<PAGE>
TRAK(R)
----------------------------------------
Personalized Investment Advisory Service
CONSULTING GROUP
CAPITAL
MARKETS FUNDS
Semi-Annual Report
February 28, 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
Intermediate Fixed Income Investments..................................... 5
Long-Term Bond Investments................................................ 9
Municipal Bond Investments................................................ 11
Mortgage Backed Investments............................................... 14
Balanced Investments...................................................... 16
Large Capitalization Value Equity Investments............................. 19
Large Capitalization Growth Investments................................... 27
Small Capitalization Value Equity Investments............................. 40
Small Capitalization Growth Investments................................... 63
International Equity Investments.......................................... 87
International Fixed Income Investments.................................... 110
Emerging Markets Equity Investments....................................... 112
Statements of Assets and Liabilities........................................ 118
Statements of Operations.................................................... 120
Statements of Changes in Net Assets......................................... 122
Notes to Financial Statements............................................... 126
Financial Highlights........................................................ 139
</TABLE>
1
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
Dear Shareholder:
MARKET OVERVIEW
The U.S. stock market continued to record outstanding returns in the recently
completed fiscal period. Inflation remained virtually non-existent. Corporate
profits continued to swell. Interest rates dropped, and consumer and investor
enthusiasm remained energized.
In the six-and 12-month periods ended February 28, 1998, the S&P 500 Index,
which is one of the most widely watched barometers of the stock market's
performance, returned 17.6% and 35.0%, respectively. Gains were registered in
the four major investment style segments: large- and small-company stocks and
value and growth stocks.
The bond market also recorded above-average returns. The Lehman Brothers
Government/Corporate Bond Index, which measures the performance of a broad mix
of government and corporate fixed income securities, returned 6.1% in the six
months ended February 28, 1998. In the 12 months ending February 28, 1998 the
return was 10.7%.
Meanwhile, the performance of foreign investments lagged. Overseas stock
markets declined due to a currency and economic crisis that rolled through
Asia. In the six- and 12-month periods ending February 28, 1998, the Morgan
Stanley Capital International Europe Australia Far East Index returned 8.3% and
15.5%, respectively. Returns would have been higher had the U.S. dollar not
continued to rise in value.
The crumbling in the value of numerous Asian currencies revealed serious
problems with the economics of less developed and third world countries,
particularly in Southeast Asia and Korea. Steep declines in the stock markets
of these countries followed. The Morgan Stanley Emerging Markets Free Index
lost 15.7% over the past six months and 19.1% over the past 12 months.
CONSULTING GROUP CAPITAL MARKETS FUNDS (THE "PORTFOLIOS")
The Portfolios that comprise the Consulting Group Capital Markets Funds
generally performed in line with their respective market benchmarks for the
six- and 12-month periods recently completed. Twelve of the 13 Portfolios
recorded positive returns in both periods. Only the Emerging Markets Equity
Investments portfolio -- which was rocked by the Asian currency and economic
crisis -- registered losses of 15.7% for the six months and 18.2% for the 12
months ending February 28, 1998.
The top-performing Portfolio during the past six months was Large
Capitalization Growth Investments, which posted a 17.2% return. Among large
companies, growth stocks, which are the stocks of companies whose earnings are
expected to grow at a rapid pace, have generally outperformed their value stock
counterparts.
Meanwhile, on a 12-month basis, the top-performing Portfolio was Small
Capitalization Value Equity Investments, which posted a 37.2% return. Unlike
large-company stocks, value stocks have generally outperformed growth stocks
among small-company stocks during the most recent 6-month and 1-year periods.
ASSET ALLOCATION CHANGES
One of the essential services provided to clients of the TRAK Personalized
Investment Advisory Service is the Consulting Group's asset allocation
recommendations. Charged with making these recommendations is the Consulting
Group Asset Allocation Committee ("Committee"). The Committee meets on a
monthly basis or more, depending on developments in the financial markets, to
review market conditions and determine if its allocation advice requires
revision. These recommendations are an important part of the TRAK Personalized
Investment Advisory Service.
Over the past six months, the Committee recommended the following asset
allocation changes:
. In October 1997, the Committee recommended that clients shift a portion
of their assets from the Large Capitalization Growth Investments
portfolio to the Small Capitalization Growth Investments portfolio. The
recommended reallocation ranged from 5% to 15%, depending on the
relevant risk profile of each investor, from conservative to aggressive,
respectively. The recommendation specifically advised investors to shift
an equal amount from one portfolio to the other. The reallocation
eliminated an underweight position in small-company stocks and adjusted
portfolios to an increasingly neutral mix of large- and small-company
stocks.
. In January 1998, the Committee recommended reducing exposure to long-
term bonds in favor of intermediate-term bonds. This change was in
response to a flattening of the U.S. Treasury yield curve, specifically
a narrowing of the difference in yields between long-term and short-term
interest rates. The risk-to-reward ratio from intermediate-term notes
became increasingly attractive compared to long-term bonds.
2
<PAGE>
. In March 1998, the Committee recommended that clients shift 5% of their
holdings from the Government Money Investments Portfolio to the Emerging
Markets Equity Investments Portfolio for clients having aggressive
portfolios. This change was based on improved valuation for emerging
markets, increased global liquidity due to easing U.S. monetary
conditions, an optimistic environment for currency returns and investor
confidence factors reflecting attractive opportunities in these markets.
PORTFOLIO MANAGEMENT DEVELOPMENTS
In light of our recent asset allocation recommendations, we determined it
was also necessary to increase the number of small-company stock investment
advisors managing assets for the Consulting Group Capital Markets Funds.
Finding highly qualified small-company stock managers with a long track record
of experience is a difficult undertaking. Compounding the difficulty is the
fact that many small-cap management firms limit the total amount of assets
that they manage.
On March 18, 1998 we approved the hiring of David L. Babson & Co. Inc.
("Babson") as an investment advisor for the Small Capitalization Value Equity
Investments portfolio. Babson is a 58-year old Cambridge, Massachusetts-based
management firm. Currently, approximately 50% of the Small Capitalization
Value Equity Investments portfolio's assets is managed under a small-cap value
index strategy and 50% is managed under a small-cap value active strategy.
Babson follows an active investment strategy and will manage 15% of the
overall portfolio's assets. The remaining 35% of the active component will
continue to be managed by NFJ Investment Group.
Also in March 1998 we hired Mellon Capital Management Corporation ("Mellon")
to oversee the management of the passive component of the Small Capitalization
Value Equity Investments portfolio. Mellon is also the investment advisor of
the passive portion of the Small Capitalization Growth Investments portfolio.
In retaining Mellon's services for both portfolios we have been able to trim
management costs. Mellon agreed to reduce its annual advisory fee to 0.06% of
portfolio assets for both portfolios. Prior to the change, advisory fees
totaled 0.12%.
Other investment advisor changes made in the recent fiscal period was the
retaining of two additional investment advisory firms to manage the assets of
the Small Capitalization Growth Investments portfolio. In November 1997, we
hired Westpeak Investment Advisors, L.P. The investment firm manages about
$2.5 billion in assets and has been a registered investment advisor for more
than six years. The Boulder, CO-based subsidiary of New England Investment
Companies will manage approximately 10% of the total assets of the portfolio.
Also, in November 1997, Montgomery Asset Management, LLC ("Montgomery") was
retained to co-manage the Small Capitalization Growth Investments portfolio.
Montgomery manages approximately $10 billion in assets and has been a
registered investment advisor for more than seven years. The San Francisco,
CA-based subsidiary of Commerzbank AG will manage approximately 10% of the
total assets of the portfolio.
We have also been able to reduce management fees associated with the Large
Capitalization Growth Investments portfolio when we replaced PanAgora Asset
Management Inc. ("PanAgora") with Barclays Global Investors. Barclay's agreed
to manage the portfolio for 0.02%, a reduction from the 0.05% fee paid to
PanAgora. Barclay's co-manages the portfolio with Provident Investment
Counsel.
We wish to thank you for the confidence you have shown the Consulting Group
and your Financial Consultant. As of February 28, 1998, the number of
investors in the TRAK Personalized Investment Advisory Service surpassed
225,000 and total shareholder assets reached $9.2 billion.
As always, if you should have any questions or comments about your TRAK
investments, your Smith Barney Financial Consultant remains ready to assist
you.
Sincerely,
/s/ Heath B. McLendon /s/ Frank L. Campanale
Heath B. McLendon Frank L. Campanale
Chairman of the Board of Trustees of Investment Officer of the Consulting
the Consulting Group Capital Markets Group Capital Markets Funds
Funds
April 15, 1998
3
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) FEBRUARY 28, 1998
GOVERNMENT MONEY INVESTMENTS
<TABLE>
<CAPTION>
FACE ANNUALIZED
AMOUNT SECURITY YIELD VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 96.2%
Federal Agricultural Mortgage Corp.
$ 8,700,000 mature 4/1/98 to 4/13/98........... 5.44% to 5.45% $ 8,652,972
Federal Farm Credit Bank mature
9,494,000 3/9/98 to 10/22/98................. 5.58 to 5.73 9,195,045
Federal Home Loan Bank mature
31,379,000 3/31/98 to 7/24/98................. 5.43 to 6.05 30,955,422
Federal Home Loan Mortgage Corp.
258,990,000 mature 3/5/98 to 7/13/98........... 5.38 to 5.71 257,708,077
Federal National Mortgage
Association mature 3/2/98 to
107,828,000 6/12/98............................ 5.45 to 5.72 107,210,169
Student Loan Mortgage Association
1,000,000 mature 3/3/98...................... 5.77 1,000,058
25,130,000 World Bank matures 5/8/98.......... 5.37 24,879,370
- -------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY
DISCOUNT NOTES
(Cost -- $439,601,113)............. 439,601,113
- -------------------------------------------------------------------------------
U.S. TREASURY NOTES -- 3.8%
U.S. Treasury Notes mature 8/31/98
17,447,000 to 11/30/98 (Cost -- $17,458,494).. 5.28 to 5.57 17,458,494
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$457,059,607**)................... $457,059,607
- -------------------------------------------------------------------------------
</TABLE>
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
U.S. Government Agency
Discount Notes 96.2%
U.S. Treasury Notes 3.8%
SEE NOTES TO FINANCIAL STATEMENTS.
4
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATINGS SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
CORPORATE BONDS & NOTES -- 39.5%
- -------------------------------------------------------------------------------
BANKING -- 7.5%
Advanta National Bank, Notes, 6.450% due
$ 2,125,000 BBB+ 10/30/00................................... $ 2,122,344
Anz Banking Group Ltd., Sub. Notes, 7.550%
1,500,000 A+ due 9/15/06................................ 1,623,750
Bank of Boston, Sub. Notes, 5.738% due
1,000,000 A- 8/28/98.................................... 1,000,540
Capital One Bank, Medium Term Notes, 6.740%
3,675,000 BBB- due 5/31/99................................ 3,693,375
Chase Manhattan Corp., Sub. Notes, 6.063%
2,000,000 A1* due 12/30/09............................... 1,945,000
Continental Bank N.A., Sub. Notes, 12.500%
2,425,000 A+ due 4/1/01................................. 2,858,469
First Interstate Bancorp, Sub. Capital
1,500,000 A2* Notes, 8.625% due 4/1/99................... 1,539,375
First National Bank of Boston, Notes,
2,000,000 A- 8.375% due 12/15/02........................ 2,172,500
First Security Corp., Notes, 7.000% due
2,325,000 Baa* 7/15/05.................................... 2,403,469
First USA Bank, Notes:
3,275,000 AA 6.375% due 10/23/00....................... 3,307,750
875,000 AA 5.850% due 2/22/01........................ 869,347
International Leasing Finance Corp., Notes,
1,075,000 NR 5.750% due 3/15/98......................... 1,075,000
1,325,000 BBB Markel Corp., Notes, 7.250% due 11/1/03.... 1,376,344
Merita Bank, Sub. Notes, 7.500% due
2,350,000 A3* 12/29/49+.................................. 2,437,679
Morgan Stanley Group, Inc., Notes:
1,100,000 A+ 9.250% due 3/1/98......................... 1,100,396
3,000,000 A+ 8.100% due 6/24/02........................ 3,225,000
St. Georges Bank, Notes, 7.150% due
500,000 A- 10/15/05+.................................. 518,630
Svenska Handelsbanken, Sub. Notes, 7.125%
3,000,000 A1* due 3/29/49+............................... 3,034,680
- -------------------------------------------------------------------------------
36,303,648
- -------------------------------------------------------------------------------
COMMUNICATIONS -- 1.3%
TCI Communications, Inc., Sr. Notes, 8.650%
3,800,000 BBB- due 9/15/04................................ 4,180,000
WorldCom, Inc., Sr. Notes, 9.375% due
2,026,000 BBB- 1/15/04.................................... 2,172,885
- -------------------------------------------------------------------------------
6,352,885
- -------------------------------------------------------------------------------
FINANCIAL SERVICES -- 19.7%
American Health Properties, Notes, 7.050%
2,500,000 BBB- due 1/15/02................................ 2,550,000
BanPonce Corp., Notes, 6.750% due
2,625,000 Baa1* 12/15/05................................... 2,680,781
Bear Stearns Cos., Inc., Notes, 6.750% due
1,675,000 A 8/15/00.................................... 1,706,406
Carramerica Realty Corp., Company
2,300,000 BBB Guaranteed, 7.200% due 7/1/04.............. 2,374,750
Chase Mortgage Securities Corp., 7.370% due
3,575,000 BBB 5/19/07.................................... 3,668,844
Chelsea GCA Realty Partnership, Notes,
2,300,000 BBB- 7.750% due 1/26/01......................... 2,354,625
CIT Group Holdings, Sr. Notes, 6.200% due
3,500,000 Aa3* 4/15/98.................................... 3,501,190
Colonial Realty LP, Notes, 6.960% due
2,350,000 BBB- 7/26/04.................................... 2,397,000
Conseco Inc., Sr. Notes, 8.125% due
2,750,000 BBB+ 2/15/03.................................... 2,921,875
CP Limited Partnership, Sr. Notes, 8.750%
750,000 A- due 3/2/00................................. 767,812
Evans Withycombe Residential Inc., Notes,
1,000,000 BBB+ 7.500% due 4/15/04......................... 1,050,000
Finova Capital Corp., Notes, 6.450% due
2,175,000 A 6/1/00..................................... 2,188,594
First Union, Lehman Bros. Mortgage, Sub.
3,000,000 Baa2* Bond, 7.500% due 10/18/08.................. 3,129,840
Florida Resident Property & Casualty,
3,450,000 A- Notes, 7.375% due 7/1/03+.................. 3,588,000
Florida Windstorm, Bonds, 6.700% due
3,000,000 A 8/25/04+................................... 3,030,000
Ford Motor Credit Co., Notes, 5.750% due
5,600,000 A 1/25/01.................................... 5,572,000
Franchise Finance Corp., Notes, 7.000% due
2,000,000 BBB- 11/30/00................................... 2,040,000
General Electric Capital Corp., Notes,
2,800,000 AAA 6.660% due 5/1/18.......................... 2,849,000
Goldman Sachs Group LP, Notes, 7.200% due
450,000 A+ 3/1/07+.................................... 477,562
Green Tree Financial CP, Notes, 6.500% due
3,800,000 BBB- 9/26/02.................................... 3,842,750
Guangdong Enterprises, Sr. Notes, 8.875%
7,275,000 Baa3* due 5/22/07+............................... 5,938,219
3,000,000 BBB+ H.F. Ahmanson, Notes, 8.250% due 10/1/02... 3,228,750
Homeside Lending, Inc., Notes, 6.875% due
3,775,000 A+ 6/30/02.................................... 3,864,656
Household Financial Corp., Sr. Notes,
3,085,000 A 7.150% due 6/15/00......................... 3,162,125
Integra Financial Corp., Sub. Notes, 6.500%
1,900,000 A2* due 4/15/00................................ 1,914,250
Keystone Financial Midatlantic, Sr. Notes,
1,350,000 BBB+ 7.300% due 5/15/04......................... 1,409,063
The Money Store, Inc., Notes, 8.375% due
3,000,000 BBB 4/15/04.................................... 3,191,250
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
5
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATINGS SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
FINANCIAL SERVICES -- 19.7% (CONTINUED)
Norwest Financial, Inc., Notes, 6.375% due
$ 3,000,000 AA- 11/15/01................................... $ 3,041,250
Realty Income Corp, Inc., Notes, 7.750% due
3,450,000 BBB- 5/6/07..................................... 3,695,813
Spieker Properties, Notes, 6.650% due
2,600,000 BBB 12/15/00................................... 2,622,750
United Financial Corp., Notes:
3,500,000 BB+ 7.000% due 7/15/98........................ 3,478,125
1,500,000 BB+ 7.700% due 1/15/04........................ 1,541,250
United States Fidelity and Guarantee Corp.,
Sr. Notes:
2,125,000 BBB 7.000% due 5/15/98........................ 2,128,974
2,100,000 BBB 8.375% due 6/15/01........................ 2,226,000
Wharf Capital International Ltd., Notes,
1,050,000 A- 8.875% due 11/1/04......................... 966,000
- -------------------------------------------------------------------------------
95,099,504
- -------------------------------------------------------------------------------
HEALTH CARE -- 0.9%
Meditrust Corp., Notes, 7.375% due
2,325,000 BBB- 7/15/00.................................... 2,374,406
R.P. Scherer International Corp., Sr.
2,000,000 Ba1* Notes, 6.750% due 2/1/04................... 1,990,000
- -------------------------------------------------------------------------------
4,364,406
- -------------------------------------------------------------------------------
INDUSTRIAL -- 6.0%
3,450,000 Ba* Brascan Ltd., Notes, 7.375% due 10/1/02.... 3,523,312
5,025,000 BBB+ Comdisco Inc., Notes, 6.500% due 6/15/00... 5,075,250
EOP Operating LP, Sr. Notes, 6.375% due
2,575,000 Baa1* 2/15/03+................................... 2,555,687
Georgia-Pacific Corp., Debentures, 9.950%
1,100,000 Baa2* due 6/15/02................................ 1,244,375
Great Atlantic and Pacific Tea Co., Inc.,
4,525,000 BBB- Sr. Notes, 7.700% due 1/15/04.............. 4,779,531
1,350,000 BBB ITT Corp., Notes, 6.250% due 11/15/00...... 1,338,188
La Quinta Inns, Inc., Notes, 7.110% due
4,900,000 BBB- 10/17/01................................... 4,844,875
Novacor Chemical, Notes, 6.500% due
2,375,000 BBB+ 9/22/00.................................... 2,392,813
USA Waste Services, Inc., Notes, 6.500% due
3,250,000 BBB 12/15/02................................... 3,262,187
- -------------------------------------------------------------------------------
29,016,218
- -------------------------------------------------------------------------------
OIL -- 1.4%
Kern River Funding Corp., Sr. Notes, 6.720%
2,750,000 A- due 9/30/01+............................... 2,787,813
Occidental Petroleum Corp., Notes:
125,000 BBB 5.850% due 11/9/98........................ 124,534
2,100,000 BBB 5.900% due 11/9/98........................ 2,093,700
1,600,000 BBB 5.950% due 11/9/98........................ 1,595,712
- -------------------------------------------------------------------------------
6,601,759
- -------------------------------------------------------------------------------
POWER & LIGHTING -- 0.4%
System Energy Resources, Notes:
1,000,000 BBB- 6.000% due 4/1/98......................... 1,000,000
1,100,000 BBB- 7.625% due 4/1/99......................... 1,113,750
- -------------------------------------------------------------------------------
2,113,750
- -------------------------------------------------------------------------------
REAL ESTATE -- 1.2%
Avalon Properties, Inc., Notes, 7.375% due
2,450,000 BBB 9/15/02.................................... 2,535,750
Simon Debartolo Group, Ltd., Company
3,025,000 Baa1* Guaranteed, 6.875% due 11/15/06............ 3,096,844
- -------------------------------------------------------------------------------
5,632,594
- -------------------------------------------------------------------------------
RETAIL -- 1.1%
Sears Roebuck Acceptance Corp., Notes,
5,335,000 A2* 6.690% due 4/30/01......................... 5,421,694
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$189,529,270)............................. 190,906,458
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
MORGAGED BACKED SECURITIES -- 20.9%
- ------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 5.4%
$7,454,226 FHLMC, 6.000% due 1/1/12............................. $ 7,361,048
473,271 FHLMC, 6.000% due 1/1/12............................. 467,355
3,762,520 FHLMC, 6.000% due 2/1/12............................. 3,715,488
976,300 FHLMC, 6.000% due 2/1/12............................. 964,096
2,803,094 FHLMC, 6.000% due 3/1/12............................. 2,768,056
1,943,193 FHLMC, 6.000% due 6/1/12............................. 1,918,903
91,159 FHLMC, 7.500% due 8/1/99............................. 92,839
8,900,000 FHLMC, Discount Note, 5.400% due 3/17/98............. 8,877,305
- ------------------------------------------------------------------------------
26,165,090
- ------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 4.6%
1,306,353 FNMA, 6.000% due 3/1/03.............................. 1,301,036
2,500,000 FNMA, 6.000% due 11/25/06............................ 2,493,375
8,900,000 FNMA, 8.000% due 2/1/13++............................ 9,175,277
605,460 FNMA, 8.000% due 4/1/02.............................. 627,971
869,519 FNMA, 8.000% due 6/1/02.............................. 901,848
8,000,000 FNMA, Discount Note, 5.370% due 5/6/98............... 7,921,920
- ------------------------------------------------------------------------------
22,421,427
- ------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATION (CMO) -- 10.9%
ACC Automobile Receivables Trust, 6.700% due
2,385,947 12/17/03+............................................ 2,407,182
3,305,579 Ameresco Commercial Lending, 7.120% due 9/17/12+..... 3,450,198
4,000,000 Chase Credit Card Master Trust, 6.777% due 5/15/07... 4,025,000
Citicorp Mortgage Securities, Inc., 6.500% due
3,775,000 11/25/27............................................. 3,784,438
3,783,000 Countrywide Asset Backed, 6.750% due 11/25/27........ 3,805,433
EQCC Home Equity Trust:
1,783,028 5.800% due 3/15/09.................................. 1,765,180
5,382,000 7.160% due 3/15/13.................................. 5,536,733
The Money Store Home Equity Trust:
4,100,000 8.175% due 1/15/08.................................. 4,292,536
4,350,000 7.000% due 4/15/28.................................. 4,490,592
2,766,000 Mortgage Capital Funding, Inc., 7.800% due 4/15/06... 2,972,565
4,261,786 Norwest Asset Securities Corp., 6.750% due 2/15/13... 4,297,713
3,339,481 Puttable Project, 7.430% due 6/1/24.................. 3,418,793
Residential Funding Mortgage Securities:
3,763,865 6.750% due 11/25/12................................. 3,846,181
4,700,000 6.500% due 4/1/28................................... 4,664,750
U.S. Department of Veteran Affairs, 7.750% due
14,206 9/15/10.............................................. 14,173
- ------------------------------------------------------------------------------
52,771,467
- ------------------------------------------------------------------------------
TOTAL MORTGAGED BACKED SECURITIES (Cost --
$99,703,031)........................................ 101,357,984
- ------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES & OBLIGATIONS -- 35.7%
- ------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 34.8%
5,900,000 U.S. Treasury Notes, 5.625% due 11/30/98............. 5,905,487
26,050,000 U.S. Treasury Notes, 5.750% due 8/15/03.............. 26,206,039
64,775,000 U.S. Treasury Notes, 6.250% due 10/31/01............. 66,123,615
53,100,000 U.S. Treasury Notes, 6.500% due 8/15/05.............. 55,648,269
5,000,000 U.S. Treasury Notes, 6.875% due 5/15/06.............. 5,373,250
5,925,000 U.S. Treasury Notes, 6.875% due 7/31/99.............. 6,029,043
2,250,000 U.S. Treasury Notes, 8.125% due 8/15/19.............. 2,819,385
125,000 U.S. Treasury Strips, zero coupon due 11/15/99....... 113,911
- ------------------------------------------------------------------------------
168,218,999
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
7
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
INTERMEDIATE FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT AGENCIES -- 0.9%
Government Trust Certificate, Resolution Trust
Corp.:
$ 283,567 6.825% due 3/25/22................................. $ 282,503
34,078 9.000% due 9/25/28................................. 34,888
3,875,000 7.500% due 10/25/28................................ 3,932,505
- --------------------------------------------------------------------------------
4,249,896
- --------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(Cost -- $171,558,332).............................. 172,468,895
- --------------------------------------------------------------------------------
REGIONAL GOVERNMENT OBLIGATION -- 0.8%
3,500,000 Quebec Province, 7.500% due 7/15/02 (Cost --
$3,646,160)....................................... 3,666,250
- --------------------------------------------------------------------------------
NATIONAL GOVERNMENT OBLIGATION -- 0.5%
2,500,000 Republic of Lithuania, 7.125% due 7/22/02+ (Cost --
$2,491,356)....................................... 2,425,000
- --------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $466,928,149)........ 470,824,587
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.6%
12,464,000 Goldman, Sachs & Co., 5.589% due 3/2/98; Proceeds at
maturity -- $12,469,806;
(Fully collateralized by U.S Treasury Notes, 5.375%
due 2/15/01;
Market value -- $12,719,436) (Cost -- $12,464,000).. 12,464,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $479,392,149**).. $483,288,587
- --------------------------------------------------------------------------------
</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.
++Security is traded on a "to be announced" basis (See Note 10).
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 116 for definition of ratings.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
National Government Obligation 0.5%
Regional Government Obligation 0.8%
Repurchase Agreement 2.6%
Mortgage-Backed Securities 20.9%
U.S. Government Agencies
& Obligations 35.7%
Corporate Bonds & Notes 39.5%
SEE NOTES TO FINANCIAL STATEMENTS.
8
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LONG-TERM BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 50.2%
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 43.1%
$ 3,345,000 U.S. Treasury Bonds 12.000% due 8/15/13............ $ 4,929,894
14,285,000 U.S. Treasury Bonds 7.875 due 2/15/21.............. 17,578,264
20,000,000 U.S. Treasury Bonds 6.875 due 8/15/25.............. 22,340,000
1,110,000 U.S. Treasury Notes 6.500% due 10/15/06............ 1,167,409
1,750,000 U.S. Treasury Notes 7.500% due 11/15/16............ 2,044,630
10,130,000 U.S. Treasury Notes 8.500% due 2/15/20............. 13,182,473
7,075,000 U.S. Treasury Notes 8.750% due 5/15/20............. 9,443,781
- -------------------------------------------------------------------------------
70,686,451
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY -- 7.1%
Federal National Mortgage Association, 6.500% due
4,550,000 2/25/24............................................ 4,535,258
Federal National Mortgage Association, 7.000% due
7,015,000 6/18/27............................................ 7,121,347
- -------------------------------------------------------------------------------
11,656,605
- -------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost --
$77,387,879)...................................... 82,343,056
- -------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT RATINGS SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <C> <S> <C>
CORPORATE BONDS -- 49.5%
- ------------------------------------------------------------------------------
BANKING -- 7.3%
3,875,000 AAA Bank Austria AG, 7.250% due 2/15/17+.......... 4,136,563
International Bank of Reconstruction &
3,350,000 AAA Development, 8.250% due 9/1/16................ 4,112,125
3,000,000 A NCNB Corp., 9.375% due 9/15/09................ 3,682,500
- ------------------------------------------------------------------------------
11,931,188
- ------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 1.7%
2,075,000 AA Proctor & Gamble Co., 9.360%, due 1/1/21...... 2,720,844
- ------------------------------------------------------------------------------
FINANCIAL SERVICES -- 15.2%
3,300,000 AA American Re Corp., 7.450% due 12/15/26........ 3,564,000
2,000,000 BBB+ BT Capital Trust, 7.900% due 1/15/27.......... 2,087,500
2,400,000 BBB- Continental Corp., 8.375% due 8/15/12......... 2,748,000
First Of America Capital Trust, 8.120% due
1,425,000 BBB+ 1/31/27....................................... 1,519,406
Hutchinson Whampoa Finance Ltd.:
500,000 A+ 6.950% due 8/1/07+........................... 480,128
4,150,000 A+ 7.450% due 8/1/17+........................... 3,735,000
3,700,000 A+ Met Life Surplus Note, 7.800% due 11/1/25..... 3,922,000
3,000,000 A+ Nationwide CSN Trust, 9.875% due 2/15/25+..... 3,603,750
3,230,000 AAA Railcar Leasing LLC, 7.125% due 1/15/13+...... 3,399,575
- ------------------------------------------------------------------------------
25,059,359
- ------------------------------------------------------------------------------
INDUSTRIAL -- 4.8%
4,500,000 BBB+ Applied Material, 7.125% due 10/15/17......... 4,595,625
3,475,000 A Petroliam Nasional, 7.750% due 8/15/15........ 3,262,156
- ------------------------------------------------------------------------------
7,857,781
- ------------------------------------------------------------------------------
MEDIA & ENTERTAINMENT -- 3.6%
1,275,000 BBB- News America Holding, 9.250% due 2/1/13....... 1,526,813
Time Warner Entertainment, 8.375% due
3,800,000 BBB- 7/15/33....................................... 4,403,250
- ------------------------------------------------------------------------------
5,930,063
- ------------------------------------------------------------------------------
MISCELLANEOUS -- 4.3%
3,250,000 BBB+ Boston University, 7.625% due 7/15/2097....... 3,607,500
2,850,000 BBB+ Ogden Corp., 9.250% due 3/1/22................ 3,452,063
- ------------------------------------------------------------------------------
7,059,563
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
9
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LONG-TERM BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATINGS SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
RETAIL -- 0.9%
May Department Stores Co., 8.300% due
$ 1,375,000 A 7/15/26.................................... $ 1,540,000
- -------------------------------------------------------------------------------
TRANSPORTATION -- 1.6
2,500,873 BBB Federal Express Corp., 7.630% due 1/5/14... 2,622,792
- -------------------------------------------------------------------------------
UTILITIES -- 10.1%
Columbia Gas Systems Inc., 7.320% due
3,750,000 BBB 11/28/10................................... 3,876,562
2,300,000 A- GCB Enersis SA, 7.400% due 12/1/16......... 2,213,750
3,000,000 A+ New York Telephone, 6.700% due 11/1/23..... 2,958,750
Tennessee Valley Authority:
2,700,000 Aaa* 8.250% due 4/15/42........................ 3,287,250
4,075,000 Aaa* 7.250% due 7/15/43........................ 4,263,468
- -------------------------------------------------------------------------------
16,599,780
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS (Cost --
$76,258,794).............................. 81,321,370
- -------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost --
$153,646,673)............................. 163,664,426
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.3%
487,000 Goldman, Sachs & Co., 5.589% due 3/2/98,
Proceeds at maturity -- $487,227;
(Fully collateralized by U.S. Treasury
Notes, 5.375% due 2/15/01;
Market value -- $496,981) (Cost --
$487,000)................................. 487,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$154,133,673**)........................... $164,151,426
- -------------------------------------------------------------------------------
</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 116 for definition of ratings.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Repurchase Agreement 0.3%
Corporate Bonds 49.5%
U.S. Government
Agency & Obligations 50.2%
SEE NOTES TO FINANCIAL STATEMENTS.
10
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
MUNICIPAL BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATINGS SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
ALABAMA -- 1.8%
$1,200,000 AAA Alabama Water Pollution Control Authority,
Revolving Loan, Series A, AMBAC-Insured,
5.250% due 8/15/10.......................... $ 1,249,500
- -------------------------------------------------------------------------------
ARIZONA -- 1.6%
1,100,000 A-1+ Phoenix, AZ GO Bonds, 3.600% due 6/1/20 (a).. 1,100,000
- -------------------------------------------------------------------------------
CALIFORNIA -- 3.0%
2,000,000 A+ California State GO Bonds, 5.500% due
9/1/17...................................... 2,072,500
- -------------------------------------------------------------------------------
CONNECTICUT -- 3.1%
1,000,000 AAA Connecticut State Clean Water Fund, Sewer
Improvement Revenue,
5.750% due 12/1/13.......................... 1,065,000
1,000,000 AA- Connecticut State Special Tax Obligation,
Series A, 5.400% due 9/1/10................. 1,045,000
- -------------------------------------------------------------------------------
2,110,000
- -------------------------------------------------------------------------------
FLORIDA -- 12.8%
1,200,000 AA+ Florida State Board of Education, Series E,
5.700% due 6/1/14........................... 1,263,000
2,560,000 AAA Florida State Turnpike Authority Revenue,
FGIC-Insured, 5.000% due 7/1/17............. 2,531,200
1,850,000 AAA Lee County, FL Airport Revenue, AMBAC-
Insured, 5.500% due 10/1/10................. 1,917,063
2,000,000 Aa2* Orlando, FL Utilities Commission, Water and
Electricity Revenue, 5.000% due 10/1/14..... 1,992,500
1,000,000 Aa* St. Petersburg, FL Public Utilities Revenue,
Water and Sewer Revenue,
5.600% due 10/1/15.......................... 1,045,000
- -------------------------------------------------------------------------------
8,748,763
- -------------------------------------------------------------------------------
HAWAII -- 1.6%
1,000,000 AAA Honolulu, HI City & County GO Bonds, MBIA-
Insured, 5.100% due 11/1/08................. 1,057,500
- -------------------------------------------------------------------------------
ILLINOIS -- 1.5%
1,000,000 AAA Du Page County, IL Jail Revenue Refunding,
5.500% due 1/1/13........................... 1,043,750
- -------------------------------------------------------------------------------
INDIANA -- 1.2%
750,000 AAA Indianapolis, IN Airport, FGIC-Insured,
6.000% due 7/1/06........................... 832,500
- -------------------------------------------------------------------------------
IOWA -- 1.7%
1,100,000 AA+ Des Moines, IA GO Bonds, Series A, 6.000%,
due 6/1/12.................................. 1,182,500
- -------------------------------------------------------------------------------
MARYLAND -- 3.3%
1,000,000 AA Maryland Water Quality Financing
Administration, Revolving Loan, Series A,
5.500% due 9/1/11 (b)....................... 1,045,000
1,200,000 Aa1* Washington, MD Suburban Sanitation District,
GO Bonds Unlimited, 5.000% due 6/1/12....... 1,215,000
- -------------------------------------------------------------------------------
2,260,000
- -------------------------------------------------------------------------------
MASSACHUSETTS -- 11.9%
Massachusetts Bay Transportation Authority:
2,000,000 AAA FGIC-Insured, 5.000% due 3/1/10............. 2,067,500
3,000,000 AAA MBIA-Insured, 5.000% due 3/1/18............. 2,932,500
2,000,000 A2* Massachusetts State Turnpike Authority,
Series A, 5.000% due 1/1/12................. 2,015,000
1,100,000 Aa2* Massachusetts State Water Pollution Abatement
Trust, 5.300% due 8/1/09 (b)................ 1,157,750
- -------------------------------------------------------------------------------
8,172,750
- -------------------------------------------------------------------------------
MICHIGAN -- 1.5%
1,000,000 AAA Utica, MI Community School GO Bonds, FGIC-
Insured, 5.250% due 5/1/09.................. 1,048,750
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
MUNICIPAL BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATINGS SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
NEW JERSEY -- 8.4%
$1,200,000 AAA Camden County, NJ Municipal Utilities
Authority, Sewer Revenue, FGIC-Insured,
5.000% due 7/15/09.......................... $ 1,248,000
3,300,000 A-1+ New Jersey Economic Development Authority,
Natural Gas Facilities Revenue, Series A,
AMBAC-Insured, 3.350% due 8/1/30 (a)(c)..... 3,300,000
1,200,000 AAA New Jersey State Transportation Trust Fund,
Series A, MBIA-Insured,
5.000% due 12/15/11......................... 1,216,500
- -------------------------------------------------------------------------------
5,764,500
- -------------------------------------------------------------------------------
NEW YORK -- 25.3%
New York City, NY GO Bonds:
2,000,000 BBB+ Series F, 6.000% due 8/1/12................. 2,150,000
2,000,000 BBB+ Series I, 5.625% due 4/15/05................ 2,122,500
200,000 VMIG 1* Sub-Series A4, 3.600% due 8/1/22 (a)........ 200,000
500,000 A-1+ Sub-Series E5, 3.600% due 8/1/17 (a)........ 500,000
3,000,000 AA New York City, NY Transitional Finance
Authority, Series B, 4.750% due 11/15/16.... 2,868,750
2,000,000 A- New York State Dormitory Authority, Series A,
5.500% due 5/15/13.......................... 2,145,000
2,000,000 Aa2* New York State Environmental Facilities
Corp., Series D, 5.875% due 6/15/14......... 2,140,000
1,000,000 A New York State GO Bonds, 5.500% due 7/15/12.. 1,048,750
1,000,000 A+ New York State Local Government Assistance
Corp., Series A, 5.900% due 4/1/13.......... 1,070,000
1,000,000 BBB+ New York State Urban Development Corp.,
5.700% due 1/1/16........................... 1,037,500
1,000,000 AA Onondaga County, NY GO Bonds, 5.850% due
5/1/14...................................... 1,065,000
1,000,000 A-1+ Port Authority of New York & New Jersey,
Special Obligation Revenue,
3.500% due 5/1/19(b)........................ 1,000,000
- -------------------------------------------------------------------------------
17,347,500
- -------------------------------------------------------------------------------
OHIO -- 3.1%
1,000,000 Aa2* Hamilton County, OH GO Bonds, 5.200% due
12/1/13..................................... 1,031,250
1,070,000 AA+ Ohio State GO Bonds, Infrastructure
Improvement, 4.900% due 8/1/17.............. 1,053,950
- -------------------------------------------------------------------------------
2,085,200
- -------------------------------------------------------------------------------
PUERTO RICO -- 1.5%
1,000,000 A-1+ Puerto Rico Government Development Bank,
2.900% due 12/1/15 (a)...................... 1,000,000
- -------------------------------------------------------------------------------
TEXAS -- 4.2%
1,200,000 AAA Austin, TX ISD, PSFG, 5.750% due 8/1/13...... 1,273,500
1,600,000 AAA Texas State Water Development Board Revenue,
5.250% due 7/15/15.......................... 1,632,000
- -------------------------------------------------------------------------------
2,905,500
- -------------------------------------------------------------------------------
VIRGINIA -- 1.5%
1,000,000 AA Newport News, VA GO Water Bonds, Series E,
5.150% due 1/1/10 (b)....................... 1,032,500
- -------------------------------------------------------------------------------
WASHINGTON -- 9.1%
1,000,000 AAA Snohomish County, WA Public Utilities
Revenue, FGIC-Insured, 6.000% due 1/1/13.... 1,067,500
1,000,000 Aa* Tacoma, WA Water Revenue Refunding, 5.500%
due 12/1/13................................. 1,037,500
1,000,000 AA+ Washington State, GO Bonds Unlimited, Series
B, 5.750% due 5/1/13........................ 1,052,500
1,000,000 AA+ Washington State Motor Vehicle Fuel Tax
Revenue, Series B, 5.700% due 7/1/11........ 1,073,750
2,000,000 Aa1* Washington State Public Power Supply,
(Nuclear Project No. 2), Series A, 5.000%
due 7/1/10.................................. 2,007,500
- -------------------------------------------------------------------------------
6,238,750
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
MUNICIPAL BOND INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATINGS SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <C> <S> <C>
WISCONSIN -- 1.9%
$1,300,000 AA Wisconsin State, GO, Series A, 5.000% due
5/1/11...................................... $ 1,316,250
- ------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$66,177,786**).............................. $68,568,713
- ------------------------------------------------------------------------------
</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.
(c) Income from this issue is considered a preference item for purposes of
calculating the alternative minimum tax.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 116 for definition of ratings and certain security descriptions.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Connecticut 3.1%
Ohio 3.1%
Maryland 3.3%
Texas 4.2%
New Jersey 8.4%
Washington 9.1%
Massachusetts 11.9%
Florida 12.8%
Other States &
Puerto Rico 18.8%
New York 25.3%
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
MORTGAGE BACKED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C> <C>
MORTGAGE-BACKED SECURITIES -- 78.1%
- ------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 34.6%
$ 4,736,102 FHLMC, 6.500% due 3/1/11 - 1/1/13.............. $ 4,758,267
7,057,678 FHLMC, 7.000% due 5/1/12 - 12/1/27............. 7,183,076
18,000,000 FHLMC, 7.000% due 3/1/28+...................... 18,225,000
767,419 FHLMC, 7.500% due 12/1/12 - 5/1/27............. 788,525
1,571,922 FHLMC, 8.000% due 5/1/06 - 9/1/17.............. 1,643,630
3,718,275 FHLMC, 8.500% due 12/1/06 - 2/1/18............. 3,919,284
941,458 FHLMC, 9.000% due 12/1/04 - 7/1/11............. 988,410
839,997 FHLMC, 9.500% due 10/1/08 - 8/1/16............. 900,107
362,924 FHLMC, 10.000% due 4/1/09 - 10/1/09............ 395,359
163,905 FHLMC, 10.250% due 11/1/03 - 2/1/10............ 179,067
270,044 FHLMC, 11.000% due 4/1/00 - 10/1/00............ 285,485
71,647 FHLMC, 11.500% due 10/1/15..................... 80,378
329,606 FHLMC GOLD, 5.500% due 7/1/98.................. 325,176
1,710,636 FHLMC GOLD, 6.500% due 2/1/11 - 7/1/23......... 1,699,657
895,552 FHLMC GOLD, 7.000% due 11/1/22 - 9/1/27........ 906,746
12,074,228 FHLMC GOLD, 7.500% due 12/1/12 - 12/1/27....... 12,394,918
7,374,906 FHLMC GOLD, 8.000% due 5/1/06 - 2/1/22......... 7,641,426
986,754 FHLMC GOLD, 8.500% due 9/1/08 - 2/1/18......... 1,031,159
138,835 FHLMC GOLD, 9.500% due 4/1/10.................. 148,553
- ------------------------------------------------------------------------------
63,494,223
- ------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 20.4%
2,682,638 FNMA, 5.500% due 11/1/06 - 11/1/08............. 2,590,409
10,169,396 FNMA, 6.000% due 9/1/08 - 12/1/23.............. 9,982,201
5,697,595 FNMA, 6.500% due 3/1/09 - 11/1/23.............. 5,669,706
3,554,278 FNMA, 7.000% due 1/1/24........................ 3,593,127
6,164,220 FNMA, 7.500% due 12/1/06 - 9/1/23.............. 6,331,290
4,085,442 FNMA, 8.000% due 9/1/02 - 12/1/22.............. 4,236,646
1,311,619 FNMA, 8.500% due 6/1/06 - 6/1/17............... 1,371,544
2,396,103 FNMA, 9.000% due 10/1/05 - 3/1/18.............. 2,529,023
588,257 FNMA, 9.500% due 4/1/01 - 11/1/21.............. 628,294
79,914 FNMA, 10.000% due 1/1/21....................... 86,706
251,152 FNMA, 10.750% due 10/1/12...................... 276,736
114,340 FNMA, 12.500% due 6/1/15....................... 131,132
- ------------------------------------------------------------------------------
37,426,814
- ------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 23.1%
8,182,138 GNMA I, 7.000% due 4/15/23 - 1/1/28............ 8,272,499
12,000,000 GNMA I, 7.000% due 3/1/28+..................... 12,131,250
3,845,203 GNMA I, 7.500% due 9/15/27 - 8/15/27........... 3,949,716
4,419,084 GNMA I, 8.000% due 9/15/22 - 8/15/23........... 4,583,386
1,198,617 GNMA I, 8.500% due 5/15/17 - 7/15/27........... 1,267,910
254,629 GNMA I, 9.000% due 10/15/16.................... 273,090
439,604 GNMA I, 9.500% due 12/15/16 - 8/15/19.......... 477,243
180,064 GNMA I, 11.000% due 7/15/10 - 9/15/10.......... 201,839
7,416,022 GNMA II, 6.500% due 12/20/23 - 5/20/24......... 7,318,649
1,104,512 GNMA II, 7.000% due 11/20/16................... 1,112,442
1,763,133 GNMA II, 8.500% due 6/20/16 - 1/20/17.......... 1,851,836
1,000,150 GNMA II, 9.000% due 4/20/17 - 11/20/21......... 1,065,160
- ------------------------------------------------------------------------------
42,505,020
- ------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$141,961,545)................................. 143,426,057
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
MORTGAGE BACKED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
REPURCHASE AGREEMENTS -- 21.9%
$10,297,000 Chase Securities Inc., 5.578% due 3/2/98;
Proceeds at maturity -- $10,301,786;
(Fully collateralized by U.S. Treasury Notes,
5.500% due 11/15/98;
Market value -- $10,503,130).................... $ 10,297,000
30,000,000 Goldman, Sachs & Co., 5.589% due 3/2/98;
Proceeds at maturity -- $30,013,973;
(Fully collateralized by U.S. Treasury Notes,
5.375% due 2/15/01;
Market value -- $30,614,818).................... 30,000,000
- -------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost --
$40,297,000)................................... 40,297,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$182,258,545**)................................ $183,723,057
- -------------------------------------------------------------------------------
</TABLE>
+ Security is traded on a "to-be-announced" basis (See Note 10).
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
FNMA 20.4%
Repurchase
Agreement 21.9%
GNMA 23.1%
FHLMC 34.6%
SEE NOTES TO FINANCIAL STATEMENTS.
15
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 75.7%
- --------------------------------------------------------------------------------
AEROSPACE -- 4.8%
29,200 Boeing Co. ............................................ $ 1,584,100
39,553 Raytheon Co. .......................................... 2,325,030
- --------------------------------------------------------------------------------
3,909,130
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 3.0%
53,300 Foster Wheeler Corp. .................................. 1,425,775
24,700 York International Corp. .............................. 1,085,256
- --------------------------------------------------------------------------------
2,511,031
- --------------------------------------------------------------------------------
CHEMICAL -- 5.8%
42,600 Morton International Inc. ............................. 1,408,463
38,200 Praxair, Inc. ......................................... 1,826,438
45,600 Sherwin-Williams Co. .................................. 1,524,750
- --------------------------------------------------------------------------------
4,759,651
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 1.9%
28,400 Masco Corp.+........................................... 1,544,250
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 8.6%
39,700 American Greetings Corp., Class A Shares............... 1,811,313
20,500 American Home Products Corp. .......................... 1,921,875
19,450 Loews Corp. ........................................... 1,951,078
62,800 Wendy's International Inc. ............................ 1,361,975
- --------------------------------------------------------------------------------
7,046,241
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 15.8%
17,100 Beneficial Corp.+...................................... 2,017,800
22,300 First of America Bank Corp. ........................... 1,732,431
41,100 First Union Corp. (N.C.)+.............................. 2,165,456
22,000 Fleet Financial Group, Inc. ........................... 1,733,875
22,400 H.F. Ahmanson & Co.+................................... 1,398,600
30,700 Providian Financial Corp. ............................. 1,742,225
19,000 U.S. Bancorp........................................... 2,186,188
- --------------------------------------------------------------------------------
12,976,575
- --------------------------------------------------------------------------------
INSURANCE -- 1.9%
25,700 Aon Corp. ............................................. 1,537,181
- --------------------------------------------------------------------------------
OIL & GAS -- 9.2%
36,600 Elf Aquitaine SA, Sponsored ADR+....................... 2,093,063
32,350 Kerr-McGee Corp. ...................................... 2,187,669
17,900 Schlumberger Ltd. ..................................... 1,349,212
86,700 Union Pacific Resources Group, Inc. ................... 1,939,912
- --------------------------------------------------------------------------------
7,569,856
- --------------------------------------------------------------------------------
PUBLISHING -- 1.8%
23,400 Gannett Co., Inc. ..................................... 1,510,762
- --------------------------------------------------------------------------------
RETAIL -- 1.9%
26,700 Nordstrom, Inc. ....................................... 1,531,078
- --------------------------------------------------------------------------------
TECHNOLOGY -- 5.4%
19,150 IBM Corp. ............................................. 1,999,978
27,500 Xerox Corp. ........................................... 2,438,906
- --------------------------------------------------------------------------------
4,438,884
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 1.9%
33,400 MCI Communications Corp. ............................ $ 1,596,938
- ------------------------------------------------------------------------------
TELEPHONE -- 3.5%
22,000 AT&T Corp. .......................................... 1,339,250
20,200 SBC Communications, Inc. ............................ 1,527,625
- ------------------------------------------------------------------------------
2,866,875
- ------------------------------------------------------------------------------
TRANSPORTATION -- 5.8%
15,900 Burlington Northern Santa Fe Corp. .................. 1,584,038
41,000 Ryder Systems Inc. .................................. 1,504,188
33,001 Union Pacific Corp. ................................. 1,683,051
- ------------------------------------------------------------------------------
4,771,277
- ------------------------------------------------------------------------------
TOBACCO -- 2.4%
46,375 Philip Morris Cos., Inc. ............................ 2,014,414
- ------------------------------------------------------------------------------
UTILITIES -- 2.0%
29,000 Duke Energy Corp. ................................... 1,611,312
- ------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $50,349,848)............. 62,195,455
- ------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY NOTES -- 14.0%
$9,200,000 U.S. Treasury Notes, 6.625% due 4/30/02.............. 9,534,328
1,800,000 U.S. Treasury Notes, 7.250% due 8/15/04.............. 1,953,846
- ------------------------------------------------------------------------------
TOTAL U.S. TREASURY NOTES (Cost -- $11,245,906)...... 11,488,174
- ------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 6.0%
- ------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.0%
199,778 FHLMC, 7.500% due 4/1/10............................. 205,834
300,000 FHLMC, Multiclass Mortgage PC, 7.000% due 8/15/06.... 301,872
350,000 FHLMC, Multiclass Mortgage PC, 7.500% due 7/15/22.... 361,834
- ------------------------------------------------------------------------------
869,540
- ------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 5.0%
465,273 GNMA, 8.000% due 5/15/22............................. 482,572
288,146 GNMA, 8.000% due 8/15/22............................. 298,860
329,132 GNMA, 8.000% due 11/15/22............................ 341,370
180,173 GNMA, 8.500% due 12/15/21............................ 190,588
319,469 GNMA, 9.000% due 5/20/16............................. 340,235
253,053 GNMA, 9.000% due 7/20/16............................. 269,502
153,455 GNMA, 9.000% due 3/15/20............................. 164,581
224,347 GNMA, 9.000% due 3/20/20............................. 238,930
168,619 GNMA, 9.000% due 5/15/20............................. 180,845
496,163 GNMA, 9.000% due 6/15/20............................. 532,135
403,273 GNMA, 9.000% due 6/15/21............................. 432,511
114,705 GNMA, 9.000% due 6/15/21............................. 123,022
352,212 GNMA, 9.000% due 4/15/22............................. 377,748
96,911 GNMA, 9.000% due 6/15/25............................. 103,937
- ------------------------------------------------------------------------------
4,076,836
- ------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$4,897,358)......................................... 4,946,376
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT RATINGS SECURITY VALUE
<C> <C> <S> <C>
- --------------------------------------------------------------------------------
CORPORATES BONDS & NOTES -- 3.3%
- --------------------------------------------------------------------------------
BANKING -- 1.0%
NationsBank Corp., Senior Note, 5.375% due
$ 600,000 Aa3* 4/15/00....................................... $ 593,250
Salomon Brothers, Series C, Medium Term Note,
200,000 A 6.750% due 2/15/00............................ 202,250
- --------------------------------------------------------------------------------
795,500
- --------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.5%
400,000 A Texas Instruments Inc., 6.875% due 7/15/00.... 409,000
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 1.4%
Ford Motor Credit Co., Notes:
150,000 A1* 5.625% due 12/15/98........................... 149,718
200,000 A1* 7.250% due 5/15/99............................ 203,026
400,000 A1* 5.750% due 1/25/01............................ 398,000
400,000 A Household Finance Co., 6.450% due 3/15/01..... 405,000
- --------------------------------------------------------------------------------
1,155,744
- --------------------------------------------------------------------------------
TECHNOLOGY -- 0.3%
200,000 A Lucent Technologies Inc., 6.900% due 7/15/01.. 206,000
- --------------------------------------------------------------------------------
TOBACCO -- 0.1%
Philip Morris Cos., Inc., Note, 7.375% due
100,000 A 2/15/99....................................... 101,250
- --------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$2,654,341).................................. 2,667,494
- --------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $69,147,453)... 81,297,499
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.0%
837,000 Goldman, Sachs & Co., 5.589% due 3/2/98;
Proceeds at maturity -- $837,390;
(Fully collateralized by U.S. Treasury Notes,
5.375% due 2/15/01;
Market value -- $854,153) (Cost -- $837,000).. 837,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$69,984,453**)............................... $82,134,499
- --------------------------------------------------------------------------------
</TABLE>
+ A portion of this security is on loan (See Note 12).
