<PAGE>
TRAK/(R)/
----------------------------------------
Personalized Investment Advisory Service
CONSULTING GROUP
CAPITAL
MARKETS FUNDS
Annual Report
August 31, 1998
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
High Yield Investments.................................................... 5
Intermediate Fixed Income Investments..................................... 8
Long-Term Bond Investments................................................ 12
Municipal Bond Investments................................................ 14
Mortgage Backed Investments............................................... 16
Balanced Investments...................................................... 18
Large Capitalization Value Equity Investments............................. 21
Large Capitalization Growth Investments................................... 28
Small Capitalization Value Equity Investments............................. 41
Small Capitalization Growth Investments................................... 65
International Equity Investments.......................................... 92
International Fixed Income Investments.................................... 116
Emerging Markets Equity Investments....................................... 118
Statements of Assets and Liabilities........................................ 126
Statements of Operations.................................................... 128
Statements of Changes in Net Assets......................................... 130
Notes to Financial Statements............................................... 134
Financial Highlights........................................................ 146
Portfolio Highlights........................................................ 155
Independent Auditors' Report................................................ 193
Tax Information............................................................. 194
</TABLE>
1
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
Dear Shareholder:
MARKET OVERVIEW
During the fiscal year from September 1997 through August 1998 investors
witnessed numerous records and other historic events which affected the
financial markets. In June, the Dow Jones Industrial Average ("Dow") crossed
the 9,000 mark for the first time after an advance of 2,000 points from the
beginning of the fiscal year. At the end of August, the 30-year Treasury Bond
reached a record low yield of 5.30%, which was the lowest level since it was
first issued in 1967. In addition, at the end of August, the first federal
budget surplus in 29 years was announced.
At the time of this writing, however, worldwide financial markets are
experiencing extreme volatility brought on by instability in emerging markets.
Russia has been added to the list of countries devaluing their currency, Hong
Kong has entered a recession, Venezuela and Brazil face currency pressures
brought on by falling commodity prices and the U.S. stock market as measured by
the Dow witnessed a correction of approximately 15% in the month of August.
Even European markets have pulled back somewhat. As a result of this volatility
in emerging markets, investors, in a "flight to quality," have pushed yields on
Treasuries to the lowest point seen in quite some time. This "flight to
quality" has also negatively affected the U.S. small capitalization market.
Small capitalization stocks have been shunned in favor of the more liquid large
capitalization names. In fact, the small capitalization market, as represented
by the Russell 2000 Index, has declined approximately 26% since April 1998 as
the valuation levels of small capitalization stocks have reached levels not
witnessed since the Crash of 1987.
CONSULTING GROUP CAPITAL MARKETS FUNDS (THE "PORTFOLIOS")
During the reporting period, nine of the fourteen Portfolios posted positive
returns. We are especially pleased with the performance of International Fixed
Income Investments which posted double digit gains and outperformed its index--
the Salomon Brothers Non-U.S. Government Bond Index. The remaining Portfolios
suffered a negative return including Emerging Markets Equity Investments
("Emerging Markets Portfolio") which returned a negative 49.49% for the fiscal
year period. The general consensus is that emerging markets will, over the
short term, remain volatile as global events work their way through the market.
A further description of each Portfolios performance may be found in the
Portfolio Highlights section which begins on Page 155.
During the Portfolios last fiscal year, the Consulting Group recommended, and
the Board of Trustees approved, entering into several new investment advisory
agreements with some of its current sub-advisors. Specifically, these changes
were:
. The hiring of Mellon Capital Management Corporation ("Mellon Capital") as
the investment advisor to the index portion of Small Capitalization Value
Equity Investments ("Small Cap Value Portfolio"). Mellon Capital was
already the investment advisor to the index portion of Small
Capitalization Growth Investments. By consolidating the index portion of
the Small Capitalization Growth and Small Capitalization Value
Portfolios, Mellon Capital agreed to reduce their advisory fee to 0.06%;
. The hiring of Barclays Global Fund Advisors ("Barclays") as the new
investment advisor to Large Capitalization Growth Investments. The
Consulting Group recommended that PanAgora Asset Management be replaced
by Barclays because Barclays agreed to manage this Portfolio for the
lower fee of 0.02%; and
. A new investment advisory agreement with Standish Ayer & Wood, Inc.
("Standish"), the investment advisor to Intermediate Fixed Income
Investments, reflecting a decrease in the advisory fee paid to Standish.
These changes reflect Consulting Group's commitment to not only retain
qualified investment advisors, but to negotiate attractive fees on behalf of
our Portfolios.
2
<PAGE>
In addition, during the course of the Portfolio's fiscal year, the Board of
Trustees approved, on the recommendation of the Consulting Group, the hiring of
several new investment advisors. These new investment advisors were:
. David L Babson & Co., Inc. who was hired as an additional investment
advisor to the Small Cap Value Portfolio to avoid any potential capacity
restraints and to complement the investment style of the Small Cap Value
Portfolio's current investment advisors;
. State Street Global Advisors and Baring Asset Management, Inc. were
hired as additional investment advisors to the Emerging Markets
Portfolio. The Consulting Group recommended the addition of these two
advisors because it was determined that their investment styles would
complement the investment style of AIB Govett, Inc., the Portfolio's
current investment advisor; and
. Alliance Capital Management L.P. was hired as the investment advisor to
High Yield Investments, a new Portfolio that was launched in July of
1998.
We wish to thank you for the confidence you've shown in the Consulting Group
and your Financial Consultant.
As always, if you should have any questions or comments about your TRAK
investments, your Financial Consultant remains ready to assist you.
Sincerely,
/s/ Frank L. Campanale
Frank L. Campanale
Investment Officer of the Consulting
Group Capital Markets Funds
/s/ Heath B. McLendon
Heath B. McLendon
Chairman of the Board of Trustees
of the Consulting Group Capital
Markets Funds
October 15, 1998
3
<PAGE>
SCHEDULES OF INVESTMENTS AUGUST 31, 1998
GOVERNMENT MONEY INVESTMENTS
<TABLE>
<CAPTION>
FACE ANNUALIZED
AMOUNT SECURITY YIELD VALUE
- ------------------------------------------------------------------------------
<C> <S> <C> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 100.0%
Farmer Agriculture Mortgage Corp.
$ 39,038,000 mature 9/25/98 to 10/1/98.......... 5.43% to 5.48% $ 38,870,200
Federal Farm Credit Bank matures
1,360,000 10/22/98........................... 5.43 1,349,538
Federal Home Loan Bank mature
21,281,000 9/18/98 to 1/11/99................. 5.33 to 5.79 21,277,556
Federal Home Loan Mortgage Corp.
252,535,000 mature 9/1/98 to 10/13/98.......... 5.39 to 5.50 251,741,256
Federal National Mortgage
Association mature 9/23/98 to
59,399,000 8/3/99............................. 4.92 to 5.50 59,107,452
Student Loan Marketing matures
2,078,000 9/1/98............................. 5.70 2,078,000
- ------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$374,424,002*).................... $374,424,002
- ------------------------------------------------------------------------------
</TABLE>
* Aggregate cost for Federal income tax purposes is substantially the same.
SEE NOTES TO FINANCIAL STATEMENTS.
4
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
HIGH YIELD INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
CORPORATE BONDS & NOTES -- 76.5%
- -------------------------------------------------------------------------------
AEROSPACE/DEFENSE -- 1.1%
Aircraft Service International Group, Sr.
$1,000,000 B+ Notes, 11.000% due 8/15/05.................... $ 986,250
- -------------------------------------------------------------------------------
AIR TRANSPORTATION -- 0.5%
Canadian Airlines Corp., Sr. Notes, 10.000%
500,000 B- due 5/1/05+................................... 495,625
- -------------------------------------------------------------------------------
BROADCASTING -- 7.4%
Classic Cable Inc., Sr. Sub. Notes, 9.875% due
500,000 B- 8/1/08........................................ 495,000
Fox Family Worldwide, Inc., Sr. Notes, 9.250%
2,000,000 B due 11/1/07+.................................. 1,805,000
1,500,000 B+ GCI Inc., Sr. Notes, 9.750% due 8/1/07+....... 1,455,000
Goss Graphic Systems Inc., Sr. Sub. Notes,
1,000,000 CCC+ 12.000% due 10/15/06+......................... 960,000
Jones International Networks Ltd., Sr. Notes,
1,250,000 B 11.750% due 7/1/05............................ 1,246,875
750,000 B- Optel Inc., Sr. Notes, 11.500% due 7/1/08..... 758,437
- -------------------------------------------------------------------------------
6,720,312
- -------------------------------------------------------------------------------
CHEMICALS -- 5.4%
Aqua Chemical Inc., Sr. Sub. Notes, 11.250%
750,000 B- due 7/1/08.................................... 751,875
Brunner Mond Group PLC, Sr. Sub. Notes,
1,750,000 B- 11.000% due 7/15/08........................... 1,732,500
GEO Specialty Chemicals, Sr. Sub. Notes,
1,000,000 B- 10.125% due 8/1/08............................ 992,500
Phillip Brothers Chemicals, Sr. Sub. Notes,
1,500,000 BBB 9.875% due 6/1/08+............................ 1,488,750
- -------------------------------------------------------------------------------
4,965,625
- -------------------------------------------------------------------------------
COMMUNICATIONS -- 7.0%
AMSC Acquisition Co., Inc., Company Guaranty,
1,000,000 NR 12.250% due 4/1/08............................ 707,500
Arch Communications Group, Sr. Discount Notes,
1,000,000 CCC step bond to yield 15.444% due 3/15/08+....... 480,000
Cellco Finance NV, Sr. Sub. Notes, 15.000% due
1,500,000 CCC+ 8/1/05........................................ 1,423,125
Firstworld Communications, 13.000% due
500,000 NR 4/15/08+...................................... 212,500
ICO Global Communications, 15.000% due
1,000,000 NR 8/1/05+....................................... 950,000
Level 3 Communications, Inc., Sr. Notes,
1,000,000 B 9.125% due 5/1/08+............................ 895,000
Northeast Optic Network, Sr. Notes, 12.750%
1,000,000 NR due 8/15/08+.................................. 995,000
Time Warner Telecom, LLC, Sr. Notes, 9.750%
750,000 B- due 7/15/08+.................................. 720,000
- -------------------------------------------------------------------------------
6,383,125
- -------------------------------------------------------------------------------
CONSUMER STAPLES -- 4.3%
1,000,000 BB Ball Corp., Sr. Notes, 7.750% due 8/1/06...... 980,000
Bell Sports Inc., Sr. Sub. Notes, 11.000% due
1,000,000 B- 8/15/08....................................... 971,250
1,000,000 B+ Evenflo Co., Sr. Notes, 11.750% due 8/15/06... 975,000
Moll Industries, Sr. Sub. Notes, 10.500% due
1,000,000 B 7/1/08........................................ 975,000
- -------------------------------------------------------------------------------
3,901,250
- -------------------------------------------------------------------------------
ELECTRONICS -- 2.5%
Elgar Holdings Inc., Sr. Notes, 9.875% due
1,500,000 NR 2/1/08........................................ 1,275,000
Pacific Aerospace & Electronics, Sr. Sub.
1,000,000 B- Notes, 11.250% due 8/1/05..................... 981,250
- -------------------------------------------------------------------------------
2,256,250
- -------------------------------------------------------------------------------
ENERGY -- 8.4%
Chesapeake Energy Corp., Sr. Notes, 9.625% due
2,000,000 B+ 5/1/05........................................ 1,700,000
Continental Resources, Sr. Sub. Notes, 10.250%
1,000,000 B- due 8/1/08.................................... 975,000
Eagle Geophysical Inc., Sr. Notes, 10.750% due
500,000 B- 7/15/08....................................... 475,000
Michael Petroleum Corp., Sr. Notes, 11.500%
1,000,000 NR due 4/1/05.................................... 971,250
Ocean Rig Norway, Company Guaranty, 10.250%
750,000 B- due 6/1/08.................................... 600,000
Panaco Inc., Company Guaranty, 10.625% due
1,500,000 B- 10/1/04+...................................... 1,271,250
Parker Drilling, Sr. Notes, 9.750% due
1,500,000 B+ 11/15/06...................................... 1,350,000
Transamerican Energy, Sr. Notes, 11.500% due
500,000 NR 6/15/02+...................................... 334,375
- -------------------------------------------------------------------------------
7,676,875
- -------------------------------------------------------------------------------
ENTERTAINMENT -- 2.4%
Intrawest Corp., Sr. Notes, 9.750% due
1,250,000 B+ 8/15/08+...................................... 1,233,465
1,000,000 NR TVN Entertainment Corp., 14.000% due 8/1/08+.. 1,005,000
- -------------------------------------------------------------------------------
2,238,465
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
5
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
HIGH YIELD INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
FOOD -- 4.6%
Digiorgio Corp., Sr. Notes, 10.000% due
$1,000,000 B 6/15/07+...................................... $ 978,750
Favorite Brands, Sr. Notes, 10.750% due
1,500,000 B- 5/15/06....................................... 1,286,250
Fresh Foods Inc., Sr. Notes, 10.750% due
1,000,000 B 6/1/06........................................ 950,000
RAB Enterprises, Inc., Sr. Notes, 10.500% due
1,000,000 B- 5/1/05........................................ 985,000
- -------------------------------------------------------------------------------
4,200,000
- -------------------------------------------------------------------------------
HOTELS -- 1.0%
HMH Properties Inc., Company Guaranty, 7.875%
1,000,000 BB due 8/1/08+................................... 950,000
- -------------------------------------------------------------------------------
INDUSTRIAL -- 8.7%
Amtrol Inc., Sr. Sub. Notes, 10.625% due
1,104,000 B- 12/31/06+..................................... 1,058,460
Axia Inc., Sr. Sub. Notes, 10.750% due
1,000,000 B- 7/15/08....................................... 985,000
Derby Cycle Corp., Sr. Notes, 10.000% due
1,500,000 BBB 5/15/08....................................... 1,305,000
Generac Portable Products, Sr. Sub. Notes,
1,500,000 B- 11.250% due 7/1/06............................ 1,425,000
Imperial Home Decor Group, Sr. Sub. Notes,
1,500,000 B- 11.000% due 3/15/08........................... 1,507,500
1,000,000 B MVE Inc., Sr. Notes, 12.500% due 2/15/02+..... 1,005,000
Viasystems Inc., Sr. Sub. Notes, 9.750% due
750,000 B- 6/1/07+....................................... 652,500
- -------------------------------------------------------------------------------
7,938,460
- -------------------------------------------------------------------------------
METALS -- 2.0%
Metal Management Inc., Sr. Sub. Notes, 10.000%
1,000,000 B- due 5/15/08................................... 866,250
Ormet Corp., Company Guaranty, 11.000% due
1,000,000 B- 8/15/08....................................... 972,500
- -------------------------------------------------------------------------------
1,838,750
- -------------------------------------------------------------------------------
PAPER -- 6.6%
Fonda Group, Inc., Sr. Sub. Notes, 9.500% due
1,000,000 B- 3/1/07+....................................... 902,500
Millar Western Forest, Sr. Notes, 9.875% due
1,650,000 B+ 5/15/08....................................... 1,254,000
Plainwell Inc., Sr. Sub. Notes, 11.000% due
1,000,000 B- 3/1/08........................................ 988,750
Riverwood International Corp., Company
2,000,000 B- Guaranty, 10.625% due 8/1/07+................. 1,937,500
Sweetheart Cup Co., Inc., Sr. Notes, 9.625%
1,000,000 B+ due 9/1/00+................................... 910,000
- -------------------------------------------------------------------------------
5,992,750
- -------------------------------------------------------------------------------
REAL ESTATE -- 2.6%
Albecca Inc., Sr. Sub. Notes, 10.750% due
1,000,000 B- 8/15/08....................................... 976,250
Reliant Building Products, Sr. Sub. Notes,
1,500,000 B- 10.875% due 5/1/04+........................... 1,383,750
- -------------------------------------------------------------------------------
2,360,000
- -------------------------------------------------------------------------------
RETAIL -- 6.3%
AAI.Fostergrant Inc., Sr. Notes, 10.750% due
1,500,000 B+ 7/15/06....................................... 1,477,500
Eagle Food Center Inc., Sr. Notes, 8.625% due
1,000,000 B+ 4/15/00+...................................... 926,250
Frank's Nursery & Crafts, Sr. Sub. Notes,
1,500,000 B- 10.250% due 3/1/08+........................... 1,413,750
HMV Media Group PLC, Company Guaranty, 10.250%
1,000,000 B due 5/15/08................................... 945,000
Sonic Automotive Inc., Sr. Sub. Notes, 11.000%
1,000,000 B- due 8/1/08.................................... 951,250
- -------------------------------------------------------------------------------
5,713,750
- -------------------------------------------------------------------------------
SERVICES -- 4.9%
Penhall Acquisition Corp., Sr. Notes, 12.000%
2,000,000 B- due 8/1/06.................................... 1,805,000
U.S. Office Products Co., Sr. Sub. Notes,
1,500,000 B- 9.750% due 6/15/08............................ 1,271,250
Wesco Distribution Inc., Sr. Sub. Notes,
1,500,000 B 9.125% due 6/1/08............................. 1,395,000
- -------------------------------------------------------------------------------
4,471,250
- -------------------------------------------------------------------------------
TRANSPORTATION -- 0.8%
Millenium Seacarriers, Sr. Sub. Notes, 12.000%
750,000 B due 7/25/05................................... 691,875
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$72,057,127)................................. 69,780,612
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
HIGH YIELD INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
PREFERRED STOCK -- 1.1%
1,000 HH Acquisition Corp., Exchangeable 13.500% (Cost --
$1,000,000)........................................ $ 980,000
- -------------------------------------------------------------------------------
WARRANTS -- 0.0%
1,000 American Mobile Satellite Corp., Expire 4/1/08++
(Cost -- $10,393)................................... 7,000
- -------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $73,067,520).......... 70,767,612
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENTS -- 22.4%
$10,483,000 Goldman, Sachs & Co., 5.715% due 9/1/98; Proceeds at
maturity -- $10,484,664;
(Fully collateralized by U.S Treasury Notes, 5.125%
due 8/31/00;
Market value -- $10,697,263)......................... 10,483,000
10,000,000 Warburg Dillon Reed LLC, 5.710% due 9/1/98; Proceeds
at maturity -- $10,001,586;
(Fully collateralized by U.S Treasury Notes, 6.125%
due 12/31/01;
Market value -- $10,200,084)......................... 10,000,000
- -------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost -- $20,483,000).... 20,483,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $93,550,520**).... $91,250,612
- -------------------------------------------------------------------------------
</TABLE>
+ Security is exempt 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.
++ Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 125 for definition of ratings.
[PIE CHART APPEARS HERE]
Repurchase Agreements 22.4%
Warrants & Preferred Stock 1.1%
Corporate Bonds & Notes 76.5%
SEE NOTES TO FINANCIAL STATEMENTS.
7
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT AGENCIES & OBLIGATIONS -- 55.2%
- ------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 54.5%
$ 4,525,000 U.S. Treasury Notes, 6.875% due 7/31/99........... $ 4,592,649
6,300,000 U.S. Treasury Notes, 5.875% due 11/15/99.......... 6,357,204
8,800,000 U.S. Treasury Notes, 5.625% due 11/30/99.......... 8,855,352
1,275,000 U.S. Treasury Notes, 6.250% due 6/30/01........... 1,327,874
82,050,000 U.S. Treasury Notes, 6.250% due 10/31/01.......... 84,863,495
32,800,000 U.S. Treasury Notes, 6.250% due 4/30/02........... 34,516,096
2,400,000 U.S. Treasury Notes, 3.625% due 7/15/02........... 2,385,000
22,725,000 U.S. Treasury Notes, 5.750% due 8/15/03........... 23,423,794
128,075,000 U.S. Treasury Notes, 6.500% due 8/15/05........... 138,925,514
4,500,000 U.S. Treasury Notes, 6.625% due 2/15/27........... 5,267,205
125,000 U.S. Treasury Strips, zero coupon due 11/15/99.... 117,701
- ------------------------------------------------------------------------------
310,631,884
- ------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES -- 0.7%
Government Trust Certificate, Resolution Trust
Corp.:
55,338 9.000% due 9/25/28............................... 57,137
3,875,000 7.500% due 10/25/28.............................. 3,928,281
- ------------------------------------------------------------------------------
3,985,418
- ------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(Cost -- $308,635,302)............................ 314,617,302
</TABLE>
<TABLE>
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
CORPORATE BONDS & NOTES -- 31.0%
- -------------------------------------------------------------------------------
BANKING -- 5.2%
1,075,000 A2* Bank of Boston NA, Notes, 6.375% due 4/15/08... 1,101,875
2,055,000 A3* BB&T Corp., Bonds, 6.375% due 6/30/05.......... 2,088,394
Capital One Bank, Medium Term Notes, 6.740% due
3,675,000 BBB- 5/31/99........................................ 3,693,375
Chase Manhattan Corp., Sub. Notes, 6.063% due
2,000,000 A1* 12/30/09....................................... 1,955,000
Continental Bank N.A., Sub. Notes, 12.500% due
2,425,000 Aa3* 4/1/01......................................... 2,825,125
First Interstate Bancorp, Sub. Capital Notes,
1,500,000 A2* 8.625% due 4/1/99.............................. 1,526,250
First National Bank of Boston, Notes, 8.375%
2,000,000 A2* due 12/15/02................................... 2,197,500
First Security Corp., Notes, 7.000% due
2,325,000 Baa1* 7/15/05........................................ 2,461,594
First USA Bank, Notes:
3,275,000 AA 6.375% due 10/23/00........................... 3,336,406
875,000 AA 5.850% due 2/22/01............................ 876,260
1,325,000 BBB+ Markel Corp., Notes, 7.250% due 11/1/03........ 1,396,219
2,350,000 A3* Merita Bank, Sub. Notes, 7.500% due 12/29/49... 2,440,123
500,000 A- St. Georges Bank, Notes, 7.150% due 10/15/05#.. 530,430
Svenska Handelsbanken, Sub. Notes, 7.125% due
3,000,000 A1* 3/29/49#....................................... 3,077,670
- -------------------------------------------------------------------------------
29,506,221
- -------------------------------------------------------------------------------
FINANCIAL SERVICES -- 14.7%
American Health Properties, Notes, 7.050% due
2,500,000 BBB- 1/15/02........................................ 2,587,500
4,925,000 A3* Amvescap PLC, Sr. Notes, 6.600% due 5/15/05.... 5,048,125
2,625,000 Baa1* BanPonce Corp., Notes, 6.750% due 12/15/05..... 2,733,281
Bear, Stearns & Co., Inc., Notes, 6.750% due
1,675,000 A 8/15/00........................................ 1,714,781
Carramerica Realty Corp., Company Guaranteed,
2,300,000 BBB 7.200% due 7/1/04.............................. 2,423,625
Chase Mortgage Securities Corp., Sub. Bonds,
3,575,000 BBB 7.370% due 5/19/07............................. 3,647,608
Chelsea GCA Realty Partnership, Notes, 7.750%
2,300,000 BBB- due 1/26/01.................................... 2,374,750
2,350,000 BBB- Colonial Realty LP, Notes, 6.960% due 7/26/04.. 2,455,750
1,330,000 BBB Conseco Inc., Notes, 6.800% due 6/15/05........ 1,373,451
CP Limited Partnership, Sr. Notes, 8.750% due
750,000 BBB 3/2/00......................................... 780,000
Evans Withycombe Residential Inc., Notes,
1,000,000 A3* 7.500% due 4/15/04............................. 1,075,000
Finova Capital Corp., Notes, 6.450% due
2,175,000 A- 6/1/00......................................... 2,202,188
Florida Property & Casualty, Notes, 7.250% due
900,000 A- 7/1/02......................................... 940,500
Florida Resident Property & Casualty, Notes,
3,450,000 A- 7.375% due 7/1/03.............................. 3,631,125
3,000,000 A- Florida Windstorm, Bonds, 6.700% due 8/25/04... 3,108,750
Ford Motor Credit Co., Notes, 5.750% due
5,600,000 A1* 1/25/01........................................ 5,649,000
Franchise Finance Corp., Notes, 7.000% due
2,000,000 BBB- 11/30/00....................................... 2,047,500
General Electric Capital Corp., Notes, 6.660%
2,800,000 AAA due 5/1/18..................................... 2,856,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
FINANCIAL SERVICES -- 14.7% (CONTINUED)
Goldman Sachs Group LP, Notes, 7.200% due
$ 450,000 A+ 3/1/07#....................................... $ 488,250
Guangdong Enterprises, Sr. Notes, 8.875% due
7,275,000 Baa3* 5/22/07#...................................... 3,564,750
3,000,000 BBB+ H.F. Ahmanson, Notes, 8.250% due 10/1/02...... 3,247,500
Homeside Lending, Inc., Notes:
3,775,000 A+ 6.875% due 6/30/02........................... 3,926,000
4,000,000 A+ 6.750% due 8/1/04............................ 4,170,000
Household Financial Corp., Medium Term Notes:
3,085,000 A 7.150% due 6/15/00........................... 3,169,838
2,500,000 A 6.125% due 7/15/02........................... 2,534,375
Integra Financial Corp., Sub. Notes, 6.500%
1,900,000 A2* due 4/15/00................................... 1,926,125
Keystone Financial Midatlantic, Sr. Notes,
1,350,000 BBB+ 7.300% due 5/15/04............................ 1,439,438
Norwest Financial, Inc., Notes, 6.375% due
3,000,000 AA- 11/15/01...................................... 3,086,250
Realty Income Corp., Inc., Notes, 7.750% due
3,450,000 BBB- 5/6/07........................................ 3,773,438
Spieker Properties, Notes, 6.650% due
2,600,000 BBB 12/15/00...................................... 2,642,250
United States Fidelity and Guarantee Corp.,
2,100,000 A+ Sr. Notes, 8.375% due 6/15/01................. 2,239,125
Wharf Capital International Ltd., Notes,
1,050,000 BBB+ 8.875% due 11/1/04............................ 727,125
- -------------------------------------------------------------------------------
83,583,398
- -------------------------------------------------------------------------------
HEALTH CARE -- 0.4%
2,325,000 BBB- Meditrust Corp., Notes, 7.375% due 7/15/00.... 2,377,313
- -------------------------------------------------------------------------------
INDUSTRIAL -- 6.2%
Abitibi Consolidated Inc., Notes, 6.950% due
3,000,000 BBB- 4/1/08........................................ 2,951,250
3,450,000 BBB Brascan Ltd., Notes, 7.375% due 10/1/02....... 3,575,063
5,025,000 BBB+ Comdisco Inc., Notes, 6.500% due 6/15/00...... 5,100,375
EOP Operating LP, Sr. Notes, 6.375% due
2,575,000 Baa1* 2/15/03....................................... 2,591,094
Georgia-Pacific Corp., Debentures, 9.950% due
1,100,000 Baa2* 6/15/02....................................... 1,248,500
Great Atlantic and Pacific Tea Co., Inc., Sr.
4,525,000 BBB- Notes, 7.700% due 1/15/04..................... 4,739,938
La Quinta Inns, Inc., Notes, 7.110% due
4,900,000 BBB- 10/17/01...................................... 4,789,750
2,000,000 A- Lafarge Corp., Sr. Notes, 6.375% due 7/15/05.. 2,010,000
2,375,000 BBB+ Novacor Chemical, Notes, 6.500% due 9/22/00... 2,407,656
U.S. Filter Corp., Bonds, 6.500% due
2,725,000 BBB 5/15/03#...................................... 2,704,563
USA Waste Services, Inc., Notes, 6.500% due
3,250,000 BBB+ 12/15/02...................................... 3,331,250
- -------------------------------------------------------------------------------
35,449,439
- -------------------------------------------------------------------------------
OIL -- 1.2%
Kern River Funding Corp., Sr. Notes, 6.720%
2,750,000 A- due 9/30/01................................... 2,825,625
Occidental Petroleum Corp., Notes:
125,000 BBB 5.850% due 11/9/98........................... 124,896
1,600,000 BBB 5.900% due 11/9/98........................... 1,599,136
2,100,000 BBB 5.950% due 11/9/98........................... 2,098,677
- -------------------------------------------------------------------------------
6,648,334
- -------------------------------------------------------------------------------
POWER & LIGHTING -- 0.2%
System Energy Resources, Notes, 7.625% due
1,100,000 BBB- 4/1/99........................................ 1,109,625
- -------------------------------------------------------------------------------
REAL ESTATE -- 1.2%
Avalon Properties, Inc., Notes, 7.375% due
2,450,000 BBB+ 9/15/02....................................... 2,575,563
Simon Debartolo Group, Ltd.:
3,025,000 BBB+ Company Guaranteed, 6.875% due 11/15/06...... 3,066,594
1,500,000 BBB+ Notes, 6.750% due 6/15/05#................... 1,511,250
- -------------------------------------------------------------------------------
7,153,407
- -------------------------------------------------------------------------------
RETAIL -- 1.0%
Sears Roebuck Acceptance Corp., Notes, 6.690%
5,335,000 A2* due 4/30/01................................... 5,488,381
- -------------------------------------------------------------------------------
TRANSPORTATION -- 0.9%
Wisconsin Central Transportation Corp., Notes,
4,885,000 Baa2* 6.625% due 4/15/08............................ 4,982,700
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$176,648,175)................................ 176,298,818
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
9
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
MORTGAGE-BACKED SECURITIES -- 9.4%
- -------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.3%
$ 60,400 FHLMC, 7.500% due 8/1/99.......................... $ 61,646
1,121,079 FHLMC, 6.000% due 1/1/12.......................... 1,120,721
450,947 FHLMC, 6.000% due 1/1/12.......................... 450,803
- -------------------------------------------------------------------------------
1,633,170
- -------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 1.3%
7,359,788 FNMA, Discount Note, 8.000% due 3/13/13........... 7,596,627
- -------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 2.4%
932,549 GNMA, 8.000% due 7/15/17.......................... 978,599
230,532 GNMA, 8.000% due 11/15/17......................... 241,916
7,543,510 GNMA, 9.000% due 12/15/17......................... 8,144,577
4,375,000 GNMA, 8.000% due 9/15/28.......................... 4,541,775
- -------------------------------------------------------------------------------
13,906,867
- -------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (CMO) -- 5.4%
ACC Automobile Receivables Trust, 6.700% due
1,920,978 12/17/03#......................................... 1,947,391
3,150,708 Ameresco Commercial Lending, 7.120% due 9/17/12#.. 3,296,428
Chase Credit Card Master Trust, 6.777% due
4,000,000 5/15/07........................................... 3,995,200
5,382,000 EQCC Home Equity Trust, 7.160% due 3/15/13........ 5,556,915
1,600,000 Green Tree Financial Corp., 7.450% due 7/15/27.... 1,735,840
The Money Store Home Equity Trust, 7.000% due
4,350,000 4/15/28........................................... 4,611,218
Mortgage Capital Funding, Inc.:
2,625,000 7.900% due 2/15/06............................... 2,816,126
2,766,000 7.800% due 4/15/06............................... 2,967,392
Residential Funding Mortgage Securities, Inc.,
3,690,720 6.750% due 11/25/12............................... 3,725,340
- -------------------------------------------------------------------------------
30,651,850
- -------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$52,952,137)..................................... 53,788,514
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
10
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
REGIONAL GOVERNMENT OBLIGATION -- 0.7%
Quebec Province, 7.500% due 7/15/02 (Cost --
$ 3,500,000 $3,646,160)....................................... $ 3,710,000
- --------------------------------------------------------------------------------
NATIONAL GOVERNMENT OBLIGATION -- 0.4%
Republic of Lithuania, 7.125% due 7/22/02# (Cost --
2,500,000 $2,492,225)....................................... 2,415,625
- --------------------------------------------------------------------------------
SHORT-TERM NOTE -- 1.7%
Abbey National PLC, 5.500% due 10/10/98 (Cost --
10,000,000 $9,937,739)....................................... 9,934,500
- --------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $554,311,738)....... 560,764,759
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.6%
8,826,000 Goldman, Sachs & Co., 5.715% due 9/1/98; Proceeds
at maturity -- $8,827,401;
(Fully collateralized by U.S Treasury Notes, 5.125%
due 8/31/00;
Market value -- $9,006,395) (Cost -- $8,826,000)... 8,826,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$563,137,738**).................................. $569,590,759
- --------------------------------------------------------------------------------
</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.
See page 125 for definition of ratings.
Classification of Investments
[Pie Chart appears here]
Short-Term Note 1.7%
Corporate Bonds & Notes 31.0%
National Government Obligation 0.4%
Mortgage-Backed Securities 9.4%
Repurchase Agreement 1.6%
U.S. Government & Agencies & Obligations 55.2%
Regional Government Obligation 0.7%
SEE NOTES TO FINANCIAL STATEMENTS.
11
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LONG-TERM BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT AGENCIES & OBLIGATIONS -- 53.2%
- ------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 46.8%
$ 1,400,000 U.S. Treasury Notes, 11.750% due 11/15/14.......... $ 2,155,342
3,580,000 U.S. Treasury Notes, 7.500% due 11/15/16........... 4,420,154
10,730,000 U.S. Treasury Notes, 8.500% due 2/15/20............ 14,805,683
6,000,000 U.S. Treasury Notes, 8.750% due 5/15/20............ 8,481,660
1,225,000 U.S. Treasury Notes, 8.125% due 8/15/21............ 1,645,261
5,150,000 U.S. Treasury Bonds, 11.250% due 2/15/15........... 8,470,463
12,285,000 U.S. Treasury Bonds, 7.875% due 2/15/21............ 16,058,706
13,625,000 U.S. Treasury Bonds, 6.875% due 8/15/25............ 16,328,745
225,000 U.S. Treasury Bonds, 6.125% due 11/15/27........... 249,523
- ------------------------------------------------------------------------------
72,615,537
- ------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY -- 6.4%
4,550,000 FGLMC Remic, 6.250% due 10/15/27................... 4,643,912
5,024,000 FGLMC Remic, 6.500% due 6/15/28.................... 5,289,016
- ------------------------------------------------------------------------------
9,932,928
- ------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(Cost -- $75,175,383).............................. 82,548,465
- ------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
CORPORATE BONDS & NOTES -- 46.3%
- -------------------------------------------------------------------------------
BANKING -- 7.9%
3,875,000 AAA Bank Austria AG, 7.250% due 2/15/17#.......... 4,214,062
International Bank of Reconstruction &
3,350,000 AAA Development, 8.250% due 9/1/16................ 4,338,250
3,000,000 A NCNB Corp., 9.375% due 9/15/09................ 3,716,250
- -------------------------------------------------------------------------------
12,268,562
- -------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 2.8%
1,550,000 A+ BestFoods, 6.625% due 4/15/28................. 1,586,813
2,075,000 AA Proctor & Gamble Co., 9.360% due 1/1/21....... 2,840,156
- -------------------------------------------------------------------------------
4,426,969
- -------------------------------------------------------------------------------
FINANCIAL SERVICES -- 11.7%
3,300,000 AA American Re Corp., 7.450% due 12/15/26........ 3,724,875
2,400,000 BBB- Continental Corp., 8.375% due 8/15/12......... 2,844,000
Lubermens Mutual Casualty, Surplus Notes,
1,450,000 A- 8.300% due 12/1/37#........................... 1,589,562
Metropolitan Life Insurance Co., Surplus Note,
3,700,000 A+ 7.800%, due 11/1/25........................... 4,157,875
3,000,000 A+ Nationwide CSN Trust, 9.875% due 2/15/25...... 3,720,000
US West Capital Funding Inc., 6.875% due
2,100,000 A- 7/15/28....................................... 2,084,250
- -------------------------------------------------------------------------------
18,120,562
- -------------------------------------------------------------------------------
INDUSTRIAL -- 4.1%
Applied Materials, Inc., Sr. Notes, 7.125% due
4,500,000 BBB+ 10/15/17...................................... 4,612,500
1,600,000 AA- Cargill Inc., 6.875% due 5/1/28............... 1,694,000
- -------------------------------------------------------------------------------
6,306,500
- -------------------------------------------------------------------------------
MEDIA & ENTERTAINMENT -- 3.8%
News America Holdings, Inc., 9.250% due
1,275,000 BBB- 2/1/13........................................ 1,549,125
3,800,000 BBB- Time Warner Inc., 8.375% due 7/15/33.......... 4,455,500
- -------------------------------------------------------------------------------
6,004,625
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LONG-TERM BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <C> <S> <C>
MISCELLANEOUS -- 5.8%
$ 3,250,000 BBB+ Boston University, 7.625% due 7/15/2097...... $ 3,749,689
International Business Machines Corp., 6.500%
1,700,000 A+ due 1/15/28+................................. 1,680,875
2,850,000 BBB+ Ogden Corp., 9.250% due 3/1/22............... 3,541,125
- --------------------------------------------------------------------------------
8,971,689
- --------------------------------------------------------------------------------
RETAIL -- 1.0%
May Department Stores Co., 8.300% due
1,375,000 A 7/15/26...................................... 1,553,750
- --------------------------------------------------------------------------------
TRANSPORTATION -- 1.7%
2,468,018 BBB+ Federal Express Corp., 7.630% due 1/5/14..... 2,628,440
- --------------------------------------------------------------------------------
UTILITIES -- 7.5%
BellSouth Telecommunications Inc., 7.000% due
2,250,000 AAA 10/1/25...................................... 2,413,125
Columbia Gas Systems Inc., 7.320% due
3,750,000 BBB+ 11/28/10..................................... 4,021,875
3,000,000 A+ New York Telephone, 6.700% due 11/1/23....... 3,026,250
2,100,000 A- Puget Sound Energy Inc., 6.740% due 6/15/18.. 2,126,250
- --------------------------------------------------------------------------------
11,587,500
- --------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$65,593,304)................................ 71,868,597
- --------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost --
$140,768,687)............................... 154,417,062
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.5%
768,000 Goldman Sachs & Co., 5.715% due 9/1/98;
Proceeds at maturity -- $768,122;
(Fully collateralized by U.S. Treasury Notes,
5.125% due 8/31/00;
Market value -- $783,697) (Cost --
$768,000)................................... 768,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$141,536,687**)............................. $155,185,062
- --------------------------------------------------------------------------------
</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.
+ A portion of this security is on loan (See Note 12).
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 125 for definition of ratings.
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
MUNICIPAL BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
ALABAMA -- 5.3%
$2,735,000 AAA Alabama Agricultural & Mechanical University
Revenue, MBIA-Insured, 5.250% due 11/1/13... $ 2,837,562
1,200,000 AAA Alabama Water Pollution Control Authority,
Revolving Loan, Series A, AMBAC-Insured,
5.250% due 8/15/10.......................... 1,263,000
- -------------------------------------------------------------------------------
4,100,562
- -------------------------------------------------------------------------------
ARIZONA -- 3.2%
2,500,000 VMIG 1* Phoenix, AZ GO, Series 95-2, 3.300% due
6/1/20 (a).................................. 2,500,000
- -------------------------------------------------------------------------------
CALIFORNIA -- 6.7%
2,000,000 A+ California State GO, 5.500% due 9/1/17 (b)... 2,105,000
3,000,000 AA- San Francisco, CA Bay Area Rapid
Transportation, District Sales Tax Revenue,
5.250% due 7/1/16 (b)....................... 3,097,500
- -------------------------------------------------------------------------------
5,202,500
- -------------------------------------------------------------------------------
FLORIDA -- 7.2%
2,300,000 AA Jacksonville, FL Electric Authority Revenue,
St. Johns River, Issue 2, Series 11,
5.250% due 10/1/20.......................... 2,346,000
3,000,000 AAA Miami-Dade County, FL School District, FSA-
Insured, 5.375% due 8/1/10.................. 3,247,500
- -------------------------------------------------------------------------------
5,593,500
- -------------------------------------------------------------------------------
MASSACHUSETTS -- 7.9%
3,000,000 AAA Massachusetts Bay Transportation Authority,
Massachusetts General Transportation System,
Series A, MBIA-Insured, 5.000% due 3/1/18... 3,007,500
3,000,000 AA- Massachusetts State GO, Consumer Loan, Series
C, 5.250% due 8/1/15........................ 3,090,000
- -------------------------------------------------------------------------------
6,097,500
- -------------------------------------------------------------------------------
MICHIGAN -- 10.2%
2,200,000 AAA Battle Creek, MI Downtown Development 2,211,000
Authority, MBIA-Insured, 5.000% due 5/1/17
............................................
1,660,000 AAA Chelsea, MI School District, FGIC-Insured,
4.750% due 5/1/11........................... 1,674,525
1,000,000 AA Michigan State Building Authority, Revenue
Facility Program, Series II, 5.050% due
10/15/14.................................... 1,012,500
3,000,000 AA Royal Oak, MI Hospital Finance Authority,
William Beaumont Hospital, 5.250% due
1/1/20...................................... 3,015,000
- -------------------------------------------------------------------------------
7,913,025
- -------------------------------------------------------------------------------
MISSOURI -- 4.1%
3,000,000 AAA St. Louis, MO Board of Education GO, Series
B, FGIC-Insured, 5.500% due 4/1/14.......... 3,161,250
- -------------------------------------------------------------------------------
NEW YORK -- 22.9%
New York City, NY GO:
3,900,000 VMIG 1* Series B, Sub-Series B6, MBIA-Insured,
3.250% due 8/15/05 (a)...................... 3,900,000
3,000,000 A- Series C, 5.250% due 8/15/13................ 3,071,250
2,000,000 AAA Series J, MBIA-Insured, 5.250% due 8/1/08... 2,142,500
2,000,000 AAA New York City, NY City Municipal Water
Finance Authority, Series A, FGIC-Insured,
5.125% due 6/15/17.......................... 2,022,500
2,000,000 A- New York State Dormitory Authority, Series A,
5.500% due 5/15/13 (b)...................... 2,170,000
2,000,000 Aa2* New York State Environmental Facilities
Corp., Series D, 5.875% due 6/15/14......... 2,150,000
1,000,000 A New York State GO, Series F, 5.250% due
9/15/13..................................... 1,045,000
1,200,000 A-1+ Port Authority of New York & New Jersey,
Special Obligation Revenue, Series 5,
3.550% due 8/1/24 (a)....................... 1,200,000
- -------------------------------------------------------------------------------
17,701,250
- -------------------------------------------------------------------------------
NORTH CAROLINA -- 2.9%
2,000,000 AA Charlotte-Mecklenberg, NC Hospital Authority,
Carolinas Healthcare System, Series A,
6.000% due 1/15/09.......................... 2,230,000
- -------------------------------------------------------------------------------
OHIO -- 1.3%
1,000,000 Aa2* Hamilton County, OH GO, 5.200% due 12/1/13... 1,038,750
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
MUNICIPAL BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
PENNSYLVANIA -- 10.3%
$3,000,000 AAA Pennsylvania State Higher Education, Temple
University, First Series, MBIA-Insured,
5.250% due 4/1/17............................. $ 3,067,500
2,750,000 AA Pennsylvania State Higher Education Facility
Authority, College & University Revenues,
Series A, 5.900% due 9/1/14 (b)............... 2,987,187
1,865,000 AAA Solanco, PA School District GO, FGIC-Insured,
5.200% due 2/15/14............................ 1,911,625
- -------------------------------------------------------------------------------
7,966,312
- -------------------------------------------------------------------------------
TENNESSEE -- 3.0%
2,190,000 AA Memphis, TN GO, 5.250% due 10/1/12............. 2,288,550
- -------------------------------------------------------------------------------
TEXAS -- 6.1%
2,000,000 AAA Dallas, TX GO, 5.000% due 2/15/12.............. 2,055,000
2,465,000 AAA Lake Travis, TX ISD, 5.250% due 2/15/10........ 2,646,795
- -------------------------------------------------------------------------------
4,701,795
- -------------------------------------------------------------------------------
UTAH -- 2.6%
2,000,000 AAA Utah State Board Regents Revenue, University
Utah-Auxillary & Campus, Series A, MBIA-
Insured, 5.250% due 4/1/15.................... 2,050,000
- -------------------------------------------------------------------------------
VERMONT -- 1.5%
1,000,000 AAA Burlington, VT Electric Revenue, MBIA-Insured,
6.250% due 7/1/12............................. 1,165,000
- -------------------------------------------------------------------------------
WASHINGTON -- 4.8%
1,440,000 AAA King County, WA Enumclaw School District #216,
FGIC-Insured, 6.250% due 12/1/09.............. 1,675,800
2,000,000 AAA Washington State Public Power Supply System,
(Nuclear Project #2), Series A, FSA-Insured,
5.000% due 7/1/10............................. 2,057,500
- -------------------------------------------------------------------------------
3,733,300
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$76,000,304**) $77,443,294
- -------------------------------------------------------------------------------
</TABLE>
(a) Variable rate obligation payable at par on demand at any time on no more
than seven days notice.
(b) Security segregated by Custodian for open purchase commitment.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 125 for definition of ratings and certain security descriptions.
Classification of Investments
[Pie Chart appears here]
Massachusetts 7.9%
Pennsylvania 10.3%
New York 22.9%
Florida 7.2%
Alabama 5.3%
Michigan 10.2%
Texas 6.1%
Washington 4.8%
California 6.7%
Other States 18.6%
SEE NOTES TO FINANCIAL STATEMENTS.
15
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
MORTGAGE BACKED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C> <C>
MORTGAGE-BACKED SECURITIES -- 92.5%
- ------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 40.5%
$ 69,420 FHLMC, 7.500% due 6/1/16........................ $ 71,959
1,318,226 FHLMC, 8.000% due 8/1/08 - 6/1/17............... 6,994,450
2,973,859 FHLMC, 8.500% due 12/1/06 - 7/1/17.............. 3,129,987
776,144 FHLMC, 9.000% due 12/1/04 - 7/1/11.............. 814,839
774,720 FHLMC, 9.500% due 10/1/08 - 8/1/16.............. 826,286
310,381 FHLMC, 10.000% due 4/1/09 - 10/1/09............. 337,732
140,097 FHLMC, 10.250% due 11/1/03 - 2/1/10............. 153,100
199,514 FHLMC, 11.000% due 4/1/00 - 10/1/00............. 211,298
71,029 FHLMC, 11.500% due 10/1/15...................... 79,842
4,950,002 FHLMC GOLD, 6.000% due 7/1/28 - 8/1/28.......... 4,886,672
14,460,351 FHLMC GOLD, 6.500% due 2/1/11 - 6/1/28.......... 14,578,816
7,021,882 FHLMC GOLD, 7.000% due 5/1/12 - 12/1/27......... 7,176,164
23,826,583 FHLMC GOLD, 7.500% due 12/1/12 - 12/1/27+....... 24,476,720
6,757,155 FHLMC GOLD, 8.000% due 5/1/06 - 12/1/26......... 1,376,715
842,974 FHLMC GOLD, 8.500% due 9/1/08 - 2/1/18.......... 879,855
110,574 FHLMC GOLD, 9.500% due 4/1/10................... 117,762
- ------------------------------------------------------------------------------
66,112,197
- ------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 27.7%
2,471,384 FNMA, 5.500% due 11/1/08........................ 2,423,489
9,338,196 FNMA, 6.000% due 9/1/08 - 12/1/23............... 9,285,591
17,124,166 FNMA, 6.500% due 3/1/09 - 5/1/28................ 17,219,825
2,975,473 FNMA, 7.000% due 1/1/24......................... 3,031,264
5,457,660 FNMA, 7.500% due 12/1/06 - 9/1/23............... 5,609,845
3,378,617 FNMA, 8.000% due 9/1/02 - 12/1/22............... 3,501,635
1,060,608 FNMA, 8.500% due 6/1/06 - 6/1/17................ 1,105,661
2,001,806 FNMA, 9.000% due 8/1/02 - 4/1/09................ 2,107,740
481,357 FNMA, 9.500% due 4/1/01 - 11/1/21............... 512,632
38,681 FNMA, 10.000% due 1/1/21........................ 41,921
198,833 FNMA, 10.750% due 10/1/12....................... 219,463
77,534 FNMA, 12.500% due 6/1/15........................ 89,067
- ------------------------------------------------------------------------------
45,148,133
- ------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 24.3%
19,344,790 GNMA I, 7.000% due 4/15/23 - 3/15/28............ 19,767,861
3,564,294 GNMA I, 7.500% due 8/15/27 - 9/15/27............ 3,674,538
3,965,663 GNMA I, 8.000% due 1/15/14 - 8/15/23............ 4,116,835
915,373 GNMA I, 8.500% due 5/15/17 - 7/15/27............ 966,864
173,756 GNMA I, 9.000% due 10/15/16..................... 185,702
335,984 GNMA I, 9.500% due 12/15/16 - 8/15/19........... 363,175
145,072 GNMA I, 11.000% due 7/15/10 - 9/15/10........... 162,889
6,876,906 GNMA II, 6.500% due 12/20/23 - 5/20/24.......... 6,898,363
1,008,032 GNMA II, 7.000% due 11/20/16.................... 1,025,673
1,517,056 GNMA II, 8.500% due 6/20/16 - 1/20/17........... 1,591,013
760,839 GNMA II, 9.000% due 4/20/17 - 11/20/21.......... 807,441
- ------------------------------------------------------------------------------
39,560,354
- ------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$148,553,267).................................. 150,820,684
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
MORTGAGE BACKED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C> <C>
U.S. TREASURY NOTES -- 1.3%
$2,000,000 U.S. Treasury Notes, 6.125% due 8/15/07 (Cost --
$2,073,905)..................................... $ 2,139,880
- --------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $150,627,172)..... 152,960,564
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 6.2%
8,200,000 Morgan Stanley & Co., 5.510% due 9/14/98;
Proceeds at maturity -- $8,240,162;
(Fully collateralized by Federal National
Mortgage Assoc., 7.000% due 5/1/13;
Market value -- $8,374,250)...................... 8,200,000
1,944,000 Goldman, Sachs & Co., 5.715% due 9/1/98; Proceeds
at maturity -- $1,944,309;
(Fully collateralized by U.S. Treasury Notes,
5.125% due 8/31/00;
Market value -- $1,983,734)...................... 1,944,000
- --------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost --
$10,144,000).................................... 10,144,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$160,771,172**)................................. $163,104,564
- --------------------------------------------------------------------------------
</TABLE>
+ A portion of this security is traded on a "to-be-announced" basis (See Note
10).
** Aggregate cost for Federal income tax purposes is substantially the same.
Classification of Investments
[Pie Chart appears here]
FNMA 27.7%
FHLMC 40.5%
GNMA 24.3%
Repurchase Agreements 6.2%
U.S. Treasury Notes 1.3%
SEE NOTES TO FINANCIAL STATEMENTS.
17
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCK -- 71.4%
- --------------------------------------------------------------------------------
AEROSPACE -- 3.7%
29,200 Boeing Co.............................................. $ 903,375
36,300 Raytheon Co., Class B Shares........................... 1,656,187
- --------------------------------------------------------------------------------
2,559,562
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 1.2%
24,700 York International Corp.+.............................. 855,237
- --------------------------------------------------------------------------------
CHEMICAL -- 3.2%
30,700 Praxair Inc............................................ 1,101,362
45,600 Sherwin-Williams Co.................................... 1,088,700
- --------------------------------------------------------------------------------
2,190,062
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 2.9%
15,000 Magna International Inc.+.............................. 899,062
45,700 Masco Corp.+........................................... 1,051,100
- --------------------------------------------------------------------------------
1,950,162
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 11.3%
38,200 American Greetings Corp., Class A Shares............... 1,399,075
39,500 American Home Products Corp.+.......................... 1,979,937
26,500 Fort James Corp........................................ 771,812
9,900 Loews Corp.+........................................... 835,313
35,800 Philip Morris Cos., Inc................................ 1,487,938
62,800 Wendy's International Inc.+............................ 1,259,925
- --------------------------------------------------------------------------------
7,734,000
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 0.9%
16,300 Starwood Hotels & Resorts.............................. 594,950
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 15.0%
16,200 BankAmerica Corp....................................... 1,037,813
38,600 First Union Corp....................................... 1,872,100
22,000 Fleet Financial Group, Inc. ........................... 1,442,375
22,400 H.F. Ahmanson & Co. ................................... 1,194,200
34,799 Household International Inc............................ 1,285,388
26,760 National City Corp. ................................... 1,572,150
9,000 Providian Financial Corp. ............................. 577,688
36,100 U.S. Bancorp........................................... 1,231,913
- --------------------------------------------------------------------------------
10,213,627
- --------------------------------------------------------------------------------
INSURANCE -- 3.2%
25,700 Aon Corp.+............................................. 1,607,856
16,300 Torchmark Corp. ....................................... 582,725
- --------------------------------------------------------------------------------
2,190,581
- --------------------------------------------------------------------------------
OIL & GAS -- 8.0%
15,600 Amoco Corp............................................. 706,875
15,600 Consolidated Natural Gas Co............................ 683,475
33,100 Elf Aquitaine Sponsored ADR+........................... 1,617,763
20,300 Kerr-McGee Corp........................................ 784,088
17,900 Schlumberger Ltd.+..................................... 784,244
33,500 USX-Marathon Group..................................... 871,000
- --------------------------------------------------------------------------------
5,447,445
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
PUBLISHING -- 2.0%
23,400 Gannett Co., Inc. .................................... $ 1,380,600
- -------------------------------------------------------------------------------
RETAIL -- 2.2%
13,500 J.C. Penney Co.+...................................... 669,094
27,900 Nordstrom Inc. ....................................... 835,256
- -------------------------------------------------------------------------------
1,504,350
- -------------------------------------------------------------------------------
TECHNOLOGY -- 5.8%
12,100 Hewlett-Packard Co. .................................. 587,606
18,150 International Business Machines Corp. ................ 2,044,144
14,900 Xerox Corp. .......................................... 1,308,406
- -------------------------------------------------------------------------------
3,940,156
- -------------------------------------------------------------------------------
TELEPHONE -- 6.1%
22,000 AT&T Corp.+........................................... 1,102,750
31,900 MCI Communications Corp. ............................. 1,595,000
37,900 SBC Communications, Inc. ............................. 1,440,200
- -------------------------------------------------------------------------------
4,137,950
- -------------------------------------------------------------------------------
TRANSPORTATION -- 3.6%
15,900 Burlington Northern Santa Fe Corp. ................... 1,479,694
41,000 Ryder Systems Inc. ................................... 966,062
- -------------------------------------------------------------------------------
2,445,756
- -------------------------------------------------------------------------------
UTILITIES -- 2.3%
14,600 Duke Energy Corp.+.................................... 910,675
23,300 Entergy Corp. ........................................ 671,331
- -------------------------------------------------------------------------------
1,582,006
- -------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $47,028,844).............. 48,726,444
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY NOTES -- 17.3%
$4,000,000 U.S. Treasury Notes, 6.625% due 4/30/02............... 4,209,280
3,300,000 U.S. Treasury Notes, 7.250% due 8/15/04............... 3,667,389
3,600,000 U.S. Treasury Notes, 6.500% due 5/15/05............... 3,889,152
- -------------------------------------------------------------------------------
TOTAL U.S. TREASURY NOTES (Cost -- $11,424,203)....... 11,765,821
- -------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 8.1%
- -------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.2%
188,269 FHLMC GOLD, 7.500% due 4/1/10......................... 193,857
283,792 FHLMC, Multiclass Mortgage PC, 7.000% due 8/15/06..... 285,719
350,000 FHLMC, Multiclass Mortgage PC, 7.500% due 7/15/22..... 368,361
- -------------------------------------------------------------------------------
847,937
- -------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 6.9%
127,634 GNMA I, 9.000% due 3/15/20............................ 136,409
142,268 GNMA I, 9.000% due 5/15/20............................ 152,050
415,486 GNMA I, 9.000% due 6/15/20............................ 444,051
451,158 GNMA I, 9.000% due 6/15/21............................ 482,175
133,607 GNMA I, 8.500% due 12/15/21........................... 141,123
171,903 GNMA I, 9.000% due 4/15/22............................ 183,722
373,364 GNMA I, 8.000% due 5/15/22............................ 387,597
441,237 GNMA I, 8.000% due 7/15/22............................ 458,058
218,010 GNMA I, 8.000% due 8/15/22............................ 226,321
495,637 GNMA I, 7.500% due 10/15/22........................... 510,968
256,418 GNMA I, 8.000% due 11/15/22........................... 266,194
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 6.9%
(CONTINUED)
$ 497,498 GNMA I, 7.000% due 6/15/23........................... $ 508,379
77,530 GNMA I, 9.000% due 6/15/25........................... 82,860
235,361 GNMA II, 9.000% due 5/20/16.......................... 249,777
250,353 GNMA II, 9.000% due 7/20/16.......................... 265,687
193,395 GNMA II, 9.000% due 3/20/20.......................... 205,241
- ------------------------------------------------------------------------------
4,700,612
- ------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$5,515,183)......................................... 5,548,549
- ------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
CORPORATE BONDS & NOTES -- 3.0%
- -------------------------------------------------------------------------------
BANKING -- 0.9%
NationsBank Corp., Sr. Notes, 5.375% due
600,000 Aa3* 4/15/00........................................ 599,250
- -------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.6%
400,000 A Texas Instruments, Inc., 6.875% due 7/15/00.... 410,500
- -------------------------------------------------------------------------------
FINANCIAL SERVICES -- 1.2%
Ford Motor Credit Co., Notes, 5.750% due
400,000 A1* 1/25/01........................................ 403,500
400,000 A Household Finance Co., 6.450% due 3/15/01...... 409,500
- -------------------------------------------------------------------------------
813,000
- -------------------------------------------------------------------------------
TECHNOLOGY -- 0.3%
200,000 A Lucent Technologies, 6.900% due 7/15/01........ 208,500
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$1,994,371)................................... 2,031,250
- -------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $65,962,601).... 68,072,064
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.2%
144,000 Goldman, Sachs & Co., 5.715% due 9/1/98;
Proceeds at maturity -- $144,023;
(Fully collateralized by U.S. Treasury Notes,
5.125% due 8/31/00;
Market value -- $146,943) (Cost -- $144,000)... 144,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$66,106,601**) ............................... $68,216,064
- -------------------------------------------------------------------------------
</TABLE>
+ All or a portion of this security is on loan (See Note 12).
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 125 for definition of ratings.
