 16,370 14,245 11,891 11,891
4,243 14,835 5,104 8,406 4,521 11,870 2,797 3,968
-- -- -- -- -- 45,622 1,139 5,539
9,359 2,731 2,729 2,731 -- 8,189 2,731 3,284
2,000 20,276 2,632 4,083 21,688 4,271 2,569 2,628
- ------------------------------------------------------------------------------------------------------------------
300,276 6,353,705 5,525,557 2,124,191 2,396,867 4,122,222 614,294 1,047,566
(18,509) -- -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------
281,767 6,353,705 5,525,557 2,124,191 2,396,867 4,122,222 614,294 1,047,566
- ------------------------------------------------------------------------------------------------------------------
702,366 15,279,437 3,378,539 4,179,368 (932,242) 1,216,264 3,850,306 (108,570)
- ------------------------------------------------------------------------------------------------------------------
766,568 119,538,319 35,691,847 25,441,329 27,900,809 7,987,015 2,260,732 2,269,076
-- -- -- -- -- (35,555) 826,237 (215,983)
-- -- 3,880,800 -- 348,080 (2,231,507) -- --
- ------------------------------------------------------------------------------------------------------------------
766,568 119,538,319 39,572,647 25,441,329 28,248,889 5,719,953 3,086,969 2,053,093
- ------------------------------------------------------------------------------------------------------------------
3,265,170 205,280,598 177,118,985 42,508,734 68,100,476 24,553,039 2,495,277 1,345,429
9,166,004 383,130,693 375,522,569 96,025,514 24,273,272 39,021,056 (4,718,781) 22,966,781
- ------------------------------------------------------------------------------------------------------------------
5,900,834 177,850,095 198,403,584 53,516,780 (43,827,204) 14,468,017 (7,214,058) 21,621,352
- ------------------------------------------------------------------------------------------------------------------
6,667,402 297,388,414 237,976,231 78,958,109 (15,578,315) 20,187,970 (4,127,089) 23,674,445
- ------------------------------------------------------------------------------------------------------------------
$7,369,768 $312,667,851 $241,354,770 $83,137,477 $(16,510,557) $21,404,234 $ (276,783) $23,565,875
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
111
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
<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)................ $ 7,065,130 $ 9,439,681 $ 5,301,835 $ 1,032,013 $ 3,864,836
Net realized gain
(loss)................ (494) 134,061 607,597 (71,980) 35,625
Increase (decrease) in
net unrealized
appreciation.......... -- 3,993,441 5,117,609 1,357,438 2,431,907
- -----------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS............ 7,064,636 13,567,183 11,027,041 2,317,471 6,332,368
- -----------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
FROM (NOTE 3):
Net investment income.. (7,063,981) (9,749,791) (6,606,892) (984,568) (4,062,312)
Net realized gains..... -- -- -- -- --
- -----------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS
FROM DISTRIBUTIONS TO
SHAREHOLDERS.......... (7,063,981) (9,749,791) (6,606,892) (984,568) (4,062,312)
- -----------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS
(NOTE 10):
Net proceeds from sale
of shares............. 311,645,752 68,501,051 31,202,448 15,861,904 19,540,835
Net asset value of
shares issued for
reinvestment of
dividends............. 7,180,719 7,950,598 5,480,424 755,275 3,864,336
Cost of shares
reacquired............ (305,233,372) (61,686,029) (31,641,633) (18,395,276) (18,290,429)
- -----------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS FROM FUND
SHARE TRANSACTIONS.... 13,593,099 14,765,620 5,041,239 (1,778,097) 5,114,742
- -----------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS............. 13,593,754 18,583,012 9,461,388 (445,194) 7,384,798
NET ASSETS:
Beginning of period.... 278,161,760 296,052,754 155,909,570 46,484,846 120,945,336
- -----------------------------------------------------------------------------------------------
END OF PERIOD*......... $ 291,755,514 $314,635,766 $165,370,958 $ 46,039,652 $128,330,134
- -----------------------------------------------------------------------------------------------
* Includes
undistributed
(overdistributed) net
investment income
of:.................. $7,528 $26,727 $(107,680) $34,566 $(225,548)
- -----------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
112
<PAGE>
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1997
<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>
$ 702,366 $ 15,279,437 $ 3,378,539 $ 4,179,368 $ (932,242) $ 1,216,264 $ 3,850,306 $ (108,570)
766,568 119,538,319 39,572,647 25,441,329 28,248,889 5,719,953 3,086,969 2,053,093
5,900,834 177,850,095 198,403,584 53,516,780 (43,827,204) 14,468,017 (7,214,058) 21,621,352
- ---------------------------------------------------------------------------------------------------------------------------
7,369,768 312,667,851 241,354,770 83,137,477 (16,510,557) 21,404,234 (276,783) 23,565,875
- ---------------------------------------------------------------------------------------------------------------------------
(815,306) (44,380,995) (8,125,928) (8,320,877) -- (11,115,299) (4,381,709) (236,634)
(1,389,750) (78,157,401) (52,552,183) (34,884,922) (71,806,746) (58,250,387) (3,360,508) (274,654)
- ---------------------------------------------------------------------------------------------------------------------------
(2,205,056) (122,538,396) (60,678,111) (43,205,799) (71,806,746) (69,365,686) (7,742,217) (511,288)
- ---------------------------------------------------------------------------------------------------------------------------
17,470,805 264,819,556 310,637,851 101,961,863 305,291,221 249,989,254 24,773,796 139,176,845
1,030,675 121,239,099 60,140,500 42,735,246 71,203,317 69,365,551 4,176,363 508,577
(13,343,818) (321,556,410) (184,130,971) (150,188,037) (203,759,253) (150,867,004) (22,869,397) (53,434,941)
- ---------------------------------------------------------------------------------------------------------------------------
5,157,662 64,502,245 186,647,380 (5,490,928) 172,735,285 168,487,801 6,080,762 86,250,481
- ---------------------------------------------------------------------------------------------------------------------------
10,322,374 254,631,700 367,324,039 34,440,750 84,417,982 120,526,349 (1,938,238) 109,305,068
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
- ---------------------------------------------------------------------------------------------------------------------------
$ 60,603,161 $1,767,082,351 $1,572,740,773 $ 513,324,821 $ 578,740,918 $ 964,255,916 $127,472,164 $206,794,497
- ---------------------------------------------------------------------------------------------------------------------------
$(2,922) $(6,754,219) $764,781 $(16,556) $(932,242) $(9,803,929) $1,780,783 $(804,908)
- ---------------------------------------------------------------------------------------------------------------------------
</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>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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 prices 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 subsequent to the time a value was so
established 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 agencies and obligations are valued at
the mean between the bid and ask prices; (c) securities maturing within 60 days
are valued at cost plus accreted discount, or minus amortized premium, as
applicable; (d) dividend income is recorded on the ex-dividend date except that
foreign dividends are recorded on the ex-dividend date or as soon as practical
after the Fund determines the existence of a dividend declaration after
exercising reasonable due diligence; and interest income is recorded on an
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 and income and expenses are
translated at the rate of exchange quoted on the respective date that such
transactions are recorded. Differences between income or 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 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 had 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 had 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; and (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.