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 116 for definition of ratings.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Repurchase Agreement 1.0%
Technology 5.7%
Transportation 5.8%
Mortgage-Backed Securities 6.0%
Consumer Products 8.6%
Oil & Gas 9.2%
U.S. Treasury Notes 14.0%
Financial Services 17.2%
Corporate Bonds, Notes &
Other Common Stocks 32.5%
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.9%
- --------------------------------------------------------------------------------
AEROSPACE -- 0.8%
134,000 Boeing Co. ............................................ $ 7,269,500
131,922 Raytheon Co., Class A Shares........................... 7,731,751
- --------------------------------------------------------------------------------
15,001,251
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 6.6%
32,200 AK Steel Holding Corp. ................................ 601,737
27,200 Akzo Nobel N.V. ....................................... 2,760,800
79,900 Aluminum Co. of America................................ 5,862,662
379,100 Bethlehem Steel Corp.+................................. 4,027,937
164,200 British Steel PLC ADR.................................. 4,053,687
94,200 Browning Ferris Industries, Inc. ...................... 3,138,037
125,200 Case Corp. ............................................ 8,145,825
260,800 Caterpillar Inc. ...................................... 14,246,200
36,800 Cooper Cameron Corp.+.................................. 1,973,400
100,800 Crown Cork & Seal, Inc. ............................... 5,443,200
159,550 Dow Chemical Corp. .................................... 14,598,825
71,900 Dresser Industries Inc. ............................... 3,213,031
315,500 E.I. du Pont De Nemours & Co. ......................... 19,344,093
15,000 Great Lakes Chemical Corp. ............................ 729,375
114,600 IMC Global Inc. ....................................... 4,376,287
127,200 Inco Ltd. ............................................. 2,249,850
34,200 Inland Steel Industries, Inc. ......................... 705,375
40,400 Lubrizol Corp. ........................................ 1,557,925
56,000 Lyondell Petrochemical Co. ............................ 1,526,000
60,000 Martin Marietta Materials, Inc. ....................... 2,283,750
60,700 Millenium Chemicals, Inc. ............................. 1,566,818
8,400 Morton International, Inc. ............................ 277,725
26,000 NGC Corp. ............................................. 403,000
37,000 Phelps Dodge Corp. .................................... 2,349,500
89,600 Reynolds Metals Co. ................................... 5,583,200
18,900 Rohm & Haas Co. ....................................... 1,926,618
94,100 The Timken Co. ........................................ 3,034,725
142,600 Union Carbide Corp. ................................... 6,621,987
10,000 USG Corp.+............................................. 546,250
100,000 USX-U.S. Steel Group, Inc. ............................ 3,512,500
34,600 Witco Corp. ........................................... 1,377,512
- --------------------------------------------------------------------------------
128,037,831
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 5.1%
5,728 Autoliv, Inc. ......................................... 176,852
29,400 Avnet, Inc. ........................................... 1,874,250
59,700 Crane Co. ............................................. 2,925,300
25,100 Cummins Engine Co., Inc. .............................. 1,452,662
49,100 Dana Corp. ............................................ 2,679,018
155,500 Deere & Co. ........................................... 8,727,437
70,900 Eaton Corp. ........................................... 6,810,831
78,200 General Dynamics Corp. ................................ 6,783,850
7,411 Halter Marine Group, Inc.+............................. 145,440
16,200 Harnischfeger Industries, Inc. ........................ 573,075
116,700 Ingersoll-Rand Co. .................................... 5,557,837
20,700 International Game Technology.......................... 501,975
74,600 Johnson Controls Inc. ................................. 4,144,962
20,500 Lafarge Corp. ......................................... 688,031
40,200 Lockheed Martin Corp. ................................. 4,690,837
132,900 LucasVarity PLC ADR.................................... 5,000,362
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 5.1% (CONTINUED)
51,100 Navistar International Corp.+.......................... $ 1,552,162
20,100 Northrop Grumman Corp. ................................ 2,793,900
95,000 PACCAR Inc. ........................................... 6,014,687
78,200 Parker-Hannifin Corp. ................................. 3,646,075
76,900 Textron, Inc. ......................................... 5,762,693
12,800 Thiokol Corp. ......................................... 1,224,000
66,800 TRW Inc. .............................................. 3,661,475
155,300 United Technologies Corp. ............................. 13,870,231
52,600 Vulcan Materials Co. .................................. 5,292,875
26,900 Xerox Corp. ........................................... 2,385,693
- --------------------------------------------------------------------------------
98,936,510
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 4.2%
43,800 AGCO Corp. ............................................ 1,231,875
97,594 Chrysler Corp. ........................................ 3,800,066
564,250 Ford Motor Co. ........................................ 31,915,390
340,550 General Motors Corp. .................................. 23,476,665
131,800 Goodyear Tire & Rubber Co. ............................ 9,110,675
89,500 Owens-Illinois, Inc.+.................................. 3,434,562
116,900 Whirlpool Corp. ....................................... 7,810,381
- --------------------------------------------------------------------------------
80,779,614
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 3.4%
316,900 Archer-Daniels-Midland Co. ............................ 7,110,443
106,400 Brunswick Corp. ....................................... 3,378,200
60,800 Centex Corp. .......................................... 4,442,200
55,100 Cooper Tire & Rubber Co. .............................. 1,270,743
70,600 Deluxe Corp. .......................................... 2,404,812
20,000 Estee Lauder Cos., Class A Shares...................... 1,170,000
136,250 Hasbro Inc. ........................................... 4,947,578
34,000 Johns Manville Corp. .................................. 410,125
85,800 Lear Corp.+............................................ 4,536,675
100,900 Liz Claiborne, Inc. ................................... 5,045,000
100,000 Masco Corp. ........................................... 5,437,500
57,500 Polaroid Corp. ........................................ 2,634,218
70,000 Premark International Inc. ............................ 2,178,750
347,830 RJR Nabisco Holdings Corp. ............................ 12,021,874
67,400 Teradyne, Inc.+........................................ 3,180,437
107,800 Universal Corp. ....................................... 5,120,500
- --------------------------------------------------------------------------------
65,289,055
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 2.3%
30,403 Ascent Entertainment Group, Inc.+...................... 326,832
77,200 Beverly Enterprises, Inc.+............................. 1,172,475
166,300 The Dun & Bradstreet Corp. ............................ 5,571,050
18,900 FDX Corp.+............................................. 1,203,693
162,400 First Data Corp. ...................................... 5,521,600
120,100 Host Marriott Corp.+................................... 2,379,481
42,000 Pittston Brink's Group Inc. ........................... 1,622,250
27,800 Promus Hotel Corp.+.................................... 1,341,350
30,853 Reuters Group PLC ADR.................................. 1,847,323
33,200 Stewart Enterprises, Inc., Class A Shares.............. 1,564,550
160,000 Time Warner, Inc. ..................................... 10,800,000
95,300 Viacom, Inc.+.......................................... 4,574,400
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 2.3% (CONTINUED)
30,000 Viad Corp. ............................................ $ 725,625
268,200 Waste Management, Inc. ................................ 6,705,000
- --------------------------------------------------------------------------------
45,355,629
- --------------------------------------------------------------------------------
DIVERSIFIED -- 1.4%
30,000 Aeroquip-Vickers, Inc. ................................ 1,741,875
43,400 Allied Signal Inc. .................................... 1,847,212
98,000 CBS Corp.+ ............................................ 3,031,875
35,900 Cooper Industries, Inc. ............................... 2,014,887
69,500 General Electric Co. .................................. 5,403,625
16,000 Harsco Corp. .......................................... 670,000
110,000 MCN Energy Group Inc. ................................. 4,049,375
26,100 National Service Industries, Inc. ..................... 1,446,918
296,900 News Corp. Ltd. -- Sponsored ADR Preferred............. 6,439,018
- --------------------------------------------------------------------------------
26,644,785
- --------------------------------------------------------------------------------
ENERGY -- 11.1%
164,600 Amoco Corp. ........................................... 13,991,000
52,300 Ashland Inc. .......................................... 2,912,456
141,800 Atlantic Richfield Co. ................................ 11,024,950
53,800 BJ Services Co.+....................................... 1,849,375
55,500 British Petroleum PLC ADR.............................. 4,589,156
99,400 Burlington Resources Inc. ............................. 4,448,150
28,000 Cabot Corp. ........................................... 987,000
81,000 CalEnergy Co., Inc.+................................... 2,171,812
253,300 Chevron Corp. ......................................... 20,548,962
80,000 Columbia Energy Group.................................. 6,105,000
36,000 Consolidated Natural Gas Co. .......................... 2,070,000
112,900 Elf Aquitaine SA Sponsored ADR......................... 6,456,468
890,400 Exxon Corp. ........................................... 56,874,384
50,000 Helmerich & Payne Inc. ................................ 1,446,875
110,100 MidAmerican Energy Holdings Co. ....................... 2,284,575
397,500 Mobil Oil Corp. ....................................... 28,793,906
13,900 Murphy Oil Corp. ...................................... 694,131
68,700 Nicor, Inc. ........................................... 2,825,287
21,350 Noble Drilling Corp.+.................................. 605,806
87,000 Oryx Energy Co.+....................................... 2,213,062
8,300 Pacific Enterprises.................................... 301,393
20,200 Pennzoil Co. .......................................... 1,352,137
28,200 Rowan Cos., Inc.+...................................... 794,887
31,150 Sonat Inc. ............................................ 1,343,343
50,800 Sun Co., Inc. ......................................... 2,028,825
192,000 Texaco Inc. ........................................... 10,716,000
42,300 Tidewater, Inc. ....................................... 1,882,350
176,000 Tosco Corp. ........................................... 6,534,000
142,600 Unocal Corp. .......................................... 5,374,237
138,400 USX Marathon Group, Inc. .............................. 4,783,450
119,600 Utilicorp United, Inc. ................................ 4,305,600
37,200 Valero Energy Corp. ................................... 1,320,600
- --------------------------------------------------------------------------------
213,629,177
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 20.3%
160,200 A.G. Edwards, Inc. .................................... 6,738,412
48,000 American Express Co. .................................. 4,323,000
20,000 American General Corp. ................................ 1,162,500
135,410 Banc One Corp. ........................................ 7,650,665
68,280 Bank of Boston Corp. .................................. 6,806,662
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 20.3% (CONTINUED)
129,400 Bank of New York Co., Inc. ............................ $ 7,577,987
387,800 BankAmerica Corp. ..................................... 30,054,500
57,300 Bankers Trust New York Corp. .......................... 6,775,725
176,591 Bear Stearns Cos., Inc. ............................... 8,233,555
196,904 Chase Manhattan Corp. ................................. 24,428,402
212,700 Citicorp, Inc. ........................................ 28,182,750
35,000 Comdisco, Inc. ........................................ 1,459,062
43,400 Comerica, Inc. ........................................ 4,375,262
21,000 Commerce Bancshares, Inc. ............................. 1,501,500
51,050 Compass Bancshares, Inc. .............................. 2,348,300
27,400 Corestates Financial Corp. ............................ 2,313,587
85,300 Countrywide Credit Industries, Inc. ................... 3,790,518
50,000 Dime Bancorp, Inc. .................................... 1,525,000
72,000 Donaldson, Lufkin & Jenrette Securities Corp. ......... 5,895,000
72,695 First Chicago NBD Corp. ............................... 5,974,620
67,200 First of America Bank Corp. ........................... 5,220,600
34,350 First SEC Corp. ....................................... 796,490
409,260 First Union Corp. ..................................... 21,562,886
15,000 The Finova Group, Inc. ................................ 825,000
135,626 Fleet Financial Group, Inc. ........................... 10,689,024
55,200 Golden State Bancorp, Inc.+............................ 1,966,500
32,700 Golden West Financial Corp. ........................... 2,918,475
70,000 Greenpoint Financial Corp. ............................ 5,197,500
187,500 H.F. Ahmanson & Co. ................................... 11,707,031
56,500 J.P. Morgan & Co., Inc. ............................... 6,751,750
190,800 Kansas City Southern Industries, Inc. ................. 7,095,375
45,200 KeyCorp ............................................... 3,166,825
157,100 Lehman Brothers Holding Inc. .......................... 9,907,118
100,200 Mellon Bank Corp. ..................................... 5,975,600
214,400 Merrill Lynch & Co. ................................... 15,343,000
80,200 The Money Store, Inc. ................................. 1,999,987
329,880 Morgan Stanley, Dean Witter, Discover & Co. ........... 22,988,512
89,900 National City Corp. ................................... 5,865,975
404,756 NationsBank Corp. ..................................... 27,725,786
32,200 North Fork Bancorporation, Inc. ....................... 1,100,837
50,000 Northern Trust Corp. .................................. 3,803,125
154,700 Norwest Corp. ......................................... 6,333,031
185,700 PaineWebber Group, Inc. ............................... 7,799,400
99,000 PNC Bank Corp. ........................................ 5,494,500
74,600 Popular, Inc. ......................................... 3,900,181
28,800 Provident Financial Group, Inc. ....................... 1,476,000
53,900 Republic New York Corp. ............................... 6,521,900
89,850 Southtrust Corp. ...................................... 3,672,618
132,100 State Street Corp. .................................... 8,165,431
103,450 SLM Holding Corp. ..................................... 4,273,778
39,400 Suntrust Banks, Inc. .................................. 2,905,750
18,100 UnionBanCal Corp. ..................................... 1,685,562
79,500 Washington Mutual, Inc. ............................... 5,336,437
- --------------------------------------------------------------------------------
391,288,991
- --------------------------------------------------------------------------------
FOODS -- 1.4%
61,000 Dean Foods Co. ........................................ 3,355,000
45,500 Interstate Bakeries Corp. ............................. 1,524,250
56,000 Kellogg Co. ........................................... 2,387,000
35,500 Kroger Co.+............................................ 1,499,875
95,200 McDonald's Corp. ...................................... 5,212,200
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
FOODS -- 1.4% (CONTINUED)
127,100 Quaker Oats Co. ...................................... $ 6,847,512
45,000 Sara Lee Corp. ....................................... 2,542,500
164,700 Tricon Global Restaurants, Inc.+...................... 4,673,362
- -------------------------------------------------------------------------------
28,041,699
- -------------------------------------------------------------------------------
HEALTH CARE -- 4.1%
92,800 Aetna, Inc. .......................................... 8,108,400
12,280 Allegiance Corp. ..................................... 428,265
89,900 Amgen Inc.+........................................... 4,775,937
3,000 Beckman Instruments, Inc. ............................ 145,125
178,400 Bristol-Myers Squibb & Co. ........................... 17,873,450
329,700 Columbia/HCA Healthcare Corp. ........................ 8,943,112
55,500 C.R. Bard, Inc. ...................................... 1,935,562
169,800 Foundation Health Systems, Inc., Class A Shares+...... 4,701,337
4,461 Fresenius Medical Care AG, Class A Shares+............ 102,324
40,100 Mallinckrodt, Inc. ................................... 1,556,381
53,700 McKesson Corp. ....................................... 2,799,112
107,182 Meditrust Corp. ...................................... 3,295,846
110,000 Pharmacia & Upjohn, Inc. ............................. 4,351,875
35,133 PharMerica, Inc.+..................................... 456,729
326,065 Tenet Healthcare Corp.+............................... 12,166,300
70,370 Vencor, Inc.+......................................... 2,018,739
98,700 Wellpoint Health Networks, Inc., Class A Shares+...... 5,767,781
- -------------------------------------------------------------------------------
79,426,275
- -------------------------------------------------------------------------------
INSURANCE -- 7.6%
30,235 Aegon N.V. ........................................... 3,401,437
5,628 Allegheny Corp.+...................................... 1,919,148
86,800 Allmerica Financial Corp. ............................ 5,338,200
179,505 Allstate Corp. ....................................... 16,738,841
51,600 Ambac Financial Group, Inc. .......................... 2,747,700
17,100 American Financial Group, Inc. ....................... 691,481
45,000 American International Group Inc. .................... 5,408,437
1,200 American National Insurance Co. ...................... 116,400
57,700 Chubb Corp. .......................................... 4,605,181
68,250 CIGNA Corp. .......................................... 13,035,750
200,600 Conseco, Inc. ........................................ 9,415,662
346,600 The Equitable Companies, Inc. ........................ 18,131,512
234,350 Everest Reinsurance Holdings, Inc. ................... 8,641,656
44,000 General Resources Corp. .............................. 9,372,000
98,600 Hartford Financial Services Group, Inc. .............. 9,687,450
27,900 ITT Industries, Inc. ................................. 955,575
32,850 Liberty Financial Companies, Inc. .................... 1,190,812
55,000 Loews Corp. .......................................... 5,517,187
37,600 Marsh & McLennan Cos., Inc. .......................... 3,259,450
63,800 MBIA Inc. ............................................ 4,669,362
100,200 Ohio Casualty Corp. .................................. 4,684,350
110,100 Old Republic International Corp. ..................... 4,644,843
96,200 Safeco Corp. ......................................... 5,044,487
16,100 The St. Paul Cos., Inc. .............................. 1,426,862
81,400 Torchmark Corp. ...................................... 3,790,187
13,000 Transamerica Corp. ................................... 1,513,687
- -------------------------------------------------------------------------------
145,947,657
- -------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.6%
11,200 Consolidated Papers, Inc. ............................ 650,300
3,971 Deltic Timber Corp. .................................. 111,684
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.6% (CONTINUED)
97,300 Fort James Corp. ...................................... $ 4,414,987
39,900 Georgia Pacific Corp. ................................. 2,341,631
38,500 International Paper Co. ............................... 1,795,062
120,300 Louisiana Pacific Corp. ............................... 2,639,081
- --------------------------------------------------------------------------------
11,952,745
- --------------------------------------------------------------------------------
PUBLISHING -- 0.9%
19,800 Central Newspapers, Inc. .............................. 1,414,462
26,800 Dow Jones & Co., Inc. ................................. 1,376,850
28,000 Gannett Co. ........................................... 1,807,750
48,400 Knight Ridder, Inc. ................................... 2,722,500
40,000 The McGraw Hill Cos., Inc. ............................ 3,025,000
78,600 The New York Times Co., Class A Shares................. 5,143,387
28,800 Valassis Communications, Inc.+......................... 1,098,000
300 Washington Post, Class B Shares........................ 148,050
- --------------------------------------------------------------------------------
16,735,999
- --------------------------------------------------------------------------------
REAL ESTATE -- 0.2%
183,800 Health & Retirement Property Trust..................... 3,676,000
- --------------------------------------------------------------------------------
RETAIL -- 4.3%
55,700 Albertsons, Inc. ...................................... 2,607,456
239,900 American Stores Co. ................................... 6,042,481
127,000 Circuit City Stores.................................... 4,905,375
100,700 Costco Companies, Inc.+................................ 4,921,712
157,600 Dayton-Hudson Corp. ................................... 12,184,450
268,400 Federated Department Stores, Inc.+..................... 12,581,250
37,400 Footstar, Inc.+........................................ 1,122,000
129,000 Harcourt General Inc. ................................. 6,966,000
25,000 Nordstrom, Inc. ....................................... 1,433,593
110,500 Office Depot, Inc.+.................................... 3,045,656
59,200 Payless ShoeSource, Inc.+.............................. 3,981,200
31,300 Sears Roebuck & Co. ................................... 1,660,856
42,700 SUPERVALU, Inc. ....................................... 2,033,588
74,200 Tandy Corp. ........................................... 3,301,900
145,900 Toys "R" Us, Inc.+..................................... 3,829,875
135,800 VF Corp. .............................................. 6,475,962
212,800 Woolworth Corp.+....................................... 5,054,000
- --------------------------------------------------------------------------------
82,147,354
- --------------------------------------------------------------------------------
TECHNOLOGY -- 5.1%
117,800 Applied Materials, Inc.+............................... 4,336,512
55,000 Arrow Electronics, Inc.+............................... 1,832,187
205,500 Compaq Computer Corp. ................................. 6,588,843
19,100 Dallas Semiconductor Corp. ............................ 907,250
75,000 Digital Equipment Corp.+............................... 4,270,312
56,100 Intel Corp. ........................................... 5,031,468
369,100 International Business Machines Corp. ................. 38,547,881
151,500 Lam Research Corp.+.................................... 4,298,812
67,550 Litton Industries, Inc.+............................... 4,204,987
80,000 National Semiconductor Corp.+.......................... 1,910,000
110,100 Philips Electronics N.V. .............................. 8,574,037
49,200 Pitney Bowes, Inc. .................................... 2,306,250
95,000 Read-Rite Corp.+....................................... 1,353,750
151,700 Storage Technology Corp., Class A Shares+.............. 10,353,525
51,850 Tektronix, Inc. ....................................... 2,313,806
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 5.1% (CONTINUED)
87,400 Unisys Corp.+.......................................... $ 1,562,275
53,600 Western Digital Corp.+................................. 978,200
- --------------------------------------------------------------------------------
99,370,095
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 10.3%
157,800 ACNielsen Corp.+....................................... 3,945,000
313,700 Alcatel Alsthom CGE -- Sponsored ADR................... 8,215,018
42,200 ALLTEL Corp. .......................................... 1,928,012
453,300 Ameritech Corp. ....................................... 18,896,943
636,600 AT&T Corp. ............................................ 38,753,025
355,179 Bell Atlantic Corp. ................................... 31,877,315
437,200 Bellsouth Corp. ....................................... 26,669,200
42,400 Century Telephone Enterprises, Inc. ................... 2,586,400
6 Commscope, Inc.+....................................... 80
362,900 GTE Corp............................................... 19,641,962
314,818 SBC Communications, Inc................................ 23,808,111
148,200 Scientific-Atlanta Corp................................ 2,593,500
55,200 Sprint Corp............................................ 3,643,200
260,900 U.S. West Communications Group......................... 13,583,106
75,000 Worldcom, Inc.+........................................ 2,864,062
- --------------------------------------------------------------------------------
199,004,934
- --------------------------------------------------------------------------------
TOBACCO -- 0.4%
56,900 Gallaher Group PLC ADR................................. 1,315,812
154,400 Phillip Morris Cos., Inc. ............................. 6,706,750
- --------------------------------------------------------------------------------
8,022,562
- --------------------------------------------------------------------------------
TRANSPORTATION -- 2.7%
77,700 AMR Corp.+............................................. 9,833,906
42,400 Burlington Northern Santa Fe Corp...................... 4,224,100
238,300 Canadian Pacific Ltd................................... 6,806,443
78,200 CNF Transportation, Inc................................ 3,059,575
18,350 Delta Airlines, Inc.................................... 2,074,696
102,900 Southwest Airlines Co.................................. 2,951,943
93,500 UAL Corp.+............................................. 7,959,187
144,300 Union Pacific Corp..................................... 7,359,300
128,600 US Airways Group, Inc.+................................ 8,141,987
- --------------------------------------------------------------------------------
52,411,137
- --------------------------------------------------------------------------------
UTILITIES -- 6.1%
5,950 Allegheny Energy, Inc.................................. 181,846
22,900 American Electric Power, Inc........................... 1,099,200
86,300 Baltimore Gas & Electric Co............................ 2,723,843
112,500 Boston Edison Co....................................... 4,366,406
138,150 CMS Energy Corp........................................ 6,113,137
74,600 Coastal Corp........................................... 4,746,425
167,200 Consolidated Edison, Inc............................... 7,106,000
48,500 Dominion Resources, Inc................................ 1,933,937
109,950 DQE, Inc............................................... 3,648,965
55,400 Duke Energy Corp....................................... 3,078,162
314,600 Edison International................................... 8,690,825
96,000 Enova Corp............................................. 2,448,000
184,350 Entergy Corp........................................... 5,334,628
125,857 FirstEnergy Corp....................................... 3,641,986
76,300 FPL Group, Inc......................................... 4,430,168
129,800 GPU, Inc............................................... 5,216,337
99,300 Illinova Corp.......................................... 2,755,575
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES -- 6.1% (CONTINUED)
54,600 IPALCO Enterprises, Inc........................... $ 2,330,737
18,150 KU Energy Corp.................................... 703,312
75,500 LG&E Energy Corp.................................. 1,807,281
69,800 Long Island Lighting Co........................... 2,163,800
46,000 National Fuel Gas Co.............................. 2,144,750
41,500 New Century Energies, Inc......................... 1,934,937
22,700 New England Electric System....................... 956,237
105,700 New York State Electric & Gas Corp................ 3,970,356
100 Northern States Power Co.......................... 5,493
218,900 Phillips Petroleum Co. ........................... 10,726,100
229,200 Pinnacle West Capital Corp. ...................... 9,354,225
159,800 Public Services Enterprise Group, Inc. ........... 5,153,550
323,900 Southern Co. ..................................... 7,996,281
34,100 Texas Utilities Co. .............................. 1,378,918
28,800 Washington Water Power Co. ....................... 658,800
- --------------------------------------------------------------------------------
118,800,217
- --------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $1,389,693,854)....... 1,910,499,517
- --------------------------------------------------------------------------------
PREFERRED STOCK -- 0.0%
- --------------------------------------------------------------------------------
HEALTH CARE -- 0.0%
6,350 Fresenius Medical Care AG, Class D Shares+
(Cost -- $864)................................... 349
- --------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $1,389,694,718).... 1,910,499,866
- --------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 1.1%
$21,206,000 Goldman, Sachs & Co., 5.589% due 3/2/98; Proceeds
at maturity -- $21,215,877;
(Fully collateralized by U.S. Treasury Notes,
5.375% due 2/15/01;
Market value -- $21,640,594) (Cost -- $21,206,000)
.................................................. 21,206,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,410,900,718**)............................... $1,931,705,866
- --------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Repurchase Agreement 1.1%
Retail 4.3%
Capital Goods 5.1%
Technology 5.1%
Utilities 6.1%
Basic Industries 6.6%
Insurance 7.6%
Telecommunications 10.3%
Energy 11.1%
Financial Services 20.3%
Other Common and Preferred Stock 22.4%
SEE NOTES TO FINANCIAL STATEMENTS.
26
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.3%
- --------------------------------------------------------------------------------
ADVERTISING -- 0.3%
41,200 Interpublic Group Cos., Inc.#.......................... $ 2,245,400
5,200 MSC Industrial Direct Corp. ........................... 248,625
53,000 Omnicom Group.......................................... 2,424,750
20,100 Reynolds & Reynolds, Class A Shares.................... 427,125
- --------------------------------------------------------------------------------
5,345,900
- --------------------------------------------------------------------------------
AEROSPACE -- 0.6%
222,300 Boeing Co. ............................................ 12,059,775
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 2.6%
213,200 AES Corp.+............................................. 9,380,800
8,600 Apollo Group, Inc., Class A Shares+#................... 364,425
14,700 Bemis, Inc. ........................................... 662,419
25,900 Corrections Corp. of America+#......................... 990,675
32,150 Engelhard Corp. ....................................... 582,719
14,900 Federal Signal Corp. .................................. 350,150
3,700 Foster Wheeler Corp. .................................. 98,975
1,800 Harsco Corp. .......................................... 75,375
31,600 Hercules Inc. ......................................... 1,526,675
32,900 Honeywell, Inc. ....................................... 2,607,325
166,500 Kimberly-Clark Corp. .................................. 9,271,969
40,000 Maxim Integrated Products, Inc.+....................... 1,615,000
194,000 Monsanto Co. .......................................... 9,869,750
7,000 Morton International, Inc. ............................ 231,437
4,600 PPG Industries Inc. ................................... 298,138
51,600 Praxair, Inc. ......................................... 2,467,125
14,640 Solutia Inc. .......................................... 399,855
3,000 Textron, Inc. ......................................... 224,812
61,020 U.S.A. Waste Service Inc.+#............................ 2,539,958
11,000 Worthington Industries, Inc. .......................... 188,375
64,600 Xerox Corp. ........................................... 5,729,212
- --------------------------------------------------------------------------------
49,475,169
- --------------------------------------------------------------------------------
BROADCASTING -- 0.2%
20,400 Ameritech Corp. ....................................... 850,426
700 Armstrong World Industries, Inc. ...................... 54,950
3,300 Century Telephone Enterprises, Inc. ................... 201,300
2,600 The E.W. Scripps Co., Class A Shares................... 137,963
15,000 Liberty Media Group, Class A Shares.................... 411,563
4,200 Lin Television Corp.+.................................. 231,525
13,300 Meredith Corp. ........................................ 571,068
6,900 Univision Communications, Inc.+........................ 264,788
6,900 USA Network Inc. ...................................... 355,350
- --------------------------------------------------------------------------------
3,078,933
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 7.0%
2,800 Air Products and Chemicals, Inc. ...................... 235,025
18,800 Airgas Inc.+........................................... 337,225
38,600 Allegheny Teledyne Inc. ............................... 1,047,025
155,700 Allied Signal Inc. .................................... 6,626,982
26,000 American Power Conversion Corp.+....................... 754,000
2,800 Betzdearborn Inc. ..................................... 179,725
114,200 Comcast Corp., Class A Shares.......................... 3,997,000
22,500 Crompton & Knowles Corp. .............................. 677,813
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 7.0% (CONTINUED)
14,700 Cytec Industries Inc.+................................. $ 718,463
10,900 Dover Corp. ........................................... 421,013
49,100 Equifax Inc. .......................................... 1,764,532
10,300 Ethyl Corp. ........................................... 84,975
6,300 Fluor Corp. ........................................... 296,494
980,600 General Electric Co. .................................. 76,241,650
9 Halter Marine Group, Inc.+............................. 177
8,700 Illinois Tool Works, Inc. ............................. 521,457
30,900 International Game Technology.......................... 749,325
12,400 Lam Research Corp.#.................................... 351,850
29,800 Leggett & Platt, Inc.#................................. 1,495,587
700 Lyondell Petrochemical Co. ............................ 19,075
66,800 Minnesota Mining & Manufacturing Co. .................. 5,698,875
11,000 Novellus Systems Inc. ................................. 527,312
23,100 Nucor Corp. ........................................... 1,189,650
7,700 Owens Corning#......................................... 237,738
40,800 Pall Corp. ............................................ 854,250
8,300 Presstek Inc.+#........................................ 210,612
14,000 Progressive Corp. - Ohio............................... 1,622,250
27,900 Raychem Corp. ......................................... 1,211,907
9,650 RPM Inc.+ ............................................. 164,050
9,400 Sigma Aldrich#......................................... 371,300
1,400 Tektronix, Inc. ....................................... 62,475
3,400 Teleflex Inc. ......................................... 137,913
41,550 Thermo Electron Corp.+................................. 1,703,550
304,100 Tyco International Ltd. ............................... 15,433,075
65,700 United Technologies Corp. ............................. 5,867,832
6,200 Valassis Communications, Inc. ......................... 236,375
24,300 W.R. Grace & Co. ...................................... 2,039,682
3,700 York International Corp. .............................. 162,568
- --------------------------------------------------------------------------------
134,250,807
- --------------------------------------------------------------------------------
COMPUTER SERVICES -- 6.9%
23,900 Adobe Systems, Inc. ................................... 1,056,082
29,100 Altera Corp.+#......................................... 1,254,938
33,700 America Online, Inc.+#................................. 4,081,913
14,400 Autodesk Inc. ......................................... 682,200
95,700 Automatic Data Processing Inc. ........................ 5,843,682
61,600 Bay Networks Inc.+#.................................... 2,086,700
33,300 BMC Softeware Inc.+#................................... 2,547,450
68,300 Cadence Design System, Inc.+#.......................... 2,386,232
25,000 Ceridian Corp.+........................................ 1,164,063
4,800 DST Systems Inc.+...................................... 253,800
19,300 Electronic Arts Inc.+.................................. 851,613
103,100 Electronic Data Systems Corp. ......................... 4,517,069
161,400 EMC Corp.+#............................................ 6,173,550
24,700 Fore Systems, Inc.+.................................... 396,744
21,600 Gateway 2000 Inc.+#.................................... 950,400
13,700 Gtech Holdings Corp.+.................................. 483,782
266,400 Hewlett-Packard Co. ................................... 17,848,800
26,600 Informix Corp.+ ....................................... 207,813
13,900 Ingram Micro, Inc.+ ................................... 536,888
534,700 Intel Corp. ........................................... 47,955,907
12,600 Intuit Inc.+........................................... 585,900
73,400 Iomega Corp.+#......................................... 669,775
21,500 Keane, Inc.+........................................... 999,750
9,100 Komag Inc.+............................................ 130,813
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMPUTERS SERVICES -- 6.9% (CONTINUED)
21,800 Lexmark Holdings Inc., Class A Shares+#................ $ 931,950
17,600 Microchip Technology, Inc.+............................ 425,700
6,200 Micron Electronics Inc.+............................... 79,825
11,000 National Data Corp. ................................... 484,000
16,550 Networks Associates Inc.+#............................. 1,069,544
41,700 Parametric Technology Inc.+............................ 2,525,457
49,400 Peoplesoft Inc.+....................................... 2,207,563
37,800 Quantum Corp.+......................................... 949,725
86 Siebel Systems Inc.+................................... 5,310
30,100 Silicon Graphics, Inc.+................................ 453,382
29,300 Sterling Commerce, Inc.+............................... 1,336,813
4,700 Sterling Software Inc.+................................ 247,632
122,400 Sun Microsystems Inc.+................................. 5,829,300
226,800 SunGard Data Systems, Inc.+............................ 7,753,725
23,500 Sybase Inc.+........................................... 246,750
16,000 Synopsys Inc.+......................................... 559,000
116,025 3Com Corp.#............................................ 4,147,894
8,100 Total System Services Inc.#............................ 212,625
27,000 UNISYS Corp. .......................................... 482,625
28,600 Western Digital Corp.+#................................ 521,950
300 Westfield America Inc.+................................ 5,363
- --------------------------------------------------------------------------------
134,141,997
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 0.3%
400 Borg-Warner Automotive Inc. ........................... 23,450
19,100 Clayton Homes Inc. .................................... 379,613
9,200 HON Industries, Inc. .................................. 604,900
39,000 MASCO Corp.#........................................... 2,120,625
41,700 Nike Inc., Class B Shares#............................. 1,829,588
16,800 Tupperware Corp. ...................................... 451,500
8,400 USG Corp. ............................................. 458,850
6,600 Westpoint Steven Inc. ................................. 352,275
- --------------------------------------------------------------------------------
6,220,801
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 12.6%
212,500 American Home Products Corp. .......................... 19,921,875
52,700 Anheuser-Busch Co., Inc. .............................. 2,470,313
4,499 Autoliv, Inc. ......................................... 138,907
36,600 Bestfoods.............................................. 3,856,725
4,900 The B.F. Goodrich Co. ................................. 242,856
10,450 Blyth Industries Inc.+................................. 314,154
3,500 Boise Cascade Office Products.......................... 63,218
2,900 Brown-Forman Corp., Class B Shares..................... 160,950
5,900 Cabot Corp. ........................................... 207,975
24,400 Callaway Golf Co.#..................................... 786,900
77,900 Campbell Soup Co. ..................................... 4,523,069
22,400 The Clorox Co. ........................................ 1,965,600
737,800 Coca-Cola Co. ......................................... 50,677,638
69,700 Coca-Cola Enterprises.................................. 2,304,457
144,800 Colgate Palmolive Co. ................................. 11,755,950
155,600 Conagra Inc. .......................................... 4,668,000
75,600 Corning Inc.#.......................................... 3,071,250
9,300 Crown Cork & Seal Co., Inc.#........................... 502,200
10,800 Danaher Corp.#......................................... 776,925
33,200 Dial Corp. ............................................ 786,425
22,600 Diebold, Inc. ......................................... 1,161,075
6,500 Dole Food Inc. ........................................ 353,032
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 12.6% (CONTINUED)
18,500 Eastman Kodak Co.# .................................... $ 1,214,063
1,200 Echlin Inc. ........................................... 60,675
11,300 Estee Lauder Cos., Class A Shares#..................... 661,050
4,600 FDX Corp.+............................................. 292,962
18,775 Fort James Corp. ...................................... 851,916
6,200 Fred Meyer, Inc.+#..................................... 275,513
4,300 Fruit of the Loom Inc., Class A Shares+................ 138,137
37,100 General Mills Inc. .................................... 2,668,882
282,300 Gillette Co. .......................................... 30,453,113
2,600 Hasbro Inc. ........................................... 94,413
14,800 Herman Miller, Inc. ................................... 906,500
19,200 Hershey Foods Corp. ................................... 1,280,400
40,450 HJ Heinz Co. .......................................... 2,277,841
10,550 Hussmann International Inc. ........................... 160,229
12,500 International Flavors & Fragrances, Inc. .............. 575,000
13,100 Interstate Bakeries Corp. ............................. 438,850
3,100 Jefferson Smurfit Corp.+............................... 46,306
4,400 Johns Manville Corp. .................................. 53,075
47,900 Kellogg Co. ........................................... 2,041,738
9,800 Liz Claiborne Inc. .................................... 490,000
95,143 Mattel, Inc.#.......................................... 4,025,739
3,400 McCormick & Co. Inc. .................................. 97,538
2,400 Meritor Automotive Inc. ............................... 60,000
4,183 Midas Inc.+............................................ 73,464
5,700 Nabisco Holdings Corp., Class A Shares#................ 268,969
52,100 Newell Co. ............................................ 2,390,088
3,300 Penzoil Co. ........................................... 220,893
496,300 PepsiCo, Inc. ......................................... 18,145,969
37,700 PETsMART, Inc.+#....................................... 287,463
21,500 Pioneer Hi-Bred International, Inc. ................... 2,230,625
439,600 Procter & Gamble Corp. ................................ 37,338,525
7,800 Quaker Oats Co. ....................................... 420,225
32,000 Ralston-Purnina Group#................................. 3,246,000
7,000 Reebok International Ltd.#............................. 218,313
2,800 Revlon Inc., Class A Shares+........................... 131,425
42,200 Rubbermaid, Inc. ...................................... 1,223,800
93,600 Sara Lee Corp. ........................................ 5,288,400
13,100 Sealed Air Corp.+# .................................... 881,793
4,000 Shaw Industries Inc. .................................. 47,500
11,500 Sherwin-Williams Co. .................................. 384,531
2,200 Snap-On Inc. .......................................... 93,500
8,400 Sonoco Product Co. .................................... 324,975
6,500 Stanley Works.......................................... 310,781
25,700 Starbucks Corp.+#...................................... 1,016,756
19,200 Sunbeam Corp. ......................................... 794,400
2,900 Tootsie Roll Industries Inc. .......................... 216,413
6,600 Tyson Foods Inc., Class A Shares....................... 128,700
15,500 U.S. Industries, Inc. ................................. 432,062
16,600 Unifi, Inc. ........................................... 610,050
55,000 UST, Inc. ............................................. 1,949,063
12,600 Valspar Corp. ......................................... 441,787
18,800 Warnaco Group Inc. .................................... 697,950
10,700 Whitman Corp. ......................................... 190,593
16,700 Winconsin Central Transport+........................... 452,988
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 12.6% (CONTINUED)
33,500 Wm. Wrigley Jr. Co.#................................... $ 2,558,563
12,100 Wolverine World Wide, Inc.#............................ 340,313
- --------------------------------------------------------------------------------
243,230,311
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 1.9%
28,600 AccuStaff, Inc.#....................................... 807,950
582,073 Cendant Corp.+#........................................ 21,827,738
3,600 Choicepoint Inc.+...................................... 172,350
36,900 Ecolab, Inc. .......................................... 1,063,181
19,000 Flowers Industries Inc. ............................... 483,313
2,100 Hannaford Brothers Co. ................................ 88,593
3,100 Host Marriott Corp. ................................... 61,418
19,250 La Quinta Inns, Inc. .................................. 409,063
9,300 Lancaster Colony Corp. ................................ 409,200
25,100 Manpower Inc. ......................................... 1,058,906
6,200 Olsten Corp. .......................................... 99,975
65,500 Pitney Bowes, Inc. .................................... 3,070,313
29,800 Robert Half International, Inc.+....................... 1,348,450
82,400 Service Corp. ......................................... 3,120,900
10,200 Stewart Enterprises, Inc., Class A Shares.............. 480,675
55,900 Sysco Corp. ........................................... 2,630,793
3,300 Viad Corp. ............................................ 79,818
- --------------------------------------------------------------------------------
37,212,636
- --------------------------------------------------------------------------------
ELECTRONICS -- 0.7%
37,200 Adaptec Inc. .......................................... 983,475
52,800 Analog Devices Inc.+#.................................. 1,702,800
4,100 Arrow Electronics, Inc.+............................... 136,581
32,600 Atmel Corp.+........................................... 529,750
900 Avnet, Inc. ........................................... 57,375
7,200 AVX Corp. ............................................. 162,450
14,400 Cypress Semiconductor Corp.+........................... 135,900
6,900 Dallas Semiconductor Corp. ............................ 327,750
4,900 Hubbell, Inc., Class B Shares.......................... 246,838
3,400 Jabil Circuit Inc.+.................................... 178,925
27,600 KLA-Tencor Corp.+...................................... 1,273,913
7,500 Lattice Semiconductor Corp.+........................... 401,718
24,800 Linear Technology Corp.# .............................. 1,878,600
13,656 Molex Inc.# ........................................... 413,094
6,200 National Semiconductor Corp. .......................... 148,025
2,900 Pittway Corp.--Del., Class A Shares.................... 205,900
11,100 Sensormatic Electronics Corp. ......................... 206,738
34,600 Solectron Corp.+# ..................................... 1,673,775
2,200 Thomas & Betts Corp. .................................. 124,713
8,800 Transaction Systems Architects, Inc.+.................. 382,800
11,600 UCAR International Inc.+............................... 399,475
9,800 Varian Associates Inc. ................................ 568,400
4,990 Vishay Intertechnology Inc.+........................... 101,671
11,600 Vitesse Semiconductors Corp.+.......................... 589,063
7,500 VLSI Technology, Inc. ................................. 144,843
- --------------------------------------------------------------------------------
12,974,572
- --------------------------------------------------------------------------------
ENERGY -- 2.3%
18,600 Anadarko Petroleum Corp.# ............................. 1,199,700
4,400 Apache Corp. .......................................... 149,600
48,800 Baker Hughes Inc. ..................................... 1,997,750
14,400 BJ Services Co.+....................................... 495,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENERGY -- 2.3% (CONTINUED)
11,092 Burlington Resources, Inc. ............................ $ 496,367
10,900 Calenergy Co., Inc.+#.................................. 292,256
9,100 Camco International Corp.# ............................ 532,350
22,100 Diamond Offshore Drilling#............................. 1,001,406
24,300 Dresser Industries Inc.+............................... 1,085,906
52,900 E.I. du Pont De Nemours & Co.+......................... 3,243,431
31,100 Enron Corp. ........................................... 1,461,700
9,400 Enron Oil & Gas Co. ................................... 200,925
46,400 ENSCO International Inc. .............................. 1,351,400
7,800 EVI Inc.+.............................................. 382,688
310,400 Global Marine, Inc.+................................... 7,197,399
85,700 Halliburton Co.# ...................................... 3,985,050
32,900 Nabors Industries, Inc.+............................... 752,588
19,100 NGC Corp. ............................................. 296,050
7,900 Noble Affiliates Inc. ................................. 308,100
36,300 Noble Drilling Corp.+.................................. 1,030,013
6,300 Pioneer Natural Resource Co. .......................... 149,231
11,000 Pogo Producing Co. .................................... 308,688
53,786 R & B Falcon Corp.+.................................... 1,425,329
98,200 Republic Industries, Inc.+............................. 2,319,975
25,000 Rowan Companies, Inc.+................................. 704,688
3,600 Seagull Energy Corp.+.................................. 60,750
13,200 Smith International, Inc.+............................. 702,900
12,500 Sonat Inc. ............................................ 539,062
3,920 Texas Utilities Co. ................................... 158,515
180,400 Tosco Corp. ........................................... 6,697,350
17,800 Transocean Offshore, Inc. ............................. 765,400
1,600 Transtexas Gas Corp.+.................................. 26,400
19,300 Union Texas Petroleum Holdings, Inc.# ................. 389,618
9,900 United Meridian Corp.+# ............................... 270,393
17,500 Unocal Corp. .......................................... 659,531
9,100 Unova Inc.+............................................ 174,038
6,200 Valero Energy Corp. ................................... 220,100
5,600 Vastar Resources, Inc. ................................ 208,250
7,300 Western Atlas Inc.+#................................... 554,343
- --------------------------------------------------------------------------------
43,794,240
- --------------------------------------------------------------------------------
ENTERTAINMENT -- 2.0%
5,800 Brunswick Corp.#....................................... 184,150
19,500 Circus Circus Enterprises+# ........................... 429,000
4,833 Gaylord Entertainment Co., Class A Shares ............. 164,322
8,800 Harrah's Entertainment Inc.+........................... 185,350
32,100 Hilton Hotels Corp. ................................... 956,981
33,400 Marriott International, Inc. .......................... 2,530,050
3,400 MGM Grand Inc.# ....................................... 122,825
55,500 Mirage Resorts Inc.+# ................................. 1,269,563
22,353 Promus Hotel Corp.+.................................... 1,078,532
10,100 Regal Cinemas Inc.+.................................... 298,581
84,159 Starwood Hotels & Resorts#............................. 4,760,260
31,000 Time Warner, Inc.# .................................... 2,092,500
48,700 Viacom, Inc.+.......................................... 2,337,600
209,300 The Walt Disney Co. ................................... 23,428,518
- --------------------------------------------------------------------------------
39,838,232
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 10.9%
5,200 Advanta Corp., Class A Shares#......................... 122,525
33,400 Aflac Inc. ............................................ 2,052,013
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 10.9% (CONTINUED)
900 American Bankers Insurance Group, Inc. ................ $ 50,625
117,200 American Express Co. .................................. 10,555,325
152,825 American International Group Inc. ..................... 18,367,654
118,400 Associated First Captial Corp. ........................ 9,472,000
54 Banc One Corp. ........................................ 3,045
1,900 Capital One Financial Corp.#........................... 127,656
600 CCB Financial Corp. ................................... 65,175
59,250 Charles Schwab Corp. .................................. 2,236,688
20,200 Concord Efs. Inc.+#.................................... 628,725
23,000 Conseco Inc.#.......................................... 1,079,563
3,000 Contifinancial Corp.+#................................. 81,375
1,900 Countrywide Credit Industries, Inc. ................... 84,431
21,900 Erie Indemnity Co. .................................... 648,788
4,200 Everest Reinsurance Holdings, Inc. .................... 154,875
185,700 Federal Home Loan Mortgage Corp. ...................... 8,774,325
625,900 Federal National Mortgage Association.................. 39,940,243
37,400 Fifth Third Bancorp#................................... 2,954,600
4,400 The FINOVA Group, Inc. ................................ 242,000
122,900 First Data Corp.#...................................... 4,178,600
54,000 Franklin Resources Inc.#............................... 2,754,000
44,500 Green Tree Financial Corp. ............................ 1,020,718
2,200 Greenpoint Financial Corp. ............................ 163,350
19,400 H&R Block, Inc.#....................................... 913,013
113,200 Household International Inc. .......................... 14,701,850
2,000 Lehman Brothers Holding Inc. .......................... 126,125
18,600 Marsh & McLennan Cos., Inc. ........................... 1,612,388
812,292 MBNA Corp.#............................................ 29,090,207
400 Mercury General Corp. ................................. 22,700
165,100 MGIC Investment Corp.#................................. 12,165,806
11,700 The Money Store, Inc.#................................. 291,768
7,900 Morgan Stanley, Dean Witter, Discover & Co. ........... 550,531
3,200 National Commerce Bancorp.............................. 120,400
6,000 Northern Trust Corp. .................................. 456,375
22,200 Norwest Corp. ......................................... 908,813
164,350 Paycheck Inc. ......................................... 8,484,567
2,600 Paymentech Inc.+ ...................................... 42,900
1,400 The PMI Group Inc. .................................... 101,850
1,880 Provident Cos., Inc. .................................. 67,680
7,500 Provident Financial Group, Inc. ....................... 384,375
1,000 Reliance Group Holdings................................ 17,000
21,800 Star Banc Corp.#....................................... 1,283,475
228,700 State Street Boston Corp. ............................. 14,136,518
57,750 Student Loan Marketing Association..................... 2,385,796
57,050 SunAmerica Inc. ....................................... 2,585,078
49,550 Synovus Financial Corp. ............................... 1,740,443
15,600 T. Rowe Price Associates, Inc. ........................ 1,035,450
6,400 TCF Financial Corp. ................................... 211,600
105,950 Travelers Group, Inc. ................................. 5,906,713
9,600 20th Century Industries................................ 256,800
6,000 U.S. Bancorp........................................... 690,375
21,100 United Asset Management Corp.#......................... 560,468
21,600 UNUM Corp. ............................................ 1,111,050
10,700 Washington Mutual, Inc. ............................... 718,238
700 Wilmington Trust Corp. ................................ 43,313
11,300 Zions Bancorp.......................................... 485,900
- --------------------------------------------------------------------------------
208,967,864
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
HEALTH CARE -- 20.4%
235,400 Abbott Labs, Inc. .................................... $ 17,610,863
13,897 Aetna, Inc. .......................................... 1,214,250
25,800 Alza Corp.+#.......................................... 964,275
86,100 Amgen Inc. ........................................... 4,574,063
91,600 Baxter International Inc. ............................ 5,186,850
34,500 Becton Dickinson & Co. ............................... 2,195,063
7,700 Bergen Brunswig Corp., Class A Shares................. 346,500
3,900 Beverly Enterprises, Inc.+#........................... 59,231
32,000 Biomet, Inc.#......................................... 954,000
40,200 Boston Scientific Corp.+#............................. 2,401,950
213,400 Bristol-Myers Squibb Co. ............................. 21,380,013
35,800 Cardinal Health Inc. ................................. 2,931,125
97,400 Columbia/HCA Healthcare Corp. ........................ 2,641,975
35 Crescendo Pharmaceuticals Corp.+...................... 415
13,500 Dentsply International Inc. .......................... 418,500
1,400 DePuy, Inc. .......................................... 37,713
14,400 Dura Pharmaceuticals, Inc.+........................... 361,800
209,700 Elan Corp. PLC ADR+#.................................. 13,014,506
592,900 Eli Lilly & Co.#...................................... 39,020,231
10,400 First Health Group Corp.+............................. 518,050
6,600 Forest Labs Inc., Class A Shares+..................... 412,913
36,320 Foundation Health Systems Inc., Class A Shares+#...... 1,005,610
5,900 Genesis Health Ventures Inc.+......................... 171,100
14,500 Genzyme Corp. - General Division+..................... 428,656
152,700 Guidant Corp. ........................................ 11,137,555
65,400 HBO & Co. ............................................ 3,539,775
12,800 Health Care & Retirement Corp.+....................... 561,600
46,875 Health Managment Associates, Inc.+.................... 1,303,710
336,600 HealthSouth Corp.+#................................... 9,088,200
35,100 Humana, Inc.+......................................... 892,856
5,900 Immunex Corp.+........................................ 348,838
15,700 Ivax Corp. ........................................... 132,468
439,500 Johnson & Johnson..................................... 33,182,250
9,300 Lincare Holdings, Inc.+#.............................. 603,628
5,800 Manor Care Inc. ...................................... 217,863
8,900 McKesson Corp. ....................................... 463,913
51,100 Medpartners, Inc.+#................................... 613,200
477,200 Medtronic, Inc. ...................................... 25,351,250
392,000 Merck & Co., Inc. .................................... 50,004,500
34,400 Mylan Laboratories Inc.#.............................. 700,900
26,600 Omnicare, Inc. ....................................... 984,200
26,000 Oxford Health Plans, Inc.+............................ 446,875
11,600 Pacificare Health System Inc.+#....................... 725,000
633,200 Pfizer Inc. .......................................... 56,038,200
51 PharMerica, Inc.+..................................... 663
21,100 Phycor Inc.+.......................................... 542,665
17,100 Quintiles Transnational Corp. ........................ 835,763
24,300 Quorum Health Group, Inc.+............................ 673,565
52,800 Rite Aid Corp.#....................................... 1,709,400
406,400 Schering Plough Corp. ................................ 30,911,799
8,200 Shared Medical Systems Corp.#......................... 626,787
7,100 Sofamor Danek Group, Inc.+#........................... 534,275
27,100 St. Jude Medical, Inc.#............................... 989,150
24,100 Stryker Corp.#........................................ 986,593
31,600 Sybron International Corp. ........................... 863,075
27,030 Tenet Healthcare Corp. ............................... 1,008,556
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
HEALTH CARE -- 20.4% (CONTINUED)
42,700 United Healthcare Corp. .............................. $ 2,591,356
10,000 U.S. Surgical Corp. .................................. 306,250
7,700 Universial Health Services, Class B Shares+........... 402,325
20,100 Vencor, Inc.+......................................... 576,618
227,300 Warner-Lambert Co. ................................... 33,242,625
28,700 Watson Pharmaceuticals, Inc.+......................... 1,029,613
3,400 Wellpoint Health Networks, Inc., Class A Shares+...... 198,687
- -------------------------------------------------------------------------------
392,216,198
- -------------------------------------------------------------------------------
MANUFACTURING -- 0.3%
10,300 Crane Co. ............................................ 504,700
39,600 Emerson Electric Co. ................................. 2,526,975
1,900 Harnischfeger Industries, Inc. ....................... 67,212
16,000 Hillenbrand Industries................................ 899,000
13,100 Lear Corp.+........................................... 692,662
32,400 Owens-Illinois, Inc.+................................. 1,243,350
11,100 Steris Corp.+......................................... 656,981
6,700 Witco Corp. .......................................... 266,743
- -------------------------------------------------------------------------------
6,857,623
- -------------------------------------------------------------------------------
METALS -- 0.1%
8,400 Battle Mountain Gold Co............................... 50,400
55,900 Freeport-McMoRan Copper & Gold, Inc, Series B......... 841,993
51,223 Newmont Mining Corp. ................................. 1,482,265
3,900 Newmont Gold Co. ..................................... 114,075
2,600 Southern Peru Cooper Corp. ........................... 34,288
- -------------------------------------------------------------------------------
2,523,021
- -------------------------------------------------------------------------------
MISCELLANEOUS -- 0.2%
23,500 American Standard Co.+#............................... 1,045,750
6,000 Corn Products International Inc.+..................... 199,500
17,100 Fiserv Inc.+.......................................... 936,225
7,900 Precision Castparts Corp. ............................ 437,956
1,100 Protective Life Corp. ................................ 76,038
7,900 R.P. Scherer Corp.+................................... 480,418
- -------------------------------------------------------------------------------
3,175,887
- -------------------------------------------------------------------------------
PUBLISHING -- 0.6%
2,800 Central Newspapers, Inc. ............................. 200,025
6,800 Chancellor Media Corp.+#.............................. 304,300
23,000 Deluxe Corp. ......................................... 783,438
78,200 Gannett Co. .......................................... 5,048,787
6,400 Harte-Hanks Communication Inc. ....................... 278,000
1,400 Hollinger International Inc., Class A Shares#......... 22,488
1,400 Knight Ridder, Inc. .................................. 78,750
8,200 Lee Enterprises Inc. ................................. 254,200
7,100 McGraw Hill, Inc. .................................... 536,938
6,700 New York Times Co., Class A Shares.................... 438,431
8,200 Readers Digest Association Inc., Class A Shares....... 217,813
1,700 R.R. Donnelley & Sons Co.#............................ 67,363
23,000 Times Mirror Corp. Class A Shares#.................... 1,415,938
26,700 Tribune Co. .......................................... 1,723,818
- -------------------------------------------------------------------------------
11,370,289
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
REAL ESTATE -- 0.1%
20,800 Catellus Development Corp.+.......................... $ 377,000
20,000 Rouse Co. ........................................... 665,000
22,000 Vornado Realty Trust................................. 933,625
- ------------------------------------------------------------------------------
1,975,625
- ------------------------------------------------------------------------------
RESTAURANT -- 0.7%
8,600 Boston Chicken Inc.+#................................ 59,663
17,400 Cracker Barrel Old Country Inc. ..................... 703,613
207,100 McDonald's Corp. .................................... 11,338,725
14,800 Outback Steakhouse, Inc.+#........................... 529,100
9,000 Planet Hollywood International, Inc., Class A
Shares+#............................................ 90,563
31,570 Tricon Global Restaurants, Inc.+..................... 895,799
17,500 Wendy's International, Inc. ......................... 379,531
- ------------------------------------------------------------------------------
13,996,994
- ------------------------------------------------------------------------------
RETAIL -- 8.8%
28,800 Albertsons, Inc.#.................................... 1,348,200
49,800 Autozone Inc.+#...................................... 1,506,450
34,600 Avery Dennison Corp. ................................ 1,747,300
40,800 Avon Products Inc.#.................................. 2,873,850
13,700 Barnes & Noble Inc.+................................. 481,213
81,800 Bed Bath & Beyond Inc.+#............................. 3,532,738
22,900 Borders Group, Inc.+................................. 762,856
20,300 Cintas Corp. ........................................ 862,750
32,300 Circuit City Stores, Inc. ........................... 1,247,588
175,200 Consolidated Stores Corp.+........................... 7,205,100
38,400 Corporate Express Inc.+ ............................. 388,800
265,300 Costco Cos., Inc.+#.................................. 12,966,538
196,738 CVS Corp. ........................................... 14,570,908
21,300 Dayton-Hudson Corp. ................................. 1,646,756
331,900 Dollar General Corp. ................................ 15,308,886
9,000 Dollar Tree Stores Inc.+............................. 390,375
17,900 Family Dollar Stores, Inc. .......................... 637,688
9,000 Fastenal Corp.#...................................... 394,875
19,600 Federated Department Stores, Inc.+................... 918,750
99,300 Gap, Inc. ........................................... 4,437,468
41,700 General Nutrition Cos., Inc., Class A Shares+........ 1,657,575
14,500 Harcourt General Inc. ............................... 783,000
239,250 Home Depot Inc.#..................................... 15,267,140
20,300 Ikon Office Solutions Inc.#.......................... 663,556
14,000 Intimate Brands Inc.#................................ 379,750
11,200 Jones Apparel Group, Inc.+#.......................... 616,000
190,500 Kohl's Corp.+........................................ 15,275,718
65,600 Kroger Co.+.......................................... 2,771,600
13,873 Limited Inc. ........................................ 402,317
43,700 Lowe's Cos., Inc. ................................... 2,553,718
6,600 Neiman-Marcus Group Inc., Class A Shares............. 245,438
8,300 Nine West Group Inc.+ ............................... 228,250
1,200 Nordstrom, Inc. ..................................... 68,813
30,400 Office Depot, Inc.+#................................. 837,900
19,600 Officemax Inc.+...................................... 327,075
36 Payless Shoe Source. Inc.+........................... 2,421
12,200 The Pep Boys -- Manny, Moe & Jack.................... 312,625
15,600 Ross Stores, Inc. ................................... 614,250
471,944 Safeway, Inc.+#...................................... 16,459,047
18,100 Saks Holdings Inc.+.................................. 472,863
75,300 Sears Roebuck & Co. ................................. 3,995,606
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
RETAIL -- 8.8% (CONTINUED)
19,100 Southland Corp.+....................................... $ 37,006
81,750 Staples Inc.+.......................................... 1,726,968
15,500 Tandy Corp. ........................................... 689,750
10,000 Tiffany & Co.#......................................... 470,000
52,800 TJX Cos. Inc. ......................................... 2,039,400
27,500 Viking Office Products Inc. ........................... 605,000
366,100 Wal-Mart Stores, Inc.#................................. 16,955,006
234,900 Walgreen Co. .......................................... 8,617,893
3,800 Winn-Dixie Stores#..................................... 204,963
19,400 Woolworth Corp.+....................................... 460,750
- --------------------------------------------------------------------------------
168,970,487
- --------------------------------------------------------------------------------
TECHNOLOGY -- 10.5%
23,500 Advanced Micro Devices, Inc.+.......................... 550,781
17,600 AMP, Inc. ............................................. 777,700
29,537 Andrew Corp.+.......................................... 815,959
120,000 Applied Materials, Inc.+............................... 4,417,500
22,400 Biogen, Inc. .......................................... 988,400
12,400 Cambridge Technology Partners Inc.+.................... 564,200
22,900 Centocor Inc.+......................................... 825,831
57,400 Chiron Corp.+.......................................... 1,101,363
405,800 Cisco Systems Inc.+.................................... 26,732,074
53,000 Cognizant Corp. ....................................... 2,646,688
15,500 Coltec Industries Inc.+................................ 403,968
7,266 Commscope, Inc.+....................................... 97,182
659,100 Compaq Computer Corp.#................................. 21,132,393
29,900 CompUSA, Inc. ......................................... 1,046,500
137,062 Computer Associates International Inc. ................ 6,459,046
23,800 Computer Sciences Corp.+............................... 2,491,563
47,900 Compuware Corp.+ ...................................... 2,017,788
15,500 Cooper Cameron Corp.+.................................. 831,188
135,000 Dell Computer Corp.+#.................................. 18,883,125
17,000 Electronics For Imaging, Inc.+......................... 375,063
15,300 Gartner Group Inc., Class A Shares+.................... 610,087
31,300 General Instrument Corp.+.............................. 522,318
5,400 General Semiconductor Inc.+............................ 75,263
46,300 LSI Logic Corp.+....................................... 1,096,731
52,200 Micron Tech Inc.#...................................... 1,732,388
820,800 Microsoft Corp.+....................................... 69,562,800
14,300 Millipore Corp.#....................................... 540,718
17,700 Novell Inc.+........................................... 186,126
248,800 Oracle Systems Corp.+.................................. 6,126,700
22,400 Pairgain Technology Inc.+.............................. 450,800
14,400 Perkin-Elmer Corp.#.................................... 1,053,900
149,000 Schlumberger Ltd. ..................................... 11,230,875
19,600 SCI Systems, Inc.+#.................................... 882,000
19,400 Scientific-Atlanta Corp. .............................. 339,500
80,000 Seagate Technology Inc.+............................... 1,945,000
10,800 Security Dynamics Technologies Inc.+................... 384,750
13,000 Sunstrand Corp. ....................................... 786,500
9,850 Symbol Technologies Inc. .............................. 502,965
11,600 Tech Data Corp.+#...................................... 539,400
5,100 Teletech Holdings Inc.+................................ 48,768
27,300 Teradyne, Inc.+#....................................... 1,288,218
127,700 Texas Instruments Inc. ................................ 7,390,638
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
TECHNOLOGY -- 10.5% (CONTINUED)
5,575 Thermo Instruments Systems Inc.+#.................... $ 195,821
22,400 Xilinx Inc.+......................................... 982,800
- ------------------------------------------------------------------------------
201,633,378
- ------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 6.1%
43,800 ADC Telecommunications, Inc.+........................ 1,130,588
23,500 Advanced Fibre Communications Designs Inc.+.......... 703,531
12,800 A.H. Belo Corp.+..................................... 700,800
255,300 AirTouch Communications, Inc., Series A+............. 11,472,544
55,470 Ascend Communication Inc.+........................... 2,076,658
37,100 Cabletron Systems Inc. .............................. 575,050
32,500 Ciena Corp.+......................................... 1,362,968
44,500 Cinncinnati Bell Inc. ............................... 1,424,000
20,100 Clear Channel Communications, Inc.+.................. 1,821,563
27,000 DSC Communications Corp.+............................ 529,875
185,500 Ericsson LM Telephone ADR#........................... 8,405,468
13,800 Excel Communications, Inc.#.......................... 290,663
47,900 GTE Corp. ........................................... 2,592,588
27,300 LCI International, Inc.+............................. 900,900
333,711 Lucent Technologies Inc. ............................ 36,165,929
2,900 MEMC Electronic Materials, Inc.+..................... 48,938
182,600 Motorola Inc. ....................................... 10,179,950
17,243 Netscape Communications Corp.+....................... 334,083
8,000 Panamsat Corp.+...................................... 425,000
42,400 Primedia Inc.+....................................... 585,650
19,600 Qualcomm, Inc.+#..................................... 999,600
47,100 SBC Communications, Inc. ............................ 3,561,938
1,000 Southern New England Telecommunications Corp. ....... 63,125
10 TCI Satellite Entertainment Inc., Class A Shares+.... 66
2 Tele-Communications TCI Ventures - Group A+.......... 30
77,145 Tele-Communications, Inc., Class A Shares+........... 2,242,026
7,500 Telephone & Data Systems, Inc. ...................... 326,718
9,100 Teleport Communications Group, Inc., Class A
Shares+............................................. 497,088
129,400 Tellabs, Inc.#....................................... 7,812,525
39,800 360 Communications Corp. ............................ 1,054,700
17,500 Tidewater, Inc.#..................................... 778,750
2,700 United State Cellular Corp.+#........................ 81,506
5,600 Wallace Computer Service Inc. ....................... 203,700
7,500 Weatherford Enterra, Inc.+........................... 259,688
482,800 Worldcom, Inc.#...................................... 18,436,924
- ------------------------------------------------------------------------------
118,045,130
- ------------------------------------------------------------------------------
TOBACCO -- 1.8%
793,000 Phillip Morris Cos., Inc. ........................... 34,445,938
- ------------------------------------------------------------------------------
TRANSPORTATION -- 0.3%
900 CNF Transporation, Inc. ............................. 35,213
17,350 Comair Holdings Inc. ................................ 461,943
24,300 Gulfstream Aerospace Corp.+.......................... 984,150
49,800 Harley Davidson Inc. ................................ 1,444,200
5,200 Illinois Central Corp.#.............................. 201,825
13,700 Kansas City Southern Industries, Inc. ............... 509,468
10,700 Northwest Airlines Corp., Class A Shares+............ 629,963
10,500 Pittston Brink's Group .............................. 405,563
57,981 Union Pacific Corp. ................................. 1,297,324
- ------------------------------------------------------------------------------
5,969,649
- ------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- ---------------------------------------------------------------------------------
WASTE MANAGEMENT -- 0.1%
4,900 Browning Ferris Industries, Inc.#.................. $ 163,231
28,100 U.S. Filter Corp.+#................................ 953,643
- ---------------------------------------------------------------------------------
1,116,874
- ---------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $1,106,165,562)........ 1,892,888,330
- ---------------------------------------------------------------------------------
U.S. TREASURY BILL -- 0.2%
$ 3,480,000 U.S. Treasury Bill, 4.970% due 3/26/98 (Cost --
$3,467,508)...................................... 3,467,508
- ---------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $1,109,633,070)..... 1,896,355,838
- ---------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.5%
26,171,000 Goldman, Sachs & Co., 5.589% due 3/2/98; Proceeds
at maturity -- $26,183,189;
(Fully collateralized by U.S. Treasury Notes,
5.375% due 2/15/01;
Market value -- $26,707,347)...................... 26,171,000
3,348,000 Goldman, Sachs & Co., 5.589% due 3/2/98; Proceeds
at maturity -- $3,349,559;
(Fully collateralized by U.S. Treasury Notes,
5.375% due 2/15/01;
Market value -- $3,416,614)....................... 3,348,000
- ---------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost -- $29,519,000).. 29,519,000
- ---------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,139,152,070**)................................ $1,925,874,838
- ---------------------------------------------------------------------------------
</TABLE>
# 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.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
U.S. Treasury Bill 0.2%
Repurchase Agreements 1.5%
Telecommunications 6.1%
Computer Services 6.9%
Capital Goods 7.0%
Retail 8.8%
Technology 10.5%
Financial Services 10.9%
Consumer Products 12.6%
Other Common Stocks 15.1%
Health Care 20.4%
SEE NOTES TO FINANCIAL STATEMENTS.