Classification of Investments
[Pie Chart appears here]
Consumer Products 11.3%
Oil & Gas 8.0%
Financial Services 16.2%
Technology 6.1%
Telephone 6.1%
Other Common Stocks & Corporate Bonds & Notes 26.7%
Repurchase Agreement 0.2%
U.S. Treasury Notes 17.3%
Mortgage-Backed Securities 8.1%
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.5%
- --------------------------------------------------------------------------------
BUSINESS EQUIPMENT & SERVICES -- 2.1%
53,600 Browning Ferris Industries, Inc........................ $ 1,742,000
118,500 Deluxe Corp............................................ 3,436,500
266,000 Dun & Bradstreet Corp.+................................ 6,251,000
145,000 Electronic Data Systems Co. ........................... 4,857,500
26,100 National Service Industries, Inc....................... 972,225
110,500 Office Depot Inc. *.................................... 2,817,750
49,200 Pitney Bowes, Inc.+.................................... 2,441,550
543,800 Republic Industries Inc. +*............................ 9,618,463
155,200 Viad Corp. ............................................ 3,220,400
- --------------------------------------------------------------------------------
35,357,388
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 3.9%
30,000 Aeroquip-Vickers Inc. ................................. 1,209,375
160,800 Caterpillar, Inc.+..................................... 6,783,750
36,800 Cooper Cameron Corp. *................................. 782,000
35,900 Cooper Industries, Inc................................. 1,527,994
59,700 Crane Co.+............................................. 2,402,925
155,500 Deere & Co.+........................................... 5,121,781
43,500 Federal-Mogul Corp.+................................... 2,321,813
205,200 Ingersoll Rand Co.+.................................... 8,156,700
74,600 Johnson Controls, Inc. ................................ 3,193,812
20,500 Lafarge Corp.+......................................... 585,531
130,300 LucasVarity PLC ADR+*.................................. 4,576,788
60,000 Martin Marietta Materials, Inc. ....................... 2,557,500
151,100 Navistar International Corp............................ 3,173,100
41,700 Northrop Grumman Corp. ................................ 2,642,738
95,000 PACCAR, Inc............................................ 3,895,000
78,200 Parker Hannifin Corp................................... 2,267,800
40,000 PPG Industries, Inc. .................................. 2,032,500
94,100 Timken Co. ............................................ 1,711,444
53,300 USG Corp............................................... 2,291,900
207,970 Waste Management Inc. ................................. 9,176,676
- --------------------------------------------------------------------------------
66,411,127
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 4.1%
257,594 Chrysler Corp.......................................... 11,495,132
49,100 Dana Corp. ............................................ 1,924,106
70,900 Eaton Corp.+........................................... 4,152,081
461,250 Ford Motor Co.......................................... 20,295,000
254,050 General Motors Corp.................................... 14,671,387
31,800 Goodyear Tire & Rubber Co. ............................ 1,558,200
27,900 ITT Industries, Inc.................................... 840,488
110,200 Lear Corp.............................................. 4,469,988
108,500 Philips Electronics N.V.+.............................. 6,503,219
94,200 Whirlpool Corp......................................... 4,674,675
- --------------------------------------------------------------------------------
70,584,276
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 4.6%
97,405 Archer-Daniels-Midland Co. ............................ 1,461,080
27,000 Bestfoods, Inc.+ ...................................... 1,355,063
61,000 Dean Foods Co.+ ....................................... 2,684,000
32,000 Dole Foods Inc. ....................................... 1,384,000
99,000 Eastman Kodak Co.+ .................................... 7,734,375
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 4.6% (CONTINUED)
20,000 Estee Lauder Cos., Class A Shares ..................... $ 1,177,500
97,300 Fort James Corp. ...................................... 2,833,863
56,900 Gallaher Group PLC ADR ................................ 1,337,150
71,600 General Mills Inc.+ ................................... 4,685,325
142,700 Harcourt General, Inc.+ ............................... 6,929,869
50,000 Hormel Foods Corp. .................................... 1,378,125
45,500 Interstate Bakeries Corp.+ ............................ 1,185,844
203,100 Kimberly-Clark Corp. .................................. 7,743,188
100,900 Liz Claiborne, Inc. ................................... 2,875,650
92,300 Loews Corp. ........................................... 7,787,813
59,200 Payless ShoeSource, Inc. .............................. 2,434,600
198,200 Phillip Morris Cos., Inc. ............................. 8,237,688
127,100 Quaker Oats Co.+ ...................................... 6,752,188
45,000 Sara Lee Corp. ........................................ 2,036,250
85,400 SUPERVALU, Inc. ....................................... 1,734,688
135,800 VF Corp. .............................................. 5,143,425
- --------------------------------------------------------------------------------
78,891,684
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 4.7%
144,800 ACNielson Corp. ....................................... 2,905,050
175,500 American Stores Co. ................................... 5,089,500
238,000 CBS Corp.* ............................................ 6,188,000
87,700 Cendant Corp. ......................................... 1,014,031
164,200 Circuit City Stores+................................... 5,069,675
37,000 Comcast Corp., Class A Shares ......................... 1,382,875
158,500 First Data Corp. ...................................... 3,278,969
50,000 Gannett Co. Inc. ...................................... 2,950,000
112,000 Harrah's Entertainment, Inc.* ......................... 1,617,000
201,650 Hasbro, Inc.+.......................................... 6,314,166
291,600 Host Marriott Corp.+................................... 4,082,400
77,000 Knight Ridder, Inc.+................................... 3,667,125
237,100 The Limited, Inc. ..................................... 4,949,463
141,400 McDonald's Corp.+...................................... 7,927,238
40,000 The McGraw Hill Cos., Inc. ............................ 3,050,000
157,200 The New York Times Co., Class A Shares ................ 4,558,800
27,800 Promus Hotel Corp.* ................................... 854,850
72,300 Time Warner, Inc.+..................................... 5,811,113
219,100 Tricon Global Restaurants, Inc.* ...................... 8,120,394
15,300 Viacom, Inc., Class B Shares* ......................... 759,263
300 Washington Post, Class B Shares+....................... 153,750
- --------------------------------------------------------------------------------
79,743,662
- --------------------------------------------------------------------------------
ENERGY -- 10.3%
155,200 Amoco Corp............................................. 7,032,500
52,300 Ashland Inc............................................ 2,382,919
95,100 Atlantic Richfield Co.................................. 5,515,800
53,800 BJ Services Co.* ...................................... 679,225
239,300 Canadian Pacific Ltd.+................................. 4,531,744
263,400 Chevron Corp.+......................................... 19,508,063
71,900 Dresser Industries Inc................................. 1,837,944
75,700 Elf Aquitaine SA Sponsored ADR+........................ 3,699,838
947,000 Exxon Corp............................................. 61,969,313
381,600 Mobil Oil Corp. ....................................... 26,378,100
21,350 Noble Drilling Corp.+*................................. 234,850
84,000 Oryx Energy Co......................................... 1,044,750
195,700 Phillips Petroleum Co. ................................ 7,987,006
28,200 Rowan Cos., Inc........................................ 260,850
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENERGY -- 10.3% (CONTINUED)
106,700 Sun Co., Inc.+......................................... $ 3,527,769
72,000 Tenneco Inc............................................ 2,281,500
137,000 Texaco Inc.+........................................... 7,612,063
42,300 Tidewater Inc.+........................................ 888,300
212,000 Tosco Corp............................................. 4,664,000
194,100 Unocal Corp............................................ 6,077,756
138,400 USX Marathon Group, Inc. .............................. 3,598,400
170,000 YPF Sociedad Anonima Sponsored ADR..................... 3,761,250
- --------------------------------------------------------------------------------
175,473,940
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 27.0%
160,200 A.G. Edwards Inc. ..................................... 4,345,425
5,628 Alleghany Corp. ....................................... 1,170,624
95,700 Allmerica Financial Corp............................... 5,706,113
522,110 Allstate Corp.......................................... 19,579,125
89,600 Ambac Financial Group, Inc.+........................... 4,228,000
23,000 American Express Co. .................................. 1,794,000
142,800 American General Corp. ................................ 9,174,900
240,600 American International Group Inc.+..................... 18,601,388
1,200 American National Insurance Co. ....................... 108,300
97,881 Associates First Capital Co., Class A Shares+.......... 5,787,214
23,500 Astoria Financial Corp.+............................... 846,000
250,810 Banc One Corp.......................................... 9,530,780
136,560 Bank of Boston Corp. .................................. 4,873,485
306,800 Bank of New York Co., Inc. ............................ 7,420,725
361,300 BankAmerica Corp. ..................................... 23,145,781
148,000 Bankers Trust New York Corp. .......................... 10,998,250
149,191 Bear Stearns Cos., Inc. ............................... 5,510,743
572,308 Chase Manhattan Corp................................... 30,332,324
212,650 CIGNA Corp............................................. 12,373,572
187,700 Citicorp, Inc.......................................... 20,295,063
65,100 Comerica, Inc.......................................... 3,401,475
31,500 Commerce Bancshares, Inc............................... 1,260,000
51,050 Compass Bancshares, Inc................................ 1,684,650
167,300 Conseco, Inc. ......................................... 4,621,663
85,300 Countrywide Credit Industries, Inc..................... 3,193,419
50,000 Dime Bancorp Inc....................................... 950,000
112,400 Donaldson, Lufkin & Jenrette Securities Corp.+......... 3,934,000
194,700 The Equitable Cos. Inc................................. 11,134,406
234,850 Everest Reinsurance Holdings, Inc.* ................... 8,219,750
52,200 Federal Home Loan Mortgage Corp. ...................... 2,061,900
171,000 Federal National Mortgage Association.................. 9,714,938
15,000 The Finova Group, Inc.................................. 669,375
72,695 First Chicago NBD Corp................................. 4,607,046
34,350 First SEC Corp. ....................................... 532,425
416,048 First Union Corp. ..................................... 20,178,328
135,626 Fleet Financial Group, Inc. ........................... 8,891,980
42,800 General Resources Corp. ............................... 8,881,000
91,500 Golden State Bancorp Inc.* ............................ 1,452,563
32,700 Golden West Financial Corp. ........................... 2,489,288
140,000 Greenpoint Financial Corp.............................. 3,526,250
106,500 H.F. Ahmanson & Co..................................... 5,677,781
36,500 J.P. Morgan & Co., Inc. ............................... 3,394,500
90,400 KeyCorp................................................ 2,305,200
90,300 Lehman Brothers Holdings, Inc.......................... 3,555,563
32,850 Liberty Financial Cos., Inc............................ 969,075
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
FINANCIAL SERVICES -- 27.0% (CONTINUED)
34,000 Lincoln National Corp.+............................... $ 2,924,000
56,400 Marsh & McLennan Cos., Inc. .......................... 2,735,400
63,800 MBIA Inc.............................................. 3,580,775
52,000 Mellon Bank Corp...................................... 2,704,000
48,200 Mercury General Corp.................................. 1,762,313
149,800 Merrill Lynch & Co., Inc.............................. 9,886,800
247,480 Morgan Stanley Dean Witter............................ 14,369,308
170,540 National City Corp. .................................. 10,019,225
450,756 NationsBank Corp.+*................................... 25,693,092
48,300 North Fork Bancorporation, Inc........................ 917,700
50,000 Northern Trust Corp................................... 2,787,500
259,700 Norwest Corp.+........................................ 7,726,075
100,200 Ohio Casualty Corp.+.................................. 3,757,500
165,150 Old Republic International Corp. ..................... 3,684,909
150,900 PaineWebber Group, Inc. .............................. 5,243,775
99,000 PNC Bank Corp. ....................................... 4,257,000
149,200 Popular, Inc. ........................................ 4,177,600
63,000 Raymond James Financial Corp. ........................ 1,082,813
158,600 Republic New York Corp. .............................. 6,542,250
89,850 Southtrust Corp. ..................................... 2,908,894
32,200 The St. Paul Cos., Inc. .............................. 984,113
132,100 State Street Corp.+................................... 6,877,456
44,800 Summit Bancorp ....................................... 1,528,800
39,400 Suntrust Banks, Inc.+................................. 2,206,400
113,400 Torchmark Corp.+ ..................................... 4,054,050
13,000 Transamerica Corp. ................................... 1,333,313
244,200 U.S. Bancorp+......................................... 8,333,325
25,100 UnionBanCal Corp. .................................... 1,879,363
54,400 Wachovia Corp.+....................................... 3,988,200
- -------------------------------------------------------------------------------
461,074,336
- -------------------------------------------------------------------------------
HEALTH CARE -- 3.4%
98,500 Aetna Inc. ........................................... 5,928,469
62,000 Allegiance Corp. ..................................... 1,751,500
60,300 Amgen, Inc.* ......................................... 3,670,763
35,000 Bausch & Lomb, Inc.+.................................. 1,480,938
35,000 Bergen Brunswig Corp. ................................ 1,194,375
77,200 Beverly Enterprises, Inc. ............................ 607,950
173,200 Bristol-Myers Squibb & Co. ........................... 16,951,950
149,000 Columbia/HCA Healthcare Corp.+........................ 3,361,813
101,800 Foundation Health Systems, Inc., Class A Shares+*..... 1,138,888
35,000 ICN Pharmaceuticals, Inc. ............................ 538,125
116,700 Mallinckrodt, Inc. ................................... 2,669,513
53,700 McKesson Corp.+....................................... 4,027,500
114,000 Pharmacia & Upjohn, Inc. ............................. 4,738,125
286,365 Tenet Healthcare Corp.* .............................. 7,391,796
51,300 Wellpoint Health Networks, Inc.+...................... 2,738,138
- -------------------------------------------------------------------------------
58,189,843
- -------------------------------------------------------------------------------
MULTI-INDUSTRY -- 0.5%
79,400 Allied Signal Inc.+................................... 2,724,413
23,000 FMC Corp. ............................................ 1,190,250
22,140 R.H. Donnelley Corp. ................................. 291,971
76,900 Textron, Inc. ........................................ 4,825,475
- -------------------------------------------------------------------------------
9,032,109
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
RAW MATERIALS -- 3.2%
84,000 Air Products & Chemicals, Inc. ........................ $ 2,567,250
79,900 Aluminum Co. of America................................ 4,784,013
320,300 Bethlehem Steel Corp.+................................. 2,302,156
161,000 British Steel PLC ADR+................................. 2,898,000
176,700 Broken Hill Properties Co., Ltd. ...................... 2,429,625
28,000 Cabot Corp. ........................................... 609,000
60,250 Dow Chemical Corp.+ ................................... 4,699,500
190,400 E.I. du Pont de Nemours & Co.+......................... 10,983,700
113,100 IMC Global, Inc.+...................................... 2,078,213
109,000 Lyondell Petrochemical Co. ............................ 2,350,313
60,700 Millenium Chemicals, Inc. ............................. 1,312,638
88,600 Reynolds Metals Co. ................................... 4,247,263
18,900 Rohm & Haas Co.+....................................... 1,631,306
78,700 Union Carbide Corp.+................................... 3,162,756
100,000 USX-U.S. Steel Group, Inc.+............................ 2,093,750
52,600 Vulcan Materials Co.+.................................. 5,864,900
- --------------------------------------------------------------------------------
54,014,383
- --------------------------------------------------------------------------------
RETAIL -- 3.7%
144,700 Albertsons, Inc.+...................................... 7,316,394
100,700 Costco Cos., Inc. ..................................... 4,739,194
240,000 Dayton Hudson Corp. ................................... 8,640,000
296,800 Federated Department Stores, Inc.+*.................... 12,929,350
37,400 Footstar, Inc.* ....................................... 1,089,275
105,200 J.C. Penney Inc.+*..................................... 5,213,975
163,000 K Mart Corp.+.......................................... 2,078,250
35,500 Kroger Co. ............................................ 1,597,500
50,000 Nordstrom, Inc. ....................................... 1,496,875
74,200 Tandy Corp. ........................................... 4,048,538
178,900 Toys "R' Us, Inc.* .................................... 3,320,831
383,300 Venator Group, Inc. ................................... 3,473,656
113,600 Wal-Mart Stores, Inc.+................................. 6,674,000
- --------------------------------------------------------------------------------
62,617,838
- --------------------------------------------------------------------------------
SHELTER -- 1.8%
171,600 Centex Corp.* ......................................... 6,070,350
64,000 Equity Office Properties Trust ........................ 1,452,000
60,000 Fleetwood Enterprises, Inc.+........................... 2,006,250
39,900 Georgia Pacific Corp. ................................. 1,710,713
183,800 HRPT Properties Trust.................................. 2,871,875
51,200 International Paper Co.+............................... 1,894,400
260,000 Masco Corp.+........................................... 5,980,000
107,182 Meditrust Corp. ....................................... 1,661,321
89,500 Owens-Illinois, Inc.* ................................. 2,791,281
78,000 Starwood Hotels Resort ................................ 2,847,000
160,000 U.S. Industries, Inc. ................................. 2,220,000
- --------------------------------------------------------------------------------
31,505,190
- --------------------------------------------------------------------------------
TECHNOLOGY -- 7.2%
152,000 Apple Computer, Inc.+.................................. 4,740,500
55,000 Arrow Electronics, Inc. ............................... 721,875
472,075 Compaq Computer Corp. ................................. 13,188,595
25,600 Cordant Technologies, Inc. ............................ 912,000
156,400 General Dynamics Corp. ................................ 7,438,775
56,000 Hewlett-Packard Co. ................................... 2,719,500
356,500 International Business Machines Corp. ................. 40,150,945
139,900 Lam Research Corp.+*................................... 1,530,156
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 7.2% (CONTINUED)
45,050 Litton Industries, Inc. ............................... $ 2,162,400
112,600 Lockheed Martin Corp.+................................. 9,845,463
92,000 NCR Corp.*............................................. 2,432,250
107,622 Raytheon Co., Class A Shares........................... 4,822,811
98,800 Raytheon Co., Class B Shares........................... 4,507,750
183,200 Storage Technology Corp., Class A Shares+.............. 3,984,600
140,200 Sun Microsystems, Inc.* ............................... 5,555,425
239,700 Unisys Corp. .......................................... 4,299,619
159,700 United Technologies Co. ............................... 11,588,231
26,900 Xerox Corp. ........................................... 2,362,156
- --------------------------------------------------------------------------------
122,963,051
- --------------------------------------------------------------------------------
TRANSPORTATION -- 2.4%
155,400 AMR Corp. ............................................. 8,469,300
60,000 CNF Transportation Inc. ............................... 1,875,000
47,350 Delta Airlines, Inc. .................................. 4,829,700
126,000 Kansas City Southern Industries, Inc. ................. 4,142,250
154,350 Southwest Airlines Co. ................................ 2,749,359
128,600 U.S. Airways Group, Inc.+.............................. 7,490,950
93,500 UAL Corp.+............................................. 5,639,219
167,300 Union Pacific Corp.+................................... 6,660,631
- --------------------------------------------------------------------------------
41,856,409
- --------------------------------------------------------------------------------
UTILITIES -- 19.6%
42,200 ALLTEL Corp.+.......................................... 1,904,275
52,900 American Electric Power Co., Inc.+..................... 2,393,725
468,800 Ameritech Corp. ....................................... 22,092,200
639,100 AT&T Corp.+............................................ 32,034,888
86,300 Baltimore Gas & Electric Co.+.......................... 2,659,119
112,500 BEC Energy Co. ........................................ 4,457,813
722,458 Bell Atlantic Corp.+................................... 31,878,459
437,200 Bellsouth Corp. ....................................... 29,975,525
81,000 CalEnergy Co., Inc.+*.................................. 2,060,438
63,600 Century Telephone Enterprises, Inc. ................... 2,885,850
176,250 CMS Energy Corp. ...................................... 7,457,578
149,200 Coastal Corp. ......................................... 3,879,200
75,000 Comsat Corp. .......................................... 1,635,938
167,200 Consolidated Edison Co. of New York, Inc. ............. 7,910,650
48,500 Dominion Resources, Inc. .............................. 2,021,844
109,950 DQE, Inc. ............................................. 3,923,841
137,000 DTE Energy Co. ........................................ 5,771,125
77,400 Duke Energy Corp.+..................................... 4,827,825
390,600 Edison International+.................................. 11,107,688
105,700 Energy East Corp....................................... 4,756,500
67,700 Enron Corp............................................. 2,864,556
247,850 Entergy Corp.+......................................... 7,141,178
125,857 FirstEnergy Corp....................................... 3,634,121
76,300 FPL Group, Inc. ....................................... 5,078,719
129,800 GPU, Inc............................................... 4,875,613
357,500 GTE Corp. ............................................. 17,875,000
100,000 Houston Industries Inc................................. 2,881,250
105,810 LG&E Energy Corp.+..................................... 2,711,381
61,424 Marketspan Corp.+...................................... 1,681,482
110,000 MCN Energy Group, Inc.................................. 1,931,875
110,100 MidAmerican Energy Holdings Co......................... 2,731,856
41,500 New Century Energies, Inc.............................. 1,914,188
22,700 New England Electric System............................ 916,513
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES -- 19.6% (CONTINUED)
233,400 Pinnacle West Capital Corp........................ $ 10,079,962
159,800 Public Services Enterprise Group, Inc.+........... 5,852,675
709,036 SBC Communications, Inc........................... 26,943,368
154,781 Sempra Energy+.................................... 3,937,242
345,000 Southern Co....................................... 9,703,125
107,100 Texas Utilities Co. .............................. 4,551,750
260,900 U.S. West Communications Group.................... 13,566,800
119,600 Utilicorp United Inc.............................. 4,118,725
28,800 Washington Water Power Co. ....................... 487,800
39,000 Western Resources, Inc. .......................... 1,572,188
275,000 Worldcom Inc.+*................................... 11,257,813
- --------------------------------------------------------------------------------
333,943,661
- --------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $1,527,180,252)....... 1,681,658,897
- --------------------------------------------------------------------------------
PREFERRED STOCK -- 0.4%
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 0.4%
338,000 News Corp Ltd., Sponsored ADR+.................... 7,098,000
- --------------------------------------------------------------------------------
HEALTH CARE -- 0.0%
6,350 Fresenius Medical Care AG, Class D Shares*........ 318
- --------------------------------------------------------------------------------
TOTAL PREFERRED STOCK (Cost -- $5,972,739)........ 7,098,318
- --------------------------------------------------------------------------------
WARRANTS -- 0.0%
55,200 Golden State Bancorp, Expire 1/1/01 (Cost --
$261,779)....................................... 248,400
- --------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $1,533,414,770).... 1,689,005,615
- --------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 1.1%
$18,443,000 Goldman, Sachs & Co., 5.715% due 9/1/98; Proceeds
at maturity -- $18,445,928; (Fully collateralized
by U.S. Treasury Notes, 5.125% due 8/31/00; Market
value -- $18,819,958) (Cost -- $18,443,000)....... 18,443,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,551,857,770**)............................... $1,707,448,615
- --------------------------------------------------------------------------------
</TABLE>
+ All or a portion of this security is on loan (See Note 12).
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
Classification of Investments
[Pie Chart appears here]
Consumer Durables 4.1%
Capital Goods 3.9%
Energy 10.3%
Financial Services 27.0%
Retail 3.7%
Consumer Services 4.7%
Consumer Non-Durables 4.6%
Technology 7.2%
Utilities 19.6%
Other Common and Preferred Stock 13.8%
Repurchase Agreement 1.1%
SEE NOTES TO FINANCIAL STATEMENTS.
27
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.2%
- --------------------------------------------------------------------------------
ADVERTISING -- 0.4%
43,100 Interpublic Group of Cos., Inc......................... $ 2,456,701
6,727 Lamar Advertising Co. ................................. 218,628
55,900 Omnicom Group.......................................... 2,662,238
25,172 Outdoor Systems, Inc. ................................. 585,250
11,220 Snyder Communications Inc. ............................ 338,003
8,451 True North Communications Inc.......................... 192,261
2,722 Young & Rubicam Inc.................................... 83,192
- --------------------------------------------------------------------------------
6,536,273
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 3.6%
23,298 Allied Waste Industries, Inc........................... 442,662
13,000 Apollo Group, Inc., Class A Shares *+.................. 394,875
6,813 Bemis, Inc............................................. 244,416
1,610 Carlisle Cos., Inc..................................... 60,978
28,600 Corrections Corp. of America*+......................... 437,937
9,584 Dekalb Genetics Corp................................... 830,214
102,710 E.I. du Pont de Nemours & Co........................... 5,925,083
14,907 Global Industries Ltd. ................................ 139,753
1,800 Harsco Corp............................................ 66,037
13,838 Hercules Inc........................................... 353,733
30,300 Herman Miller, Inc. ................................... 621,150
4,852 Hertz Corp., Class A Shares............................ 183,163
13,469 Honeywell, Inc.+....................................... 841,812
10,088 Howmet International Inc. ............................. 100,880
165,699 Kimberly-Clark Corp.................................... 6,317,274
42,600 Maxim Integrated Products, Inc.*+...................... 1,171,500
15,547 Meritor Automotive Inc. ............................... 275,959
197,870 Monsanto Co............................................ 10,821,015
10,838 Praxair, Inc........................................... 388,813
76,718 Servicemaster Co....................................... 1,606,273
1,595 Southdown, Inc. ....................................... 67,388
327,700 Tyco International Ltd.+............................... 18,187,350
20,659 U.S. Filter Corp....................................... 371,862
15,012 Varco International, Inc.*............................. 106,961
122,516 Waste Management Inc. ................................. 5,406,019
709 Worthington Industries, Inc. .......................... 9,217
107,204 Xerox Corp............................................. 9,413,851
- --------------------------------------------------------------------------------
64,786,175
- --------------------------------------------------------------------------------
BROADCASTING -- 1.3%
3,196 Capstar Broadcasting Corp., Class A Shares............. 54,132
112,717 CBS Corp. ............................................. 2,930,642
187,327 Chancellor Media Corp.+................................ 6,685,232
173,792 Clear Channel Communication............................ 7,820,640
7,859 Cox Communications, Inc.*+............................. 330,078
12,907 Heftel Broadcasting Corp., Class A Shares.............. 390,436
103,936 Liberty Media Group, Class A Shares*................... 3,397,408
13,400 Meredith Corp. ........................................ 449,738
2,589 Sinclair Broadcast Group Inc., Class A Shares.......... 41,585
3,622 United Video Satellite Group........................... 55,235
7,000 Univision Communications Corp., Class A Shares......... 186,375
- --------------------------------------------------------------------------------
22,341,501
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 6.8%
108,992 Allied Signal Inc...................................... 3,739,788
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 6.8% (CONTINUED)
27,700 American Power Conversion Corp.* .................... $ 747,900
23,200 American Standard Co. ............................... 907,700
240,671 Boeing Co............................................ 7,445,759
5,900 Cabot Corp........................................... 128,325
87,886 Comcast Corp., Class A Shares........................ 3,284,739
1,548 Cordant Technologies Inc............................. 55,148
3,457 Crane Co............................................. 139,144
24,200 Crompton & Knowles Corp.............................. 353,925
14,800 Cytec Industries Inc.*............................... 338,550
8,989 Delta & Pine Land Co................................. 385,965
11,000 Dover Corp........................................... 299,750
13,188 Emerson Electric Co. ................................ 751,716
51,500 Equifax Inc.+........................................ 1,834,687
15,664 Federal-Mogul Corp.+................................. 836,066
1,067,814 General Electric Co.++............................... 85,425,120
11,950 General Motors, Class H Shares....................... 431,694
12,140 Hillenbrand Industries, Inc. ........................ 650,249
65,585 Illinois Tool Works, Inc. ........................... 3,176,773
882 Johns Manville Corp.................................. 12,072
9,400 Lancaster Colony Corp.+.............................. 271,425
5,287 Lear Corp.* ......................................... 214,454
42,219 Leggett & Platt, Inc................................. 847,019
65,500 Minnesota Mining & Manufacturing Co.+................ 4,486,750
7,673 National-Oilwell Inc................................. 59,466
4,358 Nucor Corp........................................... 156,615
6,163 Orbital Sciences Corp................................ 115,556
10,316 Owen-Illinois Co.*................................... 321,730
9,456 Pall Corp............................................ 193,848
1,752 Pentair, Inc......................................... 48,837
13,628 Progressive Corp.+................................... 1,327,878
14,097 Raychem Corp. ....................................... 408,813
11,982 Safeskin Corp. ...................................... 404,393
22,400 Steris Corp.......................................... 534,800
1,400 Tektronix, Inc....................................... 21,262
3,400 Teleflex Inc......................................... 107,100
4,448 Witco Corp. ......................................... 93,408
- --------------------------------------------------------------------------------
120,558,424
- --------------------------------------------------------------------------------
COMPUTER SERVICES -- 7.6%
11,799 Adobe Systems Inc.+.................................. 309,723
4,220 Affiliated Computer Services, Class A Shares+........ 137,941
179,200 Alcatel Alsthom+..................................... 5,409,600
30,800 Altera Corp.......................................... 897,050
187,300 America Online, Inc.+*............................... 15,346,894
14,500 Autodesk Inc. ....................................... 338,937
100,400 Automatic Data Processing Inc........................ 6,400,500
68,600 BMC Software Inc.*+ ................................. 2,902,637
72,800 Cadence Design Systems, Inc.* ....................... 1,537,900
23,200 Ceridian Corp........................................ 1,125,200
7,921 Ciber, Inc........................................... 199,015
8,365 Comdisco, Inc. ...................................... 104,039
12,487 Comverse Technology, Inc. ........................... 480,749
4,800 DST Systems, Inc.*................................... 271,200
19,400 Electronic Arts Inc.*................................ 739,625
14,352 Electronic Data Systems Corp. ....................... 480,792
162,886 EMC Corp.*+.......................................... 7,360,411
25,850 Fiserv Inc.*+ ....................................... 1,008,150
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
COMPUTER SERVICES -- 7.6% (CONTINUED)
26,700 Fore Systems, Inc.* .................................. $ 460,575
15,400 Gartner Group Inc., Class A Shares+................... 356,125
21,800 Gateway 2000 Inc.*+................................... 1,031,412
170,354 Hewlett-Packard Co.................................... 8,272,816
33,175 IMS Health Inc........................................ 1,824,625
14,000 Ingram Micro, Inc., Class A Shares*................... 630,000
556,178 Intel Corp............................................ 39,592,921
38,203 International Business Machines Corp.................. 4,302,612
12,700 Intuit Software Inc.+................................. 434,181
9,967 J.D. Edwards & Co.+................................... 403,663
20,387 Keane, Inc.*+......................................... 856,254
11,370 Learning Co.+......................................... 201,106
20,000 Lexmark International Group, Inc., Class A Shares*.... 1,211,250
3,353 LHS Group, Inc.+...................................... 141,664
34,025 Networks Associates Inc.*............................. 1,097,306
45,300 Northern Telecom Ltd. ................................ 2,163,075
90,100 Parametric Technology Corp.*.......................... 923,525
52,300 PeopleSoft, Inc.*+.................................... 1,470,937
1,935 Pixar Inc.+........................................... 55,752
17,624 Platinum Technology Inc.+............................. 330,450
7,192 Policy Management Systems Corp.*...................... 300,266
37,228 Quantum Corp.*........................................ 425,795
18,491 Reynolds & Reynolds Co., Class A Shares............... 233,449
4,090 Sabre Group Holdings Inc.............................. 130,880
192,800 Sap AG ADR+........................................... 8,073,500
14,246 Siebel Systems Inc.................................... 267,112
31,000 Sterling Commerce, Inc.*.............................. 1,023,000
9,500 Sterling Software, Inc.*.............................. 195,343
126,529 Sun Microsystems Inc.................................. 5,013,711
228,700 SunGard Data Systems Inc.*+........................... 7,246,931
19,800 Synopsys, Inc.+....................................... 517,275
74,642 3Com Corp.*........................................... 1,768,082
12,250 Total System Services Inc.+........................... 197,531
19,534 Western Digital Corp.*+............................... 161,155
- -------------------------------------------------------------------------------
136,364,642
- -------------------------------------------------------------------------------
CONSUMER DURABLES -- 0.3%
14,701 Clayton Homes Inc..................................... 226,946
5,169 Ethan Allen Interiors, Inc. .......................... 167,993
18,000 HON Industries, Inc. ................................. 387,000
58,220 Masco Corp.+.......................................... 1,339,060
19,415 Maytag Corp........................................... 837,272
2,268 Mohawk Industries, Inc................................ 60,244
21,693 Nike Inc., Class B Shares............................. 752,475
22,047 Pier 1 Imports, Inc. ................................. 219,092
11,000 Tupperware Corp. ..................................... 207,625
8,500 USG Corp.............................................. 365,500
- -------------------------------------------------------------------------------
4,563,207
- -------------------------------------------------------------------------------
CONSUMER NON-DURABLES-- 0.0%
25,875 Flowers Industries Inc................................ 460,898
5,269 U.S. Foodservice*..................................... 195,282
- -------------------------------------------------------------------------------
656,180
- -------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 12.3%
19,177 Anheuser-Busch Co., Inc. ............................. 884,539
6,448 The B.F. Goodrich Co.................................. 174,499
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 12.3% (CONTINUED)
1,416 Bausch & Lomb Inc.+.................................... $ 59,915
69,752 Bestfoods.............................................. 3,500,678
5,314 BJ's Wholesale Club Inc................................ 179,348
3,028 Black & Decker Corp.................................... 126,041
10,550 Blyth Industries Inc.*+................................ 241,990
2,900 Brown-Forman Corp., Class B Shares..................... 174,000
12,756 Callaway Golf Co.+..................................... 126,762
74,696 Campbell Soup Co....................................... 3,762,811
22,600 Clorox................................................. 2,179,487
748,650 Coca-Cola Co.+......................................... 48,755,831
71,700 Coca-Cola Enterprises Inc.+............................ 1,702,875
196,843 Colgate Palmolive Co. ................................. 14,197,301
104,763 ConAgra, Inc. ......................................... 2,592,884
78,200 Corning Inc............................................ 1,925,675
3,664 Crown Cork & Seal Co., Inc............................. 119,996
21,800 Danaher Corp.+......................................... 790,250
1,908 Dean Foods Co.......................................... 83,952
35,400 Dial Corp.............................................. 690,300
11,139 Diebold, Inc........................................... 243,666
6,500 Dole Food Co., Inc..................................... 281,125
6,807 Eastman Kodak Co. ..................................... 531,796
11,400 Estee Lauder Cos., Class A Shares...................... 671,175
70,024 Fort James Corp........................................ 2,039,449
6,300 Fred Meyer, Inc.+*..................................... 247,668
14,623 Fruit of The Loom Inc., Class A Shares*+............... 328,104
10,987 Furniture Brands International, Inc.................... 245,834
28,643 General Mills Inc.+.................................... 1,874,326
445,810 Gillette Co............................................ 18,333,936
19,300 Hershey Foods Corp.+................................... 1,351,000
48,038 HJ Heinz & Co.......................................... 2,561,025
6,196 International Flavors & Fragrances, Inc. .............. 240,095
7,120 International Home Foods............................... 119,260
10,467 Interstate Bakeries Corp.+............................. 272,796
5,600 Jefferson Smurfit Corp.+............................... 63,000
6,100 Keebler Foods Co....................................... 157,456
40,477 Kellogg Co.+........................................... 1,234,548
7,550 Liz Claiborne, Inc. ................................... 215,175
96,543 Mattel, Inc.+.......................................... 3,125,579
5,454 McCormick & Co. Inc.................................... 158,506
40,021 Newell Co.............................................. 1,911,002
9,040 Nu Skin Enterprises, Inc............................... 93,790
483,529 PepsiCo, Inc........................................... 13,387,709
795,231 Phillip Morris Cos., Inc. ............................. 33,051,788
77,447 Pioneer Hi-Bred International, Inc. ................... 2,613,836
439,788 Procter & Gamble Corp.................................. 33,643,782
28,193 Quaker Oats Co. ....................................... 1,497,753
80,592 Ralston-Purina Group................................... 2,120,577
2,800 Revlon Inc., Class A Shares*........................... 100,975
23,254 Rubbermaid, Inc.*...................................... 591,523
151,638 Sara Lee Corp.......................................... 6,861,619
26,324 Sealed Air Corp.+...................................... 947,664
7,000 Shaw Industries Inc. .................................. 105,875
3,631 Sonoco Products Co. ................................... 93,044
14,715 Stanley Works.......................................... 579,403
29,900 Starbucks Corp.+....................................... 943,718
9,321 Stone Container Corp. ................................. 97,288
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 12.3% (CONTINUED)
7,567 Suiza Foods Corp.*..................................... $ 366,054
24,700 Sunbeam Corp.+......................................... 185,250
5,974 Tootsie Roll Industries Inc. .......................... 201,622
3,900 Tyson Foods Inc., Class A Shares....................... 63,862
16,700 UNIFI, Inc. ........................................... 371,575
25,755 UST, Inc. ............................................. 672,849
12,700 Valspar Corp. ......................................... 422,275
12,786 Warnaco Group Inc., Class A Shares..................... 348,419
13,300 Westpoint Stevens Inc.................................. 394,013
10,800 Whitman Corp. ......................................... 167,400
25,460 Wm. Wrigley Jr. Co. ................................... 1,973,150
- --------------------------------------------------------------------------------
220,372,468
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 1.2%
31,200 AccuStaff, Inc.+*...................................... 390,000
10,443 At Home Corp.+......................................... 297,625
276,075 Cendant Corp.*......................................... 3,192,117
39,200 Ecolab, Inc.+.......................................... 1,090,250
20,924 Galileo International Inc.............................. 683,953
502 Hannaford Brothers Co.................................. 20,864
2,204 Kelly Services Inc., Class A Shares.................... 56,478
25,300 Manpower Inc. ......................................... 515,488
78,504 Pitney-Bowes Inc....................................... 3,895,761
121,200 Robert Half International, Inc.*....................... 5,817,600
72,024 Service Corp. ......................................... 2,439,813
20,600 Stewart Enterprises, Inc., Class A Shares+............. 404,275
115,621 Sysco Corp............................................. 2,334,099
26,434 Viad Corp. ............................................ 548,506
- --------------------------------------------------------------------------------
21,686,829
- --------------------------------------------------------------------------------
ELECTRONICS -- 0.4%
24,622 Adaptec Inc.+.......................................... 283,153
62,488 AES Corp.*............................................. 1,702,798
51,776 Analog Devices Inc.*................................... 728,100
837 Arrow Electronics, Inc.*............................... 10,986
21,866 Atmel Corp.*........................................... 131,879
900 Avnet, Inc.*........................................... 42,525
774 AVX Corp. ............................................. 11,513
1,070 Broadcom Corp.......................................... 54,838
14,523 KLA-Tencor Corp.*...................................... 308,614
25,500 Linear Technology Corp.+............................... 1,198,500
9,697 Molex Inc.+............................................ 235,152
11,298 Sanmina Corp. ......................................... 348,826
36,400 Solectron Corp.+....................................... 1,503,775
18,239 Teradyne, Inc.*........................................ 316,903
717 Thomas & Betts Corp. .................................. 24,423
11,700 UCAR International Inc................................. 212,063
3,890 Varian Associates Inc. ................................ 132,503
23,400 Vitesse Semiconductors Corp.*.......................... 634,725
- --------------------------------------------------------------------------------
7,881,276
- --------------------------------------------------------------------------------
ENERGY -- 0.7%
29,432 Anadarko Petroleum Corp. .............................. 846,170
50,762 Baker Hughes Inc....................................... 926,407
14,500 BJ Services Co.*....................................... 183,063
1,590 Calenergy Co. Inc.*.................................... 40,446
9,200 Camco International Corp.+............................. 462,300
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
32
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SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENERGY -- 0.7% (CONTINUED)
22,300 Diamond Offshore Drilling+............................. $ 465,513
22,500 Dresser Industries, Inc................................ 575,156
3,591 Dynegy, Inc............................................ 34,339
5,995 Enron Corp............................................. 253,663
5,083 Enron Oil & Gas Co..................................... 66,079
42,275 Ensco International Inc.*.............................. 443,888
22,836 EVI Weatherford, Inc.*................................. 348,249
54,800 Global Marine, Inc.*................................... 513,750
89,800 Halliburton Co.+....................................... 2,385,313
1,395 KN Energy Inc.......................................... 54,579
2,382 MarketSpan Corp.*+..................................... 65,207
30,344 Nabors Industries, Inc.*............................... 358,439
4,859 Noble Affiliates Inc. ................................. 112,364
39,100 Noble Drilling Corp.*+................................. 430,100
15,258 Ocean Energy Inc....................................... 135,415
28,421 Oryx Energy Co.*....................................... 353,486
3,300 Pennzoil Co. .......................................... 117,975
53,048 R&B Falcon Corp........................................ 477,432
84,554 Republic Industries, Inc.*+............................ 1,495,549
28,100 Rowan Cos., Inc........................................ 259,925
2,700 Sempra Energy.......................................... 68,681
13,300 Smith International Inc.*.............................. 234,413
3,799 Sonat Inc.............................................. 102,810
17,900 Transocean Offshore, Inc............................... 439,669
3,941 Vastar Resources, Inc. ................................ 149,758
13,764 Williams Cos., Inc..................................... 316,572
- --------------------------------------------------------------------------------
12,716,710
- --------------------------------------------------------------------------------
ENTERTAINMENT -- 1.8%
726 Circus Circus Enterprises+............................. 7,442
8,900 Harrah's Entertainment Inc.*........................... 128,494
29,028 Hilton Hotels Corp.+................................... 602,331
29,533 Host Marriott Corp.+................................... 413,462
33,600 International Game Technology.......................... 651,000
80,158 Marriott International Inc., Class A Shares............ 2,249,434
1,089 MGM Grand Inc.*+....................................... 31,241
22,113 Mirage Resorts Inc.*+.................................. 328,931
20,553 Promus Hotel Corp.*.................................... 632,005
8,450 Sodexho Marriott Service+.............................. 210,194
88,735 Time Warner, Inc.+..................................... 7,132,076
36,102 Viacom Inc., Class B Shares............................ 1,791,562
671,718 Walt Disney Co......................................... 18,430,263
- --------------------------------------------------------------------------------
32,608,435
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 8.4%
4,072 Aetna, Inc. ........................................... 245,084
20,037 AFLAC Inc.+............................................ 503,430
900 American Bankers Insurance Group, Inc.................. 46,688
124,484 American Express Co. .................................. 9,709,752
207,709 American International Group, Inc...................... 16,058,502
6,976 Amresco Inc............................................ 86,328
175,900 Associated First Capital Corp., Class A Shares......... 10,400,088
21,124 Banc One Corp.......................................... 802,712
35,204 Bank of New York Co., Inc.............................. 851,496
20,549 Capital One Financial Corp. ........................... 1,798,038
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 8.4% (CONTINUED)
71,785 Charles Schwab Corp.+.................................. $ 2,144,577
31,400 Concord EFS, Inc.+..................................... 620,150
46,093 Conseco, Inc. ......................................... 1,273,319
1,900 Countrywide Credit Industries, Inc..................... 71,131
1,501 Dow Jones & Co., Inc.+................................. 74,768
994 The Equitable Cos., Inc................................ 56,844
2,330 Everest Reinsurance Holdings, Inc. .................... 81,550
225,746 Federal Home Loan Mortgage Corp. ...................... 8,916,967
369,512 Federal National Mortgage Association.................. 20,992,901
522 Federated Investors Inc., Class B Shares............... 6,917
54,081 Fifth Third Bancorp.................................... 2,876,433
4,400 Finova Group, Inc.*.................................... 196,350
124,808 First Data Corp. ...................................... 2,581,966
5,310 Firstplus Financial Group, Inc.+....................... 120,803
56,900 Franklin Resources Inc.+............................... 1,835,025
4,400 Greenpoint Financial Corp.............................. 110,825
27,119 H&R Block, Inc. ....................................... 1,061,031
108,301 Household International Inc............................ 4,000,368
652,545 MBNA Corp. ............................................ 15,334,808
10,220 Mellon Bank Corp....................................... 531,440
3,096 Mercury General Corp................................... 113,198
39,100 MGIC Investment Corp................................... 1,622,650
21,396 National Commerce Bancorp.............................. 358,383
2,829 North Fork Bancorporation, Inc......................... 53,751
13,749 Northern Trust Corp.................................... 766,507
38,613 Norwest Corp........................................... 1,148,737
3,267 Ocwen Financial Corp................................... 49,822
249,324 Paychex, Inc........................................... 9,474,312
1,880 Provident Cos., Inc.................................... 67,680
5,253 Sovereign Bancorp., Inc................................ 64,021
31,226 Star Banc Corp.+....................................... 1,713,527
199,845 State Street Corp. .................................... 10,404,430
57,050 Student Loan Marketing Association..................... 2,046,669
38,529 SunAmerica Inc.+....................................... 2,386,390
50,849 Synovus Financial Corp.+............................... 924,816
32,300 T. Rowe Price Associates............................... 983,131
6,400 TCF Financial Corp. ................................... 141,200
105,950 Travelers Group Inc.................................... 4,701,531
2,106 20th Century Industries................................ 52,124
193,896 U.S. Bancorp........................................... 6,616,701
6,134 UNUM Corp. ............................................ 269,896
2,876 Waddell & Reed Financial, Class A Shares............... 47,814
38,827 Washington Mutual, Inc.+............................... 1,242,464
700 Wilmington Trust Corp.*................................ 32,725
18,396 Zions Bancorp.+........................................ 705,946
- --------------------------------------------------------------------------------
149,378,716
- --------------------------------------------------------------------------------
HEALTH CARE -- 22.7%
469,773 Abbott Labs, Inc. ..................................... 18,086,261
27,000 Alza Corp.*+........................................... 972,000
450,624 American Home Products Corp.+*......................... 22,587,528
85,000 Amgen, Inc............................................. 5,174,375
79,721 Baxter International Inc............................... 4,245,143
6,585 Beckman Coulter Inc.................................... 364,644
77,708 Becton Dickinson & Co.................................. 2,588,648
7,800 Bergen Brunswig Corp., Class A Shares*................. 266,175
5,806 Beverly Enterprises, Inc.*............................. 45,722
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
HEALTH CARE -- 22.7% (CONTINUED)
20,600 Biogen, Inc.*......................................... $ 952,750
33,800 Biomet, Inc........................................... 908,375
41,089 Boston Scientific Corp.+.............................. 2,845,413
326,942 Bristol-Myers Squibb Co............................... 31,999,448
43,600 Cardinal Health Inc................................... 3,815,000
33,833 Chiron Corp.*......................................... 486,349
13,600 Dentsply International Inc............................ 290,275
1,400 DePuy, Inc.+.......................................... 48,125
209,700 Elan Corp PLC ADR+.................................... 12,319,875
302,802 Eli Lilly & Co........................................ 19,833,531
21,000 First Health Group Corp.*............................. 423,938
18,535 Forest Laboratories Inc., Class A Shares *............ 607,021
16,867 Foundation Health Systems Inc., Class A Shares*+...... 188,700
10,000 Genzyme Corp.-General Division+....................... 270,000
50,900 Guidant Corp.......................................... 3,143,075
140,800 HBO & Co.............................................. 2,992,000
12,900 Health Care & Retirement Corp.*....................... 328,950
396,262 Health Management Associates, Inc., Class A Shares*... 7,157,482
111,493 Healthsouth Corp.*+................................... 2,111,399
35,553 Humana, Inc.*......................................... 462,189
5,900 Immunex Corp.+*....................................... 298,688
1,971 Integrated Health Services Inc. ...................... 38,188
441,756 Johnson & Johnson..................................... 30,481,164
16,882 Lincare Holdings, Inc.*............................... 572,933
3,872 Manor Care Corp. ..................................... 92,928
22,318 McKesson Corp.+....................................... 1,673,850
63,500 Medpartners, Inc.*.................................... 158,750
318,524 Medtronic, Inc.+...................................... 16,364,171
391,242 Merck & Co., Inc...................................... 45,359,619
37,200 Mylan Laboratories+................................... 850,950
27,800 Omnicare, Inc.+....................................... 867,013
4,159 Pacificare Health System Inc., Class B Shares*........ 262,017
645,498 Pfizer Inc............................................ 60,031,314
17,200 Quintiles Transnational Corp.*........................ 614,900
24,500 Quorum Health Group, Inc.*............................ 465,500
29,733 Rite Aid Corp.+....................................... 1,075,963
503,874 Schering Plough Corp.................................. 43,333,164
8,300 Shared Medical Systems Corp.+......................... 443,013
7,200 Sofamor Danek Group, Inc.*............................ 600,750
18,790 St. Jude Medical, Inc.*............................... 414,554
22,300 Stryker Corp.+........................................ 716,388
34,300 Sybron International Corp............................. 623,831
44,176 Tenet Healthcare Corp. ............................... 1,140,293
18,908 Total Renal Care Holdings, Inc.*...................... 359,252
2,028 Trigon Healthcare, Inc................................ 56,024
3,862 U.S. Surgical Corp.................................... 154,239
25,982 United Healthcare Corp.+.............................. 938,600
6,530 Universal Health Services, Class B Shares............. 253,038
751,215 Warner-Lambert Co..................................... 49,016,779
29,900 Watson Pharmaceuticals*............................... 1,347,369
4,415 Wellpoint Health Networks Inc., Class A Shares*+...... 235,651
- -------------------------------------------------------------------------------
404,355,284
- -------------------------------------------------------------------------------
INSURANCE -- 0.1%
5,168 Aon Corp.+............................................ 323,323
1,336 Hartford Life, Inc., Class A Shares................... 68,470
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
INSURANCE -- 0.1% (CONTINUED)
1,572 Nationwide Financial Services, Inc., Class A Shares.. $ 70,249
26,703 Providian Financial Corp............................. 1,713,999
- -------------------------------------------------------------------------------
2,176,041
- -------------------------------------------------------------------------------
METALS -- 0.0%
60,700 Freeport-McMoRan Copper & Gold, Inc., Class B
Shares.............................................. 705,638
- -------------------------------------------------------------------------------
PUBLISHING -- 0.4%
2,800 Central Newspapers, Inc., Class A Shares............. 173,600
16,733 Dun & Bradstreet Corp. .............................. 393,226
39,013 Gannett Co........................................... 2,301,767
12,900 Harte-Hanks Communication Inc........................ 282,994
6,320 McGraw Hill Cos., Inc. .............................. 481,900
8,804 New York Times Co., Class A Shares................... 255,316
2,077 Pulitzer Publishing Co............................... 157,982
8,300 Readers Digest Association Inc., Non-Voting Class A
Shares.............................................. 162,888
21,334 Times Mirror Corp., Class A Shares+.................. 1,220,038
18,902 Tribune Co.+......................................... 1,217,998
- -------------------------------------------------------------------------------
6,647,709
- -------------------------------------------------------------------------------
REAL ESTATE -- 0.1%
11,200 Boston Properties Inc................................ 319,900
26,400 Catellus Development Corp............................ 331,650
6,564 Lennar Corp.......................................... 118,973
40,238 Meditrust Cos........................................ 623,688
1,788 Post Properties Inc.................................. 67,944
7,812 The Rouse Co......................................... 224,595
17,082 Starwood Financial Trust+............................ 617,087
- -------------------------------------------------------------------------------
2,303,837
- -------------------------------------------------------------------------------
RESTAURANTS -- 0.5%
6,824 CKE Restaurants, Inc.+............................... 211,544
12,864 Cracker Barrel Old Country, Inc...................... 314,364
149,433 McDonald's Corp...................................... 8,377,588
14,900 Outback Steakhouse, Inc.*............................ 447,931
10,786 Tricon Global Restaurants, Inc....................... 399,756
7,174 Wendy's International, Inc. ......................... 143,928
- -------------------------------------------------------------------------------
9,895,111
- -------------------------------------------------------------------------------
RETAIL -- 11.4%
14,287 Abercrombie & Fitch Co., Class A Shares+............. 614,341
10,758 Albertson's, Inc.+................................... 543,951
8,265 Amazon.com Inc.+..................................... 692,194
50,407 Autozone Inc.*+...................................... 1,307,432
35,300 Avery Dennison Corp.*................................ 1,895,169
42,000 Avon Products Inc.+.................................. 2,640,750
13,800 Barnes & Noble Inc. ................................. 373,463
299,500 Bed Bath & Beyond Inc.*+............................. 5,409,719
16,078 Best Buy Co., Inc. .................................. 633,071
22,600 Borders Group, Inc.*+................................ 427,988
3,580 Brinker International Inc.*.......................... 61,308
20,000 Cintas Corp. ........................................ 815,000
9,923 Circuit City Stores, Inc............................. 306,373
35,266 Consolidated Stores Corp.*+.......................... 1,110,879
269,443 Costco Cos., Inc.+................................... 12,680,661
393,777 CVS Corp.+........................................... 14,323,638
132,585 Dayton-Hudson Corp. ................................. 4,773,060
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
RETAIL -- 11.4% (CONTINUED)
421,163 Dollar General Corp.*.................................. $ 11,318,756
13,650 Dollar Tree Stores Inc.*............................... 395,850
41,100 Family Dollar Stores, Inc.*............................ 521,456
9,100 Fastenal Corp.+........................................ 265,606
12,394 Food Lion Inc., Class B Shares......................... 123,165
99,984 Gap, Inc............................................... 5,105,433
25,400 General Nutrition Co.*................................. 338,138
6,854 Harcourt General Inc................................... 332,847
583,512 Home Depot Inc.+....................................... 22,465,212
20,948 Ikon Office Solutions Inc.+............................ 116,523
14,100 Intimate Brands Inc., Class A Shares................... 260,850
24,712 Jones Apparel Group, Inc............................... 478,795
382,800 Kohl's Corp.*.......................................... 17,393,475
61,465 Kroger Co.*............................................ 2,765,925
21,552 Limited Inc. .......................................... 449,898
545,788 Lowe's Cos., Inc....................................... 19,136,691
10,500 MSC Industrial Direct Corp., Class A Shares............ 221,157
3,564 Neiman Marcus Group, Inc., Class A Shares*............. 86,650
4,354 Nordstrom, Inc.*....................................... 130,348
280,013 Office Depot Inc.*..................................... 7,140,332
27,200 Officemax Inc.*........................................ 285,600
1,013 Payless ShoeSource, Inc.*.............................. 41,660
3,250 Pep Boys-Manny, Moe & Jack............................. 47,734
12,103 Polo Ralph Lauren Corp., Class A Shares................ 265,510
15,357 Proffitt's, Inc........................................ 391,604
9,557 Rexall Sundown, Inc.+.................................. 174,415
15,700 Ross Stores, Inc....................................... 571,088
476,246 Safeway, Inc.+......................................... 18,752,186
7,625 Saks Holdings Inc.*.................................... 159,648
9,471 Sears, Roebuck & Co. .................................. 430,339
232,950 Staples Inc.*+......................................... 6,318,769
27,383 Tandy Corp............................................. 1,494,085
10,100 Tiffany & Co.+......................................... 375,594
108,146 TJX Cos. Inc. ......................................... 2,413,008
1,686 US Office Products Co. ................................ 12,645
7,167 Venator Group Inc. .................................... 64,951
450,681 Wal-Mart Stores, Inc.+................................. 26,477,509
165,515 Walgreen Co.+.......................................... 6,372,328
6,967 Whole Foods Market, Inc................................ 288,260
9,443 Williams-Sonoma, Inc. ................................. 240,797
- --------------------------------------------------------------------------------
202,833,834
- --------------------------------------------------------------------------------
TECHNOLOGY -- 11.0%
9,599 Advanced Micro Devices, Inc.*.......................... 126,587
26,437 Andrew Corp.*.......................................... 391,598
117,170 Applied Materials, Inc.*............................... 2,877,988
9,187 Arterial Vascular Engineering, Inc.+................... 321,545
2,888 Cablevision Systems, Class A Shares+................... 97,831
13,798 Cambridge Technology Partners Inc.+.................... 448,435
22,600 Centocor Inc.*......................................... 734,500
395,719 Cisco Systems Inc. .................................... 32,399,493
11,464 Citrix Systems, Inc.................................... 660,613
16,100 Coltec Industries Inc.*................................ 231,438
544,163 Compaq Computer Corp.*................................. 15,202,554
28,704 CompUSA, Inc........................................... 340,860
137,661 Computer Associates International Inc.................. 3,716,847
50,000 Computer Sciences Corp.*............................... 2,828,125
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 11.0% (CONTINUED)
50,300 Compuware Corp.*....................................... $ 2,285,506
15,600 Cooper Cameron Corp.*.................................. 331,500
243,786 Dell Computer Corp.*................................... 24,378,600
19,959 General Instrument Corp.*.............................. 396,685
6,214 I2 Technologies Inc. .................................. 87,772
23,807 LSI Logic Corp.*....................................... 291,636
16,828 Micron Tech Inc.+...................................... 382,837
876,518 Microsoft Corp.*....................................... 84,090,946
14,400 Millipore Corp......................................... 312,300
12,200 National Semiconductor Corp. .......................... 111,325
18,167 Nielson Media Research................................. 163,500
14,263 Novell Inc.*........................................... 135,499
247,834 Oracle Systems Corp.*.................................. 4,941,190
14,500 Perkin-Elmer Corp...................................... 839,188
15,700 SCI Systems, Inc.*..................................... 360,119
20,500 Scientific-Atlanta, Inc................................ 362,594
29,002 Seagate Technology Inc.*............................... 507,535
31,789 Storage Technology Corp.*.............................. 691,411
15,979 Sunstrand Corp......................................... 728,043
14,875 Symbol Technologies, Inc............................... 609,875
11,700 Tech Data Corp.*....................................... 442,406
98,326 Texas Instruments, Inc. ............................... 4,688,921
27,479 Thermo Electron Corp................................... 446,533
5,575 Thermo Instruments Systems Inc.*+...................... 85,019
8,727 Uniphase Corp.+........................................ 348,535
61,214 United Technologies Corp. ............................. 4,441,840
12,978 Veritas Software Corp.................................. 582,387
9,179 W.R. Grace & Co.*...................................... 118,179
8,238 Waters Corp............................................ 443,822
22,800 Xilinx Inc............................................. 695,400
21,784 Yahoo, Inc.+........................................... 1,503,096
- --------------------------------------------------------------------------------
196,182,613
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 6.9%
8,241 A.H. Belo Corp......................................... 152,459
46,600 ADC Telecommunications, Inc.*.......................... 1,033,938
21,044 Advanced Fibre Communications, Inc.*................... 149,939
320,247 AirTouch Communications, Inc., Series A+............... 18,013,894
30,858 ALLTEL Corp.+.......................................... 1,392,467
43,074 American Telephone & Telegraph Corp.*.................. 2,159,084
61,860 Ascend Communication Inc.*+............................ 2,165,100
29,424 Bell Atlantic Corp.+................................... 1,298,334
23,025 Cabletron Systems*..................................... 161,175
34,200 Ciena Corp.*........................................... 961,875
47,300 Cincinnati Bell Inc.+.................................. 1,111,550
17,921 DSC Communications Corp.*.............................. 432,344
172,300 Ericsson LM Telephone.................................. 3,682,913
8,606 EXCEL Communications, Inc. ............................ 173,734
47,570 Frontier Corp.+........................................ 1,444,939
16,504 Global Telesystems Group, Inc.+........................ 528,128
51,400 GTE Corp. ............................................. 2,570,000
9,404 Intermedia Communications, Inc.+....................... 233,925
4,161 Jacor Communications, Inc.+............................ 245,499
8,100 Level 3 Communication Inc.............................. 241,228
536,359 Lucent Technologies, Inc.*............................. 38,014,445
2,701 McLeod Inc., Class A Shares............................ 78,329
49,811 MediaOne Group, Inc. .................................. 2,042,251
70,239 Motorola, Inc. ........................................ 3,024,667
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 6.9% (CONTINUED)
18,343 Netscape Communications Corp.*......................... $ 331,320
17,575 Nextlink Communications................................ 364,681
23,148 Paging Network, Inc.................................... 167,823
8,100 Panamsat Corp.*........................................ 343,238
37,272 Primedia Inc........................................... 372,720
18,430 Qualcomm, Inc.*........................................ 809,768
13,589 Qwest Communications International..................... 339,725
14,929 Reltec Corp. .......................................... 373,225
158,197 SBC Communications, Inc................................ 6,011,486
2,077 Southern New England Telecommunications Corp.+......... 134,616
5,150 Sprint Corp............................................ 345,372
58,644 Telecom-TCI Ventures-Group A........................... 974,957
7,600 Telephone & Data Systems, Inc.......................... 251,750
1,542 Teligent, Inc., Class A Shares+........................ 30,069
54,900 Tellabs, Inc.+......................................... 2,319,525
12,401 Tidewater, Inc.+....................................... 260,421
2,700 United States Cellular Corp.+*......................... 76,781
710,596 Worldcom, Inc.*+....................................... 29,090,024
- --------------------------------------------------------------------------------
123,909,718
- --------------------------------------------------------------------------------
TELEVISION -- 0.0%
14,949 Hearst-Argyle Television, Inc.......................... 492,383
5,318 TCA Cable TV, Inc...................................... 122,314
- --------------------------------------------------------------------------------
614,697
- --------------------------------------------------------------------------------
TRANSPORTATION -- 0.3%
900 CNF Transportation, Inc................................ 28,125
17,450 Comair Holdings Inc.................................... 443,884
4,600 FDX Corp. ............................................. 230,288
22,500 Gulfstream Aerospace Corp.*............................ 790,313
52,700 Harley Davidson Inc.................................... 1,623,819
33,172 Kansas City Southern Industries, Inc................... 1,090,530
8,685 Pittston Brink's Group Inc............................. 272,492
3,646 USAIR Group, Inc....................................... 212,379
- --------------------------------------------------------------------------------
4,691,830
- --------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $1,181,481,184)............ 1,754,767,148
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
U.S. TREASURY BILLS -- 0.1%
$ 100,000 U.S. Treasury Bill, 4.750% due 9/24/98............ $ 99,697
200,000 U.S. Treasury Bill, 4.870% due 9/24/98............ 199,378
600,000 U.S. Treasury Bill, 5.015% due 9/24/98............ 598,126
- --------------------------------------------------------------------------------
TOTAL U.S. TREASURY BILLS (Cost -- $897,200)...... 897,201
- --------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $1,182,378,384) ... 1,755,664,349
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.7%
29,975,000 Goldman, Sachs & Co., 5.715% due 9/1/98; Proceeds
at maturity -- $29,979,758; (Fully collateralized
by U.S. Treasury Notes, 5.125% due 8/31/00; Market
value -- $30,587,662) (Cost -- $29,975,000)....... 29,975,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,212,353,384**)............................... $1,785,639,349
- --------------------------------------------------------------------------------
</TABLE>
+ All or a portion of this security is on loan. (See Note 12).
++ Security has been partially segregated by custodian for futures contracts
commitments.
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
Classification of Investments
[Pie Chart appears here]
Consumer Products 12.3%
Computer Services 7.6%
Financial Services 8.4%
Health Care 22.7%
Retail 11.4%
Technology 11.4%
Telecommunications 6.9%
Other Common Stocks 11.1%
U.S. Treasury Bills & Repurchase Agreement 1.8%
Capital Goods 6.8%
SEE NOTES TO FINANCIAL STATEMENTS.
