<PAGE>
TRAK/(TM)/
========================================
PERSONALIZED INVESTMENT ADVISORY SERVICE
CONSULTING GROUP
CAPITAL
MARKETS FUNDS
Annual Report
August 31, 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.............................................. 9
Municipal Bond Investments.............................................. 11
Mortgage Backed Investments............................................. 15
Balanced Investments.................................................... 17
Large Capitalization Value Equity Investments........................... 21
Large Capitalization Growth Investments................................. 29
Small Capitalization Value Equity Investments........................... 42
Small Capitalization Growth Investments................................. 65
International Equity Investments........................................ 88
International Fixed Income Investments.................................. 110
Emerging Markets Equity Investments..................................... 112
Statements of Assets and Liabilities...................................... 118
Statements of Operations.................................................. 120
Statements of Changes in Net Assets....................................... 122
Notes to Financial Statements............................................. 126
Financial Highlights...................................................... 135
Portfolio Highlights and Performance of the Consulting Group Capital
Markets Funds............................................................ 142
Independent Auditors' Report.............................................. 179
Tax Information........................................................... 180
</TABLE>
1
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
Dear Shareholder:
MARKET OVERVIEW
The fiscal year encompassing September 1996 through August of this year saw
the continuation of one of the strongest bull-markets in U.S. stock market
history. In July, the Dow Jones Industrial Average (the "Dow") crossed the
8,000 mark for the first time, a 2,000 point increase since the beginning of
the fiscal year. While the Dow actually finished the fiscal year slightly lower
at 7,622, it registered a total return of over 38.5% for the twelve months
ending August 29, 1997.
Looking past the dramatic performance of the Dow, one of the more recent
developments was the broadening of market participation to include smaller
company stocks, which have lagged their large company counterparts since the
end of 1994. And the strong equity performance was in no way limited to the
U.S., as twelve of the twenty countries that make up the Morgan Stanley EAFE
(Europe, Asia and the Far East) Index produced double-digit returns and only
two, Malaysia and Singapore, were down in local currency terms.
However, during the period, the capital markets did not only move in an
upward direction. For example, Alan Greenspan, Chairman of the Federal Reserve
(the "Fed"), used the term "irrational exuberance" to refer to an overheated
stock market, and the Fed raised short-term interest rates in March 1997. While
stock prices declined briefly, they resumed their upward movement by the end of
April. Foreign financial markets were also roiled when a currency crisis swept
through several southeast Asian countries. Finally, concern over the European
Union's Common Currency plan also added substantial volatility in the European
markets.
Despite the volatility, we continue to enjoy the combination of a strong U.S.
economy and the lack of inflationary pressures. With inflation measures at
levels we haven't seen since the 1960's, the U.S. bond market rallied sharply.
As exciting as this environment has been it is vitally important that you as an
investor keep your long-term perspective. History shows us that investment
categories move in both up and down directions and, at some point, some of the
areas that are doing well today may enter a down cycle.
CONSULTING GROUP CAPITAL MARKETS FUNDS (THE "PORTFOLIOS")
We are pleased to report that twelve of the thirteen portfolios posted
positive returns. For the fiscal year ended August 31, 1997, International
Fixed Income Investments was the only Portfolio that provided a negative total
return of -1.52%. Despite its negative return, the Portfolio compared favorably
to its benchmark, the Salomon Brothers Non-U.S. Government Bond Index which
returned -3.39% over the same period. The Portfolio's performance over the
period was largely a reflection of the strong U.S. dollar as well as the
market's concern over the resolution of the European Union's Common Currency.
As a diversified portfolio, your recommended TRAK investments demonstrated
proportionately less risk than the overall U.S. stock market, in terms of
standard deviation of return.
In June 1997, Wall Street Associates was recommended by the Consulting Group
and approved by the Board of Trustees as an additional investment advisor to
Small Capitalization Growth Investments ("Small Cap Growth Portfolio"). The
Consulting Group recommended the hiring of an additional "active" advisor to
allow the Small Cap Growth Portfolio to take greater advantage of the
inefficiencies within the small-cap market without incurring any capacity
constraints. Wall Street Associates, located in La Jolla, California, was
founded in 1987 and currently manages $1.1 billion in assets. Wall Street
Associates, along with Berger Associates Inc., are responsible for advising the
active portion of the Small Cap Growth Portfolio while Mellon Capital
Management Corporation continues to advise the "passive," or indexed, portion
of the portfolio. It is the intent of the manager to allocate 50% of the
portfolio towards an index strategy and 50% towards an active strategy.
2
<PAGE>
ASSET ALLOCATION COMMITTEE
The Consulting Group Asset Allocation Committee (the "Committee"), which is
responsible for providing your asset allocation advice, meets on a monthly
basis to review the conditions of the global capital markets and to determine
if its allocation advice requires any revisions. Over the past fiscal year, the
Committee recommended three asset allocation changes:
. In October 1996, the Committee recommended a slight equity shift from value
to growth for balanced and equity-oriented investors and the introduction of
emerging markets as an asset class for balanced investors. This change
reflected the Consulting Group's view that as earnings growth rates slow,
generally a shift from value to growth stocks is warranted.
. In January 1997, the Committee recommended a 3% reduction in cash and a
reallocation to the international equity asset class for most equity
investors. This allocation adjustment was strategic in nature and designed
to achieve a more fully-invested portfolio. The allocation was directed
towards international equities as the Consulting Group believed this was the
most undervalued equity asset class.
. In April 1997, the Committee recommended a 5% reduction in allocations to
large-cap U.S. stocks and a corresponding increase in intermediate-term
bonds (in balanced portfolios) or cash (in equity-oriented portfolios). This
recommended change was due to concerns over higher interest rates thus
raising the equity-risk premium and making intermediate-term bonds or cash
more attractive.
Additionally, the Committee added four new professionals raising the team to
a total of nine members. The four new members are: Sanjiv Bhatia, PhD and First
Vice President of Smith Barney Inc., James Beck, PhD and Vice President of
Smith Barney Inc., Leila Heckman, PhD and Managing Director of Smith Barney
Inc. and John Lang, First Vice President of Smith Barney Inc. Together with the
remaining members, the Committee is comprised of individuals with diverse
educational and investment backgrounds. The collective insight of the group is
employed in the oversight of capital markets research and in providing ongoing
asset allocation advice.
BOARD OF TRUSTEES
On a more somber note, we were saddened by the untimely loss of an
outstanding business leader and Trustee of the Consulting Group Capital Markets
Funds, Madelon De Voe Talley. Ms. De Voe Talley had been on the Board of
Trustees since the inception of the Consulting Group Capital Markets Funds. Her
knowledge and wisdom will be missed.
We wish to thank you for the confidence you have shown in the Consulting
Group and your Financial Consultant. As of August 31, 1997, the number of
investors in the TRAK Personalized Investment Advisory Service had surpassed
200,000, including 401(k) plan participants, and total shareholder assets
reached $8 billion.
As always, if you should have any questions or comments about your TRAK
investments, your Smith Barney Financial Consultant remains ready to assist
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
October 15, 1997
3
<PAGE>
SCHEDULES OF INVESTMENTS AUGUST 31, 1997
GOVERNMENT MONEY INVESTMENTS
<TABLE>
<CAPTION>
FACE ANNUALIZED
AMOUNT SECURITY YIELD VALUE
- -------------------------------------------------------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 82.2%
$ 7,351,000 Federal Farm
Credit Bank
mature 9/10/97 to
12/12/97.......... 5.41% to 5.57% $ 7,312,248
35,857,000 Federal Home Loan
Bank mature
9/19/97 to
7/24/98........... 5.43 to 6.11 34,885,159
113,311,000 Federal Home Loan
Mortgage Corp.
mature 9/2/97 to
7/13/98........... 5.43 to 5.71 112,423,188
139,130,000 Federal National
Mortgage
Association
mature 9/8/97 to
3/18/98........... 5.42 to 5.78 138,088,435
1,150,000 Student Loan
Mortgage
Association
mature 9/30/97 to
3/3/98............ 5.48 to 5.71 1,154,708
24,820,000 World Bank mature
9/29/97 to
12/30/97.......... 5.45 to 5.52 24,686,919
- -------------------------------------------------------------
TOTAL U.S.
GOVERNMENT AGENCY
DISCOUNT NOTES
(Cost --
$318,550,657)..... 318,550,657
- -------------------------------------------------------------
U.S. TREASURY NOTES -- 17.8%
69,045,000 U.S. Treasury
Notes mature
9/2/97 to 5/15/98
(Cost --
$68,996,136)...... 5.19 to 5.87 68,996,136
- -------------------------------------------------------------
TOTAL
INVESTMENTS --
100%
(Cost --
$387,546,793*).... $387,546,793
- -------------------------------------------------------------
</TABLE>
*Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
U.S. Government Agency Discount Notes 82.2%
U.S. Treasury Notes 17.8%
SEE NOTES TO FINANCIAL STATEMENTS.
4
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
CORPORATE BONDS & NOTES -- 54.2%
- -------------------------------------------------------------------------------
BANKING -- 12.5%
$ 2,125,000 Advanta National Bank, 6.450% due 10/30/00..... $ 2,077,188
1,500,000 Anz Banking Group Ltd., 7.550% due 9/15/06..... 1,563,750
1,000,000 Bank of Boston, 5.800% due 8/28/98............. 1,000,540
2,625,000 Banponce Corp., Notes, 6.750% due 12/15/05..... 2,579,063
Capital One Bank, Medium Term Notes:
3,675,000 6.740% due 5/31/99............................. 3,684,188
1,425,000 6.844% due 6/13/00............................. 1,426,781
525,000 7.350% due 6/20/00............................. 532,219
Chase Manhattan Bank Corp., 5.938% due
2,000,000 12/11/09....................................... 1,962,000
2,425,000 Continental Bank N.A., 12.500% due 4/1/01...... 2,867,563
First Interstate Bancorp, Subordinated Capital
1,500,000 Notes, 8.625% due 4/1/99....................... 1,554,375
First National Bank of Boston, Notes, 8.375%
2,000,000 due 12/15/02................................... 2,145,000
First Security Corp., Notes, 7.000% due
2,325,000 7/15/05........................................ 2,319,188
First USA Bank, Notes:
900,000 8.200% due 2/15/98............................. 908,919
3,275,000 6.375% due 10/23/00............................ 3,270,906
875,000 5.850% due 2/22/01............................. 856,284
Fleet Financial Group Inc., Senior Notes,
2,100,000 7.250% due 10/15/97............................ 2,103,927
3,000,000 H.F. Ahmanson, 8.250% due 10/1/02.............. 3,191,250
International Leasing Finance Corp., Notes,
1,075,000 5.750% due 3/15/98............................. 1,075,731
1,325,000 Markel Corp., Notes, 7.250% due 11/1/03........ 1,343,219
2,350,000 Merita Bank, 7.500% due 12/29/49............... 2,376,555
Morgan Stanley Group, Inc., Notes:
1,100,000 9.250% due 3/1/98.............................. 1,119,173
3,000,000 8.100% due 6/24/02............................. 3,183,750
1,000,000 NationsBank Corp., Notes, 6.625% due 1/15/98... 1,002,780
500,000 St. Georges Bank, Notes, 7.150% due 10/15/05+.. 502,055
3,000,000 Svenska Handelsbanken, 7.125% due 3/29/49...... 2,945,370
- -------------------------------------------------------------------------------
47,591,774
- -------------------------------------------------------------------------------
COMMUNICATIONS -- 3.1%
Time Warner, Inc. Notes:
4,695,000 7.750% due 6/15/05............................. 4,859,325
525,000 8.875% due 10/1/12............................. 591,938
WorldCom, Inc., Sr. Notes:
2,026,000 9.375% due 1/15/04............................. 2,172,885
3,966,000 8.875% due 1/15/06............................. 4,263,450
- -------------------------------------------------------------------------------
11,887,598
- -------------------------------------------------------------------------------
FINANCIAL SERVICES -- 22.5%
American Health Properties, 7.050% due
2,500,000 1/15/02........................................ 2,509,375
Avalon Properties, Inc., Notes, 7.375% due
2,450,000 9/15/02........................................ 2,492,875
Bear, Stearns Cos., Inc., Notes, 6.750% due
1,675,000 8/15/00........................................ 1,689,656
2,300,000 Carramerica Realty Corp., 7.200% due 7/1/04+... 2,305,750
3,500,000 CIT Group Holdings, 6.200% due 4/15/98......... 3,509,275
2,350,000 Colonial Realty LP, 6.960% due 7/26/04......... 2,323,563
2,750,000 Conseco Inc., 8.125% due 2/15/03............... 2,866,875
750,000 CP Limited Partnership, 8.750% due 3/2/00...... 763,125
Evans Withycombe Residential Inc., 7.500% due
1,000,000 4/15/04........................................ 1,021,250
Finova Capital Corp., Notes, 6.450% due
2,175,000 6/1/00......................................... 2,166,844
Florida Resident Property & Casualty, 7.375%
3,450,000 due 7/1/03+.................................... 3,497,438
3,000,000 Florida Windstorm, 6.700% due 8/25/04+......... 2,936,250
5,600,000 Ford Motor Credit Co., 5.750% due 1/25/01...... 5,481,000
Franchise Finance Corp., Notes, 7.000% due
2,000,000 11/30/00....................................... 2,017,500
General Electric Capital Corp., 6.660% due
2,800,000 5/1/18......................................... 2,828,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
5
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
FINANCIAL SERVICES -- 22.5% (CONTINUED)
Goldman Sachs Group LP, Notes:
$ 1,000,000 6.375% due 6/15/00+............................ $ 996,250
450,000 7.200% due 3/1/07+............................. 458,438
3,775,000 Homeside Lending, Inc., 6.875% due 6/30/02..... 3,793,875
3,085,000 Household Financial Corp., 7.150% due 6/15/00.. 3,138,988
Integra Financial Corp., Subordinated Notes,
1,900,000 6.500% due 4/15/00............................. 1,895,250
Keystone Financial Midatlantic, 7.300% due
1,350,000 5/15/04........................................ 1,370,250
3,000,000 The Money Store, Inc., 8.375% due 4/15/04...... 3,086,250
3,100,000 Montell American Finance, 7.400% due 3/15/04+.. 3,158,962
3,000,000 Norwest Financial, Inc., 6.375% due 11/15/01... 2,985,000
3,450,000 Realty Income Corp., Inc., 7.750% due 5/6/07... 3,549,188
Salomon Inc., Medium Term Notes, 7.300% due
4,950,000 5/15/02........................................ 5,030,438
Simon Debartolo Group, Ltd., 6.875% due
3,025,000 11/15/06....................................... 2,983,406
Spieker Properties, Notes, 6.650% due
2,600,000 12/15/00....................................... 2,587,000
United Financial Corp., Notes,
3,500,000 7.000% due 7/15/98............................. 3,495,625
1,500,000 7.700% due 1/15/04............................. 1,500,000
United States Fidelity and Guarantee Corp.,
Notes:
2,125,000 7.000% due 5/15/98............................. 2,139,726
2,100,000 8.375% due 6/15/01............................. 2,202,375
Washington Real Estate Investment Trust, 7.125%
3,125,000 due 8/13/03.................................... 3,132,813
- -------------------------------------------------------------------------------
85,912,610
- -------------------------------------------------------------------------------
HEALTH CARE -- 1.1%
2,325,000 Meditrust Corp., Notes, 7.375% due 7/15/00..... 2,354,063
R.P. Scherer International Corp., 6.750% due
2,000,000 2/1/04......................................... 1,930,000
- -------------------------------------------------------------------------------
4,284,063
- -------------------------------------------------------------------------------
INDUSTRIAL -- 12.7%
2,450,000 Brascan Ltd., Notes, 7.375% due 10/1/02........ 2,453,063
5,025,000 Comdisco Inc., Notes, 6.500% due 6/15/00....... 5,012,438
5,000,000 Daimler Benz, 5.510% due 10/23/97.............. 4,960,206
Georgia-Pacific Corp., Debentures, 9.950% due
1,100,000 6/15/02........................................ 1,234,750
Great Atlantic and Pacific Tea Co., Inc.,
4,525,000 7.700% due 1/15/04............................. 4,677,719
7,275,000 Guangdong Enterprises, 8.875% due 5/22/07+..... 7,320,469
1,350,000 ITT Corp., Notes, 6.250% due 11/15/00.......... 1,339,875
6,650,000 La Quinta Inns, Inc., 7.110% due 10/17/01...... 6,566,875
5,975,000 News America Holdings, 8.500% due 2/15/05...... 6,445,531
2,375,000 Novacor Chemical, Notes, 6.500% due 9/22/00.... 2,366,094
Sears Roebuck Acceptance Corp., 6.690% due
5,335,000 4/30/01........................................ 5,355,006
Wharf Capital International Ltd., 8.875% due
1,050,000 11/1/04........................................ 1,130,063
- -------------------------------------------------------------------------------
48,862,089
- -------------------------------------------------------------------------------
OIL -- 1.7%
2,750,000 Kern River Funding Corp., 6.720% due 9/30/01+.. 2,739,688
Occidental Petroleum Corp., Notes:
125,000 5.850% due 11/9/98............................. 124,285
2,100,000 5.900% due 11/9/98............................. 2,090,571
1,600,000 5.950% due 11/9/98............................. 1,593,712
- -------------------------------------------------------------------------------
6,548,256
- -------------------------------------------------------------------------------
POWER & LIGHTING -- 0.6%
System Energy Resources, Notes:
1,000,000 6.000% due 4/1/98.............................. 997,500
1,100,000 7.625% due 4/1/99.............................. 1,115,125
- -------------------------------------------------------------------------------
2,112,625
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$206,383,253)................................. 207,199,015
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C> <C>
MORTGAGE-BACKED SECURITIES -- 25.7%
- ------------------------------------------------------------------------------
FEDERAL HOME LOAN BANK (FHLB) -- 1.0%
$ 3,833,000 FHLB, 5.350% due 1/12/98....................... $ 3,755,228
- ------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 10.5%
5,000,000 FHLMC, 5.470% due 9/2/97....................... 4,999,240
13,625,000 FHLMC, 5.440% due 9/16/97...................... 13,594,117
4,000,000 FHLMC, 5.420% due 1/2/98....................... 3,922,720
107,094 FHLMC, 7.500% due 8/1/99....................... 109,135
8,282,963 FHLMC, 6.000% due 1/1/12....................... 8,034,473
4,896,553 FHLMC, 6.000% due 2/1/12....................... 4,749,655
2,945,142 FHLMC, 6.000% due 3/1/12....................... 2,856,787
1,985,211 FHLMC, 6.000% due 6/1/12....................... 1,925,655
- ------------------------------------------------------------------------------
40,191,782
- ------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 5.5%
10,800,000 FNMA, 5.440% due 9/19/97....................... 10,770,624
4,300,000 FNMA, 5.587% due 9/26/97....................... 4,283,315
747,504 FNMA, 8.000% due 4/1/02........................ 769,226
1,118,589 FNMA, 8.000% due 6/1/02........................ 1,151,096
1,417,807 FNMA, 6.000% due 3/1/03........................ 1,388,118
2,500,000 FNMA, 6.000% due 11/25/06...................... 2,472,950
- ------------------------------------------------------------------------------
20,835,329
- ------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 8.7%
ACC Automobile Receivables Trust, 6.700% due
2,323,333 12/17/03....................................... 2,337,854
Ameresco Commercial Lending, 7.120% due
3,388,071 3/15/12........................................ 3,399,184
Chase Commercial Mortgage Investors Corp.,
3,575,000 7.370% due 5/19/07............................. 3,455,452
3,500,000 Countrywide Asset Backed, 6.750% due 9/25/27... 3,460,625
EQCC Home Equity Trust:
2,133,269 5.800% due 3/15/09............................. 2,084,076
5,382,000 7.160% due 3/15/13............................. 5,405,518
First Union-Lehman Brothers Commercial
3,000,000 Mortgage, 7.500% due 4/18/29................... 3,058,110
4,100,000 The Money Store, Inc., 8.175% due 1/15/08...... 4,239,072
2,294,000 Mortgage Capital Corp., 7.800% due 4/15/06..... 2,366,399
3,361,879 Puttable Project, 7.430% due 6/1/24............ 3,351,356
U.S. Department of Veteran Affairs:
10,838 6.500% due 2/15/07............................. 10,817
128,036 7.750% due 9/15/10............................. 128,434
- ------------------------------------------------------------------------------
33,296,897
- ------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$97,490,793).................................. 98,079,236
- ------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES & OBLIGATIONS -- 17.6%
- ------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 16.5%
5,000,000 U.S. Treasury Notes, 5.625% due 11/30/98....... 4,988,450
15,000,000 U.S. Treasury Notes, 6.875% due 7/31/99........ 15,246,300
33,050,000 U.S. Treasury Notes, 6.250% due 10/31/01....... 33,093,956
9,675,000 U.S. Treasury Notes, 5.750% due 8/15/03........ 9,427,707
U.S. Treasury Strips, zero coupon due
125,000 11/15/99....................................... 109,714
- ------------------------------------------------------------------------------
62,866,127
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
7
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
U.S. GOVERNMENT AGENCIES -- 1.1%
Government Trust Certificate, Resolution Trust
Corp.:
$ 335,200 6.825% due 3/25/22.............................. $ 333,944
875,000 7.250% due 10/25/23............................. 879,645
38,908 9.000% due 9/25/28.............................. 39,345
3,100,000 7.500% due 10/25/28............................. 3,123,250
- -------------------------------------------------------------------------------
4,376,184
- -------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(Cost -- $66,809,360)........................... 67,242,311
- -------------------------------------------------------------------------------
REGIONAL GOVERNMENT OBLIGATION -- 0.9%
Quebec Province, 7.500% due 7/15/02 (Cost --
3,500,000 $3,646,160).................................... 3,622,500
- -------------------------------------------------------------------------------
NATIONAL GOVERNMENT OBLIGATION -- 0.7%
Republic of Lithuania, 7.125% due 7/22/02+
2,500,000 (Cost -- $2,490,550)............................ 2,485,550
- -------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $376,820,116).... 378,628,612
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.9%
3,540,000 Goldman, Sachs & Co., 5.498% due 9/2/97;
Proceeds at maturity -- $3,542,163;
(Fully collateralized by U.S. Treasury Notes,
6.250% due 2/28/02;
Market value -- $3,613,458) (Cost --
$3,540,000).................................... 3,540,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$380,360,116*)................................. $382,168,612
- -------------------------------------------------------------------------------
</TABLE>
+ Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
* Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Corporate Bonds & Notes 54.2%
Mortgage-Backed Securities 25.7%
U.S.Government Agencies & Obligations 17.6%
Regional Government Obligation 0.9%
Repurchase Agreement 0.9%
SEE NOTES TO FINANCIAL STATEMENTS.
8
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LONG-TERM BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
U.S. GOVERNMENT AGENCY & OBLIGATIONS -- 53.3%
$ 6,290,000 U.S. Treasury Bonds, 10.625% due 8/15/15........ $ 8,887,581
1,985,000 U.S. Treasury Bonds, 9.875% due 11/15/15........ 2,652,059
10,400,000 U.S. Treasury Bonds, 7.500% due 11/15/16........ 11,313,536
3,400,000 U.S. Treasury Bonds, 8.750% due 5/15/17......... 4,164,320
11,825,000 U.S. Treasury Bonds, 8.500% due 2/15/20......... 14,293,469
7,075,000 U.S. Treasury Bonds, 8.750% due 5/15/20......... 8,763,236
5,560,000 U.S. Treasury Bonds, 12.000% due 8/15/13........ 7,901,928
14,285,000 U.S. Treasury Bonds, 7.875% due 2/15/21......... 16,255,330
14,700,000 U.S. Treasury Bonds, 6.875% due 8/15/25......... 15,059,856
Federal National Mortgage Association, 7.000%
7,015,000 due 6/18/27..................................... 6,825,525
- -------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY & OBLIGATIONS
(Cost -- $94,474,169).......................... 96,116,840
- -------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 44.3%
- -------------------------------------------------------------------------------
BANKING -- 6.2%
3,875,000 Bank Austria AG, 7.250% due 2/15/17+............ 3,879,844
International Bank of Reconstruction and
3,350,000 Development, 8.250% due 9/1/16.................. 3,869,250
3,000,000 NCNB Corp., 9.375% due 9/15/09.................. 3,543,750
- -------------------------------------------------------------------------------
11,292,844
- -------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 1.4%
2,075,000 Procter & Gamble Co., 9.360% due 1/1/21......... 2,567,812
- -------------------------------------------------------------------------------
FINANCIAL SERVICES -- 14.0%
3,300,000 American Re Corp., 7.450% due 12/15/26.......... 3,312,375
2,000,000 BT Capital Trust, 7.900% due 1/15/27............ 1,977,500
2,400,000 Continental Corp., 8.375% due 8/15/12........... 2,631,000
1,425,000 Countrywide Capital, 8.000% due 12/15/26........ 1,449,938
First Of America Capital Trust, 8.120% due
1,425,000 1/31/27......................................... 1,435,987
Hutchinson Whampoa Finance Ltd., 7.450% due
4,150,000 8/1/17+......................................... 4,067,000
3,700,000 Met Life Surplus Note, 7.800% due 11/1/25....... 3,713,875
3,000,000 Nationwide CSN Trust, 9.875% due 2/15/25+....... 3,356,250
3,230,000 Railcar Leasing LLC, 7.125% due 11/15/13+....... 3,270,375
- -------------------------------------------------------------------------------
25,214,300
- -------------------------------------------------------------------------------
HEALTH CARE -- 3.8%
Columbia/HCA Healthcare Corp.:
3,150,000 9.000% due 12/12/14............................. 3,551,625
3,500,000 7.190% due 11/15/15............................. 3,307,500
- -------------------------------------------------------------------------------
6,859,125
- -------------------------------------------------------------------------------
MEDIA & ENTERTAINMENT -- 3.0%
1,275,000 News America Holdings, 9.250% due 2/1/13........ 1,447,125
3,800,000 Time Warner Entertainment, 8.375% due 7/15/33... 4,004,250
- -------------------------------------------------------------------------------
5,451,375
- -------------------------------------------------------------------------------
MISCELLANEOUS -- 3.7%
3,250,000 Boston University, 7.625% due 7/15/20........... 3,334,728
2,850,000 Ogden Corp., 9.250% due 3/1/22.................. 3,256,125
- -------------------------------------------------------------------------------
6,590,853
- -------------------------------------------------------------------------------
RETAIL -- 0.8%
1,375,000 May Department Stores Co., 8.300% due 7/15/26... 1,445,469
- -------------------------------------------------------------------------------
TRANSPORTATION -- 1.4%
2,534,790 Federal Express Corp., 7.630% due 1/5/14........ 2,525,284
- -------------------------------------------------------------------------------
UTILITIES -- 10.0%
3,000,000 Bell Atlantic Corp., 6.700% due 11/1/23......... 2,760,000
3,750,000 Columbia Gas Systems Inc., 7.320% due 11/28/10.. 3,754,687
4,550,000 GCB Enersis SA, 7.400% due 12/1/16.............. 4,493,125
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
9
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LONG-TERM BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
UTILITIES -- 10.0% (CONTINUED)
Tennessee Valley Authority:
$ 2,700,000 Series 1992D, 8.250% due 4/15/42................ $ 2,973,375
4,075,000 Series 1993E, 7.250% due 7/15/43................ 4,003,687
- -------------------------------------------------------------------------------
17,984,874
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$78,476,675).................................. 79,931,936
- -------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $172,950,844).... 176,048,776
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.4%
4,255,000 Goldman, Sachs & Co., 5.498% due 9/2/97;
Proceeds at maturity -- $4,257,599;
(Fully collateralized by U.S. Treasury Notes,
6.250% due 2/28/02;
Market value -- $4,343,295) (Cost --
$4,255,000).................................... 4,255,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$177,205,844*)................................ $180,303,776
- -------------------------------------------------------------------------------
</TABLE>
+ Security is exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
* Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
U.S. Government Agency & Obligations 53.3%
Corporate Bonds & Notes 44.3%
Repurchase Agreement 2.4%
SEE NOTES TO FINANCIAL STATEMENTS.
10
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
MUNICIPAL BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATINGS SECURITY VALUE
<C> <C> <S> <C>
- --------------------------------------------------------------------------------
ALABAMA -- 2.4%
$1,200,000 AAA Alabama Water Pollution Control Authority,
Revolving Loan,
Series A, AMBAC-Insured, 5.250% due 8/15/10.. $ 1,212,000
- --------------------------------------------------------------------------------
ALASKA -- 2.1%
1,000,000 AAA Anchorage, AK GO, MBIA-Insured, 5.600% due
7/1/07....................................... 1,058,750
- --------------------------------------------------------------------------------
CONNECTICUT -- 4.0%
1,000,000 Aaa* Connecticut State Clean Water Fund, Sewer
Improvement Revenue,
5.750% due 12/1/13........................... 1,030,000
1,000,000 AA- Connecticut State Special Tax Obligation,
Series A, 5.400% due 9/1/10.................. 1,022,500
- --------------------------------------------------------------------------------
2,052,500
- --------------------------------------------------------------------------------
FLORIDA -- 11.8%
1,200,000 AA+ Florida State Board of Education, Series E,
5.700% due 6/1/14............................ 1,233,000
1,850,000 AAA Lee County, FL Airport Revenue, AMBAC-Insured,
5.500% due 10/1/10........................... 1,891,625
2,000,000 Aa* Orlando, FL Utilities Commission, Water and
Electricity Revenue,
5.000% due 10/1/14........................... 1,930,000
1,000,000 Aa* St. Petersburg, FL Public Utilities Revenue,
Water and Sewer Revenue,
5.600% due 10/1/15........................... 1,020,000
- --------------------------------------------------------------------------------
6,074,625
- --------------------------------------------------------------------------------
HAWAII -- 2.0%
1,000,000 AAA Honolulu, HI City & County GO, MBIA-Insured,
5.100% due 11/1/08........................... 1,022,500
- --------------------------------------------------------------------------------
ILLINOIS -- 2.0%
1,000,000 AAA Du Page County, IL Jail Revenue Refunding,
5.500% due 1/1/13............................ 1,016,250
- --------------------------------------------------------------------------------
INDIANA -- 3.8%
1,200,000 AAA Indiana State Office Commission, Health,
Hospital and Nursing Home Revenue,
Series C, AMBAC-Insured, 5.250% due 7/1/15... 1,156,500
750,000 AAA Indianapolis, IN Airport, FGIC-Insured, 6.000%
due 7/1/06................................... 810,938
- --------------------------------------------------------------------------------
1,967,438
- --------------------------------------------------------------------------------
IOWA -- 5.4%
1,650,000 Aaa* Cedar Rapids, IA Revenue Bonds, Series A,
5.125% due 6/1/13............................ 1,650,000
1,100,000 AA+ Des Moines, IA GO Bonds, Series A, 6.000% due
6/1/12....................................... 1,150,875
- --------------------------------------------------------------------------------
2,800,875
- --------------------------------------------------------------------------------
MARYLAND -- 4.3%
1,000,000 AA Maryland Water Quality Financing
Administration, Revolving Loan,
Series A, 5.500% due 9/1/11 (a).............. 1,022,500
1,200,000 Aa1* Washington, MD Suburban Sanitation District,
GO Bonds Unlimited,
5.000% due 6/1/12............................ 1,197,000
- --------------------------------------------------------------------------------
2,219,500
- --------------------------------------------------------------------------------
MASSACHUSETTS -- 6.0%
2,000,000 AAA Massachusetts Bay Transportation Authority,
FGIC-Insured,
5.000% due 3/1/10............................ 1,975,000
1,100,000 Aa2* Massachusetts State Water Pollution Abatement
Trust, 5.300% due 8/1/09 (a)................. 1,126,125
- --------------------------------------------------------------------------------
3,101,125
- --------------------------------------------------------------------------------
MICHIGAN -- 2.0%
1,000,000 AAA Utica, MI Community School GO Bonds, FGIC-
Insured, 5.250% due 5/1/09................... 1,020,000
- --------------------------------------------------------------------------------
NEVADA -- 2.1%
1,000,000 AAA Clark County, NV School District, FGIC-
Insured, 6.000% due 6/15/05.................. 1,082,500
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
MUNICIPAL BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATINGS SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
NEW JERSEY -- 4.7%
$1,200,000 AAA Camden County, NJ Municipal Utilities
Authority, Sewer Revenue,
FGIC-Insured, 5.000% due 7/15/09............ $ 1,218,000
1,200,000 AAA New Jersey State Transportation Trust Fund,
Series A, MBIA-Insured,
5.000% due 12/15/11......................... 1,185,000
- -------------------------------------------------------------------------------
2,403,000
- -------------------------------------------------------------------------------
NEW YORK -- 26.0%
New York City, NY GO Bonds:
2,000,000 BBB+ Series F, 6.000% due 8/1/12.................. 2,082,500
2,000,000 BBB+ Series I, 5.625% due 4/15/05................. 2,082,500
2,000,000 BBB+ New York State Dormitory Authority, Series A,
5.500% due 5/15/13.......................... 2,030,000
2,000,000 Aa2* New York State Environmental Facilities
Corp., Series D, 5.875% due 6/15/14 ........ 2,080,000
1,000,000 A* New York State GO Bonds, 5.500% due 7/15/12.. 1,015,000
1,000,000 A+ New York State Local Government Assistance
Corp., Series A,
5.900% due 4/1/13........................... 1,038,750
1,000,000 BBB+ New York State Urban Development Corp.,
5.700% due 1/1/16........................... 1,007,500
1,000,000 AA Onondaga County, NY GO Bond, 5.850% due
5/1/14 ..................................... 1,042,500
Port Authority of New York & New Jersey:
300,000 A-1+ 3.650% due 5/1/19 (b) ....................... 300,000
700,000 A-1+ 3.700% due 4/1/24 (b)(c)..................... 700,000
- -------------------------------------------------------------------------------
13,378,750
- -------------------------------------------------------------------------------
OHIO -- 1.9%
1,000,000 Aa2* Hamilton County, OH GO, 5.200% due 12/1/13... 1,001,250
- -------------------------------------------------------------------------------
PUERTO RICO -- 1.5%
800,000 A-1+ Puerto Rico Government Development Bank,
2.900% due 12/1/15 (b)...................... 800,000
- -------------------------------------------------------------------------------
TEXAS -- 5.5%
1,200,000 AAA Austin, TX ISD, PSFG, 5.750% due 8/1/13...... 1,245,000
1,600,000 AAA Texas State Water Development Board Revenue,
5.250% due 7/15/15.......................... 1,582,000
- -------------------------------------------------------------------------------
2,827,000
- -------------------------------------------------------------------------------
VIRGINIA -- 2.0%
1,000,000 Aa* Newport News, VA GO Water, Series E, 5.150%
due 1/1/10 (a).............................. 1,012,500
- -------------------------------------------------------------------------------
WASHINGTON -- 8.0%
1,000,000 AAA Snohomish County, WA Public Utilities
Revenue, FGIC-Insured,
6.000% due 1/1/13........................... 1,045,000
1,000,000 Aa* Tacoma, WA Water Revenue Refunding, 5.500%
due 12/1/13................................. 1,008,750
1,000,000 AA+ Washington State GO Unlimited, Series B,
5.750% due 5/1/13........................... 1,035,000
1,000,000 AA+ Washington State Motor Vehicle Fuel Tax
Revenue, Series B,
5.700% due 7/1/11........................... 1,047,500
- -------------------------------------------------------------------------------
4,136,250
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
MUNICIPAL BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATINGS SECURITY VALUE
<C> <C> <S> <C>
- --------------------------------------------------------------------------------
WISCONSIN -- 2.5%
$1,300,000 AA Wisconsin State GO, Series A, 5.000% due
5/1/11........................................ $ 1,274,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$50,281,995**)............................... $51,460,813
- --------------------------------------------------------------------------------
</TABLE>
(a) Security segregated by Custodian for open purchase commitment.
(b) Variable rate obligation payable at par on demand at any time on no more
than seven days notice.
(c) Income from this issue is considered a preference item for purposes of
calculating the alternative minimum tax.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 14 for definition of ratings and certain security descriptions.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
New York 26.0%
Other States & Puerto Rico 24.3%
Florida 11.8%
Washington 8.0%
Massachusetts 6.0%
Texas 5.5%
Iowa 5.4%
New Jersey 4.7%
Maryland 4.3%
Connecticut 4.0%
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE>
BOND RATINGS
All ratings are by Standard & Poor's Ratings Service ("Standard & Poor's"),
except those that are 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-- Bonds rated "AAA" have the highest rating assigned by Standard &
Poor's. Capacity to pay interest and repay principal is extremely
strong.
AA -- Bonds rated "AA" have a very strong capacity to pay interest and repay
principal and differ from the highest rated issue only in a small
degree.
A -- Bonds rated "A" have a strong capacity to pay interest and repay
principal although they are somewhat more susceptible to the adverse
effects of changes in circumstances and economic conditions than bonds
in higher rated categories.
BBB-- Bonds rated "BBB" are regarded as having an adequate capacity to pay
interest and repay principal. Whereas they normally exhibit 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 bonds 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 "A," 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.
A-1-- Standard & Poor's highest commercial paper and VRDO rating indicating
that the degree of safety regarding timely payment is either
overwhelming or very strong; those issues determined to possess
overwhelming safety characteristics are denoted with a plus (+) sign.
SECURITY DESCRIPTIONS
AMBAC
-- AMBAC Indemnity Corporation
FGIC
-- Financial Guaranty Insurance Company
GO -- General Obligation
ISD-- Independent School District
MBIA
-- Municipal Bond Investors Assurance Corporation
PCR-- Pollution Control Revenue
PSFG
-- Permanent School Fund Guaranty
14
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
MORTGAGE BACKED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C> <C>
MORTGAGE-BACKED SECURITIES -- 74.6%
- ------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 22.7%
$ 2,869,290 FNMA, 5.500% due 11/1/06 - 11/1/08............. $ 2,722,240
10,737,957 FNMA, 6.000% due 9/1/08 - 12/1/23.............. 10,319,781
6,085,734 FNMA, 6.500% due 3/1/09 - 8/1/23............... 5,922,695
3,698,845 FNMA, 7.000% due 1/1/24........................ 3,656,050
6,524,382 FNMA, 7.500% due 12/1/06 - 9/1/23.............. 6,596,426
4,519,274 FNMA, 8.000% due 9/1/02 - 12/1/22.............. 4,651,274
1,482,602 FNMA, 8.500% due 6/1/06 - 6/1/17............... 1,544,965
2,829,112 FNMA, 9.000% due 9/1/97 - 3/1/18............... 2,981,083
677,872 FNMA, 9.500% due 4/1/01 - 11/1/21.............. 724,141
80,531 FNMA, 10.000% due 1/1/21....................... 87,754
275,658 FNMA, 10.750% due 10/1/12...................... 304,860
151,985 FNMA, 12.500% due 6/1/15....................... 174,260
- ------------------------------------------------------------------------------
39,685,529
- ------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 35.0%
1,164,886 FHLMC, 5.500% due 10/1/97 - 7/1/98............. 1,134,308
1,533,835 FHLMC, 6.500% due 7/1/23....................... 1,482,544
1,779,823 FHLMC, 7.000% due 11/1/22 - 3/1/27............. 1,762,025
18,000,000 FHLMC, 7.000% due 6/1/17+...................... 17,791,740
3,413,731 FHLMC, 7.500% due 12/1/12 - 8/1/23............. 3,453,194
9,793,843 FHLMC, 8.000% due 5/1/06 - 2/1/22.............. 10,098,050
5,159,572 FHLMC, 8.500% due 12/1/06 - 2/1/18............. 5,384,695
1,129,700 FHLMC, 9.000% due 12/1/04 - 7/1/11............. 1,185,082
1,119,059 FHLMC, 9.500% due 10/1/08 - 8/1/16............. 1,195,675
402,079 FHLMC, 10.000% due 4/1/09 - 10/1/09............ 436,128
201,401 FHLMC, 10.250% due 11/1/03 - 2/1/10............ 219,966
363,621 FHLMC, 11.000% due 4/1/00 - 10/1/00............ 384,301
105,592 FHLMC, 11.500% due 10/1/15..................... 118,890
6,415,164 FHLMC GOLD, 7.000% due 5/1/12 - 8/1/12......... 6,449,229
10,044,829 FHLMC GOLD, 7.500% due 5/1/27 - 7/1/27+........ 10,145,347
- ------------------------------------------------------------------------------
61,241,174
- ------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 16.9%
4,374,356 GNMA I, 7.000% due 4/15/23 - 3/15/26........... 4,326,509
4,000,000 GNMA I, 7.000% due 6/16/27+.................... 3,956,240
4,000,000 GNMA I, 7.500% due 1/15/26+.................... 4,038,720
2,861,484 GNMA I, 8.000% due 1/15/14 - 6/1/27............ 2,943,751
1,317,403 GNMA I, 8.500% due 5/15/17 - 6/1/27............ 1,375,857
303,402 GNMA I, 9.000% due 10/15/16.................... 322,174
541,512 GNMA I, 9.500% due 12/15/16 - 8/15/19.......... 585,678
187,877 GNMA I, 11.000% due 7/15/10 - 9/15/10.......... 210,423
7,753,788 GNMA II, 6.500% due 12/20/23 - 5/20/24 ........ 7,453,330
1,170,620 GNMA II, 7.000% due 11/20/16................... 1,152,687
1,844,884 GNMA II, 8.500% due 6/20/16 - 1/20/17.......... 1,912,906
1,173,960 GNMA II, 9.000% due 4/20/17 - 11/20/21......... 1,237,789
- ------------------------------------------------------------------------------
29,516,064
- ------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$130,572,985)................................. 130,442,767
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
MORTGAGE BACKED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
REPURCHASE AGREEMENTS -- 25.4%
$20,863,000 Chase Securities Inc., 5.500% due 9/2/97;
Proceeds at maturity -- $20,875,750;
(Fully collateralized by U.S. Treasury Notes,
5.625% due 10/31/97;
Market value -- $21,280,260).................... $ 20,863,000
23,662,000 Goldman, Sachs & Co., 5.498% due 9/2/97;
Proceeds at maturity -- $23,676,455;
(Fully collateralized by U.S. Treasury Notes,
6.250% due 2/28/02;
Market value -- $24,152,987).................... 23,662,000
- -------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost --
$44,525,000)................................... 44,525,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$175,097,985*)................................ $174,967,767
- -------------------------------------------------------------------------------
</TABLE>
+ Security is traded on a "to-be-announced" basis (See Note 10).
* Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
FHLMC 35.0%
Repurchase Agreements 25.4%
FNMA 22.7%
GNMA 16.9%
SEE NOTES TO FINANCIAL STATEMENTS.
16
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCKS -- 72.2%
- --------------------------------------------------------------------------------
AEROSPACE -- 1.9%
30,900 Raytheon Co. .......................................... $ 1,699,500
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 5.0%
39,300 Foster Wheeler Corp. .................................. 1,795,519
28,700 TRW Inc. .............................................. 1,495,988
24,700 York International Corp. .............................. 1,108,412
- --------------------------------------------------------------------------------
4,399,919
- --------------------------------------------------------------------------------
CHEMICAL -- 1.8%
48,600 Morton International Inc. ............................. 1,615,950
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 3.9%
26,900 General Motors Corp. .................................. 1,687,975
39,000 Masco Corp. ........................................... 1,733,063
- --------------------------------------------------------------------------------
3,421,038
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 12.8%
40,400 American Greetings Corp., Class A Shares............... 1,403,900
34,400 Anheuser-Busch Cos., Inc. ............................. 1,466,300
15,600 Eastman Kodak Co. ..................................... 1,019,850
20,500 Loews Corp. ........................................... 2,089,719
58,900 Pall Corp. ............................................ 1,395,193
52,200 Philip Morris Cos., Inc. .............................. 2,277,225
67,600 Wendy's International Inc. ............................ 1,626,625
- --------------------------------------------------------------------------------
11,278,812
- --------------------------------------------------------------------------------
CONTAINERS -- 2.1%
35,500 Crown Cork & Seal Co., Inc. ........................... 1,806,063
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 11.1%
24,000 Beneficial Corp. ...................................... 1,717,500
42,500 First Union Corp. ..................................... 2,042,656
30,400 H.F. Ahmanson & Co. ................................... 1,542,800
24,400 Providian Financial Corp. ............................. 908,900
24,400 Summit Bancorp......................................... 1,448,750
24,100 U.S. Bancorp........................................... 2,110,256
- --------------------------------------------------------------------------------
9,770,862
- --------------------------------------------------------------------------------
INSURANCE -- 1.8%
31,500 Aon Corp. ............................................. 1,604,531
- --------------------------------------------------------------------------------
OIL & GAS -- 8.2%
29,300 Elf Aquitaine Sponsored ADR............................ 1,633,475
25,300 Kerr-McGee Corp. ...................................... 1,571,763
14,000 Mobil Corp. ........................................... 1,018,500
12,700 Texaco Inc. ........................................... 1,463,675
62,400 Union Pacific Resources................................ 1,560,000
- --------------------------------------------------------------------------------
7,247,413
- --------------------------------------------------------------------------------
PUBLISHING -- 1.4%
12,700 Gannett Co., Inc. ..................................... 1,237,456
- --------------------------------------------------------------------------------
RETAIL -- 4.1%
80,200 American Stores Co. ................................... 1,899,737
32,400 May Department Stores Co. ............................. 1,743,525
- --------------------------------------------------------------------------------
3,643,262
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
TECHNOLOGY -- 5.2%
27,400 IBM Corp. .......................................... $ 2,763,975
24,700 Xerox Corp. ........................................ 1,864,850
- ------------------------------------------------------------------------------
4,628,825
- ------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 2.5%
6,500 British Telecom PLC Sponsored ADR................... 420,469
39,300 MCI Communications Corp. ........................... 1,120,050
24,000 Tele Danmark A/S ADR................................ 640,500
- ------------------------------------------------------------------------------
2,181,019
- ------------------------------------------------------------------------------
TELEPHONE -- 1.4%
23,000 SBC Communications, Inc. ........................... 1,250,625
- ------------------------------------------------------------------------------
TRANSPORTATION -- 5.3%
17,500 Burlington Northern Santa Fe........................ 1,604,531
41,000 Ryder Systems Inc. ................................. 1,463,188
23,700 Union Pacific Corp. ................................ 1,539,019
- ------------------------------------------------------------------------------
4,606,738
- ------------------------------------------------------------------------------
UTILITIES -- 3.7%
44,282 Duke Energy Corp. .................................. 2,144,909
46,600 Edison International................................ 1,124,225
- ------------------------------------------------------------------------------
3,269,134
- ------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $52,866,496)........... 63,661,147
- ------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY BILLS -- 3.9%
$ 1,000,000 U.S. Treasury Bills, 4.880% due 9/18/97............. 997,704
1,000,000 U.S. Treasury Bills, 5.050% due 10/16/97............ 993,693
1,000,000 U.S. Treasury Bills, 5.200% due 11/13/97............ 989,230
500,000 U.S. Treasury Bills, 5.310% due 1/8/98.............. 490,535
- ------------------------------------------------------------------------------
TOTAL U.S. TREASURY BILLS (Cost -- $3,472,011)...... 3,471,162
- ------------------------------------------------------------------------------
U.S. TREASURY NOTES -- 14.1%
U.S. Treasury Notes, 6.625% due 4/30/02 (Cost --
12,200,000 $12,308,188)....................................... 12,385,928
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 5.9%
- -------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.0%
$231,097 FHLMC, 7.500% due 4/1/10............................. $ 235,862
FHLMC, Multiclass Mortgage PC:
300,000 7.000% due 8/15/06................................... 300,888
350,000 7.500% due 7/15/22................................... 354,270
- -------------------------------------------------------------------------------
891,020
- -------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 4.9%
328,996 GNMA, 8.000% due 8/15/22............................. 338,454
396,333 GNMA, 8.000% due 11/15/22............................ 407,728
219,070 GNMA, 8.500% due 12/15/21............................ 228,790
404,969 GNMA, 9.000% due 5/20/16............................. 426,988
335,456 GNMA, 9.000% due 7/20/16............................. 353,694
201,517 GNMA, 9.000% due 3/15/20............................. 213,984
278,879 GNMA, 9.000% due 3/20/20............................. 294,042
204,355 GNMA, 9.000% due 5/15/20............................. 216,999
571,717 GNMA, 9.000% due 6/15/20............................. 607,089
586,663 GNMA, 9.000% due 6/15/21............................. 622,960
462,949 GNMA, 9.000% due 4/15/22............................. 491,592
115,284 GNMA, 9.000% due 6/15/25............................. 122,417
- -------------------------------------------------------------------------------
4,324,737
- -------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$5,211,520)......................................... 5,215,757
- -------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 3.3%
- -------------------------------------------------------------------------------
BANKING -- 1.0%
600,000 NationsBank Corp., Senior Notes, 5.375% due 4/15/00.. 585,000
100,000 Norwest Corp., Bond, 5.750% due 3/15/98.............. 99,950
Salomon Brothers, Series C, Medium Term Notes, 6.750%
200,000 due 2/15/00.......................................... 200,500
- -------------------------------------------------------------------------------
885,450
- -------------------------------------------------------------------------------
DISCOUNT STORES -- 0.1%
Wal-Mart Stores Inc., Senior Notes, 5.500% due
100,000 3/1/98............................................... 99,854
- -------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.5%
400,000 Texas Instruments, 6.875% due 7/15/00................ 405,500
- -------------------------------------------------------------------------------
FINANCIAL SERVICES -- 1.4%
Dean Witter Discover & Co., Notes, 6.000% due
100,000 3/1/98............................................... 100,189
Ford Motor Credit Co., Notes:
150,000 5.625% due 12/15/98.................................. 149,483
200,000 7.250% due 5/15/99................................... 203,750
400,000 5.750% due 1/25/01................................... 391,500
400,000 Household Finance Co., 6.450% due 3/15/01............ 398,500
- -------------------------------------------------------------------------------
1,243,422
- -------------------------------------------------------------------------------
TECHNOLOGY -- 0.2%
200,000 Lucent Technologies, 6.900% due 7/15/01.............. 202,750
- -------------------------------------------------------------------------------
TOBACCO -- 0.1%
100,000 Philip Morris Cos., Inc., Notes, 7.375% due 2/15/99.. 101,625
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost -- $2,957,182)... 2,938,601
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
REGIONAL GOVERNMENT OBLIGATION -- 0.2%
Ontario Province, CDA, 5.700% due 10/1/97 (Cost --
$200,000 $202,500)............................................ $ 200,000
- -------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $77,017,897)........... 87,872,595
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.4%
304,000 Goldman, Sachs & Co., 5.498% due 9/2/97; Proceeds at
maturity -- $304,186;
(Fully collateralized by U.S. Treasury Notes, 6.250%
due 2/28/02;
Market value -- $310,308) (Cost -- $304,000).......... 304,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $77,321,897*)...... $88,176,595
- -------------------------------------------------------------------------------
</TABLE>
* Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Other Common Stocks 29.6%
U.S. Treasury Obligations 18.0%
Consumer Products 12.8%
Financial Services 11.1%
Oil & Gas 8.2%
Mortgage-Backed Securities 5.9%
Transportation 5.3%
Technology 5.2%
Corporate Bonds & Notes 3.3%
Repurchase Agreement & Regional Government Obligation 0.6%
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCKS -- 98.4%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 6.9%
38,700 Air Products & Chemicals, Inc. ........................ $ 3,156,469
16,100 AK Steel Holding Corp. ................................ 728,525
79,900 Aluminum Co. of America................................ 6,571,775
216,900 Bethlehem Steel Corp.+................................. 2,602,800
154,400 British Steel PLC ADR.................................. 4,410,050
102,100 Case Corp. ............................................ 6,847,081
235,800 Caterpillar, Inc. ..................................... 13,691,137
36,800 Cooper Cameron Corp.+.................................. 2,387,400
167,600 Crown Cork & Seal Co. Inc. ............................ 8,526,650
110,250 Dow Chemical Co. ...................................... 9,757,125
64,200 Dresser Industries, Inc. .............................. 2,680,350
338,800 E.I. du Pont de Nemours & Co. ......................... 21,111,475
93,000 Great Lakes Chemical Corp. ............................ 4,324,500
162,100 IMC Global, Inc. ...................................... 5,703,894
125,000 Imperial Chemical Industries PLC Sponsored ADR......... 8,203,125
300 Lubrizol Corp. ........................................ 13,144
24,400 Lyondell Petrochemical Co. ............................ 591,700
44,345 Mark IV Industries, Inc. .............................. 1,114,168
60,000 Martin Marietta Materials, Inc. ....................... 2,096,250
16,800 Morton International, Inc. ............................ 558,600
49,400 NGC Corp. ............................................. 808,925
60,800 Phelps Dodge Corp. .................................... 4,890,600
30,000 Potash Corp. of Saskatchewan Inc. ..................... 2,218,125
68,000 Reynolds Metals Co. ................................... 4,806,750
64,900 Rohm & Haas Co. ....................................... 6,218,231
93,300 Union Carbide Corp. ................................... 4,787,456
100,000 USX-U.S. Steel Group, Inc. ............................ 3,512,500
31,500 Weyerhaeuser Co. ...................................... 1,819,125
- --------------------------------------------------------------------------------
134,137,930
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 5.5%
49,700 Armstrong World Industries, Inc. ...................... 3,401,344
5,728 Autoliv, Inc. ......................................... 223,750
29,400 Avnet, Inc. ........................................... 2,034,113
184,000 Boeing Co. ............................................ 10,016,500
59,700 Crane Co. ............................................. 2,634,263
49,100 Dana Corp. ............................................ 2,261,669
155,500 Deere & Co. ........................................... 8,708,000
70,900 Eaton Corp. ........................................... 6,385,431
4,941 Halter Marine Group Inc.+.............................. 195,478
16,200 Harnischfeger Industries, Inc. ........................ 650,025
77,800 Ingersoll Rand Co. .................................... 4,677,725
74,600 Johnson Controls, Inc. ................................ 3,557,487
20,500 Lafarge Corp. ......................................... 666,250
60,000 Lockheed Corp. ........................................ 6,221,250
27,200 Northrop Grumman Corp. ................................ 3,184,100
95,000 PACCAR, Inc. .......................................... 4,500,625
32,000 Parker Hannifin Corp. ................................. 2,058,000
222,400 Raytheon Co. .......................................... 12,232,000
100,600 Textron, Inc. ......................................... 6,268,637
90,200 TRW, Inc. ............................................. 4,701,675
128,200 United Technologies Corp. ............................. 10,007,612
38,600 Vulcan Materials Co. .................................. 3,391,975
24,000 Warner-Lambert Co. .................................... 3,049,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 5.5% (CONTINUED)
33,000 W.W. Grainger Inc. .................................... $ 2,930,813
37,000 Xerox Corp. ........................................... 2,793,500
- --------------------------------------------------------------------------------
106,751,722
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 3.9%
235,094 Chrysler Corp. ........................................ 8,257,677
508,350 Ford Motor Co. ........................................ 21,859,050
407,950 General Motors Corp. .................................. 25,598,862
131,800 Goodyear Tire & Rubber Co. ............................ 8,122,175
100,000 Masco Corp. ........................................... 4,443,750
127,200 Maytag Corp. .......................................... 3,490,050
89,500 Owens-Illinois, Inc.+.................................. 3,115,719
- --------------------------------------------------------------------------------
74,887,283
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 4.5%
57,800 American Greetings Corp., Class A Shares............... 2,008,550
507,101 Archer Daniels Midland Co. ............................ 10,966,049
59,000 Black & Decker Corp. .................................. 2,260,437
106,400 Brunswick Corp. ....................................... 3,245,200
10,000 Clorox Co. ............................................ 1,312,500
134,500 Deluxe Corp. .......................................... 4,430,094
94,800 Eastman Kodak Co. ..................................... 6,197,550
89,575 Fruit of the Loom, Inc., Class A Shares+............... 2,396,131
56,900 Gallaher Group PLC ADR+................................ 1,020,644
18,000 Harris Corp. .......................................... 1,568,250
218,300 Hasbro, Inc. .......................................... 5,866,813
20,000 Estee Lauder Cos., Class A Shares...................... 950,000
100,900 Liz Claiborne, Inc. ................................... 4,496,356
70,000 Mattel, Inc. .......................................... 2,340,625
187,700 Philip Morris Cos. Inc. ............................... 8,188,412
134,100 Polaroid Corp. ........................................ 7,082,156
57,000 Reebok International Ltd. ............................. 2,504,437
476,430 RJR Nabisco Holdings Corp. ............................ 16,585,720
60,000 Shaw Industries, Inc. ................................. 671,250
108,600 Sonoco Products Co. ................................... 3,536,287
- --------------------------------------------------------------------------------
87,627,461
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 1.1%
30,403 Ascent Entertainment Group, Inc.+...................... 334,433
38,100 Beverly Enterprises, Inc.+............................. 621,506
98,300 Dun & Bradstreet Corp. ................................ 2,752,400
40,000 Federal Express Corp.+................................. 2,657,500
166,000 H&R Block, Inc. ....................................... 6,515,500
120,100 Host Marriott Corp.+................................... 2,341,950
42,000 Pittston Brink's Group................................. 1,491,000
96,800 Spelling Entertainment Group, Inc.+.................... 756,250
150,900 Viacom, Inc.+.......................................... 4,470,412
- --------------------------------------------------------------------------------
21,940,951
- --------------------------------------------------------------------------------
DIVERSIFIED -- 2.6%
66,700 Allied Signal, Inc. ................................... 5,506,919
50,000 Cooper Industries, Inc. ............................... 2,665,625
71,500 Flour Corp. ........................................... 4,012,937
56,900 Fortune Brands, Inc. .................................. 1,955,938
149,000 General Electric Co. .................................. 9,312,500
32,500 Harsco Corp. .......................................... 1,464,531
45,100 Honeywell, Inc. ....................................... 3,117,537
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
DIVERSIFIED -- 2.6% (CONTINUED)
146,200 ITT Corp.+............................................. $ 9,183,188
60,000 MCN Corp. ............................................. 1,841,250
62,500 Minnesota Mining & Manufacturing Co. .................. 5,617,187
71,900 News Corp. Ltd. Sponsored ADR ......................... 1,298,694
280,000 News Corp. Ltd. Sponsored ADR Preferred................ 4,235,000
- --------------------------------------------------------------------------------
50,211,306
- --------------------------------------------------------------------------------
ENERGY -- 12.2%
190,600 Amoco Corp............................................. 18,023,612
141,800 Atlantic Richfield Co. ................................ 10,635,000
62,800 British Petroleum Co. PLC Sponsored ADR................ 5,314,450
54,000 Burlington Resources Inc. ............................. 2,733,750
56,100 Cabot Corp. ........................................... 1,535,738
21,000 Calenergy Co., Inc.+................................... 695,625
233,300 Chevron Corp. ......................................... 18,066,169
68,200 Columbia Gas System, Inc. ............................. 4,501,200
60,900 Diamond Offshore Drilling, Inc. ....................... 3,326,662
22,600 DTE Energy Co. ........................................ 669,525
196,700 Elf Aquitaine SA Sponsored ADR......................... 10,966,025
74,000 Enron Corp. ........................................... 2,853,625
952,800 Exxon Corp. ........................................... 58,299,450
95,400 Halliburton Co. ....................................... 4,555,350
22,750 Kerr McGee Corp. ...................................... 1,413,344
18,500 Mapco, Inc. ........................................... 555,000
393,700 Mobil Corp. ........................................... 28,641,675
13,900 Murphy Oil Corp. ...................................... 746,256
23,700 Nicor, Inc. ........................................... 860,606
121,350 Noble Drilling Corp.+.................................. 3,450,891
106,800 Occidental Petroleum Corp. ............................ 2,503,125
300,250 Oryx Energy Co.+....................................... 7,937,859
20,200 Pennzoil Co. .......................................... 1,559,188
28,200 Rowan Cos., Inc.+...................................... 842,475
62,350 Sonat, Inc. ........................................... 3,105,809
19,300 Sun Co., Inc. ......................................... 750,288
122,000 Texaco Inc. ........................................... 14,060,500
273,500 Tosco Corp. ........................................... 9,042,594
87,400 Union Texas Petroleum Holdings, Inc. .................. 2,037,512
142,800 Unocal Corp. .......................................... 5,578,125
224,100 USX-Marathon Group..................................... 7,297,256
25,000 Valero Energy Corp. ................................... 832,813
161,400 Wheelabrator Technologies, Inc. ....................... 2,531,962
13,425 Williams Cos., Inc. ................................... 625,102
- --------------------------------------------------------------------------------
236,548,561
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 19.0%
57,410 American General Corp. ................................ 2,766,444
99,900 Banc One Corp. ........................................ 5,357,137
157,000 Bank of New York Co., Inc. ............................ 7,006,125
519,800 BankAmerica Corp. ..................................... 34,209,337
97,880 BankBoston Corp........................................ 8,136,275
57,300 Bankers Trust New York Corp. .......................... 5,944,875
90,600 Barnett Banks, Inc. ................................... 6,172,125
166,591 Bear Stearns Cos., Inc. ............................... 6,590,756
223,304 Chase Manhattan Bank................................... 24,828,613
212,700 Citicorp, Inc. ........................................ 27,145,837
85,050 Comdisco, Inc. ........................................ 2,312,297
43,400 Comerica, Inc. ........................................ 3,073,262
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 19.0% (CONTINUED)
102,150 Compass Bancshares, Inc. .............................. $ 3,639,094
85,300 Countrywide Credit Industries, Inc. ................... 2,873,544
50,000 Dime Bancorp Inc. ..................................... 965,625
40,000 Donaldson, Lufkin & Jenrette, Inc. .................... 2,375,000
15,000 Finova Group, Inc. .................................... 1,268,438
202,695 First Chicago NBD Corp. ............................... 14,543,366
104,000 First of America Bank Corp. ........................... 5,356,000
45,800 First SEC Corp. ....................................... 1,293,850
349,660 First Union Corp. ..................................... 16,805,534
30,000 First Virginia Banks, Inc. ............................ 2,043,750
160,626 Fleet Financial Group, Inc. ........................... 10,350,338
32,700 Golden West Financial Corp. ........................... 2,691,619
40,000 Greenpoint Financial Corp. ............................ 2,462,500
247,200 H.F. Ahmanson & Co. ................................... 12,545,400
28,000 Household International, Inc. ......................... 3,106,250
23,000 J.P. Morgan & Co., Inc. ............................... 2,466,750
63,600 Kansas City Southern Industries, Inc. ................. 4,762,050
45,200 KeyCorp................................................ 2,740,250
62,100 Lehman Brothers Holdings, Inc. ........................ 2,724,638
102,000 Mellon Bank Corp. ..................................... 4,908,750
134,400 Merrill Lynch & Co., Inc. ............................. 8,265,600
493,080 Morgan Stanley, Dean Witter, Discover & Co. ........... 23,729,475
139,900 National City Corp. ................................... 7,904,350
425,400 NationsBank Corp. ..................................... 25,258,125
50,000 Northern Trust Corp. .................................. 2,656,250
160,700 Norwest Corp. ......................................... 9,230,206
123,800 PaineWebber Group, Inc. ............................... 4,758,562
132,000 PNC Bank Corp. ........................................ 5,709,000
84,800 Popular, Inc. ......................................... 3,667,600
62,000 Republic New York Corp. ............................... 6,637,875
32,500 Salomon, Inc. ......................................... 1,945,938
74,600 SLM Holding Corp. ..................................... 10,108,300
59,900 SouthTrust Corp. ...................................... 2,680,525
110,000 State Street Corp. .................................... 5,486,250
18,100 Unionbancal Corp. ..................................... 1,399,356
37,000 U.S. Bancorp........................................... 3,239,812
217,695 Washington Mutual, Inc. ............................... 13,034,488
- --------------------------------------------------------------------------------
369,177,541
- --------------------------------------------------------------------------------
FOOD/RESTAURANTS -- 1.0%
198,800 American Stores Co. ................................... 4,709,075
31,000 Dean Foods Co. ........................................ 1,375,625
50,200 Dole Food Co. ......................................... 1,960,938
22,750 Interstate Bakeries, Corp. ............................ 1,333,719
152,000 Quaker Oats Co. ....................................... 7,144,000
45,000 Sara Lee Corp. ........................................ 1,811,250
41,700 Wendy's International, Inc. ........................... 1,003,406
- --------------------------------------------------------------------------------
19,338,013
- --------------------------------------------------------------------------------
HEALTH CARE -- 5.2%
155,700 Aetna Inc. ............................................ 14,859,619
12,280 Allegiance Corp. ...................................... 385,285
106,000 American Home Products Corp. .......................... 7,632,000
55,700 Amgen, Inc.+........................................... 2,760,631
300,800 Bristol-Myers Squibb Co. .............................. 22,860,800
332,100 Columbia/HCA Healthcare Corp. ......................... 10,481,906
101,100 C.R. Bard, Inc. ....................................... 3,487,950
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
HEALTH CARE -- 5.2% (CONTINUED)
164,900 Foundation Health Systems, Inc.+...................... $ 5,245,881
4,461 Fresenius Medical Care AG, Class A Shares +........... 103,439
93,400 Johnson & Johnson..................................... 5,294,612
40,100 Mallinckrodt, Inc. ................................... 1,458,638
89,200 Meditrust Corp. ...................................... 3,562,425
31,500 Pacificare Health Systems, Inc., Class B Shares+...... 2,153,812
396,865 Tenet Healthcare Corp.+............................... 10,814,571
70,370 Vencor, Inc.+......................................... 2,823,596
136,300 Wellpoint Health Networks, Inc.+...................... 7,411,313
- -------------------------------------------------------------------------------
101,336,478
- -------------------------------------------------------------------------------
INSURANCE -- 7.6%
30,235 Aegon N.V. ........................................... 2,244,949
5,628 Alleghany Corp.+...................................... 1,350,720
75,300 Allmerica Financial Corp. ............................ 3,115,537
353,005 Allstate Corp. ....................................... 25,791,427
25,800 Ambac Financial Group, Inc. .......................... 2,084,963
20,000 American Financial Group, Inc. ....................... 865,000
105,000 American International Group, Inc. ................... 9,909,375
1,200 American National Insurance Co. ...................... 116,400
77,700 Chubb Corp. .......................................... 5,196,187
99,050 CIGNA Corp. .......................................... 18,163,294
200,600 Conseco, Inc. ........................................ 8,625,800
142,900 The Equitable Cos. Inc. .............................. 6,216,150
60,200 Equitable of Iowa Cos. ............................... 3,920,525
183,650 Everest Reinsurance Holdings, Inc. ................... 6,645,834
39,400 General Resources Corp. .............................. 7,638,675
125,700 Hartford Financial Services Group Inc. ............... 10,024,575
27,900 ITT Industries, Inc. ................................. 878,850
73,900 Loews Corp. .......................................... 7,533,181
31,900 MBIA, Inc. ........................................... 3,612,675
24,100 Mercury General Corp. ................................ 2,108,750
35,200 Ohio Casualty Corp. .................................. 1,636,800
110,100 Old Republic International Corp. ..................... 3,956,719
35,000 The PMI Group, Inc. .................................. 2,023,438
69,600 Providian Corp. ...................................... 2,592,600
158,000 SAFECO Corp. ......................................... 7,761,750
81,400 Torchmark Corp. ...................................... 3,067,762
- -------------------------------------------------------------------------------
147,081,936
- -------------------------------------------------------------------------------
MISCELLANEOUS -- 0.3%
74,700 Circus Circus Enterprises Inc.+....................... 1,788,131
183,800 Health & Retirement Property Trust.................... 3,331,375
41,400 International Game Technology......................... 828,000
- -------------------------------------------------------------------------------
5,947,506
- -------------------------------------------------------------------------------
PAPER AND PAPER PRODUCTS -- 1.2%
22,400 Consolidated Papers, Inc. ............................ 1,306,200
3,971 Deltic Timber Corp.................................... 117,393
202,500 Fort James Corp. ..................................... 8,505,000
38,500 International Paper Co. .............................. 2,030,875
60,372 Kimberly-Clark Corp. ................................. 2,863,897
172,000 Louisiana-Pacific Corp. .............................. 3,805,500
22,433 Mead Corp. ........................................... 1,591,341
46,850 Westvaco Corp. ....................................... 1,587,044
15,000 Willamette Industries, Inc. .......................... 1,196,250
- -------------------------------------------------------------------------------
23,003,500
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
POLLUTION CONTROL -- 0.3%
172,500 Browning Ferris Industries, Inc. ...................... $ 6,026,719
- --------------------------------------------------------------------------------
PUBLISHING -- 0.7%
19,800 Central Newspapers, Inc. .............................. 1,347,638
14,000 Gannett Co. ........................................... 1,364,125
48,400 Knight Ridder, Inc. ................................... 2,450,250
100,000 New York Times Co. .................................... 4,725,000
64,828 Times Mirror Co., Class A Shares....................... 3,285,969
- --------------------------------------------------------------------------------
13,172,982
- --------------------------------------------------------------------------------
RETAIL -- 3.6%
50,700 Costco Cos., Inc.+..................................... 1,828,369
157,600 Dayton Hudson Corp. ................................... 8,983,200
101,900 Dillard Inc., Class A Shares........................... 4,076,000
310,800 Federated Department Stores, Inc.+..................... 13,053,600
86,400 Footstar, Inc.+........................................ 2,143,801
23,600 The Great Atlantic & Pacific Tea Co., Inc. ............ 591,475
159,600 Harcourt General, Inc. ................................ 7,590,975
29,400 J.C. Penney, Inc. ..................................... 1,764,000
49,200 Payless ShoeSource, Inc.+.............................. 3,154,950
49,400 Rite Aid Corp. ........................................ 2,473,088
115,000 Sears, Roebuck & Co. .................................. 6,526,250
57,000 SUPERVALU, Inc. ....................................... 2,237,250
261,500 Toys 'R' Us, Inc.+..................................... 9,038,094
67,900 VF Corp. .............................................. 6,000,662
- --------------------------------------------------------------------------------
69,461,714
- --------------------------------------------------------------------------------
TECHNOLOGY -- 6.2%
27,500 Arrow Electronics, Inc.+............................... 1,689,531
86,000 Cabletron Systems, Inc.+............................... 2,601,500
102,750 Compaq Computer Corp.+................................. 6,730,125
32,000 Frontier Corp. ........................................ 706,000
52,250 Imation Corp.+......................................... 1,414,016
450,800 International Business Machines Corp. ................. 45,474,450
91,750 Litton Industries, Inc.+............................... 4,576,031
80,000 National Semiconductor Corp.+.......................... 2,740,000
254,300 Philips Electronics N.V. .............................. 18,214,237
80,000 Pitney Bowes, Inc. .................................... 6,110,000
95,000 Read-Rite Corp.+....................................... 2,725,313
66,800 Seagate Technology, Inc.+.............................. 2,550,925
269,600 Silicon Graphics, Inc.+................................ 7,397,150
177,600 Storage Technology Corp.+.............................. 9,046,500
72,500 Sun Microsystems, Inc.+................................ 3,480,000
58,300 Tektronix, Inc. ....................................... 3,239,294
53,600 Western Digital Corp.+................................. 2,579,500
- --------------------------------------------------------------------------------
121,274,572
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 9.3%
218,100 ACNielsen Corp.+....................................... 4,961,775
416,000 Alcatel Alsthom Inc.................................... 10,244,000
284,250 Ameritech Corp. ....................................... 17,818,922
177,000 AT&T Corp. ............................................ 6,903,000
569,379 Bell Atlantic Corp. ................................... 41,208,877
436,400 Bell South Corp. ...................................... 19,201,600
45,900 Century Telephone Enterprises, Inc. ................... 1,666,744
133,766 CommScope, Inc.+....................................... 2,307,463
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 9.3% (CONTINUED)
295,000 GTE Corp. ............................................. $ 13,145,937
58,500 Liberty Media Group, Class A Shares+................... 1,542,938
84,126 Lucent Technologies, Inc. ............................. 6,551,312
44,900 MCI Communications Corp. .............................. 1,279,650
131,100 Nextlevel Systems, Inc.+............................... 2,630,194
362,418 SBC Communications, Inc. .............................. 19,706,479
199,400 Scientific Atlanta, Inc. .............................. 4,336,950
110,500 Sprint Corp. .......................................... 5,193,500
27,966 360 Communications Co.+................................ 513,875
210,000 Time Warner, Inc. ..................................... 10,815,000
288,000 U.S. West Communications Group......................... 10,314,000
- --------------------------------------------------------------------------------
180,342,216
- --------------------------------------------------------------------------------
TRANSPORTATION -- 1.2%
44,900 AMR Corp.+............................................. 4,523,675
41,800 Burlington Northern Santa Fe........................... 3,832,537
28,200 CNF Transportation Inc. ............................... 1,018,725
72,750 Delta Air Lines, Inc. ................................. 6,292,875
38,800 Norfolk Southern Corp. ................................ 3,802,400
43,500 UAL Corp.+............................................. 3,314,156
48,600 US Airways Group, Inc.+................................ 1,658,475
- --------------------------------------------------------------------------------
24,442,843
- --------------------------------------------------------------------------------
UTILITIES -- 6.1%
11,950 Allegheny Power System, Inc. .......................... 347,297
42,200 Alltel Corp. .......................................... 1,334,575
62,200 American Electric Power Co., Inc. ..................... 2,717,363
112,500 Boston Edison Co. ..................................... 3,178,125
85,100 Carolina Power & Light Co. ............................ 2,872,125
180,300 Centerior Energy Corp. ................................ 2,028,375
147,057 Cinergy Corp. ......................................... 4,862,072
171,450 CMS Energy Corp. ...................................... 6,161,484
137,200 Coastal Corp. ......................................... 7,923,300
62,200 COMSAT Corp., Series 1................................. 1,348,963
135,000 Consolidated Edison Co., New York Inc. ................ 4,134,375
109,950 DQE, Inc. ............................................. 3,490,912
31,448 Duke Energy Corp. ..................................... 1,523,263
94,500 Edison International................................... 2,279,813
56,000 Enova Corp. ........................................... 1,344,000
313,050 Entergy Corp. ......................................... 7,767,553
61,300 FPL Group, Inc. ....................................... 2,850,450
96,800 GPU, Inc. ............................................. 3,254,900
186,000 Houston Industries, Inc. .............................. 3,766,500
136,300 Illinova Corp. ........................................ 3,134,900
29,400 IPALCO Enterprises, Inc. .............................. 957,338
11,450 KU Energy Corp. ....................................... 379,281
75,500 LG&E Energy Corp. ..................................... 1,708,188
39,800 Long Island Lighting Co. .............................. 982,563
30,200 Montana Power Co. ..................................... 696,488
46,000 National Fuel Gas Co. ................................. 2,044,125
41,500 New Century Energies, Inc.+............................ 1,675,563
122,500 New England Electric System............................ 4,685,625
55,700 New York State Electric & Gas Corp. ................... 1,357,688
84,300 NIPSCO Industries, Inc. ............................... 3,440,494
100 Northern States Power Co., Minnesota................... 4,813
18,000 OGE Energy Corp. ...................................... 799,875
62,500 Ohio Edison Co. ....................................... 1,375,000
32,300 PacifiCorp............................................. 670,225
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
UTILITIES -- 6.1% (CONTINUED)
13,850 PG&E Corp. ....................................... $ 321,147
55,900 Phillips Petroleum Co. ........................... 2,658,744
219,800 Pinnacle West Capital Corp. ...................... 7,102,288
159,800 Public Service Enterprise Group................... 3,965,037
91,300 Questar Corp. .................................... 3,652,000
36,700 SCANA Corp. ...................................... 885,388
321,400 Southern Co. ..................................... 6,769,488
68,300 Texas Utilities Co. .............................. 2,381,963
147,100 Unicom Corp. ..................................... 3,475,238
28,800 Washington Water Power Co. ....................... 561,600
- -------------------------------------------------------------------------------
118,870,504
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $1,427,684,091)...... 1,911,581,738
- -------------------------------------------------------------------------------
PREFERRED STOCK -- 0.0%
HEALTH CARE -- 0.0%
6,350 Fresenius Medical Care AG (Cost -- $864).......... 457
- -------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $1,427,684,955).... 1,911,582,195
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 1.6%
$31,851,000 Goldman, Sachs & Co., 5.498% due 9/2/97; Proceeds
at maturity -- $31,870,459
(Fully collateralized by U.S. Treasury Notes,
6.250% due 2/28/02;
Market value -- $32,511,939) (Cost --
$31,851,000)..................................... 31,851,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,459,535,955*)................................ $1,943,433,195
- -------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
* Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Other Common and Preferred Stocks 20.4%
Financial Services 19.0%
Energy 12.2%
Telecommunications 9.3%
Insurance 7.6%
Basic Industries 6.9%
Technology 6.2%
Utilities 6.1%
Capital Goods 5.5%
Health Care 5.2%
Repurchase Agreement 1.6%
SEE NOTES TO FINANCIAL STATEMENTS.