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.
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.
116
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
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 Smith Barney Mutual Funds Management Inc. ("SBMFM"), a
subsidiary of Smith Barney Holdings Inc. ("SBH"). The Consulting Group
("Manager"), a division of SBMFM, provides investment evaluation services with
respect to the investment advisers of the Fund. SBMFM has entered into an
investment advisory agreement with each adviser selected for the Portfolios
(collectively, "Advisers").
Under the Management Agreement, each Portfolio pays SBMFM a fee, calculated
daily and paid monthly, based on the rates applied to the value of each
Portfolio's average daily net assets. In addition, SBMFM pays each Adviser,
based on the rates applied to each respective Portfolio's average daily net
assets on a monthly basis. The applicable management fee, advisory fee paid by
SBMFM to each Adviser, and the Adviser for each Portfolio are indicated below:
<TABLE>
<CAPTION>
ANNUAL
ADVISER MANAGEMENT
PORTFOLIO ADVISERS FEE FEE
- --------------------------------------------------------------------------------------------
<C> <S> <C> <C>
Government Money Investments Standish, Ayer & Wood, 0.15% 0.15%
Inc.
Intermediate Fixed Income Investments Standish, Ayer & Wood, 0.20% 0.40%
Inc.
Long-Term Bond Investments National Asset 0.20% 0.40%
Management
Municipal Bond Investments Smith Affiliated Capital 0.20% 0.40%
Corp.
Mortgage Backed Investments Atlantic Portfolio 0.25% 0.50%
Analytics & Management,
Inc.
Balanced Investments Palley-Needleman Asset 0.20% 0.60%
Management, Inc.
Large Capitalization Value Equity Investments The Boston Co. Asset 0.30% 0.60%
Management, Inc.
Parametric Portfolio
Associates, Inc.:
on the first $300 0.20% 0.50%
million
on the amount over $300 0.15% 0.45%
million
Large Capitalization Growth Investments Provident Investment 0.30% 0.60%
Counsel Inc.
Boston Structured
Advisors:
on the first $300 0.20% 0.50%
million
on the amount over $300 0.15% 0.45%
million
Small Capitalization Value Equity Investments NFJ Investment Group 0.30% 0.60%
Barclays Global Fund
Advisors:
on the first $200 0.15% 0.45%
million
on the next $100 million 0.10% 0.40%
on the amount over $300 0.05% 0.35%
million
Small Capitalization Growth Investments Pilgrim Baxter & 0.30% 0.60%
Associates
Mellon Capital
Management Corp.
on the first $200 0.15% 0.45%
million
on the next $100 million 0.10% 0.40%
on the amount over $300 0.05% 0.35%
million
International Equity Investments Oechsle International 0.40% 0.70%
Advisors L.P.
State Street Global 0.07% 0.37%
Advisors
International Fixed Income Investments Julius Baer Investments 0.25% 0.50%
Management Inc.
Emerging Markets Equity Investments John Govett & Co. 0.60% 0.90%
Limited
- --------------------------------------------------------------------------------------------
</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.
117
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
For the six months ended February 28, 1997, the following fees were waived:
<TABLE>
<CAPTION>
TOTAL
FEE WAIVERS MANAGER ADMINISTRATOR
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Municipal Bond Investments.................... $10,620 $ 7,080 $ 3,540
Mortgage Backed Investments................... 93,493 66,781 26,712
Balanced Investments.......................... 18,509 13,882 4,627
- --------------------------------------------------------------------------------
</TABLE>
For the six months ended February 28, 1997, Smith Barney Inc. ("SB"), another
subsidiary of SBH, received brokerage commissions of $96,059 .
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.
4. INVESTMENTS
During the six months ended February 28, 1997, 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................ $144,986,069 $100,432,483
Long-Term Bond Investments........................... 39,228,894 34,379,991
Municipal Bond Investments........................... 7,719,304 6,573,110
Mortgage Backed Investments.......................... 38,862,359 18,762,875
Balanced Investments................................. 12,676,542 17,906,374
Large Capitalization Value Equity Investments........ 724,129,752 761,439,193
Large Capitalization Growth Investments.............. 337,343,224 240,343,716
Small Capitalization Value Equity Investments........ 112,753,231 73,041,747
Small Capitalization Growth Investments.............. 226,760,737 143,069,946
International Equity Investments..................... 201,559,075 99,289,200
International Fixed Income Investments............... 146,758,746 145,078,623
Emerging Markets Equity Investments.................. 149,964,195 70,436,206
- -------------------------------------------------------------------------------
</TABLE>
At February 28, 1997, 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...................... $ 1,398,104 $ (2,845,323) $ (1,447,219)
Long-Term Bond Investments...... 447,614 (623,525) (175,911)
Municipal Bond Investments...... 826,110 (329,770) 496,340
Mortgage Backed Investments..... 882,993 (1,797,997) (915,004)
Balanced Investments............ 9,551,928 (385,924) 9,166,004
Large Capitalization Value Eq-
uity Investments............... 396,237,049 (13,106,356) 383,130,693
Large Capitalization Growth In-
vestments...................... 398,930,064 (25,469,070) 373,460,994
Small Capitalization Value Eq-
uity Investments............... 110,865,181 (14,839,667) 96,025,514
Small Capitalization Growth In-
vestments...................... 83,897,948 (59,624,676) 24,273,272
International Equity Invest-
ments.......................... 116,487,344 (79,150,568) 37,336,776
International Fixed Income In-
vestments...................... 691,057 (5,567,999) (4,876,942)
Emerging Markets Equity Invest-
ments.......................... 31,448,513 (8,468,731) 22,979,782
- ------------------------------------------------------------------------------
</TABLE>
*Substantially the same for Federal income tax purposes.