40
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.1%
- --------------------------------------------------------------------------------
BANKING -- 4.8%
73,300 Andover Bancorp Inc...................................... $ 2,052,400
2,924 Area Bancshares Corp..................................... 79,679
3,039 Bancfirst Corp........................................... 100,287
4,000 Bancfirst Ohio Corp...................................... 104,000
41,532 Bancorp South Inc........................................ 716,427
19,086 Bank Plus Corp........................................... 145,531
313,750 Bankatlantic Bancorp Inc., Class A Shares+............... 2,431,563
27,898 Bankatlantic Bancorp Inc., Class B Shares................ 240,620
13,078 Banknorth Group Inc...................................... 358,010
3,800 Brookline Bancorp Inc.................................... 38,712
7,404 BSB Bancorp.............................................. 204,535
12,128 BT Financial Corp. ...................................... 266,816
2,115 Capital City Bank Group Inc. ............................ 52,875
4,300 Cathay Bancorp Inc....................................... 121,475
22,838 Citizens Banking Corp. of Michigan....................... 653,738
6,382 Citizens Corp............................................ 161,544
8,509 CNB Bancshares Inc....................................... 365,896
11,633 Commerce Bancorp Inc. of New Jersey...................... 408,609
198,069 Commercial Federal Corp.+................................ 4,357,518
17,194 Commonwealth Bancorp..................................... 229,970
7,709 Community Bank System Inc. .............................. 192,725
6,600 Community First Bankshares Inc........................... 112,200
9,346 Community Trust Bancorp.................................. 228,977
7,985 Corus Bancorp............................................ 228,571
19,100 Cullen Frost Bankers Inc. ............................... 816,525
451 CVB Financial Corp....................................... 8,625
11,834 Dime Community Bancorp................................... 181,208
3,900 Evergreen Bancorp Inc.................................... 90,675
6,434 F&M Bancorp Inc. of Wisconsin............................ 213,123
5,850 F&M Bancorp of Maryland.................................. 216,450
6,605 First Citizens Bancshares Inc............................ 551,517
10,953 First Commerce Bancshares Inc. .......................... 284,778
14,136 First Federal Capital Corp. ............................. 183,768
7,556 First Financial Bankshares, Inc.......................... 283,822
130,800 First Hawaiian Inc....................................... 3,842,250
16,114 First Midwest Bancorp Inc................................ 592,189
3,400 First Palm Beach Bancorp................................. 102,000
8,961 First Republic Bancorp................................... 232,986
19,542 First United Bancshares of Arkansas...................... 383,512
10,155 First Washington Bancorp, Inc............................ 196,753
9,388 First Western Bancorp Inc................................ 221,205
130,000 Firstbank Puerto Rico San Juan........................... 3,103,750
4,800 Firstcity Financial Corp................................. 84,000
19,400 Firstfed Financial Corp. *............................... 286,150
3,934 Flagstar Bancorp Inc..................................... 88,023
6,386 GBC Bancorp.............................................. 134,106
8,200 Haven Bancorp Inc. ...................................... 131,200
51,300 Independence Community Bank Corp. ....................... 564,300
10,400 Independent Bank Corp. .................................. 136,500
4,000 International Bancshares Corp. .......................... 238,500
4,000 Jeffbanks Inc............................................ 81,000
3,900 Jefferson Savings Bancorp Inc............................ 72,881
27,909 MAF Bancorp. Inc. ....................................... 572,135
1,300 Mahoning National Bancorp Inc............................ 45,500
3,582 Mainstreet Bankgroup Inc. ............................... 113,728
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKING -- 4.8% (CONTINUED)
1,500 Maryland Federal Bancorp................................. $ 50,813
10 Mercantile Bancorp Inc. ................................. 439
12,932 National Bancorp of Alaska Inc. ......................... 391,193
5,400 National City Bancorp.................................... 135,675
1,700 National City Bancshares, Inc............................ 57,800
2,291 National Penn Bancshares Inc. ........................... 55,557
10,710 NBT Bancorp Inc. ........................................ 243,653
24,500 Peoples Bancorp Inc. .................................... 170,734
16,569 PFF Bancorp Inc. ........................................ 230,930
3,900 Pinnacle Banc Group, Inc. ............................... 104,812
2,500 Prime Bancshares Inc..................................... 42,812
22,647 Provident Bankshares Corp. .............................. 509,558
6,388 Queens County Bancorp Inc. .............................. 226,774
9,392 Reliance Bancorp Inc. ................................... 244,779
8,449 Republic Bancorp Inc. ................................... 140,465
4,400 Republic Bancshares Inc. ................................ 85,800
4,500 Republic Banking Corp. of Florida........................ 50,063
11,692 Resource Bancshares Management Group Inc................. 184,149
40,232 Roslyn Bancorp Inc.+..................................... 553,190
2,253 S&T Bancorp, Inc. ....................................... 112,791
2,000 Sandy Spring Bancorp Inc. ............................... 60,000
6,500 SIS Bancorp Inc. ........................................ 217,750
30,600 Staten Island Bancorp Inc. .............................. 476,213
5,700 Sterling Bancorp. ....................................... 109,013
20,158 United Bankshares Inc.+.................................. 501,430
5,900 United National Bancorp.................................. 141,600
13,246 Vermont Financial Services Corp. ........................ 268,232
26,110 Webster Financial Corp. ................................. 538,519
17,491 Wesbanco Inc. ........................................... 415,411
8,946 West Coast Bancorp of Oregon............................. 154,319
30,679 Westamerica Bancorp...................................... 743,966
8,300 Western Bancorp.......................................... 244,850
2,100 Wilshire Financial Services Group........................ 21,262
- --------------------------------------------------------------------------------
35,390,389
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 16.2%
105,746 A.M. Castle & Co......................................... 1,916,647
3,200 Actel Corp............................................... 31,000
6,200 Acuson Corp.+............................................ 90,675
3,700 Adac Laboratories........................................ 83,019
12,400 Adelphia Communications Corp............................. 427,800
21,743 Advanta Corp., Class A Shares............................ 245,968
6,300 Advest Group Inc......................................... 120,487
2,650 AFC Cable Systems Inc.................................... 61,364
18,095 Aftermarket Technology Corp.............................. 214,878
5,432 Agribrands International Inc............................. 158,207
263,488 AK Steel Holding Corp.+.................................. 3,655,896
20,918 Albemarle Corp.+......................................... 351,684
34,600 Alexander & Baldwin, Inc................................. 813,100
164,700 Allied Products Corp..................................... 1,502,888
23,404 AMCOL International Corp................................. 274,997
3,965 American Tower Corp...................................... 62,449
5,100 Ameripath Inc. .......................................... 58,650
86,200 Armco Inc................................................ 355,575
26,200 Associated Group Inc. ................................... 694,300
1,200 Astec Industries Inc..................................... 42,300
125,000 Autodesk Inc. ........................................... 2,921,875
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 16.2% (CONTINUED)
1,300 AVT Corp................................................. $ 25,512
28,217 Ball Corp................................................ 1,054,610
12,550 Bandag Corp.............................................. 378,069
153,382 Barnes Group Inc......................................... 3,671,582
12,600 Battle Mountain Gold Co. ................................ 38,588
9,598 Belden Inc. ............................................. 142,770
105,300 Bethlehem Steel Corp.+................................... 756,844
25,938 Birmingham Steel Corp. .................................. 178,324
1,300 Brady Corp............................................... 21,775
15,721 Brush Wellman Inc........................................ 229,920
91,203 Butler Manufacturing Co.................................. 2,217,373
9,100 C.H. Robinson Worldwide, Inc. ........................... 182,000
241,726 Calgon Carbon Corp....................................... 1,495,680
145,202 Calmat Co.+.............................................. 2,441,209
19,742 Cambrex Corp............................................. 451,598
132,505 Caraustar Industries Inc................................. 2,815,731
927 The Carbide/Graphite Group, Inc. ........................ 12,051
18,570 Carpenter Technology Corp. .............................. 672,002
16,400 Cato Corp................................................ 155,800
19,325 Chemfirst Inc............................................ 332,148
17,662 Chesapeake Corp. ........................................ 578,431
13,064 Cilcorp Inc. ............................................ 650,750
36,762 Cincinnati Milacron Inc. ................................ 712,264
10,411 Citation Corp............................................ 110,617
2,000 City Holding Co.......................................... 74,000
18,681 Clarcor Inc. ............................................ 296,561
20,907 Cleco Corp............................................... 649,424
85,256 Cleveland Cliffs Inc. ................................... 3,111,844
9,400 Cohu Inc................................................. 143,350
48,810 Collins & Aikman Corp.*.................................. 317,265
6,514 Columbus McKinnon Corp................................... 116,438
148,238 Commercial Metals Co..................................... 3,613,301
230,568 Commonwealth Industries Inc.............................. 1,469,871
23,779 Cone Mills Corp.*........................................ 167,939
14,900 Consolidation Capital Corp. ............................. 191,838
1,200 Contifinancial Corp.+.................................... 15,150
7,385 Copart Inc............................................... 143,084
33,050 Corn Products International Inc. ........................ 782,872
9,600 CPI Corp................................................. 193,200
5,155 CSS Industries Inc.*..................................... 142,407
26,773 D.R. Horton, Inc.+....................................... 428,368
270,000 Dal-Tile International Inc.+............................. 2,295,000
15,200 Dames & Moore Group...................................... 180,500
20,800 Delco Remy International Inc. ........................... 218,400
51,016 Del E. Webb Corp. ....................................... 1,004,377
17,800 Dexter Corp.............................................. 440,550
9,924 DT Industries Inc. ...................................... 146,069
8,500 DVI, Inc................................................. 136,000
147,100 Ennis Business Forms, Inc. .............................. 1,480,194
537,000 Ethyl Corp. ............................................. 2,282,250
12,567 Fairchild Corp., Class A Shares.......................... 174,367
1,100 First Charter Corp.+..................................... 23,100
105,700 Fleetwood Enterprises+................................... 3,534,344
13,062 Florida Rock Industries Inc. ............................ 360,021
9,117 Foamex International Inc.*............................... 136,755
1,400 Garden Ridge Corp........................................ 12,600
1,772 General Binding Corp..................................... 58,974
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 16.2% (CONTINUED)
8,529 General Chemical Group Inc. ............................. $ 178,043
4,200 Genesis Direct Inc....................................... 12,075
22,263 Geon Co.................................................. 431,346
13,830 Georgia Gulf Corp. ...................................... 237,703
8,500 Getchell Gold Corp. ..................................... 76,500
7,400 Giant Cement Holding Inc................................. 193,787
4,960 Gibraltar Steel Corp. ................................... 84,010
154,026 Gleason Corp. ........................................... 3,388,572
8,035 Graco Inc. .............................................. 199,871
5,200 Greenbrier Cos. Inc. .................................... 81,250
13,558 Greif Brothers Corp., Class A Shares..................... 440,635
218,591 Guilford Mills Inc....................................... 3,210,555
12,254 H.B. Fuller Co........................................... 582,065
11,200 Hadco Corp. ............................................. 226,800
1,900 Heartland Express, Inc................................... 30,400
54,344 Hecla Mining Co.*........................................ 186,808
8,247 Houston Exploration Co................................... 120,612
37,761 Imation Corp. ........................................... 592,376
14,400 Imperial Holly Corp. .................................... 95,400
22,566 Inland Steel Industries Inc.+............................ 427,344
4,917 Input/Output Inc. ....................................... 47,941
13,084 Interim Services Inc..................................... 268,222
230,961 Intermet Corp. .......................................... 3,464,415
13,797 Interpool Inc............................................ 169,876
71,400 Ivax Corp. .............................................. 553,350
14,855 J & L Specialty Steel Inc. .............................. 52,921
28,258 Kaiser Aluminum Corp.*................................... 167,782
32,400 Kemet Corp. ............................................. 376,650
16,100 Kitty Hawk Inc........................................... 193,200
47,400 Komag Inc. .............................................. 130,350
6,887 L.S. Starrett Co., Class A Shares........................ 237,171
33,200 Lawter International Inc. ............................... 253,150
16,576 Lilly Industries Inc., Class A Shares.................... 308,728
3,263 Littlefuse Inc. ......................................... 54,655
62,439 Lone Star Industries Inc.+............................... 3,754,145
92,800 The LTV Corp. ........................................... 504,600
15,623 Lydall Inc. ............................................. 216,769
43,073 M.A. Hanna & Co. ........................................ 535,720
33,197 Mariner Post-Acute Network............................... 236,529
54,900 Mark IV Industries Inc. ................................. 778,902
1,400 Maxim Group Inc. ........................................ 26,075
3,534 Maxxam Inc. ............................................. 201,438
20,848 McClatchy Newspapers Inc., Class A Shares................ 625,440
14,200 Metals USA Inc. ......................................... 164,187
26,400 Metrocall Inc. .......................................... 138,600
35,400 Metromedia International Group Inc.+..................... 146,025
4,200 Midland Co. ............................................. 98,175
6,000 Miller Industries Inc.+.................................. 26,625
3,613 Mine Safety Appliances Co. .............................. 266,685
126,672 Mississippi Chemical Corp.+.............................. 1,591,317
6,149 Moog Inc., Class A Shares................................ 173,709
32,658 Mueller Industries Inc.*................................. 834,820
14,381 NAC Re Corp. ............................................ 678,603
2,009 NACCO Industries Inc., Class A Shares.................... 191,357
19,065 National Steel Corp., Class B Shares..................... 128,689
2,540 NCH Corp. ............................................... 144,463
2,982 NCI Building Systems, Inc. .............................. 52,930
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 16.2% (CONTINUED)
26,100 Newfield Exploration Co. ................................ $ 409,444
10,488 Nichols Research Corp. .................................. 211,071
15,102 NL Industries Inc. ...................................... 300,152
1,400 Norrell Corp. ........................................... 17,500
9,081 Nortek Inc. ............................................. 225,322
10,100 NS Group, Inc. .......................................... 59,969
64,200 Olsten Corp. ............................................ 377,175
16,595 OM Group Inc. ........................................... 477,106
4,200 Omega Protein Corp. ..................................... 43,050
29,265 Oneok Inc. .............................................. 879,779
21,440 Oregon Steel Mills Inc.+................................. 202,340
10,700 Paxar Corp. ............................................. 85,600
13,300 Paymentech, Inc. ........................................ 152,119
7,200 PBOC Holdings Inc. ...................................... 67,500
10,000 Pennsylvania Manufacturers Corp. ........................ 192,500
30,000 Phycor Inc. ............................................. 208,125
18,262 Pittston Bax Group Inc. ................................. 144,955
26,200 Polymer Group, Inc. ..................................... 240,713
46,500 Pride International Inc. ................................ 369,094
18,000 PS Business Parks Inc. of California..................... 362,250
229,954 Public Service Co. of New Mexico......................... 4,599,080
19,613 Public Service Co. of North Carolina..................... 382,453
4,346 Puerto Rican Cement Co. Inc. ............................ 186,063
12,176 Quanex Corp. ............................................ 264,828
12,800 Regal-Beloit Corp. ...................................... 251,200
10,277 Reliance Steel & Aluminum Co. ........................... 313,449
18,000 Remec Inc. .............................................. 146,250
11,305 Rock-Tenn Co., Class A Shares............................ 124,355
1,400 Rogers Corp. ............................................ 36,050
10,900 Rural/Metro Corp. ....................................... 77,663
5,275 Ryerson Tull Inc., Class A Shares........................ 88,027
3,300 Sauer, Inc. ............................................. 29,700
9,420 Scotsman Industries Inc. ................................ 221,370
6,401 Shaw Group Inc. ......................................... 51,608
5,151 Shiloh Industries Inc.*.................................. 86,923
22,536 Sigcorp, Inc. ........................................... 723,969
5,000 Signal Corp. ............................................ 135,312
4,700 Sola International Inc. ................................. 68,150
18,400 Southern Peru Cooper Corp. .............................. 162,150
83,400 Southland Corp. ......................................... 191,559
5,000 Sparteck Corp. .......................................... 82,500
14,600 Stein Mart Inc. ......................................... 129,575
4,385 Stepan Co. .............................................. 110,721
1,300 Sunterra Corp.+.......................................... 11,943
850 Tennant Co. ............................................. 33,893
30,115 Terra Industries Inc. ................................... 150,575
124,397 Texas Industries Inc. ................................... 4,501,616
7,900 Thermedics Detection Inc. ............................... 73,075
3,009 Thermoquest Corp. ....................................... 21,062
40,400 Tig Holdings, Inc. ...................................... 558,025
12,581 TJ International Inc. ................................... 263,415
10,166 TNP Enterprises Inc. .................................... 301,803
1,120 Triad Guaranty Inc. ..................................... 28,070
19,748 Trico Marine Services Inc. .............................. 116,019
31,559 UGI Corp. ............................................... 694,298
31,800 UICI..................................................... 482,962
15,400 Unitrode Corp. .......................................... 191,538
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 16.2% (CONTINUED)
271,256 Universal Forest Products Inc. .......................... $ 3,882,351
11,500 URS Corp. ............................................... 158,125
17,000 Vail Resorts, Inc.+...................................... 391,000
11,500 Valmont Industries, Inc.+................................ 173,937
12,900 Varlen Corp. ............................................ 283,800
57,800 Vencor Inc. ............................................. 209,525
50,400 Ventas, Inc. ............................................ 535,500
1,000 Verio Inc.+.............................................. 22,125
4,650 Watsco Inc. ............................................. 68,006
186,927 Wellman, Inc. ........................................... 2,137,978
167,233 Westinghouse Air Brake Co. .............................. 3,376,016
7,800 WHX Corp.+............................................... 78,000
13,817 Wolverine Tube Inc.*..................................... 405,011
22,202 WPS Resources Corp.+..................................... 747,930
- --------------------------------------------------------------------------------
119,726,503
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 7.4%
8,976 A.O. Smith Corp. ........................................ 169,422
22,798 AAR Corp. ............................................... 504,406
106,698 Albany International Corp., Class A Shares............... 2,047,265
3,434 Ameron International Corp. .............................. 130,707
19,754 Applied Industrial Technologies, Inc. ................... 344,460
16,492 Aptargroup, Inc. ........................................ 467,960
20,553 Arctic Cat Inc. ......................................... 177,270
16,996 Argonaut Group Inc....................................... 437,647
111,201 Arvin Industries Inc..................................... 4,197,838
9,679 Avondale Industries Inc.*................................ 248,024
17,676 Baldor Electric Co.+..................................... 363,463
11,936 Bassett Furniture Industries Inc. ....................... 264,084
6,290 Benchmark Electronics Inc. .............................. 119,510
15,924 Blount International Inc., Class A Shares................ 378,195
10,700 BRC Holdings Inc......................................... 160,500
14,207 Breed Technologies Inc.+................................. 103,889
1,800 Briggs & Stratton Corp. ................................. 66,263
400 Brylane Inc.............................................. 10,375
3,046 Centex Construction Products, Inc. ...................... 117,652
11,605 Century Aluminum Co...................................... 116,050
8,621 Commercial Intertech Corp. .............................. 123,927
5,259 Cubic Corp............................................... 111,754
4,300 Curtiss-Wright Corp.+.................................... 189,469
7,232 Daniel Industries, Inc................................... 80,456
779 Elcor Corp. ............................................. 18,112
88,500 Elsag Bailey Process Automation N.V. .................... 1,886,156
10,094 Excel Industries Inc..................................... 128,698
34,725 Fedders Corp. ........................................... 177,966
127,958 Flowserve Corp. ......................................... 2,399,212
144,400 Foster Wheeler Corp. .................................... 1,777,925
18,162 Granite Construction Inc................................. 431,347
39,862 Hardinge Inc............................................. 847,068
92,768 Harman International Industries Inc. .................... 3,252,679
152,450 Hughes Supply, Inc....................................... 4,154,263
11,809 Idex Corp. .............................................. 247,989
15,456 Ionics Inc.*............................................. 379,638
20,341 Jacobs Engineering Group Inc............................. 518,695
18,726 JLG Industries Inc. ..................................... 275,038
16,905 Juno Lighting Co. ....................................... 325,421
17,100 Justin Industries Inc.................................... 234,056
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
46
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 7.4% (CONTINUED)
228,040 Kaman Corp., Class A Shares.............................. $ 3,064,288
36,468 Kaufman & Broad Home Corp. .............................. 779,503
120,000 Kennametal Inc........................................... 3,112,500
6,078 Lawson Products Inc...................................... 131,817
39,122 Lincoln Electric Co., Class A Shares..................... 684,635
166,600 Magnatec Inc. ........................................... 2,165,800
5,919 The Manitowoc Co., Inc. ................................. 155,744
14,791 MascoTech Inc............................................ 258,842
34,488 Methode Electronics Inc., Class A Shares................. 413,856
9,009 Mikasa Inc. ............................................. 106,419
15,840 Modine Manufacturing Co. ................................ 440,550
26,281 Morrison Knudsen Corp.................................... 277,593
5,905 National Presto Industries Inc........................... 216,640
243,205 Newport News Shipbuilding Inc. .......................... 5,715,318
9,477 Nordson Corp. ........................................... 403,957
6,910 NTL Inc.................................................. 275,968
8,600 NVR Inc.*................................................ 280,037
19,138 Oakwood Homes Corp....................................... 272,716
9,600 Rental Service Corp. .................................... 231,000
7,758 Robbins & Myers Inc.+.................................... 184,252
3,821 Speciality Equipment Cos., Inc.*......................... 76,420
11,751 SPX Corp................................................. 584,612
11,633 Standard Pacific Corp.................................... 137,415
30,301 Stewart & Stevenson Services, Inc........................ 395,807
6,634 Stone & Webster Inc...................................... 225,970
92,400 Tecumseh Products Co. ................................... 4,394,775
52 Thermadyne Holdings Corp................................. 1,937
16,279 Titan International Inc.................................. 172,964
23,383 Toll Brothers Inc.* ..................................... 597,728
3,508 Tremont Corp. ........................................... 159,833
11,500 US Home Corp.* .......................................... 325,594
5,911 Valhi Inc. .............................................. 73,518
17,842 Wabash National Corp. ................................... 283,242
- --------------------------------------------------------------------------------
54,586,099
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 4.8%
23,600 Avis Rent A Car, Inc..................................... 370,225
26,100 BMC Industries Inc. ..................................... 104,400
10,000 Boise Cascade Corp....................................... 136,875
1,500 Borg Warner Security Corp................................ 21,281
9,784 BT Office Products International, Inc. .................. 131,472
15,400 Budget Group Inc., Class A Shares........................ 261,800
6,606 Bush Industries, Inc., Class A Shares.................... 121,798
3,300 CDNow Inc.+.............................................. 25,575
16,573 Coachmen Industries Inc.................................. 309,708
1,285 Coleman Co., Inc......................................... 13,011
2,900 Columbia Sportswear Co................................... 36,975
6,926 Culp Inc. ............................................... 60,602
1,600 Davox Corp. ............................................. 16,900
8,279 Detroit Diesel Corp. .................................... 147,987
30,133 Diamond Multimedia Systems Inc........................... 105,466
8,782 Discount Auto Parts Inc. ................................ 188,264
17,870 Donaldson Inc............................................ 317,193
181,682 Exide Corp.+............................................. 1,805,465
211,700 GenCorp Inc. ............................................ 4,445,700
54,700 Haverty Furniture Cos., Inc.............................. 1,066,650
19,290 Interface Inc., Class A Shares........................... 236,302
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 4.8% (CONTINUED)
169,900 Jostens Inc. ............................................ $ 3,376,763
10,945 K2 Inc. ................................................. 201,798
34,757 La-Z-Boy Chair Co........................................ 1,831,260
59,600 Lee Enterprises, Inc. ................................... 1,408,050
49,342 Longview Fiber Co........................................ 481,084
13,804 Myers Industries Inc. ................................... 284,708
37,135 Oak Industries Inc. ..................................... 106,763
1,776 Oneida Ltd............................................... 36,186
12,776 O'Sullivan Industries Holdings, Inc. .................... 119,775
24,681 P.H. Glatfelter Co....................................... 286,917
28,954 Pioneer Standard Electronics Inc.+....................... 218,965
22,374 Pulte Corp. ............................................. 646,049
8,150 Quaker Fabric Corp....................................... 71,312
140,000 Rival Co. ............................................... 1,400,000
9,296 Russ Berrie & Co. Inc.................................... 178,367
14,649 Ryland Group Inc......................................... 289,318
5,898 Sequa Corp., Class A Shares*............................. 376,366
21,200 Shorewood Packaging Corp. ............................... 275,600
15,793 Simpson Industries Inc................................... 165,826
7,410 Skyline Corp. ........................................... 209,333
10,876 Springs Industries Inc................................... 359,588
9,689 Standard Motor Products Inc. ............................ 233,747
205,759 Standard Products Co..................................... 5,246,855
3,081 Standex International Corp. ............................. 68,552
255,000 Sturm Ruger & Co. Inc.................................... 3,570,000
19,195 Superior Industries International Inc.................... 399,496
929 Telxon Corp.............................................. 15,909
14,660 Thomas Industries Inc.................................... 272,126
48,063 Thor Industries Inc...................................... 988,295
40,498 Tower Automotive Inc.+................................... 741,620
13,953 United Auto Group Inc. .................................. 185,749
13,289 The United Illuminating Co. ............................. 665,281
1,200 Urban Outfitters Inc..................................... 17,325
8,557 VMR Scientific Products Corp............................. 211,786
15,826 Watts Industries Inc., Class A Shares.................... 264,096
13,362 Winnebago Industries Inc. ............................... 140,301
- --------------------------------------------------------------------------------
35,268,815
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 8.1%
12,170 Acceptance Insurance Cos. Inc.*.......................... 231,230
32,565 Adolph Coors Co., Class B Shares......................... 1,343,306
9,200 Advantica Restaurant Group, Inc.......................... 43,412
1,700 American Disposal Services, Inc.......................... 49,831
7,667 Authentic Fitness Corp................................... 88,650
20,000 Aviall, Inc. ............................................ 255,000
1,900 Bell & Howell Co. ....................................... 44,650
5,500 Blair Corp............................................... 137,844
39,657 Bob Evans Farms, Inc. ................................... 731,176
217,700 Brown Group Inc. ........................................ 3,211,075
1,509 Buckle Inc. ............................................. 29,614
31,163 Buffets Inc.+............................................ 393,433
57,216 Burlington Industries Inc.*.............................. 543,552
5,959 Bush Boake Allen Inc. ................................... 178,770
14,700 Canadaigua Wine Co., Class A Shares...................... 613,725
21,800 Carter Wallace Inc....................................... 321,550
1,300 Championship Auto Racing Teams Inc. ..................... 25,675
10,100 Chicago Title Corp....................................... 355,394
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
48
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
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<C> <S> <C>
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CONSUMER NON-DURABLES -- 8.1% (CONTINUED)
34,300 Chiquita Brands International Inc........................ $ 383,731
14,395 Church & Dwight Co., Inc. ............................... 389,565
10,476 CN Galey & Lord Inc...................................... 97,558
1,106 Coca Cola Bottling Co. .................................. 68,295
59,900 Corporate Express Inc. .................................. 576,537
1,752 Cort Business Services Corp. ............................ 42,815
10,246 Department 56, Inc. ..................................... 302,257
37,488 Earthgrains Co. ......................................... 1,030,920
159,815 Eastern Utlities Associates.............................. 3,965,410
17,834 Electroglas, Inc......................................... 191,716
178,709 Enesco Group Inc. ....................................... 4,311,355
835 Farmer Brothers Co....................................... 171,175
52,820 Felcor Suite Hotels, Inc................................. 1,076,207
34,822 First Brands Corp........................................ 694,264
36,934 Fleming Cos., Inc........................................ 440,900
10,856 Florida East Coast Industries, Inc. ..................... 253,759
18,829 Footstar Inc. ........................................... 548,395
1,400 Forest City Enterprises Inc., Class A Shares............. 31,762
7,405 Friedman's Inc., Class A Shares.......................... 71,273
17,033 Gaylord Entertainment Co................................. 454,568
29,605 Griffon Corp.*........................................... 262,744
2,414 Guess ? Inc.............................................. 10,259
31,315 Handleman Co. ........................................... 201,590
23,900 Hartmarx Corp.*.......................................... 158,338
2,800 Harveys Casinos Resorts.................................. 68,600
56,426 Helig Meyers............................................. 641,846
4,408 Houghton Mifflin Co...................................... 133,066
7,189 Ingles Markets Inc., Class A Shares...................... 79,079
16,600 International Multifoods Corp. .......................... 288,425
9,940 Interwest Bancorp........................................ 231,105
10,800 Ivex Packaging Corp...................................... 177,525
24,810 The J.M. Smucker Co...................................... 538,067
10,300 Journal Register Co...................................... 175,744
11,300 Kaydon Corp.............................................. 305,806
19,993 Kellwood Co.............................................. 533,561
243,746 Kimball International Inc., Class B Shares............... 4,174,150
1,400 Knoll Inc. .............................................. 36,312
18,800 Kulicke & Soffa Industries, Inc. ........................ 243,225
3,600 Lufkin Industries, Inc................................... 83,025
73,700 Merisel Inc. ............................................ 161,219
192,100 Merrill Corp. ........................................... 3,817,987
7,685 Michael Foods Inc. ...................................... 190,204
5,200 Monaco Coach Corp........................................ 112,450
17,309 Northwestern Corp........................................ 435,970
5,600 Oakley Inc.+............................................. 56,350
9,600 Octel Corp. ............................................. 147,600
13,300 OEA Inc.................................................. 103,075
6,731 Oxford Industries Inc.................................... 182,158
6,300 Penford Corp............................................. 166,950
9,403 Pennsylvania Enterprises, Inc............................ 204,515
11,328 Performance Food Group Co................................ 219,480
5,700 Philadelphia Consolidated Holdings Corp.+................ 109,725
22,259 Phillips-Van Heusen Corp. ............................... 210,069
2,427 Pilgrims Pride Corp. .................................... 47,477
2,920 Pillowtex Corp........................................... 80,665
3,462 Quiksilver Inc........................................... 47,602
135,200 Ralcorp Holdings Inc. ................................... 2,611,050
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
49
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
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<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 8.1% (CONTINUED)
48,282 Riviana Foods Inc. ...................................... $ 1,019,957
7,262 Robert Mondavi Corp., Class A Shares..................... 151,594
12,010 Scholastic Corp.......................................... 465,387
2,359 Schweitzer Mauduit International Inc. ................... 58,532
333 Seaboard Corp............................................ 93,906
21,900 Seitel Inc............................................... 197,100
12,700 SFX Entertainment Inc. .................................. 398,462
1,000 Simpson Manufacturing Co Inc. ........................... 29,125
7,780 South Jersey Industries, Inc. ........................... 176,995
10,900 Sovran Self Storage Inc.................................. 242,525
10,754 Sunglass Hut International Inc. ......................... 61,835
1,800 Superior Services Inc.................................... 44,775
112,719 Toro Co.................................................. 2,479,825
5,186 Toy Biz Inc.............................................. 37,923
600 U.S. Can Corp. .......................................... 8,512
134,200 Universal Corp. of Virginia.............................. 4,227,300
232,700 Universal Foods Corp..................................... 4,915,788
2,300 USA Floral Products Inc.................................. 16,244
280,598 Wausau-Mosinee Paper Corp................................ 3,577,625
22,035 WR Berkley Corp.......................................... 696,857
2,500 Young Broadcasting Corp., Class A Shares................. 129,219
- --------------------------------------------------------------------------------
59,976,848
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 9.2%
33,915 A. Schulman, Inc. ....................................... 538,401
6,055 Aaron Rents Inc., Class A Shares......................... 97,637
3,568 ABM Industries Inc....................................... 90,984
107,000 AC Nielsen Corp.......................................... 2,146,687
2,400 Ackerley Group Inc. ..................................... 52,200
3,715 Advo Inc. ............................................... 92,411
4,324 AMC Entertaiment Inc..................................... 55,131
14,200 Ames Department Stores Inc. ............................. 209,450
3,100 Anicom Inc............................................... 26,350
18,539 AnnTaylor Stores Corp.*.................................. 450,729
27,000 Apogee Enterprises, Inc.................................. 273,375
5,000 Apple South.............................................. 57,500
173,400 Applebee's International, Inc.+.......................... 3,207,900
6,867 ASA Holdings Inc......................................... 235,195
34,300 Asarco Inc. ............................................. 546,656
28,532 Ascent Entertainment Group Inc. ......................... 221,123
44,701 Aztar Corp.*............................................. 192,773
27,600 Banta Corp. ............................................. 772,800
2,754 Berlitz International Inc.*.............................. 73,669
100,300 Borg Warner Automotive Inc............................... 4,062,150
222,224 Bowne & Co., Inc.+....................................... 3,500,028
7,800 Carmike Cinemas Inc., Class A Shares*.................... 152,100
35,000 Central Newspapers, Inc. ................................ 2,170,000
6,401 Century Communications Corp., Class A Shares*............ 148,823
11,357 Checkpoint Systems Inc................................... 111,441
9,941 CMAC Investment Corp..................................... 382,728
14,000 Dan River Inc., Class A Shares........................... 182,875
17,200 Dress Barn Inc.*......................................... 298,850
7,919 E Town Corp.............................................. 329,628
21,001 Eagle Hardware & Garden Inc.*............................ 448,896
34,559 Equity Inns Inc. ........................................ 345,590
30,600 Extended Stay America Inc................................ 267,750
43,266 Fingerhut Cos., Inc. .................................... 1,049,200
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
50
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
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<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 9.2% (CONTINUED)
26,722 Florida Panthers Holdings, Inc........................... $ 288,932
22,676 Franklin Convey Co....................................... 425,175
2,400 G & K Services Inc., Class A Shares+..................... 104,100
5,143 GC Cos., Inc.*........................................... 228,221
14,900 Gibson Greetings Inc.*................................... 289,619
38,405 Grand Casinos, Inc. ..................................... 336,044
136,312 The Great Atlantic & Pacific Tea Co., Inc. .............. 3,245,930
17,845 Hancock Fabrics Inc. .................................... 169,527
153,000 Hollinger International Inc.+............................ 2,142,000
11,400 Hollywood Entertainment Corp............................. 117,562
19,409 Hollywood Park Inc.*..................................... 198,942
36,700 Homebase Inc.+........................................... 224,787
33,256 Hospitality Property Trust............................... 914,540
13,147 Host Marriott Services Corp. ............................ 129,827
59,751 HSB Group Inc.+.......................................... 2,591,700
8,951 IHOP Corp................................................ 336,781
2,200 IRI International Corp. ................................. 11,000
28,153 John H. Harland Co....................................... 367,749
9,036 Jones Intercable Inc., Class A Shares.................... 196,533
150,000 Kelly Services Inc., Class A Shares...................... 3,843,750
7,938 Landry's Seafood Restaurants, Inc.+...................... 66,729
15,400 Lexington Corporate Properties Trust..................... 179,025
7,441 Libbey Inc............................................... 227,416
40,039 Lone Star Steakhouse & Saloon, Inc. ..................... 340,331
28,268 Longs Drug Stores Corp. ................................. 964,645
266,586 Luby's Cafeterias Inc.................................... 4,065,437
21,148 Marcus Corp. ............................................ 269,637
12,415 Michaels Stores Inc.*+ .................................. 291,752
16,652 Microage Inc.*........................................... 201,905
2,200 Midas Inc. .............................................. 49,775
5,500 Movado Group, Inc. ...................................... 97,969
9,210 MS Carriers Inc.......................................... 196,864
145,000 Nash Finch Co. .......................................... 2,030,000
17,309 Paxson Communications Corp............................... 157,945
8,218 Personnel Group Of America, Inc. ........................ 92,966
7,870 Pinkertons Inc........................................... 117,066
10,422 Polaris Industries Inc................................... 315,917
19,202 Pool Energy Services Co.*................................ 136,814
27,000 Potlatch Corp............................................ 887,625
13,386 Powertel Inc............................................. 133,860
31,352 Prime Hospitality Corp.*................................. 260,613
39,741 Prime Retail Inc. ....................................... 372,572
2,013 Rainforest Cafe Inc. .................................... 16,607
2,000 Republic Group Inc. ..................................... 30,000
9,900 Respironics, Inc. ....................................... 113,850
17,354 Rio Hotel & Casino Inc................................... 259,225
7,082 Rouge Industries Inc..................................... 54,885
27,038 Ruby Tuesday Inc. ....................................... 380,222
26,321 Ruddick Corp............................................. 398,105
28,500 Russell Corp. ........................................... 901,313
42,800 Ryan's Family Steak Houses Inc.*......................... 436,025
110,529 Safety-Kleen Corp. ...................................... 324,679
5,500 Sandisk Corp............................................. 48,125
99,676 Sbarro Inc............................................... 1,974,831
14,180 Scotts Co., Class A Shares*.............................. 404,130
17,400 Servico Inc.............................................. 169,650
23,742 Shopko Stores, Inc. ..................................... 609,873
</TABLE>
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51
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 9.2% (CONTINUED)
11,536 Silgan Holdings Inc.+.................................... $ 268,212
2,900 Sitel Corp............................................... 10,512
13,300 Skywest Inc. ............................................ 279,300
6,090 Sonic Corp............................................... 97,059
1,400 SOS Staffing Services, Inc. ............................. 18,463
5,500 Speedfam International Inc. ............................. 68,063
30,707 The Sports Authority, Inc................................ 199,597
7,993 Station Casinos Inc. .................................... 43,961
24,900 Stewart Info Services Corp. ............................. 1,297,913
26,488 Storage USA Inc. ........................................ 792,985
7,600 Syms Corp................................................ 89,300
11,046 Talbot's, Inc............................................ 232,657
5,144 Tanger Factory Outlet Centers Inc. ...................... 134,708
25,886 TCI Satellite Entertainment Inc., Class A Shares......... 103,544
2,800 TransMontaigne, Inc. .................................... 32,200
18,300 Unicapital Corp.......................................... 192,150
265,900 Unisource Worldwide...................................... 1,761,588
3,700 United Stationers Inc.................................... 219,225
1,200 US Leasing Corp., Class A Shares......................... 17,400
6,000 USCS International....................................... 136,125
2,000 USN Communications Inc. ................................. 4,500
34,600 Valassis Communications, Inc. ........................... 1,031,513
11,243 Value City Department Stores Inc.*....................... 109,619
28,300 Vivus Inc.+.............................................. 84,900
13,800 Vlasic Foods International Inc........................... 200,100
2,115 Wackenhut Corp........................................... 40,185
28,000 Westfield America Inc.................................... 444,500
35,646 Wicor Inc................................................ 761,933
12,200 Wisconsin Central Transportation Corp.................... 153,263
35,728 World Color Press Inc.................................... 1,004,850
10,900 Wyman-Gordon Co.+........................................ 152,600
14,271 Xtra Corp. .............................................. 840,205
32,225 Zale Corp.*.............................................. 741,175
14,400 Zapata Corp.+............................................ 166,500
- --------------------------------------------------------------------------------
68,262,937
- --------------------------------------------------------------------------------
ENERGY -- 8.4%
12,800 ACX Technologies Inc. ................................... 202,400
280,787 Aquila Gas Pipeline Corp................................. 2,018,156
17,578 Arch Coal Inc. .......................................... 327,390
28,768 Benton Oil & Gas Co.*.................................... 142,042
8,400 Berry Petroleum Co....................................... 102,900
192,250 C&D Technology Inc....................................... 4,205,469
16,129 Cabot Oil & Gas Corp., Class A Shares.................... 205,645
63,373 Chesapeake Energy Corp. ................................. 99,020
17,000 CHS Electronics, Inc.+................................... 214,625
127,831 Commonwealth Energy System Co. .......................... 3,866,888
8,880 Comstock Resources Inc................................... 48,285
20,734 Devon Energy Corp.+...................................... 548,155
6,664 DII Group, Inc. ......................................... 85,799
114,616 Eastern Enterprises...................................... 4,534,496
102,976 Equitable Resources Inc. ................................ 2,252,600
26,565 Forest Oil Corp.......................................... 232,444
46,700 Helmerich & Payne Inc.................................... 758,875
5,396 Holly Corp. ............................................. 114,665
15,429 HS Resources Inc. ....................................... 115,717
12,773 Imco Recycling Inc. ..................................... 154,873
22,500 KCS Energy Inc. ......................................... 84,375
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<PAGE>
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
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<C> <S> <C>
- --------------------------------------------------------------------------------
ENERGY -- 8.4% (CONTINUED)
97,850 Kelley Oil & Gas Corp.................................... $ 116,197
7,300 Key Energy Group Inc..................................... 45,169
3,100 Lattice Semiconductor Corp.+............................. 74,594
18,247 Louis Dreyfus Natural Gas Corp.*+........................ 206,419
31,742 Meridian Resource Corp. ................................. 91,258
204,800 Mitchell Energy & Development Corp. ..................... 2,864,800
114,400 Nabors Industries Inc. .................................. 1,351,350
82,600 National Fuel Gas Co..................................... 3,396,925
16,503 New Jersey Resources Corp ............................... 555,945
10,135 North Carolina Natural Gas Corp.+ ....................... 238,806
23,336 Northwest Natural Gas Co. ............................... 568,815
19,668 Nuevo Energy Co.*........................................ 320,834
12,073 NUI Corp. ............................................... 252,778
10,229 Oceaneering International Inc.*.......................... 95,258
136,218 Offshore Logistics Inc.*................................. 1,225,962
60,295 Parker Drilling Co.*..................................... 241,180
5,900 Patterson Energy Inc. ................................... 24,706
129,400 Penn Virginia Corp. ..................................... 2,798,275
32,300 Peoples Energy Corp. .................................... 1,069,938
28,308 Piedmont Natural Gas Co. ................................ 797,932
6,400 PLD Telekom Inc. ........................................ 15,200
14,800 Pogo Producing Co. ...................................... 176,675
35,367 Quaker State Corp. ...................................... 444,298
19,295 Range Resources Corp.+................................... 131,447
25,900 Rayonier Timberlands, L.P. .............................. 1,010,100
14,012 RMI Titanium Co.+........................................ 250,465
161,090 Rochester Gas & Electric, Inc. .......................... 4,701,815
4,476 RPC Energy Services, Inc. ............................... 41,683
95,600 Santa Fe Energy Resources+ .............................. 717,000
12,808 Seacor Smit Inc. ........................................ 441,876
58,600 Seagull Energy Corp. .................................... 520,075
4,939 Semco Energy Inc. ....................................... 66,985
28,700 Sierra Pacific Resorces.................................. 1,049,344
228,632 Snyder Oil Corp. ........................................ 3,400,901
24,814 Southwestern Energy Co. ................................. 169,045
10,700 St. Mary Land & Exploration Co. ......................... 177,219
6,200 Swift Energy Co.+........................................ 54,637
33,012 Tesoro Petroleum Corp. .................................. 425,029
33,398 Titan Exploration Inc. .................................. 183,689
17,328 Tom Brown Inc. .......................................... 192,774
19,320 Unisource Energy Corp. Holdings Co. ..................... 251,160
2,000 UTI Energy Corp. ........................................ 13,125
272,102 Vintage Petroleum Inc. .................................. 2,125,797
10,355 Westcorp, Inc. .......................................... 95,784
261,583 Western Gas Resources Inc. .............................. 2,174,408
240,000 World Fuel Services Corp. ............................... 2,550,000
10,534 Yankee Energy Systems Inc. .............................. 252,816
191,500 Zeigler Coal Holdings Co.+............................... 3,782,125
- --------------------------------------------------------------------------------
62,067,432
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 9.9%
18,806 Aames Financial Corp.*................................... 122,239
1,900 Affiliated Managers Group................................ 33,725
11,960 Albank Financial Corp. .................................. 593,515
23,550 Alfa Corp. .............................................. 441,562
13,387 Allied Group Inc. ....................................... 628,352
26,989 Amcore Financial Inc. ................................... 580,264
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 9.9% (CONTINUED)
7,779 Amerco*.................................................. $ 173,083
8,400 American Annuity Group................................... 183,750
16,090 American Heritage Life Investment Corp. ................. 314,761
6,900 Amerin Co. .............................................. 157,406
150,624 Amerus Life Holdings Inc., Class A Shares................ 4,010,364
13,800 Anthracite Capital Inc. ................................. 133,687
37,610 Arcadia Financial Ltd.+.................................. 133,986
22,600 Arm Financial Group, Inc. ............................... 327,700
6,500 Avatar Holdings Inc.*.................................... 154,375
12,100 Baldwin & Lyons Inc., Class B Shares..................... 255,613
18,500 Bay View Capital Corp. .................................. 314,500
4,468 BOK Financial Corp. ..................................... 192,124
21,000 Capital Re Corp. ........................................ 556,500
8,804 Capitol Transamerica Corp. .............................. 154,070
58,244 Capstead Mortgage Corp. ................................. 174,732
13,800 Carolina First Corp. .................................... 284,625
21,112 Cash America International Inc. ......................... 255,983
4,300 Charter Municipal Mortgage Acceptance Co. ............... 54,556
8,358 Chartwell Re Corp. ...................................... 219,920
10,497 Chemical Financial Corp. ................................ 364,771
11,013 Chittenden Corp. ........................................ 314,559
7,376 CNA Surety Corp. ........................................ 95,888
21,845 Commerce Group Inc. ..................................... 573,431
21,530 Credit Acceptance Corp.+................................. 137,254
8,000 D&N Financial Corp. ..................................... 131,000
96,970 Dain Rauscher Corp. ..................................... 3,606,072
4,000 DecisionOne Holdings Corp. .............................. 55,500
12,905 Delphi Financial Group Inc., Class A Shares.............. 538,784
2,806 Delta Financial Corp.*+.................................. 22,097
1,300 Dispatch Management Services Corp. ...................... 18,687
18,928 Downey Financial Corp. .................................. 436,527
3,038 E.W. Blanch Holdings Inc. ............................... 108,419
23,072 Enhance Financial Services Group Inc.+................... 579,684
8,600 Executive Risk Inc. ..................................... 309,600
17,910 F&M National Corp. ...................................... 476,854
13,739 F.N.B. Bancorp, Inc., of Pennsylvania.................... 398,431
29,984 FBL Financial Group Inc. ................................ 661,522
25,900 Federal Signal Corp. .................................... 527,713
975 Financial Federal Corp. ................................. 16,941
3,555 First American Financial Corp. .......................... 91,541
19,947 First Commonwealth Financial Corp. ...................... 458,781
6,268 First Financial Corp. of Indiana......................... 271,091
4,080 First Financial Holdings Inc. ........................... 72,420
9,400 First Indiana Corp. ..................................... 188,000
8,300 First Liberty Financial Corp. ........................... 153,550
6,000 First Merchants Corp. ................................... 225,000
1,607 First Source Corp. ...................................... 11,249
16,783 Foremost Corp. .......................................... 303,143
3,200 FPIC Insurance Group Inc. ............................... 84,800
220,330 Franchise Financial Corp. ............................... 5,150,214
9,600 Freedom Securities Corp. ................................ 120,000
4,000 Frontier Financial Corp. ................................ 192,000
28,904 Frontier Insurance Group Inc. ........................... 399,236
4,870 Fund American Enterprises Holdings Inc. ................. 623,360
6,931 Grand Premier Financial Inc. ............................ 81,439
8,422 Guarantee Life Co., Inc. ................................ 151,596
14,548 Hambrecht & Quist Inc. .................................. 294,597
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
FINANCIAL SERVICES -- 9.9% (CONTINUED)
7,451 Hancock Holding Co. .................................... $ 337,158
10,500 Harleysville Group Inc. ................................ 204,750
4,718 Harleysville National Corp. of Pennsylvania............. 167,489
125,600 HCC Insurance Holdings Inc. ............................ 2,347,150
5,900 Headlands Mortgage Co. ................................. 81,862
12,936 Highlands Insurance Group, Inc. ........................ 161,700
9,000 Hilb, Rogal, & Hamilton Co. ............................ 156,375
13,315 HUBCO, Inc. ............................................ 352,842
29,900 IMC Mortgage Co. ....................................... 201,825
22,573 IMPAC Mortgage Holdings Inc. ........................... 289,217
30,600 Imperial Credit Commercial Mortgage Investment Corp. ... 275,400
19,200 Imperial Credit Industries, Inc. ....................... 261,600
10,828 Irwin Financial Corp. .................................. 255,812
20,900 John Alden Financial Corp. ............................. 468,944
7,808 JSB Financial Inc. ..................................... 353,312
3,184 Kansas City Life Insurance Co. ......................... 209,746
14,600 Landamerica Financial Group, Inc. ...................... 725,438
15,300 Laser Mortgage Management Inc. ......................... 103,275
10,498 Liberty Corp. .......................................... 466,505
10,976 Life Re Corp. .......................................... 985,096
184,500 Life USA Holding Inc. .................................. 2,144,813
9,900 Local Financial Corp. .................................. 85,387
3,426 Markel Corp. ........................................... 483,066
140,000 McGrath Rent Corp. ..................................... 2,511,250
3,770 Meadowbrook Insurance Group, Inc. ...................... 94,721
20,921 Medical Assurance Inc. ................................. 503,412
6,979 Mid America Bancorp..................................... 170,113
15,560 MMI Cos. Inc. .......................................... 250,905
6,783 National Processing Inc. ............................... 56,384
1,959 National Western Life Insurance, Class A Shares......... 223,326
5,200 New England Business Service Inc. ...................... 144,300
4,288 NYMAGIC, Inc. .......................................... 93,264
17,431 Ocwen Asset Investment Corp. ........................... 169,952
6,450 Omega Financial Corp. .................................. 191,887
109,000 Orion Capital Corp. .................................... 4,060,250
5,202 PEC Israel Economic Corp. .............................. 120,947
5,193 Penn Treaty American Corp. ............................. 132,421
23,651 Penncorp Financial Group Inc.+.......................... 82,779
42,690 Phoenix Investment Partners, Ltd. ...................... 282,821
207,771 Presidential Life Corp. ................................ 4,129,449
24,325 Primark Corp.*.......................................... 574,678
110,894 PXRE Corp. ............................................. 3,049,585
19,148 Reinsurance Group of America............................ 957,400
12,412 Risk Capital Holdings Inc. ............................. 269,961
7,512 RLI Corp. .............................................. 237,098
11,844 Scpie Holdings Inc. .................................... 353,099
13,200 Security Capital Group, Class B Shares.................. 280,500
218,274 Selective Insurance Group Inc. ......................... 3,881,185
27,178 Shurgard Storage Centers Inc., Class A Shares........... 665,861
4,100 Simmons First National Corp. ........................... 156,825
9,035 Smart & Final Inc. ..................................... 90,915
6,100 Southern Pacific Funding Corp.+......................... 49,562
177,450 Southwest Securities Group, Inc. ....................... 2,872,472
11,998 State Auto Financial Corp. ............................. 152,975
3,838 Student Loan Corp. ..................................... 168,392
19,526 Thornburg Mortgage Asset Corp. ......................... 156,208
10,980 Trenwick Group Inc. .................................... 378,810
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
55
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 9.9% (CONTINUED)
13,456 UMB Financial Corp. ..................................... $ 548,332
7,647 Uni First Corp. ......................................... 192,609
23,856 United Cos. Financial Corp.+............................. 333,984
7,351 United Fire & Casualty Co. .............................. 243,502
8,454 United Wisconsin Services Inc. .......................... 126,810
30,108 UST Corp. ............................................... 496,782
10,904 Vesta Insurance Group Inc. .............................. 102,906
150,000 Washington Federal Inc. ................................. 3,393,750
18,861 Whitney Holding Corp. ................................... 690,784
789 WSFS Financial Corp. .................................... 12,230
8,815 Zenith National Insurance Corp. ......................... 208,254
- --------------------------------------------------------------------------------
73,679,555
- --------------------------------------------------------------------------------
HEALTH CARE -- 4.6%
16,636 Alpharma, Inc.+.......................................... 395,105
10,194 American Homepatient Inc. ............................... 62,438
13,139 American Oncology Resources, Inc.+....................... 111,682
13,310 Amli Residential Properties Trust........................ 262,873
40,333 Apria Healthcare Group Inc. ............................. 168,894
5,416 Arrow International Inc. ................................ 146,909
3,150 ATL Ultrasound Inc. ..................................... 156,516
17,200 AYS Pharmaceutical Inc. ................................. 68,263
2,992 Bacou USA Inc. .......................................... 59,466
2,400 Ballard Medical Products+................................ 44,550
50,000 Bergen Brunswig Corp., Class A Shares+................... 1,706,250
144,420 Bindley Western Industries Inc. ......................... 3,791,025
9,861 Bio-Rad Laboratories Inc., Class A Shares................ 236,664
12,969 Block Drug Inc., Class A Shares.......................... 440,946
7,100 Centennial Healthcare Corp. ............................. 60,350
4,768 Cephalon Inc. ........................................... 19,221
138,315 Chemed Corp. ............................................ 4,071,648
22,724 Coherent Inc. ........................................... 203,096
13,979 Conmed Corp. ............................................ 283,948
12,238 Datascope Corp. ......................................... 249,349
11,784 Deltic Timber Corp. ..................................... 266,613
9,799 Diagnostic Products Corp. ............................... 254,162
30,900 Genesis Health Ventures Inc. ............................ 366,938
66,300 Gensia Sicor Inc. ....................................... 182,325
2,141 Gilead Sciences Inc. .................................... 39,073
15,800 Guilford Pharmaceuticals Inc. ........................... 187,625
22,105 Haemonetics Corp. ....................................... 346,772
1,200 Hanger Orthopedic Group.................................. 17,925
12,122 Health Care Invest Inc. ................................. 379,570
1,376 Healthplan Services Corp. ............................... 14,878
4,800 Herbalife International Inc., Class A Shares+............ 63,900
140,000 Integrated Health Services Inc.+......................... 2,712,500
197,206 Invacare Corp. .......................................... 3,993,422
42,991 Laboratory Corp. of America+............................. 48,365
6,484 Marquette Medical Systems Inc. .......................... 154,400
10,700 Maxxim Medical Inc. ..................................... 172,538
50,093 Medaphis Corp. .......................................... 203,503
36,810 Meristar Hospitality Corp. .............................. 621,169
40,301 Merry Land & Investment Co. ............................. 826,171
29,980 Mid Atlantic Medical Services, Inc. ..................... 166,764
21,712 National Health Investors Inc. .......................... 575,368
3,700 NCS Healthcare Inc. ..................................... 62,438
11,248 Neurogen Corp. .......................................... 123,728
</TABLE>
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56
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
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<C> <S> <C>
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HEALTH CARE -- 4.6% (CONTINUED)
56,198 Novacare Inc. ........................................... $ 410,948
1,979 OEC Medical Systems Inc. ................................ 42,549
18,840 Omega Healthcare Inc. ................................... 539,295
8,466 Owens & Minor Inc. Holding Co. .......................... 100,019
63,282 Perrigo Co. ............................................. 537,897
22,037 Pharmerica Inc. ......................................... 86,082
10,520 Phymatrix Inc. .......................................... 29,588
31,041 Playtex Products Inc.*................................... 331,751
100,700 Precision Castparts Co. ................................. 3,795,131
11,654 PSS World Medical Inc. .................................. 179,180
29,252 Quest Diagnostics Inc. .................................. 486,315
39,925 Read Rite Corp. ......................................... 219,588
21,630 Regeneron Pharmaceuticals Inc. .......................... 141,947
22,773 Roberts Pharmaceutical Corp.*............................ 389,988
3,591 Scios, Inc.*............................................. 17,057
22,033 Sierra Health Services, Inc. ............................ 352,528
31,897 St. Paul Bancorp Inc. ................................... 550,227
41,871 Sun Healthcare Group Inc.*+.............................. 366,371
19,017 Sunrise Medical Inc. .................................... 166,399
8,863 Thermotrex Corp. ........................................ 131,837
971 Trex Medical Corp. ...................................... 12,502
16,100 Vertex Pharmaceuticals+.................................. 245,525
6,056 Veterinary Centers of America, Inc. ..................... 99,924
1,386 Vital Signs Inc. ........................................ 23,475
12,688 The West Co., Inc. ...................................... 332,267
2,000 Xomed Surgical Products, Inc. ........................... 59,500
- --------------------------------------------------------------------------------
33,967,230
- --------------------------------------------------------------------------------
REAL ESTATE -- 9.0%
8,550 Alexandria Real Estate Equities, Inc. ................... 248,484
201,204 American Health Properties, Inc. ........................ 4,476,789
1,500 Assisted Living Concepts Inc. ........................... 19,031
9,000 Associated Estates Realty Corp. ......................... 145,687
2,679 Atria Communities Inc.+.................................. 51,068
21,455 Bedford Property Investors, Inc. ........................ 356,689
34,600 Berkshire Realty Co. .................................... 328,700
13,119 Boykin Lodging Co. ...................................... 204,164
21,776 Bradley Real Estate Inc. ................................ 432,798
30,900 Brandywine Realty Trust.................................. 556,200
39,313 BRE Properties, Class A Shares........................... 928,770
30,900 Burnham Pacific Property Inc. ........................... 401,700
42,177 Camden Property Trust.................................... 1,057,061
17,800 Capital Automotive REIT.................................. 215,825
21,732 Capstone Capital Corp. .................................. 418,341
15,437 Castle & Cooke Inc. ..................................... 231,555
18,600 Cavalier Homes Inc. ..................................... 181,350
21,296 CBL & Associates Properties, Inc. ....................... 529,738
20,200 CCA Prison Realty Trust.................................. 414,100
16,996 Centerpoint Properties Corp. ............................ 552,370
11,700 Centertrust Retail Properties, Inc. ..................... 130,163
7,000 Central Garden & Pet Co. ................................ 98,875
19,745 Chateau Communities Inc. ................................ 514,604
15,030 Chelsea GCA Realty, Inc. ................................ 518,535
25,000 Colonial Properties Trust ............................... 609,375
27,179 Commercial Net Lease Realty Inc. ........................ 356,724
34,800 Cornerstone Realty Income Trust ......................... 371,925
3,333 Cousins Properties Inc. ................................. 92,699
</TABLE>
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57
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
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<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE -- 9.0% (CONTINUED)
43,716 Criimi Mae Inc. of Maryland.............................. $ 549,182
23,508 Crown American Realty Trust.............................. 176,310
53,000 Developers Divers Realty Corp. .......................... 930,813
40,851 Dynex Capital Inc. ...................................... 403,404
14,702 Eastgroup Properties, Inc. .............................. 249,015
13,500 Entertainment Properties Trust........................... 200,813
3,200 Equity Corp. International, Inc. ........................ 74,800
13,980 Essex Property Trust Inc. ............................... 397,556
7,928 Everen Capital Corp. .................................... 144,191
182,125 Excel Realty Trust Inc. ................................. 4,257,172
37,048 Federal Realty Investors Trust........................... 745,591
35,069 First Industrial Realty Trust............................ 821,930
30,426 First Union Real Estate.................................. 195,867
20,586 Gables Residential Trust................................. 530,090
20,800 General Growth Properties................................ 750,100
30,194 Glenborough Realty Trust Inc. ........................... 656,720
238,000 Glimcher Realty Trust.................................... 3,867,500
7,150 Golf Trust of America Inc. .............................. 189,475
15,920 Great Lakes Real Estate Investment Trust Inc. ........... 241,785
23,646 Health Care Real Estate Investment Trust Inc. ........... 543,858
18,333 Healthcare Realty Trust.................................. 419,367
9,000 Hologic, Inc. ........................................... 120,938
6,200 Home Choices Holdings, Inc. ............................. 79,050
17,352 Home Properties NY Inc. ................................. 416,448
18,008 Homestead Village Inc. .................................. 147,441
206 Horizon Group Inc. ...................................... 721
29,601 Innkeepers USA Trust..................................... 284,910
1,182 Insignia Financial Corp., Class A Shares+................ 20,759
30,400 IRT Property Co. ........................................ 269,800
5,500 Irvine Apartment Communities, Inc. ...................... 140,250
28,830 JDN Realty Corp. ........................................ 585,609
12,900 JP Realty Inc. .......................................... 259,613
24,106 Kilroy Realty Corp. ..................................... 495,680
25,681 Kroger Equity Inc. ...................................... 426,947
9,900 LaSalle Hotel Properties................................. 133,031
25,407 LNR Property Corp. ...................................... 393,809
24,683 LTC Properties Inc. ..................................... 411,898
19,500 Manufactured Home Communities, Inc. ..................... 459,469
213,500 MDC Holdings Inc.+....................................... 3,416,000
28,071 Meridian Industrial Trust, Inc. ......................... 529,840
13,400 MGI Properties Inc. ..................................... 351,750
17,100 Mid-American Apartment Communities, Inc. ................ 393,300
150,973 National Golf Properties, Inc. .......................... 3,538,429
39,052 Nationwide Health Properties, Inc. ...................... 798,125
55,500 New Plan Realty Trust+................................... 1,123,875
12,498 Ocean Financial Corp. ................................... 173,410
10,906 Old National Bancorp..................................... 532,349
30,397 One Valley Bancorp Inc. ................................. 896,712
15,114 Pacific Gulf Properties Inc. ............................ 287,166
6,700 Pan Pacific Retail Properties Inc. ...................... 123,113
10,300 Parkway Properties Inc. of Maryland...................... 279,388
37,122 Prentiss Properties Trust................................ 830,605
4,900 Primadonna Resorts Inc. ................................. 37,363
4,300 Prime Group Realty Trust................................. 65,306
26,021 Realty Income Corp. ..................................... 613,120
37,100 Reckson Associates Realty Corp. ......................... 795,331
24,756 Red Roof Inns Inc. ...................................... 354,320
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
58
<PAGE>
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE -- 9.0% (CONTINUED)
12,200 Redwood Trust Inc. ...................................... $ 173,850
13,788 Regency Realty Corp. .................................... 304,198
21,100 RFS Hotel Investors Inc. ................................ 290,125
18,500 Richmond County Financial Corp. ......................... 219,688
17,788 Riggs National Corp. .................................... 391,336
12,000 SL Green Realty Corp. ................................... 231,000
14,657 Storage Trust Realty .................................... 317,874
5,740 Suburban Lodges of America, Inc. ........................ 47,355
20,614 Summit Properties Inc. .................................. 345,285
16,126 Sun Communities Inc. .................................... 527,119
36,655 Sunstone Hotel Investors Inc. ........................... 311,568
37,200 Taubman Centers Inc. .................................... 488,250
16,400 Tower Realty Trust Inc. ................................. 345,425
151,455 Trinet Corporate Realty Trust, Inc. ..................... 4,354,331
425,200 United Dominion Realty Trust, Inc. ...................... 4,942,950
9,500 Urban Shopping Centers Inc. ............................. 301,625
8,200 U.S. Restaurant Properties, Inc. ........................ 197,313
15,085 Walden Residential Properties, Inc. ..................... 341,298
29,294 Walter Industries, Inc. ................................. 413,778
28,963 Washington Real Estate Investment Trust, Inc. ........... 461,598
17,621 Weeks Corp. ............................................. 486,780
4,100 Weingarten Realty Investors ............................. 157,850
11,500 Wellsford Real Properties Inc. .......................... 109,250
16,900 Western Real Estate Investment Trust, Inc. .............. 198,575
- --------------------------------------------------------------------------------
66,533,155
- --------------------------------------------------------------------------------
RETAIL -- 1.6%
3,300 BA Merchant Services, Inc. .............................. 41,044
168,580 Burlington Coat Factory Wholesale Corp. ................. 3,550,716
1,200 The Cheesecake Factory Inc.+............................. 19,650
337,221 Charming Shoppes, Inc.*.................................. 1,475,342
232,200 Claire's Stores Inc. .................................... 3,483,000
11,134 Donna Karan International, Inc. ......................... 84,201
8,500 Duane Reade Inc. ........................................ 317,688
5,200 Elder-Beerman Stores Corp. .............................. 81,250
16,100 Fabri Centers of America ................................ 369,294
2,200 Fred's Inc. ............................................. 32,175
10,100 Gymboree Corp. .......................................... 88,375
9,450 Hussmann International, Inc. ............................ 124,031
2,000 Just For Feet Inc. ...................................... 28,375
5,310 Lands End Inc. .......................................... 108,855
24,100 Nine West Group Inc. .................................... 384,094
11,800 Petco Animal Supplies, Inc. ............................. 83,337
24,706 Price Enterprises Inc. .................................. 214,634
26,338 Spiegel Inc. ............................................ 95,475
185,900 Stride Rite Corp. ....................................... 1,626,625
2,100 X-Rite, Inc. ............................................ 18,375
- --------------------------------------------------------------------------------
12,226,536
- --------------------------------------------------------------------------------
TECHNOLOGY -- 6.6%
12,197 Aerial Communications, Inc.+............................. 41,927
172,481 Aliant Communications, Inc. ............................. 4,268,905
24,127 Allen Telecom Inc. ...................................... 171,904
6,528 Alliant Techsystems, Inc. ............................... 428,400
13,821 American Business Products Inc. ......................... 241,868
12,000 Amkor Technology, Inc. .................................. 55,500
5,500 Analogic Corp. .......................................... 184,250
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<PAGE>
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 6.6% (CONTINUED)
22,108 Anixter International, Inc. ............................. $ 359,255
24,291 Antec Corp. ............................................. 390,174
2,300 Aspec Technology, Inc. .................................. 5,462
77,700 Aura Systems Inc.+....................................... 97,125
21,291 BancTec, Inc.* .......................................... 284,767
10,700 Bank United Corp., Class A Shares........................ 92,287
2,000 Barrett Resources Corp. ................................. 40,625
35,771 Boyd Gaming Corp. ....................................... 143,084
14,700 Broderbund Software Inc. ................................ 204,881
3,764 Cable Design Technologies ............................... 52,931
2,000 Cable Michigan Inc. ..................................... 74,500
13,200 Cabot Industrial Trust .................................. 245,850
3,830 California Microwave, Inc. .............................. 41,172
22,900 CDI Corp. ............................................... 538,150
62,135 Cirrus Logic Inc.+....................................... 376,693
129,300 CommScope, Inc. ......................................... 1,713,225
21,344 Compucom Systems Inc. ................................... 90,712
105,000 Cordant Technologies Inc. ............................... 3,740,625
7,000 Credence Systems Corp. .................................. 101,500
2,200 Dallas Semiconductor Corp. .............................. 59,538
42,900 Data General Corp.* ..................................... 321,750
8,200 EchoStar Communications Corp. ........................... 144,525
66,800 EG & G, Inc. ............................................ 1,565,625
7,849 Electro Scientific Industries Inc. ...................... 151,093
23,323 Essex International Inc. ................................ 437,306
16,830 Esterline Technologies Corp. ............................ 269,280
7,599 Evans & Sutherland Computer Corp.*....................... 158,629
17,601 Ferro Corp. ............................................. 355,320
16,487 FSI International, Inc. ................................. 88,618
6,204 General Cable Corp. ..................................... 124,080
34,087 General Communication Co. ............................... 106,522
2,800 General Semiconductor Inc. .............................. 18,025
89,460 Gerber Scientific Inc. .................................. 2,119,084
56,948 Glenayre Technologies, Inc. ............................. 384,399
1,400 Global Direct Mail Corp. ................................ 18,638
19,900 Global Industrial Technologies, Inc.* ................... 119,400
10,500 GTech Holdings Corp. .................................... 275,625
14,300 Hutchinson Tech Inc.+.................................... 193,944
11,188 InaCom Corp.+............................................ 215,369
28,245 Information Resources Inc.* ............................. 275,389
42,000 Informix Corp. .......................................... 147,000
6,000 Insituform Technologies, Class A Shares.................. 74,250
78,742 Integrated Device Technology, Inc. ...................... 361,721
7,373 Integrated Process Equipment Corp. ...................... 40,552
302,766 Intergraph Corp. ........................................ 1,911,211
43,982 International Rectifier Corp. ........................... 186,926
2,400 ITI Technologies Inc. ................................... 55,200
7,700 Itron Inc. .............................................. 72,188
4,800 IXC Communications Inc.+................................. 117,600
12,600 Kent Electronics......................................... 114,975
700 L-3 Communications Corp. ................................ 23,188
33,500 Lam Research Corp. ...................................... 366,406
8,900 Lone Star Technologies Inc. ............................. 88,444
16,160 Marshall Industries*+.................................... 382,790
454 McWhorter Technologies, Inc.* ........................... 9,562
47,750 MDU Resources Group Inc. ................................ 1,220,609
3,342 Media General Inc. ...................................... 142,035
</TABLE>
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60
<PAGE>
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 6.6% (CONTINUED)
18,700 Memc Electronic Materials, Inc. ......................... $ 100,513
58,843 Mentor Graphics Corp. ................................... 408,223
31,587 Micro Warehouse Inc. .................................... 513,289
3,800 Micron Electronics Inc. ................................. 44,650
18,588 Minerals Technologies Inc. .............................. 674,977
241,760 MTS Systems Corp. ....................................... 3,022,000
19,560 Network Equipment Technologies, Inc. .................... 198,045
6,500 Omnipoint Corp. ......................................... 71,500
4,190 Omniquip International Inc. ............................. 47,138
9,616 On Command Corp. ........................................ 99,766
7,500 Pagemart Wireless Inc., Class A Shares................... 55,313
149,379 Park Electrochemical Corp. .............................. 1,997,944
12,243 Physician Reliance Network, Inc. ........................ 97,179
35,549 PictureTel Corp. ........................................ 208,850
5,713 Plains Resources Inc. ................................... 87,837
1,300 Platinum Software Corp. ................................. 15,600
53,700 Policy Management Systems Corp. ......................... 2,241,975
1,200 PRI Automation Inc. ..................................... 15,000
3,500 Primex Technologies, Inc. ............................... 128,625
5,000 Recoton Corp. ........................................... 117,500
9,700 Scientific Games Holdings Inc.+.......................... 187,331
194,600 Scitex Corp. ............................................ 1,994,650
8,700 Scott Technologies Inc., Class A Shares.................. 113,100
58,000 Sensormatic Electronics Corp. ........................... 442,250
33,074 Sequent Computer Systems Inc.* .......................... 212,914
21,234 Shiva Corp. ............................................. 91,572
22,311 Silicon Valley Group Inc. ............................... 214,743
8,812 Siliconix Inc. .......................................... 148,703
44,547 Sill Inc. ............................................... 136,425
3,100 Smart Modular Technologies, Inc. ........................ 47,275
13,353 Southern Union Co. ...................................... 237,016
11,617 Standard Register Co. ................................... 364,483
26,667 Stratus Computer Inc.* .................................. 670,008
2,652 Superior Telecom Inc. ................................... 101,108
75,200 Sybase Inc. ............................................. 517,000
3,600 Syntroleum Corp.+........................................ 28,800
4,800 System Software Associates, Inc. ........................ 21,600
3,300 Tetra Technologies Inc. ................................. 41,869
2,000 Thermo Ecotek Corp. ..................................... 29,875
693 Thermo Optek Corp. ...................................... 5,544
8,006 Ultratech Stepper Inc.+.................................. 138,604
143,100 Unova Inc. .............................................. 2,280,657
1,700 Vanguard Cellular Systems, Class A Shares................ 31,875
49,939 Vishay Intertechnology Inc. ............................. 524,360
37,100 Vlsi Technology, Inc. ................................... 336,219
6,200 Volt Information Sciences, Inc. ......................... 125,550
185,800 Wallace Computer Services, Inc. ......................... 3,007,638
7,968 Winstar Communications Inc.+............................. 145,416
- --------------------------------------------------------------------------------
49,045,097
- --------------------------------------------------------------------------------
TOBACCO -- 0.3%
276,600 Dimon Inc. .............................................. 2,541,263
5,818 General Cigar Holdings, Inc. ............................ 31,999
- --------------------------------------------------------------------------------
2,573,262
- --------------------------------------------------------------------------------
</TABLE>
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61
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
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SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TRANSPORTATION -- 3.4%
22,974 Air Express International Corp. ......................... $ 393,420
172,100 Airborne Freight Corp. .................................. 3,355,950
14,000 Airgas Inc. ............................................. 166,250
767 Airnet Systems Inc. ..................................... 11,505
15,975 Airtran Holdings Inc. ................................... 67,894
19,375 Alaska Air Group Inc.*................................... 754,414
38,421 America West Holdings Corp. ............................. 746,808
20,309 American Freightways Corp. .............................. 154,856
20,091 Arnold Industries, Inc. ................................. 243,603
55,400 Bandag Corp., Class A Shares............................. 1,585,825
7,484 Banner Aerospace, Inc. .................................. 61,743
11,393 Circle International Group Inc. ......................... 230,708
19,538 Consolidated Freightways Corp. .......................... 170,959
4,200 Convenant Transport, Inc. ............................... 53,025
23,400 Dollar Thrifty Automotive Group, Inc. ................... 239,850
275,293 Fritz Co. ............................................... 2,202,344
3,400 Greyhound Lines Inc.* ................................... 12,964
184,200 Halter Marine Group, Inc. ............................... 1,657,800
10,063 Hvide Marine Inc., Class A Shares........................ 67,925
44,500 JB Hunt Transport Services, Inc. ........................ 753,720
20,805 Kirby Corp.* ............................................ 442,106
10,981 Landstar Systems Inc. ................................... 314,331
23,500 Mesa Air Group Inc. ..................................... 109,789
7,310 Midwest Express Holdings, Inc. .......................... 195,543
4,188 Motivepower Industries Inc. ............................. 83,760
25,904 Overseas Shipholding Group Inc. ......................... 369,133
2,900 Penske Motorsports Inc.+................................. 59,088
15,578 Roadway Express Inc. .................................... 235,618
47,954 Rollins Truck Leasing Corp. ............................. 455,559
100,000 Sea Containers Ltd. ..................................... 3,006,250
1,600 Swift Transportation Co. ................................ 26,200
49,522 Trans World Airlines, Inc.+.............................. 324,988
7,400 Tristar Aerospace Co. ................................... 61,975
12,222 US Bancorp Inc. of Pennsylvania.......................... 241,385
187,283 US Freightways Corp. .................................... 4,202,163
3,200 U.S. Xpress Enterprises, Inc., Class A Shares............ 36,000
27,876 Werner Enterprises Inc. ................................. 411,171
1,900 West Marine Corp. ....................................... 14,013
7,700 Woodward Governor Co. ................................... 178,050
140,722 Yellow Corp. ............................................ 1,679,869
- --------------------------------------------------------------------------------
25,378,554
- --------------------------------------------------------------------------------
UTILITIES -- 3.8%
154,288 AGL Resources Inc. ...................................... 2,825,399
6,601 Aquarion Co. ............................................ 225,672
28,021 Atmos Energy Corp. ...................................... 795,096
12,434 Bay State Gas Co. ....................................... 478,709
6,700 Belco Oil & Gas Corp. ................................... 47,319
18,531 Black Hills Corp. ....................................... 430,846
11,568 California Water Service Co. ............................ 253,050
19,932 Calpine Corp. ........................................... 369,988
3,377 Cellular Communications International, Inc.+............. 178,981
16,400 Central Hudson Gas & Electric Corp. ..................... 700,075
30,200 Central Maine Power Co. ................................. 526,613
1,700 Cliffs Drilling Co. ..................................... 24,119
8,690 Colonial Gas Co.+........................................ 235,716
9,958 Connecticut Energy Corp. ................................ 263,265
</TABLE>
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62
<PAGE>
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES -- 3.8% (CONTINUED)
4,746 Corecomm Inc. ........................................... $ 97,293
2,000 Crescent Operating Inc................................... 16,125
9,200 Cross Timbers Oil Co. +.................................. 115,575
110,000 CTG Resources Inc........................................ 2,543,750
76,900 Cypress Semiconductor Corp............................... 471,013
16,100 Earthshell Corp.......................................... 85,531
51,602 El Paso Electric Co. *................................... 406,365
500 Emmis Communications Corp., Class A Shares............... 18,750
16,705 Empire District Electric Co.............................. 349,761
24,966 Energen Corp............................................. 390,093
2,000 Exodus Communications Inc................................ 57,500
15,200 Forcenergy Gas Exploration Inc........................... 86,450
1,000 GulfMark Offshore, Inc................................... 12,250
29,735 Hawaiian Electric Industries, Inc.+...................... 1,116,921
11,200 Horizon Offshore Inc..................................... 56,000
9,100 ICG Communications Inc.+................................. 163,231
35,000 Idaho Power Co........................................... 1,065,312
20,834 Indiana Energy Inc....................................... 597,675
14,000 Integrated Electrical Services, Inc...................... 210,875
16,113 Laclede Gas Co........................................... 364,557
15,659 Madison Gas & Electric Co................................ 360,157
31,371 Minnesota Power Inc...................................... 1,335,228
47,119 Nevada Power Co.......................................... 1,169,140
12,600 Orange & Rockland Utilities Inc.......................... 677,250
10,557 Otter Tail Power Co...................................... 370,815
22,629 Philadelphia Suburban Corp. ............................. 575,625
10,700 Roanoke Electric Steel Corp.............................. 139,100
2,400 Schnitzer Steel Industries Inc., Class A Shares.......... 36,000
26,367 Southwest Gas Corp....................................... 479,550
3,000 Special Metals Corp...................................... 32,250
2,400 Steel Dynamics Inc....................................... 26,700
2,353 Sumitomo Bank of California.............................. 88,826
28,700 Susquehanna Bancshares Inc............................... 563,238
2,948 Texas Regional Bancshares, Inc........................... 64,119
21,100 Titanium Metals Corp..................................... 242,650
25,957 United Water Resources, Inc.............................. 460,736
215,524 Washington Gas Light Co.................................. 5,118,695
51,964 The Washington Water Power Co............................ 880,140
- --------------------------------------------------------------------------------
28,200,094
- --------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $866,318,653)................ 726,882,506
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
63
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 0.1%
$ 100,000 U.S. Treasury Bill, 4.900% due 10/8/98.......... $ 99,496
200,000 U.S. Treasury Bill, 4.930% due 10/8/98.......... 198,986
100,000 U.S. Treasury Bill, 4.950% due 10/8/98.......... 99,490
320,000 U.S. Treasury Bill, 4.975% due 10/8/98.......... 318,363
- -------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost --
$716,339)..................................... 716,335
- -------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $867,034,992).... 727,598,841
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.8%
13,666,000 Goldman, Sachs & Co., 5.715% due 9/1/98;
Proceeds at maturity -- $13,668,169;
(Fully collateralized by U.S. Treasury Notes,
5.125% due 8/31/00;
Market value -- $13,945,321) (Cost --
$13,666,000)................................... 13,666,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$880,700,992**)............................... $741,264,841
- -------------------------------------------------------------------------------
</TABLE>
+ A portion of this security is on loan.