28
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 97.6%
- --------------------------------------------------------------------------------
ADVERTISING -- 0.2%
41,400 Interpublic Group Cos., Inc.# ........................ $ 2,018,250
25,400 Omnicom Group......................................... 1,720,850
22,600 Reynolds & Reynolds, Class A Shares................... 454,825
- --------------------------------------------------------------------------------
4,193,925
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 2.8%
226,800 AES Corp.+............................................ 8,391,600
8,700 Apollo Group, Inc., Class A Shares+# ................. 310,481
15,300 Bemis, Inc. .......................................... 672,244
5,500 Browning Ferris Industries, Inc. ..................... 192,156
28,500 Corrections Corp. of America+# ....................... 1,054,500
54,600 E.I. du Pont de Nemours & Co. ........................ 3,402,263
33,250 Engelhard Corp. ...................................... 694,094
15,400 Federal Signal Corp. ................................. 400,400
17,875 Fort James Corp. ..................................... 750,750
1,900 Harsco Corp. ......................................... 85,619
34,900 Hercules Inc. ........................................ 1,803,894
34,000 Honeywell Inc. ....................................... 2,350,250
176,900 Kimberly-Clark Corp.# ................................ 8,391,694
20,400 Maxim Integrated Products, Inc.+...................... 1,410,150
204,700 Monsanto Co. ......................................... 8,994,006
7,900 Morton International, Inc. ........................... 262,675
4,900 PPG Industries, Inc. ................................. 308,700
55,900 Praxair, Inc. ........................................ 2,987,156
7,900 RPM Inc. ............................................. 160,469
3,200 Textron Inc. ......................................... 199,400
23,000 U.S. Filter Corp.# ................................... 828,000
11,000 U.S. Industries Inc. ................................. 418,000
59,320 U.S.A. Waste Service Inc.# ........................... 2,491,440
10,700 Worthington Industries, Inc. ......................... 198,619
68,300 Xerox Corp.# ......................................... 5,156,650
- --------------------------------------------------------------------------------
51,915,210
- --------------------------------------------------------------------------------
BROADCASTING -- 0.1%
10,700 Ameritech Corp. ...................................... 670,756
800 Armstrong World Industries, Inc. ..................... 54,750
3,400 Century Telephone Enterprises, Inc.................... 123,462
2,800 E.W. Scripps Co. ..................................... 110,075
7,600 HSN Inc.+............................................. 250,800
11,388 Liberty Media Group, Class A Shares+.................. 300,346
4,300 Lin Television Corp.+................................. 203,981
14,500 Meredith Corp. ....................................... 435,000
3,600 Univision Communications Corp., Class A Shares+....... 184,500
- --------------------------------------------------------------------------------
2,333,670
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 7.1%
2,900 Air Products and Chemicals Inc. ...................... 236,531
18,300 Airgas Inc.+.......................................... 332,831
40,500 Allegheny Teledyne Inc. .............................. 1,250,438
81,300 Allied Signal Inc. ................................... 6,712,331
26,800 American Power Conversion+............................ 703,500
26,600 American Standard Co.+................................ 1,250,200
2,900 BetzDearborn, Inc. ................................... 189,044
205,500 Boeing Co. ........................................... 11,186,906
110,700 Comcast Corp., Class A Shares......................... 2,594,531
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CAPITAL GOODS -- 7.1% (CONTINUED)
11,200 Crane Co. .......................................... $ 494,200
24,200 Crompton & Knowles Corp. ........................... 611,050
16,300 Cytec Industries Inc.+.............................. 795,644
6,400 Dover Corp. ........................................ 442,000
1,300 Echlin Inc. ........................................ 48,181
41,500 Emerson Electric Co.# .............................. 2,269,531
49,400 Equifax Inc.# ...................................... 1,454,213
15,200 Ethyl Corp. ........................................ 136,800
6,500 Fluor Corp. ........................................ 364,813
1,019,000 General Electric Co. ............................... 63,687,500
6 Halter Marine Group Inc.+........................... 237
1,900 Harnischfeger Industries Inc. ...................... 76,238
9,100 Illinois Tool Works, Inc. .......................... 440,213
4,600 Johns Manville Corp. ............................... 56,925
8,800 Keystone International Inc. ........................ 331,650
13,400 Lear Corp.+......................................... 613,887
30,500 Leggett & Platt Inc. ............................... 1,311,500
70,800 Minnesota Mining & Manufacturing Co. ............... 6,363,150
24,000 Nucor Corp. ........................................ 1,360,500
8,000 Owens-Corning Fiberglass Corp. ..................... 324,500
29,200 Owens-Illinois Co.+................................. 1,016,525
43,100 Pall Corp. ......................................... 1,020,930
8,200 Precision Castparts Co. ............................ 529,925
8,000 Presstek Inc.+# .................................... 320,000
14,500 Progressive Corp. -- Ohio........................... 1,435,500
15,700 Raychem Corp. ...................................... 1,461,081
9,700 Sigma Aldrich....................................... 316,462
1,000 Tektronix Inc. ..................................... 55,563
42,850 Thermo Electron Corp. .............................. 1,724,713
184,300 Tyco Electron Corp. ................................ 14,456,030
6,900 Witco Corp. ........................................ 324,300
26,400 W.R. Grace & Co. ................................... 1,816,650
4,100 York International Corp. ........................... 183,987
- --------------------------------------------------------------------------------
130,300,710
- --------------------------------------------------------------------------------
COMPUTER SERVICES -- 7.0%
24,800 Adobe Systems, Inc. ................................ 976,500
29,700 Altera Corp. ....................................... 1,581,525
15,400 Autodesk, Inc.# .................................... 673,750
99,500 Automatic Data Processing, Inc.# ................... 4,533,469
69,000 Bay Networks Inc.+.................................. 2,440,875
34,400 BMC Software Inc.+.................................. 2,154,300
30,250 Cadence Design Systems, Inc.+....................... 1,438,766
18,300 Electronic Arts Inc.+............................... 563,869
106,800 Electronic Data Systems Corp. ...................... 4,038,375
85,500 EMC Corp. -- Mass.+................................. 4,387,219
25,700 Fore Systems, Inc.+................................. 525,244
22,300 Gateway 2000 Inc.+# ................................ 872,488
14,300 GTECH Holdings Corp.+............................... 429,894
284,900 Hewlett-Packard Co.# ............................... 17,467,930
27,400 Informix Corp.+..................................... 248,313
15,400 Ingram Micro Inc., Class A Shares+# ................ 442,750
592,600 Intel Corp.# ....................................... 54,593,273
12,800 Intuit Software, Inc. .............................. 334,400
39,900 Iomega Corp.+# ..................................... 1,022,438
11,100 Keane Inc.+......................................... 652,125
9,300 Komag Inc.+......................................... 163,331
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMPUTER SERVICES -- 7.0% (CONTINUED)
24,500 Lexmark International Group Inc., Class A Shares+# ... $ 857,500
17,050 McAfee Associates, Inc.+.............................. 965,456
17,500 Microchip Technology.................................. 707,656
6,200 Micron Electronics Inc.+.............................. 101,138
8,900 National Data Corp. .................................. 333,194
5,500 Novellus Systems Inc.+................................ 630,437
43,300 Parametric Technology Corp.+# ........................ 2,010,744
25,400 Peoplesoft Inc.+...................................... 1,428,750
37,900 Quantum Corp. Delaware+# ............................. 1,328,869
27,200 Sterling Commerce+.................................... 899,300
4,800 Sterling Software Inc.+............................... 164,700
125,300 Sun Microsystems Inc.+................................ 6,014,400
86,900 Sunguard Data Systems Inc.+........................... 4,529,663
12,600 Synopsys Inc. ........................................ 436,275
8,800 Tandy Corp. .......................................... 584,100
112,225 3Com Corp.+........................................... 5,604,236
8,400 Total Systems Services Inc.# ......................... 196,875
27,900 Unisys Corp.+# ....................................... 315,619
5,900 Wallace Computer Services Inc. ....................... 182,900
32,000 Western Digital Corp.+# .............................. 1,540,000
300 Westfield America Inc. ............................... 5,025
- --------------------------------------------------------------------------------
128,377,671
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 0.3%
400 Borg-Warner Automotive Inc. .......................... 20,850
19,900 Clayton Homes Inc. ................................... 334,569
9,400 Hon Industries Inc. .................................. 549,900
39,500 Masco Corp. .......................................... 1,755,281
44,400 Nike Inc., Class B Shares# ........................... 2,369,850
17,700 Tupperware Corp. ..................................... 594,056
8,600 USG Corp.+............................................ 368,725
- --------------------------------------------------------------------------------
5,993,231
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 0.0%
19,500 Flowers Industries Inc. .............................. 360,750
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 13.2%
56,500 Anheuser-Busch Co., Inc. ............................. 2,408,313
4,699 Autoliv Inc. ......................................... 183,555
5,100 B.F. Goodrich Co. .................................... 214,838
10,350 Blyth Industries Inc.+# .............................. 382,303
3,500 Boise Cascade Office Products+........................ 73,719
3,000 Brown-Forman Corp., Class B Shares# .................. 144,750
6,400 Cabot Corp............................................ 175,200
24,700 Callaway Golf Co.# ................................... 832,081
81,500 Campbell Soup Co...................................... 3,779,563
11,600 Clorox Co. ........................................... 1,522,500
768,300 Coca-Cola Co. ........................................ 44,033,193
72,000 Coca-Cola Enterprises................................. 1,980,000
100,200 Colgate-Palmolive Co.# ............................... 6,287,550
78,100 ConAgra, Inc. ........................................ 5,022,806
200,100 Corning, Inc.# ....................................... 10,580,288
37,900 CPC International, Inc. .............................. 3,377,838
9,700 Crown Cork & Seal, Inc. .............................. 493,488
11,200 Danaher Corp. ........................................ 599,900
31,200 Dial Corp............................................. 526,500
23,400 Diebold Inc........................................... 1,085,175
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER PRODUCTS -- 13.2% (CONTINUED)
6,800 Dole Food Inc. ....................................... $ 265,625
5,100 DST Systems Inc.+..................................... 184,556
19,700 Eastman Kodak Co. .................................... 1,287,888
11,900 Estee Lauder Cos., Class A Shares..................... 565,250
4,400 Federal Express Corp.+................................ 292,325
1,900 Fred Meyer Inc.+...................................... 98,800
4,500 Fruit of The Loom Inc., Class A Shares+............... 120,375
39,100 General Mills, Inc. .................................. 2,507,288
316,100 Gillette Co.# ........................................ 26,177,030
2,700 Hasbro Inc. .......................................... 72,563
16,000 Herman Miller Inc..................................... 828,000
21,400 Hershey Foods Corp.................................... 1,142,225
42,950 H.J. Heinz, Co. ...................................... 1,787,794
13,200 International Flavors & Fragrances, Inc............... 674,850
7,100 Interstate Bakeries................................... 416,238
3,200 Jefferson Smurfit Corp.+.............................. 62,200
50,600 Kellogg Co.# ......................................... 2,264,350
10,900 Liz Claiborne Inc..................................... 485,731
98,043 Mattel, Inc........................................... 3,278,313
3,800 McCormick & Co., Inc. ................................ 89,775
6,000 Nabisco Holdings Corp., Class A Shares# .............. 249,000
54,100 Newell Co............................................. 2,130,188
8,800 Nine West Group Inc.+................................. 371,800
3,400 Pennzoil Co. ......................................... 262,361
659,300 PepsiCo, Inc.......................................... 23,734,800
35,800 PETsMART Inc.......................................... 306,538
825,400 Philip Morris Cos., Inc............................... 36,008,075
28,000 Pioneer Hi-Bred International, Inc. .................. 2,399,250
232,500 Procter & Gamble Co. ................................. 30,937,030
8,000 Quaker Oats Co. ...................................... 376,000
31,800 Ralston-Purina Group.................................. 2,862,000
7,600 Reebok International Ltd. ............................ 333,925
2,900 Revlon Inc., Class A Shares+.......................... 141,013
43,900 Rubbermaid, Inc.+# ................................... 1,097,500
98,100 Sara Lee Corp......................................... 3,948,525
13,600 Sealed Air Corp.+# ................................... 705,500
4,100 Shaw Industries Inc................................... 45,869
11,900 Sherwin-Williams Co. ................................. 326,506
2,200 Snap-On Inc........................................... 92,400
8,200 Sonoco Product Co. ................................... 267,013
6,700 Stanley Works......................................... 285,169
26,500 Starbucks Corp.+# .................................... 1,086,500
20,300 Sunbeam Corp. ........................................ 893,200
3,000 Tootsie Roll Industries, Inc. ........................ 146,625
7,000 Tyson Foods Inc., Class A Shares...................... 148,750
18,400 UNIFI Inc. ........................................... 706,100
56,900 UST, Inc. ............................................ 1,642,988
13,200 Valspar Corp. ........................................ 406,725
18,400 Warnaco Group Inc., Class A Shares.................... 596,850
7,400 Westpoint Stevens Inc. ............................... 296,000
11,400 Whitman Corp.......................................... 279,300
17,200 Wisconsin Central Transport........................... 533,200
12,800 Wolverine Worldwide Inc. ............................. 283,200
34,800 Wm. Wrigley Jr. Co.# ................................. 2,523,000
- --------------------------------------------------------------------------------
242,727,636
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER SERVICES -- 1.2%
29,200 Accustaff, Inc.+# .................................... $ 775,625
20,000 Catellus Development Corp.+........................... 385,000
19,200 Ecolab, Inc........................................... 865,200
2,200 Hannaford Brothers Co................................. 74,800
40,200 HFS, Inc.+# .......................................... 2,238,638
16,700 Hillenbrand Industries................................ 733,756
6,600 Lancaster Colony Corp................................. 341,963
26,700 Manpower Inc. ........................................ 1,139,756
6,500 Olsten Corp. ......................................... 121,875
35,800 Pitney-Bowes, Inc..................................... 2,734,225
21,200 Robert Half International Inc.+....................... 1,237,550
239,800 Service Corp. ........................................ 7,673,600
9,100 Stewart Enterprises Inc., Class A Shares.............. 359,450
60,000 Sysco Corp............................................ 2,130,000
3,400 Viad Corp. ........................................... 61,838
9,000 Vornado Realty Trust.................................. 625,500
- --------------------------------------------------------------------------------
21,498,776
- --------------------------------------------------------------------------------
ELECTRONICS -- 1.1%
37,800 Adaptec Inc.+......................................... 1,814,400
54,500 Analog Devices Inc.+.................................. 1,805,313
2,200 Arrow Electronics Inc.+............................... 135,163
33,600 Atmel Corp.+.......................................... 1,188,600
1,000 Avnet Inc.+........................................... 69,188
7,400 AVX Corp. ............................................ 260,388
27,500 Ceridian Corp.+....................................... 950,469
15,500 Cypress Semiconductor Corp.+# ........................ 275,125
7,100 Dallas Semiconductor Corp. ........................... 272,019
5,700 General Semicondutor Inc.+............................ 80,513
5,200 Hubbell Inc., Class B Shares.......................... 238,550
3,600 Jabil Circuit Inc.+................................... 213,300
28,000 KLA-Tencor Corp.+..................................... 1,984,500
10,400 Lam Research Corp.+# ................................. 587,600
7,600 Lattice Semiconductor Corp.+.......................... 484,025
25,500 Linear Technology Corp.+.............................. 1,671,844
11,425 Molex Inc. ........................................... 447,003
5,600 National Semiconductor Corp.+......................... 191,800
3,000 Pittway Corp.-Del., Class A Shares.................... 180,938
11,600 Sensormatic Electronics Corp. ........................ 151,525
36,400 Solectron Corp.+...................................... 1,524,250
29,200 Teradyne Inc.+........................................ 1,626,075
2,200 Thomas & Betts Corp. ................................. 123,200
8,200 Transaction Systems Architects, Class A Shares+....... 283,925
12,800 UCAR International Inc................................ 604,000
10,700 Varian Associates Inc. ............................... 610,569
5,890 Vishay Intertechnology Inc.+.......................... 157,189
11,800 Vitesse Semiconductor Corp.+.......................... 556,075
7,700 VLSI Technology Inc.+................................. 254,100
23,100 Xilinx Inc.+.......................................... 1,097,250
- --------------------------------------------------------------------------------
19,838,896
- --------------------------------------------------------------------------------
ENERGY -- 2.4%
19,200 Anadarko Petroleum Corp. ............................. 1,410,000
4,600 Apache Corp. ......................................... 182,563
43,600 Baker Hughes Inc. .................................... 1,847,550
7,500 BJ Services Co.+...................................... 541,875
3,300 Burlington Resources, Inc. ........................... 167,063
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
ENERGY -- 2.4% (CONTINUED)
12,200 Calenergy Inc.+....................................... $ 404,125
9,300 Camco International Corp.+............................ 640,538
25,300 Dresser Industries# ................................. 1,056,275
32,200 Enron Corp............................................ 1,241,713
9,900 Enron Oil & Gas Co.................................... 238,838
24,100 ENSCO International Inc.# ............................ 1,530,350
1 Enserch Exploration Inc. ............................. 4
8,000 EVI Inc.+............................................. 420,500
27,000 Falcon Drilling Co., Inc.+............................ 850,500
329,900 Global Marine, Inc.+# ................................ 9,381,531
86,800 Halliburton Co.# ..................................... 4,144,700
5,400 Louisiana Land & Exploration Co....................... 413,438
700 Lyondell Petrochemical Co. ........................... 16,975
34,400 Nabors Industries Inc................................. 1,184,650
21,900 NGC Corp.............................................. 358,613
7,900 Noble Affiliates Inc.................................. 366,362
38,600 Noble Drilling Corp.+................................. 1,097,688
3,100 Pioneer Natural Resources Co.+........................ 123,806
11,600 Pogo Producing Co.# .................................. 503,150
24,500 Reading & Bates Corp.+................................ 889,656
83,600 Republic Industries, Inc.+# .......................... 2,053,425
26,500 Rowan Cos., Inc.+ .................................... 791,688
3,800 Seagull Energy Corp.+ ................................ 92,863
13,600 Smith International+ ................................. 989,400
13,000 Sonat Inc............................................. 647,562
4,120 Texas Utilities Co.................................... 143,685
183,800 Tosco Corp............................................ 6,076,888
9,400 Transocean Offshore Inc. ............................. 893,588
2,200 Transtexas Gas Corp. ................................. 31,625
20,300 Union Texas Petroleum Holdings Inc. .................. 473,244
10,600 United Meridian Corp.+ ............................... 415,387
18,500 Unocal Corp........................................... 722,656
5,500 Valero Energy Corp. .................................. 183,219
5,900 Varstar Resources, Inc................................ 251,856
7,700 Western Atlas Inc.+ .................................. 610,225
- --------------------------------------------------------------------------------
43,389,774
- --------------------------------------------------------------------------------
ENTERTAINMENT -- 1.7%
6,100 Brunswick Corp.# ..................................... 186,050
20,200 Circus Circus Enterprise Inc.+# ...................... 483,538
7,400 Doubletree Corp.+ .................................... 370,000
15,400 Gaylord Entertainment Co., Class A Shares............. 359,013
9,200 Harrahs Entertainment, Inc.+ ......................... 206,425
33,300 Hilton Hotels Corp.# ................................. 1,021,894
3,100 Host Marriott Corp.+ ................................. 60,450
7,900 International Family Entertainment+ .................. 275,513
34,900 International Game Technology......................... 698,000
36,500 ITT Corp.+ ........................................... 2,292,656
20,850 La Quinta Inns Inc. .................................. 437,850
37,800 Marriot International, Inc.# ......................... 2,516,063
3,600 MGM Grand Inc.+# ..................................... 144,450
61,200 Mirage Resorts, Inc.+ ................................ 1,640,925
17,650 Promus Hotel Corp.+ .................................. 685,041
10,000 Regal Cinemas Inc.+ .................................. 283,750
34,600 Time Warner, Inc.# ................................... 1,781,900
52,200 Viacom, Inc., Class B Shares+ ........................ 1,546,425
220,200 Walt Disney Co.# ..................................... 16,914,112
- --------------------------------------------------------------------------------
31,904,055
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 10.3%
5,500 Advanta Corp., Class A Shares# ....................... $ 182,188
14,597 Aetna, Inc. .......................................... 1,393,101
34,900 AFLAC Inc............................................. 1,921,681
500 American Bankers Insurance Group Inc. ................ 33,000
125,200 American Express Co................................... 9,734,300
150,625 American International Group, Inc..................... 14,215,233
163,300 Associates First Capital Corp., Class A Shares ....... 9,481,606
49 Banc One Corp......................................... 2,628
2,000 Capital One Financial Corp.# ......................... 77,000
400 CCB Financial Corp. .................................. 32,350
40,600 Charles Schwab Corp................................... 1,722,963
19,200 Concord EFS Inc.+ .................................... 532,800
20,200 Conseco Inc. ......................................... 868,600
3,100 Contifinancial Corp.+ ................................ 101,913
2,000 Countrywide Credit Industries Inc. ................... 67,375
22,800 Erie Indemnity Co., Class A Shares .................. 741,000
4,400 Everest Reinsurance Holdings.......................... 159,225
664,700 Federal National Mortgage Association................. 29,246,800
191,000 Federal Home Loan Mortgage Corp....................... 6,219,438
39,900 Fifth Third Bancorp .................................. 2,334,150
2,300 Finova Group Inc.+ ................................... 194,494
455,030 First Data Corp.# .................................... 18,684,669
2,800 First USA, Paymentech Inc.+ .......................... 85,050
28,200 Franklin Resources Inc.# ............................. 2,181,975
48,400 Green Tree Financial Corp. ........................... 2,126,575
2,800 Greenpoint Financial Corp............................. 172,375
126,600 Household International............................... 14,044,688
20,300 H&R Block, Inc........................................ 796,775
2,100 Lehman Brothers Holdings Inc.......................... 92,137
16,600 Marsh & McLennan Cos., Inc. .......................... 1,132,950
596,362 MBNA Corp. ........................................... 22,922,662
200 Mercury General Corp.................................. 17,500
176,200 MGIC Investment Corp.# ............................... 8,865,063
12,000 Money Store, Inc.# ................................... 342,000
7,900 Morgan Stanley, Dean Witter, Discover & Co............ 380,188
3,300 National Commerce Bancorp............................. 82,913
6,300 Northern Trust Corp. ................................. 334,688
11,600 Norwest Corp. ........................................ 666,275
218,550 Paychex, Inc.......................................... 7,485,338
1,500 PMI Group Inc.# ...................................... 86,719
1,200 Protective Life Corp.................................. 59,700
1,390 Provident Cos. Inc. .................................. 90,543
7,500 Provident Financial Group............................. 355,313
1,100 Reliance Group Holdings............................... 13,475
20,600 Rouse Co.............................................. 605,125
1,800 R.R. Donnelley & Sons Co.# ........................... 70,088
18,200 SLM Holding Corp.# ................................... 2,466,100
22,800 Star Banc Corp........................................ 1,030,275
235,200 State Street Corp..................................... 11,730,600
40,700 SunAmerica Inc. ...................................... 2,192,713
79,350 Synovus Financial Corp................................ 2,077,978
15,900 T. Rowe Associates.................................... 874,500
2,500 TCF Financial Corp.................................... 133,281
51,700 Travelers Group Inc................................... 3,282,950
10,000 20th Century Industries............................... 231,875
21,900 United Asset Management Corp.# ....................... 587,194
23,000 UNUM Corp............................................. 948,750
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 10.3% (CONTINUED)
6,100 U.S. Bancorp......................................... $ 534,131
10,900 Washington Mutual Inc................................ 652,638
700 Wilmington Trust Corp.+ ............................. 35,263
11,400 Zions Bancorp........................................ 441,750
- -------------------------------------------------------------------------------
188,176,627
- -------------------------------------------------------------------------------
HEALTH CARE -- 19.5%
246,900 Abbott Laboratories Inc. ............................ 14,798,568
26,700 Alza Corp.+ ......................................... 774,300
218,800 American Home Products Corp.+ ....................... 15,753,600
89,900 Amgen, Inc. ......................................... 4,455,669
84,000 Baxter International Inc. ........................... 4,467,750
36,100 Becton Dickinson & Co. .............................. 1,730,544
8,000 Bergen Brunswig Corp., Class A Shares+ .............. 336,000
3,700 Beverly Enterprises Inc.+ ........................... 60,356
22,800 Biogen Inc.+......................................... 897,750
33,200 Biomet Inc........................................... 688,900
125,800 Boston Scientific Corp. ............................. 8,868,900
222,800 Bristol-Myers Squibb Co. ............................ 16,932,800
36,900 Cardinal Health, Inc.# .............................. 2,444,625
23,700 Centocor, Inc.+...................................... 1,063,537
58,000 Chiron Corp.+ ....................................... 1,297,749
107,800 Columbia/HCA Healthcare Corp. ....................... 3,402,438
7,000 Dentsply International Inc. ......................... 393,750
1,400 Depuy Inc............................................ 32,375
14,900 Dura Pharmaceuticals Inc............................. 530,812
173,600 Elan Corp. PLC ADR# ................................. 7,898,800
387,000 Eli Lilly & Co....................................... 40,489,974
7,000 Forest Laboratories Inc., Class A Shares............. 287,437
42,120 Foundation Health Systems Inc., Class A Shares# ..... 1,339,943
6,100 Genesis Health Ventures Inc.......................... 212,738
14,300 Genzyme Corp. -- General Division.................... 402,187
29 Genzyme Corp. -- Tissue Repair+ ..................... 312
24,500 Guidant Corp......................................... 2,151,406
31,300 HBO & Co............................................. 2,241,863
13,300 Health Care & Retirement Corp.+ ..................... 484,619
33,550 Health Management Associates, Inc., Class A
Shares+ ............................................ 991,822
11,400 Healthcare Compare Corp.+ ........................... 635,550
492,200 HealthSouth Corp.+# ................................. 12,274,237
36,300 Humana Inc.+ ........................................ 855,319
6,200 Immunex Corp.+ ...................................... 271,250
16,300 Ivax Corp.+ ......................................... 153,821
452,800 Johnson & Johnson.................................... 25,668,100
9,600 Lincare Holdings Inc.+ .............................. 457,800
6,000 Manor Care Corp...................................... 185,250
4,400 McKesson Corp........................................ 412,225
46,200 Medpartners, Inc.+# ................................. 987,525
284,800 Medtronic, Inc....................................... 25,738,800
410,800 Merck & Co., Inc.# .................................. 37,716,574
35,600 Mylan Laboratories# ................................. 756,500
26,600 Omnicare Inc......................................... 769,738
215,900 Oxford Health Plans, Inc.+# ........................ 15,787,686
12,000 Pacificare Health Systems Inc., Class B Shares+ ..... 820,500
686,800 Pfizer, Inc. ........................................ 38,031,550
18,500 Phycor Inc.+ ........................................ 544,594
7,800 Quintiles Transnational Corp.+ ...................... 608,400
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
HEALTH CARE -- 19.5% (CONTINUED)
17,000 Quorum Health Group Inc.+ ........................... $ 579,063
13,700 Rhone-Poulenc Rorer Inc.+ ........................... 1,319,481
8,500 R.P. Scherer Corp.+.................................. 478,656
248,600 Schering-Plough Corp. ............................... 11,932,800
8,400 Shared Medical Systems Corp. ........................ 411,600
7,800 Sofamor/Danek Group Inc.+ ........................... 373,913
25,200 St. Jude Medical Inc.+ .............................. 959,175
11,400 Steris Corp.+ ....................................... 427,500
25,200 Stryker Corp.# ...................................... 1,006,425
15,900 Sybron International Corp.+ ......................... 635,006
27,730 Tenet Healthcare Corp.+ ............................. 755,642
44,700 United Healthcare Corp............................... 2,173,538
8,800 Universal Health Services, Class B Shares+ .......... 385,550
8,900 U.S. Surgical Corp.+ ................................ 293,144
21,100 Vencor Inc.+ ........................................ 846,638
293,900 Warner-Lambert Co. .................................. 37,343,668
12,500 Watson Pharmaceutical+ .............................. 657,031
3,300 Wellpoint Health Networks Inc., Class A Shares+ ..... 179,437
- -------------------------------------------------------------------------------
358,865,210
- -------------------------------------------------------------------------------
METALS -- 0.3%
8,700 Battle Mountain Gold Co.............................. 49,481
22,400 Diamond Offshore Drilling Inc.# ..................... 1,223,600
60,200 Freeport McMoRan Copper & Gold Inc., Class B
Shares# ............................................ 1,685,600
2,700 Newmont Gold Co.# ................................... 116,775
53,123 Newmont Mining Corp.................................. 2,247,767
2,700 Southern Peru Cooper Corp............................ 49,275
- -------------------------------------------------------------------------------
5,372,498
- -------------------------------------------------------------------------------
PUBLISHING -- 0.5%
2,900 Central Newspapers, Class A Shares................... 197,381
24,300 Deluxe Corp.# ....................................... 800,381
2,300 Evergreen Media Corp., Class A Shares+ .............. 110,113
40,700 Gannett Inc. ........................................ 3,965,706
7,000 Harte-Hanks Communications........................... 213,063
1,900 Hollinger International Inc., Class A Shares# ....... 24,463
1,600 Knight Ridder Inc.................................... 81,000
8,700 Lee Enterprises Inc. ................................ 222,937
7,400 McGraw-Hill Cos., Inc................................ 453,712
7,300 New York Times Co., Class A Shares................... 344,925
8,500 Readers Digest Association, Non-Voting Class A
Shares.............................................. 251,281
26,000 Times Mirror Co., Class A Shares..................... 1,317,875
27,700 Tribune Co........................................... 1,369,419
- -------------------------------------------------------------------------------
9,352,256
- -------------------------------------------------------------------------------
RESTAURANTS -- 0.7%
8,000 Boston Chicken Inc.+# ............................... 98,500
17,900 Cracker Barrel Old Country Inc. ..................... 550,425
216,100 McDonalds Corp....................................... 10,224,230
15,400 Outback Steakhouse Inc.+ ............................ 371,525
8,900 Planet Hollywood International Inc., Class A
Shares+ ............................................ 174,663
19,300 Wendy's International Inc............................ 464,406
- -------------------------------------------------------------------------------
11,883,749
- -------------------------------------------------------------------------------
RETAIL -- 7.5%
30,600 Albertson's, Inc.# .................................. 1,051,875
51,300 AutoZone, Inc.+# .................................... 1,449,225
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
RETAIL -- 7.5% (CONTINUED)
36,300 Avery Dennison Corp.+ ................................ $ 1,490,569
42,400 Avon Products Inc.# .................................. 2,716,250
7,000 Barnes & Noble Inc.+ ................................. 325,063
15,300 Bed Bath & Beyond Inc.+ .............................. 474,300
24,300 Borders Group Inc.+ .................................. 578,644
10,300 Cintas Corp........................................... 718,425
33,500 Circuit City Stores, Inc.............................. 1,193,438
32,100 CompUSA Inc.+ ........................................ 993,094
29,600 Consolidated Stores Corp.+ ........................... 1,108,150
36,200 Corporate Express Inc.+ .............................. 617,663
348,600 Costco Cos., Inc.+ ................................... 12,571,387
190,738 CVS Corp. ............................................ 10,752,855
22,300 Dayton-Hudson Corp. .................................. 1,271,100
282,000 Dollar General Corp. ................................. 11,685,375
9,300 Dollar Tree Stores Inc.+# ............................ 361,536
18,600 Family Dollar Stores Inc.+ ........................... 395,250
9,300 Fastenal Corp.# ...................................... 535,912
20,200 Federated Department Stores Inc.+# ................... 848,400
70,300 Gap, Inc.............................................. 3,123,956
27,300 General Nutrition Co.+ ............................... 757,575
15,400 Harcourt General, Inc. ............................... 732,463
256,650 Home Depot, Inc....................................... 12,110,671
21,700 Ikon Office Solutions, Inc.# ......................... 564,200
14,500 Intimate Brands Inc., Class A Shares ................. 319,000
12,200 Jones Apparel Group Inc............................... 612,288
159,500 Kohl's Corp.+ ........................................ 10,995,531
71,500 Kroger Co.+ .......................................... 2,153,937
14,373 Limited, Inc.......................................... 326,986
45,100 Lowe's Cos., Inc. .................................... 1,558,769
5,200 MSC Industries Direct Co., Inc., Class A Shares+ ..... 211,250
6,900 Neiman-Marcus Group Inc., Class A Shares+ ............ 213,038
1,300 Nordstrom Inc......................................... 76,050
31,800 Office Depot Inc.+ ................................... 586,313
20,400 Officemax Inc.+ ...................................... 302,175
36 Payless Shoesource Inc.+ ............................. 2,309
12,400 Pep Boys Manny, Moe & Jack............................ 328,600
154,000 Polo Ralph Lauren Corp., Class A Shares+ ............. 4,042,500
26,100 Rite Aid Corp. ....................................... 1,306,631
16,900 Ross Stores Inc....................................... 496,438
286,773 Safeway, Inc.+# ...................................... 14,607,474
19,000 Saks Holdings Inc.+ .................................. 441,750
79,600 Sear's Roebuck & Co................................... 4,517,300
19,800 Southland Corp.+ ..................................... 56,306
55,300 Staples Inc.+ ........................................ 1,299,550
10,600 Tiffany & Co. ........................................ 479,650
61,400 TJX Cos. Inc.......................................... 1,688,500
28,500 Viking Office Products Inc.+ ......................... 602,063
298,000 Walgreen Co........................................... 8,027,375
385,400 Wal-Mart Stores Inc.# ................................ 13,681,700
3,900 Winn-Dixie Stores..................................... 131,381
20,100 Woolworth Corp.+ ..................................... 449,737
- --------------------------------------------------------------------------------
137,941,977
- --------------------------------------------------------------------------------
TECHNOLOGY -- 13.6%
25,300 Advanced Micro Devices, Inc.+# ....................... 947,169
18,300 AMP, Inc. ............................................ 915,000
30,937 Andrew Corp.+ ........................................ 769,558
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY -- 13.6% (CONTINUED)
61,500 Applied Materials, Inc.+ ............................. $ 5,804,063
12,500 Cambridge Technology Partners Inc.+ .................. 403,125
227,400 Cisco Systems, Inc.+ ................................. 17,140,275
55,800 Cognizant Corp. ...................................... 2,343,600
16,100 Coltec Industries Inc.+ .............................. 360,238
7,466 Commscope Inc.+ ...................................... 128,789
467,650 Compaq Computer Corp.+ ............................... 30,631,075
94,275 Computer Associates International Inc. ............... 6,304,641
24,400 Computer Sciences Corp.+ ............................. 1,814,750
24,600 Compuware Corp.+ ..................................... 1,519,050
16,400 Cooper Cameron Corp.+ ................................ 1,063,950
139,150 CUC International, Inc.+# ............................ 3,270,025
110,100 Danka Business Systems PLC ADR# ...................... 5,147,175
103,000 Dell Computer Corp.+# ................................ 8,452,438
17,500 Electronics For Imaging Inc.+ ........................ 936,250
17,800 Fiserv Inc.+ ......................................... 801,000
3,800 Foster Wheeler Corp. ................................. 173,613
14,900 Gartner Group Inc., Class A Shares+ .................. 393,919
45,100 LSI Logic Corp.+# .................................... 1,451,626
55,900 Micron Technology Inc.# .............................. 2,491,044
543,100 Microsoft Corp.+ ..................................... 71,791,030
14,800 Millipore Corp. ...................................... 732,600
32,800 Nextlevel Systems Inc.+ .............................. 658,050
18,300 Novell, Inc.+ ........................................ 171,563
257,100 Oracle Systems Corp.+# ............................... 9,801,938
21,800 Pairgain Technologies, Inc.+ ......................... 561,350
15,200 Perkin-Elmer Corp.# .................................. 1,124,800
311,000 Schlumberger Ltd...................................... 23,694,313
20,000 SCI Systems, Inc.+# .................................. 786,250
20,000 Scientific-Atlanta, Inc............................... 435,000
86,800 Seagate Technology Inc.+ ............................. 3,314,675
9,700 Security Dynamics Technologies Inc.+ ................. 381,331
31,600 Silicon Graphics Co.+ ................................ 867,025
13,700 Sunstrand Corp........................................ 808,300
24,000 Sybase Inc.+ ......................................... 447,000
10,650 Symbol Technologies Inc............................... 394,050
10,700 Tech Data Corp.+ ..................................... 416,631
5,400 Teletech Holdings Inc.+ .............................. 88,425
297,300 Texas Instruments, Inc................................ 33,780,713
4,600 Thermo Instruments Systems Inc.+ ..................... 183,712
75,800 United Technologies Corp. ............................ 5,917,138
- --------------------------------------------------------------------------------
249,618,267
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 7.8%
203,800 ADC Telecommunications, Inc.+# ....................... 7,566,075
11,100 Advanced Fibre Communications Designs Inc.+ .......... 690,975
11,500 AH Belo Corp.# ....................................... 493,063
170,900 AirTouch Communications, Inc., Series A+# ............ 5,778,556
38,700 America Online Inc.+ ................................. 2,496,150
54,970 Ascend Communications Inc.+# ......................... 2,332,789
38,400 Cabletron Systems Inc.+# ............................. 1,161,600
33,300 Ciena Corp.+ ......................................... 1,590,075
46,800 Cincinnati Bell Inc. ................................. 1,260,675
19,000 Clear Channel Communications, Inc.+ .................. 1,290,813
27,900 DSC Communications Corp.+ ............................ 812,588
11,600 Excel Communications Inc.+# .......................... 253,750
49,900 GTE Corp. ............................................ 2,223,669
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS -- 7.8% (CONTINUED)
43,900 K-III Communications Corp.+ .......................... $ 535,031
29,300 LCI International, Inc.+ ............................. 703,200
452,400 LM Ericsson Tel, Class B Shares, ADR.................. 18,859,425
500,511 Lucent Technologies, Inc.+# .......................... 38,977,294
3,000 MEMC Electronic Materials Inc.+ ...................... 87,000
337,600 Motorola, Inc. ....................................... 24,771,400
17,642 Netscape Communications Corp.+# ...................... 702,412
8,700 Panamsat Corp.+ ...................................... 316,463
19,900 Qualcomm Inc.+# ...................................... 920,375
48,700 SBC Communications, Inc. ............................. 2,648,063
1,000 Southern New England Telecommunications Corp. ........ 38,250
10 TCI Satellite Entertainment, Class A Shares+ ......... 69
112,300 Tele-Communications, Inc., Class A Shares+ ........... 1,965,241
3,500 Teleflex Inc.......................................... 110,906
9,000 Telephone Data Systems Inc. .......................... 355,500
8,400 Teleport Communications Group, Class A Shares+ ....... 305,550
214,800 Tellabs, Inc.# ....................................... 12,820,875
41,700 360 Communications Co.+ .............................. 766,237
18,300 Tidewater Inc. ....................................... 960,750
2,800 United States Cellular Corp.+ ........................ 84,350
6,600 Valassis Communications Inc.+ ........................ 200,475
7,800 Weatherford Enterra Inc.+ ............................ 359,288
284,800 WorldCom, Inc.+# ..................................... 8,526,200
- --------------------------------------------------------------------------------
142,965,132
- --------------------------------------------------------------------------------
TRANSPORTATION -- 0.3%
900 CNF Transportation Inc. .............................. 32,513
11,900 Comair Holdings Inc. ................................. 319,812
26,700 Gulfstream Aerospace Corp.+ .......................... 790,988
25,700 Harley Davidson Inc. ................................. 1,391,013
5,500 Illinois Central Corp. ............................... 184,594
4,900 Kansas City Southern Industries, Inc. ................ 366,887
11,500 Northwest Airlines Corp., Class A Shares+# ........... 420,469
10,100 Pittston Brinks Group................................. 358,550
59,581 Union Pacific Resources Group, Inc. .................. 1,489,531
- --------------------------------------------------------------------------------
5,354,357
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $1,252,723,692).......... 1,792,364,377
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY BILL -- 0.1%
$ 1,610,000 U.S. Treasury Bill, 4.990% due 9/18/97 (Cost --
$1,606,193).................................... $ 1,606,193
- -------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $1,254,329,885)... 1,793,970,570
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.3%
41,661,000 Goldman, Sachs & Co., 5.498% due 9/2/97; Proceeds
at maturity -- $41,686,451;
(Fully collateralized by U.S. Treasury Notes,
6.250% due 2/28/02; Market value -- $42,525,466)
(Cost -- $41,661,000)............................ 41,661,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,295,990,885*)............................... $1,835,631,570
- -------------------------------------------------------------------------------
</TABLE>
# A portion of the security is on loan.
+ Non-income producing security.
* Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Health Care 19.5%
Technology 13.6%
Consumer Products 13.2%
Other Common Stocks 11.6%
Financial Services 10.3%
Telecommunications 7.8%
Retail 7.5%
Capital Goods 7.1%
Computer Services 7.0%
Repurchase Agreement 2.3%
U.S. Treasury Bill 0.1%
SEE NOTES TO FINANCIAL STATEMENTS.