39
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCKS -- 99.2%
- --------------------------------------------------------------------------------
BANKING -- 8.6%
8,980 Anchor Bancorp Wisconsin Inc. ........................... $ 386,140
100,000 Andover Bancorp Inc. .................................... 3,987,500
9,024 Area Bancshares Corp. ................................... 234,624
48,542 Associated Banc Corp. ................................... 2,542,387
3,039 Bancfirst Corp. ......................................... 115,482
19,666 Bancorp South Inc. ...................................... 857,929
15,786 Bank Plus Corp. ......................................... 232,843
27,508 Bank United Corp., Class A Shares ....................... 1,296,315
317,000 Bankatlantic Bancorp Inc., Class A Shares++.............. 4,140,806
67,998 Bankatlantic Bancorp Inc., Class B Shares ............... 917,973
57,489 Banknorth Group Inc. .................................... 3,686,482
11,570 Brenton Banks Inc. ...................................... 245,863
8,104 BSB Bancorp ............................................. 251,224
5,964 BT Financial Corp. ...................................... 323,547
1,410 Capital City Bank Group Inc. ............................ 61,864
5,100 CBT Corp. ............................................... 181,050
22,860 CFX Corp. ............................................... 695,801
12,408 Citfed Bancorp Inc. ..................................... 649,869
2,365 Citizens Bancshares Inc., of Ohio++ ..................... 170,871
14,138 Citizens Banking Corp. of Michigan ...................... 475,390
6,382 Citizens Corp. .......................................... 212,999
16,404 CNB Bancshares Inc.++ ................................... 760,735
30,454 Colonial Bancgroup Inc. ................................. 1,035,436
3,007 Commerce Bancorp Inc., of New Jersey .................... 143,208
151,316 Commercial Federal Corp. ................................ 5,352,804
16,094 Commonwealth Bancorp .................................... 327,915
7,109 Community Bank System Inc. .............................. 243,928
16,850 Community First Bankshares Inc. ......................... 893,050
8,246 Community Trust Bancorp ................................. 241,195
7,985 Corus Bancorp ........................................... 351,340
21,700 Cullen Frost Bankers Inc. ............................... 1,235,544
3,251 CVB Financial Corp. ..................................... 87,777
12,434 Dime Community Bancorp .................................. 312,404
7,549 F & M Bancorp Inc., of Wisconsin ........................ 305,735
9,405 First Citizens Bancshares Inc. .......................... 1,090,980
16,503 First Colorado Bancorp. ................................. 416,701
10,953 First Commerce Bancshares Inc. .......................... 316,952
8,218 First Federal Capital Corp. ............................. 261,949
15,191 First Financial Bancorp. ................................ 829,808
8,356 First Financial Bankshares, Inc. ........................ 334,240
120,000 First Hawaiian Inc. ..................................... 4,755,000
17,424 First Midwest Bancorp Inc. .............................. 768,834
9,261 First Republic Bancorp .................................. 346,130
9,632 First Savings Bank of Washington ........................ 245,616
7,898 First Savings Bank, SLA of New Jersey ................... 361,334
5,471 First United Bancshares of Arkansas ..................... 262,608
10,588 First Western Bancorp Inc. .............................. 308,376
14,944 Firstbank of Illinois Co. ............................... 677,150
136,312 Firstbank Puerto Rico San Juan .......................... 5,392,844
5,600 Firstfed Financial Corp.+ ............................... 226,100
4,834 Flagstar Bancorp Inc. ................................... 109,369
6,993 GBC Bancorp ............................................. 409,091
6,359 Hamilton Bancorp Inc. ................................... 203,488
4,856 Harbor Florida Bancorp .................................. 342,348
7,944 Harris Savings Bank ..................................... 162,852
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKING -- 8.6% (CONTINUED)
10,000 IBS Financial Corp. ..................................... $ 177,500
29,576 Imperial Bancorp. ....................................... 976,008
7,527 Interwest Bancorp Inc. .................................. 312,370
9,864 Klamath First Bancorp Inc. .............................. 221,940
9,549 Life Bancorp Inc. ....................................... 342,570
23,700 Long Island Bancorp Inc. ................................ 1,426,444
14,506 MAF Bancorp Inc. ........................................ 540,348
9,482 Mainstreet Bankgroup Inc. ............................... 272,608
6,984 Merchants New York Bancorp .............................. 270,630
2,016 Mississippi Valley Bancshares, Inc. ..................... 88,956
11,503 ML Bancorp Inc. ......................................... 359,469
3,833 National Bancorp of Alaska Inc. ......................... 463,793
8,933 National Penn Bancshares Inc. ........................... 312,655
8,783 NBT Bancorp Inc ......................................... 232,749
7,349 Ocean Financial Corp. ................................... 259,052
20,506 Old National Bancorp .................................... 958,656
12,287 Onbancorp Inc. .......................................... 892,343
26,897 One Valley Bancorp Inc. ................................. 991,827
5,393 Oriental Financial Group ................................ 181,340
15,769 PFF Bancorp Inc. ........................................ 305,524
22,498 Provident Bankshares Corp. .............................. 773,369
11,088 Queens County Bancorp Inc. .............................. 440,748
9,192 Reliance Bancorp Inc. ................................... 326,316
15,749 Republic Bancorp Inc. ................................... 305,137
19,388 Riggs National Corp ..................................... 513,782
38,332 Roslyn Bancorp Inc. ..................................... 874,449
10,153 S & T Bancorp Inc. ...................................... 535,571
5,677 Santa Barbara Bancorp ................................... 292,365
47,300 SIS Bancorp Inc. ........................................ 1,779,662
9,366 Southwest Bancorp of Texas .............................. 337,176
244,771 Sovereign Bancorp Inc. .................................. 4,742,438
8,903 Star Bancorp ............................................ 524,185
4,664 St. Francis Capital Corp. ............................... 202,884
33,297 St. Paul Bancorp Inc. ................................... 882,371
2,353 Sumitomo Bank of California ............................. 110,003
22,200 Susquehanna Bancshares Inc. ............................. 810,300
12,948 Texas Regional Bancshares, Inc. ......................... 448,324
10,659 Triangle Bancorp ........................................ 321,769
6,032 Trustco Bank Corp. of New York .......................... 165,880
13,279 United Bankshares Inc.++ ................................ 674,739
4,874 US Bancorp Inc. of Pennsylvania ......................... 342,399
13,246 Vermont Financial Services Corp. ........................ 363,437
13,255 Webster Financial Corp. ................................. 851,634
16,091 Wesbanco Inc. ........................................... 459,599
6,046 West Coast Bancorp of Oregon ............................ 163,242
36,279 Westamerica Bancorp ..................................... 1,238,021
- --------------------------------------------------------------------------------
78,846,382
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 14.4%
34,815 A. Schulman, Inc. ....................................... 887,783
9,850 ABT Building Products Corp. ............................. 157,600
11,554 Acme Metals Inc.+ ....................................... 111,207
750 AFC Cable Systems Inc. .................................. 26,672
1,295 Aftermarket Technology Corp. ............................ 30,999
299,488 AK Steel Holding Corp. .................................. 5,596,682
22,018 Albemarle Corp. ......................................... 536,689
160,000 Allied Products Corp. ................................... 3,670,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 14.4% (CONTINUED)
1,986 Altron Inc. ............................................. $ 30,535
120,446 A.M. Castle & Co. ....................................... 2,905,760
21,146 Amax Gold Inc. .......................................... 58,152
9,136 Amcast Industrial Corp. ................................. 202,134
24,404 AMCOL International Corp. ............................... 347,757
83,600 Armco Inc. .............................................. 444,125
29,217 Ball Corp. .............................................. 953,205
200,782 Barnes Group Inc. ....................................... 5,923,069
6,698 Belden Inc. ............................................. 260,803
29,238 Birmingham Steel Corp. .................................. 513,492
14,821 Brush Wellman Inc. ...................................... 400,167
90,803 Butler Manufacturing Co. ................................ 3,200,806
31,326 Calgon Carbon Corp. ..................................... 407,238
18,702 Calmat Co. .............................................. 537,683
11,121 Cambrex Corp. ........................................... 550,490
104,805 Caraustar Industries Inc. ............................... 3,537,169
927 The Carbide/Graphite Group, Inc. ........................ 28,331
18,870 Carpenter Technology Corp. .............................. 892,787
15,725 Chemfirst Inc. .......................................... 415,730
20,462 Chesapeake Corp. ........................................ 694,429
35,262 Cincinnati Milacron Inc.++ .............................. 1,088,714
6,811 Citation Corp. .......................................... 131,963
11,154 Clarcor Inc. ............................................ 336,014
98,356 Cleveland Cliffs Inc. ................................... 5,053,039
21,179 Coeur d'Alene Mines Corp.++ ............................. 240,911
105,000 Cohu Inc. ............................................... 4,856,250
52,510 Collins & Aikman Corp.+ ................................. 413,516
10,814 Columbus McKinnon Corp. ................................. 251,426
121,738 Commercial Metals Co. ................................... 3,895,616
304,468 Commonwealth Industries Inc. ............................ 4,433,815
23,779 Cone Mills Corp.+ ....................................... 194,691
7,385 Copart Inc. ............................................. 133,392
5,455 CSS Industries Inc.+ .................................... 192,289
12,700 Dames & Moore Group ..................................... 163,513
22,900 Dexter Corp. ............................................ 930,312
105,300 Ennis Business Forms, Inc. .............................. 1,118,813
500,000 Ethyl Corp. ............................................. 4,125,000
3,885 Fab Industries Inc. ..................................... 126,020
13,636 Fairchild Corp., Class A Shares ......................... 335,787
127,628 Fleetwood Enterprises++ ................................. 5,982,563
12,462 Florida Rock Industries Inc. ............................ 325,570
13,817 Foamex International Inc.+ .............................. 198,619
30,796 Furniture Brands International, Inc. .................... 843,041
972 General Binding Corp. ................................... 30,739
10,829 General Chemical Group Inc. ............................. 309,980
22,963 Geon Co. ................................................ 459,260
14,630 Georgia Gulf Corp. ...................................... 481,876
7,800 Giant Cement Holding Inc. ............................... 202,800
2,860 Gibraltar Steel Corp. ................................... 69,713
149,026 Gleason Corp. ........................................... 4,973,743
8,635 Graco Inc. .............................................. 254,733
13,358 Greif Brothers Corp., Class A Shares .................... 484,228
192,891 Guilford Mills Inc. ..................................... 5,473,282
10,900 Handy & Harman .......................................... 397,169
13,254 HB Fuller Co. ........................................... 753,821
54,344 Hecla Mining Co.+ ....................................... 326,064
6,041 Holophane Corp. ......................................... 146,494
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 14.4% (CONTINUED)
7,447 Houston Exploration Co. ................................. $ 134,046
4,117 Input/Output Inc. ....................................... 88,773
255,661 Intermet Corp. .......................................... 5,049,305
12,998 Interpool Inc. .......................................... 185,214
17,355 J & L Specialty Steel Inc. .............................. 159,449
23,058 Kaiser Aluminum Corp.+ .................................. 226,257
9,328 LeaRonal Inc. ........................................... 264,099
11,076 Lilly Industries Inc., Class A Shares ................... 222,904
863 Littlefuse Inc. ......................................... 24,380
20,539 Lone Star Industries Inc.++ ............................. 1,237,475
15,043 Lukens Inc. ............................................. 451,290
43,773 M.A. Hanna & Co. ........................................ 1,014,986
14,749 Material Sciences Corp. ................................. 179,753
5,634 Maxxam Inc. ............................................. 300,011
15,548 McClatchy Newspapers Inc., Class A Shares ............... 426,598
3,113 Mine Safety Appliances Co. .............................. 193,006
126,972 Mississippi Chemical Corp.++ ............................ 2,348,982
31,669 Mohawk Industries Inc.+ ................................. 831,311
6,749 Moog Inc., Class A Shares ............................... 237,902
16,829 Mueller Industries Inc.+ ................................ 927,699
14,181 NAC Re Corp. ............................................ 729,435
6,509 NACCO Industries Inc., Class A Shares ................... 846,577
20,565 National Steel Corp., Class B Shares .................... 318,757
3,440 NCH Corp. ............................................... 209,625
691 NCI Building Systems, Inc. .............................. 27,294
9,188 Nichols Research Corp. .................................. 244,630
15,102 NL Industries, Inc. ..................................... 224,642
9,281 Nortek Inc. ............................................. 288,871
10,595 OM Group Inc. ........................................... 470,815
19,240 Oregon Steel Mills Inc. ................................. 387,205
8,682 Osmonics Inc. ........................................... 143,796
19,900 Polymer Group, Inc. ..................................... 258,700
13,147 Pope & Talbot Inc. ...................................... 180,771
4,346 Puerto Rican Cement Co. Inc. ............................ 201,002
7,076 Quanex Corp. ............................................ 234,392
10,277 Reliance Steel & Aluminum Co. ........................... 362,264
34,605 Rock-Tenn Co., Class A Shares ........................... 655,332
6,282 Rogue Steel Co., Class A Shares ......................... 92,659
5,275 Ryerson Tull Inc., Class A Shares ....................... 89,345
5,556 Sanderson Farms Inc. .................................... 60,421
10,720 Scotsman Industries Inc. ................................ 314,900
8,101 Shaw Group Inc. ......................................... 194,424
4,351 Shiloh Industries Inc.+ ................................. 90,827
7,885 Stepan Chemical Co. ..................................... 219,794
4,981 Synthetic Industries Inc. ............................... 124,525
7,250 Tennant Co. ............................................. 263,719
39,515 Terra Industries Inc. ................................... 469,241
130,197 Texas Industries Inc. ................................... 7,356,130
600 Thermedics Detection Inc. ............................... 6,600
3,009 Thermoquest Corp. ....................................... 44,007
50,000 Thiokol Corp. ........................................... 4,781,250
15,381 TJ International Inc. ................................... 461,430
308,756 Universal Forest Products Inc. .......................... 4,901,501
166,627 Wellman, Inc. ........................................... 3,582,480
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 14.4% (CONTINUED)
184,433 Westinghouse Air Brake, Co. ............................. $ 4,656,933
12,817 Wolverine Tube Inc.+ .................................... 495,057
- --------------------------------------------------------------------------------
131,549,061
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 5.8%
20,198 AAR Corp. ............................................... 613,514
18,517 Albany International Corp., Class A Shares .............. 440,936
15,834 American Mobile Satellite Corp. ......................... 134,094
3,719 American Residential Services, Inc. ..................... 40,444
4,134 Ameron International Corp. .............................. 247,782
5,849 Ametek Inc. ............................................. 157,192
11,476 A.O. Smith Corp. ........................................ 499,206
14,254 Applied Industrial Technologies, Inc. ................... 370,604
6,774 Applied Power Inc. ...................................... 243,864
16,046 Aptargroup Inc. ......................................... 925,654
21,553 Arctic Cat Inc. ......................................... 215,530
19,096 Argonaut Group Inc. ..................................... 687,456
21,401 Arvin Industries Inc. ................................... 848,015
11,179 Avondale Industries Inc.+ ............................... 321,396
14,376 Baldor Electric Co. ..................................... 371,979
13,036 Bassett Furniture Industries Inc. ....................... 404,116
10,990 Benchmark Electronics Inc. .............................. 295,356
2,224 Blount International Inc., Class A Shares ............... 61,855
5,000 BRC Holdings Inc. ....................................... 203,125
13,507 Breed Technologies Inc.++ ............................... 293,777
4,546 Centex Construction Products Inc. ....................... 144,336
18,605 Century Aluminum Co. .................................... 309,308
170 Christiana Cos., Inc. ................................... 6,577
12,621 Commercial Intertech Corp. .............................. 246,898
4,759 Cubic Corp. ............................................. 131,467
5,555 Culligan Water Technologies, Inc. ....................... 320,107
4,600 Curtiss Wright Corp. .................................... 172,213
14,432 Daniel Industries ....................................... 270,600
20,673 D.R. Horton, Inc.++ ..................................... 481,939
8,179 Elcor Corp. ............................................. 219,299
10,094 Excel Industries Inc. ................................... 200,618
284,625 Fedders Corp. ........................................... 1,672,172
11,708 Granite Construction Inc. ............................... 310,262
60,000 Hardinge Inc. ........................................... 2,025,000
92,868 Harman International Industries Inc. .................... 4,318,362
12,450 Hughes Supply Inc. ...................................... 431,859
7,809 Idex Corp. .............................................. 266,970
3,959 Ionics Inc.+ ............................................ 170,237
17,541 Jacobs Engineering Group Inc. ........................... 525,134
5,926 JLG Industries Inc. ..................................... 92,594
18,205 Juno Lighting Inc. ...................................... 354,998
16,300 Justin Industries Inc. .................................. 211,900
207,540 Kaman Corp., Class A Shares ............................. 3,580,065
37,768 Kaufman & Broad Home Corp. .............................. 977,247
25,370 Kennametal Inc. ......................................... 1,335,096
6,078 Lawson Products Inc. .................................... 168,665
39,604 Lennar Corp. ............................................ 1,106,437
24,311 Lincoln Electric Co., Class A Shares..................... 923,818
4,621 Lindsay Manufacturing Co. ............................... 193,504
6,887 L.S. Starrett Co., Class A Shares ....................... 276,341
5,423 Lydall Inc. ............................................. 95,241
6,719 Manitowoc Company Inc. .................................. 264,981
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 5.8% (CONTINUED)
10,291 MascoTech Inc. .......................................... $ 213,538
1,868 Matthews International Corp., Class A Shares............. 78,456
2,215 Mestek Inc. ............................................. 44,854
3,038 Methode Electronics Inc., Class A Shares ................ 42,912
9,009 Mikasa Inc. ............................................. 128,941
13,140 Modine Manufacturing Co. ................................ 459,900
12,181 Morrison Knudsen Corp. .................................. 148,456
5,105 National Presto Industries Inc. ......................... 198,776
5,277 Nordson Corp. ........................................... 256,594
25,410 NTL Inc.++ .............................................. 844,883
8,600 NVR Inc.+................................................ 278,425
3,438 Oakwood Homes............................................ 136,231
11,056 OHM Corp. ............................................... 142,346
16,346 Oregon Metallurgical Corp. .............................. 563,937
3,302 O'Reilly Automotive Inc. ................................ 98,028
300 Rental Service Corp. .................................... 7,050
122,258 Robbins & Myers Inc.++ .................................. 4,844,473
4,036 Sheldahl Inc. ........................................... 68,107
3,821 Specialty Equipment Cos., Inc.+.......................... 68,300
7,614 SPS Technologies Inc.+................................... 360,713
2,551 SPX Corp.++ ............................................. 190,528
29,133 Standard Pacific Corp. .................................. 504,365
29,901 Stewart & Stevenson Services, Inc. ...................... 730,706
6,934 Stone & Webster Inc. .................................... 286,461
90,000 Tecumseh Products Co. ................................... 4,511,250
8,277 Terex Corp. ............................................. 197,613
7,543 Thermadyne Holdings Corp. ............................... 255,991
601 Thermo Terratech Inc. ................................... 4,132
18,279 Titan International Inc. ................................ 342,731
21,783 Toll Brothers Inc.+...................................... 653,490
3,683 Tractor Supply Co. ...................................... 68,136
4,508 Tremont Corp. ........................................... 255,829
11,700 US Home Corp.+........................................... 512,606
2,211 Valhi Inc. .............................................. 21,281
8,542 Wabash National Corp. ................................... 253,591
132,861 Zurn Industries Inc. .................................... 5,829,276
- --------------------------------------------------------------------------------
52,783,046
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 4.9%
7,483 Alamo Group Inc. ........................................ 135,629
7,177 Alltrista Corp. ......................................... 193,330
9,459 AT Cross Co., Class A Shares ............................ 103,458
9,784 BT Office Products International, Inc. .................. 113,128
3,606 Bush Industries, Inc., Class A Shares ................... 90,601
15,373 Coachmen Industries Inc. ................................ 439,091
1,285 Coleman Co. Inc. ........................................ 26,503
1,752 Cort Business Services Corp. ............................ 70,409
7,319 Culp Inc. ............................................... 151,412
8,279 Detroit Diesel Corp. .................................... 177,999
33,433 Diamond Multimedia Systems Inc........................... 478,510
7,982 Discount Auto Parts Inc. ................................ 178,098
18,070 Donaldson Inc. .......................................... 430,292
11,236 Ethan Allen Interiors Inc. .............................. 626,407
15,682 Exide Corp............................................... 347,944
22,960 Federal Mogul Corp.++ ................................... 1,126,475
31,858 Flowserve Corp. ......................................... 1,009,500
224,706 GenCorp Inc. ............................................ 6,123,239
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 4.9% (CONTINUED)
2,917 Hays Lemmerz International Inc. ......................... $ 94,620
21,145 Interface Inc., Class A Shares .......................... 808,796
13,765 Jostens Inc. ............................................ 323,478
5,245 K2 Inc. ................................................. 105,556
15,057 La-Z-Boy Chair Co. ...................................... 721,795
50,442 Longview Fiber Co. ...................................... 778,698
13,804 Myers Industries Inc. ................................... 282,982
3,985 Oak Industries Inc. ..................................... 122,290
13,476 Oneida Ltd. ............................................. 360,483
7,400 Oshkosh B'Gosh Inc., Class A Shares ..................... 290,450
14,076 O'Sullivan Industries Holdings, Inc. .................... 160,994
22,481 P.H. Gladfelter Co. ..................................... 394,823
250,954 Pioneer Standard Electronics Inc. ....................... 4,140,741
15,087 Pulte Corp. ............................................. 686,459
125,000 Rival Co. ............................................... 1,812,500
1,213 Rockshox Inc. ........................................... 8,794
9,896 Russ Berrie & Co. Inc. .................................. 275,851
13,849 Ryland Group Inc. ....................................... 386,906
8,198 Sequa Corp., Class A Shares+ ............................ 616,387
15,793 Simpson Industries Inc. ................................. 206,296
8,410 Skyline Corp. ........................................... 268,594
102,966 Southdown Inc. .......................................... 6,589,824
12,376 Springs Industries Inc. ................................. 692,283
8,289 Standard Motor Products Inc. ............................ 170,961
16,759 Standard Products Co. ................................... 546,762
1,181 Standex International Corp. ............................. 36,685
116,709 Stanhome Inc. ........................................... 3,369,972
220,000 Sturm Ruger & Co. Inc. .................................. 4,441,250
13,495 Superior Industries International, Inc. ................. 419,188
23,313 TBC Corp.+............................................... 212,731
15,560 Thomas Industries Inc. .................................. 367,605
44,309 Thor Industries Inc. .................................... 1,766,821
849 Tower Automotive Inc. ................................... 38,576
10,436 Triangle Pacific Corp. .................................. 375,696
1,943 Ugly Duckling Corp.#++................................... 19,430
9,553 United Auto Group Inc.++ ................................ 157,027
14,257 VMR Scientific Products Corp. ........................... 491,867
18,126 Watts Industries Inc., Class A Shares ................... 544,913
13,362 Winnebago Industries Inc. ............................... 160,344
6,832 Wynn's International Inc. ............................... 173,362
- --------------------------------------------------------------------------------
45,244,815
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 5.7%
11,870 Acceptance Insurance Cos., Inc.+ ........................ 288,589
19,262 Acclaim Entertainment Inc.++ ............................ 99,922
34,965 Adolph Coors Co., Class B Shares ........................ 1,092,656
8,376 Alberto Culver Co., Class B Shares++ .................... 254,945
5,313 American Safety Razor Co. ............................... 121,535
3,567 Authentic Fitness Corp. ................................. 74,907
41,357 Bob Evans Farms, Inc. ................................... 850,403
217,700 Brown Group Inc. ........................................ 3,238,288
1,006 Buckle Inc. ............................................. 41,372
43,963 Buffets Inc. ............................................ 464,359
55,016 Burlington Industries Inc.+ ............................. 911,203
5,959 Bush Boake Allen Inc. ................................... 192,178
14,900 Canadaigua Wine Co., Class A Shares ..................... 830,675
22,000 Carter Wallace Inc. ..................................... 393,250
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
46
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 5.7% (CONTINUED)
13,395 Church & Dwight Co. Inc. ................................ $ 384,269
11,076 CN Galey & Lord Inc. .................................... 219,443
1,106 Coca Cola Bottling Co. .................................. 66,084
5,164 Converse Inc. ........................................... 34,857
19,046 Department 56 Inc. ...................................... 627,328
10,144 Earthgrains Co. ......................................... 439,362
4,619 Electro Rent Corp. ...................................... 187,070
835 Farmer Brothers Co. ..................................... 148,630
31,559 Felcor Suite Hotels Inc. ................................ 1,132,179
7,459 Filenet Corp. ........................................... 248,944
29,122 First Brands Corp. ...................................... 749,892
36,734 Fleming Cos., Inc. ...................................... 654,324
2,489 Florida East Coast Industries, Inc. ..................... 271,301
27,529 Footstar Inc. ........................................... 825,870
1,397 Fossil Inc. ............................................. 37,544
4,905 Friedman's Inc., Class A Shares ......................... 87,370
40,000 Garan Inc. .............................................. 1,042,500
537 Goody's Family Clothing Inc.++ .......................... 20,138
25,005 Griffon Corp.+ .......................................... 411,020
2,414 Guess ?, Inc. ........................................... 13,126
32,215 Handelman Co. ........................................... 217,451
23,900 Hartmarx Corp.+ ......................................... 194,188
55,326 Helig Meyers ............................................ 857,553
2,608 Houghton Mifflin Co. .................................... 82,804
7,189 Ingles Markets Inc., Class A Shares ..................... 89,863
16,500 International Multifoods Corp. .......................... 460,969
22,610 J.M. Smucker Co. ........................................ 601,991
18,200 Journal Register Co. .................................... 360,588
10,548 JP Foodservice Inc. ..................................... 348,743
21,393 Kellwood Co. ............................................ 693,935
260,846 Kimball International Inc., Class B Shares .............. 5,445,160
4,600 Knoll Inc. .............................................. 163,875
16,637 Lewis Galoob Toys Inc. .................................. 144,534
1,138 Liqui-Box Corp. ......................................... 44,951
250,000 Merrill Corp. ........................................... 4,906,250
13,185 Michael Foods Inc. ...................................... 334,569
1,095 The North Face Inc.++ ................................... 30,112
6,231 Oxford Industries Inc. .................................. 196,276
3,128 Performance Food Group Co. .............................. 57,868
23,459 Phillips Van Heusen Corp. ............................... 304,967
2,427 Pilgrims Pride Corp. .................................... 26,090
4,120 Pillowtex Corp. ......................................... 161,710
1,731 Quiksilver Inc. ......................................... 51,064
51,682 Riviana Foods, Inc.++ ................................... 1,146,694
1,162 Robert Mondavi Corp., Class A Shares .................... 48,223
13,810 Scholastic Corp. ........................................ 547,221
2,359 Schweitzer Mauduit International Inc. ................... 78,437
333 Seaboard Corp. .......................................... 137,196
7,800 Sovran Self Storage Inc. ................................ 230,100
20,154 Sunglass Hut International Inc. ......................... 143,597
38,091 The Topps Co. ........................................... 104,750
111,919 Toro Co. ................................................ 4,490,750
10,286 Toy Biz Inc. ............................................ 92,574
13,389 Tracor Inc. ............................................. 410,038
29,594 Tultex Corp. ............................................ 116,526
3,743 Unitog Co. .............................................. 75,328
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 5.7% (CONTINUED)
100,000 Universal Corp. of Virginia ............................. $ 4,750,000
24,750 Universal Foods Corp. ................................... 1,113,750
11,025 US Can Corp. ............................................ 188,803
6,496 US Rentals Inc. ......................................... 178,640
6,400 Walbro Corp. ............................................ 83,200
214,798 Wausau-Mosinee Paper Corp. .............................. 4,645,007
17,068 Windmere-Double Holdings, Inc. .......................... 469,370
13,264 WMS Industries Inc. ..................................... 353,154
- --------------------------------------------------------------------------------
51,634,402
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 9.3%
14,055 Aaron Rents Inc., Class A Shares ........................ 309,210
12,768 ABM Industries Inc. ..................................... 459,648
55,731 AC Nielsen Corp. ........................................ 1,393,275
2,400 Ackerley Group Inc. ..................................... 45,750
3,715 Advo Inc. ............................................... 90,785
2,319 Amazon.Com Inc.++ ....................................... 178,563
1,024 AMC Entertainment Inc.++ ................................ 26,368
20,765 American Radio Systems Corp. ............................ 1,240,709
21,500 Ames Department Stores Inc.++ ........................... 335,938
23,139 AnnTaylor Stores Corp.+ ................................. 328,285
130,000 Applebee's International, Inc. .......................... 2,990,000
13,325 Arbor Drugs Inc. ........................................ 313,138
16,367 ASA Holdings Inc. ....................................... 658,772
29,132 Ascent Entertainment Group Inc. ......................... 313,169
44,701 Aztar Corp.+ ............................................ 379,959
139 Bally's Grand Inc. ...................................... 7,080
29,300 Banta Corp. ............................................. 871,675
2,754 Berlitz International Inc.+ ............................. 71,432
36,500 BJ's Wholesale Club Inc. ................................ 1,236,438
80,000 Borg Warner Automotive Inc. ............................. 4,690,000
138,012 Bowne & Co., Inc. ....................................... 5,848,259
63,534 Brinker International Inc. .............................. 1,326,272
3,475 Cablevision Systems Corp., Class A Shares ++............. 339,681
2,725 Capstar Hotel Co. ....................................... 91,969
7,800 Carmike Cinemas Inc., Class A Shares+ ................... 238,388
18,746 Casey's General Stores Inc. ............................. 282,362
10,901 Century Communications Corp., Class A Shares+ ........... 111,054
102,821 Charming Shoppes Inc.+ .................................. 459,481
18,457 Checkpoint Systems Inc. ................................. 342,608
24,197 Choice Hotels Corp. ..................................... 362,955
6,941 CMAC Investment Corp. ................................... 465,047
4,651 Coinmatch Laundry Corp.++ ............................... 110,752
1,485 Cox Radio Inc. .......................................... 63,855
1,624 Dart Group Corp., Class A Shares ........................ 194,677
772 Data Dimensions Inc.++ .................................. 10,519
169,216 Del E. Webb Corp. ....................................... 5,414,912
16,300 Dress Barn Inc.+ ........................................ 475,756
7,919 E Town Corp. ............................................ 287,064
6,101 Eagle Hardware & Garden Inc. +........................... 115,538
962 Education Management Corp. .............................. 31,025
4,998 Einstein/Noah Bagel Corp.++ ............................. 24,678
35,259 Equity Inns Inc. ........................................ 559,737
22,346 Exabyte Corp. ........................................... 178,768
16,200 Fabric Centers of America Inc., Class A Shares .......... 490,050
5,553 Family Golf Centers, Inc.++ ............................. 186,720
45,566 Fingerhut Co., Inc. ..................................... 1,130,606
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 9.3% (CONTINUED)
13,822 Florida Panthers Holdings, Inc. ......................... $ 297,173
24,476 Franklin Convey Co. ..................................... 596,603
5,343 GC Cos., Inc.+ .......................................... 264,478
3,283 Genovese Drug Stores, Inc. .............................. 59,299
16,300 Gibson Greetings Inc.+ .................................. 358,600
32,205 Grand Casinos, Inc. ..................................... 491,126
157,412 The Great Atlantic & Pacific Tea Co., Inc. .............. 4,791,228
700 Grey Advertising Inc. ................................... 254,100
3,466 Hach Co. ................................................ 36,826
14,745 Hancock Fabric Inc. ..................................... 240,528
19,409 Hollywood Park Inc.+ .................................... 288,709
32,800 Homebase Inc. ........................................... 229,600
22,456 Hospitality Property Trust .............................. 785,960
14,747 Host Marriott Services Corp. ............................ 197,241
1,001 HSB Group Inc. .......................................... 63,188
12,800 Huffy Corp. ............................................. 194,400
7,651 IHOP Corp. .............................................. 274,480
8,274 Jacor Communications Inc.++ ............................. 478,858
17,253 John H. Harland Co.++ ................................... 262,030
15,636 Jones Intercable Inc., Class A Shares ................... 265,812
154,946 Kelly Services Inc., Class A Shares ..................... 5,519,951
58,257 Laidlaw Environmental Services Inc.++ ................... 280,362
8,038 Landry's Seafood Restaurants, Inc. ...................... 213,007
6,441 Libbey Inc. ............................................. 237,512
4,600 Linens 'N Things Inc. ................................... 231,725
13,439 Lone Star Steakhouse & Saloon, Inc. ..................... 283,059
29,368 Longs Drug Stores Corp. ................................. 930,598
247,686 Luby's Cafeterias Inc. .................................. 4,303,544
18,648 Marcus Corp. ............................................ 318,181
30,000 Marsh Supermarkets Inc. ................................. 466,875
9,110 Marvel Entertainment Group Inc.++ ....................... 7,971
22,215 Michaels Stores Inc.+ ................................... 755,310
13,452 MicroAge Inc.+ .......................................... 173,194
44,789 Mobil Telecommunications Technologies Corp. ............. 1,007,752
145,807 Nash Finch Co. .......................................... 2,825,011
3,434 National Media Corp. .................................... 9,014
11,316 On Command Corp. ........................................ 151,351
4,409 Paxson Communications Corp. ............................. 39,405
4,509 Personnel Group of America Inc. ......................... 183,178
5,844 Pier 1 Imports Inc.++ ................................... 156,327
7,070 Pinkertons Inc. ......................................... 162,610
85,022 Polaris Industries Inc. ................................. 2,795,098
18,902 Pool Energy Services Co.+ ............................... 446,560
21,852 Prime Hospitality Corp.+ ................................ 415,188
26,464 Prime Retail Inc. ....................................... 385,382
46,582 Proffitts Inc. .......................................... 1,577,965
504 Quality Food Centers Inc. ............................... 42,147
4,213 Rainforest Cafe Inc. .................................... 69,514
4,886 Rare Hospitality International Inc. ..................... 48,249
8,810 RCN Corp. ............................................... 517,587
839 Regis Corp. ............................................. 22,653
14,854 Rio Hotel & Casino Inc. ................................. 422,411
10,863 Rollins Inc. ............................................ 224,049
14,619 Ruby Tuesday Inc. ....................................... 381,921
27,321 Ruddick Corp. ........................................... 495,193
46,600 Ryans Family Steak Houses Inc.+ ......................... 385,906
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 9.3% (CONTINUED)
55,383 Safety-Kleen Corp. ...................................... $ 1,484,957
97,576 Sbarro Inc. ............................................. 2,878,492
16,080 Scotts Co., Class A Shares+ ............................. 546,720
90,406 Service Merchandise Inc.+ ............................... 209,064
16,645 Shoney's Inc.+ .......................................... 81,144
13,842 Shopko Stores Inc. ...................................... 364,218
15,399 Showboat Inc. ........................................... 457,158
11,936 Silgan Holding Inc. ..................................... 420,744
665 Sinclair Broadcast Group Inc., Class A Shares ........... 37,614
10,327 Sonic Corp. ............................................. 302,065
21,186 Spelling Entertainment Group Inc. ....................... 190,674
14,007 The Sports Authority, Inc. .............................. 186,468
20,093 Station Casinos Inc. .................................... 283,814
26,588 Storage USA Inc. ........................................ 1,061,858
7,599 Sunburst Hospitality Corp. .............................. 66,491
2,900 Syms Corp. .............................................. 39,512
11,046 Talbot's, Inc.++ ........................................ 196,757
7,144 Tanger Factory Outlet Centers Inc. ...................... 216,106
50,686 TCI Satellite Entertainment Inc., Class A Shares ........ 338,963
10,607 Thomas Nelson Corp. ..................................... 132,588
19,778 True North Communications Inc. .......................... 510,520
22,135 Trump Hotels & Casino Resorts, Inc.++ ................... 229,651
8,347 Uni First Corp. ......................................... 226,412
8,552 United International Holdings, Class A Shares ........... 124,538
9,243 Value City Department Stores Inc. +...................... 102,828
12,615 Wackenhut Corp. ......................................... 295,664
15,922 Winston Hotels Inc. ..................................... 209,971
35,828 World Color Press Inc. .................................. 1,157,692
32,625 Zale Corp.+ ............................................. 907,383
- --------------------------------------------------------------------------------
85,258,992
- --------------------------------------------------------------------------------
ENERGY -- 7.7%
12,800 ACX Technologies Inc. ................................... 305,600
286,287 Aquila Gas Pipeline Corp. ............................... 3,453,337
23,078 Arch Coal Inc. .......................................... 605,798
49,715 Atlantic Energy Inc.+ ................................... 1,012,943
9,168 Benton Oil & Gas Co.+ ................................... 114,027
90,625 C&D Technology Inc. ..................................... 4,735,156
20,129 Cabot Oil & Gas Corp., Class A Shares ................... 422,709
10,070 Cascade Corp. ........................................... 156,714
19,600 Coho Energy Inc. ........................................ 155,575
21,880 Comstock Resources Inc. ................................. 206,493
10,834 Devon Energy Co. ........................................ 369,033
3,964 DII Group, Inc. ......................................... 105,046
707 DLB Oil & Gas Inc. ...................................... 6,717
103,416 Eastern Enterprises ..................................... 4,582,622
35,876 Equitable Resources Inc. ................................ 1,130,094
26,965 Forest Oil Corp. ........................................ 379,195
162,000 Helmerich & Payne Inc. .................................. 4,687,875
5,396 Holly Corp. ............................................. 146,029
14,629 HS Resources Inc. ....................................... 204,806
6,386 Hugoton Energy Corp. .................................... 56,676
10,673 Imco Recycling Inc. ..................................... 184,776
92,750 Kelley Oil & Gas Corp. .................................. 208,687
6,295 Lomak Petroleum, Inc. ................................... 104,261
18,247 Louis Dreyfus Natural Gas Corp.+ ........................ 329,586
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENERGY -- 7.7% (CONTINUED)
8,827 Magnetek Inc.+ .......................................... $ 156,679
15,642 Meridian Resource Corp. ................................. 130,024
200,000 Mitchell Energy & Development Corp. ..................... 5,487,500
145,000 The Montana Power Co. ................................... 4,640,000
17,303 New Jersey Resources Corp. .............................. 631,560
9,886 North Carolina Natural Gas Corp. ........................ 244,048
22,136 Northwest Natural Gas Co. ............................... 623,958
10,268 Nuevo Energy Co.+ ....................................... 368,365
10,473 NUI Corp. ............................................... 276,880
5,400 Ocean Energy Inc. ....................................... 252,450
5,129 Oceaneering International Inc.+ ......................... 84,949
270,818 Offshore Logistics Inc.+ ................................ 4,773,167
49,087 Ogden Corp. ............................................. 1,349,892
19,795 Parker Drilling Co.+ .................................... 217,745
135,000 Penn Virginia Corp. ..................................... 3,788,438
34,567 Quaker State Corp. ...................................... 522,826
1,612 RMI Titanium Co.++ ...................................... 38,285
11,676 RPC Inc. ................................................ 132,085
12,908 Seacor Smit Inc. ........................................ 722,041
4,704 Semco Energy Inc. ....................................... 78,792
30,000 Sierra Pacific Resources ................................ 1,076,250
327,832 Snyder Oil Corp. ........................................ 6,105,871
26,012 Tesoro Petroleum Corp. .................................. 430,824
31,898 Titan Exploration Co. ................................... 231,260
25,728 Tom Brown Inc. .......................................... 509,736
3,872 Trigen Energy Corp. ..................................... 76,472
262,202 Vintage Petroleum Inc. .................................. 5,260,428
9,555 Westcorp, Inc. .......................................... 163,032
295,283 Western Gas Resource Inc. ............................... 5,056,721
235,000 Zeigler Coal Holdings Co. ............................... 3,774,688
- --------------------------------------------------------------------------------
70,868,721
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 12.2%
4,506 Aames Financial Corp.+ .................................. 60,268
11,160 Albank Financial Corp. .................................. 542,655
18,450 Alfa Corp. .............................................. 332,100
22,187 Allied Group Inc. ....................................... 698,891
23,089 Amcore Financial Inc. ................................... 591,656
12,279 Amerco + ................................................ 343,812
8,400 American Annuity Group .................................. 186,900
8,045 American Heritage Life Investment Corp. ................. 326,325
5,300 Amerin Co. .............................................. 155,025
161,324 Amerus Life Holdings Inc., Class A Shares................ 5,263,195
15,763 AMRESCO Inc. ............................................ 532,001
35,210 Arcadia Financial Ltd.++ ................................ 268,476
23,039 Astoria Financial Corp. ................................. 1,287,304
6,500 Avatar Holdings Inc.+ ................................... 157,625
11,400 Baldwin & Lyons Inc., Class B Shares .................... 273,600
11,800 Bay View Capital Corp. .................................. 410,050
4,868 BOK Financial Corp. ..................................... 239,140
10,600 Capital Re Corp. ........................................ 656,537
8,804 Capitol Transamerican Corp. ............................. 182,683
274,544 Capstead Mortgage Corp. ................................. 5,216,336
23,512 Cash America International Inc. ......................... 282,144
125,000 Centris Group Inc. ...................................... 3,140,625
7,958 Chatwell RE Corp. ....................................... 243,714
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 12.2% (CONTINUED)
10,397 Chemical Financial Corp. ................................ $ 457,468
14,413 Chittenden Corp. ........................................ 551,297
34,376 CNA Surety Corp. ........................................ 541,422
17,900 Coast Federal Litigation Rights.......................... 272,975
19,845 Commerce Group Inc. ..................................... 689,614
4,521 Compdent Corp. .......................................... 62,729
9,200 CPB Inc. ................................................ 179,400
1,330 Credit Acceptance Corp.++ ............................... 10,889
87,070 Dain Rauscher Corp. ..................................... 5,104,479
13,321 Delphi Financial Group Inc., Class A Shares ............. 586,124
1,206 Delta Financial Corp.+++ ................................ 16,658
14,008 Doral Financial Corp. ................................... 378,216
19,527 Downey Financial Corp. .................................. 571,165
124,631 Eaton Vance Corp. ....................................... 5,179,976
12,736 Enhance Financial Services Group Inc.++.................. 790,428
3,038 E.W. Blanch Holdings Inc................................. 109,178
19,510 F&M National Corp........................................ 687,727
16,592 FBL Financial Group Inc.................................. 771,528
13,845 Fidelity National Financial Corp......................... 404,966
6,775 Financial Federal Corp................................... 148,203
30,198 Financial Security Assurance Holdings Ltd.++............. 1,587,282
14,185 First American Financial Corp............................ 845,781
21,947 First Commonwealth Financial Corp........................ 650,180
4,000 First Federal Financial Services Corp.++ ................ 158,500
6,268 First Financial Corp., Indiana........................... 343,565
6,690 First Financial Holding Inc.............................. 351,225
9,400 First Indiana Corp....................................... 274,962
8,382 First Source Corp........................................ 276,589
13,423 FNB Corp................................................. 496,651
524 Fleet Financial Group, Inc............................... 41,298
16,783 Foremost Corp............................................ 382,862
16,500 Fort Wayne National Corp., Indiana....................... 801,797
41,130 Franchise Financial Corp................................. 1,100,227
24,183 Fremont General Corp..................................... 1,419,240
5,186 Frontier Insurance Group Inc............................. 122,195
21,386 Fulton Financial Corp.................................... 688,362
5,570 Fund American Enterprises Holdings Inc................... 728,277
18,672 Gainsco Inc.............................................. 152,877
4,931 Grand Premier Financial Inc.............................. 86,293
8,622 Guarantee Life Co., Inc.................................. 230,639
14,348 Hambrecht & Quist Inc.................................... 460,930
7,351 Hancock Holding Co....................................... 452,087
12,500 Harleysville Group Inc................................... 304,688
6,918 Harleysville National Corp. of Pennsylvania.............. 297,474
19,809 Hartford Life Inc., Class A Shares....................... 853,025
10,044 Heritage Financial Services Inc.......................... 330,824
14,466 H.F. Ahmanson & Co....................................... 903,221
14,952 HFNC Financial Corp.++................................... 203,721
12,936 Highlands Insurance Group, Inc........................... 317,741
17,527 HUBCO Inc................................................ 639,736
11,773 IMPAC Mortgage Holdings Inc.............................. 192,783
1,614 Irwin Financial Corp..................................... 76,262
926 Jefferies Group Inc...................................... 41,033
25,200 John Alden Financial Corp................................ 565,425
8,008 JSB Financial Inc........................................ 430,931
3,284 Kansas City Life Insurance Co............................ 302,949
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
FINANCIAL SERVICES -- 12.2% (CONTINUED)
50,588 Keystone Financial Inc.................................. $ 2,118,372
14,610 Legg Mason Inc.......................................... 872,948
12,298 Liberty Corp............................................ 634,116
8,476 Life Re Corp............................................ 539,285
17,200 Life USA Holding Inc.................................... 264,450
10,778 Long Beach Financial Corp............................... 127,989
32,296 Magna Group Inc. ....................................... 1,879,223
2,126 Markel Corp. ........................................... 369,924
4,597 MBIA, Inc. ............................................. 336,443
4,282 McDonald & Co. Investments Inc. ........................ 107,050
110,000 McGrath Rent Corp. ..................................... 2,406,250
5,170 Meadowbrook Insurance Group, Inc. ...................... 156,392
21,221 Medical Assurance Inc. ................................. 618,061
143,308 Mercury Finance Co.++ .................................. 80,611
20,547 Mid Am Inc. ............................................ 539,359
7,979 Mid America Bancorp .................................... 267,296
10,560 MMI Companies Inc. ..................................... 250,800
12,626 Moneygram Payment Systems, Inc. ........................ 156,247
21,850 Morgan Keegan Inc. ..................................... 469,775
12,408 National Auto Credit Inc. .............................. 20,163
6,783 National Processing Inc. ............................... 78,852
1,959 National Western Life Insurance, Class A Shares ........ 190,758
3,994 Nationwide Financial Services Inc., Class A Shares ..... 175,736
4,288 NYMAGIC Inc. ........................................... 128,640
9,631 Ocwen Asset Investment Corp. ........................... 189,610
6,550 Omega Financial Corp. .................................. 243,169
141,638 Orion Capital Corp. .................................... 6,913,705
5,202 PEC Israel Economic Corp. .............................. 105,015
5,193 Penn Treaty American Corp. ............................. 162,281
26,751 Penncorp Financial Group Inc.++ ........................ 929,597
9,840 Peoples First Corp. .................................... 353,625
26,600 Peoples Heritage Financial Group Inc. .................. 1,238,562
42,990 Phoenix Duff & Phelps Co. .............................. 349,294
11,422 Piper Jaffray Inc. ..................................... 419,758
24,471 Presidential Life Corp. ................................ 532,244
12,353 Price Enterprises Inc. ................................. 245,516
25,703 Primark Corp.+ ......................................... 1,103,623
142,194 PXRE Corp. ............................................. 4,408,014
5,020 Raymond James Financial Inc. ........................... 200,172
23,648 Reinsurance Group of America ........................... 1,083,374
12,492 Resource Bankshares Management Group Inc. .............. 194,407
16,912 Risk Capital Holdings Inc. ............................. 395,318
6,910 RLI Corp. .............................................. 360,184
10,144 Scpie Holdings Inc. .................................... 297,980
18,662 Security Capital Atlantic, Inc. ........................ 396,567
178,674 Selective Insurance Group Inc. ......................... 4,902,368
27,679 Shurgard Storage Centers Inc., Class A Shares .......... 771,552
9,035 Smart & Final Inc. ..................................... 175,618
184,200 Southwest Securities Group, Inc. ....................... 4,950,375
6,100 SPS Transaction Services, Inc. ......................... 178,044
5,999 State Auto Financial Corp. ............................. 197,967
58,400 Stewart Information Services Corp. ..................... 1,832,300
4,038 Student Loan Corp. ..................................... 194,833
19,526 Thornberg Mortgage Asset Corp.++ ....................... 302,653
14,890 TR Financial Corp. ..................................... 490,905
10,838 Trans Financial Inc. ................................... 444,358
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 12.2% (CONTINUED)
11,980 Trenwick Group Inc. ..................................... $ 437,270
2,420 Triad Guaranty Inc. ..................................... 90,750
13,742 The Trust Co. of New Jersey ............................. 376,187
31,554 Trustmark Corp. ......................................... 1,384,432
16,256 UMB Financial Corp. ..................................... 926,592
23,856 United Cos. Financial Corp.++............................ 374,241
7,351 United Fire & Casualty Co. .............................. 319,769
7,954 United Wisconsin Services Inc. .......................... 246,574
5,771 USF & G Corp. ........................................... 141,026
24,888 UST Corp.++ ............................................. 681,309
2,151 Value Line Inc. ......................................... 91,149
8,104 Vesta Insurance Group Inc. .............................. 464,460
4,226 WFS Financial Inc.++..................................... 50,712
3,730 White River Corp.+....................................... 300,964
20,261 Whitney Holding Corp. ................................... 1,278,976
22,635 WR Berkley Corp. ........................................ 1,032,722
9,889 WSFS Financial Corp. .................................... 205,197
10,415 Zenith National Insurance Corp. ......................... 284,460
- --------------------------------------------------------------------------------
112,055,654
- --------------------------------------------------------------------------------
HEALTH CARE -- 4.4%
5,136 Alpharma, Inc. .......................................... 118,770
6,894 American Homepatient Inc. ............................... 158,562
11,639 American Oncology Resources, Inc. ....................... 177,495
1,028 Amerisource Health Corp., Class A Shares................. 60,138
13,110 AMLI Residential Property Trust ......................... 294,975
17,533 Apria Healthcare Group Inc. ............................. 238,887
716 Arrow International Inc. ................................ 28,014
1,350 ATL Ultrasound Inc. ..................................... 61,425
39,307 Avalon Properties Inc.................................... 1,130,076
4,092 Bacou USA Inc. .......................................... 70,075
50,000 Bergen Brunswig Corp., Class A Shares ................... 2,250,000
161,065 Bindley Western Industries Inc. ......................... 5,335,278
8,161 Bio Rad Labs Inc., Class A Shares........................ 209,126
6,869 Block Drug Inc., Class A Shares.......................... 289,357
9,167 Cardiothoratic Systems Inc. ............................. 63,023
23,668 Cephalon Inc. ........................................... 284,016
133,515 Chemed Corp. ............................................ 5,273,842
6,452 Clinitrials Research Inc. ............................... 51,616
1,578 Closure Medical Corp. ................................... 31,363
14,159 CNS Inc. ................................................ 90,264
5,412 Coherent Inc. ........................................... 253,011
11,379 Conmed Corp. ............................................ 249,627
12,938 Datascope Corp. ......................................... 325,067
12,184 Deltic Timber Corp. ..................................... 342,675
9,799 Diagnostic Products Corp. ............................... 278,047
1,300 Fuisz Technologies Ltd.++ ............................... 15,600
6,500 Gensia Sicor Inc. ....................................... 36,766
4,741 Gilead Sciences Inc. .................................... 169,787
978 Graham Field Health Products Inc. ....................... 16,870
2,374 Gulf South Medical Supply, Inc. ......................... 85,761
22,105 Haemonetics Corp. ....................................... 368,877
5,472 HCIA Inc. ............................................... 74,898
576 Healthplan Services Corp. ............................... 14,367
35,647 ICN Pharmaceutical, Inc. ................................ 2,058,614
16,879 IDEXX Laboratories Inc. ................................. 264,789
</TABLE>
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTH CARE -- 4.4% (CONTINUED)
21,400 IES Industries Inc. ..................................... $ 774,413
39,461 Imation Corp. ........................................... 663,438
154,042 Integrated Health Services Inc.++........................ 5,227,800
12,806 Invacare Corp. .......................................... 293,738
5,013 Lab Holdings Inc. ....................................... 109,659
42,991 Laboratory Corp. of America++ ........................... 83,295
12,894 Magellan Health Services Inc. ........................... 290,115
22,646 Mariner Health Group Inc. ............................... 343,936
5,184 Marquette Medical System, Inc. .......................... 142,560
46,593 Medaphis Corp. .......................................... 483,402
2,396 Medical Manager Corp. ................................... 59,900
8,212 Medical Resources Inc. .................................. 71,855
37,501 Merry Land & Investment ................................. 869,554
10,480 Mid Atlantic Medical Services, Inc. ..................... 123,140
3,340 Morrison Health Care Inc. ............................... 66,800
18,212 National Health Investors Inc. .......................... 746,692
3,748 Neurogen Corp. .......................................... 61,842
20,320 Neuromedical Systems Inc. ............................... 52,070
56,498 Novacare Inc. ........................................... 790,972
5,079 OEC Medical Systems Inc. ................................ 112,055
18,640 Omega Healthcare Inc..................................... 723,465
3,966 Owens & Minor Inc. Holding Co. .......................... 70,396
63,551 Paragon Health Network, Inc. ............................ 1,183,637
10,200 Paragon Trade Brands Inc.+............................... 51,638
65,382 Perrigo Co. ............................................. 702,857
10,137 Pharamerica Inc. ........................................ 131,781
3,020 Phymatrix Inc. .......................................... 39,449
16,914 Physician Resource Group, Inc. .......................... 64,485
26,241 Playtex Products Inc.+................................... 370,654
2,100 Psychemedics Corp. ...................................... 11,812
29,452 Quest Diagnostics Inc. .................................. 456,506
18,525 Read Rite Corp.++ ....................................... 263,981
6,830 Regeneron Pharmaceuticals Inc. .......................... 55,494
4,126 Rightchoice Managed Care, Inc. .......................... 44,355
20,573 Roberts Pharmaceutical Corp.+............................ 258,448
3,591 Scios Inc.+.............................................. 35,910
14,389 Sierra Health Services, Inc. ............................ 526,997
9,005 Spacelabs Medical Inc.+.................................. 195,859
22,919 Summit Technology Inc. .................................. 124,622
41,771 Sun Healthcare Group Inc.+++............................. 822,367
17,217 Sunrise Medical Inc. .................................... 257,179
1,463 Thermotrex Corp. ........................................ 25,968
971 Trex Medical Corp. ...................................... 15,111
41,401 Trigon Healthcare Inc. .................................. 1,283,431
10,156 Veterinary Centers of America, Inc. ..................... 158,053
4,186 Vital Signs Inc. ........................................ 88,429
965 Vitalink Pharmacy Services, Inc. ........................ 20,265
995 Wesley Jessen Visioncare, Inc. .......................... 33,706
12,688 The West Co., Inc. ...................................... 402,051
- --------------------------------------------------------------------------------
40,557,200
- --------------------------------------------------------------------------------
REAL ESTATE -- 8.1%
6,250 Alexandria Real Estate Equities, Inc. ................... 213,281
6,559 Ambassador Apartments, Inc. ............................. 132,820
21,302 American General Hospitality Corp........................ 575,154
196,004 American Health Properties, Inc. ........................ 5,353,359
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
55
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
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<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE -- 8.1% (CONTINUED)
33,855 Apartment Investment & Management Co. ................... $ 1,233,592
34,389 Arden Reality Inc. ...................................... 982,236
579 Atria Communities Inc. .................................. 11,797
24,331 Bay Apartment Community Inc. ............................ 920,016
21,255 Bedford Property Investors, Inc. ........................ 417,129
32,700 Berkshire Realty Co. .................................... 376,050
7,919 Boykin Lodging Co. ...................................... 196,490
21,776 Bradley Real Estate Inc. ................................ 466,823
40,713 BRE Properties, Class A Shares .......................... 1,104,340
4,200 Bristol Hotel Co. ....................................... 105,525
22,800 Burnham Pacific Property Inc. ........................... 339,150
30,785 Camden Property Trust ................................... 890,841
16,732 Capstone Capital Corp. .................................. 403,659
15,437 Castle & Cooke Inc. ..................................... 241,203
8,739 CB Commercial Real Estate Services Group, Inc. .......... 327,713
21,796 CBL & Associates Property ............................... 542,175
16,696 Centerpoint Properties Corp. ............................ 566,621
24,451 Charles E. Smith Residential Realty, Inc. ............... 806,883
21,545 Chateau Communities Inc. ................................ 646,350
8,430 Chelsea GCA Realty ...................................... 315,071
20,900 Colonial Properties Trust ............................... 634,838
26,179 Commercial Net Lease Reality Inc. ....................... 456,496
69,069 Cornerstone Properties Inc. ............................. 1,234,608
29,600 Cornerstone Realty Income Trust ......................... 375,550
6,033 Cousins Properties Inc. ................................. 176,465
38,916 Criimi Mae Inc., Maryland ............................... 608,063
27,108 Crown American Realty Trust ............................. 250,749
9,600 Developers Divers Realty Corp. .......................... 391,800
43,251 Dynex Capital Inc. ...................................... 535,231
15,802 Eastgroup Properties, Inc. .............................. 319,990
13,880 Essex Property Trust Inc. ............................... 449,365
5,364 Everen Capital Corp. .................................... 228,640
160,925 Excel Realty Trust Inc. ................................. 5,169,716
24,548 Federal Realty Investors Trust .......................... 607,563
35,969 First Industrial Realty Trust ........................... 1,299,380
23,426 First Union Real Estate ................................. 276,720
21,786 Gables Residential Trust ................................ 575,967
7,936 Getty Realty Corp. ...................................... 189,472
28,894 Glenborough Realty Trust Inc. ........................... 823,479
213,000 Glimcher Realty Trust ................................... 4,792,500
6,620 Great Lakes Real Estate Investment Trust Inc. ........... 125,366
11,021 Grubb & Ellis Co. ....................................... 130,874
1,222 Health Care Invest Inc. ................................. 45,367
23,746 Health Care Real Estate Investment Trust Inc. ........... 639,658
16,833 Healthcare Realty Trust ................................. 481,845
44,561 Highwoods Properties Inc. ............................... 1,551,280
8,152 Home Properties NY Inc. ................................. 217,047
12,908 Homestead Village Inc. .................................. 183,132
17,216 Horizon Group Inc. ...................................... 206,592
50,179 INMC Mortgage Holdings Inc. ............................. 1,320,335
25,701 Innkeepers USA Trust .................................... 380,696
15,282 Insignia Financial Corp., Class A Shares................. 357,217
4,583 Interstate Hotels Co. ................................... 156,968
29,600 IRT Property Co. ........................................ 344,100
18,320 JDN Realty Corp. ........................................ 609,140
10,900 JP Realty Inc. .......................................... 273,862
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
56
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE -- 8.1% (CONTINUED)
16,706 Kilroy Realty Corp. ..................................... $ 439,577
21,681 Koger Equity Inc. ....................................... 482,402
49,346 Liberty Property Trust .................................. 1,310,753
15,507 LNR Property Corp. ...................................... 413,843
23,883 LTC Properties Inc. ..................................... 495,572
48,491 Mack--Cali Realty Corp. ................................. 1,830,535
22,200 Manufactured Home Communities, Inc. ..................... 571,650
200,000 MDC Holdings Inc. ....................................... 3,750,000
28,871 Meridian Industrial Trust, Inc. ......................... 716,362
13,400 MGI Properties Inc. ..................................... 320,763
15,700 Mid-America Apartment Communities Inc. .................. 444,506
12,273 National Golf Properties, Inc. .......................... 374,327
42,452 Nationwide Health Properties, Inc. ...................... 1,122,325
15,000 Oasis Residential Inc. .................................. 321,562
15,214 Pacific Gulf Properties Inc. ............................ 352,775
30,228 Post Properties Inc. .................................... 1,178,889
27,422 Prentiss Properties Trust ............................... 731,825
11,352 The Price Real Estate Investment Trust Inc. ............. 505,873
25,221 Realty Income Corp. ..................................... 651,017
25,256 Red Roof Inns Inc. ...................................... 453,030
23,088 Regency Realty Corp. .................................... 604,617
20,100 RFS Hotel Investors Inc. ................................ 364,312
8,500 Saul Centers Inc. ....................................... 149,281
14,357 Storage Trust Realty.................................... 358,925
1,140 Suburban Lodges of America, Inc. ........................ 20,235
19,814 Summit Properties Inc. .................................. 401,234
16,626 Sun Communities Inc. .................................... 579,832
34,455 Sunstone Hotel Investors Inc. ........................... 551,280
33,900 Taubman Centers Inc. .................................... 442,819
130,255 Trinet Corporate Realty ................................. 5,047,381
275,000 United Dominion Realty Trust, Inc. ...................... 3,850,000
7,400 Universal Health Realty Inc. ............................ 160,488
5,900 Urban Shopping Centers Inc. ............................. 196,913
1,426 Vistana Inc. ............................................ 36,719
14,285 Walden Residential Properties, Inc. ..................... 353,554
2,094 Walter Industries, Inc. ................................. 39,917
3,663 Washington Real Estate Investment Trust ................. 61,584
17,521 Weeks Corp. ............................................. 578,193
16,900 Western Real Estate Investment Trust .................... 246,106
- --------------------------------------------------------------------------------
74,099,325
- --------------------------------------------------------------------------------
RETAIL -- 0.7%
33,430 Best Buy Co., Inc.++ .................................... 1,993,264
13,034 Donna Karan International, Inc.++ ....................... 152,335
5,310 Lands End Inc. .......................................... 209,081
16,138 Spiegel Inc. ............................................ 72,621
284,180 Burlington Coat Factory Wholesale Corp. ................. 4,315,984
- --------------------------------------------------------------------------------
6,743,285
- --------------------------------------------------------------------------------
TECHNOLOGY -- 5.8%
4,897 Aerial Communications Inc. .............................. 41,625
150,581 Aliant Communications, Inc. ............................. 3,952,751
1,727 Allen Telecom Inc. ...................................... 30,115
24,605 Alliance Semiconductor Corp. ............................ 161,470
6,528 Alliant Techsystems, Inc. ............................... 410,040
10,721 American Business Products Inc. ......................... 243,903
10,730 Ampex Corp., Class A Shares ............................. 30,178
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
57
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 5.8% (CONTINUED)
6,600 Analogic Corp. .......................................... $ 244,200
19,708 Anixter International, Inc. ............................. 339,963
24,291 Antec Corp. ............................................. 286,937
512 Apex PC Solutions Inc. .................................. 14,080
2,647 Auspex Systems Inc. ..................................... 25,312
2,336 Avid Technology Inc. .................................... 80,738
19,992 BancTec Inc. +........................................... 513,545
1,531 Bea Systems Inc. ........................................ 41,146
2,214 Berg Electronics Corp. .................................. 62,546
37,488 Borland International Inc.+.............................. 349,107
34,971 Boyd Gaming Corp. ....................................... 277,582
10,792 Brown & Sharpe Manufacturing Co., Class A Shares ........ 107,920
1,264 Cable Design Technologies ............................... 36,735
1,174 Caci International Inc., Class A Shares ................. 25,094
13,730 California Microwave, Inc. .............................. 280,607
11,172 Centennial Cellular Corp., Class A Shares ............... 208,079
51,635 Cirrus Logic Inc. ....................................... 571,212
7,444 Compucom Systems Inc. ................................... 65,600
48,706 Comsat Corp. ............................................ 1,628,607
18,477 CTS Corp. ............................................... 594,728
100,000 Dallas Semiconductor Corp. .............................. 4,750,000
40,900 Data General Corp.+ ..................................... 843,563
6,265 Devon Group Inc. ........................................ 400,960
44,272 EG & G Inc. ............................................. 1,192,577
1,934 Electoglas Inc. ......................................... 35,779
2,749 Electro Scientific Industries Inc. ...................... 104,462
3,523 Essex International Inc. ................................ 136,957
8,265 Esterline Technologies Corp. ............................ 325,434
8,799 Evans & Sutherland Computer Corp.+ ...................... 274,969
7,445 Exar Corp. .............................................. 163,790
3,806 FEI Co. ................................................. 49,478
33,001 Ferro Corp. ............................................. 888,964
13,802 Fluke Corp. ............................................. 335,561
16,487 FSI International, Inc. ................................. 222,575
26,713 FTP Software Inc. ....................................... 53,426
13,291 General Datacomm Industries, Inc.++ ..................... 53,995
800 Geotel Communications Co. ............................... 18,300
18,960 Gerber Scientific Inc. .................................. 375,645
21,400 Global Industrial Technology+ ........................... 335,712
2,617 In Focus Systems, Inc. .................................. 104,516
9,088 InaCom Corp.+++ ......................................... 297,632
28,645 Information Resources Inc.+ ............................. 401,030
200,000 Innovex Inc. ............................................ 4,650,000
78,342 Integrated Device Technology, Inc. ...................... 1,180,026
3,473 Integrated Process Equipment Corp.++ .................... 64,250
40,566 Intergraph Corp. ........................................ 395,518
49,882 International Rectifier Corp. ........................... 726,407
4,414 Inter-Tel Inc. .......................................... 97,660
1,238 Intervoice Inc. ......................................... 11,142
547 LHS Group Inc.++ ........................................ 41,093
36,315 LTX Corp. ............................................... 199,732
16,560 Marshall Industries+ .................................... 485,415
4,854 McWhorter Technologies Inc.+ ............................ 125,294
11,642 Media General Inc. ...................................... 547,174
58,243 Mentor Graphics Corp.++ ................................. 607,911
8,053 Metromail Corp. ......................................... 217,431
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
58
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
TECHNOLOGY -- 5.8% (CONTINUED)
21,387 Micro Warehouse Inc. .................................. $ 294,071
198 Microtouch Systems Inc. ............................... 3,168
1,129 Midway Games Inc.++ ................................... 24,838
22,288 Minerals Technologies Inc. ............................ 1,064,252
288,060 MTS Systems Corp. ..................................... 4,698,979
19,507 Mylex Corp. ........................................... 173,125
11,965 National Computer Systems Inc. ........................ 477,104
14,560 Network Equipment Technologies, Inc. .................. 202,930
37,135 Oak Technologies Inc. ................................. 259,945
2,890 Omniquip International Inc. ........................... 72,250
14,863 Orbital Sciences Corp.+ ............................... 566,652
149,379 Park Electrochemical Corp. ............................ 4,798,800
3,996 Penn Engineering & Manufacturing Corp., Class A
Shares ............................................... 99,401
5,087 Phoenix Technology Ltd. ............................... 67,403
3,090 Physician Computer Network, Inc. ...................... 13,132
19,143 Physician Reliance Network, Inc. ...................... 228,520
37,049 Picturetel Corp. ...................................... 266,290
9,623 Pioneer Group Inc. .................................... 287,487
8,813 Plains Resources Inc. ................................. 139,356
11,546 Policy Management Systems Corp. ....................... 835,642
11,803 Progress Software Corp. ............................... 299,501
3,440 Rambus Inc.++.......................................... 153,940
9,565 Rofin-Sinar Technologies Inc. ......................... 130,323
2,100 Santa Cruz Operation, Inc. ............................ 9,713
1,848 SDL Inc. .............................................. 38,346
41,274 Sequent Computer Systems Inc.+ ........................ 874,493
3,134 Shiva Corp. ........................................... 42,701
7,747 SIII Inc. ............................................. 47,450
20,211 Silicon Valley Group Inc. ............................. 550,750
10,112 Siliconix Inc. ........................................ 425,968
8,502 Southern Union Co. .................................... 202,985
11,817 Standard Register Co. ................................. 403,255
27,067 Stratus Computer Inc.+ ................................ 1,358,425
7,552 Superior Telecom Inc. ................................. 295,000
14,363 Symantec Corp. ........................................ 361,768
5,614 Tech System Corp.+ .................................... 148,069
8,929 Telxon Corp. .......................................... 208,715
1,693 Thermo Optek Corp. .................................... 25,078
237 Thermo Vision Corp. ................................... 1,600
3,984 Thermospectra Corp. ................................... 38,844
5,239 Trident Microsystems, Inc. ............................ 41,912
2,598 Trimble Navigation Ltd. ............................... 51,960
8,006 Ultratech Stepper Inc.++ .............................. 182,137
3,973 Wall Data Inc.+ ....................................... 60,588
8,084 Watkins Johnson Co. ................................... 218,773
11,768 Winstar Communications Inc.++ ......................... 494,991
8,763 Wonderware Corp. ...................................... 207,026
14,781 Zilog Inc. ............................................ 294,696
- ------------------------------------------------------------------------------
53,080,550
- ------------------------------------------------------------------------------
TOBACCO -- 0.5%
260,000 Dimon Inc. ............................................ 4,550,000
3,518 General Cigar Holdings Inc. ........................... 58,487
- ------------------------------------------------------------------------------
4,608,487
- ------------------------------------------------------------------------------
TRANSPORTATION -- 3.8%
13,774 Air Express International Corp. ....................... 385,672
48,846 Airborne Freight Corp. ................................ 1,767,615
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
59
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TRANSPORTATION -- 3.8% (CONTINUED)
767 Airnet Systems Inc. ..................................... $ 20,517
13,575 Airtran Holdings Inc. ................................... 78,905
17,275 Alaska Air Group Inc.+................................... 951,205
39,121 America West Holdings Corp. ............................. 970,690
14,209 American Freightways Corp. .............................. 146,530
19,291 Arnold Industries Inc. ................................. 307,450
5,379 Aviation Sales Co. ...................................... 205,074
9,355 Banner Aerospace, Inc. .................................. 109,921
10,893 Circle International Group Inc. ......................... 307,727
21,238 Consolidated Freightways Corp. .......................... 318,570
1,186 Covenant Transport, Inc. ................................ 24,758
19,193 Fritz Co., Inc. ......................................... 266,303
45,100 Greyhound Lines Inc.+ ................................... 211,406
3,099 Halter Marine Group Inc. ................................ 60,818
2,563 Hvide Marine Inc., Class A Shares ....................... 48,697
21,362 J.B. Hunt Transportation Services Inc. .................. 571,434
22,705 Kirby Corp.+ ............................................ 532,148
10,781 Landstar Systems Inc. ................................... 320,735
4,407 Midwest Express Holdings ................................ 214,290
17,288 Motivepower Industries Inc. ............................. 461,374
8,710 M.S. Carriers Inc.+ ..................................... 229,726
219,405 Newport News Shipbuilding, Inc. ......................... 5,978,786
38,009 OMI Corp. ............................................... 330,203
56,000 Oshkosh Truck Corp. ..................................... 1,071,000
26,304 Overseas Shipholding Group Inc. ......................... 545,808
19,862 Pittston Burlington Group ............................... 438,205
211,978 Roadway Express Inc. .................................... 4,875,494
34,569 Rollins Truck Leasing Corp. ............................. 689,219
140,000 Sea Containers Ltd. ..................................... 4,462,500
50,022 Trans World Airlines, Inc.++ ............................ 650,286
1,848 Trico Marine Services Inc. .............................. 34,419
150,283 US Freightways Corp. .................................... 5,250,512
20,861 Werner Enterprises Inc. ................................. 518,917
8,800 Woodward Governor Co. ................................... 246,400
14,871 XTRA Corp. .............................................. 914,567
25,922 Yellow Corp. ............................................ 545,982
- --------------------------------------------------------------------------------
35,063,863
- --------------------------------------------------------------------------------
UTILITIES -- 7.3%
165,088 AGL Resources Inc. ...................................... 3,353,350
7,301 Aquarion Co. ............................................ 256,448
28,421 Atmos Energy Corp. ...................................... 815,327
12,934 Bay State Gas Co. ....................................... 489,875
13,854 Black Hills Corp. ....................................... 453,718
10,968 California Water Service Co. ............................ 330,411
19,132 Calpine Corp. ........................................... 303,721
3,918 Cellular Communications International, Inc. ............. 187,085
16,800 Central Hudson Gas & Electric Corp. ..................... 682,500
21,607 Central Louisiana Electric Inc. ......................... 702,228
31,600 Central Maine Power Co. ................................. 527,325
1,074 CFW Communications Co. .................................. 25,776
13,299 CIDCO Inc. .............................................. 222,758
13,264 CILCORP Inc. ............................................ 615,118
8,690 Colonial Gas Co. ........................................ 246,036
128,131 Commonwealth Energy Systems Co. ......................... 4,620,724
9,206 Commonwealth Telephone Enterprises ...................... 257,768
9,958 Connecticut Energy Corp. ................................ 293,761
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
60
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SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES -- 7.3% (CONTINUED)
6,346 Corecomm Inc. ........................................... $ 89,637
56,754 CTG Resources Inc. ...................................... 1,475,604
59,527 Delmarva Power & Light Co.++ ............................ 1,279,831
150,115 Eastern Utilities Associates++ .......................... 3,593,378
58,902 El Paso Electric Co.+ ................................... 401,270
15,905 Empire District Electric Co. ............................ 326,053
12,333 Energen Corp. ........................................... 478,675
5,736 General Cable Corp., Inc. ............................... 237,686
9,787 General Communications, Class A Shares .................. 69,732
6,367 Geotek Communications, Inc.++............................ 10,943
30,148 Glenayre Technologies, Inc. ............................. 348,586
31,435 Hawaiian Electric Industries Inc. ....................... 1,273,118
22,334 Indiana Energy Inc. ..................................... 667,228
30,184 Interim Services Inc. ................................... 875,336
8,500 Interstate Power Co. .................................... 302,813
17,513 Laclede Gas Co. ......................................... 434,541
15,359 Madison Gas & Electric Co. .............................. 343,658
28,200 MDU Resources Group Inc. ................................ 872,438
32,571 Minnesota Power & Light Co.++ ........................... 1,317,090
49,019 Nevada Power Co.++....................................... 1,216,284
17,709 Northwestern Public Service Co. ......................... 409,521
25,965 ONEOK Inc. .............................................. 908,775
13,300 Orange & Rockland Utilities Inc. ........................ 584,369
11,157 Otter Tail Power Co. .................................... 422,571
9,103 Pennsylvania Enterprises Inc. ........................... 228,713
21,829 Philadelphia Suburban Corp. ............................. 478,874
29,308 Piedmont Natural Gas Inc. ............................... 908,548
14,486 Powertel Inc. ........................................... 325,935
14,045 Pricellular Corp. ....................................... 171,173
11,680 Primus Telecommunication Group, Inc. .................... 303,680
230,454 Public Service Company of New Mexico..................... 5,372,459
19,413 Public Service Company of North Carolina Inc. ........... 418,593
163,390 Rochester Gas & Electric Co. ............................ 5,095,726
23,336 Sigcorp, Inc. ........................................... 673,827
7,280 South Jersey Industries Inc. ............................ 218,400
77,237 Southern California Water Co. ........................... 1,955,062
26,367 Southwest Gas Corp. ..................................... 533,932
24,014 Southwestern Energy Co. ................................. 264,154
10,366 TNP Enterprises Inc. .................................... 333,008
31,959 UGI Corp. ............................................... 914,826
14,920 Unisource Energy Corp. .................................. 254,572
109,189 United Illuminating Co. ................................. 5,029,518
26,257 United Water Resources, Inc. ............................ 515,294
42,524 Washington Gas Light Co. ................................ 1,145,490
54,664 Washington Water Power .................................. 1,250,439
15,119 Western Wireless Corp. .................................. 285,371
17,823 Wicor Inc. .............................................. 852,162
235,500 World Fuel Services Corp. ............................... 4,562,812
27,839 WPL Holdings Inc.++ ..................................... 887,368
23,102 WPS Resource Corp. ...................................... 750,815
10,534 Yankee Energy Systems Inc. .............................. 265,325
- --------------------------------------------------------------------------------
66,319,142
- --------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $731,690,239)................ 908,712,925
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
61
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.8%
$7,225,000 Goldman, Sachs & Co., 5.589% due 3/2/98;
Proceeds at maturity -- $7,228,365;
(Fully collateralized by U.S. Treasury
Notes, 5.375% due 2/15/01;
Market value -- $7,373,068) (Cost --
$7,225,000)............................. $ 7,225,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$738,915,239**)........................ $915,937,925
- -------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
++A portion of the security is on loan (See Note 12).