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
Classification of Investments
[Pie Chart appears here]
Technology 6.6%
Basic Industries 16.2%
Capital Goods 7.4%
Consumer Durables & Non-Durables 12.9%
Consumer Services 9.2%
Energy 8.4%
Financial Services 9.9%
Other Common Stock & Gov't Obligations 13.7%
Real Estate 9.0%
U.S. Treasury Obligations and Repurchase Agreement 1.9%
Banking 4.8%
SEE NOTES TO FINANCIAL STATEMENTS.
64
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 93.7%
- --------------------------------------------------------------------------------
BANKING -- 1.3%
4,700 Alabama National Bancorp.................................. $ 123,081
21,400 Anchor Bancorp, Wisconsin................................. 488,188
1,600 Andover Bancorp Inc....................................... 44,800
27,600 Area Bancshares Corp...................................... 752,100
3,200 Bancfirst Ohio Corp....................................... 83,200
2,400 Banknorth Group Inc....................................... 65,700
15,000 Brenton Banks Inc......................................... 275,625
2,500 Brookline Bancorp Inc..................................... 25,469
2,100 Cathay Bancorp Inc........................................ 59,325
13,455 Centennial Bancorp........................................ 164,824
7,300 Century South Banks Inc.+................................. 189,800
6,100 CFSB Bancorp, Inc......................................... 131,913
1,500 City Holding Co........................................... 55,500
7,800 Columbia Banking System Inc............................... 117,975
2,100 Cullen Frost Bankers Inc.................................. 89,775
3,300 Evergreen Bancorp Inc..................................... 76,725
3,410 F&M Bancorp Inc. of Wisconsin............................. 112,956
2,400 F&M National Corp......................................... 63,900
31,200 First Financial Bancorp................................... 834,600
800 First Financial Bankshares Inc............................ 30,050
1,900 First Palm Beach Bancorp.................................. 57,000
29,300 First Source Bancorp Inc.................................. 205,100
700 First Western Bancorp..................................... 16,494
30,024 Firstbank Puerto Rico..................................... 716,823
9,200 GBC Bancorp............................................... 193,200
6,100 Gold Banc Corp., Inc.+.................................... 86,925
6,500 Greater Bay Bancorp....................................... 156,000
15,559 Hamilton Bancorp Inc...................................... 435,652
17,081 Harbor Florida Bancshares Inc............................. 159,067
11,500 Haven Bancorp Inc......................................... 184,000
4,600 Horizon Bancorp Inc....................................... 167,900
21,300 Independence Community Bank Corp.......................... 234,300
5,200 International Bancshares Corp............................. 310,050
900 Interwest Bancorp, Inc.................................... 20,925
5,500 Mahoning National Bancorp Inc............................. 192,500
9,500 Mainstreet Bankgroup Inc.................................. 301,625
2,800 Maryland Federal Bancorp.................................. 94,850
664 Mercantile Bancorp Inc.................................... 29,175
8,084 Merchants New York Bancorp................................ 266,772
2,800 National Bancorp of Alaska Inc............................ 84,700
12,500 National Penn Bancshares, Inc............................. 303,125
1,000 NBT Bancorp Inc. ......................................... 22,750
7,400 Northwest Bancorp Inc. ................................... 74,000
11,800 Peoples Bancorp Inc. ..................................... 82,231
16,800 Premier Bancshares Inc.+.................................. 386,400
10,400 Prime Bancorp Inc. ....................................... 161,200
2,500 Prime Bancshares Inc. .................................... 42,812
6,800 Queens County Bancorp Inc. ............................... 241,400
3,100 Sandy Spring Bancorp Inc. ................................ 93,000
15,854 Santa Barbara Bancorp..................................... 396,350
30,032 Southwest Bancorp of Texas................................ 418,571
13,800 Staten Island Bancorp Inc. ............................... 214,762
700 Sterling Bancorp.......................................... 13,387
3,750 Susquehanna Bancshares Inc. .............................. 73,594
13,000 Texas Regional Bancshares, Inc., Class A Shares........... 282,750
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
65
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKING -- 1.3% (CONTINUED)
25,088 Triangle Bancorp Inc. ................................... $ 381,024
2,400 US Bancorp Inc. of Pennsylvania.......................... 47,400
4,850 Washington Trust Bancorp................................. 106,700
7,300 Western Bancorp+......................................... 215,350
- --------------------------------------------------------------------------------
11,255,370
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 5.5%
5,625 AFC Cable Systems Inc. .................................. 130,254
1,800 Aftermarket Technology Corp. ............................ 21,375
7,900 Allied Products Corp.*................................... 72,088
118,600 American Disposal Services, Inc. ........................ 3,476,463
14,562 American Homestar Corp. ................................. 223,891
86,600 Atwood Oceanics Inc. .................................... 1,439,725
14,500 Authentic Fitness Corp.*................................. 167,656
27,879 Aviation Sales Co.*...................................... 710,915
13,300 Berry Petroleum Co. ..................................... 162,925
2,900 Cambrex Corp. ........................................... 66,338
14,500 Caraustar Industries, Inc.*.............................. 308,125
43,300 Cellnet Data Systems Inc. ............................... 238,150
76,644 Champion Enterprises Inc. ............................... 1,791,554
18,150 Chart Industries Inc.*................................... 128,184
14,463 CHS Electronics, Inc.+................................... 182,595
4,000 Church & Dwight Co., Inc.*............................... 108,250
46,000 Cinar Films, Inc., Class B Shares........................ 761,875
6,450 Clarcor Inc.*............................................ 102,394
20,600 Computer Learning Centers Inc.+.......................... 97,850
26,200 Concentric Network Corp. ................................ 419,200
24,500 Cymer Inc. .............................................. 251,125
18,400 Dekalb Genetics Corp., Class B Shares.................... 1,593,900
8,900 Eagle Geophysical Inc. .................................. 48,950
124,700 Education Management Corp. .............................. 4,364,500
11,400 Engle Homes, Inc.*....................................... 150,338
23,200 Evergreen Resources Inc. ................................ 319,000
17,100 Federal Signal Corp. .................................... 348,413
19,500 G&K Services Inc., Class A Shares*+...................... 845,813
60,000 Gaylord Container Corp................................... 180,000
26,276 Getchell Gold Corp.++.................................... 236,484
19,000 Global Directmail Corp................................... 252,938
17,400 Hexcel Corp.+............................................ 168,563
11,507 Hunt Corp................................................ 186,989
109,000 Interim Services Inc..................................... 2,234,500
48,100 Ivex Packaging Corp...................................... 790,644
33,200 John Wiley & Sons, Inc................................... 1,933,900
70,200 Kaufman & Broad Home Corp.*+............................. 1,500,525
11,000 LeaRonal, Inc............................................ 207,625
5,100 Lilly Industries Inc., Class A Shares*................... 94,988
20,600 Littlefuse Inc. *........................................ 345,050
49,600 MacDermid Inc. *......................................... 1,376,400
8,400 Meristar Hotels & Resorts, Inc........................... 19,425
17,500 Mycogen Corp............................................. 350,000
13,800 N2K Inc.+................................................ 120,750
15,700 Nacco Industries Inc..................................... 1,495,425
39,700 Nautica Enterprises Inc.................................. 766,706
300,540 Newpark Resources Inc.*++................................ 1,709,321
6,000 NL Industries Inc........................................ 119,250
31,700 Oakwood Homes Corp.*+.................................... 451,725
5,950 OM Group Inc............................................. 171,062
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
66
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 5.5% (CONTINUED)
7,800 Pinnacle Systems Inc..................................... $ 234,975
10,925 The Profit Recovery Group International, Inc............. 206,209
38,700 Quiksilver Inc........................................... 532,125
9,300 Republic Bancorp+........................................ 154,612
8,200 Republic Group Inc. ..................................... 123,000
8,731 Samsonite Corp. ......................................... 52,386
6,500 Scotts Co................................................ 185,250
21,150 SCP Pool Corp............................................ 259,087
20,800 Seitel Inc............................................... 187,200
14,500 Service Experts Inc...................................... 389,687
22,569 Simpson Manufacturing Co. Inc............................ 657,322
19,500 Sipex Corp............................................... 349,781
15,900 Smartalk Teleservices Inc.+.............................. 100,369
15,300 Speedway Motorsports Inc.+............................... 248,625
15,200 Splash Technology Holdings Inc........................... 228,000
6,100 SPX Corp................................................. 303,475
19,800 St. John Knits Inc.*+.................................... 377,437
41,300 Staffmark Inc.+.......................................... 738,237
15,300 Stein Mart Inc. ......................................... 135,787
3,100 Stepan Co. .............................................. 78,275
20,500 Stillwater Mining Co..................................... 360,031
7,500 Strayer Education Inc.................................... 198,750
24,900 Superior Services Inc. .................................. 619,387
159,240 Swift Energy Co.+........................................ 1,403,302
21,000 Synetic Inc.............................................. 669,375
5,800 Syntel Inc.+............................................. 66,700
34,000 TJ International, Inc. .................................. 711,875
32,800 TMP Worldwide Inc.+...................................... 959,400
23,760 Tredegar Industries Inc.*................................ 383,130
30,000 Tyler Corp. ............................................. 196,875
157,200 Varco International Inc. ................................ 1,120,050
14,300 Walter Industries Inc. .................................. 201,987
17,400 Watsco Inc.*............................................. 254,475
11,913 Wausau-Mosinee Paper Corp. .............................. 151,891
17,100 WD-40 Co.*............................................... 354,825
13,700 Wilmar Industries Inc. .................................. 260,300
- --------------------------------------------------------------------------------
46,698,308
- --------------------------------------------------------------------------------
BASIC MATERIALS -- 0.6%
41,500 Agribiotech Inc.+........................................ 357,937
52,900 Airgas Inc. ............................................. 628,187
17,200 Anicom Inc. ............................................. 146,200
252,300 Battle Mountain Gold Co. ................................ 772,669
3,000 BWAY Corp.+.............................................. 55,125
50,000 CompX International Inc. ................................ 853,125
5,000 Dexter Corp. ............................................ 123,750
4,900 Earthshell Corp. ........................................ 26,031
22,500 Ethyl Corp. ............................................. 95,625
4,700 Foamex International Inc. ............................... 70,500
2,500 Intermet Corp. .......................................... 37,500
300 Penford Corp. ........................................... 7,950
2,900 Special Devices Inc. .................................... 99,688
36,100 Superior Telecom Inc. ................................... 1,376,313
20,100 Texas Industries Inc. ................................... 727,369
- --------------------------------------------------------------------------------
5,377,969
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
67
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BROADCASTING -- 2.5%
20,134 American Mobile Satellite Corp.+......................... $ 110,737
25,800 American Tower Corp. .................................... 406,350
11,600 CD Radio Inc. ........................................... 175,450
100,000 Chancellor Media Corp., Class A Shares+.................. 3,568,750
86,028 Clear Channel Communications, Inc. ...................... 3,871,260
193,085 Cox Radio Inc. .......................................... 8,242,316
60,400 Emmis Communications Corp., Class A Shares............... 2,265,000
78,000 Heftel Broadcasting Corp. ............................... 2,359,500
41,900 TCI Satellite Entertainment, Class A Shares.............. 167,600
- --------------------------------------------------------------------------------
21,166,963
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 5.5%
21,900 AAR Corp.*............................................... 484,538
115,400 Actel Corp. ............................................. 1,117,938
38,900 Ametek Inc. ............................................. 758,550
5,800 Anixter International Inc. .............................. 94,250
16,400 AptarGroup, Inc. ........................................ 465,350
18,400 Astec Industries Inc. ................................... 648,600
15,266 Baldor Electric Co.*..................................... 313,907
18,700 Belden Inc.*............................................. 278,163
4,000 Benchmark Electronics Inc. .............................. 76,000
9,400 Blount International, Inc., Class A Shares............... 223,250
24,080 Brady Corp.*............................................. 403,340
26,100 Briggs & Stratton Corp. ................................. 960,806
5,000 Carlisle Cos. Inc.*...................................... 189,375
39,200 Carpenter Technology Corp.*.............................. 1,418,550
52,700 Catalytica, Inc. ........................................ 543,469
18,000 Centennial Cellular Corp., Class A Shares................ 668,250
14,650 Chase Industries Inc. ................................... 186,788
5,300 Columbus McKinnon Corp. ................................. 94,738
32,900 Comfort Systems USA, Inc. ............................... 588,088
11,900 Commercial Intertech Corp. .............................. 171,063
17,400 Credence Systems Corp. .................................. 252,300
7,800 Crossmann Communities Inc. .............................. 198,900
20,300 Cuno Inc. ............................................... 307,038
5,200 D.R. Horton, Inc.+....................................... 83,200
8,000 Daniel Industries Inc. .................................. 89,000
32,650 Ducommun Inc. ........................................... 561,172
12,500 Dycom Industries Inc. ................................... 345,313
4,600 Echostar Communications Corp. ........................... 81,075
53,500 Elcor Corp. ............................................. 1,243,875
2,000 Electroglas Inc. ........................................ 21,500
5,100 Essex International Inc. ................................ 95,625
21,646 Furon Co.*............................................... 355,806
15,000 Gardner Denver Inc. ..................................... 284,063
64,600 General Cable Corp.*..................................... 1,292,000
84,500 Gentex Corp. ............................................ 977,031
1,000 Giant Cement Holding, Inc. .............................. 26,188
12,525 Graco Inc.*.............................................. 311,559
20,000 Group Maintenance America Corp. ......................... 273,750
7,000 Gulf Island Fabrication Inc. ............................ 70,000
31,099 Halter Marine Group Inc. ................................ 279,891
6,900 Heico Corp. ............................................. 138,431
45,100 Hussmann International Inc. ............................. 591,938
9,200 Insituform Technology, Inc., Class A Shares.............. 113,850
151,800 Integrated Process Equipment Corp. ...................... 834,900
17,600 ITEQ, Inc. .............................................. 77,550
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
68
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 5.5% (CONTINUED)
8,200 Itron Inc.+.............................................. $ 76,875
41,600 JLG Industries Inc.*..................................... 611,000
2,800 JLK Direct Distribution Inc., Class A Shares............. 36,575
38,100 Kaydon Corp.*............................................ 1,031,081
11,900 Kellstrom Industries, Inc. .............................. 274,444
4,400 Kemet Corp. ............................................. 51,150
17,100 Kent Electronics Corp. .................................. 156,037
3,800 Lam Research Corp. ...................................... 41,562
18,400 Lennar Corp. ............................................ 333,500
121,225 Level One Communications Inc.+........................... 2,113,861
2,100 Lincoln Electric Holding Inc. ........................... 36,750
14,850 Lindsay Manufacturing Co.*............................... 298,856
24,000 Lo-Jack Corp. ........................................... 273,000
31,900 Magnetek Inc. ........................................... 414,700
12,875 Manitowoc Co. Inc.*...................................... 338,773
24,100 Mascotech Inc.*.......................................... 421,750
14,800 Maverick Tube Corp. ..................................... 83,250
41,500 Modine Manufacturing Co.*................................ 1,154,219
15,300 Modtech Inc. ............................................ 260,100
3,400 Monaco Coach Corp. ...................................... 73,525
25,050 National R.V. Holdings Inc. ............................. 494,737
4,600 Nordson Corp. ........................................... 196,075
38,800 Novellus Systems Inc. ................................... 1,033,050
13,200 NS Group Inc. ........................................... 78,375
1,600 NVR Inc. ................................................ 52,100
4,600 OEA Inc. ................................................ 35,650
9,700 Omniquip International Inc.*............................. 109,125
30,000 Pittway Corp. Delaware, Class A Shares................... 1,125,000
51,900 Plantronics Inc. ........................................ 2,491,200
4,800 Precision Castparts Co. ................................. 180,900
31,000 Presstek Inc. ........................................... 253,812
1,497 Quanex Corp.*............................................ 32,560
9,557 Regal Beloit Corp. ...................................... 187,556
31,730 Rohn Industries Inc.*.................................... 91,224
29,800 Roper Industries Inc. ................................... 506,600
15,300 Schweitzer Mauduit International Inc.*................... 379,631
8,100 Speciality Equipment Cos. ............................... 162,000
25,800 SPS Technologies Inc. ................................... 1,077,150
15,800 Standard-Pacific Corp. .................................. 186,637
9,350 Standex International Corp.*............................. 208,037
40,800 Steel Dynamics Inc. ..................................... 453,900
21,800 Sturm Ruger & Co, Inc.*.................................. 305,200
30,150 Sunterra Corp.+.......................................... 277,003
10,400 Tennant Co.*............................................. 414,700
27,100 Trimble Navigation Ltd. ................................. 277,775
3,300 Tristar Aerospace Co. ................................... 27,637
13,800 Ultratech Stepper Inc.+.................................. 238,912
3,900 Valhi Inc. .............................................. 48,506
11,322 Valmont Industries Inc.*................................. 171,245
110,000 Vitesse Semiconductors Corp. ............................ 2,983,750
100,600 Waters Corp. ............................................ 5,419,825
10,400 Wyman-Gordon Co. ........................................ 145,600
17,300 X-Rite Inc.*............................................. 151,375
13,500 Zoltek Co., Inc.+........................................ 175,500
- --------------------------------------------------------------------------------
46,644,323
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
69
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMPUTER SERVICES -- 0.5%
3,200 Komag Inc. .............................................. $ 8,800
57,500 Microchip Technology Inc.+............................... 1,052,969
35,900 Micron Electronics Inc. ................................. 421,825
38,300 National Data Corp. ..................................... 1,340,500
87,500 Siebel Systems Inc. ..................................... 1,640,625
- --------------------------------------------------------------------------------
4,464,719
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 4.4%
84,600 Action Performance Cos., Inc.+........................... 1,956,375
12,100 Adams Golf, Inc. ........................................ 62,769
13,600 Ashworth Inc. ........................................... 76,500
27,200 BE Aerospace, Inc. ...................................... 566,100
36,814 Berg Electronics Corp. .................................. 1,196,455
27,500 Brylane Inc. ............................................ 713,281
27,562 Buckeye Technologies Inc. ............................... 435,824
3,400 Bush Industries Inc., Class A Shares..................... 62,688
37,354 Centex Construction Products, Inc. ...................... 1,442,798
9,200 The Children's Place Retail Stores, Inc. ................ 74,175
7,300 Corecomm Inc. ........................................... 149,650
32,813 Cort Business Services Corp. ............................ 801,868
25,400 Donaldson Co., Inc. ..................................... 450,850
95,769 Etec Systems, Inc. ...................................... 2,310,427
4,400 Federal Mogul Corp.+..................................... 234,850
3,000 First Brands Corp. ...................................... 59,813
8,800 FSI International Inc. .................................. 47,300
5,400 Furniture Brands International, Inc. .................... 120,825
18,500 Garden Ridge Corp. ...................................... 166,500
5,700 General Binding Corp. ................................... 189,703
28,741 Holophane Corp. ......................................... 599,968
107,200 Interface Inc. .......................................... 1,313,200
40,400 Jones Apparel Group Inc.+................................ 782,750
7,000 The Kroll-O'Gara Co. .................................... 162,750
66,950 Kronos Inc. ............................................. 2,485,519
34,200 Kuhlman Corp. ........................................... 807,975
8,200 Ladish Co. Inc. ......................................... 76,875
137,900 Marine Drilling Co. ..................................... 1,241,100
16,736 Matthews International Corp., Class A Shares............. 412,124
9,900 Metals USA Inc. ......................................... 114,469
30,000 Miller Inc. ............................................. 615,000
34,450 Miller Industries Inc. .................................. 152,872
1,800 Movado Group Inc. ....................................... 32,062
4,100 Myers Industries Inc. ................................... 84,563
18,600 Nature's Sunshine Products, Inc. ........................ 262,725
317,700 NBTY, Inc. .............................................. 2,899,012
14,400 NCI Building Systems, Inc. .............................. 255,600
8,400 New England Business Services Inc. ...................... 233,100
15,200 Novel Denim Holdings Ltd. ............................... 204,250
14,600 Oneida Ltd. ............................................. 297,475
16,400 Oshkosh B'Gosh Inc., Class A Shares...................... 598,600
22,046 Palm Harbor Homes Inc. .................................. 553,912
1,088 Panavision Inc. ......................................... 19,104
11,850 Piercing Pagoda Inc. .................................... 216,262
248,681 Rational Software Corp. ................................. 2,766,576
2,050 Remec Inc. .............................................. 16,656
30,500 Stage Stores Inc. ....................................... 318,344
10,400 Steinway Musical Instruments Inc. ....................... 254,800
10,200 Stoneridge Inc. ......................................... 184,875
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
70
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 4.4% (CONTINUED)
50,500 Stride Rite Corp. ....................................... $ 441,875
47,100 Sunglass Hut International, Inc. ........................ 270,825
7,900 Superior Consultants Holdings Corp. ..................... 241,444
1,500 Superior Industries International Inc. .................. 31,219
16,300 Tefron Ltd. ............................................. 248,575
80,177 Terex Corp. ............................................. 1,262,788
14,300 Thermo Fibertek Inc.+.................................... 116,187
1,200 Thomas Industries Inc. .................................. 22,275
5,000 Thor Industries Inc. .................................... 102,812
6,000 Timberland Co., Class A Shares........................... 255,750
43,400 Tommy Hilfiger Corp.+.................................... 2,028,950
4,200 Tower Automotive Inc. ................................... 76,912
14,700 Triumph Group Inc. ...................................... 477,750
37,500 United Stationers Inc. .................................. 2,221,875
3,400 Virco Manufacturing Corp. ............................... 63,325
17,750 Wynn's International Inc. ............................... 300,641
- --------------------------------------------------------------------------------
37,244,472
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 4.6%
3,000 800-JR Cigar, Inc. ...................................... 33,000
14,700 Abercrombie & Fitch Co., Class A Shares.................. 632,100
31,500 Advanced Lighting Technology Inc. ....................... 511,875
3,500 Agribrands International Inc. ........................... 101,938
79,300 American Italian Pasta Co., Class A Shares............... 1,987,456
29,500 Apple South Inc.*........................................ 339,250
33,900 Bally Total Fitness Holding Corp. ....................... 516,975
19,900 Beringer Wine Estates Holdings, Class B Shares+.......... 606,950
3,000 Boise Cascade Office Products Corp. ..................... 41,063
14,500 Boston Beer Co. Inc., Class A Shares..................... 96,063
15,800 Buffets Inc. ............................................ 199,475
20,000 Celestial Seasonings Inc. ............................... 705,000
18,350 The Cheesecake Factory Inc.+............................. 300,481
1,500 Coca Cola Bottling Co. .................................. 92,625
9,800 Coleman Co. Inc. ........................................ 99,225
3,500 Columbia Sportswear Co. ................................. 44,625
9,800 Consolidated Cigar Holdings Inc. ........................ 72,888
22,752 Consolidated Products Inc. .............................. 352,656
15,300 Dave & Buster's Inc. .................................... 237,150
10,300 Department 56 Inc. ...................................... 303,850
23,400 Dreyer's Grand Ice Cream Inc.*........................... 242,775
3,200 Earthgrains Co.*......................................... 88,000
3,800 Flowserve Corp.*......................................... 71,250
9,600 French Fragrances Inc. .................................. 60,000
21,674 Goody's Family Clothing Inc.+............................ 390,132
107,400 Guitar Center Inc. ...................................... 2,020,463
16,600 Gymboree Corp. .......................................... 145,250
13,800 Hain Food Group Inc. .................................... 232,875
23,100 Hayes Lemmerz International, Inc. ....................... 687,225
2,600 Horizon Organic Holdings Corp. .......................... 33,150
23,000 Kenneth Cole Productions Inc. ........................... 309,063
16,000 Keystone Automotive Industries Inc. ..................... 242,000
105,100 Knoll Inc. .............................................. 2,726,031
14,100 KV Pharmaceuticals Co., Class B Shares................... 204,450
24,000 Lance Inc.*.............................................. 444,000
19,700 Landry Seafood Restaurants Inc. ......................... 165,603
10,500 Lands End Inc. .......................................... 215,250
11,490 Libbey Inc.*............................................. 351,163
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
71
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 4.6% (CONTINUED)
85,400 Linens 'n Things, Inc.+.................................. $ 1,996,225
6,200 Maxwell Shoe Co. Inc. ................................... 81,375
16,000 Midas Inc. .............................................. 362,000
13,000 The North Face Inc.+..................................... 133,250
11,980 NPC International Inc. .................................. 124,292
3,900 Octel Corp. ............................................. 59,963
41,725 Papa John's International Inc. .......................... 1,105,712
1,350 Performance Food Group Co. .............................. 26,156
136,700 Petsmart Inc. ........................................... 674,956
8,400 Pillowtex Corp. ......................................... 232,050
24,500 Rainforest Cafe Inc. .................................... 202,125
20,627 Regis Corp.*............................................. 469,264
127,100 Rexall Sundown Inc.+..................................... 2,319,575
54,000 Richfood Holdings Inc.*.................................. 1,110,375
10,600 Riviana Foods, Inc.*..................................... 223,925
27,300 Robert Mondavi Corp., Class A Shares..................... 569,887
58,400 Smithfield Foods Inc. ................................... 1,065,800
6,400 TCBY Enterprises Inc. ................................... 37,600
11,100 Tejon Ranch Co.*......................................... 219,225
169,600 Twinlab Corp. ........................................... 4,939,600
6,600 United National Foods, Inc. ............................. 147,675
105,500 United Rentals Inc. ..................................... 2,057,250
18,300 Universal Corp. ......................................... 576,450
4,300 USA Floral Products Inc. ................................ 30,369
12,800 Vlasic Foods International Inc. ......................... 185,600
5,200 Weider Nutrition International Inc. ..................... 45,825
70,600 Whole Foods Market Inc. ................................. 2,921,075
12,900 Wild Oats Markets Inc. .................................. 245,100
22,200 Windmere-Durable Holdings, Inc. ......................... 527,250
49,000 Wolverine Worldwide Inc. ................................ 517,562
- --------------------------------------------------------------------------------
39,110,836
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 21.5%
5,200 @entertainment, Inc. .................................... 45,500
7,275 99 Cents Only Stores..................................... 255,534
27,500 Aaron Rents, Inc. ....................................... 443,438
30,600 Abacus Direct Corp.+..................................... 1,250,775
38,600 ABM Industries Inc.*..................................... 984,300
34,200 ABR Information Services Inc............................. 495,900
18,600 Ackerley Group Inc. *.................................... 404,550
155,800 Acxiom Corp.+............................................ 3,125,738
6,700 Adelphia Communications Corp............................. 231,150
6,900 Administaff Inc.......................................... 215,625
22,900 Advantica Restaurant Group Inc........................... 108,059
22,900 Advo Inc................................................. 569,638
117,400 AHL Services Inc......................................... 3,243,175
11,700 Air & Water Technologies Inc............................. 21,938
71,700 Allied Waste Industries Inc.............................. 1,362,300
18,000 Alternative Resources Corp............................... 114,750
11,400 Ambassadors International, Inc........................... 218,025
1,900 AMC Entertainment Inc.................................... 24,225
7,500 American Classic Voyages Co.............................. 104,063
52,900 American Management Systems Inc.......................... 1,415,075
54,200 American Media Inc., Class A Shares...................... 308,263
18,200 American Skiing Corp..................................... 145,600
9,900 Ames Department Stores Inc............................... 146,025
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
72
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SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 21.5% (CONTINUED)
16,100 Anchor Gaming Inc........................................ $ 772,800
97,900 AnswerThink Consulting Group, Inc.+...................... 1,688,775
22,700 APAC Teleservices Inc.................................... 70,938
13,400 Applebee's International Inc.*........................... 247,900
51,399 Applied Graphics Technologies, Inc....................... 1,050,467
10,900 Atria Communities Inc.+.................................. 207,781
1,400 Avis Rent A Car Inc...................................... 21,963
102,100 BA Merchant Services, Inc................................ 1,269,869
11,423 Barnett Inc.............................................. 138,504
70,300 Big Flower Holdings Inc.................................. 1,485,088
51,000 Billing Concepts Corp.................................... 452,625
60,000 BJ Services Co........................................... 757,500
34,900 Borders Group Inc.+...................................... 660,919
13,000 Borg-Warner Security Corp................................ 184,438
62,874 Brightpoint Inc.+........................................ 569,796
18,050 Buckle Inc............................................... 354,231
55,100 Budget Group Inc., Class A Shares........................ 936,700
30,500 Cadiz Inc. .............................................. 247,813
109,700 Caribiner International Inc.+............................ 1,055,863
29,200 Carriage Services Inc.................................... 573,050
6,100 Casella Waste Systems Inc., Class A Shares............... 153,263
94,746 Casey's General Stores Inc.*............................. 1,225,776
60,200 Catalina Marketing Corp.+................................ 2,532,163
14,900 Cavanaughs Hospitality Corp.............................. 154,588
43,975 CEC Entertainment, Inc................................... 1,003,180
32,800 Cellstar Corp.+.......................................... 217,300
94,700 Central Garden & Pet Co.+................................ 1,337,638
61,650 Central Parking Corp.*+.................................. 2,546,916
29,000 Century Communications Corp.............................. 674,250
7,900 Championship Auto Racing Teams Inc....................... 156,025
46,100 Choice Hotels Corp. Inc.................................. 553,200
16,600 Choicepoint Inc.......................................... 657,775
9,800 Churchill Downs Inc...................................... 289,100
9,566 CKS Group Inc............................................ 130,935
44,250 Claire's Stores Inc.*.................................... 663,750
14,751 Coinmach Laundry Corp.+.................................. 165,949
16,400 Cole National Corp., Class A Shares...................... 345,425
14,200 Collins & Aikman Corp.................................... 92,300
16,800 Commnet Cellular Inc..................................... 128,100
11,500 Consolidated Graphics Inc................................ 575,719
107,200 Cooper Cos. Inc.......................................... 2,150,700
102,900 Cost Plus Inc............................................ 2,656,106
3,300 Crescent Operating Inc................................... 26,606
90,409 CSG Systems International Inc.+.......................... 3,322,531
111,600 Daisytek International Corp.............................. 1,980,900
31,700 Dal-Tile International Inc............................... 269,450
37,300 Day Runner Inc........................................... 638,763
228,100 DeVry Inc.+.............................................. 4,120,056
11,000 Diamond Technology Partners Inc.......................... 255,750
69,475 Dollar Tree Stores Inc.+................................. 2,014,775
15,700 Dominick's Supermarkets Inc.............................. 707,481
16,100 Doubleclick Inc.+........................................ 384,388
4,800 Dover Downs Entertainment Inc............................ 126,600
41,500 E*TRADE Group Inc.+...................................... 689,938
155,099 Eagle Hardware & Garden Inc.............................. 3,315,241
162,600 Eastern Environmental Services Inc....................... 4,186,950
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
73
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CONSUMER SERVICES -- 21.5% (CONTINUED)
2,500 EduTrek International Inc., Class A Shares.............. $ 17,500
103,700 Electro Rent Corp....................................... 1,322,175
18,750 Equity Corp. International.............................. 438,281
30,600 Ethan Allen Interiors Inc.*............................. 994,500
2,500 Executive Risk Inc.*.................................... 90,000
39,700 Extended Stay America Inc............................... 347,375
54,000 E.spire Communications Inc.+............................ 850,500
39,400 Fair Issac & Co.*....................................... 1,218,938
53,800 Fairfield Communities Inc............................... 524,550
47,979 Family Golf Centers Inc.+............................... 725,682
10,038 Felcor Lodging Trust, Inc............................... 204,524
19,800 The Finish Line Inc., Class A Shares.................... 170,775
6,600 Finlay Enterprises Inc.................................. 66,825
39,300 Foodmaker Inc........................................... 542,831
5,800 Footstar Inc............................................ 168,925
14,908 Forest City Enterprises, Inc., Class A Shares........... 338,225
2,600 Forrester Research Inc.................................. 80,600
22,645 Fossil Inc.............................................. 373,643
4,600 Fred's Inc.............................................. 67,275
5,400 Friedman's Inc., Class A Shares......................... 51,975
7,500 FYI Inc................................................. 187,500
9,352 Gadzooks, Inc........................................... 56,404
32,200 Genesco Inc............................................. 169,050
48,800 Genesis Direct Inc...................................... 140,300
13,660 Genovese Drug Stores Inc................................ 227,951
40,400 Getty Images Inc........................................ 570,650
12,300 Global Imaging Systems Inc.............................. 127,613
1,000 Gray Communications System Inc.......................... 28,875
700 Grey Advertising Inc.................................... 224,000
8,900 Group 1 Automotive Inc.................................. 105,688
227,075 Ha-Lo Industries Inc.*.................................. 5,279,494
5,500 Hagler Bailly, Inc...................................... 106,563
5,800 Hancock Fabrics Inc.*................................... 55,100
111,300 Hanover Direct Inc...................................... 306,075
30,700 Hollinger International Inc............................. 429,800
16,600 Hollywood Entertainment Corp............................ 171,188
22,200 Host Marriott Services Corp............................. 219,225
16,100 Hot Topic Inc.+......................................... 253,575
22,292 Houghton Mifflin Co..................................... 672,940
20,150 Idex Corp.*............................................. 423,150
4,900 IDG Books Worldwide, Inc., Class A Shares............... 56,350
23,700 IDT Corp................................................ 343,650
3,400 IMCO Recycling Inc.*.................................... 41,225
1,600 Imperial Credit Commercial Mortgage Investment Corp..... 14,400
31,400 Industri-Matematik International Corp................... 188,400
12,150 Information Management Resources Inc.................... 233,887
176 Insilco Corp............................................ 7,040
19,900 International Speedway Corp., Class A Shares............ 547,250
20,300 Iron Mountain Inc.+..................................... 477,050
28,600 ITC Deltacom Inc........................................ 908,050
20,700 ITT Educational Services Inc............................ 569,250
2,500 John H. Harland Co.*.................................... 32,656
6,600 Jones Intercable Inc., Class A Shares................... 143,550
42,965 Jostens Inc.*........................................... 853,929
90,225 Just For Feet Inc....................................... 1,280,067
55,100 K&G Men's Center Inc.................................... 430,469
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
74
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CONSUMER SERVICES -- 21.5% (CONTINUED)
184,800 Labor Ready Inc......................................... $ 2,102,100
97,500 Lamar Advertising Co.+.................................. 3,168,750
15,900 LaSalle Partners Inc.................................... 549,544
20,700 Lason Inc............................................... 839,644
6,300 Leasing Solutions Inc................................... 148,444
52,100 Lee Enterprises Inc..................................... 1,230,862
10,700 Lithia Motors Inc., Class A Shares...................... 117,700
10,500 MacroChem Corp.+........................................ 36,750
108,700 Macromedia Inc.......................................... 1,365,544
28,300 Macrovision Corp........................................ 502,325
38,100 Mail-Well Inc.+......................................... 633,412
16,900 Malibu Entertainment Worldwide Inc.+.................... 33,800
12,300 Maxim Group Inc......................................... 229,088
6,200 Maximus Inc............................................. 136,012
15,400 May & Speh, Inc......................................... 242,550
12,900 McGrath Rentcorp.*...................................... 231,394
2,700 Media Arts Group Inc.................................... 26,662
23,200 Media General Inc....................................... 986,000
13,400 Memberworks Inc......................................... 207,700
260,275 The Men's Wearhouse, Inc.+.............................. 6,100,195
8,400 MeriStar Hospitality Corp............................... 141,750
34,400 Merrill Corp.*.......................................... 683,700
19,900 Metal Management Inc.................................... 85,818
88,050 Metamor Worldwide Inc................................... 2,091,187
38,600 Metro Networks Inc...................................... 1,324,462
17,800 Metromedia International Group Inc...................... 73,425
110,300 Metzler Group Inc.+..................................... 3,088,400
22,700 Michael Foods Inc....................................... 561,825
48,400 Michaels Stores, Inc.+.................................. 1,137,400
66,500 Micro Warehouse Inc..................................... 1,080,625
40,100 Musicland Stores Corp................................... 375,937
49 Navigant International, Inc............................. 291
8,100 NCO Group Inc........................................... 142,762
8,300 NEXTLINK Communications, Inc., Class A Shares........... 172,225
21,700 NFO Worldwide Inc....................................... 203,437
16,700 Norrell Corp.*.......................................... 208,750
19,300 North Pittsburgh Systems Inc............................ 246,075
21,700 Novacare Employee Services, Inc......................... 113,925
21,400 Oak Industries Inc...................................... 640,662
25,200 Oakley Inc.............................................. 253,575
12,700 On Assignment Inc....................................... 409,575
88,700 Onsale Inc.+............................................ 1,275,074
15,002 O'Reilly Automotive Inc................................. 433,183
25,200 Pacific Gateway Exchange Inc............................ 886,725
150,225 Pacific Sunware of California, Inc...................... 2,741,606
8,100 Party City Corp......................................... 117,450
41,000 Pegasus Communications Corp............................. 814,875
34,400 Pegasus Systems Inc..................................... 533,200
3,600 Penske Motorsports Inc.+................................ 73,350
123,400 Personnel Group Of America Inc.+........................ 1,395,962
11,500 Petco Animal Supplies Inc............................... 81,219
17,800 Peterson Co., Class A Shares............................ 569,600
12,100 Phymatrix Inc........................................... 34,031
8,700 Pierce Leahy Corp....................................... 147,900
15,000 PJ America Inc.......................................... 213,750
29,300 Planet Hollywood International Inc., Class A Shares..... 139,175
</TABLE>
75
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CONSUMER SERVICES -- 21.5% (CONTINUED)
19,500 Playboy Enterprises Inc., Class B Shares................ $ 238,875
11,200 Polaris Industries Inc.*................................ 339,500
28,500 Pre-Paid Legal Services Inc. ........................... 632,344
192,300 Premier Parks Inc.+..................................... 3,124,875
127,300 Prime Hospitality Corp. ................................ 1,058,181
9,150 ProBusiness Services, Inc.+............................. 210,450
44,400 Proffitt's Inc. ........................................ 1,132,200
16,300 Protection One Inc. .................................... 171,150
6,100 Pulitizer Publishing Co.*............................... 463,981
125,500 QuadraMed Corp. ........................................ 2,980,625
16,560 Reckson Services Industries Inc. ....................... 46,575
4,600 RemedyTemp Inc., Class A Shares......................... 102,925
16,880 Renaissance Worldwide, Inc.+............................ 168,800
20,500 Rent-Way Inc. .......................................... 507,375
11,900 Rental Service Corp. ................................... 286,344
31,700 Renters Choice Inc. .................................... 717,212
22,462 Rollins Inc.*........................................... 411,335
130,803 Romac International Inc.+............................... 2,452,556
135,500 Safeguard Scientifics Inc. ............................. 3,268,937
135,600 Scandanavian Broadcasting System SA+.................... 3,017,100
8,000 Schwak Inc. ............................................ 118,500
82,000 Select Appointments Holdings Ltd. ADR................... 1,793,750
61,800 SFX Entertainment Inc. ................................. 1,938,975
27,300 Silverleaf Resorts Inc. ................................ 221,812
46,300 Sitel Corp. ............................................ 167,837
68,589 Skytel Communications Inc. ............................. 900,231
3,100 SM&A Corp. ............................................. 65,487
6,500 Snyder Communications Inc.+............................. 195,812
15,540 Sonic Corp. ............................................ 247,669
7,500 SOS Staffing Services, Inc. ............................ 98,906
45,100 Sotheby's Holding Inc., Class A Shares.................. 772,337
17,800 Sparteck Corp.*......................................... 293,700
23,300 Specialty Teleconstructors+............................. 567,937
26,786 Spelling Entertainment Group Inc. ...................... 160,716
18,800 Staff Leasing Inc. ..................................... 282,000
24,000 STAR Telecommunications Inc. ........................... 252,000
15,300 Station Casinos Inc. ................................... 84,150
80,000 Stewart Enterprises Inc.*+.............................. 1,570,000
17,100 Suburban Lodges of America Inc. ........................ 141,075
16,400 Sykes Enterprises Inc. ................................. 215,250
36,925 Sylvan Learning Systems Inc.+........................... 789,272
2,000 TCA Cable Television Inc.*.............................. 46,000
134,600 Telegroup Inc. ......................................... 605,700
32,800 Trammell Crow Co. ...................................... 867,150
12,000 Trans World Entertainment Corp. ........................ 204,000
7,800 Travel Services International Inc. ..................... 169,650
3,600 Trendwest Resorts Inc. ................................. 43,425
18,300 Triarc Cos., Inc. ...................................... 273,356
17,700 Tweeter Home Entertainment Group Inc.+.................. 232,312
1,200 Uni First Corp. ........................................ 30,225
25,200 UniCapital Corp. ....................................... 264,600
1,300 United Auto Group Inc. ................................. 17,306
44,152 United International Holdings Inc., Class A Shares...... 452,558
33,000 United Payors & United Providers Inc. .................. 532,125
4,900 United Television Inc.*................................. 539,000
75,400 United Video Satellite Group, Class A Shares............ 1,149,850
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
76
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 21.5% (CONTINUED)
10,900 Urban Outfitters Inc. ................................... $ 157,369
2,600 US LEC Corp., Class A Shares............................. 37,700
200 U.S. Office Products Co. ................................ 1,500
11,900 U.S. Rentals Inc. ....................................... 214,200
44,700 U.S. Satellite Broadcasting Co. ......................... 284,962
15,800 USN Communications Inc. ................................. 35,550
10,700 Vail Resorts Inc.+....................................... 246,100
102,300 Verio Inc.+.............................................. 2,263,387
7,000 The Vincam Group, Inc. .................................. 84,000
7,926 Vistana Inc. ............................................ 101,552
2,400 Volt Information Sciences Inc. .......................... 48,600
32,600 W.R. Berkley Corp. ...................................... 1,030,975
43,000 Wabash National Corp. ................................... 682,625
8,900 Wackenhut Corp. ......................................... 169,100
12,800 Wackenhut Corrections Corp.*............................. 200,800
3,800 Waste Industries Inc. ................................... 81,700
37,400 Wastemasters Inc. ....................................... 33,894
26,300 Weingarten Realty Investors.............................. 1,012,550
10,600 West Marine, Inc.+....................................... 78,175
7,900 Western Staff Services Inc. ............................. 75,050
26,365 Westwood One Inc.++ ..................................... 509,174
21,800 Wet Seal Inc., Class A Shares............................ 501,400
73,200 Williams-Sonoma Inc. .................................... 1,866,600
29,600 World Color Press Inc.+.................................. 832,500
8,300 Young Broadcasting Corp., Class A Shares................. 429,006
- --------------------------------------------------------------------------------
182,903,580
- --------------------------------------------------------------------------------
ENERGY -- 2.0%
6,200 Advanced Energy Industries Inc. ......................... 38,750
50,700 Avid Technology Inc. .................................... 1,280,175
35,560 Barrett Resources Corp.++ ............................... 722,313
29,975 Cable Design Technologies Corp. ......................... 421,523
6,400 Cabot Oil & Gas Corp.*................................... 81,600
6,100 Cal Dive International, Inc. ............................ 78,538
4,900 Carbo Ceramics Inc.*..................................... 84,525
17,500 Cliffs Drilling Co. ..................................... 248,281
19,000 Comstock Resources Inc. ................................. 103,313
58,925 Cross Timbers Oil Co.*+.................................. 740,245
3,300 Drill-Quip Inc. ......................................... 40,631
12,200 Edge Petroleum Corp. .................................... 108,275
147,800 EEX Corp. ............................................... 655,863
27,800 Expeditors International of Washington, Inc.*............ 773,188
73,450 Ferro Corp.*............................................. 1,482,772
12,400 Friede Goldman International Inc.+....................... 129,425
29,100 Frontier Oil Corp. ...................................... 156,413
20,700 Georgia Gulf Corp.*...................................... 355,781
100,000 Global Industries Ltd.+.................................. 937,500
373,500 Grey Wolf Inc............................................ 513,563
2,200 Gulfmark Offshore Inc.................................... 26,950
28,100 Hanover Compressor Co.................................... 521,606
133,500 Harken Energy Corp....................................... 408,844
3,400 Horizon Offshore Inc..................................... 17,000
4,800 HS Resources Inc......................................... 36,000
43,700 Input/Output Inc......................................... 426,075
2,800 IRI International Corp................................... 14,000
24,700 Jabil Circuit Inc.+...................................... 580,450
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
77
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENERGY -- 2.0% (CONTINUED)
3,000 KCS Energy Inc.*......................................... $ 11,250
81,400 Key Energy Group Inc. ................................... 503,663
28,300 Mac-Gray Corp............................................ 353,750
18,000 Mitchell Energy & Development., Class A Shares........... 243,000
5,600 Newfield Exploration Co.................................. 87,850
40,000 Ocean Energy Inc. ....................................... 355,000
17,200 Oceaneering International Inc............................ 160,175
2,200 Omni Energy Services Corp................................ 20,350
3,400 Parkervision Inc.+....................................... 39,950
108,800 Patterson Energy Inc. ................................... 455,600
14,700 Plains Resources Inc. ................................... 226,012
26,200 Pogo Producing Co........................................ 312,762
2,900 Range Resources Corp.+ .................................. 19,756
10,400 RPC Inc. ................................................ 96,850
8,200 Rutherford Moran Oil Corp. .............................. 81,487
9,920 Semco Energy Inc.*....................................... 134,540
5,000 Sensormatic Electronics Corp. ........................... 38,125
2,200 Snyder Oil Corp. ........................................ 32,725
14,800 Stone Energy Corp. ...................................... 296,925
27,200 Superior Energy Services Inc............................. 94,350
3,700 Syntroleum Corp.+........................................ 29,600
8,600 Tom Brown Inc............................................ 95,675
23,700 Transmontaigne, Inc...................................... 272,550
14,000 TransTexas Gas Corp. .................................... 53,375
54,946 Tuboscope Inc. .......................................... 504,816
17,900 Unit Corp. .............................................. 73,837
5,100 UTI Energy Corp. ........................................ 33,469
78,400 Veritas DGS Inc.......................................... 1,176,000
4,660 Vintage Petroleum Inc.*.................................. 36,406
- --------------------------------------------------------------------------------
16,823,447
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 6.4%
2,950 Aames Financial Corp.*................................... 19,175
82,000 Affiliated Managers Group Inc. .......................... 1,455,500
34,600 Americredit Corp.+....................................... 862,838
18,400 Amerin Corp. ............................................ 419,750
9,200 Ameritrade Holdings Corp.+............................... 131,100
4,100 Anthracite Capital Inc. ................................. 39,719
28,900 Arthur J. Gallagher & Co. ............................... 1,069,300
16,162 Bank of Granite Corp.*................................... 478,799
400 BOK Financial Corp. ..................................... 17,200
9,700 The Carbide Graphite Group Inc. ......................... 126,100
93,200 Cash America International Inc. ......................... 1,130,050
70,000 CBT Group PLC ADR*....................................... 3,290,000
114,800 Century Business Services Inc.+.......................... 2,195,550
16,300 Charter Municipal Mortgage Acceptance Co. ............... 206,806
2,800 Chicago Title Corp. ..................................... 98,525
3,800 Chittenden Corp. ........................................ 108,538
18,630 Citizens Bancshares Inc. of Ohio*+....................... 484,380
39,700 CMAC Investment Corp.*................................... 1,528,450
10,500 CNA Surety Corp. ........................................ 136,500
25,095 CNB Bancshares, Inc.*.................................... 1,079,085
27,300 Coinstar Inc.+........................................... 199,631
23,065 Commerce Bancorp Inc. of New Jersey*..................... 810,158
33,350 Commercial Federal Corp.*+............................... 733,700
40,000 Community First Bankshares Inc.*......................... 680,000
8,300 Conning Corp. ........................................... 115,163
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
78
<PAGE>
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 6.4% (CONTINUED)
15,200 Consolidation Capital North America Inc. ................. $ 195,700
11,300 ContiFinancial Corp.+..................................... 142,663
42,400 Crawford & Co. ........................................... 747,300
20,950 CVB Financial Corp.*...................................... 400,669
2,700 Delta Financial Corp.+.................................... 21,263
36,800 Doral Financial Corp. .................................... 552,000
13,100 Duff & Phelps Credit Rating Co. .......................... 641,900
9,900 E.W. Blanch Holdings, Inc. ............................... 353,306
26,600 Eaton Vance Corp. ........................................ 1,057,350
16,600 Everen Capital Corp. ..................................... 301,913
400 F.N.B. Bancorp, Inc., of Pennsylvania..................... 11,600
1,200 Farmers Capital Bank Corp. ............................... 40,800
2,000 Federal Agricultural Mortgage Corp. ...................... 74,000
27,145 Fidelity National Financial Inc. ......................... 751,577
9,800 Financial Federal Corp. .................................. 170,275
83,700 First American Financial Corp. ........................... 2,155,275
4,800 First Charter Corp.+...................................... 100,800
2,200 First Commonwealth Financial Corp. ....................... 50,600
12,600 First Consulting Group Inc. .............................. 228,375
11,300 First Financial Holdings Inc.+............................ 200,575
300 First Liberty Financial Corp. ............................ 5,550
9,800 First Midwest Bancorp Inc. ............................... 360,150
11,800 First Sierra Financial Inc. .............................. 184,375
12,700 First Source Corp. ....................................... 425,450
1,700 Flagstar Bancorp Inc. .................................... 38,038
2,100 Foremost Corp. of America*................................ 37,931
4,900 FPIC Insurance Group, Inc. ............................... 129,850
12,100 Franchise Mortgage Acceptance Co. ........................ 195,113
26,700 Friedman, Billings, Ramsey Group, Inc. ................... 170,213
2,500 Frontier Financial Corp. ................................. 120,000
6,300 Hambrecht & Quist Inc. ................................... 127,575
2,700 Harleysville National Corp. .............................. 95,850
9,900 Harris Financial Inc. .................................... 121,275
3,300 HCC Insurance Holdings, Inc.*............................. 61,669
11,900 Headlands Mortgage Co. ................................... 165,113
25,600 Healthcare Financial Partners, Inc. ...................... 780,800
25,500 Henry Schein Inc. ........................................ 981,750
4,400 Home Choices Holdings, Inc. .............................. 56,100
3,900 HSB Group, Inc.*.......................................... 169,163
14,732 Hubco Inc. ............................................... 390,400
54,000 Imperial Bancorp.......................................... 1,113,750
10,900 Imperial Credit Industries, Inc. ......................... 148,513
24,700 Insignia Financial Corp., Class A Shares.................. 433,794
4,700 Investment Technology Group Inc. ......................... 128,075
7,800 Investors Financial Services Corp.*....................... 404,625
9,800 Irwin Financial Corp.*.................................... 231,525
39,100 Jefferies Group Inc.*..................................... 1,116,794
2,700 Jefferson Savings Bancorp Inc. ........................... 50,456
7,583 John Nuveen Corp.*........................................ 258,770
78,900 Knight/Trimark Group Inc., Class A Shares................. 522,713
8,000 Legg Mason Inc.*+......................................... 380,000
5,900 Local Financial Corp. .................................... 50,888
26,078 Long Beach Financial Corp. ............................... 208,624
4,100 Markel Corp. ............................................. 578,100
21,832 McDonald & Co. Investments, Inc.*......................... 607,202
1,500 Meadowbrook Insurance Group............................... 37,687
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
79
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 6.4% (CONTINUED)
12,400 Medallion Financial Co. ................................. $ 175,150
9,700 Meta Group Inc. ......................................... 240,075
3,900 Metris Cos. Inc.*+....................................... 230,100
27,700 Mid Am, Inc. ............................................ 578,237
16,300 Mills Corp. ............................................. 315,812
14,600 Mississippi Valley Bancshares*........................... 525,600
29,550 Morgan Keegan Inc. ...................................... 524,512
10,777 National City Bancshares, Inc. of Indiana*............... 366,418
19,300 Ocwen Financial Corp. ................................... 294,325
19,105 Old National Bancorp*.................................... 932,563
9,800 Oriental Financial Group*................................ 372,400
400 Paymentech Inc. ......................................... 4,575
3,300 PBOC Holdings, Inc. ..................................... 30,937
1,200 Pennsylvania Manufacturers Corp. ........................ 23,100
1,300 Philadelphia Consolidated Holding Corp. ................. 25,025
26,260 Pioneer Group Inc.*...................................... 471,039
27,300 Poe & Brown Inc.*........................................ 1,027,162
5,500 Reinsurance Group of America, Inc.*...................... 275,000
1,000 Republic Banking Corp. of Florida........................ 11,125
19,500 Republic Security Financial Corp.+....................... 146,250
119,900 Resource America Inc., Class A Shares+................... 1,671,106
1,600 Resource Bancshares Mortgage Group, Inc. ................ 25,200
9,100 Richmond County Financial Corp. ......................... 108,062
11,700 Security Capital Group Inc., Class B Shares.............. 248,625
21,800 SEI Investments Co.*..................................... 1,357,050
7,700 Shoreline Financial Corp. ............................... 198,275
50,610 Silicon Valley Bancshares+............................... 1,236,782
100,000 Sirrom Capital Corp.*+................................... 556,250
5,400 Southern Pacific Funding Corp.+.......................... 43,875
26,250 Sterling Bancshares, Inc. of Texas*...................... 313,359
1,800 Sterling Financial Corp. ................................ 67,500
16,600 T & W Financial Corp. ................................... 390,100
18,300 T R Financial Corp.+..................................... 378,581
15,800 Telebanc Financial Corp. ................................ 195,525
27,200 Triad Guaranty Inc. ..................................... 681,700
19,300 The Trust Co. of N.J. ................................... 455,962
27,623 Trustco Bank Corp. of New York........................... 733,736
4,100 UICI..................................................... 62,269
20,100 United Bankshares, Inc.*+................................ 499,987
500 United National Bancorp.................................. 12,000
13,100 US Trust Corp. of New York*.............................. 786,000
4,800 USB Holding Co, Inc.+.................................... 68,400
1,200 UST Corp. ............................................... 19,800
2,151 Value Line Inc. ......................................... 74,747
1,684 Vesta Insurance Group Inc. .............................. 15,893
4,450 West Coast Bancorp of Oregon*............................ 76,762
11,700 Westamerica Bancorporation............................... 283,725
59,300 Westernbank Puerto Rico*+................................ 770,900
1,900 Whitney Holding Corp. ................................... 69,587
11,600 WSFS Financial Corp. .................................... 179,800
- --------------------------------------------------------------------------------
54,652,802
- --------------------------------------------------------------------------------
HEALTH CARE -- 10.3%
20,150 Access Health Inc. ...................................... 482,341
19,500 ADAC Laboratories Inc.*.................................. 437,531
8,800 Advance Paradigm, Inc. .................................. 189,200
17,600 Affymetrix Inc.+......................................... 290,400
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
80
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTH CARE -- 10.3% (CONTINUED)
34,900 Agouron Pharmaceuticals Inc.+++.......................... $ 671,825
34,800 Alaris Medical Inc. ..................................... 119,625
53,400 Algos Pharmaceuticals Corp.+............................. 1,138,088
35,500 Alkermes Inc.+........................................... 388,281
46,900 Alpharma, Inc.*+......................................... 1,113,875
35,400 Alternative Living Services Inc.+........................ 628,350
1,950 American Homepatient Inc. ............................... 11,944
14,700 American Oncology Resources Inc.+........................ 124,950
10,500 Ameripath Inc. .......................................... 120,750
23,689 Amerisource Health Corp.++............................... 1,114,864
8,000 Andrx Corp.+............................................. 234,500
12,700 Anesta Corp. ............................................ 155,575
10,200 Arrow International Inc.*................................ 276,675
13,390 ATL Ultrasound Inc. ..................................... 665,316
109,700 Aviron+.................................................. 2,379,119
15,300 AXYS Pharmaceuticals, Inc. .............................. 60,722
1,900 Bacou USA, Inc. ......................................... 37,763
32,000 Ballard Medical Products*+............................... 594,000
10,225 Barr Laboratories Inc. .................................. 262,016
58,600 Bio-Technology General Corp. ............................ 249,050
7,800 Biomatrix Inc. .......................................... 341,738
97,300 Boron LePore & Associates, Inc. ......................... 2,919,000
9,300 Capital Senior Living Corp. ............................. 70,331
10,700 Carematrix Corp.+........................................ 184,575
19,500 Celgene Corp. ........................................... 115,781
15,500 Cell Genesys Inc.+....................................... 64,906
5,100 Centennial Healthcare Corp. ............................. 43,350
26,200 Cephalon Inc. ........................................... 105,619
10,900 Chattem Inc. ............................................ 215,275
26,000 Chirex Inc. ............................................. 364,000
6,600 Closure Medical Corp.+................................... 146,850
31,900 Columbia Laboratories Inc. .............................. 79,750
50,530 Concentra Managed Care Inc.+............................. 647,416
29,656 COR Therapeutics, Inc. .................................. 282,659
45,100 Coulter Pharmaceutical Inc. ............................. 631,400
66,600 Covance Inc. ............................................ 1,481,850
67,400 Coventry Health Care Corp. .............................. 303,300
16,000 Curative Technologies Inc. .............................. 396,000
19,500 Cytyc Corp.+............................................. 156,000
900 Datascope Corp. ......................................... 18,337
1,800 Diagnostic Products Corp.*............................... 46,688
14,800 Digene Corp. ............................................ 112,850
54,500 Dura Pharmaceuticals Inc.+............................... 899,250
9,700 Entremed Inc.+........................................... 164,294
39,700 Envoy Corp.+............................................. 863,475
27,317 Enzo Biochem Inc. ....................................... 215,121
18,800 Express Scripts Inc., Class A Shares..................... 1,264,300
43,600 Fuisz Technologies Ltd.+................................. 376,050
14,700 Geltex Pharmaceuticals Inc. ............................. 249,900
2,400 Genesis Health Ventures Inc. ............................ 28,500
14,300 Gensia Sicor Inc. ....................................... 39,325
33,100 Gilead Sciences Inc. .................................... 604,075
22,100 Guilford Pharmaceuticals Inc. ........................... 262,438
27,900 Hanger Orthopedic Group, Inc. ........................... 416,756
9,800 Harmon Industries Inc. .................................. 188,650
59,800 Healthcare Recoveries Inc. .............................. 583,050
</TABLE>
81
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SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTH CARE -- 10.3% (CONTINUED)
10,700 Healthplan Services Corp.*............................... $ 115,694
21,900 Healthworld Corp. ....................................... 284,700
9,300 Herbalife International, Inc., Class A Shares*+.......... 123,806
11,200 Heska Corp. ............................................. 84,000
5,593 Hilb, Rogal, & Hamilton Co.*............................. 97,178
5,700 Hologic Inc. ............................................ 76,594
16,300 Hooper Holmes Inc. ...................................... 287,288
13,500 Horizon Health Corp. .................................... 89,438
7,500 Horizon Medical Products Inc. ........................... 52,500
25,300 Human Genome Sciences, Inc. ............................. 626,175
21,900 ICN Pharmaceuticals, Inc.*............................... 336,713
42,000 ICOS Corp. .............................................. 624,750
19,800 IDEC Pharmaceuticals Corp. .............................. 356,400
9,600 IDX Systems Corp. ....................................... 408,000
29,000 Imclone Systems Inc. .................................... 250,125
27,200 Immune Response Corp.+................................... 207,400
16,300 Impath Inc. ............................................. 385,088
27,100 Incyte Pharmaceuticals Inc. ............................. 525,063
24,900 Inhale Therapeutic Systems, Inc.+........................ 541,575
75,000 International Network Services........................... 2,475,000
19,100 Invacare Corp.*.......................................... 386,775
34,600 Isis Pharmaceuticals Inc.+............................... 250,850
24,800 Ivax Corp. .............................................. 192,200
170,600 Jones Pharma Inc.*+...................................... 3,561,275
5,100 Kendle International Inc. ............................... 123,994
3,100 Labone Inc. ............................................. 36,813
12,400 Life Technologies Inc.*.................................. 410,750
12,000 Lifecore Biomedical Inc. ................................ 93,000
41,100 Ligand Pharmaceuticals Inc. ............................. 236,325
48,500 The Liposome Co., Inc.++ ................................ 197,031
35,976 Magellan Health Services Inc. ........................... 375,500
36,800 Mariner Post-Acute Network, Inc. ........................ 262,200
33,300 Medaphis Corp. .......................................... 135,281