41
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 96.9%
- --------------------------------------------------------------------------------
BANKING -- 7.9%
6,280 Anchor Bancorp Wisconsin Inc. ........................... $ 164,850
100,000 Andover Bancorp Inc. .................................... 3,050,000
4,024 Area Bancshares Corp. ................................... 86,516
15,462 Associated Banc Corp. ................................... 649,404
1,839 Bancfirst Corp. ......................................... 54,710
13,866 Bancorp South, Inc. ..................................... 440,246
9,786 Bank Plus Corp. ......................................... 106,423
20,108 Bank United Corp., Class A Shares........................ 726,402
152,924 Bankatlantic Bancorp Inc., Class A Shares................ 1,988,012
81,698 Bankatlantic Bancorp Inc., Class B Shares................ 1,021,225
8,353 Bankers Corp. ........................................... 235,972
46,189 Banknorth Group Inc. .................................... 2,309,450
3,785 Brenton Banks Inc. ...................................... 117,335
3,403 BSB Bancorp.............................................. 132,717
4,065 BT Financial Corp. ...................................... 159,532
4,933 Capital Bancorp.......................................... 204,720
710 Capital City Bank Group Inc. ............................ 25,028
3,800 CBT Corp. ............................................... 82,650
8,460 CFX Corp.++.............................................. 171,315
61,172 Citfed Bancorp Inc. ..................................... 2,691,568
1,565 Citizens Bancshares Inc., Ohio........................... 80,598
8,359 Citizens Banking Corp., Michigan......................... 330,181
4,182 Citizens Corp. .......................................... 118,142
11,905 CNB Bancshares Inc. ..................................... 488,101
13,000 Coast Savings Financial Inc. ............................ 598,813
21,254 Colonial Bancgroup Inc. ................................. 559,246
2,864 Commerce Bancorp Inc., New Jersey........................ 105,968
104,844 Commercial Federal Corp. ................................ 4,410,001
11,794 Commonwealth Bancorp..................................... 203,447
4,809 Community Bank System Inc. .............................. 134,953
11,050 Community First Bankshares Inc. ......................... 450,288
6,646 Community Trust Bancorp.................................. 169,473
6,585 Corus Bancorp............................................ 233,767
16,300 Cullen Frost Bankers Inc. ............................... 725,350
1,201 CVB Financial Corp. ..................................... 27,623
9,534 Dime Community Bancorp................................... 187,105
4,749 F & M Bancorp Inc., Wisconsin............................ 168,590
7,005 First Citizens Bancshares Inc. .......................... 626,947
13,903 First Colorado Bancorp................................... 264,157
7,053 First Commerce Bancshares Inc. .......................... 144,586
5,318 First Federal Capital Corp. ............................. 130,291
10,174 First Financial Bancorp.................................. 462,917
5,656 First Financial Bankshares, Inc. ........................ 224,826
17,671 First Michigan Bank Corp. ............................... 658,245
9,924 First Midwest Bancorp Inc. .............................. 347,340
5,961 First Republic Bancorp................................... 140,829
4,544 First Savings Bank, SLA, New Jersey...................... 135,752
7,432 First Savings Bank of Washington......................... 183,942
2,371 First United Bancshares of Arkansas...................... 104,917
7,589 First Western Bancorp Inc. .............................. 185,918
6,896 Firstbank of Illinois Co. ............................... 298,252
117,412 Firstbank Puerto Rico San Juan........................... 3,309,551
4,100 FirstFed Financial Corp.+................................ 138,375
2,534 Flagstar Bancorp Inc. ................................... 49,730
4,393 GBC Bancorp.............................................. 205,922
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
42
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SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKING -- 7.9% (CONTINUED)
8,120 Greater New York Savings Bank............................ $ 186,252
3,073 Guaranty National Corp. ................................. 86,620
3,759 Hamilton Bancorp Inc. ................................... 94,915
3,156 Harbor Florida Bancorp................................... 175,158
1,848 Harris Savings Bank...................................... 70,224
6,900 IBS Financial Corp. ..................................... 118,162
14,784 Imperial Bancorp++....................................... 483,252
5,327 Interwest Bancorp Inc. .................................. 210,416
6,564 Klamath First Bancorp Inc. .............................. 128,819
6,749 Life Bancorp Inc. ....................................... 163,663
17,600 Long Island Bancorp Inc. ................................ 701,800
10,906 MAF Bancorp Inc. ........................................ 335,359
3,764 Magna Bancorp Inc. ...................................... 95,511
6,182 Mainstreet Bankgroup Inc. ............................... 171,550
2,392 Merchants New York Bancorp............................... 118,404
7,703 ML Bancorp Inc. ......................................... 157,911
508 Mississippi Valley Bancshares, Inc. ..................... 24,765
12,633 National Bancorp of Alaska Inc. ......................... 1,111,704
5,933 National Penn Bancshares................................. 157,966
5,294 NBT Bancorp Inc. ........................................ 128,379
5,349 Ocean Financial Corp. ................................... 179,860
14,659 Old National Bancorp..................................... 641,331
9,387 ONBANCorp Inc. .......................................... 488,124
15,758 One Valley Bancorp Inc. ................................. 676,609
2,715 Oriental Financial Group................................. 91,631
11,769 PFF Bancorp Inc. ........................................ 226,553
6,749 Provident Bankshares Corp. .............................. 303,705
6,992 Queens County Bancorp Inc. .............................. 376,694
10,288 RCSB Financial, Inc. .................................... 502,826
5,792 Reliance Bancorp Inc. ................................... 178,466
12,445 Republic Bancorp Inc. ................................... 192,897
14,988 Riggs National Corp. .................................... 314,748
26,732 Roslyn Bancorp Inc.++.................................... 608,153
6,153 S&T Bancorp, Inc. ....................................... 223,046
3,777 Santa Barbara Bancorp.................................... 157,217
3,364 St. Francis Capital Corp. ............................... 114,796
24,897 St. Paul Bancorp Inc. ................................... 575,743
4,966 Southwest Bancorp of Texas............................... 129,737
260,985 Sovereign Bancorp Inc.++................................. 4,045,267
1,753 Sumitomo Bank of California.............................. 67,929
15,600 Susquehanna Bancshares Inc. ............................. 429,000
8,748 Texas Regional Bancshares, Inc. ......................... 223,074
5,659 Triangle Bancorp......................................... 131,572
5,246 Trustco Bank Corp. of New York........................... 135,085
9,979 United Bankshares Inc. .................................. 459,034
3,974 US Bancorp Inc. of Pennsylvania.......................... 243,904
3,073 Vermont Financial Services Corp. ........................ 152,882
8,455 Webster Financial Corp. ................................. 447,058
10,191 WesBanco, Inc. .......................................... 289,169
1,931 West Coast Bancorp of Oregon............................. 50,689
9,093 Westamerica Bancorp...................................... 745,626
- --------------------------------------------------------------------------------
49,145,473
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 15.4%
26,615 A. Schulman, Inc. ....................................... 582,203
6,250 ABT Building Products Corp. ............................. 107,813
7,454 Acme Metals Inc.+........................................ 103,890
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 15.4% (CONTINUED)
600 AFC Cable Systems Inc. .................................. $ 18,000
1,295 Aftermarket Technology Corp. ............................ 29,461
15,894 AK Steel Holding Corp. .................................. 719,204
14,918 Albemarle Corp. ......................................... 366,423
90,000 Allied Products Corp. ................................... 3,178,125
1,386 Altron Inc. ............................................. 28,067
106,846 A.M. Castle & Co. ....................................... 2,751,285
18,846 Amax Gold Inc. .......................................... 124,855
7,036 Amcast Industrial Corp. ................................. 170,623
11,203 AMCOL International Corp. ............................... 190,451
65,300 Armco Inc. .............................................. 387,719
21,417 Ball Corp. .............................................. 704,084
115,782 Barnes Group Inc. ....................................... 3,191,241
4,398 Belden Inc. ............................................. 170,423
20,838 Birmingham Steel Corp. .................................. 390,713
10,321 Brush Wellman Inc. ...................................... 258,025
79,003 Butler Manufacturing Co. ................................ 2,844,108
22,926 Calgon Carbon Corp. ..................................... 315,233
12,902 Calmat Co. .............................................. 277,393
7,621 Cambrex Corp. ........................................... 371,047
101,705 Caraustar Industries Inc. ............................... 3,655,023
927 The Carbide/Graphite Group, Inc. ........................ 30,707
12,570 Carpenter Technology Corp. .............................. 563,293
2,100 Chaparral Steel Co. ..................................... 31,763
11,325 ChemFirst, Inc. ......................................... 284,541
14,962 Chesapeake Corp. ........................................ 514,319
25,562 Cincinnati Milacron Inc. ................................ 658,222
4,311 Citation Corp. .......................................... 75,443
7,654 Clarcor Inc. ............................................ 200,439
83,156 Cleveland Cliffs Inc. ................................... 3,466,566
14,379 Coeur d'Alene Mines Corp. ............................... 204,901
40,710 Collins & Aikman Corp.+.................................. 450,354
7,214 Columbus McKinnon Corp. ................................. 146,985
110,738 Commercial Metals Co. ................................... 3,405,194
87,068 Commonwealth Industries Inc. ............................ 1,665,176
15,979 Cone Mills Corp.+........................................ 125,835
4,485 Copart Inc. ............................................. 82,973
4,855 CSS Industries Inc.+..................................... 174,173
8,200 Dames & Moore Group...................................... 107,625
15,900 Dexter Corp. ............................................ 604,200
100,000 Ennis Business Forms, Inc. .............................. 1,087,500
350,000 Ethyl Corp. ............................................. 3,150,000
3,185 Fab Industries Inc. ..................................... 97,342
9,036 Fairchild Corp., Class A Shares.......................... 190,321
119,528 Fleetwood Enterprises.................................... 3,720,309
5,231 Florida Rock Industries Inc. ............................ 258,281
9,117 Foamex International Inc.+............................... 102,566
8,500 Freeport McMoRan Inc. ................................... 291,125
28,596 Furniture Brands International, Inc. .................... 504,004
1,172 General Binding Corp. ................................... 36,332
7,929 General Chemical Group Inc. ............................. 235,392
15,863 The Geon Co. ............................................ 315,277
10,630 Georgia Gulf Corp. ...................................... 305,612
6,000 Giant Cement Holding Inc. ............................... 137,250
2,060 Gibraltar Steel Corp. ................................... 55,105
17,163 Gleason Corp. ........................................... 937,529
3,757 Graco Inc. .............................................. 118,815
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 15.4% (CONTINUED)
10,558 Greif Brothers Corp., Class A Shares..................... $ 316,740
143,491 Guilford Mills Inc. ..................................... 3,120,929
7,900 Handy & Harman........................................... 166,394
9,954 HB Fuller Co. ........................................... 549,336
37,644 Hecla Mining Co.+........................................ 204,689
4,141 Holophane Corp. ......................................... 96,278
4,847 Houston Exploration Co. ................................. 91,184
2,617 Input/Output Inc. ....................................... 54,957
196,461 Intermet Corp. .......................................... 3,401,231
11,597 Interpool Inc. .......................................... 184,110
13,255 J & L Specialty Steel Inc. .............................. 165,688
14,158 Kaiser Aluminum Corp.+................................... 199,097
6,028 LeaRonal Inc. ........................................... 131,862
7,676 Lilly Industries Inc., Class A Shares.................... 169,831
863 Littlefuse Inc. ......................................... 26,969
7,639 Lone Star Industries Inc.++.............................. 405,822
11,643 Lukens Inc. ............................................. 217,578
28,073 M.A. Hanna & Co. ........................................ 726,389
10,249 Material Sciences Corp. ................................. 163,984
4,234 Maxxam Inc. ............................................. 232,870
11,848 McClatchy Newspapers Inc., Class A Shares................ 356,921
2,713 Mine Safety Appliances Co. .............................. 170,919
119,272 Mississippi Chemical Corp. .............................. 2,586,711
15,346 Mohawk Industries Inc.+.................................. 397,078
4,649 Moog Inc., Class A Shares................................ 169,107
135,000 Mosinee Paper Corp. ..................................... 4,016,250
13,929 Mueller Industries Inc.+................................. 610,264
10,481 NAC Re Corp. ............................................ 493,917
44,809 NACCO Industries Inc., Class A Shares.................... 3,864,776
14,065 National Steel Corp., Class B Shares..................... 264,598
2,740 NCH Corp. ............................................... 186,320
691 NCI Building Systems, Inc. .............................. 24,876
5,488 Nichols Research Corp. .................................. 139,944
12,302 NL Industries Inc. ...................................... 163,001
6,481 Nortek Inc. ............................................. 162,835
7,495 OM Group Inc. ........................................... 274,504
14,940 Oregon Steel Mills Inc. ................................. 402,446
5,982 Osmonics Inc. ........................................... 101,694
13,600 Polymer Group, Inc. ..................................... 188,700
10,947 Pope & Talbot Inc. ...................................... 229,887
2,746 Puerto Rican Cement Co. Inc. ............................ 96,625
93,676 Quanex Corp. ............................................ 3,401,610
6,177 Reliance Steel & Aluminum Co. ........................... 193,803
24,605 Rock-Tenn Co., Class A Shares............................ 522,856
6,282 Rogue Steel Co., Class A Shares.......................... 96,586
3,075 Ryerson Tull Inc., Class A Shares........................ 50,161
4,956 Sanderson Farms Inc. .................................... 74,340
7,920 Scotsman Industries Inc. ................................ 218,295
5,201 Shaw Group Inc. ......................................... 112,472
4,351 Shiloh Industries Inc.+.................................. 80,494
7,085 Stepan Chemical Co. ..................................... 166,940
3,481 Synthetic Industries Inc. ............................... 84,849
5,050 Tennant Co. ............................................. 173,594
28,715 Terra Industries Inc. ................................... 384,063
126,797 Texas Industries Inc. ................................... 4,223,925
1,409 Thermoquest Corp. ....................................... 23,601
45,000 Thiokol Corp. ........................................... 3,583,125
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 15.4% (CONTINUED)
11,781 TJ International Inc. ................................... $ 297,470
7,421 Trimas Corp. ............................................ 212,426
217,956 Universal Forest Products Inc. .......................... 3,705,252
159,527 Wellman, Inc. ........................................... 3,629,239
180,833 Westinghouse Air Brake Co. .............................. 3,481,035
8,617 Wolverine Tube Inc.+..................................... 276,821
- --------------------------------------------------------------------------------
95,791,146
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 6.6%
9,332 AAR Corp. ............................................... 313,205
13,717 Albany International Corp., Class A Shares............... 371,216
12,334 American Mobile Satellite Corp. ......................... 95,589
1,919 American Residential Services, Inc. ..................... 43,178
2,634 Ameron International Corp. .............................. 153,924
10,049 Ametek Inc. ............................................. 231,127
9,376 A.O. Smith Corp. ........................................ 330,504
6,436 Applied Industrial Technologies, Inc. ................... 264,681
2,387 Applied Power Inc. ...................................... 151,575
11,746 Aptargroup Inc. ......................................... 660,713
14,353 Arctic Cat Inc. ......................................... 156,089
14,196 Argonaut Group Inc. ..................................... 461,370
14,901 Arvin Industries Inc. ................................... 518,741
7,279 Avondale Industries Inc.+................................ 166,507
8,732 Baldor Electric Co. ..................................... 266,326
10,036 Bassett Furniture Industries Inc. ....................... 275,990
8,490 Benchmark Electronics Inc. .............................. 210,658
512 Blount International, Inc. .............................. 24,032
3,900 BRC Holdings Inc. ....................................... 147,713
9,007 Breed Technologies Inc. ................................. 191,399
3,446 Centex Construction Products Inc. ....................... 98,642
12,605 Century Aluminum Co. .................................... 207,983
170 Christiana Cos., Inc. ................................... 6,566
9,421 Commercial Intertech Corp. .............................. 157,802
135,000 Continental Homes Holding Corp. ......................... 3,105,000
4,759 Cubic Corp. ............................................. 165,970
4,055 Culligan Water Technologies, Inc. ....................... 187,037
1,550 Curtiss Wright Corp. .................................... 113,150
9,632 Daniel Industries........................................ 179,396
12,773 D.R. Horton, Inc. ....................................... 201,175
5,053 Elcor Corp. ............................................. 156,327
6,094 Excel Industries Inc. ................................... 155,397
272,525 Fedders Corp. ........................................... 1,703,281
14,158 Fisher Scientific Inc. .................................. 697,281
7,908 Granite Construction Inc. ............................... 166,068
50,000 Hardinge Inc. ........................................... 1,718,750
69,268 Harman International Industries Inc. .................... 3,099,743
8,250 Hughes Supply Inc. ...................................... 211,406
5,409 Idex Corp. .............................................. 175,116
3,159 Ionics Inc.+............................................. 135,047
12,641 Jacobs Engineering Group Inc. ........................... 404,512
3,626 JLG Industries Inc. ..................................... 42,379
14,405 Juno Lighting Inc. ...................................... 239,483
13,600 Justin Industries Inc. .................................. 198,900
145,240 Kaman Corp., Class A Shares.............................. 2,432,770
28,168 Kaufman & Broad Home Corp. .............................. 563,360
18,970 Kennametal Inc. ......................................... 888,033
5,687 L.S. Starrett Co., Class A Shares........................ 199,045
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 6.6% (CONTINUED)
4,778 Lawson Products Inc. .................................... $ 129,006
18,707 Lennar Corp. ............................................ 699,174
17,611 Lincoln Electric Co., Class A Shares..................... 686,829
2,921 Lindsay Manufacturing Co. ............................... 113,919
3,923 Lydall Inc. ............................................. 93,171
4,519 Manitowoc Co. Inc. ...................................... 163,249
7,091 MascoTech Inc. .......................................... 148,468
1,868 Matthews International Corp., Class A Shares............. 72,385
1,215 Mestek Inc. ............................................. 23,085
1,738 Methode Electronics Inc. ................................ 41,278
6,609 Mikasa Inc. ............................................. 78,482
9,840 Modine Manufacturing Co. ................................ 301,350
8,681 Morrison Knudsen Corp. .................................. 103,629
1,717 Morrison Knudsen Corp. Warrants, Expire 3/11/03.......... 8,800
3,505 National Presto Industries Inc. ......................... 139,324
3,677 Nordson Corp. ........................................... 212,347
17,810 NTL Inc. ................................................ 394,046
7,800 NVR Inc.+................................................ 166,725
2,138 Oakwood Homes Corp.++.................................... 57,993
6,856 OHM Corp. ............................................... 56,991
8,946 Oregon Metallurgical Corp. .............................. 196,812
851 O'Reilly Automotive, Inc. ............................... 37,550
6,849 Pacific Greystone Corp. ................................. 119,001
300 Rental Service Corp. .................................... 7,088
9,918 Rexel Inc.+.............................................. 206,418
2,258 Robbins & Myers Inc. .................................... 73,667
15,821 Rohr Industries Inc.+.................................... 428,156
2,336 Sheldahl Inc. ........................................... 54,896
3,021 Specialty Equipment Cos. Inc.+........................... 44,937
2,957 SPS Technologies Inc.+................................... 253,932
2,351 SPX Corp. ............................................... 136,652
23,033 Standard Pacific Corp. .................................. 251,923
21,901 Stewart & Stevenson Services, Inc. ...................... 533,837
4,934 Stone & Webster Inc. .................................... 233,748
60,000 Tecumseh Products Co. ................................... 3,390,000
3,677 Terex Corp. ............................................. 79,515
4,943 Thermadyne Holdings Corp. ............................... 153,233
601 Thermo Terratech Inc. ................................... 6,348
14,479 Titan International Inc. ................................ 264,242
15,983 Toll Brothers Inc.+...................................... 343,635
2,283 Tractor Supply Co. ...................................... 41,094
3,508 Tremont Corp. ........................................... 186,801
12,400 UNC Inc. ................................................ 184,450
8,500 US Home Corp.+........................................... 300,156
2,511 Valhi Inc. .............................................. 21,971
100,000 Varlen Corp. ............................................ 3,256,250
5,342 Wabash National Corp. ................................... 156,921
119,561 Zurn Industries Inc. .................................... 3,549,467
- --------------------------------------------------------------------------------
40,847,107
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 5.1%
5,083 Alamo Group Inc. ........................................ 111,826
4,877 Alltrista Corp. ......................................... 123,144
6,459 AT Cross Co., Class A Shares............................. 58,938
5,684 BT Office Products International, Inc. .................. 49,380
2,506 Bush Industries Inc., Class A Shares..................... 63,277
9,973 Coachmen Industries Inc. ................................ 184,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 5.1% (CONTINUED)
1,285 Coleman Co. Inc. ........................................ $ 20,319
1,752 Cort Business Services Corp. ............................ 67,124
5,119 Culp Inc. ............................................... 108,139
5,479 Detroit Diesel Corp. .................................... 118,826
24,333 Diamond Multimedia Systems, Inc.++....................... 276,788
5,382 Discount Auto Parts Inc. ................................ 109,995
7,435 Donaldson Inc. .......................................... 331,787
4,518 Ethan Allen Interiors Inc. .............................. 332,073
11,682 Exide Corp.++............................................ 243,862
15,260 Federal Mogul Corp. ..................................... 545,545
23,558 Flowserve Corp. ......................................... 830,419
110,706 GenCorp Inc. ............................................ 2,961,386
10,357 Greenfield Industries, Inc. ............................. 273,166
917 Hays Wheels International Inc. .......................... 29,802
14,845 Interface Inc., Class A Shares........................... 415,660
10,065 Jostens Inc. ............................................ 242,818
3,745 K2 Inc. ................................................. 116,095
92,357 LaZBoy Chair Co. ........................................ 3,267,129
36,642 Longview Fiber Co. ...................................... 767,192
11,405 Myers Industries Inc. ................................... 181,051
2,785 Oak Industries Inc. ..................................... 80,591
7,384 Oneida Ltd. ............................................. 233,980
7,200 Oshkosh B'Gosh Inc., Class A Shares...................... 182,700
9,576 O'Sullivan Industries Holdings, Inc. .................... 126,283
15,659 Outboard Marine Corp. ................................... 279,905
16,681 P.H. Gladfelter Co. ..................................... 345,088
18,354 Pioneer Standard Electronics Inc. ....................... 275,310
12,287 Pulte Corp. ............................................. 450,011
115,000 Rival Co. ............................................... 2,113,125
713 Rockshox Inc. ........................................... 9,358
8,296 Russ Berrie & Co. Inc. .................................. 237,473
13,049 Ryland Group Inc. ....................................... 217,755
5,598 Sequa Corp., Class A Shares+............................. 286,897
13,693 Simpson Industries Inc. ................................. 152,335
7,010 Skyline Corp. ........................................... 202,852
95,166 Southdown Inc. .......................................... 4,466,854
8,576 Springs Industries Inc. ................................. 403,072
5,689 Standard Motor Products Inc. ............................ 102,758
11,959 Standard Products Co. ................................... 316,914
781 Standex International Corp. ............................. 24,650
87,709 Stanhome Inc. ........................................... 2,850,542
170,000 Sturm Ruger & Co. Inc. .................................. 3,336,250
9,195 Superior Industries International, Inc. ................. 250,564
15,413 TBC Corp.+............................................... 127,157
8,340 Thomas Industries Inc. .................................. 247,072
43,709 Thor Industries Inc. .................................... 1,185,607
549 Tower Automotive Inc. ................................... 24,636
7,436 Triangle Pacific Corp. .................................. 234,234
616 Tuesday Morning Corp. ................................... 13,552
1,443 Ugly Duckling Corp.++.................................... 20,022
5,853 United Auto Group Inc. .................................. 142,301
7,957 VWR Scientific Products Corp. ........................... 151,183
13,826 Watts Industries Inc., Class A Shares.................... 337,009
8,762 Winnebago Industries Inc. ............................... 73,382
4,555 Wynns International Inc. ................................ 131,526
- --------------------------------------------------------------------------------
31,463,189
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 5.9%
8,070 Acceptance Insurance Cos. Inc.+.......................... $ 179,558
11,262 Acclaim Entertainment Inc. .............................. 45,048
5,676 Alberto Culver Co., Class B Shares....................... 165,668
3,113 American Safety Razor Co. ............................... 57,980
2,967 Authentic Fitness Corp. ................................. 46,545
24,030 Best Buy Co., Inc. ...................................... 408,510
29,557 Bob Evans Farms, Inc. ................................... 524,637
172,800 Brown Group Inc. ........................................ 2,883,600
1,006 Buckle Inc. ............................................. 23,390
32,063 Buffets Inc. ............................................ 350,689
11,900 Burlington Coat Factory Wholesale Corp. ................. 273,700
43,916 Burlington Industries Inc.+.............................. 529,737
3,859 Bush Boake Allen Inc. ................................... 120,111
11,100 Canandaigua Wine Co., Class A Shares..................... 452,325
16,400 Carter Wallace Inc. ..................................... 261,375
9,595 Church & Dwight Co. Inc. ................................ 274,657
7,776 CN Galey & Lord Inc. .................................... 138,510
1,506 Coca Cola Bottling Co. .................................. 78,688
3,064 Converse Inc.++.......................................... 37,725
26,365 Coors Adolph Co., Class B Shares......................... 972,209
13,446 Department 56 Inc. ...................................... 367,244
21,348 Designer Holdings Ltd. .................................. 133,425
110,000 Dimon Inc. .............................................. 2,640,000
8,134 Donna Karan International, Inc.++........................ 106,759
2,475 Dynamics Corp. of America................................ 175,570
7,044 Earthgrains Co. ......................................... 288,804
3,219 Electro Rent Corp. ...................................... 86,913
535 Farmer Brothers Co. ..................................... 79,180
22,059 Felcor Suite Hotels Inc. ................................ 838,242
4,559 Filenet Corp. ........................................... 81,777
21,322 First Brands Corp. ...................................... 531,717
26,734 Fleming Cos. Inc. ....................................... 504,604
1,989 Florida East Coast Industries, Inc. ..................... 223,265
21,629 Footstar Inc. ........................................... 536,670
1,397 Fossil Inc. ............................................. 24,448
4,105 Friedman's Inc., Class A Shares.......................... 68,246
40,000 Garan Inc. .............................................. 855,000
2,218 General Cigar Holdings Inc. ............................. 47,964
1,991 Golden Poultry Co. Inc. ................................. 27,874
537 Goody's Family Clothing Inc. ............................ 18,325
20,205 Griffon Corp.+........................................... 282,870
1,914 Guess?, Inc. ............................................ 16,867
23,715 Handelman Co. ........................................... 140,808
17,100 Hartmarx Corp.+.......................................... 132,525
39,126 Helig Meyers............................................. 586,890
2,608 Houghton Mifflin Co. .................................... 90,465
16,636 Hudson Foods Inc. ....................................... 270,335
4,789 Ingles Markets Inc., Class A Shares...................... 64,053
12,300 International Multifoods Corp. .......................... 330,562
16,910 J.M. Smucker Co. ........................................ 447,058
13,000 Journal Register Co. .................................... 227,500
14,893 Kellwood Co. ............................................ 538,010
13,323 Kimball International Inc., Class B Shares............... 599,535
3,500 Knoll Inc. .............................................. 108,719
3,510 Lands' End, Inc. ........................................ 92,357
11,137 Lewis Galoob Toys Inc. .................................. 231,093
638 Liqui-Box Corp. ......................................... 22,649
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
49
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
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<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 5.9% (CONTINUED)
94,000 Merrill Corp. ........................................... $ 3,807,000
10,485 Michael Foods Inc. ...................................... 226,738
1,095 The North Face Inc. ..................................... 24,295
4,131 Oxford Industries Inc. .................................. 138,647
1,628 Performance Food Group Co. .............................. 34,188
18,659 Phillips Van Heusen Corp. ............................... 268,223
3,627 Pilgrims Pride Corp. .................................... 42,617
77,820 Pillowtex Corp. ......................................... 1,853,089
731 Quiksilver Inc. ......................................... 24,900
2,282 Riviana Foods, Inc. ..................................... 40,505
1,162 Robert Mondavi Corp., Class A Shares..................... 52,871
17,475 Savannah Foods & Industries Inc. ........................ 305,813
9,110 Scholastic Corp. ........................................ 312,018
1,359 Schweitzer Mauduit International Inc. ................... 54,360
333 Seaboard Corp. .......................................... 97,735
4,700 Sovran Self Storage Inc. ................................ 142,762
8,738 Spiegel Inc. ............................................ 55,705
12,454 Sunglass Hut International Inc. ......................... 90,291
27,691 The Topps Co. ........................................... 93,457
89,319 Toro Co. ................................................ 3,315,968
9,786 Toy Biz Inc. ............................................ 86,851
10,089 Tracor Inc. ............................................. 303,931
18,694 Tultex Corp. ............................................ 107,491
334 Tyco International Ltd. ................................. 26,173
2,143 Unitog Co. .............................................. 55,316
100,000 Universal Corp. of Virginia.............................. 3,637,500
18,050 Universal Foods Corp. ................................... 700,566
7,225 US Can Corp. ............................................ 117,406
4,496 US Rentals Inc. ......................................... 121,954
4,200 Walbro Corp.++........................................... 90,300
18,698 Wausau Paper Mills Co. .................................. 409,019
15,068 Windmere Durable Holdings Inc. .......................... 286,292
7,164 WMS Industries Inc. ..................................... 176,861
- --------------------------------------------------------------------------------
36,743,827
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 7.7%
9,155 Aaron Rents Inc., Class A Shares......................... 155,635
10,168 ABM Industries Inc. ..................................... 249,752
1,600 Ackerley Group Inc. ..................................... 24,200
40,431 ACNielsen Corp. ......................................... 919,805
4,515 Advo Inc. ............................................... 83,245
5,549 All American Communications, Inc. ....................... 99,882
1,219 Amazon.Com Inc.++........................................ 34,208
1,024 AMC Entertainment Inc.++................................. 19,968
13,065 American Radio Systems Corp. ............................ 643,451
14,100 Ames Department Stores, Inc. ............................ 237,938
16,039 AnnTaylor Stores Corp.+++................................ 274,668
6,750 Arbor Drugs Inc. ........................................ 161,156
131,067 ASA Holdings Inc. ....................................... 3,899,243
20,532 Ascent Entertainment Group, Inc. ........................ 225,852
30,301 Aztar Corp.+............................................. 212,107
139 Bally's Grand Inc. ...................................... 7,072
22,200 Banta Corp. ............................................. 599,400
1,454 Berlitz International Inc.+.............................. 38,168
23,400 BJ's Wholesale Club Inc. ................................ 675,675
65,000 Borg Warner Automotive Inc. ............................. 3,388,125
112,812 Bowne & Co. Inc. ........................................ 3,264,497
</TABLE>
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50
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
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<C> <S> <C>
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CONSUMER SERVICES -- 7.7% (CONTINUED)
55,434 Brinker International Inc. .............................. $ 928,520
10,210 C Tec Corp.+............................................. 395,638
2,175 Cablevision Systems Corp., Class A Shares................ 109,158
1,525 Capstar Hotel Co. ....................................... 49,944
6,200 Carmike Cinemas Inc., Class A Shares+.................... 195,300
11,800 Carson Pirie Scott & Co.+................................ 418,900
6,173 Casey's General Stores Inc. ............................. 140,436
8,001 Century Communications Corp., Class A Shares+............ 52,007
75,321 Charming Shoppes Inc.+................................... 454,280
13,457 Checkpoint Systems Inc. ................................. 190,080
17,397 Choice Hotels Corp. ..................................... 331,630
5,541 CMAC Investment Corp. ................................... 255,579
2,351 Coinmatch Laundry Corp. ................................. 49,959
885 Cox Radio Inc. .......................................... 23,674
8,300 CPI Corp. ............................................... 197,125
1,124 Dart Group Corp., Class A Shares......................... 122,516
772 Data Dimensions Inc. .................................... 25,766
154,016 Del E. Webb Corp. ....................................... 2,695,280
3,653 Delchamps Inc. .......................................... 108,220
11,800 Dress Barn Inc.+......................................... 241,900
5,919 E Town Corp. ............................................ 189,408
5,301 Eagle Hardware & Garden Inc.+++.......................... 116,291
962 Education Management Corp. .............................. 25,493
2,798 Einstein/Noah Bagel Corp. ............................... 29,729
23,159 Equity Inns Inc. ........................................ 335,806
13,446 Exabyte Corp. ........................................... 157,991
11,400 Fabric Centers of America Inc., Class A Shares........... 277,875
3,553 Family Golf Centers, Inc. ............................... 82,385
32,966 Fingerhut Cos. Inc.++.................................... 667,562
3,122 Florida Panthers Holdings, Inc. ......................... 65,172
17,976 Franklin Convey Co. ..................................... 447,153
4,443 GC Cos. Inc.+............................................ 179,108
1,685 Genovese Drug Stores, Inc. .............................. 29,488
11,400 Gibson Greetings Inc.+................................... 256,500
23,505 Grand Casinos, Inc. ..................................... 362,858
11,812 The Great Atlantic & Pacific Tea Co., Inc ............... 296,038
500 Grey Advertising Inc. ................................... 155,000
1,166 Hach Co. ................................................ 23,903
12,545 Hancock Fabric Inc. ..................................... 156,813
11,009 Hollywood Park Inc.+..................................... 192,658
23,400 Homebase Inc. ........................................... 184,275
16,056 Hospitality Property Trust............................... 537,876
9,647 Host Marriott Services Corp. ............................ 138,073
1,301 HSB Group Inc. .......................................... 69,929
10,600 Huffy Corp. ............................................. 163,637
4,951 IHOP Corp. .............................................. 181,640
4,574 Jacor Communications, Inc. .............................. 201,256
13,653 John H. Harland Co. ..................................... 270,500
7,336 Jones Intercable Inc. ................................... 81,613
22,146 Kelly Services Inc., Class A Shares...................... 741,891
50,857 Laidlaw Environmental Services Inc. ..................... 235,214
4,338 Landry's Seafood Restaurants, Inc. ...................... 104,112
4,741 Libbey Inc. ............................................. 181,936
2,900 Linens 'N Things Inc. ................................... 84,100
9,239 Lone Star Steakhouse & Saloon, Inc. ..................... 158,795
21,668 Longs Drug Stores Corp. ................................. 548,471
165,686 Luby's Cafeterias Inc. .................................. 3,261,943
</TABLE>
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51
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
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<C> <S> <C>
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CONSUMER SERVICES -- 7.7% (CONTINUED)
9,432 Marcus Corp. ............................................ $ 234,031
20,000 Marsh Supermarkets Inc. ................................. 300,000
8,610 Marvel Entertainment Group Inc.++........................ 16,144
13,015 Michaels Stores Inc.+.................................... 318,054
8,952 MicroAge Inc.+........................................... 243,382
32,489 Mobil Telecommunication Technologies Corp. .............. 397,990
108,607 Nash Finch Co. .......................................... 2,321,475
2,934 National Media Corp. .................................... 15,403
7,116 On Command Corp. ........................................ 104,961
2,209 Paxson Communications Corp. ............................. 26,784
2,909 Personnel Group of America Inc. ......................... 97,451
5,844 Pier 1 Imports Inc. ..................................... 99,348
6,671 Pinkertons Inc. ......................................... 155,506
7,222 Polaris Industries Inc. ................................. 207,632
14,702 Pool Energy Services Co.+................................ 460,356
15,752 Prime Hospitality Corp.+................................. 299,288
9,964 Prime Retail Inc. ....................................... 143,855
5,941 Proffitt's, Inc. ........................................ 318,957
504 Quality Food Centers Inc. ............................... 20,727
1,609 Rainforest Cafe Inc. .................................... 43,242
2,386 Rare Hospitality International Inc. ..................... 29,825
839 Regis Corp. ............................................. 20,293
10,054 Rio Hotel & Casino Inc. ................................. 196,681
7,263 Rollins Inc. ............................................ 157,062
10,619 Ruby Tuesday Inc. ....................................... 286,713
21,521 Ruddick Corp. ........................................... 322,815
38,300 Ryans Family Steak Houses Inc.+.......................... 354,275
10,905 Rykoff-Sexton, Inc. ..................................... 275,351
41,283 Safety-Kleen Corp. ...................................... 833,401
6,143 Sbarro Inc. ............................................. 164,325
17,380 Scotts Co., Class A Shares+.............................. 486,640
72,106 Service Merchandise Inc.+................................ 279,411
16,145 Shoney's Inc.+........................................... 92,834
13,042 Shopko Stores Inc. ...................................... 358,655
10,799 Showboat Inc. ........................................... 179,533
8,236 Silgan Holding Inc. ..................................... 337,676
665 Sinclair Broadcast Group Inc., Class A Shares............ 24,771
7,027 Sonic Corp. ............................................. 155,472
13,586 Spelling Entertainment Group, Inc. ...................... 106,141
9,507 The Sports Authority, Inc. .............................. 177,068
17,288 Storage USA Inc. ........................................ 706,647
13,293 Station Casinos Inc. .................................... 100,528
2,100 Syms Corp. .............................................. 26,644
34,386 TCI Satellite Entertainment Inc., Class A Shares......... 237,478
7,546 Talbots, Inc. ........................................... 199,497
3,944 Tanger Factory Outlet Center, Inc. ...................... 114,622
7,207 Thomas Nelson Corp. ..................................... 90,087
13,878 True North Communications Inc. .......................... 348,685
15,435 Trump Hotels & Casino Resorts, Inc. ..................... 179,432
6,747 Uni First Corp. ......................................... 161,928
4,852 United International Holdings............................ 51,856
7,943 Value City Department Stores Inc.+....................... 63,544
8,315 Wackenhut Corp. ......................................... 165,261
10,222 Winston Hotels Inc. ..................................... 136,719
23,128 World Color Press Inc. .................................. 690,949
24,525 Zale Corp.+.............................................. 527,287
- --------------------------------------------------------------------------------
47,857,143
- --------------------------------------------------------------------------------
</TABLE>
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52
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
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<C> <S> <C>
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ENERGY -- 7.5%
9,100 ACX Technologies Inc. ................................... $ 238,306
10,150 American Exploration Co. ................................ 171,281
263,087 Aquila Gas Pipeline Corp. ............................... 2,745,971
7,178 Arch Coal Inc. .......................................... 198,741
37,215 Atlantic Energy Inc. .................................... 644,285
6,468 Benton Oil & Gas Co. .................................... 103,084
80,625 C&D Technology Inc. ..................................... 3,219,961
14,529 Cabot Oil & Gas Corp., Class A Shares.................... 336,891
1,000 Cairn Energy USA Inc. ................................... 11,438
7,776 Capsure Holdings Corp. .................................. 108,864
6,370 Cascade Corp. ........................................... 115,058
9,900 Coho Energy Inc. ........................................ 96,525
14,780 Comstock Resources Inc. ................................. 181,055
1,282 DII Group, Inc. ......................................... 70,190
207 DLB Oil & Gas Inc. ...................................... 3,131
7,834 Devon Energy Co. ........................................ 334,414
89,116 Eastern Enterprises...................................... 3,180,327
25,176 Equitable Resources Inc. ................................ 769,441
19,665 Forest Oil Corp. ........................................ 314,640
9,929 HS Resources Inc. ....................................... 151,417
3,496 Holly Corp. ............................................. 91,551
4,086 Hugoton Energy Corp. .................................... 49,543
6,073 Imco Recycling Inc. ..................................... 116,526
64,350 Kelley Oil & Gas Corp. .................................. 176,962
3,495 Lomak Petroleum, Inc. ................................... 61,599
6,439 Louis Dreyfus Natural Gas Corp.+......................... 123,146
6,827 Magnetek Inc.+........................................... 143,794
7,862 Meridian Resource Corp.++................................ 85,991
150,000 Mitchell Energy & Development Corp. ..................... 3,750,000
135,000 Montana Power Co. ....................................... 3,113,437
170,000 Monterey Resources, Inc. ................................ 3,506,250
12,803 New Jersey Resources Corp. .............................. 410,496
5,157 North Carolina Natural Gas Corp. ........................ 161,479
15,936 Northwest Natural Gas Co. ............................... 398,400
7,968 Nuevo Energy Co.+........................................ 404,874
6,273 NUI Corp. ............................................... 144,279
3,700 Ocean Energy Inc. ....................................... 237,956
3,629 Oceaneering International Inc.+.......................... 84,601
184,918 Offshore Logistics Inc.+................................. 3,228,753
35,287 Ogden Corp. ............................................. 818,217
14,895 Parker Drilling Co.+..................................... 196,428
115,000 Penn Virginia Corp. ..................................... 3,162,500
25,967 Quaker State Corp. ...................................... 402,488
812 RMI Titanium Co. ........................................ 17,001
3,238 RPC Inc. ................................................ 70,022
9,208 Seacor Smit Inc. ........................................ 498,383
4,704 Semco Energy Inc. ....................................... 84,672
21,900 Sierra Pacific Resources................................. 684,375
20,632 Snyder Oil Corp. ........................................ 406,193
8,271 Tejas Gas Corp. ......................................... 392,873
20,412 Tesoro Petroleum Corp. .................................. 349,556
19,998 Titan Exploration Co. ................................... 194,981
15,428 Tom Brown Inc. .......................................... 377,986
2,472 Trigen Energy Corp. ..................................... 50,830
91,401 Vintage Petroleum Inc. .................................. 3,924,530
7,955 Westcorp, Inc. .......................................... 171,530
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
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<C> <S> <C>
- --------------------------------------------------------------------------------
ENERGY -- 7.5% (CONTINUED)
125,483 Western Gas Resource Inc. ............................... $ 2,384,177
120,000 Zeigler Coal Holdings Co. ............................... 3,067,500
- --------------------------------------------------------------------------------
46,538,899
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 13.1%
2,906 Aames Financial Corp.++.................................. 51,763
8,660 Albank Financial Corp. .................................. 333,410
12,250 Alfa Corp. .............................................. 179,156
11,058 Allied Group Inc. ....................................... 489,317
9,993 Amcore Financial Inc. ................................... 297,292
12,079 AMERCO+.................................................. 324,623
6,100 American Annuity Group, Inc. ............................ 126,575
600 American Financial Enterprises........................... 26,700
6,545 American Heritage Life Investment Corp. ................. 231,120
2,800 Amerin Co. .............................................. 64,750
3,619 Amerus Life Holdings Inc., Class A Shares................ 104,046
11,063 AMRESCO Inc. ............................................ 329,817
158,973 Amvestors Financial Corp.++.............................. 3,755,737
23,510 Arcadia Financial Ltd.++................................. 233,631
13,304 Astoria Financial Corp. ................................. 640,255
4,800 Avatar Holdings Inc.+.................................... 147,600
10,000 Baldwin & Lyons Inc., Class B Shares..................... 193,750
8,200 Bay View Capital Corp. .................................. 212,175
2,850 BOK Financial Corp. ..................................... 108,300
7,600 Capital Re Corp. ........................................ 386,175
5,504 Capitol Transamerican Corp. ............................. 143,104
7,233 Capmac Holdings Inc. .................................... 200,716
166,244 Capstead Mortgage Corp. ................................. 4,363,905
16,312 Cash America International Inc. ......................... 175,354
125,000 Centris Group Inc. ...................................... 2,773,437
5,358 Chatwell RE Corp. ....................................... 183,511
7,231 Chemical Financial Corp. ................................ 256,701
88,311 Chittenden Corp. ........................................ 3,024,652
14,945 Commerce Group Inc. ..................................... 417,526
2,921 Compdent Corp. .......................................... 70,834
3,200 CPB Inc. ................................................ 118,400
1,630 Credit Acceptance Corp. ................................. 23,024
10,421 Delphi Financial Group Inc., Class A Shares.............. 456,570
1,206 Delta Financial Corp.++.................................. 23,743
13,227 Downey Financial Corp. .................................. 292,647
1,838 E.W. Blanch Holdings Inc. ............................... 53,991
123,631 Eaton Vance Corp. ....................................... 3,538,937
9,236 Enhance Financial Services Group Inc.++.................. 427,165
13,510 F&M National Corp. ...................................... 368,148
12,892 FBL Financial Group Inc. ................................ 412,544
9,723 FNB Corp. ............................................... 294,121
7,750 Fidelity National Financial Corp. ....................... 134,656
4,375 Financial Federal Corp. ................................. 68,633
21,498 Financial Security Assurance Holdings Ltd.++............. 893,511
7,490 First American Financial Corp. .......................... 335,178
14,947 First Commonwealth Financial Corp. ...................... 319,492
2,400 First Federal Financial Services Corp. .................. 100,800
10,408 First Financial Caribbean Corp. ......................... 187,344
3,399 First Financial Corp., Indiana........................... 129,162
125,126 First Financial Corp., Wisconsin......................... 4,035,313
4,490 First Financial Holding Inc. ............................ 148,170
6,567 First Indiana Corp. ..................................... 134,624
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
54
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 13.1% (CONTINUED)
4,865 First Source Corp. ....................................... $ 127,706
3,861 Foremost Corp. ........................................... 214,768
12,000 Fort Wayne National Corp., Indiana........................ 378,000
28,830 Franchise Financial Corp. ................................ 722,552
15,383 Fremont General Corp. .................................... 613,397
3,986 Frontier Insurance Group Inc. ............................ 139,510
14,686 Fulton Financial Corp. ................................... 403,865
4,370 Fund American Enterprises Holdings Inc. .................. 461,035
11,972 Gainsco Inc. ............................................. 107,000
2,631 Grand Premier Financial Inc. ............................. 33,874
9,600 Great Financial Corp. .................................... 320,400
6,422 Guarantee Life Cos. Inc. ................................. 171,789
11,148 Hambrecht & Quist Inc. ................................... 351,859
5,751 Hancock Holding Co. ...................................... 277,486
3,900 Harleysville Group Inc. .................................. 165,263
5,718 Harleysville National Corp. of Pennsylvania............... 194,412
12,509 Hartford Life Inc., Class A Shares........................ 466,742
7,044 Heritage Financial Services Inc. ......................... 135,597
10,152 HFNC Financial Corp.++.................................... 163,701
9,636 Highlands Insurance Group, Inc. .......................... 227,048
16,007 Homeside, Inc. ........................................... 364,159
10,575 HUBCO Inc. ............................................... 323,859
5,549 Imperial Credit Mortgage Holdings......................... 136,991
9,321 Integon Corp. ............................................ 235,938
78,770 Interra Financial Inc. ................................... 3,426,495
252 Investors Financial Services, Class A Shares.............. 11,182
1,614 Irwin Financial Corp. .................................... 51,648
763 Jefferies Group Inc. ..................................... 51,884
10,230 Jefferson Bankshares Inc. ................................ 396,413
18,100 John Alden Financial Corp. ............................... 516,981
5,908 JSB Financial Inc. ....................................... 268,076
2,784 Kansas City Life Insurance Co. ........................... 226,896
38,488 Keystone Financial Inc. .................................. 1,303,781
8,258 Legg Mason Inc. .......................................... 509,931
8,798 Liberty Corp. ............................................ 381,613
6,776 Life Re Corp. ............................................ 347,693
11,500 Life USA Holding Inc. .................................... 173,937
6,678 Long Beach Financial Corp. ............................... 75,962
22,796 Magna Group Inc. ......................................... 827,780
1,426 Markel Corp. ............................................. 205,166
2,141 McDonald & Co. Investments Inc. .......................... 94,472
98,400 McGrath Rent Corp. ....................................... 2,263,200
3,670 Meadowbrook Insurance Group, Inc. ........................ 94,273
7,539 Medical Assurance Inc. ................................... 376,950
98,208 Mercury Finance Co.++..................................... 153,450
13,147 Mid Am Inc. .............................................. 226,789
4,688 Mid America Bancorp....................................... 125,404
7,460 MMI Cos. Inc. ............................................ 186,966
7,926 MoneyGram Payment Systems, Inc. .......................... 138,705
59,700 Morgan Keegan Inc. ....................................... 1,526,081
10,108 National Auto Credit Inc. ................................ 83,391
3,583 National Processing Inc. ................................. 36,502
1,359 National Western Life Insurance, Class A Shares........... 120,271
1,994 Nationwide Financial Services Inc., Class A Shares........ 55,334
10,966 North American Mortgage Co. .............................. 283,745
2,688 NYMAGIC Inc. ............................................. 64,848
5,531 Ocwen Asset Investment Corp. ............................. 129,287
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<PAGE>
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 13.1% (CONTINUED)
5,850 Omega Financial Corp. ................................... $ 209,138
109,938 Orion Capital Corp. ..................................... 4,672,365
4,102 PEC Israel Economic Corp. ............................... 84,860
3,393 Penn Treaty American Corp. .............................. 109,000
18,651 Penncorp Financial Group Inc. ........................... 597,998
6,540 Peoples First Corp. ..................................... 187,207
17,400 Peoples Heritage Financial Group Inc. ................... 648,150
29,490 Phoenix Duff & Phelps Co. ............................... 224,861
8,622 Piper Jaffray Inc. ...................................... 195,073
18,171 Presidential Life Corp. ................................. 347,520
9,953 Price Enterprises Inc. .................................. 220,210
20,103 Primark Corp.+........................................... 546,550
98,194 PXRE Corp. .............................................. 2,933,546
908 Quick & Reilly Group, Inc. .............................. 31,099
124,420 Raymond James Financial Inc. ............................ 3,608,180
11,432 Reinsurance Group of America............................. 685,205
8,436 Resource Bankshares Management Group Inc. ............... 142,357
11,212 Risk Capital Holdings Inc. .............................. 250,869
4,010 RLI Corp. ............................................... 151,879
7,544 Scpie Holdings Inc. ..................................... 211,232
4,213 Seafield Capital Corp. .................................. 98,479
10,362 Security Capital Atlantic, Inc. ......................... 233,793
6,652 Security Capital Corp., Wisconsin........................ 688,482
10,637 Selective Insurance Group Inc. .......................... 523,872
19,379 Shurgard Storage Centers Inc., Class A Shares............ 534,134
5,935 Smart & Final Inc. ...................................... 140,214
70,000 Southwest Securities Group, Inc. ........................ 1,680,000
3,600 SPS Transaction Services, Inc. .......................... 76,725
12,437 Standard Financial Inc. ................................. 317,143
11,999 State Auto Financial Corp. .............................. 266,978
2,538 Student Loan Corp. ...................................... 104,058
13,726 Thornberg Mortgage Asset Corp. .......................... 317,414
4,228 Titan Holdings Inc. ..................................... 90,638
12,090 TR Financial Corp. ...................................... 333,986
8,838 Trans Financial Inc. .................................... 256,854
8,480 Trenwick Group Inc. ..................................... 308,460
610 Triad Guaranty Inc. ..................................... 34,160
9,942 The Trust Co. of New Jersey.............................. 181,441
22,054 Trustmark Corp. ......................................... 634,742
11,454 UMB Financial Corp. ..................................... 515,430
19,856 United Cos. Financial Corp.++............................ 565,896
4,851 United Fire & Casualty Co. .............................. 186,764
5,454 United Wisconsin Services Inc. .......................... 178,278
12,088 UST Corp. ............................................... 259,892
1,151 Value Line Inc. ......................................... 42,011
6,404 Vesta Insurance Group Inc. .............................. 315,797
8,617 Washington National Corp. ............................... 254,201
2,426 WFS Financial Inc.++..................................... 48,217
10,690 WR Berkley Corp. ........................................ 591,291
6,789 WSFS Financial Corp. .................................... 102,684
3,230 White River Corp.+....................................... 218,025
12,061 Whitney Holding Corp. ................................... 485,455
8,215 Zenith National Insurance Corp. ......................... 221,292
16,902 Zurich Reinsurance Center Holdings, Inc. ................ 666,573
- --------------------------------------------------------------------------------
81,344,840
- --------------------------------------------------------------------------------
</TABLE>
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56
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
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<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTH CARE -- 5.0%
5,136 Alpharma, Inc. .......................................... $ 112,671
856 Alpharma, Inc. Rights, Expire 11/25/97................... 4,708
10,310 AMLI Residential Property Trust.......................... 234,552
5,136 American Homepatient Inc. ............................... 78,624
12,739 American Oncology Resources, Inc. ....................... 174,365
1,428 Amerisource Health Corp., Class A Shares................. 71,489
11,933 Apria Healthcare Group Inc. ............................. 208,827
548 Arbor Healthcare Co. .................................... 19,385
716 Arrow International Inc. ................................ 21,211
1,750 ATL Ultrasound Inc. ..................................... 71,094
25,707 Avalon Properties Inc.++................................. 721,403
2,592 Bacou USA Inc. .......................................... 42,444
70,000 Bergen Brunswig Corp., Class A Shares.................... 2,940,000
140,665 Bindley Western Industries Inc. ......................... 3,543,000
5,661 Bio Rad Labs Inc., Class A Shares........................ 159,569
5,101 Block Drug Inc., Class A Shares.......................... 242,298
8,037 Capstone Pharmacy Services Inc. ......................... 95,942
5,367 Cardiothoratic Systems Inc. ............................. 59,037
14,268 Cephalon Inc. ........................................... 153,381
105,715 Chemed Corp. ............................................ 3,977,527
3,652 Clinitrials Research Inc. ............................... 33,781
978 Closure Medical Corp. ................................... 27,262
9,459 CNS Inc. ................................................ 83,357
3,612 Coherent Inc. ........................................... 165,700
7,479 Conmed Corp. ............................................ 139,296
9,038 Datascope Corp. ......................................... 190,928
7,984 Deltic Timber Corp. ..................................... 236,027
6,599 Diagnostic Products Corp. ............................... 183,122
4,800 Gensia Sicor Inc. ....................................... 25,200
3,141 Gilead Sciences Inc. .................................... 101,690
1,778 Graham Field Health Products Inc. ....................... 26,337
15,452 GranCare Inc.+++......................................... 185,424
1,174 Gulf South Medical Supply, Inc. ......................... 29,643
15,505 Haemonetics Corp. ....................................... 282,966
3,872 HCIA Inc. ............................................... 60,016
576 Healthplan Services Corp. ............................... 12,350
35,658 Horizon/CMS Healthcare Corp.+............................ 733,218
23,647 ICN Pharmaceutical, Inc. ................................ 854,248
12,079 IDEXX Laboratories Inc. ................................. 227,236
21,400 IES Industries Inc. ..................................... 655,375
28,861 Imation Corp. ........................................... 781,051
108,259 Integrated Health Services Inc.++........................ 3,572,547
8,506 Invacare Corp. .......................................... 178,626
1,271 Kinetic Concept, Inc. ................................... 23,355
42,491 Laboratory Corp. of America.............................. 111,539
7,225 Living Centers of America Inc.+.......................... 277,259
10,394 Magellan Health Services, Inc. .......................... 317,017
17,046 Mariner Health Group Inc. ............................... 247,167
4,584 Marquette Medical System, Inc. .......................... 118,611
30,893 Medaphis Corp. .......................................... 281,899
1,796 Medical Manager Corp. ................................... 31,430
4,412 Medical Resources Inc. .................................. 71,144
26,901 Merry Land & Investment Co., Inc. ....................... 585,097
5,680 Mid Atlantic Medical Services, Inc. ..................... 87,685
1,540 Morrison Health Care Inc. ............................... 26,469
13,012 National Health Investors Inc. .......................... 507,468
2,148 Neurogen Corp. .......................................... 42,289
13,520 Neuromedical Systems Inc.++.............................. 47,320
</TABLE>
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57
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
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<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTH CARE -- 5.0% (CONTINUED)
42,298 Novacare Inc. ........................................... $ 637,114
3,179 OEC Medical Systems Inc. ................................ 55,831
13,240 Omega Healthcare Inc. ................................... 432,783
1,966 Owens & Minor Inc. Holding Co. .......................... 26,664
7,600 Paragon Trade Brands Inc.+............................... 121,125
47,482 Perrigo Co. ............................................. 679,586
25,313 Physician Corp. of America............................... 172,445
10,714 Physician Resource Group Inc............................. 94,417
1,420 Phymatrix Inc. .......................................... 17,218
21,741 Playtex Products Inc.+................................... 213,334
19,352 Quest Diagnostics Inc.++................................. 361,641
13,125 Read-Rite Corp. ......................................... 376,523
4,893 Regency Health Services Inc. ............................ 105,505
4,030 Regeneron Pharmaceuticals Inc. .......................... 37,278
17 Response Oncology Inc. .................................. 123
3,626 Rightchoice Managed Care, Inc. .......................... 39,433
9,073 Roberts Pharmaceutical Corp.+............................ 101,504
2,728 Rotech Medical Corp. .................................... 49,104
4,891 Scios Inc.+.............................................. 36,683
10,089 Sierra Health Services, Inc. ............................ 332,306
9,199 Smiths Food & Drug Centers Inc., Class B Shares.......... 503,645
8,205 Spacelabs Medical, Inc.+................................. 181,536
15,119 Summit Technology Inc. .................................. 100,163
31,571 Sun Healthcare Group Inc.+++............................. 678,776
11,117 Sunrise Medical Inc. .................................... 164,671
1,048 TECNOL Medical Products, Inc. ........................... 22,532
863 Thermotrex Corp. ........................................ 21,953
971 Trex Medical Corp. ...................................... 15,050
30,001 Trigon Healthcare Inc. .................................. 716,274
4,756 Veterinary Centers of America, Inc. ..................... 65,989
2,586 Vital Signs Inc. ........................................ 45,255
965 Vitalink Pharmacy Services, Inc. ........................ 19,119
995 Wesley Jessen VisionCare, Inc. .......................... 25,870
9,788 West Co., Inc. .......................................... 304,651
- --------------------------------------------------------------------------------
31,248,777
- --------------------------------------------------------------------------------
REAL ESTATE -- 6.5%
3,650 Alexandria Real Estate Equities, Inc. ................... 95,584
10,200 Allied Capital Commercial Corp. ......................... 239,700
3,459 Ambassador Apartments, Inc. ............................. 76,963
10,402 American General Hospitality Corp. ...................... 268,502
155,804 American Health Properties, Inc. ........................ 3,836,674
12,455 Apartment Investment & Management Co. ................... 404,009
23,889 Arden Realty Inc. ....................................... 689,795
579 Atria Communities Inc. .................................. 10,350
16,331 Bay Apartment Community Inc. ............................ 607,309
7,155 Bedford Property Investors, Inc. ........................ 146,678
16,400 Berkshire Realty Co. .................................... 185,525
5,419 Boykin Lodging Co. ...................................... 139,539
14,476 Bradley Real Estate Inc. ................................ 271,425
24,513 BRE Properties, Class A Shares........................... 660,319
2,800 Bristol Hotel Co. ....................................... 77,875
16,600 Burnham Pacific Property Inc. ........................... 230,325
25,891 Cali Realty Corp. ....................................... 964,440
21,985 Camden Property Trust ................................... 648,558
11,032 Capstone Capital Corp. .................................. 262,010
10,037 Castle & Cooke Inc. ..................................... 176,902
</TABLE>
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58
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
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<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE -- 6.5% (CONTINUED)
3,939 CB Commercial Real Estate Services Group, Inc. .......... $ 124,079
15,496 CBL & Associates Properties, Inc......................... 374,810
11,696 Centerpoint Properties Corp. ............................ 375,734
6,451 Charles E. Smith Residential Realty, Inc................. 196,755
15,245 Chateau Communities Inc. ................................ 459,256
6,130 Chelsea GCA Realty, Inc.................................. 230,258
17,700 Colonial Properties Trust................................ 511,088
8,821 Columbus Realty Trust.................................... 200,126
14,479 Commercial Net Lease Realty Inc. ........................ 228,044
22,569 Cornerstone Properties Inc. ............................. 400,600
19,500 Cornerstone Realty Income Trust.......................... 229,125
4,833 Cousins Properties Inc................................... 128,981
4,042 Cresent Operating Inc. .................................. 65,177
26,516 Criimi Mae Inc., Maryland................................ 442,486
18,308 Crown American Realty Trust.............................. 177,359
6,100 Developers Divers Realty Corp. .......................... 237,138
29,551 Dynex Capital Inc. ...................................... 419,255
8,302 Eastgroup Properties, Inc. .............................. 169,672
8,080 Essex Property Trust Inc. ............................... 258,560
13,524 Evans Withycombe Residential, Inc. ...................... 322,040
3,464 Everen Capital Corp. .................................... 113,879
116,825 Excel Realty Trust Inc. ................................. 3,460,941
17,948 Federal Realty Investment Trust.......................... 452,065
21,369 First Industrial Realty Trust............................ 659,768
16,326 First Union Real Estate Investments...................... 214,279
13,786 Gables Residential Trust................................. 362,744
6,136 Getty Realty Corp. ...................................... 107,380
6,294 Glenborough Realty Trust Inc. ........................... 162,464
135,500 Glimcher Realty Trust.................................... 2,794,688
3,920 Great Lakes Real Estate Investment Trust, Inc. .......... 68,845
7,421 Grubb & Ellis Co. ....................................... 109,460
12,946 Health Care Real Estate Investment Trust, Inc. .......... 338,214
1,822 Healthcare Investors of America, Inc. ................... 67,756
9,733 Healthcare Realty Trust.................................. 276,782
24,961 Highwoods Properties Inc. ............................... 811,232
4,952 Home Properties NY Inc. ................................. 112,349
6,608 Homestead Village Inc. .................................. 110,684
11,116 Horizon Group Inc. ...................................... 139,645
36,379 INMC Mortgage Holdings Inc. ............................. 870,822
21,901 Innkeepers USA Trust..................................... 333,990
11,882 Insignia Financial Corp., Class A Shares................. 225,758
2,783 Interstate Hotels Co. ................................... 79,663
16,600 IRT Property Co.++....................................... 201,275
8,520 JDN Realty Corp. ........................................ 277,432
7,800 JP Realty Inc. .......................................... 192,075
6,706 Kilroy Realty Corp. ..................................... 171,422
12,781 Koger Equity Inc. ....................................... 247,632
28,946 Liberty Property Trust................................... 743,550
14,983 LTC Properties Inc. ..................................... 282,804
15,500 Manufactured Home Communities, Inc. ..................... 363,281
7,471 Meridian Industrial Trust, Inc. ......................... 170,899
9,600 MGI Properties Inc. ..................................... 222,600
9,000 Mid-America Apartment Communities Inc. .................. 246,937
9,473 National Golf Properties Inc. ........................... 303,728
29,652 Nationwide Health Properties, Inc........................ 670,876
10,900 Oasis Residential Inc. .................................. 254,787
6,214 Pacific Gulf Properties Inc. ............................ 142,145
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
59
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
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SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE -- 6.5% (CONTINUED)
14,503 Post Properties Inc. .................................... $ 541,143
16,122 Prentiss Properties Trust................................ 445,370
6,852 The Price Real Estate Investment Trust Inc. ............. 259,948
16,321 Realty Income Corp. ..................................... 450,868
17,556 Red Roof Inns Inc. ...................................... 306,133
10,688 Regency Realty Corp. .................................... 283,900
15,800 RFS Hotel Investors Inc. ................................ 292,300
5,400 Saul Centers Inc. ....................................... 94,500
8,857 Storage Trust Realty..................................... 224,746
1,140 Suburban Lodges of America, Inc. ........................ 29,212
13,514 Summit Properties Inc. .................................. 269,435
11,026 Sun Communities Inc. .................................... 388,666
13,355 Sunstone Hotel Investors Inc. ........................... 201,160
22,200 Taubman Centers Inc. .................................... 283,050
10,155 Trinet Corp. Realty Trust, Inc........................... 361,137
180,000 United Dominion Realty Trust, Inc. ...................... 2,542,500
5,400 Universal Health Realty Inc. ............................ 106,650
4,500 Urban Shopping Centers Inc. ............................. 139,219
1,426 Vistana Inc. ............................................ 25,846
10,985 Walden Residential Properties, Inc. ..................... 262,267
3,294 Walter Industries, Inc................................... 59,910
3,663 Washington Real Estate Investment Trust.................. 61,813
9,421 Weeks Corp. ............................................. 296,761
11,100 Western Real Estate Investment Trust..................... 149,156
- --------------------------------------------------------------------------------
39,983,566
- --------------------------------------------------------------------------------
TECHNOLOGY -- 6.8%
2,697 Aerial Communications Inc. .............................. 23,430
154,281 Aliant Communications, Inc. ............................. 3,490,608
927 Allen Telecom Inc. ...................................... 22,132
17,305 Alliance Semiconductor Corp.++........................... 229,291
4,428 Alliant Techsystems, Inc. ............................... 285,883
8,821 American Business Products Inc. ......................... 203,986
7,030 Ampex Corp., Class A Shares.............................. 32,953
5,000 Analogic Corp. .......................................... 188,750
13,708 Anixter International Inc................................ 221,898
15,891 Antec Corp. ............................................. 214,529
512 Apex PC Solutions Inc. .................................. 20,480
2,147 Auspex Systems Inc. ..................................... 23,617
1,736 Avid Technology Inc. .................................... 57,288
13,192 BancTec Inc.+............................................ 326,502
1,001 BDM International, Inc. ................................. 25,275
1,531 Bea Systems Inc. ........................................ 28,132
707 Berg Electronics Corp. .................................. 29,031
26,188 Borland International Inc.+.............................. 232,419
22,871 Boyd Gaming Corp. ....................................... 190,115
1,117 Brooks Fiber Properties, Inc. ........................... 37,559
7,392 Brown & Sharpe Manufacturing Co., Class A Shares......... 98,406
843 Cable Design Technologies................................ 28,188
1,174 Caci International Inc., Class A Shares.................. 19,811
10,730 California Microwave, Inc................................ 174,363
7,772 Centennial Cellular Corp., Class A Shares................ 123,381
2,047 Chips & Technologies Inc. ............................... 34,415
36,435 Cirrus Logic Inc. ....................................... 626,227
4,044 Compucom Systems Inc. ................................... 40,693
5,167 Compuserve Corp. ........................................ 65,233
100,000 Computer Data Systems Inc................................ 3,050,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
60
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
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SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
TECHNOLOGY -- 6.8% (CONTINUED)
5,678 Computervision Corp. .................................. $ 14,195
34,706 Comsat Corp. .......................................... 752,686
2,381 CTS Corp. ............................................. 192,861
90,000 Dallas Semiconductor Corp. ............................ 3,448,125
25,200 Data General Corp.+++.................................. 905,625
4,165 Devon Group Inc. ...................................... 158,270
32,672 EG & G Inc. ........................................... 694,280
1,134 Electoglas Inc. ....................................... 36,288
1,649 Electro Scientific Industries Inc. .................... 79,977
2,223 Essex International Inc. .............................. 85,447
5,765 Esterline Technologies Corp. .......................... 214,026
5,899 Evans & Sutherland Computer Corp.+..................... 177,707
5,345 Exar Corp. ............................................ 108,570
2,206 FEI Co. ............................................... 36,950
16,034 Ferro Corp. ........................................... 603,279
5,001 Fluke Corp. ........................................... 247,549
13,487 FSI International Inc. ................................ 249,510
23,013 FTP Software Inc. ..................................... 90,614
9,391 General Datacomm Industries Inc. ...................... 68,085
15,060 Gerber Scientific Inc. ................................ 325,672
16,000 Global Industrial Technologies, Inc.+.................. 303,000
1,417 In Focus Systems, Inc. ................................ 34,008
4,888 InaCom Corp.+++........................................ 168,636
19,645 Information Resources Inc.+............................ 353,610
95,000 Innovex Inc. .......................................... 3,194,375
55,242 Integrated Device Technology, Inc. .................... 752,672
2,273 Integrated Process Equipment Corp.++................... 75,009
29,466 Intergraph Corp. ...................................... 292,818
36,482 International Rectifier Corp. ......................... 832,246
1,107 Inter-Tel Inc. ........................................ 31,688
1,938 Intervoice Inc. ....................................... 18,532
547 LHS Group Inc.++....................................... 27,350
22,615 LTX Corp. ............................................. 178,800
12,060 Marshall Industries+................................... 478,631
4,054 McWhorter Technologies Inc.+........................... 109,711
8,042 Media General Inc. .................................... 295,543
42,143 Mentor Graphics Corp. ................................. 489,912
5,053 Metromail Corp. ....................................... 109,903
15,387 Micro Warehouse Inc. .................................. 401,985
198 Microtouch Systems Inc. ............................... 6,237
1,129 Midway Games Inc.++.................................... 23,850
16,088 Minerals Technologies Inc. ............................ 639,498
117,430 MTS Systems Corp. ..................................... 3,757,760
13,407 Mylex Corp. ........................................... 120,663
7,865 National Computer Systems Inc. ........................ 257,579
10,160 Network Equipment Technologies, Inc. .................. 191,135
25,635 Oak Technologies Inc. ................................. 278,781
1,590 Omniquip International Inc. ........................... 31,800
11,863 Orbital Sciences Corp.+................................ 257,279
116,379 Park Electrochemical Corp. ............................ 3,447,728
2,096 Penn Engineering & Manufacturing Corp., Class A
Shares ............................................... 51,090
2,287 Phoenix Technology Ltd. ............................... 34,877
2,590 Physician Computer Network, Inc. ...................... 17,968
12,243 Physician Reliance Network, Inc. ...................... 121,665
22,349 Picturetel Corp. ...................................... 279,362
6,223 Pioneer Group Inc. .................................... 202,248
6,013 Plains Resources Inc. ................................. 109,737
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
61
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 6.8% (CONTINUED)
8,146 Policy Management Systems Corp. .......................... $ 489,269
8,403 Progress Software Corp. .................................. 149,153
2,240 Rambus Inc.++............................................. 178,080
6,165 Rofin-Sinar Technologies Inc. ............................ 106,346
1,048 SDL Inc. ................................................. 18,602
24,674 Sequent Computer Systems Inc.+............................ 695,498
1,834 Shiva Corp. .............................................. 27,051
4,047 SIII Inc. ................................................ 65,005
14,811 Silicon Valley Group Inc. ................................ 499,871
7,012 Siliconix Inc. ........................................... 269,962
6,955 Southern Union Co. ....................................... 159,096
9,317 Standard Register Co. .................................... 318,525
17,167 Stratus Computer Inc.+.................................... 952,769
4,142 Superior Telecom Inc. .................................... 156,619
9,763 Symantec Corp. ........................................... 234,922
5,014 Tech System Corp.+........................................ 166,402
8,129 Telxon Corp. ............................................. 195,096
1,693 Thermo Optek Corp.++...................................... 29,204
1,484 Thermospectra Corp. ...................................... 18,550
2,739 Trident Microsystems, Inc. ............................... 48,960
1,198 Trimble Navigation Ltd. .................................. 20,216
4,906 Ultratech Stepper Inc. ................................... 141,048
3,173 Wall Data Inc.+........................................... 55,528
6,684 Watkins Johnson Co. ...................................... 229,763
6,268 Winstar Communications Inc. .............................. 104,597
5,363 Wonderware Corp. ......................................... 98,880
14,781 Zilog Inc. ............................................... 362,135
- --------------------------------------------------------------------------------
42,403,144
- --------------------------------------------------------------------------------
TRANSPORTATION -- 2.7%
10,074 Air Express International Corp. .......................... 305,998
15,223 Airborne Freight Corp. ................................... 749,733
11,175 Alaska Air Group Inc.+++.................................. 306,614
27,121 America West Holdings Corp. .............................. 327,147
9,509 American Freightways Corp. ............................... 152,144
767 Airnet Systems Inc. ...................................... 16,395
17,909 APL Ltd. ................................................. 573,088
15,491 Arnold Industries Inc. ................................... 331,120
3,379 Aviation Sales Co. ....................................... 95,457
5,355 Banner Aerospace, Inc. ................................... 57,901
7,293 Circle International Group Inc. .......................... 183,237
14,538 Consolidated Freightways Corp. ........................... 227,156
1,186 Covenant Transport, Inc. ................................. 20,162
12,293 Fritz Cos., Inc. ......................................... 159,809
34,400 Greyhound Lines Inc.+..................................... 135,450
1,166 Halter Marine Group Inc. ................................. 46,130
17,062 J.B.Transportation Services Inc. ......................... 283,656
1,363 Hvide Marine Inc., Class A Shares......................... 42,083
17,605 Kirby Corp.+.............................................. 356,501
7,681 Landstar Systems Inc. .................................... 210,267
2,707 Midwest Express Holdings, Inc. ........................... 78,334
11,488 Motivepower Industries Inc.++............................. 248,428
6,710 M.S. Carriers Inc.+....................................... 157,685
24,705 Newport News Shipbuilding, Inc. .......................... 478,659
25,609 OMI Corp. ................................................ 272,096
56,000 Oshkosh Truck Corp. ...................................... 847,000
19,004 Overseas Shipholding Group Inc. .......................... 466,786
</TABLE>
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62
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TRANSPORTATION -- 2.7% (CONTINUED)
13,062 Pittston Burlington Group................................ $ 313,488
153,178 Roadway Express Inc. .................................... 3,523,094
27,469 Rollins Truck Leasing Corp. ............................. 444,654
130,000 Sea Containers Ltd. ..................................... 3,087,500
24,422 TransWorld Airlines, Inc.++.............................. 178,586
1,048 Trico Marine Services Inc. .............................. 32,488
16,583 US Freightways Corp. .................................... 497,490
8,575 ValuJet, Inc. ........................................... 47,162
16,061 Werner Enterprises Inc. ................................. 351,334
5,800 Woodward Governor Co. ................................... 201,550
10,871 XTRA Corp. .............................................. 510,257
19,422 Yellow Corp. ............................................ 609,365
- --------------------------------------------------------------------------------
16,926,004
- --------------------------------------------------------------------------------
UTILITIES -- 6.7%
39,688 AGL Resources Inc. ...................................... 751,592
4,501 Aquarion Co. ............................................ 117,307
29,421 Atmos Energy Corp. ...................................... 801,722
8,934 Bay State Gas Co. ....................................... 260,761
9,654 Black Hills Corp. ....................................... 269,105
3,784 California Water Service Co. ............................ 175,483
13,232 Calpine Corp. ........................................... 244,792
2,218 Cellular Communications International, Inc. ............. 79,848
72,400 Central Hudson Gas & Electric Corp. ..................... 2,416,350
16,507 Central Louisiana Electric Inc. ......................... 433,309
22,700 Central Maine Power Co. ................................. 288,006
1,074 CFW Communications Co. .................................. 19,869
10,199 CIDCO Inc. .............................................. 218,004
9,164 CILCORP Inc. ............................................ 368,278
7,190 Colonial Gas Co.++....................................... 171,661
93,731 Commonwealth Energy Systems Co. ......................... 2,308,126
5,858 Connecticut Energy Corp. ................................ 143,887
3,846 Corecomm Inc. ........................................... 56,729
6,904 CTG Resources Inc. ...................................... 160,087
43,127 Delmarva Power & Light Co.++............................. 773,591
135,615 Eastern Utilities Associates++........................... 2,593,637
40,502 El Paso Electric Co.+.................................... 253,138
10,805 Empire District Electric Co. ............................ 185,036
88,233 Energen Corp. ........................................... 3,181,903
3,736 General Cable Corp. ..................................... 129,359
5,187 General Communications, Inc., Class A Shares............. 43,441
5,867 Geotek Communications, Inc. ............................. 25,668
21,848 Glenayre Technologies, Inc. ............................. 382,340
22,135 Hawaiian Electric Industries Inc. ....................... 801,010
16,034 Indiana Energy Inc. ..................................... 407,865
11,142 Interim Services Inc. ................................... 550,136
7,500 Interstate Power Co. .................................... 219,375
11,713 Laclede Gas Co. ......................................... 286,236
10,659 Madison Gas & Electric Co. .............................. 215,845
19,900 MDU Resources Group Inc. ................................ 476,356
21,471 Minnesota Power & Light Co. ............................. 738,066
34,819 Nevada Power Co.......................................... 735,551
13,709 Northwestern Public Service Co. ......................... 264,755
17,065 ONEOK Inc. .............................................. 552,479
9,700 Orange & Rockland Utilities Inc. ........................ 329,194
8,557 Otter Tail Power Co. .................................... 278,102
7,703 Pennsylvania Enterprises Inc. ........................... 201,722
</TABLE>
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63
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES -- 6.7% (CONTINUED)
11,847 Philadelphia Suburban Corp. ........................ $ 274,702
21,108 Piedmont Natural Gas Inc. .......................... 558,043
10,686 Powertel Inc. ...................................... 203,034
10,045 Pricellular Corp. .................................. 84,127
6,480 Primus Telecommunication Group, Inc. ............... 51,840
30,354 Public Service Co. of New Mexico++.................. 553,960
12,913 Public Service Co. of North Carolina Inc. .......... 275,208
122,490 Rochester Gas & Electric Co. ....................... 2,886,171
16,736 Sigcorp, Inc. ...................................... 422,584
5,980 South Jersey Industries Inc. ....................... 143,520
75,837 Southern California Water Co. ...................... 1,658,934
19,967 Southwest Gas Corp. ................................ 395,596
19,114 Southwestern Energy Co. ............................ 243,704
8,166 TNP Enterprises Inc. ............................... 191,391
10,020 Tucson Electric Power Co. .......................... 159,694
24,159 UGI Corp. .......................................... 631,154
69,989 United Illuminating Co. ............................ 2,445,241
18,957 United Water Resources, Inc. ....................... 338,856
31,024 Washington Gas Light Co. ........................... 789,173
39,664 Washington Water Power Co. ......................... 773,448
8,319 Western Wireless Corp. ............................. 125,305
13,423 Wicor Inc. ......................................... 531,048
150,000 World Fuel Services Corp. .......................... 3,468,750
21,839 WPL Holdings Inc.++................................. 604,667
17,502 WPS Resource Corp. ................................. 488,962
8,334 Yankee Energy Systems Inc. ......................... 196,891
- --------------------------------------------------------------------------------
41,405,724
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $475,443,502).......... 601,698,839
- --------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 3.1%
$18,944,000 Goldman, Sachs & Co., 5.498% due 9/2/97; Proceeds at
maturity -- $18,955,573;
(Fully collateralized by U.S. Treasury Notes, 6.250%
due 2/28/02;
Market value -- $19,337,088) (Cost -- $18,944,000).. 18,944,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $494,387,502*)... $620,642,839
- --------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
++A portion of the security is on loan.
* Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Basic Industries 15.4%
Other Common Stocks 14.2%
Financial Services 13.1%
Consumer Durables and Non-Durables 11.0%
Banking 7.9%
Consumer Services 7.7%
Energy 7.5%
Technology 6.8%
Utilitties 6.7%
Capital Goods 6.6%
Repurchase Agreement 3.1%
SEE NOTES TO FINANCIAL STATEMENTS.
64
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 96.7%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 6.6%
34,200 Accustaff Inc. .......................................... $ 908,438
1,000 AFC Cable Systems Inc. .................................. 30,000
10,000 Aftermarket Technology Corp. ............................ 227,500
10,000 Allied Products Corp.+................................... 353,125
6,000 A.M. Castle & Co.+ ...................................... 154,500
8,875 American Homestar Corp. ................................. 211,890
6,200 Atwood Oceanics Inc. .................................... 562,263
22,700 Authentic Fitness Corp.+ ................................ 356,106
18,900 Berry Petroleum Co. ..................................... 347,288
1,550 Butler Manufacturing Co.+................................ 55,800
16,700 Caraustar Industries Inc.+............................... 600,156
32,100 Cellnet Data Systems Inc. ............................... 385,200
54,844 Champion Enterprises Inc. ............................... 946,059
5,100 Chart Industries Inc.+................................... 102,319
6,000 Chemfirst Inc. .......................................... 150,750
38,909 CHS Electronics Inc. .................................... 1,502,860
3,100 Church & Dwight Co., Inc.+............................... 88,738
5,300 Clarcor Inc.+............................................ 138,794
5,100 Computer Learning Centers Inc. .......................... 244,800
5,400 Concentric Network Corp. ................................ 75,600
2,613 Culbro Corp. ............................................ 251,664
18,400 Cymer Inc. .............................................. 1,672,101
32,400 Dekalb Genetics Corp., Class B Shares+@.................. 1,271,700
5,800 Eagle Geophysical Inc. .................................. 118,900
41,800 Education Management Corp. .............................. 1,107,700
13,600 Evergreen Resources Inc. ................................ 183,600
3,500 Florida Panthers Holdings Inc. .......................... 73,063
13,800 Freeport McMoRan Inc.+................................... 472,650
22,600 G&K Services Inc., Class A Shares+....................... 788,175
58,200 Gaylord Container Corp. ................................. 549,263
28,676 Getchell Gold Corp. ..................................... 974,984
16,800 Global Direct Mail Corp. ................................ 369,600
26,995 Golden Books Family Entertainment Inc. .................. 268,262
7,800 Greenwich Air Service Inc. .............................. 234,000
93,300 Harken Energy Corp. ..................................... 577,294
20,300 Hexcel Corp. ............................................ 564,594
6,800 Hirsch International Corp., Class A Shares............... 173,400
4,400 Interim Services, Inc. .................................. 217,250
15,000 John Wiley & Sons, Inc. ................................. 486,562
7,100 Lamalie Associates Inc. ................................. 134,900
34,626 Lawter International Inc.+............................... 454,466
9,700 Layne Christensen Co. ................................... 195,213
42,500 Learning Co. Inc......................................... 618,906
6,600 LHS Group Inc............................................ 330,000
13,100 Lilly Industries Inc., Class A Shares+................... 289,838
2,900 Liqui-Box Corp.+......................................... 102,950
20,000 Littlefuse Inc........................................... 625,000
13,100 Lomak Petroleum Inc.+.................................... 230,888
8,000 Macdermid Inc.+.......................................... 620,000
18,600 Medusa Corp.+............................................ 874,200
10,834 Morningstar Group Inc.................................... 323,666
19,200 Mycogen Corp............................................. 475,200
65,400 Nautica Enterprises Inc.................................. 1,557,337
104,620 Newpark Resources Inc.@.................................. 3,544,003
10,700 NL Industries Inc........................................ 141,775
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
65
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 6.6% (CONTINUED)
9,400 Nuevo Energy Co.......................................... $ 477,638
47,400 Oakwood Homes Co.+@...................................... 1,285,725
9,650 OM Group Inc............................................. 353,431
5,277 Philip Services Corp..................................... 94,656
8,825 Profit Recovery Group International Inc.................. 156,644
10,800 Quiksilver Inc........................................... 367,875
4,600 Republic Group Inc.+..................................... 88,550
13,900 Samsonite Corp........................................... 535,150
5,200 Scotts Co................................................ 145,600
1,000 SEACOR SMIT Inc.......................................... 54,125
15,891 Seitel Inc............................................... 632,660
4,700 Service Experts Inc...................................... 121,319
18,000 Shorewood Packaging Corp................................. 389,250
5,369 Simpson Manufacturing Co., Inc........................... 197,981
6,600 Sipex Corp............................................... 186,450
7,900 Smartalk Teleservices Inc................................ 181,700
13,700 Speedway Motorsports Inc................................. 306,538
41,200 Splash Technology Holdings Inc........................... 1,395,650
11,127 SPX Corp................................................. 646,756
18,900 St. John Knits Inc.+..................................... 796,163
11,700 Staffmark Inc............................................ 329,063
12,100 Stein Mart Inc........................................... 338,800
22,800 Stillwater Mining Co..................................... 478,800
3,600 Strayer Education Inc.+.................................. 134,100
15,600 Superior Services Inc.................................... 419,250
17,800 Swift Energy Co.......................................... 461,688
18,500 Synetic Inc.............................................. 797,813
29,500 Telespectrum Worldwide Inc............................... 134,593
6,900 Teletech Holdings Inc.................................... 112,987
18,400 Titanium Metals Corp..................................... 657,800
8,200 TMP Worldwide Inc. ...................................... 168,100
8,400 Tredegar Industries Inc.+................................ 578,025
7,200 Triangle Pacific Corp. .................................. 226,800
16,400 Trico Marine Services Inc. .............................. 508,400
64,500 U.S.A. Waste Service Inc.#............................... 2,709,000
11,800 Valence Technology Inc. ................................. 106,937
115,900 Varco International Inc. ................................ 4,607,025
37,300 Walter Industries Inc. .................................. 678,393
19,600 Watsco Inc.+............................................. 531,650
1,835 Wausau Paper Mills Co.+.................................. 40,140
17,000 WD 40 Co.+............................................... 471,750
11,700 Wilmar Industries Inc. .................................. 292,500
1,400 Wolverine Tube, Inc. .................................... 44,975
18,931 Zeigler Coal Holdings Co.+............................... 483,923
13,700 Zero Corp.-Del+.......................................... 369,043
- --------------------------------------------------------------------------------
52,410,706
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 6.8%
3,400 ABT Building Products Corp. ............................. 58,650
52,700 Actel Corp. ............................................. 1,070,469
5,800 AG-Chem Equipment Co. ................................... 111,650
11,800 Alliance Semiconductor Corp. ............................ 156,350
14,700 Amati Communications Corp. .............................. 254,494
28,357 Amax Gold Inc. .......................................... 187,865
28,400 Ametek Inc. ............................................. 653,200
22,100 Anixter International Inc. .............................. 357,744
29,440 Apogee Enterprises, Inc.+................................ 644,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
66
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 6.8% (CONTINUED)
1,300 Aptargroup Inc. ......................................... $ 73,125
14,300 Armco Inc. .............................................. 84,906
7,000 Asyst Technologies Inc. ................................. 239,313
7,650 Baldor Electric Co.+..................................... 233,325
20,500 Belden Inc.+............................................. 794,375
11,300 Blount International, Inc., Class A Shares............... 530,394
31,400 BMC Industries Inc.+..................................... 977,325
30,000 Carlisle Cos., Inc.+..................................... 1,265,625
7,400 Centennial Cellular Corp., Class A Shares................ 117,475
6,500 Chase Industries Inc. ................................... 174,688
46,600 Credence Systems Corp. .................................. 2,193,113
16,900 Cuno Inc. ............................................... 295,750
49,000 DSP Communications Inc. ................................. 943,250
7,724 DT Industries Inc.+...................................... 229,789
5,200 Ducommun Inc. ........................................... 193,700
4,000 Echostar Communications Corp. ........................... 68,500
44,500 Electroglas Inc. ........................................ 1,424,000
7,400 Essex International Inc. ................................ 284,438
7,873 Furon Co.+............................................... 279,492
8,000 Gardner Denver Machinery Inc. ........................... 296,500
6,994 GenCorp.+................................................ 187,090
12,400 General Cable Corp.+..................................... 429,350
38,600 Gentex Corp. ............................................ 926,400
9,450 Graco Inc.+.............................................. 298,856
600 Greenfield Industries Inc.+.............................. 15,825
12,300 Integrated Circuit Systems Inc. ......................... 424,350
12,300 Integrated Process Equipment Corp. ...................... 405,900
13,797 Ionics Inc. ............................................. 589,822
13,300 Itron Inc. .............................................. 319,200
33,300 JLG Industries Inc.+..................................... 389,194
18,300 Kaydon Corp.+@........................................... 1,080,844
41,600 Kemet Corp.@............................................. 1,211,600
106,400 Kent Electronics Corp.@.................................. 3,983,351
3,800 Lawson Products Inc.+.................................... 102,600
48,750 Level One Communications Inc. ........................... 1,736,719
6,200 Lindsay Manufacturing Co.+............................... 241,800
22,100 Lo-Jack Corp. ........................................... 375,700
17,200 Lydall Inc. ............................................. 408,500
15,800 Magnetek Inc. ........................................... 332,787
12,675 Manitowoc Co. Inc.+...................................... 457,884
13,300 Mascotech Inc.+.......................................... 278,468
6,800 Maverick Tube Corp. ..................................... 221,850
30,900 Maxim Group Inc. ........................................ 525,300
7,400 Modine Manufacturing Co.+................................ 226,625
1,100 Nichols Research Corp. .................................. 28,050
12,200 NN Ball & Roller Inc.+................................... 149,450
10,300 Nordson Corp. ........................................... 594,825
18,200 OEA Inc.+................................................ 676,813
12,500 Omniquip International Inc.+............................. 250,000
33,396 Pittway Corp., Class A Shares............................ 2,014,196
9,800 Plantronics Inc. ........................................ 662,725
5,797 Quanex Corp.+............................................ 210,504
23,557 Regal Beloit Corp. ...................................... 708,182
26,900 Robotic Vision Systems Inc. ............................. 390,050
36,000 Roper Industries Inc. ................................... 1,017,000
17,900 Sanmina Corp.@........................................... 1,418,575
15,200 Schweitzer Mauduit International Inc.+................... 608,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
67
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 6.8% (CONTINUED)
14,100 Speciality Equipment Cos., Inc. ......................... $ 209,737
13,050 Standex International Corp.+............................. 411,890
13,200 Stanford Telecommunications Inc. ........................ 326,700
36,600 Steel Dynamics Inc. ..................................... 924,150
20,700 Sturm Ruger & Co. Inc.+.................................. 406,237
22,900 Symmetricom Inc. ........................................ 369,262
3,400 Tennant Co.+............................................. 116,875
8,600 Thermotrex Corp. ........................................ 218,762
5,100 Tractor Supply Co. ...................................... 91,800
20,600 Trimble Navigation Ltd. ................................. 347,625
11,500 Ultratech Stepper Inc. .................................. 330,625
17,900 Uniphase Corp.@.......................................... 1,221,675
36,830 UNR Industries, Inc.+.................................... 170,338
18,322 Valmont Industries+...................................... 384,762
50,000 Vitesse Semiconductor Corp. ............................. 2,356,250
105,800 Waters Corp. ............................................ 3,524,462
23,180 W.H. Brady Co.+.......................................... 704,093
18,900 Wireless Telecom Group Inc.+............................. 225,618
11,500 Woodhead Industries Inc.+................................ 212,750
21,400 Wyman-Gordon Co. ........................................ 584,487
18,200 X-Rite Inc.+............................................. 350,350
10,300 Zoltek Cos., Inc. ....................................... 463,500
58,400 Zygo Corp. .............................................. 1,810,400
- --------------------------------------------------------------------------------
53,854,238
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 5.5%
13,800 Action Performance Cos. ................................. 450,225
32,500 American Pad & Paper Co. ................................ 747,500
14,200 Ashworth Inc. ........................................... 157,088
6,000 Berg Electronics Corp. .................................. 246,375
9,300 Bet Holdings Inc. ....................................... 366,188
6,400 Brylane Inc. ............................................ 271,200
13,281 Buckeye Cellulose Corp. ................................. 522,939
4,400 Bush Industries Inc., Class A Shares+.................... 111,100
36,900 Callaway Golf Co.+....................................... 1,243,069
4,554 Centex Construction Products Inc.+....................... 130,358
86,500 Chicago Miniature Lamp Inc. ............................. 2,827,469
9,000 Corecomm Inc............................................. 132,750
11,513 Cort Business Services Corp. ............................ 441,092
11,600 Donaldson Co., Inc.+..................................... 517,650
25,000 Dress Barn Inc. ......................................... 512,500
19,200 ESS Technology, Inc. .................................... 333,600
78,669 Etec Systems Inc. ....................................... 5,270,823
13,140 Federal Mogul Corp.+..................................... 469,755
23,800 Figgie International Inc. ............................... 333,200
11,100 First Brands Corp.+...................................... 276,806
58,200 FSI International Inc. .................................. 1,076,700
22,704 Furniture Brands International, Inc. .................... 400,158
19,300 Garden Ridge Corp. ...................................... 236,425
5,700 General Binding Corp. ................................... 176,700
7,600 Holophane Corp. ......................................... 176,700
10,850 Kronos Inc. ............................................. 294,306
12,400 Kuhlman Corp.+........................................... 351,850
28,100 Mac Frugals Bargains Close Inc. ......................... 765,725
129,800 Marine Drilling Co. Inc.@................................ 3,115,200
5,200 Matthews International Corp., Class A Shares+............ 201,500
87,250 Microchip Technology Inc. ............................... 3,528,172
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
68
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 5.5% (CONTINUED)
15,000 Miller Inc.+............................................. $ 776,250
35,550 Miller Industries Inc. .................................. 526,585
20,600 Natures Sunshine Products Inc.+.......................... 430,025
17,900 NBTY Inc. ............................................... 398,275
7,400 NCI Building Systems, Inc. .............................. 266,400
13,200 New England Business Service Inc.+....................... 402,600
17,400 Nimbus CD International, Inc. ........................... 193,575
7,500 Novel Denim Holdings Ltd. ............................... 164,063
11,900 Novellus Systems Inc. ................................... 1,364,038
8,300 Ocular Sciences Inc. .................................... 158,738
27,900 Pacific Sunware Of California............................ 1,067,175
18,437 Palm Harbor Homes Inc. .................................. 486,276
21,400 Panavision Inc. ......................................... 430,675
18,500 Paul Harris Stores....................................... 328,375
6,900 Piercing Pagoda Inc. .................................... 200,100
8,700 Polymer Group Inc. ...................................... 120,713
8,100 Racing Champions Corp. .................................. 124,538
105,481 Rational Software Corp. ................................. 1,740,437
19,350 Remec Inc. .............................................. 645,806
15,900 RMI Titanium Co. ........................................ 332,906
6,500 Robbins & Myers Inc.+.................................... 212,062
21,600 Rockshox Inc. ........................................... 283,500
22,800 Royal Appliance Manufacturing Co. ....................... 198,075
5,300 Sheldahl Inc. ........................................... 124,550
34,600 Stage Stores Inc. ....................................... 1,070,436
55,200 Stride Rite Corp.+....................................... 655,500
96,600 Sunglass Hut International Inc. ......................... 700,350
7,600 Superior Industries International+....................... 207,100
23,000 Terex Corp. ............................................. 497,375
3,200 Thermo Fibertek Inc. .................................... 38,800
6,300 Timberland, Class A Shares............................... 416,193
20,500 Tommy Hilfiger Corp. .................................... 894,312
9,000 Tower Automotive Inc. ................................... 403,875
10,100 Triumph Group Inc. ...................................... 287,850
5,900 Turbochef Inc. .......................................... 70,800
7,900 Ugly Duckling Corp. ..................................... 109,612
15,400 United Stationers Inc. .................................. 527,450
6,100 Wynn's International Inc.+............................... 176,137
37,574 Zenith Electronics Corp. ................................ 389,830
9,000 Zytec Corp. ............................................. 265,500
- --------------------------------------------------------------------------------
43,371,980
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 4.6%
7,900 Abercrombie & Fitch Co., Class A Shares.................. 189,600
16,400 Advanced Lighting Technologies Inc. ..................... 393,600
7,400 American Safety Razor Co. ............................... 137,825
34,550 Anadigics Inc. .......................................... 1,710,225
35,200 Apple South Inc.+........................................ 569,800
22,900 Boston Beer Co., Inc., Class A Shares.................... 197,513
11,600 Cheesecake Factory....................................... 320,450
4,500 Coleman Company, Inc. ................................... 71,156
92,500 Consolidated Cigar Holdings Inc.#........................ 3,064,063
15,862 Consolidated Products Inc. .............................. 285,516
14,700 Converse Inc. ........................................... 180,994
4,200 Del Laboratories Inc.+................................... 144,638
32,230 Delta & Pine Land Co.+@.................................. 1,184,453
1,400 Digital Link Corp. ...................................... 33,600
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
69
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 4.6% (CONTINUED)
40,500 Dimon Inc.+............................................... $ 972,000
12,400 Dreyer's Grand Ice Cream, Inc.+........................... 579,700
11,000 Earthgrains Co.+.......................................... 451,000
8,700 Flowserve Corp.+.......................................... 306,675
31,600 General Cigar Holdings Inc................................ 683,350
5,500 Goody's Family Clothing Inc. ............................. 187,688
65,900 Guitar Center Inc. ....................................... 1,466,275
28,500 Gymboree Corp. ........................................... 698,250
23,300 Hays Wheels International Inc. ........................... 757,250
9,807 Hunt Manufacturing Co.+................................... 206,560
32,800 Journal Register Co. ..................................... 574,000
62,000 JP Foodservice Inc.#...................................... 1,887,125
17,400 Kenneth Cole Productions.................................. 240,338
96,400 Knoll Inc. ............................................... 2,994,425
4,900 KV Phamaceuticals Co., Class B Shares..................... 77,175
13,800 Lance Inc.+............................................... 294,975
13,600 Landry's Seafood Restaurants.............................. 326,400
11,500 Lands' End, Inc. ......................................... 302,594
1,200 Lewis Galoob Toys Inc. ................................... 24,900
8,590 Libbey Inc.+.............................................. 329,641
10,200 Linens 'N Things Inc. .................................... 295,800
12,399 Mosinee Paper Corp.+...................................... 368,870
55,300 The North Face Inc. ...................................... 1,226,968
19,780 NPC International......................................... 224,998
12,800 Nu Skin Asia Pacific Inc., Class A Shares................. 291,200
25,525 Papa John's International, Inc. .......................... 871,041
8,850 Performance Food Group.................................... 185,850
2,800 P.H. Glatfelter Co.+...................................... 57,925
14,300 Rainforest Cafe Inc. ..................................... 384,312
36,446 Ralcorp Holdings, Inc. ................................... 728,920
12,750 Regis Corp.+.............................................. 308,390
96,250 Rexall Sundown Inc.#...................................... 3,344,687
52,700 Richfood Holdings Inc.+@.................................. 1,185,750
8,600 Riviana Foods, Inc.+...................................... 152,650
2,400 Robert Mondavi Corp., Class A Shares...................... 109,200
16,882 Rykoff-Sexton Inc.+....................................... 426,270
19,548 Shoney's Inc. ............................................ 112,401
16,175 Showbiz Pizza Time Inc. .................................. 378,090
8,800 Sinclair Broadcast Group Inc., Class A Shares............. 327,800
16,300 Smithfield Foods Inc. .................................... 898,537
11,700 Suiza Foods Corp. ........................................ 482,625
12,500 Tejon Ranch Co.+.......................................... 450,000
19,150 Topps Co., Inc. .......................................... 64,631
20,700 Twinlab Corp. ............................................ 434,700
9,600 USA Detergents Inc. ...................................... 112,800
21,200 Whole Foods Market Inc. .................................. 720,800
8,200 Worthington Foods Inc.+................................... 180,400
- --------------------------------------------------------------------------------
36,169,369
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 19.1%
12,100 Abacus Direct Corp. ...................................... 334,263
3,200 ABM Industries Inc.+...................................... 78,600
25,600 ABR Information Services Inc. ............................ 688,000
21,700 Ackerley Group Inc.+...................................... 328,213
39,400 Acxiom Corp. ............................................. 699,350
5,400 Administaff Inc. ......................................... 114,750
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
70
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 19.1% (CONTINUED)
22,400 Advo Inc. ............................................... $ 413,000
36,500 Affiliated Computer Services Inc., Class A Shares........ 958,125
7,900 Alberto Culver, Class B Shares+.......................... 230,581
242,562 Allied Waste Industries, Inc.@........................... 3,653,590
18,300 Alternative Resources Corp. ............................. 409,463
105,200 American Management Systems Inc.@........................ 2,630,000
55,100 American Media Inc., Class A Shares...................... 451,131
6,100 American Residential Services Inc. ...................... 137,250
6,700 Anchor Gaming............................................ 536,000
2,000 AnnTaylor Stores Corp. .................................. 34,250
18,300 Apac Teleservices Inc. .................................. 301,950
34,500 Applebees International Inc.+............................ 879,750
24,900 Applied Graphics Technologies Inc. ...................... 1,027,125
19,050 Arbor Drugs Inc.+........................................ 454,819
2,100 Atria Communities Inc. .................................. 37,538
1,700 Bally's Grand Inc. ...................................... 86,488
15,923 Barnett Inc. ............................................ 330,402
18,600 Big Flower Press Holdings Inc. .......................... 389,438
16,400 Billing Information Concepts Corp. ...................... 615,000
35,000 BJ Services Co. ......................................... 2,528,750
14,400 Borg-Warner Security Corp. .............................. 266,400
116,187 Brightpoint Inc. ........................................ 4,357,013
25,755 Bristol Hotel Co......................................... 716,311
5,800 Buckle Inc. ............................................. 134,850
18,200 Budget Group Inc., Class A Shares........................ 534,625
17,600 Capstar Hotel Co. ....................................... 576,400
8,400 Caribiner International Inc. ............................ 354,900
13,000 Carriage Services Inc. .................................. 279,500
18,900 Casey's General Stores, Inc.+............................ 429,975
19,300 Catalina Marketing Corp. ................................ 893,831
13,400 Cellstar Corp. .......................................... 446,388
41,300 Central Garden & Pet Co.................................. 1,218,350
20,000 Central Newspapers Inc.+................................. 1,361,250
6,300 Central Parking Corp.+................................... 288,225
33,300 Century Communications Corp. ............................ 216,450
10,900 Chancellor Corp. ........................................ 474,150
28,200 Choice Hotels Corp., Inc. ............................... 537,563
17,000 Circuit City Stores-Carmax Group......................... 233,750
70,350 CKE Restaurants, Inc.@+.................................. 2,268,788
6,766 CKS Group Inc. .......................................... 225,815
48,050 Claire's Stores, Inc.+................................... 1,009,050
7,000 Coinmach Laundry Corp. .................................. 148,750
13,300 Cole National Corp., Class A Shares...................... 592,681
14,100 Collins & Aikman Corp. .................................. 155,981
15,100 Compucom Systems Inc. ................................... 151,944
10,400 Consolidated Graphics Inc. .............................. 504,400
11,300 Cooper Cos., Inc. ....................................... 372,900
61,650 Corestaff Inc. .......................................... 1,834,088
8,900 Cost Plus Inc. .......................................... 230,288
34,300 Cox Radio Inc. .......................................... 917,525
28,209 CSG Systems International Inc. .......................... 779,274
20,347 Culligan Water Technologies, Inc. ....................... 938,505
35,500 Daisytek International Corp. ............................ 1,650,750
35,700 DalTile International Inc. .............................. 604,669
7,600 Day Runner Inc. ......................................... 260,300
49,800 Devry Inc. .............................................. 1,350,825
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
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<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 19.1% (CONTINUED)
91,850 Dollar Tree Stores Inc.#................................. $ 3,570,669
14,400 Dominick's Supermarkets Inc. ............................ 396,000
11,599 Doubletree Corp. ........................................ 579,950
55,199 Eagle Hardware & Garden Inc. ............................ 1,210,929
98,500 Eastern Environmental Services Inc. ..................... 1,970,000
5,800 Electro Rent Corp. ...................................... 156,600
9,600 Emcare Holdings Inc. .................................... 363,600
60,100 Emmis Broadcasting Corp., Class A Shares................. 2,959,925
58,950 Equity Corp., International.............................. 1,359,535
8,782 Ethan Allen Interiors Inc.+.............................. 645,477
50,000 Evergreen Media Corp. ................................... 2,393,750
11,000 Executive Risk Inc.+..................................... 635,938
120,000 E*Trade Group Inc. ...................................... 3,855,000
127,200 Fairfield Communities Inc. .............................. 4,547,400
10,500 Fair Isaac & Co. Inc.+................................... 442,969
4,100 Fine Host Corp. ......................................... 142,475
13,400 The Finish Line Inc., Class A Shares .................... 187,600
99,500 Foodmaker Inc. .......................................... 1,952,688
6,200 Fossil Inc. ............................................. 108,500
8,100 Four Seasons Hotels Inc.+................................ 285,525
7,300 Friedman's Inc., Class A Shares.......................... 121,363
13,952 Gadzooks, Inc. .......................................... 265,088
26,700 Genesco Inc. ............................................ 332,081
2,600 Genovese Drug Stores Inc. ............................... 45,500
8,600 Getty Communications PLC ADR............................. 101,050
12,275 Ha-Lo Industries Inc.+................................... 308,409
7,300 Hancock Fabrics Inc.+.................................... 91,250
46,900 Heftel Broadcasting Corp. ............................... 2,907,800
29,500 Hollywood Entertainment Corp. ........................... 483,063
27,600 Host Marriott Corp. ..................................... 395,025
8,600 Hot Topic Inc. .......................................... 135,450
28,592 Houghton Mifflin Co.+.................................... 991,785
26,050 IDEX Corp.+.............................................. 843,369
4,100 IHOP Corp. .............................................. 150,419
1,900 IMCO Recycling Inc.+..................................... 36,456
24,600 Industri-Matematik International Corp. .................. 467,400
9,600 Information Management Resources Inc. ................... 313,200
10,070 Insilco Corp. ........................................... 385,178
79,100 Integrated Device Technologies Inc. ..................... 1,077,738
19,200 Interstate Hotels Co. ................................... 549,600
22,300 International Alliance Services Inc. .................... 203,488
12,700 International Dairy Queen Inc. .......................... 312,738
4,800 Iron Mountain Inc. ...................................... 151,200
52,200 ITT Educational Services, Inc. .......................... 1,044,000
31,500 Jacor Communications, Inc.@.............................. 1,386,000
17,300 John H. Harland Co.+..................................... 342,756
22,700 Jostens Inc.+............................................ 547,638
25,125 Just For Feet Inc. ...................................... 329,766
10,500 K2 Inc.+................................................. 325,500
15,800 Lamar Advertising Co. ................................... 422,650
20,300 Lonestar Steakhouse...................................... 348,906
215,400 Macromedia Inc. ......................................... 2,059,763
9,900 Mail Boxes Etc. ......................................... 263,588
16,200 Mail-Well Inc. .......................................... 452,588
53,400 Malibu Entertainment Worldwide........................... 250,313
11,300 McGrath Rent Corp.+...................................... 259,900
11,000 Memberworks Inc. ........................................ 221,375
</TABLE>
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 19.1% (CONTINUED)
88,050 The Men's Wearhouse Inc. ................................ $ 3,197,315
6,700 Merrill Corp.+........................................... 271,350
1,400 Metromail Corp. ......................................... 30,450
208,600 Metromedia International Group, Inc. .................... 2,477,126
5,700 Metro Networks Inc. ..................................... 172,425
1,100 Metzler Group Inc. ...................................... 37,675
78,700 Michaels Stores Inc. .................................... 1,923,231
27,000 Micro Warehouse Inc. .................................... 705,376
25,200 National Media Corp. .................................... 132,300
2,000 NCO Group Inc. .......................................... 75,000
55,300 News Corp., Ltd. ADR Pref.+.............................. 836,412
14,800 NFO Research Inc. ....................................... 377,400
1,300 99 Cents Only Stores..................................... 41,763
14,800 Norrell Corp.+........................................... 478,225
15,500 Oak Industries Inc. ..................................... 448,531
21,900 Oakley Inc. ............................................. 266,906
11,100 Object Design Inc. ...................................... 88,800
5,600 On Assignment Inc. ...................................... 252,700
174,550 Onsale Inc. ............................................. 1,767,319
5,700 O'Reilly Automotive, Inc. ............................... 251,513
17,850 Outdoor Systems Inc. .................................... 471,909
6,000 Paxson Communications Corp. ............................. 72,750
37,000 Pegasus Communications Corp. ............................ 494,875
9,200 Pegasus Systems Inc. .................................... 164,450
8,000 Penn National Gaming Inc. ............................... 142,000
3,500 Penske Motorsports Inc. ................................. 120,750
6,300 Personnel Group Of America Inc. ......................... 211,050
18,000 Petco Animal Supplies Inc. .............................. 533,250
11,500 Phymatrix Inc. .......................................... 139,437
25,700 Pierce Leahy Corp. ...................................... 700,325
68,029 Pier 1 Imports Inc.+@.................................... 1,156,493
24,900 Playboy Enterprises Inc., Class B Shares................. 314,363
17,600 Polaris Industries Inc.+................................. 506,000
12,500 Premier Parks Inc. ...................................... 403,125
149,700 Pre-Paid Legal Services, Inc. ........................... 3,555,375
11,200 Primadonna Resorts Inc. ................................. 212,800
15,300 Prime Hospitality Corp. ................................. 290,700
34,900 Proffitt's, Inc. ........................................ 1,873,693
10,466 Pulitzer Publishing Co.+................................. 550,119
11,800 Quality Food Centers Inc. ............................... 485,275
2,200 Quintel Entertainment Inc. .............................. 32,175
10,100 Rare Hospitality International Inc. ..................... 126,250
58,200 Regal Cinemas Inc. ...................................... 1,651,425
7,700 Rental Service Corp. .................................... 181,913
19,700 Renters Choice Inc. ..................................... 438,325
5,900 Rio Hotel & Casino Inc. ................................. 115,418
12,600 Rollins Inc.+............................................ 272,475
28,700 Romac International Inc. ................................ 1,090,600
20,600 Rotech Medical Corp. .................................... 370,800
23,400 Sabre Group Holdings Inc. ............................... 719,550
111,000 Safeguard Scientifics Inc. .............................. 3,225,937
11,500 Saga Communications Inc. ................................ 239,343
7,200 Sbarro Inc.+............................................. 192,600
10,900 Scientific Games Holdings Corp. ......................... 230,262
17,550 Seattle Filmworks Inc. .................................. 211,696
5,700 SFX Broadcasting Inc. ................................... 418,237
</TABLE>
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 19.1% (CONTINUED)
9,900 Signature Resorts Inc. .................................. $ 355,162
7,700 Silgan Holding Inc. ..................................... 315,700
11,400 Silverleaf Resorts Inc. ................................. 219,450
45,700 Sitel Corp. ............................................. 485,562
5,600 Smart & Final Inc.+...................................... 132,300
12,800 Snyder Communications Inc. .............................. 366,400
12,900 Sodak Gaming Inc. ....................................... 175,762
5,060 Sonic Corp. ............................................. 111,952
45,700 Sotheby's Holdings Inc., Class A Shares+................. 865,443
6,200 Source Services Corp. ................................... 180,575
16,700 Sparteck Corp.+.......................................... 265,112
19,093 The Sports Authority Inc. ............................... 355,607
18,500 Starbucks Corp. ......................................... 758,500
3,000 Sterigenics International Inc. .......................... 45,375
40,000 Stewart Enterprises Inc.+................................ 1,580,000
1,800 Suburban Lodges Of America Inc. ......................... 46,125
6,700 Sykes Enterprises Inc. .................................. 179,225
20,350 Sylvan Learning Systems Inc. ............................ 760,581
18,500 TCA Cable Television Inc.+............................... 703,000
7,400 Ticketmaster Group Inc. ................................. 126,725
19,800 Triarc Cos. ............................................. 414,562
8,100 Trimas Corp.+............................................ 231,862
5,200 Tuesday Morning Corp. ................................... 114,400
13,000 Unique Casual Restaurants Inc. .......................... 91,000
42,900 United International Holdings, Class A Shares............ 458,494
5,300 United Television Inc.+.................................. 516,087
14,300 United Video Satellite Group Inc., Class A Shares........ 398,612
8,300 Unitog Co.+.............................................. 214,243
38,000 Universal Outdoor Holdings Inc. ......................... 1,301,500
12,000 Urban Outfitters Inc. ................................... 201,000
109,100 US Office Products Co.@.................................. 3,573,025
36,400 U.S. Satellite Broadcasting Co. ......................... 325,325
25,000 Vail Resorts Inc. ....................................... 625,000
7,900 Vestcom International Inc. .............................. 128,375
17,800 Videoserver Inc. ........................................ 234,737
8,700 Volt Information Sciences, Inc. ......................... 485,568
11,700 Wabash National Corp. ................................... 343,687
8,100 Wackenhut Corrections Corp.+............................. 214,650
11,400 West Marine Inc. ........................................ 216,600
28,765 Westwood One Inc. ....................................... 809,015
12,300 Wet Seal Inc., Class A Shares............................ 267,525
43,200 Williams Sonoma Inc. .................................... 1,933,200
5,400 WMS Industries Inc. ..................................... 133,312
5,500 Wonderware Corp. ........................................ 101,406
2,100 World Color Press Inc. .................................. 62,737
10,500 Wyndham Hotel Corp. ..................................... 346,500
15,000 Young Broadcasting Corp., Class A Shares................. 541,875
2,200 Zale Corp. .............................................. 47,300
- --------------------------------------------------------------------------------
150,459,928
- --------------------------------------------------------------------------------
ENERGY -- 4.2%
5,300 Advanced Energy Industries Inc. ......................... 166,950
84,300 Avid Technology Inc. .................................... 2,781,900
52,560 Barrett Resources Corp. ................................. 1,925,011
4,227 Belco Oil & Gas Corp. ................................... 78,200
23,000 Benton Oil & Gas Co. .................................... 366,563
</TABLE>
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74
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENERGY -- 4.2% (CONTINUED)
17,150 Cable Design Technologies................................ $ 573,453
40,200 Cabot Oil & Gas Corp.+................................... 932,138
11,300 Cairn Energy USA Inc. ................................... 129,244
2,800 Carbo Ceramics Inc.+..................................... 78,050
49,500 Chesapeake Energy Corp.+................................. 423,844
18,200 Cliffs Drilling Co. ..................................... 867,913
37,250 Cross Timbers Oil Co.+................................... 803,204
12,100 Devon Energy Corp.+...................................... 516,519
78,300 DI Industries Inc. ...................................... 508,950
7,100 Edge Petroleum Corp. .................................... 113,600
26,700 Expeditors International of Washington, Inc.+............ 977,888
33,000 Falcon Drilling Co., Inc. ............................... 1,039,500
3,100 Ferro Corp.+............................................. 116,638
29,700 Forcenergy Gas Exploration Inc. ......................... 1,076,625
20,900 Georgia Gulf Corp.+...................................... 600,875
96,000 Global Industries Inc.#.................................. 3,498,001
39,700 Input/Output Inc. ....................................... 833,700
26,200 KCS Energy Inc.+......................................... 699,213
14,000 Key Energy Group Inc. ................................... 362,250
57,300 Monterey Resources Inc.+................................. 1,181,812
42,200 Nabors Industries Inc. .................................. 1,453,262
27,100 National Energy Group Inc. .............................. 125,337
20,000 National Oilwell Inc. ................................... 1,231,250
37,300 Newfield Exploration Co. ................................ 958,143
25,700 Noble Drilling Corp. .................................... 730,843
7,100 Ocean Energy Inc. ....................................... 456,618
19,400 Oceaneering International Inc. .......................... 452,262
8,400 Patterson Energy Inc. ................................... 321,300
6,300 Plains Resources Inc. ................................... 114,975
11,400 Pool Energy Services Co. ................................ 356,962
47,400 Pride International Inc.@................................ 1,516,800
6,800 Rutherford-Moran Oil Corp. .............................. 152,150
9,362 Semco Energy Inc.+....................................... 168,516
10,100 St. Mary Land & Exploration+............................. 361,075
15,200 Stone Energy Corp. ...................................... 463,600
5,625 Tejas Gas Corp. ......................................... 267,187
16,900 Transmontaigne Oil Co. .................................. 293,637
47,246 Tuboscope Inc. .......................................... 1,316,982
44,000 Unit Corp. .............................................. 591,249
23,500 Veritas DGC Inc. ........................................ 804,875
16,680 Vintage Petroleum Inc.+.................................. 716,197
- --------------------------------------------------------------------------------
33,505,261
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 5.0%
139,250 Aames Financial Corp.#+.................................. 2,480,390
34,300 Americredit Corp. ....................................... 917,525
23,100 Amerin Co. .............................................. 534,188
122,200 Amresco Inc. ............................................ 3,643,088
2,700 Arcadia Financial Ltd. .................................. 26,831
6,000 Arm Financial Group, Inc.+............................... 116,625
17,300 Arthur J. Gallagher & Co.+............................... 618,475
11,250 Bank Of Granite Corp.+................................... 371,250
7,900 The Carbide/Graphite Group Inc. ......................... 261,687
40,000 CBT Group PLC ADR........................................ 2,600,000
1,886 CCB Financial Corp.+..................................... 152,530
3,400 Citizens Bancshares Inc. Ohio+........................... 175,100
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
75
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 5.0% (CONTINUED)
12,400 Cityscape Financial Corp................................. $ 127,875
17,800 CMAC Investment Corp.+................................... 821,025
15,300 Coinstar Inc. ........................................... 181,688
12,674 Commerce BanCorp. Inc. of New Jersey+.................... 468,938
14,000 Covenant Transport....................................... 238,000
39,600 Crawford & Co. .......................................... 836,550
28,500 Credit Acceptance Corp. ................................. 402,563
4,800 CVB Financial Corp.+..................................... 110,400
120,000 Delta Financial Corp.#................................... 2,362,500
11,000 E.W. Blanch Holdings Inc.+............................... 323,125
5,500 Firstfed Financial Corp. ................................ 185,625
5,600 First Michigan Bank Corp.+............................... 208,600
24,300 Firstplus Financial Group Inc. .......................... 1,117,800
6,028 Foremost Corp. of America+............................... 335,308
22,854 Frontier Insurance Group Inc.+........................... 799,890
16,455 Fulton Financial Corp.+.................................. 452,513
3,800 Hartford Life Inc., Class A Shares....................... 141,788
33,300 HCC Insurance Holdings Inc.+............................. 880,369
10,100 Henry Schein Inc. ....................................... 359,813
21,600 HSB Group Inc.+@......................................... 1,161,000
3,502 Hubco Inc.+.............................................. 107,249
25,400 IMC Mortgage Co. ........................................ 423,863
25,800 Imperial Credit Industries Inc. ......................... 480,525
5,900 Insignia Financial Group, Inc., Class A Shares........... 112,100
5,500 Investment Technology Group, Inc. ....................... 170,500
5,400 Investors Financial Service Corp.+....................... 239,625
14,600 Irvine Apartment Communities Inc.+....................... 417,925
4,000 Irwin Financial Corp.+................................... 128,000
5,900 Jackson Hewitt Inc. ..................................... 188,800
10,300 Jefferies Group Inc.+.................................... 700,400
5,883 John Nuveen Corp.+....................................... 179,064
4,879 Legg Mason Inc.+......................................... 301,278
10,900 Magna BanCorp. Inc.+..................................... 276,588
2,700 Markel Corp. ............................................ 388,463
7,475 McDonald & Co. Investments+.............................. 329,834
19,200 Mills Corp.+............................................. 508,800
6,000 Moneygram Payment Systems Inc. .......................... 105,000
9,140 National City Bancshares Industries Inc.+................ 383,880
20,400 New York BanCorp.+....................................... 622,200
9,000 Ocwen Asset Investment Corp. ............................ 210,375
13,400 Ocwen Financial Corp. ................................... 572,013
6,900 Old National BanCorp.+................................... 301,875
6,800 Oriental Financial Group+................................ 229,500
4,300 Park National Corp.+..................................... 298,581
13,160 Pioneer Group Inc.+...................................... 427,700
6,700 Poe & Brown Inc.+........................................ 249,575
22,350 Quick & Reilly Group Inc.+............................... 765,487
18,900 Raymond James Financial Corp.+........................... 548,100
1,800 Reinsurance Group Of America+............................ 107,887
12,800 SEI Investments Co.+..................................... 371,200
10,155 Silicon Valley Bancshares................................ 545,831
40,500 Sirrom Capital Corp.+.................................... 1,452,937
5,400 Southern Pacific Funding Corp. .......................... 80,662
13,200 Sterling Bancshares Inc. of Texas+....................... 237,600
6,200 Triad Guaranty Inc. ..................................... 347,200
16,825 Trustco Bank Corp. ...................................... 433,243
</TABLE>
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76
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 5.0% (CONTINUED)
22,604 US Trust Corp. of New York+.............................. $ 1,186,710
4,684 Vesta Insurance Group Inc. .............................. 230,979
8,800 Wall Data Inc. .......................................... 154,000
10,000 Webster Financial Corp.+................................. 528,750
500 Westamerica BanCorp+..................................... 41,000
21,000 Westernbank Puerto Rico+................................. 330,750
3,420 WFS Financial Inc. ...................................... 67,972
- --------------------------------------------------------------------------------
39,197,080
- --------------------------------------------------------------------------------
HEALTH CARE -- 14.0%
18,450 Access Health Inc. ...................................... 576,563
25,100 Adac Laboratories+....................................... 492,588
21,900 Affymetrix Inc. ......................................... 733,650
29,800 Agouron Pharmaceuticals Inc.@............................ 1,311,200
24,100 Algos Pharmaceuticals Corp. ............................. 521,163
21,800 Alkermes Inc. ........................................... 406,025
39,500 Alliance Pharmaceutical Corp. ........................... 402,406
1,883 Alpharma, Inc. Rights, Expire 11/25/97................... 10,358
11,300 Alpharma, Inc.+.......................................... 247,894
11,000 Alternative Living Services Inc. ........................ 248,875
3,750 American Homepatient Inc. ............................... 62,813
168,800 American Oncology Resources Inc. ........................ 2,310,451
25,489 Amerisource Health Corp.@................................ 1,276,043
28,600 Amylin Pharmaceuticals Inc. ............................. 227,013
8,600 Andrx Corp. ............................................. 337,550
7,400 Anesta Corp. ............................................ 142,450
8,400 Aphton Corp. ............................................ 106,050
5,600 Applied Analytical Industries Inc. ...................... 129,500
36,700 Apria Healthcare Group Inc. ............................. 642,250
6,700 Arbor Health Care Co. ................................... 237,013
11,400 Arqule Inc. ............................................. 208,050
9,600 Arris Pharmaceutical Corp. .............................. 130,800
15,600 Arrow International Inc.+................................ 462,150
14,890 ATL Ultrasound Inc. ..................................... 604,906
6,000 Aurora Biosciences Corp. ................................ 56,250
4,200 Baan Co. NV.............................................. 253,027
30,100 Ballard Medical Products+................................ 696,063
10,125 Barr Laboratories Inc. .................................. 397,406
9,100 Biomatrix Inc. .......................................... 304,850
53,900 Bio-Technology General Corp. ............................ 687,225
8,200 Capstone Pharmacy Services, Inc. ........................ 97,888
9,400 Carematrix Corp. ........................................ 192,700
2,900 Cephalon Inc. ........................................... 31,175
8,100 Chirex Inc. ............................................. 158,963
9,050 Clinitrials Research Inc. ............................... 83,713
5,800 Closure Medical Corp. ................................... 161,675
7,550 CN Lunar Corp. .......................................... 173,650
6,200 Coherent Inc. ........................................... 284,425
31,100 Columbia Laboratories Inc. .............................. 532,588
5,800 Compdent Corp. .......................................... 140,650
6,600 Conmed Corp. ............................................ 122,925
16,456 Cor Therapeutics Inc. ................................... 271,524
59,800 Covance Inc.@............................................ 1,091,350
190,300 Coventry Corp. .......................................... 3,163,738
6,400 CRA Managed Care Inc. ................................... 355,200
42,700 Creative Biomolecules Inc. .............................. 360,281
</TABLE>
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77
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTH CARE -- 14.0% (CONTINUED)
14,200 Curative Technologies Inc. .............................. $ 436,650
23,000 Cygnus Inc. ............................................. 431,250
65,400 Cytogen Corp. ........................................... 273,863
13,400 Cytyc Corp. ............................................. 268,000
10,100 Diagnostic Products Corp.+............................... 280,275
8,700 Digene Corp. ............................................ 123,975
54,400 Dura Pharmaceuticals Inc. ............................... 1,938,000
5,200 Emisphere Technologies Inc. ............................. 92,300
23,500 Employee Solutions Inc. ................................. 123,375
22,700 Envoy Corp. ............................................. 612,900
21,617 Enzo Biochem Inc. ....................................... 348,574
9,500 Express Scripts Inc., Class A Shares..................... 473,813
123,200 FPA Medical Management Inc. ............................. 3,572,800
14,300 Fuisz Technologies Ltd. ................................. 160,875
15,900 Geltex Pharmaceuticals Inc. ............................. 319,988
51,900 Gensia Sicor Inc. ....................................... 272,475
59,600 Gilead Sciences Inc. .................................... 1,929,550
25,200 Graham Field Health Products Inc. ....................... 373,275
25,300 Guilford Pharmaceuticals Inc. ........................... 679,938
13,100 Gulf South Medical Supply Inc. .......................... 330,775
14,300 Hanger Orthopedic Group Inc. ............................ 173,388
45,790 HBO & Co.+............................................... 3,279,709
142,100 Healthcare Recoveries Inc. .............................. 2,504,513
18,200 Healthdyne Technologies Inc. ............................ 307,125
12,900 Healthplan Services Corp.+............................... 276,544
16,400 Heartport Inc. .......................................... 292,125
17,200 Herbalife International Inc.+............................ 406,350
14,960 Hilb, Rogal, & Hamilton Co.+............................. 253,385
11,900 Hologic Inc. ............................................ 288,575
7,900 Horizon Health Corp. .................................... 187,625
20,600 Human Genome Sciences Inc. .............................. 767,350
3,686 ICN Pharmaceuticals, Inc.+............................... 133,157
39,300 ICOS Corp. .............................................. 378,263
38,800 IDEC Pharmaceuticals Corp. .............................. 1,178,550
6,900 IDX Systems Corp. ....................................... 233,738
102,300 Imatron Inc. ............................................ 252,553
34,200 Immunomedics Inc. ....................................... 153,900
15,300 Inhale Therapeutic Systems............................... 344,250
21,100 International Network Services........................... 485,300
29,300 Interneuron Pharmaceuticals Inc. ........................ 542,050
17,000 Invacare Corp.+.......................................... 357,000
27,200 Isis Pharmaceuticals, Inc. .............................. 409,700
50,600 Jones Medical Industries, Inc.+.......................... 1,505,350
2,400 Kendle International Inc. ............................... 38,400
20,600 Kinetic Concepts, Inc.+.................................. 378,525
4,300 Kos Pharmaceuticals Inc.+................................ 148,350
13,800 Life Technologies Inc.+.................................. 386,400
31,900 Ligand Pharmaceuticals................................... 462,550
37,200 Liposome Co. Inc. ....................................... 285,975
2,900 Living Centers Of America, Inc. ......................... 111,288
19,600 Magellan Health Services, Inc. .......................... 597,800
18,200 Martek Biosciences Corp. ................................ 266,175
19,400 Maxicare Health Plans Inc. .............................. 349,200
154,500 Medaphis Corp. .......................................... 1,409,813
81,600 Medicis Pharmaceutical Corp.#............................ 3,243,600
18,900 Medimunne Inc. .......................................... 500,850
</TABLE>
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78
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTH CARE -- 14.0% (CONTINUED)
4,500 Mediq Inc. .............................................. $ 34,031
5,300 Medquist Inc. ........................................... 176,225
93,400 Mentor Corp.+............................................ 2,872,050
35,500 Mid Atlantic Medical Services, Inc. ..................... 548,031
24,700 Millennium Pharmaceuticals Inc. ......................... 333,450
4,900 Minimed Inc. ............................................ 172,113
1,900 Morrison Health Care Inc.+............................... 32,656
20,350 Multicare Cos., Inc. .................................... 562,169
11,700 Myriad Genetics Inc. .................................... 277,875
43,200 Nabi Inc. ............................................... 297,000
5,100 National Health Investors Inc.+.......................... 198,900
10,600 National Surgery Centers, Inc. .......................... 315,350
19,300 NCS Healthcare Inc. ..................................... 475,263
12,000 Neopath Inc. ............................................ 196,500
26,200 Neoprobe Corp. .......................................... 325,863
19,700 Neurex Corp. ............................................ 256,100
11,800 Neurogen Corp. .......................................... 232,313
21,700 Neuromedical Systems Inc. ............................... 75,950
32,457 Nexstar Pharmaceuticals, Inc. ........................... 492,941
22,200 Occusystems Inc. ........................................ 699,300
2,100 OEC Medical Systems Inc. ................................ 36,881
6,500 Onyx Pharmaceuticals Inc. ............................... 63,375
35,500 Orthondontic Centers of America, Inc. ................... 607,938
5,500 Osmonics Inc. ........................................... 93,500
22,900 Owens & Minor Inc., Holding Co.+......................... 310,581
2,600 Oxigene Inc. ............................................ 89,050
29,100 Paracelus Healthcare Corp. .............................. 190,968
81,000 Parexel International Corp. ............................. 2,865,375
44,822 Parker Drilling Co. ..................................... 591,090
23,700 Pathogenesis Corp. ...................................... 779,137
14,100 Patterson Dental Co. .................................... 498,787
7,000 PDT Inc. ................................................ 259,000
33,700 Pediatrix Medical Group Inc. ............................ 1,402,762
10,600 Perclose Inc. ........................................... 249,100
26,805 Pharmaceutical Product Development Inc. ................. 583,008
12,500 Phoenix Technology Ltd. ................................. 190,625
13,200 PHP Healthcare Corp. .................................... 196,350
23,400 Physician Computer Network Inc. ......................... 162,337
14,600 Physician Resource Group Inc. ........................... 128,662
54,800 Physician Sales & Service, Inc. ......................... 931,600
23,100 Physio-Control International Corp. ...................... 323,400
14,400 Plexus Corp. ............................................ 416,700
15,900 Possis Corp. ............................................ 236,512
13,400 Prime Medical Services Inc. ............................. 181,737
15,000 Protein Design Labs Inc. ................................ 534,375
4,000 Regency Health Services Inc. ............................ 86,250
14,800 Regeneron Pharmaceuticals, Inc. ......................... 136,900
106,350 Renal Care Group, Inc. .................................. 3,469,668
28,600 Renal Treatment Centers Inc. ............................ 968,825
7,300 Res-Care Inc. ........................................... 146,912
23,400 Respironics Inc. ........................................ 541,125
7,800 Sabratek Corp. .......................................... 282,750
18,800 Sandisk Corp. ........................................... 509,950
46,100 Sangstat Medical Corp. .................................. 1,060,300
12,600 Sawtek Inc. ............................................. 496,125
36,403 Scios Inc. .............................................. 273,022
</TABLE>
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SMALL CAPITALIZATION GROWTH INVESTMENTS
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HEALTH CARE -- 14.0% (CONTINUED)
5,800 Seachange International Inc. ............................ $ 92,075
4,100 Semtech Corp. ........................................... 242,412
29,900 Sepracor Inc. ........................................... 657,800
41,900 Sequus Pharmaceuticals Inc. ............................. 282,825
18,450 Serologicals Corp. ...................................... 359,775
29,500 Shiva Corp. ............................................. 435,125
1,300 Sierra Health Services Inc. ............................. 42,818
13,700 Smart Modular Technologies Inc. ......................... 808,300
28,200 Sola International Inc. ................................. 874,200
6,600 Sonus Pharmaceuticals Inc. .............................. 263,175
6,500 Speedfam International Inc. ............................. 356,687
10,500 Spine-Tech Inc. ......................................... 493,500
18,700 Staar Surgical Co. ...................................... 317,900
15,600 Summit Technology Inc. .................................. 103,350
105,000 Sun Healthcare Group Inc.#............................... 2,257,500
8,000 Sunrise Assisted Living, Inc. ........................... 249,000
11,900 Techne Corp. ............................................ 367,412
15,800 TECNOL Medical Products, Inc. ........................... 339,700
113,100 Theragenics Corp. ....................................... 4,269,525
21,050 Theratech Inc. Delware................................... 218,393
21,100 Thermedics Inc. ......................................... 387,712
17,500 Thermo Cardiosystems Inc. ............................... 438,593