118
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
5. FUTURES CONTRACTS
Initial margin deposits made upon entering into futures contracts are
recognized as assets. Securities equal to the initial margin amount are
segregated by the custodian in the name of the broker. Additional securities
are also segregated up to the current market value of the futures contract.
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 February 28, 1997, Large Capitalization Growth Investments, Small
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
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
S&P 500 Index.......... 117 3/97 $44,419,250 $46,238,400 $1,819,150
S&P 400 Midcap......... 181 3/97 23,450,475 23,692,900 242,425
- -------------------------------------------------------------------------------
TOTAL.................. $67,869,725 $69,931,300 $2,061,575
- -------------------------------------------------------------------------------
</TABLE>
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
# OF BASIS MARKET UNREALIZED
PURCHASED CONTRACTS CONTRACTS EXPIRATION VALUE VALUE LOSS
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Russell 2000 Index...... 58 6/97 $10,684,510 $10,434,200 $(250,310)
- ---------------------------------------------------------------------------------
INTERNATIONAL EQUITY INVESTMENTS
<CAPTION>
# OF BASIS MARKET UNREALIZED
PURCHASED CONTRACTS CONTRACTS EXPIRATION VALUE VALUE GAIN (LOSS)
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Australian ALL Ordi-
naries................. 32 3/97 $ 1,483,418 $ 1,507,067 $ 23,649
Deutsche Terminboerse
DAX.................... 20 3/97 3,683,374 3,863,286 179,912
London Financial Times
Stock Exchange 100..... 30 3/97 5,118,149 5,243,258 125,109
Marche a Terme Interna-
tional de France CAC
40..................... 36 3/97 3,127,716 3,316,097 188,381
MIB 30.................. 15 3/97 1,635,820 1,539,408 (96,412)
Osaka Securities Ex-
change Nikkei 300...... 105 3/97 2,510,953 2,322,893 (188,060)
Tokyo Stock Exchange
TOPIX.................. 60 3/97 7,326,584 6,930,152 (396,432)
- ---------------------------------------------------------------------------------
TOTAL................... $24,886,014 $24,722,161 $(163,853)
- ---------------------------------------------------------------------------------
</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.
119
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
7. FORWARD FOREIGN CURRENCY CONTRACTS
At February 28, 1997, 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:
Australian Dollar............ 2,730,000 $ 2,118,918 3/3/97 $ (33,198)
Australian Dollar............ 1,770,000 1,373,804 3/3/97 6,549
British Pound................ 6,750,000 11,012,088 3/3/97 (83,838)
Danish Krone................. 1,702,530 264,397 3/3/97 (1,153)
French Franc................. 42,850,000 7,522,486 3/3/97 200,315
French Franc................. 116,517,000 20,475,051 3/19/97 1,944,999
German Deutschemark.......... 18,142,000 10,748,321 3/3/97 254,699
German Deutschemark.......... 35,250,000 20,904,421 3/19/97 2,024,943
Italian Lira................. 4,250,000,000 2,514,354 3/3/97 109,883
Japanese Yen................. 2,500,000,000 20,723,078 3/3/97 (158,605)
Singapore Dollar............. 439,543 308,266 3/4/97 206
Singapore Dollar............. 516,995 362,596 3/5/97 (542)
Singapore Dollar............. 345,092 242,037 3/6/97 (139)
Swedish Krona................ 23,397,617 3,120,895 3/4/97 5,040
Swiss Franc.................. 11,767,000 7,993,450 3/19/97 1,040,714
- -------------------------------------------------------------------------------
109,684,162 5,309,873
- -------------------------------------------------------------------------------
TO BUY:
Australian Dollar............ 300,000 232,848 3/3/97 1,125
Australian Dollar............ 3,100,000 2,406,097 3/3/97 (42,903)
Australian Dollar............ 1,100,000 853,776 3/3/97 5,247
Australian Dollar............ 1,770,000 1,374,330 6/3/97 (4,500)
British Pound................ 6,780,000 11,061,030 3/3/97 (229,350)
British Pound................ 2,300,000 3,752,266 3/3/97 19,959
British Pound................ 2,330,000 3,801,209 3/3/97 (3,401)
British Pound................ 2,330,000 3,789,357 6/3/97 (8,543)
French Franc................. 42,850,000 7,522,487 3/3/97 (674,799)
French Franc................. 116,517,000 20,475,051 3/19/97 (1,281,054)
French Franc................. 7,250,000 1,279,359 6/3/97 (12,976)
German Deutschemark.......... 18,142,000 10,748,321 3/3/97 (948,112)
German Deutschemark.......... 35,250,000 20,904,421 3/19/97 (1,691,290)
German Deutschemark.......... 5,942,000 3,543,232 6/3/97 (31,979)
Italian Lira................. 4,250,000,000 2,514,354 3/3/97 (228,742)
Italian Lira................. 788,600,000 463,364 6/3/97 (10,212)
Japanese Yen................. 2,100,000,000 17,407,385 3/3/97 (1,276,797)
Japanese Yen................. 400,000,000 3,315,693 3/3/97 30,911
Japanese Yen................. 790,000,000 6,636,425 6/3/97 85,844
Malaysian Ringgit............ 282,350 113,696 3/4/97 (343)
Swiss Franc.................. 11,767,000 7,993,450 3/19/97 (639,396)
- -------------------------------------------------------------------------------
130,188,151 (6,941,311)
- -------------------------------------------------------------------------------
TOTAL UNREALIZED LOSS ON
FORWARD
FOREIGN CURRENCY CONTRACTS.. $(1,631,438)
- -------------------------------------------------------------------------------
</TABLE>
120
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (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:
Australian Dollar......... 7,190,000 $ 5,579,213 3/18/97 $ (38,599)
British Pound............. 117,852 192,266 3/3/97 (757)
Canadian Dollar........... 735,427 538,134 3/3/97 (737)
Danish Krone.............. 1,165 181 3/3/97 --
Dutch Guilder............. 1,515 798 3/3/97 --
German Deutschemark....... 929,740 550,829 3/3/97 (622)
German Deutschemark....... 19,709,895 11,682,210 3/10/97 277,677
German Deutschemark....... 21,269,000 12,614,762 3/21/97 (16,733)
Italian Lira.............. 789,600,000 467,137 3/3/97 2,304
Norwegian Krone........... 1,650,536 244,980 3/3/97 (493)
Spanish Peseta............ 1,081,765 7,546 3/3/97 8
- -------------------------------------------------------------------------------
31,878,056 222,048
- -------------------------------------------------------------------------------
TO BUY:
German Deutschemark....... 19,709,895 11,682,210 3/10/97 (128,587)
German Deutschemark....... 7,209,000 4,275,698 3/21/97 4,154
- -------------------------------------------------------------------------------
15,957,908 (124,433)
- -------------------------------------------------------------------------------
<CAPTION>
MARKET VALUE
-------------------------
CROSS FORWARDS**: French Canadian
TO SELL: Franc Dollar
----------- -------------
<S> <C> <C> <C> <C>
French Franc vs. Canadian
Dollar................... $ 8,988,415 $ 9,038,909 3/11/97 50,494
German Italian
Deutschmark Lira
----------- -------------
German Deutschemark vs.