82,700 Medicis Pharmaceutical Corp.+............................ 2,708,425
69,200 Medimunne Inc.+.......................................... 3,338,900
1,238 Mediq Inc. .............................................. 1,238
69,000 Medquist Inc. ........................................... 1,449,000
26,500 Mentor Corp.*............................................ 387,563
24,700 Mid Atlantic Medical Services Inc. ...................... 137,394
31,300 Millennium Pharmaceuticals, Inc. ........................ 359,950
8,700 Minimed Inc. ............................................ 443,700
8,000 Miravant Medical Technologies+........................... 37,500
4,400 National Healthcare Corp.*............................... 95,150
11,100 NCS Healthcare, Inc. .................................... 187,312
34,857 Nexstar Pharmaceuticals, Inc.+........................... 232,017
120,000 North American Scientific Inc. .......................... 780,000
40,700 Novacare Inc. ........................................... 297,619
7,800 Novoste Corp. ........................................... 101,400
64,800 Ocular Sciences Inc. .................................... 1,146,150
46,500 OEC Medical Systems, Inc. ............................... 999,750
142,000 Orthodontic Centers of America, Inc. .................... 2,014,625
12,200 Owens & Minor, Inc.*..................................... 144,112
94,000 Oxford Health Plans Inc. ................................ 575,750
28,600 Parexel International Corp. ............................. 711,425
19,700 Pathogenesis Corp.+...................................... 443,250
63,050 Patterson Dental Co.+.................................... 1,879,678
</TABLE>
82
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTH CARE -- 10.3% (CONTINUED)
17,700 Pediatrix Medical Group Inc.+............................ $ 689,194
8,200 Perclose Inc. ........................................... 140,937
18,905 Pharmaceutical Product Development....................... 385,189
14,400 Pharmacyclics Inc. ...................................... 211,500
52,400 Pharmerica Inc. ......................................... 204,687
42,700 Phycor Inc. ............................................. 296,231
17,400 Physician Reliance Network, Inc. ........................ 138,112
21,400 Physio-Control International Corp. ...................... 548,375
18,000 Plexus Corp. ............................................ 288,000
8,200 Priority Healthcare Corp. ............................... 166,050
20,500 Protein Design Labs Inc. ................................ 348,500
9,800 Province Healthcare Co. ................................. 264,600
67,200 PSS World Medical, Inc. ................................. 1,033,200
228,375 Renal Care Group Inc.+................................... 4,610,320
36,150 Res-care Inc.+........................................... 526,434
8,500 Resmed Inc. ............................................. 314,500
20,459 Respironics Inc. ........................................ 235,278
77,400 Roberts Pharmaceutical Corp. ............................ 1,325,475
12,400 Sabratek Corp.+.......................................... 227,850
17,600 Sandisk Corp. ........................................... 154,000
72,100 Sangstat Medical Corp.+.................................. 1,198,662
11,500 Sawtek Inc. ............................................. 117,875
2,400 Schein Pharmaceutical Inc. .............................. 59,550
40,503 Scios, Inc. ............................................. 192,389
13,300 Semtech Corp. ........................................... 212,800
29,800 Sepracor Inc.+........................................... 1,419,225
38,400 SEQUUS Pharmaceuticals Inc. ............................. 235,200
26,825 Serologicals Corp. ...................................... 456,025
16,400 Shire Pharmaceuticals Group PLC+......................... 307,500
7,200 Shiva Corp. ............................................. 31,050
45,750 Sierra Health Services Inc. ............................. 732,000
27,000 SMART Modular Technologies, Inc. ........................ 411,750
23,300 Sola International Inc. ................................. 337,850
7,100 Speedfam International Inc. ............................. 87,862
5,500 Sugen Inc. .............................................. 61,875
14,100 Sunrise Assisted Living, Inc.+........................... 371,887
6,800 Supergen Inc.+........................................... 37,400
23,100 Techne Corp. ............................................ 282,975
240,800 Theragenics Corp. ....................................... 3,040,100
11,800 Thermedics Inc. ......................................... 109,150
20,600 Thermo Cardiosystems Inc. ............................... 309,000
21,100 Thermolase Corp.+........................................ 129,237
133,400 Total Renal Care Holdings Inc. .......................... 2,534,600
22,900 Transition Systems Inc. ................................. 168,887
18,900 Transkaryotic Therapies, Inc. ........................... 380,362
7,900 Trex Medical Corp. ...................................... 101,712
20,100 Triangle Pharmaceuticals Inc. ........................... 169,594
29,787 US Bioscience, Inc. ..................................... 171,275
15,500 Ventana Medical Systems, Inc. ........................... 310,000
10,400 Vertex Pharmaceuticals Inc. ............................. 158,600
22,400 Veterinary Centers of America, Inc. ..................... 369,600
9,700 Viropharma Inc. ......................................... 167,325
4,900 Vital Signs Inc.*........................................ 82,994
6,300 Vivus Inc.+.............................................. 18,900
12,795 Wesley Jessen VisionCare Inc. ........................... 217,515
2,600 Xomed Surgical Products, Inc. ........................... 77,350
</TABLE>
83
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTH CARE -- 10.3% (CONTINUED)
39,200 Zila Inc. ............................................... $ 186,200
58,200 Zonagen Inc.+............................................ 854,812
- --------------------------------------------------------------------------------
87,530,528
- --------------------------------------------------------------------------------
MEDICAL TECHNOLOGY -- 0.8%
18,600 Acuson Corp. ............................................ 272,025
42,000 Advanced Tissue Sciences Inc.+........................... 85,313
31,400 Arterial Vascular Engineering Inc.+...................... 1,099,000
42,200 Cognex Corp. ............................................ 590,800
75,900 ESC Medical Systems, Ltd................................. 1,418,381
156,079 IDEXX Laboratories Inc. ................................. 2,731,383
10,200 Landauer Inc.*........................................... 260,100
6,628 Marquette Medical Systems Inc. .......................... 157,829
12,200 Medical Manager Corp.+................................... 157,075
- --------------------------------------------------------------------------------
6,771,906
- --------------------------------------------------------------------------------
REAL ESTATE -- 1.0%
3,800 Alexander's Inc. ........................................ 291,413
11,100 American Retirement Corp. ............................... 174,825
10,300 Assisted Living Concepts Inc.*........................... 130,681
5,800 Associated Estates Realty Corp. ......................... 93,888
10,400 Brookdale Living Communities Inc. ....................... 195,000
14,539 CB Richard Ellis Services Group, Inc. ................... 398,914
18,300 Charles E. Smith Residential Realty, Inc................. 544,425
25,667 Cousins Properties Inc.*................................. 713,863
16,000 General Growth Properties, Inc.*......................... 577,000
8,736 Getty Realty Corp. ...................................... 133,770
22,500 Golf Trust of America Inc.*.............................. 596,250
22,521 Grubb & Ellis Co. ....................................... 213,949
21,900 Health Care Investors of America Inc. ................... 685,744
91,500 Intrawest Corp.*......................................... 1,464,000
15,400 Irvine Apartment Communities Inc.*....................... 392,700
32,700 Macerich Co. ............................................ 825,675
13,400 Pennsylvania Real Estate Investment Trust*............... 289,775
18,400 Town & Country Trust*.................................... 258,750
7,200 Washington Real Estate Investment Trust*................. 114,750
- --------------------------------------------------------------------------------
8,095,372
- --------------------------------------------------------------------------------
RETAIL -- 0.4%
15,600 American Eagle Outfitters Inc. .......................... 546,000
5,800 CDnow Inc.+.............................................. 44,950
73,600 Coldwater Creek Inc.+.................................... 1,071,800
46,800 Corporate Express Inc. .................................. 450,450
20,100 CSK Auto Corp. .......................................... 438,431
4,500 Delia's Inc.+............................................ 44,156
1,900 Donna Karan International Inc. .......................... 14,369
7,800 Duane Reade Inc. ........................................ 291,525
8,600 Elder-Beerman Stores Corp. .............................. 134,375
69,400 Southland Corp. ......................................... 159,403
- --------------------------------------------------------------------------------
3,195,459
- --------------------------------------------------------------------------------
TECHNOLOGY -- 22.5%
17,200 3DFX Interactive, Inc.+.................................. 156,950
8,500 Aavid Thermal Technologies, Inc. ........................ 75,969
49,900 Acclaim Entertainment Inc. .............................. 286,925
98,900 Adtran Inc. ............................................. 2,126,350
2,400 Advantage Learning Systems Inc. ......................... 69,000
</TABLE>
84
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 22.5% (CONTINUED)
4,900 Advent Software Inc. .................................... $ 148,837
3,400 Alliant Techsystems Inc. ................................ 223,125
8,300 Alydaar Software Corp.+.................................. 57,581
27,000 Amkor Technologies Inc. ................................. 124,875
17,900 Amphenol Corp., Class A Shares........................... 533,644
8,300 Anacomp Inc. ............................................ 105,825
1,400 Analogic Corp. .......................................... 46,900
87,650 Analysts International Corp.*............................ 1,851,606
145,000 Antec Corp. ............................................. 2,329,062
73,353 Apex PC Solutions Inc. .................................. 1,256,170
2,771 Applied Industrial Technologies, Inc.*................... 48,319
40,900 Applied Micro Circuits Corp. ............................ 777,100
42,460 Applied Power Inc., Class A Shares*...................... 1,053,539
6,200 ARIS Corp. .............................................. 141,825
37,674 Artesyn Technologies Inc. ............................... 560,401
8,500 Artisan Components Inc. ................................. 59,500
4,600 Aspec Technology Inc. ................................... 10,925
20,200 Aspect Development Inc. ................................. 588,325
159,400 Aspen Technology Inc. ................................... 3,775,787
7,600 ATL Products, Inc., Class A Shares....................... 147,250
7,900 Atlantic Coast Airlines Holdings Inc. ................... 178,737
24,100 Atlantic Data Services, Inc. ............................ 310,287
19,600 ATMI Inc. ............................................... 227,850
34,275 Avant Corp. ............................................. 441,291
8,600 AVT Corp. ............................................... 168,775
28,400 Axent Technologies Inc. ................................. 443,750
12,800 Barra Inc. .............................................. 262,400
59,231 BEA Systems, Inc.+....................................... 903,273
15,300 Bell & Howell Co. ....................................... 359,550
6,100 Bindview Development Corp. .............................. 59,475
31,100 The Bisys Group Inc.++ .................................. 1,150,700
54,900 Black Box Corp.+......................................... 1,255,837
171,625 Boole & Babbage Inc. .................................... 3,443,227
42,900 Broadvision Inc. ........................................ 801,694
7,600 Broderbund Software Inc. ................................ 105,925
27,105 Burr-Brown Corp. ........................................ 325,260
40,100 C-Cube Microsystems Inc.+................................ 593,981
11,600 C & D Technology Inc. ................................... 253,750
11,900 California Microwave Inc. ............................... 127,925
25,000 Cambridge Technology Partners Inc. ...................... 812,500
26,500 CCC Information Services Group Inc. ..................... 318,000
10,700 CDI Corp. ............................................... 251,450
8,600 CDW Computer Centers Inc.+............................... 331,100
38,300 Cerner Corp. ............................................ 844,994
51,500 Checkfree Holdings Corp. ................................ 440,969
23,000 Checkpoint Systems Inc. ................................. 225,688
114,800 Ciber Inc.+.............................................. 2,884,350
10,300 Citrix Systems Inc. ..................................... 593,538
27,300 Clarify Inc. ............................................ 225,225
70,400 CMG Information Services Inc.+........................... 2,684,000
11,300 CNET Inc.+............................................... 440,700
20,900 Cognizant Technology Solutions Corp. .................... 250,800
4,200 Com21, Inc. ............................................. 44,625
44,166 Commscope Inc. .......................................... 585,200
10,200 Complete Business Solutions, Inc. ....................... 154,275
41,400 Computer Horizons Corp.+................................. 967,725
2,325 Computer Management Sciences Inc. ....................... 39,525
</TABLE>
85
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 22.5% (CONTINUED)
92,500 Computer Task Group Inc.*................................ $ 2,376,094
42,000 Comverse Technology Inc.+................................ 1,617,000
14,600 Concord Communications Inc. ............................. 390,550
14,400 Cotelligent Group Inc. .................................. 163,800
13,700 CTS Corp. ............................................... 388,738
24,000 Cylink Corp. ............................................ 195,000
5,400 Cypress Semiconductor Corp. ............................. 33,075
30,400 Dallas Semiconductor Corp. .............................. 822,700
5,800 Data Processing Resources Corp. ......................... 145,000
11,700 Data Transmission Network Corp.+......................... 304,200
18,300 Datastream Systems Inc. ................................. 185,288
14,400 Dataworks Corp. ......................................... 73,800
10,700 Davox Corp. ............................................. 113,019
8,600 DBT Online Inc. ......................................... 129,538
3,900 DecisionOne Holdings Corp. .............................. 54,113
8,600 Deltek Systems Inc. ..................................... 141,900
21,800 Dendrite International Inc. ............................. 430,550
46,100 Dialogic Corp. .......................................... 1,233,175
44,700 Digi International Inc. ................................. 458,175
49,200 Digital Microwave Corp. ................................. 141,450
23,000 DII Group, Inc.+......................................... 296,125
25,400 Dionex Corp. ............................................ 547,688
141,300 DocuCorp International, Inc. ............................ 450,394
55,100 Documentum, Inc. ........................................ 1,969,825
45,100 DSP Communications Inc. ................................. 515,831
5,400 Dupont Photomasks Inc. .................................. 147,825
16,100 Earthlink Network Inc. .................................. 426,650
41,800 Eclipsys Corp. .......................................... 496,375
3,800 Electro Scientific Industries Inc. ...................... 73,150
58,600 Electronics For Imaging, Inc. ........................... 857,025
7,800 Engineering Animation Inc. .............................. 287,625
3,100 Excel Switching Corp. ................................... 51,925
29,000 Excite Inc.+............................................. 630,750
10,200 Exodus Communications Inc. .............................. 293,250
21,700 Factset Research Systems Inc. ........................... 699,825
47,218 FileNET Corp. ........................................... 773,195
39,900 Fisher Scientific International Inc. .................... 521,194
34,300 General Magic Inc.+...................................... 188,650
26,900 General Semiconductor Inc. .............................. 173,169
69,500 Genesys Telecommunications Laboratories, Inc. ........... 1,281,406
14,300 Genlyte Group Inc. ...................................... 243,100
32,400 Genrad Inc. ............................................. 340,200
10,700 Geotel Communications Co. ............................... 374,500
1,300 Gerber Scientific Inc. .................................. 30,794
7,400 Great Plains Software Inc. .............................. 249,750
68,000 Greyhound Lines Inc. .................................... 259,250
32,900 GT Interactive Software Corp. ........................... 158,331
35,300 GTECH Holdings Corp. .................................... 926,625
2,711 Hadco Corp. ............................................. 54,898
99,900 Harbinger Corp.*......................................... 686,813
66,000 HBO & Co.*............................................... 1,402,500
21,200 Helix Technology Corp.*.................................. 217,300
162,300 HMT Technology Corp.+.................................... 1,115,813
113,300 HNC Software Inc.+....................................... 4,114,206
86,000 Hutchinson Techology Inc.+............................... 1,166,375
12,300 Hypercom Corp. .......................................... 104,550
</TABLE>
86
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
TECHNOLOGY -- 22.5% (CONTINUED)
43,410 Hyperion Solutions Corp. ............................... $ 1,215,480
6,600 H.T.E., Inc. ........................................... 56,100
4,200 i2 Technologies, Inc. .................................. 59,325
196,500 Icon CMT Corp. ......................................... 1,424,625
10,000 Igen International Inc. ................................ 220,000
1,600 Inacom Corp.+........................................... 30,800
35,500 Indus International Inc. ............................... 173,063
124,400 Informix Corp. ......................................... 435,400
31,800 Infoseek Corp. ......................................... 540,600
31,100 InfoUSA Inc., Class B Shares............................ 244,913
16,100 Innovex Inc.*+.......................................... 167,038
59,188 Inprise Corp.+.......................................... 314,436
22,650 Insight Enterprises Inc. ............................... 962,625
10,200 Inspire Insurance Solutions, Inc. ...................... 187,425
19,800 Integrated Systems Inc. ................................ 139,838
5,100 Intelligroup Inc.+...................................... 106,781
25,200 Inter-Tel Inc. ......................................... 337,050
60,400 Interdigital Communications Corp. ...................... 200,075
6,300 International Integration Inc. ......................... 97,650
5,900 International Rectifier Corp. .......................... 25,075
22,900 International Telecommunication Data Systems Inc. ...... 449,413
26,600 Intersolv Inc. ......................................... 292,600
15,000 Intevac Inc.+........................................... 95,625
5,500 ISS Group Inc. ......................................... 149,875
2,500 ITI Technologies Inc. .................................. 57,500
24,300 IXC Communications Inc.+................................ 595,350
52,800 J.D. Edwards & Co.+..................................... 2,138,400
69,800 Jack Henry & Associates Inc.*+.......................... 2,765,825
49,500 JDA Software Group Inc. ................................ 594,000
8,100 Kopin Corp. ............................................ 94,163
5,000 Kulicke & Soffa Industries Inc. ........................ 64,688
2,400 L-3 Communications Corp. ............................... 79,500
22,700 Lattice Semiconductor Corp.+............................ 546,219
13,300 Learning Tree International Inc. ....................... 142,975
137,000 Legato Systems Inc.+.................................... 4,812,125
16,800 Lone Star Technologies Inc. ............................ 166,950
144,112 Lycos Inc.+............................................. 3,125,429
3,000 Manhattan Associates Inc. .............................. 33,750
41,300 Manugistics Group Inc. ................................. 585,944
17,600 Mapics Inc. ............................................ 305,800
14,850 Mastec Inc. ............................................ 237,600
18,800 Mastech Corp. .......................................... 385,988
13,600 Maxwell Technologies Inc. .............................. 261,800
9,000 McWhorter Technologies, Inc. ........................... 189,563
59,300 Mercury Interactive Corp. .............................. 1,993,963
6,600 Metro Information Services, Inc. ....................... 184,800
44,600 Mettler-Toledo International Inc. ...................... 752,625
15,100 Micrel Inc. ............................................ 438,844
2,300 Microage Inc. .......................................... 27,888
11,100 Micromuse Inc. ......................................... 152,625
87,400 MICROS Systems, Inc. ................................... 2,490,900
45,194 Midway Games Inc. ...................................... 426,518
16,200 Mindspring Enterprises Inc.+............................ 435,375
77,600 MMC Networks, Inc. ..................................... 1,299,800
32,600 MRV Communications, Inc.+............................... 182,356
29,200 MTI Technology Corp.+................................... 131,400
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
87
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 22.5% (CONTINUED)
12,500 MTS Systems Corp.+....................................... $ 156,250
122,300 National Computer Systems Inc.*.......................... 2,675,313
16,700 National Instruments Corp. .............................. 421,675
67,500 Natural Microsystems Corp. .............................. 746,719
24,000 Neomagic Corp. .......................................... 309,000
159,300 Network Appliance Inc. .................................. 6,640,819
1,700 Network Equipment Technologies........................... 17,213
4,700 Network Solutions Inc,. Class A Shares+.................. 121,025
12,300 New Era of Networks Inc. ................................ 352,088
74,500 Newsedge Corp. .......................................... 568,063
2,900 Norstan Inc. ............................................ 50,750
147,100 Nova Corp. .............................................. 3,815,406
12,600 Objective Systems Integrator Inc. ....................... 64,575
22,100 Open Market Inc.+........................................ 189,231
71,688 Organogenesis Inc.+...................................... 622,790
47,300 P-Com Inc. .............................................. 189,200
206,500 Paradigm Geophysical Ltd. ............................... 955,063
8,800 Park National Corp.*..................................... 840,400
27,060 Paxar Corp .............................................. 216,480
6,900 Pegasystems Inc.+........................................ 107,813
7,400 Peregrine Systems Inc. .................................. 172,975
48,300 Performance Systems International Inc.+.................. 507,150
23,100 Photronics Inc. ......................................... 277,200
29,900 Platinum Software Corp. ................................. 358,800
18,100 Platinum Technology Inc.+................................ 339,375
34,100 PMC-Sierra, Inc.+........................................ 1,042,181
136,800 PMT Services, Inc. ...................................... 2,325,600
43,400 Polycom Inc. ............................................ 330,925
6,700 Pomeroy Computer Resources Inc. ......................... 88,775
5,400 Powerwave Technologies Inc.+............................. 35,438
26,400 Preview Travel Inc.+..................................... 435,600
50,200 PRI Automation, Inc. .................................... 627,500
19,504 Progress Software Corp. ................................. 352,291
9,800 Project Software & Development Inc. ..................... 140,875
4,900 QAD Inc. ................................................ 18,681
10,200 QLogic Corp. ............................................ 483,225
21,100 QRS Corp. ............................................... 572,338
7,700 Radiant Systems Inc. .................................... 49,088
15,840 Rambus Inc.+............................................. 756,360
28,100 Rayovac Corp. ........................................... 391,644
5,000 Read-Rite Corp. ......................................... 27,500
10,300 RealNetworks Inc.+....................................... 203,425
21,100 Recoton Corp. ........................................... 495,850
41,900 Reltec Corp. ............................................ 1,047,500
27,000 Remedy Corp. ............................................ 251,438
29,400 Rogers Corp. ............................................ 757,050
2,500 RWD Technologies Inc. ................................... 45,000
30,600 S&T Bancorp Inc.*........................................ 1,531,912
3,400 Sanchez Computer Associates Inc.+........................ 60,775
81,400 Sapient Corp.+........................................... 3,179,687
52,900 Saville Systems PLC ..................................... 866,237
68,100 SBS Technologies Inc. ................................... 1,489,687
9,600 SCB Computer Technology Inc. ............................ 69,600
24,700 SCC Communications Corp. ................................ 166,725
12,900 SCM Microsystems, Inc.+.................................. 539,381
12,900 Scott Technologies Inc., Class A Shares.................. 167,700
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
88
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 22.5% (CONTINUED)
14,100 SDL Inc. ................................................ $ 239,700
43,000 Security Dynamics Technologies, Inc. .................... 403,125
11,800 Sequent Computer Systems Inc. ........................... 75,962
8,100 SIII Inc. ............................................... 24,806
12,200 Silicon Valley Group Inc. ............................... 117,425
17,600 SLI Inc. ................................................ 242,000
87,900 Software AG Systems Inc. ................................ 1,488,806
4,000 Spectra-Physics Lasers, Inc ............................. 37,000
101,200 Sportsline USA Inc.+..................................... 2,011,350
6,450 SPR Inc. ................................................ 93,525
8,300 SPS Transaction Services Inc. ........................... 258,856
6,900 SS&C Technologies Inc. .................................. 103,068
110,500 Structural Dynamics Research Corp. ...................... 994,500
156,500 Symantec Corp.++......................................... 2,562,687
37,200 Synopsys Inc.+........................................... 971,850
33,600 System Software Associates Inc. ......................... 151,200
38,800 Systems & Computer Technology Corp. ..................... 528,650
19,700 Tava Technologies Inc. .................................. 84,956
33,500 Technisource Inc. ....................................... 280,561
17,400 Technitrol, Inc.*........................................ 334,950
200,450 Technology Solutions Co. ................................ 2,292,647
39,800 Tekelec.................................................. 718,887
47,975 Tel-Save Holdings Inc.+.................................. 719,625
20,900 Teletech Holdings Inc. .................................. 175,037
17,800 Telxon Corp.*............................................ 304,825
224,093 Tetra Tech Inc. ......................................... 4,677,941
9,700 Tetra Technologies Inc. ................................. 123,069
4,700 Thermo Bioanalysis Corp. ................................ 72,850
3,200 Thermo Optek Corp. ...................................... 25,600
11,500 Tier Technologies Inc., Class B Shares................... 163,875
10,450 Transaction Network Services Inc. ....................... 151,525
29,700 Transaction Systems Architects, Inc. .................... 983,812
153,300 TSI International Software Ltd. ......................... 4,119,937
3,800 Unigraphics Solutions Inc. .............................. 30,162
14,500 Unisource Energy Corp Holdings Co. ...................... 188,500
10,600 Unitrode Corp. .......................................... 131,837
16,400 USCS International Inc. ................................. 372,075
130,800 USWeb Corp.+............................................. 1,847,550
28,500 Vanguard Cellular Systems, Class A Shares................ 534,375
52,800 Vanstar Corp. ........................................... 392,700
30,300 Vantive Corp. ........................................... 246,187
56,500 Veeco Instruments Inc. .................................. 1,278,311
1,800 Verisign Inc. ........................................... 51,075
24,900 Viasoft Inc. ............................................ 161,850
18,600 Vical Inc. .............................................. 142,405
16,900 Vicor Corp. ............................................. 148,930
99,800 Visio Corp. ............................................. 2,095,800
18,200 Visual Networks, Inc. ................................... 318,500
15,600 VISX Inc. ............................................... 748,800
6,800 VMR Scientific Products Corp. ........................... 168,300
53,800 Wang Laboratories, Inc.+................................. 1,049,100
13,400 WavePhore Inc. .......................................... 67,000
321,800 Whittman-Hart, Inc. ..................................... 6,033,750
23,625 Wind River Systems Inc. ................................. 885,937
66,000 Winstar Communications Inc.+............................. 1,204,500
45,000 Xircom Inc. ............................................. 703,125
</TABLE>
89
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 22.5% (CONTINUED)
61,300 Xylan Corp.+............................................. $ 934,825
12,000 Yahoo! Inc.+............................................. 828,000
21,700 Zebra Technologies Corp., Class A Shares................. 674,056
- --------------------------------------------------------------------------------
191,252,281
- --------------------------------------------------------------------------------
TRANSPORTATION -- 1.2%
12,800 Air Express International Corp.*......................... 219,200
10,000 Airnet Systems Inc. ..................................... 150,000
38,800 Airtran Holdings Inc. ................................... 164,900
8,000 Amtran Inc. ............................................. 168,000
30,000 ASA Holdings Inc.*....................................... 1,027,500
10,700 Atlas Air Inc.+.......................................... 254,125
36,600 C.H. Robinson Worldwide, Inc. ........................... 732,000
10,000 Carey International Inc. ................................ 160,000
25,100 Coach USA Inc. .......................................... 660,444
3,300 Dispatch Management Services Corp. ...................... 47,438
25,000 Dynamex Inc. ............................................ 193,750
9,900 Eagle USA Airfreight Inc. ............................... 201,713
17,485 Heartland Express Inc. .................................. 279,760
4,700 Hvide Marine Inc., Class A Shares........................ 31,725
35,162 J.B. Hunt Transport Services, Inc. ...................... 595,556
8,400 Knight Transportation Inc. .............................. 134,925
58,500 Mesaba Holdings, Inc. ................................... 925,031
29,475 Midwest Express Holdings Inc. ........................... 788,456
16,000 Motivepower Industries Inc. ............................. 320,000
21,100 Newport News Shipbuilding................................ 495,850
3,200 Rural/Metro Corp. ....................................... 22,800
7,900 Skywest Inc. ............................................ 165,900
24,900 Swift Transportation Co. Inc. ........................... 407,737
55,900 USFreightways Corp.*..................................... 1,254,256
2,200 U.S. Xpress Enterprises Inc., Class A Shares............. 24,750
45,100 Wisconsin Central Transportation Corp. .................. 566,569
- --------------------------------------------------------------------------------
9,992,385
- --------------------------------------------------------------------------------
UTILITIES -- 2.7%
14,281 Aliant Communications Inc.*.............................. 353,455
3,500 Allen Telecom Inc. ...................................... 24,937
54,500 Alpine Group Inc. ....................................... 776,625
97,200 Aspect Telecommunications Corp.+......................... 2,314,575
5,900 Associated Group Inc. ................................... 156,350
12,518 Barnes Group Inc.*....................................... 299,650
3,300 Black Hills Corp. ....................................... 76,725
35,750 Cellular Communications International Inc.+.............. 1,894,750
14,800 CFW Communications Co.*.................................. 312,650
29,000 Commonwealth Telephone Enterprises Inc. ................. 627,125
4,900 Electric Lightway Inc., Class A Shares................... 42,263
15,375 Encore Wire Corp. ....................................... 161,437
5,300 Franklin Electric Co. Inc.*.............................. 333,237
86,000 ICG Communications Inc.+................................. 1,542,625
1,400 Indiana Energy Inc. ..................................... 40,163
18,200 LCC International Inc., Class A Shares................... 118,300
183,000 Metromedia Fiber Network Inc., Class A Shares............ 3,843,000
28,900 NTL Inc. ................................................ 1,154,194
28,200 Omnipoint Corp. ......................................... 310,200
32,100 Pagemart Wireless Inc., Class A Shares................... 236,738
341,900 Pairgain Technologies Inc.+.............................. 3,012,994
38,900 Premiere Technologies Inc. .............................. 255,281
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
90
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ---------------------------------------------------------------------------------
UTILITIES -- 2.7% (CONTINUED)
31,300 Premisys Communications, Inc. ........................ $ 266,050
17,580 Primus Telecommunications Group, Inc. ................ 158,220
35,020 RCN Corp. ............................................ 486,997
22,000 West Teleservices Corp. .............................. 231,000
19,700 Westell Technologies Inc. ............................ 110,812
85,900 Western Wireless Corp. ............................... 1,342,187
115,900 World Access Inc.+.................................... 2,216,586
- ---------------------------------------------------------------------------------
22,699,126
- ---------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $1,012,252,436)........... 795,879,846
- ---------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ---------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY BILLS -- 0.1%
$ 50,000 U.S. Treasury Bill, 4.950% due 10/8/98................ 49,746
400,000 U.S. Treasury Bill, 4.975% due 10/8/98................ 397,955
- ---------------------------------------------------------------------------------
TOTAL U.S. TREASURY BILLS (Cost -- $447,700).......... 447,701
- ---------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $1,012,700,136)........ 796,327,547
- ---------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 6.2%
52,480,000 Goldman, Sachs & Co., 5.715% due 9/1/98; Proceeds at
maturity -- $52,488,331;
(Fully collateralized by U.S. Treasury Notes, 5.125%
due 8/31/00;
Market value -- $53,552,643) (Cost -- $52,480,000)... 52,480,000
- ---------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $1,065,180,136**).. $848,807,547
- ---------------------------------------------------------------------------------
</TABLE>
+ A portion of the security is on loan (see Note 12).
* Denotes income producing security.
++ Security has been partially segregated by custodian for futures contracts
commitments.
** Aggregate cost for Federal income tax purposes is substantially the same.
Classification of Investments
[Pie Chart appears here]
Consumer Durables & Non-Duarables 9.0%
Health Care 10.3%
Technology 22.5%
Capital Goods 5.5%
Financial Services 6.4%
Utilities 2.7%
Consumer Services 21.5%
Basic Industries 5.5%
Other Common Stock 10.3%
U.S. Treasury Bills & Repurchase Agreement 6.3%
91
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
STOCK -- 96.5%
- -------------------------------------------------------------------------------
AUSTRALIA -- 1.6%
56,200 Amcor Ltd.@......................................... $ 201,341
88,000 Amp Ltd.*........................................... 1,077,248
17,800 Ashton Mining Ltd................................... 6,927
1,296,892 Australia New Zealand Banking Group Ltd............. 6,555,192
25,717 Australian Gas Light Co. Ltd........................ 146,000
68,600 Australian National Industries Ltd.................. 27,481
104,893 Boral Ltd........................................... 141,070
19,400 Brambles Industries Ltd............................. 384,149
182,903 Broken Hill Proprietary Co. Ltd.(a)................. 1,262,381
40,675 Burns, Philp & Co. Ltd.@............................ 4,073
981,721 Coca-Cola Amatil Ltd................................ 2,247,349
102,885 Coca-Cola Beverages PLC*@........................... 250,832
100,407 Coles Myer Ltd...................................... 367,761
86,499 Crown Ltd.*......................................... 17,821
87,900 CSR Ltd............................................. 178,582
26,048 David Jones Ltd..................................... 22,658
13,300 Delta Gold NL....................................... 12,254
5,500 Dominion Mining Ltd.*............................... 1,070
2,750 Dominion Mining Ltd. Warrants, Expire 12/31/98*..... 4
24,266 Email Ltd........................................... 33,607
12,781 F.H. Faulding & Co. Ltd............................. 51,567
170,700 Foster Brewing Group Ltd............................ 351,688
43,698 Futuris Corp. Ltd................................... 34,511
103,415 General Property Trust.............................. 151,511
53,761 Gio Australia Holdings Ltd.......................... 154,452
111,743 Goodman Fielder Ltd................................. 131,098
16,947 Great Central Mines Ltd............................. 9,407
4,114 Homestake Mining.................................... 36,493
36,132 James Hardie Industries Ltd.*....................... 71,546
22,600 Leighton Holdings Ltd............................... 69,196
22,391 Lend Lease Corp. Ltd................................ 423,513
147,363 M.I.M. Holdings Ltd................................. 59,034
12,300 Metal Manufactures Ltd.............................. 11,262
134,800 National Australia Bank Ltd.(a)..................... 1,668,157
18,442 Newcrest Mining Ltd................................. 14,987
175,829 News Corp. Ltd., ................................... 1,075,699
243,455 News Corp. Ltd., Preferred.......................... 1,327,803
147,518 Normandy Mining Ltd................................. 85,268
65,002 North Ltd........................................... 112,792
22,600 Orica Ltd........................................... 103,471
89,400 Pacific Dunlop Ltd.................................. 155,843
77,325 Pioneer International Ltd........................... 141,609
33,449 QBE Insurance Group Ltd............................. 106,972
51,067 QCT Resources Ltd................................... 28,056
11,700 Resolute Ltd........................................ 6,628
16,450 RGC Ltd. ........................................... 20,287
28,643 Rio Tinto Ltd. ..................................... 278,014
9,300 Rothmans Holdings Ltd. ............................. 55,352
52,725 Santos Ltd. ........................................ 119,189
37,201 Schroders Property Fund............................. 51,947
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
92
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
AUSTRALIA -- 1.6% (CONTINUED)
16,187 Smith (Howard) Ltd. ................................. $ 81,058
8,035 Sons of Gwalia Ltd................................... 17,920
56,012 Southcorp Ltd. ...................................... 133,992
41,700 Star City Holdings Ltd.*............................. 22,671
25,842 Stockland Trust Group................................ 52,502
26,400 TABCORP Holdings Ltd. ............................... 134,769
80,000 Telstra Corp Ltd., Installment Receipts.............. 207,400
109,034 Westfield Trust...................................... 193,439
155,000 Westpac Banking Corp. Ltd.(a)........................ 824,968
101,075 WMC Ltd. ............................................ 248,155
- ------------------------------------------------------------------------------
21,762,026
- ------------------------------------------------------------------------------
AUSTRIA -- 0.2%
200 Austria Mikro Systeme International AG............... 7,752
2,000 Austrian Airlines Osterreichische Luftverkehrs AG.... 69,869
12,775 Bank Austria AG...................................... 700,079
300 Bau Holding AG....................................... 15,714
600 BBAG Oesterreichische Brau-Beteiligungs AG........... 32,783
1,000 Boehler-Uddeholm AG.................................. 47,720
100 BWT AG............................................... 16,117
1,600 Flughafen Wien AG.................................... 61,246
600 Generali Holding Vienna AG........................... 125,717
200 Lenzing AG........................................... 10,129
900 Mayr-Melnhof Karton AG............................... 45,910
2,800 Oesterreichische Elektrizitaetswirtschafts AG, Class
A Shares............................................ 471,600
2,420 OMV AG............................................... 249,648
1,000 RHI AG............................................... 36,586
140 Strabag Oesterreich AG............................... 9,025
300 Universale-Bau AG.................................... 9,549
1,300 VA Technologie AG.................................... 126,764
800 Weinerberger Baustoffindustrie AG.................... 155,695
- ------------------------------------------------------------------------------
2,191,903
- ------------------------------------------------------------------------------
BELGIUM -- 1.0%
4,445 Almanij NV........................................... 331,798
45 Almanij NV - STRIP VVPR*............................. 2
591 AXA Warrants, Expire 7/13/01*........................ 0
1,400 Barco NV@............................................ 338,722
250 Bekaert NV........................................... 161,525
2,550 Cimenteries CBR Cementbedrijven...................... 237,669
250 Cimenteries CBR Cementbedrijven - STRIP VVPR*........ 20
450 Colruyt NV........................................... 312,396
1,100 Compagnie Maritime Belge S.A......................... 66,534
300 Copeba............................................... 19,671
630 D'Ieteren S.A........................................ 262,413
5,700 Delhaize-Le Lion S.A................................. 445,067
6,075 Electrabel S.A. ..................................... 1,979,235
625 Electrabel S.A. - STRIP VVPR......................... 171
8,902 Fortis AG............................................ 2,403,432
4,270 Fortis AG - CVG*..................................... 29,114
4,602 Fortis AG - STRIP VVPR*.............................. 253
110 Generale de Banque S.A. - STRIP VVPR*................ 3
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
93
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
BELGIUM -- 1.0% (CONTINUED)
750 Glaverbel S.A. ...................................... $ 89,079
2,700 Groupe Bruxelles Lambert S.A. ....................... 500,329
32,240 KBC Bancassurance Holding NV......................... 2,552,835
2,140 KBC Bancassurance Holding NV - STRIP VVPR*........... 117
2,600 PetroFina S.A. ...................................... 977,537
175 Royale Belge - STRIP VVPR*........................... 4
1,100 Societe General Warrants, Expire 11/30/99*........... 241
9,300 Solvay S.A. ......................................... 588,089
9,375 Tractbel............................................. 1,420,220
750 Tractbel - STRIP VVPR*............................... 41
170 UCB S.A. ............................................ 883,839
2,850 Union Miniere S.A.................................... 140,258
- ------------------------------------------------------------------------------
13,740,614
- ------------------------------------------------------------------------------
CANADA -- 0.6%
221,600 BCE Inc. ............................................ 7,501,419
- ------------------------------------------------------------------------------
DENMARK -- 0.5%
255 Aarhus Oliefabrik A/S, Class A Shares................ 11,199
65 Aarhus Oliefabrik A/S, Class B Limited Voting
Shares.............................................. 2,806
1,015 Bang & Olufsen Holding A/S, Class B Shares........... 77,069
3,950 Carlsberg A/S, Class A Shares........................ 249,936
3,905 Carlsberg A/S, Class B Shares........................ 255,810
92 D/S 1912, Class B Shares............................. 568,433
83 Dampskibsselskabet Svendborg A/S, Class B Shares..... 741,435
6,735 Danisco A/S@......................................... 446,212
5,930 Den Danske Bank...................................... 719,542
1,710 Det Ostasiatiske Kompagni A/S*@...................... 10,438
4,190 FLS Industries A/S, Class B Shares................... 79,224
2,375 GN Store Nord A/S.................................... 70,719
2,375 ISS International Service System A/S, Class B
Shares*............................................. 134,465
215 J. Lauritzen Holdings A/S............................ 15,844
970 Korn-OG Foderstof Kompagniet A/S..................... 23,828
600 NKT Holdings A/S..................................... 44,218
8,405 Novo Nordisk A/S, Class B Shares..................... 1,152,501
825 Radiometer A/S, Class B Shares@...................... 36,234
3,750 SAS Danmark A/S@..................................... 54,156
524 Sophus Berendsen, Class A Shares..................... 18,567
2,475 Superfos A/S......................................... 45,323
14,675 Tele-Danmark A/S..................................... 1,555,625
5,965 Unidanmark A/S, Class A Shares....................... 488,446
- ------------------------------------------------------------------------------
6,802,030
- ------------------------------------------------------------------------------
FINLAND -- 0.6%
1,900 Amer Group Ltd. ..................................... 29,030
5,700 Cultor Oyj Series 1.................................. 79,656
1,800 Cultor Oyj Series 2.................................. 22,806
2,000 Instrumentarium Group, Class A Shares................ 102,444
400 Instrumentarium Group, Class B Shares................ 18,633
16,400 Kemira Oyj........................................... 137,512
11,500 Kesko Oyj............................................ 154,281
900 Kone Oyj, Class B Shares............................. 103,972
106,066 Merita PLC, Class A Shares........................... 535,587
1,100 Metra Oyj, Class A Shares............................ 29,719
5,800 Metra Oyj, Class B Shares............................ 154,758
55,200 Nokia Oyj AB, Class A Shares......................... 3,688,056
21,400 Nokia Oyj AB, Class K Shares......................... 1,539,166
</TABLE>
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INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
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<C> <S> <C>
- -------------------------------------------------------------------------------
FINLAND -- 0.6% (CONTINUED)
15,900 Outokumpu Oyj........................................ $ 165,908
2,600 Pohjola Group Insurance Corp., Class A Shares........ 94,469
2,600 Pohjola Group Insurance Corp., Class B Shares........ 95,923
592 The Rauma Group Oyj.................................. 8,604
7,800 Sampo Insurance Co. Ltd., Class A Shares@............ 283,409
3,300 Stockmann AB, Class A Shares......................... 80,550
2,300 Stockmann AB, Class B Shares......................... 44,570
34,560 UPM-Kymmene Oyj...................................... 701,915
- -------------------------------------------------------------------------------
8,070,968
- -------------------------------------------------------------------------------
FRANCE -- 11.8%
3,841 Accor S.A. .......................................... 885,184
8,814 Air Liquide.......................................... 1,170,775
17,480 Alcatel Alsthom...................................... 2,824,602
596 Allianz Cert, Value Guaranteed*...................... 0
596 Assurance Generales de France........................ 32,674
828 Assurance Generales de France Warrants, Expire
6/15/00............................................. 350
38,460 Axa.................................................. 4,425,177
138,641 Banque Nationale de Paris............................ 9,160,627
210 Bongrain S.A. ....................................... 106,243
2,745 Bouygues S.A. ....................................... 524,847
3,353 Canal Plus........................................... 676,840
7,300 Cap Gemini S.A. ..................................... 1,148,730
4,120 Carrefour Supermarche S.A. .......................... 2,412,047
650 Chargeurs S.A. ...................................... 40,572
1,594 Club Mediterranee S.A.*.............................. 118,943
1,700 Coflexip S.A. ....................................... 115,059
1 Compagnie Bancaire S.A. ............................. 144
9,550 Compagnie de Saint Gobain............................ 1,370,287
1,800 Compagnie Francaise d'Etudes et de Construction
Technip............................................. 164,467
450 Compagnie Generale de Geophysique S.A.*.............. 32,512
14,810 Compagnie Generale des Etablissements Michelin, Class
B Shares............................................ 628,986
605 Comptoirs Modernes................................... 336,281
1,250 CPR.................................................. 95,177
1,700 Dassault Systemes S.A. .............................. 86,006
400 Dollfus-Mieg & Cie S.A.*............................. 6,538
29,400 Elf Aquitaine S.A.(a)................................ 2,910,152
2,800 Eridania Beghin-Say S.A. ............................ 512,148
1,050 Essilor International S.A. .......................... 424,619
7,800 Etablissements Economiques du Casino Guichard-
Perrachon S.A. ..................................... 739,086
1,900 Etablissements Economiques du Casino Guichard-
Perrachon S.A. Preferred............................ 121,651
150 Europe 1 Communication............................... 32,994
85,650 France Telecom S.A. ................................. 6,282,449
79,598 Groupe Danone@....................................... 21,064,512
1,619 Groupe GTM........................................... 145,737
276 Groupe pour le Financement de la Construction........ 27,553
1,650 Groupe SEB S.A. ..................................... 171,700
1,600 Imetal S.A. ......................................... 181,387
7,215 L'OREAL(a)........................................... 3,889,507
11,667 Lafarge S.A. ........................................ 994,952
12,840 Lagardere S.C.A. .................................... 482,314
2,990 Legrand S.A. ........................................ 658,204
9,380 LVMH(a).............................................. 1,545,874
2,540 Moulinex*............................................ 50,284
1,600 Natexis.............................................. 92,047
800 Nord-Est S.A. ....................................... 15,972
</TABLE>
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INTERNATIONAL EQUITY INVESTMENTS
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<C> <S> <C>
- -------------------------------------------------------------------------------
FRANCE -- 11.8% (CONTINUED)
17,896 Paribas.............................................. $ 1,506,473
800 Pathe S.A. .......................................... 157,022
8,750 Pechiney S.A., Class A Shares........................ 281,450
6,025 Pernod-Ricard........................................ 426,133
12,500 Pinault-Printemps Redoute S.A. ...................... 1,954,314
2,150 Primagaz Cie......................................... 168,653
2,050 Promodes............................................. 1,331,632
5,375 PSA Peugeot Citroen.................................. 895,833
267,358 Renault S.A. ........................................ 11,933,847
38,830 Rhone-Poulenc........................................ 1,866,599
450 Sagem S.A. .......................................... 324,746
11,388 Sanofi S.A.@ ........................................ 1,279,463
240,072 Schneider S.A. ...................................... 14,111,845
3,600 Sidel S.A. .......................................... 246,700
2,059 Simco S.A. .......................................... 155,034
1,150 Skis Rossignol S.A. ................................. 18,232
5,900 Societe BIC S.A. .................................... 334,333
405 Societe Eurafrance S.A. ............................. 231,624
1,400 Societe Francaise d'Investissements Immobiliers et de
Gestion............................................. 94,043
10,563 Societe Generale, Class A Shares..................... 1,858,802
5,550 Societe Nationale d'Exploitation Industrielle des
Tabacs et Allumettes................................ 236,649
3,588 Sodexho Alliance S.A.@............................... 637,461
1,900 Sommer-Allibert...................................... 78,604
135,834 Suez Lyonnaise des Eaux@............................. 22,340,253
12,812 Thomson CSF.......................................... 431,402
26,177 Total S.A., Series B................................. 2,542,402
1,000 Unibail.............................................. 120,812
26,050 Usinor S.A. ......................................... 275,045
157,989 Valeo S.A. .......................................... 11,869,223
69,904 Vivendi@............................................. 13,933,606
9,411 Vivendi Warrants, Expire 5/2/01*..................... 15,605
500 Zodiac S.A. ......................................... 113,367
- -------------------------------------------------------------------------------
158,477,417
- -------------------------------------------------------------------------------
GERMANY -- 9.1%
4,950 Adidas-Salomon AG.................................... 599,277
3,500 AGIV-AG fuer Industrie und Verkehrswesen............. 91,295
26,787 Allianz AG, Registered Shares(a)..................... 7,868,254
1,000 Amb Aachener & Muench Beteiligungs AG, Bearer
Shares@............................................. 118,514
4,400 Amb Aachener & Muench Beteiligungs AG, Registered
Shares.............................................. 633,739
2,900 Axa Colonia Konzern AG............................... 338,758
500 Axa Colonia Konzern AG Preferred..................... 44,513
68,200 BASF AG.............................................. 2,745,789
80,100 Bayer AG............................................. 3,079,546
29,100 Bayerische Hypotheken-und Wechsel-Bank AG(a)......... 1,679,829
33,300 Bayerische Hypo-und Vereinsbank AG................... 2,577,516
9,200 Beiersdorf AG........................................ 498,213
3,950 Bilfinger & Berger Bau AG............................ 96,314
400 Brau Und Brunnen AG*................................. 43,096
300 Buderus AG........................................... 136,943
12,550 Continental AG....................................... 331,630
182,339 Daimler-Benz AG@..................................... 16,843,222
10,100 Degussa AG........................................... 510,870
58,250 Deutsche Bank AG..................................... 3,791,947
41,850 Deutsche Lufthansa AG, Registered Shares............. 1,041,800
240,700 Deutsche Telekom AG(a)............................... 6,415,026
5,200 Deutz AG............................................. 58,678
</TABLE>
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INTERNATIONAL EQUITY INVESTMENTS
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<C> <S> <C>
- ------------------------------------------------------------------------------
GERMANY -- 9.1% (CONTINUED)
100 DLW AG............................................... $ 19,960
3,850 Douglas Holding AG................................... 188,843
53,800 Dresdner Bank AG..................................... 2,486,362
115 Dyckerhoff AG........................................ 37,364
165 Dyckerhoff AG Preferred.............................. 57,281
50 Escada AG............................................ 6,662
50 Escada AG Preferred.................................. 6,506
5,280 FAG Kugelfischer Georg Schaefer AG................... 65,869
350 Friedrich Grohe AG-Vorzugsak......................... 104,196
5,285 Heidelberger Zement AG@.............................. 427,055
100 Herlitz AG........................................... 4,536
100 Herlitz AG Preferred................................. 3,901
7,700 Hochtief AG.......................................... 301,275
100 Holsten-BRAUEREI AG.................................. 20,130
2,000 IWKA AG.............................................. 38,673
900 Karstadt AG.......................................... 392,968
900 Linde AG............................................. 525,659
1,200 MAN AG............................................... 360,646
500 MAN AG-Vorzugsaktien................................. 107,173
309,450 Mannesmann AG........................................ 28,690,146
18,850 Merck KGaA........................................... 721,505
24,620 Metro AG............................................. 1,398,879
2,000 Metro AG Preferred................................... 75,985
350 Muenchener Rueckversicherungs-Gesellschaft AG........ 86,929
364 Muenchener Rueckversicherungs-Gesellschaft AG New
Registered Shares................................... 141,182
8,750 Muenchener Rueckversicherungs-Gesellschaft AG
Registered Shares................................... 3,423,589
364 Muenchener Rueckversicherungs Warrants, Expire
6/3/02*............................................. 15,274
1,650 Preussag AG.......................................... 568,868
1,950 Rheinmetall AG....................................... 52,523
826 Rheinmetall AG Preferred............................. 16,580
37,000 RWE AG............................................... 1,810,660
23,900 RWE AG Non Voting Preferred.......................... 794,182
100 Salamander AG........................................ 16,728
6,700 SAP AG............................................... 3,628,296
4,650 SAP AG Preferred..................................... 2,737,000
7,500 Schering AG.......................................... 729,373
2,300 SGL Carbon AG@ ...................................... 206,719
62,900 Siemens AG........................................... 4,155,287
150 STRABAG AG*.......................................... 9,569
3,750 Thyssen AG@ ......................................... 727,246
54,500 VEBA AG.............................................. 2,807,669
2,906 Viag AG.............................................. 1,927,995
154,030 Volkswagen AG@ ...................................... 11,354,665
10,500 Volkswagen AG Preferred.............................. 526,935
- ------------------------------------------------------------------------------
121,323,612
- ------------------------------------------------------------------------------
HONG KONG -- 1.3%
132,208 Bank of East Asia Ltd.@ ............................. 137,339
337,000 Cathay Pacific Airways@.............................. 245,709
226,000 Cheung Kong Holdings Ltd.@ .......................... 874,929
177,608 Chinese Estates Holdings............................. 22,919
245,000 CLP Holding Ltd. .................................... 1,030,687
22,000 Dickson Concepts International Ltd. ................. 13,272
65,000 Elec & Eltek International Holdings Ltd.............. 9,394
2,400 Genting International PLC*........................... 192
64,000 Giordano International Ltd. ......................... 6,607
122,000 Hang Lung Development Co. Ltd.@ ..................... 94,461
</TABLE>
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<C> <S> <C>
- ------------------------------------------------------------------------------
HONG KONG -- 1.3% (CONTINUED)
190,100 Hang Seng Bank Ltd. ............................... $ 1,022,966
426,721 Hong Kong & China Gas Co. Ltd. .................... 446,039
19,396 Hong Kong & China Gas Co. Ltd. Warrants, Expire
9/30/99*.......................................... 725
102,500 Hong Kong & Shanghai Hotels Ltd.@ ................. 50,593
6,500 Hong Kong & Shanghai Hotels Ltd. Warrants, Expire
12/10/98*......................................... 8
16,800 Hong Kong Aircraft Engineering Co. Ltd. ........... 17,560
1,206,594 Hong Kong Telecommunications Ltd.@................. 2,133,167
6,159 Hong Kong Telecommunications Ltd. ADR@............. 102,008
397,000 Hopewell Holdings Ltd.@ ........................... 39,960
1,920,000 Hutchison Whampoa Ltd. ............................ 8,325,008
93,000 Hysan Development Co. Ltd.@ ....................... 62,406
9,300 Hysan Development Co. Ltd. Warrants, Expire
4/30/99*.......................................... 12
311 Jardine Matheson Holdings Ltd...................... 553
90,600 Johnson Electric Holdings Ltd.*.................... 151,989
34,000 Kumagai Gumi (Hong Kong) Ltd. ..................... 7,458
6,800 Kumagai Gumi (Hong Kong) Ltd. Warrants, Expire
12/31/99*......................................... 43
4,900 Melco International Development Ltd. .............. 474
52,000 Miramar Hotel and Investment Ltd. ................. 39,255
1,038,864 New World Development Co. Ltd.@ ................... 1,119,406
449 New World Infrastructure Ltd.@*.................... 256
132,000 Oriental Press Group............................... 11,583
9,600 Oriental Press Group Warrants, Expire 10/2/98*..... 12
52,000 Peregrine Investment Holdings Ltd. ................ 0
360,800 Regal Hotels International@ ....................... 34,454
178,000 Shangri-La Asia Ltd.@ ............................. 101,068
125,243 Shun Tak Holdings Ltd. ............................ 9,373
276,000 Sino Land Co.@ .................................... 78,356
170,000 South China Morning Post Holdings Ltd. ............ 55,941
235,000 Sun Hung Kai Properties Ltd. ...................... 721,751
155,000 Swire Pacific Ltd., Class A Shares................. 447,046
41,000 Tai Cheung Holdings Ltd. .......................... 9,417
168,000 Tan Chong International Ltd. ...................... 2,753
38,000 Television Broadcasts Ltd. ........................ 81,892
22,000 Varitronix International Ltd. ..................... 40,597
227,000 Wharf Holdings Ltd.@ .............................. 216,770
11,350 Wharf Holdings Ltd. Warrants, Expire 12/31/99*..... 124
21,068 Wing Lung Bank..................................... 39,149
- ------------------------------------------------------------------------------
17,805,681
- ------------------------------------------------------------------------------
HUNGARY -- 0.1%
26,130 Gedeon Richter Ltd.+............................... 884,863
- ------------------------------------------------------------------------------
IRELAND -- 0.2%
78,102 Allied Irish Banks PLC............................. 1,070,990
3,900 Clondalkin Group PLC............................... 30,480
34,884 CRH PLC............................................ 379,211
7,600 DCC PLC............................................ 53,458
19,667 Fyffes PLC......................................... 37,728
11,764 Greencore Group PLC................................ 46,806
39,305 Independent Newspapers PLC......................... 145,216
2,405 Irish Continental Group PLC........................ 29,903
26,140 Irish Life PLC..................................... 206,154
8,600 Irish Permanent PLC................................ 89,699
3,159 James Crean PLC.................................... 4,713
99,399 Jefferson Smurfit Group PLC........................ 190,682
14,900 Kerry Group PLC, Class A Shares.................... 169,383
15,200 Ryanair Holdings PLC............................... 97,196
</TABLE>
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INTERNATIONAL EQUITY INVESTMENTS
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<C> <S> <C>
- ------------------------------------------------------------------------------
IRELAND -- 0.2% (CONTINUED)
21,200 Tullow Oil PLC*.................................... $ 35,246
49,720 Waterford Foods PLC, Unit.......................... 45,923
- ------------------------------------------------------------------------------
2,632,788
- ------------------------------------------------------------------------------
ITALY -- 6.8%
11,000 Arnoldo Mondadori Editore S.p.A. .................. 105,345
90,828 Assicurazioni Generali............................. 3,078,411
159,000 Banca Commerciale Italiana@........................ 1,067,389
157,666 Banca Intesa S.p.A. ............................... 745,427
69,666 Banca Intesa S.p.A. di Risp NC..................... 169,882
20,000 Banca Popolare di Milano........................... 146,254
4,934,905 Banco di Roma...................................... 9,542,203
165,200 Benetton Group S.p.A. ............................. 245,025
26,000 Bulgari S.p.A. .................................... 117,032
9,000 Burgo Cartiere S.p.A. ............................. 54,737
15,000 Cementir S.p.A. ................................... 16,524
4,048,041 Credito Italiano S.p.A. ........................... 19,412,758
3,000 Danieli & Co. ..................................... 21,464
3,000 Danieli & Co. di Risp NC........................... 10,160
56,000 Edison S.p.A.@ .................................... 481,358
701,000 ENI S.p.A.@(a) .................................... 3,663,774
11,000 Falck Acciaierie & Ferriere Lombarde S.p.A. ....... 77,315
324,200 Fiat S.p.A.@ ...................................... 1,005,050
70,000 Fiat S.p.A. di Risp NC............................. 127,521
91,200 Fiat S.p.A. Preferred.............................. 167,973
30,000 Impregilo S.p.A.*.................................. 22,205
72,000 Istituto Bancario San Paolo di Torino.............. 1,052,248
53,000 Istituto Mobiliare Italiano S.p.A. ................ 807,354
352,000 Istituto Nazionale delle Assicurazioni............. 931,072
15,000 Italcementi S.p.A. ................................ 121,352
7,000 Italcementi S.p.A. di Risp NC...................... 25,881
61,000 Italgas S.p.A. .................................... 260,296
53,900 Magneti Marelli S.p.A. ............................ 76,233
4,000 Marzotto & Figli S.p.A. ........................... 44,524
2,440,868 Mediaset S.p.A.@ .................................. 13,815,968
51,600 Mediobanca S.p.A................................... 559,773
8,600 Mediobanca S.p.A. Warrants, Expire 12/31/00*....... 28,570
9,200 Milano Assicurazioni*.............................. 27,079
439,700 Montedison S.p.A.@ ................................ 448,567
45,000 Montedison S.p.A. di Risp NC....................... 33,617
231,868 Olivetti S.p.A.@ .................................. 519,253
28,028 Olivetti S.p.A. Warrants, Expire 8/31/02*.......... 48,968
130,000 Parmalat Finanziaria S.p.A.@ ...................... 190,877
129,000 Pirelli S.p.A. .................................... 355,576
7,000 Pirelli S.p.A. di Risp NC.......................... 12,956
18,600 La Rinascente S.p.A. .............................. 158,268
3,000 La Rinascente S.p.A. di Risp NC.................... 13,057
2,000 La Rinascente S.p.A. Preferred..................... 7,631
29,000 Riunione Adriatica di Sicurta S.p.A.@ ............. 358,762
11,800 Riunione Adriatica di Sicurta S.p.A. di Risp NC.... 101,896
17,000 Sirti S.p.A. ...................................... 83,232
55,000 SNIA BPD S.p.A. ................................... 65,324
5,000 SNIA BPD S.p.A. di Risp NC......................... 4,848
11,000 Societa Assicuratrice Industriale S.p.A.@ ......... 119,880
4,000 Societa Assicuratrice Industriale S.p.A. di Risp
NC................................................ 22,032
3,427,331 Telecom Italia S.p.A. ............................. 26,455,485
80,200 Telecom Italia S.p.A. di Risp NC................... 397,495
</TABLE>
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INTERNATIONAL EQUITY INVESTMENTS
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<C> <S> <C>
- --------------------------------------------------------------------------------
ITALY -- 6.8% (CONTINUED)
573,500 Telecom Italia Mobile S.p.A.(a) ....................... $ 3,737,119
139,500 Telecom Italia Mobile S.p.A. di Risp NC................ 503,619
- --------------------------------------------------------------------------------
91,666,619
- --------------------------------------------------------------------------------
JAPAN -- 17.8%
16,000 Acom Co. Ltd.@ ........................................ 793,257
10,700 Advantest Corp. ....................................... 458,495
71,000 Ajinomoto Co. Inc. .................................... 522,983
20,000 Alps Electric Co. Ltd. ................................ 246,476
32,000 Amada Co. Ltd. ........................................ 158,198
8,000 Amano Corp.@........................................... 65,727
33,000 Aoki Corp.@ ........................................... 13,322
7,900 Aoyama Trading Co. Ltd. ............................... 189,680
4,200 Arabian Oil Co.@ ...................................... 55,032
259,000 Asahi Bank Ltd.@ ...................................... 801,636
53,000 Asahi Breweries Ltd.@.................................. 625,759
157,000 Asahi Chemical Industries Co. Ltd...................... 468,142
128,000 Asahi Glass Co. Ltd.................................... 612,847
8,000 Asahi Optical Co. Ltd.................................. 30,030
54,000 Ashikaga Bank Ltd.@.................................... 69,608
3,300 Autobacs Seven Co. Ltd................................. 87,414
509,600 Bank of Tokyo-Mitsubishi Ltd.@(a) ..................... 3,602,102
124,000 Bank of Yokohama Ltd.@................................. 220,440
90,000 Bridgestone Corp. ..................................... 1,982,435
29,000 Brothers Industries Ltd. .............................. 94,688
536,000 Canon Inc.............................................. 10,876,407
30,000 Casio Computer Co. Ltd.@............................... 210,354
85,000 Chiba Bank Ltd......................................... 245,626
50,000 Chichibu Onoda Cement Corp.@ .......................... 92,782
14,000 Chiyoda Corp........................................... 13,882
27,000 Chugai Pharmaceutical Co. Ltd. ........................ 182,626
34,000 Citizen Watch Co. Ltd.................................. 242,014
55,000 Cosmo Oil Co. Ltd.@.................................... 70,118
18,200 Credit Saison Co. Ltd.@ ............................... 357,064
7,000 CSK Corp............................................... 121,467
83,000 Dai Nippon Printing Co. Ltd............................ 1,158,672
29,000 Daicel Chemical Industries Ltd......................... 48,268
34,000 Daido Steel Co. Ltd.@.................................. 43,586
78,000 Daiei Inc.@ ........................................... 206,615
9,000 Daifuku Co. Ltd.@...................................... 38,628
31,000 Daiichi Pharmaceutical Co. Ltd......................... 384,234
29,000 Daikin Industries Ltd. ................................ 174,587
15,000 Daikyo Inc.@........................................... 14,342
24,000 Daimaru Inc.@ ......................................... 53,714
86,000 Dainippon Ink & Chemicals Inc.......................... 208,315
19,000 Dainippon Screen Manufacturing Co. Ltd. ............... 58,941
12,425 Daito Trust Construction Co., Ltd...................... 99,442
57,000 Daiwa House Industry Co. Ltd. ......................... 456,193
12,000 Daiwa Kosho Lease Co. Ltd. ............................ 44,195
146,000 Daiwa Securities Co. Ltd. ............................. 482,909
37,000 Denki Kagaku Kogyo Kabushiki Kaisha.................... 51,363
721,000 Denso Co. Ltd.......................................... 10,800,445
436 East Japan Railway Co. ................................ 2,090,601
31,000 Ebara Corp............................................. 237,346
30,800 Eisai Co. Ltd. ........................................ 366,484
13,000 Ezaki Glico Co. Ltd.@ ................................. 69,055
26,100 Fanuc Ltd. ............................................ 841,100
</TABLE>