8,100 Thermolase Corp. ........................................ 130,612
88,100 Total Renal Care Holdings Inc. .......................... 4,030,575
23,000 Transition Systems Inc. ................................. 439,875
18,400 Transkaryotic Therapies Inc. ............................ 577,300
13,000 Triangle Pharmaceuticals Inc. ........................... 269,750
6,200 Urologix Inc. ........................................... 129,425
28,187 US Bioscience Inc. ...................................... 283,631
83,300 Vertex Pharmaceuticals Inc. ............................. 2,853,025
8,700 Veterinary Centers of America Inc. ...................... 120,712
6,500 Vital Signs Inc.+........................................ 113,750
9,720 Vitalink Pharmacy Services, Inc. ........................ 192,577
35,800 Vivus Inc. .............................................. 957,650
30,700 Zila Inc. ............................................... 222,575
17,600 Zitel Corp............................................... 354,200
- --------------------------------------------------------------------------------
110,379,295
- --------------------------------------------------------------------------------
MEDICAL TECHNOLOGY -- 1.6%
125,500 Acuson Corp. ............................................ 3,380,656
37,000 Advanced Tissue Sciences Inc. ........................... 578,125
34,100 Arterial Vascular Engineer Inc.@......................... 1,261,700
7,600 CNS Inc. ................................................ 66,975
36,700 Cognex Corp.@............................................ 1,403,775
13,500 IDEXX Laboratories Inc. ................................. 253,969
40,200 Incyte Pharmaceuticals Inc. ............................. 2,432,100
17,600 I-Stat Corp. ............................................ 352,000
10,300 Landauer Inc.+........................................... 258,144
8,128 Marquette Medical Systems Inc. .......................... 210,312
54,500 Medic Computer Systems Inc. ............................. 1,703,125
4,773 Tyco International Ltd.+................................. 374,382
- --------------------------------------------------------------------------------
12,275,263
- --------------------------------------------------------------------------------
REAL ESTATE -- 1.5%
2,200 Alexander's Inc. ........................................ 156,613
14,900 Associated Estates Realty Corp.+......................... 338,044
1,200 CB Commercial Real Estate Services Group Inc. ........... 37,800
</TABLE>
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SMALL CAPITALIZATION GROWTH INVESTMENTS
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<C> <S> <C>
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REAL ESTATE -- 1.5% (CONTINUED)
56,300 CCA Prison Realty Trust+................................. $ 1,864,938
2,500 Charles E. Smith Residential Realty, Inc................. 76,250
5,770 Chelsea GCA Realty Inc. ................................. 216,736
18,367 Cousins Properties Inc.+................................. 490,169
12,600 Developers Diversified Realty Corp.+..................... 489,825
12,500 Federal Realty Investment Trust+......................... 314,844
5,154 Forest City Enterprises, Inc. ........................... 277,350
32,800 General Growth Properties+@.............................. 1,123,400
2,013 Griffin Land & Nurseries Inc. ........................... 35,228
4,800 Grubb & Ellis Co. ....................................... 70,800
30,100 Healthcare Investors of America, Inc.+................... 1,119,344
23,000 Intrawest Corp.+......................................... 402,500
1,200 JP Realty Inc.+.......................................... 29,550
25,000 Lasalle Partners Inc. ................................... 743,750
26,900 Macerich Co.+............................................ 744,793
9,700 NHP Inc. ................................................ 244,318
9,500 Penn Real Estate Investment Trust+....................... 245,218
1,600 Post Properties Inc.+.................................... 59,700
32,800 Reckson Associates Realty Corp.+......................... 791,300
14,300 Redwood Trust Inc.+...................................... 548,762
3,300 Saul Centers Inc.+....................................... 57,750
18,400 Town & Country Trust+.................................... 312,800
11,700 Urban Shopping Centers, Inc.+............................ 361,968
26,900 Washington Real Estate Investment Trust+................. 453,938
- --------------------------------------------------------------------------------
11,607,688
- --------------------------------------------------------------------------------
TECHNOLOGY -- 24.2%
26,400 Acclaim Entertainment Inc. .............................. 105,600
1,600 ACT Manufacturing, Inc. ................................. 64,000
16,400 Activision, Inc. ........................................ 213,200
20,400 Adtran Inc. ............................................. 795,600
8,400 Advanced Technology Material Inc. ....................... 247,800
4,300 Advent Software Inc. .................................... 113,950
2,800 Alliant Techsystems Inc. ................................ 180,775
11,500 Altron Inc. ............................................. 232,875
14,800 American Business Information Inc. ...................... 405,150
32,000 Ampex Corp., Class A Shares.............................. 150,000
19,300 Amphenol Corp., Class A Shares........................... 757,525
16,200 Analysis International Corp.+............................ 554,850
2,650 Antec Corp. ............................................. 35,775
35,253 Apex PC Solutions Inc. .................................. 1,410,120
4,314 Applied Industrial Technologies Inc.+.................... 177,413
27,400 Applied Magnetics Corp. ................................. 1,012,088
10,300 Applied Power Inc.+...................................... 654,050
19,700 Arbor Software Corp. .................................... 780,613
5,100 Aspect Development Inc. ................................. 195,075
103,000 Aspen Technology Inc. ................................... 3,514,875
23,100 Auspex Systems Inc. ..................................... 254,100
26,475 Avant Corp. ............................................. 769,430
12,300 Aviall Inc. ............................................. 201,413
13,300 Aware Inc. of Massachusetts.............................. 156,275
6,500 Axiom Inc. .............................................. 63,375
1,799 Banctec, Inc. ........................................... 44,525
7,400 Barra Inc. .............................................. 258,075
30,400 BDM International Inc. .................................. 767,600
24,300 BE Aerospace Inc. ....................................... 862,650
</TABLE>
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SMALL CAPITALIZATION GROWTH INVESTMENTS
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<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 24.2% (CONTINUED)
57,300 BEA Systems Inc. ........................................ $ 1,052,888
11,900 Bell & Howell Co. ....................................... 364,438
27,400 The BISYS Group Inc. .................................... 924,750
87,600 Black Box Corp. ......................................... 3,186,450
19,750 Boole & Babbage Inc. .................................... 513,500
28,200 Boston Technology Inc. .................................. 830,138
23,200 Broderbund Software Inc. ................................ 684,400
26,770 Burr-Brown Corp. ........................................ 950,335
7,300 C&D Technology Inc. ..................................... 291,544
4,700 Caci International Inc., Class A Shares.................. 79,313
4,800 California Microwave Inc. ............................... 78,000
70,000 Cambridge Technology Partners Inc. ...................... 2,257,500
22,100 CCC Information Services Group .......................... 381,225
35,200 C-Cube Microsystems Inc. ................................ 1,056,000
11,000 CDI Corp. ............................................... 387,750
7,700 CDW Computer Centers Inc. ............................... 561,138
27,498 Cellular Technical Services Co. ......................... 144,365
27,900 Cerner Corp. ............................................ 823,050
5,800 CFM Technologies Inc. ................................... 187,775
46,000 Checkfree Corp. ......................................... 885,500
12,300 Checkpoint Systems Inc. ................................. 173,738
22,300 Chips & Technologies Inc. ............................... 374,919
72,700 Ciber Inc. .............................................. 2,903,457
27,500 Citrix Systems Inc.@..................................... 1,388,750
4,500 Claremont Technology Group, Inc. ........................ 79,875
18,400 Clarify Inc. ............................................ 289,800
5,200 CNET Inc. ............................................... 170,950
24,700 Cognos Inc. ............................................. 787,313
12,300 Coherent Communications Systems Corp. ................... 289,050
11,300 Cohu Inc.+............................................... 632,800
15,295 Commnet Cellular Inc. ................................... 535,325
106,100 Computer Horizons Corp.@................................. 4,217,475
3,425 Computer Management Sciences, Inc. ...................... 65,931
7,100 Computer Motion Inc. .................................... 102,063
27,200 Computer Products Inc. .................................. 826,200
83,700 Computer Task Group Inc.+................................ 3,740,344
86,700 Computervision Corp. .................................... 216,750
71,700 Comverse Technology Inc.#@............................... 3,293,719
61,500 Copytele Inc. ........................................... 280,594
7,500 Credit Management Solutions Inc. ........................ 97,500
8,500 Cybermedia Inc. ......................................... 179,563
8,000 Cylink Corp. ............................................ 92,000
89,700 Cypress Semiconductor Corp. ............................. 1,592,175
24,100 Cyrix Corp. ............................................. 676,306
10,300 Data Dimensions Inc. .................................... 343,763
1,400 Data Processing Resources Corp. ......................... 33,775
12,600 Data Transmission Network Corp. ......................... 346,500
8,150 Davox Corp. ............................................. 236,350
3,300 DBT Online Inc. ......................................... 170,363
6,900 Deltek Systems Inc. ..................................... 155,250
10,400 Dialogic Corp. .......................................... 416,000
17,400 Digital Microwave Corp. ................................. 715,575
11,500 DII Group, Inc. ......................................... 629,625
13,400 Dionex Corp. ............................................ 626,450
12,500 Documentum, Inc. ........................................ 443,750
4,900 Dupont Photomasks Inc. .................................. 320,950
</TABLE>
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SMALL CAPITALIZATION GROWTH INVESTMENTS
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SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 24.2% (CONTINUED)
18,500 Dynatech Corp. .......................................... $ 707,625
14,100 Edify Corp. ............................................. 204,450
6,500 Electro Scientific Industries Inc. ...................... 315,250
7,600 Eltron International Inc. ............................... 246,050
12,600 Encad Inc. .............................................. 442,575
16,700 Engineering Animation Inc. .............................. 638,775
2,300 Factset Research Systems Inc. ........................... 63,106
61,300 FEI Co. ................................................. 1,026,775
8,500 Filenet Corp. ........................................... 152,469
20,300 Forte Software Inc. ..................................... 275,319
13,800 General Datacomm Industries Inc.+........................ 100,050
28,300 Genrad Inc. ............................................. 749,950
82,100 Geotek Communications Inc. .............................. 359,188
25,500 Glenayre Technologies Inc. .............................. 446,250
28,100 GT Interactive Software Corp. ........................... 284,513
46,611 Hadco Corp. ............................................. 3,268,596
44,500 Harbinger Corp.+......................................... 1,557,500
5,300 HCIA Inc. ............................................... 82,150
9,900 Helix Technology Corp.+.................................. 591,525
28,100 Highway Master........................................... 256,413
283,800 HMT Technology Corp.#.................................... 4,824,600
63,800 HNC Software Inc. ....................................... 2,320,725
19,100 HPR Inc. ................................................ 341,413
37,400 Hutchinson Technology, Inc. ............................. 1,234,200
18,300 Hyperion Software Corp. ................................. 527,269
25,100 Identix Inc. ............................................ 251,000
12,300 IKOS Systems, Inc. ...................................... 182,194
9,500 Imnet Systems Inc. ...................................... 313,500
2,100 Inacom Corp. ............................................ 72,450
4,800 Indus International Inc. ................................ 76,800
24,300 Infinity Financial Technology Inc. ...................... 303,750
8,500 In Focus Systems Inc. ................................... 204,000
4,900 Information Management Associates........................ 59,413
15,500 Innovex Inc.+............................................ 521,188
6,500 Insight Enterprises Inc. ................................ 281,125
10,700 Inso Corp. .............................................. 148,463
20,500 Integrated Systems Inc. ................................. 310,063
67,500 InterDigital Communications Corp. ....................... 396,563
9,200 Intermet Corp.+.......................................... 159,275
27,100 Intersolv Inc. .......................................... 438,681
12,100 Inter-Tel Inc. .......................................... 346,363
18,200 Intervoice Inc. ......................................... 174,038
11,700 Intevac Inc. ............................................ 166,725
2,100 I2 Technologies Inc. .................................... 97,125
18,000 IXC Communications Inc. ................................. 486,000
4,000 Jacobs Engineering Group Inc. ........................... 128,000
15,000 Jack Henry & Associates+................................. 375,000
17,800 JDA Software Group, Inc. ................................ 556,250
121,200 Kulicke & Soffa Industries Inc. ......................... 5,567,626
24,100 Lam Research Corp. ...................................... 1,361,650
30,000 Lattice Semiconductor Corp. ............................. 1,910,625
10,300 Learning Tree International Inc. ........................ 283,250
6,300 Lecroy Corp. ............................................ 214,200
66,400 Legato Systems Inc. ..................................... 1,892,400
20,000 Lone Star Technologies Inc. ............................. 816,250
110,256 Lycos Inc.#.............................................. 3,452,392
</TABLE>
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SMALL CAPITALIZATION GROWTH INVESTMENTS
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<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 24.2% (CONTINUED)
17,100 Manugistics Group Inc. .................................. $ 724,613
11,650 Mastec Inc. ............................................. 543,909
1,500 Mastech Corp. ........................................... 39,750
14,400 May & Speh Inc. ......................................... 183,600
3,600 McWhorter Technologies Inc. ............................. 97,425
20,800 Mercury Interactive Corp. ............................... 400,400
28,550 Methode Electronics Inc.+................................ 678,063
12,800 Micrel Inc. ............................................. 457,600
22,400 Microage Inc. ........................................... 609,001
13,400 Micro Linear Corp. ...................................... 123,113
28,700 Micros Systems Inc. ..................................... 1,341,725
5,600 Microtouch Systems Inc. ................................. 176,400
17,300 MRV Communications, Inc. ................................ 508,188
1,600 National Computer Systems Inc.+.......................... 52,400
35,000 National Data Corp.+..................................... 1,310,312
10,700 National Instruments Corp. .............................. 441,375
11,400 National Techteam Inc. .................................. 123,975
19,900 Natural Microsystems Corp. .............................. 731,325
11,300 Neomagic Corp. .......................................... 245,775
51,400 Network Appliance, Inc. ................................. 2,428,650
16,900 Network Computing Devices, Inc. ......................... 200,687
6,900 Network Equipment Technologies Inc. ..................... 129,806
50,100 Network General Corp. ................................... 832,912
22,500 Nova Corp. .............................................. 570,938
16,400 Oak Technologies Inc. ................................... 178,350
57,900 Octel Communications Corp.@.............................. 1,758,712
14,700 ODS Networks Inc. ....................................... 157,106
24,300 OIS Optical Imaging Systems Inc. ........................ 47,081
8,700 Omtool Ltd. ............................................. 85,912
14,100 Open Market Inc. ........................................ 157,743
17,800 Orbital Sciences Corp. .................................. 386,037
22,281 Organogenesis Inc. ...................................... 414,983
10,300 Overland Data Inc. ...................................... 72,100
10,800 Palmer Wireless Inc. .................................... 187,650
600 Park Electrochemical Corp.+.............................. 17,775
27,168 Paxar Corp. ............................................. 590,904
100,700 P-Com Inc. .............................................. 4,676,255
7,000 Peerless Systems Corp. .................................. 102,375
5,100 Pega Systems Inc. ....................................... 137,381
10,600 Perceptron Inc. ......................................... 278,250
35,100 Performance Systems International Inc. .................. 287,381
14,400 Periphonics Corp. ....................................... 204,300
6,900 Peritus Software Services Inc. .......................... 172,500
13,600 Photronics Inc. ......................................... 802,400
12,000 Pixar Inc. .............................................. 240,750
59,396 Platinum Technology Inc. ................................ 1,410,655
31,500 PMC-Sierra Inc. ......................................... 903,656
36,600 PMT Services, Inc. ...................................... 617,625
4,200 Policy Management Systems Corp. ......................... 252,263
10,800 Powerwave Technologies Inc. ............................. 421,875
14,100 PRI Automation, Inc. .................................... 754,350
8,600 Project Software & Development Inc. ..................... 184,900
14,100 Proxim Inc. ............................................. 348,975
17,800 Quantum Corp. Delaware................................... 624,113
11,300 QuickResponse Services, Inc. ............................ 395,500
7,400 Radisys Corp. ........................................... 292,300
</TABLE>
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
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SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 24.2% (CONTINUED)
9,400 Rambus Inc. ............................................. $ 747,300
28,700 Ramtron International Corp. ............................. 238,569
47,900 Read Rite Corp. ......................................... 1,374,132
8,440 Registry Inc. ........................................... 387,185
99,650 Remedy Corp.#............................................ 3,842,752
5,500 RF Micro Devices Inc. ................................... 103,125
7,700 Rogers Corp. ............................................ 291,637
2,400 S&T BanCorp Inc.+........................................ 87,000
17,700 Safeskin Corp. .......................................... 588,525
57,100 Sapient Corp. ........................................... 3,126,225
109,350 Scopus Technology Inc. .................................. 2,706,412
13,100 SDL Inc. ................................................ 232,525
22,000 Security Dynamics Technologies Inc. ..................... 864,875
27,200 Siebel Systems Inc. ..................................... 982,600
94,800 SIII Inc. ............................................... 1,522,724
10,400 Silicon Valley Group Inc. ............................... 351,000
37,400 Spectrum Holobyte Inc. .................................. 179,987
6,600 SPS Transaction Services ................................ 140,662
8,400 SPSS Inc. ............................................... 234,150
38,600 Structural Dynamics Research Corp. ...................... 1,025,312
14,600 Summit Design Inc. ...................................... 175,200
10,100 Supertex Inc. ........................................... 154,025
44,300 Symantec Corp. .......................................... 1,065,968
38,500 System Software Associates Inc. ......................... 584,718
17,000 Systems & Computer Technology Corp. ..................... 599,250
23,900 Systemsoft Corp. ........................................ 206,137
15,000 Technitrol Inc.+......................................... 510,000
133,500 Technology Solutions Co. ................................ 3,103,875
10,000 Tekelec Co. ............................................. 363,125
37,475 Tel-Save Holdings Inc. .................................. 669,865
8,900 Telxon Corp.+............................................ 213,600
89,575 Tetra Tech, Inc. ........................................ 2,082,618
11,900 TETRA Technologies, Inc. ................................ 249,900
135,000 Tower Semiconductor Ltd. ................................ 2,446,875
14,050 Transaction Network Services, Inc. ...................... 201,968
30,000 Transaction Systems Architects, Inc. .................... 1,038,750
18,400 Trident Microsystems Inc. ............................... 328,900
8,200 Triquint Semiconductor Inc. ............................. 303,400
13,000 Unitrode Corp. .......................................... 1,014,000
20,900 USCS International Inc. ................................. 373,587
38,500 Vanguard Cellular Systems Inc., Class A Shares........... 563,062
48,900 Vanstar Corp. ........................................... 767,118
34,700 Vantive Corp. ........................................... 1,058,350
5,500 Veeco Instruments Inc. .................................. 341,687
13,800 Veritas Software Corp. .................................. 871,125
63,300 Viasoft Inc.@............................................ 3,426,112
19,300 Vical Inc. .............................................. 224,362
35,100 Vicor Corp. ............................................. 881,887
18,400 Viewlogic Systems Inc. .................................. 328,900
57,900 Visio Corp. ............................................. 1,997,550
14,300 VISX Inc. ............................................... 267,231
67,000 VLSI Technology Inc. .................................... 2,211,000
13,900 Walker Interactive Systems Inc. ......................... 197,206
40,000 Wang Laboratories, Inc. ................................. 780,000
97,900 Whittman-Hart Inc. ...................................... 2,826,862
83,325 Wind River Systems Co. .................................. 3,572,559
</TABLE>
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 24.2% (CONTINUED)
19,900 Winstar Communications Inc. ............................. $ 332,081
22,300 Xircom Inc. ............................................. 314,987
34,300 Xylan Corp. ............................................. 707,437
51,500 Yahoo! Inc.#............................................. 3,064,250
21,800 Zebra Technologies Corp., Class A Shares................. 640,375
6,700 Zoran Corp. ............................................. 139,025
- --------------------------------------------------------------------------------
190,966,602
- --------------------------------------------------------------------------------
TRANSPORTATION -- 0.5%
19,200 Air Express International Corp.+......................... 583,200
8,300 Airnet Systems Inc. ..................................... 177,413
7,800 American Freightways Corp. .............................. 124,800
6,500 ASA Holdings, Inc.+...................................... 193,375
9,400 Atlas Air Inc. .......................................... 260,850
13,500 Coach USA Inc. .......................................... 350,156
7,600 Eagle USA Airfreight Inc. ............................... 210,900
5,800 Genessee & Wyoming Inc., Class A Shares.................. 181,250
17,085 Heartland Express Inc. .................................. 422,853
9,900 Hvide Marine Inc., Class A Shares........................ 305,663
1,000 Landstar Systems Inc. ................................... 27,375
8,400 Mesaba Holdings Inc. .................................... 164,850
5,450 Midwest Express Holdings, Inc. .......................... 157,710
170 Monro Muffler Brake Inc. ................................ 2,848
8,800 Railtex Inc. ............................................ 168,300
15,900 Rural/Metro Corp. ....................................... 437,249
12,900 Swift Transportation Co. Inc. ........................... 377,325
25,000 ValuJet, Inc. ........................................... 137,500
- --------------------------------------------------------------------------------
4,283,617
- --------------------------------------------------------------------------------
UTILITIES -- 3.1%
120,150 ACC Corp. ............................................... 3,514,388
28,550 ADE Corp. ............................................... 1,170,550
21,081 Aliant Communications Inc.+.............................. 476,958
92,300 Allen Telecom Inc. ...................................... 2,203,663
19,600 Alpine Group Inc. ....................................... 276,850
48,600 Aspect Telecommunications@ .............................. 1,069,200
7,700 Associated Group Inc. ................................... 560,175
8,818 Barnes Group Inc.+....................................... 243,047
27,300 Brooks Fiber Properties Inc. ............................ 917,963
12,700 Cablevision Systems Corp., Class A Shares................ 637,382
11,000 Cellular Communications International Inc. .............. 396,000
17,400 CFW Communications Co.+.................................. 321,900
6,450 Encore Wire Corp. ....................................... 222,525
5,900 Franklin Electric Co. Inc.+.............................. 362,850
125,000 ICG Communications Inc. ................................. 2,281,250
4,500 Innova Corp. ............................................ 99,000
17,900 Intermedia Communications Inc. .......................... 639,925
10,000 MAS Technology Ltd. ADR ................................. 215,000
30,700 McLeod Inc., Class A Shares.............................. 1,039,963
10,400 Mid Comm Communications Inc. ............................ 83,200
4,300 Mobile Telecommunications Technologies Corp. ............ 52,675
12,200 North Pittsburgh Systems Inc.+........................... 204,350
3,900 NTL Inc. ................................................ 86,288
32,100 Omnipoint Corp. ......................................... 672,094
3,900 Orion Network Systems Inc. .............................. 59,475
9,300 Pacific Gateway Exchange Inc. ........................... 327,825
30,400 Pagemart Wireless Inc., Class A Shares................... 292,600
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
86
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES -- 3.1% (CONTINUED)
113,300 Paging Network Inc. ................................ $ 1,147,163
33,500 Pairgain Technologies Inc. ......................... 862,625
12,300 Premiere Technologies Inc. ......................... 382,068
27,000 Premisys Communications Inc. ....................... 558,562
9,000 Spectrian Corp. .................................... 396,000
15,600 Telco Communications Corp. ......................... 462,150
17,700 Tucson Electric Power Co. .......................... 282,094
20,300 USLD Communications Corp. .......................... 312,113
11,500 West Teleservices Corp. ............................ 152,375
16,500 Westell Technologies Inc. .......................... 371,250
46,200 Western Wireless Corp. ............................. 695,887
17,900 World Access Inc. .................................. 474,350
6,800 Yurie Systems Inc. ................................. 181,050
- --------------------------------------------------------------------------------
24,704,783
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost -- $625,741,319).......... 763,185,810
- --------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY BILLS -- 0.1%
$ 120,000 U.S. Treasury Bills, 4.900% due 9/18/97++........... 119,722
50,000 U.S. Treasury Bills, 4.913% due 9/18/97++........... 49,884
25,000 U.S. Treasury Bills, 4.930% due 8/18/97++........... 24,942
40,000 U.S. Treasury Bills, 4.990% due 8/18/97++........... 39,895
55,000 U.S. Treasury Bills, 5.080% due 8/18/97++........... 54,868
- --------------------------------------------------------------------------------
TOTAL U.S. TREASURY BILLS (Cost -- $289,311)........ 289,311
- --------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $626,030,630)........ 763,475,121
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 3.2%
25,432,000 Goldman, Sachs & Co., 5.498% due 9/2/97; Proceeds at
maturity -- $25,447,536;
(Fully collateralized by U.S. Treasury Notes, 6.250%
due 2/28/02;
Market value -- $25,959,740) (Cost -- $25,432,000).. 25,432,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $651,462,630*)... $788,907,121
- --------------------------------------------------------------------------------
</TABLE>
+ Income producing security.
@ Security has been partially segregated by custodian for futures contracts
committments.
# Portion of the security is on loan.
++Security serves as collateral for futures contracts.
* Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Technology 24.2%
Consumer Services 19.1%
Healthcare 14.0%
Consumer Durables & Non-Durables 10.1%
Capital Goods 6.8%
Financial Services 5.0%
Energy 4.2%
Other Common Stocks 6.7%
Basic Industries 6.6%
Repurchase Agreement 3.2%
U.S. Treasury Bills 0.1%
SEE NOTES TO FINANCIAL STATEMENTS.
87
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
STOCKS -- 93.4%
- -------------------------------------------------------------------------------
AUSTRALIA -- 3.0%
6,000 Aberfoyle Ltd. ...................................... $ 14,984
48,300 Amcor Ltd. .......................................... 292,325
17,800 Ashton Mining Ltd. .................................. 20,919
22,100 Australian Gas Light Co. Ltd. ....................... 139,112
49,800 Australian National Industries Ltd. ................. 57,062
89,535 Boral Ltd. .......................................... 261,081
16,900 Brambles Industries Ltd. ............................ 332,670
340,284 Broken Hill Proprietary Co. Ltd. .................... 4,268,952
40,675 Burns, Philp & Co. Ltd. ............................. 71,403
42,190 Coca-Cola Amatil Ltd. ............................... 430,121
83,071 Coles Myer Ltd. ..................................... 386,778
44,333 Crown Ltd.+.......................................... 54,380
74,600 CSR Ltd. ............................................ 264,106
26,048 David Jones Ltd. .................................... 37,882
13,300 Delta Gold NL........................................ 16,412
5,500 Dominion Mining Ltd.+................................ 1,939
2,750 Dominion Mining Ltd. Warrants, Expire 12/31/98+...... 252
23,676 Email Ltd. .......................................... 72,864
7,884 F.H. Faulding & Co. Ltd. ............................ 44,010
149,500 Foster's Brewing Group Ltd. ......................... 282,206
33,569 Futuris Corp Ltd. ................................... 50,299
87,500 General Property Trust............................... 157,458
46,880 Gio Australia Holdings Ltd. ......................... 137,733
97,006 Goodman Fielder Ltd. ................................ 138,939
16,400 Great Central Mines Ltd. ............................ 27,705
14,587 Howard Smith Ltd. ................................... 133,402
22,600 ICI Australia Ltd. .................................. 210,816
30,532 James Hardie Industries Ltd. ........................ 103,831
19,800 Leighton Holdings Ltd. .............................. 97,192
18,554 Lend Lease Corp. Ltd. ............................... 400,007
12,300 Metal Manufactures Ltd. ............................. 25,296
125,986 Mount ISA Mines. Holdings Ltd. ...................... 150,835
114,768 National Australia Bank Ltd. ........................ 1,593,216
18,442 Newcrest Mining Ltd. ................................ 35,761
2,110,359 News Corp Ltd. ...................................... 9,504,963
233,914 News Corp Ltd.--Preferred............................ 891,693
125,306 Normandy Mining Ltd. ................................ 151,862
55,963 North Ltd. .......................................... 188,383
78,000 Pacific Dunlop Ltd. ................................. 200,519
67,625 Pioneer International Ltd. .......................... 227,491
12,100 Plutonic Resources Ltd. ............................. 34,483
22,726 QBE Insurance Group Ltd. ............................ 123,189
49,700 QCT Resources Ltd. .................................. 58,042
11,700 Resolute Ltd. ....................................... 17,273
16,240 RGC Ltd. ............................................ 45,924
26,743 Rio Tinto Ltd. ...................................... 395,015
9,300 Rothmans Holdings Ltd. .............................. 49,093
46,125 Santos Ltd. ......................................... 219,196
27,801 Schroders Property Fund ............................. 45,740
7,800 Sons of Gwalia Ltd. ................................. 24,635
47,004 Southcorp Holdings Ltd. ............................. 162,265
24,904 Stockland Trust Group................................ 62,193
41,700 Sydney Harbour Casino Holdings Ltd.+................. 56,663
23,100 TABCORP Holdings Ltd. ............................... 115,036
93,901 Westfield Trust...................................... 175,874
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
88
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
AUSTRALIA -- 3.0% (CONTINUED)
137,700 Westpac Banking Corp Ltd. .......................... $ 798,000
1,918,581 WMC Ltd. ........................................... 9,723,467
- -------------------------------------------------------------------------------
33,582,947
- -------------------------------------------------------------------------------
AUSTRIA -- 0.2%
200 Austria Mikro Systeme International AG.............. 15,629
2,000 Austrian Airlines Osterreichische Luftverkehrs AG+.. 47,204
4,970 Bank Austria AG..................................... 247,156
500 Bank Austria AG Preferred........................... 19,142
658 Bank Austria AG Preferred New shares+............... 24,879
300 Bau Holding AG...................................... 18,471
800 Boehler-Uddeholm AG................................. 62,770
100 BWT AG.............................................. 16,948
2,160 Creditanstalt-Bankverein............................ 132,650
1,180 Creditanstalt-Bankverein-Preferred.................. 57,740
500 EA-Generali AG...................................... 117,812
1,600 Flughafen Wien AG................................... 61,886
200 Lenzing AG+......................................... 12,535
900 Mayr-Melnhof Karton AG.............................. 51,932
600 Oesterreichische Brau-Beteiligungs AG............... 31,732
2,300 Oesterreichische Elekrizitaetswirtschafts AG, Class
A Shares........................................... 156,462
2,020 OMV AG.............................................. 266,920
1,000 Radex-Heraklith Industriebeteiligungs AG............ 38,600
600 Steyr-Daimler-Puch AG............................... 17,808
140 Strabag Oesterreich AG.............................. 8,178
300 Universale-Bau AG................................... 9,709
1,100 VA Technologie AG................................... 201,835
500 Wienerberger Baustoffindustrie AG................... 97,091
- -------------------------------------------------------------------------------
1,715,089
- -------------------------------------------------------------------------------
BELGIUM -- 0.5%
1,000 Barco NV............................................ 196,179
180 Bekaert NV.......................................... 113,832
1,800 Cimenteries CBR Cementbedrijven..................... 145,560
250 Cimenteries CBR Cementbedrijven - STRIP VVPR+....... 40
4,100 Delhaize-Le Lion S.A. .............................. 188,671
4,350 Electrabel S.A. .................................... 855,719
625 Electrabel S.A. - STRIP VVPR+....................... 269
3,432 Fortis AG........................................... 674,209
332 Fortis AG - STRIP VVPR+............................. 54
1,430 Generale de Banque S.A. ............................ 535,865
110 Generale de Banque S.A. - STRIP VVPR+............... 38
2,050 Gevaert NV ......................................... 184,257
550 Glaverbel S.A. ..................................... 77,409
1,900 Groupe Bruxelles Lambert S.A. ...................... 283,773
1,025 Kredietbank NV ..................................... 381,341
174 Kredietbank NV VVPR................................. 64,618
1,860 PetroFina S.A.+..................................... 664,464
1,275 Royale Belge........................................ 351,689
175 Royale Belge - STRIP VVPR+.......................... 19
6,700 Solvay S.A. ........................................ 375,027
1,100 Tractebel........................................... 438,105
150 Tractebel - STRIP VVPR+............................. 36
1,100 Tractebel Warrants, Expire 11/30/99+................ 10,509
2,000 Union Miniere S.A.+................................. 166,039
- -------------------------------------------------------------------------------
5,707,722
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
89
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
CANADA -- 0.7%
100 Canadian Pacific Ltd. .............................. $ 2,919
78,400 Inco Ltd. .......................................... 2,126,600
332,100 Placer Dome, Inc. .................................. 5,521,163
- ------------------------------------------------------------------------------
7,650,682
- ------------------------------------------------------------------------------
DENMARK -- 0.4%
255 Aarhus Oliefabrik A/S, Class A Shares............... 13,020
65 Aarhus Oliefabrik A/S, Class B Limited Voting
Shares............................................. 3,300
10 A/S Dampskibsselskabet Svendborg, Class B Shares.... 595,221
1,710 A/S Det Ostasiatiske Kompagni+...................... 26,194
1,015 Bang & Olufsen Holding A/S, Class B Shares.......... 57,601
2,815 Carlsberg A/S, Class A Shares....................... 140,450
2,285 Carlsberg A/S, Class B Shares+...................... 114,673
4,420 Danisco A/S......................................... 240,519
4,225 Den Danske Bank..................................... 400,643
17 D/S 1912, Class B Shares............................ 714,265
3,675 FLS Industries A/S, Class B Shares.................. 115,269
475 GN Store Nord A/S................................... 44,350
2,375 ISS International Service System A/S, Class B
Shares+............................................ 70,336
215 J. Lauritzen Holdings A/S+.......................... 22,897
970 Korn-OG Foderstof Kompagniet AS..................... 29,010
600 NKT Holding A/S..................................... 40,615
5,990 Novo Nordisk AS, Class B Shares..................... 607,337
825 Radiometer A/S, Class B Shares...................... 40,921
3,750 SAS Danmark A/S..................................... 57,990
524 Sophus Berendsen A/S, Class A Shares................ 72,550
1,574 Sophus Berendsen A/S, Class B Shares................ 218,834
2,475 Superfos A/S........................................ 58,494
10,455 Tele Danmark A/S, Class B Shares.................... 549,091
4,250 Unidanmark A/S, Class A Shares...................... 249,348
- ------------------------------------------------------------------------------
4,482,928
- ------------------------------------------------------------------------------
FINLAND -- 0.3%
1,900 Amer Group Ltd.+.................................... 36,108
1,200 Cultor Oy Series 1.................................. 60,887
600 Cultor Oy Series 2.................................. 31,772
1,200 Instrumentarium Group, Class A Shares............... 40,296
400 Instrumentarium Group, Class B Shares............... 13,211
10,500 Kemira Oy........................................... 92,991
7,200 Kesko............................................... 92,326
500 Kone Corp Oy, Class B Shares........................ 57,197
66,066 Merita Ltd., Class A Shares......................... 260,856
1,100 Metra Oy, Class A Shares............................ 30,849
3,100 Metra Oy, Class B Shares............................ 86,081
9,900 Outokumpu OYJ, Class A Shares....................... 158,001
15,900 Oy Nokia AB, Class A Shares......................... 1,232,250
8,500 Oy Nokia AB, Class K Shares......................... 658,684
1,600 Pohjola Insurance Group, Class A Shares............. 45,757
1,600 Pohjola Insurance Group, Class B Shares............. 47,233
1,200 Sampo Insurance Co. Ltd., Class A Shares............ 116,238
700 Stockmann AB, Class A Shares........................ 38,229
500 Stockmann AB, Class B Shares........................ 25,738
592 The Rauma Group Oy.................................. 12,124
21,260 UPM-Kymmene Corp. Oy................................ 504,052
- ------------------------------------------------------------------------------
3,640,880
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
90
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
FRANCE -- 8.1%
44,180 Accor S.A........................................... $ 6,628,274
407 Adecco S.A.......................................... 138,899
63,435 Alcatel Alsthom..................................... 7,780,998
14,802 AXA-UAP............................................. 944,419
16,268 Banque Nationale de Paris........................... 694,652
160 Bongrain S.A........................................ 56,714
1,895 Bouygues............................................ 151,837
1,953 Canal Plus.......................................... 315,223
2,955 Carrefour Supermarche S.A. ......................... 1,783,572
450 Chargeurs S.A. ..................................... 26,708
1,056 Club Mediterranee S.A.+............................. 84,699
2,178 Compagnie Bancaire S.A. ............................ 240,323
6,780 Compagnie de Saint Gobain........................... 932,243
250,740 Compagnie de Suez S.A. ............................. 624,215
9,543 Compagnie Financiere de Paribas..................... 658,279
1,250 Compagnie Francaise d'Etudes et de Construction
Technip............................................ 151,265
250 Compagnie Generale de Geophysique S.A.+............. 30,830
81,686 Compagnie Generale des Eaux......................... 9,130,840
9,411 Compagnie Generale des Eaux Warrants, Expire
5/2/01+............................................ 5,275
11,817 Compagnie Generale des Etablissements Michelin,
Class B Shares..................................... 664,347
400 Comptoirs Modernes.................................. 179,969
862 CPR................................................. 64,662
1,147 Credit National/Natexis............................. 68,077
400 Dollfus-Mieg & Cie S.A.+............................ 7,478
20,950 Elf Aquitaine S.A. ................................. 2,331,424
2,000 Eridania Beghin-Say S.A. ........................... 260,490
700 Essilor International S.A. ......................... 173,341
4,700 Etablissements Economiques du Casino Guichard-
Perrachon S.A. .................................... 234,012
1,300 Etablissements Economiques du Casino Guichard-
Perrachon S.A Preferred............................ 50,795
150 Europe 1 Communication.............................. 34,597
700 Finextel............................................ 12,233
5,574 Groupe Danone....................................... 830,747
1,169 GTM ENTREPOSE S.A. ................................. 64,950
5,024 Havas S.A. ......................................... 307,213
1,100 Imetal S.A. ........................................ 153,788
7,241 Lafarge S.A. ....................................... 467,970
7,590 Lagardere S.C.A. ................................... 203,343
5,615 L'Air Liquide ...................................... 860,001
2,140 Legrand S.A. ....................................... 378,923
5,215 L'OREAL............................................. 1,863,145
6,710 LVMH Moet Hennessy Louis Vuitton.................... 1,397,202
2,540 Moulinex+........................................... 61,558
800 Nord-Est S.A. ...................................... 15,761
600 Pathe S.A. ......................................... 112,175
4,325 Pernod-Ricard....................................... 202,149
1,700 Pinault-Printemps-Redoute S.A. ..................... 726,469
1,550 Primagaz Cie........................................ 131,605
1,450 Promodes............................................ 523,296
65,040 PSA Peugeot Citroen................................. 7,302,323
708,135 Renault S.A.+....................................... 17,792,395
25,630 Rhone-Poulenc, Class A Shares....................... 941,450
300 Sagem S.A. ......................................... 146,748
1,200 Salomon S.A. ....................................... 84,082
8,038 Sanofi S.A. ........................................ 772,592
170,101 Schneider S.A. ..................................... 9,066,632
1,600 Sidel S.A. ......................................... 116,066
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
91
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
FRANCE -- 8.1% (CONTINUED)
1,184 Simco S.A. ........................................ $ 88,817
1,150 Skis Rossignol S.A. ............................... 21,424
4,200 Societe BIC S.A. .................................. 303,982
280 Societe Eurafrance S.A. ........................... 106,174
1,200 Societe Francaise d'Investissements Immobiliers et
de Gestion........................................ 79,532
7,223 Societe Generale................................... 897,888
3,950 Societe Nationale d'Exploitation Industrielle des
Tabacs et Allumettes.............................. 121,779
600 Sodexho Alliance S.A. ............................. 271,536
1,500 Sommer Allibert.................................... 53,293
62,531 Suez Lyonnaise des Eaux............................ 6,298,977
9,212 Thomson CSF........................................ 247,709
18,577 Total S.A., Class B shares......................... 1,742,694
700 Union du Credit-Bail Immobilier.................... 67,167
650 Union Immobiliere de France........................ 44,687
18,650 Usinor Sacilor..................................... 323,773
5,410 Valeo S.A. ........................................ 325,554
2,400 Worms et Compagine................................. 130,852
- ------------------------------------------------------------------------------
90,109,111
- ------------------------------------------------------------------------------
GERMANY -- 9.3%
3,450 Adidas AG.......................................... 416,829
2,500 AGIV-AG fuer Industrie und Verkehrswesen+.......... 55,549
17,500 Allianz AG Holding................................. 3,876,791
50 AMB Aachener & Muenchener Beteiligungs AG Bearer
Shares............................................ 44,995
300 AMB Aachener & Muenchener Beteiligungs AG
Registered Shares................................. 243,306
1,900 Axa Colonia Konzern AG............................. 162,537
500 Axa Colonia Konzern AG Preferred................... 39,440
46,650 BASF AG............................................ 1,617,020
54,000 Bayer AG........................................... 1,991,779
19,700 Bayerische Hypotheken-und Wechsel-Bank AG.......... 721,159
20,200 Bayerische Vereinsbank AG.......................... 1,045,795
6,450 Beiersdorf AG...................................... 268,183
2,750 Bilfinger & Berger Bau AG.......................... 111,821
250 Brau Und Brunnen AG+............................... 19,609
200 Buderus AG......................................... 97,211
7,200 Continental AG..................................... 175,181
354,729 Daimler-Benz AG.................................... 26,207,620
6,500 Degussa AG......................................... 317,742
38,250 Deutsche Bank AG................................... 2,237,376
29,200 Deutsche Lufthansa AG.............................. 592,045
167,950 Deutsche Telekom AG................................ 3,372,621
3,500 Deutz AG+.......................................... 28,580
150 Didier-Werke AG.................................... 10,582
100 DLW AG+............................................ 10,249
2,450 Douglas Holding AG................................. 83,767
34,050 Dresdner Bank AG................................... 1,342,556
116 Dyckerhoff AG...................................... 40,805
116 Dyckerhoff AG Preferred............................ 39,834
50 Escada AG.......................................... 7,319
50 Escada AG Preferred................................ 6,652
4,630 FAG Kugelfischer Georg Schaefer AG................. 84,488
250 Friedrich Grohe AG - Vorzugsak..................... 68,048
3,685 Heidelberger Zement AG............................. 272,250
100 Herlitz AG......................................... 8,221
100 Herlitz AG Preferred............................... 7,649
5,350 Hochtief AG........................................ 239,237
118,513 Hoechst AG......................................... 4,641,243
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
92
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
GERMANY -- 9.3% (CONTINUED)
100 HOLSTEN -- BRAUEREI AG............................. $ 21,498
150 IWKA AG............................................ 36,663
650 Karstadt AG........................................ 225,669
650 Linde AG........................................... 435,091
850 MAN AG............................................. 232,780
350 MAN AG Preferred................................... 79,325
28,665 Mannesmann AG...................................... 13,232,205
13,150 Merck KGaA......................................... 495,992
16,620 Metro AG........................................... 758,896
1,200 Metro AG - Vorz 1.................................. 42,829
6,000 Muenchener Rueckversicherungs-Gesellschaft AG
Registered Shares................................. 1,783,135
1,150 Preussag AG........................................ 320,048
550 PWA-Papierwerke Waldhof-Aschaffenburg AG........... 100,822
100 Rheinmetall Berlin AG.............................. 17,776
66 Rheinmetall Berlin AG Preferred.................... 10,889
25,850 RWE AG............................................. 1,163,121
16,600 RWE AG Non Voting Preferred........................ 631,652
100 Salamander AG+..................................... 15,276
4,650 SAP AG............................................. 1,018,495
3,250 SAP AG Preferred................................... 738,390
5,250 Schering AG........................................ 514,734
1,600 SGL Carbon AG...................................... 195,978
42,850 Siemens AG......................................... 2,630,222
150 STRABAG AG+........................................ 11,749
2,400 Thyssen AG......................................... 550,605
37,350 VEBA AG............................................ 1,962,732
2,006 Viag AG............................................ 830,726
34,880 Volkswagen AG...................................... 25,091,434
500 Volkswagen AG Preferred............................ 267,470
- ------------------------------------------------------------------------------
103,922,291
- ------------------------------------------------------------------------------
HONG KONG -- 5.0%
107,808 Bank of East Asia Ltd. ............................ 384,681
282,000 Cathay Pacific Airways ............................ 460,356
193,000 Cheung Kong Holdings Ltd. ......................... 2,042,328
208,500 China Light & Power Co. Ltd.+...................... 965,950
157,608 Chinese Estates Holdings........................... 140,340
22,000 Dickson Concepts International Ltd. ............... 83,469
65,000 Elec & Eltek International Holdings Ltd. .......... 22,648
5,800 Genting International Ltd. ........................ 12,760
46,000 Giordano International Ltd. ....................... 32,649
111,000 Hang Lung Development Co. ......................... 200,542
497,500 Hang Seng Bank Ltd. ............................... 6,002,872
12,400 Hong Kong Aircraft Engineering Co. Ltd. ........... 40,805
294,000 Hong Kong & China Gas Co. Ltd. .................... 546,341
18,000 Hong Kong & China Gas Co. Ltd. Warrants, Expire
9/30/97+.......................................... 19,048
1,004,187 Hong Kong Telecommunications Ltd. ................. 2,112,305
14,459 Hong Kong Telecommunication Ltd. ADR............... 306,349
102,500 Hong Kong & Shanghai Hotels Ltd. .................. 125,664
6,500 Hong Kong & Shanghai Hotels Ltd. Warrants, Expire
12/10/98+......................................... 839
343,000 Hopewell Holdings Ltd. ............................ 204,720
1,210,000 Hutchison Whampoa Ltd. ............................ 10,071,622
84,000 Hysan Development Co. Ltd. ........................ 243,902
3,650 Hysan Development Co. Ltd. Warrants, Expire
4/30/98+.......................................... 1,601
17,906 Jardine Matheson Holdings Ltd. .................... 125,342
37,800 Johnson Electric Holdings Ltd. .................... 84,878
25,000 Kumagai Gumi (Hong Kong) Ltd. ..................... 46,942
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
93
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
HONG KONG -- 5.0% (CONTINUED)
5,000 Kumagai Gumi (Hong Kong) Ltd. Warrants, Expire
6/30/98+.......................................... $ 4,968
4,900 Melco International Development Ltd. .............. 1,834
45,000 Miramar Hotel and Investment Ltd. ................. 98,722
2,280,119 New World Development Co. Ltd. .................... 14,212,124
898 New World Infrastructure Ltd.+..................... 2,514
96,000 Oriental Press Group............................... 33,140
9,600 Oriental Press Group Warrants, Expire 10/02/98+.... 372
52,000 Peregrine Investment Holdings Ltd. ................ 96,632
4,200 Peregrine Investment Holdings Ltd. Warrants, Expire
5/15/98+.......................................... 2,087
304,800 Regal Hotels International......................... 83,585
130,000 Shangri-La Asia Ltd. .............................. 133,372
125,243 Shun Tak Holdings Ltd. ............................ 70,711
236,000 Sino Land Co. ..................................... 223,848
142,000 South China Morning Post Holdings Ltd............. 114,531
1,276,000 Sun Hung Kai Properties Ltd. ...................... 14,490,644
155,500 Swire Pacific Ltd., Class A Shares................. 1,188,976
41,000 Tai Cheung Holdings Ltd. .......................... 30,423
33,000 Television Broadcasts Ltd.+........................ 116,686
22,000 Varitronix International Ltd. ..................... 30,378
193,000 Wharf Holdings Ltd. ............................... 698,626
18,168 Wing Lung Bank..................................... 111,367
- -------------------------------------------------------------------------------
56,024,493
- -------------------------------------------------------------------------------
IRELAND -- 0.1%
45,600 Allied Irish Banks PLC............................. 383,843
24,186 CRH PLC............................................ 261,499
19,420 Fyffes PLC......................................... 27,149
11,764 Greencore Group PLC................................ 55,636
16,647 Independent Newspapers PLC......................... 103,982
21,189 Irish Life PLC..................................... 106,197
3,119 James Crean PLC.................................... 8,349
73,699 Jefferson Smurfit Group PLC........................ 244,421
11,100 Kerry Group PLC, Class A Shares.................... 116,382
49,204 Waterford Wedgwood PLC............................. 67,323
15,016 Woodchester Investments PLC........................ 60,296
- -------------------------------------------------------------------------------
1,435,077
- -------------------------------------------------------------------------------
ITALY -- 5.3%
9,000 Arnoldo Mondadori Editore S.p.A. .................. 53,334
67,300 Assicurazioni Generali............................. 1,422,519
139,000 Banca Commerciale Italiana......................... 347,361
39,000 Banco Ambrosiano Veneto S.p.A. .................... 232,577
15,000 Banco Ambrosiano Veneto S.p.A. di Risp NC#......... 32,885
16,000 Banco Popolare di Milano........................... 85,048
13,520 Benetton Group S.p.A. ............................. 196,192
24,000 Bulgari S.p.A. .................................... 142,443
9,000 Burgo Cartiere S.p.A. ............................. 51,218
15,000 Cementir S.p.A. ................................... 10,308
3,255,468 Credito Italiano S.p.A. ........................... 6,704,318
3,000 Daniele & Co. ..................................... 21,963
3,000 Daniele & Co. di Risp NC#.......................... 10,649
49,000 Edison S.p.A. ..................................... 227,981
618,000 ENI................................................ 3,428,527
11,000 Falck Acciaierie & Ferriere Lombarde............... 43,108
310,200 Fiat S.p.A. ....................................... 954,364
79,200 Fiat S.p.A. Preferred.............................. 123,026
30,000 Impregilo S.p.A. .................................. 19,867
</TABLE>
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ITALY -- 5.3% (CONTINUED)
63,000 Instituto Bancario San Paolo di Torino.............. $ 437,675
46,000 Istituto Mobiliare Italiano S.p.A. ................. 427,132
312,000 Istituto Nazionale delle Assicurazioni.............. 455,054
13,000 Italcementi S.p.A. ................................. 85,500
7,000 Italcementi S.p.A. di Risp NC#...................... 16,976
51,000 Italgas S.p.A. ..................................... 156,559
4,000 La Previdente....................................... 24,924
14,600 La Rinascente S.p.A. ............................... 89,223
3,000 La Rinascente S.p.A. di Risp NC#.................... 8,519
2,000 La Rinascente S.p.A. Preferred...................... 4,345
27,500 Magneti Marelli S.p.A. ............................. 45,310
4,000 Marzotto & Figli S.p.A. ............................ 38,905
2,148,400 Mediaset S.p.A ..................................... 9,450,395
37,000 Mediobanca S.p.A. .................................. 246,624
305,700 Montedison S.p.A ................................... 185,083
45,000 Montedison S.p.A. di Risp NC#....................... 22,235
2,180,954 Olivetti Group+..................................... 879,465
115,000 Parmalat Finanziara S.p.A. ......................... 178,375
3,996,470 Pirelli S.p.A ...................................... 10,139,252
7,000 Pirelli S.p.A di Risp NC#........................... 9,804
25,000 Riunione Adriatica di Sicurta S.p.A. ............... 211,890
8,800 Riunione Adriatica di Sicurta S.p.A. di Risp NC# ... 43,732
17,000 Sirti S.p.A. ....................................... 90,885
55,000 Snia BPD S.p.A ..................................... 52,604
5,000 Snia BPD S.p.A. di Risp NC#......................... 3,462
8,000 Societa Assicuratrice Industriale................... 69,463
4,000 Societa Assicuratrice Industriale di Risp NC#....... 12,154
3,318,375 Telecom Italia S.p.A. .............................. 19,444,302
71,200 Telecom Italia S.p.A. di Risp NC#................... 250,273
513,500 Telecom Italia Mobile S.p.A. ....................... 1,738,201
122,500 Telecom Italia Mobile S.p.A. di Risp NC#............ 206,566
- -------------------------------------------------------------------------------
59,132,575
- -------------------------------------------------------------------------------
JAPAN -- 26.8%
11,500 Acom Co. Ltd. ...................................... 543,977
7,000 Advantest Corp. .................................... 640,120
51,000 Ajinomoto Co. Inc. ................................. 466,373
14,000 Alps Electric Co. Ltd. ............................. 166,431
23,000 Amada Co. Ltd. ..................................... 156,023
8,000 Amano Corp. ........................................ 71,161
33,000 Aoki Corp.+......................................... 19,752
5,700 Aoyama Trading Co. Ltd. ............................ 153,529
4,200 Arabian Oil Co. Ltd. ............................... 118,364
182,000 Asahi Bank Ltd. .................................... 1,322,371
35,000 Asahi Breweries Ltd. ............................... 520,825
113,000 Asahi Chemical Industries Co. Ltd. ................. 589,941
92,000 Asahi Glass Co. Ltd. ............................... 701,338
8,000 Asahi Optical Co. Ltd. ............................. 24,275
49,000 Ashikaga Bank Ltd. ................................. 144,202
3,000 Autobacs Seven Co. Ltd.+............................ 190,540
365,600 Bank of Tokyo - Mitsubishi Ltd. .................... 6,656,114
89,000 Bank of Yokohama Ltd. .............................. 378,818
63,000 Bridgestone Corp. .................................. 1,398,371
21,000 Brother Industries Ltd. ............................ 73,323
395,000 Canon Inc. ......................................... 10,934,825
22,000 Casio Computer Co. Ltd. ............................ 192,036
61,000 Chiba Bank Ltd. .................................... 319,478
</TABLE>
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JAPAN -- 26.8% (CONTINUED)
45,000 Chichibu Onoda Cement Corp. ......................... $ 134,300
14,000 Chiyoda Corp. ....................................... 38,873
19,000 Chugai Pharmaceutical Co. Ltd. ...................... 159,531
25,000 Citizen Watch Co. Ltd. .............................. 193,075
50,000 Cosmo Oil Co. Ltd. .................................. 162,108
12,300 Credit Saison Co. Ltd. .............................. 318,006
5,000 CSK Corp. ........................................... 170,006
59,000 Dai Nippon Printing Co. Ltd. ........................ 1,236,013
29,000 Daicel Chemical Industries Ltd. ..................... 82,451
34,000 Daido Steel Co. Ltd. ................................ 83,099
630,000 Daiei Inc. .......................................... 4,315,570
9,000 Daifuku Co. Ltd. .................................... 94,272
21,000 Daiichi Pharmaceutical Co. .......................... 357,885
21,000 Daikin Industries Ltd. .............................. 152,232
15,000 Daikyo Inc. ......................................... 37,160
21,000 Daimaru Inc. ........................................ 97,764
62,000 Dainippon Ink & Chemical Inc. ....................... 228,847
13,000 Dainippon Screen Manufacturing Co. Ltd. ............. 122,122
11,125 Daito Trust Construction Co. Ltd. ................... 123,004
230,000 Daiwa House Industry Co. Ltd. ....................... 2,657,743
12,000 Daiwa Kosho Lease Co. Ltd. .......................... 71,826
105,000 Daiwa Securities Co. Ltd. ........................... 663,397
37,000 Denki Kagaku Kogyo Kabushiki Kaisha ................. 72,284
226,000 Denso Corp. ......................................... 4,884,861
314 East Japan Railway Co. .............................. 1,435,697
23,000 Ebara Corp. ......................................... 296,367
21,800 Eisai Co. Ltd. ...................................... 415,014
11,000 Ezaki Glico Co. ..................................... 82,758
18,800 Fanuc Ltd. .......................................... 722,055
227,000 Fuji Bank Ltd. ...................................... 2,774,046
40,000 Fuji Photo Film Co. ................................. 1,542,938
27,000 Fujikura Ltd. ....................................... 226,702