Italian Lira............. $ 5,666,905 $ 5,700,436 7/9/97 33,531
Italian German
Lira Deutschmark
----------- -------------
Italian Lira vs. German
Deutschemark............. $ 5,700,436 $ 5,742,224 7/9/97 41,788
- -------------------------------------------------------------------------------
20,355,756 20,481,569 125,813
- -------------------------------------------------------------------------------
TOTAL UNREALIZED GAIN ON
FORWARD
FOREIGN CURRENCY
CONTRACTS................ $ 223,428
- -------------------------------------------------------------------------------
<CAPTION>
** Local Currency on Cross
Forwards Sell Buy
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell French Franc vs. Ca-
nadian Dollar............ 51,175,256 12,346,167
Sell German Deutschemark
vs. Italian Lira......... 9,500,000 9,937,000,000
Sell Italian Lira vs. Ger-
man Deutschemark......... 9,937,000,000 9,626,264
- -------------------------------------------------------------------------------
</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.
121
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
10. SHARES OF BENEFICIAL INTEREST
At February 28, 1997, 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>
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 28,1997 AUGUST 31, 1996
- -------------------------------------------------------------------------------
<S> <C> <C>
GOVERNMENT MONEY INVESTMENTS
Shares sold................................... 311,645,752 437,963,687
Shares issued on reinvestment................. 7,180,719 12,180,500
Shares redeemed............................... (305,233,372) (413,581,060)
- -------------------------------------------------------------------------------
Net Increase.................................. 13,593,099 36,563,127
- -------------------------------------------------------------------------------
INTERMEDIATE FIXED INCOME INVESTMENTS
Shares sold................................... 8,490,629 16,226,689
Shares issued on reinvestment................. 985,062 2,067,760
Shares redeemed............................... (7,648,425) (11,307,251)
- -------------------------------------------------------------------------------
Net Increase.................................. 1,827,266 6,987,198
- -------------------------------------------------------------------------------
LONG-TERM BOND INVESTMENTS
Shares sold................................... 3,709,056 8,616,173
Shares issued on reinvestment................. 753,412 988,796
Shares redeemed............................... (3,856,809) (6,509,335)
- -------------------------------------------------------------------------------
Net Increase.................................. 605,659 3,095,634
- -------------------------------------------------------------------------------
MUNICIPAL BOND INVESTMENTS
Shares sold................................... 1,883,081 2,986,970
Shares issued on reinvestment................. 89,539 249,750
Shares redeemed............................... (2,183,890) (3,091,008)
- -------------------------------------------------------------------------------
Net Increase (Decrease)....................... (211,270) 145,712
- -------------------------------------------------------------------------------
MORTGAGE BACKED INVESTMENTS
Shares sold................................... 2,466,593 5,541,780
Shares issued on reinvestment................. 490,290 898,184
Shares redeemed............................... (2,310,887) (4,063,287)
- -------------------------------------------------------------------------------
Net Increase.................................. 645,996 2,376,677
- -------------------------------------------------------------------------------
BALANCED INVESTMENTS
Shares sold................................... 1,555,268 3,107,830
Shares issued on reinvestment................. 196,235 228,475
Shares redeemed............................... (1,270,956) (1,537,798)
- -------------------------------------------------------------------------------
Net Increase.................................. 480,547 1,798,507
- -------------------------------------------------------------------------------
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
Shares sold................................... 21,094,586 50,806,724
Shares issued on reinvestment................. 9,591,013 2,398,347
Shares redeemed............................... (25,657,339) (24,969,181)
- -------------------------------------------------------------------------------
Net Increase.................................. 5,028,260 28,235,890
- -------------------------------------------------------------------------------
LARGE CAPITALIZATION GROWTH INVESTMENTS
Shares sold................................... 21,428,943 40,898,526
Shares issued on reinvestment................. 4,117,121 3,324,041
Shares redeemed............................... (12,716,627) (16,659,319)
- -------------------------------------------------------------------------------
Net Increase.................................. 12,829,437 27,563,248
- -------------------------------------------------------------------------------
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
Shares sold................................... 8,687,232 20,888,354
Shares issued on reinvestment................. 3,718,417 229,397
Shares redeemed............................... (12,811,299) (12,034,896)
- -------------------------------------------------------------------------------
Net Increase (Decrease)....................... (405,650) 9,082,855
- -------------------------------------------------------------------------------
SMALL CAPITALIZATION GROWTH INVESTMENTS
Shares sold................................... 17,454,990 21,661,872
Shares issued on reinvestment................. 4,411,606 3,403,611
Shares redeemed............................... (11,686,381) (15,605,234)
- -------------------------------------------------------------------------------
Net Increase.................................. 10,180,215 9,460,249
- -------------------------------------------------------------------------------
</TABLE>
122
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 28,1997 AUGUST 31, 1996
- --------------------------------------------------------------------------------
<S> <C> <C>
INTERNATIONAL EQUITY INVESTMENTS
Shares sold.................................... 24,443,697 32,796,549
Shares issued on reinvestment.................. 6,670,111 2,783,132
Shares redeemed................................ (14,581,807) (18,301,671)
- --------------------------------------------------------------------------------
Net Increase................................... 16,532,001 17,278,010
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED INCOME INVESTMENTS
Shares sold.................................... 2,744,276 4,607,116
Shares issued on reinvestment.................. 463,127 1,344,169
Shares redeemed................................ (2,525,825) (3,507,513)
- --------------------------------------------------------------------------------
Net Increase................................... 681,578 2,443,772
- --------------------------------------------------------------------------------
EMERGING MARKETS EQUITY INVESTMENTS
Shares sold.................................... 16,010,887 9,176,431
Shares issued on reinvestment.................. 59,448 --
Shares redeemed................................ (5,978,832) (5,261,534)
- --------------------------------------------------------------------------------
Net Increase................................... 10,091,503 3,914,897
- --------------------------------------------------------------------------------
</TABLE>
11. SECURITIES TRADED ON A TO-BE-ANNOUNCED BASIS
The Trust may trade securities on a "to-be-announced" ("TBA") basis. In a TBA
transaction, the Trust commits to purchasing or selling securities for which
specific information is not yet known at the time of the trade, particularly
the face amount and maturity date in GNMA transactions. Securities purchased on
a TBA basis are not settled until they are delivered to the Trust normally 15
to 45 days later. These transactions are subject to market fluctuations and
their current value is determined in the same manner as for other securities.