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INTERNATIONAL EQUITY INVESTMENTS
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<C> <S> <C>
- --------------------------------------------------------------------------------
JAPAN -- 17.8% (CONTINUED)
323,000 Fuji Bank Ltd.@........................................ $ 912,791
56,000 Fuji Photo Film Co. ................................... 1,804,660
41,000 Fujikura Ltd. ......................................... 140,838
35,000 Fujita Corp.@.......................................... 16,608
13,000 Fujita Kanko Inc. ..................................... 99,348
203,000 Fujitsu Ltd.@.......................................... 2,056,023
72,000 Furukawa Electric Co. Ltd. ............................ 197,861
6,000 Gakken Co. Ltd.@....................................... 8,159
56,000 Gunma Bank Ltd.@....................................... 373,227
19,000 Gunze Ltd. ............................................ 40,774
95,000 Hankyu Corp.@.......................................... 343,154
20,000 Hankyu Department Stores Inc.@......................... 104,823
34,000 Haseko Corp.*@......................................... 13,485
25,000 Hazama Corp.@.......................................... 12,394
28,000 Higo Bank Ltd. ........................................ 109,072
4,300 Hirose Electric Co. Ltd. .............................. 240,902
364,000 Hitachi Ltd.(a) ....................................... 1,822,706
109,000 Hitachi Zosen Corp. ................................... 135,101
2,000 Hokuetsu Bank, Ltd..................................... 5,156
60,000 Hokuriku Bank Ltd.@.................................... 70,543
106,000 Honda Motor Co. Ltd.(a) ............................... 3,648,700
12,000 House Foods Corp.@..................................... 138,961
13,000 Hoya Corp. ............................................ 432,750
26,000 Inax Corp. ............................................ 97,598
277,200 Industrial Bank of Japan Ltd.@(a)...................... 999,325
24,000 Isetan Co. Ltd.@....................................... 192,761
25,000 Ishihara Sangyo Kaisha Ltd.*........................... 32,757
259,000 Ito-Yokado Co. Ltd. ................................... 12,052,056
155,000 Itochu Corp. Ltd.@..................................... 265,670
25,000 Itoham Foods........................................... 79,679
20,000 Iwatani International Corp. ........................... 29,888
17,000 Jaccs Co. Ltd. ........................................ 61,165
194,000 Japan Airlines Co. Ltd.@............................... 494,652
96,000 Japan Energy Corp. .................................... 97,230
8,000 Japan Metals & Chemicals Co. Ltd.*..................... 10,992
29,000 Japan Steel Works Ltd.*@............................... 29,782
4,000 Jeol Ltd. ............................................. 16,233
14,000 JGC Corp. ............................................. 28,953
96,600 Joyo Bank Ltd. ........................................ 328,408
35,000 Jusco Co. Ltd. ........................................ 566,435
105,000 Kajima Corp.@.......................................... 252,850
6,000 Kaken Pharmaceutical Co. Ltd. ......................... 14,873
30,000 Kamigumi Co. Ltd. ..................................... 111,976
18,200 Kandenko Co. Ltd. ..................................... 95,389
40,000 Kanebo Ltd.*@.......................................... 31,446
38,000 Kaneka Corp.@.......................................... 195,396
106,700 Kansai Electric Power Co., Inc. ....................... 1,757,047
22,000 Kansai Paint........................................... 41,291
68,000 Kao Corp. ............................................. 1,047,524
5,000 Katokichi Co. Ltd.@.................................... 57,015
152,000 Kawasaki Heavy Industries Ltd. ........................ 288,519
64,000 Kawasaki Kisen Kaisha Ltd.............................. 88,391
354,000 Kawasaki Steel Corp.................................... 541,568
55,930 Keihin Electric Express Railway Co. Ltd.@.............. 139,042
21,600 Kikkoman Corp. ........................................ 97,604
29,500 Kinden Corp............................................ 344,748
176,940 Kinki Nippon Railway Co. Ltd.@......................... 756,935
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
101
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INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
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<C> <S> <C>
- --------------------------------------------------------------------------------
JAPAN -- 17.8% (CONTINUED)
115,000 Kirin Brewery Co. Ltd. ................................ $ 961,116
5,300 Kissei Pharmaceutical Co. Ltd. ........................ 73,236
14,000 Kokuyo Co. Ltd......................................... 205,255
106,000 Komatsu Ltd............................................ 467,724
9,000 Komori Corp.@.......................................... 165,096
2,800 Konami Co. Ltd.@....................................... 70,996
39,000 Konica Corp............................................ 150,541
17,000 Koyo Seiko Co. Ltd. ................................... 77,059
154,000 Kubota Corp............................................ 294,496
48,000 Kumagai Gumi Co. Ltd@.................................. 28,557
21,000 Kurabo Industries...................................... 24,095
37,000 Kuraray Co. Ltd........................................ 323,903
17,000 Kureha Chemicals Industry Co. Ltd...................... 33,231
14,800 Kurita Water Industries Ltd. .......................... 156,186
21,300 Kyocera Corp........................................... 967,015
49,000 Kyowa Hakko Kogyo Co. Ltd. ............................ 176,301
7,000 Kyudenko Co............................................ 42,240
27,000 Lion Corp. ............................................ 90,070
9,000 Maeda Road Construction Co. Ltd. ...................... 45,640
8,000 Makino Milling Machine Co. Ltd.@....................... 47,028
18,000 Makita Corp. .......................................... 209,334
163,000 Marubeni Corp. ........................................ 268,992
24,000 Maruha Corp. .......................................... 22,267
40,000 Marui Co. Ltd.......................................... 563,779
790,000 Matsushita Electric Industrial Co., Ltd................ 11,358,452
300 Matsuzakaya Co. Ltd.................................... 1,194
23,000 Meiji Milk Products Co. Ltd. .......................... 50,173
34,000 Meiji Seika............................................ 92,471
43,000 Minebea Co. Ltd........................................ 436,121
10,000 Misawa Homes Co. Ltd................................... 24,364
228,000 Mitsubishi Chemical Corp.@............................. 418,244
171,000 Mitsubishi Corp........................................ 924,095
234,000 Mitsubishi Electric Corp.@............................. 445,824
142,000 Mitsubishi Estate Co. Ltd.@............................ 1,045,966
44,000 Mitsubishi Gas Chemical Co.@........................... 114,682
368,000 Mitsubishi Heavy Industries Ltd. ...................... 1,339,698
18,000 Mitsubishi Logistics Corp.@............................ 134,627
124,000 Mitsubishi Materials Corp.@............................ 210,779
36,000 Mitsubishi Oil Co. Ltd. ............................... 41,815
26,000 Mitsubishi Paper Mills................................. 43,827
68,000 Mitsubishi Rayon Co. Ltd.@............................. 169,530
142,000 Mitsubishi Trust & Banking Co. Ltd.@ .................. 704,015
173,000 Mitsui & Co. Ltd. ..................................... 930,002
33,000 Mitsui Chemicals Inc. ................................. 78,298
65,000 Mitsui Engineering & Ship Building Co. Ltd.@........... 47,418
698,000 Mitsui Fudosan Co., Ltd................................ 4,498,760
86,000 Mitsui Marine & Fire Insurance Co. Ltd. ............... 342,318
55,000 Mitsui Mining & Smelting Co. Ltd.@..................... 237,623
121,000 Mitsui OSK Lines Ltd................................... 168,829
11,000 Mitsui Soko Co. Ltd.................................... 25,164
131,000 Mitsui Trust & Banking................................. 167,008
52,000 Mitsukoshi Ltd.@....................................... 116,382
8,000 Mori Seiki Co. Ltd..................................... 87,201
194,000 Murata Manufacturing Co., Ltd.......................... 6,403,002
35,000 Mycal Corp.@........................................... 217,897
12,000 Nagase & Co. Ltd....................................... 43,855
89,000 Nagoya Railroad Co. Ltd.@.............................. 251,512
</TABLE>
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INTERNATIONAL EQUITY INVESTMENTS
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<C> <S> <C>
- --------------------------------------------------------------------------------
JAPAN -- 17.8% (CONTINUED)
5,800 Namco Ltd.@.......................................... $ 125,702
54,450 Nankai Electric Railway Co. Ltd.@.................... 216,735
174,000 NEC Corp.@........................................... 1,282,909
40,000 NGK Insulators Ltd................................... 352,716
24,000 NGK Spark Plug Co. Ltd.@............................. 207,380
50,200 Nichido Fire & Marine Insurance Co., Ltd............. 244,616
27,000 Nichirei Corp. ...................................... 44,174
26,000 Nihon Cement Co. Ltd. ............................... 58,559
26,000 Niigata Engineering Co. Ltd.......................... 16,941
40,000 Nikon Corp........................................... 227,211
10,000 Nippon Beet Sugar Manufacturing Co. Ltd. ............ 11,403
14,000 Nippon Comsys Corp.@................................. 137,927
7,000 Nippon Denko Co., Ltd................................ 7,932
117,000 Nippon Express Co., Ltd. ............................ 535,321
63,000 Nippon Fire & Machine Insurance Ltd. ................ 211,948
47,000 Nippon Light Metal Co., Ltd.......................... 41,610
25,000 Nippon Meat Packers Inc.............................. 273,036
134,000 Nippon Oil Co. Ltd.@................................. 348,310
103,000 Nippon Paper Industries Co. ......................... 334,117
12,000 Nippon Sharyo Ltd.................................... 23,117
38,000 Nippon Sheet Glass Co. Ltd. ......................... 58,134
22,000 Nippon Shinpan Co., Ltd.@............................ 33,189
17,000 Nippon Shokubai Co., Ltd.@........................... 76,457
751,000 Nippon Steel Corp.@.................................. 1,228,706
23,000 Nippon Suisan Kaisha Ltd.* .......................... 24,272
3,522 Nippon Telegraph & Telephone Corp.(a)................ 26,691,266
129,000 Nippon Yusen Kabushiki Kaisha........................ 372,774
30,000 Nishimatsu Construction Co., Ltd..................... 138,111
274,000 Nissan Motor Co., Ltd.@.............................. 729,683
21,000 Nisshinbo Industries Inc............................. 65,741
14,000 Nissin Food Products Co. Ltd......................... 210,213
17,000 Nitto Denko Corp.@................................... 228,408
384,000 NKK Corp............................................. 320,929
17,000 NOF Corp............................................. 25,525
1,112,000 Nomura Securities Co., Ltd........................... 10,789,998
13,000 Noritake Co., Ltd.................................... 52,206
61,000 NSK Ltd.............................................. 221,205
50,000 NTN Corp............................................. 138,465
81,000 Obayashi Corp.@...................................... 281,110
80,320 Odakyu Electric Railway.............................. 216,173
112,000 Oji Paper Co. Ltd.@.................................. 395,836
10,000 Okamoto Industries Inc............................... 19,618
11,000 Okuma Corp. ......................................... 43,629
22,000 Okumura Corp.@....................................... 70,741
29,000 Olympus Optical Co., Ltd............................. 312,203
29,000 Omron Corp........................................... 316,311
19,000 Onward Kashiyama Co., Ltd............................ 232,941
27,000 Orient Corp.......................................... 52,971
7,100 Orix Corp. .......................................... 480,239
276,000 Osaka Gas Co. Ltd. .................................. 699,822
2,700 Oyo Corp. ........................................... 36,314
28,000 Penta-Ocean Construction Co., Ltd.@.................. 55,726
380,000 Pioneer Electronic Corp. ............................ 6,257,524
18,000 Q.P. Corp.@.......................................... 103,520
22,000 Renown Inc.*@........................................ 13,556
110,000 Rohm Co. Ltd. ....................................... 11,218,923
</TABLE>
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INTERNATIONAL EQUITY INVESTMENTS
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JAPAN -- 17.8% (CONTINUED)
411,000 Sakura Bank Ltd.@...................................... $ 721,920
13,000 Sanden Corp............................................ 82,038
20,000 Sankyo Aluminum Industry Co., Ltd. .................... 17,281
50,000 Sankyo Co. Ltd......................................... 1,087,187
7,000 Sanrio Co. Ltd.*@...................................... 79,623
21,000 Sanwa Shutter Corp. ................................... 79,871
213,000 Sanyo Electric Co., Ltd................................ 558,184
37,000 Sapporo Breweries Ltd.@................................ 113,995
21,000 Sato Kogyo Co., Ltd.@.................................. 14,724
13,000 Secom Co., Ltd......................................... 749,486
11,000 Sega Enterprises Ltd.@................................. 167,504
17,000 Seino Transportation Co., Ltd.@........................ 85,487
18,000 Seiyu Ltd.@............................................ 45,003
60,000 Sekisui Chemical Co., Ltd. ............................ 275,798
78,000 Sekisui House Ltd. .................................... 590,565
400 Seven-Eleven Japan Co., Ltd............................ 23,571
42,000 Seventy-Seventh Bank Ltd.@............................. 346,554
123,000 Sharp Corp............................................. 726,552
6,000 Shimachu Co., Ltd...................................... 96,465
15,000 Shimano Inc............................................ 337,842
86,000 Shimizu Corp.@......................................... 225,370
152,000 Shin-Etsu Chemical Co., Ltd............................ 2,147,743
38,000 Shionogi & Co., Ltd. .................................. 206,969
46,000 Shiseido Co. Ltd....................................... 439,507
87,000 Shizuoka Bank Ltd.@.................................... 758,531
9,000 Shokusan Jutaku Sogo Co. Ltd.*......................... 3,824
91,000 Showa Denko K.K. ...................................... 76,698
9,000 Skylark Co., Ltd.@..................................... 83,568
7,200 SMC Corp.@............................................. 495,672
35,000 Snow Brand Milk Products Co., Ltd. .................... 96,678
155,100 Sony Corp. ............................................ 11,325,901
342,000 Sumitomo Bank Ltd.@.................................... 2,441,646
177,000 Sumitomo Chemical Co., Ltd.@........................... 495,183
116,000 Sumitomo Corp.......................................... 477,342
79,000 Sumitomo Electric Industries........................... 663,042
19,000 Sumitomo Forestry Co. Ltd. ............................ 90,162
64,000 Sumitomo Heavy Industries Ltd. ........................ 101,990
74,000 Sumitomo Marine & Fire Insurance Co., Ltd.@............ 372,122
343,000 Sumitomo Metal Industries Ltd.@........................ 434,853
62,000 Sumitomo Metal Mining Co............................... 195,849
36,000 Sumitomo Osaka Cement Co., Ltd. ....................... 49,975
445,000 Sumitomo Realty & Development Co., Ltd.@............... 1,355,265
105,000 Taisei Corp.@.......................................... 171,789
38,000 Taisho Pharmaceutical Co. Ltd.......................... 773,780
13,000 Taiyo Yuden Co., Ltd................................... 140,781
17,000 Takara Shuzo Co. Ltd................................... 65,018
13,000 Takara Standard Co. Ltd. .............................. 78,631
33,000 Takashimaya Co., Ltd................................... 225,547
238,000 Takeda Chemical Industries............................. 6,220,128
7,000 Takuma Co., Ltd........................................ 42,687
104,000 Teijin Ltd............................................. 257,808
21,000 Teikoku Oil Co., Ltd................................... 53,991
15,000 Toa Corp............................................... 19,123
94,000 Tobu Railway Co. Ltd.@................................. 217,040
12,000 Toei Co. Ltd........................................... 28,982
2,100 Toho Co., Ltd.......................................... 200,793
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
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INTERNATIONAL EQUITY INVESTMENTS
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<C> <S> <C>
- --------------------------------------------------------------------------------
JAPAN -- 17.8% (CONTINUED)
54,800 Tohoku Electric Power Co. Inc......................... $ 789,843
227,000 Tokai Bank Ltd.@...................................... 847,290
169,000 Tokio Marine & Fire Insurance Co. Ltd. ............... 1,390,877
19,000 Tokyo Broadcasting System Inc......................... 180,324
18,000 Tokyo Dome Corp.@..................................... 78,787
147,500 Tokyo Electric Power Co.@............................. 2,742,315
19,000 Tokyo Electron Ltd.................................... 437,353
306,000 Tokyo Gas Co. Ltd..................................... 632,849
12,200 Tokyo Steel Manufacturing Co., Ltd. .................. 51,153
11,000 Tokyo Style Co., Ltd. ................................ 95,438
18,000 Tokyo Tatemono Co., Ltd............................... 25,752
23,000 Tokyo Tokeiba Co., Ltd................................ 27,856
120,000 Tokyu Corp............................................ 278,773
76,000 Toppan Printing Co. Ltd............................... 753,594
153,000 Toray Industries Inc.@................................ 646,936
52,000 Tosoh Corp. .......................................... 72,186
24,000 Tostem Corp. ......................................... 324,668
41,000 Toto Ltd.@............................................ 220,695
14,000 Toyo Engineering Corp.@............................... 15,765
4,000 Toyo Exterior Co., Ltd. .............................. 35,299
24,000 Toyo Seikan Kaisha Ltd................................ 301,551
75,000 Toyobo Ltd............................................ 77,023
31,000 Toyoda Automatic Loom Works Ltd.@..................... 494,015
415,000 Toyota Motor Corp.(a)................................. 8,847,297
2,000 Trans Cosmos Inc. .................................... 45,753
6,000 Tsugami Corp. ........................................ 5,524
15,000 Tsumakimoto Chain Co. ................................ 38,246
73,000 UBE Industries Ltd.@.................................. 86,344
8,000 Uni-Charm Corp.@...................................... 290,672
4,000 Uniden Corp.@......................................... 34,138
37,000 Unitika Ltd........................................... 23,847
21,000 Uny Co., Ltd.......................................... 297,025
17,000 Wacoal Corp. ......................................... 167,410
22,000 Yamaguchi Bank Ltd.................................... 225,469
23,000 Yamaha Corp. ......................................... 182,612
106,000 Yamaichi Securities Co. Ltd........................... 1,501
37,000 Yamanouchi Pharmaceutical Co., Ltd.................... 801,898
44,000 Yamato Transport Co., Ltd.@........................... 476,804
24,000 Yamazaki Baking Co., Ltd. ............................ 209,079
167,000 Yasuda Trust & Banking Co., Ltd.@..................... 106,452
23,000 Yokogawa Electric Corp................................ 106,700
- --------------------------------------------------------------------------------
238,663,037
- --------------------------------------------------------------------------------
MALAYSIA -- 0.2%
9,000 Aluminium Co. of Malaysia Berhad...................... 1,279
33,000 AMMB Holdings Berhad.................................. 11,432
105,000 Amsteel Corp. Berhad.................................. 6,271
15,000 Antah Holdings Berhad................................. 1,397
13,000 Aokam Perdana Berhad*................................. 1,910
71,000 Berjaya Group Berhad.................................. 4,580
56,000 Berjaya Land Berhad................................... 20,070
79,200 Commerce Asset Holdings Berhad........................ 19,112
19,000 Edaran Otomobil Nasional Berhad....................... 16,342
47,000 Ekran Berhad*......................................... 4,155
200 Genting Berhad........................................ 367
128,000 Golden Hope Plantation Berhad......................... 73,399
10,000 Golden Plus Holdings Berhad........................... 1,266
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
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INTERNATIONAL EQUITY INVESTMENTS
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MALAYSIA -- 0.2% (CONTINUED)
25,000 Guinness Anchor Berhad................................. $ 14,873
77,000 Highlands & Lowlands Berhad............................ 35,139
20,400 Hong Leong Industries Berhad........................... 12,088
58,000 Hong Leong Properties Berhad........................... 4,365
21,000 Hume Industries Berhad................................. 11,138
47,000 Idris Hydraulic Berhad*................................ 3,481
31,000 IGB Corp. Berhad....................................... 4,444
70,000 IOI Corp. Berhad....................................... 24,418
21,000 Jaya Tiasa Holdings Berhad............................. 13,597
21,000 Johan Holdings Berhad.................................. 1,279
31,000 Kedah Cement Holdings Berhad........................... 13,924
8,000 Kelanamas Industries Berhad*........................... 382
30,000 Kemayan Corp. Berhad................................... 1,290
10,000 Kian Joo Can Factory Berhad............................ 7,096
91,000 Kuala Lumpur Kepong Berhad............................. 90,449
40,000 Land & General Berhad*................................. 2,580
35,000 Landmarks Berhad....................................... 2,717
36,000 Leader Universal Holdings Berhad....................... 3,569
191,500 Magnum Corp. Berhad.................................... 37,519
292,000 Malayan Banking Berhad................................. 205,856
35,000 Malayan Cement Berhad.................................. 9,784
13,500 Malayawata Steel Berhad................................ 1,951
85,000 Malaysia Mining Corp. Berhad........................... 12,185
98,000 Malaysian Airline System Berhad........................ 36,059
102,000 Malaysian International Shipping Berhad................ 100,408
18,000 Malaysian Mosiacs Berhad............................... 3,032
12,000 Malaysian Oxygen Berhad................................ 14,106
27,000 Malaysian Pacific Industries Berhad.................... 25,159
87,000 Malaysian Resources Corp. Berhad....................... 11,640
151,200 Malaysian United Industries Berhad..................... 11,199
65,000 MBF Capital Berhad..................................... 5,668
66,000 Metroplex Berhad....................................... 5,361
78,750 Mulpha International Berhad............................ 4,986
64,000 Multi-Purpose Holdings Berhad*......................... 7,034
23,000 Mycom Berhad........................................... 1,044
400 Naluri Berhad.......................................... 27
30,000 Nestle Malaysia Berhad................................. 93,183
15,000 New Straits Times Press Berhad......................... 4,300
27,200 Oriental Holdings Berhad............................... 26,125
10,000 Palmco Holdings Berhad................................. 1,218
55,000 Pan-Malaysian Cement Works Berhad...................... 8,278
31,000 Perlis Plantations Berhad.............................. 25,775
45,000 Perusahaan Otomobil Nasional Berhad.................... 21,718
13,000 Petaling Garden Berhad................................. 7,920
14,000 Pilecon Engineering Berhad............................. 1,538
49,000 Promet Berhad*......................................... 3,395
266,533 Public Bank Berhad..................................... 53,175
22,000 R.J. Reynolds Berhad................................... 15,769
35,000 Rashid Hussain Berhad.................................. 11,874
139,000 Resorts World Berhad................................... 106,940
212,000 RHB Capital Berhad..................................... 46,094
36,000 Rothmans of Pall Mall Malaysia Berhad.................. 163,429
23,000 Selangor Properties Berhad............................. 7,693
25,000 Shell Refining Co. Malaysia Berhad..................... 21,264
3,675 Silverstone Berhad*.................................... 0
297,000 Sime Darby Berhad...................................... 120,636
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
106
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INTERNATIONAL EQUITY INVESTMENTS
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<C> <S> <C>
- ------------------------------------------------------------------------------
MALAYSIA -- 0.2% (CONTINUED)
35,200 Sungei Way Holdings Berhad......................... $ 4,373
51,000 TA Enterprise Berhad*.............................. 6,397
56,000 Tan Chong Motor Holdings Berhad.................... 7,158
63,000 Technology Resources Industries Berhad............. 8,881
382,000 Telekom Malaysia Berhad............................ 492,867
395,000 Tenaga Nasional Berhad............................. 205,743
68,000 Time Engineering Berhad............................ 4,630
22,000 UMW Holdings Berhad................................ 5,309
72,000 UTD Engineers Malaysia Ltd. Berhad................. 15,138
159,500 YTL Corp. Berhad................................... 95,273
- ------------------------------------------------------------------------------
2,487,520
- ------------------------------------------------------------------------------
MEXICO -- 0.4%
151,700 Telefonos de Mexico S.A. ADR, Class L Series@...... 5,413,793
- ------------------------------------------------------------------------------
NETHERLANDS -- 8.8%
151,604 ABN Amro Holding NV................................ 3,428,058
30,632 Akzo Nobel NV...................................... 1,257,542
3,865 ASR Verzekeringsgroep NV........................... 345,696
8,928 Buhrmann NV........................................ 201,879
71,625 Elsevier NV@....................................... 881,771
9,629 Getronics NV....................................... 491,102
33,667 Heineken NV........................................ 1,478,598
4,304 Hollandsche Beton Groep NV......................... 69,855
3,143 IHC Caland NV...................................... 150,666
310,701 ING Groep NV@...................................... 18,297,651
8,428 KLM................................................ 287,977
61,129 Koninklijke Ahold NV............................... 1,796,917
4,244 Koninklijke Hoogovens NV........................... 159,301
2,875 Koninklijke Nedlloyd NV............................ 45,506
3,380 Koninklijke Pakhoed NV............................. 99,526
155,787 Koninklijke Philips Electronics NV................. 10,160,871
433,602 KPN NV............................................. 19,587,384
9,527 Oce NV............................................. 333,188
421,901 Royal Dutch Petroleum Co.@......................... 18,698,390
3,851 Stork NV........................................... 108,364
137,195 TNT Post Group NV.................................. 2,881,639
68,730 Unilever NV........................................ 4,745,239
105,285 Vedior............................................. 3,174,270
106,694 Vendix NV.......................................... 3,656,364
583,630 VNU NV............................................. 24,575,746
7,342 Wolters Kluwer NV.................................. 1,212,291
- ------------------------------------------------------------------------------
118,125,791
- ------------------------------------------------------------------------------
NEW ZEALAND -- 0.6%
240,000 Brierley Investments Ltd........................... 82,087
155,100 Carter Holt Harvey Ltd.@ .......................... 109,173
3,200 Ceramco Corp. Ltd. ................................ 1,871
7,800 Fisher & Paykel Industries Ltd. ................... 19,718
31,033 Fletcher Challenge Building........................ 36,150
30,827 Fletcher Challenge Energy.......................... 57,914
59,450 Fletcher Challenge Paper*.......................... 36,836
73,284 Fletcher Challenge Forests*........................ 26,518
49,100 Lion Nathan Ltd.................................... 99,789
1,179,024 Telecom Corp. of New Zealand Ltd.@................. 4,558,653
1,449,069 Telecom Corp. of New Zealand Ltd., Installment
Receipts ......................................... 2,743,918
- ------------------------------------------------------------------------------
7,772,627
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
107
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INTERNATIONAL EQUITY INVESTMENTS
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<C> <S> <C>
- ------------------------------------------------------------------------------
NORWAY -- 0.2%
5,100 Aker RGI ASA, Class A Shares@........................ $ 64,891
1,260 Aker RGI ASA, Class B Shares......................... 14,268
3,700 ASK ASA *............................................ 15,112
4,800 Bergesen d.y. ASA, Class A Shares.................... 65,349
2,100 Bergesen d.y. ASA, Class B Shares.................... 28,055
94 Bona Shipholding Ltd. ............................... 621
50,300 Christiania Bank Og Kreditkasse ASA.................. 155,521
63,300 Den Norske Bank ASA.................................. 225,516
2,300 Dyno Industrier ASA.................................. 33,069
4,500 Elkem ASA............................................ 50,958
6,200 Hafslund ASA, Class A Shares......................... 34,710
2,700 Hafslund ASA, Class B Shares......................... 9,962
1,400 Helicopter Services Group ASA........................ 10,687
900 Kvaerner ASA, Class B Shares......................... 16,031
3,100 Kvaerner PLC......................................... 63,109
2,700 Leif Hoegh & Co. ASA................................. 35,384
7,500 Merkantildata ASA.................................... 83,499
17,111 NCL Holding ASA*..................................... 47,679
22,600 Norsk Hydro ASA...................................... 806,615
2,400 Norske Skogindustrier ASA, Class A Shares............ 65,654
400 Norske Skogindustrier ASA, Class B Shares............ 9,670
30,855 Nycomed Amersham..................................... 194,333
14,400 Orkla ASA, Class A Shares............................ 223,531
3,200 Orkla ASA, Class B Shares............................ 42,751
7,200 Petroleum Geo-Services ASA*.......................... 101,688
4,600 Sas Norge ASA, Class B Shares........................ 56,773
6,800 Schibsted ASA........................................ 81,330
2,700 Smedvig ASA, Class A Shares.......................... 21,986
25,200 Storebrand ASA....................................... 152,303
4,000 Tomra Systems ASA.................................... 107,897
1,300 Unitor ASA........................................... 15,383
- ------------------------------------------------------------------------------
2,834,335
- ------------------------------------------------------------------------------
PORTUGAL -- 0.8%
17,607 Banco Comercial Portugues S.A., Registered Shares.... 489,034
11,262 Banco Espirito Santo e Comercial de Lisboa S.A.,
Registered Shares................................... 333,751
5,900 Banco Totta & Acores S.A., Registered Shares......... 145,156
7,600 BPI-SGPS S.A., Registered Shares..................... 246,264
5,700 Brisa Auto Estradas de Portugal S.A., Registered
Shares.............................................. 243,014
8,200 Cimpor-Cimentos de Portugal S.A...................... 247,411
428 CIN-Corparacao Industrial do Norte S.A. ............. 19,447
1,100 Colep Portugal-Embalagens, Produtos Enchinentose
Equipmentos S.A..................................... 10,833
1,800 Companhia de Seguros Tranquilidade, Registered
Shares.............................................. 55,306
1,300 Corticeira Amorim S.A................................ 22,152
58,300 EDP-Electricidade de Portugal S.A.................... 1,358,816
1,552 Engil-SGPS........................................... 15,715
1,800 INAPA-Investimentos Participacoes e Gestao S.A....... 21,873
6,750 Jeronimo Martins SGPS S.A............................ 266,068
8,500 Portucel Industrial-Empresa Produtora de Celulose
S.A................................................. 55,527
141,956 Portugal Telecom S.A. Registered Shares.............. 6,483,633
1,554 Somague-Sociedade Gestora de Participacoes, S.A...... 14,152
3,800 Sonae Investimentos-Sociedade Gestora de
Participacoes Sociais S.A........................... 172,170
1,900 UNICER-Uniao Cervejeira S.A.......................... 41,759
- ------------------------------------------------------------------------------
10,242,081
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
108
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
SINGAPORE -- 0.3%
26,666 Asia Food & Properties Ltd........................... $ 2,799
2,000 Asia Food & Properties Ltd. Warrants, Expire
7/12/02*............................................ 80
15,000 Chun Hup Holdings Ltd. .............................. 2,744
101,000 City Development Ltd@. .............................. 177,432
42,000 Comfort Group Ltd.................................... 6,148
11,000 Creative Technology Ltd.*@........................... 107,150
30,000 Cycle & Carriage Ltd................................. 39,864
129,000 DBS Land Ltd. ....................................... 73,361
258,300 Development Bank of Singapore Ltd.@ ................. 894,390
27,000 First Capital Corp. Ltd.............................. 4,940
38,200 Fraser & Neave Ltd................................... 60,870
30,000 Goldtron Ltd.*....................................... 1,351
6,000 Goldtron Ltd. Preferred.............................. 439
12,000 Haw Par Corp. Ltd. .................................. 8,040
37,000 Hotel Properties Ltd................................. 6,562
15,000 Inchape Marketing Services Ltd. ..................... 3,547
36,000 Inchcape Motors Ltd. ................................ 12,668
94,800 Integrated Processor & Communications Corp.*......... 1,868
97,250 Keppel Corp. Ltd.@................................... 79,398
8,000 Low Keng Huat Ltd. .................................. 495
26,400 Lum Chang Holdings Ltd. ............................. 1,932
7,000 Metro Holdings Ltd................................... 1,793
30,000 Natsteel Ltd. ....................................... 18,581
65,000 Neptune Orient Lines Ltd.*........................... 12,992
123,239 Overseas-Chinese Banking Corp. Ltd.@................. 317,812
11,000 Overseas Union Enterprise Ltd........................ 12,263
41,000 Parkway Holdings Ltd................................. 39,014
3,000 Prima Ltd. .......................................... 2,449
4,800 Robinson & Co. Ltd................................... 10,810
20,000 Sembawang Corp. Ltd. ................................ 24,099
9,000 Sembawang Marine and Logistics Ltd. ................. 2,457
11,000 Shangri-La Hotel Ltd. ............................... 8,980
107,000 Singapore Airlines Ltd.@............................. 457,882
40,832 Singapore Press Holdings Ltd......................... 287,387
329,000 Singapore Technologies Engineering................... 285,499
87,000 Singapore Technologies Industrial Corp.@............. 59,763
778,000 Singapore Telecommunications Ltd.@................... 1,134,605
2,400 Star Cruises Public Co. Ltd.*........................ 2,712
27,000 Straits Trading Co. Ltd. ............................ 10,337
122,000 United Industrial Corp. Ltd.......................... 27,820
103,000 United Overseas Bank Ltd............................. 243,529
53,000 United Overseas Land Ltd............................. 16,711
9,000 Van Der Horst Ltd. .................................. 912
23,000 Venture Manufacturing................................ 58,340
- ------------------------------------------------------------------------------
4,522,825
- ------------------------------------------------------------------------------
SPAIN -- 3.6%
5,000 Acerinox S.A. ....................................... 97,319
4,250 Actividades de Construccion y Servicios S.A.......... 123,301
21,851 Autopistas Concesionaria Espanola S.A., Registered
Shares.............................................. 304,205
3,750 Azucarera Ebro Agricolas S.A.*....................... 110,172
177,150 Banco Bilboa Vizcaya S.A............................. 2,342,049
96,525 Banco Central Hispanoamericano S.A. ................. 905,536
95,374 Banco Santander S.A. ................................ 1,783,108
83,700 Banco Santander S.A. Rights, Expire 9/30/98*......... 558
779,351 Corporation Bancaria de Espana S.A.@................. 14,934,979
1,200 Corporation Financiera Alba S.A. .................... 137,815
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
109
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
SPAIN -- 3.6% (CONTINUED)
5,300 Corporacion Mapfre................................... $ 130,230
3,500 Cortefiel S.A........................................ 79,457
4,450 Dragados & Construcciones S.A. ...................... 107,710
1,950 El Aguila S.A.*...................................... 16,731
1,650 Empresa Nacional de Celulosas S.A. .................. 25,615
90,800 Endesa S.A.@(a)...................................... 1,724,875
11,200 Ercros S.A. *........................................ 12,937
5,200 Fomento de Construcciones y Contratas S.A............ 229,853
13,050 GAS Natural SDG S.A. ................................ 765,929
78,750 Iberdrola S.A. ...................................... 1,159,441
3,200 Inmobiliaria Urbis S.A.*............................. 35,575
3,857 Metrovacesa S.A...................................... 95,305
550 Portland Valderrivas S.A............................. 59,493
4,650 Prosegur, CIA de Seguridad S.A., Registered Shares... 57,750
26,200 Repsol S.A.@(a)...................................... 1,180,850
4,850 Sarrio S.A........................................... 17,811
3,809 Sociedad General de Aguas de Barcelona S.A........... 175,234
2,750 Sol Melia S.A........................................ 113,845
16,000 Tabacalera S.A., Class A Shares@..................... 321,570
527,117 Telefonica S.A.(a)................................... 20,167,482
19,050 Telepizza S.A.*...................................... 175,535
25,400 Union Electrica Fenosa S.A........................... 299,342
4,100 Uralita S.A. ........................................ 43,801
10,050 Vallehermos S.A...................................... 98,644
1,800 Viscofan Industria Navarra De Envolturas Celulosicas
S.A. ............................................... 65,622
5,518 Zardoya-Otis S.A..................................... 141,863
- ------------------------------------------------------------------------------
48,041,542
- ------------------------------------------------------------------------------
SWEDEN -- 1.4%
60,700 ABB AB, Class A Shares(a)............................ 675,420
23,000 ABB AB, Class B Shares............................... 250,238
11,800 AGA, Class A Shares.................................. 164,125
10,300 AGA, Class B Shares.................................. 140,715
1,935 Asticus AB........................................... 16,267
121,401 Astra AB, Class A Shares............................. 2,033,780
27,733 Astra AB, Class B Shares............................. 449,175
10,400 Atlas Copco AB, Class A Shares....................... 204,443
5,500 Atlas Copco AB, Class B Shares....................... 108,799
4,100 Autoliv Inc.@........................................ 120,950
3,870 Diligentia AB........................................ 27,272
33,000 Electrolux AB, Class B Shares........................ 526,315
1,400 Esselte AB, Class A Shares........................... 23,367
1,100 Esselte AB, Class B Shares........................... 19,583
1,660 Fastighets AB Nackebro............................... 21,857
32,300 ForeningsSparbaken AB................................ 730,796
2,850 Granges AB........................................... 38,407
18,800 Hennes & Mauritz AB, Class B Shares.................. 1,303,957
1,615 Mandamus AB.......................................... 8,985
8,900 Netcom Systems AB.................................... 338,909
7,800 Om Gruppen AB........................................ 134,045
17,500 Sandvik AB, Class A Shares........................... 356,997
6,400 Sandvik AB, Class B Shares........................... 130,163
4,800 Scancem AB, Class A Shares........................... 178,034
6,600 Securities AB, Class B Shares........................ 337,821
46,500 Skandia Forsakrings AB............................... 652,516
173,450 Skandinaviska Enskilda Banken, Class A Shares........ 2,176,641
10,700 Skanska AB, Class B Shares........................... 432,587
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
110
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
SWEDEN -- 1.4% (CONTINUED)
3,700 SKF AB, Class A Shares............................... $ 57,181
5,800 SKF AB, Class B Shares............................... 88,918
23,800 Stora Kopparbergs Bergslags Aktiebolag, Class A
Shares.............................................. 288,367
4,500 Stora Kopparbergs Bergslags Aktiebolag, Class B
Shares.............................................. 54,523
17,900 Svenska Cellulosa AB, Class B Shares................. 380,648
19,700 Svenska Handelsbanken, Class A Shares................ 764,783
1,600 Svenska Handelsbanken, Class B Shares................ 57,762
8,600 Svenskt Stal AB, Class A Shares...................... 93,567
3,200 Svenskt Stal AB, Class B Shares...................... 34,024
36,000 Swedish Match AB..................................... 112,607
177,400 Telefonaktiebolaget LM Ericsson, Class B Shares(a)... 4,134,354
10,700 Trelleborg AB, Class B Shares........................ 96,571
12,100 Volvo AB, Class A Shares............................. 323,133
27,400 Volvo AB, Class B Shares............................. 755,436
6,800 Wm-Data AB, Class B Shares........................... 267,349
- ------------------------------------------------------------------------------
19,111,387
- ------------------------------------------------------------------------------
SWITZERLAND -- 7.7%
873 ABB AG Bearer Shares................................. 1,017,081
610 ABB AG, Registered Shares............................ 144,665
1,814 Adecco S.A........................................... 845,354
670 Alusuisse Lonza Group AG, Registered Shares.......... 678,662
28,510 Credit Suisse Group, Registered Shares(a)............ 4,997,085
310 Danzas Holding AG, Registered Shares................. 83,592
140 Distefora Holding AG *............................... 1,935
185 Forbo Holding AG, Registered Shares.................. 83,143
380 Georg Fischer AG, Registered Shares.................. 114,291
764 Holderbank Financiere Glarus AG, Class B Shares...... 778,632
55 Jelmoli Holding AG Bearer Shares..................... 65,218
90 Jelmoli Holding AG, Registered Shares................ 21,157
35 Kuoni Reisen Holding AG Registered (Cat B)........... 118,578
55 Moevenpick Holding AG Bearer Shares@................. 26,619
35 Moevenpick Holding AG Participating Certificates..... 16,721
12,157 Nestle S.A., Registered Shares....................... 22,543,783
704 Novartis AG Bearer Shares............................ 1,088,393
15,582 Novartis AG, Registered Shares....................... 24,230,047
170 Roche Holding AG Bearer Shares....................... 2,715,204
2,125 Roche Holding AG Genusss............................. 21,987,570
1,235 Sairgroup, Registered Shares......................... 306,978
145 Schindler Holding AG, Participating Certificates..... 176,450
1,569 Schweizerische Rueckversicherungs-Gesellschaft,
Registered Shares................................... 3,472,563
250 Sika Finanz AG Bearer Shares......................... 79,167
190 SGS Societe General de Surveillance Holding S.A.,
Class B Shares...................................... 211,505
410 Sulzer AG, Registered Shares......................... 224,801
405 The Swatch Group AG Bearer Shares.................... 228,220
1,685 The Swatch Group AG, Registered Shares@.............. 230,678
40,418 USB AG, Registered Shares *.......................... 13,050,973
430 Valora Holding AG.................................... 117,437
5,090 Zurich Allied AG, Registered Shares.................. 3,132,199
- ------------------------------------------------------------------------------
102,788,701
- ------------------------------------------------------------------------------
UNITED KINGDOM -- 20.9%
144,600 Abbey National PLC................................... 2,707,058
21,000 AMEC PLC............................................. 48,703
3,030 Amstrad PLC.......................................... 1,522
27,700 Anglian Water PLC.................................... 400,524
84,400 Arjo Wiggins Appleton PLC............................ 187,260
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
111
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UNITED KINGDOM -- 20.9% (CONTINUED)
92,300 Associated British Foods PLC ........................ $ 807,561
1,785,533 Asda Group PLC....................................... 5,067,865
1,074,332 B.A.T. Industries PLC................................ 10,586,988
108,900 BAA PLC ............................................. 1,091,388
156,400 Barclays PLC ........................................ 3,718,883
23,700 Barratt Developments PLC............................. 63,894
81,182 Bass PLC............................................. 1,095,678
42,800 BBA Group PLC........................................ 270,550
12,900 The Berkeley Group PLC............................... 112,110
402,547 BG PLC .............................................. 2,490,683
43,036 The BICC Group....................................... 63,776
75,900 Blue Circle Industries PLC .......................... 363,492
49,900 BOC Group PLC........................................ 676,401
93,200 Boots Co. PLC........................................ 1,552,839
20,842 Bowthorpe PLC ....................................... 143,962
52,500 BPB PLC ............................................. 253,625
3,217,028 British Aerospace PLC................................ 20,685,857
106,300 British Airways PLC ................................. 800,111
52,800 British Land Co. PLC ................................ 454,890
592,737 British Petroleum Co. PLC(a)......................... 7,463,926
355,324 British Sky Broadcasting Group PLC................... 2,792,005
208,600 British Steel PLC.................................... 375,500
651,000 British Telecommunications PLC(a).................... 8,791,699
287,950 BTR PLC ............................................. 632,854
45,800 Bunzl PLC ........................................... 181,377
21,600 Burmah Castrol PLC................................... 343,247
231,926 Cable & Wireless PLC................................. 2,281,627
103,400 Cadbury Schweppes PLC................................ 1,518,474
53,060 Caradon PLC.......................................... 123,056
61,950 Carlton Communications PLC .......................... 457,993
451,200 Centrica PLC*........................................ 700,761
70,646 CGU PLC.............................................. 1,038,650
55,300 Coats Viyella PLC.................................... 53,708
9,600 Cobham PLC........................................... 140,096
68,200 Compass Group PLC.................................... 627,537
6,100 Courtaulds Textiles PLC.............................. 20,480
17,700 De La Rue PLC ....................................... 63,427
11,800 Delta PLC............................................ 26,674
1,769,985 Diageo PLC........................................... 17,783,133
43,738 Electrocomponents PLC................................ 272,451
44,080 Elementis PLC ....................................... 73,074
80,400 EMI Group PLC ....................................... 560,736
31,600 English China Clays PLC.............................. 79,900
58,000 FKI PLC.............................................. 131,114
277,400 General Electric Co. PLC............................. 1,806,939
28,500 George Wimpey PLC ................................... 47,007
72,500 GKN PLC.............................................. 816,427
1,082,442 Glaxo Wellcome PLC................................... 32,481,053
90,987 Granada Group PLC.................................... 1,162,495
38,588 Great Portland Estates PLC........................... 136,339
103,000 Great Universal Stores PLC........................... 1,245,265
97,308 Guardian Royal Exchange PLC.......................... 421,210
257,900 Halifax PLC.......................................... 3,057,539
29,291 Hammerson PLC........................................ 200,116
66,725 Hanson PLC .......................................... 347,485
19,300 Hepworth PLC......................................... 48,961
89,500 HSBC Holdings PLC (75P).............................. 1,849,377
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
112
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
UNITED KINGDOM -- 20.9% (CONTINUED)
184,400 HSBC Holdings PLC ($HK10) ......................... $ 3,810,338
14,800 Hyder PLC.......................................... 236,055
35,600 IMI PLC............................................ 176,453
1,188,968 Imperial Chemical Industries PLC................... 13,080,459
36,910 Imperial Tobacco Group PLC......................... 329,117
194,100 J. Sainsbury PLC................................... 1,680,364
12,100 Jarvis PLC......................................... 102,422
22,200 Johnson Matthey PLC................................ 145,908
137,800 Kingfisher PLC..................................... 1,145,660
121,021 Ladbroke Group PLC ................................ 488,388
14,600 Laird Group PLC ................................... 56,107
55,500 Land Securities PLC................................ 782,050
98,900 LASMO PLC.......................................... 269,942
130,250 Legal & General Group PLC.......................... 1,537,638
11,700 Lex Service PLC.................................... 82,971
552,500 Lloyds TSB Group PLC............................... 6,675,074
25,527 Lonrho PLC......................................... 95,323
15,527 Lonrho Africa PLC.................................. 13,260
2,709,775 Lucasvarity PLC.................................... 9,687,652
291,374 Marks & Spencer PLC................................ 2,520,046
26,616 Marley PLC......................................... 35,654
35,439 MEPC PLC .......................................... 283,956
16,300 Meyer International PLC............................ 68,645
149,364 National Grid Group PLC............................ 1,079,857
124,200 National Power PLC................................. 1,035,710
38,300 Next PLC........................................... 284,112
16,000 Ocean Group PLC.................................... 182,320
59,100 Pearson PLC........................................ 990,624
63,919 The Peninsular and Oriental Steam Navigation
Co. .............................................. 740,132
106,100 Pilkington PLC..................................... 138,579
26,556 Provident Financial PLC............................ 400,438
198,500 Prudential Corp. PLC............................... 2,828,639
29,200 Racal Electronic PLC............................... 158,910
607,930 Railtrack Group PLC................................ 14,435,015
77,300 Rank Group PLC..................................... 372,785
116,800 Reed International PLC ............................ 864,475
292,700 Renokil Initial PLC................................ 1,747,309
149,866 Reuters Group PLC.................................. 1,254,759
51,600 Rexam PLC.......................................... 174,537
109,700 Rio Tinto PLC, Registered Shares .................. 1,076,444
26,700 RMC Group PLC...................................... 359,463
151,600 Rolls-Royce PLC.................................... 500,095
161,521 Royal & Sun Alliance Insurance Group PLC........... 1,378,036
89,916 Royal Bank of Scotland Group PLC................... 1,260,230
66,400 Rugby Group PLC.................................... 81,166
111,900 Safeway PLC........................................ 583,681
25,350 Schroders PLC...................................... 625,270
63,200 Scottish & Newcastle PLC........................... 791,071
122,049 Scottish Power PLC................................. 1,186,380
15,630 Sears PLC.......................................... 50,382
56,700 Sedgwick Group PLC................................. 200,333
15,630 Selfridges PLC..................................... 61,767
206,000 Siebe PLC.......................................... 734,741
40,400 Slough Estates PLC ................................ 204,641
568,037 Smithkline Beecham PLC ............................ 6,701,084
31,300 Smiths Industries PLC ............................. 338,582
1,414,193 Somerfield PLC .................................... 8,986,134
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
113
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
UNITED KINGDOM -- 20.9% (CONTINUED)
48,705 Southern Electric PLC ............................. $ 453,866
41,600 St. James Place Capital PLC........................ 217,686
26,600 Stagecoach Holdings PLC............................ 489,515
97,157 Tarmac PLC......................................... 128,525
45,700 Tate & Lyle PLC.................................... 338,049
40,653 Taylor Woodrow PLC................................. 93,601
669,600 Tesco PLC.......................................... 1,889,308
35,658 Thames Water PLC................................... 642,481
38,314 Thorn PLC.......................................... 156,865
49,018 TI Group PLC....................................... 328,324
5,030 Transport Development Group PLC.................... 20,088
24,500 Unigate PLC ....................................... 204,101
333,800 Unilever PLC....................................... 3,130,126
48,266 United Biscuits Holdings PLC....................... 153,967
56,020 United Utilities PLC............................... 802,041
5,433 Value Realisation Trust PLC........................ 10,325
2,852 Value Realisation Trust PLC 1.4% Convertible
Unsecured Loan Stock.............................. 6,900
23,066 Vickers PLC........................................ 62,186
2,967 Viglen Floating Rate Guaranteed Loan Notes 2001.... 0
6,900 Viglen Technology Letters of Entitlements
Litigation Notes.................................. 0
6,900 Viglen Technology PLC.............................. 2,079
1,912,857 Vodafone Group PLC................................. 26,601,783
71,717 Williams PLC....................................... 422,122
43,500 Willis Corroon Group PLC........................... 145,318
11,800 Wilson Connolly Holdings PLC....................... 22,327
58,500 Wolseley PLC....................................... 291,672
97,200 Zeneca Group PLC................................... 3,821,658
- ------------------------------------------------------------------------------
279,345,428
- ------------------------------------------------------------------------------
TOTAL STOCK (Cost -- $1,230,913,661)............... 1,292,209,007
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
114
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
CORPORATE BOND -- 0.0%
ITALY -- 0.0%
28,028,000++ Olivetti, Convertible Bond, 6.500% due 9/30/02
(Cost -- $15,976)............................. $ 62,397
- ------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost --
$1,230,929,637).............................. 1,292,271,404
- ------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 3.5%
$30,000,000 CIBC Wood Gundy Securities Inc., 5.630% due
9/1/98; Proceeds at maturity -- $30,004,691;
(Fully collateralized by U.S. Treasury Notes,
5.875% due 6/30/00; Market value --
$30,610,600).................................. 30,000,000
17,000,000 CIBC Wood Gundy Securities Inc., 5.630% due
9/1/98; Proceeds at maturity -- $17,002,658;
(Fully collateralized by U.S. Treasury Notes,
6.250% due 5/31/99; Market value --
$17,341,865)(b)............................... 17,000,000
- ------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost --
$47,000,000)................................. 47,000,000
- ------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,277,929,637**)............................ $1,339,271,404
- ------------------------------------------------------------------------------
</TABLE>
(a) All or a portion of this security is segregated for forward foreign
currency contracts commitments.
(b) Security is segregated for futures contracts commitments.
* 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.
++Represents local currency.
# Risp NC -- Risparmio Non-Convertible (Non-Convertible savings shares).
@ All or a portion of this security is on loan (See Note 12).
** Aggregate cost for Federal income tax purposes is substantially the same.
Classification of Investments
[Pie Chart appears here]
United Kingdom 20.9%
Japan 17.8%
France 11.8%
Germany 9.1%
Netherlands 8.8%
Other Stocks 8.4%
Switzerland 7.7%
Italy 6.8%
Spain 3.6%
Repurchase Agreement 3.5%
Australia 1.6%
SEE NOTES TO FINANCIAL STATEMENTS.
115
<PAGE>
SCHEDULE OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
INTERNATIONAL FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT+ SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
BONDS -- 93.1%
- -------------------------------------------------------------------------------
AUSTRALIA -- 8.8%
13,413,000 Australian Government, 8.750% due 8/15/08(a)..... $ 9,302,374
13,300,000 Federal National Mortgage Association, 6.375% due
8/15/07......................................... 7,653,799
- -------------------------------------------------------------------------------
16,956,173
- -------------------------------------------------------------------------------
DENMARK -- 8.1%
Kingdom of Denmark:
31,710,000 7.000% due 12/15/04.............................. 5,313,090
35,970,000 7.000% due 11/10/24.............................. 6,474,568
26,200,000 Nykredit, 6.000% due 10/1/29..................... 3,779,803
- -------------------------------------------------------------------------------
15,567,461
- -------------------------------------------------------------------------------
EUROPEAN CURRENCY UNIT -- 3.2%
5,400,000 European Investment Bank, 5.000% due 4/15/08..... 6,209,991
- -------------------------------------------------------------------------------
FRANCE -- 1.1%
10,000,000 Philips Electronics NV, 7.125% due 2/6/08........ 2,015,217
- -------------------------------------------------------------------------------
GERMANY -- 31.6%
6,926,000 Bundesrepublic Deutschland, 6.500% due
7/4/27(b)....................................... 4,809,515
29,810,000 Bundesrepublic Deutschland, 5.625% due
1/21/02(b)...................................... 18,450,590
10,600,000 Caisse D'Amortissement de la Dette Societe,
5.125% due 10/25/08(a)(b)....................... 6,244,593
6,200,000 Depfa-Bank, 5.500% due 1/15/13................... 3,685,897
4,700,000 DSL Finance NV, 5.750% due 3/19/09............... 2,873,570
12,700,000 Ford Motor Credit Co., 5.250% due 6/16/08(b)..... 7,236,876
5,370,000 Kreditanstalt Fuer Wiederaufbau, 5.000% due
1/4/09.......................................... 3,145,264
11,300,000 Merrill Lynch & Co., 5.375% due 1/4/09(b)........ 6,741,195
13,000,000 Republic of Finland, 3.629% due 9/16/02(b)++..... 7,427,368
- -------------------------------------------------------------------------------
60,614,868
- -------------------------------------------------------------------------------
GREECE -- 6.3%
Hellenic Republic:
570,000,000 8.700% due 4/8/05(b)............................. 1,797,945
1,095,000,000 8.600% due 3/26/08(b)............................ 3,650,841
4,600,000 5.750% due 3/31/08............................... 5,221,605
443,000,000 7.500% due 5/20/13(b)............................ 1,438,346
- -------------------------------------------------------------------------------
12,108,737
- -------------------------------------------------------------------------------
NEW ZEALAND -- 4.1%
New Zealand Government:
3,831,000 8.000% due 2/15/01............................... 1,959,043
8,110,000 10.000% due 3/15/02.............................. 4,443,368
2,500,000 8.000% due 11/15/06.............................. 1,359,921
- -------------------------------------------------------------------------------
7,762,332
- -------------------------------------------------------------------------------
SPAIN -- 1.7%
2,720,000 Kingdom of Spain, 6.000% due 1/31/08............. 3,339,001
- -------------------------------------------------------------------------------
SWEDEN -- 7.0%
26,000,000 Kreditanstalt Fuer Wiederaufbaur International
Finance, 7.500% due 5/30/00..................... 3,372,780
Swedish Government:
36,000,000 13.000% due 6/15/01.............................. 5,419,695
33,900,000 6.500% due 10/25/06.............................. 4,662,251
- -------------------------------------------------------------------------------
13,454,726
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
116
<PAGE>
SCHEDULE OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
INTERNATIONAL FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT+ SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
UNITED KINGDOM -- 21.2%
1,000,000 BG PLC, 7.000% due 4/4/00.......................... $ 1,672,667
2,500,000 Cadbury Schweppes PLC, 8.000% due 12/29/00......... 4,279,626
2,600,000 Glaxo Wellcome PLC, 8.750% due 12/1/05............. 5,038,864
2,000,000 Imperial Chemical PLC, 9.750% due 4/15/05.......... 3,903,950
3,000,000 International Bank Reconstruction & Development,
6.500% due 1/7/03................................. 5,112,252
4,200,000 Japan Finance Corp. Muni Enterprise, 6.375% due
3/9/04............................................ 7,165,656
3,200,000 Prudential Financial BV, 9.375% due 6/4/07......... 6,404,930
2,050,000 United Kingdom Treasury, 9.000% due 8/6/12......... 4,644,930
2,200,000 United Kingdom Treasury Principal Strips, due
12/7/05........................................... 2,447,530
- -------------------------------------------------------------------------------
40,670,405
- -------------------------------------------------------------------------------
TOTAL BONDS (Cost -- $175,580,829)................. 178,698,911
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 6.9%
$13,210,000 CIBC Wood Gundy Securities Inc., 5.630% due 9/1/98;
Proceeds at maturity -- $13,212,066;
(Fully collateralized by U.S. Treasury Notes,
6.250% due 5/31/99;
Market value -- $13,475,838) (Cost -- $13,210,000) 13,210,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$188,790,829**).................................. $191,908,911
- -------------------------------------------------------------------------------
</TABLE>
(a) All or a portion of this security is on loan (See Note 12).
+ Represents local currency.
++Variable rate security.
** Aggregate cost for Federal income tax purposes is substantially the same.
Classification of Investments
[Pie Chart appears here]
Germany 31.6%
Other Bonds 10.1%
Australia 8.8%
Greece 6.3%
Sweden 7.0%
United Kingdom 21.2%
Repurchase Agreement 6.9%
Denmark 8.1%
SEE NOTES TO FINANCIAL STATEMENTS.
117
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
STOCK -- 92.5%
- ------------------------------------------------------------------------------
ARGENTINA -- 6.4%
23,390 Astra Cia Argentina de Petroleo S.A. .............. $ 26,202
297,586 Banco Frances del Rio de la Plata S.A.............. 1,842,424
14,300 Banco de Galicia y Buenos Aires S.A. de C.V........ 96,854
22,934 Central Puerto S.A................................. 41,518
2,000 Disco S.A. ADR*.................................... 36,000
2,100 IRSA Inversiones y Representaciones S.A............ 49,875
5,020 Nobleza Piccardo S.A.I.C. y F. .................... 13,305
24,608 Perez Companc S.A. ................................ 99,927
10,173 Renault Argentina S.A. ............................ 13,431
26,944 Siderca S.A. ...................................... 28,027
14,686 Telecom Argentina Stet - France Telecom S.A........ 266,813
268,600 Telefonica de Argentina S.A. ADR................... 5,560,272
267,740 YPF Sociedad Anonima............................... 5,930,123
- ------------------------------------------------------------------------------
14,004,771
- ------------------------------------------------------------------------------
BRAZIL -- 12.1%
2,825,000 Banco Itau S.A. Preferred.......................... 1,200,185
153,779,600 Centrais Electricas Brasileiras S.A................ 2,247,436
239,824,600 Centrais Geradoras do Sul do Brasil S.A.*.......... 242,494
9,300 Companhia Brasileira de Distribuicao Grupo Pao de
Acucar............................................ 125,550
11,800 Companhia Cervejaria Brahma........................ 109,150
147,903 Companhia Energetica de Minas Gerais ADR........... 2,764,664
268,659,000 Companhia Paranaense de Energia - Copel Preferred
Series B.......................................... 1,597,937
454,400 Companhia Riograndense de Telecomuncacoes.......... 196,754
2,500,000 Gerdau Metalurgica S.A............................. 52,043
30,366,100 Petroleo Brasileiro S.A. Preferred................. 3,096,211
123,380 Telecomunicacoes Brasileiras S.A. ADR+............. 8,721,423
14,908,734 Telecomunicacoes de Sao Paulo S.A. Preferred....... 2,115,521
660,000 Telecomunicacoes do Parana S.A..................... 104,307
7,650,000 Telemig Cellular S.A.*............................. 208,004
5,760,000 Telerj Cellular S.A.*.............................. 203,109
34,802,000 Telesp Cellular S.A.*.............................. 2,040,391
88,000 Uniao de Bancos Brasileiros S.A.................... 1,320,000
- ------------------------------------------------------------------------------
26,345,179
- ------------------------------------------------------------------------------
CHILE -- 0.2%
700 Banco de A. Edwards................................ 7,350
2,100 Banco Santander Chile ADR*+........................ 19,687
4,200 Compania De Telecomunicaciones de Chile S.A. ...... 64,312
6,200 Embotelladora Andina S.A........................... 76,337
4,500 Empresa Nacional de Electricidad S.A. ADR.......... 40,781
5,300 Enersis S.A.+...................................... 96,062
1,600 Gener S.A. ........................................ 21,100
800 Madeco S.A. ....................................... 3,850
400 Santa Isabel S.A. ................................. 3,400
2,500 Sociedad Quimica y Minera de Chile S.A. ........... 53,750
300 Vina Concha Y Toro................................. 6,075
- ------------------------------------------------------------------------------
392,704
- ------------------------------------------------------------------------------
CHINA -- 0.3%
7,900 Guangshen Railway Co., Ltd. ....................... 33,081
5,600 Huaneng Power International, Inc. ADR*+............ 36,400
4,900 Shanghai Petrochemical Co. Ltd. ................... 26,337
79,100 Zhejiang Southeast Electric Power Co. Ltd.*........ 606,697
- ------------------------------------------------------------------------------
702,515
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
118
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COLUMBIA -- 0.2%
14,100 Banco Ganadero S.A.+................................... $ 267,900
21,000 Bancolumbia S.A.+...................................... 152,713
6,000 Cementos Diamente S.A. ................................ 28,500
- --------------------------------------------------------------------------------
449,113
- --------------------------------------------------------------------------------
CROATIA -- 0.4%
113,088 Pliva D.D. GDR......................................... 972,556
- --------------------------------------------------------------------------------
CZECH REPUBLIC -- 2.9%
5,208 Ceska Sporitelna A.S. ................................. 29,879
2,240 Ceske Energeticke Zavody*.............................. 39,325
100 Ceske Radiokomunikace.................................. 22,210
299,567 Komercni Banka A.S.*................................... 1,999,609
978 Nova Hut............................................... 7,283
235,000 Prazske Pivovary A.S. ................................. 426,523
846 Skoda Plzen A.S.*...................................... 6,503
261,376 SPT Telecom A.S. ...................................... 2,926,780
66,100 SPT Telecom A.S. GDR*.................................. 753,540
91 Tabak A.S. ............................................ 19,592
- --------------------------------------------------------------------------------
6,231,244
- --------------------------------------------------------------------------------
EGYPT -- 4.0%
53,280 Al-Ahram Beverages Co. GDR............................. 1,405,526
144,450 Commercial International Bank GDR...................... 1,047,262
56,995 Madinet NASR........................................... 2,371,365
336,900 Paints and Chemical Industries Co. .................... 2,301,027
88,880 Torah Portland Cement Co. ............................. 1,517,812
- --------------------------------------------------------------------------------
8,642,992
- --------------------------------------------------------------------------------
GREECE -- 9.8%
75,390 Alpha Credit Bank...................................... 5,561,454
2,020 Delta Dairy S.A. ...................................... 21,733
2,000 Ergo Bank S.A. ........................................ 159,697
2,820 Hellas Can Packaging S.A. ............................. 41,141
3,380 Hellenic Bottling Co. S.A. ............................ 74,557
14,700 Hellenic Petroleum S.A.*............................... 130,225
260,440 Hellenic Telecommunication Organization S.A. .......... 6,021,038
2,540 Heracles General Cement S.A. .......................... 65,246
1,360 Intracom S.A. ......................................... 52,357
8,800 Michaniki S.A. ........................................ 49,846
48,660 National Bank of Greece S.A. .......................... 6,521,384
580 National Mortgage Bank of Greece....................... 38,622
4,660 Papastratos Cigarettes S.A. ........................... 85,634
38,400 Titan Cement Company S.A. ............................. 2,371,150
- --------------------------------------------------------------------------------
21,194,084
- --------------------------------------------------------------------------------
HONG KONG -- 2.2%
212,000 Beijing Datang Power Generation Co. Ltd. .............. 33,376
520,000 Beijing Yanhua Petrochemical Co. Ltd. ................. 27,848
14,500 China Telecom Ltd.*+................................... 68,958
102,000 Guangdong Kelon Electrical Holdings Co. Ltd.+.......... 51,334
123,600 HSBC Holdings PLC*+.................................... 2,623,780
212,000 Hutchison Whampoa Ltd. ................................ 873,644
8,956,000 Qingling Motors Co.+................................... 1,086,388
470,000 Zhehuang Expressway Co. Ltd.*.......................... 47,914
- --------------------------------------------------------------------------------
4,813,242
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
119
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
HUNGARY -- 4.7%
1,106 Borsodchem RT. GDR................................... $ 24,410
37,320 Gedeon Richter Ltd. RT. GDR.......................... 1,265,130
256,140 Magyar Tavkozlesi RT.+............................... 4,824,974
115,486 MOL Magyar Olaj-es Gazipari RT....................... 2,229,850
62,933 OTP Bank RT.......................................... 1,947,865
- ------------------------------------------------------------------------------
10,292,229
- ------------------------------------------------------------------------------
INDIA -- 7.3%
72,400 BSES Ltd. GDR*....................................... 778,300
54,700 BSES Ltd. GDR Registered Shares*..................... 594,862
85,000 Larsen & Toubro Ltd. GDR............................. 635,375
541,700 Mahanagar Telephone Nigam Ltd.*...................... 5,511,796
351,300 Mahindra & Mahindra Ltd. ............................ 1,176,855
25,000 Pentafour Software & Exports Ltd. ................... 369,250
120,700 Ranbaxy Laboratories Ltd. GDR........................ 1,557,030
826,070 Reliance Industries Ltd. GDR......................... 3,779,270
184,200 State Bank of India GDR.............................. 1,574,910
- ------------------------------------------------------------------------------
15,977,648
- ------------------------------------------------------------------------------
INDONESIA -- 0.0%
7,500 PT Indofood Sukses Makmur Tbk*....................... 1,021
- ------------------------------------------------------------------------------
ISRAEL -- 9.0%
8,358 Azorim Investment Development & Construction Co.