35,000 Fujita Corp. ........................................ 29,969
10,000 Fujita Kanko Inc. ................................... 106,410
144,000 Fujitsu Ltd. ........................................ 1,723,834
51,000 Furukawa Electric Co. Ltd. .......................... 288,303
6,000 Gakken Co. Ltd. ..................................... 25,638
40,000 Gunma Bank Ltd. ..................................... 349,156
19,000 Gunze Ltd. .......................................... 73,290
67,000 Hankyu Corp. ........................................ 333,078
15,000 Hankyu Department Stores Inc. ....................... 122,828
34,000 Haseko Corp.+........................................ 31,939
25,000 Hazama Corp. ........................................ 32,422
20,000 Higo Bank............................................ 141,325
3,000 Hirose Electric Co. Ltd. ............................ 210,741
261,000 Hitachi Ltd. ........................................ 2,408,430
191,000 Hitachi Metals Ltd. ................................. 1,008,272
79,000 Hitachi Zosen Corp. ................................. 253,504
2,000 Hokuetsu Bank Ltd. .................................. 7,515
54,000 Hokuriku Bank ....................................... 166,996
76,000 Honda Motor Co. Ltd. ................................ 2,350,320
9,000 House Foods Industry................................. 152,631
9,000 Hoya Corp. .......................................... 382,326
19,000 Inax Corp. .......................................... 93,191
500,200 Industrial Bank of Japan Ltd. ....................... 6,902,752
19,000 Isetan Co. Ltd. ..................................... 186,383
</TABLE>
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JAPAN -- 26.8% (CONTINUED)
25,000 Ishihara Sangyo Kaisha+............................... $ 64,635
164,000 Ito-Yokado Co. Ltd. .................................. 8,861,917
112,000 Itochu Corp. ......................................... 462,748
18,000 Itoham Foods.......................................... 75,418
20,000 Iwatani International Corp. .......................... 59,523
12,000 Jaccs Co. Ltd. ....................................... 65,342
139,000 Japan Airlines+....................................... 581,237
86,000 Japan Energy Corp. ................................... 152,282
8,000 Japan Metals & Chemicals+............................. 13,434
29,000 Japan Steel Works Ltd.+............................... 40,261
4,000 Jeol.................................................. 24,607
14,000 JGC Corp. ............................................ 59,357
74,600 Joyo Bank............................................. 421,714
25,000 Jusco Co. ............................................ 669,216
75,000 Kajima Corp. ......................................... 395,295
6,000 Kaken Pharmaceutical Co. ............................. 24,990
21,000 Kamigumi Co. Ltd. .................................... 96,891
16,200 Kandenko Co. Ltd. .................................... 111,106
40,000 Kanebo Ltd.+.......................................... 56,530
28,000 Kaneka Corp. ......................................... 174,113
76,700 Kansai Electric Power Co. ............................ 1,434,658
22,000 Kansai Paint.......................................... 71,511
47,000 Kao Corp. ............................................ 695,486
4,000 Katokichi............................................. 64,843
1,304,000 Kawasaki Heavy Industries Ltd.+....................... 5,105,861
46,000 Kawasaki Kisen Kaisha Ltd.+........................... 69,981
255,000 Kawasaki Steel Corp. ................................. 633,843
39,930 Keihin Electric Express Railway Co. Ltd. ............. 165,310
15,600 Kikkoman Corp. ....................................... 88,187
20,500 Kinden Corp. ......................................... 284,604
126,940 Kinki Nippon Railway.................................. 716,537
83,000 Kirin Brewery Co. Ltd. ............................... 674,129
4,300 Kissei Pharmaceutical Co. Ltd. ....................... 78,643
10,000 Kokuyo Co. ........................................... 238,590
78,000 Komatsu Ltd. ......................................... 484,379
6,000 Komori Corp. ......................................... 126,195
2,800 Konami Co. Ltd. ...................................... 87,056
28,000 Konica Corp. ......................................... 161,543
15,000 Koyo Seiko Co. Ltd. .................................. 103,126
111,000 Kubota Corp. ......................................... 448,466
48,000 Kumagai Gumi Co. Ltd. ................................ 53,072
21,000 Kurabo Industries..................................... 44,517
27,000 Kuraray Co. Ltd. ..................................... 240,170
17,000 Kureha Chemical Industry Co. Ltd. .................... 56,671
10,800 Kurita Water Industries Ltd. ......................... 285,510
51,800 Kyocera Corp. ........................................ 3,272,758
35,000 Kyowa Hakko Kogyo..................................... 205,129
5,000 Kyudenko Co. Ltd. .................................... 33,336
23,000 Lion Corp. ........................................... 88,719
7,000 Maeda Road Construction............................... 45,565
6,000 Makino Milling Machine................................ 41,749
13,000 Makita Corp. ......................................... 178,319
117,000 Marubeni Corp. ....................................... 425,048
24,000 Maruha Corp. ......................................... 54,069
29,000 Marui Co. Ltd. ....................................... 460,471
166,000 Matsushita Electric Industrial Co. Ltd. .............. 3,063,596
</TABLE>
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JAPAN -- 26.8% (CONTINUED)
251,300 Matsuzakaya Ltd. ..................................... $ 1,483,274
1,024,000 Mazda Motor Corp.+.................................... 3,490,232
23,000 Meiji Milk Products Co. Ltd. ......................... 86,998
31,000 Meiji Seika........................................... 140,968
31,000 Minebea Co. Ltd. ..................................... 309,253
10,000 Misawa Homes.......................................... 47,219
172,000 Mitsubishi Chemical Corp. ............................ 450,412
123,000 Mitsubishi Corp. ..................................... 1,216,809
168,000 Mitsubishi Electric Corp. ............................ 772,334
102,000 Mitsubishi Estates Co. Ltd. .......................... 1,433,037
39,000 Mitsubishi Gas Chemical Co. .......................... 147,843
264,000 Mitsubishi Heavy Industries Ltd. ..................... 1,753,562
13,000 Mitsubishi Logistics Corp. ........................... 151,301
89,000 Mitsubishi Materials Corp. ........................... 283,374
36,000 Mitsubishi Oil Co. Ltd. .............................. 125,696
26,000 Mitsubishi Paper Mills................................ 68,085
49,000 Mitsubishi Rayon Co. Ltd. ............................ 186,566
398,000 Mitsubishi Trust & Banking Corp. ..................... 5,591,654
122,000 Mitsui & Co. ......................................... 997,988
65,000 Mitsui Engineering & Ship Building Co. Ltd.+.......... 106,991
64,000 Mitsui Fodosan Co. Ltd. .............................. 744,867
57,000 Mitsui Marine & Fire Insurance Co. Ltd. .............. 332,172
40,000 Mitsui Mining & Smelting.............................. 162,607
87,000 Mitsui O.S.K. Lines Ltd.+............................. 153,329
11,000 Mitsui Soko Co. Ltd. ................................. 49,929
55,000 Mitsui Toatsu Chemicals Inc. ......................... 105,620
94,000 Mitsui Trust & Banking Co. Ltd. ...................... 541,541
38,000 Mitsukoshi Ltd. ...................................... 216,078
8,000 Mori Seiki............................................ 99,094
147,000 Murata Manufacturing Co. Ltd. ........................ 6,000,249
22,000 Mycal Corp. .......................................... 250,561
12,000 Nagase & Co. ......................................... 75,418
64,000 Nagoya Railroad Co. Ltd. ............................. 236,761
3,800 Namco Ltd. ........................................... 128,573
39,450 Nankai Electric Railway............................... 190,215
292,000 NEC Corp. ............................................ 3,277,080
27,000 NGK Insulators Ltd. .................................. 258,126
17,000 NGK Spark Plug Co. Ltd. .............................. 145,565
36,200 Nichido Fire & Marine Insurance Ltd. ................. 240,451
22,000 Nichirei Corp. ....................................... 75,168
26,000 Nihon Cement Co. Ltd. ................................ 77,380
26,000 Niigata Engineering Co. Ltd.+......................... 28,315
29,000 Nikon Corp. .......................................... 479,757
10,000 Nippon Beet Sugar Manufacturing Co. Ltd. ............. 23,610
9,000 Nippon Comsys Corp. .................................. 127,941
7,000 Nippon Denko Co. Ltd. ................................ 12,570
84,000 Nippon Express Co. Ltd. .............................. 554,460
46,000 Nippon Fire & Machine Insurance Ltd. ................. 198,853
42,000 Nippon Light Metal Co. ............................... 112,428
18,000 Nippon Meat Packers Inc. ............................. 216,976
96,000 Nippon Oil Co. Ltd. .................................. 430,160
74,000 Nippon Paper Industries Co. .......................... 429,396
12,000 Nippon Sharyo Ltd. ................................... 50,877
31,000 Nippon Sheet Glass Co. Ltd. .......................... 79,633
22,000 Nippon Shinpan Co. ................................... 53,404
14,000 Nippon Shokubai K.K. Co. ............................. 102,419
</TABLE>
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<C> <S> <C>
JAPAN -- 26.8% (CONTINUED)
2,203,000 Nippon Steel Co. ..................................... $ 5,604,106
23,000 Nippon Suisan Kaisha Ltd.+............................ 51,625
1,927 Nippon Telegraph & Telephone Corp. ................... 18,101,569
92,000 Nippon Yusen Kabushiki Kaisha......................... 332,696
22,000 Nishimatsu Construction............................... 129,853
1,765,000 Nissan Motor Co. Ltd. ................................ 11,415,496
19,000 Nisshinbo Industries Inc. ............................ 123,202
10,000 Nissin Food Products Co. Ltd. ........................ 232,771
12,000 Nitto Denko Corp. .................................... 208,496
1,169,000 NKK Corp. ............................................ 1,865,890
17,000 NOF Corp. ............................................ 51,018
490,000 Nomura Securities Co. Ltd. ........................... 6,517,582
13,000 Noritake Co. Ltd. .................................... 82,459
44,000 NSK Ltd. ............................................. 227,883
36,000 NTN Corp. ............................................ 167,595
221 NTT Data Corp. ....................................... 9,829,163
313,000 Obayashi Corp. ....................................... 1,894,288
57,320 Odakyu Electric Railway............................... 290,198
81,000 Oji Paper Co. Ltd. ................................... 410,759
10,000 Okamoto Industries Inc. .............................. 31,590
11,000 Okuma Corp. .......................................... 67,670
19,000 Okumura Corp. ........................................ 106,617
21,000 Olympus Optical Co. Ltd. ............................. 149,788
21,000 Omron Corp. .......................................... 391,055
14,000 Onward Kashiyama Co. Ltd. ............................ 215,312
27,000 Orient Corp. ......................................... 86,416
5,000 Orix Corp. ........................................... 372,018
198,000 Osaka Gas Co. Ltd. ................................... 454,302
2,700 Oyo Corp. ............................................ 85,294
28,000 Penta-Ocean Construction.............................. 68,202
587,000 Pioneer Electronic Corp. ............................. 11,711,697
13,000 Q.P. Corp. ........................................... 108,072
22,000 Renown Inc.+.......................................... 37,859
40,000 Rohm Co. Ltd. ........................................ 4,156,622
269,000 Sakura Bank Ltd. ..................................... 1,587,746
11,000 Sanden................................................ 75,443
20,000 Sankyo Aluminum Industry Co. ......................... 41,566
35,000 Sankyo Co. Ltd. ...................................... 1,064,926
5,000 Sanrio Co. Ltd.+...................................... 37,825
19,000 Sanwa Shutter......................................... 146,895
153,000 Sanyo Electric Co. Ltd. .............................. 546,928
27,000 Sapporo Breweries Ltd. ............................... 192,136
21,000 Sato Kogyo Co. Ltd. .................................. 23,568
9,000 Secom Co. Ltd. ....................................... 641,200
7,900 Sega Enterprises Ltd. ................................ 225,921
12,000 Seino Transportation.................................. 119,711
18,000 Seiyu Ltd. ........................................... 102,951
43,000 Sekisui Chemical Co. Ltd. ............................ 364,619
56,000 Sekisui House Ltd. ................................... 530,717
400 Seven-Eleven Japan Co. Ltd. .......................... 28,664
30,000 Seventy-Seventh Bank.................................. 314,241
443,000 Sharp Corp. .......................................... 4,456,148
4,000 Shimachu Co. Ltd. .................................... 90,448
11,000 Shimano Inc. ......................................... 236,844
62,000 Shimizu Corp. ........................................ 326,262
27,000 Shin-Etsu Chemical Co. Ltd. .......................... 691,329
</TABLE>
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<C> <S> <C>
JAPAN -- 26.8% (CONTINUED)
28,000 Shionogi & Co. Ltd. ................................... $ 188,777
31,000 Shiseido Co. Ltd. ..................................... 507,690
63,000 Shizuoka Bank Ltd. .................................... 654,668
9,000 Shokusan Jutaku Sogo Co. Ltd.+......................... 8,679
81,000 Showa Denko K.K. ...................................... 157,569
8,000 Skylark................................................ 111,065
4,900 SMC.................................................... 411,422
25,000 Snow Brand Milk Products Co. Ltd. ..................... 103,292
216,300 Sony Corp. ............................................ 18,880,622
638,000 Sumitomo Bank Ltd. .................................... 9,440,851
127,000 Sumitomo Chemical Co. ................................. 498,329
83,000 Sumitomo Corp. ........................................ 689,999
56,000 Sumitomo Electric Industries........................... 847,286
14,000 Sumitomo Forestry Co. Ltd. ............................ 135,007
46,000 Sumitomo Heavy Industries Ltd. ........................ 145,315
53,000 Sumitomo Marine & Fire................................. 356,006
247,000 Sumitomo Metal Industries.............................. 574,944
45,000 Sumitomo Metal Mining Co. ............................. 268,601
36,000 Sumitomo Osaka Cement Co. Ltd. ........................ 70,031
1,184,000 Sumitomo Realty & Development Co. Ltd. ................ 9,439,322
524,000 Sumitomo Trust & Banking Corp. ........................ 5,096,683
504,000 Taisei Corp. .......................................... 1,986,001
27,000 Taisho Pharmaceutical Co. ............................. 662,150
9,000 Taiyo Yuden Co. Ltd. .................................. 105,495
17,000 Takara Shuzo........................................... 98,786
11,000 Takara Standard........................................ 84,679
24,000 Takashimaya Co. Ltd. .................................. 267,354
69,000 Takeda Chemical Industries............................. 1,841,300
7,000 Takuma Co. Ltd. ....................................... 84,961
76,000 Teijin Ltd. ........................................... 308,953
21,000 Teikoku Oil Co. Ltd. .................................. 80,481
15,000 Toa Corp. ............................................. 38,158
67,000 Tobu Railway Co. Ltd. ................................. 272,367
12,000 Toei Co. .............................................. 63,945
1,430 Toho Co. Ltd. ......................................... 197,340
39,400 Tohoku Electric Power.................................. 641,982
159,000 Tokai Bank............................................. 1,387,896
122,000 Tokio Marine & Fire Insurance Co. ..................... 1,399,618
14,000 Tokyo Broadcasting System Inc. ........................ 236,262
13,000 Tokyo Dome Corp. ...................................... 132,929
106,100 Tokyo Electric Power Co. .............................. 2,028,681
13,000 Tokyo Electron Ltd. ................................... 707,873
220,000 Tokyo Gas Co., Ltd. ................................... 530,385
12,200 Tokyo Steel Manufacturing Co. Ltd. .................... 99,495
8,000 Tokyo Style Co. ....................................... 94,438
18,000 Tokyo Tatemono Co. Ltd. ............................... 79,308
23,000 Tokyotokeiba........................................... 53,537
86,000 Tokyu Corp. ........................................... 453,986
55,000 Toppan Printing Co. Ltd. .............................. 791,005
110,000 Toray Industries Inc. ................................. 731,565
47,000 Tosoh Corp. ........................................... 119,952
17,000 Tostem Corp. .......................................... 354,726
28,000 Toto Ltd. ............................................. 295,619
14,000 Toyo Engineering....................................... 48,882
4,000 Toyo Exterior.......................................... 39,571
17,000 Toyo Seikan Kaisha..................................... 293,956
</TABLE>
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<TABLE>
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- --------------------------------------------------------------------------------
<C> <S> <C>
JAPAN -- 26.8% (CONTINUED)
54,000 Toyobo Ltd. .......................................... $ 106,842
22,000 Toyoda Automatic Loom Works Ltd. ..................... 418,821
296,000 Toyota Motor Corp. ................................... 7,751,268
2,000 Trans Cosmos Inc. .................................... 53,205
6,000 Tsugami Corp. ........................................ 12,270
15,000 Tsubakimoto Chain Co. ................................ 80,431
66,000 UBE Industries Ltd. .................................. 148,142
6,000 Uni-Charm............................................. 203,508
4,000 Uniden Corp. ......................................... 56,198
37,000 Unitika Ltd.+......................................... 56,904
15,000 Uny Co. Ltd. ......................................... 275,584
12,000 Wacoal Corp. ......................................... 137,952
16,000 Yamaguchi Bank........................................ 224,790
15,000 Yamaha Corp. ......................................... 231,939
95,000 Yamaichi Securities Co. Ltd. ......................... 186,383
25,000 Yamanouchi Pharmaceutical Co. Ltd. ................... 598,553
29,000 Yamato Transport Co. Ltd. ............................ 349,572
17,000 Yamazaki Baking Co. Ltd. ............................. 234,600
87,000 Yasuda Trust & Banking................................ 325,463
20,000 Yokogawa Electric Corp. .............................. 132,014
- --------------------------------------------------------------------------------
299,122,372
- --------------------------------------------------------------------------------
MALAYSIA -- 1.0%
9,000 Aluminium Co. of Malaysia Berhad+..................... 8,026
33,000 AMMB Holdings Berhad.................................. 117,716
105,000 Amsteel Corp. Berhad.................................. 46,819
15,000 Antah Holdings Berhad................................. 9,570
13,000 Aokam Perdana Berhad+................................. 7,268
71,000 Berjaya Group Berhad.................................. 41,156
41,000 Berjaya Land Berhad................................... 76,642
55,200 Commerce Asset Holding Berhad......................... 68,917
19,000 Edaran Otomobil Nasional Berhad....................... 68,427
21,000 Ekran Berhad.......................................... 24,634
194,200 Genting Berhad........................................ 666,095
81,000 Golden Hope Plantation Berhad......................... 106,685
10,000 Golden Plus Holdings Berhad........................... 10,290
25,000 Guinness Anchor Berhad................................ 42,874
50,000 Highlands & Lowlands Berhad........................... 49,563
20,400 Hong Leong Industries Berhad.......................... 45,131
58,000 Hong Leong Properties Berhad.......................... 42,175
21,000 Hume Industries Berhad................................ 44,658
47,000 Idris Hydraulic Berhad................................ 31,435
31,000 IGB Corp. Berhad...................................... 21,266
70,000 IOI Corp. Berhad...................................... 62,905
21,000 Jaya Tiasa Holdings Berhad............................ 56,182
21,000 Johan Holdings Berhad................................. 11,741
31,000 Kedah Cement Holdings Berhad.......................... 30,835
8,000 Kelanamas Industries Berhad+.......................... 7,189
30,000 Kemayan Corp. Berhad.................................. 22,020
10,000 Kian Joo Can Factory Berhad........................... 29,841
58,000 Kuala Lumpur Kepong Berhad............................ 118,367
40,000 Land & General Berhad................................. 30,046
35,000 Landmarks Berhad...................................... 22,569
36,000 Leader Universal Holdings Berhad...................... 34,697
171,250 Magnum Corp. Berhad................................... 159,180
95,000 Malayan Banking Berhad................................ 632,139
35,000 Malayan Cement Berhad................................. 42,737
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
101
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INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
MALAYSIA -- 1.0% (CONTINUED)
108,000 Malayan United Industries Berhad....................... $ 55,565
9,000 Malayawata Steel Berhad................................ 8,921
88,000 Malaysia International Shipping Berhad................. 181,101
85,000 Malaysia Mining Corp. Berhad........................... 72,886
63,000 Malaysian Airline System Berhad........................ 119,928
400 Malaysian Helicopter Services Berhad................... 199
18,000 Malaysian Mosaics Berhad............................... 13,397
12,000 Malaysian Oxygen Berhad................................ 46,098
17,000 Malaysian Pacific Industries Berhad.................... 46,356
56,000 Malaysian Resources Corp. Berhad....................... 45,138
65,000 MBF Capital Berhad..................................... 61,087
66,000 Metroplex Berhad....................................... 47,539
78,750 Mulpha International Berhad............................ 33,764
64,000 Multi-Purpose Holdings Berhad.......................... 49,830
23,000 Mycom Berhad........................................... 22,404
19,000 Nestle Malaysia Berhad................................. 120,563
15,000 New Straits Times Press Berhad......................... 66,884
17,000 Oriental Holdings Berhad............................... 61,224
10,000 Palmco Holdings Berhad................................. 6,894
55,000 Pan-Malaysia Cement Works Berhad....................... 47,350
31,000 Perlis Plantations Berhad.............................. 76,556
45,000 Perusahaan Otomobil Nasional Berhad.................... 131,195
13,000 Petaling Garden Berhad................................. 12,931
14,000 Pilecon Engineering Berhad............................. 12,533
49,000 Promet Berhad+......................................... 25,042
104,667 Public Bank Berhad..................................... 98,366
29,000 Rashid Hussain Berhad.................................. 70,125
2,425,000 Renong Berhad.......................................... 2,495,283
918,000 Resorts World Berhad................................... 1,763,265
65,000 RHB Capital Berhad..................................... 111,473
22,000 R.J. Reynolds Berhad................................... 36,220
24,000 Rothmans of Pall Mall Malaysia Berhad.................. 193,449
23,000 Selangor Properties Berhad............................. 14,910
25,000 Shell Refining Co. Malaysia Berhad..................... 56,594
193,000 Sime Darby Berhad...................................... 456,766
35,200 Sungei Way Holdings Berhad............................. 41,532
51,000 TA Enterprise Berhad................................... 33,936
56,000 Tan Chong Motor Holdings Berhad........................ 59,160
63,000 Technology Resources Industries Berhad................. 53,157
249,000 Telekom Malaysia Berhad................................ 760,110
256,000 Tenaga Nasional Berhad................................. 763,917
52,000 Time Engineering Berhad................................ 38,168
22,000 UMW Holdings Berhad.................................... 59,235
63,000 United Engineers Malaysia Ltd. Berhad ................. 257,143
49,000 YTL Corp. Berhad....................................... 78,319
- --------------------------------------------------------------------------------
11,596,308
- --------------------------------------------------------------------------------
MEXICO -- 0.6%
136,100 Telefonos de Mexico S.A. ADR, Class L Shares........... 6,243,588
- --------------------------------------------------------------------------------
NETHERLANDS -- 4.7%
118,561 ABN AMRO Holding NV.................................... 2,334,362
6,054 Akzo Nobel............................................. 941,634
2,575 ASR Verzekeringsgroep NV............................... 123,636
56,608 Elsevier NV............................................ 860,363
6,931 Getronics NV........................................... 210,341
4,155 Heineken NV............................................ 657,132
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
102
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INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
NETHERLANDS -- 4.7% (CONTINUED)
2,620 Hollandsche Beton Groep NV........................... $ 58,179
2,140 IHC Caland NV........................................ 123,025
294,690 ING Groep NV......................................... 12,869,511
7,243 KLM Royal Dutch Air Lines NV......................... 231,604
43,905 Koninklijke Ahold NV................................. 1,087,605
2,586 Koninklijke Hoogovens NV............................. 146,113
1,806 Koninklijke Nedlloyd Groep NV........................ 53,650
2,628 Koninklijke Pakhoed NV............................... 90,129
8,143 NV Koninklijke KNP BT................................ 175,598
1,634 Oce NV............................................... 192,790
129,061 Philips Electronics NV............................... 9,215,459
182,296 Royal Dutch Petroleum Co. ........................... 9,283,468
39,762 Royal PTT Nederland NV............................... 1,414,676
2,439 Stork NV............................................. 100,256
13,606 Unilever NV.......................................... 2,759,470
142,894 VNU-Verenigde Nederlandse Uitgeversbedrijven Verenigd
Bezit............................................... 2,989,739
58,240 Wolters Kluwer NV.................................... 6,914,652
- -------------------------------------------------------------------------------
52,833,392
- -------------------------------------------------------------------------------
NEW ZEALAND -- 0.1%
176,900 Brierley Investments Ltd. ........................... 151,544
114,700 Carter Holt Harvey Ltd. ............................. 237,582
3,200 Ceramco Corp. Ltd. .................................. 3,273
7,655 Fisher & Paykel Industries Ltd. ..................... 25,693
24,575 Fletcher Challenge Building.......................... 68,813
24,575 Fletcher Challenge Energy............................ 86,724
58,101 Fletcher Challenge Forests........................... 68,345
49,150 Fletcher Challenge Paper............................. 99,292
36,300 Lion Nathan Ltd. .................................... 91,666
125,300 Telecom Corp of New Zealand Ltd. .................... 618,405
- -------------------------------------------------------------------------------
1,451,337
- -------------------------------------------------------------------------------
NORWAY -- 0.2%
2,700 Aker RGI ASA, Class A Shares......................... 47,091
1,260 Aker RGI ASA, Class B Shares......................... 19,440
4,200 Bergesen d.y. ASA, Class A Shares.................... 112,696
1,100 Bergesen d.y. ASA, Class B Shares.................... 29,147
141 Bona Shipholding Ltd.+............................... 1,778
43,400 Christiania Bank Og Kreditkasse ASA.................. 148,477
1,700 Dyno Industrier ASA.................................. 42,194
3,300 Elkem ASA............................................ 58,884
4,000 Hafslund ASA, Class A Shares......................... 23,612
2,700 Hafslund ASA, Class B Shares......................... 13,765
1,400 Helikopter Services Group ASA........................ 17,468
2,300 Kvaerner ASA......................................... 122,811
600 Kvaerner ASA, Class B Shares......................... 29,261
2,000 Leif Hoegh & Co. ASA................................. 42,663
5,200 NCL Holdings ASA+.................................... 15,836
18,100 Norsk Hydro ASA...................................... 983,471
1,800 Norske Skogindustrier ASA, Class A Shares............ 66,893
400 Norske Skogindustrier ASA, Class B Shares............ 14,221
4,000 Nycomed ASA, Class A Shares.......................... 80,229
2,700 Nycomed ASA, Class B Shares.......................... 49,445
3,100 Orkla ASA, Class A Shares............................ 220,012
600 Orkla ASA, Class B Shares............................ 38,961
2,500 Petroleum Geo-Services ASA+.......................... 150,932
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
103
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INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
NORWAY -- 0.2% (CONTINUED)
18,500 Storebrand ASA+...................................... $ 121,866
1,300 Unitor ASA........................................... 18,313
- ------------------------------------------------------------------------------
2,469,466
- ------------------------------------------------------------------------------
SINGAPORE -- 0.4 %
26,667 Asia Food & Properties Ltd.+......................... 13,066
2,000 Asia Food & Properties Ltd. Warrants, Expire
7/12/02+............................................ 650
15,000 Chuan Hup Holdings Ltd. ............................. 8,678
63,000 City Developments Ltd. .............................. 397,785
42,000 Comfort Group Ltd. .................................. 30,545
7,000 Creative Technology Ltd.+............................ 140,694
19,000 Cycle & Carriage Ltd. ............................... 109,289
73,000 DBS Land Ltd. ....................................... 187,266
31,000 Development Bank of Singapore Ltd. .................. 327,934
16,000 First Capital Corp. Ltd. ............................ 35,755
23,200 Fraser & Neave Ltd. ................................. 122,711
30,000 Goldtron Ltd. ....................................... 15,074
6,000 Goldtron Ltd. Preferred Shares....................... 2,896
29,000 Hai Sun Hup Group Ltd. .............................. 18,598
12,000 Haw Par Brothers International Ltd. ................. 23,008
27,000 Hotel Properties Ltd. ............................... 37,666
11,000 Inchcape Berhad...................................... 36,727
79,000 Integrated Processor & Communications Corp. ......... 21,937
7,000 Jurong Shipyard Ltd. ................................ 31,008
51,250 Keppel Corp. Ltd. ................................... 182,975
8,000 Low Keng Huat Ltd. .................................. 2,539
22,000 Lum Chang Holdings Ltd. ............................. 13,964
7,000 Metro Holdings Ltd. ................................. 19,901
22,000 Natsteel Ltd. ....................................... 59,927
46,000 Neptune Orient Lines Ltd. ........................... 34,671
57,498 Oversea-Chinese Banking Corp. Ltd. .................. 448,579
8,000 Overseas Union Enterprise Ltd. ...................... 33,058
19,000 Parkway Holdings Ltd. ............................... 71,603
3,000 Prima Ltd. .......................................... 8,886
4,000 Robinson & Co. Ltd. ................................. 18,645
11,000 Shangri-La Hotel Ltd. ............................... 26,909
55,000 Singapore Airlines Ltd. ............................. 400,000
13,000 Singapore Press Holdings Ltd. ....................... 164,165
49,000 Singapore Technologies Industrial Corp. ............. 75,160
484,000 Singapore Telecommunications Ltd. ................... 707,200
20,000 Straits Trading Co. Ltd. ............................ 37,025
90,000 United Industrial Corp. Ltd. ........................ 61,289
47,000 United Overseas Bank Ltd. ........................... 363,570
33,000 United Overseas Land Ltd. ........................... 38,182
9,000 Van Der Horst Ltd. .................................. 12,912
- ------------------------------------------------------------------------------
4,342,447
- ------------------------------------------------------------------------------
SPAIN -- 2.7%
1,000 Acerinox S.A. ....................................... 164,902
20,811 Autopistas Concesionaria Espanola S.A. .............. 247,766
56,250 Banco Bilbao Vizcaya S.A. ........................... 1,481,821
13,650 Banco Central Hispanoamericano S.A. ................. 505,489
39,900 Banco Santander S.A. ................................ 1,112,780
10,450 Corporacion Bancaria de Espana S.A. ................. 520,335
1,200 Corporacion Financiera Alba S.A. .................... 132,605
2,350 Corporacion Mapfre................................... 129,843
4,450 Dragados & Construcciones S.A. ...................... 83,567
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
104
<PAGE>
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INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
SPAIN -- 2.7% (CONTINUED)
3,750 Ebro Argicolas, Compania de Alimentacion S.A. ...... $ 66,475
1,950 El Aguila S.A.+..................................... 8,927
1,650 Empresa Nacional de Celulosas S.A. ................. 29,412
394,760 Empresa Nacional de Electridad S.A. ................ 7,971,540
11,200 Ercros S.A.+........................................ 11,934
1,150 Fomento de Construcciones y Contratas S.A. ......... 137,443
12,400 Gas Natural SDG S.A. ............................... 558,706
76,650 Iberdrola S.A. ..................................... 862,142
1,837 Inmobiliaria Metropolitana Vasco Central S.A. ...... 65,128
3,200 Inmobiliaria Urbis S.A.+............................ 26,942
550 Portland Valderrivas S.A. .......................... 44,389
4,650 Prosegur, CIA de Seguridad S.A. .................... 51,690
25,000 Repsol S.A. ........................................ 989,936
4,850 Sarrio S.A. ........................................ 17,993
3,762 Sociedade General de Agus de Barcelona S.A. ........ 136,840
2,850 Tabacalera S.A. .................................... 152,220
551,885 Telefonica de Espana................................ 14,338,917
25,400 Union Electrica Fenosa S.A. ........................ 197,145
4,100 Uralita S.A. ....................................... 41,127
3,350 Vallehermosa S.A. .................................. 77,894
1,800 Viscofan Industria Navarra De Envolturas Celulosicas
S.A. .............................................. 40,255
760 Zardoya-Otis S.A. .................................. 93,632
- -------------------------------------------------------------------------------
30,299,795
- -------------------------------------------------------------------------------
SWEDEN -- 2.8%
57,000 ABB AB, Class A Shares.............................. 831,295
23,000 ABB AB, Class B Shares.............................. 335,435
9,800 AGA AB, Class A Shares.............................. 143,549
8,200 AGA AB, Class B Shares.............................. 118,023
1,183,464 Astra AB, Class A Shares............................ 18,917,938
40,950 Astra AB, Class B Shares............................ 620,702
10,400 Atlas Copco AB, Class A Shares...................... 314,610
4,600 Atlas Copco AB, Class B Shares...................... 138,275
4,100 Autoliv AB.......................................... 159,900
3,870 Diligentia AB+...................................... 48,554
6,200 Electrolux AB, Class B Shares....................... 442,237
2,850 Granges AB+......................................... 42,835
1,400 Esselte AB, Class A Shares.......................... 34,773
1,100 Esselte AB, Class B Shares.......................... 28,442
1,660 Fastighets AB Nackebro.............................. 21,250
17,600 Hennes & Mauritz AB, Class B Shares................. 665,801
3,900 Scancem AB, Class A Shares.......................... 136,110
5,400 Securitas AB, Class B Shares........................ 127,245
8,700 Skandia Forsakrings AB.............................. 337,982
45,000 Skandinaviska Enskilda Banke, Class A Shares........ 484,333
10,700 Skanska AB, Class B Shares.......................... 425,901
3,700 SKF AB, Class A Shares.............................. 94,491
4,800 SKF AB, Class B Shares.............................. 130,225
22,300 Stora Kopparbergs Bergslags Aktiebolag, Class A
Shares............................................. 355,050
4,500 Stora Kopparbergs Bergslags Aktiebolag, Class B
Shares............................................. 70,501
16,800 Svenska Cellulosa AB, Class B Shares................ 373,405
18,500 Svenska Handelsbanken, Class A Shares............... 570,246
1,600 Svenska Handelsbanken, Class B Shares............... 46,058
36,000 Swedish Match AB.................................... 109,591
82,000 Telefonaktiebolaget LM Ericsson, Class B Shares..... 3,425,806
8,800 Trelleborg AB, Class B Shares....................... 135,626
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
105
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INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
SWEDEN -- 2.8% (CONTINUED)
12,100 Volvo AB, Class A Shares............................. $ 309,012
27,400 Volvo AB, Class B Shares............................. 704,980
- ------------------------------------------------------------------------------
30,700,181
- ------------------------------------------------------------------------------
SWITZERLAND -- 6.0%
688 ABB AG Bearer Shares................................. 1,016,632
420 ABB AG Registered Shares............................. 124,520
1,350 Adecco S.A........................................... 461,189
155 Alusuisse-Lonza Holding AG Bearer Shares............. 134,937
335 Alusuisse-Lonza Holding AG Registered Shares......... 288,929
16,485 Credit Suisse Group Registered Shares................ 1,985,509
200 Danzas Holding AG.................................... 39,350
140 Distefora Holding AG+................................ 1,462
115 Forbo Holding AG Registered Shares................... 47,810
40 Georg Fischer AG Bearer Shares....................... 55,468
30 Georg Fischer AG Registered Shares................... 8,086
604 Holderbank Financiere Glarus AG Bearer Shares........ 506,691
35 Jelmoli Holding AG Bearer Shares..................... 26,885
90 Jelmoli Holding AG Registered Shares+................ 14,008
30 Kuoni Reisen AG Registered (Cat B)................... 123,812
55 Moevenpick Holding AG Bearer Shares.................. 17,714
35 Moevenpick Holding AG Participating Certificates..... 10,164
3,340 Nestle SA Registered Shares.......................... 3,893,403
564 Novartis AG Bearer Shares............................ 805,660
19,359 Novartis AG Registered Shares........................ 27,497,320
135 Roche Holding AG Bearer Shares....................... 2,039,872
2,307 Roche Holding AG Genusss............................. 19,508,693
180 Sairgroup............................................ 213,827
105 Schindler Holding AG Participating Certificates...... 133,010
6,580 Schweizerische Bankverein Registered Shares.......... 1,589,468
1,241 Schweizerische Rueckversicherungs-Gesellschaft
Registered Shares................................... 1,652,325
140 SGS Societe Generale de Surveillance Holding S.A.
Bearer Shares....................................... 253,756
185 Sika Finanz AG Bearer Shares......................... 59,211
300 SMH AG Bearer Shares................................. 167,981
1,180 SMH AG Registered Shares............................. 155,441
310 Sulzer AG Registered Shares.......................... 217,863
2,180 UBS Bearer Shares.................................... 2,166,633
320 Valora Holdings AG................................... 66,842
3,865 Zurich Versicherungsgesellschaft Registered Shares... 1,406,307
- ------------------------------------------------------------------------------
66,690,778
- ------------------------------------------------------------------------------
UNITED KINGDOM -- 14.7%
110,900 Abbey National PLC................................... 1,492,815
12,100 AMEC PLC............................................. 28,062
21,300 Anglian Water PLC.................................... 268,582
22,507 Argos PLC............................................ 226,855
64,900 Arjo Wiggins Appleton PLC............................ 184,722
5,819,704 Asda Group PLC....................................... 13,662,052
71,100 Associated British Foods PLC......................... 598,458
120,900 Barclays PLC......................................... 2,769,563
18,300 Barratt Developments PLC............................. 76,126
69,400 Bass PLC............................................. 930,811
245,267 B.A.T Industries PLC................................. 2,054,499
32,700 BBA Group PLC........................................ 205,237
3,029 Betacom PLC.......................................... 2,284
346,500 BG PLC............................................... 1,517,272
33,136 The BICC Group....................................... 90,552
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
106
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INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM -- 14.7% (CONTINUED)
58,000 Blue Circle Industries PLC............................ $ 363,558
38,200 BOC Group PLC......................................... 659,486
71,300 Boots Co. PLC......................................... 923,338
15,300 Bowthorpe PLC......................................... 89,329
39,900 BPB Industries PLC.................................... 220,013
314,183 British Aerospace PLC................................. 7,357,772
76,000 British Airways PLC................................... 792,540
34,100 British Land Co. PLC.................................. 317,164
449,537 British Petroleum Co. PLC............................. 6,288,123
135,500 British Sky Broadcasting Group PLC.................... 958,125
160,800 British Steel PLC..................................... 451,158
496,900 British Telecommunications PLC........................ 3,219,454
317,400 BTR PLC............................................... 1,122,173
15,900 Burmah Castrol PLC.................................... 265,473
175,500 Cable & Wireless PLC.................................. 1,538,400
78,500 Cadbury Schweppes PLC................................. 728,219
42,660 Caradon PLC........................................... 141,831
652,340 Carlton Communications PLC............................ 5,194,598
346,500 Centrica PLC+......................................... 498,733
55,300 Coats Viyella PLC..................................... 106,277
7,300 Cobham PLC............................................ 90,510
55,346 Commercial Union PLC.................................. 666,019
32,000 Courtaulds PLC........................................ 163,218
6,100 Courtaulds Textiles PLC............................... 32,498
17,700 De La Rue PLC......................................... 112,957
11,800 Delta PLC............................................. 55,211
33,638 Electrocomponents PLC................................. 251,767
61,200 Emi Group PLC......................................... 551,852
41,140 Energy Group PLC...................................... 417,338
24,600 English China Clays PLC............................... 92,958
44,600 FKI PLC............................................... 136,708
218,200 General Electric Co. PLC.............................. 1,350,037
28,500 George Wimpey PLC..................................... 61,474
27,600 GKN PLC............................................... 529,977
277,100 Glaxo Wellcome PLC.................................... 5,550,089
82,787 Granada Group PLC..................................... 1,089,550
165,500 Grand Metropolitan PLC................................ 1,520,528
28,688 Great Portland Estates PLC............................ 96,774
79,400 Great Universal Stores PLC............................ 807,392
72,775 Guardian Royal Exchange PLC........................... 320,441
152,200 Guinness PLC.......................................... 1,348,967
22,400 Hammerson PLC......................................... 169,471
51,425 Hanson PLC............................................ 246,867
56,300 Harrisons & Crosfield PLC............................. 100,894
19,300 Hepworth PLC.......................................... 64,636
68,200 HSBC Holdings PLC (75P)............................... 2,123,646
141,500 HSBC Holdings PLC ($HK10)............................. 4,211,036
74,000 Huntingdon Life Sciences Group PLC ADR+............... 286,750
7,400 Hyder PLC............................................. 100,211
27,400 IMI PLC............................................... 151,975
687,300 Imperial Chemical Industries PLC...................... 11,129,891
36,910 Imperial Tobacco Group PLC............................ 231,062
144,800 J. Sainsbury PLC...................................... 1,013,318
17,100 Johnson Matthey PLC................................... 174,300
52,900 Kingfisher PLC........................................ 622,000
3,090,695 Ladbroke Group PLC.................................... 12,982,322
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
107
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM -- 14.7% (CONTINUED)
11,200 Laird Group PLC...................................... $ 71,113
40,400 Land Securities PLC.................................. 588,375
76,300 LASMO PLC+........................................... 320,495
98,350 Legal & General Group PLC............................ 721,754
8,900 Lex Service PLC...................................... 63,943
426,400 Lloyds TSB Group PLC................................. 4,999,792
62,110 Lonrho PLC........................................... 124,401
1,904,288 Lucasvarity PLC...................................... 6,084,086
224,074 Marks & Spencer PLC.................................. 2,127,722
26,616 Marley PLC........................................... 47,914
33,100 MEPC PLC............................................. 251,498
14,400 Mercury Asset Management Group PLC................... 311,774
10,000 Meyer International PLC.............................. 69,332
134,658 National Grid Group PLC.............................. 580,912
89,800 National Power PLC................................... 827,220
29,600 Next PLC............................................. 356,199
12,300 Ocean Group PLC...................................... 112,208
44,900 Pearson PLC.......................................... 527,935
49,546 The Peninsular and Oriental Steam Navigation Co. .... 522,298
79,300 Pilkington PLC....................................... 187,125
21,200 Provident Financial PLC.............................. 219,530
151,400 Prudential Corp. PLC................................. 1,495,339
22,400 Racal Electronic PLC................................. 81,739
39,500 Railtrack Group PLC.................................. 494,871
65,800 Rank Group PLC....................................... 377,235
42,382 Redland PLC.......................................... 199,331
89,200 Reed International PLC............................... 789,867
132,500 Reuters Holdings PLC................................. 1,345,199
39,800 Rexam PLC............................................ 192,029
84,500 Rio Tinto PLC........................................ 1,333,417
19,700 RMC Group PLC........................................ 320,772
115,500 Rolls-Royce PLC...................................... 438,323
65,542 Royal Bank of Scotland Group PLC..................... 622,893
120,219 Royal & Sun Alliance Insurance Group PLC............. 974,854
50,700 Rugby Group PLC...................................... 98,259
85,500 Safeway PLC.......................................... 519,989
15,400 Schroders PLC........................................ 472,665
48,600 Scottish & Newcastle PLC............................. 570,652
91,249 Scottish Power PLC................................... 643,745
120,300 Sears PLC............................................ 122,914
43,200 Sedgwick Group PLC................................... 84,424
30,900 Slough Estates PLC................................... 159,110
434,934 SmithKline Beecham PLC............................... 3,777,281
24,000 Smiths Industries PLC................................ 319,559
37,770 Southern Electric PLC................................ 284,531
40,918 Southern Electric PLC, Class B Shares+............... 20,240
22,500 St. James's Place Capital PLC........................ 51,087
42,000 T & N PLC............................................ 109,325
74,799 Tarmac PLC........................................... 144,357
34,600 Tate & Lyle PLC...................................... 229,788
30,953 Taylor Woodrow PLC................................... 93,371
170,600 Tesco PLC............................................ 1,131,615
29,300 Thames Water PLC..................................... 376,585
29,314 Thorn PLC............................................ 77,731
37,218 TI Group PLC......................................... 355,521
8,900 Transport Development Group PLC...................... 24,033
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
108
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM -- 14.7% (CONTINUED)
18,700 Unigate PLC....................................... $ 159,826
64,400 Unilever PLC...................................... 1,784,421
41,800 United Biscuits Holdings PLC...................... 139,989
41,500 United Utilities PLC.............................. 464,402
5,433 Value Realisation Trust PLC....................... 8,811
2,852 Value Realisation Trust PLC Convertible Unsecured
Loan Stock....................................... 5,920
26,300 Vickers PLC....................................... 84,453
11,247 Viglen Floating Rate.............................. 0
6,900 Viglen Technology PLC............................. 7,050
3,284,870 Vodafone Group PLC................................ 16,887,833
68,394 Williams PLC...................................... 386,560
33,200 Willis Corroon Group PLC.......................... 66,766
11,800 Wilson Connolly Holdings PLC...................... 33,012
44,800 Wolseley PLC...................................... 323,685
74,800 Zeneca Group PLC.................................. 2,372,832
- -------------------------------------------------------------------------------
164,372,135
- -------------------------------------------------------------------------------
UNITED STATES -- 0.5%
1,013,400 Echo Bay Mines Ltd. .............................. 5,130,337
- -------------------------------------------------------------------------------
TOTAL STOCKS (Cost -- $952,102,293)............... 1,042,655,931
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 6.6%
$73,650,000 CIBC Wood Gundy Securities Inc., 5.480% due
9/2/97; Proceeds at maturity -- $73,694,845;
(Fully collateralized by U.S. Treasury Notes,
5.875% due 2/28/99; Market value -- $75,185,026)
(Cost -- $73,650,000)............................. 73,650,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,025,752,293*)................................ $1,116,305,931
- -------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
# Risp NC -- Risparmio Non-Convertible (Non-Convertible savings shares).
* Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Japan 26.8%
United Kingdom 14.7%
Other Stocks and Preferred Stocks 10.7%
Germany 9.3%
France 8.1%
Repurchase Agreement 6.6%
Switzerland 6.0%
Italy 5.3%
Hong Kong 5.0%
Netherlands 4.7%
Sweden 2.8%
SEE NOTES TO FINANCIAL STATEMENTS.
109
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
INTERNATIONAL FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT++ SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
BONDS -- 99.2%
- -------------------------------------------------------------------------------
AUSTRALIA -- 3.2%
3,300,000 Australia Government, 10.000% due 2/15/06........ $ 2,974,598
1,170,000 Federal National Mortgage Association, 6.375% due
8/15/07......................................... 838,655
- -------------------------------------------------------------------------------
3,813,253
- -------------------------------------------------------------------------------
DENMARK -- 7.7%
Kingdom of Denmark:
31,710,000 7.000% due 12/15/04.............................. 4,937,426
12,360,000 8.000% due 3/15/06............................... 2,026,581
15,970,000 7.000% due 11/10/24.............................. 2,335,647
- -------------------------------------------------------------------------------
9,299,654
- -------------------------------------------------------------------------------
EUROPEAN COMMUNITY UNION -- 7.4%
4,090,000 French Treasury Bill, 5.000% due 3/16/99......... 4,498,777
4,070,000 United Kingdom Treasury, 5.000% due 1/26/99...... 4,469,220
- -------------------------------------------------------------------------------
8,967,997
- -------------------------------------------------------------------------------
FINLAND -- 2.1%
13,000,000 Government of Finland, 7.250% due 4/18/06........ 2,604,126
- -------------------------------------------------------------------------------
GERMANY -- 13.2%
8,150,000 Baden-Wuertternberg L-Finance, 6.750% due
6/22/05......................................... 4,855,502
9,240,000 Bundesrepublik Deutschland, 6.500% due 7/15/03... 5,491,030
3,860,000 European Investment Bank, 7.750% due 1/26/05..... 2,433,674
3,000,000 Inter-American Development Bank, 7.750% due
12/6/04......................................... 1,884,791
2,200,000 Kreditanstalt Fuer Wiederaufbau, 6.000% due
2/9/06.......................................... 1,251,661
- -------------------------------------------------------------------------------
15,916,658
- -------------------------------------------------------------------------------
ITALY -- 20.3%
Buoni Poliennali Del Tesoro:
7,960,000,000 10.500% due 4/15/98.............................. 4,604,101
5,970,000,000 10.500% due 7/15/98.............................. 3,497,494
7,700,000,000 8.500% due 4/1/04................................ 4,806,200
2,350,000,000 9.000% due 11/1/23............................... 1,593,623
7,900,000,000 DSL Finance NV, 8.375% due 3/30/04............... 4,907,256
8,200,000,000 European Investment Bank, 10.250% due 10/2/00.... 5,177,437
- -------------------------------------------------------------------------------
24,586,111
- -------------------------------------------------------------------------------
JAPAN -- 17.5%
400,000,000 Asian Development Bank, 5.000% due 2/5/03........ 3,900,906
690,000,000 Export-Import Bank of Japan, 2.875% due 7/28/05.. 6,071,702
400,000,000 Japan Development Bank, 6.500% due 9/20/01....... 4,012,969
520,000,000 Republic Of Austria, 6.250% due 10/16/03......... 5,421,764
190,000,000 World Bank, 4.500% due 3/20/03................... 1,819,919
- -------------------------------------------------------------------------------
21,227,260
- -------------------------------------------------------------------------------
SPAIN -- 9.9%
Bonos Y Oblig Del Estado:
336,100,000 10.100% due 2/28/01.............................. 2,534,954
769,700,000 11.300% due 1/15/02.............................. 6,157,144
451,300,000 7.900% due 2/28/02............................... 3,234,915
- -------------------------------------------------------------------------------
11,927,013
- -------------------------------------------------------------------------------
SWEDEN -- 7.2%
Kingdom of Sweden:
12,500,000 10.250% due 5/5/00............................... 1,780,808
5,700,000 13.000% due 6/15/01.............................. 902,620
20,100,000 6.500% due 10/25/06.............................. 2,550,916
26,000,000 Kreditanstalt Fuer Wiederaufbaur International
Finance, 7.500% due 5/30/00..................... 3,469,978
- -------------------------------------------------------------------------------
8,704,322
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
110
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
INTERNATIONAL FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT++ SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM -- 10.7%
2,000,000 Depfa Finance, 7.125% due 11/11/03.................. $ 3,179,695
3,100,000 Glaxo Wellcome PLC, 8.750% due 12/1/05.............. 5,371,455
2,700,000 Royal Bank of Scotland, 7.875% due 12/7/06.......... 4,439,280
- --------------------------------------------------------------------------------
12,990,430
- --------------------------------------------------------------------------------
TOTAL BONDS (Cost -- $125,962,456).................. 120,036,824
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.8%
$920,000 CIBC Wood Gundy Securities Inc., 5.480% due 9/2/97;
Proceeds at maturity -- $920,560;
(Fully collateralized by U.S. Treasury Notes, 5.875%
due 2/28/99;
Market value -- $939,542) (Cost -- $920,000)........ 920,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $126,882,456*)... $120,956,824
- --------------------------------------------------------------------------------
</TABLE>
++Represents local currency.
* Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Italy 20.3%
Japan 17.5%
Germany 13.2%
United Kingdom 10.7%
Spain 9.9%
Denmark 7.7%
European Community Union 7.4%
Sweden 7.2%
Australia 3.2%
Finland 2.1%
Repurchase Agreement 0.8%
SEE NOTES TO FINANCIAL STATEMENTS.
111
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
STOCKS -- 96.1%
- -------------------------------------------------------------------------------
ARGENTINA -- 7.7%
265,000 Acindar Industria Argentina de Aceros S.A. Series
B+................................................ $ 829,616
225,000 Banco Frances del Rio de la Plata S.A. ............ 2,486,747
27,000 Central Costanera S.A. ADR@........................ 924,750
38,000 Disco S.A. ADR+.................................... 1,669,644
323,419 Perez Companc S.A. ................................ 2,587,870
71,000 Quilmes Industrial S.A. ADR........................ 949,625
53,500 Siderar S.A. ADR@.................................. 2,191,761
150,000 Telefonica de Argentina S.A. ADR................... 5,203,125
- -------------------------------------------------------------------------------
16,843,138
- -------------------------------------------------------------------------------
AUSTRIA -- 0.1%
33,000 Scala Business Solutions+.......................... 317,796
- -------------------------------------------------------------------------------
BRAZIL -- 11.6%
68,500 Aracruz Celulose S.A. ADR.......................... 1,395,688
71,534 Companhia Cervejaria Brahma Preferred Warrants,
Expire 4/30/03+................................... 11,791
43,500 Companhia Energetica de Minas Gerais ADR........... 2,109,750
85,000,000 Companhia Paranaense de Energia -- Copel Preferred
Series B.......................................... 1,245,421
6,400,000 Companhia Paulista de Forca e Luz.................. 1,095,971
4,200,000 Companhia de Saneamento Basico do Estado de Sao
Paulo............................................. 1,115,385
26,000 Companhia Siderurgica Nacional ADR................. 904,764
12,500,000 Petroleo Brasileiro S.A. Preferred................. 3,021,978
74,000 Telecomunicacoes Brasileiras S.A. ADR.............. 8,732,000
7,660,000 Telecomunicacoes de Minas Gerais Preferred Series
B................................................. 1,122,344
189,771 Telecomunicacoes de Minas Gerais Preferred Dividend
Shares Series B+.................................. 32,845
10,010,000 Telecomunicacoes de Sao Paulo S.A. Preferred....... 3,015,833
461,052 Telecomunicacoes de Sao Paulo S.A. Preferred RCP+.. 126,663
10,576,000 Telecomunicacoes do Rio de Janeiro S.A. Preferred.. 1,351,055
1,659,830 Telecomunicacoes do Rio de Janeiro -- RCT S.A.
Preferred+........................................ 255,359
- -------------------------------------------------------------------------------
25,536,847
- -------------------------------------------------------------------------------
CHILE -- 3.6%
63,000 Banco Santander Chile ADR.......................... 972,563
90,000 Compania De Telecomunicaciones de Chile S.A. ADR... 2,705,625
125,000 Empresa Nacional de Electricidad S.A. ADR.......... 2,781,250
24,700 Quimica Minera Chile S.A. ADR...................... 1,491,262
- -------------------------------------------------------------------------------
7,950,700
- -------------------------------------------------------------------------------
CHINA -- 2.5%
6,000,000 Guangshen Railway Co., Ltd. Series H............... 2,497,096
126,000 Huaneng Power International, Inc. ADR.............. 2,976,750
- -------------------------------------------------------------------------------
5,473,846
- -------------------------------------------------------------------------------
CROATIA -- 1.7%
185,000 Pliva D.D. GDR..................................... 3,071,000
16,600 Zagrebacka Banka GDR+.............................. 598,430
- -------------------------------------------------------------------------------
3,669,430
- -------------------------------------------------------------------------------
CZECH REPUBLIC -- 1.7%
22,000 Cez 2.............................................. 525,573
22,613 CKD Praha Holding+................................. 697,163
144,000 Prazske Pivovary A.S.+............................. 883,620
12,670 SPT Telecom A.S.+.................................. 1,592,289
- -------------------------------------------------------------------------------
3,698,645
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
112
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
EGYPT -- 3.5%
55,800 Al-Ahram Beverages Co. GDR+........................ $ 1,420,110
110,000 Commercial International Bank GDR+................. 2,750,000
18,000 Egyptian International Pharmaceutical Industries
Co................................................ 1,162,386
22,700 North Cairo Flour Mills+........................... 1,216,628
45,450 Torah Portland Cement Co. ......................... 1,219,577
- ------------------------------------------------------------------------------
7,768,701
- ------------------------------------------------------------------------------
HONG KONG -- 7.0%
4,524,300 Asia Securities International+..................... 3,123,630
1,000,000 China Overseas Land & Investment................... 735,579
560,500 Dah Sing Financial Group........................... 2,343,554
2,300,000 Founder Hong Kong Ltd. ............................ 2,033,166
1,744,000 Henderson China Holding Ltd. ...................... 3,060,834
218,000 Lai Sun Development Co. Ltd. ...................... 215,215
382,000 New World Development Co. Ltd. .................... 2,381,030
2,756,000 Qingling Motors Company Series H................... 1,556,007
- ------------------------------------------------------------------------------
15,449,015
- ------------------------------------------------------------------------------
HUNGARY -- 3.7%
34,000 Borsodchem GDR..................................... 1,266,500
36,000 Egis Pharmaceutical RT EDR+........................ 1,756,548
45,820 Gedeon Richter Ltd. RT GDR......................... 4,371,228
9,614 Pick Szeged RT GDR@................................ 699,957
- ------------------------------------------------------------------------------
8,094,233
- ------------------------------------------------------------------------------
INDIA -- 4.9%
264,000 Arvind Mills Ltd. GDR+............................. 1,122,000
111,000 Ashok Leyland Ltd. GDR............................. 610,500
32,000 Indian Hotels Co. Ltd. GDR@........................ 600,000
149,000 Industrial Credit & Investment Corp. of India Ltd.