As of February 28, 1997, Mortgage Backed Investments held one TBA security
with a cost of $9,990,625.
12. SHORT SALES OF SECURITIES
A short sale is a transaction in which the Portfolio sell securities it does
not own (but has borrowed) in anticipation of a decline in the market price of
the securities. To complete a short sale, the Portfolio may arrange through a
broker to borrow the securities to be delivered to the buyer. The proceeds
received by the Portfolio for the short sale are retained by the broker until
the Portfolio replaces the borrowed securities. In borrowing the securities to
be delivered to the buyer, the Portfolio becomes obligated to replace the
securities borrowed at their market price at the time of replacement, whatever
that price may be.
Mortgage Backed Investments had the following short sale transactions open as
of February 28, 1997:
<TABLE>
<CAPTION>
DESCRIPTION PAR VALUE
----------- --- -----
<S> <C> <C>
Federal Home Loan Mortgage Corp. $10,000,000 $10,004,000
7.500% =========== ===========
Total proceeds ($10,041,250)
</TABLE>
13. SUBSEQUENT EVENT
On March 31, 1997, the Shareholders of the Trust approved an increase in the
management fee from an annual rate of 0.60% to 0.80% of the average daily net
assets of Small Capitalization Growth Investments. This increase was made so
that the Manager could hire a well established investment adviser in the small
capitalization discipline.
In addition, Berger Associates replaced Pilgrim Baxter & Associates as the
investment adviser for Small Capitalization Growth Investments. This
termination was effective March 11, 1997. As a result of the increase in
management fee for this Portfolio, the advisory fee paid to Berger Associates
by the Manager was also increased by 20 basis points.
123
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD:
<TABLE>
<CAPTION>
GOVERNMENT MONEY
INVESTMENTS 1997(1) 1996 1995 1994 1993 1992(2)
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD.......... $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- ------------------------------------------------------------------------------------------
Net investment in-
come(3)................ 0.02 0.05 0.05 0.03 0.03 0.03
Dividends from net in-
vestment income........ (0.02) (0.05) (0.05) (0.03) (0.03) (0.03)
- ------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD.................. $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- ------------------------------------------------------------------------------------------
TOTAL RETURN............. 2.41%++ 5.02% 5.24% 3.10% 2.76% 2.72%++
- ------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000S).................. $291,756 $278,162 $241,590 $184,656 $84,034 $30,353
- ------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(3)............. 0.62%+ 0.60% 0.60% 0.55% 0.50% 0.49%+
Net investment income... 4.81+ 4.93 5.14 3.16 2.71 3.37+
- ------------------------------------------------------------------------------------------
<CAPTION>
INTERMEDIATE FIXED INCOME
INVESTMENTS 1997(1) 1996 1995 1994 1993 1992(2)
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD.......... $7.92 $8.10 $7.92 $8.58 $8.25 $8.00
- ------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment in-
come(3)................ 0.25 0.50 0.50 0.47 0.51 0.34
Net realized and
unrealized gain
(loss)................. 0.11 (0.17) 0.16 (0.56) 0.33 0.25
- ------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations.............. 0.36 0.33 0.66 (0.09) 0.84 0.59
- ------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income... (0.26) (0.51) (0.48) (0.50) (0.48) (0.34)
Net realized gains...... -- -- -- (0.05) (0.03) --
Overdistribution of net
realized gains......... -- -- -- (0.01) -- --
Capital................. -- -- -- (0.01) -- --
- ------------------------------------------------------------------------------------------
Total Distributions...... (0.26) (0.51) (0.48) (0.57) (0.51) (0.34)
- ------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD.................. $8.02 $7.92 $8.10 $7.92 $8.58 $8.25
- ------------------------------------------------------------------------------------------
TOTAL RETURN............. 4.52%++ 4.08% 8.70% (1.13)% 10.59% 7.53%++
- ------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000S).................. $314,636 $296,053 $246,323 $223,548 $140,580 $58,545
- ------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(3)............. 0.74%+ 0.73% 0.80% 0.80% 0.80% 0.79%+
Net investment income... 6.20+ 5.78 6.40 5.77 5.94 6.00+
- ------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.. 34% 98% 98% 86% 92% 169%
- ------------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 28, 1997 (unaudited).
(2) For the period from November 18, 1991 (commencement of operations) 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>
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.