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Repurchase Agreement 0.8%
Capital Goods 5.8%
Utilities 7.3%
Energy 7.7%
Real Estate 8.1%
Banking 8.6%
Consumer Services 9.3%
Consumer Durables
and Non-Durables 10.6%
Financial Services 12.2%
Basic Industries 14.4%
Other Common Stocks 15.2%
SEE NOTES TO FINANCIAL STATEMENTS.
62
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.1%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 6.9%
7,825 AFC Cable Systems Inc. .................................. $ 278,276
20,600 Aftermarket Technology Corp. ............................ 493,112
32,900 Allied Products Corp.+................................... 754,644
40,000 American Disposal Services, Inc. ........................ 1,485,000
13,262 American Homestar Corp. ................................. 274,357
75,900 Atwood Oceanics Inc. .................................... 3,728,587
18,800 Authentic Fitness Corp.+................................. 394,800
19,400 Aviation Sales Co.+...................................... 739,625
21,400 Berry Petroleum Co. ..................................... 329,025
30,200 Big City Radio Inc. ..................................... 298,225
41,900 Caraustar Industries Inc.+............................... 1,414,125
45,100 Cellnet Data Systems Inc. ............................... 394,625
57,644 Champion Enterprises Inc. ............................... 1,448,305
8,000 Chart Industries, Inc.+.................................. 198,000
5,900 Chemfirst Inc. .......................................... 155,981
92,763 CHS Electronics, Inc. ................................... 1,913,237
51,800 Church & Dwight Co., Inc.+............................... 1,486,013
21,000 Cinar Films Inc., Class B Shares......................... 777,000
5,300 Clarcor Inc.+............................................ 159,663
12,700 Computer Learning Centers Inc. .......................... 467,519
9,400 Concentric Network Corp. ................................ 136,300
35,900 Cymer Inc. .............................................. 809,994
36,100 Dekalb Genetics Corp., Class B Shares+................... 2,425,469
8,900 Eagle Geophysical Inc. .................................. 121,262
108,700 Education Management Corp. .............................. 3,505,575
10,400 Engle Homes Inc.+........................................ 176,800
23,200 Evergreen Resources Inc. ................................ 379,900
25,400 Florida Panthers Holdings, Inc. ......................... 546,100
22,800 G & K Services Inc., Class A Shares+..................... 1,003,200
67,500 Gaylord Container Corp. ................................. 447,187
33,076 Getchell Gold Corp. ..................................... 616,041
19,500 Global DirectMail........................................ 421,687
34,495 Golden Books Family Entertainment Inc. .................. 405,316
22,000 Hexcel Corp. ............................................ 578,875
8,500 Hirsch International Corp., Class A Shares............... 88,187
11,507 Hunt Corp. .............................................. 267,538
60,500 Interim Services Inc. ................................... 1,754,500
44,800 Ivex Packaging Corp. .................................... 1,125,600
33,900 John Wiley & Sons Inc. .................................. 1,680,169
38,200 Kaufman & Broad Home Corp.+.............................. 988,425
10,900 Lamalie Associates Inc. ................................. 213,231
40,326 Lawter International Inc.+............................... 471,310
15,400 Layne Christensen Co. ................................... 234,850
49,400 Learning Co. Inc. ....................................... 839,800
7,200 LHS Group Inc. .......................................... 540,900
14,100 Lilly Industries Inc., Class A Shares+................... 283,762
3,600 Liqui-Box Corp.+......................................... 142,200
22,700 Littlefuse Inc. ......................................... 641,275
17,800 Lomak Petroleum Inc.+.................................... 294,812
56,700 MacDermid Inc.+.......................................... 1,977,413
20,300 Medusa Corp.+............................................ 960,444
21,100 Mycogen Corp. ........................................... 358,700
14,900 N2K Inc. ................................................ 381,813
86,800 Nautica Enterprises Inc. ................................ 2,500,925
279,040 Newpark Resources Inc.+.................................. 5,371,520
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
63
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BASIC INDUSTRIES -- 6.9% (CONTINUED)
10,600 Nl Industries Inc. ...................................... $ 157,675
39,400 Nuevo Energy Co. ........................................ 1,413,475
52,400 Oakwood Homes+........................................... 2,076,350
14,150 Om Group Inc. ........................................... 628,791
10,925 The Profit Recovery Group International Inc. ............ 218,500
17,500 Quiksilver Inc. ......................................... 516,250
12,500 Republic Group Inc.+..................................... 257,812
20,100 Samsonite Corp. ......................................... 663,300
4,900 Scotts Co. .............................................. 166,600
12,900 SCP Pool Corp. .......................................... 295,088
1,000 Seacor Smit Inc. ........................................ 55,938
48,382 Seitel Inc. ............................................. 780,160
12,900 Service Experts Inc. .................................... 348,300
18,500 Shorewood Packaging Corp. ............................... 453,250
24,269 Simpson Manufacturing Co., Inc. ......................... 998,063
8,800 Sipex Corp. ............................................. 303,050
11,900 Smartalk Teleservices Inc. .............................. 400,138
15,300 Speedway Motorsports Inc. ............................... 411,188
15,600 Spiros Development Corp. ................................ 226,200
14,500 Splash Technology Holdings Inc. ......................... 253,750
17,027 SPX Corp. ............................................... 1,271,704
55,600 St. John Knits Inc.+..................................... 2,349,100
32,900 Staffmark Inc. .......................................... 1,102,150
18,500 Stein Mart Inc. ......................................... 597,781
23,400 Stillwater Mining Co. ................................... 503,100
7,500 Strayer Education Inc.+.................................. 247,500
24,700 Superior Services Inc. .................................. 653,006
21,140 Swift Energy Co. ........................................ 379,199
21,800 Synetic Inc. ............................................ 1,073,650
56,800 Titanium Metals Corp. ................................... 1,711,100
9,900 TMP Worldwide Inc. ...................................... 237,600
30,000 TransCoastal Marine Services............................. 401,250
7,920 Tredegar Industries Inc.+................................ 554,400
4,100 Triangle Pacific Corp. .................................. 147,600
23,300 Trico Marine Services Inc. .............................. 433,963
23,800 Valence Technology Inc. ................................. 127,925
147,600 Varco International Inc. ................................ 3,671,550
40,400 Walter Industries........................................ 770,125
22,100 Watsco Inc.+............................................. 604,987
26,413 Wausau-Mosinee Paper Corp. .............................. 571,181
17,400 WD-40 Co.+............................................... 504,600
5,000 White Cap Industries Inc. ............................... 85,000
13,700 Wilmar Industries Inc. .................................. 312,531
1,400 Wolverine Tube Inc. ..................................... 54,075
20,731 Zeigler Coal Holdings Co.+............................... 332,992
15,800 Zero Corp.-Del+.......................................... 418,700
- --------------------------------------------------------------------------------
79,621,846
- --------------------------------------------------------------------------------
BROADCASTING -- 1.8%
100,000 Chancellor Media Corp., Class A Shares@.................. 4,475,000
181,200 Cox Radio Inc............................................ 7,791,600
61,600 Emmis Broadcasting Corp., Class A Shares ................ 3,049,200
103,500 Heftel Broadcasting Corp. ............................... 4,903,313
- --------------------------------------------------------------------------------
20,219,113
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 5.9%
6,300 AAR Corp.+............................................... 191,362
25,100 Actel Corp. ............................................. 392,187
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
64
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 5.9% (CONTINUED)
5,800 Ag-Chem Equipment Co., Inc. ............................. $ 89,900
15,300 Alliance Semiconductor Corp. ............................ 100,406
43,557 Amax Gold Inc. .......................................... 119,782
31,900 Ametek Inc. ............................................. 857,312
18,800 Anixter Int'l Inc. ...................................... 324,300
35,640 Apogee Enterprises+...................................... 461,092
2,000 Aptargroup Inc. ......................................... 115,375
13,500 Armco Inc. .............................................. 71,719
12,900 Asyst Technologies Inc. ................................. 351,525
13,666 Baldor Electric Co.+..................................... 353,608
21,600 Belden Inc.+............................................. 841,050
23,300 Blount International, Inc., Class A Shares............... 648,031
35,000 BMC Industries Inc.+..................................... 680,312
54,600 Brooks Automation Inc. .................................. 965,738
31,800 Carlisle Companies Inc.+................................. 1,540,312
31,700 Carpenter Technology Corp.+.............................. 1,499,806
5,300 Centennial Cellular Corp., Class A Shares................ 98,713
10,300 Chase Industries Inc. ................................... 290,331
27,000 Credence Systems Corp. .................................. 901,125
20,300 Cuno Inc. ............................................... 390,775
48,500 DMC Communications....................................... 857,844
9,024 DT Industries Inc.+...................................... 318,096
7,600 Ducommun Inc. ........................................... 244,625
12,800 Echostar Communications Corp. ........................... 268,800
6,200 Elcor Corp.+............................................. 166,238
20,700 Electroglas Inc. ........................................ 382,950
8,900 Essex International Inc. ................................ 345,987
22,546 Furon Co.+............................................... 474,875
13,800 Gardner Denver Machinery Inc. ........................... 370,013
9,394 Gencorp Inc. ............................................ 255,986
33,200 General Cable Corp.+..................................... 1,375,725
44,000 Gentex Corp. ............................................ 1,419,000
12,525 Graco Inc.+.............................................. 369,487
49,000 Halter Marine Group Inc. ................................ 961,625
20,200 Herley Industries Inc. .................................. 270,175
11,000 Herley Industries Inc. -- Rights......................... 27,844
28,900 Integrated Circuit Systems Inc. ......................... 1,011,500
144,000 Integrated Process Equipment Corp. ...................... 2,664,000
15,297 Ionics Inc. ............................................. 657,771
14,800 Itron Inc. .............................................. 312,650
47,500 JLG Industries Inc.+..................................... 742,187
42,700 Kaydon Corp.+............................................ 1,587,906
46,400 Kemet Corp............................................... 986,000
93,200 Kent Electronics......................................... 2,079,525
79,750 Level One Communications Inc. ........................... 3,583,766
6,300 Lindsay Manufacturing Co.+............................... 263,812
24,000 Lo-Jack Corp. ........................................... 292,500
13,600 Lydall Inc. ............................................. 238,850
20,900 Magnetek Inc. ........................................... 370,975
12,875 Manitowoc Company Inc.+.................................. 507,758
19,300 Mascotech Inc.+.......................................... 400,475
32,300 Maverick Tube Corp. ..................................... 627,831
10,500 Modine Manufacturing+.................................... 367,500
15,300 Modtech Inc. ............................................ 382,500
15,800 NN Ball & Roller Inc.+................................... 167,875
11,300 Nordson Corp. ........................................... 549,463
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
65
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 5.9% (CONTINUED)
55,900 NS Group, Inc. .......................................... $ 796,575
20,500 OEA Inc.+................................................ 434,344
14,500 Omniquip International Inc.+............................. 362,500
30,000 Pittway Corp., Class A Shares............................ 2,130,000
55,900 Plantronics Inc. ........................................ 2,277,925
9,297 Quanex Corp.+............................................ 307,963
26,057 Regal Beloit Corp. ...................................... 846,853
29,900 Robotic Vision Systems Inc. ............................. 394,306
27,130 Rohn Industries Inc.+.................................... 156,845
37,300 Roper Industries Inc. ................................... 1,084,031
35,700 Sanmina Corp............................................. 2,844,844
21,700 Schweitzer Mauduit International Inc.+................... 721,525
9,900 Speciality Equipment Cos. ............................... 176,963
16,800 SPS Technologies Inc. ................................... 795,900
13,050 Standex International Corp.+............................. 405,366
13,100 Stanford Telecommunications Inc. ........................ 243,988
45,800 Steel Dynamics Inc. ..................................... 870,200
24,900 Sturm Ruger & Co Inc.+................................... 502,669
20,200 Symmetricom Inc. ........................................ 188,113
1,800 Tennant Co.+............................................. 65,475
10,300 Thermotrex Corp. ........................................ 182,825
24,900 Trimble Navigation Ltd. ................................. 498,000
13,000 Ultratech Stepper Inc. .................................. 295,750
41,600 Uniphase Corp. .......................................... 1,666,600
24,822 Valmont Industries+...................................... 555,392
50,000 Vitesse Semiconductors Corp. ............................ 2,539,063
125,200 Waters Corp. ............................................ 6,189,575
24,080 W.H. Brady Co.+.......................................... 794,640
23,200 Wireless Telecom Group Inc.+............................. 194,300
12,300 Woodhead Industries Inc.+................................ 233,700
24,600 Wyman-Gordon Co. ........................................ 492,000
19,400 X-Rite Inc.+............................................. 282,513
13,500 Zoltek Companies Inc. ................................... 492,750
58,800 Zygo Corp. .............................................. 992,250
- --------------------------------------------------------------------------------
68,204,618
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 5.4%
51,100 Action Performance Co. .................................. 1,884,313
34,600 American Pad & Paper Co. ................................ 287,613
13,700 Ashworth Inc. ........................................... 190,944
18,700 Berg Electronics Corp. .................................. 528,275
8,300 Bet Holdings Inc. ....................................... 452,869
41,700 Brylane Inc. ............................................ 2,236,163
35,762 Buckeye Technologies Inc. ............................... 762,178
5,600 Bush Industries Inc., Class A Shares+.................... 140,700
22,900 Callaway Golf Co.+....................................... 738,525
37,954 Centex Construction Products Inc.+....................... 1,205,040
91,400 Chicago Miniature Lamp Inc. ............................. 4,272,950
10,700 Children's Place Inc. ................................... 76,906
8,800 Corecomm Inc. ........................................... 124,300
32,613 Cort Business Services Corp. ............................ 1,310,635
25,200 Donaldson Co. Inc.+...................................... 600,075
21,500 ESS Technology, Inc. .................................... 163,937
83,169 Etec Systems Inc.@ ...................................... 4,361,174
19,740 Federal Mogul Corp.+..................................... 968,494
22,800 Figgie International Inc. ............................... 290,700
12,100 First Brands Corp.+...................................... 311,575
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
66
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER DURABLES -- 5.4% (CONTINUED)
8,800 FSI International Inc. .................................. $ 118,800
25,004 Furniture Brands International, Inc. .................... 684,484
22,500 Garden Ridge Corp. ...................................... 390,938
5,700 General Binding Corp. ................................... 180,262
22,700 Holophane Corp. ......................................... 550,475
24,200 Jones Apparel Group Inc. ................................ 1,331,000
37,550 Kronos Inc. ............................................. 1,295,475
34,800 Kuhlman Corp.+........................................... 1,535,550
244,900 Marine Drilling Co. Inc. ................................ 4,392,894
6,000 Matthews International Corp., Class A Shares+............ 252,000
15,000 Miller Inc.+............................................. 918,750
38,650 Miller Industries Inc. .................................. 280,212
49,400 Natures Sunshine Products Inc.+.......................... 1,272,050
59,100 NBTY Inc. ............................................... 2,751,844
7,200 NCI Building Systems Inc. ............................... 284,400
37,300 New England Business Service Inc.+....................... 1,188,938
18,000 Nimbus CD International, Inc. ........................... 208,125
62,900 Novel Denim Holdings Ltd. ............................... 1,564,638
130,450 Pacific Sunware of California............................ 4,516,831
18,237 Palm Harbor Homes Inc. .................................. 656,532
22,900 Panavision Inc. ......................................... 595,400
13,000 Paul Harris Stores Inc. ................................. 114,563
7,900 Piercing Pagoda Inc. .................................... 240,950
9,000 Polymer Group Inc. ...................................... 117,000
93,181 Rational Software Corp. ................................. 1,257,943
36,650 Remec Inc. .............................................. 1,005,584
16,500 RMI Titanium Co. ........................................ 391,875
6,700 Robbins & Myers Inc.+.................................... 265,487
28,100 Rockshox Inc. ........................................... 203,725
31,100 Royal Appliance Manufacturing Co. ....................... 190,487
13,300 SED International Holdings Inc. ......................... 184,537
6,900 Sheldahl Inc. ........................................... 116,437
32,600 Stage Stores Inc. ....................................... 1,369,200
59,500 Stride Rite Corp.+....................................... 728,875
42,500 Sunglass Hut International Inc. ......................... 302,812
6,200 Superior Consultants Holdings Corp.+..................... 228,625
8,900 Superior Industries International Inc.+.................. 276,456
14,900 Tefron Ltd. ............................................. 340,838
55,200 Terex Corp. ............................................. 1,317,900
14,300 Thermo Fibertek Inc. .................................... 179,644
6,200 The Timberland Co., Class A Shares....................... 449,500
34,800 Tommy Hilfiger Corp. .................................... 1,863,975
18,200 Tower Automotive Inc. ................................... 826,963
14,500 Triumph Group Inc. ...................................... 623,500
7,900 Turbochef Inc. .......................................... 76,037
10,400 Ugly Duckling Corp. ..................................... 104,000
41,000 United Stationers Inc. .................................. 2,454,875
15,450 Wynn's International Inc.+............................... 392,044
36,074 Zenith Electronics Corp. ................................ 238,990
- --------------------------------------------------------------------------------
61,739,786
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 4.9%
29,100 Abercrombie & Fitch Co., Class A Shares ................. 1,003,950
27,000 Advanced Lighting Technologies Inc. ..................... 725,625
9,200 American Safety Razor Co. ............................... 210,450
18,050 Anadigics, Inc. ......................................... 282,031
99,000 Apple South+ ............................................ 1,348,875
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
67
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C> <C>
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 4.9% (CONTINUED)
14,300 Boston Beer Co. Inc., Class A Shares ................ $ 134,956
11,800 The Cheesecake Factory .............................. 380,550
10,800 Coleman Co., Inc. ................................... 222,750
7,600 Consolidated Cigar Holdings Inc.# ................... 176,225
26,352 Consolidated Products Inc. .......................... 454,572
17,500 Converse Inc. ....................................... 118,125
120,000 Dave & Buster's Inc.................................. 2,940,000
4,600 Del Laboratories Inc.+ .............................. 200,675
45,406 Delta & Pine Land Co.+ .............................. 1,722,590
7,800 Digital Link Corp. .................................. 96,525
28,400 Dreyer's Grand Ice Cream Inc.+ ...................... 642,550
23,900 Earthgrains Co.+ .................................... 1,035,169
9,700 Flowserve Corp.+ .................................... 307,369
7,900 Goody's Family Clothing Inc. ........................ 296,250
68,900 Guitar Center Inc. .................................. 1,425,369
31,000 Gymboree Corp. ...................................... 833,125
29,200 Hayes Lemmerz International Inc. .................... 947,175
36,500 Journal Register Co. ................................ 723,156
31,201 JP Foodservice Inc.# ................................ 1,031,583
21,000 Kenneth Cole Productions, Inc. ...................... 378,000
90,000 Knoll Inc. .......................................... 3,206,250
8,900 KV Phamaceuticals Co., Class B Shares ............... 212,488
22,300 Lance Inc.+ ......................................... 518,475
17,400 Landry's Seafood Restaurants, Inc. .................. 461,100
11,500 Lands End Inc. ...................................... 452,813
13,890 Libbey Inc.+ ........................................ 512,194
10,500 Linens 'N Things Inc. ............................... 528,937
11,980 NPC International, Inc. ............................. 137,770
42,000 The North Face Inc.@ ................................ 1,155,000
14,900 Nu Skin Asia Pacific Inc., Class A Shares ........... 338,044
32,925 Papa John's International, Inc. ..................... 1,222,341
2,800 P.H. Glatfelter Co.+ ................................ 49,175
11,950 Performance Food Group Co. .......................... 221,075
21,300 Rainforest Cafe Inc. ................................ 351,450
41,146 Ralcorp Holdings Inc. ............................... 696,910
18,950 Regis Corp.+ ........................................ 511,650
208,800 Rexall Sundown Inc.#1@ .............................. 7,725,600
59,200 Richfood Holdings Inc.+ ............................. 1,683,500
6,600 Riviana Foods, Inc.+ ................................ 144,375
3,200 Robert Mondavi Corp., Class A Shares ................ 132,800
36,548 Shoney's Inc. ....................................... 178,171
41,775 Showbiz Pizza Time Inc. ............................. 1,211,475
11,400 Sinclair Broadcast Group Inc., Class A Shares ....... 644,812
54,700 Smithfield Foods Inc. ............................... 1,729,888
24,153 Suiza Foods Corp. ................................... 1,565,416
11,100 Tejon Ranch Co.+ .................................... 332,306
149,200 Twinlab Corp. ....................................... 4,849,000
5,700 United National Foods, Inc. ......................... 154,969
10,200 USA Detergents Inc. ................................. 131,325
71,600 Whole Foods Market Inc. ............................. 4,381,025
112,500 Wild Oats Markets Inc. .............................. 3,789,844
12,933 Worthington Foods Inc.+ ............................. 176,212
- --------------------------------------------------------------------------------
57,044,035
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 20.7%
30,700 Abacus Direct Corp. ................................. 1,446,737
19,700 ABM Industries Inc.+................................. 709,200
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
68
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C> <C>
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 20.7 (CONTINUED)
38,500 ABR Information Services Inc. ....................... $ 1,092,437
12,300 Ackerley Group Inc.+................................. 234,469
136,500 Acxiom Corp. ........................................ 2,866,500
6,900 Administaff Inc. .................................... 283,762
23,500 Advo Inc. ........................................... 574,281
4,500 AEP Industries Inc. ................................. 158,625
43,600 Affiliated Computer Services, Class A Shares ........ 1,403,375
60,000 AHL Services Inc. ................................... 1,582,500
8,900 Alberto Culver, Class B Shares+ ..................... 270,894
255,562 Allied Waste Industries, Inc. ....................... 5,494,583
75,400 Alternative Resources Corp. ......................... 1,762,475
51,100 American Management Systems Inc. .................... 1,334,987
52,500 American Media Inc., Class A Shares ................. 393,750
13,300 American Residential Services, Inc. ................. 144,637
7,800 Anchor Gaming ....................................... 530,400
20,200 APAC Teleservices Inc. .............................. 297,950
39,600 Applebees International Inc.+ ....................... 910,800
69,400 Applied Graphics Technologies Inc.@ ................. 4,103,275
34,175 Arbor Drugs+ ........................................ 803,112
10,600 Atria Communities Inc. .............................. 215,975
93,100 BA Merchant Services Inc. ........................... 1,774,719
1,200 Bally's Grand Inc. .................................. 61,125
20,623 Barnett Inc. ........................................ 510,419
62,000 Big Flower Holdings Inc. ............................ 1,666,250
50,200 Billing Information Concepts Corp. .................. 1,455,800
60,000 BJ Services Co.@ .................................... 2,062,500
39,400 Bombay Co. .......................................... 201,925
34,900 Borders Group, Inc. ................................. 1,162,606
16,500 Borg-Warner Security Corp. .......................... 301,125
211,674 Brightpoint Inc. .................................... 4,339,317
47,555 Bristol Hotel Co. ................................... 1,194,819
12,500 Buckle Inc. ......................................... 514,062
50,800 Budget Group Inc., Class A Shares ................... 1,584,325
56,000 Capstar Hotel Co. ................................... 1,890,000
70,200 Caribiner International Inc. ........................ 2,360,475
20,000 Carriage Services Inc. .............................. 397,500
41,600 Caseys General Stores Inc.+.......................... 626,600
55,200 Catalina Marketing Corp. ............................ 2,666,850
25,200 Cellstar Corp. ...................................... 814,275
70,800 Central Garden & Pet Co. ............................ 2,460,300
9,150 Central Parking Corp.+............................... 398,025
26,800 Century Communications Corp. ........................ 273,025
29,600 Choice Hotels Corp. Inc. ............................ 444,000
21,000 Circuit City Stores-Carmax Group .................... 194,250
101,085 CKE Restaurants, Inc.+ .............................. 4,289,795
8,566 CKS Group Inc. ...................................... 162,754
54,550 Claire's Stores Inc.+................................ 981,900
10,100 Coinmach Laundry Corp. .............................. 240,506
18,700 Cole National Corp., Class A Shares ................. 627,619
7,900 Collins & Aikman Corp. .............................. 62,212
19,000 Compucom Systems Inc. ............................... 167,437
10,600 Consolidated Graphics Inc. .......................... 563,788
84,000 Cooper Companies Inc. ............................... 3,927,000
85,850 Corestaff Inc. ...................................... 2,677,447
60,000 Cost Plus Inc. ...................................... 1,473,750
69,009 CSG Systems International Inc. ...................... 2,674,099
23,947 Culligan Water Technologies, Inc. ................... 1,379,946
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
69
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 20.7% (CONTINUED)
55,800 Daisytek International Corp. ............................ $ 2,650,500
45,000 Dal-Tile International Inc. ............................. 509,062
20,200 Day Runner Inc. ......................................... 914,050
68,900 Devry Inc. .............................................. 2,342,600
37,750 Dollar Tree Stores Inc.# ................................ 1,637,406
15,700 Dominick's Supermarkets Inc. ............................ 714,350
153,899 Eagle Hardware & Garden Inc. ............................ 2,914,462
115,800 Eastern Environmental Services Inc.@ .................... 2,735,775
46,100 Electro Rent Corp. ...................................... 1,867,050
106,450 Equity Corp., International ............................. 2,235,450
43,564 Ethan Allen Interiors Inc.+ ............................. 2,428,693
27,100 Executive Risk Inc.+ .................................... 1,847,881
64,900 E*Trade Group Inc........................................ 1,736,075
25,400 Fair Issac & Company Inc.+............................... 898,525
180,800 Fairfield Communities Inc. .............................. 4,045,400
20,200 Family Golf Centers Inc. ................................ 679,225
10,300 Fine Host Corp. ......................................... 10,300
19,900 The Finish Line Inc., Class A Shares .................... 325,863
67,600 Foodmaker Inc. .......................................... 1,229,475
13,700 Fossil Inc. ............................................. 368,188
7,900 Friedman's Inc., Class A Shares ......................... 140,719
30,252 Gadzooks Inc. ........................................... 847,056
33,100 Genesco Inc. ............................................ 455,125
7,560 Genovese Drug Stores Inc. ............................... 136,553
13,400 Getty Images Inc. ....................................... 335,000
65,075 Ha-Lo Industries Inc.+ .................................. 1,923,780
7,300 Hancock Fabrics Inc.+ ................................... 119,081
33,300 Hollywood Entertainment Corp. ........................... 366,300
48,800 Host Marriott Services Corp. ............................ 652,700
14,700 Hot Topic Inc. .......................................... 367,500
33,892 Houghton Mifflin Co.+ ................................... 1,076,071
25,250 IDEX Corp.+ ............................................. 863,234
2,200 IHOP Corp. .............................................. 78,925
3,400 IMCO Recycling Inc.+ .................................... 58,862
52,000 Industri-Matematik International Corp. .................. 1,436,500
8,100 Information Management Resources Inc. ................... 387,788
5,470 Insilco Corp. ........................................... 216,749
111,600 Integrated Device Technologies Inc. ..................... 1,680,975
35,900 Interstate Hotels Co. ................................... 1,229,575
9,500 Iron Mountain Inc. ...................................... 323,000
6,200 ITT Educational Services, Inc. .......................... 175,537
45,800 Jacor Communications, Inc. .............................. 2,650,675
17,700 John H. Harland Co.+ .................................... 268,819
29,300 Jostens Inc.+ ........................................... 688,550
28,625 Just For Feet Inc. ...................................... 484,836
11,400 K2 Inc.+ ................................................ 229,425
135,750 Labor Ready Inc. ........................................ 3,682,219
82,000 Lamar Advertising Co.@ .................................. 4,135,875
5,500 Lason Inc. .............................................. 186,313
27,600 Lone Star Steakhouse & Saloon, Inc. ..................... 581,325
40,000 Macromedia Inc. ......................................... 500,000
19,300 Mail-Well Inc. .......................................... 769,587
63,900 Malibu Entertainment Worldwide .......................... 247,612
13,000 McGrath Rent Corp.+ ..................................... 284,375
12,900 Memberworks Inc. ........................................ 387,000
145,550 The Men's Wearhouse ..................................... 5,257,994
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
70
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER SERVICES -- 20.7% (CONTINUED)
37,300 Merrill Corp.+ .......................................... $ 732,013
34,400 Metro Networks Inc. ..................................... 1,268,500
6,900 Metromail Corp. ......................................... 186,300
54,800 Metromedia International Group Inc. ..................... 623,350
20,000 Metzler Group Inc. ...................................... 855,000
80,400 Michaels Stores Inc. .................................... 2,733,600
16,200 Micro Warehouse Inc. .................................... 222,750
25,700 National Media Corp. .................................... 67,463
8,100 NCO Group Inc. .......................................... 204,525
26,200 NFO Worldwide Inc. ...................................... 491,250
7,375 99 Cents Only Stores .................................... 283,937
16,200 Norrell Corp.+ .......................................... 378,675
16,900 Oak Industries Inc. ..................................... 518,619
25,200 Oakley Inc. ............................................. 303,975
29,600 Object Design Inc. ...................................... 179,450
12,900 On Assignment Inc. ...................................... 378,938
138,800 Onsale Inc.@ ............................................ 3,981,825
11,700 O'Reilly Automotive ..................................... 347,344
30,675 Outdoor Systems Inc. .................................... 914,498
16,700 Paxson Communications Corp. ............................. 149,256
56,700 Pegasus Communications Corp. ............................ 1,194,244
18,000 Pegasus Systems Inc. .................................... 400,500
8,000 Penn National Gaming Inc. ............................... 80,500
7,500 Penske Motorsports Inc. ................................. 225,938
26,400 Personnel Group Of America Inc. ......................... 1,072,500
25,300 Petco Animal Supplies Inc. .............................. 362,106
72,400 Peterson Companies Inc., Class A Shares ................. 1,855,250
19,600 Phymatrix Inc. .......................................... 256,025
76,329 Pier 1 Imports Inc.+ .................................... 2,041,801
22,100 Playboy Enterprises, Class B Shares ..................... 353,600
18,700 Polaris Industries Inc.+ ................................ 614,763
14,000 Premier Parks Inc. ...................................... 733,250
152,500 Prepaid Legal Services Inc. ............................. 6,424,063
52,900 Primadonna Resorts Inc. ................................. 793,500
102,800 Prime Hospitality Corp. ................................. 1,953,200
118,600 Proffitt's Inc. ......................................... 4,017,575
24,399 Promus Hotel Corp. ...................................... 1,177,252
18,666 Pulitizer Pubg Co.+ ..................................... 1,567,944
70,000 Quadramed Corp. ......................................... 2,231,250
14,600 Quality Food Centers Inc. ............................... 1,220,925
6,800 Quintel Entertainment Inc. .............................. 41,650
6,300 Rare Hospitality International, Inc. .................... 62,213
44,140 Renaissance Worldwide Inc.@ ............................. 2,620,813
10,100 Rental Service Corp. .................................... 237,350
32,100 Renters Choice Inc. ..................................... 802,500
11,600 Rollins Inc.+ ........................................... 239,250
92,300 Romac International Inc. ................................ 2,272,888
70,800 Royal Olympic Cruise Lines Inc.@ ........................ 1,062,000
28,900 Sabre Group Holdings Inc. ............................... 953,700
113,000 Safeguard Scientifics Inc.@ ............................. 4,068,000
12,000 Saga Communications Inc. ................................ 246,000
4,200 Sbarro Inc.+ ............................................ 123,900
11,900 Scientific Games Holdings Inc. .......................... 243,950
20,350 Seattle Filmworks Inc. .................................. 193,325
30,000 Select Appointments Holdings Ltd. ADR+ .................. 630,000
8,600 SFX Broadcasting Inc. ................................... 791,200
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
71
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CONSUMER SERVICES -- 20.7% (CONTINUED)
20,450 Signature Resorts Inc. ................................. $ 424,337
8,700 Silgan Holding Inc. .................................... 306,675
19,500 Silverleaf Resorts Inc. ................................ 521,625
59,700 Sitel Corp. ............................................ 604,463
2,500 Smart & Final Inc.+ .................................... 48,594
19,200 Snyder Communications Inc. ............................. 788,400
14,200 Sodak Gaming Inc. ...................................... 108,275
2,360 Sonic Corp. ............................................ 69,030
14,000 SOS Staffing Services, Inc. ............................ 287,000
49,800 Sotheby's Holding Inc., Class A Shares+ ................ 1,011,562
32,950 Source Services Corp. .................................. 869,056
14,700 Sparteck Corp.+ ........................................ 275,625
19,693 The Sports Authority Inc. .............................. 262,163
40,000 Stewart Enterprises Inc.+ .............................. 1,885,000
161,800 Suburban Lodges Of America Inc. ........................ 2,871,950
10,100 Sunburst Hospitality Corp. ............................. 88,375
11,700 Sykes Enterprises Inc. ................................. 215,719
23,950 Sylvan Learning Systems Inc. ........................... 1,097,209
21,700 TCA Cable Television Inc.+ ............................. 1,068,725
31,600 Telespectrum Worldwide Inc ............................. 94,800
11,700 Ticketmaster Group Inc. ................................ 308,587
22,700 Triarc Cos., Inc. ...................................... 570,337
5,700 United Auto Group Inc. ................................. 93,694
23,200 United International Holdings, Class A Shares .......... 337,850
5,100 United Television Inc.+ ................................ 545,062
52,600 United Video Satellite Group Inc., Class A Shares ...... 1,946,200
6,100 Unitog Co.+ ............................................ 122,762
84,200 Universal Outdoor Holdings Inc. ........................ 5,052,000
11,100 Urban Outfitters Inc. .................................. 212,288
252,155 US Office Products Co. ................................. 4,664,868
49,600 U.S. Satellite Broadcasting Co. ........................ 424,700
32,100 Vail Resorts Inc. ...................................... 866,700
17,200 Videoserver Inc. ....................................... 260,150
5,800 The Vincam Group, Inc. ................................. 150,800
6,500 Vistana Inc. ........................................... 167,375
19,800 Volt Info Sciences Inc. ................................ 1,040,738
52,400 Wabash National Corp. .................................. 1,555,625
12,800 Wackenhut Corrections Corp.+ ........................... 364,800
3,300 Waverly Inc.+ .......................................... 127,875
10,600 West Marine Inc. ....................................... 290,838
29,365 Westwood One Inc. ...................................... 910,315
14,000 Wet Seal Inc., Class A Shares .......................... 429,625
60,700 Williams Sonoma Inc. ................................... 3,126,050
8,200 WMS Industries Inc. .................................... 218,325
22,300 Wonderware Corp. ....................................... 526,838
32,600 World Color Press Inc. ................................. 1,053,387
29,100 W.R. Berkley Corp.+ .................................... 1,327,687
14,300 Young Broadcasting Corp., Class A Shares ............... 632,775
2,200 Zale Corp. ............................................. 61,187
- -------------------------------------------------------------------------------
238,787,448
- -------------------------------------------------------------------------------
ENERGY -- 3.8%
20,400 Advanced Energy Industries Inc. ........................ 344,250
52,600 Avid Technology Inc. ................................... 1,817,988
38,660 Barrett Resources Corp. ................................ 1,171,881
13,600 Basin Exploration Inc. ................................. 223,550
11,127 Belco Oil & Gas Corp. .................................. 201,677
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
72
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENERGY -- 3.8% (CONTINUED)
25,500 Benton Oil & Gas Co. .................................... $ 317,156
30,675 Cable Design Technologies ............................... 891,492
68,200 Cabot Oil & Gas Corp.+ .................................. 1,432,200
6,700 Carbo Ceramics Inc.+ .................................... 194,300
58,200 Chesapeake Energy Corp.+ ................................ 411,037
19,500 Cliffs Drilling Co. ..................................... 755,625
59,025 Cross Timbers Oil Co.+ .................................. 944,400
14,100 Devon Energy Corp.+ ..................................... 480,281
11,100 Edge Petroleum Corp. .................................... 115,163
30,000 Expeditors International Washington, Inc.+ .............. 1,215,000
57,150 Ferro Corp.+ ............................................ 1,539,478
55,500 Forcenergy Gas Exploration Inc. ......................... 1,238,344
22,200 Georgia Gulf Corp.+ ..................................... 731,212
163,700 Global Industries Inc.# ................................. 2,823,825
333,300 Grey Wolf Inc. .......................................... 1,479,019
126,300 Harken Energy Corp. ..................................... 852,525
18,200 HS Resources Inc. ....................................... 254,800
46,500 Input/Output Inc. ....................................... 1,002,656
132,000 IRI International Corp. ................................. 1,559,250
31,100 KCS Energy Inc.+ ........................................ 552,025
91,500 Key Energy Group Inc. ................................... 1,618,406
19,200 Mac-Gray Corp. .......................................... 326,400
23,208 Meridian Resource Corp. ................................. 192,916
65,900 National Energy Group Inc. .............................. 195,641
63,800 National Oilwell Inc. ................................... 1,786,400
39,700 Newfield Exploration Co. ................................ 952,800
8,700 Ocean Energy Inc. ....................................... 406,725
22,300 Oceaneering International Inc. .......................... 369,344
108,400 Patterson Energy Inc. ................................... 1,084,000
10,400 Plains Resources Inc. ................................... 164,450
113,300 Pride International Inc. ................................ 2,584,656
8,700 Rutherford-Moran Oil Corp. .............................. 158,775
11,162 Semco Energy Inc.+ ...................................... 186,964
80,800 St. Mary Land & Exploration+ ............................ 2,929,000
14,300 Stone Energy Corp. ...................................... 495,138
26,900 Transmontaigne Oil Co. .................................. 376,600
54,446 Tuboscope Inc. .......................................... 1,065,100
64,000 Unit Corp. .............................................. 508,000
18,400 United Meridian Corp. ................................... 502,550
99,300 Veritas DGC Inc. ........................................ 4,102,331
37,460 Vintage Petroleum Inc.+ ................................. 751,541
- --------------------------------------------------------------------------------
43,306,871
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 4.8%
22,450 Aames Financial Corp.#+ ................................. 300,269
43,600 Affiliated Managers Group, Inc. ......................... 1,613,200
36,900 Americredit Corp. ....................................... 1,007,831
23,100 Amerin Co. .............................................. 675,675
3,700 Ameritrade Holdings Corp. ............................... 102,213
26,300 Amresco Inc. ............................................ 887,625
8,100 Arcadia Financial Ltd. .................................. 61,763
10,700 Arm Financial Group, Inc.+ .............................. 243,425
21,100 Arthur J. Gallagher & Co.+ .............................. 871,694
12,350 Bank Of Granite Corp.+ .................................. 382,850
100,000 Capital Trust, Class A Shares+ .......................... 962,500
29,200 The Carbide/Graphite Group Inc. ......................... 892,425
2,400 CBT Corp.+ .............................................. 85,200
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
73
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 4.8% (CONTINUED)
40,000 CBT Group PLC Sponsored ADR .............................. $ 3,660,000
28,800 Century Business Services, Inc. .......................... 435,600
4,700 Citizens Bancshares Inc. Ohio+ ........................... 337,225
17,600 Cityscape Financial Corp. ................................ 9,900
19,700 CMAC Investment Corp.+ ................................... 1,319,900
2,700 CNB Bancshares, Inc.+ .................................... 125,213
27,300 Coinstar, Inc. ........................................... 230,344
17,092 Commerce Bancorp, Inc. of NJ+ ............................ 814,007
36,650 Commercial Federal Corp.+ ................................ 1,296,494
3,600 Community First Bankshares+ .............................. 190,800
12,000 Convenant Transport Inc., Class A Shares ................. 250,500
77,900 Crawford & Co. ........................................... 1,480,100
24,900 Credit Acceptance Corp. .................................. 203,869
18,150 CVB Financial Corp.+ ..................................... 490,050
6,500 Delta Financial Corp.#@ .................................. 89,781
42,600 E.W. Blanch Holdings Inc.+ ............................... 1,530,938
41,900 Financial Federal Corp. .................................. 916,563
4,600 First Consulting Group Inc. .............................. 86,250
3,100 First United Bancshares Inc. of Arkansas+................. 148,800
6,100 Firstfed Financial Corp. ................................. 246,287
33,900 Firstplus Financial Group Inc. ........................... 1,118,700
8,784 Foremost Corp. of America+ ............................... 200,385
30,354 Frontier Insurance Group Inc.+ ........................... 715,216
22,755 Fulton Financial Corp.+ .................................. 732,427
7,800 Hartford Life Inc., Class A Shares+ ...................... 335,887
46,300 HCC Insurance Holdings Inc.+ ............................. 949,150
12,500 Henry Schein Inc. ........................................ 509,375
22,700 HSB Group Inc.+ .......................................... 1,432,937
6,303 Hubco Inc.+ .............................................. 230,060
32,400 IMC Mortgage Co. ......................................... 380,700
3,300 Imperial Bancorp ......................................... 108,900
66,300 Imperial Credit Industries Inc. .......................... 1,400,587
7,100 Insignia Fin Corp., Class A Shares ....................... 165,962
4,700 Investment Technology Group Inc. ......................... 136,300
8,100 Investors Financial Service Corp.+ ....................... 380,700
22,400 Irvine Apartment Communities Inc.+ ....................... 683,200
7,500 Irwin Financial Corp.+ ................................... 354,375
42,700 Jefferies Group Inc.+ .................................... 1,892,144
6,683 John Nuveen Corp.+........................................ 235,993
25,205 Legg Mason Inc.+ ......................................... 1,505,999
13,400 Long Beach Financial Corp. ............................... 159,125
2,700 Markel Corp. ............................................. 469,800
17,550 McDonald & Co. Investments+ .............................. 438,750
4,400 Metris Companies Inc.+ ................................... 198,000
4,200 Mid Am, Inc.+ ............................................ 110,250
28,700 Mills Corp.+ ............................................. 765,931
4,000 Mississippi Valley Bancshares, Inc.+ ..................... 176,500
4,100 Moneygram Payment Systems Inc. ........................... 50,737
12,577 National City Bancshares Industries Inc.+ ................ 499,936
21,300 New York Bancorp Inc.+ ................................... 862,650
11,500 Ocwen Asset Investment Corp. ............................. 226,406
53,100 Ocwen Financial Corp. .................................... 1,593,000
8,305 Old National Bancorp+ .................................... 388,259
8,500 Oriental Financial Group+ ................................ 285,812
8,000 Philadelphia Consolidated Holdings Corp. ................. 162,000
14,860 Pioneer Group Inc.+ ...................................... 443,942
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
74
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 4.8% (CONTINUED)
8,500 Poe & Brown Inc.+ ....................................... $ 444,656
38,000 Raymond James Financial Corp.+ .......................... 1,515,250
1,800 Reinsurance Group Of America, Inc.+ ..................... 82,463
5,800 Roslyn Bancorp Inc.+ .................................... 132,313
3,200 SCPIE Holdings Inc.+ .................................... 94,000
14,100 SEI Investments Co.+ .................................... 831,900
25,955 Silicon Valley Bancshares ............................... 1,479,435
100,000 Sirrom Capital Corp.+@ .................................. 2,712,500
9,800 Southern Pacific Funding Corp. .......................... 151,287
9,100 Sovereign Bancorp Inc.+ ................................. 176,312
26,250 Sterling Bancshares Inc. of Texas+ ...................... 393,750
16,600 T & W Financial Corp. ................................... 350,675
13,400 Triad Guaranty Inc. ..................................... 502,500
21,223 Trustco Bank Corp of N.Y. ............................... 583,632
1,600 United Bankshares, Inc.+ ................................ 81,300
23,004 US Trust Corp. of N.Y.+ ................................. 1,470,818
5,184 Vesta Insurance Group Inc. .............................. 297,108
24,300 Wall Data Inc. .......................................... 370,575
8,950 West Coast Bancorp of Oregon+ ........................... 241,650
7,200 Westamerica Bancorporation .............................. 245,700
27,200 Westernbank Puerto Rico+ ................................ 833,000
1,420 WFS Financial Inc. ...................................... 17,040
- --------------------------------------------------------------------------------
55,257,250
- --------------------------------------------------------------------------------
HEALTH CARE -- 14.1%
22,650 Access Health Inc. ...................................... 821,063
24,000 ADAC Laboratoris+ ....................................... 639,000
27,200 Affymetrix Inc. ......................................... 853,400
38,900 Agouron Pharmaceuticals Inc. ............................ 1,434,438
52,900 Algos Pharmaceuticals Corp. ............................. 1,772,150
26,200 Alkermes Inc. ........................................... 607,513
40,300 Alliance Pharmaceutical Corp. ........................... 377,813
58,300 Alpharma, Inc.+ ......................................... 1,348,187
36,400 Alternative Living Services Inc. ........................ 1,246,700
3,750 American Homepatient Inc. ............................... 86,250
20,000 American Oncology Resources Inc. ........................ 305,000
27,389 Amerisource Health Corp. ................................ 1,602,257
36,400 Amylin Pharmaceuticals Inc. ............................. 191,100
11,400 Andrx Corp. ............................................. 354,112
12,700 Anesta Corp. ............................................ 254,794
9,200 Aphton Corp. ............................................ 110,400
11,600 Applied Analytical Industries Inc. ...................... 168,200
39,900 Apria Healthcare Group Inc. ............................. 543,638
28,200 Arbor Software Corp. .................................... 1,269,000
13,100 Arqule Inc. ............................................. 289,837
15,500 Arrow International Inc.+ ............................... 606,437
16,090 ATL Ultrasound Inc. ..................................... 732,095
10,600 Aurora Biosciences Corp. ................................ 111,963
19,400 Axys Pharmaceutical Inc. ................................ 164,900
20,600 Balanced Care Corp. ..................................... 157,075
99,000 Ballard Medical Products+ ............................... 2,487,375
10,225 Barr Laboratories Inc. .................................. 347,650
29,300 Biomatrix Inc. .......................................... 955,913
58,600 Bio-Technology General Corp. ............................ 494,438
70,000 Boron LePore & Associates, Inc. ......................... 2,345,000
10,700 Carematrix Corp. ........................................ 267,500
17,800 Celgene Corp. .......................................... 157,975
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
75
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTH CARE -- 14.1% (CONTINUED)
13,900 Chirex Inc. ............................................. $ 213,713
9,050 Clinitrials Research Inc. ............................... 72,400
6,600 Closure Medical Corp. ................................... 131,175
7,350 CN Lunar Corp. .......................................... 173,644
7,200 Coherent Inc. ........................................... 336,600
36,500 Columbia Laboratories Inc. .............................. 433,437
7,200 Compdent Corp. .......................................... 99,900
41,330 Conentra Managed Care Inc. .............................. 1,418,136
4,600 Conmed Corp. ............................................ 100,912
28,656 Cor Therapeutics Inc. ................................... 361,782
69,400 Covance Inc. ............................................ 1,492,100
40,100 Coventry Corp. .......................................... 649,119
40,800 Creative Biomolecules Inc. .............................. 392,700
15,800 Curative Technologies Inc. .............................. 582,625
25,700 Cygnus Inc. ............................................. 457,781
59,600 Cytogen Corp. ........................................... 85,675
19,500 Cytyc Corp. ............................................. 448,500
1,800 Diagnostic Products Corp.+ .............................. 51,075
14,800 Digene Corp. ............................................ 114,700
30,000 Dura Pharmaceuticals Inc. ............................... 753,750
14,100 Emisphere Technologies Inc. ............................. 272,306
35,400 Employee Solutions Inc. ................................. 185,850
34,000 Envoy Corp. ............................................. 1,381,250
27,317 Enzo Biochem Inc. ....................................... 363,658
11,500 Express Scripts Inc., Class A Shares .................... 897,000
178,000 FPA Medical Management Inc.@ ............................ 4,116,250
33,000 Fuisz Technologies Limited .............................. 396,000
17,400 Geltex Pharmaceuticals Inc. ............................. 502,425
86,400 Gensia Sicor Inc. ....................................... 488,700
117,400 Gilead Sciences Inc. .................................... 4,204,387
25,000 Graham Field Health Products Inc. ....................... 431,250
45,700 Guilford Pharmaceuticals Inc. ........................... 1,005,400
15,600 Gulf South Medical Supply Inc. .......................... 563,550
13,200 Hanger Orthopedic Group Inc. ............................ 178,200
80,000 HBO & Co.+ .............................................. 4,330,000
135,000 Healthcare Recoveries Inc. .............................. 2,868,750
13,800 Healthplan Services Corp.+ .............................. 344,137
20,000 Healthworld Corp. ....................................... 300,000
18,900 Heartport Inc. .......................................... 274,050
16,100 Herbalife International Inc.+ ........................... 386,400
16,860 Hilb, Rogal, & Hamilton Co.+ ............................ 315,071
13,300 Hologic Inc. ............................................ 304,238
13,500 Horizon Health Corp. .................................... 297,844
27,500 Human Genome Sciences Inc. .............................. 1,168,750
18,986 ICN Pharmaceutical, Inc.+ ............................... 1,096,442
42,400 ICOS Corp. .............................................. 596,250
66,700 IDEC Pharmaceuticals Corp. .............................. 3,026,512
8,300 IDX Systems Corp. ....................................... 343,413
102,400 Imatron Inc. ............................................ 262,400
31,200 Immunomedics Inc. ....................................... 140,400
89,700 Incyte Pharmaceuticals Inc. ............................. 4,081,350
24,900 Inhale Therapeutic Systems .............................. 743,887
24,660 Integrated Health Services, Inc.+ ....................... 836,899
63,100 International Network Services .......................... 1,758,913
37,200 Interneuron Pharmaceuticals Inc. ........................ 295,275
19,500 Invacare Corp.+ ......................................... 447,281
34,000 ISIS Pharmaceuticals Inc. ............................... 456,875
</TABLE>
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTH CARE -- 14.1% (CONTINUED)
173,600 Jones Medical Industries Inc.+@ ......................... $ 6,444,900
6,400 KOS Pharmaceuticals Inc. ................................ 64,800
13,800 Life Technologies Inc.+ ................................. 420,900
34,200 Ligand Pharmaceuticals Inc. ............................. 513,000
48,500 Liposome Company Inc. ................................... 281,906
20,400 Magellan Health Services Inc. ........................... 459,000
18,000 Martek Biosciences Corp. ................................ 279,000
23,600 Maxicare Health Plans Inc. .............................. 271,400
29,900 Medaphis Corp. .......................................... 310,212
112,900 Medicis Pharmaceutical Corp.#@ .......................... 4,847,644
85,900 Medimunne Inc.@ ......................................... 4,456,063
16,500 Mediq Inc. .............................................. 222,750
35,450 Medquist Inc. ........................................... 1,236,319
122,200 Mentor Corp.+ ........................................... 3,566,712
47,200 Mid Atlantic Medical Services, Inc. ..................... 554,600
33,900 Millennium Pharmaceuticals Inc. ......................... 682,237
8,700 Minimed Inc. ............................................ 365,400
8,000 Miravant Medical Technologies ........................... 280,000
9,500 Morrison Health Care Inc.+ .............................. 190,000
19,800 Myriad Genetics Inc. .................................... 381,150
44,400 NABI Inc. ............................................... 174,825
5,700 National Health Investors Inc.+ ......................... 233,700
20,200 National Surgery Centers Inc. ........................... 507,525
23,700 NCS Healthcare Inc. ..................................... 691,744
19,000 Neopath Inc. ............................................ 248,187
28,300 Neoprobe Corp. .......................................... 130,888
89,700 Neurex Corp. ............................................ 1,782,788
10,700 Neurogen Corp. .......................................... 176,550
9,000 Neuromedical Systems Inc. ............................... 23,062
31,157 Nexstar Pharmaceuticals, Inc. ........................... 366,095
42,700 OEC Medical Systems Inc. ................................ 942,069
3,500 Onyx Pharmaceuticals Inc. ............................... 24,062
130,300 Orthodontic Centers Of America, Inc. .................... 2,516,419
26,200 Owens & Minor Inc., Holding Co.+ ........................ 465,050
8,300 Oxigene Inc. ............................................ 137,987
36,000 Paracelus Healthcare Corp. .............................. 112,500
11,100 Paragon Health Network Inc. ............................. 206,737
85,800 Parexel International Corp. ............................. 3,238,950
60,322 Parker Drilling Co. ..................................... 663,542
32,500 Pathogenesis Corp. ...................................... 1,170,000
63,250 Patterson Dental Co. .................................... 1,913,313
46,000 Pediatrix Medical Group Inc. ............................ 1,897,500
7,300 Perclose Inc. ........................................... 184,325
20,905 Pharmaceutical Product Development Inc. ................. 439,005
5,500 Pharmacyclics Inc. ...................................... 143,687
12,900 Pharmerica Inc. ......................................... 167,700
14,500 Phoenix Technology Ltd. ................................. 192,125