Ltd................................................. 68,488
721,715 Bank Hapoalim Ltd.*.................................. 1,734,260
4,421,940 Bank Leumi Le-Israel................................. 7,072,213
196,196 Bezeq Israeli Telecommunication Co. Ltd. ............ 588,799
5,200 Crystal Systems Solutions Ltd.*...................... 33,150
83,200 ECI Telecommunications Ltd. ......................... 2,288,000
19,650 Elco Holdings Ltd. .................................. 121,152
6,100 Elron Electronics Ind. Ltd.*......................... 88,880
4,700 Formula Systems Ltd.*................................ 126,066
2,600 Gilat Satellite Networks Ltd.*....................... 84,013
28,338 Israel Chemicals Ltd.*............................... 31,658
37,990 Koor Industries Ltd. ................................ 3,643,548
56,071 Makhteshim-Agan Industries Ltd.*..................... 138,282
2,730 MEMCO Software Ltd.*................................. 37,366
2,870 New Dimension Software Ltd.*......................... 65,292
5,300 NICE-Systems Ltd.*................................... 148,400
5,800 Orbotech, Ltd.*...................................... 150,800
2,800 Scitex Co. Ltd.*..................................... 28,700
14,750 Supersol Ltd. ....................................... 40,535
88,900 Teva Pharmaceutical Industries Ltd. ................. 3,183,730
- ------------------------------------------------------------------------------
19,673,332
- ------------------------------------------------------------------------------
MALAYSIA -- 0.4%
38,000 Berjaya Sports Toto Berhad........................... 24,695
139,000 Commerce Asset-Holding Berhad........................ 33,543
84,000 Golden Hope Plantations Berhad....................... 48,168
101,000 IOI Corporated Berhad................................ 35,232
50,000 Kuala Lumpur Kepong Berhad........................... 49,697
112,000 Malayan Banking Berhad............................... 78,942
30,000 Malaysia International Shipping Berhad............... 29,531
37,000 Malaysian Pacific Industries Berhad.................. 34,477
10,000 Nestle Berhad........................................ 31,061
30,000 Petronas Gas Berhad.................................. 35,839
74,000 Resorts World Berhad................................. 56,932
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
120
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
EMERGING MARKETS EQUITY INVESTMENTS
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
MALAYSIA -- 0.4% (CONTINUED)
14,000 Rothmans of Pall Mall Berhad.......................... $ 63,555
123,000 Sime Darby Berhad..................................... 49,960
116,000 Telekom Malaysia Berhad............................... 149,666
84,000 Tenage Nasional Berhad................................ 43,753
- -------------------------------------------------------------------------------
765,051
- -------------------------------------------------------------------------------
MEXICO -- 11.2%
38,000 Alfa, S.A. de C.V. ................................... 85,761
510,800 Cemex S.A. de C.V. ................................... 2,494,261
2,150,890 Cifra S.A. de C.V. ................................... 2,309,251
40,000 Controladora Comercial Mexicana S.A. de C.V. ......... 22,308
59,000 Corporacion GEO, S.A. de C.V.*........................ 147,951
22,000 Corporacion Interamericana de Entretenimiento S.A.*... 32,218
55,000 Cydsa S.A. ........................................... 57,374
8,000 Desc S.A. de C.V. .................................... 29,690
1,445,900 Fomento Economico Mexicano, S.A. de C.V. ............. 2,533,415
517,517 Grupo Carso S.A. de C.V. ............................. 1,271,795
145,000 Grupo Casa Autrey S.A. de C.V. ....................... 77,957
36,000 Grupo Continental S.A. ............................... 81,247
743,000 Grupo Financiero Banamex Accival, S.A. de C.V.*....... 627,518
543,000 Grupo Financiero Bancomer S.A. de C.V. ADR............ 1,493,250
77,000 Grupo Financiero Banorte S.A. de C.V.*................ 40,162
160,000 Grupo Herdez S.A. .................................... 36,912
8,300 Grupo Imsa, S.A. de C.V. ............................. 58,100
58,000 Grupo Mexico S.A. .................................... 105,882
64,000 Grupo Modelo S.A. de C.V. ............................ 462,209
87,900 Grupo Televisa S.A.*.................................. 1,484,067
197,000 Kimberly-Clark de Mexico S.A. de C.V. ................ 432,749
810,000 Organizacion Soriana S.A. de C.V. .................... 1,600,580
10,000 Panamerican Beverages, Inc. .......................... 159,375
4,381,900 Telefonos de Mexico S.A. ............................. 8,582,856
3,000 Tubos de Acero de Mexico S.A. ADR..................... 13,500
64,000 TV Azteca, S.A. de C.V. ADR........................... 20,863
- -------------------------------------------------------------------------------
24,261,251
- -------------------------------------------------------------------------------
PERU -- 0.0%
3,100 Compania de Minas Buenaventura S.A.................... 23,637
5,300 Telefonica del Peru S.A............................... 68,237
- -------------------------------------------------------------------------------
91,874
- -------------------------------------------------------------------------------
POLAND -- 2.0%
258,470 Bank Handlowy W. Warszawie............................ 2,752,705
60,700 Bank Rozwoju Eksportu S.A............................. 1,385,100
20,600 KGHM Polska Miedz S.A................................. 128,338
- -------------------------------------------------------------------------------
4,266,143
- -------------------------------------------------------------------------------
RUSSIA -- 0.2%
7,800 Lukoil Holding ADR+................................... 90,472
13,500 Mosenergo ADR*........................................ 16,144
4,700 Rostelecom RDC+....................................... 17,037
33,000 Surgutneftegaz ADR+................................... 100,650
135,448 Trade House GUM ADR................................... 169,310
13,300 Unified Energy Systems GDR+........................... 34,979
- -------------------------------------------------------------------------------
428,592
- -------------------------------------------------------------------------------
SOUTH AFRICA -- 4.2%
32,200 ABSA Group Ltd........................................ 89,955
14,600 Alpha Ltd............................................. 137,472
</TABLE>
121
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
EMERGING MARKETS EQUITY INVESTMENTS
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
SOUTH AFRICA -- 4.2% (CONTINUED)
7,300 Anglo American Co. of South Africa Ltd. ............. $ 184,053
3,300 Anglo American Coal Co. Ltd. ........................ 125,932
5,100 Anglo American Investment Trust...................... 53,974
14,300 Anglo American Platinum Co. Ltd. .................... 178,046
68,800 Anglovaal Ltd. ...................................... 96,316
145,800 Avgold Ltd.*......................................... 76,697
13,800 De Beers............................................. 166,451
183,400 Del Monte Royal Foods Ltd.*.......................... 45,669
400 Ellerine Holdings Ltd. .............................. 821
180,700 FirstRand Ltd. ...................................... 163,114
10,200 Impala Platinum Holdings Ltd. ....................... 96,835
12,000 Imperial Holdings Ltd. .............................. 65,740
3,000 Investec Group Ltd. ................................. 69,942
333,900 Iron & Steel Industries Corp.*....................... 65,997
24,800 JD Group Ltd. ....................................... 71,405
15,800 Kersaf Investments Ltd. ............................. 40,573
189,100 Liberty Life Association of Africa Ltd.+............. 2,222,004
216,700 Metro Cash & Carry Ltd. ............................. 96,119
99,500 New Clicks Holdings Ltd. ............................ 66,588
35,100 Pepkor Ltd. ......................................... 84,946
43,900 Randfontein Estates Gold Mining Co., Witwatersrand,
Ltd.*............................................... 73,789
337,000 Rembrandt Group Ltd. ................................ 1,510,527
32,100 Reunert Ltd. ........................................ 22,481
114,800 Safmarine and Rennies Holdings Ltd. ................. 70,574
19,700 Sappi Ltd. .......................................... 61,473
39,100 Sasol Ltd. .......................................... 165,519
193,038 South African Breweries Ltd. ........................ 2,718,929
21,200 Standard Bank Investment Co. Ltd. ................... 45,532
24,600 Western Area Gold Mining Co. Ltd.*................... 49,006
176,300 Woolworths Holdings Ltd. ............................ 86,430
- ------------------------------------------------------------------------------
9,002,909
- ------------------------------------------------------------------------------
SOUTH KOREA -- 0.1%
1,090 Dae Duck Electronics Co. ............................ 54,883
2,610 Hyundai Heavy Industries............................. 44,933
170 Korea Mobile Telecom................................. 83,826
9,570 Medison Co. ......................................... 77,240
- ------------------------------------------------------------------------------
260,882
- ------------------------------------------------------------------------------
SRI LANKA -- 0.2%
63,000 Development Finance Co. of Ceylon*................... 96,798
49,000 Hayleys Ltd.*........................................ 107,027
65,800 John Keells Holdings Ltd.*........................... 163,545
- ------------------------------------------------------------------------------
367,370
- ------------------------------------------------------------------------------
TAIWAN -- 4.6%
733,000 Compal Electronics Inc.*............................. 2,292,267
1,535,900 CTCI Corp.*.......................................... 2,445,630
627,200 Hon Hai Precision Industry*.......................... 2,951,106
1,029,800 Nien Hsing Textile Corp., Ltd.*...................... 2,274,984
- ------------------------------------------------------------------------------
9,963,987
- ------------------------------------------------------------------------------
THAILAND -- 1.1%
284,600 Advanced Info Service Public Co.*.................... 1,154,700
844,000 Electricity Generating Public Co.*................... 1,093,903
51,000 Hana Microelectronics Public Co. Ltd. ............... 107,720
2,700 PTT Exploration and Production Public Co. Ltd.*...... 17,785
- ------------------------------------------------------------------------------
2,374,108
- ------------------------------------------------------------------------------
</TABLE>
122
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
EMERGING MARKETS EQUITY INVESTMENTS
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
TURKEY -- 7.5%
1,306,000 Aksa Akrilik Kimya Sanayii A.S. ................... $ 23,759
14,220,000 Alcatel Teletas Telekomunikasyon Endustri ve
Ticaret A.S. ..................................... 934,885
635,000 Aselan Electronik Sanayi Ve Ticaret A.S.*.......... 15,326
299,000 Aygaz A.S. ........................................ 30,159
1,412,000 Beko Elektronik A.S................................ 20,092
2,464,000 Bolu Cimento Sanayii A.S. ......................... 18,640
156,000 Ege Biracilik Ve Malt Sanayii A.S. ................ 12,644
20,892,000 Eregli Demir Ve Celik Fabrikalari T.A.S............ 1,787,474
36,000 Ford Otomotiv Sanayi A.S........................... 9,337
144,160,000 Haci Omer Sabanci Holdings A.S. ................... 2,103,273
84,800,000 Haci Omer Sabanci Holdings A.S. Rights............. 745,386
950,000 Koc Holdings A.S................................... 97,535
1,483,000 Mardin Cimento Sanayii ve Ticaret.................. 20,301
1,367,000 Migros Turk T.A.S. ................................ 1,132,641
1,271,000 Sabah Yayincilik A.S............................... 12,591
686,000 Tofas Turk Otomobil Fabrikasi A.S.*................ 18,287
585,000 Turk Sise ve Cam Fabrikalari A.S. ................. 12,012
1,186,000 Turkiye Garanti Bankasi A.S.*...................... 27,771
199,150,000 Turkiye Is Bankasi................................. 5,811,141
128,000 Vestel Elektronik Sanayi ve Ticaret A.S............ 10,720
183,736,000 Yapi ve Kredi Bankasi A.S.......................... 3,442,018
- ------------------------------------------------------------------------------
16,285,992
- ------------------------------------------------------------------------------
UNITED STATES -- 1.4%
30,000 China Fund......................................... 286,875
21,400 Global Telesystems Group, Inc.*.................... 684,800
285,000 The India Fund Inc................................. 1,603,125
64,600 The Morgan Stanley India Investment Fund........... 375,487
- ------------------------------------------------------------------------------
2,950,287
- ------------------------------------------------------------------------------
VENEZUELA -- 0.1%
9,600 Compania Anomia.................................... 100,800
9,400 Fondo VAl Immobil.................................. 33,999
- ------------------------------------------------------------------------------
134,799
- ------------------------------------------------------------------------------
TOTAL STOCK (Cost -- $311,064,305)................. 200,845,875
- ------------------------------------------------------------------------------
</TABLE>
123
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) AUGUST 31, 1998
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 7.5%
$16,200,000 CIBC Wood Gundy Securities, Inc., 5.630% due 9/1/98;
Proceeds at maturity -- $16,202,534;
(Fully collateralized by U.S. Treasury Notes, 6.250%
due 5/31/99;
Market value -- $16,527,318) (Cost -- $16,200,000)
.................................................... $ 16,200,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$327,264,305**)................................... $217,045,875
- --------------------------------------------------------------------------------
</TABLE>
* Non-income producing security.
+ All or a portion of this security is on loan (See Note 12).
++Security is on loan (See Note 12).
** Aggregate cost for Federal income tax purposes is substantially the same.
Classification of Investments
[Pie Chart appears here]
Brazil 12.1%
Greece 9.8%
Mexico 11.2%
Hungary 4.7%
South Africa 4.2%
Turkey 7.5%
India 7.3%
Argentina 6.4%
Taiwan 4.6%
Israel 9.0%
Repurchase Agreement 7.5%
Other Stock 15.7%
SEE NOTES TO FINANCIAL STATEMENTS.
124
<PAGE>
BOND RATINGS (UNAUDITED)
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. ("Moody's"). The definitions of the applicable rating
symbols are set forth below:
Standard & Poor's -- Ratings from "AA" to "C" 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.
BB, B, CCC, CC and C
-- Bonds rated BB, B, CCC and C are regarded, on balance, as
predominantly speculative with respect to the issuer's capacity to pay
interest and repay principal in accordance with the terms of the
obligation. BB indicates the lowest degree of speculation and C the
highest degree of speculation. While such bonds will likely have some
quality and protective characteristics, these are outweighted by large
uncertainties or major risk exposures to adverse conditions.
Moody's -- Numerical modifiers 1, 2, and 3 may be applied to each generic
rating from "Aa" to "Ba," where 1 is the highest and 3 the lowest rating
within its generic category.
Aaa-- Bonds 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 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 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.
Baa-- Bonds rated "Baa" are considered to be medium grade obligations, i.e.,
they are neither highly protected nor poorly secured. Interest payments
and principal security appear adequate for the present but certain
protective elements may be lacking or may be characteristically
unreliable over any great length of time. Such bonds lack outstanding
investment characteristics and in fact have speculative characteristics
as well.
Ba -- Bonds rated "Ba" are judged to have speculative elements; their future
cannot be considered as well assured. Often the protection of interest
and principal payments may be very moderate, and thereby not well
safeguarded during both good and bad times over the future. Uncertainty
of position characterizes bonds in this class.
NR -- Indicates that the bond is not rated by Standard & Poor's or Moody's.
SHORT-TERM SECURITY RATINGS (UNAUDITED)
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 (UNAUDITED)
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
125
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-TERM MUNICIPAL MORTGAGE
MONEY HIGH YIELD FIXED INCOME BOND BOND BACKED
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at cost... $374,424,002 $73,067,520 $554,311,738 $140,768,687 $76,000,304 $150,627,172
Repurchase agreements,
at cost............... -- 20,483,000 8,826,000 768,000 -- 10,144,000
Foreign currency
segregated for futures
contracts, at cost.... -- -- -- -- -- --
Foreign currency, at
cost.................. -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------
Investments, at value.. $374,424,002 $70,767,612 $560,764,759 $154,417,062 $77,443,294 $152,960,564
Repurchase agreements,
at value.............. -- 20,483,000 8,826,000 768,000 -- 10,144,000
Foreign currency
segregated for futures
contracts, at value... -- -- -- -- -- --
Foreign currency, at
value................. -- -- -- -- -- --
Cash................... 675 -- -- -- 36,025 410
Collateral for
securities on loan
(Note 12)............. -- -- -- 1,750,999 -- --
Receivable for
securities sold....... -- 495,000 37,550,371 -- -- --
Receivable for Fund
shares sold........... 1,526,718 2,205,609 6,369,407 1,434,710 942,301 847,371
Dividends and interest
receivable............ 744,663 1,579,544 6,715,300 1,754,709 920,314 1,097,666
Receivable for open
forward foreign
currency contracts ... -- -- -- -- -- --
Receivable from
manager............... 20,995 24,860 -- -- -- --
Deferred organization
costs................. -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------
TOTAL ASSETS........... 376,717,053 95,555,625 620,225,837 160,125,480 79,341,934 165,050,011
- ---------------------------------------------------------------------------------------------------------
LIABILITIES:
Dividends payable...... 752,298 -- -- -- -- 429,369
Administration fees
payable............... -- -- 95,811 25,233 55,469 71,912
Management fees
payable............... 29,049 -- 189,276 50,466 184,627 231,530
Payable for open
forward foreign
currency contracts.... -- -- -- -- -- --
Payable for Fund shares
purchased............. -- 5,227,436 1,426,393 572,678 184,807 --
Payable for securities
on loan
(Note 12)............. -- -- -- 1,750,999 -- --
Payable to broker --
variation margin..... -- -- -- -- -- --
Payable to bank........ -- 860 2,355 26,479 -- --
Payable for securities
purchased............. -- 13,662,713 43,446,663 -- 6,366,270 8,215,000
Accrued expenses....... 175,003 107,834 67,193 87,291 39,748 59,346
- ---------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES...... 956,350 18,998,843 45,227,691 2,513,146 6,830,921 9,007,157
- ---------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS........ $375,760,703 $76,556,782 $574,998,146 $157,612,334 $72,511,013 $156,042,854
- ---------------------------------------------------------------------------------------------------------
NET ASSETS:
Par value of shares of
beneficial interest... $ 375,731 $ 9,699 $ 70,171 $ 17,409 $ 8,128 $ 19,192
Capital paid in excess
of par value.......... 375,355,052 78,278,066 573,284,661 138,888,755 71,103,029 153,449,799
Undistributed
(overdistributed) net
investment income..... 51,633 516,938 -- 145,204 -- (308,791)
Accumulated net
realized gain (loss)
on security
transactions.......... (21,713) 51,987 (4,809,707) 4,912,591 (43,134) 549,262
Net unrealized
appreciation
(depreciation) of
investments, foreign
currencies and futures
contracts............. -- (2,299,908) 6,453,021 13,648,375 1,442,990 2,333,392
- ---------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS........ $375,760,703 $76,556,782 $574,998,146 $157,612,334 $72,511,013 $156,042,854
- ---------------------------------------------------------------------------------------------------------
Shares Outstanding...... 375,730,783 9,698,541 70,170,721 17,408,685 8,127,564 19,191,649
- ---------------------------------------------------------------------------------------------------------
Net Asset Value......... $1.00 $7.89 $8.19 $9.05 $8.92 $8.13
- ---------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
126
<PAGE>
AUGUST 31, 1998
SEE NOTES TO FINANCIAL STATEMENTS.
<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>
$65,962,601 $1,533,414,770 $1,182,378,384 $ 867,034,992 $1,012,700,136 $1,230,929,637 $175,580,829 $311,064,305
144,000 18,443,000 29,975,000 13,666,000 52,480,000 47,000,000 13,210,000 16,200,000
-- -- -- -- -- 3,191,591 -- --
-- -- -- -- -- 2,790,725 1,143,791 4,420,817
- -----------------------------------------------------------------------------------------------------------------------
$68,072,064 $1,689,005,615 $1,755,664,349 $ 727,598,841 $ 796,327,547 $1,292,271,404 $178,698,911 $200,845,875
144,000 18,443,000 29,975,000 13,666,000 52,480,000 47,000,000 13,210,000 16,200,000
-- -- -- -- -- 6,271,857 -- --
-- -- -- -- -- 2,833,434 1,160,866 4,598,750
607 96,434 -- 278,154 1,355 1,157,217 -- 5,287,243
12,397,669 338,532,546 292,954,585 51,221,121 163,916,165 109,540,775 13,965,300 5,715,294
-- 3,827,152 7,599,300 1,629,025 11,611,942 6,373,323 -- 4,373,270
122,196 7,042,709 5,919,590 2,749,253 3,148,662 3,236,959 2,229,943 990,255
330,748 3,903,360 1,207,347 1,128,903 235,778 2,874,778 4,556,253 650,314
-- -- -- -- -- 1,881,323 1,467,380 --
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- 4,189
- -----------------------------------------------------------------------------------------------------------------------
81,067,284 2,060,850,816 2,093,320,171 798,271,297 1,027,721,449 1,473,441,070 215,288,653 238,665,190
- -----------------------------------------------------------------------------------------------------------------------
-- -- -- -- -- -- -- --
24,062 328,270 355,109 144,667 205,512 245,109 30,345 48,672
72,289 808,384 683,658 432,357 555,264 690,771 75,862 220,243
-- -- -- -- -- 3,409,003 1,224,452 77,650
74,027 4,862,760 5,374,701 2,889,068 3,094,471 5,473,145 473,392 1,070,945
12,397,669 338,532,546 292,954,585 51,221,121 163,916,165 109,540,775 13,965,300 5,715,294
-- -- 395,075 384,125 442,300 2,642,473 -- 123,800
-- -- 3,820 -- -- -- 3,499 --
-- 3,759,377 -- 2,266,309 322,134 19,252,086 7,314,827 548,141
29,326 315,289 107,255 593,929 675,352 1,000,938 133,050 334,517
- -----------------------------------------------------------------------------------------------------------------------
12,597,373 348,606,626 299,874,203 57,931,576 169,211,198 142,254,300 23,220,727 8,139,262
- -----------------------------------------------------------------------------------------------------------------------
$68,469,911 $1,712,244,190 $1,793,445,968 $ 740,339,721 $ 858,510,251 $1,331,186,770 $192,067,926 $230,525,928
- -----------------------------------------------------------------------------------------------------------------------
$ 6,300 $ 139,382 $ 103,677 $ 66,611 $ 66,913 $ 124,470 $ 23,024 $ 52,763
59,589,005 1,326,383,872 1,145,312,059 756,047,425 1,046,842,165 1,208,819,834 194,094,918 423,503,586
531,699 15,415,722 -- 8,405,581 45,823 (9,037,763) (5,017,595) 382,813
6,233,444 214,714,369 75,554,467 117,218,555 29,218,714 71,126,507 (440,268) (83,095,087)
2,109,463 155,590,845 572,475,765 (141,398,451) (217,663,364) 60,153,722 3,407,847 (110,318,147)
- -----------------------------------------------------------------------------------------------------------------------
$68,469,911 $1,712,244,190 $1,793,445,968 $ 740,339,721 $ 858,510,251 $1,331,186,770 $192,067,926 $230,525,928
- -----------------------------------------------------------------------------------------------------------------------
6,299,666 139,382,153 103,676,716 66,610,562 66,913,275 124,469,688 23,023,844 52,762,971
- -----------------------------------------------------------------------------------------------------------------------
$10.87 $12.28 $17.30 $11.11 $12.83 $10.69 $8.34 $4.37
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
127
<PAGE>
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-TERM MUNICIPAL MORTGAGE
MONEY HIGH YIELD FIXED INCOME BOND BOND BACKED
INVESTMENTS INVESTMENTS* INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest............... $23,363,109 $ 601,078 $30,612,155 $11,940,443 $3,203,979 $ 9,961,552
Dividends.............. -- -- -- -- -- --
Less: Foreign
withholding tax....... -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT
INCOME................ 23,363,109 601,078 30,612,155 11,940,443 3,203,979 9,961,552
- -------------------------------------------------------------------------------------------------------
EXPENSES:
Shareholder and system
servicing fees........ 949,710 30,000 341,479 228,294 31,100 216,241
Administration fees
(Note 2).............. 832,477 13,582 934,088 351,993 127,996 306,775
Management fees (Note
2).................... 624,357 47,537 1,862,860 703,985 255,992 766,937
Shareholder
communications........ 216,577 20,000 52,052 52,521 8,100 54,601
Registration fees...... 58,654 31,000 59,834 54,415 37,000 36,819
Audit and legal........ 25,728 23,000 29,999 29,035 24,900 25,583
Custody................ 24,789 2,000 19,002 8,028 6,400 7,494
Trustees' fees......... 15,000 2,000 9,001 7,020 5,000 4,068
Pricing service fees... -- -- -- 3,065 6,900 --
Amortization of
deferred organization
costs................. -- -- -- -- -- --
Other.................. 12,079 1,000 19,291 3,362 8,597 895
- -------------------------------------------------------------------------------------------------------
TOTAL EXPENSES......... 2,759,371 170,119 3,327,606 1,441,718 511,985 1,419,413
Less: Management and
administration fee
waiver and expense
reimbursement (Note
2).................. (250,798) (85,979) -- -- -- (185,737)
- -------------------------------------------------------------------------------------------------------
NET EXPENSES........... 2,508,573 84,140 3,327,606 1,441,718 511,985 1,233,676
- -------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME
(LOSS)................. 20,854,536 516,938 27,284,549 10,498,725 2,691,994 8,727,876
- -------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS, FOREIGN
CURRENCIES AND FUTURES
CONTRACTS (NOTES 4, 5
AND 7):
Realized Gain (Loss)
From:
Security transactions
(excluding short-term
securities)........... 15,183** 51,987 3,744,712 5,797,072 1,912,093 920,742
Foreign currency
transactions.......... -- -- -- -- -- --
Futures contracts...... -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------
NET REALIZED GAIN
(LOSS)................ 15,183 51,987 3,744,712 5,797,072 1,912,093 920,742
- -------------------------------------------------------------------------------------------------------
Change in Net
Unrealized Appreciation
(Depreciation) of
Investments, Foreign
Currencies and Futures
Contracts:
Beginning of year...... -- -- 1,808,496 3,097,932 1,178,818 (130,218)
End of year............ -- (2,299,908) 6,453,021 13,648,375 1,442,990 2,333,392
- -------------------------------------------------------------------------------------------------------
CHANGE IN NET
UNREALIZED
APPRECIATION
(DEPRECIATION)........ -- (2,299,908) 4,644,525 10,550,443 264,172 2,463,610
- -------------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON
INVESTMENTS, FOREIGN
CURRENCIES AND FUTURES
CONTRACTS.............. 15,183 (2,247,921) 8,389,237 16,347,515 2,176,265 3,384,352
- -------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS
FROM OPERATIONS........ $20,869,719 $(1,730,983) $35,673,786 $26,846,240 $4,868,259 $12,112,228
- -------------------------------------------------------------------------------------------------------
</TABLE>
* For the period from July 13, 1998 (commencement of operations) to August 31,
1998.
** Represents net realized gains from the sale of short-term securities for
Government Money Investments.
SEE NOTES TO FINANCIAL STATEMENTS.
128
<PAGE>
FOR THE YEAR ENDED AUGUST 31, 1998
<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>
$ 1,344,823 $ 1,381,749 $ 2,358,907 $ 1,135,128 $ 2,839,040 $ 6,868,302 $ 9,157,215 $ 1,468,640
1,139,862 37,570,005 15,464,199 19,434,475 3,414,821 24,788,846 -- 5,575,023
(17,412) (191,675) (12,937) -- (20,897) (2,911,180) -- (332,450)
- ------------------------------------------------------------------------------------------------------------------------
2,467,273 38,760,079 17,810,169 20,569,603 6,232,964 28,745,968 9,157,215 6,711,213
- ------------------------------------------------------------------------------------------------------------------------
74,431 1,586,001 1,613,505 855,482 1,403,989 1,168,642 257,042 748,834
168,912 3,922,176 3,867,159 1,721,750 2,167,276 2,704,967 287,421 540,163
506,736 9,677,020 8,517,286 4,705,182 6,308,016 7,088,985 718,551 2,430,735
17,235 258,998 393,391 340,504 492,455 87,983 15,001 59,002
35,990 44,996 88,469 229,016 169,468 169,669 42,665 143,958
22,779 28,927 21,829 35,077 47,087 28,726 28,054 27,302
4,391 88,001 138,984 136,111 201,505 705,788 39,407 584,653
2,525 29,000 39,281 28,674 28,003 39,937 8,001 8,001
-- -- -- -- -- 130,286 2,668 9,001
8,630 -- -- -- -- 2,731 -- 6,570
2,350 33,922 15,106 10,067 13,858 15,510 3,796 5,194
- ------------------------------------------------------------------------------------------------------------------------
843,979 15,669,041 14,695,010 8,061,863 10,831,657 12,143,224 1,402,606 4,563,413
-- -- -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------
843,979 15,669,041 14,695,010 8,061,863 10,831,657 12,143,224 1,402,606 4,563,413
- ------------------------------------------------------------------------------------------------------------------------
1,623,294 23,091,038 3,115,159 12,507,740 (4,598,693) 16,602,744 7,754,609 2,147,800
- ------------------------------------------------------------------------------------------------------------------------
6,248,631 309,582,594 87,367,446 128,288,081 64,131,823 46,480,173 4,103,094 (81,863,436)
-- -- -- -- -- (2,134,035) (6,460,617) (1,338,147)
-- -- 4,948,538 (1,570,088) (914,004) 24,148,593 -- (279,813)
- ------------------------------------------------------------------------------------------------------------------------
6,248,631 309,582,594 92,315,984 126,717,993 63,217,819 68,494,731 (2,357,523) (83,481,396)
- ------------------------------------------------------------------------------------------------------------------------
10,854,698 483,897,240 539,072,610 126,255,337 137,622,115 93,480,747 (5,785,002) 1,918,999
2,109,463 155,590,845 572,475,765 (141,398,451) (217,663,364) 60,153,722 3,407,847 (110,318,147)
- ------------------------------------------------------------------------------------------------------------------------
(8,745,235) (328,306,395) 33,403,155 (267,653,788) (355,285,479) (33,327,025) 9,192,849 (112,237,146)
- ------------------------------------------------------------------------------------------------------------------------
(2,496,604) (18,723,801) 125,719,139 (140,935,795) (292,067,660) 35,167,706 6,835,326 (195,718,542)
- ------------------------------------------------------------------------------------------------------------------------
$ (873,310) $ 4,367,237 $128,834,298 $(128,428,055) $(296,666,353) $ 51,770,450 $14,589,935 $(193,570,742)
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
129
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-TERM MUNICIPAL MORTGAGE
MONEY HIGH YIELD FIXED INCOME BOND BOND BACKED
INVESTMENTS INVESTMENTS* INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income
(loss)................ $ 20,854,536 $ 516,938 $ 27,284,549 $ 10,498,725 $ 2,691,994 $ 8,727,876
Net realized gain
(loss)................ 15,183 51,987 3,744,712 5,797,072 1,912,093 920,742
Change in net
unrealized
appreciation
(depreciation)........ -- (2,299,908) 4,644,525 10,550,443 264,172 2,463,610
- ----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS............ 20,869,719 (1,730,983) 35,673,786 26,846,240 4,868,259 12,112,228
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
(NOTE 3):
Net investment income.. (20,817,444) -- (28,668,737) (10,320,616) (2,798,542) (9,085,434)
In excess of net
investment income..... -- -- -- -- (12,577) --
Net realized gains..... -- -- -- -- -- --
Capital................ -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS
FROM DISTRIBUTIONS TO
SHAREHOLDERS.......... (20,817,444) -- (28,668,737) (10,320,616) (2,811,119) (9,085,434)
- ----------------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS
(NOTE 13):
Net proceeds from sale
of shares............. 1,099,355,642 84,271,048 318,866,875 71,893,064 38,878,990 59,556,774
Net asset value of
shares issued for
reinvestment of
dividends............. 20,711,995 -- 27,942,868 9,966,479 2,676,826 8,741,346
Cost of shares
reacquired............ (1,133,072,640) (5,983,283) (162,910,906) (123,824,171) (23,125,787) (51,868,166)
- ----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS FROM FUND
SHARE TRANSACTIONS.... (13,005,003) 78,287,765 183,898,837 (41,964,628) 18,430,029 16,429,954
- ----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS............. (12,952,728) 76,556,782 190,903,886 (25,439,004) 20,487,169 19,456,748
NET ASSETS:
Beginning of year...... 388,713,431 -- 384,094,260 183,051,338 52,023,844 136,586,106
- ----------------------------------------------------------------------------------------------------------------
END OF YEAR**.......... $ 375,760,703 $76,556,782 $ 574,998,146 $ 157,612,334 $ 72,511,013 $156,042,854
- ----------------------------------------------------------------------------------------------------------------
** Includes
undistributed
(overdistributed)
net investment
income of:.......... $51,633 $516,938 -- $145,204 -- $(308,791)
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
* For the period from July 13, 1998 (commencement of operations) to August 31,
1998.
SEE NOTES TO FINANCIAL STATEMENTS.
130
<PAGE>
FOR THE YEAR ENDED AUGUST 31, 1998
<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>
$ 1,623,294 $ 23,091,038 $ 3,115,159 $ 12,507,740 $ (4,598,693) $ 16,602,744 $ 7,754,609 $ 2,147,800
6,248,631 309,582,594 92,315,984 126,717,993 63,217,819 68,494,731 (2,357,523) (83,481,396)
(8,745,235) (328,306,395) 33,403,155 (267,653,788) (355,285,479) (33,327,025) 9,192,849 (112,237,146)
- -----------------------------------------------------------------------------------------------------------------------------
(873,310) 4,367,237 128,834,298 (128,428,055) (296,666,353) 51,770,450 14,589,935 (193,570,742)
- -----------------------------------------------------------------------------------------------------------------------------
(2,039,127) (15,036,214) (8,248,609) (7,959,256) -- (20,300,462) (3,603,597) (3,287,443)
-- -- -- -- -- -- -- --
(4,410,524) (315,031,240) (116,496,378) (92,050,884) (63,933,403) (15,037,570) (6,258,532) (13,499,891)
-- -- -- -- -- -- (1,915,349) --
- -----------------------------------------------------------------------------------------------------------------------------
(6,449,651) (330,067,454) (124,744,987) (100,010,140) (63,933,403) (35,338,032) (11,777,478) (16,787,334)
- -----------------------------------------------------------------------------------------------------------------------------
30,327,843 751,729,348 672,757,886 511,096,587 880,641,543 1,100,027,468 109,345,425 406,163,589
6,438,720 325,590,404 123,688,134 99,076,852 63,551,193 34,828,762 11,416,196 16,701,768
(50,762,907) (974,122,692) (851,906,290) (263,767,519) (502,403,869) (956,546,192) (57,116,635) (208,261,232)
- -----------------------------------------------------------------------------------------------------------------------------
(13,996,344) 103,197,060 (55,460,270) 346,405,920 441,788,867 178,310,038 63,644,986 214,604,125
- -----------------------------------------------------------------------------------------------------------------------------
(21,319,305) (222,503,157) (51,370,959) 117,967,725 81,189,111 194,742,456 66,457,443 4,246,049
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
- -----------------------------------------------------------------------------------------------------------------------------
$ 68,469,911 $1,712,244,190 $1,793,445,968 $ 740,339,721 $ 858,510,251 $1,331,186,770 $192,067,926 $ 230,525,928
- -----------------------------------------------------------------------------------------------------------------------------
$531,699 $15,415,722 -- $8,405,581 $45,823 $(9,037,763) $(5,017,595) $382,813
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
131
<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
Change in net unrealized
appreciation (depreciation).. -- 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 gains............ -- -- -- -- --
- -------------------------------------------------------------------------------------------------------
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.
132
<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.
133
<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
fourteen separate investment portfolios ("Portfolios"): Government Money
Investments, High Yield 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;
except for Government Money Investments, which values investments using the
amortized cost method; 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; certain debt
securities of U.S. issuers (other than U.S. government securities and short-
term investments) are valued at the mean between the quoted bid and ask prices;
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, 1998,
reclassifications were made to the capital accounts of the Intermediate Fixed
Income Investments, Municipal Bond Investments, Mortgage Backed Investments,
Balanced Investments, Large Capitalization Value Investments, Small
Capitalization Value Equity Investments, Small Capitalization Growth
Investments, International Equity 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 undistributed (overdistributed) net investment income amounting to
$(933,271), $(12,577), $(4,475,857) and $2,685 was reclassified to paid-in
capital for Intermediate Fixed Income Investments, Municipal Bond Investments,
Small Capitalization Growth Investments and International Equity Investments,
respectively. Net investment income, net realized gains and net assets were not
affected by this adjustment; 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 amortized on a straight line basis
over a five-year period, beginning with each portfolio's respective
commencement of operations. As of August 31, 1998, deferred organization costs
had been fully amortized for all portfolios, except Emerging Markets Equity
Investments.
134
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
In addition, for Emerging Markets Equity Investments, organization costs have
been deferred and are currently being amortized on a straight-line basis over a
five year period, beginning with the commencement of operations in April 1994.
In addition, certain portfolios 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 Mutual Management Corp., a subsidiary of Salomon Smith Barney
Holdings Inc. ("SSBH"). The Consulting Group ("Manager"), a division of MMC,
provides investment evaluation services with respect to the investment advisors
of the Fund. MMC has entered into an investment advisory agreement with each
adviser selected for the Portfolios (collectively, "Advisors").
Under the Management Agreement, each Portfolio pays MMC 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, MMC pays each Advisor, 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 MMC to
each Advisor, and the Advisor for each Portfolio are indicated below:
<TABLE>
<CAPTION>
ANNUAL
ADVISOR MANAGEMENT
PORTFOLIO ADVISORS FEE FEE
- --------------------------------------------------------------------------------------------
<C> <S> <C> <C>
Government Money Investments Standish, Ayer & Wood, 0.15% 0.15%
Inc.
High Yield Investments Alliance Capital 0.45 0.70
Management L.P.
Intermediate Fixed Income Investments Standish, Ayer & Wood,
Inc.
on the first $500 0.20 0.40
million
on the amount over $500 0.15 0.40
million
Long-Term Bond Investments National Asset 0.20 0.40
Management Corp.
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 0.30 0.60
Management, Inc.
Large Capitalization Value Equity Investments The Boston Co. Asset 0.30 0.60
Management, Inc.
Parametric Portfolio
Associates:
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.
Barclays Global Fund 0.02 0.32
Advisors
Small Capitalization Value Equity Investments NFJ Investment Group
on the first $450 0.50 0.80
million
on the amount over $450 0.45 0.75
million
David L. Babson & Co., 0.50 0.80
Inc.
Mellon Capital 0.06 0.36
Management Corp.
Small Capitalization Growth Investments Berger Associates, Inc. 0.50 0.80
Wall Street Associates 0.50 0.80
Mellon Capital 0.06 0.36
Management Corp.
Montgomery Asset 0.50 0.80
Management, LLC
Westpeak Investment 0.50 0.80
Advisors, L.P.
International Equity Investments Oechsle International 0.40 0.70
Advisors, LLC
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 AIB Govett, Inc. 0.60 0.90
State Street Global 0.60 0.90
Advisors
Baring Asset Management, 0.60 0.90
Inc.
- --------------------------------------------------------------------------------------------
</TABLE>
135
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MMC 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.
For the year ended August 31, 1998, the following fees were waived:
<TABLE>
<CAPTION>
TOTAL
PORTFOLIO FEE WAIVERS MANAGER ADMINISTRATOR
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Government Money Investments.................. $250,798 -- $250,798
High Yield Investments........................ 61,119 47,537 13,582
Mortgage Backed Investments................... 185,737 133,679 52,058
- --------------------------------------------------------------------------------
</TABLE>
In addition, for High Yield Investments, the manager and administrator
reimbursed Fund expenses in the amount of $19,336 and $5,424, respectively, for
the period ended August 31, 1998.
For the year ended August 31, 1998, Smith Barney Inc. ("SB"), another
subsidiary of SSBH, received brokerage commissions of approximately $640,000.
Salomon Brothers, Inc., also a subsidiary of SSBH, received brokerage
commissions of approximately $88,000 for the year ended August 31, 1998.
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 are 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, 1998, 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>
High Yield Investments........................... $ 77,825,316 $ 4,831,844
Intermediate Fixed Income Investments............ 491,602,497 274,632,991
Long-Term Bond Investments....................... 108,199,994 146,127,323
Municipal Bond Investments....................... 115,517,473 97,484,146
Mortgage Backed Investments...................... 359,851,930 318,828,508
Balanced Investments............................. 46,903,733 58,966,872
Large Capitalization Value Equity Investments.... 1,094,070,923 1,297,923,700
Large Capitalization Growth Investments.......... 724,907,897 880,170,533
Small Capitalization Value Equity Investments.... 747,928,185 485,340,992
Small Capitalization Growth Investments.......... 1,235,919,050 913,539,744
International Equity Investments................. 809,040,328 555,603,048
International Fixed Income Investments........... 335,994,436 282,796,428
Emerging Markets Equity Investments.............. 513,108,898 330,159,283
- -------------------------------------------------------------------------------
</TABLE>
At August 31, 1998, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes were substantially
as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION
PORTFOLIO APPRECIATON DEPRECIATION (DEPRECIATION)
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
High Yield Investments............. $ 257,490 $ (2,557,398) $ (2,299,908)
Intermediate Fixed Income Invest-
ments............................. 11,256,149 (4,803,128) 6,453,021
Long-Term Bond Investments......... 13,658,661 (10,286) 13,648,375
Municipal Bond Investments......... 1,454,883 (11,893) 1,442,990
Mortgage Backed Investments........ 2,525,412 (192,020) 2,333,392
Balanced Investments............... 7,749,662 (5,640,199) 2,109,463
Large Capitalization Value Equity
Investments....................... 297,265,802 (141,674,957) 155,590,845
Large Capitalization Growth Invest-
ments............................. 653,372,010 (80,086,045) 573,285,965
Small Capitalization Value Equity
Investments....................... 34,906,235 (174,342,386) (139,436,151)
Small Capitalization Growth Invest-
ments............................. 53,853,053 (270,225,641) (216,372,589)
International Equity Investments... 249,880,466 (188,538,699) 61,341,767
International Fixed Income Invest-
ments............................. 5,972,757 (2,854,675) 3,118,082
Emerging Markets Equity Invest-
ments............................. 2,720,058 (112,938,488) (110,218,430)
- -------------------------------------------------------------------------------
</TABLE>
136
<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, 1998, Large Capitalization Growth Investments, Small
Capitalization Value Equity Investments, Small Capitalization Growth
Investments, International Equity Investments and Emerging Markets Equity
Investments had the following open futures contracts:
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
# OF BASIS MARKET UNREALIZED
PURCHASED CONTRACTS CONTRACTS EXPIRATION VALUE VALUE LOSS
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Mid Cap 400 Index....... 3 9/98 $ 541,800 $ 422,175 $ (119,625)
S&P 500 Index........... 19 9/98 5,222,075 4,531,500 (690,575)
- ------------------------------------------------------------------------------------
TOTAL................... $ 5,763,875 $ 4,953,675 $ (810,200)
- ------------------------------------------------------------------------------------
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<CAPTION>
# OF BASIS MARKET UNREALIZED
PURCHASED CONTRACTS CONTRACTS EXPIRATION VALUE VALUE LOSS
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Russell 2000 Index...... 35 9/98 $ 7,851,050 $ 5,888,750 $(1,962,300)
- ------------------------------------------------------------------------------------
SMALL CAPITALIZATION GROWTH INVESTMENTS
<CAPTION>
# OF BASIS MARKET UNREALIZED
PURCHASED CONTRACTS CONTRACTS EXPIRATION VALUE VALUE LOSS
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Russell 2000 Index...... 57 9/98 $10,881,025 $ 9,590,250 $(1,290,775)
- ------------------------------------------------------------------------------------
INTERNATIONAL EQUITY INVESTMENTS
<CAPTION>
# OF BASIS MARKET UNREALIZED
CONTRACTS EXPIRATION VALUE VALUE GAIN (LOSS)
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PURCHASED CONTRACTS:
OMX Index Future........ 461 9/98 $ 4,106,520 $ 3,770,279 $ (336,241)
Hang Seng Stock Index
Future................. 16 9/98 789,243 722,655 (66,588)
Australian ALL Ordi-
naries................. 102 9/98 3,869,525 3,603,163 (266,362)
IBEX 35 PLUS............ 57 9/98 3,879,171 3,146,580 (732,591)
London Financial Times
Stock Exchange 100..... 80 9/98 7,774,259 7,039,636 (734,623)
Marche A Terme Interna-
tional de France Cac
40..................... 39 9/98 1,328,160 1,207,614 (120,546)
MIB 30.................. 31 9/98 6,126,718 5,577,279 (549,439)
- ------------------------------------------------------------------------------------
27,873,596 25,067,206 (2,806,390)
- ------------------------------------------------------------------------------------
SOLD CONTRACTS:
OMX Index Future........ 14 9/98 (111,513) (114,499) (2,986)
Deutsche Terminboerse
DAX.................... 5 9/98 (1,486,589) (1,368,302) 118,287
Osaka Securities Ex-
change Nikkei 300...... 99 9/98 (1,569,482) (1,520,866) 48,616
- ------------------------------------------------------------------------------------
(3,167,584) (3,003,667) 163,917
- ------------------------------------------------------------------------------------
TOTAL................... $(2,642,473)
- ------------------------------------------------------------------------------------
</TABLE>
137
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
# OF BASIS MARKET UNREALIZED
PURCHASED CONTRACTS CONTRACTS EXPIRATION VALUE VALUE LOSS
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SMX Taiwan IX Future..... 86 9/98 $2,187,800 $2,064,000 $(123,800)
- -------------------------------------------------------------------------------
</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.
7. FORWARD FOREIGN CURRENCY CONTRACTS
At August 31, 1998, 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........... 43,548 $ 24,923 9/01/98 $ 187
Australian Dollar........... 282,723 161,807 9/03/98 (4,500)
Australian Dollar........... 345,211 197,573 9/04/98 (1,839)
Australian Dollar........... 1,500,000 858,488 9/04/98 61,581
Australian Dollar........... 882,000 504,791 9/04/98 49,157
Australian Dollar........... 843,000 482,470 9/04/98 26,524
Australian Dollar........... 480,000 274,716 9/04/98 8,868
Belgian Franc............... 24,000,000 659,852 9/01/98 (9,622)
British Pound............... 600,000 1,004,487 9/04/98 (6,477)
British Pound............... 4,600,000 7,701,068 9/04/98 (100,028)
British Pound............... 3,397,000 5,687,071 9/04/98 (97,648)
British Pound............... 1,400,000 2,343,803 9/04/98 (41,083)
British Pound............... 51,000 85,381 9/04/98 (2,292)
British Pound............... 700,000 1,171,901 9/04/98 (41,402)
British Pound............... 800,000 1,339,316 9/04/98 (44,412)
British Pound............... 280,000 468,760 9/04/98 (9,785)
French Franc................ 15,000,000 2,538,663 9/04/98 (76,175)
French Franc................ 10,823,000 1,831,730 9/04/98 (20,349)
French Franc................ 1,500,000 253,866 9/04/98 (3,750)
French Franc................ 1,614,000 273,160 9/04/98 (341)
French Franc................ 4,700,000 795,448 9/04/98 (9,114)
French Franc................ 5,400,000 913,918 9/04/98 (17,237)
German Mark................. 10,150,000 5,756,999 9/04/98 (25,774)
German Mark................. 2,800,000 1,588,137 9/04/98 (26,248)
German Mark................. 3,400,000 1,928,452 9/04/98 (11,988)
German Mark................. 10,369,000 5,881,214 9/04/98 (63,124)
German Mark................. 1,355,000 768,545 9/04/98 (11,012)
German Mark................. 5,000,000 2,835,960 9/04/98 (21,160)
German Mark................. 990,000 561,520 9/04/98 (582)
German Mark................. 8,800,000 4,991,289 9/04/98 (54,680)
German Mark................. 5,100,000 2,892,679 9/04/98 (49,553)
German Mark................. 340,000 192,845 9/04/98 (3,609)
Hong Kong Dollar............ 3,681,899 474,964 9/01/98 119
Italian Lira................ 2,600,000,000 1,491,877 9/04/98 (43,006)
</TABLE>
138
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE GAIN (LOSS)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Italian Lira.............. 1,598,837,000 $ 917,411 9/04/98 $ (9,115)
Italian Lira.............. 430,000,000 246,733 9/04/98 (3,341)
Italian Lira.............. 1,300,000,000 745,938 9/04/98 (7,542)
Italian Lira.............. 700,000,000 401,659 9/04/98 (6,882)
Japanese Yen.............. 35,040,163 248,213 9/01/98 (3,176)
Japanese Yen.............. 8,166,000,000 58,568,563 11/25/98 (1,289,427)
Japanese Yen.............. 120,000,000 850,408 9/04/98 26,625
Japanese Yen.............. 800,000,000 5,669,386 9/04/98 66,614
Japanese Yen.............. 701,440,000 4,970,918 9/04/98 76,139
Japanese Yen.............. 92,000,000 651,979 9/04/98 1,522
Japanese Yen.............. 70,000,000 496,071 9/04/98 (10,230)
Japanese Yen.............. 220,000,000 1,559,081 9/04/98 (39,849)
Japanese Yen.............. 180,000,000 1,275,612 9/04/98 (42,946)
Japanese Yen.............. 140,000,000 992,142 9/04/98 (18,467)
Japanese Yen.............. 70,000,000 496,071 9/04/98 (11,977)
Netherland Guilder........ 5,000,000 2,512,595 9/01/98 (37,347)
New Zealand Dollar........ 13,591,000 6,736,852 9/03/98 265,910
Spanish Peseta............ 206,985,000 1,382,231 9/04/98 (15,498)
Spanish Peseta............ 30,000,000 200,337 9/04/98 (2,930)
Spanish Peseta............ 50,000,000 333,896 9/04/98 (5,489)
Swedish Krona............. 5,654,000 699,129 9/04/98 13,051
Swiss Franc............... 3,800,000 2,627,690 9/01/98 (42,833)
- -------------------------------------------------------------------------------
151,520,588 (1,747,542)
- -------------------------------------------------------------------------------
TO BUY:
Australian Dollar......... 2,000,000 1,144,611 9/01/98 20,610
Australian Dollar......... 9,630,000 5,511,499 9/04/98 (421,639)
Australian Dollar......... 1,040,000 595,219 9/04/98 (52,388)
Australian Dollar......... 520,000 297,610 9/04/98 (28,898)
British Pound............. 5,784,534 9,684,151 9/04/98 136,198
British Pound............. 266,980 446,963 9/04/98 (1,384)
British Pound............. 8,180,000 13,694,508 9/04/98 361,108
British Pound............. 2,500,000 4,185,363 9/04/98 15,863
British Pound............. 835,000 1,397,911 9/04/98 8,387
British Pound............. 1,800,000 3,013,461 9/04/98 53,541
British Pound............. 2,300,000 3,850,534 9/04/98 96,543
British Pound............. 1,000,000 1,674,145 9/04/98 49,295
British Pound............. 500,000 837,072 9/04/98 24,947
French Franc.............. 10,374,819 1,758,548 9/30/98 38,584
French Franc.............. 4,714,521 799,119 9/30/98 (1,078)
French Franc.............. 5,899,930 1,000,047 9/30/98 (1,621)
French Franc.............. 20,000,000 3,384,885 9/04/98 17,882
French Franc.............. 27,200,000 4,603,443 9/04/98 30,978
German Mark............... 9,600,000 5,445,043 9/04/98 58,443
German Mark............... 2,100,000 1,191,103 9/04/98 20,861
German Mark............... 18,700,000 10,606,490 9/04/98 70,686
German Mark............... 2,500,000 1,417,980 9/04/98 18,987
Italian Lira.............. 11,910,000,000 6,833,948 9/04/98 39,881
Italian Lira.............. 2,400,000,000 1,377,118 9/04/98 13,985
Italian Lira.............. 3,137,300,000 1,800,180 9/04/98 11,628
Japanese Yen.............. 163,868,100 1,160,788 9/01/98 10,675
Japanese Yen.............. 90,056,250 638,021 9/02/98 3,777
Japanese Yen.............. 120,696,399 855,220 9/03/98 (1,159)
Japanese Yen.............. 871,000,000 6,172,544 9/04/98 (185,119)
Japanese Yen.............. 350,000,000 2,480,356 9/04/98 (152,212)
Japanese Yen.............. 160,000,000 1,133,877 9/04/98 (19,442)
Japanese Yen.............. 46,000,000 325,989 9/04/98 (6,885)
Japanese Yen.............. 594,800,000 4,215,189 9/04/98 88,073
Japanese Yen.............. 120,000,000 850,408 9/04/98 19,613
Portuguese Escudo......... 96,000,000 531,491 9/01/98 7,503
Spanish Peseta............ 110,000,000 734,506 9/01/98 10,536
Spanish Peseta............ 1,026,000,000 6,851,559 9/04/98 47,845
Spanish Peseta............ 100,000,000 667,793 9/04/98 8,597
Swedish Krona............. 38,300,000 4,735,878 9/04/98 (193,339)
- -------------------------------------------------------------------------------
117,904,570 219,862
- -------------------------------------------------------------------------------
TOTAL UNREALIZED LOSS ON
FORWARD
FOREIGN CURRENCY CON-
TRACTS................... $ (1,527,680)
- -------------------------------------------------------------------------------
</TABLE>
139
<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:
New Zealand Dollar............. 6,330,000 $3,137,685 9/03/98 $ 122,265
- -------------------------------------------------------------------------------
3,137,685 122,265
- -------------------------------------------------------------------------------
<CAPTION>
TO BUY:
<S> <C> <C> <C> <C>
Australian Dollar.............. 4,197,409 2,402,199 9/01/98 34,861
German Mark.................... 5,817,413 3,299,390 9/03/98 39,440
New Zealand Dollar............. 7,910,249 3,921,030 9/02/98 48,963
- -------------------------------------------------------------------------------
9,622,619 123,264
- -------------------------------------------------------------------------------
CROSS FORWARDS:
TO SELL:
Australian Dollar.............. 13,861,000 7,933,965 9/14/98 342,292
Australian Dollar.............. 11,938,000 6,833,496 9/17/98 275,809
British Pound.................. 6,837,000 11,446,131 9/04/98 (260,013)
British Pound.................. 1,031,975 1,727,676 9/04/98 (37,273)
British Pound.................. 4,950,000 8,287,019 9/04/98 (211,250)
British Pound.................. 11,889,000 19,893,111 9/14/98 (494,604)
New Zealand Dollar............. 7,910,000 3,919,669 10/02/98 (23,971)
German Mark 10,336,070 5,878,852 10/20/98 (38,512)
- -------------------------------------------------------------------------------
65,919,919 (447,522)
- -------------------------------------------------------------------------------
<CAPTION>
TO BUY:
<S> <C> <C> <C> <C>
German Mark.................... 14,704,858 8,345,551 9/14/98 69,294
German Mark.................... 12,654,280 7,183,083 9/17/98 73,778
German Mark.................... 19,799,952 11,230,375 9/04/98 44,257
German Mark.................... 2,955,605 1,699,083 9/04/98 8,680
German Mark.................... 14,554,609 8,255,258 9/04/98 179,489
German Mark.................... 34,525,656 19,594,587 9/14/98 196,081
German Mark.................... 6,913,340 3,927,868 10/02/98 32,171
Greek Drachma.................. 1,750,000,000 5,681,511 10/20/98 (158,829)
- -------------------------------------------------------------------------------
65,917,316 444,921
- -------------------------------------------------------------------------------
TOTAL UNREALIZED GAIN ON
FORWARD
FOREIGN CURRENCY CONTRACTS.... $ 242,928
- -------------------------------------------------------------------------------
</TABLE>
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE LOSS
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
TO SELL:
South African Rand................. 9,345,727 $1,453,803 9/01/98 $ (21,135)
South African Rand................. 10,004,446 1,556,273 9/01/98 (50,712)
South African Rand................. 5,190,823 807,475 9/01/98 (5,803)
- -------------------------------------------------------------------------------
TOTAL UNREALIZED LOSS ON FORWARD
FOREIGN CURRENCY CONTRACTS........ $ (77,650)
- -------------------------------------------------------------------------------
</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.
140
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
9. CAPITAL LOSS CARRYFORWARD
At August 31, 1998, the Fund had, for Federal income tax purposes,
approximately the following unused capital loss carryforwards available to
offset future capital gains expiring on August 31 of the years below:
<TABLE>
<CAPTION>
PORTFOLIO TOTAL 2003 2004 2005 2006
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Government Money Invest-
ments.................. $ 22,000 $ 14,000 $ 8,000 $ -- $ --
Intermediate Fixed In-
come Investments....... 4,800,000 2,565,000 1,462,000 773,000 --
Municipal Bond Invest-
ments.................. 43,000 -- -- 43,000 --
Emerging Markets Equity
Investments............ 11,527,000 -- -- -- 11,527,000
- --------------------------------------------------------------------------------
</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.
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, 1998, Mortgage Backed Investments held one TBA security with
a cost of $8,215,000.
11. SHORT SALES OF SECURITIES
A short sale is a transaction in which the Portfolio sells 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, 1998, 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, 1998, the Portfolios listed below have securities on loan. The
market value for the securities on loan was as follows:
<TABLE>
<CAPTION>
PORTFOLIO VALUE
- -------------------------------------------------------------------------------
<S> <C>
Long-Term Bond Investments........................................ $ 1,662,022
Balanced Investments.............................................. 11,132,167
Large Capitalization Value Equity Investments..................... 310,237,066
Large Capitalization Growth Investments........................... 257,461,883
Small Capitalization Value Equity Investments..................... 45,174,093
Small Capitalization Growth Investments........................... 139,053,380
International Equity Investments.................................. 103,926,238
International Fixed Income Investments............................ 12,933,235
Emerging Markets Equity Investments............................... 4,478,037
- -------------------------------------------------------------------------------
</TABLE>
141
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
At August 31, 1998, the collateral held for the securities on loan was as
follows:
LONG-TERM BOND INVESTMENTS
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------------
<S> <C>
TIME DEPOSITS:
Banco Bilboa Vizcaya, 5.812% due 9/1/98............................. $ 244,327
Bank Brussels Lambert, 5.812% due 9/1/98............................ 500,291
Societe Generale, 5.812% due 9/1/98................................. 244,327
Svenska Handelsbanken, 5.812% due 9/1/98............................ 268,914
Westdeutsche Landesbank, 5.812% due 9/1/98.......................... 209,423
REPURCHASE AGREEMENT:
Morgan Stanley, 5.810% due 9/1/98................................... 283,717
- -------------------------------------------------------------------------------
TOTAL .............................................................. $1,750,999
- -------------------------------------------------------------------------------
</TABLE>
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------------
<S> <C>
TIME DEPOSITS:
Banco Bilboa Vizcaya, 5.812% due 9/1/98............................ $ 1,729,920
Bank Brussels Lambert, 5.812% due 9/1/98........................... 3,542,227
Societe Generale, 5.812% due 9/1/98................................ 1,729,920
Svenska Handelsbanken, 5.812% due 9/1/98........................... 1,904,001
Westdeutsche Landesbank, 5.812% due 9/1/98......................... 1,482,789
REPURCHASE AGREEMENT:
Morgan Stanley, 5.810% due 9/1/98.................................. 2,008,812
- -------------------------------------------------------------------------------
TOTAL ............................................................. $12,397,669
- -------------------------------------------------------------------------------
</TABLE>
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------------
<S> <C>
TIME DEPOSITS:
Banco Bilboa Vizcaya, 5.812% due 9/1/98........................... $ 47,041,507
Bank Brussels Lambert, 5.812% due 9/1/98.......................... 96,267,434
Societe Generale, 5.812% due 9/1/98............................... 47,014,197
Svenska Handelsbanken, 5.812% due 9/1/98.......................... 51,745,201
Westdeutsche Landesbank, 5.812% due 9/1/98........................ 40,297,883
REPURCHASE AGREEMENT:
Morgan Stanley, 5.810% due 9/1/98................................. 54,593,662
SMM Trust, 5.625% due 3/5/99...................................... 1,572,662
- -------------------------------------------------------------------------------
TOTAL ............................................................ $338,532,546
- -------------------------------------------------------------------------------
</TABLE>
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------------
<S> <C>
TIME DEPOSITS:
Banco Bilboa Vizcaya, 5.812% due 9/1/98........................... $ 39,984,369
Bank Brussels Lambert, 5.812% due 9/1/98.......................... 81,872,982
Societe Generale, 5.812% due 9/1/98............................... 39,984,369
Svenska Handelsbanken, 5.812% due 9/1/98.......................... 44,007,965
Westdeutsche Landesbank, 5.812% due 9/1/98........................ 34,272,315
REPURCHASE AGREEMENT:
Morgan Stanley, 5.810% due 9/1/98................................. 46,430,508
Societe Generale-YKCD, 5.850% due 12/17/98........................ 6,402,077
- -------------------------------------------------------------------------------
TOTAL ............................................................ $292,954,585
- -------------------------------------------------------------------------------
</TABLE>
142
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------------
<S> <C>
TIME DEPOSITS:
Banco Bilboa Vizcaya, 5.812% due 9/1/98............................ $ 7,147,187
Bank Brussels Lambert, 5.812% due 9/1/98........................... 14,634,755
Societe Generale, 5.812% due 9/1/98................................ 7,147,187
Svenska Handelsbanken, 5.812% due 9/1/98........................... 7,866,402
Westdeutsche Landesbank, 5.812% due 9/1/98......................... 6,126,160
REPURCHASE AGREEMENT:
Morgan Stanley, 5.810% due 9/1/98.................................. 8,299,430
- -------------------------------------------------------------------------------
TOTAL ............................................................. $51,221,121
- -------------------------------------------------------------------------------
</TABLE>
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------------
<S> <C>
TIME DEPOSITS:
Banco Bilboa Vizcaya, 5.812% due 9/1/98........................... $ 22,872,193
Bank Brussels Lambert, 5.812% due 9/1/98.......................... 46,833,670
Societe Generale, 5.812% due 9/1/98............................... 22,872,192
Svenska Handelsbanken, 5.812% due 9/1/98.......................... 25,173,805
Westdeutsche Landesbank, 5.812% due 9/1/98........................ 19,604,737
REPURCHASE AGREEMENT:
Morgan Stanley, 5.810% due 9/1/98................................. 26,559,568
- -------------------------------------------------------------------------------
TOTAL ............................................................ $163,916,165
- -------------------------------------------------------------------------------
</TABLE>
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENTS:
Bear, Stearns & Co., 5.940% due 9/1/98............................ $ 21,332,969
J.P. Morgan Securities, 5.898% due 9/1/98......................... 4,571,351
J.P. Morgan Securities, 5.813% due 9/1/98......................... 16,761,619
Morgan Stanley, 5.813% due 9/1/98................................. 21,332,969
NationsBanc Montgomery Securities, Inc., 5.863% due 9/1/98........ 14,456,683
CS First Boston, 5.893% due 9/1/98................................ 21,332,969
Merrill Lynch Securities/MLPFS, 5.920% due 9/1/98................. 9,752,215
- -------------------------------------------------------------------------------
TOTAL ............................................................ $109,540,775
- -------------------------------------------------------------------------------
</TABLE>
INTERNATIONAL FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENTS:
Bear, Stearns & Co., 5.940% due 9/1/98............................. $ 2,719,730
J.P. Morgan Securities, 5.898% due 9/1/98.......................... 582,799
J.P. Morgan Securities, 5.813% due 9/1/98.......................... 2,136,931
Morgan Stanley, 5.813% due 9/1/98.................................. 2,719,730
NationsBanc Montgomery Securities, Inc., 5.863% due 9/1/98......... 1,843,075
CS First Boston, 5.893% due 9/1/98................................. 2,719,730
Merrill Lynch Securities/MLPFS, 5.920% due 9/1/98.................. 1,243,305
- -------------------------------------------------------------------------------
TOTAL ............................................................. $13,965,300
- -------------------------------------------------------------------------------
</TABLE>
143
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENTS:
Bear Stearns & Co., 5.940% due 9/1/98............................... $1,113,048
J.P. Morgan Securities, 5.898% due 9/1/98........................... 238,510
J.P. Morgan Securities, 5.813% due 9/1/98........................... 874,538
Morgan Stanley, 5.813% due 9/1/98................................... 1,113,049
NationsBanc Montgomery Securities, Inc. 5.863% due 9/1/98........... 754,278
CS First Boston Corp., 5.893% due 9/1/98............................ 1,113,049
Merrill Lynch Securities/MLPFS, 5.920% due 9/1/98................... 508,822
- -------------------------------------------------------------------------------
TOTAL .............................................................. $5,715,294
- -------------------------------------------------------------------------------
</TABLE>
Interest income earned by the Portfolios from securities lending for the year
ended August 31, 1998 was as follows:
<TABLE>
<CAPTION>
PORTFOLIO VALUE
- -------------------------------------------------------------------------------
<S> <C>
Long-Term Bond Investments.......................................... $ 10,224
Balanced Investments................................................ 7,106
Large Capitalization Value Equity Investments....................... 84,859
Large Capitalization Growth Investments............................. 306,529
Small Capitalization Value Equity Investments....................... 185,243
Small Capitalization Growth Investments............................. 528,467
International Equity Investments.................................... 341,050
International Fixed Income Investments.............................. 9,364
Emerging Markets Equity Investments................................. 45,135
- -------------------------------------------------------------------------------
</TABLE>
13. SHARES OF BENEFICIAL INTEREST
At August 31, 1998, 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, 1998 AUGUST 31,1997
- --------------------------------------------------------------------------------
<S> <C> <C>
GOVERNMENT MONEY INVESTMENTS
Shares sold..................................... 1,099,355,642 849,412,997
Shares issued on reinvestment................... 20,711,995 15,257,421
Shares redeemed................................. (1,133,072,640) (754,144,058)
- --------------------------------------------------------------------------------
Net Increase (Decrease)......................... (13,005,003) 110,526,360
- --------------------------------------------------------------------------------
HIGH YIELD INVESTMENTS+
Shares sold..................................... 10,454,792 --
Shares issued on reinvestment................... -- --
Shares redeemed................................. (756,251) --
- --------------------------------------------------------------------------------
Net Increase.................................... 9,698,541 --
- --------------------------------------------------------------------------------
INTERMEDIATE FIXED INCOME INVESTMENTS
Shares sold..................................... 39,095,291 22,229,780
Shares issued on reinvestment................... 3,436,532 2,480,980
Shares redeemed................................. (20,002,052) (14,456,187)
- --------------------------------------------------------------------------------
Net Increase.................................... 22,529,771 10,254,573
- --------------------------------------------------------------------------------
LONG-TERM BOND INVESTMENTS
Shares sold..................................... 8,276,150 8,150,525
Shares issued on reinvestment................... 1,145,844 1,232,102
Shares redeemed................................. (14,181,520) (7,024,609)
- --------------------------------------------------------------------------------
Net Increase (Decrease)......................... (4,759,526) 2,358,018
- --------------------------------------------------------------------------------
MUNICIPAL BOND INVESTMENTS
Shares sold..................................... 4,417,346 3,511,017
Shares issued on reinvestment................... 304,118 222,819
Shares redeemed................................. (2,627,627) (3,327,179)
- --------------------------------------------------------------------------------
Net Increase.................................... 2,093,837 406,657
- --------------------------------------------------------------------------------
</TABLE>
144
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
AUGUST 31, 1998 AUGUST 31,1997
- -------------------------------------------------------------------------------
<S> <C> <C>
MORTGAGE BACKED INVESTMENTS
Shares sold..................................... 7,358,796 5,117,755
Shares issued on reinvestment................... 1,082,069 1,008,056
Shares redeemed................................. (6,399,337) (4,592,708)
- -------------------------------------------------------------------------------
Net Increase.................................... 2,041,528 1,533,103
- -------------------------------------------------------------------------------
BALANCED INVESTMENTS
Shares sold..................................... 2,452,497 5,179,672
Shares issued on reinvestment................... 533,922 275,077
Shares redeemed................................. (4,163,618) (3,006,395)
- -------------------------------------------------------------------------------
Net Increase (Decrease)......................... (1,177,199) 2,448,354
- -------------------------------------------------------------------------------
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
Shares sold..................................... 52,068,976 40,317,277
Shares issued on reinvestment................... 24,136,034 9,591,013
Shares redeemed................................. (66,567,000) (51,090,285)
- -------------------------------------------------------------------------------
Net Increase (Decrease)......................... 9,638,010 (1,181,995)
- -------------------------------------------------------------------------------
LARGE CAPITALIZATION GROWTH INVESTMENTS
Shares sold..................................... 35,772,274 38,837,237
Shares issued on reinvestment................... 7,127,231 4,117,121
Shares redeemed................................. (46,046,208) (28,169,117)
- -------------------------------------------------------------------------------
Net Increase (Decrease)......................... (3,146,703) 14,785,241
- -------------------------------------------------------------------------------
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
Shares sold..................................... 34,807,977 18,547,348
Shares issued on reinvestment................... 7,115,568 3,718,417
Shares redeemed................................. (18,387,418) (22,282,636)
- -------------------------------------------------------------------------------
Net Increase (Decrease)......................... 23,536,127 (16,871)
- -------------------------------------------------------------------------------
SMALL CAPITALIZATION GROWTH INVESTMENTS
Shares sold..................................... 48,873,021 33,405,849
Shares issued on reinvestment................... 3,703,449 4,411,506
Shares redeemed................................. (28,168,884) (23,101,137)
- -------------------------------------------------------------------------------
Net Increase.................................... 24,407,586 14,716,218
- -------------------------------------------------------------------------------
INTERNATIONAL EQUITY INVESTMENTS
Shares sold..................................... 101,615,910 62,969,435
Shares issued on reinvestment................... 3,453,743 6,670,111
Shares redeemed................................. (87,476,593) (43,209,206)
- -------------------------------------------------------------------------------
Net Increase.................................... 17,593,060 26,430,340
- -------------------------------------------------------------------------------
INTERNATIONAL FIXED INCOME INVESTMENTS
Shares sold..................................... 13,226,395 4,814,720
Shares issued on reinvestment................... 1,390,114 1,243,385
Shares redeemed................................. (6,892,220) (4,960,070)
- -------------------------------------------------------------------------------
Net Increase.................................... 7,724,289 1,098,035
- -------------------------------------------------------------------------------
EMERGING MARKETS EQUITY INVESTMENTS
Shares sold..................................... 56,262,428 27,633,350
Shares issued on reinvestment................... 2,227,431 59,448
Shares redeemed................................. (30,029,010) (14,865,187)
- -------------------------------------------------------------------------------
Net Increase.................................... 28,460,849 12,827,611
- -------------------------------------------------------------------------------
</TABLE>
+ For the period from July 13, 1998 (commencement of operations) to August 31,
1998.