124
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD:
<TABLE>
<CAPTION>
LONG-TERM BOND
INVESTMENTS 1997(1) 1996 1995 1994(2) 1993 1992(3)
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $7.87 $8.23 $7.86 $8.70 $8.26 $8.00
- ----------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPER-
ATIONS:
Net investment in-
come(4)............... 0.26 0.51 0.45 0.38 0.47 0.31
Net realized and
unrealized gain
(loss)................ 0.30 (0.41) 0.36 (0.75) 0.42 0.26
- ----------------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 0.56 0.10 0.81 (0.37) 0.89 0.57
- ----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.33) (0.46) (0.44) (0.41) (0.45) (0.31)
Net realized gains..... -- -- -- (0.01) -- --
Overdistribution of net
realized gains........ -- -- -- (0.05) -- --
Capital................ -- -- -- (0.00)* -- --
- ----------------------------------------------------------------------------------------
Total Distributions..... (0.33) (0.46) (0.44) (0.47) (0.45) (0.31)
- ----------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $8.10 $7.87 $8.23 $7.86 $8.70 $8.26
- ----------------------------------------------------------------------------------------
TOTAL RETURN............ 7.12%++ 1.11% 10.71% (3.93)% 11.08% 7.37%++
- ----------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (000S)............ $165,371 $155,910 $137,545 $94,628 $64,734 $34,986
- ----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(4)............ 0.79%+ 0.80% 0.80% 0.80% 0.80% 0.79%+
Net investment income.. 6.51+ 6.18 5.80 5.34 5.40 5.69+
- ----------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 18% 125% 62% 43% 35% 4%
- ----------------------------------------------------------------------------------------
<CAPTION>
MUNICIPAL BOND
INVESTMENTS 1997(1) 1996 1995 1994 1993 1992(3)
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $8.26 $8.27 $8.06 $8.85 $8.25 $8.00
- ----------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPER-
ATIONS:
Net investment in-
come(4)............... 0.19 0.38 0.40 0.40 0.41 0.30
Net realized and
unrealized gain
(loss)................ 0.23 -- 0.21 (0.71) 0.62 0.25
- ----------------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 0.42 0.38 0.61 (0.31) 1.03 0.55
- ----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.18) (0.39) (0.40) (0.40) (0.41) (0.30)
Net realized gains..... -- -- (0.00)* -- -- --
Overdistribution of net
realized gains........ -- -- -- (0.05) (0.02) --
Capital................ -- -- -- (0.03) -- --
- ----------------------------------------------------------------------------------------
Total Distributions..... (0.18) (0.39) (0.40) (0.48) (0.43) (0.30)
- ----------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $8.50 $8.26 $8.27 $8.06 $8.85 $8.25
- ----------------------------------------------------------------------------------------
TOTAL RETURN............ 5.12%++ 4.62% 7.86% (3.78)% 12.94% 7.06%++
- ----------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (000S)............ $46,040 $46,485 $45,356 $56,625 $47,811 $21,795
- ----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(4)............ 0.80%+ 0.80% 0.80% 0.80% 0.80% 0.79%+
Net investment income.. 4.50+ 4.59 4.99 4.59 4.76 4.71+
- ----------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 15% 29% 49% 132% 15% 76%
- ----------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 28, 1997 (unaudited).
(2) 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.
(3) For the period from November 18, 1991 (commencement of operations) to
August 31, 1992.
(4) 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 1997 1996 1995 1994 1993 1992 1997 1996 1995 1994 1993 1992
--------- ----- ----- ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Long-Term Bond
Investments............ N/A N/A $0.01 $0.01 $0.02 $0.06 N/A N/A 0.93% 0.95% 1.09% 1.91%+
Municipal Bond
Investments............ $0.00* $0.02 0.02 0.01 0.02 0.06 0.85%+ 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.
125
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD:
<TABLE>
<CAPTION>
MORTGAGE BACKED
INVESTMENTS 1997(1) 1996(2) 1995 1994 1993 1992(3)
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $7.74 $7.91 $7.69 $8.21 $8.19 $8.00
- ------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(4)............... 0.24 0.48 0.51 0.41 0.53 0.40
Net realized and
unrealized gain
(loss)................ 0.16 (0.14) 0.22 (0.41) 0.00* 0.19
- ------------------------------------------------------------------------------------------
Total Income From Opera-
tions.................. 0.40 0.34 0.73 0.00 0.53 0.59
- ------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.25) (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..... (0.25) (0.51) (0.51) (0.52) (0.51) (0.40)
- ------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $7.89 $7.74 $7.91 $7.69 $8.21 $8.19
- ------------------------------------------------------------------------------------------
TOTAL RETURN............ 5.27%++ 4.37% 9.96% (0.20)% 6.68% 7.56%++
- ------------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (000S)............ $128,330 $120,945 $104,789 $120,427 $94,421 $35,694
- ------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(4)............ 0.80%+ 0.80% 0.80% 0.80% 0.80% 0.79%+
Net investment income.. 6.19+ 6.09 6.85 6.38 6.53 6.55+
- ------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 16% 23% 30% 53% 93% 35%
- ------------------------------------------------------------------------------------------
<CAPTION>
BALANCED INVESTMENTS 1997(1) 1996 1995 1994 1993(5)
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $10.00 $9.37 $8.63 $8.41 $8.00
- ------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(4)............... 0.13 0.29 0.26 0.21 0.09
Net realized and
unrealized gain....... 1.28 0.95 0.81 0.16 0.42
- ------------------------------------------------------------------------------------------
Total Income From Opera-
tions.................. 1.41 1.24 1.07 0.37 0.51
- ------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.15) (0.28) (0.29) (0.15) (0.10)
Net realized gains..... (0.26) (0.33) (0.04) -- --
Capital................ -- -- -- -- (0.00)*
- ------------------------------------------------------------------------------------------
Total Distributions..... (0.41) (0.61) (0.33) (0.15) (0.10)
- ------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $11.00 $10.00 $9.37 $8.63 $8.41
- ------------------------------------------------------------------------------------------
TOTAL RETURN............ 14.25%++ 13.60% 12.76% 4.62% 6.35%++
- ------------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (000S)............ $60,603 $50,281 $30,268 $14,940 $5,258
- ------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(4)............ 1.00%+ 1.00% 1.00% 1.00% 1.00%+
Net investment income.. 2.49+ 2.85 3.28 2.66 2.67+
- ------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 23% 47% 47% 43% 10%
- ------------------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(6)........ $0.06 $0.06 -- -- --
- ------------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 28, 1997 (unaudited).
(2) 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.
(3) For the period from November 18, 1991 (commencement of operations) to
August 31, 1992.