7,300 PHP Healthcare Corp. .................................... 111,781
35,000 Physician Computer Network Inc. ......................... 148,750
17,600 Physician Resource Group Inc. ........................... 67,100
49,600 Physician Sales & Services Inc. ......................... 1,035,400
21,400 Physio-Control International Corp. ...................... 403,925
32,300 Plexus Corp. ............................................ 706,563
16,100 Possis Corp. ............................................ 239,487
20,100 Prime Medical Services Inc. ............................. 251,250
27,100 Protein Design Labs Inc. ................................ 1,165,300
18,100 Regeneron Pharmaceuticals Inc. .......................... 147,062
</TABLE>
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SMALL CAPITALIZATION GROWTH INVESTMENTS
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<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTH CARE --14.1% (CONTINUED)
117,350 Renal Care Group Inc. ................................... $ 4,415,294
23,400 Res-Care Inc. ........................................... 783,900
70,697 Respironics Inc. ........................................ 1,917,656
11,300 Sabratek Corp. .......................................... 379,962
36,300 Sandisk Corp. ........................................... 923,381
132,300 Sangstat Medical Corp. .................................. 4,051,687
25,300 Sawtek Inc. ............................................. 648,313
43,703 Scios Inc. .............................................. 437,030
8,300 Seachange International Inc. ............................ 57,581
41,400 Semtech Corp. ........................................... 1,190,250
33,600 Sepracor Inc. ........................................... 1,352,400
38,400 Sequus Pharmaceuticals Inc. ............................. 374,400
19,750 Serologicals Corp. ...................................... 528,313
30,900 Shiva Corp. ............................................. 421,013
31,800 Sierra Health Services Inc. ............................. 1,164,675
85,500 Smart Modular Technologies Inc. ......................... 2,394,000
71,200 Sola International Inc. ................................. 2,701,150
18,400 Sonus Pharmaceuticals Inc. .............................. 464,600
7,700 Speedfam International Inc. ............................. 205,494
14,700 Staar Surgical Co. ...................................... 238,875
9,900 Summit Technology Inc. .................................. 53,831
11,900 Sunrise Assisted Living, Inc. ........................... 502,775
21,600 Techne Corp. ............................................ 406,350
79,400 Theragenics Corp. ....................................... 4,714,375
20,350 TheraTech Inc. .......................................... 180,606
22,600 Thermedics Inc. ......................................... 370,075
23,800 Thermo Cardiosystems Inc. ............................... 595,000
17,900 Thermolase Corp. ........................................ 145,438
177,577 Total Renal Care Holdings Inc.@ ......................... 5,715,760
44,100 Transition Systems Inc. ................................. 859,950
22,700 Transkaryotic Therapies Inc. ............................ 720,725
16,900 Triangle Pharmaceuticals Inc. ........................... 278,850
9,700 Urologix Inc. ........................................... 133,981
29,787 US Bioscience Inc. ...................................... 336,965
30,900 Vertex Pharmaceuticals Inc. ............................. 1,154,888
19,300 Veterinary Centers Of America Inc. ...................... 300,356
2,100 Vital Signs Inc.+ ....................................... 44,362
16,820 Vitalink Pharmacy Services, Inc. ........................ 353,220
41,700 Vivus Inc. .............................................. 484,762
35,600 Zila Inc. ............................................... 273,675
19,700 Zitel Corp. ............................................. 273,337
- --------------------------------------------------------------------------------
162,538,461
- --------------------------------------------------------------------------------
MEDICAL TECHNOLOGY -- 0.8%
27,200 Acuson Corp. ............................................ 499,800
42,000 Advanced Tissue Sciences Inc. ........................... 456,750
53,100 Arterial Vascular Engineering Inc.+ ..................... 4,347,563
7,600 CNS Inc. ................................................ 48,450
40,900 Cognex Corp.+ ........................................... 984,156
52,900 ESC Medical Systems, Ltd. ............................... 1,805,212
17,400 I-Stat Corp. ............................................ 280,575
23,000 IDEXX Laboratoreis Inc. ................................. 360,812
10,200 Landauer Inc.+ .......................................... 295,163
11,628 Marquette Medical Systems Inc. .......................... 319,770
8,800 Medical Manager Corp. ................................... 220,000
- --------------------------------------------------------------------------------
9,618,251
- --------------------------------------------------------------------------------
</TABLE>
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SMALL CAPITALIZATION GROWTH INVESTMENTS
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<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
REAL ESTATE -- 1.6%
3,500 Alexander's Inc. ....................................... $ 326,156
6,100 Ambassador Apartments+ ................................. 123,525
7,252 Apartment Investment & Management Co.+ ................. 264,245
14,700 Assisted Living Concepts Inc.+ ......................... 273,787
16,200 Associated Estates Realty Corp. ........................ 332,100
4,200 Bedford Property Investors, Inc.+ ...................... 82,425
7,600 CB Commerical Real Estate Services Group, Inc. ......... 285,000
70,000 CCA Prison Realty Trust+ ............................... 3,080,000
5,600 Charles E. Smith Residential Realty, Inc. .............. 184,800
5,000 Chateau Communities Inc.+ .............................. 150,000
7,470 Chelsea GCA Realty Inc. ................................ 279,191
15,100 Cornerstone Properties Inc.+ ........................... 269,913
22,967 Cousins Properties Inc.+ ............................... 671,785
18,100 Developers Divers Realty Corp.+ ........................ 738,706
17,800 Federal Realty Investors Trust+ ........................ 440,550
7,654 Forest City Enterprises, Inc., Class A Shares .......... 422,883
43,700 General Growth Properties+ ............................. 1,595,050
13,600 Golf Trust Of America Inc.+ ............................ 392,700
8,500 Great Lakes Real Estate Investment Trust Inc.+ ......... 160,969
10,700 Grubb & Ellis Co. ...................................... 127,062
34,800 Health Care Investments Inc.+ .......................... 1,291,950
63,700 Intrawest Corp.+ ....................................... 1,154,563
6,300 JP Realty Inc.+ ........................................ 158,287
13,500 LNR Property Corp.+ .................................... 360,281
28,900 Macerich Co.+ .......................................... 816,425
9,800 Penn Real Estate Investment Trust+ ..................... 242,550
36,600 Reckson Associates Realty Corp.+ ....................... 921,863
18,600 Redwood Trust Inc.+ .................................... 362,700
88,900 RFS Hotel Investors, Inc.+ ............................. 1,611,313
3,800 Saul Centers Inc.+ ..................................... 66,738
20,000 Town & Country Trust+ .................................. 337,500
13,800 Urban Shopping Centers Inc.+ ........................... 460,575
40,400 Washington Real Estate Investment Trust+ ............... 679,225
- -------------------------------------------------------------------------------
18,664,817
- -------------------------------------------------------------------------------
TECHNOLOGY -- 22.1%
31,800 Acclaim Entertainment Inc. ............................. 164,962
3,900 ACT Manufacturing, Inc. ................................ 47,044
17,600 Activision Inc. ........................................ 243,100
23,700 Adtran Inc. ............................................ 708,037
4,300 Advent Software Inc. ................................... 157,488
4,600 Alliant Techsystems Inc. ............................... 288,938
14,000 Altron Inc. ............................................ 215,250
3,600 Amazon.com Inc. ........................................ 277,200
31,100 American Business Information Inc., Class B Shares ..... 396,525
32,000 Ampex Corp., Class A Shares ............................ 90,000
42,200 Amphenol Corp., Class A Shares ......................... 2,640,138
66,050 Analysis International Corp.+ .......................... 2,336,519
61,253 Apex PC Solutions Inc. ................................. 1,684,457
8,771 Applied Industrial Technolgies, Inc.+ .................. 228,046
29,600 Applied Magnetics Corp. ................................ 353,350
22,200 Applied Power Inc.+ .................................... 799,200
9,100 Aspect Development Inc. ................................ 434,525
110,200 Aspen Technology Inc. .................................. 4,380,450
19,900 Atmi Inc. .............................................. 552,225
24,900 Auspex Systems Inc. .................................... 238,106
28,875 Avant Corp. ............................................ 404,250
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
79
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 22.1% (CONTINUED)
20,000 Aviall Inc. ............................................. $ 287,500
18,600 Aware Inc. of Massachusetts ............................. 230,175
1,799 Banctec, Inc. ........................................... 46,212
13,100 Barra Inc. .............................................. 326,681
28,100 BE Aerospace, Inc. ...................................... 827,194
19,300 BEA Systems Inc. ........................................ 518,687
17,200 Bell & Howell Co. ....................................... 462,250
32,700 The BISYS Group Inc. .................................... 1,213,987
3,700 BGS Systems, Inc.+ ...................................... 162,337
80,600 Black Box Corp. ......................................... 2,881,450
94,050 Boole & Babbage Inc. .................................... 3,150,675
24,800 Broderbund Software Inc. ................................ 613,800
29,870 Burr-Brown Corp. ........................................ 1,228,404
25,700 C & D Technology Inc. ................................... 1,342,825
8,500 Caci International Inc., Class A Shares ................. 181,688
60,000 Cambridge Technology Partners Inc. ...................... 2,730,000
25,300 CCC Information Services Group Inc. ..................... 619,850
40,100 C-Cube Microsystems Inc. ................................ 832,075
12,500 CDI Corp. ............................................... 578,125
30,800 CDW Computer Centers Inc. ............................... 2,109,800
27,998 Cellular Technical Services Co. ......................... 61,246
39,900 Cerner Corp. ............................................ 822,937
7,700 CFM Technologies Inc. ................................... 134,750
52,600 Checkfree Holdings Corp. ................................ 1,130,900
18,700 Checkpoint Systems Inc. ................................. 347,119
78,000 Ciber Inc. .............................................. 5,206,500
8,900 Cirrus Logic Inc. ....................................... 98,456
65,400 Citrix Systems Inc. ..................................... 2,750,888
27,500 Clarify Inc. ............................................ 412,500
13,400 Claremont Technology Group, Inc. ........................ 180,900
30,000 CMG Information Services Inc. ........................... 1,436,250
8,800 CNET Inc. ............................................... 319,000
12,200 Coherent Communications Systems Corp. ................... 515,450
29,700 Cohu Inc.+ .............................................. 1,373,625
3,800 Complete Business Solutions, Inc. ....................... 258,400
41,500 Computer Horizons Corp. ................................. 2,165,781
1,325 Computer Management Services Inc. ....................... 34,450
39,474 Computer Products Inc. .................................. 984,383
121,900 Computer Task Group Inc.+ ............................... 4,975,044
139,560 Comverse Technology Inc.# ............................... 6,524,430
61,400 Copytele Inc. ........................................... 151,581
12,800 Credit Management Solutions Inc. ........................ 121,600
12,000 Cybermedia Inc. ......................................... 111,000
24,000 Cylink Corp. ............................................ 324,000
77,200 Daou Systems Inc.@....................................... 2,036,150
18,000 Data Dimensions Inc. .................................... 245,250
53,000 Data General Corp. ...................................... 1,093,125
6,200 Data Processing Resources Corp. ......................... 199,950
10,800 Data Transmission Network Corp. ......................... 304,425
16,850 Davox Corp. ............................................. 539,200
8,600 DBT Online Inc. ......................................... 246,175
8,600 Deltek Systems Inc. ..................................... 174,150
11,400 Dialogic Corp. .......................................... 494,475
52,800 Digital Microwave Corp. ................................. 970,200
40,800 DII Group, Inc. ......................................... 1,081,200
14,300 Dionex Corp. ............................................ 834,762
50,400 Documentum Inc. ......................................... 2,337,300
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
80
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 22.1% (CONTINUED)
5,400 Dupont Photomasks Inc. .................................. $ 237,600
19,400 Dynatech Corp. .......................................... 928,775
15,100 Edify Corp. ............................................. 232,163
7,900 Electro Scientific Industries Inc. ...................... 300,200
8,700 Eltron International Inc. ............................... 187,050
14,500 Encad Inc. .............................................. 357,063
25,800 Engineering Animation Inc. .............................. 1,580,250
31,700 Excite Inc. ............................................. 1,497,825
20,900 Factset Research Systems Inc. ........................... 624,387
13,100 FEI Co. ................................................. 170,300
10,000 Filenet Corp. ........................................... 333,750
20,800 Forte Software Inc. ..................................... 124,800
7,500 General Datacomm Industries Inc.+ ....................... 30,469
59,000 Genesys Telecommunications Labs Inc. .................... 1,718,375
158,300 Genrad Inc. ............................................. 4,501,656
85,100 Geotek Communications Inc. .............................. 146,266
11,200 Geotel Communications Co. ............................... 256,200
37,500 Glenayre Technologies ................................... 433,594
32,900 GT Interactive Software Corp. ........................... 254,975
14,011 Hadco Corp. ............................................. 716,312
133,300 Harbinger Corp.+ ........................................ 4,398,900
8,900 HCIA Inc. ............................................... 121,819
19,700 Helix Technology Corp.+ ................................. 448,175
33,200 Highway Master .......................................... 226,175
130,800 HMT Technology Corp.# ................................... 1,438,800
110,000 HNC Software, Inc. ...................................... 3,918,750
90,000 Hutchinson Technology, Inc. ............................. 2,081,250
28,000 Hyperion Software Corp. ................................. 1,151,500
6,900 I2 Technologies Inc. .................................... 390,281
219,000 Icon CMT Corp.@ ......................................... 2,436,375
24,500 Identix Inc. ............................................ 228,156
11,100 IKOS, Systems Inc. ...................................... 90,187
12,800 Imnet Systems Inc. ...................................... 268,000
16,300 In Focus Systems Inc. ................................... 650,981
6,100 Inacom Corp. ............................................ 199,775
14,100 Indus International Inc. ................................ 137,475
41,200 Information Advantage Inc. .............................. 321,875
10,000 Information Management Associates, Inc. ................. 102,500
187,100 Infoseek Corp. .......................................... 3,075,456
18,700 Innovex Inc.+ ........................................... 434,775
15,150 Insight Enterprises Inc. ................................ 602,212
13,100 Inso Corp. .............................................. 183,400
19,800 Integrated Systems Inc. ................................. 337,837
60,400 Interdigital Communciations Corp. ....................... 241,600
61,100 International Rectifier Corp. ........................... 889,769
26,600 Intersolv Inc. .......................................... 413,962
20,900 Inter-Tel Inc. .......................................... 462,413
19,800 Intervoice Inc. ......................................... 178,200
15,000 Intevac Inc. ............................................ 129,375
10,600 International Manufacturing Services Inc. ............... 104,675
20,400 IXC Communications Inc. ................................. 1,181,925
52,800 Jack Henry & Associates+ ................................ 1,821,600
5,200 Jacobs Engineering Group Inc. ........................... 155,675
48,200 J.D. Edwards & Co. ...................................... 1,590,600
25,600 JDA Software Group Inc. ................................. 1,238,400
60,000 Kulicke & Soffa Industries Inc. ......................... 1,665,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
81
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 22.1% (CONTINUED)
12,000 Learning Tree International Inc. ........................ $ 262,500
7,100 Lecroy Corp. ............................................ 166,850
69,200 Legato Systems Inc. ..................................... 3,390,800
28,300 Lone Star Technologies Inc. ............................. 877,300
112,456 Lycos Inc.# ............................................. 4,638,810
20,300 Manugistics Group Inc. .................................. 809,463
14,850 Mastec Inc. ............................................. 415,800
7,500 Mastech Corp. ........................................... 394,688
13,600 Maxwell Technologies Inc. ............................... 384,200
16,900 May & Speh Inc. ......................................... 208,081
36,200 Mercury Interactive Corp. ............................... 1,348,450
31,450 Methode Electronics Inc.+ ............................... 444,231
6,000 Metro Information Services Inc. ......................... 198,000
15,100 Micrel Inc. ............................................. 553,981
17,100 Micro Linear Corp. ...................................... 127,181
73,000 Microage Inc. ........................................... 939,875
38,200 Micropose Inc. .......................................... 75,206
41,300 Micros Systems Inc. ..................................... 2,281,825
9,500 Microtouch Systems Inc. ................................. 152,000
56,900 MRV Communications Inc. ................................. 1,322,925
47,400 National Computer Systems Inc.+ ......................... 1,890,075
61,150 National Instruments Corp. .............................. 1,842,144
21,100 National Techteam Inc. .................................. 217,594
24,900 Natural Microsystems Corp. .............................. 1,073,812
13,200 Neomagic Corp. .......................................... 244,200
154,700 Network Appliance, Inc. ................................. 4,563,650
20,400 Network Computing Devices Inc. .......................... 257,550
6,900 Network Equipment Technologies Inc. ..................... 96,169
25,300 Nova Corp. .............................................. 683,100
7,600 Oak Technologies Inc. ................................... 53,200
12,600 Objective Systems Integrator Inc. ....................... 165,375
11,600 ODS Networks Inc. ....................................... 78,300
24,300 OIS Optical Imaging Systems Inc. ........................ 30,375
13,700 Omtool Ltd. ............................................. 157,550
22,100 Open Market Inc. ........................................ 364,650
20,600 Orbital Sciences Corp. .................................. 785,375
57,951 Organogenesis Inc. ...................................... 1,329,251
8,500 Park National Corp.+ .................................... 738,437
50,560 Paxar Corp. ............................................. 707,840
122,600 P-Com Inc. .............................................. 2,482,650
7,000 Peerless Systems Corp. .................................. 107,625
5,100 Pega Systems Inc. ....................................... 108,375
10,200 Perceptron Inc. ......................................... 202,725
40,400 Performance Systems International Inc. .................. 311,837
17,900 Periphonics Corp. ....................................... 221,513
16,100 Peritus Software Services Inc. .......................... 257,600
34,200 Photronics Inc. ......................................... 1,004,625
11,300 Pixar Inc. .............................................. 418,100
94,196 Platinum Technology Inc. ................................ 2,390,224
56,700 PMC Sierra Inc. ......................................... 2,041,200
163,500 PMT Services, Inc. ...................................... 2,902,125
4,900 Policy Management Systems Corp. ......................... 354,637
5,400 Powerwave Technologies Inc. ............................. 87,075
7,200 Preview Travel Inc. ..................................... 153,900
45,500 Pri Automation Inc. ..................................... 1,582,547
12,300 Project Software & Development .......................... 273,675
13,400 Proxim Inc. ............................................. 177,550
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
82
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SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 22.1% (CONTINUED)
65,900 Quickresponse Services Inc. ............................. $ 2,858,413
7,700 Radiant Systems Inc. .................................... 144,856
7,500 Radisys Corp. ........................................... 262,500
11,100 Rambus Inc. ............................................. 496,725
40,900 Ramtron International Corp. ............................. 207,056
31,800 Read Rite ............................................... 453,150
55,600 Remedy Corp.# ........................................... 1,066,825
12,500 RF Micro Devices Inc. ................................... 185,156
30,800 Rogers Corp. ............................................ 1,185,800
19,300 S & T Bancorp Inc.+ ..................................... 1,018,075
20,800 Safeskin Corp. .......................................... 1,276,600
21,100 Santa Cruz Operation Inc. ............................... 97,588
34,200 Sapient Corp.@ .......................................... 2,714,625
34,400 Saville Systems PLC ..................................... 1,612,500
65,100 SBS Technologies Inc. ................................... 1,757,700
26,450 Scopus Technology Inc. .................................. 373,606
14,300 SDL Inc. ................................................ 296,725
49,000 Security Dynamics Technolgy Inc. ........................ 1,745,625
20,000 Sequent Computer Systems, Inc. .......................... 423,750
51,500 Siebel Systems Inc. ..................................... 3,167,250
55,800 SIII Inc. ............................................... 341,775
12,200 Silicon Valley Group Inc. ............................... 332,450
36,400 Software Ag Systems Inc. ................................ 705,250
6,200 Sportsline USA Inc. ..................................... 145,700
2,200 SPS Transaction Services, Inc. .......................... 64,213
8,100 SPSS Inc. ............................................... 174,150
105,700 Structural Dynamics Research Corp. ...................... 3,038,875
16,300 Supertex Inc. ........................................... 173,188
89,900 Symantec Corp. .......................................... 2,264,356
28,200 Synopsys Inc. ........................................... 985,238
37,000 System Software Associates Inc. ......................... 275,188
20,300 Systems & Computer Technolgy Corp. ...................... 888,125
27,900 Systemsoft Corp. ........................................ 127,294
17,800 Technitrol Inc.+ ........................................ 650,812
137,800 Technology Solutions Co. ................................ 4,478,500
12,200 Tekelec Co. ............................................. 498,675
44,775 Tel-Save Holdings Inc. .................................. 1,239,708
51,800 Telxon Corp.+ ........................................... 1,210,825
164,793 TETRA Technologies Inc. ................................. 3,692,519
39,500 Tower Semiconductor Ltd. ................................ 419,687
37,550 Transaction Network Services Inc. ....................... 741,613
52,200 Transaction Systems Architects Inc. ..................... 2,270,700
9,900 Transcrypt International Inc. ........................... 165,825
30,500 Trident Microsystems Inc. ............................... 244,000
10,600 Triquint Semiconductor Inc. ............................. 255,725
21,400 Unisource Energy Corp. Holding Co. ...................... 365,137
30,800 Unitrode Corp. .......................................... 579,425
23,600 USCS International Inc. ................................. 501,500
44,800 Vanguard Cellular Systems Inc., Class A Shares .......... 582,400
53,400 Vanstar Corp. ........................................... 737,588
64,500 Vantive Corp. ........................................... 1,765,688
17,400 Veeco Instruments Inc. .................................. 602,475
32,100 Veritas Software Corp. .................................. 1,825,687
23,600 Viasoft Inc. ............................................ 637,200
18,600 Vical Inc. .............................................. 298,762
39,100 Vicor Corp. ............................................. 1,104,575
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
83
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TECHNOLOGY -- 22.1% (CONTINUED)
107,900 Visio Corp. ............................................. $ 3,884,400
13,200 VISX Inc. ............................................... 310,200
64,100 VLSI Technology Inc. .................................... 1,237,931
17,000 Walker Interactive Systems Inc. ......................... 287,938
47,000 Wang Laboratories Inc. .................................. 1,310,125
101,800 Whittman-Hart Inc. ...................................... 3,359,400
58,925 Wind River Systems Co. .................................. 2,305,441
96,700 Winstar Communications Inc.@ ............................ 4,067,444
28,900 Xircom Inc. ............................................. 372,088
40,000 Xylan Corp. ............................................. 965,000
67,350 Yahoo! Inc.#@ ........................................... 4,929,178
22,100 Zebra Technologies Corp., Class A Shares ................ 638,138
12,400 Zoran Corp. ............................................. 215,450
- --------------------------------------------------------------------------------
254,891,817
- --------------------------------------------------------------------------------
TOBACCO -- 0.1%
48,800 Dimon Inc. .............................................. 854,000
17,616 General Cigar Holdings Inc. ............................. 292,866
- --------------------------------------------------------------------------------
1,146,866
- --------------------------------------------------------------------------------
TRANSPORTATION -- 0.8%
20,700 Air Express International Corp.+ ........................ 579,600
10,000 Airnet Systems Inc ...................................... 267,500
30,100 Airtran Holdings Inc. ................................... 174,956
9,500 American Freightways Corp. .............................. 97,969
7,600 ASA Holdings Inc.+ ...................................... 305,900
11,300 Atlas Air Inc. .......................................... 336,175
20,200 Coach USA Inc. .......................................... 752,450
9,900 Eagle USA Airfreight Inc. ............................... 283,387
19,385 Heartland Express Inc. .................................. 489,471
53,100 Hvide Marine Inc., Class A Shares ....................... 1,008,900
4,600 Knight Transportation Inc. .............................. 133,400
39,000 Mesaba Holdings, Inc. ................................... 1,131,000
20,250 Midwest Express Holdings, Inc. .......................... 984,656
17,100 Rural/Metro Corp. ....................................... 583,538
16,600 Swift Transportation Co. Inc. ........................... 541,575
44,900 US Freightways Corp.+ ................................... 1,568,694
- --------------------------------------------------------------------------------
9,239,171
- --------------------------------------------------------------------------------
UTILITIES -- 3.4%
20,450 ACC Corp. ............................................... 1,022,500
45,350 ADE Corp. ............................................... 838,975
65,781 Aliant Communications Inc.+ ............................. 1,726,751
28,200 Allen Telecom Inc. ...................................... 491,737
55,200 Alpine Group Inc. ....................................... 1,100,550
62,100 Aspect Telecommunications Corp. ......................... 1,637,887
23,400 Associated Group Inc. ................................... 933,075
12,518 Barnes Group Inc.+ ...................................... 369,281
27,400 Boston Communications Group Inc. ........................ 243,175
14,800 Cablevision Systems Corp., Class A Shares ............... 1,446,700
22,300 Cellular Communications International Inc. .............. 1,064,825
14,800 CFW Communications Co.+ ................................. 355,200
17,600 Commonwealth Telephone Enterprise, Inc. ................. 492,800
8,500 Digital Lightwave Inc. .................................. 31,875
900 Electric Lightway Inc., Class A Shares .................. 13,388
10,250 Encore Wire Corp. ....................................... 315,187
5,200 Franklin Electric Co. Inc.+ ............................. 352,950
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
84
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES -- 3.4% (CONTINUED)
161,000 ICG Communications Inc. ................................ $ 5,413,625
47,600 Intermedia Communications Inc. ......................... 3,635,450
16,400 LCC International Inc., Class A Shares ................. 207,050
10,000 MAS Technology Ltd. ADR ................................ 210,000
49,600 McLeod USA Inc., Class A Shares ........................ 1,932,850
13,600 Metromedia Fiber Network Inc., Class A Shares .......... 499,800
4,300 Mobil Telecommunications Technologies Corp. ............ 96,750
9,300 NEXTLINK Communications, Class A Shares ................ 280,163
19,300 North Pittsburgh Systems Inc.+ ......................... 318,450
4,000 NTL Inc. ............................................... 133,000
36,200 Omnipoint Corp. ........................................ 1,013,600
25,200 Pacific Gateway Exchange Inc. .......................... 1,091,475
51,300 Pagemart Wireless Inc., Class A Shares ................. 458,494
123,800 Paging Network Inc. .................................... 1,795,100
187,500 Pairgain Technologies Inc. ............................. 3,773,437
27,000 Premiere Technologies Inc. ............................. 847,125
31,100 Premisys Communications Inc. ........................... 738,625
15,900 Primus Telecommunications Group, Inc. .................. 413,400
8,700 RCN Corp. .............................................. 511,125
12,900 Spectrian Corp. ........................................ 232,200
22,000 West Teleservices Corp. ................................ 319,000
19,700 Westell Technologies Inc. .............................. 236,400
68,400 Western Wireless Corp. ................................. 1,291,050
44,700 World Access Inc. ...................................... 1,005,750
8,300 Yurie Systems Inc. ..................................... 173,263
- --------------------------------------------------------------------------------
39,064,038
- --------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $959,038,745) .............. 1,119,344,388
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
85
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
U.S TREASURY BILLS -- 0.1%
$ 100,000 U.S. Treasury Bills, 4.850% due 3/5/98++ .......... $ 99,830
360,000 U.S. Treasury Bills, 5.030% due 3/5/98++ .......... 359,749
60,000 U.S. Treasury Bills, 5.040% due 3/5/98++ .......... 59,958
100,000 U.S. Treasury Bills, 5.100% due 3/12/98++ ......... 99,933
- -------------------------------------------------------------------------------
TOTAL U.S. TREASURY BILLS (Cost -- $619,467) ...... 619,469
- -------------------------------------------------------------------------------
SUB-TOTAL INVESTMENTS (Cost -- $959,658,212) ...... 1,119,963,857
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.8%
32,704,000 Goldman, Sachs & Co., 5.589% due 3/2/98; Proceeds
at maturity -- $32,719,231;
(Fully collateralized by U.S. Treasury Notes,
5.375% due 2/15/01;
Market value -- $33,374,234) (Cost --
$32,704,000) ..................................... 32,704,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$992,362,212**) ................................. $1,152,667,857
- -------------------------------------------------------------------------------
</TABLE>
+ Denotes income producing security.
# A portion of this security is on loan (See Note 12).
++Security serves as collateral for futures contracts.
@ Security has been partially segregated by custodian.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
U.S. Treasury Bills 0.1%
Repurchase Agreement 2.8%
Energy 3.8%
Financial Services 4.8%
Capital Goods 5.9%
Basic Industries 6.9%
Other Common Stock 8.5%
Consumer Durables and Non-Durables 10.3%
Healthcare 14.1%
Consumer Services 20.7%
Technology 22.1%
SEE NOTES TO FINANCIAL STATEMENTS.
86
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
STOCK -- 90.4%
- -------------------------------------------------------------------------------
AUSTRALIA -- 2.8%
6,000 Aberfoyle Ltd. ..................................... $ 8,829
56,200 Amcor Ltd. ......................................... 245,433
17,800 Ashton Mining Ltd. ................................. 18,797
1,296,892 Australia New Zealand Banking Group Ltd. ........... 8,924,095
25,300 Australian Gas Light Co. Ltd. ...................... 201,671
68,600 Australian National Industries Ltd. ................ 58,421
102,913 Boral Ltd. ......................................... 249,608
19,400 Brambles Industries Ltd. ........................... 407,090
179,543 Broken Hill Proprietary Co. Ltd. ................... 1,773,681
40,675 Burns, Philp & Co. Ltd.+ ........................... 6,650
185,557 Coca-Cola Amatil Ltd.++ ............................ 1,599,214
100,198 Coles Myer Ltd. .................................... 520,179
86,499 Crown Ltd.+ ........................................ 41,252
87,900 CSR Ltd. ........................................... 291,646
26,048 David Jones Ltd. ................................... 29,281
13,300 Delta Gold NL ...................................... 17,125
5,500 Dominion Mining Ltd.+ .............................. 1,161
2,750 Dominion Mining Ltd. Warrants, Expire 12/31/98+ .... 37
24,266 Email Ltd. ......................................... 54,557
12,609 F.H. Faulding & Co. Ltd. ........................... 66,370
170,700 Foster Brewing Group Ltd. .......................... 377,968
42,891 Futuris Corp. Ltd. ................................. 51,137
100,000 General Property Trust ............................. 196,214
53,761 Gio Australia Holdings Ltd. ........................ 152,589
111,434 Goodman Fielder Ltd. ............................... 192,837
16,652 Great Central Mines Ltd. ........................... 22,122
16,187 Howard Smith Ltd. .................................. 132,559
36,132 James Hardie Industries Ltd.+ ...................... 112,252
22,600 Leighton Holdings Ltd. ............................. 88,535
22,058 Lend Lease Corp. Ltd. .............................. 555,289
12,300 Metal Manufactures Ltd. ............................ 18,436
144,849 Mount Isa Mines Holdings Ltd. ...................... 80,922
134,800 National Australia Bank Ltd. ....................... 1,864,339
18,442 Newcrest Mining Ltd.+ .............................. 24,752
2,203,499 News Corp. Ltd. .................................... 14,036,650
242,823 News Corp. Ltd. Preferred .......................... 1,331,755
144,930 Normandy Mining Ltd. ............................... 144,161
64,182 North Ltd. ......................................... 174,384
22,600 Orica Ltd. ......................................... 153,974
89,400 Pacific Dunlop Ltd. ................................ 158,361
77,325 Pioneer International Ltd. ......................... 223,896
12,100 Plutonic Resources Ltd. ............................ 37,509
33,009 QBE Insurance Group Ltd. ........................... 136,732
49,700 QCT Resources Ltd. ................................. 42,562
16,450 RGC Ltd. ........................................... 22,414
11,700 Resolute Ltd. ...................................... 11,319
28,643 Rio Tinto Ltd. ..................................... 376,239
9,300 Rothmans Holdings Ltd. ............................. 56,264
52,725 Santos Ltd. ........................................ 202,777
37,201 Schroders Property Fund ............................ 67,417
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
87
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
AUSTRALIA -- 2.8% (CONTINUED)
7,800 Sons of Gwalia Ltd.+ ................................ $ 23,913
55,198 Southcorp Holdings Ltd. ............................. 204,579
25,822 Stockland Trust Group ............................... 65,972
41,700 Sydney Harbour Casino Holdings Ltd.+ ................ 40,342
26,400 TABCORP Holdings Ltd. ............................... 140,509
105,596 Westfield Trust ..................................... 228,777
155,000 Westpac Banking Corp. Ltd.+ ......................... 1,075,024
100,050 WMC Ltd. ............................................ 339,457
- ------------------------------------------------------------------------------
37,680,035
- ------------------------------------------------------------------------------
AUSTRIA -- 0.2%
200 Austria Mikro Systeme International AG .............. 13,236
2,000 Austrian Airlines Osterreichische Luftverkehrs AG ... 50,281
4,970 Bank Austria AG ..................................... 336,699
3,440 Bank Austria AG-EM.97 ............................... 235,445
1,893 Bank Austria AG Preferred-EM.97 ..................... 124,262
658 Bank Austria AG Preferred New Shares ................ 42,928
1,200 Bank Austria AG-Vorzug .............................. 81,859
300 Bau Holding AG ...................................... 17,668
1,000 Boehler-Uddeholm AG ................................. 63,979
100 BWT AG .............................................. 17,974
600 EA-Generali AG ...................................... 196,519
1,600 Flughafen Wien AG ................................... 64,535
200 Lenzing AG+ ......................................... 13,079
900 Mayr-Melnhof Karton AG .............................. 52,160
600 Oesterreichische Brau-Beteiligungs AG ............... 35,149
2,800 Oesterreichische Elektrizitaetswirtschafts AG, Class
A Shares ........................................... 294,403
2,420 OMV AG .............................................. 293,208
1,000 Radex-Heraklith Industriebeteiligungs AG ............ 40,177
600 Steyr-Daimler-Puch AG ............................... 15,977
140 Strabag Oesterreich AG .............................. 7,072
300 Universale-Bau AG ................................... 10,455
1,300 VA Technolgie AG .................................... 179,500
800 Weinerberger Baustoffindustrie AG ................... 154,446
- ------------------------------------------------------------------------------
2,341,011
- ------------------------------------------------------------------------------
BELGIUM -- 0.8%
4,400 Algemene Maatschappij voor Nijverheidskredit NV ..... 252,535
1,400 Barco NV ............................................ 298,238
250 Bekaert NV .......................................... 169,180
2,550 Cimenteries CBR Cementbedrijven ..................... 223,958
250 Cimenteries CBR Cementbedrijven - STRIP VVPR+ ....... 26
300 Compagnie Benelux Paribas SA ........................ 17,219
450 Colruyt NV .......................................... 285,904
1,100 Compagnie Maritime Belge S.A. ....................... 86,478
630 D'Ieteren Sa ........................................ 200,133
5,700 Delhaize-Le Lion S.A. ............................... 346,930
6,075 Electrabel S.A. ..................................... 1,474,152
625 Electrabel S.A. - STRIP VVPR+ ....................... 200
4,632 Fortis AG ........................................... 1,184,585
332 Fortis AG - STRIP VVPR+ ............................. 44
1,830 Generale de Banque S.A. ............................. 865,903
110 Generale de Banque S.A. - STRIP VVPR+ ............... 17
750 Glaverbel S.A. ...................................... 101,708
2,700 Groupe Bruxelles Lambert S.A. ....................... 423,091
1,450 Kredietbank NV ...................................... 669,647
214 Kredietbank NV VVPR ................................. 97,973
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
88
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
BELGIUM -- 0.8% (CONTINUED)
2,600 PetroFina S.A. ...................................... $ 886,679
1,775 Royal Belge ......................................... 562,683
175 Royale Belge - STRIP VVPR+ .......................... 9
9,300 Solvay S.A. ......................................... 583,422
9,375 Tractbel ............................................ 962,276
750 Tractbel - STRIP VVPR+ .............................. 20
1,100 Tractbel Warrants, Expire 11/30/99+ ................. 910
170 UCB S.A. ............................................ 682,995
2,850 Union Miniere S.A.+ ................................. 210,744
- ------------------------------------------------------------------------------
10,587,659
- ------------------------------------------------------------------------------
DENMARK -- 0.6%
255 Aarhus Oliefabrik A/S, Class A Shares ............... 12,253
65 Aarhus Oliefabrik A/S, Class B Limited Voting
Shares ............................................. 3,100
970 Aktieselskabet Korn-OG Foderstof Kompagniet A/S ..... 25,517
1,015 Bang & Olufsen Holding A/S, Class B Shares .......... 65,482
4,810 Carlsberg A/S, Class A Shares ....................... 277,407
3,905 Carlsberg A/S, Class B Shares ....................... 229,023
29 D/S 1912, Class B Shares ............................ 1,302,051
20 Dampskibsselskabet Svendborg A/S, Class B Shares .... 1,300,897
8,195 Danisco A/S ......................................... 513,450
7,215 Den Danske Bank ..................................... 928,168
1,710 Det Ostasiatiske Kompagni A/S+ ...................... 14,088
4,190 FLS Industries A/S, Class B Shares .................. 105,987
2,375 GN Store Nord A/S++ ................................. 48,060
2,375 ISS International Service System A/S, Class B
Shares+ ............................................ 97,495
215 J. Lauritzen Holdings A/S+ .......................... 22,119
600 NKT Holdings A/S++ .................................. 49,867
10,230 Novo Nordisk A/S, Class B Shares .................... 1,530,441
825 Radiometer A/S, Class B Shares ...................... 38,159
524 Ratin A/S, Class A Shares+ .......................... 74,226
1,809 Ratin A/S, Class B Shares+ .......................... 261,218
3,750 SAS Danmark A/S ..................................... 60,166
524 Sophus Berendsen, Class A Shares+ ................... 16,966
1,809 Sophus Berendsen, Class B Shares+ ................... 59,356
2,475 Superfos A/S++ ...................................... 62,247
17,865 Tele-Danmark A/S, Class B Shares .................... 1,156,862
7,260 Unidanmark A/S, Class A Shares ...................... 526,794
- ------------------------------------------------------------------------------
8,781,399
- ------------------------------------------------------------------------------
FINLAND -- 0.5%
1,900 Amer Group Ltd.+ .................................... 37,928
1,900 Cultor Oyj Series 1 ................................. 117,235
600 Cultor Oyj Series 2 ................................. 35,061
2,000 Instrumentarium Group, Class A Shares ............... 112,516
400 Instrumentarium Group, Class B Shares ............... 22,430
16,400 Kemira Oyj++ ........................................ 162,800
11,500 Kesko Oyj++ ......................................... 188,247
900 Kone Corp. Oyj, Class B Shares ...................... 120,701
106,066 Merita Ltd., Class A Shares++ ....................... 619,807
1,100 Metra Oyj, Class A Shares ........................... 28,746
5,800 Metra Oyj, Class B Shares ........................... 146,939
27,600 Nokia Oyj AB, Class A Shares ........................ 2,780,700
10,700 Nokia Oyj AB, Class K Shares ........................ 1,067,999
15,900 Outokumpu OYJ ....................................... 207,756
2,600 Pohjola Insurance Group, Class A Shares ............. 122,679
2,600 Pohjola Insurance Group, Class B Shares ............. 122,679
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
89
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SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
FINLAND -- 0.5% (CONTINUED)
592 The Rauma Group Oyj ................................. $ 9,722
7,800 Sampo Insurance Co. Ltd., Class A Shares ............ 298,677
1,100 Stockmann AB, Class A Shares ........................ 91,029
500 Stockmann AB, Class B Shares ........................ 41,740
34,560 UPM-Kymmene Oyj ..................................... 896,880
- ------------------------------------------------------------------------------
7,232,271
- ------------------------------------------------------------------------------
FRANCE -- 10.0%
3,091 Accor S.A. .......................................... 713,702
14,130 Alcatel Alsthom ..................................... 1,837,807
1,656 Assurance Generales de France-AGF ................... 89,880
828 Assurance Generales de France Warrants, Expire
6/15/00+ ........................................... 870
28,802 AXA-UAP ............................................. 2,785,932
18,968 Banque Nationale de Paris ........................... 1,146,309
210 Bongrain S.A. ....................................... 94,838
2,245 Bouygues S.A. ....................................... 314,852
2,753 Canal Plus .......................................... 580,050
3,360 Carrefour Supermarche S.A. .......................... 2,016,231
650 Chargeurs S.A. ...................................... 38,417
1,056 Club Mediterranee S.A.+ ............................. 78,385
1 Compagnie Bancaire S.A. ............................. 151
7,910 Compagnie de Saint Gobain ........................... 1,108,046
14,596 Compagnie Financiere de Paribas, Class A Shares ..... 1,387,858
1,450 Compagnie Francaise d'Etudes et de Construction
Technip ............................................ 163,828
450 Compagnie Generale de Geophysique S.A. .............. 49,586
9,411 Compagnie Generale des Eaux Warrants, Expire
5/2/01+ ............................................ 9,427
11,817 Compagnie Generale des Establissements Michelin,
Class B Shares+ .................................... 731,612
11,843 Compagnie Generale des Eaux ......................... 1,863,201
450 Comptoirs Modernes .................................. 244,609
862 CPR ................................................. 67,099
400 Dollfus-Mieg & Cie S.A.+ ............................ 8,276
23,850 Elf Aquitaine S.A. .................................. 2,714,277
2,250 Eridania Beghin-Say S.A. ............................ 401,277
850 Essilor International S.A. .......................... 260,892
150 Europe 1 Communication .............................. 30,668
76,800 France Telecom S.A.+ ................................ 3,721,885
58,548 Groupe Danone ....................................... 11,826,324
1,169 Groupe GTM .......................................... 75,830
32,271 Havas S.A.+ ......................................... 2,516,790
1,300 Imetal S.A. ......................................... 161,824
6,385 L'Air Liquide ....................................... 1,031,783
5,915 L'OREAL ............................................. 2,663,513
8,241 Lafarge S.A. ........................................ 608,063
10,540 Lagardere S.C.A. .................................... 382,530
2,440 Legrand S.A. ........................................ 563,388
7,650 LVMH Moet Hennessy Louis Vuitton .................... 1,537,713
2,540 Moulinex+ ........................................... 63,611
1,337 Natexis ............................................. 81,239
800 Nord-Est S.A. ....................................... 15,896
600 Pathe S.A. .......................................... 115,284
4,925 Pernod-Ricard ....................................... 321,900
1,950 Pinault-Printemps Redoute S.A. ...................... 1,278,373
1,750 Primagaz Cie ........................................ 150,017
1,650 Promodes ............................................ 735,675
4,375 PSA Peugeot Citroen ................................. 622,916
29,630 Rhone-Poulenc, Class A Shares ....................... 1,365,375
736,406 Renault S.A. ........................................ 25,638,098
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
90
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
FRANCE -- 10.0% (CONTINUED)
350 Sagem S.A. .......................................... $ 214,392
9,238 Sanofi S.A. ......................................... 1,046,790
192,722 Schneider S.A. ...................................... 11,995,078
2,400 Sidel S.A. .......................................... 166,324
1,359 Simco S.A. .......................................... 108,018
1,150 Skis Rossignol S.A. ................................. 22,568
4,850 Societe BIC S.A. .................................... 384,380
320 Societe Eurafrance S.A. ............................. 148,982
1,400 Societe Francaise d'Investissements Immobiliers et de
Gestion ............................................ 86,124
8,523 Societe Generale, Class A Shares .................... 1,284,895
4,500 Societe Nationale d'Exploitation Industrielle des
Tabacs et Allumettes ............................... 196,574
722 Sodexho Alliance S.A. ............................... 465,263
1,900 Sommer-Allibert ..................................... 74,074
119,934 Suez Lyonnaise des Eaux ............................. 15,815,775
10,412 Thomson CSF ......................................... 359,075
137,542 Total S.A., Class B Shares .......................... 15,088,442
700 Union du Credit-Bail Immobilier ..................... 76,330
650 Union Immobilere de France S.A. ..................... 46,860
21,250 Usinor S.A. ......................................... 318,786
156,523 Valeo S.A. .......................................... 13,392,094
- -------------------------------------------------------------------------------
135,506,931
- -------------------------------------------------------------------------------
GERMANY -- 6.6%
3,950 Adidas AG ........................................... 622,492
3,500 AGIV-AG fuer Industrie und Verkehrswesen ............ 75,214
20,000 Allianz AG Holdings Registered Shares ............... 6,391,888
1,000 AMB Aachener & Muench Beteiligungs AG ............... 111,582
3,500 AMB Aachener & Muench Beteiligungs AG Registered
Shares ............................................. 391,503
2,200 Axa Colonia Konzern AG .............................. 266,696
500 Axa Colonia Konzern AG Preferred .................... 56,893
53,900 BASF AG ............................................. 1,951,899
63,150 Bayer AG ............................................ 2,684,605
22,400 Bayerische Hypotheken-und Wechsel-Bank AG ........... 1,041,128
23,050 Bayerische Vereinsbank AG ........................... 1,427,606
7,350 Beiersdorf AG ....................................... 345,062
3,150 Bilfinger & Berger Bau AG ........................... 82,794
400 Brau Und Brunnen AG ................................. 36,037
200 Buderus AG .......................................... 90,147
8,250 Continental AG ...................................... 198,203
164,974 Dailmer-Benz AG ..................................... 13,481,178
8,050 Degussa AG++ ........................................ 413,855
46,350 Deutsche Bank AG .................................... 3,182,284
34,050 Deutsche Lufthansa AG+ .............................. 654,807
191,400 Deutsche Telekom AG ................................. 3,802,055
5,200 Deutz AG+ ........................................... 42,120
150 Didier-Werke AG ..................................... 12,480
100 DLW AG .............................................. 11,543
2,800 Douglas Holding AG .................................. 99,052
41,100 Dresdner Bank AG++ .................................. 1,880,843
117 Dyckerhoff AG ....................................... 32,767
167 Dyckerhoff AG Preferred ............................. 46,451
50 Escada AG ........................................... 6,942
50 Escada AG Preferred ................................. 6,019
5,280 FAG Kugelfischer Georg Schaefer AG .................. 72,298
250 Friedrich Grohe AG-Vorzugsak ........................ 69,980
4,235 Heidelberger Zement AG .............................. 312,001
100 Herlitz AG .......................................... 7,879
</TABLE>
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<C> <S> <C>
- ------------------------------------------------------------------------------
GERMANY -- 6.6% (CONTINUED)
100 Herlitz AG Preferred .............................. $ 6,915
6,100 Hochtief AG ....................................... 214,784
100 HOLSTEN-BRAUEREI AG ............................... 20,387
200 IWKA AG+ .......................................... 45,294
750 Karstadt AG ....................................... 260,359
750 Linde AG++ ........................................ 497,988
950 MAN AG ............................................ 285,240
350 MAN AG Preferred .................................. 81,675
30,095 Mannesmann AG ..................................... 18,208,237
15,250 Merck KGaA ........................................ 566,370
19,620 Metro AG .......................................... 874,618
2,000 Metro AG Preferred ................................ 67,335
250 Muenchener Rueckversicherungs-Gesellschaft AG ..... 79,898
6,950 Muenchener Rueckversicherungs-Gesellschaft AG
Registered Shares ................................ 3,163,268
1,350 Preussag AG ....................................... 436,659
550 PWA-Papierwerke Waldhof-Ashaffenburg AG ........... 97,283
1,000 Rheinmetall Berlin AG ............................. 19,836
826 Rheinmetall Berlin AG Preferred ................... 14,564
29,450 RWE AG ............................................ 1,627,636
18,900 RWE AG Non Voting Preferred ....................... 886,783
100 Salamander AG+ .................................... 15,704
5,300 SAP AG ............................................ 2,015,974
3,700 SAP AG Preferred .................................. 1,527,666
5,950 Schering AG ....................................... 668,178
1,850 SGL Carbon AG ..................................... 221,208
49,050 Siemens AG ........................................ 3,032,515
150 STRABAG AG+ ....................................... 10,414
2,750 Thyssen AG++ ...................................... 598,550
43,050 VEBA AG ........................................... 2,903,526
2,306 Viag AG ........................................... 1,249,062
13,370 Volkswagen AG+ .................................... 8,785,389
750 Volkswagen AG Preferred ........................... 365,329
- ------------------------------------------------------------------------------
88,756,947
- ------------------------------------------------------------------------------
HONG KONG -- 1.9%
132,208 Bank of East Asia Ltd. ............................ 277,478
337,000 Cathay Pacific Airways ............................ 289,447
226,000 Cheung Kong Holdings Ltd. ......................... 1,583,532
177,608 Chinese Estates Holdings .......................... 60,789
245,000 CLP Holding Ltd. .................................. 1,272,069
22,000 Dickson Concepts International Ltd. ............... 38,075
65,000 Elec & Eltek International Holdings Ltd. .......... 18,679
2,400 Genting International Ltd. ........................ 648
64,000 Giordano International Ltd. ....................... 20,251
122,000 Hang Lung Development Co. Ltd. .................... 178,844
190,100 Hang Seng Bank Ltd. ............................... 1,798,492
16,800 Hong Kong Aircraft Engineering Co. Ltd. ........... 35,910
387,929 Hong Kong and China Gas Co. Ltd. .................. 696,443
102,500 Hong Kong & Shanghai Hotels Ltd. .................. 88,036
6,500 Hong Kong & Shanghai Hotels Ltd. Warrants, Expire
12/10/98+ ........................................ 46
1,169,787 Hong Kong Telecommunications Ltd. ................. 2,462,709
6,159 Hong Kong Telecommunications Ltd. ADR ............. 129,339
397,000 Hopewell Holdings Ltd. ............................ 87,680
851,000 Hutchison Whampoa Ltd. ............................ 6,017,725
93,000 Hysan Development Co. Ltd. ........................ 177,171
3,650 Hysan Development Co. Ltd. Warrants, Expire
4/30/98+ ......................................... 4
311 Jardine Matheson Holdings Ltd. .................... 1,455
</TABLE>
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<C> <S> <C>
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HONG KONG -- 1.9% (CONTINUED)
45,300 Johnson Electric Holdings Ltd. .................... $ 160,897
34,000 Kumagai Gumi (Hong Kong) Ltd. ..................... 22,835
5,000 Kumagai Gumi (Hong Kong) Ltd. Warrants, Expire
6/30/98+ ......................................... 138
4,900 Melco International Development Ltd. .............. 936
52,000 Miramar Hotel and Investment Ltd. ................. 71,527
1,585,864 New World Development Co. Ltd. .................... 5,847,777
449 New World Infrastructure Ltd. ..................... 1,188
132,000 Oriental Press Group .............................. 34,097
9,600 Oriental Press Group Warrants, Expire 10/2/98+ .... 22
52,000 Peregrine Investment Holdings Ltd. ................ 28,879
4,200 Peregrine Investment Holdings Ltd. Warrants, Expire
5/15/98+ ......................................... 5
360,800 Regal Hotels International ........................ 56,385
178,000 Shangri-La Asia Ltd. .............................. 159,780
125,243 Shun Tak Holdings Ltd. ............................ 30,410
276,000 Sino Land Co.++ ................................... 131,895
170,000 South China Morning Post Holdings Ltd.++ .......... 122,957
235,000 Sun Hung Kai Properties Ltd. ...................... 1,760,413
155,000 Swire Pacific Ltd., Class A Shares ................ 932,902
41,000 Tai Cheung Holdings Ltd. .......................... 13,900
38,000 Television Broadcasts Ltd. ........................ 110,429
22,000 Varitronix International Ltd. ..................... 46,173
227,000 Wharf Holdings Ltd.++ ............................. 473,496
21,068 Wing Lung Bank .................................... 92,516
- -------------------------------------------------------------------------------
25,334,379
- -------------------------------------------------------------------------------
HUNGARY -- 0.2%
26,130 Gedeon Richter Ltd.++ ............................. 2,857,840
- -------------------------------------------------------------------------------
IRELAND -- 0.2%
77,191 Allied Irish Banks PLC ............................ 1,005,214
3,900 Clondalkin Group PLC .............................. 42,012
34,599 CRH PLC ........................................... 424,614
7,600 DCC PLC ........................................... 73,061
19,420 Fyffes PLC ........................................ 38,927
11,764 Greencore Group PLC ............................... 58,872
39,305 Independent Newspapers PLC ........................ 249,223
2,400 Irish Continental Group PLC ....................... 42,544
25,789 Irish Life PLC .................................... 201,149
8,600 Irish Permanent PLC ............................... 121,257
3,119 James Crean PLC ................................... 6,464
99,399 Jefferson Smurfit Group PLC ....................... 254,817
14,900 Kerry Group PLC, Class A Shares ................... 184,891
15,200 Ryanair Holdings PLC .............................. 113,997
21,200 Tullow Oil PLC+ ................................... 56,371
49,204 Waterford Foods PLC, Class A Shares ............... 75,146
- -------------------------------------------------------------------------------
2,948,559
- -------------------------------------------------------------------------------
ITALY -- 5.4%
11,000 Arnoldo Mondadori Editore S.p.A. ++ ............... 118,098
78,300 Assicurazioni Generali ............................ 2,235,298
78,300 Assicurazioni Generali Rights Expire 3/10/98+ ..... 160,848
159,000 Banca Commerciale Italiana ........................ 725,938
129,000 Banca Intesa S.p.A.++ ............................. 590,770
57,000 Banca Intesa S.p.A. di Risp NC#++ ................. 130,439
38,000 Banca Intesa S.p.A. di Risp NC Warrants, Expire
5/31/02#+ ........................................ 0
86,000 Banca Intesa S.p.A. Warrants, Expire 5/31/02+ ..... 0
20,000 Banca Popolare di Milano .......................... 171,527
</TABLE>
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<C> <S> <C>
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ITALY -- 5.4% (CONTINUED)
16,520 Benetton Group S.p.A. ............................. $ 307,643
26,000 Bulgari S.p.A. .................................... 151,107
9,000 Burgo Cartiere S.p.A. ............................. 61,133