145
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
GOVERNMENT MONEY INVESTMENTS 1998 1997 1996 1995 1994
- --------------------------------------------------------------------------------
<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 0.05 0.03
Dividends from net invest-
ment income............... (0.05) (0.05) (0.05) (0.05) (0.03)
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR....................... $1.00 $1.00 $1.00 $1.00 $1.00
- --------------------------------------------------------------------------------
TOTAL RETURN................ 5.10% 4.98% 5.02% 5.24% 3.10%
- --------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)..................... $375,761 $388,713 $278,162 $241,590 $184,656
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(1)................ 0.60% 0.60% 0.60% 0.60% 0.55%
Net investment income...... 4.99 4.91 4.93 5.14 3.16
- --------------------------------------------------------------------------------
<CAPTION>
HIGH YIELD INVESTMENTS 1998(2)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD.................. $8.00
- --------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment income(1)... 0.05
Net realized and unrealized
loss...................... (0.16)
- --------------------------------------------------------------------------------
Total Loss From Operations.. (0.11)
- --------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income...... --
Net realized gains......... --
- --------------------------------------------------------------------------------
Total Distributions......... --
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF PE-
RIOD....................... $7.89
- --------------------------------------------------------------------------------
TOTAL RETURN++.............. (1.38)%
- --------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000S)..................... $76,557
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS+:
Expenses(1)................ 1.20%
Net investment income...... 7.37
- --------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE..... 13%
- --------------------------------------------------------------------------------
</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 1998 1997 1996 1995 1994 1998 1997 1996 1995 1994
--------- ----- ----- ----- ----- ----- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Government Money
Investments............ $0.00* $0.01 $0.01 $0.05 $0.03 0.66% 0.64% 0.72% 0.74% 0.84%
High Yield Investments.. 0.01 N/A N/A N/A N/A 2.42+ N/A N/A N/A N/A
</TABLE>
(2) For the period from July 13, 1998 (commencement of operations) to August
31, 1998.
* Amount represents less than $0.01.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
146
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
INTERMEDIATE FIXED INCOME
INVESTMENTS 1998 1997 1996 1995 1994
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
YEAR........................ $8.06 $7.92 $8.10 $7.92 $8.58
- ---------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment income....... 0.48 0.50 0.50 0.50 0.47
Net realized and unrealized
gain (loss)................ 0.15 0.14 (0.17) 0.16 (0.56)
- ---------------------------------------------------------------------------------
Total Income (Loss) From Op-
erations.................... 0.63 0.64 0.33 0.66 (0.09)
- ---------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income....... (0.50) (0.50) (0.51) (0.48) (0.50)
Net realized gains.......... -- -- -- -- (0.06)
Capital..................... -- -- -- -- (0.01)
- ---------------------------------------------------------------------------------
Total Distributions.......... (0.50) (0.50) (0.51) (0.48) (0.57)
- ---------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR........................ $8.19 $8.06 $7.92 $8.10 $7.92
- ---------------------------------------------------------------------------------
TOTAL RETURN................. 8.00% 8.23% 4.08% 8.70% (1.13)%
- ---------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)...................... $574,998 $384,094 $296,053 $246,323 $223,548
- ---------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses.................... 0.73% 0.73% 0.73% 0.80% 0.80%
Net investment income....... 5.95 6.19 5.78 6.40 5.77
- ---------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE...... 63% 118% 98% 98% 86%
- ---------------------------------------------------------------------------------
</TABLE>
147
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
LONG-TERM BOND INVESTMENTS 1998 1997 1996 1995 1994(1)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF YEAR................... $8.26 $7.87 $8.23 $7.86 $8.70
- -------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment income(2).. 0.52 0.53 0.51 0.45 0.38
Net realized and
unrealized gain (loss)... 0.78 0.46 (0.41) 0.36 (0.75)
- -------------------------------------------------------------------------------
Total Income (Loss) From
Operations................ 1.30 0.99 0.10 0.81 (0.37)
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income..... (0.51) (0.59) (0.46) (0.44) (0.41)
Net realized gains........ -- -- -- -- (0.06)
Capital................... -- (0.01) -- -- (0.00)*
- -------------------------------------------------------------------------------
Total Distributions........ (0.51) (0.60) (0.46) (0.44) (0.47)
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR...................... $9.05 $8.26 $7.87 $8.23 $7.86
- -------------------------------------------------------------------------------
TOTAL RETURN............... 16.22% 12.93% 1.11% 10.71% (3.93)%
- -------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S).................... $157,612 $183,051 $155,910 $137,545 $94,628
- -------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(2)............... 0.82% 0.78% 0.80% 0.80% 0.80%
Net investment income..... 5.96 6.54 6.18 5.80 5.34
- -------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.... 63% 34% 125% 62% 43%
- -------------------------------------------------------------------------------
<CAPTION>
MUNICIPAL BOND INVESTMENTS 1998 1997 1996 1995 1994
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF YEAR................... $8.62 $8.26 $8.27 $8.06 $8.85
- -------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment income(2).. 0.36 0.38 0.38 0.40 0.40
Net realized and
unrealized gain (loss)... 0.32 0.34 -- 0.21 (0.71)
- -------------------------------------------------------------------------------
Total Income (Loss) From
Operations................ 0.68 0.72 0.38 0.61 (0.31)
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income..... (0.38) (0.36) (0.39) (0.40) (0.40)
In excess of net invest-
ment income.............. (0.00)* -- -- -- --
Net realized gains........ -- -- -- (0.00)* (0.05)
Capital................... -- -- -- -- (0.03)
- -------------------------------------------------------------------------------
Total Distributions........ (0.38) (0.36) (0.39) (0.40) (0.48)
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR...................... $8.92 $8.62 $8.26 $8.27 $8.06
- -------------------------------------------------------------------------------
TOTAL RETURN............... 8.09% 8.88% 4.62% 7.86% (3.78)%
- -------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S).................... $72,511 $52,024 $46,485 $45,356 $56,625
- -------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(2)............... 0.80% 0.80% 0.80% 0.80% 0.80%
Net investment income..... 4.20 4.50 4.59 4.99 4.59
- -------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.... 160% 31% 29% 49% 132%
- -------------------------------------------------------------------------------
</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 1997 1996 1995 1994
--------- ----- ----- ----- ----- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Long-Term Bond
Investments............ N/A N/A $0.01 $0.01 N/A N/A 0.93% 0.95%
Municipal Bond
Investments............ $0.00* $0.02 0.02 0.01 0.83% 1.02% 1.04 0.93
</TABLE>
* Amount represents less than $0.01 per share.
148
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
MORTGAGE BACKED INVESTMENTS 1998 1997 1996(1) 1995 1994
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF YEAR................... $7.96 $7.74 $7.91 $7.69 $8.21
- --------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income(2).. 0.46 0.48 0.48 0.51 0.41
Net realized and
unrealized gain (loss)... 0.19 0.25 (0.14) 0.22 (0.41)
- --------------------------------------------------------------------------------
Total Income From Opera-
tions..................... 0.65 0.73 0.34 0.73 0.00
- --------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income..... (0.48) (0.51) (0.48) (0.49) (0.41)
Net realized gains........ -- -- -- -- (0.04)
Capital................... -- -- (0.03) (0.02) (0.10)
- --------------------------------------------------------------------------------
Total Distributions........ (0.48) (0.51) (0.51) (0.51) (0.55)
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR...................... $8.13 $7.96 $7.74 $7.91 $7.69
- --------------------------------------------------------------------------------
TOTAL RETURN............... 8.37% 9.69% 4.37% 9.96% (0.20)%
- --------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S).................... $156,043 $136,586 $120,945 $104,789 $120,427
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(2)............... 0.80% 0.80% 0.80% 0.80% 0.80%
Net investment income..... 5.69 6.08 6.09 6.85 6.38
- --------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.... 214% 94% 23% 30% 53%
- --------------------------------------------------------------------------------
<CAPTION>
BALANCED INVESTMENTS 1998 1997 1996 1995 1994
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF YEAR................... $12.01 $10.00 $9.37 $8.63 $8.41
- --------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income(2).. 0.26 0.27 0.29 0.26 0.21
Net realized and
unrealized gain (loss)... (0.53) 2.27 0.95 0.81 0.16
- --------------------------------------------------------------------------------
Total Income (Loss) From
Operations................ (0.27) 2.54 1.24 1.07 0.37
- --------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income..... (0.30) (0.27) (0.28) (0.29) (0.15)
Net realized gains........ (0.57) (0.26) (0.33) (0.04) --
- --------------------------------------------------------------------------------
Total Distributions........ (0.87) (0.53) (0.61) (0.33) (0.15)
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR...................... $10.87 $12.01 $10.00 $9.37 $8.63
- --------------------------------------------------------------------------------
TOTAL RETURN............... (2.85)% 26.05% 13.60% 12.76% 4.62%
- --------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S).................... $68,470 $89,789 $50,281 $30,268 $14,940
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(2)............... 1.00% 1.00% 1.00% 1.00% 1.00%
Net investment income..... 1.92 2.49 2.85 3.28 2.66
- --------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.... 57% 67% 47% 47% 43%
- --------------------------------------------------------------------------------
</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 1998 1997 1996 1995 1994 1998 1997 1996 1995 1994
--------- ----- ----- ----- ----- ----- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Mortgage Backed
Investments............ $0.01 $0.01 $0.01 $0.02 $0.02 0.93% 0.93% 0.94% 1.09% 1.06%
Balanced Investments.... N/A 0.00* 0.03 0.06 0.08 N/A 1.02 1.26 1.75 2.01
</TABLE>
* Amount represents less than $0.01 per share.
149
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
LARGE CAPITALIZATION VALUE EQUITY
INVESTMENTS 1998 1997 1996 1995(1) 1994
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR... $14.91 $11.55 $10.42 $9.39 $9.35
- ------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income(2)............ 0.16 0.23 0.26 0.27 0.17
Net realized and unrealized gain.... 0.08 4.09 1.25 1.16 0.02
- ------------------------------------------------------------------------------
Total Income From Operations......... 0.24 4.32 1.51 1.43 0.19
- ------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............... (0.11) (0.34) (0.24) (0.24) (0.15)
Net realized gains.................. (2.76) (0.62) (0.14) (0.16) 0.00*
- ------------------------------------------------------------------------------
Total Distributions.................. (2.87) (0.96) (0.38) (0.40) (0.15)
- ------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR......... $12.28 $14.91 $11.55 $10.42 $9.39
- ------------------------------------------------------------------------------
TOTAL RETURN......................... 0.03% 38.98% 14.75% 16.14% 2.09%
- ------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (MILLIONS)... $1,712 $1,935 $1,512 $1,070 $832
- ------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(2)......................... 0.80% 0.78% 0.80% 0.83% 0.88%
Net investment income............... 1.18 1.70 2.31 2.93 2.57
- ------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.............. 57% 70% 24% 21% 108%
- ------------------------------------------------------------------------------
<CAPTION>
LARGE CAPITALIZATION GROWTH
INVESTMENTS 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR... $17.27 $13.10 $12.13 $10.00 $9.76
- ------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income(2)............ 0.04 0.07 0.07 0.09 0.03
Net realized and unrealized gain.... 1.31 4.72 1.46 2.13 0.21
- ------------------------------------------------------------------------------
Total Income From Operations......... 1.35 4.79 1.53 2.22 0.24
- ------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income............... (0.08) (0.08) (0.06) (0.08) --
Net realized gains.................. (1.24) (0.54) (0.50) (0.01) --
- ------------------------------------------------------------------------------
Total Distributions.................. (1.32) (0.62) (0.56) (0.09) --
- ------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR......... $17.30 $17.27 $13.10 $12.13 $10.00
- ------------------------------------------------------------------------------
TOTAL RETURN......................... 7.81% 37.47% 12.89% 22.30% 2.46%
- ------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (MILLIONS)... $1,793 $1,845 $1,205 $782 $458
- ------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(2)......................... 0.76% 0.69% 0.83% 0.88% 0.98%
Net investment income .............. 0.16 0.50 0.63 0.98 0.39
- ------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.............. 39% 65% 40% 38% 104%
- ------------------------------------------------------------------------------
</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>
* Amount represents less than $0.01 per share.
150
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
SMALL CAPITALIZATION
VALUE EQUITY INVESTMENTS 1998(1) 1997 1996 1995 1994
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF YEAR............ $14.45 $11.11 $10.01 $ 9.03 $9.94
- -------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment in-
come(2)................ 0.17 0.19 0.16 0.15 0.08
Net realized and
unrealized gain
(loss)................. (1.66) 4.22 1.08 0.95 (0.40)
- -------------------------------------------------------------------------------
Total Income (Loss) From
Operations.............. (1.49) 4.41 1.24 1.10 (0.32)
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income... (0.13) (0.19) (0.14) (0.12) (0.07)
Net realized gains...... (1.72) (0.88) -- (0.00)* (0.52)
- -------------------------------------------------------------------------------
Total Distributions...... (1.85) (1.07) (0.14) (0.12) (0.59)
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR.................... $11.11 $14.45 $11.11 $10.01 $9.03
- -------------------------------------------------------------------------------
TOTAL RETURN............. (12.84)% 42.40% 12.48% 12.50% (3.30)%
- -------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S).................. $740,340 $622,372 $478,884 $340,306 $342,388
- -------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(2)............. 0.94% 0.90% 0.95% 1.11% 1.06%
Net investment income... 1.45 1.62 1.52 1.54 1.12
- -------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.. 59% 53% 39% 115% 65%
- -------------------------------------------------------------------------------
<CAPTION>
SMALL CAPITALIZATION
GROWTH INVESTMENTS 1998 1997 1996 1995(1) 1994(1)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF YEAR............ $18.29 $17.79 $17.19 $12.50 $11.21
- -------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment loss(2).. (0.07) (0.06) (0.08) (0.05) (0.09)
Net realized and
unrealized gain
(loss)................. (4.23) 2.87 3.36 4.81 1.56
- -------------------------------------------------------------------------------
Total Income (Loss) From
Operations.............. (4.30) 2.81 3.28 4.76 1.47
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net realized gains...... (1.16) (2.31) (2.68) (0.07) (0.14)
Capital................. -- -- -- -- (0.04)
- -------------------------------------------------------------------------------
Total Distributions...... (1.16) (2.31) (2.68) (0.07) (0.18)
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR.................... $12.83 $18.29 $17.79 $17.19 $12.50
- -------------------------------------------------------------------------------
TOTAL RETURN............. (25.10)% 17.53% 21.33% 38.25% 13.18%
- -------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(MILLIONS).............. $859 $777 $494 $315 $180
- -------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(2)............. 1.01% 0.90% 1.00% 1.14% 1.20%
Net investment loss..... (0.43) (0.39) (0.49) (0.35) (0.78)
- -------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.. 91% 81% 83% 174% 94%
- -------------------------------------------------------------------------------
</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>
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>
* Amount represents less than $0.01 per share.
151
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY INVESTMENTS 1998 1997 1996 1995 1994(1)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR.... $10.63 $10.49 $10.50 $10.86 $ 9.57
- -------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS:
Net investment income................ 0.14 0.09 -- 0.05 0.02
Net realized and unrealized gain
(loss).............................. 0.21 0.87 0.44 (0.09) 1.54
- -------------------------------------------------------------------------------
Total Income (Loss) From Operations... 0.35 0.96 0.44 (0.04) 1.56
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income................ (0.17) (0.12) (0.17) -- (0.03)
Net realized gains................... (0.12) (0.70) (0.28) (0.32) (0.24)
- -------------------------------------------------------------------------------
Total Distributions................... (0.29) (0.82) (0.45) (0.32) (0.27)
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR.......... $10.69 $10.63 $10.49 $10.50 $10.86
- -------------------------------------------------------------------------------
TOTAL RETURN.......................... 3.53% 9.53% 4.23% (0.18)% 16.74%
- -------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (MILLIONS).... $1,331 $1,136 $844 $663 $595
- -------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(2).......................... 0.90% 0.97% 1.00% 1.19% 1.19%
Net investment income (loss)......... 1.23 0.70 (0.12) 0.43 0.23
- -------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE............... 45% 32% 50% 28% 33%
- -------------------------------------------------------------------------------
</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) 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
International Equity Investments would be 1.00%; prior year numbers have
not been restated to reflect these numbers.
152
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
INTERNATIONAL FIXED INCOME
INVESTMENTS 1998 1997 1996 1995 1994
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF YEAR .................. $8.21 $9.11 $9.01 $8.17 $8.86
- -------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment income(1).. 0.51 0.51 0.55 0.56 0.40
Net realized and
unrealized gain (loss)... 0.31 (0.62) 0.49 0.84 (0.32)
- -------------------------------------------------------------------------------
Total Income (Loss) From
Operations................ 0.82 (0.11) 1.04 1.40 0.08
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income..... (0.27) (0.55) (0.94) (0.56) (0.65)
Net realized gains........ (0.34) (0.24) -- -- (0.12)
Capital................... (0.08) -- -- -- (0.00)*
- -------------------------------------------------------------------------------
Total Distributions........ (0.69) (0.79) (0.94) (0.56) (0.77)
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR...................... $8.34 $8.21 $9.11 $9.01 $8.17
- -------------------------------------------------------------------------------
TOTAL RETURN............... 10.45% (1.52)% 12.05% 17.66% 1.00%
- -------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S).................... $192,068 $125,610 $129,410 $105,884 $116,929
- -------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(1)(2)............ 0.97% 0.99% 1.02% 0.95% 0.95%
Net investment income..... 5.39 5.87 6.34 6.50 5.54
- -------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.... 211% 251% 211% 307% 358%
- -------------------------------------------------------------------------------
</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 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>
(2) 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; prior year numbers have not been restated to reflect
these numbers.
* Amount represents less than $0.01 per share.
153
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
EMERGING MARKETS EQUITY
INVESTMENTS 1998 1997 1996 1995(1) 1994(2)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF YEAR ................... $9.31 $8.50 $7.85 $9.49 $8.00
- --------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment income
(loss)(3)................. 0.06 0.04 0.03 0.01 (0.02)
Net realized and unrealized
gain (loss)............... (4.44) 0.79 0.62 (1.45) 1.51
- --------------------------------------------------------------------------------
Total Income (Loss) From Op-
erations................... (4.38) 0.83 0.65 (1.44) 1.49
- --------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income...... (0.10) (0.01) -- -- --
Net realized gains......... (0.46) (0.01) -- (0.20) --
- --------------------------------------------------------------------------------
Total Distributions......... (0.56) (0.02) -- (0.20) --
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF
YEAR....................... $4.37 $9.31 $8.50 $7.85 $9.49
- --------------------------------------------------------------------------------
TOTAL RETURN................ (49.49)% 9.88% 8.28% (15.13)% 18.63%++
- --------------------------------------------------------------------------------
NET ASSETS, END OF YEAR
(000S)..................... $230,526 $226,280 $97,489 $59,333 $36,365
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(3)(4)............. 1.69% 1.60% 1.84% 1.75% 1.72%+
Net investment income
(loss).................... 0.80 0.39 0.26 0.15 (0.42)+
- --------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE..... 139% 105% 106% 89% 16%
- --------------------------------------------------------------------------------
</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.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
154
<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 8/31/98 5.10% 3.53%
Three Years Ended 8/31/98 5.03 3.47
Five Years Ended 8/31/98 4.68 3.13
Inception (11/18/91) through 8/31/98 4.26 2.71
</TABLE>
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
For the year ended August 31, 1998, Government Money Investments
("Portfolio") had a total return of 5.10% versus 5.14%, for 90-Day T-Bills, the
Portfolio's benchmark.
The Portfolio, sub-advised by Standish, Ayer & Wood, Inc., began the year
with an average maturity of between 80 and 90 days as the yield curve was
relatively steep and there was a reward for having a longer average maturity.
During 1998, however, the Portfolio was shortened toward a 30-day average
maturity as the yield curve became very flat and the need for liquidity
increased. The Portfolio was also generally invested in government agency
securities throughout the year, given their higher yield versus US Treasury
securities. Rates fell throughout the year and our somewhat longer maturity was
a benefit. The weightings between Treasury securities and agency securities are
actively managed and the weightings vary depending on available yields in the
market, but an average weighting would be 70-80% in agencies and 20-30% in
treasuries.
155
<PAGE>
PORTFOLIO HIGHLIGHTS--HIGH YIELD INVESTMENTS
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
---------------------- ----------------- --------------
<S> <C> <C>
Inception (7/13/98) through 8/31/98++ (1.38)% (1.58)%
</TABLE>
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
++Total return is not annualized, as it may not be representative of the total
return for the year.
The High Yield Investments ("Portfolio"), sub-advised by Alliance Capital
Management L.P. ("Alliance Capital"), outperformed its benchmark, the First
Boston High Yield Index. For the period ended August 31, 1998, the Portfolio
had a negative total return of 1.38% versus a negative 6.79% for the First
Boston High Yield Index.
The Portfolio began operations on July 13th, 1998 and during the initial
investment period the focus has been to invest in companies with solid
fundamentals and predictable cash flows. Currently, over 20 industries are
represented in the Portfolio with approximately 60 issues. Emphasis has been on
the more depressed sectors of the high-yield universe, such as energy and
industrial manufacturing where Alliance Capital believes the greatest
opportunity for return exists. Substantially all of the securities are "cash-
pay" securities with minimal exposure to zero or deferred coupon securities --
even though this segment represents approximately 15% of the index. The
Portfolio is underweighted in "developmental" credits, those companies that
lack substantial cash flow today but have aggressive plans for revenue and
profit growth in the future (e.g. telecommunications). These credits tend to be
more correlated to the volatility in the domestic equity markets.
The Portfolio's cash position continues to be larger than normal in response
to market instability. Alliance Capital has been very selective in putting new
money to work and the strategy has been to dollar-cost average during this
period of heightened market volatility. In spite of the recent market turmoil,
the outlook for this sector continues to be constructive. Although some of the
statistics on the economy have retreated slightly, moderate growth should
continue and consumer spending should remain strong. Volatility should remain
elevated over the short term as the markets grapple with the effects of the
crisis in emerging markets. In addition, the ongoing de-leveraging in the
market, particularly from hedge funds, may keep downward pressure on the high
yield sector over the near-term. However, once these factors unwind themselves
and as some stability returns to the equity markets, Alliance Capital sees
compelling reasons to invest.
156
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERMEDIATE FIXED INCOME INVESTMENTS AS OF AUGUST 31,
1998
For the year ended August 31, 1998, Intermediate Fixed Income Investments
("Portfolio") had a total return of 8.00% versus 8.97% for the Lehman Brothers
Government/Corporate Intermediate Bond Index, the Portfolio's benchmark.
The Portfolio's advisor, 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 in-depth internal research process. The use of interest rate
forecasting is limited, with Standish maintaining an average duration normally
within 25% of the benchmark.
During the year, performance was positively impacted by the use of corporate
and mortgage securities which carried higher yields than US Treasuries.
However, as the impact of the Asian crisis continued to spread through the US
market, US Treasuries were one of the best performing asset classes of the
year. Standish lowered their weightings in corporates and mortgages throughout
the year but the exposure to non-Treasury sectors was a negative particularly
in July and August. The duration of the Portfolio has been longer than the
benchmark consistently throughout the year, which has been a positive in a
falling interest rate environment.
Standish continues to apply their core philosophy to management of the
Portfolio, which has been shown to add value over time. Current levels of
valuation in the corporate and mortgage markets permits Standish to purchase
securities at historically wide levels as they continue to look for
opportunities to add value through the use of individual security selection.
157
<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 8/31/98 8.00% 6.40%
Three Years Ended 8/31/98 6.75 5.17
Five Years Ended 8/31/98 5.51 3.94
Inception (11/18/91) through 8/31/98 6.72 5.14
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
INTERMEDIATE FIXED INCOME INVESTMENTS
VS.
LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE BOND INDEX
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1998
(UNAUDITED)
Lehman Brothers
Intermediate Fixed Intermediate Fixed Intermediate
Income Investments* Income Investments* Gov't./Corp.
(With Trak Fee) (Without Trak Fee) Bond Index
------------------- ------------------- ---------------
11/18/91 10,000 10,000 10,000
8/92 10,628 10,753 10,872
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
8/31/98 14,049 15,550 15,976
- --------------------------------------------------------------------------------
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.
158
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERMEDIATE FIXED INCOME INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
INTERMEDIATE FIXED INCOME INVESTMENTS
VS.
LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE BOND INDEX
AUGUST 31, 1995 THROUGH AUGUST 31, 1998
(UNAUDITED)
Lehman Brothers
Intermediate Fixed Intermediate Fixed Intermediate
Income Investments* Income Investments* Gov't./Corp.
(With Trak Fee) (Without Trak Fee) Bond Index
------------------- ------------------- ---------------
8/95 10,000 10,000 10,000
8/96 10,253 10,408 10,444
8/97 10,933 11,265 11,314
8/98 11,632 12,166 12,330
- --------------------------------------------------------------------------------
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.
159
<PAGE>
PORTFOLIO HIGHLIGHTS--LONG-TERM BOND INVESTMENTS AS OF AUGUST 31, 1998
For the year ended August 31, 1998, Long-Term Bond Investments ("Portfolio")
had a total return of 16.22% versus 17.37% for the Lehman Brothers
Government/Corporate Bond Index, the Portfolio's benchmark.
For the period under review, the Portfolio, which is sub-advised by National
Asset Management ("National"), performed below the Portfolio's benchmark due to
a widening in corporate yield spreads. The overall quality of holdings remain
at a high level as National's long-term fixed income approach focused on sector
allocation, duration management and security selection.
Going forward, the advisors plan to maintain a neutral duration stance, with
a concentration of securities with maturities in the years 2015 to 2020, and an
underweight in callable issues. In addition, the Portfolio will overweight
corporate bonds while maintaining a modest allocation to mortgages. The yield
spreads available in corporates and mortgages are quite attractive and should
provide the Portfolio solid income as well as potential for further
appreciation while still maintaining a high quality profile.
160
<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 8/31/98 16.22% 14.63%
Three Years Ended 8/31/98 9.89 8.26
Five Years Ended 8/31/98 7.13 5.54
Inception (11/18/91) through 8/31/98 7.97 6.37
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
LONG-TERM BOND INVESTMENTS
VS.
LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1998
(UNAUDITED)
Long-Term Long-Term Lehman Brothers
Bond Investments* Bond Investments* Gov't./Corp.
(With Trak Fee) (Without Trak Fee) Bond Index
----------------- ------------------ ---------------
11/18/91 10,000 10,000 10,000
8/31/92 10,611 10,737 11,329
8/31/93 11,612 11,926 11,976
8/31/94 10,990 11,457 12,136
8/31/95 11,986 12,684 13,667
8/31/96 11,939 12,825 13,561
8/31/97 13,267 14,466 14,892
8/31/98 15,208 16,832 16,594
- --------------------------------------------------------------------------------
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.
161
<PAGE>
PORTFOLIO HIGHLIGHTS--LONG-TERM BOND INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
LONG-TERM BOND INVESTMENTS
VS.
LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX
AUGUST 31, 1995 THROUGH AUGUST 31, 1998
(UNAUDITED)
Long-Term Long-Term Lehman Brothers
Bond Investments* Bond Investments* Gov't./Corp.
(With Trak Fee) (Without Trak Fee) Bond Index
----------------- ------------------ ---------------
8/95 10,000 10,000 10,000
8/96 9,961 10,111 9,922
8/97 11,082 11,419 10,896
8/98 12,688 13,270 12,141
- --------------------------------------------------------------------------------
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.
162
<PAGE>
PORTFOLIO HIGHLIGHTS--MUNICIPAL BOND INVESTMENTS AS OF AUGUST 31, 1998
For the year ended August 31, 1998, Municipal Bond Investments ("Portfolio")
had a total return of 8.09% versus 8.65% for the Lehman Brothers Municipal Bond
Index, the Portfolio's benchmark.
During the period under review, Smith Affiliated Capital Corp. ("Smith"), the
Portfolio's sub-advisor, slightly increased the Portfolio's maturity to 14.9
years from 13.8 years. In a declining interest rate environment, Smith managed
to maintain an average coupon at 5.34% (8.84% taxable), while improving the
average credit quality and increasing call protection. Smith continues to focus
on quality and vital service revenue and general obligation investments
capitalizing on the trends of state debt issuance. Regional exposure remained
heavily weighted in the Northeast while Smith expanded weightings in
Pennsylvania, Michigan, Massachusetts and Florida.
163
<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 8/31/98 8.09% 6.48%
Three Years Ended 8/31/98 7.18 5.59
Five Years Ended 8/31/98 5.03 3.47
Inception (11/18/91) through 8/31/98 6.62 5.03
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
MUNICIPAL BOND INVESTMENTS
VS.
LEHMAN BROTHERS MUNICIPAL BOND INDEX
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1998
(UNAUDITED)
Municipal Municipal Lehman Brothers
Bond Investments* Bond Investments* Municipal
(With Trak Fee) (Without Trak Fee) Bond Index
----------------- ------------------ ---------------
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
8/31/98 13,959 15,451 16,572
- --------------------------------------------------------------------------------
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.
164
<PAGE>
PORTFOLIO HIGHLIGHTS--MUNICIPAL BOND INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
MUNICIPAL BOND INVESTMENTS
VS.
LEHMAN BROTHERS MUNICIPAL BOND INDEX
AUGUST 31, 1995 THROUGH AUGUST 31, 1998
(UNAUDITED)
Municipal Municipal Lehman Brothers
Bond Investments* Bond Investments* Municipal
(With Trak Fee) (Without Trak Fee) Bond Index
----------------- ------------------ ---------------
8/31/95 10,000 10,000 10,000
8/96 10,307 10,462 10,525
8/97 11,056 11,392 11,497
8/31/98 11,773 12,314 12,492
- --------------------------------------------------------------------------------
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.
165
<PAGE>
PORTFOLIO HIGHLIGHTS--MORTGAGE BACKED INVESTMENTS AS OF AUGUST 31, 1998
For the year ended August 31, 1998, Mortgage Backed Investments, sub-advised
by Atlantic Portfolio Analytics & Management, Inc., ("APAM"), had a total
return of 8.37% versus 8.69% for the Lehman Brothers Mortgage Backed Securities
Index, the Portfolio's benchmark.
During the period under review, the yield on the 10 year U.S. Treasury fell
approximately 1.37%. The mortgage sector underperformed the Lehman Intermediate
Government Index by 58 basis points on an absolute basis. However, on a
duration-adjusted basis, the mortgage sector outperformed U.S. government
sector by approximately 40 basis points per year of duration. Relative to the
Intermediate Corporate Index, mortgages outperformed by 0.46% and 1.68%
respectively on an absolute and duration adjusted basis. The strong performance
of mortgages relative to other spread product is due to the slowing global
economy in general and the Asian financial crisis in particular.
APAM views the mortgage sector as extremely cheap relative to U.S.
Treasuries. As of the fiscal year end, mortgage-backed securities were trading
at their 5-year historically widest spreads to the 10-year treasury. APAM
focuses on extracting value by examining the characteristics of individual
mortgage pools and duration management. There should be no major changes to
this strategy in the near future.
166
<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 8/31/98 8.37% 6.76%
Three Years Ended 8/31/98 7.45 5.86
Five Years Ended 8/31/98 6.37 4.79
Inception (11/18/91) through 8/31/98 6.79 5.21
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
MORTGAGE BACKED INVESTMENTS
VS.
LEHMAN BROTHERS MORTGAGE BACKED SECURITIES INDEX AND LIPPER U.S. MORTGAGE FUND
AVERAGE
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1998
(UNAUDITED)
Mortgage Backed Mortgage Backed Lehman Brothers Lipper U.S.
Investments Investments Mortgage Backed Mortgage Fund
(With Trak Fee) (Without Trak Fee) Securities Index Average
--------------- ------------------ ---------------- -------------
11/18/91 10,000 10,000 10,000 10,000
8/31/92 10,631 10,756 10,750 10,788
8/31/93 11,172 11,474 11,543 11,721
8/31/94 10,985 11,452 11,586 11,344
8/31/95 11,900 12,593 12,855 12,419
8/31/96 12,235 13,142 13,494 12,902
8/31/97 13,221 14,416 14,909 14,128
8/31/98 14,116 15,623 17,585 15,284
- --------------------------------------------------------------------------------
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.
167
<PAGE>
PORTFOLIO HIGHLIGHTS--MORTGAGE BACKED INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
MORTGAGE BACKED INVESTMENTS
VS.
LEHMAN BROTHERS MORTGAGE BACKED SECURITIES INDEX AND LIPPER U.S. MORTGAGE FUND
AVERAGE
AUGUST 31, 1995 THROUGH AUGUST 31, 1998
(UNAUDITED)
Mortgage Backed Mortgage Backed Lehman Brothers Lipper U.S.
Investments* Investments* Mortgage Backed Mortgage Fund
(With Trak Fee) (Without Trak Fee) Securities Index Average
--------------- ------------------ ---------------- -------------
8/95 10,000 10,000 10,000 10,000
8/96 10,282 10,437 10,497 10,389
8/97 11,110 11,448 11,598 11,376
8/98 11,862 12,406 13,680 12,308
- --------------------------------------------------------------------------------
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.
168
<PAGE>
PORTFOLIO HIGHLIGHTS--BALANCED INVESTMENTS AS OF AUGUST 31, 1998
For the year ended August 31, 1998, Balanced Investments ("Portfolio") had a
negative total return of 2.85%. The Portfolio's benchmarks, 50% of Lehman
Brothers Government/Corporate Bond Index and 50% of the Standard & Poor's 500
Index had a total return of 10.37%.
The Portfolio is sub-advised by Palley-Needleman Asset Management ("Palley-
Needleman"). The portfolio was invested approximately 72% in equities and 28%
in fixed income and cash during the year. It was a year that saw the U.S.
equity market reach historic highs. However, the new highs were immediately
followed by a six week market plunge capped by one of history's largest one day
declines. Palley-Needelman focuses its fixed income investing in the short-to-
intermediate sector of the market in an attempt to maximize performance and
quality while minimizing volatility and risk.
Consumer spending was the engine driving the economy this past year. This was
clearly reflected in the various sector performance numbers. The best
performing industries were retail stores, drugs and telephones. All three
groups were up between 35% and 50% for the year. As a conservative, large cap
value manager, Palley-Needelman was precluded from investing in many of the
high P/E stocks driving these market sectors.
The Portfolio's equity holdings have been punished in this recent market
sell-off, however Palley-Needleman believes that with their long-term view this
down-turn has created opportunities. Going forward, Palley-Needleman will
continue to seek out undervalued large-cap stocks with identifiable catalysts
to give our investors a highly competitive return in up markets and superior
returns in flat or down markets. With respect to fixed income, Palley-Needleman
will continue to employ a targeted fixed income duration.
169
<PAGE>
PORTFOLIO HIGHLIGHTS--BALANCED INVESTMENTS
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED INVESTMENTS WITHOUT TRAK FEE+ WITH TRAK FEE+
-------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/98 (2.85)% (4.30)%
Three Years Ended 8/31/98 11.63 9.97
Five Years Ended 8/31/98 10.39 8.75
Inception (2/16/93) through 8/31/98 10.55 8.91
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
BALANCED INVESTMENTS
VS.
LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX
AND STANDARD & POOR'S 500 INDEX
FEBRUARY 16, 1993 THROUGH AUGUST 31, 1998
(UNAUDITED)
Balanced Balanced Lehman Brothers Standard
Investments* Investments* Gov't./Corp & Poor's 500
(With Trak Fee) (Without Trak Fee) Bond Index Index
--------------- ------------------ ---------------- ------------
- -
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
8/31/98 16,045 17,431 14,704 24,512
- --------------------------------------------------------------------------------
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.
170
<PAGE>
PORTFOLIO HIGHLIGHTS--BALANCED INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
BALANCED INVESTMENTS
VS.
LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX
AND STANDARD & POOR'S 500 INDEX
AUGUST 31, 1995 THROUGH AUGUST 31, 1998
(UNAUDITED)
Balanced Balanced Lehman Brothers Standard &
Investments* Investments* Gov't./Corp Poor's 500
(With Trak Fee) (Without Trak Fee) Bond Index Index
------------- ---------------- ---------- -----
8/31/95 10,000 10,000 10,000 10,000
8/96 11,191 11,360 10,371 11,872
8/97 13,896 14,318 11,390 16,696
8/31/98 13,300 13,910 12,691 18,051
- --------------------------------------------------------------------------------
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.
171
<PAGE>
PORTFOLIO HIGHLIGHTS--LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS AS OF
AUGUST 31, 1998
For the year ended August 31, 1998, Large Capitalization Value Equity
Investments ("Portfolio") had a total return of 0.03% versus 3.89% for the
Russell 1000 Value Index, the Portfolio's benchmark.
Parametric Portfolio Associates ("PPA"), which advises approximately 80% of
the Portfolio's assets uses a quantitative investment approach which maintains
risk characteristics and economic sector weights similar to that of the Russell
1000 Value Index. The period under review includes recent months when the stock
market came under extreme selling pressure brought on by global financial
turmoil. PPA's allocation benefited from a 20% allocation to utility stocks and
also positive stock selection in health care, retail and transportation.
Financial services performed well during the first half of the fiscal year but
near the Portfolio's fiscal year-end experienced a steep decline.
The Boston Company Asset Management ("Boston Company") which advises
approximately 20% of the Portfolio's assets, seeks total return consisting of
capital appreciation and dividend income by investing primarily in a
diversified portfolio of highly liquid common stocks that have above-average
price appreciation potential at the time of purchase. Boston Company, with
their long-term view of investing has used the recent market sell off to take
advantage of instances where high quality stocks have been unfairly punished.
One area where Boston Company has a significant holding is the finance sector.
The weakness in Southeast Asia and the volatility of the financial markets
reduced the near-term earnings of these firms. Although these holdings have
declined significantly, the advisor believes these institutions have the
financial strength and reserves to easily come through the current challenging
times. Boston Company remained fully invested in the recent sell off and will
remain so going forward.
Going forward, PPA will continue the use of risk controls which mirror the
Russell 1000 Value Index. Boston Company will continue to adhere to its
discipline while keeping an eye on the underlying business momentum which over
the long term has rewarded our investors with superior returns.
172
<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 8/31/98 0.03% (1.44)%
Three Years Ended 8/31/98 16.85 15.12
Five Years Ended 8/31/98 13.59 11.91
Inception (11/18/91) through 8/31/98 12.80 11.13
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
VS.
RUSSELL 1000 VALUE INDEX AND LIPPER GROWTH AND INCOME FUND AVERAGE
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1998
(UNAUDITED)
Large Capitalization Large Capitalization Lipper
Value Equity Value Equity Russell 1000 Growth &
Investments* Investments* Value Income
(With Trak Fee) (Without Trak Fee) Index Fund Average
----------------- ------------------- ---------------- ------------
- -
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 22,646 29,327 24,740
8/31/98 20,466 22,653 30,470 24,407
- --------------------------------------------------------------------------------
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.
173
<PAGE>
PORTFOLIO HIGHLIGHTS--LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
(CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
VS.
RUSSELL 1000 VALUE INDEX AND LIPPER GROWTH AND INCOME FUND AVERAGE
AUGUST 31, 1995 THROUGH AUGUST 31, 1998
(UNAUDITED)
Large Capitalization Large Capitalization
Value Equity Value Equity Russell 1000 Lipper Growth
Investments* Investments* Value & Income
(With Trak Fee) (Without Trak Fee) Index Fund Average
--------------- ------------------ ---------------- ------------
- -
8/31/95 10,000 10,000 10,000 10,000
8/96 11,304 11,475 11,754 11,280
8/97 15,478 15,948 16,401 15,213
8/31/98 15,255 15,953 17,041 15,008
- --------------------------------------------------------------------------------
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.
174
<PAGE>
PORTFOLIO HIGHLIGHTS--LARGE CAPITALIZATION GROWTH INVESTMENTS AS OF AUGUST 31,
1998
For the year ended August 31, 1998, Large Capitalization Growth Investments
("Portfolio") had a total return of 7.81% versus 8.26% for the Russell 1000
Growth Index, the Portfolio's benchmark.
Provident Investment Counsel Inc. ("Provident"), which advises approximately
20% of the Portfolio's assets, outperformed their benchmark. This was
attributable to their emphasis on high-quality growth stocks with a focus on
domestic oriented investments that do not rely heavily on foreign sales.
Provident's portion of the assets were rewarded as global volatility and
slowing corporate earnings hurt the largest multinational firms. With the
continued strength of consumer spending, Provident remains overweight to the
retail sector. Lastly, Provident has also been overweight in health technology
due to the industry's proprietary nature and strong product pipelines of the
major drug companies.
In April 1998, Barclays Global Fund Advisors ("BGFA") was retained by
Consulting Group, the Portfolio's manager to advise the remaining 80% of the
Portfolio's assets. BGFA replaced Panagora Asset Management Inc. which was
removed in a consolidation effort by Consulting Group to gain economies of
scale and a lower advisory fee.
Going forward, BGFA 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 modestly priced
relative to their growth rates.
175
<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 8/31/98 7.81% 6.22%
Three Years Ended 8/31/98 18.72 16.95
Five Years Ended 8/31/98 15.96 14.23
Inception (11/18/91) through 8/31/98 14.85 13.14
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
LARGE CAPITALIZATION GROWTH INVESTMENTS
VS.
RUSSELL 1000 GROWTH INDEX AND LIPPER GROWTH FUND AVERAGE
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1998
(UNAUDITED)
Large Capitalization Large Capitalization
Growth Investments* Growth Investments* Russell 1000 Lipper Growth
(With Trak Fee) (Without Trak Fee) Growth Index Fund Average
------------------- -------------------- ------------ -------------
11/31/91 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
8/31/98 23,123 25,600 28,361 24,006
- --------------------------------------------------------------------------------
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.
176
<PAGE>
PORTFOLIO HIGHLIGHTS--LARGE CAPITALIZATION GROWTH INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
LARGE CAPITALIZATION GROWTH INVESTMENTS
VS.
RUSSELL 1000 GROWTH INDEX AND LIPPER GROWTH FUND AVERAGE
AUGUST 31, 1995 THROUGH AUGUST 31, 1998
(UNAUDITED)
Large Capitalization Large Capitalization
Growth Investments* Growth Investments* Russell 1000 Lipper Growth
(With Trak Fee) (Without Trak Fee) Growth Index Fund Average
------------------- -------------------- ------------ -------------
8/31/95 10,000 10,000 10,000 10,000
8/96 11,121 11,289 11,838 11,280
8/97 15,062 15,519 16,499 15,066
8/31/98 15,998 16,732 17,861 14,762
- --------------------------------------------------------------------------------
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.
177
<PAGE>
PORTFOLIO HIGHLIGHTS--SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS AS OF
AUGUST 31, 1998
For the year ended August 31, 1998, Small Capitalization Value Equity
Investments ("Portfolio") had a negative total return of 12.84% versus a
negative 11.96% for the Russell 2000 Value Index, the Portfolio's benchmark.
The Portfolio is 50% advised by Mellon Capital Management Corp. ("MCM") which
is a full replication of the Russell 2000 Value. NFJ Investment Group ("NFJ")
and David L. Babson & Co., Inc. ("DLB") advised the remaining 50% of the
Portfolio's assets.
The decline in the small capitalization sector of the market continued
through this reporting period. The emerging markets crisis, which began in Asia
over a year ago and has spread to Russia, seems poised to over take Latin
America. If Latin America were to be overcome by the crisis, the threat to the
U.S. economy becomes much greater. As these events have unfolded the market has
pulled back in dramatic fashion. The selling pressure has been fairly
indiscriminate and even companies with improving fundamentals have been sold
off.
NFJ maintains a concentrated portfolio of approximately 110 names. Stock
selection is made from industries on the basis of below median industry
valuation, dividend yield, capitalization size and internal NFJ quality
parameters. In general, selected securities are characterized as having below
average price earnings ratios and a small number of shares outstanding relative
to the stock market in general and below average industry average.
DLB began advising their portion of the small capitalization value equity
portfolio on April 1, 1998. From April through August 1998, DLB maintained a
concentrated portfolio of approximately 45 stocks. Stock selection is driven by
rigorous fundamental research seeking out superior companies which are
currently neglected and attractively valued, yet possess an internal catalyst
that will enable earnings to grow faster than expected which will boost the
value of the stock price.
In April 1998, MCM was retained by Consulting Group, the Portfolio's manager
to advise 50% of the Portfolio's assets. MCM replaced Barclays Fund Advisors in
a consolidation effort by Consulting Group to gain economies of scale and a
lower advisory fee.
Going forward, DLB intends to increase its positions in superior companies
with solid near term prospects but whose stocks are selling at depressed
valuations. They remains convinced that small-cap stocks currently represent
the best value in the domestic equity market. NFJ intends to maintain a fully
invested position and remains optimistic about the valuation and upward trend
of small capitalization issues. MCM will maintain a highly diversified
portfolio of stocks in order to fully replicate the Russell 2000 Value Index.
178
<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 8/31/98 (12.84)% (14.13)%
Three Years Ended 8/31/98 11.76 10.11
Five Years Ended 8/31/98 8.72 7.10
Inception (11/18/91) through 8/31/98 9.98 8.34
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
VS.
RUSSELL 2000 VALUE INDEX AND LIPPER SMALL COMPANY FUND AVERAGE
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1998
(UNAUDITED)
Small Capitalization Small Capitalization
Value Equity Value Equity Lipper Small
Investments* Investments* Russell 2000 Company
(With Trak Fee) (Without Trak Fee) Value Index Fund Average
------------------- -------------------- ------------ -------------
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
8/97 20,063 21,880 31,160 27,238
8/31/98 17,229 19,071 27,434 21,944
- --------------------------------------------------------------------------------
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.
179
<PAGE>
PORTFOLIO HIGHLIGHTS--SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
(CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
VS.
RUSSELL 2000 VALUE INDEX AND LIPPER SMALL COMPANY FUND AVERAGE
AUGUST 31, 1995 THROUGH AUGUST 31, 1998
(UNAUDITED)
Small Capitalization Small Capitalization
Value Equity Value Equity Lipper Small
Investments* Investments* Russell 2000 Company
(With Trak Fee) (Without Trak Fee) Value Index Fund Average
------------------- -------------------- ------------ -------------
8/31/95 10,000 10,000 10,000 10,000
8/96 11,080 11,248 11,212 11,581
8/97 15,544 16,017 15,394 14,736
8/31/98 13,349 13,960 13,554 11,872
- --------------------------------------------------------------------------------
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.
180
<PAGE>
PORTFOLIO HIGHLIGHTS--SMALL CAPITALIZATION GROWTH INVESTMENTS AS OF AUGUST 31,
1998
For the year ended August 31, 1998, Small Capitalization Growth Investments
("Portfolio") had a negative total return of 25.10% versus a negative 26.31%
for the Russell 2000 Growth Index, the Portfolio's benchmark.
The Portfolio is 50% advised by Mellon Capital Management Corp. ("MCM") which
is a full replication of the Russell 2000 Growth Index. The remaining portion
of the Portfolio is advised by Berger Associates, Inc., Wall Street Associates,
Montgomery Asset Management, LLC and Westpeak Investment Advisors, L.P.
("Active Advisors").
The fiscal year ended August 31, 1998, was a particularly difficult period
for smaller capitalization stocks, which investors have shunned in favor of the
more liquid large-cap securities. The liquidity effect was particularly harmful
to the Portfolio in the fourth quarter of 1997. There have been very few places
a small capitalization growth investor could hide. The aggressive nature of the
investments, coupled with the Active Advisors attempt to ride out the storm in
their core holdings, increased the volatility of the Portfolio.
For the past five quarters the profit growth of small-cap stocks has been
superior to the profit growth of larger companies. Yet, in spite of strong
fundamentals, the stock returns of smaller companies continue to underperform
the returns of larger companies. Stock selection in the consumer discretionary
and technology sectors added value to Portfolio returns. During the reporting
period, the Active Advisors in general remained fully invested concentrating on
their specific areas of expertise. The Active Advisors maintained a highly
selective portfolio of stocks by focusing on investments in "emerging growth
companies" that are believed to be undervalued in the market place and have
earnings that are expected to grow faster than the economy.
Going forward, the Portfolio's allocation will be 50% active and 50% passive.
MCM will continue to manage it portion of the assets as a full replication of
the Russell 2000 Growth Index. The Active Advisors will continue to seek out
small capitalization emerging growth companies.
181
<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 8/31/98 (25.10)% (26.21)%
Three Years Ended 8/31/98 2.22 0.71
Five Years Ended 8/31/98 10.82 9.17
Inception (11/18/91) through 8/31/98 13.35 11.67
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
SMALL CAPITALIZATION GROWTH INVESTMENTS
VS.
RUSSELL 2000 GROWTH INDEX AND LIPPER SMALL COMPANY FUND AVERAGE
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1998
(UNAUDITED)
Small Capitalization Small Capitalization
Growth Equity Growth Equity Lipper Small
Investments* Investments* Russell 2000 Company
(With Trak Fee) (Without Trak Fee) Value Index Fund Average
-------------------- -------------------- ------------ -------------
11/31/91 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
8/97 28,672 31,265 21,678 24,545
8/31/98 21,157 23,418 15,974 19,775
- --------------------------------------------------------------------------------
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.
182
<PAGE>
PORTFOLIO HIGHLIGHTS--SMALL CAPITALIZATION GROWTH INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
SMALL CAPITALIZATION GROWTH INVESTMENTS
VS.
RUSSELL 2000 GROWTH INDEX AND LIPPER SMALL COMPANY FUND AVERAGE
AUGUST 31, 1995 THROUGH AUGUST 31, 1998
(UNAUDITED)
Small Capitalization Small Capitalization Lipper Small
Growth Investments* Growth Investments* Russell 2000 Company
(With Trak Fee) (Without Trak Fee) Growth Index Fund Average
-------------------- -------------------- ------------ -------------
8/31/95 10,000 10,000 10,000 10,000
8/96 11,954 12,133 10,929 11,581
8/97 13,842 14,259 13,118 14,736
8/31/98 10,214 10,681 9,666 11,872
- --------------------------------------------------------------------------------
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.
183
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERNATIONAL EQUITY INVESTMENTS AS OF AUGUST 31, 1998
For the year ended August 31, 1998, International Equity Investments
("Portfolio") had a total return of 3.53% versus a negative 0.15% for the
Morgan Stanley Capital International Europe Australia Far East Index, ("EAFE
Index") the Portfolio's benchmark. The EAFE Index is a market value weighted
average of the performance of over 1,000 foreign common stocks and includes
reinvestment of dividends.
State Street Global Advisors ("SSGA") advises approximately 60% of the
Portfolio's assets as a full replication of the EAFE Index. Oechsle
International Advisors, LLC ("Oechsle") which advises approximately 40% of the
Portfolio's asset outperformed the EAFE Index. Over this one year period,
country allocation and stock selection had a positive impact on the Portfolio.
The Portfolio was heavily overweighted in continental Europe and significantly
underweighted in Southeast Asia, which had a dramatic impact on overall
performance. The Portfolio had overweight positions in France, Spain, Italy and
the Netherlands. The French market benefited from a long awaited recovery in
economic growth combined with a new corporate culture focused on restructuring
and shareholder value. Italy and Spain continued to rally throughout the year
as they were the prime beneficiaries of EMU convergence. In Asia, the Portfolio
has continued to scale back its exposure. The crisis, which began in July 1997
in Thailand, spread throughout the region as the regional asset bubble
continued to be deflated. Oechsle reduced their allocation to Japan
substantially in February 1998 after the market had a 20% plus rally on hopes
that the monetary authorities would come up with a credible stimulus plan to
revive the failing economy. These hopes were quickly dashed as political
infighting made it evident that government officials still didn't comprehend
the magnitude of their economic problems.
Looking back a lot has happened over the past year. In Asia, events continued
to worsen. The Asian contagion has now spread to European, U.S. and Latin
American markets with global growth expectations being revised downward.
Corporate earnings have disappointed recently as the slower economic
environment has dampened top-line growth. Despite international pressure for a
major overhaul, Japan is still dragging its feet on its bank bailout plan and a
stimulus package. Concerns about China devaluing its currency puts pressure on
Hong Kong and emerging markets in general. The crisis in Russia has also had a
negative impact on markets. Oechsle continue to be overweight in Europe, and
underweight in Japan and Asia/Pacific.
Going forward, Oechsle remains positive about international equity markets
with a watchful eye towards positive developments in Japan and stability in
markets. In general the crisis is going to take some time to be absorbed by the
markets. Oechsle will monitor the situation and continue looking for
opportunities to buy companies at attractive prices. Going forward, SSGA will
continue to manage their portion of the Portfolio's assets as a full
replication of the EAFE Index.
184
<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 8/31/98 3.53% 1.99%
Three Years Ended 8/31/98 5.73 4.16
Five Years Ended 8/31/98 6.62 5.03
Inception (11/18/91) through 8/31/98 7.69 6.09
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
INTERNATIONAL EQUITY INVESTMENTS
VS.
MORGAN STANLEY CAPITAL INTERNATIONAL EAFE-GDP WEIGHTED INDEX
AND MORGAN STANLEY CAPITAL INTERNATIONAL EAFE-CAPITALIZATION WEIGHTED INDEX
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1998
(UNAUDITED)
International International
Equity Equity MSCI MSCI
Investments* Investments* EAFE-GDP EAFE-Capitalization
(With Trak Fee) (Without Trak Fee) Weighted Index Weighted Index
--------------- ------------------ --------------- -------------------
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
8/31/98 14,934 16,533 19,016 16,467
- --------------------------------------------------------------------------------
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.
185
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERNATIONAL EQUITY INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
INTERNATIONAL EQUITY INVESTMENTS
VS.
MORGAN STANLEY CAPITAL INTERNATIONAL EAFE-GDP WEIGHTED INDEX
AND MORGAN STANLEY CAPITAL INTERNATIONAL EAFE-CAPITALIZATION WEIGHTED INDEX
AUGUST 31, 1995 THROUGH AUGUST 31, 1998
(UNAUDITED)
International International
Equity Equity MSCI MSCI
Investments* Investments* EAFE-GDP EAFE-Capitalization
(With Trak Fee) (Without Trak Fee) Weighted Index Weighted Index
--------------- ------------------ --------------- -------------------
8/31/95 10,000 10,000 10,000 10,000
8/96 10,268 10,423 10,724 10,804
8/97 11,081 11,417 11,984 11,783
8/31/98 11,301 11,821 12,793 11,766
- --------------------------------------------------------------------------------
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.
186
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERNATIONAL FIXED INCOME INVESTMENTS AS OF AUGUST 31,
1998
For the year ended August 31, 1998, International Fixed Income Investments
("Portfolio") had a total return of 10.45% versus 6.08% for the Salomon
Brothers Non-US Government Bond Index, the Portfolio's benchmark.
The Portfolio is advised by Julius Baer Investment Management Inc. ("Julius
Baer"). During the period under review the Portfolio benefited from Julius
Baer's positive outlook for bonds and thereby structuring the Portfolio to take
advantage of low inflation and low interest rate environment. Contraction of
many emerging market economies has dampened expectations for worldwide growth
in 1998. Inflation seems to have almost disappeared and interest rates have
moved lower in Europe and Japan. Currency devaluations in Asia and a default on
international debt repayment in Russia has shaken markets considerably.
Deflation is feared more than ever and investors have responded to all of this
by seeking safety in high-quality bonds and driving bond prices higher.
The Portfolio maintains a large allocation to high-quality bonds issued by
European governments, beneficiaries of the "flight to safety". The outlook is
for economies to keep slowing, inflation to be unnoticeable and interest rates
to fall further. It is expected that the new Euro will put pressure on the US
dollar in 1999 so it is anticipated that currency positions for the most part
will remain unhedged. Lastly, Julius Baer is not confident that Japan can solve
its economic problems so the Portfolio will remain free of both its bonds and
the currency.
187
<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 8/31/98 10.45% 8.81%
Three Years Ended 8/31/98 6.82 5.24
Five Years Ended 8/31/98 7.69 6.10
Inception (11/18/91) through 8/31/98 8.98 7.37
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
INTERNATIONAL FIXED INCOME INVESTMENTS
VS.
SALOMON BROTHERS NON-U.S. GOVERNMENT BOND INDEX
NOVEMBER 18, 1991 THROUGH AUGUST 31, 1998
(UNAUDITED)
International International Salomon Brothers
Fixed Income Fixed Income Non-U.S.
Investments Investments Gov't.
(With Trak Fee) (Without Trak Fee) Bond Index
--------------- ------------------ ----------------
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 18,637
8/97 14,892 16,235 18,004
8/31/98 16,205 17,932 19,098
- --------------------------------------------------------------------------------
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.
188
<PAGE>
PORTFOLIO HIGHLIGHTS--INTERNATIONAL FIXED INCOME INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
INTERNATIONAL FIXED INCOME INVESTMENTS
VS.
SALOMON BROTHERS NON-U.S. GOVERNMENT BOND INDEX
AUGUST 31, 1995 THROUGH AUGUST 31, 1998
(UNAUDITED)
International International Salomon Brothers
Fixed Income Fixed Income Non-U.S.
Investments/*/ Investments/*/ Government
(With Trak Fee) (Without Trak Fee) Bond Index
--------------- ------------------ ----------------
8/95 10,000 10,000 10,000
8/96 11,039 11,205 12,062
8/97 10,711 11,035 11,652
8/98 11,655 12,188 12,361
- --------------------------------------------------------------------------------
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.
189
<PAGE>
PORTFOLIO HIGHLIGHTS--EMERGING MARKETS EQUITY INVESTMENTS AS OF AUGUST 31,
1998
For the year ended August 31, 1998, Emerging Markets Equity Investments
("Portfolio") had a negative total return of 49.49% versus a negative 49.56%
for the Morgan Stanley Emerging Markets Free Index, ("Emerging Free Index") the
Portfolio's benchmark. The Emerging Free Index is a composite portfolio
consisting of equity returns for countries with low to middle per capita income
as determined by the World Bank.
The Portfolio has undergone changes with respect to its advisors. Effective
July 15, 1998 State Street Global Advisors began investment operations and
effective August 3, 1998 Baring Asset Management began investment operations.
The Portfolio is 80% advised by AIB Govett Inc., and the remaining assets are
advised by State Street Global Advisors ("SSGA") and Baring Asset Management,
Inc. ("Baring") with each advising approximately 10% each.
The summer months proved far from restful for financial markets around the
world. Global emerging markets had already experienced a tough year; However,
the unravelling of events in Russia resulting in both a debt moratorium,
devaluation of the currency and political uncertainty, triggered a sharp
erosion of risk tolerance and resulted in further falling share prices. In this
challenging environment the strategy has been to focus on companies that are
able to add value to their products and that have pricing power with their
customers.
From an asset allocation perspective, the Portfolio found relative safe
havens in India and Israel where the Advisors have identified positive macro
and micro fundamentals and can find attractive well managed companies that add
value for shareholders. Despite better export performances in Asia, the
domestic economies are facing sharp contraction and the listed companies are
highly geared to the performance of the latter. Latin America is buffeted by
the twin problems of weak commodity prices and high real interest rates.
Consequently the growth outlook for the region is in the process of being
downgraded. The Advisors regard the telecommunication stocks that dominate the
major markets as a relatively defensive investment for the next three to six
months.
The Advisors have a watchful eye towards positive developments but, in
general, the crisis is going to take some time to be absorbed by the markets.
For those prepared to bear short-term volatility, current valuation levels
represent a significant opportunity to purchase long term growth companies at
fire sale prices.
190
<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 8/31/98 (49.49)% (50.23)%
Three Years Ended 8/31/98 (15.61) (16.87)
Inception (4/21/94) through 8/31/98 (10.87) (12.19)
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
EMERGING MARKETS EQUITY INVESTMENTS
VS.
MORGAN STANLEY CAPITAL INTERNATIONAL EMERGING MARKETS FREE INDEX
APRIL 20, 1994 THROUGH AUGUST 31, 1998
(UNAUDITED)
Emerging Markets Emerging Markets MSCI Emerging
Equity Investments* Equity Investments* Markets
(With Trak Fee) (Without Trak Fee) Free Index
----------------- ------------------ ---------------
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
8/97 11,387 11,978 10,899
8/31/98 5,667 6,050 5,421
- --------------------------------------------------------------------------------
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.
191
<PAGE>
PORTFOLIO HIGHLIGHTS--EMERGING MARKETS EQUITY INVESTMENTS (CONTINUED)
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
EMERGING MARKETS EQUITY INVESTMENTS
VS.
MORGAN STANLEY CAPITAL INTERNATIONAL EMERGING MARKETS FREE INDEX
AUGUST 31, 1995 THROUGH AUGUST 31, 1998
(UNAUDITED)
Emerging Markets Emerging Markets MSCI Emerging
Equity Investments* Equity Investments* Markets Free
(With Trak Fee) (Without Trak Fee) Index
----------------- ------------------ ---------------
8/31/95 10,000 10,000 10,000
8/96 10,667 10,828 10,381
8/97 11,545 11,897 10,857
8/31/98 5,746 6,010 5,400
- --------------------------------------------------------------------------------
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.
192
<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, High
Yield 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, 1998, 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 four-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 the year 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, 1998, 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, 1998, 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 four-year period then ended, in conformity with generally accepted
accounting principles.
KPMG Peat Marwick LLP
New York, New York
October 15, 1998
193
<PAGE>
TAX INFORMATION (UNAUDITED)
The following August 31, 1998 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>
<CAPTION>
28% 20%
------------ ------------
<S> <C> <C>
Balanced Investments.............................. $ 1,222,700 $ 2,283,163
Large Capitalization Value Equity Investments..... 129,814,565 104,465,466
Large Capitalization Growth Investments........... 57,864,113 39,482,508
Small Capitalization Value Equity Investments..... 26,582,363 39,973,378
Small Capitalization Growth Investments........... 18,319,421 45,613,982
International Equity Investments.................. 4,963,754 2,295,142
International Fixed Income Investments............ 806,841 1,874,029
Emerging Markets Equity Investments............... 715,430 4,228,217
</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.................................................. 49.73%
Large Capitalization Value Equity Investments......................... 44.25
Large Capitalization Growth Investments............................... 77.81
Small Capitalization Value Equity Investments......................... 32.05
</TABLE>
The total foreign sourced income received by International Equity Investments
and Emerging Markets Equity Investments, respectively, are $0.1992 per share
(or a total amount of $24,798,568) and $0.11 per share (or a total amount of
$5,575,023). The total amounts of foreign taxes paid, again respectively, are
$0.0234 per share (or a total amount of $2,911,180) and $0.0063 per share (or a
total amount of $332,450).
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.......................................... 17.29%
Intermediate Fixed Income Investments................................. 31.94
Long-Term Bond Investments............................................ 44.63
Balanced Investments.................................................. 21.94
</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.
194
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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 A CURRENT PROSPECTUS FOR THE TRUST WHICH CONTAINS
INFORMATION CONCERNING THE TRUST'S INVESTMENT POLICIES, CHARGES AND EXPENSES AS
WELL AS OTHER PERTINENT INFORMATION.
TK 2120, 10/98 CONSULTING GROUP CAPITAL MARKETS FUNDS . 222