(4) 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 1997 1996 1995 1994 1993 1992 1997 1996 1995 1994 1993 1992
--------- ----- ----- ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Mortgage Backed
Investments............ $0.01 $0.01 $0.02 $0.02 $0.04 $0.05 0.95%+ 0.94% 1.09% 1.06% 1.13% 1.66%+
Balanced Investments.... 0.00* 0.03 0.06 0.08 0.15 -- 1.07+ 1.26 1.75 2.01 5.55 --
</TABLE>
(5) For the period from February 16, 1993 (commencement of operations) to
August 31, 1993.
(6) 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.
126
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD:
<TABLE>
<CAPTION>
LARGE CAPITALIZATION
VALUE EQUITY INVESTMENTS 1997(1) 1996 1995(2) 1994 1993(2) 1992(3)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $11.55 $10.42 $ 9.39 $9.35 $8.77 $8.00
- ------------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(4)............... 0.12 0.26 0.27 0.17 0.25 0.09
Net realized and
unrealized gain....... 2.29 1.25 1.16 0.02 0.54 0.68
- ------------------------------------------------------------------------------------------------
Total Income From Opera-
tions.................. 2.41 1.51 1.43 0.19 0.79 0.77
- ------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.34) (0.24) (0.24) (0.15) (0.14) --
Net realized gains..... (0.62) (0.14) (0.16) 0.00* (0.07) --
- ------------------------------------------------------------------------------------------------
Total Distributions..... (0.96) (0.38) (0.40) (0.15) (0.21) --
- ------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $13.00 $11.55 $10.42 $9.39 $9.35 $8.77
- ------------------------------------------------------------------------------------------------
TOTAL RETURN............ 21.18%++ 14.75% 16.14% 2.09% 9.25% 9.63%++
- ------------------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (000S)............ $1,767,082 $1,512,451 $1,070,037 $832,138 $562,507 $197,695
- ------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(4)............ 0.78%+ 0.80% 0.83% 0.88% 0.95% 1.24%+
Net investment income.. 1.87+ 2.31 2.93 2.57 2.88 3.24+
- ------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 44% 24% 21% 108% 47% 12%
- ------------------------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(5)........ $0.06 $0.06 -- -- -- --
- ------------------------------------------------------------------------------------------------
<CAPTION>
LARGE CAPITALIZATION
GROWTH INVESTMENTS 1997(1) 1996 1995 1994 1993(2) 1992(3)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $13.10 $12.13 $10.00 $ 9.76 $8.88 $8.00
- ------------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(4)............... 0.03 0.07 0.09 0.03 0.00* 0.01
Net realized and
unrealized gain....... 2.49 1.46 2.13 0.21 0.89 0.87
- ------------------------------------------------------------------------------------------------
Total Income From Opera-
tions.................. 2.52 1.53 2.22 0.24 0.89 0.88
- ------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.08) (0.06) (0.08) -- (0.00)* --
Overdistribution of net
investment income..... -- -- -- -- (0.01) --
Net realized gains..... (0.54) (0.50) (0.01) -- -- --
Capital................ -- -- -- -- (0.00)* --
- ------------------------------------------------------------------------------------------------
Total Distributions..... (0.62) (0.56) (0.09) -- (0.01) --
- ------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $15.00 $13.10 $12.13 $10.00 $9.76 $8.88
- ------------------------------------------------------------------------------------------------
TOTAL RETURN............ 19.40%++ 12.89% 22.30% 2.46% 10.00% 11.00%++
- ------------------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (000S)............ $1,572,741 $1,205,417 $782,394 $457,588 $238,256 $85,401
- ------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(4)............ 0.78%+ 0.83% 0.88% 0.98% 1.12% 1.24%+
Net investment income
(loss)................ 0.48+ 0.63 0.98 0.39 (0.04) 0.31+
- ------------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 18% 40% 38% 104% 47% 19%
- ------------------------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(5)........ $0.04 $0.06 -- -- -- --
- ------------------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 28, 1997 (unaudited).
(2) 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.
(3) For the period from November 18, 1991 (commencement of operations) to
August 31, 1992.
(4) 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>
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>
(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.
127
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD:
<TABLE>
<CAPTION>
SMALL CAPITALIZATION
VALUE EQUITY INVESTMENTS 1997(1) 1996 1995 1994 1993 1992(2)
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $11.11 $10.01 $ 9.03 $9.94 $8.68 $8.00
- --------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPER-
ATIONS:
Net investment in-
come(4)............... 0.10 0.16 0.15 0.08 0.06 0.03
Net realized and
unrealized gain
(loss)................ 1.89 1.08 0.95 (0.40) 1.31 0.65
- --------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 1.99 1.24 1.10 (0.32) 1.37 0.68
- --------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.19) (0.14) (0.12) (0.07) (0.03) --
Net realized gains..... (0.88) -- (0.00)* (0.51) (0.08) --
Overdistribution of net
realized gains........ -- -- -- (0.01) -- --
- --------------------------------------------------------------------------------------------
Total Distributions..... (1.07) (0.14) (0.12) (0.59) (0.11) --
- --------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $12.03 $11.11 $10.01 $9.03 $9.94 $8.68
- --------------------------------------------------------------------------------------------
TOTAL RETURN............ 18.55%++ 12.48% 12.50% (3.30)% 15.74% 8.50%++
- --------------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (000S)............ $513,325 $478,884 $340,306 $342,388 $183,051 $93,458
- --------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(4)............ 0.87%+ 0.95% 1.11% 1.06% 1.11% 1.24%+
Net investment income.. 1.71+ 1.52 1.54 1.12 0.82 0.99+
- --------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 15% 39% 115% 65% 70% 20%
- --------------------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(5)........ $0.04 $0.04 -- -- -- --
- --------------------------------------------------------------------------------------------
<CAPTION>
SMALL CAPITALIZATION
GROWTH INVESTMENTS 1997(1) 1996 1995(3) 1994(3) 1993(3) 1992(2)
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $17.79 $17.19 $12.50 $11.21 $7.99 $8.00
- --------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPER-
ATIONS:
Net investment
loss(4)............... (0.03) (0.08) (0.05) (0.09) (0.07) (0.01)
Net realized and
unrealized gain
(loss)................ (0.21) 3.36 4.81 1.56 3.29 --
- --------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. (0.24) 3.28 4.76 1.47 3.22 (0.01)
- --------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net realized gains..... (2.31) (2.68) (0.07) (0.04) -- --
Overdistribution of net
realized gains........ -- -- -- (0.10) -- --
Capital................ -- -- -- (0.04) -- --
- --------------------------------------------------------------------------------------------
Total Distributions..... (2.31) (2.68) (0.07) (0.18) -- --
- --------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $15.24 $17.79 $17.19 $12.50 $11.21 $7.99
- --------------------------------------------------------------------------------------------
TOTAL RETURN............ (2.07)%++ 21.33% 38.25% 13.18% 40.30% (0.13)%++
- --------------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (000S)............ $578,741 $494,323 $315,033 $180,175 $75,498 $22,145
- --------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(4)............ 0.85%+ 1.00% 1.14% 1.20% 1.25% 1.24%+
Net investment loss.... (0.33)+ (0.49) (0.35) (0.78) (0.72) (0.25)+
- --------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 26% 83% 174% 94% 97% 35%
- --------------------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(5)........ $0.03 $0.08 -- -- -- --
- --------------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 28, 1997 (unaudited).