15,000 Cementir S.p.A. ................................... 17,603
4,048,041 Credito Italiano S.p.A.++ ......................... 15,595,403
3,000 Danieli & Co. ..................................... 23,117
3,000 Danieli & Co. di Risp NC# ......................... 13,422
56,000 Edison S.p.A. ..................................... 381,417
701,000 ENI S.p.A. ........................................ 4,101,131
11,000 Falck Acciaierie & Ferriere Lombarde S.p.A. ....... 77,822
324,200 Fiat S.p.A.++ ..................................... 1,139,940
70,000 Fiat S.p.A. di Risp NC ............................ 146,497
91,200 Fiat S.p.A. Preferred ............................. 178,888
30,000 Impregilo S.p.A. .................................. 28,835
72,000 Istituto Bancario San Paolo di Torino++ ........... 842,860
53,000 Istituto Mobiliare Italiano S.p.A.++ .............. 739,888
352,000 Istituto Nazionale delle Assicurazioni ............ 956,003
15,000 Italcementi S.p.A.++ .............................. 141,998
7,000 Italcementi S.p.A. di Risp NC# .................... 32,382
61,000 Italgas S.p.A. .................................... 233,371
18,600 La Rinascente S.p.A. .............................. 171,401
3,000 La Rinascente S.p.A. di Risp NC# .................. 14,920
2,000 La Rinascente S.p.A. Preferred .................... 7,879
38,500 Magneti Marelli S.p.A.++ .......................... 84,037
4,000 Marzotto & Figli S.p.A. ........................... 52,306
2,440,868 Mediaset S.p.A.++ ................................. 13,742,627
43,000 Mediobanca S.p.A.+ ................................ 443,757
9,200 Milano Assicurazioni .............................. 34,610
45,000 Montedison S.p.A. di Risp NC# ..................... 33,923
439,700 Montedison S.p.A. ................................. 455,315
231,868 Olivetti Group++ .................................. 228,699
28,028 Olivetti S.p.A., Convertible Bond, 6.50% due
9/30/02@.......................................... 0
28,028 Olivetti Warrants, Expire 8/31/02 ................. 0
130,000 Parmalat Finanziaria S.p.A. ....................... 215,038
129,000 Pirelli S.p.A. .................................... 358,787
7,000 Pirelli S.p.A. di Risp NC# ........................ 15,451
29,000 Riunione Adriatica di Sicurta S.p.A. .............. 339,825
11,800 Riunione Adriatica di Sicurta S.p.A. di Risp NC# .. 106,562
17,000 Sirti S.p.A. ...................................... 98,934
55,000 Snia BPD S.p.A. ................................... 73,304
5,000 Snia BPD S.p.A. di Risp NC# ....................... 4,903
11,000 Societa Assicuratrice Industriale S.p.A. .......... 158,473
4,000 Societa Assicuratrice Industriale S.p.A. di Risp
NC# .............................................. 26,075
3,427,331 Telecom Italia S.p.A. ............................. 23,322,593
80,200 Telecom Italia S.p.A. di Risp NC# ................. 388,040
139,500 Telecom Italia Mobile S.p.A. di Risp NC# .......... 412,937
573,500 Telecom Italia Mobile S.p.A. ...................... 2,640,192
- -------------------------------------------------------------------------------
72,733,966
- -------------------------------------------------------------------------------
JAPAN -- 18.9%
12,800 Acom Co. Ltd. ..................................... 715,332
7,900 Advantest Corp. ................................... 558,434
57,000 Ajinomoto Co. Inc. ................................ 563,999
16,000 Alps Electric Co. Ltd. ............................ 140,584
23,000 Amada Co. Ltd. .................................... 107,781
8,000 Amano Corp. ....................................... 81,057
33,000 Aoki Corp. ........................................ 30,562
6,400 Aoyama Trading Co. Ltd. ........................... 138,811
</TABLE>
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<C> <S> <C>
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JAPAN -- 18.9% (CONTINUED)
4,200 Arabian Oil Co. Ltd. .................................. $ 79,791
203,000 Asahi Bank Ltd.++ ..................................... 1,070,197
40,000 Asahi Breweries Ltd. .................................. 535,106
126,000 Asahi Chemical Industries Co. Ltd. .................... 562,526
103,000 Ashi Glass Co. Ltd. ................................... 618,831
8,000 Ashi Optical Co. Ltd. ................................. 19,947
54,000 Ashikaga Bank Ltd. .................................... 105,580
3,300 Autobacs Seven Co. Ltd. ............................... 124,079
407,600 Bank of Tokyo-Mitsubishi Ltd. ......................... 5,775,381
99,000 Bank of Yokohama Ltd. ................................. 307,195
70,000 Bridgestone Corp. ..................................... 1,612,443
21,000 Brother Industries Ltd. ............................... 57,183
516,000 Canon Inc. ............................................ 11,804,321
24,000 Casio Computer Co. Ltd. ............................... 197,577
68,000 Chiba Bank Ltd. ....................................... 252,988
50,000 Chichibu Onoda Cement Corp.++ ......................... 108,446
14,000 Chiyoda Corp. ......................................... 33,689
22,000 Chugai Pharmeceutical Co. Ltd.++ ...................... 140,014
28,000 Citizen Watch Co. Ltd. ................................ 202,802
55,000 Cosmo Oil Co. Ltd. .................................... 126,256
14,000 Credit Saison Co. Ltd.++ .............................. 326,921
5,600 CSK Corp. ............................................. 135,201
66,000 Dai Nippon Printing Co. Ltd. .......................... 1,123,248
29,000 Daicel Chemical Industries Ltd. ....................... 64,276
34,000 Daido Steel Co. Ltd. .................................. 75,896
62,000 Daiei Inc.++ .......................................... 292,012
9,000 Daifuku Co. Ltd. ...................................... 46,307
24,000 Daiichi Pharmeceutical Co. Ltd. ....................... 328,663
23,000 Daikin Industries Ltd. ................................ 115,609
15,000 Daikyo Inc. ........................................... 27,784
24,000 Daimaru Inc. .......................................... 75,041
69,000 Dainippon Ink & Chemical Inc. ......................... 207,551
13,000 Dainippon Screen Manufacturing Co. Ltd. ............... 75,635
12,425 Daito Trust Construction Co. Ltd. ..................... 110,155
46,000 Daiwa House Industry Co. Ltd. ......................... 359,756
12,000 Daiwa Kosho Lease Co. Ltd. ............................ 56,993
117,000 Daiwa Securities Co. Ltd. ............................. 576,988
37,000 Denki Kagaku Kogyo Kabushiki Kaisha ................... 70,877
571,000 Denso Corp. ........................................... 11,661,363
349 East Japan Railway Co. ................................ 1,649,275
25,000 Ebara Corp. ........................................... 290,904
24,800 Eisai Co. Ltd. ........................................ 433,847
13,000 Ezaki Glico Co.++ ..................................... 81,295
20,900 Fanuc Ltd. ............................................ 761,022
253,000 Fuji Bank Ltd. ........................................ 1,960,634
45,000 Fuji Photo Film Co. ................................... 1,763,239
30,000 Fujikura Ltd. ......................................... 211,113
35,000 Fujita Corp. .......................................... 40,172
10,000 Fujita Kanko Inc. ..................................... 104,488
162,000 Fujitsu Ltd. .......................................... 1,820,945
57,000 Furukawa Electric Co. Ltd. ............................ 251,769
6,000 Gakken Co. Ltd. ....................................... 14,960
45,000 Gunma Bank Ltd. ....................................... 338,755
19,000 Gunze Ltd. ............................................ 53,843
75,000 Hankyu Corp. .......................................... 349,679
15,000 Hankyu Department Stores Inc. ......................... 100,926
34,000 Haseko Corp.+ ......................................... 31,219
</TABLE>
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<C> <S> <C>
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JAPAN -- 18.9% (CONTINUED)
25,000 Hazama Corp. .......................................... $ 25,132
22,000 Higo Bank ............................................. 100,134
3,500 Hirose Electric Co. Ltd. .............................. 184,239
291,000 Hitachi Ltd. .......................................... 2,183,709
88,000 Hitachi Zosen Corp. ................................... 200,617
2,000 Hokuetsu Bank Ltd. .................................... 6,775
60,000 Hokuriku Bank ......................................... 108,287
85,000 Honda Motor Co. Ltd. .................................. 2,940,315
10,000 House Foods Industries ................................ 140,109
10,000 Hoya Corp. ............................................ 265,178
19,000 Inax Corp. ............................................ 79,711
222,200 Industrial Bank of Japan Ltd. ......................... 1,829,240
19,000 Isetan Co. Ltd. ....................................... 142,879
25,000 Ishihara Sangyo Kaisha Ltd.+ .......................... 44,328
205,000 Ito-Yokado Co. Ltd. ................................... 11,196,864
124,000 Itochu Corp. Ltd. ..................................... 368,083
18,000 Itoham Foods Inc. ..................................... 80,645
20,000 Iwatani International Corp. ........................... 49,869
12,000 Jaccs Co. Ltd. ........................................ 75,041
155,000 Japan Airlines+++ ..................................... 598,749
96,000 Japan Energy Corp. .................................... 132,985
8,000 Japan Metals & Chemicals .............................. 13,298
29,000 Japan Steel Works Ltd.+ ............................... 38,795
4,000 Jeol Ltd. ............................................. 17,098
14,000 JGC Corp .............................................. 36,238
77,600 Joyo Bank ............................................. 336,002
28,000 Jusco Co.++ ........................................... 454,365
84,000 Kajima Corp. .......................................... 309,190
6,000 Kaken Pharmeceutical Co.++ ............................ 21,990
21,000 Kamigumi Co. Ltd. ..................................... 95,915
18,200 Kandenko Co. Ltd. ..................................... 126,779
40,000 Kanebo Ltd. ........................................... 45,594
31,000 Kankeka Corp. ......................................... 176,680
85,500 Kansai Electric Power Co. ............................. 1,468,653
22,000 Kansai Paint Co. Ltd. ................................. 60,429
52,000 Kao Corp. ............................................. 703,870
5,000 Katokichi Co. Ltd. .................................... 66,492
121,000 Kawasaki Heavy Industries Ltd. ........................ 314,161
46,000 Kawasaki Kisen Kaisha Ltd. ............................ 73,917
284,000 Kawasaki Steel Corp. .................................. 476,593
44,930 Keihin Electric Express Railway Co. Ltd. .............. 160,045
15,600 Kikkoman Corp. ........................................ 98,665
23,500 Kinden Corp. .......................................... 314,375
141,940 Kinki Nippon Railway Ltd. ............................. 780,877
92,000 Kirin Brewery Co. Ltd. ................................ 801,076
5,300 Kissei Pharmeceutical Co. Ltd. ........................ 83,068
11,000 Kokuyo Co. ............................................ 192,432
88,000 Komatsu Ltd. .......................................... 420,042
7,000 Komori Corp. .......................................... 123,565
2,800 Konami Co. Ltd. ....................................... 60,286
31,000 Konica Corp. .......................................... 162,202
17,000 Koyo Seiko Co. Ltd. ................................... 84,239
123,000 Kubota Corp. .......................................... 354,405
48,000 Kumagai Gumi Co. Ltd.++ ............................... 53,194
21,000 Kurabo Industries ..................................... 36,404
30,000 Kuraray Co. Ltd. ...................................... 263,595
17,000 Kureha Chemicals Industry Co. Ltd. .................... 45,887
</TABLE>
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<C> <S> <C>
- --------------------------------------------------------------------------------
JAPAN -- 18.9% (CONTINUED)
11,800 Kurita Water Industries Ltd. .......................... $ 171,867
16,300 Kyocera Corp. ......................................... 877,384
39,000 Kyowa Hakko Kogyo ..................................... 191,094
7,000 Kyudenko Co. Ltd. ..................................... 44,937
27,000 Lion Corp. ............................................ 97,886
9,000 Maeda Road Construction Co. Ltd. ...................... 53,289
8,000 Makino Milling Machine ................................ 56,360
14,000 Makita Corp. .......................................... 161,798
130,000 Marubeni Corp. ........................................ 359,138
24,000 Maruha Corp. .......................................... 34,196
32,000 Marui Co. Ltd. ........................................ 524,341
184,000 Matsushita Electric Industrial Co. Ltd. ............... 2,679,965
300 Matsuzakaya Ltd. ...................................... 1,424
23,000 Meiji Milk Products Co. Ltd. .......................... 69,183
34,000 Meiji Seika ........................................... 130,531
34,000 Minebea Co. Ltd. ...................................... 376,790
10,000 Misawa Homes Co. Ltd. ................................. 37,599
191,000 Mitsubishi Chemical Corp.++ ........................... 356,811
137,000 Mitsubishi Corp. ...................................... 1,042,167
187,000 Mitsubishi Electric Corp. ............................. 568,416
113,000 Mitsubishi Estate Co. Ltd. ............................ 1,261,220
44,000 Mitsubishi Gas Chemical Co. ........................... 144,193
295,000 Mitsubishi Heavy Industries Ltd. ...................... 1,284,334
15,000 Mitsubishi Logistics Corp. ............................ 169,793
99,000 Mitsubishi Materials Corp. ............................ 225,694
36,000 Mitsubishi Oil Co. Ltd. ............................... 74,661
26,000 Mitsubishi Paper Mills ................................ 55,774
55,000 Mitsubishi Rayon Co. Ltd.++ ........................... 167,181
114,000 Mitsubishi Trust & Banking Corp. ...................... 1,344,573
138,000 Mitsui & Co. .......................................... 885,917
33,000 Mitsui Chemicals Inc. ................................. 92,733
65,000 Mitsui Engineering & Ship Building Co. Ltd. ........... 66,373
680,000 Mitsui Fudosan Co. Ltd. ............................... 7,320,509
63,000 Mitsui Marine & Fire Insurance Co. Ltd. ............... 351,080
44,000 Mitsui Mining & Smellting++ ........................... 183,551
97,000 Mitsui OSK Lines Ltd. ................................. 178,904
11,000 Mitsui Soko Co. Ltd. .................................. 41,011
105,000 Mitsui Trust & Banking Corp.++ ........................ 349,916
42,000 Mitsukoshi Ltd.++ ..................................... 151,270
8,000 Mori Seiki Co. Ltd. ................................... 96,889
189,000 Murata Manufacturing Co. Ltd. ......................... 5,999,287
28,000 Mycal Corp.++ ......................................... 216,987
12,000 Nagase & Co. .......................................... 46,544
72,000 Nagoya Railroad Co. Ltd.++ ............................ 253,051
4,600 Namco Ltd. ............................................ 111,058
43,450 Nankai Electric Railway ............................... 196,046
139,000 NEC Corp.++ ........................................... 1,551,412
30,000 NGK Insulators Ltd. ................................... 284,967
19,000 NGK Spark Plug Co. Ltd.++ ............................. 137,314
40,200 Nichido Fire & Marine Insurance Co. Ltd. .............. 245,342
27,000 Nichirei Corp. ........................................ 68,392
26,000 Nihon Cement Co. Ltd. ................................. 62,772
26,000 Niigata Engineering Co. Ltd. .......................... 24,697
32,000 Nikon Corp. ........................................... 311,564
10,000 Nippon Beet Sugar Manufacturing Co. Ltd. .............. 20,185
10,000 Nippon Cosmsys Corp. .................................. 121,902
7,000 Nippon Denko Co. Ltd. ................................. 10,250
</TABLE>
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<C> <S> <C>
- --------------------------------------------------------------------------------
JAPAN -- 18.9% (CONTINUED)
94,000 Nippon Express Co. Ltd. ............................... $ 587,081
51,000 Nippon Fire & Marine Insurance Ltd. ................... 201,852
47,000 Nippon Light Metal Co. ................................ 75,152
20,000 Nippon Meat Packers Inc. .............................. 262,803
107,000 Nippon Oil Co. Ltd.++ ................................. 386,226
83,000 Nippon Paper Industries Co. ........................... 422,457
12,000 Nippon Sharyo Ltd. .................................... 40,655
38,000 Nippon Sheet Glass Co. Ltd. ........................... 83,020
22,000 Nippon Shinpan Co. .................................... 43,885
17,000 Nippon Shokubai K.K. Co. .............................. 99,580
602,000 Nippon Steel Co. ...................................... 1,129,375
23,000 Nippon Suisan Kaisha Ltd. ............................. 38,051
2,448 Nippon Telegraph & Telephone Corp. .................... 22,478,270
103,000 Nippon Yusen Kabushiki Kaisha ......................... 333,467
22,000 Nishimatsu Construction Co. Ltd. ...................... 113,369
219,000 Nissan Motor Co. Ltd. ................................. 951,721
21,000 Nisshinbo Industries Inc. ............................. 122,180
12,000 Nissin Food Products Co. Ltd. ......................... 249,821
13,000 Nitto Denko Corp. ..................................... 205,810
308,000 NKK Corp. ............................................. 363,270
17,000 NOF Corp. ............................................. 40,505
780,000 Nomura Securities Co. Ltd. ............................ 10,743,291
13,000 Noritake Co. Ltd. ..................................... 70,695
49,000 NSK Ltd. .............................................. 191,997
40,000 NTN Corp. ............................................. 126,969
162 NTT Data Corp.++ ...................................... 7,860,840
65,000 Obayashi Corp. ........................................ 353,478
64,320 Odakyu Electric Railway ............................... 277,482
90,000 Oji Paper Co. ......................................... 484,447
10,000 Okamoto Industries Inc. ............................... 28,892
11,000 Okuma Corp. ........................................... 45,974
22,000 Okumura Corp. ......................................... 97,696
23,000 Olympus Optical Co. Ltd. .............................. 180,970
23,000 Omron Corp. ........................................... 371,408
15,000 Onward Kashiyama Co. Ltd.++ ........................... 213,725
27,000 Orient Corp. .......................................... 75,017
5,700 Orix Corp. ............................................ 415,103
221,000 Osaka Gas Co. Ltd.+ ................................... 491,577
2,700 Oyo Corp. ............................................. 41,890
28,000 Penta-Ocean Construction Co. .......................... 61,838
633,000 Pioneer Electronic Corp. .............................. 11,173,829
13,000 QP Corp. .............................................. 85,514
22,000 Renown Inc.+ .......................................... 22,987
52,000 Rohm Co. Ltd. ......................................... 5,145,254
299,000 Sakura Bank Ltd.++ .................................... 1,249,679
13,000 Sanden Corp. .......................................... 69,563
20,000 Sankyo Aluminum Industry Co. .......................... 27,705
40,000 Sankyo Co. Ltd. ....................................... 1,073,379
7,000 Sanrio Co. Ltd.+ ...................................... 53,138
21,000 Sanwa Shutter Corp. ................................... 128,829
170,000 Sanyo Electric Co. Ltd. ............................... 457,531
30,000 Sapporo Breweries Ltd. ................................ 135,359
21,000 Sato Kogyo Co. Ltd.++ ................................. 25,100
10,000 Secom Co. Ltd. ........................................ 622,971
8,800 Sega Enterprises Ltd. ................................. 168,574
12,000 Seino Transportation Co. Ltd. ......................... 71,621
18,000 Seiyu Ltd. ............................................ 62,835
</TABLE>
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INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
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<C> <S> <C>
- --------------------------------------------------------------------------------
JAPAN -- 18.9% (CONTINUED)
48,000 Sekisui Chemical Co. Ltd. ........................... $ 305,105
62,000 Sekisui House Ltd. .................................. 488,324
400 Seven-Eleven Japan Co. Ltd. ......................... 27,926
33,000 Seventy-Seventh Bank++ .............................. 300,403
98,000 Sharp Corp. ......................................... 766,437
4,000 Shimachu Co. Ltd.+ .................................. 77,257
12,000 Shimano Inc. ........................................ 246,972
69,000 Shimizu Corp.++ ..................................... 274,186
142,000 Shin-Etsu Chemical Co. Ltd. ......................... 3,124,831
31,000 Shionogi & Co. Ltd. ................................. 160,484
36,000 Shiseido Co. Ltd. ................................... 453,099
70,000 Shizuoka Bank Ltd. .................................. 781,287
9,000 Shokusan Jutaku Sogo Co. Ltd.+ ...................... 7,765
91,000 Showa Denko K.K. .................................... 122,457
9,000 Skylark Co. Ltd. .................................... 100,451
5,600 SMC Corp++ .......................................... 487,611
25,000 Snow Brand Milk Products Co. Ltd. ................... 86,875
232,100 Sony Corp. .......................................... 20,944,667
274,000 Sumitomo Bank Ltd. .................................. 3,253,383
142,000 Sumitomo Chemical Co. ............................... 439,499
93,000 Sumitomo Corp. ...................................... 646,354
63,000 Sumitomo Electric Industries ........................ 917,596
14,000 Sumitomo Forestry Co. Ltd. .......................... 81,785
51,000 Sumitomo Heavy Industries Ltd. ...................... 181,667
59,000 Sumitomo Marine & Fire .............................. 371,289
275,000 Sumitomo Metal Industries ........................... 487,611
50,000 Sumitomo Metal Mining Co. ........................... 217,288
36,000 Sumitomo Osaka Cement Co. Ltd. ...................... 61,838
1,231,000 Sumitomo Realty & Development Co. Ltd. .............. 8,136,507
89,000 Taisei Corp.++ ...................................... 267,711
30,000 Taisho Pharmeceutical Co. ........................... 705,295
9,000 Taiyo Yuden Co. Ltd. ................................ 96,176
17,000 Takara Shuzo Co. Ltd. ............................... 79,395
13,000 Takara Standard Co. Ltd. ............................ 83,456
27,000 Takashimaya Co. Ltd. ................................ 230,824
77,000 Takeda Chemical Industries .......................... 2,133,301
7,000 Takuma Co. Ltd. ..................................... 61,505
85,000 Teijin Ltd. ......................................... 260,389
21,000 Teikoku Oil Co. Ltd. ................................ 69,650
15,000 Toa Corp. ........................................... 31,346
75,000 Tobu Railway Co. Ltd. ............................... 264,782
12,000 Toei Co. ............................................ 53,478
1,600 Toho Co. Ltd. ....................................... 200,110
43,900 Tohoku Electric Power Co. ........................... 639,404
177,000 Tokai Bank++ ........................................ 1,252,576
135,000 Tokio Marine & Fire Insurance Co. ................... 1,528,140
15,000 Tokyo Broadcasting System Inc. ...................... 193,540
13,000 Tokyo Dome Corp. .................................... 105,992
118,100 Tokyo Electric Power Co. ............................ 2,224,950
15,000 Tokyo Electron Ltd. ................................. 539,064
245,000 Tokyo Gas Co. Ltd. .................................. 539,143
12,200 Tokyo Steel Manufacturing Co. Ltd. .................. 56,012
8,000 Tokyo Style Co.++ ................................... 82,324
18,000 Tokyo Tatemono Co. Ltd. ............................. 52,861
23,000 Tokyo Tokeiba Co. Ltd. .............................. 41,510
96,000 Tokyu Corp. ......................................... 422,512
61,000 Toppan Printing Co. Ltd. ............................ 719,464
</TABLE>
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JAPAN -- 18.9% (CONTINUED)
122,000 Toray Industries Inc. ................................. $ 656,692
52,000 Tosoh Corp. ........................................... 117,311
19,000 Tostem Corp. .......................................... 264,703
32,000 Toto Ltd. ............................................. 240,639
14,000 Toyo Engineering ...................................... 23,161
4,000 Toyo Exterior Co. Ltd ................................. 36,729
19,000 Toyo Seikan Kaisha Ltd. ............................... 311,327
54,000 Toyobo Ltd. ........................................... 90,619
25,000 Toyoda Automatic Loom Works Ltd.++ .................... 465,051
332,000 Toyota Motor Corp. .................................... 9,171,851
2,000 Trans Cosmos Inc. ..................................... 42,270
6,000 Tsugami Corp. ......................................... 8,121
15,000 Tsumakimoto Chain Co. ................................. 52,600
73,000 UBE Industries Ltd. ................................... 130,594
6,000 The Uni-Charm Corp. ................................... 213,725
4,000 Uniden Corp.++ ........................................ 42,111
37,000 Unitika Ltd. .......................................... 43,932
17,000 Uny Co. Ltd. .......................................... 259,716
12,000 Wacoal Corp. .......................................... 131,356
17,000 Yamaguchi Bank Ltd. ................................... 209,926
18,000 Yamaha Corp. .......................................... 199,477
106,000 Yamaichi Securities Co. Ltd. .......................... 3,356
29,000 Yamanouchi Pharmeceutical Co. Ltd. .................... 704,741
34,000 Yamato Transport Co. Ltd.++ ........................... 427,926
19,000 Yamazaki Baking Co. Ltd. .............................. 213,567
96,000 Yasuda Trust & Banking++ .............................. 193,778
23,000 Yokogawa Electric Corp. ............................... 144,739
- --------------------------------------------------------------------------------
255,446,689
- --------------------------------------------------------------------------------
MALAYSIA -- 0.5%
9,000 Aluminium Co. of Malaysia Berhad+ ..................... 2,938
33,000 AMMB Holdings Berhad .................................. 40,767
105,000 Amsteel Corp. Berhad .................................. 27,142
15,000 Antah Holdings Berhad ................................. 5,551
13,000 Aokam Perdana Berhad+ ................................. 3,484
71,000 Berjaya Group Berhad .................................. 26,661
56,000 Berjaya Land Berhad ................................... 54,247
79,200 Commerce Asset Holdings Berhad ........................ 68,532
19,000 Edaran Otomobil Nasional Berhad ....................... 41,360
47,000 Ekran Berhad+ ......................................... 18,800
200 Genting Berhad ........................................ 663
128,000 Golden Hope Plantation Berhad ......................... 170,666
10,000 Golden Plus Holdings Berhad ........................... 5,442
25,000 Guinness Anchor Berhad ................................ 39,455
77,000 Highlands & Lowlands Berhad ........................... 85,066
20,400 Hong Leong Industries Berhad .......................... 22,981
58,000 Hong Leong Properties Berhad .......................... 20,359
21,000 Hume Industries Berhad ................................ 24,342
47,000 Idris Hydraulic Berhad+ ............................... 16,753
31,000 IGB Corp. Berhad ...................................... 13,243
70,000 IOI Corp. Berhad ...................................... 59,428
21,000 Jaya Tiasa Holdings Berhad ............................ 35,142
21,000 Johan Holdings Berhad ................................. 7,085
31,000 Kedah Cement Holdings Berhad .......................... 11,472
8,000 Kelanamas Industries Berhad+ .......................... 2,503
30,000 Kemayam Corp. Berhad+ ................................. 9,959
10,000 Kian Joo Can Factory Berhad ........................... 17,414
</TABLE>
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MALAYSIA -- 0.5% (CONTINUED)
91,000 Kuala Lumpor Kepong Berhad ............................ $ 221,619
40,000 Land & General Berhad ................................. 16,326
35,000 Landmarks Berhad ...................................... 12,000
36,000 Leader Universal Holdings Berhad ...................... 22,628
191,500 Magnum Corp. Berhad ................................... 161,537
98,000 Malaysian Airline System Berhad ....................... 113,066
146,000 Malayan Banking Berhad ................................ 568,108
35,000 Malayan Cement Berhad ................................. 20,476
85,000 Malayan Mining Corp. Berhad ........................... 53,197
13,500 Malayawata Steel Berhad ............................... 5,877
400 Malaysian Helicopter Services Berhad .................. 115
102,000 Malaysian International Shipping Berhad ............... 188,734
18,000 Malaysian Mosiacs Berhad .............................. 9,306
12,000 Malaysian Oxygen Berhad ............................... 34,612
27,000 Malaysian Pacific Industries Berhad ................... 80,816
87,000 Malaysian Resources Corp. Berhad ...................... 58,946
151,200 Malaysian United Industries Berhad .................... 41,142
65,000 MBF Capital Berhad .................................... 30,952
66,000 Metroplex Berhad ...................................... 23,167
78,750 Mulpha International Berhad ........................... 21,214
64,000 Multi-Purpose Holdings Berhad ......................... 31,346
23,000 Mycon Berhad .......................................... 6,759
30,000 Nestle Malaysia Berhad ................................ 161,632
15,000 New Straits Times Press Berhad ........................ 23,265
27,200 Oriental Holdings Berhad .............................. 55,510
10,000 Palmco Holdings Berhad ................................ 3,374
55,000 Pan-Malaysian Cement Works Berhad ..................... 20,054
31,000 Perlis Plantations Berhad ............................. 51,455
45,000 Perusahaan Otomobil Nasional Berhad ................... 85,102
13,000 Petaling Garden Berhad ................................ 9,551
14,000 Pilecon Engineering Berhad ............................ 6,552
49,000 Promet Berhad+ ........................................ 12,000
266,533 Public Bank Berhad .................................... 159,557
35,000 Rashid Hussain Berhad ................................. 55,238
139,000 Resorts World Berhad .................................. 302,585
212,000 RHB Capital Berhad .................................... 200,751
22,000 R.J. Reynolds Berhad .................................. 42,802
36,000 Rothmans of Pall Mall Malaysia Berhad ................. 320,816
23,000 Selangor Properties Berhad ............................ 9,325
25,000 Shell Refining Co. Malaysia Berhad .................... 44,897
3,675 Silverstone Berhad+ ................................... 0
297,000 Sime Darby Berhad ..................................... 387,918
35,200 Sungei Way Holdings Berhad ............................ 14,846
51,000 TA Enterprise Berhad+ ................................. 19,428
56,000 Tan Chong Motor Holdings Berhad ....................... 39,771
63,000 Technology Resources Industries Berhad ................ 65,485
382,000 Telekom Malaysia Berhad ............................... 1,299,319
395,000 Tenaga Nasional Berhad ................................ 1,042,585
68,000 Time Engineering Berhad ............................... 38,857
22,000 UMW Holdings Berhad ................................... 28,734
72,000 UTD Engineers Malaysia Ltd. Berhad .................... 87,379
159,500 YTL Corp. Berhad ...................................... 275,598
- --------------------------------------------------------------------------------
7,417,784
- --------------------------------------------------------------------------------
MEXICO -- 0.6%
151,700 Telefonos de Mexico S.A. ADR, Class L Series .......... 7,689,293
- --------------------------------------------------------------------------------
</TABLE>
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INTERNATIONAL EQUITY INVESTMENTS
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<C> <S> <C>
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NETHERLANDS -- 8.5%
177,425 ABN AMRO Holding NV ................................. $ 3,935,265
8,973 Akzo Nobel NV....................................... 1,820,551
4,417 ASR Verzekeringsgroep NV ............................ 315,053
83,883 Elsevier NV ......................................... 1,577,749
10,775 Getronics NV ........................................ 427,967
6,315 Heineken NV ......................................... 1,171,741
4,166 Hollandsche Beton Groep NV .......................... 84,667
4,244 Koninklijke Hoogovens NV ............................ 206,715
3,086 IHC Caland NV ....................................... 178,957
329,468 ING Groep NV ........................................ 17,431,913
9,271 KLM Royal Dutch Air Lines NV ........................ 335,620
65,088 Koninklijke Ahold NV ................................ 1,990,575
2,875 Koninklijke Nedlloyd Groep NV ....................... 66,997
3,380 Koninklijke Pakhoed NV .............................. 112,617
13,083 NV Koninklijke KNP BT ............................... 348,982
442,027 Royal PTT Nederland NV .............................. 22,242,796
4,328 Oce NV .............................................. 582,944
146,364 Philips Electronic NV ............................... 11,369,326
461,583 Royal Dutch Petroleum Co. .......................... 25,233,835
3,851 Stork NV ............................................ 150,510
583,630 VNU-Verenigde Nederlandse Uitgeversbedrijven Verenigd
Bezit .............................................. 18,362,290
80,577 Unilever NV ......................................... 5,184,420
8,600 Wolters Kluwer NV ................................... 1,328,086
- -------------------------------------------------------------------------------
114,459,576
- -------------------------------------------------------------------------------
NEW ZEALAND -- 0.1%
240,000 Brierley Investments Ltd. ........................... 163,337
155,100 Carter Holt Harvey Ltd. ............................. 237,502
3,200 Ceramco Corp. Ltd ................................... 2,346
7,800 Fisher & Paykel Industries Ltd. ..................... 25,398
30,275 Fletcher Challenge Building++........................ 72,292
30,275 Fletcher Challenge Energy++.......................... 111,014
59,450 Fletcher Challenge Paper ............................ 80,222
72,601 Fletcher Challenge Forests Division++................ 54,095
49,100 Lion Nathan Ltd. .................................... 121,565
161,500 Telecom Corp. of New Zealand Ltd. ................... 776,966
- -------------------------------------------------------------------------------
1,644,737
- -------------------------------------------------------------------------------
NORWAY -- 0.3%
5,100 Aker RGI ASA, Class A Shares ........................ 79,171
1,260 Aker RGI ASA, Class B Shares ........................ 17,728
3,700 ASK ASA ............................................. 37,395
4,800 Bergesen d.y. ASA, Class A Shares ................... 99,564
2,100 Bergesen d.y. ASA, Class B Shares ................... 43,281
141 Bona Shipholding Ltd. ............................... 1,304
50,300 Christiania Bank Og Kreditkasse ASA ................. 214,650
63,300 Den Norske Bank ASA ................................. 348,739
2,300 Dyno Industrier ASA ................................. 36,160
4,500 Elkem ASA ........................................... 57,669
6,200 Hafslund ASA, Class A Shares ........................ 34,403
2,700 Hafslund ASA, Class B Shares ........................ 12,306
1,400 Helikopter Services Group ASA ....................... 14,797
900 Kvaerner ASA, Class A Shares ........................ 30,202
3,100 Kvaerner ASA, Class B Shares ........................ 112,630
2,700 Leif Hoegh & Co. ASA ................................ 42,449
1,500 Merkantildata ASA ................................... 69,857
17,111 NCL Holding ASA+ .................................... 64,429
</TABLE>
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<C> <S> <C>
- ------------------------------------------------------------------------------
NORWAY -- 0.3% (CONTINUED)
22,600 Norsk Hydro ASA ..................................... $ 988,320
2,400 Norske Skogindustrier ASA, Class A Shares++.......... 73,246
400 Norske Skogindustrier ASA, Class B Shares ........... 11,467
3,578 Nycomed Amersham, Class A Shares+ ................... 134,251
2,472 Nycomed Amersham, Class B Shares+ ................... 89,813
3,600 Orkla ASA, Class A Shares ........................... 348,632
800 Orkla ASA, Class B Shares ........................... 69,124
3,600 Petroleum Geo-Services ASA+ ......................... 203,091
4,600 Sas Norge ASA, Class B Shares ....................... 66,547
6,800 Schibsted ASA ....................................... 109,155
2,700 Smedvig ASA, Class A Shares ......................... 56,004
25,200 Storebrand ASA+...................................... 196,432
4,000 Tomra Systems ASA ................................... 99,352
1,300 Unitor ASA .......................................... 16,230
- ------------------------------------------------------------------------------
3,778,398
- ------------------------------------------------------------------------------
PORTUGAL -- 0.3%
14,700 Banco Comercial Portugues S.A. Registered Shares .... 487,507
8,500 Banco Espirito Santo e Comercial de Lisboa S.A.
Registered Shares .................................. 345,343
5,900 Banco Totta & Acores S.A. Registered Shares ......... 163,690
7,600 BPI-SGPS S.A. Registered Shares ..................... 272,823
5,700 Brisa ............................................... 259,223
8,200 Cimpor-Cimentos de Portugal S.A. .................... 237,431
300 CIN-Corparacao Industrial do Norte S.A. ............. 24,138
1,100 Colep-companhia Port ................................ 15,901
1,300 Corticeira Amorim S.A. .............................. 19,800
35,500 EDP-Electricidade de Portugal S.A. .................. 752,778
1,400 Engil ............................................... 16,395
1,800 INAPA-Investimentos Participacoes e Gestao S.A. ..... 21,457
6,750 Jeronimo Martins, SGPS, SA .......................... 233,119
8,500 Portucel Industrial-Empresa Produtora de Celulose
S.A. ............................................... 64,503
18,600 Portugal Telecom S.A. Registered Shares ............. 976,023
1,800 Seguros ............................................. 51,334
1,300 Somague, SGPS, SA ................................... 14,273
3,800 Sonae Investimentos-Sociedade Gestora de
Participacoes Sociais S.A. ......................... 171,077
1,900 UNICER-Uniao Cervejeira S.A. ........................ 31,342
- ------------------------------------------------------------------------------
4,158,157
- ------------------------------------------------------------------------------
SINGAPORE -- 0.5%
26,666 Asia Food & Properties Ltd. ......................... 7,066
2,000 Asia Food & Properties Ltd. Warrants, Expire
7/12/02+............................................ 280
15,000 Chun Hup Holdings Ltd. .............................. 4,580
101,000 City Development Ltd. ............................... 457,958
42,000 Comfort Group Ltd. .................................. 20,339
11,000 Creative Technology Ltd.+ ........................... 261,937
30,000 Cycle & Carriage Ltd. ............................... 133,251
129,000 DBS Land Ltd. ....................................... 199,747
61,000 Development Bank of Singapore Ltd. .................. 477,914
27,000 First Capital Corp. Ltd. ............................ 27,316
38,200 Fraser & Neave Ltd. ................................. 167,316
30,000 Goldtron Ltd. ....................................... 6,199
6,000 Goldtron Ltd. Preferred Shares ...................... 1,258
29,000 Hai Sun Hup Group Ltd. .............................. 11,807
12,000 Haw Par Corp. Ltd ................................... 13,769
37,000 Hotel Properties Ltd.++ ............................. 23,966
15,000 Inchape Marketing Services Ltd. ..................... 3,793
36,000 Inchcape Motors Ltd. ................................ 54,410
</TABLE>
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<C> <S> <C>
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SINGAPORE -- 0.5% (CONTINUED)
94,800 Intergrated Processor & Communications Corp. .......... $ 12,573
7,000 Jurong Shipyards Ltd. ................................. 32,819
97,250 Keppel Corp. Ltd. ..................................... 279,571
8,000 Low Keng Huat Ltd. .................................... 1,135
26,400 Lum Chang Holdings Ltd. ............................... 9,853
7,000 Metro Holdings Ltd. ................................... 9,586
30,000 Natsteel Ltd. ......................................... 41,455
65,000 Neptune Orient Lines Ltd. ............................. 30,475
121,498 Overseas-Chinese Banking Corp. Ltd. ................... 723,291
11,000 Overseas Union Enterprise Ltd. ........................ 26,872
41,000 Parkway Holdings Ltd. ................................. 88,019
3,000 Prima Ltd. ............................................ 5,700
4,800 Robinson & Co. Ltd. ................................... 17,322
20,000 Sembawang Corp. Ltd. .................................. 41,949
9,000 Sembawang Marine and Logistics ........................ 11,603
11,000 Shanghi-La Hotel Ltd. ................................. 18,186
107,000 Singapore Airlines Ltd. ............................... 792,103
32,000 Singapore Press Holdings Ltd. ......................... 457,988
87,000 Singapore Technologies Industrial Corp. ............... 76,748
778,000 Singapore Telecommunications Ltd.++.................... 1,593,436
2,400 Star Cruises Public Co. Ltd.+ ......................... 0
27,000 Straits Trading Co. Ltd. .............................. 29,648
122,000 United Industrial Corp. Ltd. .......................... 49,296
108,000 United Overseas Bank Ltd. ............................. 586,304
53,000 United Overseas Land Ltd. ............................. 47,082
9,000 Van Der Horst Ltd. .................................... 4,469
- --------------------------------------------------------------------------------
6,860,389
- --------------------------------------------------------------------------------
SPAIN -- 3.1%
1,000 Acerinox S.A. ......................................... 150,180
10,700 Corporation Bancaria de Espana S.A. ................... 796,169
20,811 Autopistas Concesionaria Espanola S.A. ................ 312,134
59,050 Banco Bilboa Vizcaya S.A. ............................. 2,695,331
28,600 Banco Central Hispanoamericano S.A. ................... 888,556
219,761 Banco Santander S.A. .................................. 10,159,388
1,200 Corporation Financiera Alba S.A. ...................... 155,828
5,300 Corporacion Mapfre .................................... 154,510
4,450 Dragados & Construcciones S.A. ........................ 121,351
3,750 Ebro Agricolas, Compania de Alimentacion S.A. ......... 76,088
1,950 El Aguila S.A.+ ....................................... 14,180
1,650 Empresa Nacional de Celulosas S.A. .................... 23,033
90,800 Endesa S.A. ........................................... 2,004,480
11,200 Ercros S.A.+ .......................................... 14,035
5,200 Fomento de Construcciones y Contratas S.A. ............ 222,835
13,050 GAS Natural SDG S.A. .................................. 579,566
78,750 Iberdrola S.A.+ ....................................... 1,137,673
1,837 Inmobiliaria Metropolitana Vasco Central S.A. ......... 88,739
3,200 Inmobiliaria Urbis S.A.+ .............................. 41,242
550 Portland Valderrivas S.A. ............................. 55,815
4,650 Prosegur, CIA de Seguridad S.A. ....................... 51,779
26,200 Repsol S.A.++.......................................... 1,166,977
4,850 Sarrio S.A. ........................................... 20,941
3,809 Sociedade General de Aguas de Barcelona S.A. .......... 175,592
3,200 Tabacalera S.A. Class A ............................... 323,085
574,546 Telefonica de Espana .................................. 19,734,105
25,400 Union Electrica Fenosa S.A. ........................... 314,995
4,100 Uralita S.A. .......................................... 48,582
</TABLE>
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INTERNATIONAL EQUITY INVESTMENTS
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<C> <S> <C>
- ------------------------------------------------------------------------------
SPAIN -- 3.1% (CONTINUED)
3,350 Vallehermos S.A. .................................... $ 106,145
1,800 Viscofan Industria Navarra De Envolturas Celulosicas
S.A. ............................................... 58,202
4,730 Zardoya-Otis S.A. ................................... 131,137
- ------------------------------------------------------------------------------
41,822,673
- ------------------------------------------------------------------------------
SWEDEN -- 1.3%
60,700 ABB AB, Class A Shares .............................. 761,934
23,000 ABB AB, Class B Shares++............................. 285,833
11,800 AGA, Class A Shares.................................. 162,120
10,300 AGA, Class B Shares ................................. 129,933
121,401 Astra AB, Class A Shares++........................... 2,448,823
27,733 Astra AB, Class B Shares ............................ 542,105
10,400 Atlas Copco AB, Class A Shares++..................... 289,668
5,500 Atlas Copco AB, Class B Shares ...................... 152,846
4,100 Autoliv AB .......................................... 126,587
3,870 Diligentia AB ....................................... 57,278
6,600 Electrolux AB, Class B Shares ....................... 502,847
1,400 Esselte AB, Class A Shares .......................... 26,403
1,100 Esselte AB, Class B Shares .......................... 22,463
1,660 Fastighets AB Nackebro .............................. 24,569
32,300 ForeningsSparbaken AB+ .............................. 992,431
2,850 Granges AB .......................................... 49,123
18,800 Hennes & Mauritz AB, Class B Shares ................. 887,589
8,900 Netcom Systems AB, Class B Shares.................... 220,654
2,600 Om Gruppen AB ....................................... 117,555
17,500 Sandvik AB, Class A Shares .......................... 493,979
6,400 Sandvik AB, Class B Shares .......................... 179,056
4,800 Scancem AB, Class A Shares .......................... 191,846
6,600 Securities AB, Class B Shares ....................... 199,902
9,300 Skandia Forsakrings AB .............................. 525,029
54,200 Skandinaviska Enskilda Banken, Class A Shares ....... 775,117
10,700 Skanska AB, Class B Shares .......................... 483,787
3,700 SKF AB, Class A Shares .............................. 72,554
5,800 SKF AB, Class B Shares .............................. 119,891
23,800 Stora Kopparbergs Bergslags Aktiebolag, Class A
Shares++............................................ 346,310
4,500 Stora Kopparbergs Bergslags Aktiebolag, Class B
Shares ............................................. 64,916
17,900 Svenska Cellulosa AB, Class B Shares ................ 406,899
19,700 Svenska Handelsbanken, Class A Shares ............... 842,732
1,600 Svenska Handelsbanken, Class B Shares ............... 64,148
8,600 Svenskt Stal AB, Class A Shares ..................... 161,121
3,200 Svenskt Stal AB, Class B Shares ..................... 59,952
36,000 Swedish Match AB .................................... 115,557
88,700 Telefonaktiebolaget LM Ericsson, Class B Shares ..... 4,032,623
10,700 Trelleborg AB, Class B Shares ....................... 151,016
12,100 Volvo AB, Class A Shares ............................ 321,904
27,400 Volvo AB, Class B Shares ............................ 740,919
6,800 Wm-Data AB, Class B Shares .......................... 158,822
- ------------------------------------------------------------------------------
18,308,841
- ------------------------------------------------------------------------------
SWITZERLAND -- 8.7%
1,018 ABB AG Bearer Shares ................................ 1,387,298
610 ABB AG Registered Shares ............................ 163,763
2,066 Adecco S.A. ......................................... 667,972
250 Alusuisse-Lonza Holding AG Bearer Shares++........... 286,862
510 Alusuisse-Lonza Holding AG Registered Shares ........ 589,022
33,380 Credit Suisse Group Registered Shares ............... 6,027,323
310 Danzas Holding AG ................................... 68,121
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
105
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
SWITZERLAND -- 8.7% (CONTINUED)
140 Distefora Holding AG .............................. $ 1,936
185 Forbo Holding AG Registered Shares ................ 83,953
70 Georg Fischer AG Bearer Shares .................... 117,811
30 Georg Fischer AG Registered Shares ................ 9,607
886 Holderbank Financiere Glarus AG, Class B Shares ... 863,300
55 Jelmoli Holding AG Bearer Shares .................. 53,890
90 Jelmoli Holding AG Registered Shares .............. 17,661
40 Kuoni Reisen AG Registered (Cat B) ................ 163,259
55 Moevenpick Holding AG Bearer Shares ............... 21,361
35 Moevenpick Holding AG Participating Certificates .. 12,520
12,872 Nestle SA Registered Shares ....................... 22,540,909
819 Novartis AG Bearer ................................ 1,493,352
16,767 Novartis AG Registered ............................ 30,584,122
200 Roche Holding AG Bearer Shares .................... 3,543,199
2,665 Roche Holding AG Genusss .......................... 31,196,987
285 Sairgroup+......................................... 380,621
165 Schindler Holding AG Participating Certificates ... 211,365
1,835 Schweizerische Rueckversicherungs-Gesellschaft
Registered Shares ................................ 3,867,303
9,735 Schweizerischer Bankerein Registered Shares ....... 3,256,939
190 SGS Societe General de Surveillance Holding S.A.,
Class B Shares ................................... 349,550
250 Sika Finanz AG Bearer Shares ...................... 85,854
450 SMH AG Bearer Shares .............................. 282,706
1,875 SMH AG Registered Shares .......................... 269,253
450 Sulzer AG Registered Shares ....................... 349,550
3,220 Union Bank of Switzerland Bearer Shares ........... 5,015,617
430 Valora Holdings AG ................................ 98,592
5,890 Zurich Versicherungs Gesellschaft Registered
Shares ........................................... 3,210,684
- -------------------------------------------------------------------------------
117,272,262
- -------------------------------------------------------------------------------
UNITED KINGDOM -- 18.4%
122,100 Abbey National PLC ................................ 2,500,903
12,100 AMEC PLC .......................................... 27,792
3,029 Amstrad PLC ....................................... 1,920
21,300 Anglian Water PLC ................................. 295,292
22,506 Argos PLC ......................................... 225,307
64,900 Arjo Wiggins Appleton PLC ......................... 176,849
6,051,833 Asda Group PLC .................................... 20,252,491
78,000 Associated British Foods PLC ...................... 814,225
132,200 Barclays PLC ...................................... 3,952,831
18,300 Barratt Developments PLC .......................... 84,667
68,482 Bass PLC .......................................... 1,146,724
76,700 Bass PLC, Class B Shares+ ......................... 123,760
274,732 B.A.T. Industries PLC ............................. 2,747,998
32,700 BBA Group PLC ..................................... 233,129
337,147 BG PLC ............................................ 1,687,539
33,136 The BICC Group .................................... 71,198
64,200 Blue Circle Industries PLC ........................ 373,667
579,444 BOC Group PLC ..................................... 9,192,298
78,900 Boots Co. PLC ..................................... 1,185,416
15,300 Bowthorpe PLC ..................................... 100,891
39,900 BPB PLC ........................................... 215,808
536,657 British Aerospace PLC ............................. 16,832,659
89,900 British Airways PLC ............................... 850,375
41,200 British Land Co. PLC .............................. 506,054
1,327,022 British Petroleum Co. PLC ......................... 18,255,155
148,800 British Sky Broadcasting Group PLC ................ 962,845
176,700 British Steel PLC ................................. 424,039
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
106
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UNITED KINGDOM -- 18.4% (CONTINUED)
551,300 British Telecommunications PLC ...................... $ 5,552,939
354,400 BTR PLC ............................................. 939,464
18,300 Burmah Castrol PLC .................................. 315,771
197,226 Cable & Wireless PLC ................................ 2,165,962
86,800 Cadbury Schweppes PLC ............................... 1,106,884
42,660 Caradon PLC ......................................... 140,479
50,350 Carlton Communications PLC .......................... 362,899
381,900 Centrica PLC+ ....................................... 688,532
55,300 Coats Viyella PLC ................................... 76,938
7,300 Cobham PLC .......................................... 105,470
61,246 Commercial Union PLC ................................ 1,107,238
32,000 Courtaulds PLC ...................................... 185,197
6,100 Courtaulds Textiles PLC ............................. 34,299
17,700 De LA Rue PLC ....................................... 84,660
11,800 Delta PLC ........................................... 55,080
1,179,318 Diageo PLC .......................................... 12,058,227
33,638 Electrocomponents PLC ............................... 256,155
33,780 Elementis PLC ....................................... 72,026
67,900 EMI Group PLC ....................................... 582,463
41,140 Energy Group PLC .................................... 527,331
24,600 English China Clays PLC ............................. 99,436
44,600 FKI PLC ............................................. 131,446
241,000 General Electric Co. PLC ............................ 1,586,231
28,500 George Wimpey PLC ................................... 58,187
30,600 GKN PLC ............................................. 737,604
1,024,042 Glaxo Wellcome PLC .................................. 28,612,813
82,787 Granada Group PLC ................................... 1,286,071
28,688 Great Portland Estates PLC .......................... 139,106
87,200 Great Universal Stores PLC .......................... 1,113,420
72,775 Guardian Royal Exchange PLC ......................... 544,898
22,591 Hammerson PLC ....................................... 186,538
51,425 Hanson PLC .......................................... 259,516
19,300 Hepworth PLC ........................................ 71,499
76,200 HSBC Holdings PLC (75P) ............................. 2,321,066
155,400 HSBC Holdings PLC ($HK10) ........................... 4,457,179
12,400 Hyder PLC ........................................... 191,201
27,400 IMI PLC ............................................. 189,930
943,623 Imperial Chemical Industries PLC .................... 17,074,860
36,910 Imperial Tobacco Group PLC .......................... 255,850
159,800 J. Sainsbury PLC .................................... 1,231,355
17,100 Johnson Matthey PLC ................................. 148,518
58,300 Kingfisher PLC ...................................... 998,304
101,821 Ladbroke Group PLC .................................. 518,032
11,200 Laird Group PLC ..................................... 80,586
44,900 Land Securities PLC ................................. 835,383
83,800 LASMO PLC ........................................... 381,849
108,250 Legal & General Group PLC ........................... 1,218,224
8,900 Lex Service PLC ..................................... 70,045
465,000 Lloyds TSB Group PLC ................................ 6,982,464
62,110 Lonrho PLC .......................................... 95,616
2,688,775 Lucasvarity PLC ..................................... 10,303,982
246,574 Marks & Spencer PLC ................................. 2,356,733
26,616 Marley PLC .......................................... 48,424
33,100 MEPC PLC ............................................ 326,994
12,500 Meyer International PLC ............................. 78,105
125,764 National Grid Group PLC ............................. 713,875
105,100 National Power PLC .................................. 1,088,464
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
107
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
UNITED KINGDOM -- 18.4% (CONTINUED)
32,500 Next PLC .......................................... $ 443,339
12,300 Ocean Group PLC ................................... 139,231
49,600 Pearson PLC ....................................... 738,262
55,819 The Peninsular and Oriental Steam Navigation Co. .. 714,108
79,300 Pilkington PLC .................................... 150,152
21,200 Provident Financial PLC ........................... 344,345
166,900 Prudential Corp. PLC .............................. 2,489,691
22,400 Racal Electronic PLC .............................. 106,956
44,230 Railtrack Group PLC ............................... 680,181
65,800 Rank Group PLC .................................... 369,979
99,100 Reed International PLC ............................ 1,162,571
126,966 Reuters Group PLC ................................. 1,262,656
39,800 Rexam PLC ......................................... 181,847
92,900 Rio Tinto PLC ..................................... 1,253,503
22,500 RMC Group PLC ..................................... 347,307
128,200 Rolls-Royce PLC ................................... 490,763
134,321 Royal & Sun Alliance Insurance Group PLC .......... 1,716,194
75,042 Royal Bank of Scotland Group PLC .................. 1,163,901
50,700 Rugby Group PLC ................................... 106,433
94,500 Safeway PLC ....................................... 560,916
16,900 Schroders PLC ..................................... 628,863
53,600 Scottish & Newcastle PLC .......................... 774,413
102,149 Scottish Power PLC ................................ 869,532
120,300 Sears PLC ......................................... 102,503
43,200 Sedgwick Group PLC ................................ 105,981
30,900 Slough Estates PLC ................................ 205,287
477,937 Smithkline Beecham PLC ............................ 5,996,344
26,300 Smiths Industries PLC ............................. 381,931
37,770 Southern Electric PLC ............................. 319,025
40,918 Southern Electric PLC, Class B Shares ............. 20,548
35,700 St. James Place Capital PLC ....................... 117,559
42,000 T & N PLC ......................................... 176,339
74,799 Tarmac PLC ........................................ 124,695
34,600 Tate & Lyle PLC ................................... 299,371
30,953 Taylor Woodrow PLC ................................ 103,966
189,000 Tesco PLC ......................................... 1,616,621
32,300 Thames Water PLC .................................. 472,520
29,314 Thorn PLC ......................................... 73,122
41,318 TI Group PLC ...................................... 362,259
8,900 Transport Development Group PLC ................... 34,436
18,700 Unigate PLC ....................................... 200,285
282,800 Unilever PLC ...................................... 2,585,407
41,800 United Biscuits Holdings PLC ...................... 186,339
47,520 United Utilities PLC .............................. 637,277
5,433 Value Realisation Trust PLC ....................... 10,645
2,852 Value Realisation Trust PLC 1.4% Convertible
Unsecured Loan Stock ............................. 6,926
26,300 Vickers PLC ....................................... 91,369
6,900 Viglen Technology PLC ............................. 4,033
6,900 Viglen Technology PLC Litigation Notes ............ 0
1,863,357 Vodafone Group PLC ................................ 16,613,283
68,394 Williams PLC ...................................... 398,641
33,200 Willis Corroon Group PLC .......................... 76,802
11,800 Wilson Connolly Holdings PLC ...................... 31,571
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
108
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
INTERNATIONAL EQUITY PORTFOLIO INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
UNITED KINGDOM -- 18.4% (CONTINUED)
49,200 Wolseley PLC ................................... $ 412,734
82,100 Zeneca Group PLC ............................... 3,547,055
- ------------------------------------------------------------------------------
248,463,667
- ------------------------------------------------------------------------------
TOTAL STOCK (Cost -- $1,046,244,838) .......... 1,222,083,463
- ------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 9.6%
$ 1,100,000 CIBC Wood Gundy Securites Inc., 5.550% due
3/2/98; Proceeds at maturity -- $1,100,509;
(Fully collateralized by U.S. Treasury Notes,
6.000% due 6/30/99; Market value --
$1,122,368) ................................... 1,100,000
128,900,000 CIBC Wood Gundy Securities Inc., 5.550% due
3/2/98 Proceeds at maturity -- $128,959,616;
(Fully collateralized by U.S. Treasury Notes,
5.875% due 7/31/99; Market value --
$131,471,424) ................................. 128,900,000
- ------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost --
$130,000,000) ................................ 130,000,000
- ------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,176,244,838**) ........................... $1,352,083,463
- ------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
++A portion of this security is on loan (See Note 12).