GDR+.............................................. 2,086,000
82,700 Larsen & Toubro Ltd. GDR........................... 1,033,750
43,000 Ranbaxy Laboratories Ltd. GDR+..................... 910,310
106,800 Reliance Industries Ltd. GDR+...................... 2,114,640
118,000 Steel Authority of India Ltd. GDR.................. 849,600
113,400 Tata Engineering and Locomotive Co. Ltd. GDR....... 1,054,620
31,000 Videsh Sanchar Nigam Ltd. GDR...................... 458,025
- ------------------------------------------------------------------------------
10,839,445
- ------------------------------------------------------------------------------
INDONESIA -- 2.7%
4,260,000 PT Bank Danamon Indonesia.......................... 938,644
2,715,000 PT Bank Pan Indonesia.............................. 1,012,373
428,571 PT Bank Pan Indonesia Warrants, Expire 6/26/00+.... 31,235
1,653,500 PT Bimantara Citra................................. 1,485,347
4,000,000 PT Mayora Indah.................................... 1,118,644
93,500 PT Panca Wiratama Sakti+........................... 38,034
651,500 PT Tambang Timah................................... 861,305
270,000 PT Tempo Scan Pacific.............................. 302,034
- ------------------------------------------------------------------------------
5,787,616
- ------------------------------------------------------------------------------
MALAYSIA -- 4.1%
393,600 Gamuda Berhad Warrants, Expire 1/17/00+............ 310,506
1,283,000 IJM Corp. Berhad................................... 1,399,396
1,361,000 Kumpulan Guthrie Berhad............................ 1,437,791
998,666 Malaysian Resources Corp. Berhad................... 804,961
1,378,000 Multi-Purpose Holdings Berhad...................... 1,072,907
1,305,000 Multi-Purpose Holdings Berhad -- ICULS, 3.000%
Expire 1/13/02+................................... 255,136
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
113
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
MALAYSIA -- 4.1% (CONTINUED)
1,950,000 Nylex Berhad........................................ $ 1,993,140
820,000 Tanjong PLC......................................... 1,701,595
- -------------------------------------------------------------------------------
8,975,432
- -------------------------------------------------------------------------------
MEXICO -- 8.5%
289,000 Alfa S.A. de C.V. Series A.......................... 2,255,084
282,000 Desc S.A. de C.V. Series B.......................... 2,399,846
768,000 Empresas ICA Sociedad Controladora S.A. de C.V. .... 2,058,465
118,000 Grupo Electra S.A. de C.V. ......................... 1,668,595
173,000 Grupo Financiero Bancomer S.A. de C.V. ADR+......... 2,205,750
1 Grupo Financiero Inbursa S.A. de C.V. Series B...... 1
695,000 Organizacion Soriana S.A. de C.V. Series B.......... 2,211,293
238,000 Sanluis Corp. S.A. de C.V. ......................... 1,896,902
704,000 Telefonos de Mexico S.A. Series L................... 1,632,621
84,000 Tubos de Acero de Mexico S.A. ADR+.................. 1,512,000
50,000 TV Azteca S.A. de C.V. ADR+......................... 900,000
- -------------------------------------------------------------------------------
18,740,557
- -------------------------------------------------------------------------------
PHILIPPINES -- 2.0%
142,490 Bacnotan Consolidated Industries.................... 206,236
5,571,000 DCMI Holdings Inc.+................................. 833,817
1,401,450 First Philippine Holdings Corp. Series B............ 1,429,110
5,010,600 International Container Terminal Services, Inc.+.... 1,071,345
5,220,000 Petron Corp......................................... 746,941
1,232,000 William Gothong & Aboitiz+.......................... 84,295
- -------------------------------------------------------------------------------
4,371,744
- -------------------------------------------------------------------------------
POLAND -- 0.2%
32,000 Krosno S.A.......................................... 394,152
- -------------------------------------------------------------------------------
RUSSIA -- 6.9%
55,670 Irkutskenergo ADR................................... 855,926
27,200 Lukoil Holding ADR.................................. 2,454,800
53,104 Mosenergo ADR@...................................... 2,429,508
59 Rostelecom RDC+..................................... 2,448,500
44,133 Surgutneftegaz ADR.................................. 2,228,717
289,380 Trade House GUM ADR+................................ 2,459,730
58,029 Unified Energy Systems GDR+......................... 2,303,751
- -------------------------------------------------------------------------------
15,180,932
- -------------------------------------------------------------------------------
SINGAPORE -- 0.1%
196,000 China North Industries Investment Ltd. ............. 61,740
- -------------------------------------------------------------------------------
SOUTH AFRICA -- 7.3%
83,000 Liberty Life Association of Africa Ltd. ............ 2,586,937
486,000 Murray & Roberts Holdings Ltd. ..................... 1,300,075
385,000 Pepkor Ltd. ........................................ 2,584,994
707,000 Reunert Ltd. ....................................... 2,335,820
928,000 Safmarine and Rennies Holdings Ltd. ................ 2,235,191
250,000 Sappi Ltd. ......................................... 2,312,693
203,000 Sasol Ltd. ......................................... 2,704,359
- -------------------------------------------------------------------------------
16,060,069
- -------------------------------------------------------------------------------
SOUTH KOREA -- 4.3%
92,080 LG Semiconductor Co.+............................... 4,091,311
4,997 Mirae Co. .......................................... 896,968
26,880 Pohang Iron & Steel Co. Ltd. ....................... 2,333,809
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
114
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
SOUTH KOREA -- 4.3% (CONTINUED)
15,780 Samchully Co. ....................................... $ 1,022,631
5,595 S1 Corp. ............................................ 1,100,402
- --------------------------------------------------------------------------------
9,445,121
- --------------------------------------------------------------------------------
TAIWAN -- 2.8%
536,000 Acer Incorporation+.................................. 1,569,355
352,500 China Development Corp. ............................. 1,589,441
623,700 China Motor Co. Ltd. ................................ 2,149,941
6,000 Taipei Fund.......................................... 863,640
- --------------------------------------------------------------------------------
6,172,377
- --------------------------------------------------------------------------------
THAILAND -- 3.8%
1,417,400 Bangchak Petroleum Public Co. Ltd. .................. 414,566
788,250 Bank of Ayudhya Public Co. Ltd. ..................... 1,221,914
170,700 Grammy Entertainment Co. Ltd. ....................... 1,407,938
418,000 Italian-Thai Development Public Co. Ltd. ............ 745,774
27,200 Kang Yong Electric Public Co. Ltd. .................. 63,644
214,651 Land and House Public Co. Ltd. ...................... 243,280
63,100 Loxley Public Co. Ltd. .............................. 71,977
304,600 Onpa International Public Co. Ltd. .................. 574,633
1,841,700 Saha-Union Public Co. Ltd. .......................... 1,077,333
52,000 Siam City Cement Public Co. Ltd. .................... 796,958
1,020,400 TelecomAsia Corporation Public Co. Ltd.+............. 828,198
300,800 United Communication Industry Public Co. Ltd ........ 941,375
- --------------------------------------------------------------------------------
8,387,590
- --------------------------------------------------------------------------------
TURKEY -- 3.9%
12,771,000 Akcansa Cimento A.S.................................. 1,904,868
18,000,000 Arcelik A.S.......................................... 1,798,819
2,258,000 Otosan Otomobil Sanayii A.S.......................... 1,380,854
32,900,000 Haci Omer Sabanci Holding A.S........................ 1,099,218
118,970,000 Yapi ve Kredi Bankasi A.S............................ 2,448,819
- --------------------------------------------------------------------------------
8,632,578
- --------------------------------------------------------------------------------
ZIMBABWE -- 1.5%
1,400,000 Delta Corp. Ltd.+.................................... 2,147,077
415,000 NMBZ Holdings Ltd.+.................................. 1,193,108
- --------------------------------------------------------------------------------
3,340,185
- --------------------------------------------------------------------------------
TOTAL STOCKS (Cost -- $209,355,237).................. 211,191,889
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
115
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1997
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 3.9%
$8,664,000 CIBC Wood Gundy Securities Inc., 5.480% due 9/2/97;
Proceeds at maturity -- $8,669,275;
(Fully collateralized by U.S. Treasury Notes, 5.875%
due 2/28/99;
Market value -- $8,845,297) (Cost -- $8,664,000) $ 8,664,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $218,019,237*)... $219,855,889
- -------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
@ Security is exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
* Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Other Stocks, Preferred Stocks and Warrants 29.9%
Brazil 11.6%
Mexico 8.5%
Argentina 7.7%
South Africa 7.3%
Hong Kong 7.0%
Russia 6.9%
India 4.9%
South Korea 4.3%
Malaysia 4.1%
Turkey 3.9%
Repurchase Agreement 3.9%
SEE NOTES TO FINANCIAL STATEMENTS.
116
<PAGE>
[This page intentionally left blank]
117
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-TERM MUNICIPAL MORTGAGE
MONEY FIXED INCOME BOND BOND BACKED
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at cost... $387,546,793 $376,820,116 $172,950,844 $50,281,995 $130,572,985
Repurchase agreements,
at cost............... -- 3,540,000 4,255,000 -- 44,525,000
Foreign currency
segregated for futures
contracts, at cost.... -- -- -- -- --
Foreign currency, at
cost.................. -- -- -- -- --
- ---------------------------------------------------------------------------------------------
Investments, at value.. $387,546,793 $378,628,612 $176,048,776 $51,460,813 $130,442,767
Repurchase agreements,
at value.............. -- 3,540,000 4,255,000 -- 44,525,000
Foreign currency, at
value................. -- -- -- -- --
Foreign currency
segregated for futures
contracts, at value... -- -- -- -- --
Cash (Note 12)......... 5,161 595 628 65,129 784
Receivable for
securities sold....... -- -- 3,713,073 -- --
Receivable for Fund
shares sold........... 1,412,916 1,374,180 631,240 71,249 463,716
Dividends and interest
receivables........... 1,298,137 4,832,469 2,162,114 666,827 748,100
Receivable for open
forward foreign
currency contracts.... -- -- -- -- --
Receivable from
broker -- variation
margin................ -- -- -- -- --
Deferred organization
costs................. -- -- -- -- --
Other assets........... -- -- -- -- --
- ---------------------------------------------------------------------------------------------
TOTAL ASSETS........... 390,263,007 388,375,856 186,810,831 52,264,018 176,180,367
- ---------------------------------------------------------------------------------------------
LIABILITIES:
Dividends payable...... 1,191,412 49,022 32,051 8,989 27,006
Administration fees
payable............... 137,431 66,315 30,324 39,901 71,502
Management fees
payable............... 94,891 132,631 60,648 82,307 181,249
Payable for open
forward foreign
currency contracts.... -- -- -- -- --
Payable to broker --
variation margin..... -- -- -- -- --
Payable for Fund shares
purchased............. -- 479,705 214,664 81,588 140,268
Payable for securities
loaned................ -- -- -- -- --
Payable to bank........ -- -- -- -- --
Payable for securities
purchased............. -- 3,476,648 3,363,156 -- 39,130,781
Accrued expenses....... 125,842 77,275 58,650 27,389 43,455
- ---------------------------------------------------------------------------------------------
TOTAL LIABILITIES...... 1,549,576 4,281,596 3,759,493 240,174 39,594,261
- ---------------------------------------------------------------------------------------------
TOTAL NET ASSETS........ $388,713,431 $384,094,260 $183,051,338 $52,023,844 $136,586,106
- ---------------------------------------------------------------------------------------------
NET ASSETS:
Par value of shares of
beneficial interest... $ 388,736 $ 47,641 $ 22,168 $ 6,034 $ 17,150
Capital paid in excess
of par value.......... 388,347,050 390,341,625 180,848,624 52,687,671 137,021,887
Undistributed
(overdistributed) net
investment income..... 14,541 394,501 (32,905) 106,548 (27,733)
Accumulated net
realized gain (loss)
on security
transactions and
futures contracts..... (36,896) (8,498,003) (884,481) (1,955,227) (294,980)
Net unrealized
appreciation
(depreciation) of
investments, foreign
currencies and futures
contracts............. -- 1,808,496 3,097,932 1,178,818 (130,218)
- ---------------------------------------------------------------------------------------------
TOTAL NET ASSETS........ $388,713,431 $384,094,260 $183,051,338 $52,023,844 $136,586,106
- ---------------------------------------------------------------------------------------------
Shares Outstanding...... 388,735,786 47,640,950 22,168,211 6,033,727 17,150,121
- ---------------------------------------------------------------------------------------------
Net Asset Value......... $1.00 $8.06 $8.26 $8.62 $7.96
- ---------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
118
<PAGE>
AUGUST 31, 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>
$77,017,897 $1,427,684,955 $1,254,329,885 $475,443,502 $626,030,630 $ 952,102,293 $125,962,456 $209,355,237
304,000 31,851,000 41,661,000 18,944,000 25,432,000 73,650,000 920,000 8,664,000
-- -- -- -- -- 1,190,333 -- --
-- -- -- -- -- 3,136,895 3,062,211 6,940,357
- --------------------------------------------------------------------------------------------------------------------
$87,872,595 $1,911,582,195 $1,793,970,570 $601,698,839 $763,475,121 $1,042,655,931 $120,036,824 $211,191,889
304,000 31,851,000 41,661,000 18,944,000 25,432,000 73,650,000 920,000 8,664,000
-- -- -- -- -- 1,931,718 3,020,487 6,742,733
-- -- -- -- -- 5,050,013 -- --
841 71 197,177,824 13,826,414 28,231,962 200,346 105,162 422,647
1,175,082 529,699 4,266,346 1,462,344 2,454,729 12,563,039 179,728 2,498,769
74,166 5,389,018 5,553,217 2,067,846 2,713,858 4,235,554 366,067 959,653
581,716 4,532,257 1,363,617 800,267 125,370 2,407,490 4,351,402 398,068
-- -- -- -- -- 3,392,387 736,828 23,084
-- -- 154,500 -- 61,100 -- -- --
8,630 -- -- -- -- 2,731 -- 10,759
-- -- 242,352 -- -- 2,547 -- --
- --------------------------------------------------------------------------------------------------------------------
90,017,030 1,953,884,240 2,044,389,426 638,799,710 822,494,140 1,146,091,756 129,716,498 230,911,602
- --------------------------------------------------------------------------------------------------------------------
185 -- -- -- -- -- 21,915 --
26,804 333,401 326,481 103,960 127,614 201,154 64,118 41,980
80,513 831,436 530,600 270,284 357,290 588,585 160,293 189,376
-- -- -- -- -- 2,142,785 482,370 --
-- -- -- -- -- 1,736,467 -- --
56,852 1,429,786 1,457,769 232,333 6,430,000 566,818 80,028 76,348
-- -- 197,176,721 13,824,298 28,231,962 -- -- --
-- -- -- -- 627,564 -- -- --
-- 16,404,073 -- 1,791,952 9,203,989 3,092,009 3,165,690 3,997,064
63,460 138,197 80,928 204,887 194,581 1,319,624 131,601 326,955
- --------------------------------------------------------------------------------------------------------------------
227,814 19,136,893 199,572,499 16,427,714 45,173,000 9,647,442 4,106,015 4,631,723
- --------------------------------------------------------------------------------------------------------------------
$89,789,216 $1,934,747,347 $1,844,816,927 $622,371,996 $777,321,140 $1,136,444,314 $125,610,483 $226,279,879
- --------------------------------------------------------------------------------------------------------------------
$ 7,477 $ 129,744 $ 106,823 $ 43,074 $ 42,506 $ 106,877 $ 15,300 $ 24,302
73,584,172 1,223,196,450 1,200,769,183 409,665,042 609,553,562 1,030,524,704 132,373,005 208,927,922
940,268 7,365,482 5,133,450 4,079,900 81,771 (4,434,527) (2,707,990) 1,090,099
4,402,601 220,158,431 99,734,861 82,328,643 30,021,186 16,766,513 1,715,170 14,318,557
10,854,698 483,897,240 539,072,610 126,255,337 137,622,115 93,480,747 (5,785,002) 1,918,999
- --------------------------------------------------------------------------------------------------------------------
$89,789,216 $1,934,747,347 $1,844,816,927 $622,371,996 $777,321,140 $1,136,444,314 $125,610,483 $226,279,879
- --------------------------------------------------------------------------------------------------------------------
7,476,865 129,744,143 106,823,419 43,074,435 42,505,689 106,876,628 15,299,555 24,302,122
- --------------------------------------------------------------------------------------------------------------------
$12.01 $14.91 $17.27 $14.45 $18.29 $10.63 $8.21 $9.31
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
119
<PAGE>
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-TERM MUNICIPAL MORTGAGE
MONEY FIXED INCOME BOND BOND BACKED
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest..................... $18,104,685 $22,983,341 $12,336,611 $2,527,709 $ 8,835,599
Dividends.................... -- -- -- -- --
Less: Foreign withholding tax
............................ -- (25,986) -- -- --
- -------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME...... 18,104,685 22,957,355 12,336,611 2,527,709 8,835,599
- -------------------------------------------------------------------------------------------------
EXPENSES:
Shareholder and system
servicing fees.............. 784,525 248,892 200,002 31,550 193,310
Administration fees (Note
2).......................... 654,342 662,693 336,219 95,353 257,044
Management fees (Note 2)..... 490,756 1,325,387 672,437 190,705 642,610
Registration fees............ 73,232 59,834 26,218 30,000 32,741
Shareholder communications... 33,486 39,891 14,001 3,500 27,870
Audit and legal.............. 23,250 39,051 26,551 24,000 25,926
Custody...................... 16,776 13,223 6,200 4,050 4,785
Trustees' fees............... 15,000 11,716 7,020 2,700 6,499
Insurance fees............... 2,900 -- -- -- --
Pricing service fees......... -- 13,000 6,000 -- --
Amortization of deferred
organization costs.......... -- 2,731 2,731 2,782 2,731
Other........................ 2,100 6,251 9,594 9,100 4,261
- -------------------------------------------------------------------------------------------------
TOTAL EXPENSES............... 2,096,367 2,422,669 1,306,973 393,740 1,197,777
Less: Management and
administration fee
waiver (Note 2)......... (124,703) -- -- (12,330) (172,962)
Custody earnings credits
(Note 1).................. -- -- -- -- --
- -------------------------------------------------------------------------------------------------
NET EXPENSES................. 1,971,664 2,422,669 1,306,973 381,410 1,024,815
- -------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS).. 16,133,021 20,534,686 11,029,638 2,146,299 7,810,784
- -------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS, FOREIGN
CURRENCIES AND FUTURES
CONTRACTS (NOTES 4, 5 AND 6):
Realized Gain (Loss) From:
Security transactions
(excluding short-term
securities)................. 17,149* (1,169,275) 856,804 (46,971) 797,680
Foreign currency
transactions................ -- -- -- -- --
Futures contracts............ -- -- -- -- --
- -------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS)..... 17,149 (1,169,275) 856,804 (46,971) 797,680
- -------------------------------------------------------------------------------------------------
Change in Net Unrealized
Appreciation (Depreciation)
of Investments, Foreign
Currencies and Futures
Contracts:
Beginning of year............ -- (5,440,660) (5,293,520) (861,098) (3,309,661)
End of year.................. -- 1,808,496 3,097,932 1,178,818 (130,218)
- -------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
UNREALIZED
APPRECIATION (DEPRECIATION).. -- 7,249,156 8,391,452 2,039,916 3,179,443
- -------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON
INVESTMENTS, FOREIGN
CURRENCIES AND FUTURES
CONTRACTS.................... 17,149 6,079,881 9,248,256 1,992,945 3,977,123
- -------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS....... $16,150,170 $26,614,567 $20,277,894 $4,139,244 $11,787,907
- -------------------------------------------------------------------------------------------------
</TABLE>
* Represents net realized gains from the sale of short-term securities for
Government Money Investments.
SEE NOTES TO FINANCIAL STATEMENTS.
120
<PAGE>
FOR THE YEAR ENDED AUGUST 31, 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>
$ 1,188,182 $ 1,074,225 $ 2,511,650 $ 570,290 $ 1,068,243 $ 2,915,572 $ 8,783,944 $ 773,602
1,172,279 41,890,038 15,963,919 12,572,957 2,058,812 15,833,070 -- 3,187,086
(30,621) (149,602) (32,048) -- -- (2,136,859) (2,197) (209,772)
- -----------------------------------------------------------------------------------------------------------------
2,329,840 42,814,661 18,443,521 13,143,247 3,127,055 16,611,783 8,781,747 3,750,916
- -----------------------------------------------------------------------------------------------------------------
48,979 1,105,399 868,302 735,915 777,151 1,127,151 226,644 532,208
133,514 3,452,366 3,126,348 1,039,277 1,217,818 1,986,030 256,466 375,723
400,541 8,514,670 6,413,997 2,721,377 3,060,297 5,372,446 641,164 1,690,749
30,000 43,149 97,442 48,398 101,519 119,669 42,665 50,001
13,009 130,741 65,185 47,930 151,093 46,952 8,727 9,468
24,799 37,435 25,487 24,130 30,469 25,240 25,278 24,196
3,800 65,012 51,999 47,565 123,314 773,271 53,436 312,653
3,301 29,971 24,906 15,151 9,331 23,937 4,805 5,804
-- -- -- -- -- -- -- --
-- -- -- -- -- -- 2,668 10,172
18,874 2,731 2,734 2,731 -- 16,378 2,731 6,567
2,000 28,922 19,913 13,103 27,385 151,238 3,903 4,152
- -----------------------------------------------------------------------------------------------------------------
678,817 13,410,396 10,696,313 4,695,577 5,498,377 9,642,312 1,268,487 3,021,693
(15,022) -- -- -- -- -- -- --
-- -- -- -- -- -- (24,643) --
- -----------------------------------------------------------------------------------------------------------------
663,795 13,410,396 10,696,313 4,695,577 5,498,377 9,642,312 1,243,844 3,021,693
- -----------------------------------------------------------------------------------------------------------------
1,666,045 29,404,265 7,747,208 8,447,670 (2,371,322) 6,969,471 7,537,903 729,223
- -----------------------------------------------------------------------------------------------------------------
5,264,500 244,358,130 97,832,498 92,675,669 44,435,870 14,691,579 2,451,838 15,444,843
-- -- -- -- -- (478,954) (3,727,962) (130,819)
-- -- 7,491,928 -- 389,005 288,013 -- --
- -----------------------------------------------------------------------------------------------------------------
5,264,500 244,358,130 105,324,426 92,675,669 44,824,875 14,500,638 (1,276,124) 15,314,024
- -----------------------------------------------------------------------------------------------------------------
3,265,170 205,280,598 177,118,985 42,508,734 68,100,476 24,553,039 2,495,277 1,345,429
10,854,698 483,897,240 539,072,610 126,255,337 137,622,115 93,480,747 (5,785,002) 1,918,999
- -----------------------------------------------------------------------------------------------------------------
7,589,528 278,616,642 361,953,625 83,746,603 69,521,639 68,927,708 (8,280,279) 573,570
- -----------------------------------------------------------------------------------------------------------------
12,854,028 522,974,772 467,278,051 176,422,272 114,346,514 83,428,346 (9,556,403) 15,887,594
- -----------------------------------------------------------------------------------------------------------------
$14,520,073 $552,379,037 $475,025,259 $184,869,942 $111,975,192 $90,397,817 $(2,018,500) $16,616,817
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
121
<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)................ $ 16,133,021 $ 20,534,686 $ 11,029,638 $ 2,146,299 $ 7,810,784
Net realized gain
(loss)................ 17,149 (1,169,275) 856,804 (46,971) 797,680
Increase (decrease) in
net unrealized
appreciation.......... -- 7,249,156 8,391,452 2,039,916 3,179,443
- ------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS............ 16,150,170 26,614,567 20,277,894 4,139,244 11,787,907
- ------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
FROM (NOTE 3):
Net investment income.. (16,124,859) (20,477,022) (12,361,043) (2,026,872) (8,289,597)
Net realized gain...... -- -- -- -- --
- ------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS
FROM
DISTRIBUTIONS TO
SHAREHOLDERS.......... (16,124,859) (20,477,022) (12,361,043) (2,026,872) (8,289,597)
- ------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS
(NOTE 13):
Net proceeds from sale
of shares............. 849,412,997 178,249,168 64,617,502 29,618,111 40,497,082
Net asset value of
shares issued for
reinvestment of
dividends............. 15,257,421 19,919,280 11,926,307 1,888,004 7,957,625
Cost of shares
reacquired............ (754,144,058) (116,264,487) (57,318,892) (28,079,489) (36,312,247)
- ------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS FROM
FUND SHARE
TRANSACTIONS.......... 110,526,360 81,903,961 19,224,917 3,426,626 12,142,460
- ------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS............. 110,551,671 88,041,506 27,141,768 5,538,998 15,640,770
NET ASSETS:
Beginning of year...... 278,161,760 296,052,754 155,909,570 46,484,846 120,945,336
- ------------------------------------------------------------------------------------------------
END OF YEAR*........... $ 388,713,431 $ 384,094,260 $183,051,338 $ 52,023,844 $136,586,106
- ------------------------------------------------------------------------------------------------
* Includes
undistributed
(overdistributed)
net investment income
of:.................. $14,541 $394,501 $(32,905) $106,548 $(27,733)
- ------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
122
<PAGE>
FOR THE YEAR ENDED AUGUST 31, 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>
$ 1,666,045 $ 29,404,265 $ 7,747,208 $ 8,447,670 $ (2,371,322) $ 6,969,471 $ 7,537,903 $ 729,223
5,264,500 244,358,130 105,324,426 92,675,669 44,824,875 14,500,638 (1,276,124) 15,314,024
7,589,528 278,616,642 361,953,625 83,746,603 69,521,639 68,927,708 (8,280,279) 573,570
- ------------------------------------------------------------------------------------------------------------------------
14,520,073 552,379,037 475,025,259 184,869,942 111,975,192 90,397,817 (2,018,500) 16,616,817
- ------------------------------------------------------------------------------------------------------------------------
(896,711) (44,380,995) (8,125,928) (8,311,896) -- (11,115,301) (8,003,880) (236,637)
(2,108,915) (78,157,401) (52,552,184) (34,893,903) (71,806,746) (58,250,387) (3,360,508) (274,654)
- ------------------------------------------------------------------------------------------------------------------------
(3,005,626) (122,538,396) (60,678,112) (43,205,799) (71,806,746) (69,365,688) (11,364,388) (511,291)
- ------------------------------------------------------------------------------------------------------------------------
57,807,959 530,407,629 591,793,419 227,999,744 551,796,474 661,640,439 41,905,980 252,363,354
3,002,028 121,239,098 60,140,500 42,735,245 71,203,317 68,817,730 10,952,865 508,577
(32,816,005) (659,190,672) (426,880,873) (268,911,207) (380,170,033) (458,775,551) (43,275,876) (140,187,007)
- ------------------------------------------------------------------------------------------------------------------------
27,993,982 (7,543,945) 225,053,046 1,823,782 242,829,758 271,682,618 9,582,969 112,684,924
- ------------------------------------------------------------------------------------------------------------------------
39,508,429 422,296,696 639,400,193 143,487,925 282,998,204 292,714,747 (3,799,919) 128,790,450
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
- ------------------------------------------------------------------------------------------------------------------------
$89,789,216 $1,934,747,347 $1,844,816,927 $622,371,996 $777,321,140 $1,136,444,314 $125,610,483 $226,279,879
- ------------------------------------------------------------------------------------------------------------------------
$940,268 $7,365,482 $5,133,450 $4,079,900 $81,771 $(4,434,527) $(2,707,990) $1,090,099
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
123
<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 13):
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.
124
<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.
125
<PAGE>
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
Consulting Group Capital Markets Funds ("Fund"), a Massachusetts business
trust, is registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The Fund consists of
thirteen separate investment portfolios ("Portfolios"): Government Money
Investments, Intermediate Fixed Income Investments, Long-Term Bond Investments,
Municipal Bond Investments, Mortgage Backed Investments, Balanced Investments,
Large Capitalization Value Equity Investments, Large Capitalization Growth
Investments, Small Capitalization Value Equity Investments, Small
Capitalization Growth Investments, International Equity Investments,
International Fixed Income Investments and Emerging Markets Equity Investments.
The significant accounting policies consistently followed by the Fund are:
(a) security transactions are accounted for on trade date; (b) securities
traded on national securities markets are valued at the closing 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, which
approximates value; (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 to be distributed are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles. At
August 31, 1997, reclassifications were made to the capital accounts of the
Long-Term Bond Investments, Mortgage Backed Investments, Balanced Investments,
Large Capitalization Value Investments, Small Capitalization Value Equity
Investments, Small Capitalization Growth Investments, International Equity
Investments, International Fixed Income Investments and Emerging Markets Equity
Investments to reflect permanent book/tax differences and income and gains
available for distributions under income tax regulations. Accordingly, a
portion of over distributed net investment income amounting to $101,123,
$479,152 and $2,413,405 was reclassified to paid-in capital for Long-Term Bond
Investments, Mortgage Backed Investments and Small Capitalization Growth
Investments, respectively. 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.
International Equity Investments, International Fixed Income Investments and
Emerging Markets Equity Investments have an arrangement with their custodian,
Morgan Guaranty Trust Company of New York, where they earn custody credits on
available cash balances. These credits offset custody fees which may be charged
to the portfolios during the current year. For the year ended August 31, 1997,
custody credits totalled $24,643 for International Fixed Income Investments.
This relationship ended in December 1996.
126
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
In addition, the Fund may from time to time enter into futures contracts in
order to hedge market risk. Also, certain portfolios may enter into forward
exchange contracts in order to hedge against foreign currency risk. These
contracts are marked to market daily, by recognizing the difference between the
contract exchange rate and the current market rate as an unrealized gain or
loss. Realized gains or losses are recognized when contracts are settled.
2. INVESTMENT ADVISORY AGREEMENT, ADMINISTRATION AGREEMENT AND OTHER
TRANSACTIONS
The Fund has entered into an investment management agreement ("Management
Agreement") with 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-Needelman 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 0.05* 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 Berger Associates, Inc. 0.50 0.80**
Wall Street Associates 0.50 0.80
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>
* Effective April 3, 1997, the advisory fee was reduced from 0.15% to 0.05%.
** Effective March 31, 1997, the annual management fee was increased by 0.20%
to 0.80% and this increase was reflected in the adviser fee.
SBMFM also 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.
127
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
For the year ended August 31, 1997, the following fees were waived:
<TABLE>
<CAPTION>
TOTAL
FEE WAIVERS MANAGER ADMINISTRATOR
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Government Money Investments................. $124,703 $ 58,293 $66,410
Municipal Bond Investments................... 12,330 8,220 4,110
Mortgage Backed Investments.................. 172,962 123,544 49,418
Balanced Investments......................... 15,022 11,267 3,755
- --------------------------------------------------------------------------------
</TABLE>
For the year ended August 31, 1997, Smith Barney Inc. ("SB"), another
subsidiary of SBH, received brokerage commissions of $173,738.
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 year ended August 31, 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............ $ 407,669,203 $ 366,144,347
Long-Term Bond Investments....................... 70,065,038 53,830,559
Municipal Bond Investments....................... 20,070,226 13,817,424
Mortgage Backed Investments...................... 140,602,027 110,960,764
Balanced Investments............................. 65,734,992 43,091,484
Large Capitalization Value Equity Investments.... 1,190,232,204 1,292,220,733
Large Capitalization Growth Investments.......... 1,156,532,121 992,770,426
Small Capitalization Value Equity Investments.... 269,955,808 311,779,478
Small Capitalization Growth Investments.......... 639,944,380 482,153,122
International Equity Investments................. 478,537,364 304,822,373
International Fixed Income Investments........... 310,139,896 301,370,760
Emerging Markets Equity Investments.............. 287,205,195 179,195,004
- -------------------------------------------------------------------------------
</TABLE>
At August 31, 1997, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes were substantially
as follows:
<TABLE>
<CAPTION>
NET APPRECIATION
PORTFOLIO APPRECIATION DEPRECIATION (DEPRECIATION)
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Intermediate Fixed Income Invest-
ments............................ $ 3,109,456 $ (1,300,960) $ 1,808,496
Long-Term Bond Investments........ 3,417,869 (319,937) 3,097,932
Municipal Bond Investments........ 1,239,076 (60,258) 1,178,818
Mortgage Backed Investments....... 960,921 (1,091,139) (130,218)
Balanced Investments.............. 11,277,134 (422,436) 10,854,698
Large Capitalization Value Equity
Investments...................... 497,226,058 (13,328,818) 483,897,240
Large Capitalization Growth In-
vestments........................ 550,897,350 (11,256,665) 539,640,685
Small Capitalization Value Equity
Investments...................... 136,105,427 (9,850,090) 126,255,337
Small Capitalization Growth In-
vestments........................ 160,698,204 (23,253,713) 137,444,491
International Equity Investments.. 168,005,375 (77,451,737) 90,553,638
International Fixed Income Invest-
ments............................ 124,747 (6,050,379) (5,925,632)
Emerging Markets Equity Invest-
ments............................ 31,227,461 (29,390,809) 1,836,652
- -------------------------------------------------------------------------------
</TABLE>
128
<PAGE>
NOTES TO FINANCIAL STATEMENTS (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 August 31, 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 (LOSS)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
S&P 500 Index........ 58 9/97 $26,956,400 $26,189,900 $ (766,500)
Russell 2000 Index... 84 9/97 12,985,375 13,183,800 198,425
- -------------------------------------------------------------------------------
TOTAL................ $39,941,775 $39,373,700 $ (568,075)
- -------------------------------------------------------------------------------
</TABLE>
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
# OF BASIS MARKET UNREALIZED
PURCHASED CONTRACTS CONTRACTS EXPIRATION VALUE VALUE GAIN
- ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Russell 2000 Index...... 52 9/97 $10,848,976 $11,026,600 $ 177,624
- ----------------------------------------------------------------------------------
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................. 59 9/97 $ 2,937,891 $ 2,781,057 $ (156,834)
Deutsche Terminboerse
DAX.................... 35 9/97 7,597,600 7,631,097 33,497
IBEX 35 PLUS............ 40 9/97 1,795,435 1,719,924 (75,511)
London Financial Times
Stock Exchange 100..... 54 9/97 10,547,397 10,561,790 14,393
Marche a Terme Interna-
tional de France CAC
40..................... 75 9/97 7,139,395 6,852,691 (286,704)
MIB 30.................. 27 9/97 3,212,037 3,268,759 56,722
Osaka Securities Ex-
change Nikkei 300...... 358 9/97 8,788,054 8,261,767 (526,287)
Tokyo Stock Exchange
TOPIX.................. 91 9/97 11,568,376 10,772,633 (795,743)
- ----------------------------------------------------------------------------------
TOTAL................... $53,586,185 $51,849,718 $(1,736,467)
- ----------------------------------------------------------------------------------
</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 Portfolios 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.
129
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
7. FORWARD FOREIGN CURRENCY CONTRACTS
At August 31, 1997, International Equity Investments, International Fixed
Income Investments and Emerging Markets Equity 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............ 2,370,000 $ 1,740,986 9/4/97 $ 3,334
British Pound................ 5,250,000 8,512,319 9/4/97 (27,689)
French Franc................. 32,250,000 5,319,035 9/4/97 15,988
French Franc................. 20,041,596 3,311,108 9/30/97 (11,537)
French Franc................. 20,623,907 3,407,312 9/30/97 9,614
German Deutschemark.......... 16,250,000 9,030,457 9/4/97 23,578
German Deutschemark.......... 18,255,000 10,154,341 9/18/97 477,576
Italian Lira................. 3,688,600,000 2,094,535 9/4/97 6,034
Italian Lira................. 41,236,000,000 23,404,479 9/18/97 838,730
Japanese Yen................. 243,695,608 2,027,047 9/2/97 19,918
Japanese Yen................. 4,638,760 38,590 9/3/97 (80)
Japanese Yen................. 251,768,396 2,094,492 9/3/97 7,168
Japanese Yen................. 2,100,000,000 17,472,626 9/4/97 259,069
Japanese Yen................. 3,777,915,000 31,495,748 9/18/97 1,290,686
Swedish Krona................ 4,000,000 509,601 9/4/97 2,177
Swiss Franc.................. 2,500,000 1,685,755 9/4/97 (2,310)
- -------------------------------------------------------------------------------
122,298,431 2,912,256
- -------------------------------------------------------------------------------
TO BUY:
Australian Dollar............ 2,370,000 1,740,986 9/4/97 (48,868)
Australian Dollar............ 2,370,000 1,737,409 12/4/97 (10,703)
British Pound................ 64,962 105,338 9/2/97 768
British Pound................ 17,908 29,037 9/3/97 135
British Pound................ 5,250,000 8,512,319 9/4/97 (110,741)
British Pound................ 65,436 106,098 9/4/97 265
British Pound................ 5,250,000 8,462,419 12/4/97 9,919
French Franc................. 20,250,000 3,339,860 9/4/97 (174,896)
French Franc................. 12,000,000 1,979,176 9/4/97 37,838
French Franc................. 32,250,000 5,326,353 12/4/97 (39,704)
German Deutschemark.......... 18,255,000 10,154,340 9/18/97 305,158
German Deutschemark.......... 10,250,000 5,696,134 9/4/97 (269,322)
German Deutschemark.......... 6,000,000 3,334,323 9/4/97 62,518
German Deutschemark.......... 16,250,000 9,032,796 12/4/97 (75,948)
Italian Lira................. 2,388,600,000 1,356,343 9/4/97 (50,038)
Italian Lira................. 1,300,000,000 738,192 9/4/97 11,640
Italian Lira................. 3,688,600,000 2,081,720 12/4/97 (13,366)
Japanese Yen................. 10,425,627 86,720 9/2/97 (1,186)
Japanese Yen................. 2,100,000,000 17,472,627 9/4/97 (952,096)
Japanese Yen................. 2,100,000,000 17,621,885 12/4/97 (342,187)
Swedish Krona................ 4,000,000 509,601 9/4/97 740
Swedish Krona................ 4,000,000 508,634 12/4/97 (4,845)
Swiss Franc.................. 2,500,000 1,685,755 9/4/97 9,534
Swiss Franc.................. 2,500,000 1,694,800 12/4/97 (7,269)
- -------------------------------------------------------------------------------
103,312,865 (1,662,654)
- -------------------------------------------------------------------------------
NET UNREALIZED GAIN ON
FORWARD
FOREIGN CURRENCY CONTRACTS.. $1,249,602
- -------------------------------------------------------------------------------
</TABLE>
130
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
INTERNATIONAL FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE GAIN (LOSS)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
TO SELL:
Australian Dollar........... 5,228,927 $ 3,842,026 9/15/97 $ 50,648
German Deutschemark......... 11,447,000 6,369,126 9/22/97 (164,285)
Italian Lira................ 11,793,333,720 6,695,831 9/8/97 (255,831)
Japanese Yen................ 2,585,450,013 21,572,743 9/24/97 684,257
Japanese Yen................ 19,102,277 159,618 10/2/97 1,923
- -------------------------------------------------------------------------------
38,639,344 316,712
- -------------------------------------------------------------------------------
<CAPTION>
MARKET VALUE
--------------------------
CROSS FORWARDS**: German Japanese
TO SELL: Deutschemark Yen
-------------- -----------
<S> <C> <C> <C> <C>
German Deutschemark vs. Jap-
anese Yen.................. $ 162,362 $ 158,892 9/2/97 (3,470)
German British
Deutschemark Pound
-------------- -----------
German Deutschemark vs.
British Pound.............. $ 6,387,365 $ 6,328,581 9/23/97 (58,784)
- -------------------------------------------------------------------------------
6,549,727 6,487,473 (62,254)
- -------------------------------------------------------------------------------
NET UNREALIZED GAIN ON
FORWARD
FOREIGN CURRENCY
CONTRACTS.................. $ 254,458
- -------------------------------------------------------------------------------
<CAPTION>
** Local Currency on Cross
Forwards Sell Buy
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell German Deutschemark vs.
Japanese Yen............... 292,204 19,102,277
Sell German Deutschemark vs.
British Pound.............. 11,479,000 3,906,242
- -------------------------------------------------------------------------------
</TABLE>
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE GAIN
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
TO SELL:
Malaysian Ringgit................... 17,503,200 $5,976,916 10/2/97 $23,084
- --------------------------------------------------------------------------------
TOTAL UNREALIZED GAIN ON FORWARD
FOREIGN CURRENCY CONTRACTS......... $23,084
- --------------------------------------------------------------------------------
</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, 1997, 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 8/31/03 8/31/04 8/31/05
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Government Money Investments........ $ 37,000 $ 29,000 $ 8,000 $ --
Intermediate Fixed Income Invest-
ments.............................. 7,321,000 5,086,000 1,462,000 773,000
Long-Term Bond Investments.......... 834,000 834,000 -- --
Municipal Bond Investments.......... 1,908,000 238,000 1,248,000 422,000
Mortgage Backed Investments......... 199,000 -- 199,000 --
- ------------------------------------------------------------------------------
</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.
131
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
10. SECURITIES TRADED ON A TO-BE-ANNOUNCED BASIS
The Fund may trade securities on a "to-be-announced" ("TBA") basis. In a TBA
transaction, the Fund 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 Fund 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 August 31, 1997, Mortgage Backed Investments held four TBA securities
with a cost of $35,956,748.
11. 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.
As of August 31, 1997, there were no open short sale transactions.
12. LENDING OF PORTFOLIO SECURITIES
The Portfolios have an agreement with the custodian whereby the custodian may
lend securities owned by the Portfolios to brokers, dealers and other financial
organizations. Fees earned by the Portfolios on securities lending are recorded
in interest income. Loans of securities by the Portfolios are collateralized by
cash, U.S. government securities or high quality money market instruments that
are maintained at all times in an amount equal to the current market value of
the loaned securities, plus a margin depending on the type of securities
loaned. The custodian establishes and maintains the collateral in a segregated
account.
At August 31, 1997, Large Capitalization Growth Investments loaned common
stocks having a value of $188,405,650 and received cash collateral of
$197,176,721 for the loan, Small Capitalization Growth Investments loaned
common stocks having a value of $27,088,152 and received cash collateral of
$28,231,962 for the loan and Small Capitalization Value Equity Investments
loaned common stocks having a value of $12,951,137 and received cash collateral
of $13,824,298 for the loan.
13. SHARES OF BENEFICIAL INTEREST
At August 31, 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>
YEAR ENDED YEAR ENDED
AUGUST 31,1997 AUGUST 31, 1996
- --------------------------------------------------------------------------------
<S> <C> <C>
GOVERNMENT MONEY INVESTMENTS
Shares sold...................................... 849,412,997 438,920,652
Shares issued on reinvestment.................... 15,257,421 11,223,535
Shares redeemed.................................. (754,144,058) (413,581,060)
- --------------------------------------------------------------------------------
Net Increase..................................... 110,526,360 36,563,127
- --------------------------------------------------------------------------------
INTERMEDIATE FIXED INCOME INVESTMENTS
Shares sold...................................... 22,229,780 16,226,689
Shares issued on reinvestment.................... 2,480,980 2,067,760
Shares redeemed.................................. (14,456,187) (11,307,251)
- --------------------------------------------------------------------------------
Net Increase..................................... 10,254,573 6,987,198
- --------------------------------------------------------------------------------
</TABLE>
132
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
AUGUST 31,1997 AUGUST 31, 1996
- -------------------------------------------------------------------------------
<S> <C> <C>
LONG-TERM BOND INVESTMENTS
Shares sold..................................... 8,150,525 8,616,173
Shares issued on reinvestment................... 1,232,102 988,796
Shares redeemed................................. (7,024,609) (6,509,335)
- -------------------------------------------------------------------------------
Net Increase.................................... 2,358,018 3,095,634
- -------------------------------------------------------------------------------
MUNICIPAL BOND INVESTMENTS
Shares sold..................................... 3,511,017 2,986,970
Shares issued on reinvestment................... 222,819 249,750
Shares redeemed................................. (3,327,179) (3,091,008)
- -------------------------------------------------------------------------------
Net Increase.................................... 406,657 145,712
- -------------------------------------------------------------------------------
MORTGAGE BACKED INVESTMENTS
Shares sold..................................... 5,117,755 5,541,780
Shares issued on reinvestment................... 1,008,056 898,184
Shares redeemed................................. (4,592,708) (4,063,287)
- -------------------------------------------------------------------------------
Net Increase.................................... 1,533,103 2,376,677
- -------------------------------------------------------------------------------
BALANCED INVESTMENTS
Shares sold..................................... 5,179,672 3,107,830
Shares issued on reinvestment................... 275,077 228,475
Shares redeemed................................. (3,006,395) (1,537,798)
- -------------------------------------------------------------------------------
Net Increase.................................... 2,448,354 1,798,507
- -------------------------------------------------------------------------------
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
Shares sold..................................... 40,317,277 50,806,724
Shares issued on reinvestment................... 9,591,013 2,398,347
Shares redeemed................................. (51,090,285) (24,969,181)
- -------------------------------------------------------------------------------
Net Increase (Decrease)......................... (1,181,995) 28,235,890
- -------------------------------------------------------------------------------
LARGE CAPITALIZATION GROWTH INVESTMENTS
Shares sold..................................... 38,837,237 40,898,526
Shares issued on reinvestment................... 4,117,121 3,324,041
Shares redeemed................................. (28,169,117) (16,659,319)
- -------------------------------------------------------------------------------
Net Increase.................................... 14,785,241 27,563,248
- -------------------------------------------------------------------------------
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
Shares sold..................................... 18,547,348 20,888,354
Shares issued on reinvestment................... 3,718,417 229,397
Shares redeemed................................. (22,282,636) (12,034,896)
- -------------------------------------------------------------------------------
Net Increase (Decrease)......................... (16,871) 9,082,855
- -------------------------------------------------------------------------------
SMALL CAPITALIZATION GROWTH INVESTMENTS
Shares sold..................................... 33,405,849 21,661,872
Shares issued on reinvestment................... 4,411,506 3,403,611
Shares redeemed................................. (23,101,137) (15,605,234)
- -------------------------------------------------------------------------------
Net Increase.................................... 14,716,218 9,460,249
- -------------------------------------------------------------------------------
INTERNATIONAL EQUITY INVESTMENTS
Shares sold..................................... 62,969,435 32,796,549
Shares issued on reinvestment................... 6,670,111 2,783,132
Shares redeemed................................. (43,209,206) (18,301,671)
- -------------------------------------------------------------------------------
Net Increase.................................... 26,430,340 17,278,010
- -------------------------------------------------------------------------------
INTERNATIONAL FIXED INCOME INVESTMENTS
Shares sold..................................... 4,814,720 4,607,116
Shares issued on reinvestment................... 1,243,385 1,344,169
Shares redeemed................................. (4,960,070) (3,507,513)
- -------------------------------------------------------------------------------
Net Increase.................................... 1,098,035 2,443,772
- -------------------------------------------------------------------------------
EMERGING MARKETS EQUITY INVESTMENTS
Shares sold..................................... 27,633,350 9,176,431
Shares issued on reinvestment................... 59,448 --
Shares redeemed................................. (14,865,187) (5,261,534)
- -------------------------------------------------------------------------------
Net Increase.................................... 12,827,611 3,914,897
- -------------------------------------------------------------------------------
</TABLE>
133
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
14. SUBSEQUENT EVENT
On September 4, 1997, the Trustees of the Consulting Group Capital Markets
Funds approved, and voted to recommend that shareholders of Small
Capitalization Value Equity Investments and International Equity Investments
approve a new management agreement on behalf of each Portfolio with each
Portfolio's Investment Manager, SBMFM. The proposed new management agreement
will increase the management fee from an annual rate of 0.60% to 0.80% of the
average net assets of Small Capitalization Value Equity Investments and from
0.70% to 0.80% of the average net assets of International Equity Investments.
The Manager recommended the fee increase after conducting a survey of existing
small capitalization and international equity advisers, which indicated that
the fee paid to each Portfolio's respective advisers was no longer in line with
industry standards. Shareholders of each Portfolio will be receiving a proxy
statement concerning this fee increase.
134
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
GOVERNMENT MONEY INVESTMENTS 1997 1996 1995 1994 1993
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
YEAR........................ $1.00 $1.00 $1.00 $1.00 $1.00
- ---------------------------------------------------------------------------------
Net investment income(1).... 0.05 0.05 0.05 0.03 0.03
Dividends from net invest-
ment income................ (0.05) (0.05) (0.05) (0.03) (0.03)
- ---------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR........................ $1.00 $1.00 $1.00 $1.00 $1.00
- ---------------------------------------------------------------------------------
TOTAL RETURN................. 4.98% 5.02% 5.24% 3.10% 2.76%
- ---------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)...................... $388,713 $278,162 $241,590 $184,656 $84,034
- ---------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(1)................. 0.60% 0.60% 0.60% 0.55% 0.50%
Net investment income....... 4.91 4.93 5.14 3.16 2.71
- ---------------------------------------------------------------------------------
<CAPTION>
INTERMEDIATE FIXED INCOME
INVESTMENTS 1997 1996 1995 1994 1993
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
YEAR........................ $7.92 $8.10 $7.92 $8.58 $8.25
- ---------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment income(1).... 0.50 0.50 0.50 0.47 0.51
Net realized and unrealized
gain (loss)................ 0.14 (0.17) 0.16 (0.56) 0.33
- ---------------------------------------------------------------------------------
Total Income (Loss) From Op-
erations.................... 0.64 0.33 0.66 (0.09) 0.84
- ---------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income....... (0.50) (0.51) (0.48) (0.50) (0.48)
Net realized gains.......... -- -- -- (0.06) (0.03)
Capital..................... -- -- -- (0.01) --
- ---------------------------------------------------------------------------------
Total Distributions.......... (0.50) (0.51) (0.48) (0.57) (0.51)
- ---------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR........................ $8.06 $7.92 $8.10 $7.92 $8.58
- ---------------------------------------------------------------------------------
TOTAL RETURN................. 8.23% 4.08% 8.70% (1.13)% 10.59%
- ---------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)...................... $384,094 $296,053 $246,323 $223,548 $140,580
- ---------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(1)................. 0.73% 0.73% 0.80% 0.80% 0.80%
Net investment income....... 6.19 5.78 6.40 5.77 5.94
- ---------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE...... 118% 98% 98% 86% 92%
- ---------------------------------------------------------------------------------
</TABLE>
(1) 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 1997 1996 1995 1994 1993 1997 1996 1995 1994 1993
--------- ----- ----- ----- ----- ----- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Government Money
Investments............ $0.01 $0.01 $0.05 $0.03 $0.02 0.64% 0.72% 0.74% 0.84% 1.39%
Intermediate Fixed
Income Investments..... N/A N/A N/A N/A 0.01 N/A N/A N/A N/A 0.88
</TABLE>
135
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
LONG-TERM BOND INVESTMENTS 1997 1996 1995 1994(1) 1993
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
YEAR........................ $7.87 $8.23 $7.86 $8.70 $8.26
- --------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment income(2).... 0.53 0.51 0.45 0.38 0.47
Net realized and unrealized
gain (loss)................ 0.46 (0.41) 0.36 (0.75) 0.42
- --------------------------------------------------------------------------------
Total Income (Loss) From Op-
erations.................... 0.99 0.10 0.81 (0.37) 0.89
- --------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income....... (0.59) (0.46) (0.44) (0.41) (0.45)
Net realized gains.......... -- -- -- (0.06) --
Capital..................... (0.01) -- -- (0.00)* --
- --------------------------------------------------------------------------------
Total Distributions.......... (0.60) (0.46) (0.44) (0.47) (0.45)
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR........................ $8.26 $7.87 $8.23 $7.86 $8.70
- --------------------------------------------------------------------------------
TOTAL RETURN................. 12.93% 1.11% 10.71% (3.93)% 11.08%
- --------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)...................... $183,051 $155,910 $137,545 $94,628 $64,734
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(2)................. 0.78% 0.80% 0.80% 0.80% 0.80%
Net investment income....... 6.54 6.18 5.80 5.34 5.40
- --------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE...... 34% 125% 62% 43% 35%
- --------------------------------------------------------------------------------
<CAPTION>
MUNICIPAL BOND INVESTMENTS 1997 1996 1995 1994 1993
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
YEAR........................ $8.26 $8.27 $8.06 $8.85 $8.25
- --------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment income(2).... 0.38 0.38 0.40 0.40 0.41
Net realized and unrealized
gain (loss)................ 0.34 -- 0.21 (0.71) 0.62
- --------------------------------------------------------------------------------
Total Income (Loss) From Op-
erations.................... 0.72 0.38 0.61 (0.31) 1.03
- --------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income....... (0.36) (0.39) (0.40) (0.40) (0.41)
Net realized gains.......... -- -- (0.00)* (0.05) (0.02)
Capital..................... -- -- -- (0.03) --
- --------------------------------------------------------------------------------
Total Distributions.......... (0.36) (0.39) (0.40) (0.48) (0.43)
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR........................ $8.62 $8.26 $8.27 $8.06 $8.85
- --------------------------------------------------------------------------------
TOTAL RETURN................. 8.88% 4.62% 7.86% (3.78)% 12.94%
- --------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)...................... $52,024 $46,485 $45,356 $56,625 $47,811
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(2)................. 0.80% 0.80% 0.80% 0.80% 0.80%
Net investment income....... 4.50 4.59 4.99 4.59 4.76
- --------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE...... 31% 29% 49% 132% 15%
- --------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method, rather than the undistributed net investment income method, because
it more accurately reflects the per share data for the period.
(2) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET INVESTMENT INCOME EXPENSE RATIOS WITHOUT WAIVERS
PER SHARE DECREASE AND/OR REIMBURSEMENTS
------------------------------ --------------------------------------
PORTFOLIO 1997 1996 1995 1994 1993 1997 1996 1995 1994 1993
--------- ----- ----- ----- ----- ----- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Long-Term Bond
Investments............ N/A N/A $0.01 $0.01 $0.02 N/A N/A 0.93% 0.95% 1.09%
Municipal Bond
Investments............ $0.00* $0.02 0.02 0.01 0.02 0.83% 1.02% 1.04 0.93 1.02
</TABLE>
* Amount represents less than $0.01 per share.
136
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
MORTGAGE BACKED
INVESTMENTS 1997 1996(1) 1995 1994 1993
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF YEAR.................. $7.74 $7.91 $7.69 $8.21 $8.19
- -------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(2)................. 0.48 0.48 0.51 0.41 0.53
Net realized and
unrealized gain (loss).. 0.25 (0.14) 0.22 (0.41) 0.00*
- -------------------------------------------------------------------------------
Total Income From Opera-
tions.................... 0.73 0.34 0.73 0.00 0.53
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.... (0.51) (0.48) (0.49) (0.41) (0.42)
Net realized gains....... -- -- -- (0.04) (0.04)
Capital.................. -- (0.03) (0.02) (0.10) (0.05)
- -------------------------------------------------------------------------------
Total Distributions....... (0.51) (0.51) (0.51) (0.55) (0.51)
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR..................... $7.96 $7.74 $7.91 $7.69 $8.21
- -------------------------------------------------------------------------------
TOTAL RETURN.............. 9.69% 4.37% 9.96% (0.20)% 6.68%
- -------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)................... $136,586 $120,945 $104,789 $120,427 $94,421
- -------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(2).............. 0.80% 0.80% 0.80% 0.80% 0.80%
Net investment income.... 6.08 6.09 6.85 6.38 6.53
- -------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE... 94% 23% 30% 53% 93%
- -------------------------------------------------------------------------------
<CAPTION>
BALANCED INVESTMENTS 1997 1996 1995 1994 1993(3)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF YEAR.................. $10.00 $9.37 $8.63 $8.41 $8.00
- -------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(2)................. 0.27 0.29 0.26 0.21 0.09
Net realized and
unrealized gain......... 2.27 0.95 0.81 0.16 0.42
- -------------------------------------------------------------------------------
Total Income From Opera-
tions.................... 2.54 1.24 1.07 0.37 0.51
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.... (0.27) (0.28) (0.29) (0.15) (0.10)
Net realized gains....... (0.26) (0.33) (0.04) -- --
Capital.................. -- -- -- -- (0.00)*
- -------------------------------------------------------------------------------
Total Distributions....... (0.53) (0.61) (0.33) (0.15) (0.10)
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR..................... $12.01 $10.00 $9.37 $8.63 $8.41
- -------------------------------------------------------------------------------
TOTAL RETURN.............. 26.05% 13.60% 12.76% 4.62% 6.35%++
- -------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)................... $89,789 $50,281 $30,268 $14,940 $5,258
- -------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(2).............. 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... 67% 47% 47% 43% 10%
- -------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(4).......... $0.06 $0.06 -- -- --
- -------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method, rather than the undistributed net investment income method, because
it more accurately reflects the per share data for the period.
(2) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET INVESTMENT INCOME EXPENSE RATIOS WITHOUT WAIVERS
PER SHARE DECREASE AND/OR REIMBURSEMENTS
------------------------------ --------------------------------------
PORTFOLIO 1997 1996 1995 1994 1993 1997 1996 1995 1994 1993
--------- ----- ----- ----- ----- ----- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Mortgage Backed
Investments............ $0.01 $0.01 $0.02 $0.02 $0.04 0.93% 0.94% 1.09% 1.06% 1.13%
Balanced Investments.... 0.00* 0.03 0.06 0.08 0.15 1.02 1.26 1.75 2.01 5.55
</TABLE>
(3) For the period from February 16, 1993 (commencement of operations) to
August 31, 1993.
(4) As of September 1995, the SEC instituted new guidelines requiring the
disclosure of average commissions per share.
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
137
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
LARGE CAPITALIZATION
VALUE EQUITY INVESTMENTS 1997 1996 1995(1) 1994 1993(1)
- ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF YEAR........... $11.55 $10.42 $ 9.39 $9.35 $8.77
- ----------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(2)............... 0.23 0.26 0.27 0.17 0.25
Net realized and
unrealized gain....... 4.09 1.25 1.16 0.02 0.54
- ----------------------------------------------------------------------------------
Total Income From Opera-
tions.................. 4.32 1.51 1.43 0.19 0.79
- ----------------------------------------------------------------------------------
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
YEAR................... $14.91 $11.55 $10.42 $9.39 $9.35
- ----------------------------------------------------------------------------------
TOTAL RETURN............ 38.98% 14.75% 16.14% 2.09% 9.25%
- ----------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)................. $1,934,747 $1,512,451 $1,070,037 $832,138 $562,507
- ----------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(2)............ 0.78% 0.80% 0.83% 0.88% 0.95%
Net investment income.. 1.70 2.31 2.93 2.57 2.88
- ----------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 70% 24% 21% 108% 47%
- ----------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(3)........ $0.05 $0.06 -- -- --
- ----------------------------------------------------------------------------------
<CAPTION>
LARGE CAPITALIZATION
GROWTH INVESTMENTS 1997 1996 1995 1994 1993(1)
- ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF YEAR........... $13.10 $12.13 $10.00 $ 9.76 $8.88
- ----------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(2)............... 0.07 0.07 0.09 0.03 0.00*
Net realized and
unrealized gain....... 4.72 1.46 2.13 0.21 0.89
- ----------------------------------------------------------------------------------
Total Income From Opera-
tions.................. 4.79 1.53 2.22 0.24 0.89
- ----------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.08) (0.06) (0.08) -- (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
YEAR................... $17.27 $13.10 $12.13 $10.00 $9.76
- ----------------------------------------------------------------------------------
TOTAL RETURN............ 37.47% 12.89% 22.30% 2.46% 10.00%
- ----------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)................. $1,844,817 $1,205,417 $782,394 $457,588 $238,256
- ----------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(2)............ 0.69% 0.83% 0.88% 0.98% 1.12%
Net investment income
(loss)................ 0.50 0.63 0.98 0.39 (0.04)
- ----------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 65% 40% 38% 104% 47%
- ----------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(3)........ $0.03 $0.06 -- -- --
- ----------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method, rather than the undistributed net investment income method, because
it more accurately reflects the per share data for the period.
(2) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
EXPENSE RATIOS
NET INVESTMENT WITHOUT
INCOME PER WAIVERS AND/OR
SHARE DECREASE REIMBURSEMENTS
---------------- ----------------
PORTFOLIO 1995 1994 1995 1994
--------- ------- ------- ------- -------
<S> <C> <C> <C> <C>
Large Capitalization Value Equity
Investments........................... $0.01 $0.00* 0.93% 0.92%
Large Capitalization Growth
Investments........................... 0.00* 0.00* 0.98 1.02
</TABLE>
(3) 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.
138
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
SMALL CAPITALIZATION VALUE
EQUITY INVESTMENTS 1997 1996 1995 1994 1993
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF YEAR.................. $11.11 $10.01 $ 9.03 $9.94 $8.68
- -------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment in-
come(1)................. 0.19 0.16 0.15 0.08 0.06
Net realized and
unrealized gain (loss).. 4.22 1.08 0.95 (0.40) 1.31
- -------------------------------------------------------------------------------
Total Income (Loss) From
Operations............... 4.41 1.24 1.10 (0.32) 1.37
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.... (0.19) (0.14) (0.12) (0.07) (0.03)
Net realized gains....... (0.88) -- (0.00)* (0.52) (0.08)
- -------------------------------------------------------------------------------
Total Distributions....... (1.07) (0.14) (0.12) (0.59) (0.11)
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR..................... $14.45 $11.11 $10.01 $9.03 $9.94
- -------------------------------------------------------------------------------
TOTAL RETURN.............. 42.40% 12.48% 12.50% (3.30)% 15.74%
- -------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)................... $622,372 $478,884 $340,306 $342,388 $183,051
- -------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(1).............. 0.90% 0.95% 1.11% 1.06% 1.11%
Net investment income.... 1.62 1.52 1.54 1.12 0.82
- -------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE... 53% 39% 115% 65% 70%
- -------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(2).......... $0.04 $0.04 -- -- --
- -------------------------------------------------------------------------------
<CAPTION>
SMALL CAPITALIZATION
GROWTH INVESTMENTS 1997 1996 1995(3) 1994(3) 1993(3)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF YEAR.................. $17.79 $17.19 $12.50 $11.21 $7.99
- -------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment loss(1)... (0.06) (0.08) (0.05) (0.09) (0.07)
Net realized and
unrealized gain......... 2.87 3.36 4.81 1.56 3.29
- -------------------------------------------------------------------------------
Total Income From Opera-
tions.................... 2.81 3.28 4.76 1.47 3.22
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net realized gains....... (2.31) (2.68) (0.07) (0.14) --
Capital.................. -- -- -- (0.04) --
- -------------------------------------------------------------------------------
Total Distributions....... (2.31) (2.68) (0.07) (0.18) --
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR..................... $18.29 $17.79 $17.19 $12.50 $11.21
- -------------------------------------------------------------------------------
TOTAL RETURN.............. 17.53% 21.33% 38.25% 13.18% 40.30%
- -------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)................... $777,321 $494,323 $315,033 $180,175 $75,498
- -------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(1).............. 0.90% 1.00% 1.14% 1.20% 1.25%
Net investment loss...... (0.39) (0.49) (0.35) (0.78) (0.72)
- -------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE... 81% 83% 174% 94% 97%
- -------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(2).......... $0.03 $0.08 -- -- --
- -------------------------------------------------------------------------------
</TABLE>
(1) 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 WITHOUT
INCOME PER WAIVERS AND/OR
SHARE DECREASE REIMBURSEMENTS
---------------- --------------
PORTFOLIO 1995 1994 1995 1994
--------- ------- ------- ------- -------
<S> <C> <C> <C> <C>
Small Capitalization Value Equity
Investments........................... $ 0.00* N/A 1.13% N/A
Small Capitalization Growth
Investments........................... 0.00* $ 0.00* 1.16 1.49%
</TABLE>
(2) As of September 1995, the SEC instituted new guidelines requiring the
disclosure of average commissions per share.
(3) Per share amounts have been calculated using the monthly average shares
method, rather than the undistributed net investment income method, because
it more accurately reflects the per share data for the period.
* Amount represents less than $0.01 per share.