(2) For the period from November 18, 1991 (commencement of operations) to
August 31, 1992.
(3) 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.
(4) 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>
(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 PERIOD:
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
INVESTMENTS 1997(1) 1996 1995 1994(2) 1993 1992(3)
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $10.49 $10.50 $10.86 $ 9.57 $7.76 $8.00
- ---------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPER-
ATIONS:
Net investment in-
come(4)............... 0.02 -- 0.05 0.02 0.05 0.03
Net realized and
unrealized gain
(loss)................ 0.25 0.44 (0.09) 1.54 1.79 (0.27)
- ---------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 0.27 0.44 (0.04) 1.56 1.84 (0.24)
- ---------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.12) (0.17) -- (0.03) (0.03) --
Net realized gains..... (0.70) (0.28) (0.32) (0.24) -- --
- ---------------------------------------------------------------------------------------------
Total Distributions..... (0.82) (0.45) (0.32) (0.27) (0.03) --
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $ 9.94 $10.49 $10.50 $10.86 $9.57 $7.76
- ---------------------------------------------------------------------------------------------
TOTAL RETURN............ 2.42%++ 4.23% (0.18)% 16.74% 23.73% (3.00)%++
- ---------------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (000S)............ $964,256 $843,730 $663,130 $594,965 $270,302 $115,779
- ---------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(4)(5)......... 0.93%+ 1.00% 1.19% 1.19% 1.32% 1.50%+
Net investment income
(loss)................ 0.27+ (0.12) 0.43 0.23 0.61 1.08+
- ---------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 12% 50% 28% 33% 46% 10%
- ---------------------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(6)........ $0.02 $0.02 -- -- -- --
- ---------------------------------------------------------------------------------------------
<CAPTION>
INTERNATIONAL FIXED
INCOME INVESTMENTS 1997(1) 1996 1995 1994 1993 1992(3)
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $9.11 $9.01 $8.17 $8.86 $8.71 $8.00
- ---------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(4)............... 0.27 0.55 0.56 0.40 0.51 0.39
Net realized and
unrealized gain
(loss)................ (0.27) 0.49 0.84 (0.32) 0.20 0.69
- ---------------------------------------------------------------------------------------------
Total Income From Opera-
tions.................. 0.00 1.04 1.40 0.08 0.71 1.08
- ---------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.31) (0.94) (0.56) (0.65) (0.55) (0.37)
Net realized gains..... (0.24) -- -- (0.05) -- --
Overdistribution of net
realized gains........ -- -- -- (0.07) (0.01) --
Capital................ -- -- -- (0.00)* -- --
- ---------------------------------------------------------------------------------------------
Total Distributions..... (0.55) (0.94) (0.56) (0.77) (0.56) (0.37)
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $8.56 $9.11 $9.01 $8.17 $8.86 $8.71
- ---------------------------------------------------------------------------------------------
TOTAL RETURN............ (0.21)%++ 12.05% 17.66% 1.00% 8.67% 13.93%++
- ---------------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (000S)............ $127,472 $129,410 $105,884 $116,929 $100,362 $39,182
- ---------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(4)(5)......... 0.95%+ 1.02% 0.95% 0.95% 0.95% 0.95%+
Net investment income.. 5.94+ 6.34 6.50 5.54 6.03 6.34+
- ---------------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 120% 211% 307% 358% 251% 106%
- ---------------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 28, 1997 (unaudited).
(2) 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.
(3) For the period from November 18, 1991 (commencement of operations) to
August 31, 1992.
(4) 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>
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>
(5) 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.
(6) 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.
129
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD:
<TABLE>
<CAPTION>
EMERGING MARKETS EQUITY INVESTMENTS 1997(1) 1996 1995(2) 1994(3)
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERI-
OD................................. $8.50 $7.85 $9.49 $8.00
- ------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (loss)(4).... 0.00* 0.03 0.01 (0.02)
Net realized and unrealized gain
(loss)............................ 1.11 0.62 (1.45) 1.51
- ------------------------------------------------------------------------------
Total Income (Loss) From Opera-
tions.............................. 1.11 0.65 (1.44) 1.49
- ------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.............. (0.01) -- -- --
Net realized gains................. (0.01) -- (0.20) --
- ------------------------------------------------------------------------------
Total Distributions................. (0.02) -- (0.20) --
- ------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD...... $9.59 $8.50 $7.85 $9.49
- ------------------------------------------------------------------------------
TOTAL RETURN........................ 13.18%++ 8.28% (15.13)% 18.63%++
- ------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000S).... $206,794 $97,489 $59,333 $36,365
- ------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(4)(5)..................... 1.39%+ 1.84% 1.75% 1.72%+
Net investment income (loss)....... (0.14)+ 0.26 0.15 (0.42)+
- ------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............. 47% 106% 89% 16%
- ------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER SHARE PAID
ON EQUITY TRANSACTIONS(6).......... $0.00* $0.00* -- --
- ------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 28, 1997 (unaudited).
(2) 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.
(3) For the period from April 21, 1994 (commencement of operations) to August
31, 1994.
(4) 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 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>
(5) 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.
(6) 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.
130
<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.
TK2120, 4/97 CONSULTING GROUP CAPITAL MARKETS FUNDS . 222 DELAWARE
AVENUE . WILMINGTON, DELAWARE . 19801