# Risp NC -- Risparmio Non-Convertible (Non-Convertible savings shares).
@ Variable rate security.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Australia 2.8%
Spain 3.1%
Italy 5.4%
Germany 6.6%
Netherlands 8.5%
Switzerland 8.7%
Other Stock 8.0%
Repurchase Agreement 9.6%
France 10.0%
United Kingdom 18.4%
Japan 18.9%
SEE NOTES TO FINANCIAL STATEMENTS.
109
<PAGE>
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
INTERNATIONAL FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT+ SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
BONDS -- 88.7%
- -------------------------------------------------------------------------------
DENMARK -- 9.9%
Kingdom of Denmark:
31,710,000 7.000% due 12/15/04............................. $ 5,103,264
12,360,000 8.000% due 3/15/06.............................. 2,119,225
35,970,000 7.000% due 11/10/24............................. 6,093,526
- -------------------------------------------------------------------------------
13,316,015
- -------------------------------------------------------------------------------
GERMANY -- 38.0%
10,700,000 Asian Development Bank, 5.500% due 10/24/07..... 6,054,568
8,150,000 Baden-Wuertternberg L-Finance, 6.750% due
6/22/05........................................ 4,975,416
4,600,000 Belgium Kingdom, 6.250% due 10/6/03............. 2,722,030
32,436,000 Bundesrepublik Deutschland, 6.500% due 7/4/27... 20,478,934
6,200,000 Depfa-Bank, 5.500% due 1/15/13.................. 3,449,835
4,700,000 DSL Finance NV, 5.750% due 3/19/09.............. 2,699,366
3,860,000 European Investment Bank, 7.750% due 1/26/05.... 2,476,840
1,300,000 Inter-American Development Bank, 7.750% due
12/6/04........................................ 831,089
2,200,000 Kreditanstalt Fuer Wiederaufbau, 6.000% due
2/9/06......................................... 1,291,051
10,000,000 Tennessee Valley Authority, 6.375% due 9/18/06.. 5,999,559
- -------------------------------------------------------------------------------
50,978,688
- -------------------------------------------------------------------------------
ITALY -- 17.0%
5,800,000,000 Abbey National Treasury Services, 6.000% due
8/8/02......................................... 3,384,523
Buoni Poliennali Del Tesoro:
7,960,000,000 10.500% due 4/15/98............................. 4,451,408
13,440,000,000 10.500% due 7/15/98............................. 7,617,339
6,400,000,000 European Investment Bank, 10.250% due
10/2/00++...................................... 4,033,533
5,800,000,000 Merrill Lynch & Co., 6.250% due 10/2/02......... 3,375,390
- -------------------------------------------------------------------------------
22,862,193
- -------------------------------------------------------------------------------
SPAIN -- 2.0%
329,700,000 Bonos Y Oblig Del Estado, 11.300% due 1/15/02... 2,642,909
- -------------------------------------------------------------------------------
SWEDEN -- 8.9%
Kingdom of Sweden:
25,900,000 13.000% due 6/15/01............................. 4,001,716
33,900,000 6.500% due 10/25/06............................. 4,547,479
26,000,000 Kreditanstalt Fuer Wiederaufbaur International
Finance, 7.500% due 5/30/00.................... 3,412,916
- -------------------------------------------------------------------------------
11,962,111
- -------------------------------------------------------------------------------
UNITED KINGDOM -- 12.9%
2,600,000 Glaxo Wellcome PLC, 8.750% due 12/1/05.......... 4,779,723
2,100,000 International Bank Reconstruction & Development,
7.125% due 7/30/07............................. 3,639,861
2,700,000 Royal Bank of Scotland, 7.875% due 12/7/06...... 4,782,959
2,200,000 United Kingdom Treasury Principal Strips, due
12/7/05........................................ 2,257,051
1,000,000 United Kingdom Treasury, 8.500% due 12/7/05..... 1,874,949
- -------------------------------------------------------------------------------
17,334,543
- -------------------------------------------------------------------------------
TOTAL BONDS (Cost -- $120,664,879).............. 119,096,459
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
110
<PAGE>
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
INTERNATIONAL FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 11.3%
$15,120,000 CIBC Wood Gundy Securities Inc., 5.550% due 3/2/98;
Proceeds at maturity -- $15,126,993;
(Fully collateralized by U.S. Treasury Notes, 6.000%
due 6/30/99;
Market value -- $15,421,915) (Cost -- $15,120,000).. $ 15,120,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $135,784,879*)... $134,216,459
- --------------------------------------------------------------------------------
</TABLE>
+ Represents local currency.
++A portion of this security is on loan (See Note 12).
* Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Spain 2.0%
Sweden 8.9%
Denmark 9.9%
Repurchase Agreement 11.3%
United Kingdom 12.9%
Italy 17.0%
Japan 18.9%
Germany 38.0%
SEE NOTES TO FINANCIAL STATEMENTS.
111
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
STOCK -- 92.3%
- -------------------------------------------------------------------------------
ARGENTINA -- 5.6%
339,166 Banco Frances del Rio de la plata S.A. ............ $ 3,376,389
27,000 Disco S.A. ADR+.................................... 1,147,500
280,000 Perez Companc S.A., CLass B Shares................. 1,826,513
180,000 Quilmes Industrial S.A. ADR........................ 2,126,250
140,000 Telefonica de Argentina S.A. ADR................... 5,040,000
- -------------------------------------------------------------------------------
13,516,652
- -------------------------------------------------------------------------------
BRAZIL -- 18.6%
611,900 Banco Itau S.A. Preferred.......................... 361,660
178,000,000 Centrais Eletricas Brasilerias S.A. ............... 7,874,712
8,759,100 Compannia de Saneamento Basico do Estado de Sao
Paulo............................................. 1,817,385
87,000 Compannia Energetica de Minas Gerais ADR........... 3,733,552
272,000,000 Compannia Paranaense de Energia-Copel Preferred,
Series B.......................................... 3,405,414
6,400,000 Compannia Paulista de Forca e Luz.................. 764,749
30,400,000 Petroleo Brasileiro S.A. Preferred................. 6,858,963
10,000,000 Telecomunicacoes Brasileiras S.A. ................. 986,551
82,300 Telecomunicacoes Brasileiras S.A. ADR.............. 10,076,606
189,771 Telecomunicacoes de Minas Gerais Preferred Dividend
Shares, Series B+................................. 22,483
18,573,499 Telecomunicacoes de Sao Paulo S.A. Preferred....... 5,127,350
12,710,261 Telecomunicacoes do Rio Janeiro S.A. Preferred..... 1,754,380
64,500 Uniao de Bancos Brasileiros S.A. GDR+.............. 2,209,125
- -------------------------------------------------------------------------------
44,992,930
- -------------------------------------------------------------------------------
CHINA -- 2.8%
51,000 Huaneng Power International, Inc. ADR+............. 1,243,125
7,156,000 Quinglin Motor Co., Series H++..................... 2,865,172
144,000 Zhejiang Southeast Electric Power Co. Ltd. GDR+.... 2,584,800
- -------------------------------------------------------------------------------
6,693,097
- -------------------------------------------------------------------------------
CROATIA -- 0.6%
71,188 Piliva D.D. GDR.................................... 1,370,369
3,166 Zagrebacka Banka D.D. GDR+......................... 97,196
- -------------------------------------------------------------------------------
1,467,565
- -------------------------------------------------------------------------------
CZECH REPUBLIC -- 1.4%
22,000 Cez 2+............................................. 500,220
39,000 Komercni Bank A.S. ADR............................. 450,450
235,000 Prazske Pivovary A.S.+............................. 725,799
15,370 SPT Telecom A.S.+.................................. 1,817,888
- -------------------------------------------------------------------------------
3,494,357
- -------------------------------------------------------------------------------
EGYPT -- 3.8%
69,500 Al-Ahram Beverages Co. GDR......................... 2,253,190
85,500 Commercial International Bank GDR.................. 1,415,025
17,000 Egyptian International Pharmaceutical Industries
Co................................................ 1,188,671
13,005 Madinet NASR For Housing and Construction.......... 764,145
28,000 North Cairo Flour Mills............................ 666,314
185,000 Paints and Chemical Industries Co. GDR............. 2,081,250
43,500 Tourak Portland Cement Co. ........................ 843,341
- -------------------------------------------------------------------------------
9,211,936
- -------------------------------------------------------------------------------
HONG KONG -- 1.9%
1,627,760 Asia Securities International+..................... 172,394
1,343,000 China Telecom Ltd.+++.............................. 2,437,087
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
112
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
HONG KONG -- 1.9% (CONTINUED)
1,608,000 Founder Hong Kong Ltd. .................. $ 1,235,724
2,757,290 Glorious Sun Enterprises................. 827,988
- -------------------------------------------------------------------------------
4,673,193
- -------------------------------------------------------------------------------
HUNGARY -- 4.1%
35,430 Gedeon Richter Rt. GDR................... 3,906,157
119,000 Magyar Tavkoziesi Rt. ADR+............... 3,064,250
66,306 MOL Magyar Olaj-es Gazipari Rt. GDR...... 1,765,397
23,000 OTP Bank Rt. GDR......................... 1,052,250
30,117 Scala Business Solutions N.V.+........... 193,417
- -------------------------------------------------------------------------------
9,981,471
- -------------------------------------------------------------------------------
INDIA -- 8.5%
54,700 BSES Ltd. GDR+........................... 1,126,820
35,380 Hindalco Industries Ltd. GDR............. 698,755
32,000 Indian Hotels Co. Ltd. GDR .............. 616,000
116,300 ITC Limited GDR+......................... 3,227,325
294,000 Mahanagar Telephone Nigam Ltd. GDR+...... 4,998,000
265,700 Mahindra & Mahindra Ltd. GDR............. 2,251,807
43,000 Ranbaxy Laboratories Ltd. GDR............ 1,128,750
413,370 Reliance Industries Ltd. GDR............. 3,492,976
139,500 State Bank Of India GDR.................. 2,769,075
31,000 Videsh Sanchar Nigam Ltd. GDR+........... 403,000
- -------------------------------------------------------------------------------
20,712,508
- -------------------------------------------------------------------------------
INDONESIA -- 0.0%
7,500 PT Indofood Sukses Makmur................ 2,288
- -------------------------------------------------------------------------------
ISRAEL -- 4.5%
2,810,000 Bank Leumi Le-Israel..................... 4,767,363
96,000 ECI Telecommunications Ltd............... 2,790,000
80,700 Teva Pharmaceutical Industries Ltd. ADR.. 3,389,400
- -------------------------------------------------------------------------------
10,946,763
- -------------------------------------------------------------------------------
MALAYSIA -- 2.1%
587,000 Resorts World Berhad..................... 1,277,823
706,000 Telekom Malaysia Berhad.................. 2,401,360
491,000 Tenaga Nasional Berhad................... 1,295,972
- -------------------------------------------------------------------------------
4,975,155
- -------------------------------------------------------------------------------
MEXICO -- 10.4%
497,200 Desc S.A. de C.V. Series B............... 3,569,970
317,000 Fomento Economico Mexicano S.A. de C.V.
Series B ............................... 2,361,647
1,412,000 Grupo Elektra S.A. de C.V. ............. 2,166,828
160,000 Grupo Financiero Bancomer S.A. de C.V.
GDR+ ................................... 1,840,000
1 Grupo Financiero Bancomer S.A. de C.V.
Series B+............................... 0
529,000 Organizacion Sorina S.A. de C.V. Series B
........................................ 2,010,864
340,000 Sanluis Corporacion S.A. de C.V. ........ 1,874,816
2,810,000 Telefonos de Mexico S.A. Series L ....... 7,088,050
178,000 Tubos de Acero de Mexico S.A. ADR+....... 3,092,750
58,000 TV Azteca S.A. de C.V. ADR+.............. 1,192,625
- -------------------------------------------------------------------------------
25,197,550
- -------------------------------------------------------------------------------
PERU -- 1.7%
225,000 Telefonica del Peru S.A. ADR............. 4,232,812
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
113
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
PHILIPPINES -- 1.8%
118,614 Bacnotan Consolidated Industries.................... $ 52,023
620,600 Manila Electric Co. Series B........................ 1,850,912
88,800 Philippine Long Distance Telephone Co. ADR.......... 2,342,100
- -------------------------------------------------------------------------------
4,245,035
- -------------------------------------------------------------------------------
RUSSIA -- 5.1%
75,000 Gazprom ADR......................................... 1,556,250
24,730 Lukoil Holding ADR.................................. 1,740,373
71,374 Mosenergo ADR....................................... 2,792,507
59 Rostelecom RDC+..................................... 2,094,500
269,665 Surgutneftegaz ADR.................................. 1,921,363
385,380 Trade House GUM ADR................................. 1,830,555
17,853 Unified Energy Systems ADR+......................... 490,778
- -------------------------------------------------------------------------------
12,426,326
- -------------------------------------------------------------------------------
SOUTH AFRICA -- 6.4%
153,000 First National Bank Holdings Ltd. .................. 1,730,790
116,500 Liberty Life Association of Africa Ltd. ............ 3,539,411
630,000 Reunert Ltd ........................................ 1,007,184
860,000 Safmarine and Rennies Holdings Ltd. ................ 1,749,064
187,000 Sasol Ltd. ......................................... 1,596,964
153,000 South African Breweries Ltd. ....................... 4,291,369
98,000 Tiger Oats Ltd. .................................... 1,497,318
- -------------------------------------------------------------------------------
15,412,100
- -------------------------------------------------------------------------------
SOUTH KOREA -- 2.7%
148,900 Korea Electric Power Corporation+................... 1,987,764
136,700 Korea Housing and Commercial Bank................... 929,191
24,800 Samsung Display Devices Co.+........................ 1,442,743
37,900 Samsung Electronics Co.+............................ 2,193,233
- -------------------------------------------------------------------------------
6,552,931
- -------------------------------------------------------------------------------
TAIWAN -- 3.6%
293,000 Compal Electronics Inc.+............................ 1,242,299
1,830,000 CTCI Corporation+................................... 3,025,455
405,000 Delta Electronics Inc. ............................. 2,133,838
910,000 Nien Hsing Textile Corporation Ltd.+................ 2,312,164
- -------------------------------------------------------------------------------
8,713,756
- -------------------------------------------------------------------------------
THAILAND -- 3.1%
244,000 BEC World Public Co. Ltd. .......................... 1,426,635
1,365,500 Electricity Generating Public Co. Ltd. ............. 2,582,093
210,100 PTT Exploration and Production Public Co. Ltd. ..... 2,729,837
247,200 Thai Farmers Bank Public Co. Ltd. .................. 739,879
- -------------------------------------------------------------------------------
7,478,444
- -------------------------------------------------------------------------------
TURKEY -- 3.6%
13,405,000 Akcansa Cimento A.S. ............................... 1,799,913
19,000,000 Alcatel Teletas Telekomunikasyon Endustri ve Ticaret
A.S. .............................................. 2,304,277
40,000,000 Haci Omer Sabanci Holding A.S.+..................... 2,165,674
74,000,000 Yapi ve Kredi Bankasi A.S. ......................... 2,435,950
- -------------------------------------------------------------------------------
8,705,814
- -------------------------------------------------------------------------------
TOTAL STOCK (Cost -- $218,824,820).................. 223,632,683
- -------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
114
<PAGE>
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED) FEBRUARY 28, 1998
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 7.7%
$18,689,000 CIBC Wood Gundy Securities, Inc., 5.550% due 3/2/98;
Proceeds at maturity -- $18,697,644;
(Fully collateralized by U.S. Treasury Notes, 6.000%
due 6/30/99;
Market value -- $19,062,003) (Cost -- $18,689,000)
.................................................... $ 18,689,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $237,513,820**)
................................................... $242,321,683
- --------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
++A portion of this security is on loan (See Note 12).
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
CLASSIFICATION OF INVESTMENTS
Taiwan 3.6%
Egypt 3.8%
Hungary 4.1%
Israel 4.5%
Russia 5.1%
Argentina 5.6%
South Africa 6.4%
Repurchase Agreement 7.7%
India 8.5%
Mexico 10.4%
Brazil 18.6%
Other Stock 21.7%
SEE NOTES TO FINANCIAL STATEMENTS.
115
<PAGE>
BOND RATINGS
All ratings are by Standard & Poor's Ratings Service ("Standard & Poor's"),
except those that are identified by an asterisk (*) are rated by Moody's
Investors Service, Inc. ("Moodys"). The definitions of the applicable rating
symbols are set forth below:
Standard & Poor's -- Ratings from "AA" to "BBB" may be modified by the
addition of a plus (+) or a minus (-) sign to show relative standings within
the major rating categories.
AAA-- Bonds rated "AAA" have the highest rating assigned by Standard &
Poor's. Capacity to pay interest and repay principal is extremely
strong.
AA -- Bonds rated "AA" have a very strong capacity to pay interest and repay
principal and differ from the highest rated issue only in a small
degree.
A -- Bonds rated "A" have a strong capacity to pay interest and repay
principal although they are somewhat more susceptible to the adverse
effects of changes in circumstances and economic conditions than bonds
in higher rated categories.
BBB-- Bonds rated "BBB" are regarded as having an adequate capacity to pay
interest and repay principal. Whereas they normally exhibit adequate
protection parameters, adverse economic conditions or changing
circumstances are more likely to lead to a weakened capacity to pay
interest and repay principal for bonds in this category than in higher
rated categories.
Moody's -- Numerical modifiers 1, 2, and 3 may be applied to each generic
rating from "Aa" to "A," where 1 is the highest and 3 the lowest rating within
its generic category.
Aaa-- Bonds that are rated "Aaa" are judged to be of the best quality. They
carry the smallest degree of investment risk and are generally referred
to as "gilt edge." Interest payments are protected by a large or by an
exceptionally stable margin and principal is secure. While the various
protective elements are likely to change, such changes as can be
visualized are most unlikely to impair the fundamentally strong position
of such issues.
Aa -- Bonds that are rated "Aa" are judged to be of high quality by all
standards. Together with the "Aaa" group they comprise what are
generally known as high grade bonds. They are rated lower than the best
bonds because margins of protection may not be as large as in "Aaa"
securities or fluctuation of protective elements may be of greater
amplitude or there may be other elements present which make the long-
term risks appear somewhat larger than in "Aaa" securities.
A -- Bonds that are rated "A" possess many favorable investment attributes
and are to be considered as upper medium grade obligations. Factors
giving security to principal and interest are considered adequate but
elements may be present which suggest a susceptibility to impairment
some time in the future.
Baa-- Bonds that are rated "Baa" are considered as 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 that are 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 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
VMIG 1
-- Moody's highest rating for issues having demand feature -- variable-
rate demand obligation (VRDO).
P-1-- Moody's highest rating for commercial paper and for VRDO prior to the
advent of the VMIG 1 rating.
A-1-- Standard & Poor's highest commercial paper and VRDO rating indicating
that the degree of safety regarding timely payment is either
overwhelming or very strong; those issues determined to possess
overwhelming safety characteristics are denoted with a plus (+) sign.
SECURITY DESCRIPTIONS
AMBAC
-- AMBAC Indemnity Corporation
FGIC
-- Financial Guaranty Insurance Company
GO -- General Obligation
ISD
-- Independent School District
MBIA
-- Municipal Bond Investors Assurance Corporation
PCR
-- Pollution Control Revenue
PSFG
-- Permanent School Fund Guaranty
116
<PAGE>
[This page intentionally left blank]
117
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-TERM MUNICIPAL MORTGAGE
MONEY FIXED INCOME BOND BOND BACKED
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at cost... $457,059,607 $466,928,149 $153,646,673 $66,177,786 $141,961,545
Repurchase agreements,
at cost............... -- 12,464,000 487,000 -- 40,297,000
Foreign currency, at
cost.................. -- -- -- -- --
Foreign currency
segregated for futures
contracts, at cost.... -- -- -- -- --
- ---------------------------------------------------------------------------------------------
Investments, at value.. $457,059,607 $470,824,587 $163,664,426 $68,568,713 $143,426,057
Repurchase agreements,
at value.............. -- 12,464,000 487,000 -- 40,297,000
Foreign currency, at
value................. -- -- -- -- --
Foreign currency
segregated for futures
contracts, at value... -- -- -- -- --
Cash................... 1,138 80 104,376 27,751 594
Collateral for
securities loaned
(Note 12)............. -- -- -- -- --
Receivable for
securities sold....... -- 4,713,896 -- -- --
Receivable for Fund
shares sold........... 2,544,870 2,128,895 494,478 450,884 697,555
Dividends and interest
receivable............ 821,966 5,584,945 1,672,896 785,886 842,844
Receivable for open
forward foreign
currency contracts.... -- -- -- -- --
Receivable from broker
-- variation margin... -- -- -- -- --
Deferred organization
costs................. -- -- -- -- --
- ---------------------------------------------------------------------------------------------
TOTAL ASSETS........... 460,427,581 495,716,403 166,423,176 69,833,234 185,264,050
- ---------------------------------------------------------------------------------------------
LIABILITIES:
Dividends payable...... 745,885 2,350,381 823,955 239,401 759,061
Administration fees
payable............... 170,500 73,950 25,243 27,144 84,371
Management fees
payable............... 105,495 147,900 50,486 127,977 212,974
Payable for open
forward foreign
currency contracts.... -- -- -- -- --
Payable for Fund shares
purchased............. -- -- -- -- --
Payable for securities
loaned (Note 12)...... -- -- -- -- --
Payable to broker --
variation margin..... -- -- -- -- --
Payable for securities
purchased............. -- 13,923,582 -- 2,977,977 30,378,750
Accrued expenses....... 28,138 38,512 65,193 16,815 1,169
- ---------------------------------------------------------------------------------------------
TOTAL LIABILITIES...... 1,050,018 16,534,325 964,877 3,389,314 31,436,325
- ---------------------------------------------------------------------------------------------
TOTAL NET ASSETS........ $459,377,563 $479,182,078 $165,458,299 $66,443,920 $153,827,725
- ---------------------------------------------------------------------------------------------
NET ASSETS:
Par value of shares of
beneficial interest... $ 459,351 $ 58,967 $ 19,063 $ 7,520 $ 19,017
Capital paid in excess
of par value.......... 458,891,709 482,990,486 153,343,524 65,763,315 152,087,042
Undistributed
(overdistributed) net
investment income..... 46,377 (871,495) (8,735) 42,730 (182,965)
Accumulated net
realized gain (loss)
on security
transactions.......... (19,874) (6,892,318) 2,086,694 (1,760,572) 440,119
Net unrealized
appreciation
(depreciation) of
investments, foreign
currencies and
futures............... -- 3,896,438 10,017,753 2,390,927 1,464,512
- ---------------------------------------------------------------------------------------------
TOTAL NET ASSETS........ $459,377,563 $479,182,078 $165,458,299 $66,443,920 $153,827,725
- ---------------------------------------------------------------------------------------------
Shares Outstanding...... 459,351,060 58,966,904 19,063,045 7,520,493 19,017,435
- ---------------------------------------------------------------------------------------------
Net Asset Value......... $1.00 $8.13 $8.68 $8.84 $8.09
- ---------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
118
<PAGE>
FEBRUARY 28, 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>
$69,147,453 $1,389,694,718 $1,109,633,070 $731,690,239 $ 959,658,212 $1,046,244,838 $120,664,879 $218,824,820
837,000 21,206,000 29,519,000 7,225,000 32,704,000 130,000,000 15,120,000 18,689,000
-- -- -- -- -- 15,588,043 2,046,457 272,089
-- -- -- -- -- 20,873,883 -- --
- ----------------------------------------------------------------------------------------------------------------------
$81,297,499 $1,910,499,866 $1,896,355,838 $908,712,925 $1,119,963,857 $1,222,083,463 $119,096,459 $223,632,683
837,000 21,206,000 29,519,000 7,225,000 32,704,000 130,000,000 15,120,000 18,689,000
-- -- -- -- -- 15,594,343 2,050,720 273,540
-- -- -- -- -- 24,802,735 -- --
656 441 1,563 445 1,386 279,296 165 837
8,402,200 -- 261,877,369 27,474,542 49,733,611 54,962,045 3,450,000 2,934,900
-- 4,878,523 -- 4,551,753 2,701,603 3,356,745 -- 3,149,551
44,887 3,886,838 4,000,130 2,639,383 2,797,163 3,203,811 539,094 745,682
430,568 4,118,682 1,462,689 1,050,071 199,963 1,551,793 3,494,773 83,782
-- -- -- -- -- 3,868,776 80,519 --
-- -- -- -- -- 11,335,708 -- --
-- -- -- -- -- -- -- 7,519
- ----------------------------------------------------------------------------------------------------------------------
91,012,810 1,944,590,350 2,193,216,589 951,654,119 1,208,101,583 1,471,038,715 143,831,730 249,517,494
- ----------------------------------------------------------------------------------------------------------------------
133,326 -- -- -- -- -- 681,582 --
23,534 286,591 289,390 137,668 196,125 212,816 21,469 35,278
35,352 705,921 442,145 347,708 528,894 550,721 53,674 158,753
-- -- -- -- -- 3,807,863 154,204 --
-- -- 949,385 -- -- -- -- --
8,402,200 -- 261,877,369 27,474,542 49,733,611 54,962,045 3,450,000 2,934,900
-- -- 60,025 -- 42,875 -- -- --
-- 13,268,369 -- 2,750,394 6,543,675 25,763,809 -- 5,927,673
61,906 134,633 49,070 203,364 355,251 1,088,338 111,280 55,623
- ----------------------------------------------------------------------------------------------------------------------
8,656,318 14,395,514 263,667,384 30,913,676 57,400,431 86,385,592 4,472,209 9,112,227
- ----------------------------------------------------------------------------------------------------------------------
$82,356,492 $1,930,194,836 $1,929,549,205 $920,740,443 $1,150,701,152 $1,384,653,123 $139,359,521 $240,405,267
- ----------------------------------------------------------------------------------------------------------------------
$ 6,679 $ 137,846 $ 102,590 $ 63,247 $ 63,321 $ 124,773 $ 17,047 $ 32,968
64,378,733 1,303,161,966 1,123,185,066 705,031,655 982,449,893 1,211,455,999 146,662,170 276,856,677
985,749 4,553,883 341,785 1,611,934 (1,874,611) (25,594,322) (7,066,920) (1,707,285)
4,835,285 101,535,993 17,708,071 37,010,921 9,561,929 7,669,214 1,430,854 (39,561,950)
12,150,046 520,805,148 788,211,693 177,022,686 160,500,620 190,997,459 (1,683,630) 4,784,857
- ----------------------------------------------------------------------------------------------------------------------
$82,356,492 $1,930,194,836 $1,929,549,205 $920,740,443 $1,150,701,152 $1,384,653,123 $139,359,521 $240,405,267
- ----------------------------------------------------------------------------------------------------------------------
6,679,066 137,845,904 102,590,298 63,246,627 63,321,327 124,772,689 17,047,398 32,967,954
- ----------------------------------------------------------------------------------------------------------------------
$12.33 $14.00 $18.81 $14.56 $18.17 $11.10 $8.17 $7.29
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
119
<PAGE>
STATEMENTS OF OPERATIONS (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-TERM MUNICIPAL MORTGAGE
MONEY FIXED INCOME BOND BOND BACKED
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest............... $12,078,241 $13,653,077 $ 6,534,187 $1,463,503 $4,784,421
Dividends.............. -- -- -- -- --
Less: Foreign
withholding tax....... -- -- -- -- --
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENT
INCOME................ 12,078,241 13,653,077 6,534,187 1,463,503 4,784,421
- ---------------------------------------------------------------------------------------
EXPENSES:
Administration fees
(Note 2).............. 430,120 408,760 190,077 57,402 143,872
Shareholder and system
servicing fees........ 411,592 141,684 127,340 15,300 98,824
Management fees (Note
2).................... 322,590 817,521 380,154 114,803 359,680
Shareholder
communications........ 56,633 19,672 21,378 3,000 6,625
Registration fees...... 37,905 29,507 28,181 15,451 14,755
Audit and legal........ 13,745 14,794 13,561 12,500 12,785
Custody................ 10,119 7,891 3,336 2,000 2,360
Trustees' fees......... 6,734 4,439 3,471 1,350 1,969
Pricing service fees... -- -- 1,603 2,700 --
Amortization of
deferred organization
costs................. -- -- -- -- --
Other.................. 4,567 9,513 962 5,100 983
- ---------------------------------------------------------------------------------------
TOTAL EXPENSES......... 1,294,005 1,453,781 770,063 229,606 641,853
Less: Management and
administration fee
waiver (Note 2)... -- -- -- -- (64,742)
- ---------------------------------------------------------------------------------------
NET EXPENSES........... 1,294,005 1,453,781 770,063 229,606 577,111
- ---------------------------------------------------------------------------------------
NET INVESTMENT INCOME
(LOSS)................. 10,784,236 12,199,296 5,764,124 1,233,897 4,207,310
- ---------------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS, FOREIGN
CURRENCIES AND FUTURES
CONTRACTS (NOTES 4, 5
AND 6):
Realized Gain (Loss)
From:
Security transactions
(excluding short-term
securities)........... 17,022* 1,605,685 2,971,175 194,655 735,099
Foreign currency
transactions.......... -- -- -- -- --
Futures contracts...... -- -- -- -- --
- ---------------------------------------------------------------------------------------
NET REALIZED GAIN
(LOSS)................ 17,022 1,605,685 2,971,175 194,655 735,099
- ---------------------------------------------------------------------------------------
Change in Net
Unrealized Appreciation
(Depreciation) of
Investments, Foreign
Currencies and Futures
Contracts:
Beginning of period.... -- 1,808,496 3,097,932 1,178,818 (130,218)
End of period.......... -- 3,896,438 10,017,753 2,390,927 1,464,512
- ---------------------------------------------------------------------------------------
NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION)........ -- 2,087,942 6,919,821 1,212,109 1,594,730
- ---------------------------------------------------------------------------------------
NET GAIN (LOSS) ON
INVESTMENTS, FOREIGN
CURRENCIES AND FUTURES
CONTRACTS.............. -- 3,693,627 9,890,996 1,406,764 2,329,829
- ---------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS............. $10,801,258 $15,892,923 $15,655,120 $2,640,661 $6,537,139
- ---------------------------------------------------------------------------------------
</TABLE>
* Represents net realized gains from the sale of short-term securities for
Government Money Investments.
SEE NOTES TO FINANCIAL STATEMENTS.
120
<PAGE>
FOR THE SIX MONTHS ENDED FEBRUARY 28, 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>
$ 709,880 $ 553,036 $ 1,452,170 $ 409,061 $ 1,098,172 $ 2,380,766 $ 4,398,725 $ 465,614
609,279 19,071,806 7,649,849 8,460,734 1,746,266 5,934,537 -- 1,608,619
-- (61,587) -- -- (20,250) (598,248) -- (91,044)
- -------------------------------------------------------------------------------------------------------------------
1,319,159 19,563,255 9,102,019 8,869,795 2,824,188 7,717,055 4,398,725 1,983,189
- -------------------------------------------------------------------------------------------------------------------
85,544 1,863,830 1,793,067 773,004 974,041 1,203,660 132,624 224,336
23,500 636,658 645,883 359,310 640,345 551,770 115,676 308,400
256,632 4,618,284 2,796,843 1,979,850 2,742,961 3,198,410 331,561 1,009,510
5,500 64,109 195,755 127,539 210,210 21,765 5,427 7,398
15,000 68,053 79,108 73,896 83,359 59,015 21,040 24,658
10,000 15,745 10,535 14,314 26,000 14,166 13,835 13,463
3,000 40,439 49,052 35,471 92,029 367,829 19,022 156,532
1,750 17,260 19,372 9,670 8,606 11,804 3,946 3,946
-- -- -- -- -- 62,047 1,316 6,411
8,630 -- -- -- -- 2,731 -- 3,240
1,152 14,262 7,504 5,451 3,019 10,043 2,365 3,286
- -------------------------------------------------------------------------------------------------------------------
410,708 7,338,640 5,597,119 3,378,505 4,780,570 5,503,240 646,812 1,761,180
-- -- -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------
410,708 7,338,640 5,597,119 3,378,505 4,780,570 5,503,240 646,812 1,761,180
- -------------------------------------------------------------------------------------------------------------------
908,451 12,224,615 3,504,900 5,491,290 (1,956,382) 2,213,815 3,751,913 222,009
- -------------------------------------------------------------------------------------------------------------------
4,843,208 196,408,802 32,494,390 46,733,162 43,065,523 (596,537) 3,450,619 (40,380,496)
-- -- -- -- -- (1,351,073) (4,242,256) 267,929
-- -- 1,927,242 -- 408,623 4,814,735 -- --
- -------------------------------------------------------------------------------------------------------------------
4,843,208 196,408,802 34,421,632 46,733,162 43,474,146 2,867,125 (791,637) (40,112,567)
- -------------------------------------------------------------------------------------------------------------------
10,854,698 483,897,240 539,072,610 126,255,337 137,622,115 93,480,747 (5,785,002) 1,918,999
12,150,046 520,805,148 788,211,693 177,022,686 160,500,620 190,997,459 (1,683,630) 4,784,857
- -------------------------------------------------------------------------------------------------------------------
1,295,348 36,907,908 249,139,083 50,767,349 22,878,505 97,516,712 4,101,372 2,865,858
- -------------------------------------------------------------------------------------------------------------------
6,138,556 233,316,710 283,560,715 97,500,511 66,352,651 100,383,837 3,309,735 (37,246,709)
- -------------------------------------------------------------------------------------------------------------------
$ 7,047,007 $245,541,325 $287,065,615 $102,991,801 $ 64,396,269 $102,597,652 $ 7,061,648 $(37,024,700)
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
121
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-TERM MUNICIPAL MORTGAGE
MONEY FIXED INCOME BOND BOND BACKED
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income
(loss)................ $ 10,784,236 $ 12,199,296 $ 5,764,124 $ 1,233,897 $ 4,207,310
Net realized gain
(loss)................ 17,022 1,605,685 2,971,175 194,655 735,099
Net change in
unrealized
appreciation
(depreciation)........ -- 2,087,942 6,919,821 1,212,109 1,594,730
- ---------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS
FROM OPERATIONS....... 10,801,258 15,892,923 15,655,120 2,640,661 6,537,139
- ---------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
FROM (NOTE 3):
Net investment income.. (10,752,400) (13,465,292) (5,739,954) 1,297,715 (4,362,542)
Net realized gain...... -- -- -- -- --
- ---------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS
FROM
DISTRIBUTIONS TO
SHAREHOLDERS.......... (10,752,400) (13,465,292) (5,739,954) (1,297,715) (4,362,542)
- ---------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS
(NOTE 10):
Net proceeds from sale
of shares............. 704,045,775 149,822,118 48,527,139 21,476,465 27,881,276
Net asset value of
shares issued for
reinvestment of
dividends............. 10,846,162 10,831,545 4,754,203 1,008,303 4,169,075
Cost of shares
reacquired............ (644,276,663) (67,993,476) (80,789,547) (9,407,638) (16,983,329)
- ---------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS FROM
FUND SHARE
TRANSACTIONS.......... 70,615,274 92,660,187 (27,508,205) 13,077,130 15,067,022
- ---------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS ............ 70,664,132 95,087,818 (17,593,039) 14,420,076 17,241,619
NET ASSETS:
Beginning of period.... 388,713,431 384,094,260 183,051,338 52,023,844 136,586,106
- ---------------------------------------------------------------------------------------------
END OF PERIOD*......... $459,377,563 $479,182,078 $165,458,299 $66,443,920 $153,827,725
- ---------------------------------------------------------------------------------------------
*Includes undistributed
(overdistributed)
net investment income
of:................... $46,377 $(871,495) $(8,735) $42,730 $(182,965)
- ---------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
122
<PAGE>
FOR THE SIX MONTHS ENDED FEBRUARY 28, 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>
$ 908,451 $ 12,224,615 $ 3,504,900 $ 5,491,290 $ (1,956,382) $ 2,213,815 $ 3,751,913 $ 222,009
4,843,208 196,408,802 34,421,632 46,733,162 43,474,146 2,867,125 (791,637) (40,112,567)
1,295,348 36,907,908 249,139,083 50,767,349 22,878,505 97,516,712 4,101,372 2,865,858
- -------------------------------------------------------------------------------------------------------------------------
7,047,007 245,541,325 287,065,615 102,991,801 64,396,269 102,597,652 7,061,648 (37,024,700)
- -------------------------------------------------------------------------------------------------------------------------
(862,970) (15,036,214) (8,296,565) (7,959,256) -- (22,022,537) (3,868,587) (3,287,322)
(4,410,524) (315,031,240) (116,448,422) (92,050,884) (63,933,403) (13,315,497) (3,734,935) (13,500,011)
- -------------------------------------------------------------------------------------------------------------------------
(5,273,494) (330,067,454) (124,744,987) (100,010,140) (63,933,403) (35,338,034) (7,603,522) (16,787,333)
- -------------------------------------------------------------------------------------------------------------------------
17,385,549 374,962,783 321,305,768 330,940,211 845,813,070 710,546,232 47,855,577 151,436,144
5,131,639 325,590,404 123,688,134 99,076,852 63,551,192 34,828,762 6,715,014 18,015,058
(31,723,425) (620,579,569) (522,582,252) (134,630,277) (536,447,116) (564,425,803) (40,279,679) (101,513,781)
- -------------------------------------------------------------------------------------------------------------------------
(9,206,237) 79,973,618 (77,588,350) 295,386,786 372,917,146 180,949,191 14,290,912 67,937,421
- -------------------------------------------------------------------------------------------------------------------------
(7,432,724) (4,552,511) 84,732,278 298,368,447 373,380,012 248,208,809 13,749,038 14,125,388
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
- -------------------------------------------------------------------------------------------------------------------------
$82,356,492 $1,930,194,836 $1,929,549,205 $920,740,443 $1,150,701,152 $1,384,653,123 $139,359,521 $240,405,267
- -------------------------------------------------------------------------------------------------------------------------
$985,749 $4,553,883 $341,785 $1,611,934 $(1,874,611) $(25,594,322) $(7,066,920) $(1,707,285)
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
123
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-TERM MUNICIPAL MORTGAGE
MONEY FIXED INCOME BOND BOND BACKED
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income
(loss)................ $ 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
Net change in
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 gain...... -- -- -- -- --
- ------------------------------------------------------------------------------------------------
DECREASE IN NET ASSETS
FROM
DISTRIBUTIONS TO
SHAREHOLDERS.......... (16,124,859) (20,477,022) (12,361,043) (2,026,872) (8,289,597)
- ------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS
(NOTE 13):
Net proceeds from sale
of shares............. 849,412,997 178,249,168 64,617,502 29,618,111 40,497,082
Net asset value of
shares issued for
reinvestment of
dividends............. 15,257,421 19,919,280 11,926,307 1,888,004 7,957,625
Cost of shares
reacquired............ (754,144,058) (116,264,487) (57,318,892) (28,079,489) (36,312,247)
- ------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS FROM
FUND SHARE
TRANSACTIONS.......... 110,526,360 81,903,961 19,224,917 3,426,626 12,142,460
- ------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS............. 110,551,671 88,041,506 27,141,768 5,538,998 15,640,770
NET ASSETS:
Beginning of year...... 278,161,760 296,052,754 155,909,570 46,484,846 120,945,336
- ------------------------------------------------------------------------------------------------
END OF YEAR*........... $ 388,713,431 $ 384,094,260 $183,051,338 $ 52,023,844 $136,586,106
- ------------------------------------------------------------------------------------------------
* Includes
undistributed
(overdistributed)
net investment income
of:.................. $14,541 $394,501 $(32,905) $106,548 $(27,733)
- ------------------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
124
<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.
125
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
Consulting Group Capital Markets Funds ("Fund"), a Massachusetts business
trust, is registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The Fund consists of
thirteen separate investment portfolios ("Portfolios"): Government Money
Investments, Intermediate Fixed Income Investments, Long-Term Bond Investments,
Municipal Bond Investments, Mortgage Backed Investments, Balanced Investments,
Large Capitalization Value Equity Investments, Large Capitalization Growth
Investments, Small Capitalization Value Equity Investments, Small
Capitalization Growth Investments, International Equity Investments,
International Fixed Income Investments and Emerging Markets Equity Investments.
The significant accounting policies consistently followed by the Fund are:
(a) security transactions are accounted for on trade date; (b) securities
traded on national securities markets are valued at the closing prices on such
markets or, if there were no sales during the day, at current quoted bid price;
securities primarily traded on foreign exchanges are generally valued at the
preceding closing values of such securities on their respective exchanges,
except that when a significant occurrence subsequent to the time a value was so
established is likely to have significantly changed the value then the fair
value of those securities will be determined by consideration of other factors
by or under the direction of the Board of Trustees; securities traded in the
over-the-counter market are valued on the basis of the bid price at the close
of business on each day; U.S. government agencies and obligations are valued at
the mean between the bid and ask prices; (c) securities maturing within 60 days
are valued at cost plus accreted discount, or minus amortized premium, which
approximates value; (d) dividend income is recorded on the ex-dividend date
except that foreign dividends are recorded on the ex-dividend date or as soon
as practical after the Fund determines the existence of a dividend declaration
after exercising reasonable due diligence; and interest income is recorded on
an accrual basis; (e) gains or losses on the sale of securities are calculated
by using the specific identification method; (f) dividends and distributions to
shareholders are recorded on the ex-dividend date; (g) the accounting records
of the Fund are maintained in U.S. dollars. All assets and liabilities
denominated in foreign currencies are translated into U.S. dollars based on the
rate of exchange of such currencies against U.S. dollars on the date of
valuation. Purchases and sales of securities and income and expenses are
translated at the rate of exchange quoted on the respective date that such
transactions are recorded. Differences between income or expense amounts
recorded and collected or paid are adjusted when reported by the custodian
bank; (h) each Portfolio intends to comply with the requirements of the
Internal Revenue Code of 1986, as amended, pertaining to regulated investment
companies and to make distributions of taxable income sufficient to relieve it
from substantially all federal income and excise taxes; (i) the character of
income and gains to be distributed are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles. At
August 31, 1997, reclassifications were made to the capital accounts of the
Long-Term Bond Investments, Mortgage Backed Investments, Balanced Investments,
Large Capitalization Value Investments, Small Capitalization Value Equity
Investments, Small Capitalization Growth Investments, International Equity
Investments, International Fixed Income Investments and Emerging Markets Equity
Investments to reflect permanent book/tax differences and income and gains
available for distributions under income tax regulations. Accordingly, a
portion of over distributed net investment income amounting to $101,123,
$479,152 and $2,413,405 was reclassified to paid-in capital for Long-Term Bond
Investments, Mortgage Backed Investments and Small Capitalization Growth
Investments, respectively. Net investment income, net realized gains and net
assets were not affected by this 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 are being amortized on a straight
line basis over a five-year period, beginning with each portfolio's respective
commencement of operations.
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.
126
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
2. INVESTMENT ADVISORY AGREEMENT, ADMINISTRATION AGREEMENT AND OTHER
TRANSACTIONS
The Fund has entered into an investment management agreement ("Management
Agreement") with Mutual Management Corp., formerly known as Smith Barney Mutual
Funds Management Inc., 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 advisers of the
Fund. MMC has entered into an investment advisory agreement with each adviser
selected for the Portfolios (collectively, "Advisers").
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 Adviser, based
on the rates applied to each respective Portfolio's average daily net assets on
a monthly basis. The applicable management fee, advisory fee paid by MMC to
each Adviser, and the Adviser for each Portfolio are indicated below:
<TABLE>
<CAPTION>
ANNUAL
ADVISER MANAGEMENT
PORTFOLIO ADVISERS FEE FEE
- --------------------------------------------------------------------------------------------
<C> <S> <C> <C>
Government Money Investments Standish, Ayer & Wood, 0.15% 0.15%
Inc.
Intermediate Fixed Income Investments Standish, Ayer & Wood, 0.20 0.40
Inc.
Long-Term Bond Investments National Asset 0.20 0.40
Management 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.
Pan Agora Asset
Management:
on the first $300 0.20 0.50
million
on the amount over $300 0.05 0.45
million
Small Capitalization Value Equity Investments NFJ Investment Group 0.50 0.80
Barclays Global Fund
Advisors:
on the first $200 0.15 0.45
million
on the next $100 million 0.10 0.40
on the amount over $300 0.05 0.35
million
Small Capitalization Growth Investments Berger Associates, Inc. 0.50 0.80
Wall Street Associates 0.50 0.80
Mellon Capital
Management Corp.:
on the first $200 0.15 0.45
million
on the next $100 million 0.10 0.40
on the amount over $300 0.05 0.35
million
Montgomery Asset 0.50 0.80
Management, LLC
Westpeak Investment 0.50 0.80
Advisers, L.P.
International Equity Investments Oechsle International 0.40 0.70
Advisors L.P.
State Street Global 0.07 0.37
Advisors
International Fixed Income Investments Julius Baer Investments 0.25 0.50
Management Inc.
Emerging Markets Equity Investments AIB Govett Asset 0.60 0.90
Management Limited
- --------------------------------------------------------------------------------------------
</TABLE>
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.
127
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
For the six months ended February 28, 1998, the following fees were waived:
<TABLE>
<CAPTION>
TOTAL
PORTFOLIO FEE WAIVERS MANAGER ADMINISTRATOR
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Mortgage Backed Investments................... $64,742 $46,372 $18,370
- --------------------------------------------------------------------------------
</TABLE>
For the six months ended February 28, 1998, Smith Barney Inc. ("SB"), another
subsidiary of SBH, received brokerage commissions of $4,020.
All officers and one Trustee of the Fund are employees of SB.
3. EXEMPT-INTEREST DIVIDENDS AND OTHER DIVIDENDS
Municipal Bond Investments intends to satisfy conditions that will enable
interest from municipal securities, which is exempt from regular Federal income
tax and from designated state income taxes, to retain such tax-exempt status
when distributed to the shareholders of the portfolio.
Capital gain distributions, if any, are taxable to shareholders, and are
declared and paid at least annually. Additional taxable distributions may be
made if necessary to avoid a Federal excise tax.
4. INVESTMENTS
During the six months ended February 28, 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>
Intermediate Fixed Income Investments................ $205,827,972 $ 85,771,836
Long-Term Bond Investments........................... 47,463,604 69,709,929
Municipal Bond Investments........................... 15,480,867 5,081,655
Mortgage Backed Investments.......................... 180,990,996 163,253,697
Balanced Investments................................. 27,588,672 35,997,407
Large Capitalization Value Equity Investments........ 543,849,858 778,248,896
Large Capitalization Growth Investments.............. 316,970,788 496,023,309
Small Capitalization Value Equity Investments........ 334,985,424 125,471,849
Small Capitalization Growth Investments.............. 661,029,551 355,588,658
International Equity Investments..................... 470,198,543 373,294,430
International Fixed Income Investments............... 156,355,171 158,880,761
Emerging Markets Equity Investments.................. 187,602,445 139,070,606
- -------------------------------------------------------------------------------
</TABLE>
At February 28, 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 APPRECIATION DEPRECIATION (DEPRECIATION)
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
Intermediate Fixed Income Invest-
ments.............................. $ 6,192,405 $ (2,295,967) $ 3,896,438
Long-Term Bond Investments.......... 10,680,956 (663,203) 10,017,753
Municipal Bond Investments.......... 2,506,199 (115,272) 2,390,927
Mortgage Backed Investments......... 1,794,971 (330,459) 1,464,512
Balanced Investments................ 13,350,325 (1,200,279) 12,150,046
Large Capitalization Value Equity
Investments........................ 535,957,375 (15,152,227) 520,805,148
Large Capitalization Growth Invest-
ments.............................. 800,476,890 (13,754,122) 786,722,768
Small Capitalization Value Equity
Investments........................ 196,266,616 (19,243,930) 177,022,686
Small Capitalization Growth Invest-
ments.............................. 217,052,805 (56,747,160) 160,305,645
International Equity Investments.... 258,749,705 (82,911,080) 175,838,625
International Fixed Income Invest-
ments.............................. 1,886,693 (3,455,113) (1,568,420)
Emerging Markets Equity Invest-
ments.............................. 20,611,335 (15,803,472) 4,807,863
- ------------------------------------------------------------------------------
</TABLE>
128
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
5. FUTURES CONTRACTS
Initial margin deposits made upon entering into futures contracts are
recognized as assets. Securities equal to the initial margin amount are
segregated by the custodian in the name of the broker. Additional securities
are also segregated up to the current market value of the futures contract.
During the period the futures contract is open, changes in the value of the
contract are recognized as unrealized gains or losses by "marking to market" on
a daily basis to reflect the market value of the contract at the end of each
day's trading. Variation margin payments are made or received and recognized as
assets due from or liabilities due to broker, depending upon whether unrealized
gains or losses are incurred. When the contract is closed, the Portfolio
records a realized gain or loss equal to the difference between the proceeds
from (or cost of) the closing transactions and the Portfolio's basis in the
contract.
The Portfolio enters into such contracts to hedge a portion of its portfolio.
The Portfolio bears the market risk that arises from changes in the value of
the financial instruments and securities indices (futures contracts) and the
credit risk should a counterparty fail to perform under such contracts.
At February 28, 1998, Large Capitalization Growth Investments, Small
Capitalization Growth Investments and International Equity Investments had the
following open futures contracts:
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
# OF BASIS MARKET UNREALIZED
PURCHASED CONTRACTS CONTRACTS EXPIRATION VALUE VALUE GAIN
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Mid Cap 400 Index....... 59 3/98 $ 9,834,900 $ 10,428,250 $ 593,350
S&P 500 Index........... 80 3/98 20,114,425 21,010,000 895,575
- ------------------------------------------------------------------------------------
TOTAL................... $ 29,949,325 $ 31,438,250 $ 1,488,925
- ------------------------------------------------------------------------------------
SMALL CAPITALIZATION GROWTH INVESTMENTS
<CAPTION>
# OF BASIS MARKET UNREALIZED
PURCHASED CONTRACTS CONTRACTS EXPIRATION VALUE VALUE GAIN
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Russell 2000 Index...... 49 3/98 $ 11,142,400 $ 11,337,375 $ 194,975
- ------------------------------------------------------------------------------------
INTERNATIONAL EQUITY INVESTMENTS
<CAPTION>
# OF BASIS MARKET UNREALIZED
PURCHASED CONTRACTS CONTRACTS EXPIRATION VALUE VALUE GAIN
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OMX Index Future........ 149 3/98 $ 5,102,879 $ 5,114,054 $ 11,175
Hang Seng Stock Index
Future................. 43 3/98 2,961,856 3,207,294 245,438
Australian ALL Ordi-
naries................. 143 3/98 6,452,251 6,576,250 123,999
Deutsche Terminboerse
DAX.................... 75 3/98 17,959,001 19,450,555 1,491,554
IBEX 35 PLUS............ 102 3/98 5,594,799 5,927,344 332,545
London Financial Times
Stock Exchange 100..... 199 3/98 44,017,392 47,875,458 3,858,066
Marche A Terme Interna-
tional De France CAC
40..................... 142 3/98 14,336,416 16,006,559 1,670,143
MIB 30.................. 52 3/98 7,940,421 8,440,536 500,115
Osak Securities Exchange
Nikkei 300............. 2,631 3/98 49,866,849 52,940,710 3,073,861
Tokyo Stock Exchange
TOPIX.................. 4 3/98 375,207 404,021 28,814
- ------------------------------------------------------------------------------------
TOTAL................... $154,607,071 $165,942,781 $11,335,710
- ------------------------------------------------------------------------------------
</TABLE>
6. FOREIGN SECURITIES
International Equity Investments, International Fixed Income Investments and
Emerging Markets Equity Investments invest in foreign securities which may
involve risks not present in domestic investments. Since securities may be
denominated in a foreign currency and may require settlement in foreign
currencies and pay interest and/or a dividend in foreign currencies, changes in
the relationship of these foreign currencies to the U.S. dollar can
significantly affect the value of the investments and earnings of the
Portfolios. Foreign investments may also subject the Portfolios to foreign
government exchange restrictions, expropriation, taxation or other political,
social or economic developments, all of which could affect the market and/or
credit risk of the investments.