139
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
INVESTMENTS 1997 1996 1995 1994(1) 1993
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF YEAR........... $10.49 $10.50 $10.86 $ 9.57 $7.76
- --------------------------------------------------------------------------------
INCOME (LOSS) FROM OPER-
ATIONS:
Net investment in-
come(2)............... 0.09 -- 0.05 0.02 0.05
Net realized and
unrealized gain
(loss)................ 0.87 0.44 (0.09) 1.54 1.79
- --------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 0.96 0.44 (0.04) 1.56 1.84
- --------------------------------------------------------------------------------
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
YEAR................... $10.63 $10.49 $10.50 $10.86 $9.57
- --------------------------------------------------------------------------------
TOTAL RETURN............ 9.53% 4.23% (0.18)% 16.74% 23.73%
- --------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)................. $1,136,444 $843,730 $663,130 $594,965 $270,302
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(2)(3)......... 0.97% 1.00% 1.19% 1.19% 1.32%
Net investment income
(loss)................ 0.70 (0.12) 0.43 0.23 0.61
- --------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 32% 50% 28% 33% 46%
- --------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE PAID ON EQUITY
TRANSACTIONS(4)........ $0.02 $0.02 -- -- --
- --------------------------------------------------------------------------------
<CAPTION>
INTERNATIONAL FIXED
INCOME INVESTMENTS 1997 1996 1995 1994 1993
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF YEAR........... $9.11 $9.01 $8.17 $8.86 $8.71
- --------------------------------------------------------------------------------
INCOME (LOSS) FROM OPER-
ATIONS:
Net investment in-
come(2)............... 0.51 0.55 0.56 0.40 0.51
Net realized and
unrealized gain
(loss)................ (0.62) 0.49 0.84 (0.32) 0.20
- --------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. (0.11) 1.04 1.40 0.08 0.71
- --------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.55) (0.94) (0.56) (0.65) (0.55)
Net realized gains..... (0.24) -- -- (0.12) (0.01)
Capital................ -- -- -- (0.00)* --
- --------------------------------------------------------------------------------
Total Distributions..... (0.79) (0.94) (0.56) (0.77) (0.56)
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR................... $8.21 $9.11 $9.01 $8.17 $8.86
- --------------------------------------------------------------------------------
TOTAL RETURN............ (1.52)% 12.05% 17.66% 1.00% 8.67%
- --------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)................. $125,610 $129,410 $105,884 $116,929 $100,362
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(2)(3)......... 0.99% 1.02% 0.95% 0.95% 0.95%
Net investment income.. 5.87 6.34 6.50 5.54 6.03
- --------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 251% 211% 307% 358% 251%
- --------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method, rather than the undistributed net investment income method, because
it more accurately reflects the per share data for the period.
(2) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
EXPENSE RATIOS
NET INVESTMENT INCOME WITHOUT WAIVERS
PER SHARE DECREASE AND/OR REIMBURSEMENTS
----------------------- -------------------------
PORTFOLIO 1995 1994 1993 1995 1994 1993
--------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
International Fixed
Income Investments..... $ 0.02 $ 0.01 $0.02 1.18% 1.08% 1.22%
</TABLE>
(3) During the years ended August 31, 1997 and August 31, 1996, the portfolios
earned credits from the custodian which reduced service fees incurred. If
the credits are taken into consideration, the ratio of expenses to average
net assets for International Fixed Income Investments would be 0.97% and
0.97%, respectively; and the ratio of expenses to average net assets for
International Equity Investments would be 1.00% for the year ended August
31, 1996; prior year numbers have not been restated to reflect these
numbers.
(4) 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.
140
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
EMERGING MARKETS EQUITY INVESTMENTS 1997 1996 1995(1) 1994(2)
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR.... $8.50 $7.85 $9.49 $8.00
- ------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income (loss)(3)...... 0.04 0.03 0.01 (0.02)
Net realized and unrealized gain
(loss).............................. 0.79 0.62 (1.45) 1.51
- ------------------------------------------------------------------------------
Total Income (Loss) From Operations... 0.83 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 YEAR.......... $9.31 $8.50 $7.85 $9.49
- ------------------------------------------------------------------------------
TOTAL RETURN.......................... 9.88% 8.28% (15.13)% 18.63%++
- ------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000S)........ $226,280 $97,489 $59,333 $36,365
- ------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(3)(4)....................... 1.60% 1.84% 1.75% 1.72%+
Net investment income (loss)......... 0.39 0.26 0.15 (0.42)+
- ------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............... 105% 106% 89% 16%
- ------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER SHARE PAID ON
EQUITY TRANSACTIONS(5)............... $0.00* $0.00* -- --
- ------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method, rather than the undistributed net investment income method, because
it more accurately reflects the per share data for the period.
(2) For the period from April 21, 1994 (commencement of operations) to August
31, 1994.
(3) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
EXPENSE RATIOS
NET INVESTMENT INCOME WITHOUT WAIVERS
PER SHARE DECREASE 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>
(4) During the year ended August 31, 1996, the portfolio earned credits from
the custodian which reduced service fees incurred. If the credits are taken
into consideration, the ratio of expenses to average net assets for
Emerging Markets Equity Investments would be 1.80%; prior year numbers have
not been restated to reflect these numbers.
(5) As of September 1995, the SEC instituted new guidelines requiring the
disclosure of average commissions per share.
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
141
<PAGE>
PORTFOLIO HIGHLIGHTS--GOVERNMENT MONEY INVESTMENTS
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
GOVERNMENT MONEY INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
---------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/97 4.98% 3.42%
Three Years Ended 8/31/97 5.08 3.52
Five Years Ended 8/31/97 4.22 2.67
Inception (11/18/91) through 8/31/97 4.11 2.57
</TABLE>
For the year ended August 31, 1997, Government Money Investments
("Portfolio") had a total return of 4.98% versus 4.83% for the Lipper
Government Money Market Average--the Portfolio's benchmark.
The philosophy of Standish, Ayer & Wood, Inc. ("Standish") is to actively
manage the sectors of the Portfolio, extend the maturity modestly to maintain a
high level of income and to use innovative securities to the extent permitted
within the Portfolio's guidelines. During the year, the Portfolio maintained an
average maturity between 80-90 days, as the yield curve was relatively steep
and higher yields were available at the longer end of the curve. Throughout the
year, rates were generally falling and this added to the Portfolio's return.
Standish also was active in managing the diversification between Treasury and
Agency securities, switching between the two as their relative yield spreads
changed. The Portfolio normally maintains an approximate exposure of 75-80%
agency securities and 20-25% U.S. Treasury securities.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
142
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERMEDIATE FIXED INCOME INVESTMENTS AS OF AUGUST 31,
1997
For the year ended August 31, 1997, Intermediate Fixed Income Investments
("Portfolio") had a total return of 8.23% versus 8.43% for the Lehman Brothers'
Government Corporate Intermediate Bond Index-the Portfolio's benchmark.
The Portfolio's adviser, Standish, Ayer & Wood, Inc. ("Standish") utilizes a
philosophy of actively managing the sectors of the bond market, and seeking out
individual bonds with attractive yield spreads versus US Treasuries, through
the use of an indepth internal research process. The use of interest rate
forecasting is limited, with Standish maintaining an average duration normally
within +/- 2.5% of the relevant benchmark. During the year, there was
significant volatility in rates, and the benefit of maintaining a neutral
duration was significant.
During the year, performance was positively impacted by exposure to corporate
securities and mortgage securities. The best performing corporate sectors were
the medium quality corporates, in which yield spreads to U.S. Treasuries
narrowed significantly. At this point in the yield cycle, however, the
Portfolio has cut back exposure in this sector and increased exposure to
Treasuries because the potential for further out performance has diminished.
Mortgage securities performed well through the year, but exposure there has
also been reduced since these securities are at historically rich valuations.
Standish will continue to apply this core philosophy to the management of
Intermediate Fixed Income Investments, which has been shown to add value over
the long sweep of history.
143
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERMEDIATE FIXED INCOME INVESTMENTS
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE FIXED INCOME
INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/97 8.23% 6.63%
Three Years Ended 8/31/97 6.98 5.40
Five Years Ended 8/31/97 6.01 4.44
Inception (11/18/91) through 8/31/97 6.50 4.92
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED ININTERMEDIATE FIXED INCOME
INVESTMENTS VS. LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE BOND INDEX
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Intermediate Fixed Income Intermediate Fixed Income Lehman Brothers Intermediate
Investments* (With Trak Fee) Investments* (Without Trak Fee) Gov't./Corp. Bond Index
<S> <C> <C> <C>
11/18/91 10,000 10,000 10,000
8/92 10,628 10,753 10,892
8/93 11,579 11,892 11,876
8/94 11,278 11,758 11,836
8/95 12,078 12,781 12,957
8/96 12,384 13,302 13,532
8/97 13,205 14,398 14,660
</TABLE>
- --------------------------------------------------------------------------------
The Lehman Brothers Intermediate Government/Corporate Bond Index is a weighted
composite of (i) Lehman Brothers Intermediate Government Bond Index, which is
comprised of all publicly issued, non-convertible debt of the U.S. government
or any agency thereof, quasi-federal corporations, and corporate debt
guaranteed by the U.S. government with a maturity between one and ten years and
(ii) Lehman Brothers Corporate Bond Index, which is comprised of all public
fixed-rate, non-convertible investment-grade domestic corporate debt with a
maturity of between one and ten years, excluding collateralized mortgage
obligations. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
144
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERMEDIATE FIXED INCOME INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED ININTERMEDIATE FIXED INCOME
INVESTMENTS VS. LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE BOND INDEX
AUGUST 31, 1994 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Intermediate Fixed Income Intermediate Fixed Income Lehman Bros. Intermediate
Investments* (With Trak Fee) Investments* (Without Trak Fee) Gov't/Corp. Bond Index
<S> <C> <C> <C>
8/94 10,000 10,000 10,000
8/95 10,709 10,870 10,947
8/96 10,980 11,313 11,433
8/97 11,708 12,245 12,386
</TABLE>
- --------------------------------------------------------------------------------
The Lehman Brothers Intermediate Government/Corporate Bond Index is a weighted
composite of (i) Lehman Brothers Intermediate Government Bond Index, which is
comprised of all publicly issued, non-convertible debt of the U.S. government
or any agency thereof, quasi-federal corporations, and corporate debt
guaranteed by the U.S. government with a maturity between one and ten years and
(ii) Lehman Brothers Corporate Bond Index, which is comprised of all public
fixed-rate, non-convertible investment-grade domestic corporate debt with a
maturity of between one and ten years, excluding collateralized mortgage
obligations. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
145
<PAGE>
PORTFOLIO HIGHLIGHTS--LONG-TERM BOND INVESTMENTS AS OF AUGUST 31, 1997
For the year ended August 31, 1997, Long-Term Bond Investments ("Portfolio")
had a total return of 12.93% versus 9.82% for the Lehman Brothers
Government/Corporate Bond Index--the Portfolio's benchmark.
The long-term fixed income approach of the Portfolio's adviser, National
Asset Management Corp. ("National"), focused on sector allocation, duration
management and security selection. For the period under review, this strategy
produced a positive return for the Portfolio while maintaining a high level of
quality holdings.
Going forward, it is expected that the investment strategy will be to
maintain a neutral duration stance, with a concentration in securities with
maturities in the years 2015 to 2020, and an underweighting in callable issues.
This approach is consistent with National's belief that interest rates are in a
long-term downward trend based on the stable rate of inflation, a modestly
growing economy and the Federal Reserve's commitment of price stability.
146
<PAGE>
PORTFOLIO HIGHLIGHTS--LONG-TERM BOND INVESTMENTS
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG-TERM BOND INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
-------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/97 12.93% 11.26%
Three Years Ended 8/31/97 8.13 6.52
Five Years Ended 8/31/97 6.17 4.59
Inception (11/18/91) through 8/31/97 6.61 5.03
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INLONG-TERM BOND INVESTMENTS VS.
LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX NOVEMBER 18, 1991 THROUGH
AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Long-Term Bond Investments* Long-Term Bond Investments* Lehman Brothers Gov't./
(With Trak Fee) (Without Trak Fee) Corp. Bond Index
<S> <C> <C> <C>
11/18/91 10,000 10,000 10,000
8/92 10,611 10,737 11,329
8/93 11,612 11,926 11,976
8/94 10,990 11,457 12,136
8/95 11,986 12,684 13,667
8/96 11,939 12,825 13,561
8/97 13,267 14,466 14,892
</TABLE>
- --------------------------------------------------------------------------------
The Lehman Brothers Government/Corporate Bond Index is a weighted composite of
(i) Lehman Brothers Government Bond Index, which is comprised of all publicly
issued, non-convertible debt of the U.S. government or any agency thereof,
quasi-federal corporations, and corporate debt guaranteed by the U.S.
government and (ii) Lehman Brothers Corporate Bond Index, which is comprised of
all public fixed-rate, non-convertible investment-grade domestic corporate
debt, excluding collateralized mortgage obligations. Because the index is not a
managed portfolio, there are no advisory fees or internal management expenses
reflected in the index's performance
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
147
<PAGE>
PORTFOLIO HIGHLIGHTS--LONG-TERM BOND INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INLONG-TERM BOND INVESTMENTS VS.
LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX AUGUST 31, 1994 THROUGH AUGUST
31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Long-Term Bond Long-Term Bond
Investments* Investments* Lehman Bros. Gov't./Corp.
(With Trak Fee) (Without Trak Fee) Bond Index
<S> <C> <C> <C>
8/94 10,000 10,000 10,000
2/28/95 10,211 10,287 10,816
8/95 10,906 11,071 11,262
2/29/26 11,229 11,483 11,218
8/96 10,863 11,193 11,174
2/28/97 11,550 11,990 11,758
8/97 12,087 12,641 12,271
</TABLE>
- --------------------------------------------------------------------------------
The Lehman Brothers Government/Corporate Bond Index is a weighted composite of
(i) Lehman Brothers Government Bond Index, which is comprised of all publicly
issued, non-convertible debt of the U.S. government or any agency thereof,
quasi-federal corporations, and corporate debt guaranteed by the U.S.
government and (ii) Lehman Brothers Corporate Bond Index, which is comprised of
all public fixed-rate, non-convertible investment-grade domestic corporate
debt, excluding collateralized mortgage obligations. Because the index is not a
managed portfolio, there are no advisory fees or internal management expenses
reflected in the index's performance
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
148
<PAGE>
PORTFOLIO HIGHLIGHTS--MUNICIPAL BOND INVESTMENTS AS OF AUGUST 31, 1997
For the year ended August 31, 1997, Municipal Bond Investments ("Portfolio")
had a total return of 8.88% versus 9.25% for the Lehman Brothers' Municipal
Bond Index-the Portfolio's benchmark.
During the past year, Smith Affiliated Capital Corp. ("Smith Affiliated")
slightly reduced the Portfolio's maturity from 14.3 years to 13.8 years, while
keeping the coupon relatively constant, and the average rating at AA. While the
Portfolio averages look similar today as compared to one year ago in terms of
coupon, maturity and average rating, the geographic and sector makeup of the
Portfolio took on significant change. In the beginning of calendar year 1997,
Smith Affiliated began to focus on two major themes for municipal investing.
First was an increase in holdings in higher yielding states, New York
specifically. New York's representation of the holdings has increased from 8.6%
to 23.7% of the Portfolio. Second was an emphasis on higher yielding, lower
rated credits. Smith Affiliated lowered the AA holdings in the Portfolio from
46.3% one year ago to 29.3%, while raising BBB from 0% to 13.9%. The increase
in BBB was done through the purchase of New York City General Obligations and
New York State paper, all of which have positive credit rating trends.
Our municipal fixed-income strategy will continue to be one of portfolio
consolidation and yield enhancement, by capitalizing on opportunities as they
arise in the various geographical, revenue and insured market sectors. Any
portfolio changes will be made with a focus on maintaining the best possible
call protection as they strive to manage reinvestment rate risk.
149
<PAGE>
PORTFOLIO HIGHLIGHTS--MUNICIPAL BOND INVESTMENTS
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL BOND INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
-------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/97 8.88% 7.26%
Three Years Ended 8/31/97 7.11 5.51
Five Years Ended 8/31/97 5.95 4.38
Inception (11/18/91) through 8/31/97 6.37 4.74
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INMUNICIPAL BOND INVESTMENTS VS.
LEHMAN BROTHERS MUNICIPAL BOND INDEX NOVEMBER 18, 1991 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Municipal Bond Investments* Municipal Bond Investment* Lehman Brothers Municipal
(With Trak Fee) (Without Trak Fee) Bond Index
<S> <C> <C> <C>
11/18/91 10,000 10,000 10,000
8/92 10,581 10,706 10,845
8/93 11,772 12,091 12,168
8/94 11,159 11,634 12,185
8/95 11,857 12,548 13,266
8/96 12,221 13,128 13,962
8/97 13,108 14,294 15,252
</TABLE>
- --------------------------------------------------------------------------------
The Lehman Brothers Municipal Bond Index is a weighted composite which is
comprised of more than 15,000 bonds issued within the last five years, having a
minimum credit rating of at least Baa and a maturity of at least two years,
excluding all bonds subject to the Alternative Minimum Tax and bonds with
floating or zero coupons. Because the index is not a managed portfolio, there
are no advisory fees or internal management expenses reflected in the index's
performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
150
<PAGE>
PORTFOLIO HIGHLIGHTS--MUNICIPAL BOND INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INMUNICIPAL BOND INVESTMENTS VS.
LEHMAN BROTHERS MUNICIPAL BOND INDEX AUGUST 31, 1994 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Municipal Bond Municipal Bond Lehman Brothers
Investments* Investments* Municipal
(With Trak Fee) (Without Trak Fee) Bond Index
<S> <C> <C> <C>
8/31/94 $ 10,000 $ 10,000 $ 10,000
8/95 10,626 10,786 10,887
8/96 10,952 11,284 11,458
8/31/97 11,747 12,287 12,517
</TABLE>
- --------------------------------------------------------------------------------
The Lehman Brothers Municipal Bond Index is a weighted composite which is
comprised of more than 15,000 bonds issued within the last five years, having a
minimum credit rating of at least Baa and a maturity of at least two years,
excluding all bonds subject to the Alternative Minimum Tax and bonds with
floating or zero coupons. Because the index is not a managed portfolio, there
are no advisory fees or internal management expenses reflected in the index's
performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
151
<PAGE>
PORTFOLIO HIGHLIGHTS--MORTGAGE BACKED INVESTMENTS AS OF AUGUST 31, 1997
For the year ended August 31, 1997, Mortgage Backed Investments had a total
return of 9.69% versus 10.48% for the Lehman Brothers Mortgage Backed
Securities ("MBS") Index.
During the period in review, the yield on the 10 year Treasury fell
approximately 0.60%. The mortgage sector outperformed Lehman's Intermediate
Government and Intermediate Corporate Indices by 2.44% and 0.70%, respectively.
The strong performance of the mortgage sector is primarily due to tightening of
mortgage spreads and partially due to a higher duration on the MBS Index.
The portfolio's adviser, Atlantic Portfolio Analytics & Management, Inc.
("APAM"), views mortgages as fairly valued in comparison to other domestic
fixed income securities for long term investors and focused on the seasoned
mortgage pool market, duration management, and cash management. APAM expects no
major changes to this strategy in the near future.
152
<PAGE>
PORTFOLIO HIGHLIGHTS--MORTGAGE BACKED INVESTMENTS
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
MORTGAGE BACKED INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
--------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/97 9.69% 8.06%
Three Years Ended 8/31/97 7.97 6.37
Five Years Ended 8/31/97 6.03 4.46
Inception (11/18/91) through 8/31/97 6.52 4.94
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INMORTGAGE BACKED INVESTMENTS VS.
LEHMAN BROTHERS MORTGAGE BACKED SECURITIES INDEX AND LIPPER U.S. MORTGAGE FUND
AVERAGENOVEMBER 18, 1991 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Mortgage Backed Investments* Mortgage Backed Investments* Lehman Brothers Mortgage Lipper U.S. Mortgage
(With Trak Fee) (Without Trak Fee) Back Securities Index Fund Average
<S> <C> <C> <C> <C>
11/18/91 10,000 10,000 10,000 10,000
8/92 10,631 10,758 10,750 10,788
8/93 11,172 11,474 11,543 11,721
8/94 10,985 11,452 11,586 11,344
8/95 11,900 12,593 12,855 12,419
8/96 12,235 13,142 13,494 12,902
8/97 13,221 14,416 14,909 14,128
</TABLE>
- --------------------------------------------------------------------------------
The Lehman Brothers Mortgage-Backed Securities Index includes all fixed-rate
securities backed by mortgage pools of the Government National Mortgage
Association (GNMA), Federal Home Loan Mortgage Corporation (FHLMC) and Federal
National Mortgage Association (FNMA). The Lipper U.S. Mortgage Fund Average is
an average of funds invested at least 65% in mortgage securities issued or
guaranteed as to principal and interest by the U.S. Government and certain
federal agencies. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
153
<PAGE>
PORTFOLIO HIGHLIGHTS--MORTGAGE BACKED INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INMORTGAGE BACKED INVESTMENTS VS.
LEHMAN BROTHERS MORTGAGE BACKED SECURITIES INDEX AND LIPPER U.S. MORTGAGE FUND
AVERAGEAUGUST 31, 1994 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman Brothers Mortgage Lipper U.S. Mortgage
Mortgage Backed Investments* Mortgage Backed Investments* Backed Securities Index Fund Average
(With Trak Fee) (Without Trak Fee)
<S> <C> <C> <C> <C>
8/31/94 10,000 10,000 10,000 10,000
8/95 10,833 10,996 11,095 10,947
8/96 11,138 11,476 11,647 11,373
8/31/97 12,036 12,588 12,868 12,484
</TABLE>
- --------------------------------------------------------------------------------
The Lehman Brothers Mortgage-Backed Securities Index includes all fixed-rate
securities backed by mortgage pools of the Government National Mortgage
Association (GNMA), Federal Home Loan Mortgage Corporation (FHLMC) and Federal
National Mortgage Association (FNMA). The Lipper U.S. Mortgage Fund Average is
an average of funds invested at least 65% in mortgage securities issued or
guaranteed as to principal and interest by the U.S. Government and certain
federal agencies. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
154
<PAGE>
PORTFOLIO HIGHLIGHTS--BALANCED INVESTMENTS AS OF AUGUST 31, 1997
For the year ended August 31, 1997, Balanced Investments ("Portfolio") had a
total return of 26.05%. The Portfolio's benchmarks, the Lehman Brothers
Government/Corporate Bond Index and Standard & Poor's 500 Stock Composite Index
had total returns of 9.82% and 40.62%, respectively, over the same period. The
Portfolio is managed by Palley-Needelman Asset Management, Inc. ("Palley-
Needelman").
For most of the year, the Portfolio was invested in approximately 72% common
stocks and 28% fixed income, and in cash equivalents. Of the portion invested
in common stocks, 9% represented foreign stocks that outperformed domestic
stocks during the period.
Throughout the period under review, the Portfolio focused on large
capitalization issues of better-known companies that had a history of paying
dividends. These holdings were spread across a wide range of sectors including
financial services, energy and consumer discretionary which outperformed the
market. At the same time, the Portfolio's technology and health care holdings
were the smallest. The fixed income portion of the Portfolio had exposure in
government and agency bonds and corporate bonds.
Palley-Needelman intends to continue emphasizing large capitalization value
equity along with exposure to foreign companies through the purchase of ADR's.
In addition, until health care and technology valuations come down to value
opportunity levels, it could be expected that these issues will be underweight.
Lastly, the fixed income portion of the Portfolio will have exposure to both
government and corporate bonds.
155
<PAGE>
PORTFOLIO HIGHLIGHTS--BALANCED INVESTMENTS (UNAUDITED)
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
-------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/97 26.05% 24.17%
Three Years Ended 8/31/97 17.32 15.57
Inception (2/16/93) through 8/31/97 13.74 12.05
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INBALANCED INVESTMENTS VS. LEHMAN
BROTHERS GOVERNMENT/CORPORATE BOND INDEX AND STANDARD & POOR'S 500 INDEX
FEBRUARY 16, 1993 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Balanced Investments* Balanced Investments* Lehman Brothers Gov't./ Standard & Poor's
(With Trak Fee) (Without Trak Fee) Corp. Bond Index 500 Index
<S> <C> <C> <C> <C>
2/16/93 10,000 10,000 10,000 10,000
8/93 10,550 10,635 10,640 10,605
8/94 10,860 11,113 10,392 11,184
8/95 12,064 12,532 11,586 13,579
8/96 13,501 14,235 12,017 16,121
8/97 16,765 17,943 13,197 22,671
</TABLE>
- --------------------------------------------------------------------------------
The Lehman Brothers Government/Corporate Bond Index is a weighted composite of
(i) Lehman Brothers Government Bond Index, which is comprised of all publicly
issued, non-convertible debt of the U.S. government or any agency thereof,
quasi-federal corporations, and corporate debt guaranteed by the U.S.
government and (ii) Lehman Brothers Corporate Bond Index, which is comprised of
all public fixed-rate, non-convertible investment-grade domestic corporate
debt, excluding collateralized mortgage obligations. The S&P 500 Index is an
index composed of 500 widely held common stocks listed on the New York Stock
Exchange, American Stock Exchange and over-the-counter market. Because the
index is not a managed portfolio, there are no advisory fees or internal
management expenses reflected in the index's performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
156
<PAGE>
PORTFOLIO HIGHLIGHTS--BALANCED INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INBALANCED INVESTMENTS VS. LEHMAN
BROTHERS GOVERNMENT/CORPORATE BOND INDEX AND STANDARD & POOR'S 500 INDEX AUGUST
31, 1994 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Balanced Investments* Balanced Investments* Lehman Brothers Gov't./ Standard & Poor's
(With Trak Fee) (Without Trak Fee) Corp. Bond Index 500 Index
<S> <C> <C> <C> <C>
8/31/94 10,000 10,000 10,000 10,000
8/95 11,109 11,276 11,149 12,141
8/96 12,432 12,809 11,563 14,415
8/31/97 15,437 16,146 12,698 20,271
</TABLE>
- --------------------------------------------------------------------------------
The Lehman Brothers Government/Corporate Bond Index is a weighted composite of
(i) Lehman Brothers Government Bond Index, which is comprised of all publicly
issued, non-convertible debt of the U.S. government or any agency thereof,
quasi-federal corporations, and corporate debt guaranteed by the U.S.
government and (ii) Lehman Brothers Corporate Bond Index, which is comprised of
all public fixed-rate, non-convertible investment-grade domestic corporate
debt, excluding collateralized mortgage obligations. The S&P 500 Index is an
index composed of 500 widely held common stocks listed on the New York Stock
Exchange, American Stock Exchange and over-the-counter market. Because the
index is not a managed portfolio, there are no advisory fees or internal
management expenses reflected in the index's performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
157
<PAGE>
PORTFOLIO HIGHLIGHTS--LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS AS OF
AUGUST 31, 1997
For the year ended August 31, 1997, Large Capitalization Value Equity
Investments ("Portfolio") had a total return of 38.98% versus 39.53% for the
Russell 1000 Value Index--the Portfolio's benchmark. The Portfolio is managed
80% by Parametric Portfolio Associates ("Parametric") and 20% by Boston Company
Asset Management ("Boston Company").
Parametric uses a quantitative investment approach maintaining risk
characteristics and economic sector weights similar to that of the Russell 1000
Value Index. During the period under review, the Portfolio's performance
benefited from the outstanding returns of Financial Services and Technology
stocks. The Portfolio's stock selections added a value over the Russell 1000
Value Index in Financial Services, Capital Goods and Technology.
The Boston Company focuses on undervalued securities with solid fundamentals
and improving business momentum. During the period under review, The Boston
Company outperformed the Russell 1000 Value Index through effective stock
selection in the consumer services, consumer durables and health care sectors.
A significant (but below index) weight in the top performing financial services
sector also contributed to the Portfolio's return. Recently, The Boston Company
has reduced positions in the consumer services sector where valuation targets
have been met.
Going forward, Parametric's strategy is to continue to manage a replication
of the Russell 1000 Value Index, while adding value through security selection
based on earnings estimates combined with a reasonable valuation of those
earnings. The Boston Company portion of the Portfolio will focus on undervalued
securities in various industries with improving fundamentals.
158
<PAGE>
PORTFOLIO HIGHLIGHTS--LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE CAPITALIZATION VALUE EQUITY
INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
--------------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/97 38.98% 36.92%
Three Years Ended 8/31/97 22.81 20.99
Five Years Ended 8/31/97 15.62 13.90
Inception (11/18/91) through 8/31/97 15.17 13.45
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INLARGE CAPITALIZATION VALUE
EQUITY INVESTMENTS VS. RUSSELL 1000 VALUE INDEX AND LIPPER GROWTH AND INCOME
FUND AVERAGE NOVEMBER 18, 1991 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Large Capitalization Large Capitalization Lipper Growth
Value Investments* Value Investments* Russell 1000 and Income
(With Trak Fee) (Without Trak Fee) Value Index Fund Average
<S> <C> <C> <C> <C>
11/18/91 $ 10,000 $ 10,000 $ 10,000 $ 10,000
8/92 10,834 10,963 11,496 10,877
8/93 11,660 11,977 14,588 12,932
8/94 11,726 12,226 15,008 13,501
8/95 13,416 14,200 17,881 16,262
8/96 15,163 16,292 21,018 18,344
8/97 20,765 22,648 29,327 24,740
</TABLE>
- --------------------------------------------------------------------------------
The Russell 1000 Value Index is a capitalization weighted total return index
which is comprised of 1000 of the largest capitalized U.S. domiciled companies
with greater-than-average value orientation whose common stock is traded in the
United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Growth and Income Fund Average is composed of the Portfolio's peer group
of mutual funds investing in growth and income oriented funds.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
159
<PAGE>
PORTFOLIO HIGHLIGHTS--LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
(CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INLARGE CAPITALIZATION VALUE
EQUITY INVESTMENTS VS. RUSSELL 1000 VALUE INDEX AND LIPPER GROWTH AND INCOME
FUND AVERAGE AUGUST 31, 1994 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Large Capitalization Value Large Capitalization Value Russell 10000 Lipper Growth &
Investments* (With Trak Fee) Investments* (Without Trak Fee) Value Index Income Fund Average
<S> <C> <C> <C> <C>
8/31/94 10,000 10,000 10,000 10,000
8/95 11,442 11,614 11,914 12,045
8/96 12,934 13,327 14,004 13,587
8/31/97 17,709 18,522 19,540 18,324
</TABLE>
- --------------------------------------------------------------------------------
The Russell 1000 Value Index is a capitalization weighted total return index
which is comprised of 1000 of the largest capitalized U.S. domiciled companies
with greater-than-average value orientation whose common stock is traded in the
United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Growth and Income Fund Average is composed of the Portfolio's peer group
of mutual funds investing in growth and income oriented funds.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
160
<PAGE>
PORTFOLIO HIGHLIGHTS--LARGE CAPITALIZATION GROWTH INVESTMENTS AS OF AUGUST 31,
1997
For the year ended August 31, 1997, Large Capitalization Growth Investments
("Portfolio") had a total return of 37.47% versus 39.36% for the Russell 1000
Growth Index--the Portfolio's benchmark. Large Capitalization Growth
Investments is managed 80% by Boston Structured Advisors ("Boston Structured")
and 20% by Provident Investment Counsel Inc. ("Provident").
Boston Structured's strategy for the past year was altered to be a full
replication of the Russell 1000 Growth Index. In the portion of the Portfolio
managed by Provident, overweightings in the high growth financial service and
health technology sectors, along with the telecommunication segment caused the
Portfolio to outperform the Russell 1000 Growth Index. The Portfolio also
benefited by the rotation away from the market's largest capitalization which
began in May 1997. Provident maintained an underweighting in the large
capitalization, lower growth, consumer non-durable stocks, believing that the
sector was over-valued. Shares in computer service and networking companies
underperformed, and were liquidated, as visibility of earnings growth declined.
These stocks outperformed shares of more rapidly growing companies that were in
the same sector.
Going forward, Boston Structured will maintain a highly diversified portfolio
of stocks in order to be a full replication of The Russell 1000 Growth Index.
Provident will continue to seek high-quality growth companies that remain
moderately priced relative to their high growth rates.
161
<PAGE>
PORTFOLIO HIGHLIGHTS--LARGE CAPITALIZATION GROWTH INVESTMENTS
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE CAPITALIZATION GROWTH
INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
--------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/97 37.47% 35.43%
Three Years Ended 8/31/97 23.81 21.97
Five Years Ended 8/31/97 16.43 14.69
Inception (11/18/91) through 8/31/97 16.11 14.38
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INLARGE CAPITALIZATION GROWTH
INVESTMENTS VS. RUSSELL 1000 GROWTH INDEX AND LIPPER GROWTH FUND AVERAGE
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Large Capitalization Large Capitalization
Growth Investments* Growth Investments* Russell 1000 Lipper Growth
(With Trak Fee) (Without Trak Fee) Growth Fund Index Fund Average
<S> <C> <C> <C> <C>
11/18/91 $ 10,000 $ 10,000 $ 10,000 $ 10,000
8/92 10,970 11,100 11,075 10,877
8/93 11,887 12,210 11,961 12,932
8/94 11,997 12,510 12,740 13,501
8/95 14,454 15,300 15,879 16,262
8/96 16,075 17,272 18,798 18,344
8/97 21,770 23,744 26,199 24,501
</TABLE>
- --------------------------------------------------------------------------------
The Russell 1000 Growth Index is a capitalization weighted total return index
which is comprised of 1000 of the largest capitalized U.S. domiciled companies
with a greater-than-average growth orientation whose common stock is traded in
the United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Growth Fund Average is composed of the Portfolio's peer group of mutual
funds investing in companies where long term earnings are expected to grow
significantly faster than the earnings of the stocks represented in the major
unmanaged stock indices.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
162
<PAGE>
PORTFOLIO HIGHLIGHTS--LARGE CAPITALIZATION GROWTH INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INLARGE CAPITALIZATION GROWTH
INVESTMENTS VS. RUSSELL 1000 GROWTH INDEX AND LIPPER GROWTH FUND AVERAGE AUGUST
31, 1994 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Large Capitalization Large Capitalization
Growth Investments* Growth Investments* Russell 1000 Lipper Growth
(With Trak Fee) (Without Trak Fee) Growth Index Fund Average
<S> <C> <C> <C> <C>
8/31/94 $ 10,000 $ 10,000 $ 10,000 $ 10,000
8/95 12,048 12,230 12,464 12,045
8/96 13,398 13,806 14,754 13,587
8/97 18,145 18,980 20,564 18,147
</TABLE>
- --------------------------------------------------------------------------------
The Russell 1000 Growth Index is a capitalization weighted total return index
which is comprised of 1000 of the largest capitalized U.S. domiciled companies
with a greater-than-average growth orientation whose common stock is traded in
the United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Growth Fund Average is composed of the Portfolio's peer group of mutual
funds investing in companies where long term earnings are expected to grow
significantly faster than the earnings of the stocks represented in the major
unmanaged stock indices.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
163
<PAGE>
PORTFOLIO HIGHLIGHTS--SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS AS OF
AUGUST 31, 1997
For the year ended August 31, 1997, Small Capitalization Value Equity
Investments ("Portfolio") had a total return of 42.40% versus 37.41% for the
Russell 2000 Value Index--the Portfolio's benchmark.
For most of the period under review, small capitalization stocks generally
underperformed their large capitalization counterparts. It was only during the
3rd quarter of 1997 that small capitalization stocks began to out perform large
capitalization stocks.
For the portion of the Portfolio advised by NFJ Investment Group ("NFJ"), for
the period under review they maintained a concentrated portfolio of
approximately 115 issues. Stock selection is made from 85 industries on the
basis of absolute valuation and relative valuation within the industry.
Selected securities are characterized as having below average price earnings
ratios and a dividend yield above average. Barclays Global Fund Advisors
("Barclays") during the entire period under review managed their portion of the
assets allocated to them as a full replication of the Russell 2000 Value Index.
Going forward, NFJ intends to maintain a fully invested position and remains
optimistic about the valuation and upward trend of small capitalization issues.
Barclays will continue to maintain a high diversified portfolio of over 1,000
stocks in order to be a full replication of the Russell 2000 Value Index.
164
<PAGE>
PORTFOLIO HIGHLIGHTS--SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAPITALIZATION VALUE
EQUITY INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
-------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/97 42.40% 40.24%
Three Years Ended 8/31/97 21.69 19.88
Five Years Ended 8/31/97 15.06 13.35
Inception (11/18/91) through 8/31/97 14.48 12.78
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INSMALL CAPITALIZATION VALUE
EQUITY INVESTMENTS VS. RUSSELL 2000 VALUE INDEX AND LIPPER SMALL COMPANY FUND
AVERAGENOVEMBER 18, 1991 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Small Capitalization Small Capitalization Lipper Small
Value Investments* Value Investments* Russell 2000 Company
(With Trak Fee) (Without Trak Fee) Value Index Fund Average
<S> <C> <C> <C> <C>
11/18/91 $ 10,000 $ 10,000 $ 10,000 $ 10,000
8/92 10,723 10,850 11,926 10,595
8/93 12,225 12,558 16,206 13,939
8/94 11,646 12,143 17,513 14,643
8/95 12,907 13,661 20,241 18,484
8/96 14,301 15,366 22,694 21,406
8/31/97 20,063 21,880 31,160 27,238
</TABLE>
- --------------------------------------------------------------------------------
The Russell 2000 Value Index is a capitalization weighted total return index
which is comprised of 2000 of the smallest capitalized U.S. domiciled companies
with less-than-average growth orientation whose common stock is traded in the
United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Small Company Fund Average is composed of the Portfolio's peer group of
mutual funds which limit their investments to companies on the basis of the
size of the company.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
165
<PAGE>
PORTFOLIO HIGHLIGHTS--SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
(CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INSMALL CAPITALIZATION VALUE
EQUITY INVESTMENTS VS. RUSSELL 2000 VALUE INDEX AND LIPPER SMALL COMPANY FUND
AVERAGEAUGUST 31, 1994 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Small Capitalization Value Small Capitalization Value Russell 2000 Lipper Small Company
Investments* (With Trak Fee) Investments* (Without Trak Fee) Value Index Fund Average
<S> <C> <C> <C> <C>
8/31/94 10,000 10,000 10,000 10,000
8/95 11,083 11,250 11,558 12,623
8/96 12,280 12,654 12,958 14,619
8/97 17,227 18,019 17,792 18,601
</TABLE>
- --------------------------------------------------------------------------------
The Russell 2000 Value Index is a capitalization weighted total return index
which is comprised of 2000 of the smallest capitalized U.S. domiciled companies
with less-than-average growth orientation whose common stock is traded in the
United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Small Company Fund Average is composed of the Portfolio's peer group of
mutual funds which limit their investments to companies on the basis of the
size of the company.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
166
<PAGE>
PORTFOLIO HIGHLIGHTS--SMALL CAPITALIZATION GROWTH INVESTMENTS AS OF AUGUST 31,
1997
For the year ended August 31, 1997, Small Capitalization Growth Investments
("Portfolio") had a total return of 17.53% versus 20.12% for the Russell 2000
Growth Index--the Portfolio's benchmark.
The Portfolio has undergone changes with respect to its advisers. Effective
March 1997, Pilgrim Baxter & Associates ("Pilgrim") ceased to be an adviser to
the Portfolio. The Board of Trustees' following the recommendation of the
Consulting Group retained Berger Associates, Inc. to manage that portion of the
Portfolio formerly managed by Pilgrim. Additionally, Wall Street Associates was
also retained to be an adviser for a portion of the Portfolio's assets and
began operations July 1, 1997. It should also be noted that for an extended
period of time under review, the Portfolio, due to capacity constraints of the
active Advisers, was run with as much as 70% of the Portfolio indexed to the
Russell 2000 Growth Index. For the entire period under review Mellon Capital
has been the adviser with the responsibility of managing its allocated assets
as a full replication of the index.
During the period under review, the active managers maintained a highly
selective portfolio of stocks by focusing on investments in "emerging growth
companies" that are believed to be undervalued in the marketplace and have
earnings that are expected to grow faster than the economy. Mellon Capital,
maintained a highly diversified portfolio of over 1,000 stocks in order to
replicate the characteristics of the Russell 2000 Growth Index.
Going forward, it is the Manager's intention to have the Portfolio's
allocation 50% active and 50% index. Because of capacity constraints within
this asset class, it may require the hiring of additional advisers to achieve
this goal. Mellon Capital will continue its assignment of managing its
allocated assets to the index.
167
<PAGE>
PORTFOLIO HIGHLIGHTS--SMALL CAPITALIZATION GROWTH INVESTMENTS
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAPITALIZATION GROWTH
INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
--------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/97 17.53% 15.79%
Three Years Ended 8/31/97 25.39 23.53
Five Years Ended 8/31/97 25.64 23.77
Inception (11/18/91) through 8/31/97 21.76 19.96
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INSMALL CAPITALIZATION GROWTH
INVESTMENTS VS. RUSSELL 2000 GROWTH INDEX AND LIPPER SMALL COMPANY FUND AVERAGE
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Small Capitalization Small Capitalization Lipper Small
Growth Investments* Growth Investments* Russell 2000 Company
(With Trak Fee) (Without Trak Fee) Growth Index Fund Average
<S> <C> <C> <C> <C>
11/18/91 $ 10,000 $ 10,000 $ 10,000 $ 10,000
8/92 9,870 9,988 9,823 10,595
8/93 13,642 14,013 12,627 12,561
8/94 15,210 15,860 13,103 13,195
8/95 20,714 21,926 16,525 16,657
8/96 24,762 26,603 18,061 19,290
8/31/97 28,672 31,265 21,678 24,545
</TABLE>
- --------------------------------------------------------------------------------
The Russell 2000 Growth Index is a capitalization weighted total return index
which is comprised of 2000 of the smallest capitalized U.S. domiciled companies
with greater-than-average growth orientation whose common stock is traded in
the United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Small Company Fund Average is composed of the Portfolio's peer group of
mutual funds which limit their investments to companies on the basis of the
size of the company.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
168
<PAGE>
PORTFOLIO HIGHLIGHTS--SMALL CAPITALIZATION GROWTH INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INSMALL CAPITALIZATION GROWTH
INVESTMENTS VS. RUSSELL 2000 GROWTH INDEX AND LIPPER SMALL COMPANY FUND AVERAGE
AUGUST 31, 1994 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Small Capitalization Growth Small Capitalization Growth Russell 2000 Lipper Small Company
Investments* (With Trak Fee) Investments* (Without Trak Fee) Growth Index Fund Average
<S> <C> <C> <C> <C>
8/31/94 10,000 10,000 10,000 10,000
8/95 13,619 13,825 12,612 12,623
8/96 16,280 16,774 13,783 14,619
8/31/97 18,851 19,714 16,544 18,601
</TABLE>
- --------------------------------------------------------------------------------
The Russell 2000 Growth Index is a capitalization weighted total return index
which is comprised of 2000 of the smallest capitalized U.S. domiciled companies
with greater-than-average growth orientation whose common stock is traded in
the United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Small Company Fund Average is composed of the Portfolio's peer group of
mutual funds which limit their investments to companies on the basis of the
size of the company.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
169
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERNATIONAL EQUITY INVESTMENTS AS OF AUGUST 31, 1997
For the year ended August 31, 1997, International Equity Investments
("Portfolio") had a total return of 9.53%. The Portfolio's benchmark, the
Morgan Stanley Capital International Europe Australia Far East Index ("EAFE
Index") had a total return of 9.07% over the same period. EAFE is a market
value weighted average of the performance of over 1,000 foreign common stocks,
and includes the reinvestment of dividends.
With respect to the portion of the Portfolio's assets allocated to Oechsle
International Advisors L.P. ("Oechsle") for the period under review, country
and stock selection had a positive impact. Overweight positions in Spain, Italy
and Germany proved beneficial. Spain and Italy in particular, were strong
performers as their prospect of making the first round of EMU became more
likely. On the other hand, being underweight to UK detracted somewhat as
economic growth translated into strong earnings growth and the market became
enthusiastic about the newly elected government. Investments in Japan remained
slightly underweight to the index, but the adviser was able to add value
through stock selection specifically overweight dollar earners and
restructuring candidates. For the period under review, State Street Global
Advisors managed their portion of the Portfolio as a full replication of the
MSCI EAFE Index.
Looking forward, Oechsle remains positive about international equity markets.
Europe's prospects continue to look good as economic growth finally starts to
recover in a low inflation environment. In Japan, the weighting has been
increased to take advantage of depressed stock price levels and the
opportunities for market reforms. In Southeast Asia, in general, the currency
crisis will generally take some time to be absorbed by the markets and Oechsle
will monitor the situation looking for opportunities to buy. Going forward,
State Street will continue to manage their portion of the assets as a full
replication of the MSCI EAFE Index.
170
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERNATIONAL EQUITY INVESTMENTS
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
-------------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/97 9.53% 7.91%
Three Years Ended 8/31/97 4.45 2.90
Five Years Ended 8/31/97 10.48 6.81
Inception (11/18/91) through 8/31/97 8.42 8.84
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED ININTERNATIONAL EQUITY
INVESTMENTS VS. MORGAN STANLEY CAPITAL INTERNATIONAL EAFE-GDP WEIGHTED INDEX
AND MORGAN STANLEY CAPITAL INTERNATIONAL EAFE-CAPITALIZATION WEIGHTED INDEX
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
International International MSCI
Equity Investments* Equity Investments* MSCI EAFE-GDP EAFE-Capitalization
(With Trak Fee) (Without Trak Fee) Weighted Index Weighted Index
<S> <C> <C> <C> <C>
11/18/91 $ 10,000 $ 10,000 $ 10,000 $ 10,000
8/92 9,586 9,700 10,333 9,827
8/93 11,684 12,002 12,993 12,493
8/94 13,438 14,012 14,558 13,884
8/95 13,214 13,987 14,864 13,995
8/96 13,569 14,579 15,940 15,120
8/97 14,642 15,969 17,814 16,490
</TABLE>
- --------------------------------------------------------------------------------
The Morgan Stanley Capital International EAFE-GDP Weighted Index is a composite
portfolio consisting of equity total returns for the countries of Australia and
New Zealand and countries in Europe and the Far East, weighted based on each
country's gross domestic product. The Morgan Stanley Capital International
EAFE-Capitalization Weighted Index is a composite portfolio consisting of
equity total returns for the countries of Australia, New Zealand and countries
in Europe and the Far East, weighted based on each country's market
capitalization. Because the indices are not managed portfolios, there are no
advisory fees or internal management expenses reflected in the indices'
performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
171
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERNATIONAL EQUITY INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED ININTERNATIONAL EQUITY
INVESTMENTS VS. MORGAN STANLEY CAPITAL INTERNATIONAL EAFE-GDP WEIGHTED INDEX
AND MORGAN STANLEY CAPITAL INTERNATIONAL EAFE-CAPITALIZATION WEIGHTED INDEX
AUGUST 31, 1994 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
International Equity Investments* International Equity Investments* MSCI EAFE-GDP MSCI EAFE-Capitalization
(With Trak Fee) (Without Trak Fee) Weighted Index Weighted Index
<S> <C> <C> <C> <C>
8/31/94 10,000 10,000 10,000 10,000
8/95 9,834 9,982 10,210 10,080
8/96 10,098 10,405 10,949 10,890
8/97 10,897 11,397 12,236 11,877
</TABLE>
- --------------------------------------------------------------------------------
The Morgan Stanley Capital International EAFE-GDP Weighted Index is a composite
portfolio consisting of equity total returns for the countries of Australia and
New Zealand and countries in Europe and the Far East, weighted based on each
country's gross domestic product. The Morgan Stanley Capital International
EAFE-Capitalization Weighted Index is a composite portfolio consisting of
equity total returns for the countries of Australia, New Zealand and countries
in Europe and the Far East, weighted based on each country's market
capitalization. Because the indices are not managed portfolios, there are no
advisory fees or internal management expenses reflected in the indices'
performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
172
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERNATIONAL FIXED INCOME INVESTMENTS AS OF AUGUST 31,
1997
For the year ended August 31, 1997, International Fixed Income Investments
("Portfolio") had a total return of -1.52% versus -3.39% for the Salomon
Brothers Non-U.S. Government Bond Index--the Portfolio's benchmark. The
Portfolio is managed by Julius Baer Investment Management, Inc. ("Julius
Baer").
The period under review began amid generally buoyant conditions in the global
bond markets and with the US dollar displaying a strong upward trend. The
Japanese bond exposure was below the index, the Salomon Brothers Non-US, while
the European allocation was overweighted. Throughout the period under review,
the Portfolio has maintained a high weighting in the peripheral European bond
markets in anticipation of a broad- based monetary union. Market recognition
has resulted in systematic outperformance from Spanish, Italian and UK bonds.
Going forward, the prospect is for faster global economic growth during the
remaining months of 1997 and 1998. Although inflation at the consumer level is
likely to remain very subdued, labor markets are tightening and capacity is
rising. With this scenario, policymakers are expected to tilt monetary
conditions towards a more restrictive basis. As a consequence, both interest
rates and inflationary expectations are vulnerable to some deterioration and a
generally cautious stance on fixed income markets is therefore advocated.
173
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERNATIONAL FIXED INCOME INVESTMENTS
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL FIXED INCOME
INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
-------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/97 (1.52)% (2.97)%
Three Years Ended 8/31/97 9.09 7.48
Five Years Ended 8/31/97 7.34 5.75
Inception (11/18/91) through 8/31/97 8.73 7.12
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED ININTERNATIONAL FIXED INCOME
INVESTMENTS VS. SALOMON BROTHERS NON-U.S. GOVERNMENT BOND INDEX NOVEMBER 18,
1991 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
International Fixed International Fixed Salomon Brothers
Income Investments* Income Investments* non-U.S. Gov't
(With Trak Fee) (Without Trak Fee) Bond Index
<S> <C> <C> <C>
11/18/91 $ 10,000 $ 10,000 $ 10,000
8/92 11,260 11,393 11,869
8/93 12,055 12,381 12,650
8/94 11,995 12,504 13,319
8/95 13,904 14,713 15,451
8/96 15,348 16,485 16,637
8/97 14,892 16,235 18,004
</TABLE>
- --------------------------------------------------------------------------------
The Salomon Brothers Non-U.S. Government Bond Index-Unhedged is an index subset
of the Salomon Brothers World Bond Index that excludes corporate bonds
denominated in U.S. dollars. It contains foreign government and supranational
bonds denominated in Australian, Austrian, Belgian, British, Canadian, Danish,
Dutch, French, German, Italian, Japanese, Spanish, and Swedish currencies.
Because the index is not a managed portfolio, there are no advisory fees or
internal management expenses reflected in the index's performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
174
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERNATIONAL FIXED INCOME INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED ININTERNATIONAL FIXED INCOME
INVESTMENTS VS. SALOMON BROTHERS NON-U.S. GOVERNMENT BOND INDEX AUGUST 31, 1994
THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
International Fixed Income International Fixed Income Salomon Brothers Non-U.S.
Investments* (With Trak Fee) Investments* (Without Trak Fee) Government Bond Index
<S> <C> <C> <C>
8/31/94 10,000 10,000 10,000
8/95 11,592 11,766 11,600
8/96 12,796 13,184 13,993
8/31/97 12,416 12,984 13,517
</TABLE>
- --------------------------------------------------------------------------------
The Salomon Brothers Non-U.S. Government Bond Index-Unhedged is an index subset
of the Salomon Brothers World Bond Index that excludes corporate bonds
denominated in U.S. dollars. It contains foreign government and supranational
bonds denominated in Australian, Austrian, Belgian, British, Canadian, Danish,
Dutch, French, German, Italian, Japanese, Spanish, and Swedish currencies.
Because the index is not a managed portfolio, there are no advisory fees or
internal management expenses reflected in the index's performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
175
<PAGE>
PORTFOLIO HIGHLIGHTS--EMERGING MARKETS EQUITY INVESTMENTS AS OF AUGUST 31,
1997
For the year ended August 31, 1997, Emerging Markets Equity Investments
("Portfolio") had a total return of 9.88% versus 4.59% for the Morgan Stanley
Capital International Markets Free Index--the Portfolio's benchmark.
Equities in Asia have, as a whole, underperformed their counterparts in Latin
America and Europe. The major concern has been continued export weakness,
leading to widening current account deficits and currency concerns. Suggestions
that the region has lost its competitive edge have had a negative effect on
many markets in the region. This has been particularly severe in Thailand where
economic indicators increasingly echoed those of Mexico prior to its currency
crisis. In anticipation of the pressure on the baht we hedged all of the
Portfolio's Thai exposure as a defensive measure and the Portfolio suffered no
impact from the devaluation which subsequently occurred. However there has been
a domino effect in other South Asian countries, which has led to heavy declines
in both equity markets and currencies. While it may take some time for the full
impact of the devaluation on corporate earnings to be identified, we do
anticipate that 1998 should witness sharp export led recoveries from these
economies. Accordingly, the portfolio may look to increase its current
underweight exposure to the markets over the coming months.
The accelerating economic recovery in Latin America, combined with falling
inflation and risk premiums has underpinned the recovery in stock markets.
While all countries in the region have posted significant returns, Brazil has
been the main focus, where ongoing constitutional reform and compelling
valuations have helped to offset the potential problems of burgeoning trade and
current account deficits. Additionally, Argentina is currently the fastest
growing economy in Latin America and has had its debt ratings upgraded.
Similarly, Mexico has benefited from a stable currency and the government's
firm economic policy has translated into significant foreign capital inflows.
In Central Europe, sentiment has been dominated by economic reform in Russia,
progress on which has led to significant stock market returns. The potential of
one of the world's largest underdeveloped economies is considerable and, having
made initial investments, the Portfolio has increased its exposure. In Hungary,
high quality management and strong earnings growth have provided a potent
combination. The same can be said for Turkey, where the corporate sector
continues to perform well in a difficult political environment. Africa has also
provided opportunities, via an ambitious privatization program in Egypt and
falling interest rates in South Africa.
The manager AIB Govett Asset Management Limited (formerly called John Govett
& Co. Limited) believes that the long term investment rate for emerging markets
remains firmly intact, equity valuations are compelling and low inter-regional
correlation's underline the diversification potential of emerging markets in a
global context. Most important, emerging economies' GDP growth is forecast to
increase faster than the world average in the next two years, with inflation
continuing to fall.
176
<PAGE>
PORTFOLIO HIGHLIGHTS--EMERGING MARKETS EQUITY INVESTMENTS
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING MARKETS EQUITY INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
----------------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/97 9.88% 8.24%
Three Years Ended 8/31/97 0.32 (1.17)
Inception (4/21/94) through 8/31/97 5.51 3.94
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INEMERGING MARKETS EQUITY
INVESTMENTS VS. MORGAN STANLEY CAPITAL INTERNATIONAL EMERGING MARKETS FREE
INDEX APRIL 20, 1994 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Emerging Markets Emerging Markets MSCI Emerging
Equity Investments* Equity Investments* Markets
(With Trak Fee) (Without Trak Fee) Free Index
<S> <C> <C> <C>
4/20/94 $ 10,000 $ 10,000 $ 10,000
8/94 11,797 11,863 12,008
8/95 9,863 10,068 10,039
8/96 10,521 10,902 10,421
8/31/97 11,387 11,978 10,899
</TABLE>
- --------------------------------------------------------------------------------
The Morgan Stanley Capital International Emerging Markets Free Index is an
index comprised of thirteen emerging markets open to direct foreign
participation. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
177
<PAGE>
PORTFOLIO HIGHLIGHTS--EMERGING MARKETS EQUITY INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED INEMERGING MARKETS EQUITY
INVESTMENTS VS. MORGAN STANLEY CAPITAL INTERNATIONAL EMERGING MARKETS FREE
INDEX AUGUST 31, 1994 THROUGH AUGUST 31, 1997
(UNAUDITED)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Emerging Markets Equity Emerging Markets Equity MSCI Emerging Markets
Investments* (With Trak Fee) Investments* (Without Trak Fee) Free Index
<S> <C> <C> <C>
8/31/94 10,000 10,000 10,000
8/95 8,361 8,487 8,360
8/96 8,918 9,190 8,679
8/31/94 9,653 10,097 9,076
</TABLE>
- --------------------------------------------------------------------------------
The Morgan Stanley Capital International Emerging Markets Free Index is an
index comprised of thirteen emerging markets open to direct foreign
participation. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
178
<PAGE>
INDEPENDENT AUDITORS' REPORT
The Shareholders and Board of Trustees of
Consulting Group Capital Markets Funds:
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of Government Money Investments,
Intermediate Fixed Income Investments, Long-Term Bond Investments, Municipal
Bond Investments, Mortgage Backed Investments, Balanced Investments, Large
Capitalization Value Equity Investments, Large Capitalization Growth
Investments, Small Capitalization Value Equity Investments, Small
Capitalization Growth Investments, International Equity Investments,
International Fixed Income Investments, and Emerging Markets Equity Investments
(the "Portfolios") of Consulting Group Capital Markets Funds (the "Fund") as of
August 31, 1997, and the related statements of operations for the year then
ended, the statements of changes in net assets for each of the years in the
two-year period then ended, and the financial highlights for each of the years
in the three-year period then ended. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits. The financial highlights for each of the years or periods
in the two-year period ended August 31, 1994, were audited by other auditors
whose report thereon, dated October 19, 1994, expressed an unqualified opinion
on those financial highlights.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
August 31, 1997, by correspondence with the custodian. As to securities
purchased and sold but not received and delivered, we performed other
appropriate auditing procedures. An audit also includes assessing the
accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Portfolios of the Fund as of August 31, 1997, and the result of its operations
for the year then ended, the changes in its net assets for each of the years in
the two-year period then ended, and the financial highlights for each of the
years in the three-year period then ended, in conformity with generally
accepted accounting principles.
/s/KPMG Peat Marwick LLP
New York, New York
October 15, 1997
179
<PAGE>
TAX INFORMATION (UNAUDITED)
The following August 31, 1997 fiscal year end disclosures are of various tax
benefits that will be reported to shareholders at calendar year end.
The Portfolios listed below designate for Federal income tax purposes the
following amounts as long term capital gain dividends paid:
<TABLE>
<S> <C>
Balanced Investments............................................ $ 1,055,779
Large Capitalization Value Equity Investments................... 64,476,689
Large Capitalization Growth Investments......................... 48,479,874
Small Capitalization Value Equity Investments................... 26,560,111
Small Capitalization Growth Investments......................... 55,156,994
International Equity Investments................................ 46,599,644
International Fixed Income Investments.......................... 1,404,063
Emerging Markets Equity Investments............................. 238,058
</TABLE>
100% of the dividends from net investment income paid by Municipal Bond
Investments are tax-exempt for regular Federal income tax purposes.
The following percentages of ordinary income distributions have been
designated as qualifying for the dividends received deduction available to
corporate shareholders.
<TABLE>
<S> <C>
Balanced Investments.................................................. 44.95%
Large Capitalization Value Equity Investments......................... 71.67
Large Capitalization Growth Investments............................... 66.62
Small Capitalization Value Equity Investments......................... 49.93
</TABLE>
The total foreign sourced income received by International Equity Investments
and Emerging Markets Equity Investments, respectively, are $0.1482 per share
(or a total amount of $15,834,222) and $0.1308 per share (or a total amount of
$3,178,748). The total amounts of foreign taxes paid, again respectively, are
$0.0200 per share (or a total amount of $2,136,859) and $0.0086 per share (or a
total amount of $209,772).
The following percentages of ordinary income distributions have been derived
from investments in U.S. Government and Agency Obligations. All or a portion of
the corresponding percentages may be exempt from taxation at the state level.
<TABLE>
<S> <C>
Government Money Investments.......................................... 38.34%
Intermediate Fixed Income Investments................................. 14.52
Long-Term Bond Investments............................................ 60.30
Balanced Investments.................................................. 20.14
</TABLE>
The above figures may differ from those cited elsewhere in this report due to
differences in the calculations of income and capital gain for Securities and
Exchange Commission (book) purposes and Internal Revenue Service (tax)
purposes.
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<PAGE>
THIS REPORT IS SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF
CONSULTING GROUP CAPITAL MARKETS FUNDS.
IT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS UNLESS
ACCOMPANIED OR PRECEDED BY AN EFFECTIVE PROSPECTUS FOR THE TRUST WHICH CONTAINS
INFORMATION CONCERNING THE TRUST'S INVESTMENT POLICIES, CHARGES AND EXPENSES AS
WELL AS OTHER PERTINENT INFORMATION.
TK0423, 10/97 CONSULTING GROUP CAPITAL MARKETS FUNDS . 222 DELAWARE
AVENUE . WILMINGTON, DELAWARE . 19801