129
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
7. FORWARD FOREIGN CURRENCY CONTRACTS
At February 28, 1998, International Equity Investments and International
Fixed Income Investments had the following open forward foreign currency
contracts. The Portfolios bear the market risk that arises from changes in
foreign currency exchange rates. The unrealized gain (loss) on the contracts
reflected in the accompanying financial statements was 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............. 960,000 $ 654,114 3/04/98 $ 4,926
Australian Dollar............. 240,000 163,528 3/04/98 (688)
Australian Dollar............. 760,000 517,840 3/04/98 (7,485)
Australian Dollar............. 200,000 136,274 3/04/98 (514)
Australian Dollar............. 280,000 190,783 3/04/98 (523)
Australian Dollar............. 350,000 238,479 3/04/98 (6,158)
Australian Dollar............. 9,520,000 6,486,626 3/04/98 (108,226)
British Pound................. 300,000 493,821 3/04/98 (6,036)
British Pound................. 3,130,000 5,152,198 3/04/98 54,808
British Pound................. 1,010,000 1,662,530 3/04/98 (9,160)
British Pound................. 1,000,000 1,646,070 3/04/98 (7,520)
British Pound................. 1,120,000 1,843,598 3/04/98 (9,374)
British Pound................. 470,000 773,653 3/04/98 (5,861)
British Pound................. 740,000 1,218,091 3/04/98 2,058
British Pound................. 2,540,000 4,181,017 3/04/98 4,446
British Pound................. 1,060,000 1,744,833 3/04/98 (16,822)
British Pound................. 740,000 1,218,091 3/04/98 (5,823)
British Pound................. 1,190,000 1,958,823 3/04/98 (6,449)
British Pound................. 24,030,000 39,555,050 3/04/98 (62,226)
French Franc.................. 11,300,00 1,856,276 3/04/98 41,321
French Franc.................. 3,400,000 558,525 3/04/98 1,357
French Franc.................. 4,800,000 788,506 3/04/98 (1,040)
French Franc.................. 2,000,000 328,544 3/04/98 (616)
French Franc.................. 4,000,000 657,089 3/04/98 (1,701)
French Franc.................. 1,700,000 279,263 3/04/98 4,534
French Franc.................. 8,700,000 1,429,168 3/04/98 20,240
French Franc.................. 100,000 16,427 3/04/98 (23)
French Franc.................. 3,400,000 558,525 3/04/98 1,634
French Franc.................. 10,600,000 1,741,285 3/04/98 6,880
French Franc.................. 74,900,000 12,303,986 3/04/98 30,816
German Deutschemark........... 400,000 220,477 3/04/98 6,119
German Deutschemark........... 15,300,000 8,433,264 3/04/98 84,956
German Deutschemark........... 13,900,000 7,661,593 3/04/98 164,543
German Deutschemark........... 3,100,000 1,708,701 3/04/98 1,739
German Deutschemark........... 4,300,000 2,370,133 3/04/98 (6,197)
German Deutschemark........... 2,000,000 1,102,387 3/04/98 (3,245)
German Deutschemark........... 5,000,000 2,755,969 3/04/98 (9,848)
German Deutschemark........... 1,800,000 992,149 3/04/98 11,643
German Deutschemark........... 9,400,000 5,181,221 3/04/98 71,878
German Deutschemark........... 1,700,000 937,029 3/04/98 (2,193)
German Deutschemark........... 3,900,000 2,149,656 3/04/98 2,306
German Deutschemark........... 4,100,000 2,259,894 3/04/98 7,366
German Deutschemark........... 17,550,000 9,673,450 3/04/98 2,956
German Deutschemark........... 57,120,000 31,511,217 3/18/98 906,490
Italian Lira.................. 620,000,000 346,452 3/04/98 (618)
Italian Lira.................. 470,000,000 262,633 3/04/98 (1,304)
Italian Lira.................. 520,000,000 290,572 3/04/98 (1,902)
Italian Lira.................. 470,000,000 262,633 3/04/98 2,929
Italian Lira.................. 1,430,000,000 799,074 3/04/98 7,746
Italian Lira.................. 160,000,000 89,407 3/04/98 (399)
Italian Lira.................. 680,000,000 379,979 3/04/98 7
</TABLE>
130
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE GAIN (LOSS)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Italian Lira................. 650,000,000 $ 363,216 3/04/98 $ 883
Italian Lira................. 12,400,000,000 6,929,036 3/04/98 13,854
Japanese Yen................. 50,000,000 396,076 3/04/98 (9,766)
Japanese Yen................. 150,000,000 1,188,227 3/04/98 (19,092)
Japanese Yen................. 400,000,000 3,168,605 3/04/98 (133,013)
Japanese Yen................. 830,000,000 6,574,856 3/04/98 55,967
Japanese Yen................. 230,000,000 1,821,948 3/04/98 20,853
Japanese Yen................. 320,000,000 2,534,884 3/04/98 (7,039)
Japanese Yen................. 200,000,000 1,584,303 3/04/98 (2,775)
Japanese Yen................. 210,000,000 1,663,518 3/04/98 9,256
Japanese Yen................. 140,000,000 1,109,012 3/04/98 29,014
Japanese Yen................. 610,000,000 4,832,123 3/04/98 106,868
Japanese Yen................. 100,000,000 792,151 3/04/98 15,147
Japanese Yen................. 310,000,000 2,455,669 3/04/98 70,509
Japanese Yen................. 230,000,000 1,821,948 3/04/98 (31,731)
Japanese Yen................. 5,080,000,000 40,241,289 3/04/98 (438,423)
Japanese Yen................. 8,166,000,000 65,476,413 5/27/98 (866,871)
Spanish Peseta............... 38,000,000 246,763 3/04/98 55
Spanish Peseta............... 39,000,000 253,256 3/04/98 (764)
Spanish Peseta............... 18,000,000 116,888 3/04/98 1,739
Spanish Peseta............... 101,000,000 655,869 3/04/98 8,683
Spanish Peseta............... 28,000,000 181,825 3/04/98 (290)
Spanish Peseta............... 41,000,000 266,244 3/04/98 596
Spanish Peseta............... 59,000,000 383,131 3/04/98 2,011
Spanish Peseta............... 835,000,000 5,422,283 3/04/98 10,378
Swedish Krona................ 1,500,000 187,380 3/04/98 (1,874)
Swedish Krona................ 1,500,000 187,380 3/04/98 (1,674)
Swedish Krona................ 2,800,000 349,776 3/04/98 (3,922)
Swedish Krona................ 900,000 112,428 3/04/98 (113)
Swedish Krona................ 3,600,000 449,712 3/04/98 (823)
Swedish Krona................ 900,000 112,428 3/04/98 (1,768)
Swedish Krona................ 1,400,000 174,888 3/04/98 (1,824)
Swedish Krona................ 1,800,000 224,856 3/04/98 (1,156)
Swedish Krona................ 30,500,000 3,810,059 3/04/98 (15,583)
Swiss Franc.................. 1,800,000 1,227,326 3/04/98 44,355
Swiss Franc.................. 3,000,000 2,045,543 3/04/98 14,189
- --------------------------------------------------------------------------------
329,102,212 27,603
- --------------------------------------------------------------------------------
TO BUY:
Australian Dollar............ 670,000 456,517 3/04/98 1,235
Australian Dollar............ 1,000,000 681,368 3/04/98 4,208
Australian Dollar............ 360,000 245,293 3/04/98 3,013
Australian Dollar............ 400,000 272,547 3/04/98 4,427
Australian Dollar............ 700,000 476,958 3/04/98 9,253
Australian Dollar............ 300,000 204,410 3/04/98 9,080
Australian Dollar............ 400,000 272,547 3/04/98 8,187
Australian Dollar............ 1,500,000 1,022,052 3/04/98 41,352
Australian Dollar............ 1,200,000 817,642 3/04/98 28,426
Australian Dollar............ 500,000 340,684 3/04/98 13,834
Australian Dollar............ 1,000,000 681,368 3/04/98 26,968
Australian Dollar............ 1,800,000 1,226,463 3/04/98 51,837
Australian Dollar............ 700,000 476,958 3/04/98 19,018
Australian Dollar............ 700,000 476,958 3/04/98 2,498
Australian Dollar............ 880,000 599,604 3/04/98 (1,348)
Australian Dollar............ 200,000 136,274 3/04/98 2,300
Australian Dollar............ 9,520,000 6,485,014 6/04/98 95,856
British Pound................ 579,088 953,318 3/02/98 (845)
British Pound................ 584,319 961,879 3/03/98 (2,831)
British Pound................ 4,200,000 6,913,492 3/04/98 (125,708)
British Pound................ 2,500,000 4,115,174 3/04/98 (76,826)
British Pound................ 900,000 1,481,463 3/04/98 (1,017)
British Pound................ 1,500,000 2,469,104 3/04/98 6,029
British Pound................ 500,000 823,035 3/04/98 1,655
British Pound................ 300,000 493,821 3/04/98 (1,089)
</TABLE>
131
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE GAIN (LOSS)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
British Pound................. 600,000 $ 987,642 3/04/98 $ 11,082
British Pound................. 2,500,000 4,115,174 3/04/98 4,249
British Pound................. 1,000,000 1,646,070 3/04/98 (7,480)
British Pound................. 300,000 493,821 3/04/98 (5,799)
British Pound................. 2,600,000 4,279,781 3/04/98 (52,339)
British Pound................. 1,000,000 1,646,070 3/04/98 (3,630)
British Pound................. 2,500,000 4,115,174 3/04/98 11,674
British Pound................. 1,200,000 1,975,283 3/04/98 11,963
British Pound................. 900,000 1,481,463 3/04/98 32,463
British Pound................. 500,000 823,035 3/04/98 16,435
British Pound................. 2,900,000 4,773,602 3/04/98 58,637
British Pound................. 1,600,000 2,633,711 3/04/98 24,671
British Pound................. 200,000 329,214 3/04/98 2,782
British Pound................. 1,700,000 2,798,318 3/04/98 (732)
British Pound................. 600,000 987,642 3/04/98 3,102
British Pound................. 1,220,000 2,008,205 3/04/98 (8,248)
British Pound................. 3,540,000 5,827,086 3/04/98 80,250
British Pound................. 550,000 905,338 3/04/98 6,418
British Pound................. 493,957 813,087 3/04/98 578
British Pound................. 221,948 365,322 3/05/98 (314)
British Pound................. 24,030,000 39,296,811 6/04/98 (16,269)
French Franc.................. 9,250,000 1,519,518 3/04/98 (46,952)
French Franc.................. 10,000,000 1,642,722 3/04/98 (51,935)
French Franc.................. 3,400,000 558,525 3/04/98 (15,111)
French Franc.................. 7,000,000 1,149,905 3/04/98 (26,150)
French Franc.................. 5,000,000 821,361 3/04/98 (23,982)
French Franc.................. 8,000,000 1,314,177 3/04/98 (44,288)
French Franc.................. 5,000,000 821,361 3/04/98 (24,649)
French Franc.................. 1,200,000 197,127 3/04/98 (5,651)
French Franc.................. 12,000,000 1,971,266 3/04/98 (58,401)
French Franc.................. 5,000,000 821,361 3/04/98 (15,431)
French Franc.................. 8,000,000 1,314,177 3/04/98 (21,204)
French Franc.................. 5,000,000 821,361 3/04/98 (5,222)
French Franc.................. 5,150,000 846,002 3/04/98 (1,944)
French Franc.................. 8,900,000 1,462,022 3/04/98 1,977
French Franc.................. 9,300,000 1,527,731 3/04/98 3,141
French Franc.................. 4,000,000 657,089 3/04/98 (6,448)
French Franc.................. 10,300,000 1,692,003 3/04/98 (11,391)
French Franc.................. 6,700,000 1,100,624 3/04/98 (6,339)
French Franc.................. 1,700,000 279,263 3/04/98 629
French Franc.................. 5,995,763 986,548 3/31/98 (361)
French Franc.................. 5,864,564 964,960 3/31/98 (3,221)
French Franc.................. 74,900,000 12,367,900 6/04/98 (32,763)
German Deutschemark........... 6,750,000 3,720,558 3/04/98 (104,672)
German Deutschemark........... 3,000,000 1,653,581 3/04/98 (48,160)
German Deutschemark........... 1,000,000 551,194 3/04/98 (13,140)
German Deutschemark........... 4,000,000 2,204,775 3/04/98 (44,122)
German Deutschemark........... 3,000,000 1,653,581 3/04/98 (35,114)
German Deutschemark........... 1,000,000 551,194 3/04/98 (15,732)
German Deutschemark........... 1,000,000 551,194 3/04/98 (12,472)
German Deutschemark........... 2,000,000 1,102,387 3/04/98 (30,372)
German Deutschemark........... 1,500,000 826,791 3/04/98 (19,486)
German Deutschemark........... 800,000 440,955 3/04/98 (11,713)
German Deutschemark........... 4,000,000 2,204,775 3/04/98 (58,245)
German Deutschemark........... 2,000,000 1,102,387 3/04/98 (17,183)
German Deutschemark........... 8,000,000 4,409,550 3/04/98 (57,977)
German Deutschemark........... 3,000,000 1,653,581 3/04/98 (14,476)
German Deutschemark........... 2,000,000 1,102,387 3/04/98 (4,113)
German Deutschemark........... 2,000,000 1,102,387 3/04/98 (3,807)
German Deutschemark........... 10,500,000 5,787,534 3/04/98 22,738
German Deutschemark........... 1,900,000 1,047,268 3/04/98 12,996
German Deutschemark........... 4,300,000 2,370,133 3/04/98 (17,363)
German Deutschemark........... 10,000,000 5,511,937 3/04/98 (30,839)
German Deutschemark........... 8,700,000 4,795,385 3/04/98 (20,824)
German Deutschemark........... 2,000,000 1,102,387 3/04/98 4,150
German Deutschemark........... 17,550,000 9,719,222 6/04/98 (9,159)
Italian Lira.................. 638,600,000 356,845 3/04/98 (10,578)
Italian Lira.................. 1,500,000,000 838,190 3/04/98 (25,756)
</TABLE>
132
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE GAIN (LOSS)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Italian Lira................. 400,000,000 $ 223,517 3/04/98 $ (5,647)
Italian Lira................. 700,000,000 391,155 3/04/98 (8,605)
Italian Lira................. 2,000,000,000 1,117,586 3/04/98 (34,959)
Italian Lira................. 1,500,000,000 838,190 3/04/98 (23,285)
Italian Lira................. 3,061,400,000 1,710,689 3/04/98 1,222
Italian Lira................. 2,400,000,000 1,341,104 3/04/98 5,752
Italian Lira................. 1,200,000,000 670,552 3/04/98 2,958
Italian Lira................. 320,000,000 178,814 3/04/98 (876)
Italian Lira................. 1,710,000,000 955,536 3/04/98 (2,613)
Italian Lira................. 1,500,000,000 838,190 3/04/98 (1,112)
Italian Lira................. 470,000,000 262,633 3/04/98 1,020
Italian Lira................. 12,400,000,000 6,932,797 6/04/98 (3,219)
Japanese Yen................. 950,000,000 7,525,438 3/04/98 33,324
Japanese Yen................. 700,000,000 5,545,060 3/04/98 25,643
Japanese Yen................. 320,000,000 2,534,884 3/04/98 35,958
Japanese Yen................. 340,000,000 2,693,315 3/04/98 46,576
Japanese Yen................. 100,000,000 792,151 3/04/98 4,582
Japanese Yen................. 100,000,000 792,151 3/04/98 11,432
Japanese Yen................. 100,000,000 792,151 3/04/98 13,820
Japanese Yen................. 150,000,000 1,188,227 3/04/98 28,583
Japanese Yen................. 600,000,000 4,752,908 3/04/98 (24,542)
Japanese Yen................. 200,000,000 1,584,303 3/04/98 2,275
Japanese Yen................. 70,000,000 554,506 3/04/98 10,563
Japanese Yen................. 700,000,000 5,545,060 3/04/98 92,072
Japanese Yen................. 50,000,000 396,076 3/04/98 7,605
Japanese Yen................. 750,000,000 5,941,135 3/04/98 137,529
Japanese Yen................. 100,000,000 792,151 3/04/98 27,538
Japanese Yen................. 180,000,000 1,425,872 3/04/98 65,637
Japanese Yen................. 150,000,000 1,188,227 3/04/98 45,892
Japanese Yen................. 520,000,000 4,119,187 3/04/98 113,332
Japanese Yen................. 480,000,000 3,802,327 3/04/98 99,337
Japanese Yen................. 160,000,000 1,267,442 3/04/98 22,035
Japanese Yen................. 430,000,000 3,406,251 3/04/98 12,809
Japanese Yen................. 250,000,000 1,980,378 3/04/98 (17,224)
Japanese Yen................. 680,000,000 5,386,629 3/04/98 (117,616)
Japanese Yen................. 640,000,000 5,069,769 3/04/98 (122,718)
Japanese Yen................. 140,000,000 1,109,012 3/04/98 (3,247)
Japanese Yen................. 5,080,000,000 40,819,606 6/04/98 502,146
Spanish Peseta............... 90,000,000 584,438 3/04/98 (51,380)
Spanish Peseta............... 100,000,000 649,375 3/04/98 (20,821)
Spanish Peseta............... 40,000,000 259,751 3/04/98 (6,845)
Spanish Peseta............... 150,000,000 974,063 3/04/98 (30,626)
Spanish Peseta............... 200,000,000 1,298,750 3/04/98 (18,425)
Spanish Peseta............... 200,000,000 1,298,750 3/04/98 4,336
Spanish Peseta............... 40,000,000 259,750 3/04/98 892
Spanish Peseta............... 141,000,000 915,619 3/04/98 (7,488)
Spanish Peseta............... 69,000,000 448,069 3/04/98 (2,705)
Spanish Peseta............... 102,000,000 662,363 3/04/98 (3,520)
Spanish Peseta............... 27,000,000 175,331 3/04/98 348
Spanish Peseta............... 835,000,000 5,425,601 6/04/98 (21,413)
Swedish Krona................ 7,000,000 874,440 3/04/98 (30,713)
Swedish Krona................ 2,000,000 249,840 3/04/98 (5,418)
Swedish Krona................ 7,000,000 874,440 3/04/98 (35,206)
Swedish Krona................ 10,000,000 1,249,200 3/04/98 (4,373)
Swedish Krona................ 4,600,000 574,632 3/04/98 1,345
Swedish Krona................ 5,500,000 687,060 3/04/98 (200)
Swedish Krona................ 200,000 24,984 3/04/98 (26)
Swedish Krona................ 4,100,000 512,172 3/04/98 2,006
Swedish Krona................ 3,800,000 474,696 3/04/98 6,323
Swedish Krona................ 700,000 87,444 3/04/98 1,090
Swedish Krona................ 30,500,000 3,820,140 3/04/98 15,630
Swiss Franc.................. 1,800,000 1,227,326 3/04/98 (42,068)
Swiss Franc.................. 1,500,000 1,022,771 3/04/98 (16,946)
Swiss Franc.................. 1,500,000 1,022,771 3/04/98 (12,354)
- -------------------------------------------------------------------------------
358,701,728 33,310
- -------------------------------------------------------------------------------
NET UNREALIZED GAIN ON
FORWARD
FOREIGN CURRENCY CONTRACTS.. $ 60,913
- -------------------------------------------------------------------------------
</TABLE>
133
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
INTERNATIONAL FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
LOCAL MARKET SETTLEMENT UNREALIZED
FOREIGN CURRENCY CURRENCY VALUE DATE GAIN (LOSS)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
TO SELL:
British Pound..................... 684,000 $ 1,124,329 3/31/98 $ (1,201)
German Deutschemark............... 15,230,782 8,394,083 3/02/98 45,917
German Deutschemark............... 15,299,526 8,437,138 3/12/98 2,862
German Deutschemark............... 8,324,000 4,592,639 3/20/98 (26,540)
German Deutschemark............... 15,312,439 8,450,476 3/24/98 (10,476)
German Deutschemark............... 15,343,920 8,472,459 4/02/98 (32,459)
Swedish Krona..................... 55,565,854 6,944,382 3/18/98 (83,528)
- --------------------------------------------------------------------------------
46,415,506 (105,425)
- --------------------------------------------------------------------------------
<CAPTION>
TO BUY:
<S> <C> <C> <C> <C>
German Deutschemark .............. 15,371,688 8,471,740 3/02/98 31,740
- --------------------------------------------------------------------------------
NET UNREALIZED LOSS ON FORWARD
FOREIGN CURRENCY CONTRACTS....... $ (73,685)
- --------------------------------------------------------------------------------
</TABLE>
8. REPURCHASE AGREEMENTS
The Fund purchases (and its custodian takes possession of) U.S. government
securities from banks and securities dealers subject to agreements to resell
the securities to the sellers at a future date (generally, the next business
day) at an agreed-upon higher repurchase price. The Fund requires continual
maintenance of the market value of the collateral in amounts at least equal to
the repurchase price.
9. CAPITAL LOSS CARRYFORWARD
At August 31, 1997, the Fund had, for Federal income tax purposes,
approximately the following unused capital loss carryforwards available to
offset future capital gains:
<TABLE>
<CAPTION>
PORTFOLIO TOTAL 8/31/03 8/31/04 8/31/05
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Government Money Investments........ $ 37,000 $ 29,000 $ 8,000 $ --
Intermediate Fixed Income Invest-
ments.............................. 7,321,000 5,086,000 1,462,000 773,000
Long-Term Bond Investments.......... 834,000 834,000 -- --
Municipal Bond Investments.......... 1,908,000 238,000 1,248,000 422,000
Mortgage Backed Investments......... 199,000 -- 199,000 --
- ------------------------------------------------------------------------------
</TABLE>
To the extent that these capital carryforward losses are used to offset
capital gains, it is probable that the gains so offset will not be distributed.
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 February 28, 1998, Intermediate Fixed Income Investments held one TBA
security with a cost of $9,235,073. In addition, Mortgage Backed Investments
held two TBA securities with a cost of $30,378,750.
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 February 28, 1998, there were no open short sale transactions.
134
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
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 February 28, 1998, the Portfolios listed below has loaned common stock.
The market value for the securities on loan was as follows:
<TABLE>
<CAPTION>
PORTFOLIO VALUE
- -------------------------------------------------------------------------------
<S> <C>
Balanced Investments.............................................. $ 8,168,478
Large Capitalization Growth Investments........................... 254,109,611
Small Capitalization Value Equity Investments..................... 25,691,110
Small Capitalization Growth Investments........................... 48,012,597
International Equity Investments.................................. 52,344,804
International Fixed Income Investments............................ 3,150,000
Emerging Markets Equity Investments............................... 2,795,143
- -------------------------------------------------------------------------------
</TABLE>
At February 28, 1998, the collateral held for the securities on loan was as
follows:
BALANCED INVESTMENTS
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------------
<S> <C>
TIME DEPOSITS:
Banque Paribas, 5.719% due 3/2/98.................................. $2,798,665
Credit Suisse, 5.719% due 3/2/98................................... 2,033,098
Svenska Banken, 5.469% due 3/2/98.................................. 972,287
REPURCHASE AGREEMENT:
Morgan Stanley, 5.700% due 3/2/98.................................. 2,598,150
- -------------------------------------------------------------------------------
Total............................................................... $8,402,200
- -------------------------------------------------------------------------------
</TABLE>
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------------
<S> <C>
TIME DEPOSITS:
Banque Paribas, 5.719% due 3/2/98................................ $ 87,227,987
Credit Suisse, 5.719% due 3/2/98................................. 63,367,033
Svenska Banken, 5.469% due 3/2/98................................ 30,303,950
REPURCHASE AGREEMENT:
Morgan Stanley, 5.700% due 3/2/98................................ 80,978,399
- -------------------------------------------------------------------------------
Total............................................................. $261,877,369
- -------------------------------------------------------------------------------
</TABLE>
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------------
<S> <C>
TIME DEPOSITS:
Banque Paribas, 5.719% due 3/2/98................................. $ 9,151,417
Credit Suisse, 5.719% due 3/2/98.................................. 6,648,074
Svenska Banken, 5.469% due 3/2/98................................. 3,179,302
REPURCHASE AGREEMENT:
Morgan Stanley, 5.700% due 3/2/98................................. 8,495,749
- -------------------------------------------------------------------------------
Total.............................................................. $27,474,542
- -------------------------------------------------------------------------------
</TABLE>
135
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
SMALL CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------------
<S> <C>
TIME DEPOSITS:
Banque Paribas, 5.719% due 3/2/98................................. $16,565,627
Credit Suisse, 5.719% due 3/2/98.................................. 12,034,149
Svenska Banken, 5.469% due 3/2/98................................. 5,755,079
REPURCHASE AGREEMENT:
Morgan Stanley, 5.700% due 3/2/98................................. 15,378,756
- -------------------------------------------------------------------------------
Total.............................................................. $49,733,611
- -------------------------------------------------------------------------------
</TABLE>
INTERNATIONAL EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENTS:
Merrill Lynch, 5.750% due 3/2/98.................................. $10,902,711
NationsBanc Montgomery Securities, 5.738% due 3/2/98.............. 10,902,711
CS First Boston Corp., 5.768% due 3/2/98.......................... 257,663
Morgan Stanley, 5.698% due 3/2/98................................. 10,902,711
Bear Stearns, 5.720% due 3/2/98................................... 10,902,711
J.P. Morgan Securities, 5.700% due 3/2/98......................... 10,902,711
Windmill Funding, 5.700% due 3/2/98............................... 190,827
- -------------------------------------------------------------------------------
Total.............................................................. $54,962,045
- -------------------------------------------------------------------------------
</TABLE>
INTERNATIONAL FIXED INCOME INVESTMENTS
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENTS:
Merrill Lynch, 5.750% due 3/2/98................................... $ 684,370
NationsBanc Montgomery Securities, 5.738% due 3/2/98............... 684,370
CS First Boston Corp., 5.768% due 3/2/98........................... 16,174
Morgan Stanley, 5.698% due 3/2/98.................................. 684,370
Bear Stearns, 5.720% due 3/2/98.................................... 684,369
J.P. Morgan Securities, 5.700% due 3/2/98.......................... 684,369
Windmill Funding, 5.700% due 3/2/98................................ 11,978
- -------------------------------------------------------------------------------
Total............................................................... $3,450,000
- -------------------------------------------------------------------------------
</TABLE>
EMERGING MARKETS EQUITY INVESTMENTS
<TABLE>
<CAPTION>
SECURITY DESCRIPTION VALUE
- -------------------------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENTS:
Merrill Lynch, 5.750% due 3/2/98................................... $ 582,190
NationsBanc Montgomery Securities, 5.738% due 3/2/98............... 582,190
CS First Boston Corp., 5.768% due 3/2/98........................... 13,760
Morgan Stanley, 5.698% due 3/2/98.................................. 582,190
Bear Stearns, 5.720% due 3/2/98.................................... 582,190
J.P. Morgan Securities, 5.700% due 3/2/98.......................... 582,190
Windmill Funding, 5.700% due 3/2/98................................ 10,190
- -------------------------------------------------------------------------------
Total............................................................... $2,934,900
- -------------------------------------------------------------------------------
</TABLE>
136
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
13. SHARES OF BENEFICIAL INTEREST
At February 28, 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>
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 28, 1998 AUGUST 31,1997
- -------------------------------------------------------------------------------
<S> <C> <C>
GOVERNMENT MONEY INVESTMENTS
Shares sold................................... 704,045,775 849,412,997
Shares issued on reinvestment................. 10,846,162 15,257,421
Shares redeemed............................... (644,276,663) (754,144,058)
- -------------------------------------------------------------------------------
Net Increase.................................. 70,615,274 110,526,360
- -------------------------------------------------------------------------------
INTERMEDIATE FIXED INCOME INVESTMENTS
Shares sold................................... 18,340,762 22,229,780
Shares issued on reinvestment................. 1,331,578 2,480,980
Shares redeemed............................... (8,346,386) (14,456,187)
- -------------------------------------------------------------------------------
Net Increase.................................. 11,325,954 10,254,573
- -------------------------------------------------------------------------------
LONG-TERM BOND INVESTMENTS
Shares sold................................... 5,620,917 8,150,525
Shares issued on reinvestment................. 553,126 1,232,102
Shares redeemed............................... (9,279,209) (7,024,609)
- -------------------------------------------------------------------------------
Net Increase (Decrease)....................... (3,105,166) 2,358,018
- -------------------------------------------------------------------------------
MUNICIPAL BOND INVESTMENTS
Shares sold................................... 2,445,100 3,511,017
Shares issued on reinvestment................. 115,043 222,819
Shares redeemed............................... (1,073,377) (3,327,179)
- -------------------------------------------------------------------------------
Net Increase.................................. 1,486,766 406,657
- -------------------------------------------------------------------------------
MORTGAGE BACKED INVESTMENTS
Shares sold................................... 3,539,230 5,117,755
Shares issued on reinvestment................. 430,813 1,008,056
Shares redeemed............................... (2,102,729) (4,592,708)
- -------------------------------------------------------------------------------
Net Increase.................................. 1,867,314 1,533,103
- -------------------------------------------------------------------------------
BALANCED INVESTMENTS
Shares sold................................... 1,420,287 5,179,672
Shares issued on reinvestment................. 428,428 275,077
Shares redeemed............................... (2,646,514) (3,006,395)
- -------------------------------------------------------------------------------
Net Increase (Decrease)....................... (797,799) 2,448,354
- -------------------------------------------------------------------------------
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
Shares sold................................... 27,570,298 40,317,277
Shares issued on reinvestment................. 23,017,595 9,591,013
Shares redeemed............................... (42,486,132) (51,090,285)
- -------------------------------------------------------------------------------
Net Increase (Decrease)....................... 8,101,761 (1,181,995)
- -------------------------------------------------------------------------------
LARGE CAPITALIZATION GROWTH INVESTMENTS
Shares sold................................... 18,100,262 38,837,237
Shares issued on reinvestment................. 7,127,231 4,117,121
Shares redeemed............................... (29,460,614) (28,169,117)
- -------------------------------------------------------------------------------
Net Increase (Decrease)....................... (4,233,121) 14,785,241
- -------------------------------------------------------------------------------
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
Shares sold................................... 22,231,958 18,547,348
Shares issued on reinvestment................. 7,115,568 3,718,417
Shares redeemed............................... (9,175,334) (22,282,636)
- -------------------------------------------------------------------------------
Net Increase (Decrease)....................... 20,172,192 (16,871)
- -------------------------------------------------------------------------------
SMALL CAPITALIZATION GROWTH INVESTMENTS
Shares sold................................... 47,221,080 33,405,849
Shares issued on reinvestment................. 3,703,449 4,411,506
Shares redeemed............................... (30,108,891) (23,101,137)
- -------------------------------------------------------------------------------
Net Increase.................................. 20,815,638 14,716,218
- -------------------------------------------------------------------------------
</TABLE>
137
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 28, 1998 AUGUST 31,1997
- --------------------------------------------------------------------------------
<S> <C> <C>
INTERNATIONAL EQUITY INVESTMENTS
Shares sold.................................... 68,659,246 62,969,435
Shares issued on reinvestment.................. 3,453,744 6,670,111
Shares redeemed................................ (54,216,929) (43,209,206)
- --------------------------------------------------------------------------------
Net Increase................................... 17,896,061 26,430,340
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED INCOME INVESTMENTS
Shares sold.................................... 5,777,169 4,814,720
Shares issued on reinvestment.................. 818,723 1,243,385
Shares redeemed................................ (4,848,049) (4,960,070)
- --------------------------------------------------------------------------------
Net Increase................................... 1,747,843 1,098,035
- --------------------------------------------------------------------------------
EMERGING MARKETS EQUITY INVESTMENTS
Shares sold.................................... 19,253,659 27,633,350
Shares issued on reinvestment.................. 2,460,933 59,448
Shares redeemed................................ (13,048,760) (14,865,187)
- --------------------------------------------------------------------------------
Net Increase................................... 8,665,832 12,827,611
- --------------------------------------------------------------------------------
</TABLE>
138
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD:
<TABLE>
<CAPTION>
GOVERNMENT MONEY
INVESTMENTS 1998(1) 1997 1996 1995 1994 1993
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD.......... $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- -----------------------------------------------------------------------------------------
Net investment in-
come(2)................ 0.02 0.05 0.05 0.05 0.03 0.03
Dividends from net in-
vestment income........ (0.02) (0.05) (0.05) (0.05) (0.03) (0.03)
- -----------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD.................. $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- -----------------------------------------------------------------------------------------
TOTAL RETURN............. 2.50%++ 4.98% 5.02% 5.24% 3.10% 2.76%
- -----------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000S).................. $459,378 $388,713 $278,162 $241,590 $184,656 $84,034
- -----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(2)............. 0.60%+ 0.60% 0.60% 0.60% 0.55% 0.50%
Net investment income... 5.01+ 4.91 4.93 5.14 3.16 2.71
- -----------------------------------------------------------------------------------------
<CAPTION>
INTERMEDIATE FIXED INCOME
INVESTMENTS 1998(1) 1997 1996 1995 1994 1993
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD.......... $8.06 $7.92 $8.10 $7.92 $8.58 $8.25
- -----------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment in-
come(2)................ 0.24 0.50 0.50 0.50 0.47 0.51
Net realized and
unrealized gain
(loss)................. 0.09 0.14 (0.17) 0.16 (0.56) 0.33
- -----------------------------------------------------------------------------------------
Total Income (Loss) From
Operations.............. 0.33 0.64 0.33 0.66 (0.09) 0.84
- -----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income... (0.26) (0.50) (0.51) (0.48) (0.50) (0.48)
Net realized gains...... -- -- -- -- (0.06) (0.03)
Capital................. -- -- -- -- (0.01) --
- -----------------------------------------------------------------------------------------
Total Distributions...... (0.26) (0.50) (0.51) (0.48) (0.57) (0.51)
- -----------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD.................. $8.13 $8.06 $7.92 $8.10 $7.92 $8.58
- -----------------------------------------------------------------------------------------
TOTAL RETURN............. 4.14%++ 8.23% 4.08% 8.70% (1.13)% 10.59%
- -----------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000S).................. $479,182 $384,094 $296,053 $246,323 $223,548 $140,580
- -----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(2)............. 0.71%+ 0.73% 0.73% 0.80% 0.80% 0.80%
Net investment income... 5.96+ 6.19 5.78 6.40 5.77 5.94
- -----------------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.. 22% 118% 98% 98% 86% 92%
- -----------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 28, 1998 (unaudited).
(2) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET INVESTMENT INCOME EXPENSE RATIOS WITHOUT WAIVERS
PER SHARE DECREASE AND REIMBURSEMENTS
----------------------------- --------------------------------------
PORTFOLIO 1997 1996 1995 1994 1993 1997 1996 1995 1994 1993
--------- ----- ----- ----- ----- ----- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Government Money
Investments............ $0.01 $0.01 $0.05 $0.03 $0.02 0.64% 0.72% 0.74% 0.84% 1.39%
Intermediate Fixed
Income Investments..... N/A N/A N/A N/A 0.01 N/A N/A N/A N/A 0.88
</TABLE>
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
139
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD:
<TABLE>
<CAPTION>
LONG-TERM BOND
INVESTMENTS 1998(1) 1997 1996 1995 1994(2) 1993
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $8.26 $7.87 $8.23 $7.86 $8.70 $8.26
- ---------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPER-
ATIONS:
Net investment in-
come(3)............... 0.26 0.53 0.51 0.45 0.38 0.47
Net realized and
unrealized gain
(loss)................ 0.42 0.46 (0.41) 0.36 (0.75) 0.42
- ---------------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 0.68 0.99 0.10 0.81 (0.37) 0.89
- ---------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.26) (0.59) (0.46) (0.44) (0.41) (0.45)
Net realized gains..... -- -- -- -- (0.06) --
Capital................ -- (0.01) -- -- (0.00)* --
- ---------------------------------------------------------------------------------------
Total Distributions..... (0.26) (0.60) (0.46) (0.44) (0.47) (0.45)
- ---------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $8.68 $8.26 $7.87 $8.23 $7.86 $8.70
- ---------------------------------------------------------------------------------------
TOTAL RETURN............ 8.43%++ 12.93% 1.11% 10.71% (3.93)% 11.08%
- ---------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (000S)............ $165,458 $183,051 $155,910 $137,545 $94,628 $64,734
- ---------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(3)............ 0.80%+ 0.78% 0.80% 0.80% 0.80% 0.80%
Net investment income.. 6.03+ 6.54 6.18 5.80 5.34 5.40
- ---------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 26% 34% 125% 62% 43% 35%
- ---------------------------------------------------------------------------------------
<CAPTION>
MUNICIPAL BOND
INVESTMENTS 1998(1) 1997 1996 1995 1994 1993
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $8.62 $8.26 $8.27 $8.06 $8.85 $8.25
- ---------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPER-
ATIONS:
Net investment in-
come(3)............... 0.18 0.38 0.38 0.40 0.40 0.41
Net realized and
unrealized gain
(loss)................ 0.23 0.34 -- 0.21 (0.71) 0.62
- ---------------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 0.41 0.72 0.38 0.61 (0.31) 1.03
- ---------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.19) (0.36) (0.39) (0.40) (0.40) (0.41)
Net realized gains..... -- -- -- (0.00)* (0.05) (0.02)
Capital................ -- -- -- -- (0.03) --
- ---------------------------------------------------------------------------------------
Total Distributions..... (0.19) (0.36) (0.39) (0.40) (0.48) (0.43)
- ---------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $8.84 $8.62 $8.26 $8.27 $8.06 $8.85
- ---------------------------------------------------------------------------------------
TOTAL RETURN............ 4.82%++ 8.88% 4.62% 7.86% (3.78)% 12.94%
- ---------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (000S)............ $66,444 $52,024 $46,485 $45,356 $56,625 $47,811
- ---------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(3)............ 0.80%+ 0.80% 0.80% 0.80% 0.80% 0.80%
Net investment income.. 4.29+ 4.50 4.59 4.99 4.59 4.76
- ---------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 9% 31% 29% 49% 132% 15%
- ---------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 28, 1998 (unaudited).
(2) 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.
(3) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET INVESTMENT INCOME EXPENSE RATIOS WITHOUT WAIVERS
PER SHARE DECREASE AND/OR REIMBURSEMENTS
------------------------------ --------------------------------------
PORTFOLIO 1997 1996 1995 1994 1993 1997 1996 1995 1994 1993
--------- ----- ----- ----- ----- ----- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Long-Term Bond
Investments............ N/A N/A $0.01 $0.01 $0.02 N/A N/A 0.93% 0.95% 1.09%
Municipal Bond
Investments............ $0.00* $0.02 0.02 0.01 0.02 0.83% 1.02% 1.04 0.93 1.02
</TABLE>
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
140
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD:
<TABLE>
<CAPTION>
MORTGAGE BACKED
INVESTMENTS 1998(1) 1997 1996(2) 1995 1994 1993
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $7.96 $7.74 $7.91 $7.69 $8.21 $8.19
- -----------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(3)............... 0.23 0.48 0.48 0.51 0.41 0.53
Net realized and
unrealized gain
(loss)................ 0.14 0.25 (0.14) 0.22 (0.41) 0.00*
- -----------------------------------------------------------------------------------------
Total Income From Opera-
tions.................. 0.37 0.73 0.34 0.73 0.00 0.53
- -----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.24) (0.51) (0.48) (0.49) (0.41) (0.42)
Net realized gains..... -- -- -- -- (0.04) (0.04)
Capital................ -- -- (0.03) (0.02) (0.10) (0.05)
- -----------------------------------------------------------------------------------------
Total Distributions..... (0.24) (0.51) (0.51) (0.51) (0.55) (0.51)
- -----------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $8.09 $7.96 $7.74 $7.91 $7.69 $8.21
- -----------------------------------------------------------------------------------------
TOTAL RETURN............ 4.70%++ 9.69% 4.37% 9.96% (0.20)% 6.68%
- -----------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (000S)............ $153,828 $136,586 $120,945 $104,789 $120,427 $94,421
- -----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(3)............ 0.80%+ 0.80% 0.80% 0.80% 0.80% 0.80%
Net investment income.. 5.81+ 6.08 6.09 6.85 6.38 6.53
- -----------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 114% 94% 23% 30% 53% 93%
- -----------------------------------------------------------------------------------------
<CAPTION>
BALANCED INVESTMENTS 1998(1) 1997 1996 1995 1994 1993(4)
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $12.01 $10.00 $9.37 $8.63 $8.41 $8.00
- -----------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(3)............... 0.14 0.27 0.29 0.26 0.21 0.09
Net realized and
unrealized gain....... 0.87 2.27 0.95 0.81 0.16 0.42
- -----------------------------------------------------------------------------------------
Total Income From Opera-
tions.................. 1.01 2.54 1.24 1.07 0.37 0.51
- -----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.12) (0.27) (0.28) (0.29) (0.15) (0.10)
Net realized gains..... (0.57) (0.26) (0.33) (0.04) -- --
Capital................ -- -- -- -- -- (0.00)*
- -----------------------------------------------------------------------------------------
Total Distributions..... (0.69) (0.53) (0.61) (0.33) (0.15) (0.10)
- -----------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $12.33 $12.01 $10.00 $9.37 $8.63 $8.41
- -----------------------------------------------------------------------------------------
TOTAL RETURN............ 8.61%++ 26.05% 13.60% 12.76% 4.62% 6.35%++
- -----------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (000S)............ $82,356 $89,789 $50,281 $30,268 $14,940 $5,258
- -----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(3)............ 0.96%+ 1.00% 1.00% 1.00% 1.00% 1.00%+
Net investment income.. 2.11+ 2.49 2.85 3.28 2.66 2.67+
- -----------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 55% 67% 47% 47% 43% 10%
- -----------------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE
PAID ON EQUITY
TRANSACTIONS(5)........ $0.06 $0.06 $0.06 -- -- --
- -----------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 28, 1998 (unaudited).
(2) 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.
(3) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
NET INVESTMENT INCOME EXPENSE RATIOS WITHOUT WAIVERS
PER SHARE DECREASE AND/OR REIMBURSEMENTS
------------------------------------- -----------------------------------------
PORTFOLIO 1998 1997 1996 1995 1994 1993 1998 1997 1996 1995 1994 1993
--------- ----- ----- ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Mortgage Backed
Investments............ $0.00* $0.01 $0.01 $0.02 $0.02 $0.04 0.89%+ 0.93% 0.94% 1.09% 1.06% 1.13%
Balanced Investments.... N/A 0.00* 0.03 0.06 0.08 0.15 N/A 1.02 1.26 1.75 2.01 5.55
</TABLE>
(4) For the period from February 16, 1993 (commencement of operations) to
August 31, 1993.
(5) As of September 1995, the SEC instituted new guidelines requiring the
disclosure of average commissions per share.
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
141
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD:
<TABLE>
<CAPTION>
LARGE CAPITALIZATION
VALUE EQUITY INVESTMENTS 1998(1) 1997 1996 1995(2) 1994 1993(2)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD.......... $14.91 $11.55 $10.42 $9.39 $9.35 $8.77
- -------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(3)................ 0.09 0.23 0.26 0.27 0.17 0.25
Net realized and
unrealized gain........ 1.87 4.09 1.25 1.16 0.02 0.54
- -------------------------------------------------------------------------------
Total Income From Opera-
tions................... 1.96 4.32 1.51 1.43 0.19 0.79
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income... (0.11) (0.34) (0.24) (0.24) (0.15) (0.14)
Net realized gains...... (2.76) (0.62) (0.14) (0.16) 0.00* (0.07)
- -------------------------------------------------------------------------------
Total Distributions...... (2.87) (0.96) (0.38) (0.40) (0.15) (0.21)
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD.................. $14.00 $14.91 $11.55 $10.42 $9.39 $9.35
- -------------------------------------------------------------------------------
TOTAL RETURN............. 14.04%++ 38.98% 14.75% 16.14% 2.09% 9.25%
- -------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(MILLIONS).............. $1,930 $1,935 $1,512 $1,070 $832 $563
- -------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(3)............. 0.79%+ 0.78% 0.80% 0.83% 0.88% 0.95%
Net investment income... 1.31+ 1.70 2.31 2.93 2.57 2.88
- -------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.. 29% 70% 24% 21% 108% 47%
- -------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE
PAID ON EQUITY
TRANSACTIONS(4)......... $0.05 $0.05 $0.06 -- -- --
- -------------------------------------------------------------------------------
<CAPTION>
LARGE CAPITALIZATION
GROWTH INVESTMENTS 1998(1) 1997 1996 1995 1994 1993(2)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD.......... $17.27 $13.10 $12.13 $10.00 $9.76 $8.88
- -------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment in-
come(3)................ 0.04 0.07 0.07 0.09 0.03 0.00*
Net realized and
unrealized gain........ 2.82 4.72 1.46 2.13 0.21 0.89
- -------------------------------------------------------------------------------
Total Income From Opera-
tions................... 2.86 4.79 1.53 2.22 0.24 0.89
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income... (0.08) (0.08) (0.06) (0.08) -- (0.01)
Net realized gains...... (1.24) (0.54) (0.50) (0.01) -- --
Capital................. -- -- -- -- -- (0.00)*
- -------------------------------------------------------------------------------
Total Distributions...... (1.32) (0.62) (0.56) (0.09) -- (0.01)
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD.................. $18.81 $17.27 $13.10 $12.13 $10.00 $9.76
- -------------------------------------------------------------------------------
TOTAL RETURN............. 17.22%++ 37.47% 12.89% 22.30% 2.46% 10.00%
- -------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(MILLIONS).............. $1,930 $1,845 $1,205 $782 $458 $238
- -------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(3)............. 0.62%+ 0.69% 0.83% 0.88% 0.98% 1.12%
Net investment income
(loss)................. 0.39+ 0.50 0.63 0.98 0.39 (0.04)
- -------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE.. 24% 65% 40% 38% 104% 47%
- -------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE
PAID ON EQUITY
TRANSACTIONS(4)......... $0.04 $0.03 $0.06 -- -- --
- -------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 28, 1998 (unaudited).
(2) 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.
(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 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>
(4) As of September 1995, the SEC instituted new guidelines requiring the
disclosure of average commissions per share.
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
142
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD:
<TABLE>
<CAPTION>
SMALL CAPITALIZATION
VALUE EQUITY INVESTMENTS 1998(1) 1997 1996 1995 1994 1993
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $14.45 $11.11 $10.01 $ 9.03 $9.94 $8.68
- -----------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPER-
ATIONS:
Net investment in-
come(2)............... 0.06 0.19 0.16 0.15 0.08 0.06
Net realized and
unrealized gain
(loss)................ 1.90 4.22 1.08 0.95 (0.40) 1.31
- -----------------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 1.96 4.41 1.24 1.10 (0.32) 1.37
- -----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.13) (0.19) (0.14) (0.12) (0.07) (0.03)
Net realized gains..... (1.72) (0.88) -- (0.00)* (0.52) (0.08)
- -----------------------------------------------------------------------------------------
Total Distributions..... (1.85) (1.07) (0.14) (0.12) (0.59) (0.11)
- -----------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $14.56 $14.45 $11.11 $10.01 $9.03 $9.94
- -----------------------------------------------------------------------------------------
TOTAL RETURN............ 14.23%++ 42.40% 12.48% 12.50% (3.30)% 15.74%
- -----------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (000S)............ $920,740 $622,372 $478,884 $340,306 $342,388 $183,051
- -----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(2)............ 0.87%+ 0.90% 0.95% 1.11% 1.06% 1.11%
Net investment income.. 1.42+ 1.62 1.52 1.54 1.12 0.82
- -----------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 16% 53% 39% 115% 65% 70%
- -----------------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE
PAID ON EQUITY
TRANSACTIONS(3)........ $0.04 $0.04 $0.04 -- -- --
- -----------------------------------------------------------------------------------------
<CAPTION>
SMALL CAPITALIZATION
GROWTH INVESTMENTS 1998(1) 1997 1996 1995(4) 1994(4) 1993(4)
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $18.29 $17.79 $17.19 $12.50 $11.21 $7.99
- -----------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment
loss(2)............... (0.03) (0.06) (0.08) (0.05) (0.09) (0.07)
Net realized and
unrealized gain....... 1.07 2.87 3.36 4.81 1.56 3.29
- -----------------------------------------------------------------------------------------
Total Income From Opera-
tions.................. 1.04 2.81 3.28 4.76 1.47 3.22
- -----------------------------------------------------------------------------------------
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
PERIOD................. $18.17 $18.29 $17.79 $17.19 $12.50 $11.21
- -----------------------------------------------------------------------------------------
TOTAL RETURN............ 6.08%++ 17.53% 21.33% 38.25% 13.18% 40.30%
- -----------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (MILLIONS)........ $1,151 $777 $494 $315 $180 $75
- -----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(2)............ 1.00%+ 0.90% 1.00% 1.14% 1.20% 1.25%
Net investment loss.... (0.40)+ (0.39) (0.49) (0.35) (0.78) (0.72)
- -----------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 38% 81% 83% 174% 94% 97%
- -----------------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE
PAID ON EQUITY
TRANSACTIONS(3)........ $0.03 $0.03 $0.08 -- -- --
- -----------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 28, 1998 (unaudited).
(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>
(3) As of September 1995, the SEC instituted new guidelines requiring the
disclosure of average commissions per share.
(4) Per share amounts have been calculated using the monthly average shares
method, rather than the undistributed net investment income method, because
it more accurately reflects the per share data for the period.
* Amount represents less than $0.01 per share.
++Total return is not annualized, so it may not be representative of the total
return for the year.
+ Annualized.
143
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD:
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
INVESTMENTS 1998(1) 1997 1996 1995 1994(2) 1993
- ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD...................... $10.63 $10.49 $10.50 $10.86 $ 9.57 $7.76
- ----------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment income....... 0.03 0.09 -- 0.05 0.02 0.05
Net realized and unrealized
gain (loss)................ 0.73 0.87 0.44 (0.09) 1.54 1.79
- ----------------------------------------------------------------------------------
Total Income (Loss) From Op-
erations.................... 0.76 0.96 0.44 (0.04) 1.56 1.84
- ----------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income....... (0.18) (0.12) (0.17) -- (0.03) (0.03)
Net realized gains.......... (0.11) (0.70) (0.28) (0.32) (0.24) --
- ----------------------------------------------------------------------------------
Total Distributions.......... (0.29) (0.82) (0.45) (0.32) (0.27) (0.03)
- ----------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERI-
OD.......................... $11.10 $10.63 $10.49 $10.50 $10.86 $9.57
- ----------------------------------------------------------------------------------
TOTAL RETURN................. 7.51%++ 9.53% 4.23% (0.18)% 16.74% 23.73%
- ----------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(MILLIONS).................. $1,385 $1,136 $844 $663 $595 $270
- ----------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Expenses(3)................. 0.90%+ 0.97% 1.00% 1.19% 1.19% 1.32%
Net investment income
(loss)..................... 0.36+ 0.70 (0.12) 0.43 0.23 0.61
- ----------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE...... 33% 32% 50% 28% 33% 46%
- ----------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER SHARE
PAID ON EQUITY
TRANSACTIONS(4)............. $0.02 $0.02 $0.02 -- -- --
- ----------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 28, 1998 (unaudited).
(2) 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.
(3) 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.
(4) As of September 1995, the SEC instituted new guidelines requiring the
disclosure of average commissions per shares.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
144
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD:
<TABLE>
<CAPTION>
INTERNATIONAL FIXED
INCOME INVESTMENTS 1998(1) 1997 1996 1995 1994 1993
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD......... $8.21 $9.11 $9.01 $8.17 $8.86 $8.71
- -----------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPER-
ATIONS:
Net investment in-
come(2)............... 0.25 0.51 0.55 0.56 0.40 0.51
Net realized and
unrealized gain
(loss)................ 0.18 (0.62) 0.49 0.84 (0.32) 0.20
- -----------------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 0.43 (0.11) 1.04 1.40 0.08 0.71
- -----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income.. (0.24) (0.55) (0.94) (0.56) (0.65) (0.55)
Net realized gains..... (0.23) (0.24) -- -- (0.12) (0.01)
Capital................ -- -- -- -- (0.00)* --
- -----------------------------------------------------------------------------------------
Total Distributions..... (0.47) (0.79) (0.94) (0.56) (0.77) (0.56)
- -----------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD................. $8.17 $8.21 $9.11 $9.01 $8.17 $8.86
- -----------------------------------------------------------------------------------------
TOTAL RETURN............ 5.33%++ (1.52)% 12.05% 17.66% 1.00% 8.67%
- -----------------------------------------------------------------------------------------
NET ASSETS, END OF PE-
RIOD (000S)............ $139,360 $125,610 $129,410 $105,884 $116,929 $100,362
- -----------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET
ASSETS:
Expenses(2)(3)......... 0.96%+ 0.99% 1.02% 0.95% 0.95% 0.95%
Net investment income.. 5.58+ 5.87 6.34 6.50 5.54 6.03
- -----------------------------------------------------------------------------------------
PORTFOLIO TURNOVER
RATE................... 127% 251% 211% 307% 358% 251%
- -----------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 28, 1998 (unaudited).
(2) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
EXPENSE RATIOS
NET INVESTMENT INCOME WITHOUT WAIVERS
PER SHARE DECREASE AND/OR REIMBURSEMENTS
----------------------- -------------------------
PORTFOLIO 1995 1994 1993 1995 1994 1993
--------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
International Fixed
Income Investments..... $ 0.02 $ 0.01 $0.02 1.18% 1.08% 1.22%
</TABLE>
(3) During the years ended August 31, 1997 and August 31, 1996, the portfolios
earned credits from the custodian which reduced service fees incurred. If
the credits are taken into consideration, the ratio of expenses to average
net assets for International Fixed Income Investments would be 0.97% and
0.97%, respectively; prior year numbers have not been restated to reflect
these numbers.
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
145
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD:
<TABLE>
<CAPTION>
EMERGING MARKETS EQUITY
INVESTMENTS 1998(1) 1997 1996 1995(2) 1994(3)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD................ $9.31 $8.50 $7.85 $9.49 $8.00
- --------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERA-
TIONS:
Net investment income
(loss)(4)............... -- 0.04 0.03 0.01 (0.02)
Net realized and
unrealized gain (loss).. (1.46) 0.79 0.62 (1.45) 1.51
- --------------------------------------------------------------------------------
Total Income (Loss) From
Operations............... (1.46) 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
PERIOD................... $7.29 $9.31 $8.50 $7.85 $9.49
- --------------------------------------------------------------------------------
TOTAL RETURN.............. (15.73)%++ 9.88% 8.28% (15.13)% 18.63%++
- --------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000S)................... $240,405 $226,280 $97,489 $59,333 $36,365
- --------------------------------------------------------------------------------
RATIOS TO AVERAGE NET AS-
SETS:
Expenses(4)(5)........... 1.55%+ 1.60% 1.84% 1.75% 1.72%+
Net investment income
(loss).................. 0.20+ 0.39 0.26 0.15 (0.42)+
- --------------------------------------------------------------------------------
PORTFOLIO TURNOVER RATE... 63% 105% 106% 89% 16%
- --------------------------------------------------------------------------------
AVERAGE COMMISSIONS PER
SHARE
PAID ON EQUITY
TRANSACTIONS(6).......... $0.00* $0.00* $0.00* -- --
- --------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 28, 1998 (unaudited).
(2) 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.
(3) For the period from April 21, 1994 (commencement of operations) to August
31, 1994.
(4) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
EXPENSE RATIOS
NET INVESTMENT INCOME WITHOUT WAIVERS
PER SHARE DECREASE AND/OR REIMBURSEMENTS
----------------------- -------------------------
PORTFOLIO 1996 1995 1994 1996 1995 1994
--------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Emerging Markets Equity
Investments............ $ 0.01 $ 0.02 $ 0.02 1.97% 1.96% 2.56%+
</TABLE>
(5) During the year ended August 31, 1996, the portfolio 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.
(6) As of September 1995, the SEC instituted new guidelines requiring the
disclosure of average commissions per share.
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
146
<PAGE>
ADDITIONAL SHAREHOLDER INFORMATION (UNAUDITED)
On December 18, 1997 and on January 20 and 23, 1998 a special meeting of
shareholders of the Trust was held for the purpose of voting on the following
matters:
1. To elect Trustees of the Trust;
2. Ratify the selection of KPMG Peat Marwick LLP as the independent
auditors of the Trust for the fiscal year ending August 31, 1998;
3. To approve or disapprove an amendment to the management agreement
between the Trust with respect to Small Capitalization Value Equity
Investments and International Equity Investments, and the Portfolios'
investment manager, Mutual Management Corp., formerly known as Smith Barney
Mutual Funds Management Inc.;
4. To approve or disapprove the reclassification, modification and/or
elimination of certain fundamental investment policies; and
5. To transact such other business as may properly come before the
meeting or any adjournments thereof.
The results of the vote on Proposal 1 were as follows:
<TABLE>
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF
NAME OF TRUSTEES SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Walter E. Auch, Jr. .... 473,572,002.991 94.105% 29,667,479.837 5.895%
Martin Brody............ 473,629,239.179 94.116% 29,610,243.649 5.884%
Armon Kamesar........... 474,067,596.581 94.203% 29,171,886.247 5.797%
Stephen E. Kaufman...... 474,170,388.804 94.224% 29,069,094.024 5.776%
Heath B. McLendon....... 474,275,817.479 94.245% 28,963,665.349 5.755%
</TABLE>
The results of the vote on Proposal 2 were as follows:
<TABLE>
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF SHARES PERCENTAGE OF
SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED ABSTAINED SHARES ABSTAINED
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
464,273,444.117 92.257% 5,765,130.770 1.146% 33,200,907.94 6.597%
</TABLE>
The results of the vote on Proposal 3 with respect to Small Capitalization
Value Investments were as follows:
<TABLE>
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF SHARES PERCENTAGE OF
SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED ABSTAINED SHARES ABSTAINED
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
20,406,358.549 89.973% 908,496.853 4.005% 1,365,754.378 6.022%
</TABLE>
The results of the vote on Proposal 3 with respect to International Equity
Investments were as follows:
<TABLE>
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF SHARES PERCENTAGE OF
SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED ABSTAINED SHARES ABSTAINED
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
49,230,901.763 88.858% 2,905,121.017 5.244% 3,267,904.453 5.898%
</TABLE>
Proposal 4 requested that shareholders approve certain changes to the
fundamental policies of the Trust in order to modernize them in view of certain
regulatory, business or industry developments that have occurred since original
adoption of these policies by the Trust. The chart on the following page
demonstrates that all proposals were approved by shareholders.
147
<PAGE>
ADDITIONAL SHAREHOLDER INFORMATION (UNAUDITED) (CONTINUED)
<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>
Modification of the
Fundamental
Policy/Diversification.. X X X X X
- --------------------------------------------------------------------------------------
Modification of the
Fundamental
Policy/Industry
Concentration.......... X X X N/A X
- --------------------------------------------------------------------------------------
Modification of the
Fundamental
Policy/Borrowing....... X X X X X
- --------------------------------------------------------------------------------------
Modification of the
Fundamental
Policy/Pledging
Assets................. X X X X X
- --------------------------------------------------------------------------------------
Modification of the
Fundamental
Policy/Lending......... X X X X X
- --------------------------------------------------------------------------------------
Modification of the
Fundamental
Policy/Underwriting.... X X X X X
- --------------------------------------------------------------------------------------
Modification of the
Fundamental
Policy/Purchase of
Securities on Margin... X X X X X
- --------------------------------------------------------------------------------------
Modification of the
Fundamental Policy/Real
Estate................. X X X X X
- --------------------------------------------------------------------------------------
Reclassification as Non-
Fundamental/Investments
in Oil, Gas or other
Mineral Exploration or
Development Programs... X X X X X
- --------------------------------------------------------------------------------------
Reclassification as Non-
Fundamental/Short
Sales.................. X X X X X
- --------------------------------------------------------------------------------------
</TABLE>
The information below reports the lowest percentage of shares voting for the
proposals, the highest percentage of shares voting against and abstaining by
shareholders of each portfolio on all proposals considered by that portfolio.
GOVERNMENT MONEY INVESTMENTS
<TABLE>
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF SHARES PERCENTAGE OF
SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED ABSTAINED SHARES ABSTAINED
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
174,645,419,732 85.016% 4,249,803,357 2.069% 26,531,519,729 12.915%
INTERMEDIATE FIXED-INCOME INVESTMENTS
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF SHARES PERCENTAGE OF
SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED ABSTAINED SHARES ABSTAINED
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
22,572,794,164 88.883% 688,493,127 2.711% 2,134,687,289 8.406%
LONG-TERM BOND INVESTMENTS
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF SHARES PERCENTAGE OF
SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED ABSTAINED SHARES ABSTAINED
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
10,263,389,826 90.377% 222,068,435 1.955% 870,848,463 7.668%
MUNICIPAL BOND INVESTMENTS
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF SHARES PERCENTAGE OF
SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED ABSTAINED SHARES ABSTAINED
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2,943,294,388 88.666% 106,547,926 3.210% 269,673,145 8.124%
MORTGAGE BACKED INVESTMENTS
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF SHARES PERCENTAGE OF
SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED ABSTAINED SHARES ABSTAINED
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
8,543,187,481 91.345% 170,112,075 1.819% 639,345,364 6.836%
BALANCED INVESTMENTS
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF SHARES PERCENTAGE OF
SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED ABSTAINED SHARES ABSTAINED
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
4,882,119,801 96.184% 33,480,665 0.660% 160,203,552 3.156%
</TABLE>
148
<PAGE>
ADDITIONAL SHAREHOLDER INFORMATION (UNAUDITED) (CONTINUED)
<TABLE>
<CAPTION>
LARGE LARGE SMALL SMALL EMERGING
CAPITALIZATION CAPITALIZATION CAPITALIZATION CAPITALIZATION INTERNATIONAL INTERNATIONAL MARKETS
BALANCED GROWTH VALUE EQUITY GROWTH VALUE EQUITY EQUITY FIXED INCOME EQUITY
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
X X X X X X N/A X
- ----------------------------------------------------------------------------------------------------------------
X X X X X X X X
- ----------------------------------------------------------------------------------------------------------------
X X X X X X X X
- ----------------------------------------------------------------------------------------------------------------
X X X X X X X X
- ----------------------------------------------------------------------------------------------------------------
X X X X X X X X
- ----------------------------------------------------------------------------------------------------------------
X X X X X X X X
- ----------------------------------------------------------------------------------------------------------------
X X X X X X X X
- ----------------------------------------------------------------------------------------------------------------
X X X X X X X X
- ----------------------------------------------------------------------------------------------------------------
X X X X X X X X
- ----------------------------------------------------------------------------------------------------------------
X X X X X X X X
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
LARGE CAPITALIZATION GROWTH INVESTMENTS
<TABLE>
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF SHARES PERCENTAGE OF
SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED ABSTAINED SHARES ABSTAINED
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
48,754,912,992 88.186% 1,999,494,158 3.617% 4,529,695,934 8.193%
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF SHARES PERCENTAGE OF
SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED ABSTAINED SHARES ABSTAINED
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
59,019,381,662 87.900% 2,467,459,758 3.712% 5,629,855,986 8.388%
SMALL CAPITALIZATION GROWTH INVESTMENTS
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF SHARES PERCENTAGE OF
SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED ABSTAINED SHARES ABSTAINED
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
20,058,316,921 88.900% 706,656,152 3.135% 1,775,438,460 7.877%
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF SHARES PERCENTAGE OF
SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED ABSTAINED SHARES ABSTAINED
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
20,187,296,243 89.007% 597,495,265 2.634% 1,895,818,272 8.359%
INTERNATIONAL EQUITY INVESTMENTS
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF SHARES PERCENTAGE OF
SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED ABSTAINED SHARES ABSTAINED
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
49,320,209,634 89.019% 1,665,572,803 3.007% 4,418,144,796 7.974%
INTERNATIONAL FIXED INCOME INVESTMENTS
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF SHARES PERCENTAGE OF
SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED ABSTAINED SHARES ABSTAINED
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
7,026,023,102 90.388% 254,428,164 3.273% 492,747,057 6.339%
EMERGING MARKETS INVESTMENTS
<CAPTION>
PERCENTAGE OF SHARES VOTED PERCENTAGE OF SHARES PERCENTAGE OF
SHARES VOTED FOR SHARES VOTED AGAINST SHARES VOTED ABSTAINED SHARES ABSTAINED
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
11,289,587,790 88.752% 374,451,787 2.943% 1,056 8.406%
</TABLE>
149
<PAGE>
THIS REPORT IS SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF
CONSULTING GROUP CAPITAL MARKETS FUNDS.
IT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS UNLESS
ACCOMPANIED OR PRECEDED BY AN EFFECTIVE PROSPECTUS FOR THE TRUST WHICH CONTAINS
INFORMATION CONCERNING THE TRUST'S INVESTMENT POLICIES, CHARGES AND EXPENSES AS
WELL AS OTHER PERTINENT INFORMATION.
TK 2120, 4/98 CONSULTING GROUP CAPITAL MARKETS FUNDS . 222 DELAWARE
AVENUE . WILMINGTON, DELAWARE . 19801
